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: | 9/30/2017 | |||
Date of reporting period: | 9/30/2017 |
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.
To Our Shareholders
Eric Wietsma
“MassMutual believes that ever-changing market conditions have the potential to benefit individuals who maintain a long-term perspective on investing.”
September 30, 2017
Continued strength in U.S. markets benefits equity investors; global markets stabilize
I am pleased to present you with the MassMutual Premier Funds Annual Report, covering the year ended September 30, 2017 (the “fiscal year”). Domestic stocks enjoyed strong performance during the fiscal year, as investor sentiment was buoyed by campaign promises focused on tax reforms, infrastructure spending, health care reform, and the creation of American jobs. While the Trump administration and the Republican-led Congress struggled to turn campaign promises into policy realities, continued improving domestic economic data supported investor confidence during the fiscal year.
Foreign stocks also performed well for investors, as European markets stabilized significantly with Brexit concerns shifting to the actual details of executing Great Britain’s separation from the European Union. Asian markets also stabilized, even though geopolitical tensions in the region escalated due to China’s disputed expansion in the South China Sea, North Korea’s increased nuclear and missile arsenal, and lingering suspicions regarding Russia’s covert involvement in the American political process and its participation in Middle Eastern conflicts. Japan’s economic policies also appeared to be helping that country overcome its long-term economic challenges.
While equity markets added to an impressive string of consecutive quarters with positive results, investment-grade bond investors found it more difficult to generate satisfying returns during the period.
In MassMutual’s view, the ongoing uncertainties associated with investing in today’s markets validate the importance of taking a long-term perspective and not reacting to current events or short-term market changes. We also believe retirement investors who follow certain investment guidelines, such as the ones below, may increase their chances of reaching their retirement income goals.
Suggestions for retirement investors under any market conditions
Save as much as you can
There is no way to predict how the markets will perform. But you can control how often and how much you contribute to your retirement plan account. Contributing as much as you can and increasing your contribution level as often as possible may be one way to help you realize your retirement income goals.*
Invest in all market conditions
Many seasoned investors believe that retirement savers who can tolerate a market downturn have the potential to be rewarded by accumulating larger positions at more favorable prices (compared to those who do not invest during a down market). That’s why financial professionals often advise their clients to stay in the market, regardless of short-term results.
Retirement investors have time on their side
For most, saving and investing for retirement occurs over many decades. While most retirement investors may be familiar with market volatility, savvy investors know that adopting a long-term view of the markets can help them withstand all market conditions
* | 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. |
(Continued)
1
MassMutual Premier Funds – President’s Letter to Shareholders (Unaudited) (Continued)
Monitor your asset allocation regularly – and diversify
Stocks, bonds, and short-term/money market investments typically (although not always) behave differently, depending on the economic and market environment. Each of these asset classes contains an even greater array of sub-categories, such as small-cap stocks, international stocks, and high-yield bonds. Many financial professionals believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a retirement plan account that contains a mix of investment types and sub-categories.
Make informed choices and seek professional guidance
Many financial advisors suggest that retirement investors select an appropriate combination of investments that aligns with their retirement income goals. Doing so can help you withstand the inevitable ups and downs of the markets.
If you work with a financial professional, this may be an excellent time to contact him or her for assistance in assessing whether or not you:
• | may be saving enough for retirement based on your long-term needs; |
• | are invested properly for all market conditions, based on your goals and objectives and where you are in your retirement planning journey; and |
• | feel you are taking the right steps to help reduce your longevity risk, which is related to the possibility that you could “outlive” your retirement savings. |
We’re people protecting people
MassMutual believes that nothing matters more than your safety and well-being. Our commitment has always been to help people financially protect their families and put themselves on the path to a more financially secure future. And that’s why we consistently encourage retirement investors to maintain a long-term view toward retirement investing, and avoid reacting to short-term market movements. We believe that ever-changing market conditions have the potential to benefit individuals who maintain a long-term perspective on investing. Thank you for your continued confidence in MassMutual.
Sincerely,
Eric Wietsma
President
The information provided is the opinion of MassMutual Funds Investment Management Group as of 10/1/17 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.
2
September 30, 2017
Market Highlights
• | U.S. stock investors enjoyed strong performance during the fiscal year, bolstered by a rally which started after the November 2016 U.S. presidential election. |
• | Data throughout the period pointed to sustained improvements in the global economic environment. |
• | Foreign markets rebounded over the past 12 months, even though geopolitical turbulence increased in some regions. |
• | The Federal Reserve Board (the “Fed”) raised short-term interest rates three times during the reporting period and introduced a plan to shrink its balance sheet beginning in 2017. |
• | Investment-grade bond investors struggled to break even during this annual reporting cycle. |
Market Environment
U.S. stock investors enjoyed strong performance during the fiscal year ended September 30, 2017, bolstered by a rally which started after the November 2016 U.S. presidential election. All major domestic stock indexes registered positive returns during the period, though returns varied widely across asset classes and investment styles.
Following the surprising election of Donald J. Trump as the 45th President of the United States, investor sentiment was buoyed by campaign promises focused on tax reforms, infrastructure spending, health care reform, and the creation of American jobs. While the Trump administration and the Republican-led Congress struggled to turn campaign promises into policy realities, investor sentiment remained high through the end of the reporting period.
Consecutive improved quarterly earnings reports fueled strong investor sentiment. For each quarterly reporting cycle of this fiscal year, the majority of American corporations reported earnings and sales that beat forecasts. While the market generally acknowledges that stock valuations are high by historical standards, strong earnings and sales results appear to justify ongoing investor participation in equity markets.
Continued improving domestic economic data also supported investor confidence over the past 12 months. In 2017, the scope of improved economic data expanded to include developed international markets. European markets stabilized significantly as Brexit concerns shifted to the actual details of executing Great Britain’s separation from the European Union (EU). Prime Minister Teresa May triggered Article 50 of the Lisbon Treaty (which outlines the process for EU members to withdraw from the EU) on March 29, 2017 – setting the time frame for Britain to officially leave the EU as no later than April 2019. Continued German economic strength, bolstered by Angela Merkel’s re-election in September 2017, added stability to EU and global markets. Emmanuel Macron’s resounding victory in France’s May 2017 presidential election seemed to stem the populist political tide that had added turbulence to EU markets.
Asian markets also stabilized, even though geopolitical tensions in the region escalated due to China’s disputed expansion in the South China Sea, North Korea’s increased nuclear and missile arsenal, and lingering suspicions regarding Russia’s covert involvement in the American political process and its participation in Middle Eastern conflicts. China’s central bank managed to successfully navigate concerns about production declines, real estate, currency pricing, and the growing Chinese middle class. Japan’s economic policies also appeared to be helping that country overcome its long-term economic challenges.
The Fed continued to exert influence on domestic and global markets during this annual reporting cycle, but generally improving economic conditions muted that influence compared to previous years. The Fed raised short-term interest rates three times during the fiscal year – in December 2016 and in March and June of 2017. After starting the reporting period at 0.50%, the short-term interest rate is now 1.25%. The most recent minutes from the Fed’s Federal Open Market Committee forecast one more rate hike in 2017 and the possibility of three additional increases in 2018. In addition, the Fed introduced plans to begin selling down its balance sheet, bringing to an end the era of Quantitative Easing (i.e., the Fed’s program of encouraging economic growth by purchasing government bonds). It is particularly interesting to note that in previous years, the mere threat of a rate hike added turbulence to markets. During this reporting period, Fed actions did not negatively disrupt markets.
3
MassMutual Premier Funds – Economic and Market Overview (Unaudited) (Continued)
During the one-year period ended September 30, 2017, the technology-focused NASDAQ Composite® Index rose 23.68%, the S&P 500® Index (S&P 500) of large-capitalization U.S. stocks gained 18.61%, the Dow Jones Industrial AverageSM grew 25.45%, and the Russell 2000® Index of small-capitalization stocks added 20.74%. Notably, this marks the second consecutive year these indexes logged double-digit returns. Domestic large-cap growth stocks outperformed for the reporting period, as the Russell 1000® Growth Index reported a 21.94% return.
In foreign markets, the MSCI EAFE® Index, a barometer for foreign stocks in developed markets, returned 19.10% for the fiscal year, more than doubling its return of 6.52% for the previous reporting year. Developing market companies also delivered another strong performance for the period, as the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, rose 22.46%.*
Investment-grade bond investors struggled to break even this fiscal year, as the Bloomberg Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, ended the period essentially where it started, advancing only 0.07%. Market yields generally rose during the final months of 2016 and accelerated following last November’s U.S. presidential election. Since bond prices typically fall during periods of rising interest rates, this was a particularly challenging period of time for the bond market.
Yield on the 2-year U.S. Treasury bond rose 0.70% due to market influences and Fed action, ending the reporting period at 1.47%. Yield on the 10-year Treasury bond rose 0.73% for the period, rising early on in the post-election period and declined modestly for the rest of the period to end at 2.33%. With equity markets returning double-digit growth for the second consecutive year, high-yield corporate bonds outperformed other fixed income investments, as the Bloomberg Barclays U.S. Corporate High-Yield Index, which measures the performance of fixed-rate, below-investment-grade debt securities from corporate sectors, delivered a return of 8.88%.*
With eight consecutive quarters of positive returns for the S&P 500 now in the history books – a feat seen only five times since 1928 – thoughtful investors are asking themselves how long this upward climb can continue. We remain convinced that a broadly diversified portfolio aligned to a long-term strategy is the retirement investor’s wisest course. When one side of the market enjoys outsized growth for a long period of time, portfolios may become overweight in one asset class. As we close out this fiscal year, it may be the right time to evaluate your portfolio to ensure that it matches your overall investment strategy and objectives.
The information provided is the opinion of MML Investment Advisers, LLC as of 10/1/17 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.
* | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
4
What is the investment approach of MassMutual Premier U.S. Government Money Market Fund, and who is the Fund’s subadviser?
The Fund seeks current income consistent with preservation of capital and liquidity. Under normal circumstances, the Fund invests at least 99.5% of its total assets in cash, U.S. government securities, and/or repurchase agreements fully collateralized by cash or U.S. government securities. Under normal circumstances, the Fund invests at least 80% of its net assets in U.S. government securities and repurchase agreements that are fully collateralized by U.S. government securities. The Fund’s subadviser is Barings LLC (Barings). The Fund seeks to maintain, but does not guarantee, a stable $1.00 share price. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 0.23%, underperforming the 0.64% return of the Citigroup 3-Month Treasury Bill Index (the “benchmark”), which measures the performance of the last three three-month Treasury bill month-end rates.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Short-term interest rates have started to move off their historical lows, as monetary policy has gradually started to tighten. LIBOR (London Interbank Offered Rate) rates increased over the last year due to Federal Reserve (the Fed”) rate hikes in March and June of 2017. One-month LIBOR increased 0.70% to 1.23% over the year and 3-month LIBOR increased 0.48% to 1.33%.
Last year, the Fund converted to a government-only fund from a prime fund. The Fund consists of United States government bonds and U.S. government agencies. The Fund bought a large amount of adjustable-rate agency paper in order to maximize yield while keeping the weighted average maturity at a manageable level. (Agency paper is debt issued by the federal government for financing purposes.) The adjustable-rate issues continued to provide an attractive yield advantage for the Fund, as the June rate hike sent LIBOR higher during the second quarter of 2017. The Fund does have some exposure to longer-dated fixed-maturity agency paper, but almost all of that paper matures within a month of the next potential Fed hike in December 2017. These instruments trade slightly cheaper than U.S. Treasury Bills.
The Weighted Average Maturity (WAM) of the Fund has dropped quite a bit in 2017, but the Weighted Average Life (WAL), which takes into account a bond’s final maturity date, has not dropped nearly as much. Much of the drop in WAM can be attributed to many more 1-month agency adjustable-rate issues (instead of 3-month adjustable-rate issues) being purchased in 2017, as the Fund tried to capitalize on the flattening between the 1- and 3-month LIBOR curve. The other component of the drop in WAM has been the Fund’s desire to keep fixed-rate purchases short of, or right around, any Fed meeting that might be in play. In the last 12 months, the Fed has increased interest rates three times. The decrease in WAM has allowed the Fund to react quickly to changing market conditions and to maintain its commitment to the objectives of stability and liquidity.
Subadviser outlook
Global growth prospects remain relatively sound. This has pushed government bond yields higher as market participants have begun to reappraise future monetary policy expectations across both domestic and international markets. Risk assets have performed well, suggesting, in our view, that investors are looking at better global growth.
We believe that the market is pricing in another interest rate hike from the Fed in December. The Fund is buying adjustable-rate agency paper when it makes sense and keeping most fixed-rate purchases short of the December Fed meeting. In a rising rate environment such as this, the WAM of the Fund should not rise meaningfully, and may even drop, as Fund management expects two to four more hikes in 2018 to potentially follow the highly anticipated December 2017 increase. As a way of protecting against these future interest rate hikes, the Fund plans to continue to purchase adjustable-rate paper and short fixed-rate paper.
5
MassMutual Premier U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier U.S. Government Money Market Fund Portfolio Characteristics (% of Net Assets) on 9/30/17 | ||||
Short-Term Investments and Other Assets and Liabilities | 100.0 | % | ||
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Net Assets | 100.0 | % | ||
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6
MassMutual Premier U.S. Government Money Market Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier U.S. Government Money Market Fund Class R5 and the Citigroup 3-Month Treasury Bill Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 0.23% | 0.05% | 0.37% | |||||||||
Citigroup 3-Month Treasury Bill Index | 0.64% | 0.19% | 0.42% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
You could lose money by investing in the MassMutual Premier U.S. Government Money Market Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
7
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 (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 2.36%, outperforming the 0.27% return of the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “benchmark”), which measures the performance of the U.S. Treasury and U.S. Agency Indexes with maturities of 1-3 years, including Treasuries and U.S. agency debentures. It is a component of the U.S. Government/Credit Index and the U.S. Aggregate Index.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, an allocation to corporate bonds was the primary positive contributor to Fund performance. Investment-grade and high-yield bonds rated BB also contributed. Banking and leasing companies were the best-performing sub-sectors. U.S. money centers and regional banks represented attractive income opportunities with good fundamentals.
Asset-backed securities (ABS) were the primary contributor to performance within the securitized sector, largely due to allocations to government-guaranteed FFELP student loans and whole business franchise receivables. The Fund maintained a 25% allocation to ABS over the period, as the sector has a natural liquidity profile, paying down monthly, and remains attractive on a relative basis to other asset classes.
On the downside, an underweight, relative to the benchmark, to U.S. Agency debentures detracted from performance over the period. The sector offers little income and the Fund has been underweight over the last 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.)
The Fund uses derivative instruments for yield curve, duration, downside hedging and to gain exposures. (Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.) Performance from derivatives detracted from full-year returns over the last year.
Subadviser outlook
In our view, global growth prospects remain relatively sound. This has pushed government bond yields higher, as market participants have begun to reappraise future monetary policy expectations across both domestic and international markets. Risk assets have performed well, suggesting that investors are looking at better global growth.
With this in mind, the Fund is focusing on yield opportunities away from Treasury and government bonds. We believe that ABS are attractive, relative to other shorter-duration fixed-income asset classes. The natural liquidity profile from monthly principal paydowns provides a frequent source of income. We believe that corporate fundamentals are improving and should continue with a tailwind from a weaker U.S. dollar and strong forecasted global earnings. For now, economic and market volatility remains subdued, but we believe it could pick up as global central banks become more hawkish, suggesting that “credit picking” will continue to trump sector rotation strategies.
8
MassMutual Premier Short-Duration Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Short-Duration Bond Fund Portfolio Characteristics | ||||
Corporate Debt | 44.7 | % | ||
Non-U.S. Government Agency Obligations | 31.8 | % | ||
U.S. Treasury Obligations | 2.4 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 0.3 | % | ||
Purchased Options | 0.2 | % | ||
Municipal Obligations | 0.0 | % | ||
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Total Long-Term Investments | 79.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | 20.6 | % | ||
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Net Assets | 100.0 | % | ||
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9
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 Bloomberg Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 2.36% | 1.80% | 3.35% | |||||||||
Service Class | 2.24% | 1.69% | 3.29% | |||||||||
Administrative Class | 2.14% | 1.62% | 3.20% | |||||||||
Class A | 1.81% | 1.34% | 2.94% | |||||||||
Class A (sales load deducted)* | -1.76% | 0.62% | 2.57% | |||||||||
Class R3 | 1.70% | 1.16% | 2.68% | |||||||||
Bloomberg Barclays U.S. 1-3 Year Government Bond Index | 0.27% | 0.65% | 1.79% |
Hypothetical Investments in MassMutual Premier Short-Duration Bond Fund Class I and the Bloomberg Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Since Inception Average Annual 12/3/10 - 9/30/17 | |||||||||
Class I | 2.47% | 1.92% | 2.32% | |||||||||
Bloomberg Barclays U.S. 1-3 Year Government Bond Index | 0.27% | 0.65% | 0.77% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg 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.
10
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 Bloomberg Barclays U.S. 1-3 Year Government Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class R4 | 1.95% | 1.62% | ||||||
Bloomberg Barclays U.S. 1-3 Year Government Bond Index | 0.27% | 0.76% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg 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
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 (plus the amount of any borrowings for investment purposes) in inflation-indexed bonds and other income-producing securities. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned -0.51%, outperforming the -0.73% return of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) (the “benchmark”), which measures the performance of rules-based, market value-weighted inflation-protected securities issued by the U.S. Treasury. It is a subset of the Global Inflation-Linked Index (Series-L).
How do inflation-indexed bonds protect against inflation?
Like many other fixed-income securities, inflation-indexed bonds pay income twice a year, based on a stated coupon rate. However, both the principal and the interest payment are adjusted for the level of inflation. The inflation rate – as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) – results in an adjustment to the principal amount of an inflation-protected security. The coupon rate is then applied to the adjusted principal amount to determine the interest payment. For example, assuming an inflation rate of 3%, a security with a par value of $1,000 and an annual coupon rate of 1.75%, the adjusted principal amount after one year would be $1,030 ($1,000 increased by 3%). The semi-annual interest payment would be calculated by multiplying $1,030 by 1.75% and dividing by 2 instead of using the original $1,000 par value to calculate the amount of interest.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, U.S. TIPS outperformed across various maturities. Inflation breakeven rates to Treasury rates experienced mixed moves during the year, given concerns about future interest rate hikes as well as the Federal Reserve’s (the “Fed”) balance sheet unwind. Breakeven inflation rates are the rates of inflation that need to prevail for TIPS to break even to nominal Treasuries. The “balance sheet unwind” refers to the Fed’s announcement that it would begin selling down its balance sheet, thus ending the era of Quantitative Easing (i.e., the Fed’s program of encouraging economic growth by purchasing government bonds).
Consumer prices, as measured by the U.S. Bureau of Labor Statistics, were up year over year, as unadjusted Headline CPI came in at 1.9%, up from 1.1%. (CPI measures changes in the price of a market basket of consumer goods and services; Core CPI does not include food and energy prices. Headline CPI includes food and energy.) While shelter costs continued to be a major driver of core inflation, the headline year-over-year increase was driven in large part by rising energy prices. Core CPI decreased to 1.7%, down from 2.3%.
TIPS positioning in aggregate contributed to Fund performance during the period. Underweight positioning in shorter-maturity inflation securities, relative to the benchmark, also proved beneficial.
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 asset classes contributed positively during the reporting period. Asset-backed securities were the main driver of performance. Security selections in auto loans and student loans within the ABS sector were the primary contributors. An allocation to high-quality commercial paper also helped performance. (Commercial paper is the commonly used name for short-term unsecured promissory notes sold by banks and corporations to meet short-term debt obligations.)
12
MassMutual Premier Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
The Fund may use derivative instruments for yield curve and duration management, and for replicating cash bonds and gaining market exposure in order to implement manager views. (Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.) During the period, the use of derivatives detracted from performance.
Subadviser outlook
The September Federal Open Market Committee (FOMC) statement indicated that the labor market has continued to strengthen and economic activity has been rising moderately. Members continued to expect inflation to remain somewhat below 2 percent in the near term, but to stabilize around the Committee’s 2 percent objective over the medium term. With inflation below 2 percent, the Committee maintained the target range for the federal funds rate at 1 to 1 1⁄4 percent. (The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.)
We remain opportunistic on the TIPS market, given the potentially improving outlook for U.S. tax reform. That being said, we continue to proceed with caution, as implementation of the FOMC balance sheet normalization process – set to begin in October 2017 – could impact potential future interest rate hikes.
13
MassMutual Premier Inflation-Protected and Income Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Inflation-Protected and Income Fund Portfolio Characteristics | ||||
U.S. Treasury Obligations | 95.1 | % | ||
Non-U.S. Government Agency Obligations | 32.0 | % | ||
Corporate Debt | 3.5 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 0.7 | % | ||
Purchased Options | 0.2 | % | ||
Municipal Obligations | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 131.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (31.5 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
14
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 Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L).
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | -0.51% | 0.07% | 3.82% | |||||||||
Service Class | -0.63% | -0.03% | 3.72% | |||||||||
Administrative Class | -0.67% | -0.12% | 3.59% | |||||||||
Class A | -0.92% | -0.35% | 3.40% | |||||||||
Class A (sales load deducted)* | -5.62% | -1.32% | 2.90% | |||||||||
Class R3 | -1.09% | -0.55% | 3.14% | |||||||||
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | -0.73% | 0.02% | 3.90% | |||||||||
|
|
|
|
|
|
Hypothetical Investments in MassMutual Premier Inflation-Protected and Income Fund Class I and the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L).
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Since Inception Average Annual 3/1/11 - 9/30/17 | |||||||||
Class I | -0.41% | 0.19% | 2.90% | |||||||||
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | -0.73% | 0.02% | 2.74% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg 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
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 Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L).
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class R4 | -0.84% | 1.64% | ||||||
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) | -0.73% | 1.87% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
16
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 (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any NRSRO, or, if unrated, determined to be of comparable quality by the subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 1.21%, outperforming the 0.07% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund’s overweight allocation, relative to the benchmark, to investment-grade corporate bonds was the primary contributor to performance. Within that sector, an overweight stake in insurance was the primary driver of performance, as insurance companies continued to improve their earnings and capital positions. Security selection in the banking sector also benefited returns, and the Fund held an underweight stake in that sector.
An overweight to ABS was the primary contributor within the securitized sector, largely due to Fund holdings in government-guaranteed FFELP student loans. A small allocation to whole business franchise receivables also benefitted the ABS sector. Agency MBS positively contributed to performance. (“Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.) Positioning in lower-coupon securities during the beginning of the period and rotating into higher coupons later helped performance. The Fund successfully navigated between 30- and 15-year mortgages over the period, based on relative value pricing, which benefited full-year returns.
An overweight in the energy sector detracted from the Fund’s full-year performance. The Fund held positions in the pipeline and drilling sub-sectors, as these companies are diversified and less sensitive to the spot price of oil. A slight underweight to taxable municipal bonds also detracted from performance. The Fund managed to stay away from headline names in the municipal market, but overall, sector performance lagged, relative to the benchmark.
The Fund uses derivative instruments for yield curve, duration, downside hedging and to gain exposures. (Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.) They may also be used as a substitute for a direct investment. In aggregate, these positions detracted from performance over the year.
Subadviser outlook
In our view, global growth prospects remain relatively sound. This has pushed government bond yields higher, as market participants have begun to reappraise future monetary policy expectations across both domestic and international markets. Risk assets have performed well, suggesting that investors are looking at better global growth.
With this in mind, the Fund is focusing on yield opportunities away from Treasury and government bonds. We believe that ABS are attractive, relative to other shorter-duration fixed-income asset classes. The natural liquidity profile from monthly principal paydowns provides a frequent source of income. We believe that corporate fundamentals are improving and should continue with a tailwind from a weaker U.S. dollar and strong forecasted global earnings. For now, economic and market volatility remains subdued, but we believe it could pick up as global central banks become more hawkish, suggesting that “credit picking” will continue to trump sector rotation strategies.
17
MassMutual Premier Core Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Core Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/17 | ||||
Corporate Debt | 36.0 | % | ||
Non-U.S. Government Agency Obligations | 28.2 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 25.2 | % | ||
U.S. Treasury Obligations | 7.8 | % | ||
Sovereign Debt Obligations | 0.7 | % | ||
Municipal Obligations | 0.6 | % | ||
Preferred Stock | 0.3 | % | ||
Purchased Options | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 99.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
18
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 Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 1.21% | 2.23% | 4.58% | |||||||||
Service Class | 1.15% | 2.14% | 4.54% | |||||||||
Administrative Class | 1.02% | 2.03% | 4.42% | |||||||||
Class A | 0.78% | 1.79% | 4.17% | |||||||||
Class A (sales load deducted)* | -4.01% | 0.80% | 3.66% | |||||||||
Class R3 | 0.64% | 1.58% | 3.93% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.06% | 4.27% |
Hypothetical Investments in MassMutual Premier Core Bond Fund Class I and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Since Inception Average Annual 12/3/10 - 9/30/17 | |||||||||
Class I | 1.32% | 2.35% | 3.60% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.06% | 3.18% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg 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
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 Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class R4 | 0.84% | 2.45% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.96% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
20
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 (plus the amount of any borrowings for investment purposes) in fixed income securities. The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 2.02%, outpacing the 0.07% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, an out-of-benchmark allocation to high-yield corporate bonds was the greatest contributor to the Fund’s performance, followed by an overweight allocation, relative to the benchmark, to investment-grade corporate bonds. Within corporate bonds, banking was the best performing sub-sector. The Fund’s holdings in that sub-sector have been in money center banks with good capital profiles. Fund management reduced the Fund’s allocation to banks during the period, as the sector performed well over the last several years.
An overweight to ABS was the primary positive contributor in the securitized sector, largely due to Fund holdings in government-guaranteed FFELP student loans, which outperformed. Agency MBS contributed positively to performance. (“Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.) Rotating from lower-coupon securities to up-in-coupon positioning during the year benefited the Fund. The Fund successfully navigated between 30- and 15-year mortgages over the period, based on relative value pricing, which also benefited full-year returns.
A slight underweight to taxable municipal bonds detracted from performance. The Fund managed to stay away from headline names in the municipal market, but overall sector performance lagged relative to the benchmark. Short-weighted average life collateral loan obligations (CLOs) rated AAA were a modest detractor from performance during the year.
The Fund uses derivative instruments for yield curve, duration, downside hedging and to gain exposures. (Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.) They may also be used as a substitute for a direct investment. In aggregate, these positions detracted from performance over the year.
Subadviser outlook
In our view, global growth prospects remain relatively sound. This has pushed government bond yields higher, as market participants have begun to reappraise future monetary policy expectations across both domestic and international markets. Risk assets have performed well, suggesting that investors are looking at better global growth.
With this in mind, the Fund is focusing on yield opportunities away from Treasury and government bonds. We believe that ABS are attractive, relative to other shorter-duration fixed-income asset classes. The natural liquidity profile from monthly principal paydowns provides a frequent source of income. We believe that corporate fundamentals are improving and should continue with a tailwind from a weaker U.S. dollar and strong forecasted global earnings. For now, economic and market volatility remains subdued, but we believe it could pick up as global central banks become more hawkish, suggesting that “credit picking” will continue to trump sector rotation strategies.
21
MassMutual Premier Diversified Bond Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Diversified Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/17 | ||||
Corporate Debt | 40.1 | % | ||
Non-U.S. Government Agency Obligations | 28.9 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 21.1 | % | ||
U.S. Treasury Obligations | 5.1 | % | ||
Sovereign Debt Obligations | 0.9 | % | ||
Purchased Options | 0.3 | % | ||
Municipal Obligations | 0.2 | % | ||
Preferred Stock | 0.1 | % | ||
Warrants | 0.0 | % | ||
Common Stock | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 96.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
22
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 Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 2.02% | 2.82% | 4.69% | |||||||||
Service Class | 1.89% | 2.72% | 4.68% | |||||||||
Administrative Class | 1.78% | 2.62% | 4.63% | |||||||||
Class A | 1.43% | 2.35% | 4.37% | |||||||||
Class A (sales load deducted)* | -3.38% | 1.36% | 3.87% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.06% | 4.27% |
Hypothetical Investments in MassMutual Premier Diversified Bond Fund Class I and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Since Inception Average Annual 12/3/10 - 9/30/17 | |||||||||
Class I | 2.16% | 3.13% | 4.53% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.06% | 3.18% |
Hypothetical Investments in MassMutual Premier Diversified Bond Fund Class R4, Class R3, and the Bloomberg Barclays U.S. Aggregate Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class R4 | 1.57% | 2.76% | ||||||
Class R3 | 1.41% | 2.50% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.96% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg Barclays U.S. Aggregate Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
23
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 (plus the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s, below BBB- by Standard & Poor’s or the equivalent by any NRSRO (using the lower rating) or, if unrated, determined to be of below investment grade quality by the Fund’s subadviser). The Fund’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 10.08%, outperforming the 8.88% return of the Bloomberg Barclays U.S. Corporate High-Yield Bond Index (the “benchmark”), which measures the performance of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, puttable, and callable bonds, SEC Rule 144A securities, original issue zeros, pay-in-kind bonds, fixed-rate and fixed-to-floating capital securities.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund’s energy holdings led the outperformance relative to the benchmark as a result of prudent credit selection within the sector. Fund holdings that were top contributors in that sector included Caelus Energy, Fieldwood Energy, and Kosmos Energy – each of which produced double-digit returns for the year.
The communications and consumer non-cyclical sectors also contributed to the Fund’s relative outperformance, thanks largely to credit selection. Also contributing to the Fund’s relative returns was its underweight position, relative to the benchmark, in each category. Basic industry and other industrials were both detractors from relative performance, primarily due to a few specific credits and not an overall secular trend within the industry.
From a ratings perspective, the Fund outperformed the benchmark in each category, primarily due to strong credit selection, while the Fund’s weighting, compared to the benchmark, had a modestly positive impact.
At the holdings level, the Fund’s top three performing credits were Sprint, the fourth-largest wireless operator in the U.S; Caelus Energy, a privately held exploration and production energy company with operations focused in the North Slope of Alaska; and Fieldwood Energy, a private exploration and production company with operations focused in the Gulf of Mexico.
The three largest detractors from Fund performance were Appvion Inc., which makes coated paper products, including carbonless, thermal and security papers; Jupiter Resources, a western Canadian natural gas producer; and Level 3 Communications, a facilities-based provider of a broad range of integrated communications services.
Subadviser outlook
Throughout the remainder of 2017, we will continue to monitor developments in key areas, including tax reform, Federal Reserve policy changes, and global economic growth. With volatility at historic lows, our view is that bouts of volatility could enter the market in the coming months. As always, we will look to any market dislocations to capture relative value opportunities generated from our active and rigorous approach to credit selection.
24
MassMutual Premier High Yield Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier High Yield Fund Portfolio Characteristics (% of Net Assets) on 9/30/17 | ||||
Corporate Debt | 91.2 | % | ||
Bank Loans | 4.2 | % | ||
Preferred Stock | 0.3 | % | ||
Common Stock | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 95.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
25
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 Bloomberg Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 10.08% | 7.60% | 7.38% | |||||||||
Service Class | 9.93% | 7.53% | 7.32% | |||||||||
Administrative Class | 9.79% | 7.40% | 7.17% | |||||||||
Class A | 9.51% | 7.12% | 6.90% | |||||||||
Class A (sales load deducted)* | 3.22% | 5.86% | 6.27% | |||||||||
Class R3 | 9.43% | 6.93% | 6.65% | |||||||||
Bloomberg Barclays U.S. Corporate High-Yield Bond Index | 8.88% | 6.36% | 7.84% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg 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
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 Bloomberg Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Since Inception Average Annual 3/1/11 - 9/30/17 | |||||||||
Class I | 10.22% | 7.74% | 8.13% | |||||||||
Bloomberg Barclays U.S. Corporate High-Yield Bond Index | 8.88% | 6.36% | 6.85% |
Hypothetical Investments in MassMutual Premier High Yield Fund Class R4 and the Bloomberg Barclays U.S. Corporate High-Yield Bond Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class R4 | 9.66% | 5.20% | ||||||
Bloomberg Barclays U.S. Corporate High-Yield Bond Index | 8.88% | 5.12% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg 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.
27
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 Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 13.17%, underperforming, by a wide margin, the 18.61% return of the S&P 500® Index (“the stock component’s benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market – and significantly underperforming the 19.10% return of the MSCI EAFE Index (“the international component’s benchmark”), which measures the performance of the large-and mid-cap segments of developed markets, excluding the U.S. and Canada equity securities. It is free float-adjusted market-capitalization weighted. The Fund substantially outperformed the 0.07% return of the Bloomberg Barclays U.S. Aggregate Bond Index (“the bond component’s benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities. Additionally, the Fund’s Class R5 shares outperformed the 10.92% return of the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category; and outperformed the 10.98% 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, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s stock component performance
For the year ended September 30, 2017, the Fund’s overweight allocation to stocks, relative to bonds, helped overall performance, as equities significantly outperformed fixed-income investments during the period. Profits being generated by stocks, relative to their prices, were unusually high (relative to fixed-income alternatives), which was the primary reason for the Fund’s overweight allocation to equities. Hurting performance for the year was the stock component’s overweight position in the pharmaceutical industry, one of the worst-performing industries in the S&P 500 Index. The Fund was overweight, relative to the stock component’s benchmark, in the semiconductor industry during most of the period. Semiconductor stocks were laggards for most of the year, but changes in chip demand for artificial intelligence and a bevy of new products increased their sales and profits. During the period, the stock component held an overweight stake in Lam Research, the semiconductor equipment maker; and Micron Technology, the memory chip maker. Both Fund holdings added to full-year returns. The stock component used derivative instruments during the period, which modestly contributed to 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 discussion of factors that contributed to the Fund’s bond component performance
In our fixed-income investments, an overweight to investment-grade corporate bonds, relative to the bond component’s benchmark, was the primary contributor to performance during the year. Within this sector, an overweight to insurance was the primary driver of performance. ABS were solid contributors, as was the bond component’s underweight to Agency MBS. (“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 managed to stay away from headline names in the taxable municipal market, but overall, sector performance lagged relative to the bond component’s benchmark. The fixed-income portion of the Fund uses derivative instruments for yield curve, duration, downside hedging and to gain exposures. In aggregate, these positions detracted from performance for the year.
28
MassMutual Premier Balanced Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
We have taken the opinion of “what’s good is good,” meaning that if a company is showing good margins and earnings, we will take that at face value, particularly when others are skeptical. Currently, we believe there is pervasive skepticism in the financial sector. However, profits are up, loan losses are down, and the return on capital is rising. In our view, these are usually good signs for the banking sector – and we believe that the sector will be rewarded with higher multiples, such as higher price-to-earnings ratios. The skeptics believe that the business model is broken so “good is not good.” We disagree with the skeptics and think that our analysis will help us identify which is which. We believe that in order to profit from this growth, it is necessary to invest in companies, not trade them. We intend to maintain the Fund’s overweight stake in equities for the remainder of this business cycle, which we believe may be longer than previous cycles due to management conservatism.
29
MassMutual Premier Balanced Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Balanced Fund Portfolio Characteristics (% of Net Assets) on 9/30/17 | ||||
Common Stock | 64.5 | % | ||
Mutual Funds | 9.1 | % | ||
Corporate Debt | 8.9 | % | ||
Non-U.S. Government Agency Obligations | 7.7 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 6.6 | % | ||
U.S. Treasury Obligations | 2.3 | % | ||
Sovereign Debt Obligations | 0.2 | % | ||
Municipal Obligations | 0.2 | % | ||
Preferred Stock | 0.1 | % | ||
Purchased Options | 0.1 | % | ||
Rights | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 99.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
30
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 Bloomberg Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom Balanced Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 13.17% | 8.76% | 6.04% | |||||||||
Service Class | 13.11% | 8.62% | 5.88% | |||||||||
Administrative Class | 12.91% | 8.48% | 5.73% | |||||||||
Class A | 12.78% | 8.24% | 5.49% | |||||||||
Class A (sales load deducted)* | 6.29% | 6.97% | 4.87% | |||||||||
S&P 500 Index# | 18.61% | 14.22% | 7.44% | |||||||||
MSCI EAFE Index | 19.10% | 8.38% | 1.34% | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.06% | 4.27% | |||||||||
Lipper Balanced Fund Index | 10.92% | 8.23% | 5.25% | |||||||||
Custom Balanced Index | 10.98% | 8.78% | 5.99% |
Hypothetical Investments in MassMutual Premier Balanced Fund Class I, Class R4, Class R3, the S&P 500 Index, the MSCI EAFE Index, the Bloomberg Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom Balanced Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 13.39% | 7.09% | ||||||
Class R4 | 12.88% | 6.60% | ||||||
Class R3 | 12.58% | 6.35% | ||||||
S&P 500 Index# | 18.61% | 11.15% | ||||||
MSCI EAFE Index | 19.10% | 3.69% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07% | 2.96% | ||||||
Lipper Balanced Fund Index | 10.92% | 6.29% | ||||||
Custom Balanced Index | 10.98% | 7.17% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 Bloomberg 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.
31
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. The Fund invests primarily in common stocks of 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, 2017?
The Fund’s Class R5 shares returned 17.55%, outperforming the 15.12% return of the Russell 1000® Value Index (the “benchmark”), which measures the performance of the large-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. It is market-capitalization weighted. The Fund’s Class R5 shares’ 17.55% return underperformed the 18.61% return of the S&P 500® Index, which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund outperformed the benchmark, largely due to stock selection in the information technology, industrials, and telecommunication services sectors. Underperforming sectors included health care, materials, and financials, primarily as a result of stock selection.
Fund holdings that were top individual contributors included financials stocks Bank of America Corp. and JP Morgan Chase & Co.; and XPO Logistics, Inc., in the industrials sector. Bank stocks drove the lion’s share of performance in financials this reporting period, benefiting from investments in Bank of America and JP Morgan Chase & Co. The prospect of tax and regulatory reform and a steeper yield curve led investors to wager that returns on equity would improve for the group; this sent price-to-book multiples higher. XPO Logistics is a vertically integrated logistics company providing both freight brokerage and trucking services. Shares of XPO were up strongly due to solid margin improvement after integrating the 2015 acquisition of trucking company Con-Way.
Fund holdings that were detractors from performance included Teva Pharmaceutical Industries Ltd. (health care), Nielsen Holdings (industrials), and Rite Aid Corp. (consumer staples). The Fund exited its position in all three holdings. Teva, a global provider of generic and specialty pharmaceuticals, detracted from performance on concerns over generic competition for its multiple sclerosis drug, Copaxone. Drugstore operator Rite Aid is the target of an acquisition by Walgreen Boots Alliance Inc., and has seen the terms of the deal reduced as revenue and earnings targets have come in below plan. Nielsen declined early in the period after reporting a third-quarter miss and lowering its 2016 earnings-per-share guidance.
Subadviser outlook
Overall, 2017 has so far been another strong year for U.S. equities. While valuations are above normal levels for the market as a whole, in our view, there are attractively valued opportunities we can still take advantage of. This year has been characterized by improving global economic activity and we believe those trends will continue through the end of the year. As bottom-up value investors, we believe there are still attractively valued stocks that can benefit from these positive trends.
32
MassMutual Premier Value Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Value Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
Bank of America Corp. | 4.9 | % | ||
JP Morgan Chase & Co. | 4.7 | % | ||
Chevron Corp. | 3.1 | % | ||
Edison International | 2.8 | % | ||
Suncor Energy, Inc. | 2.6 | % | ||
UnitedHealth Group, Inc. | 2.6 | % | ||
Citigroup, Inc. | 2.5 | % | ||
Pfizer, Inc. | 2.2 | % | ||
American International Group, Inc. | 2.0 | % | ||
Lockheed Martin Corp. | 2.0 | % | ||
|
| |||
29.4 | % | |||
|
|
MassMutual Premier Value Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Financial | 31.3 | % | ||
Consumer, Non-cyclical | 16.9 | % | ||
Industrial | 11.6 | % | ||
Energy | 10.2 | % | ||
Consumer, Cyclical | 9.2 | % | ||
Technology | 7.9 | % | ||
Utilities | 4.5 | % | ||
Communications | 4.5 | % | ||
Mutual Funds | 3.4 | % | ||
Basic Materials | 1.7 | % | ||
|
| |||
Total Long-Term Investments | 101.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | (1.2 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
33
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 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 17.55% | 12.35% | 4.87% | |||||||||
Service Class | 17.39% | 12.24% | 4.76% | |||||||||
Administrative Class | 17.29% | 12.12% | 4.65% | |||||||||
Class A | 17.02% | 11.83% | 4.37% | |||||||||
Class A (sales load deducted)* | 10.30% | 10.52% | 3.75% | |||||||||
Class R3 | 16.83% | 11.61% | 4.10% | |||||||||
Russell 1000 Value Index# | 15.12% | 13.20% | 5.92% | |||||||||
S&P 500 Index | 18.61% | 14.22% | 7.44% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
# Benchmark.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
34
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 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 17.59% | 8.25% | ||||||
Class R4 | 17.09% | 7.76% | ||||||
Russell 1000 Value Index# | 15.12% | 8.74% | ||||||
S&P 500 Index | 18.61% | 11.15% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
# Benchmark.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
35
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 Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 17.38%, outperforming the 15.12% return of the Russell 1000 Value Index (the “benchmark”), which measures the performance of the large-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. It is market-capitalization weighted.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund had increasing allocations to the financial sector, as it had shown fundamental improvement; and underweight allocations, relative to the benchmark, to the energy sector. Both of these decisions added to the Fund’s full-year performance. The Fund was overweight in the semiconductor industry during most of the period. Semiconductor stocks were laggards for most of the year, but changes in chip demand for artificial intelligence and a bevy of new products increased their sales and profits. During the period, the Fund held an overweight stake in Lam Research, the semiconductor equipment maker; and Micron Technology, the memory chip maker. Both of these Fund holdings added to full-year returns.
The Fund lost the most relative performance over the reporting period due to its overweight position in Frontier Communications, the cable company. This Fund holding had been generating tremendous cash flow, but the company is heavily indebted due to a recent acquisition of Verizon’s fixed-line assets in a few large states – a transaction that the market is skeptical of.
Subadviser outlook
We remain constructive on the equity markets and believe they will continue to perform well relative to fixed income portfolios. While some may feel that stocks are fully valued, and in some cases that may be true, we believe the current environment of synchronized global economic growth provides a tail wind to equity investors. Margins remain extraordinarily high due to low wage cost. This has been the hallmark of the equity market for the past 15 years, and it remains so today. Sceptics have believed that margins would collapse for years, but for the most part, it has paid to be a believer. We expect to remain fully invested in the broad market while seeking to outperform through our process of identifying and overweighting those companies that we feel are positioned well to produce above market returns.
* | 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. |
36
MassMutual Premier Disciplined Value Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Disciplined Value Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
JP Morgan Chase & Co. | 3.2 | % | ||
Bank of America Corp. | 2.8 | % | ||
Exxon Mobil Corp. | 2.6 | % | ||
AT&T, Inc. | 2.5 | % | ||
The Procter & Gamble Co. | 2.0 | % | ||
Citigroup, Inc. | 2.0 | % | ||
Wells Fargo & Co. | 1.8 | % | ||
Berkshire Hathaway, Inc. Class B | 1.8 | % | ||
Intel Corp. | 1.6 | % | ||
Johnson & Johnson | 1.6 | % | ||
|
| |||
21.9 | % | |||
|
|
MassMutual Premier Disciplined Value Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Financial | 33.4 | % | ||
Consumer, Non-cyclical | 17.1 | % | ||
Consumer, Cyclical | 9.6 | % | ||
Industrial | 8.7 | % | ||
Communications | 7.9 | % | ||
Energy | 7.5 | % | ||
Technology | 7.4 | % | ||
Utilities | 6.5 | % | ||
Basic Materials | 2.3 | % | ||
|
| |||
Total Long-Term Investments | 100.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
37
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 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 17.38% | 12.95% | 5.59% | |||||||||
Service Class | 17.19% | 12.84% | 5.48% | |||||||||
Administrative Class | 17.08% | 12.70% | 5.35% | |||||||||
Class A | 16.74% | 12.41% | 5.08% | |||||||||
Class A (sales load deducted)* | 10.03% | 11.09% | 4.46% | |||||||||
Class R3 | 16.62% | 12.22% | 4.82% | |||||||||
Russell 1000 Value Index | 15.12% | 13.20% | 5.92% |
GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
38
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 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 17.43% | 8.22% | ||||||
Class R4 | 16.94% | 7.74% | ||||||
Russell 1000 Value Index | 15.12% | 8.74% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
39
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, 2017?
The Fund’s Class R5 shares returned 19.40%, outperforming the 18.61% return of the S&P 500® Index (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund outperformed the benchmark primarily within the energy and information technology sectors due to stock selection – and in the financials sector due to an overweight position, relative to the benchmark. The Fund underperformed the benchmark in the industrials and materials sectors as a result of stock selection.
Fund holdings that were top individual contributors to full-year returns included information technology stocks Apple, Inc. and Alphabet, Inc.; and Citigroup, Inc. in the financials sector. Despite three years of only modest iPhone feature upgrades, the market’s attention rapidly shifted to the potential for a significant iPhone 8 cycle in the fall, with new screens and wireless charging capabilities. These compelling features came at the same time as the growing installed base of iPhone users (who have held on to their existing phones for longer and longer) and set the stage for an acceleration in Apple’s business. Alphabet, the holding company of Google, reported solid results that fueled a rerating of the company. Alphabet continued to steadily monetize its rich asset base. The company is a leader in online ad spending, online video, location-based services, and cloud services; it also has the largest mobile operating system in the world. Citigroup continued to benefit from optimism around reduced regulatory scrutiny as a result of newly appointed government regulators who appear to have adopted a more favorable stance toward large banks. This was confirmed after the annual stress test, where Citi not only passed, but was given the green light to return much of its excess capital to shareholders through dividends (which it doubled) and share repurchases.
Fund holdings that detracted from performance included consumer discretionary stock AutoZone, Inc. and industrials holdings General Electric Co. and Nielsen Holdings plc. During AutoZone’s fiscal third quarter, there was further deceleration of comparable store sales, which came in below expectations. This further highlighted that the company may be running at a lower earnings-per-share growth rate in the near term (mid-single-digit to high-single-digit) versus the double-digit growth previously seen, as comparisons are slower and some margin headwinds weigh on earnings. The slowdown appears to be industry wide, as its key competitors have also experienced decelerations. Given the shadow that Amazon is casting in U.S. retail, multiples for AutoZone and its peers have compressed, as fears of share losses and price compression at the hands of Amazon have gotten extreme. General Electric declined in the second quarter after the company delivered yet another uninspiring earnings report in April. Nielsen reduced its 2016 outlook as its Developed Market business faced challenges, particularly in consulting services. Management stated that their consumer-packaged goods (CPG) customers are cutting expenses and these services are unlikely to be renewed, representing ~$150 million of lower margin revenue relative to the company’s total of $6 billion. It is worth noting that over two-thirds of the company’s profitability comes from its Watch segment.
Subadviser outlook
At the moment, our view is that the U.S. economy is continuing its “slow and steady” growth. We believe that this is being driven by favorable employment, wage, and inflation data, while home prices and innovation also continue to help drive the economy.
40
MassMutual Premier Main Street Fund – Portfolio Manager Report (Unaudited) (Continued)
Volatility in the markets has been unusually low thus far in 2017. We expect heightened uncertainty to eventually return to the equity markets. Traditionally, during periods of economic uncertainty and heightened market volatility, investors favor stocks of higher-quality companies – with greater consistency and stability of revenue and earnings – leading to relatively better stock performance of those companies. We think focusing on companies with economic moats and skilled management teams could position the Fund well, should this environment materialize.
41
MassMutual Premier Main Street Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Main Street Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
Apple, Inc. | 5.1 | % | ||
Alphabet, Inc. Class C | 4.4 | % | ||
Citigroup, Inc. | 3.3 | % | ||
Merck & Co., Inc. | 3.1 | % | ||
Comcast Corp. Class A | 3.0 | % | ||
PepsiCo, Inc. | 2.7 | % | ||
Facebook, Inc. Class A | 2.6 | % | ||
Berkshire Hathaway, Inc. Class B | 2.4 | % | ||
UnitedHealth Group, Inc. | 2.4 | % | ||
Suncor Energy, Inc. | 2.3 | % | ||
|
| |||
31.3 | % | |||
|
|
MassMutual Premier Main Street Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Consumer, Non-cyclical | 24.6 | % | ||
Financial | 20.6 | % | ||
Communications | 13.4 | % | ||
Technology | 10.4 | % | ||
Industrial | 9.6 | % | ||
Consumer, Cyclical | 7.7 | % | ||
Energy | 6.2 | % | ||
Utilities | 3.2 | % | ||
Basic Materials | 2.4 | % | ||
Mutual Funds | 0.6 | % | ||
|
| |||
Total Long-Term Investments | 98.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
42
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 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 19.40% | 13.81% | 6.89% | |||||||||
Service Class | 19.21% | 13.73% | 6.82% | |||||||||
Administrative Class | 19.07% | 13.61% | 6.67% | |||||||||
Class A | 18.88% | 13.31% | 6.41% | |||||||||
Class A (sales load deducted)* | 12.05% | 11.98% | 5.78% | |||||||||
Class R3 | 18.69% | 13.10% | 6.14% | |||||||||
S&P 500 Index | 18.61% | 14.22% | 7.44% |
Hypothetical Investments in MassMutual Premier Main Street Fund Class I, Class R4, and the S&P 500 Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 19.50% | 11.08% | ||||||
Class R4 | 19.02% | 10.60% | ||||||
S&P 500 Index | 18.61% | 11.15% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
43
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’s subadviser is Barings LLC (Barings).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 22.27%, outperforming the 21.94% return of the Russell 1000 Growth Index (the “benchmark”), which measures the performance of the large-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. It is market-capitalization weighted.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund’s overweight allocation, relative to the benchmark, to the automobile dashboard maker Visteon helped to drive performance. Fund holding Visteon has been increasing its market share (along with margins and profitability) because they have an open-source solution for in-vehicle services, like music and GPS. This lets the manufacturer put in whatever services they want, which is a big plus in an age when most drivers use Waze or Google for navigation purposes. Visteon has a huge backlog of orders for this new system. Its stock price was up 63% over the period, which significantly contributed to the Fund’s full-year performance.
On the downside, the Fund lost the most, relative to the benchmark, due to internet stocks such as Netflix, Amazon, and Facebook. These Fund holdings, which have had exceptional growth rates, are expensive relative to the market. Fund management favors these businesses, but the Fund held an underweight position in these stocks due to their high valuations – and that hurt the Fund’s full-year performance.
Subadviser outlook
We remain constructive on the equity markets and believe they will continue to perform well relative to fixed income portfolios. While some may feel that stocks are fully valued, and in some cases that may be true, we believe the current environment of synchronized global economic growth provides a tail wind to equity investors. Margins remain extraordinarily high due to low wage cost. This has been the hallmark of the equity market for the past 15 years, and it remains so today. Sceptics have believed that margins would collapse for years, but for the most part, it has paid to be a believer. We expect to remain fully invested in the broad market while seeking to outperform through our process of identifying and overweighting those companies that we feel are positioned well to produce above market returns.
* | 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. |
44
MassMutual Premier Disciplined Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Disciplined Growth Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
Apple, Inc. | 6.5 | % | ||
Microsoft Corp. | 5.0 | % | ||
Facebook, Inc. Class A | 3.8 | % | ||
Alphabet, Inc. Class C | 2.5 | % | ||
Amazon.com, Inc. | 2.2 | % | ||
Alphabet, Inc. Class A | 2.1 | % | ||
The Boeing Co. | 1.7 | % | ||
Comcast Corp. Class A | 1.5 | % | ||
The Home Depot, Inc. | 1.4 | % | ||
Celgene Corp. | 1.3 | % | ||
|
| |||
28.0 | % | |||
|
|
MassMutual Premier Disciplined Growth Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Technology | 26.6 | % | ||
Consumer, Non-cyclical | 20.0 | % | ||
Communications | 18.0 | % | ||
Industrial | 13.3 | % | ||
Consumer, Cyclical | 11.2 | % | ||
Financial | 8.5 | % | ||
Basic Materials | 2.5 | % | ||
Energy | 0.7 | % | ||
|
| |||
Total Long-Term Investments | 100.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | (0.8 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
45
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 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 22.27% | 14.86% | 8.78% | |||||||||
Service Class | 22.15% | 14.76% | 8.70% | |||||||||
Administrative Class | 21.95% | 14.63% | 8.56% | |||||||||
Class A | 21.73% | 14.33% | 8.28% | |||||||||
Class A (sales load deducted)* | 14.73% | 12.98% | 7.65% | |||||||||
Russell 1000 Growth Index | 21.94% | 15.26% | 9.08% |
Hypothetical Investments in MassMutual Premier Disciplined Growth Fund Class I, Class R4, Class R3, and the Russell 1000 Growth Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 22.32% | 11.69% | ||||||
Class R4 | 21.80% | 11.20% | ||||||
Class R3 | 21.52% | 10.91% | ||||||
Russell 1000 Growth Index | 21.94% | 12.85% |
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 5.75% maximum sales charge.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
46
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 (plus the amount of any borrowings for investment purposes) 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, 2017?
The Fund’s Class R5 shares returned 22.99%, outperforming the 20.74% return of the Russell 2000® Index (the “benchmark”), which measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund’s outperformance versus the benchmark stemmed largely from stock selection in the energy, information technology, and real estate sectors. The Fund underperformed the benchmark in the health care and utilities sectors, due largely to stock selection, and in the financials sector because of an underweight position, relative to the benchmark.
Fund holdings that were top individual contributors included industrials stocks Korn/Ferry International and On Assignment, Inc.; and information technology stock MKS Instruments, Inc. After significant stock weakness throughout most of 2016, Korn/Ferry received a strong post-election “Trump bump.” The company had experienced decelerating fundamentals in its core executive recruiting business, along with currency-related challenges from its recently acquired European-focused Hay Group unit. Post-election, investors grew optimistic that the incoming president’s economic policies could favor economic growth, and cause the recruiting business to reaccelerate. On Assignment is a global provider of in-demand, skilled professionals in the technology, life sciences, and creative sectors. The company has traditionally done well when cyclicals have been in favor. On a more secular level, the company benefited from staffing trends, as the workforce demand in the technology and life sciences sectors has been shifting toward specialized jobs over a specified time period – and away from the engagement of full-time employees. MKS Instruments continues to see strong fundamentals driven by two distinct growth drivers: 1) the growth in the number of chips being manufactured; and 2) increasing manufacturing complexity that requires more capital equipment. Strong growth in semiconductor unit demand continues to be driven by electronics content growth (not just for iPhones, but also autos and industrial) as well as build-outs of cloud data centers that demand the highest-performance processors and storage. Chip manufacturing has also grown to be much more complex, requiring many more tools to complete the different steps in the process.
Fund holdings that detracted from performance included consumer discretionary stocks MDC Partners, Inc. and Sally Beauty Holdings, Inc.; and health care stock Diplomat Pharmacy, Inc. MDC had a difficult year and failed to meet revenue goals over its third quarter of 2016. As a result, the Fund exited its position in this stock. Shares of Sally Beauty, the largest retailer of professional beauty supplies in the world, suffered on concerns about the sustainability of many U.S. retail models due to competition from Amazon, combined with uneven execution at this beauty products retailer. The Fund consequently eliminated its position in Sally Beauty. Shares of Diplomat Pharmacy fell after the company reported weak third quarter 2016 earnings. The Fund exited its position in this stock as well.
Subadviser outlook
At the moment, our view is that the U.S. economy is continuing its “slow and steady” growth. We believe that this is being driven by favorable employment, wage, and inflation data, while home prices and innovation also continue to help drive the economy.
47
MassMutual Premier Small Cap Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)
Volatility in the markets has been unusually low thus far in 2017. We expect heightened uncertainty to eventually return to the equity markets. Traditionally, during periods of economic uncertainty and heightened market volatility, investors favor stocks of higher-quality companies – with greater consistency and stability of revenue and earnings – leading to relatively better stock performance of those companies. We think focusing on companies with economic moats and skilled management teams could position the Fund well, should this environment materialize.
48
MassMutual Premier Small Cap Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Small Cap Opportunities Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
Korn/Ferry International | 2.5 | % | ||
Prestige Brands Holdings, Inc. | 2.1 | % | ||
MB Financial, Inc. | 2.0 | % | ||
CACI International, Inc. Class A | 1.9 | % | ||
Visteon Corp. | 1.8 | % | ||
Group 1 Automotive, Inc. | 1.8 | % | ||
Portland General Electric Co. | 1.8 | % | ||
On Assignment, Inc. | 1.7 | % | ||
Brandywine Realty Trust | 1.6 | % | ||
Hostess Brands, Inc. | 1.6 | % | ||
|
| |||
18.8 | % | |||
|
|
MassMutual Premier Small Cap Opportunities Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Financial | 24.0 | % | ||
Consumer, Non-cyclical | 20.9 | % | ||
Technology | 14.2 | % | ||
Consumer, Cyclical | 13.8 | % | ||
Mutual Funds | 12.9 | % | ||
Industrial | 11.4 | % | ||
Communications | 4.5 | % | ||
Basic Materials | 3.5 | % | ||
Energy | 2.7 | % | ||
Utilities | 2.6 | % | ||
|
| |||
Total Long-Term Investments | 110.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | (10.5 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
49
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 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 22.99% | 15.45% | 8.68% | |||||||||
Service Class | 22.87% | 15.34% | 8.57% | |||||||||
Administrative Class | 22.75% | 15.22% | 8.48% | |||||||||
Class A | 22.42% | 14.94% | 8.19% | |||||||||
Class A (sales load deducted)* | 15.39% | 13.59% | 7.55% | |||||||||
Russell 2000 Index | 20.74% | 13.79% | 7.85% |
Hypothetical Investments in MassMutual Premier Small Cap Opportunities Fund Class I, Class R4, Class R3, and the Russell 2000 Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 23.05% | 8.99% | ||||||
Class R4 | 22.50% | 8.48% | ||||||
Class R3 | 22.19% | 8.20% | ||||||
Russell 2000 Index | 20.74% | 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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
50
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. As a fundamental policy, 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, 2017?
The Fund’s Class R5 shares returned 27.55%, outperforming, by a wide margin, the 18.65% return of the MSCI All Country World Index (ACWI) (the “benchmark”), which measures the performance of the large- and mid-cap segments of all country markets. It is free float-adjusted market-capitalization weighted.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund outperformed the benchmark in 10 out of 11 sectors, led by stock selection in the consumer discretionary, financials, and health care sectors. The only underperforming sector was materials, where an underweight position, relative to the benchmark, detracted from full-year returns. On a country basis, stock selection in France, the United States, and Japan were the strongest outperformers. Stock selection in Spain and Sweden detracted from performance versus the benchmark. The Fund’s lack of exposure to the Netherlands also detracted slightly.
Fund holdings that were top individual contributors during the year included industrials stock Airbus SE and consumer discretionary holdings Kering SA and LVMH Moet Hennessy Louis Vuitton SE. Airbus rose over the first quarter of 2017, as there was growing confidence that it could convert its massive order backlog into cash flow. Kering is a luxury goods producer perhaps best known for the Gucci brand. Gucci’s improved performance drove stronger results at Kering, in addition to a more confident Asian consumer. LVMH Moet Hennessy Louis Vuitton has enjoyed a nice recovery from a period of doldrums. A more confident Asian consumer partly drove this as has a firmer global economy.
Fund holdings that were detractors from performance included Twitter, Inc. (information technology); KDDI Corp. (telecommunication services); and TechnipFMC plc (energy). Twitter’s share price declined over the first half of the reporting period, as growth in users stalled. KDDI is a leading provider of integrated mobile and fixed broadband communications in Japan. The telecommunications market there is one of the highest priced in the world and KDDI is one of the few players in that market. The stock experienced profit-taking after announcing slightly weaker-than-expected results during the fourth quarter of 2016. TechnipFMC is the global leader in offshore oil infrastructure equipment and services. The firm’s competitive position strengthened with the FMC combination early in 2017, bringing together intellectual property, leveraging cost synergies, and integrating product offerings. Despite that merger, the shares experienced weakness due to oil price volatility. The Fund added to its position in TechnipFMC during the second quarter of 2017.
Subadviser outlook
Equity valuations are not low by historic measures. However, interest rates are at historically low levels. So, the context matters. We have no doubt that if rates were in a more normalized state, then equity valuations would be lower, too. Frankly, our view is that most asset prices would be lower. However, the posture of central banks remains highly accommodative and that does not appear to be changing anytime soon. Our belief is that valuations will remain high until interest rates get to a more appropriate level.
51
MassMutual Premier Global Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Global Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
Airbus SE | 3.2 | % | ||
Citigroup, Inc. | 3.1 | % | ||
Alphabet, Inc. Class A | 2.9 | % | ||
LVMH Moet Hennessy Louis Vuitton SE | 2.9 | % | ||
Alphabet, Inc. Class C | 2.8 | % | ||
Aetna, Inc. | 2.5 | % | ||
Facebook, Inc. Class A | 2.4 | % | ||
Keyence Corp. | 2.4 | % | ||
S&P Global, Inc. | 2.4 | % | ||
Nidec Corp. | 2.3 | % | ||
|
| |||
26.9 | % | |||
|
|
MassMutual Premier Global Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Consumer, Non-cyclical | 23.0 | % | ||
Industrial | 17.8 | % | ||
Financial | 17.7 | % | ||
Consumer, Cyclical | 14.6 | % | ||
Communications | 14.0 | % | ||
Technology | 9.4 | % | ||
Mutual Funds | 4.0 | % | ||
Basic Materials | 1.0 | % | ||
Energy | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 102.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
52
MassMutual Premier Global Fund – Portfolio Manager Report (Unaudited) (Continued)
Growth of a $10,000 Investment
Hypothetical Investments in MassMutual Premier Global Fund Class R5, Service Class, Administrative Class, Class A, Class A (sales load deducted), Class R3, and the MSCI ACWI.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 27.55% | 12.91% | 5.67% | |||||||||
Service Class | 27.37% | 12.78% | 5.53% | |||||||||
Administrative Class | 27.24% | 12.66% | 5.41% | |||||||||
Class A | 26.99% | 12.37% | 5.13% | |||||||||
Class A (sales load deducted)* | 19.68% | 11.05% | 4.51% | |||||||||
Class R3 | 26.73% | 12.24% | 5.02% | |||||||||
MSCI ACWI | 18.65% | 10.20% | 3.88% |
Hypothetical Investments in MassMutual Premier Global Fund Class I, Class R4, and the MSCI ACWI.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 27.53% | 8.78% | ||||||
Class R4 | 27.05% | 8.31% | ||||||
MSCI ACWI | 18.65% | 7.12% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
53
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. The Fund invests primarily in the common stocks of growth companies that are domiciled or that have their primary operations outside of the United States. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of 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, 2017?
The Fund’s Class R5 shares returned 15.47%, underperforming the 19.61% return of the MSCI All Country World Index (ACWI) ex USA (the “benchmark”), which measures the performance of the large- and mid-cap segments of the particular regions, excluding U.S. equity securities, including developed and emerging markets. It is free float-adjusted market-capitalization weighted.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund’s underperformance was primarily due to stock selection in the consumer discretionary sector and an underweight position, relative to the benchmark, in the financials sector. The Fund outperformed the benchmark mainly in the health care sector, due to stock selection. An overweight position in the information technology sector also outperformed for the Fund. On a country basis, stock selection and an overweight position in the U.K., in tandem with an underweight position in China, detracted from performance during the reporting period. Stock selection in Japan and Switzerland outperformed for the Fund.
Fund holdings that were top individual detractors included consumer discretionary stocks Technicolor SA and Hudson’s Bay Co., and consumer staples stock Aryzta AG. Technicolor SA is a French company that has long been a leader in imaging technology. The stock price fell after the company revised its full-year 2016 EBITDA guidance downward, primarily due to weaker shipments in the connected home segment. (EBITDA, which stands for “earnings before interest, tax, depreciation and amortization” is a measure of a company’s operating performance.) Hudson’s Bay Co. is a Canadian company that owns the high-end department store chains Hudson’s Bay in Canada, Saks Fifth Avenue and Lord & Taylor in the U.S., and Kaufhof in Germany. Unfortunately, the movement to online shopping in the retail market accelerated dramatically over the past 12 months, providing much greater headwinds than initially anticipated. Consequently, the Fund exited the position. Aryzta AG is a Swiss-based provider of par-baked goods to casual and fast food restaurants. During 2015, Aryzta acquired Picard, a French frozen food retailer, but has failed to subsequently integrate the acquisition successfully. The Fund sold its stake in Aryzta AG.
Fund holdings that were contributors to performance during the year included information technology stocks Infineon Technologies AG and Temenos Group AG, and industrials stock Airbus SE. Infineon Technologies AG, a German semiconductor company, is the dominant provider to the automotive industry. This holding was initially added to the Fund as part of its investment theme focused on the evolution of the car. The accelerating pace of that evolution has meant increasing demand for Infineon’s chips, which resulted in the appreciation of the company’s share price. Temenos Group AG is an enterprise software company focused on the banking industry. Modern regulatory requirements and the sheer weight of antiquated IT systems, often a residual of decades of mergers and acquisitions, are proving beneficial for this software company. Finally, Airbus rose over the first quarter of 2017 on growing investor confidence that it can convert its massive order backlog into cash flow.
Subadviser outlook
In our opinion, conditions are supportive for European markets to outperform the U.S.in the near term. Valuations in Europe remain significantly below those in the U.S., making them more attractive. Earnings momentum is supportive, as the strong earnings forecasts for many companies show. Liquidity is strong in Europe, with quantitative easing and central bank stimulus continuing there, even as the Federal Reserve here in the U.S. is tightening liquidity. Finally, a good deal of the funds that have flowed into Europe have gone to the fixed-income market, in effect keeping those assets on the sidelines and available for redeployment into equities.
54
MassMutual Premier International Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
We are not top-down regional investors, but bottom up, global, growth investors with a mandate to buy non-U.S. companies. We look for companies that are on the winning side of long-term structural trends, that have the ability to monetize them over a long period of time – we hold our companies for an average period of 10 years – and that share with us the wealth they create. Following that approach, most of the companies that we find attractive are in developed markets, and most developed markets are European. Therefore, we always have a heavy weighting in European-domiciled companies. Most are global in nature, and have performed well over the past nine years, despite the relatively tough times in Europe. That said, an increased flow of funds into European stock markets would, in our view, be positive for the absolute performance of all companies listed there, including our Fund holdings.
55
MassMutual Premier International Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier International Equity Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
Oppenheimer Institutional Government Money Market Fund Class E | 2.7 | % | ||
Infineon Technologies AG | 2.4 | % | ||
SAP SE | 2.1 | % | ||
Valeo SA | 1.8 | % | ||
Nippon Telegraph & Telephone Corp. | 1.8 | % | ||
Keyence Corp. | 1.7 | % | ||
Lonza Group AG Registered | 1.7 | % | ||
Continental AG | 1.7 | % | ||
Temenos Group AG Registered | 1.6 | % | ||
Reckitt Benckiser Group PLC | 1.6 | % | ||
|
| |||
19.1 | % | |||
|
|
MassMutual Premier International Equity Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Consumer, Cyclical | 25.5 | % | ||
Consumer, Non-cyclical | 24.0 | % | ||
Industrial | 15.2 | % | ||
Technology | 13.1 | % | ||
Communications | 9.5 | % | ||
Basic Materials | 4.2 | % | ||
Financial | 4.0 | % | ||
Mutual Funds | 3.2 | % | ||
Energy | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 100.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
56
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 USA.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Ten Year Average Annual 10/1/07 - 9/30/17 | |||||||||
Class R5 | 15.47% | 8.89% | 3.68% | |||||||||
Service Class | 15.33% | 8.80% | 3.62% | |||||||||
Administrative Class | 15.19% | 8.67% | 3.48% | |||||||||
Class A | 14.95% | 8.40% | 3.22% | |||||||||
Class A (sales load deducted)* | 8.34% | 7.13% | 2.61% | |||||||||
MSCI ACWI ex USA | 19.61% | 6.97% | 1.28% |
Hypothetical Investments in MassMutual Premier International Equity Fund Class I, Class R4, Class R3, and the MSCI ACWI ex USA.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class I | 15.60% | 3.69% | ||||||
Class R4 | 15.10% | 3.22% | ||||||
Class R3 | 14.77% | 2.97% | ||||||
MSCI ACWI ex USA | 19.61% | 3.87% |
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.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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 USA 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.
57
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 it may invest up to 100% of its total assets in foreign securities. Under normal market conditions, the Fund will invest at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of issuers whose principal activities are in a developing (or emerging) market, i.e., are in a developing market or are economically tied to a developing market country. The Fund will invest in at least three developing markets. In general, countries may be considered developing or emerging markets if they are included in any one of the MSCI emerging markets indices, classified as a developing or emerging market, or classified under a similar or corresponding classification, by organizations such as the World Bank and the International Monetary Fund, or have economies, industries and stock markets with similar characteristics. The Fund’s subadviser is OFI Global Institutional, Inc. (OFI Global).
How did the Fund perform during the 12 months ended September 30, 2017?
The Fund’s Class R5 shares returned 20.59%, underperforming the 22.46% return of the MSCI Emerging Markets (EM) Index (the “benchmark”), which measures the performance of the large- and mid-cap segments of emerging market equity securities. It is free float-adjusted market-capitalization weighted.
For a discussion on the economic and market environment during the 12-month period ended September 30, 2017, please see the Economic and Market Overview, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year ended September 30, 2017, the Fund underperformed the benchmark within the information technology sector due largely to stock selection. An overweight position, relative to the benchmark, in the health care sector and an underweight position in the materials sector also detracted from full-year returns. On a sector basis, the Fund outperformed the benchmark in the consumer discretionary and industrials sectors due to stock selection, and in the telecommunication services sector, as the result of an underweight position. In terms of countries, stock selection in India and South Korea detracted from performance versus the benchmark, whereas stock selection in China and positions in France contributed positively to the Fund’s relative performance.
Fund holdings that were detractors from performance included Naver Corp. (information technology), Lojas Americanas S.A. (consumer discretionary), and Dr. Reddy’s Laboratories Ltd. (health care). Naver, the South Korean internet company, saw a pullback in its share price, primarily due to concerns over its ability to regain strong growth momentum due to higher investment in subsidiaries, regulatory risk around domestic ads, and investors rotating into Kakao, a direct competitor. Lojas Americanas operates a chain of retail stores in cities throughout Brazil. The most recent installment of Brazil’s ongoing political turmoil, the indictment of President Michel Temer, put further strain on an already battered economy. Lojas Americanas is battling these macroeconomic headwinds in addition to an increasingly competitive environment. Dr. Reddy’s Laboratories, an Indian pharmaceutical company, announced disappointing fiscal year 2017 results. The company has been impacted by price erosion in the U.S. and a lack of new approvals.
Holdings that contributed positively to the Fund’s performance included information technology stocks Alibaba Group Holding Ltd. and Tencent Holdings Ltd.; and consumer discretionary stock Kering SA. Alibaba Group, the Chinese internet and e-commerce company, saw the trajectory of its stock price continue to climb as the giant continued to improve its monetization capabilities in the e-commerce leg, simultaneously expanding and fine-tuning its ecosystem of mobile payments and cloud computing. The stock’s outperformance has been driven in part by better-than-expected results. Tencent also announced expanded data centers for its cloud computing service, an artificial intelligence accelerator program, and an investment in Indian education startup BYJU. Kering, the world’s third-largest luxury group based out of Paris, saw its share price spike in April 2017 as Gucci, one of the group’s premium brands, delivered its best quarterly results in 20 years.
58
MassMutual Premier Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
The first leg of the emerging market rally was largely driven by the bottoming-out of stressed economies as external balances were repaired. In our view, the next leg will be about a sustainable recovery in corporate earnings, supported by increased demand and productive capital deployment. However, we believe that the opportunities for growth are heterogeneous. We think that resource-dependent countries like Brazil, Russia, and South Africa will continue to have low growth unless there is significant reform. On the other hand, our belief is that many economies in Asia have significant growth opportunities that will persist for some time. While China is currently focused on addressing the imbalances created by credit-fueled growth, it is still one of the biggest growth stories globally and we believe it will be so for many years. It not only has a continental-sized economy, but it also influences growth across the rest of the emerging market stage and, increasingly, the world.
We continue to believe that the emerging markets asset class should be an increasingly core allocation for global investors. The emerging markets category now represents a meaningful portion of global gross domestic product (GDP) and is the largest contributor to global growth. Most investors are grossly under-allocated to the asset class and, especially for those who invest through passive vehicles, to the areas of emerging markets that exhibit the most attractive growth characteristics.
59
MassMutual Premier Strategic Emerging Markets Fund – Portfolio Manager Report (Unaudited) (Continued)
MassMutual Premier Strategic Emerging Markets Fund Largest Holdings (% of Net Assets) on 9/30/17 | ||||
Tencent Holdings Ltd. | 6.6 | % | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | 5.8 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR | 5.5 | % | ||
Housing Development Finance Corp. Ltd. | 4.6 | % | ||
AIA Group Ltd. | 2.8 | % | ||
Magnit PJSC | 2.6 | % | ||
Novatek PJSC Sponsored GDR Registered | 2.5 | % | ||
Glencore PLC | 2.5 | % | ||
Kering | 2.4 | % | ||
Ctrip.com International Ltd. ADR | 2.2 | % | ||
|
| |||
37.5 | % | |||
|
|
MassMutual Premier Strategic Emerging Markets Fund Sector Table (% of Net Assets) on 9/30/17 | ||||
Financial | 23.1 | % | ||
Consumer, Non-cyclical | 21.9 | % | ||
Communications | 19.1 | % | ||
Consumer, Cyclical | 14.0 | % | ||
Technology | 8.4 | % | ||
Basic Materials | 4.4 | % | ||
Energy | 2.5 | % | ||
Industrial | 2.1 | % | ||
Diversified | 1.6 | % | ||
Mutual Funds | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 97.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
60
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 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Since Inception Average Annual 11/3/08 - 9/30/17 | |||||||||
Class R5 | 20.59% | 2.33% | 8.20% | |||||||||
Service Class | 20.41% | 2.24% | 8.10% | |||||||||
Administrative Class | 20.35% | 2.13% | 7.97% | |||||||||
Class A | 20.18% | 1.89% | 7.70% | |||||||||
Class A (sales load deducted)* | 13.27% | 0.69% | 6.99% | |||||||||
MSCI Emerging Markets Index | 22.46% | 3.99% | 10.06% |
Hypothetical Investments in MassMutual Premier Strategic Emerging Markets Fund Class I and the MSCI Emerging Markets Index.
TOTAL RETURN | One Year 10/1/16 - 9/30/17 | Five Year Average Annual 10/1/12 - 9/30/17 | Since Inception Average Annual 3/1/11 - 9/30/17 | |||||||||
Class I | 20.73% | 2.48% | 0.30% | |||||||||
MSCI Emerging Markets Index | 22.46% | 3.99% | 2.18% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
* Class A (sales load deducted) returns include the 5.75% maximum sales charge.
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 1-888-309-3539.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI Emerging Markets Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.
61
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.
TOTL RETURN | One Year 10/1/16 - 9/30/17 | Since Inception Average Annual 4/1/14 - 9/30/17 | ||||||
Class R4 | 20.23% | 3.37% | ||||||
Class R3 | 19.88% | 3.10% | ||||||
MSCI Emerging Markets Index | 22.46% | 5.03% |
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.
Performance 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.
62
September 30, 2017
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 103.5% | ||||||||
Discount Notes — 89.3% | ||||||||
Federal Farm Credit Bank | $ | 315,000 | $ | 312,673 | ||||
Federal Farm Credit Bank | 1,000,000 | 1,000,064 | ||||||
Federal Farm Credit Bank | 1,850,000 | 1,850,961 | ||||||
Federal Farm Credit Bank | 10,000,000 | 10,000,420 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,995,342 | ||||||
Federal Home Loan Bank | 2,300,000 | 2,297,857 | ||||||
Federal Home Loan Bank | 1,600,000 | 1,599,914 | ||||||
Federal Home Loan Bank | 4,933,000 | 4,931,657 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,999,862 | ||||||
Federal Home Loan Bank | 600,000 | 599,966 | ||||||
Federal Home Loan Bank | 669,000 | 668,944 | ||||||
Federal Home Loan Bank | 700,000 | 699,572 | ||||||
Federal Home Loan Bank | 500,000 | 499,972 | ||||||
Federal Home Loan Bank | 4,261,000 | 4,258,134 | ||||||
Federal Home Loan Bank | 3,000,000 | 2,996,925 | ||||||
Federal Home Loan Bank | 2,175,000 | 2,172,742 | ||||||
Federal Home Loan Bank | 758,000 | 757,530 | ||||||
Federal Home Loan Bank | 600,000 | 599,743 | ||||||
Federal Home Loan Bank | 850,000 | 849,295 | ||||||
Federal Home Loan Bank | 9,000,000 | 8,995,155 | ||||||
Federal Home Loan Bank | 8,000,000 | 7,985,970 | ||||||
Federal Home Loan Bank | 1,000,000 | 999,786 | ||||||
Federal Home Loan Bank | 400,000 | 399,549 | ||||||
Federal Home Loan Bank | 6,000,000 | 5,992,200 | ||||||
Federal Home Loan Bank | 600,000 | 599,064 |
Principal Amount | Value | |||||||
Federal Home Loan Bank | $ | 1,700,000 | $ | 1,697,201 | ||||
Federal Home Loan Bank | 1,400,000 | 1,397,654 | ||||||
Federal Home Loan Bank | 1,100,000 | 1,098,125 | ||||||
Federal Home Loan Bank | 6,030,000 | 6,018,503 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,989,456 | ||||||
Federal Home Loan Bank | 6,940,000 | 6,923,961 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,989,405 | ||||||
Federal Home Loan Bank | 800,000 | 799,084 | ||||||
Federal Home Loan Bank | 1,000,000 | 997,935 | ||||||
Federal Home Loan Bank | 1,800,000 | 1,798,372 | ||||||
Federal Home Loan Bank | 2,879,000 | 2,875,641 | ||||||
Federal Home Loan Bank | 1,500,000 | 1,496,850 | ||||||
Federal Home Loan Bank | 500,000 | 499,033 | ||||||
Federal Home Loan Bank | 800,000 | 798,914 | ||||||
Federal Home Loan Bank | 25,000,000 | 24,940,778 | ||||||
Federal Home Loan Bank | 10,573,000 | 10,547,906 | ||||||
Federal Home Loan Bank | 10,000,000 | 9,972,617 | ||||||
Federal Home Loan Bank | 7,000,000 | 6,993,580 | ||||||
Federal Home Loan Bank | 4,000,000 | 3,996,095 | ||||||
Federal Home Loan Bank | 3,744,000 | 3,739,902 | ||||||
Federal Home Loan Bank | 10,000,000 | 9,999,995 | ||||||
Federal Home Loan Bank | 1,700,000 | 1,698,334 | ||||||
Federal Home Loan Bank | 2,000,000 | 1,998,871 | ||||||
Federal Home Loan Bank | 3,500,000 | 3,495,943 | ||||||
Federal Home Loan Bank | 10,000,000 | 10,000,171 | ||||||
Federal Home Loan Bank | 13,000,000 | 12,999,648 |
The accompanying notes are an integral part of the financial statements.
63
MassMutual Premier U.S. Government Money Market Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Federal Home Loan Bank | $ | 3,075,000 | $ | 3,071,044 | ||||
Federal Home Loan Bank | 3,700,000 | 3,693,340 | ||||||
Federal Home Loan Bank | 10,000,000 | 9,999,838 | ||||||
Federal Home Loan Bank | 2,000,000 | 1,998,849 | ||||||
Federal Home Loan Bank | 2,000,000 | 1,994,240 | ||||||
Federal Home Loan Bank | 3,000,000 | 3,000,102 | ||||||
Federal Home Loan Bank | 9,500,000 | 9,500,000 | ||||||
Federal Home Loan Bank | 1,800,000 | 1,794,369 | ||||||
Federal Home Loan Bank | 210,000 | 209,111 | ||||||
Federal Home Loan Bank | 8,000,000 | 8,000,000 | ||||||
Federal Home Loan Bank | 525,000 | 522,252 | ||||||
Federal Home Loan Bank | 830,000 | 826,557 | ||||||
Federal Home Loan Bank | 5,000,000 | 4,983,980 | ||||||
Federal Home Loan Bank | 13,200,000 | 13,205,475 | ||||||
Federal Home Loan Bank | 4,700,000 | 4,703,317 | ||||||
Federal Home Loan Bank | 5,000,000 | 5,001,841 | ||||||
Federal Home Loan Bank | 10,000,000 | 10,004,260 | ||||||
Federal Home Loan Bank | 570,000 | 565,615 | ||||||
Federal Home Loan Bank | 1,500,000 | 1,500,428 | ||||||
Federal Home Loan Bank | 2,000,000 | 2,001,796 | ||||||
Federal Home Loan Bank | 1,200,000 | 1,201,084 | ||||||
Federal Home Loan Bank | 6,000,000 | 6,002,466 | ||||||
Federal Home Loan Mortgage | 1,800,000 | 1,801,377 | ||||||
Federal Home Loan Mortgage | 3,095,000 | 3,095,411 |
Principal Amount | Value | |||||||
Federal National Mortgage Association | $ | 8,100,000 | $ | 8,100,138 | ||||
|
| |||||||
TOTAL DISCOUNT NOTES (Cost $314,604,161) | 314,604,161 | |||||||
|
| |||||||
Repurchase Agreement — 12.8% | ||||||||
HSBC Securities (USA) Inc. | 44,950,000 | 44,950,000 | ||||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 41,730 | 41,730 | ||||||
|
| |||||||
U.S. Treasury Bill — 1.4% | ||||||||
U.S. Treasury Bill, | 5,000,000 | 4,996,195 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $364,592,086) | 364,592,086 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.5% (Cost $364,592,086) (c) | 364,592,086 | |||||||
Other Assets/(Liabilities) — (3.5)% | (12,275,522 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 352,316,564 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | The stated maturity dates reflect demand date and final legal maturity date, respectively. |
(b) | Maturity value of $44,953,858. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.125%, maturity dates ranging from 5/15/21 – 5/15/47, and an aggregate market value, including accrued interest, of $45,852,715. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
64
September 30, 2017
Principal Amount | Value | |||||||
BONDS & NOTES — 79.2% | ||||||||
CORPORATE DEBT — 44.7% | ||||||||
Aerospace & Defense — 0.9% | ||||||||
Harris Corp. | $ | 2,960,000 | $ | 2,965,169 | ||||
L3 Technologies, Inc. | 2,690,000 | 2,858,803 | ||||||
|
| |||||||
5,823,972 | ||||||||
|
| |||||||
Agriculture — 1.0% |
| |||||||
Bunge Ltd. Finance Corp. | 3,050,000 | 3,139,325 | ||||||
Imperial Brands Finance PLC (a) | 2,878,000 | 2,921,682 | ||||||
|
| |||||||
6,061,007 | ||||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 89,598 | 92,241 | ||||||
Delta Air Lines, Inc. | 1,915,000 | 1,968,237 | ||||||
WestJet Airlines Ltd. (a) | 1,885,000 | 1,917,801 | ||||||
|
| |||||||
3,978,279 | ||||||||
|
| |||||||
Auto Manufacturers — 1.0% |
| |||||||
General Motors Co. | 395,000 | 401,413 | ||||||
General Motors Financial Co., Inc. | 760,000 | 763,341 | ||||||
General Motors Financial Co., Inc. | 905,000 | 917,767 | ||||||
General Motors Financial Co., Inc. | 915,000 | 937,057 | ||||||
Hyundai Capital America (a) | 2,350,000 | 2,358,525 | ||||||
Nissan Motor Acceptance Corp. (a) | 1,235,000 | 1,210,110 | ||||||
|
| |||||||
6,588,213 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.5% |
| |||||||
Lear Corp. | 2,860,000 | 3,047,075 | ||||||
|
| |||||||
Banks — 6.5% |
| |||||||
ANZ New Zealand Int’l Ltd. (a) | 2,965,000 | 2,979,145 | ||||||
Banco Santander SA | 2,800,000 | 2,867,517 | ||||||
Bancolombia SA | 1,215,000 | 1,342,818 |
Principal Amount | Value | |||||||
Bank of America Corp. | $ | 5,285,000 | $ | 5,269,824 | ||||
Capital One Financial Corp. | 910,000 | 914,237 | ||||||
Citigroup, Inc. | 3,000,000 | 2,978,505 | ||||||
First Horizon National Corp. | 3,420,000 | 3,521,214 | ||||||
The Goldman Sachs Group, Inc. | 2,450,000 | 2,481,656 | ||||||
The Goldman Sachs Group, Inc. | 3,400,000 | 3,447,929 | ||||||
Itau Unibanco Holding SA (a) | 840,000 | 841,680 | ||||||
JP Morgan Chase & Co. | 2,800,000 | 3,033,829 | ||||||
Macquarie Bank Ltd. (a) | 380,000 | 384,071 | ||||||
Mitsubishi UFJ Trust & Banking Corp. (a) | 2,830,000 | 2,856,390 | ||||||
Morgan Stanley | 1,450,000 | 1,514,088 | ||||||
Regions Bank | 613,000 | 634,191 | ||||||
Regions Financial Corp. | 2,230,000 | 2,278,888 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,620,000 | 1,594,334 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 260,000 | 262,425 | ||||||
SVB Financial Group | 225,000 | 244,297 | ||||||
Turkiye Garanti Bankasi AS (a) | 1,290,000 | 1,319,025 | ||||||
|
| |||||||
40,766,063 | ||||||||
|
| |||||||
Beverages — 0.6% |
| |||||||
Anheuser-Busch InBev Finance, Inc. | 1,765,000 | 1,793,665 | ||||||
Coca-Cola Femsa SAB de CV | 1,250,000 | 1,258,370 | ||||||
Molson Coors Brewing Co. | 660,000 | 650,771 | ||||||
|
| |||||||
3,702,806 | ||||||||
|
| |||||||
Biotechnology — 0.6% |
| |||||||
Baxalta, Inc. | 1,025,000 | 1,027,247 | ||||||
Celgene Corp. | 270,000 | 271,158 |
The accompanying notes are an integral part of the financial statements.
65
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Celgene Corp. | $ | 2,650,000 | $ | 2,704,994 | ||||
|
| |||||||
4,003,399 | ||||||||
|
| |||||||
Building Materials — 1.3% |
| |||||||
Holcim US Finance Sarl & Cie SCS (a) | 2,929,000 | 3,157,713 | ||||||
James Hardie International Finance Ltd. (a) | 1,334,000 | 1,400,700 | ||||||
Martin Marietta Materials, Inc. 3 mo. USD LIBOR + .650%, FRN | 980,000 | 983,963 | ||||||
Masco Corp. | 990,000 | 1,016,601 | ||||||
Masco Corp. | 225,000 | 249,750 | ||||||
Standard Industries, Inc. (a) | 1,472,000 | 1,558,480 | ||||||
|
| |||||||
8,367,207 | ||||||||
|
| |||||||
Chemicals — 2.4% |
| |||||||
Airgas, Inc. | 2,955,000 | 3,022,481 | ||||||
CF Industries, Inc. | 2,820,000 | 2,897,550 | ||||||
The Dow Chemical Co. | 320,000 | 353,345 | ||||||
Incitec Pivot Finance LLC (a) | 1,127,000 | 1,208,030 | ||||||
LyondellBasell Industries NV | 1,353,000 | 1,403,863 | ||||||
LyondellBasell Industries NV | 1,410,000 | 1,590,730 | ||||||
RPM International, Inc. | 43,000 | 44,932 | ||||||
RPM International, Inc. | 2,422,000 | 2,619,078 | ||||||
The Sherwin-Williams Co. | 1,839,000 | 1,851,380 | ||||||
|
| |||||||
14,991,389 | ||||||||
|
| |||||||
Commercial Services — 0.3% |
| |||||||
S&P Global, Inc. | 1,700,000 | 1,743,892 | ||||||
|
| |||||||
Computers — 0.8% |
| |||||||
Dell International LLC/ EMC Corp. (a) | 1,305,000 | 1,330,914 | ||||||
Dell International LLC/EMC Corp. (a) | 980,000 | 1,028,917 | ||||||
DXC Technology Co. | 565,000 | 572,534 |
Principal Amount | Value | |||||||
Leidos Holdings, Inc. | $ | 2,301,000 | $ | 2,419,501 | ||||
|
| |||||||
5,351,866 | ||||||||
|
| |||||||
Diversified Financial Services — 2.8% |
| |||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | 1,670,000 | 1,738,254 | ||||||
Air Lease Corp. | 1,680,000 | 1,681,828 | ||||||
Air Lease Corp. | 1,075,000 | 1,092,883 | ||||||
Aircastle Ltd. | 3,380,000 | 3,616,600 | ||||||
Ally Financial, Inc. | 1,285,000 | 1,294,894 | ||||||
Ally Financial, Inc. | 2,270,000 | 2,320,167 | ||||||
Genpact Luxembourg Sarl (a) | 2,640,000 | 2,670,515 | ||||||
International Lease Finance Corp. | 1,245,000 | 1,258,802 | ||||||
Lazard Group LLC | 1,670,000 | 1,764,266 | ||||||
|
| |||||||
17,438,209 | ||||||||
|
| |||||||
Electric — 2.3% |
| |||||||
Ameren Corp. | 1,415,000 | 1,433,640 | ||||||
Duke Energy Corp. | 1,260,000 | 1,234,563 | ||||||
EDP Finance BV (a) | 2,460,000 | 2,551,315 | ||||||
EDP Finance BV (a) | 343,000 | 359,886 | ||||||
Enel Finance International NV (a) | 1,955,000 | 1,967,665 | ||||||
Entergy Texas, Inc. | 325,000 | 322,634 | ||||||
Entergy Texas, Inc. | 1,803,000 | 1,922,722 | ||||||
Israel Electric Corp. Ltd. (a) | 1,185,000 | 1,254,856 | ||||||
Majapahit Holding BV (a) | 1,160,000 | 1,293,516 | ||||||
Puget Energy, Inc. | 100,000 | 111,990 | ||||||
Puget Energy, Inc. | 634,000 | 708,303 | ||||||
The Southern Co. | 195,000 | 194,901 | ||||||
The Southern Co. | 1,040,000 | 1,034,215 |
The accompanying notes are an integral part of the financial statements.
66
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Tri-State Pass-Through Trust, Series 2003, Class A (a) | $ | 27,055 | $ | 27,418 | ||||
|
| |||||||
14,417,624 | ||||||||
|
| |||||||
Electronics — 0.4% |
| |||||||
FLIR Systems, Inc. | 650,000 | 658,563 | ||||||
Tech Data Corp. | 580,000 | 584,867 | ||||||
Tyco Electronics Group SA | 1,461,000 | 1,461,000 | ||||||
|
| |||||||
2,704,430 | ||||||||
|
| |||||||
Engineering & Construction — 0.5% |
| |||||||
SBA Tower Trust (a) | 2,000,000 | 1,998,410 | ||||||
SBA Tower Trust (a) | 880,000 | 879,394 | ||||||
|
| |||||||
2,877,804 | ||||||||
|
| |||||||
Foods — 0.8% |
| |||||||
Danone SA (a) | 3,075,000 | 3,020,922 | ||||||
JBS Investments GmbH (a) | 634,000 | 648,265 | ||||||
Mondelez International Holdings Netherlands BV (a) | 1,490,000 | 1,463,046 | ||||||
Tyson Foods, Inc. | 180,000 | 182,146 | ||||||
|
| |||||||
5,314,379 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.5% |
| |||||||
Stanley Black & Decker, Inc. | 705,000 | 703,457 | ||||||
Stanley Black & Decker, Inc. | 2,240,000 | 2,254,163 | ||||||
|
| |||||||
2,957,620 | ||||||||
|
| |||||||
Health Care – Products — 0.8% |
| |||||||
Abbott Laboratories | 1,525,000 | 1,537,419 | ||||||
Abbott Laboratories | 1,545,000 | 1,573,325 | ||||||
Boston Scientific Corp. | 785,000 | 798,100 | ||||||
Zimmer Biomet Holdings, Inc. | 1,213,000 | 1,214,246 | ||||||
|
| |||||||
5,123,090 | ||||||||
|
| |||||||
Health Care – Services — 1.2% |
| |||||||
Cigna Corp. | 971,000 | 1,025,061 |
Principal Amount | Value | |||||||
Cigna Corp. | $ | 1,805,000 | $ | 1,923,012 | ||||
HCA, Inc. | 2,830,000 | 2,890,137 | ||||||
Laboratory Corp. of America Holdings | 1,400,000 | 1,414,924 | ||||||
|
| |||||||
7,253,134 | ||||||||
|
| |||||||
Home Builders — 0.5% |
| |||||||
Lennar Corp. | 2,853,000 | 2,945,723 | ||||||
|
| |||||||
Housewares — 0.1% |
| |||||||
Newell Brands, Inc. | 342,000 | 344,737 | ||||||
|
| |||||||
Insurance — 3.4% |
| |||||||
American International Group, Inc. | 1,450,000 | 1,494,045 | ||||||
AmTrust Financial Services, Inc. | 1,505,000 | 1,488,445 | ||||||
Athene Global Funding (a) | 3,085,000 | 3,211,791 | ||||||
CNA Financial Corp. | 301,000 | 334,020 | ||||||
Enstar Group Ltd. | 1,435,000 | 1,484,554 | ||||||
Jackson National Life Global Funding (a) 2.500% 6/27/22 | 2,940,000 | 2,940,160 | ||||||
Lincoln National Corp. | 1,290,000 | 1,407,924 | ||||||
Nuveen Finance LLC (a) | 2,900,000 | 2,948,248 | ||||||
Reinsurance Group of America, Inc. | 1,600,000 | 1,729,573 | ||||||
Trinity Acquisition PLC | 1,480,000 | 1,511,202 | ||||||
Unum Group | 480,000 | 486,421 | ||||||
Willis Towers Watson PLC | 840,000 | 923,066 | ||||||
XLIT Ltd. | 1,335,000 | 1,491,094 | ||||||
|
| |||||||
21,450,543 | ||||||||
|
| |||||||
Internet — 0.4% |
| |||||||
Expedia, Inc. | 2,635,000 | 2,761,085 | ||||||
|
| |||||||
Investment Companies — 0.5% |
| |||||||
Ares Capital Corp. | 1,450,000 | 1,486,715 | ||||||
FS Investment Corp. | 1,040,000 | 1,060,573 |
The accompanying notes are an integral part of the financial statements.
67
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
TCP Capital Corp. | $ | 895,000 | $ | 889,339 | ||||
|
| |||||||
3,436,627 | ||||||||
|
| |||||||
Leisure Time — 0.5% |
| |||||||
Brunswick Corp. (a) | 3,130,000 | 3,189,571 | ||||||
|
| |||||||
Lodging — 0.4% |
| |||||||
Marriott International, Inc. | 410,000 | 404,768 | ||||||
Marriott International, Inc. | 2,015,000 | 2,043,407 | ||||||
|
| |||||||
2,448,175 | ||||||||
|
| |||||||
Machinery – Diversified — 0.5% |
| |||||||
CNH Industrial Capital LLC | 1,229,000 | 1,247,435 | ||||||
CNH Industrial Capital LLC | 265,000 | 266,736 | ||||||
CNH Industrial Capital LLC | 945,000 | 971,105 | ||||||
CNH Industrial Capital LLC | 590,000 | 626,875 | ||||||
|
| |||||||
3,112,151 | ||||||||
|
| |||||||
Media — 0.9% |
| |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,365,000 | 1,401,278 | ||||||
Discovery Communications LLC | 905,000 | 907,392 | ||||||
Sirius XM Radio, Inc. (a) | 3,025,000 | 3,093,667 | ||||||
|
| |||||||
5,402,337 | ||||||||
|
| |||||||
Mining — 0.9% |
| |||||||
Anglo American Capital PLC (a) | 1,475,000 | 1,512,760 | ||||||
Glencore Finance Canada Ltd. STEP (a) | 530,000 | 530,186 | ||||||
Glencore Finance Canada Ltd. STEP (a) | 652,000 | 686,147 | ||||||
Kinross Gold Corp. | 1,450,000 | 1,555,125 | ||||||
Newcrest Finance Pty Ltd. (a) | 1,470,000 | 1,546,401 | ||||||
|
| |||||||
5,830,619 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.6% |
| |||||||
Pitney Bowes, Inc. STEP | 3,915,000 | 3,853,082 | ||||||
|
| |||||||
Oil & Gas — 0.2% |
| |||||||
EQT Corp. | 1,460,000 | 1,463,404 | ||||||
|
|
Principal Amount | Value | |||||||
Packaging & Containers — 0.5% |
| |||||||
Graphic Packaging International, Inc. | $ | 2,730,000 | $ | 2,887,794 | ||||
|
| |||||||
Pharmaceuticals — 1.6% |
| |||||||
AbbVie, Inc. | 2,390,000 | 2,393,321 | ||||||
Allergan Funding SCS | 1,580,000 | 1,584,603 | ||||||
Express Scripts Holding Co. | 2,865,000 | 2,946,718 | ||||||
Shire Acquisitions Investments Ireland DAC | 735,000 | 732,430 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 2,825,000 | 2,719,920 | ||||||
|
| |||||||
10,376,992 | ||||||||
|
| |||||||
Pipelines — 0.5% |
| |||||||
Plains All American Pipeline LP/PAA Finance Corp. | 2,950,000 | 3,021,062 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.5% |
| |||||||
American Tower Corp. | 465,000 | 457,457 | ||||||
American Tower Corp. | 1,105,000 | 1,132,264 | ||||||
Crown Castle International Corp. | 1,869,000 | 1,924,247 | ||||||
DDR Corp. | 1,430,000 | 1,487,047 | ||||||
Digital Realty Trust LP | 925,000 | 953,883 | ||||||
Healthcare Trust of America Holdings LP | 690,000 | 694,555 | ||||||
Highwoods Realty LP | 170,000 | 175,039 | ||||||
Simon Property Group LP | 1,760,000 | 1,756,830 | ||||||
Weyerhaeuser Co. | 510,000 | 563,054 | ||||||
|
| |||||||
9,144,376 | ||||||||
|
| |||||||
Retail — 1.5% |
| |||||||
AutoNation, Inc. | 2,085,000 | 2,130,180 | ||||||
CVS Health Corp. | 2,405,000 | 2,382,759 | ||||||
Dollar Tree, Inc. | 3,000,000 | 3,165,000 | ||||||
QVC, Inc. | 1,449,000 | 1,463,765 | ||||||
|
| |||||||
9,141,704 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
68
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Semiconductors — 1.0% |
| |||||||
Analog Devices, Inc. | $ | 620,000 | $ | 621,285 | ||||
Broadcom Corp./Broadcom Cayman Finance Ltd. (a) | 2,315,000 | 2,353,619 | ||||||
KLA-Tencor Corp. | 1,395,000 | 1,395,684 | ||||||
NXP BV/NXP Funding LLC (a) | 2,025,000 | 2,118,656 | ||||||
|
| |||||||
6,489,244 | ||||||||
|
| |||||||
Telecommunications — 1.3% |
| |||||||
Hughes Satellite Systems Corp. | 2,704,000 | 2,876,380 | ||||||
Sprint Communications, Inc. | 1,250,000 | 1,543,750 | ||||||
Telefonaktiebolaget LM Ericsson | 2,940,000 | 2,916,824 | ||||||
Verizon Communications, Inc. | 900,000 | 880,961 | ||||||
|
| |||||||
8,217,915 | ||||||||
|
| |||||||
Transportation — 0.8% |
| |||||||
Asciano Finance Ltd. (a) | 1,803,000 | 1,828,303 | ||||||
Ryder System, Inc. | 170,000 | 168,586 | �� | |||||
Ryder System, Inc. | 1,295,000 | 1,298,658 | ||||||
Ryder System, Inc. | 295,000 | 297,365 | ||||||
Ryder System, Inc. | 1,080,000 | 1,097,927 | ||||||
TTX Co. (a) | 565,000 | 566,101 | ||||||
|
| |||||||
5,256,940 | ||||||||
|
| |||||||
Trucking & Leasing — 1.3% |
| |||||||
Aviation Capital Group Corp. (a) | 3,260,000 | 3,287,774 | ||||||
DAE Funding LLC (a) | 522,000 | 532,440 | ||||||
GATX Corp. | 1,475,000 | 1,488,469 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 1,240,000 | 1,249,091 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 1,650,000 | 1,681,375 |
Principal Amount | Value | |||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | $ | 50,000 | $ | 51,339 | ||||
|
| |||||||
8,290,488 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $279,099,319) | 281,576,027 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.0% | ||||||||
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN (b) | 190,084 | 189,924 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $190,084) | 189,924 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 31.8% | ||||||||
Automobile ABS — 5.3% | ||||||||
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) | 247,433 | 247,423 | ||||||
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) | 30,694 | 30,697 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class D | 710,000 | 713,902 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) | 600,000 | 600,382 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 63,303 | 63,268 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 170,812 | 170,655 | ||||||
CFC LLC, Series 2013-2A, Class C (a) | 418,930 | 419,334 | ||||||
CPS Auto Trust, Series 2014-D, Class A (a) | 1,403 | 1,403 | ||||||
CPS Auto Trust, Series 2016-C, Class A (a) | 286,163 | 285,765 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 236,213 | 236,182 | ||||||
CPS Auto Trust, Series 2015-C, Class B (a) | 750,000 | 750,494 |
The accompanying notes are an integral part of the financial statements.
69
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CPS Auto Trust, Series 2016-C, Class B (a) | $ | 710,000 | $ | 708,297 | ||||
CPS Auto Trust, Series 2017-A, Class B (a) | 1,870,000 | 1,880,083 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) | 443,046 | 443,843 | ||||||
Drive Auto Receivables Trust, Series 2017-2, Class C | 390,000 | 389,374 | ||||||
Drive Auto Receivables Trust, Series 2017-1, Class C | 630,000 | 633,864 | ||||||
DT Auto Owner Trust, Series 2016-3A, Class A (a) | 144,125 | 144,146 | ||||||
DT Auto Owner Trust, Series 2016-1A, Class B (a) | 611,861 | 612,482 | ||||||
DT Auto Owner Trust, Series 2016-2A, Class B (a) | 623,693 | 624,614 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) | 899,399 | 899,056 | ||||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 (a) | 530,000 | 535,503 | ||||||
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) | 9,073 | 9,073 | ||||||
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) | 51,098 | 51,101 | ||||||
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) | 520,000 | 518,388 | ||||||
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) | 630,000 | 630,784 | ||||||
Exeter Automobile Receivables Trust, Series 2015-2A, Class C (a) | 1,295,000 | 1,311,990 | ||||||
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) | 16,509 | 16,510 | ||||||
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) | 266,226 | 266,385 | ||||||
Flagship Credit Auto Trust, Series 2014-2, Class A (a) | 9,858 | 9,856 |
Principal Amount | Value | |||||||
Flagship Credit Auto Trust, Series 2015-2, Class A (a) | $ | 209,078 | $ | 209,294 | ||||
Flagship Credit Auto Trust, Series 2015-3, Class A (a) | 856,814 | 857,435 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class B (a) | 2,390,000 | 2,391,137 | ||||||
Flagship Credit Auto Trust, Series 2016-3, Class B (a) | 1,150,000 | 1,153,126 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (a) | 890,000 | 880,294 | ||||||
Flagship Credit Auto Trust, Series 2016-1, Class A (a) | 596,725 | 600,307 | ||||||
Flagship Credit Auto Trust, Series 2017-1, Class B (a) | 1,515,000 | 1,520,774 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) | 59,778 | 59,736 | ||||||
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A (a) | 780,000 | 783,213 | ||||||
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) | 1,250,000 | 1,274,318 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 1,020,000 | 1,013,270 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 336,922 | 337,758 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A2A (a) | 721,300 | 721,370 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) | 550,000 | 552,242 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | 400,000 | 402,661 | ||||||
Prestige Auto Receivables Trust, Series 2015-1, Class B (a) | 1,000,000 | 1,000,823 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class A3 | 452,941 | 452,999 |
The accompanying notes are an integral part of the financial statements.
70
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Santander Drive Auto Receivables Trust, Series 2014-1, Class C | $ | 228,791 | $ | 229,130 | ||||
Santander Drive Auto Receivables Trust, Series 2015-2, Class C | 1,700,000 | 1,708,002 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class B | 1,100,000 | 1,104,333 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class D | 600,000 | 608,239 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class D | 1,740,000 | 1,787,237 | ||||||
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) | 424,812 | 424,744 | ||||||
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) | 161,488 | 161,507 | ||||||
|
| |||||||
33,438,803 | ||||||||
|
| |||||||
Commercial MBS — 0.5% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN (b) | 335,901 | 336,924 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, VRN (b) | 353,308 | 352,841 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 46,716 | 46,704 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 | 845,000 | 855,195 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) | 504,276 | 510,127 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN (b) | 124,923 | 125,548 | ||||||
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN (b) | 284,468 | 284,475 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN (b) | 183,443 | 184,085 |
Principal Amount | Value | |||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (b) | $ | 60,841 | $ | 60,760 | ||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN (b) | 207,744 | 209,056 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (b) | 147,346 | 147,921 | ||||||
|
| |||||||
3,113,636 | ||||||||
|
| |||||||
Home Equity ABS — 0.2% | ||||||||
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN | 62,627 | 62,591 | ||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | 188,561 | 189,279 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1, 1 mo. USD LIBOR + ..480%, FRN | 410,556 | 412,007 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (a) | 407,448 | 406,519 | ||||||
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2, 1 mo. USD LIBOR + .220%, FRN | 128,871 | 128,917 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 357,044 | 357,334 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP | 6 | 6 | ||||||
Residential Asset Securities Corp., Series 2005-AHL3, Class A2, 1 mo. USD LIBOR + .240%, FRN | 18,318 | 18,303 | ||||||
|
| |||||||
1,574,956 | ||||||||
|
| |||||||
Other ABS — 16.8% | ||||||||
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 288,510 | 281,422 |
The accompanying notes are an integral part of the financial statements.
71
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | $ | 375,977 | $ | 366,671 | ||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A (a) | 718,967 | 722,114 | ||||||
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (a) | 420,000 | 419,997 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) | 1,290,000 | 1,303,352 | ||||||
ALM VIII Ltd., Series 2013-8A, Class A1R, 3 mo. USD LIBOR + 1.490%, FRN (a) | 680,000 | 685,169 | ||||||
ALM XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.150%, FRN (a) | 1,250,000 | 1,253,640 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (a) | 835,125 | 862,035 | ||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 675,274 | 657,800 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,500,000 | 1,503,935 | ||||||
BCC Funding X LLC, Series 2015-1, Class A2 (a) | 310,305 | 310,005 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 1,010,000 | 1,014,419 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) | 595,833 | 594,948 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) | 1,475,000 | 1,480,083 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 1,166,247 | 1,171,169 |
Principal Amount | Value | |||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) | $ | 561,658 | $ | 560,382 | ||||
Capital Automotive LLC, Series 2012-1A, Class A1 (a) | 617,417 | 618,024 | ||||||
Carlyle Global Market Strategies, Series 2014-4A, Class A1R, 3 mo. USD LIBOR + 1.200%, FRN (a) | 2,050,000 | 2,062,833 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | 368,653 | 367,040 | ||||||
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, Series 2005-OPT3, Class M2, 1 mo. USD LIBOR + .675%, FRN | 407,060 | 407,728 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 1,588,330 | 1,596,846 | ||||||
CLI Funding VI LLC, Series 2017-1A, Class A (a) | 1,059,620 | 1,059,658 | ||||||
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) | 302,910 | 304,225 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 83,223 | 82,915 | ||||||
Crestline Denali CLO Ltd., Series 2013-1A, Class A1 (a) (c) | 1,850,000 | 1,850,000 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (a) | 1,433,250 | 1,430,652 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) | 823,662 | 820,726 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) | 155,243 | 155,113 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 228,776 | 228,035 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class B (a) | 256,151 | 256,074 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) | 448,563 | 446,736 |
The accompanying notes are an integral part of the financial statements.
72
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) | $ | 1,590,277 | $ | 1,576,550 | ||||
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) | 244,671 | 244,308 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) | 1,303,500 | 1,309,358 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | 291,667 | 289,917 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) | 361,494 | 364,972 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A1, 3 mo. USD LIBOR + 5.250%, FRN (a) | 138,064 | 139,677 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) | 933,455 | 907,580 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B, VRN (a) (b) | 349,683 | 344,331 | ||||||
Element Rail Leasing I LLC, Series 2014-1A, Class A1 (a) | 850,861 | 843,425 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | 188,461 | 185,303 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | 553,374 | 566,832 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A | 258,078 | 259,952 | ||||||
FNA Trust, Series 2015-1, Class A (a) | 176,788 | 175,985 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN | 2,546 | 2,546 | ||||||
FRS I LLC, Series 2013-1A, Class A1 (a) | 115,160 | 114,224 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) | 1,475,000 | 1,480,248 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) | 838,668 | 847,232 |
Principal Amount | Value | |||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | $ | 12,463 | $ | 12,454 | ||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 1,487,135 | 1,487,123 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (a) | 1,312,966 | 1,300,741 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | 59,168 | 59,441 | ||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) | 212,682 | 213,015 | ||||||
HERO Funding Trust, Series 2017-2A, Class A1 (a) | 336,001 | 338,088 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (a) | 930,830 | 940,307 | ||||||
HERO Funding Trust, Series 2017-2A, Class A2 (a) | 276,707 | 283,870 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 399,942 | 394,884 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 306,196 | 305,099 | ||||||
Hilton Grand Vacations Trust, Series 2017-AA, Class B, VRN (a) (b) | 802,952 | 799,457 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN | 1,833 | 1,833 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 2,400,000 | 2,405,323 | ||||||
Lendmark Funding Trust, Series 2017-1A, Class A (a) | 630,000 | 630,213 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 281,849 | 280,195 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,200,000 | 1,205,960 |
The accompanying notes are an integral part of the financial statements.
73
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Magnetite XI Ltd., Series 2014-11A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) | $ | 1,780,000 | $ | 1,783,914 | ||||
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) | 990,000 | 995,828 | ||||||
Marlette Funding Trust, Series 2017-2A, Class A (a) | 870,948 | 871,796 | ||||||
Marlette Funding Trust, Series 2017-1A, Class A (a) | 1,085,457 | 1,090,004 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 845,677 | 848,516 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 373,520 | 374,703 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN | 250,526 | 251,956 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) | 291,487 | 295,094 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (a) | 321,566 | 319,760 | ||||||
MVW Owner Trust, Series 2014-2, Class A (a) | 590,431 | 584,237 | ||||||
MVW Owner Trust, Series 2016-1A, Class A (a) | 280,401 | 276,276 | ||||||
MVW Owner Trust, Series 2017-1A, Class A (a) | 237,868 | 236,975 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 28,476 | 28,464 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) | 495,824 | 497,364 | ||||||
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) | 226,420 | 226,292 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 4,200,000 | 4,168,821 | ||||||
New Residential Advance Receivables Trust, Series 2016-T4, Class AT4 (a) | 1,500,000 | 1,483,377 |
Principal Amount | Value | |||||||
Oak Hill Credit Partners X Ltd., Series 2014-10A, Class AR, 3 mo. USD LIBOR + 1.130%, FRN (a) | $ | 450,000 | $ | 451,955 | ||||
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.410%, FRN (a) | 1,350,000 | 1,367,557 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) | 420,000 | 418,198 | ||||||
Oportun Funding VI LLC, Series 2017-A, Class A (a) | 920,000 | 926,576 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 110,003 | 109,311 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) | 651,989 | 650,030 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 206,715 | 206,085 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | 700,000 | 706,794 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN | 806 | 806 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) | 193,584 | 193,106 | ||||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class M1, 1 mo. USD LIBOR + ..400%, FRN | 78,148 | 78,103 | ||||||
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, VRN (a) (b) | 166,890 | 166,747 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) | 733,168 | 729,834 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A (a) | 798,255 | 796,247 | ||||||
Sierra Receivables Funding Co. LLC, Series 2016-2A, Class B (a) | 183,659 | 183,578 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 103,446 | 103,647 |
The accompanying notes are an integral part of the financial statements.
74
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A (a) | $ | 275,855 | $ | 275,891 | ||||
Sofi Consumer Loan Program LLC, Series 2017-3, Class A (a) | 1,460,333 | 1,466,785 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 730,949 | 738,214 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | 3,852,996 | 3,885,832 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 1,228,008 | 1,240,507 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 1,680,214 | 1,706,453 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 1,611,054 | 1,630,109 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 1,517,955 | 1,528,302 | ||||||
Springleaf Funding Trust, Series 2016-AA, Class A (a) | 2,560,000 | 2,567,138 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T1, Class AT1 (a) | 1,960,000 | 1,944,195 | ||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) | 486,244 | 480,782 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 1,140,000 | 1,144,294 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 1,316,700 | 1,340,976 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 331,507 | 330,901 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A (a) | 1,211,730 | 1,256,371 | ||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) | 1,060,000 | 1,078,769 |
Principal Amount | Value | |||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (a) | $ | 670,000 | $ | 673,442 | ||||
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) | 1,960,000 | 1,970,335 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) | 451,068 | 452,180 | ||||||
Trip Rail Master Funding LLC, Series 2014-1A, Class A2 (a) | 1,200,000 | 1,217,803 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A2 (a) | 2,250,000 | 2,415,548 | ||||||
Triton Container Finance IV LLC, Series 2017-2A, Class A (a) | 2,461,122 | 2,475,639 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN (b) | 845,730 | 849,871 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (a) | 299,136 | 295,707 | ||||||
Welk Resorts LLC, Series 2017-AA, Class B | 1,586,911 | 1,583,761 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (a) | 2,989,000 | 3,009,858 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 350,958 | 347,781 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 761,532 | 758,283 | ||||||
Westgate Resorts LLC, Series 2015-2A, Class A (a) | 692,304 | 693,273 | ||||||
|
| |||||||
105,965,140 | ||||||||
|
| |||||||
Student Loans ABS — 8.4% | ||||||||
Academic Loan Funding Trust, Series 2013-1A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 252,816 | 251,733 | ||||||
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) | 886,943 | 888,030 |
The accompanying notes are an integral part of the financial statements.
75
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | $ | 430,000 | $ | 369,458 | ||||
AccessLex Institute, Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN | 38,958 | 38,941 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 413,203 | 386,469 | ||||||
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN | 111,444 | 110,691 | ||||||
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN | 751,465 | 685,300 | ||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class C (a) | 1,320,000 | 1,312,942 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (a) | 438,726 | 416,367 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A3 | 319,422 | 317,757 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) | 276,775 | 273,783 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) | 892,086 | 890,464 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) | 827,103 | 843,360 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (a) | 409,968 | 413,858 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 2,253,272 | 2,261,158 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (a) | 512,525 | 519,936 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) | 1,760,374 | 1,776,875 |
Principal Amount | Value | |||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | $ | 548,204 | $ | 546,742 | ||||
Earnest Student Loan Program LLC, Series 2016-C, Class A2 (a) | 1,626,157 | 1,611,162 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) | 866,044 | 865,066 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) | 1,040,477 | 1,044,107 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | 2,740,333 | 2,742,748 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 1,779,984 | 1,781,103 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN 1.987% 12/01/31 | 579,238 | 577,037 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN | 289,258 | 288,852 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B, Class CFX (a) | 1,000,000 | 1,000,462 | ||||||
Navient Private Education Loan Trust, Series 2014-AA, Class A2A (a) | 756,469 | 761,693 | ||||||
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (a) (b) | 1,090,000 | 1,089,994 | ||||||
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (a) | 1,300,000 | 1,299,992 | ||||||
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (a) | 1,100,000 | 1,108,751 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) | 2,400,000 | 2,446,123 |
The accompanying notes are an integral part of the financial statements.
76
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | $ | 2,972,921 | $ | 3,032,547 | ||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 2,800,000 | 2,887,889 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) | 573,003 | 574,124 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) | 686,113 | 684,458 | ||||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) | 568,235 | 564,078 | ||||||
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 395,000 | 354,293 | ||||||
North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 3 mo. USD LIBOR + .800%, FRN | 456,498 | 456,923 | ||||||
North Carolina State Education Assistance Authority, Series 2011-1, Class A2, 3 mo. USD LIBOR + .900%, FRN | 97,185 | 97,261 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) | 1,662,014 | 1,665,007 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | 51,256 | 51,256 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 567,000 | 517,938 | ||||||
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN | 480,000 | 457,731 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN | 397,422 | 358,328 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN | $ | 520,000 | $ | 517,275 | ||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 638,921 | 577,830 | ||||||
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (a) | 2,300,000 | 2,251,157 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN | 501,837 | 475,720 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN | 100,000 | 100,000 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) | 652,794 | 653,257 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450%, FRN (a) | 480,000 | 493,279 | ||||||
SMB Private Education Loan Trust, Series 2015-C, Class A3, 1 mo. USD LIBOR + 1.950%, FRN (a) | 1,350,000 | 1,409,880 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $1,406,875) (a) (d) (e) 0.000% 3/25/33 | 500 | 1,100,000 | ||||||
SoFi Professional Loan Program LLC, Series 2017-D, Class R1, (Acquired 7/19/17, Cost $1,320,697) (a) (d) (e) | 2,333,800 | 1,320,697 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) | 495,737 | 495,482 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) | 280,000 | 278,226 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | 905,403 | 914,797 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) | 770,000 | 767,449 |
The accompanying notes are an integral part of the financial statements.
77
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | $ | 833,062 | $ | 853,680 | ||||
SoFi Professional Loan Program LLC, Series 2014-A, Class A2 (a) | 144,237 | 145,690 | ||||||
|
| |||||||
52,977,206 | ||||||||
|
| |||||||
WL Collateral CMO — 0.6% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (b) | 62,005 | 62,333 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (b) | 23,813 | 24,249 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (b) | 9,132 | 8,843 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (b) | 11,923 | 12,323 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (b) | 67,570 | 65,889 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IIA2, VRN (b) | 155,499 | 161,899 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (b) | 6,752 | 6,609 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (b) | 4,377 | 4,504 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (b) | 291 | 309 | ||||||
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, VRN (a) (b) | 1,013,790 | 1,041,345 | ||||||
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, VRN (a) (b) | 2,144,317 | 2,137,822 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (b) | 38,368 | 39,607 |
Principal Amount | Value | |||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | $ | 98,898 | $ | 101,294 | ||||
|
| |||||||
3,667,026 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $200,185,897) | 200,736,767 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.3% | ||||||||
Collateralized Mortgage Obligations — 0.1% | ||||||||
Government National Mortgage Association Series 2014-131, Class BW | 482,287 | 492,434 | ||||||
|
| |||||||
Pass-Through Securities — 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #1Q0239 1 year | 442,450 | 466,811 | ||||||
Federal National Mortgage Association | ||||||||
Pool #888586 1 year | 170,395 | 179,044 | ||||||
Pool #725692 1 year | 92,911 | 97,832 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.645%, FRN | 57,261 | 60,188 | ||||||
Pool #684154 5.500% | 361 | 362 | ||||||
Pool #702331 5.500% | 14,977 | 15,105 | ||||||
Pool #725796 5.500% | 176,218 | 181,035 | ||||||
Pool #844564 5.500% | 42,283 | 44,096 | ||||||
Government National Mortgage Association | ||||||||
Pool #507545 7.500% | 29,583 | 35,114 | ||||||
Government National Mortgage Association II | ||||||||
Pool #82462 1 year | 190,483 | 195,723 |
The accompanying notes are an integral part of the financial statements.
78
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #82488 1 year | $ | 242,962 | $ | 249,545 | ||||
|
| |||||||
1,524,855 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $2,004,241) | 2,017,289 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 2.4% | ||||||||
U.S. Treasury Bonds & Notes — 2.4% | ||||||||
U.S. Treasury Note (f) | 5,100,000 | 5,065,834 | ||||||
U.S. Treasury Note | 5,700,000 | 5,607,598 | ||||||
U.S. Treasury Note | 4,400,000 | 4,407,563 | ||||||
|
| |||||||
15,080,995 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $15,121,184) | 15,080,995 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $496,600,725) | 499,601,002 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $1,027,659) | 998,636 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $497,628,384) | 500,599,638 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 20.8% | ||||||||
Commercial Paper — 20.7% | ||||||||
Agrium, Inc. | 2,000,000 | 1,996,167 | ||||||
Agrium, Inc. | 3,500,000 | 3,493,875 | ||||||
Amphenol Corp. (a) | 5,500,000 | 5,483,415 | ||||||
Bell Canada (a) | 5,000,000 | 4,984,262 | ||||||
CRH America Finance, Inc. (a) | 2,500,000 | 2,498,954 | ||||||
CRH America Finance, Inc. (a) | 3,000,000 | 2,996,053 | ||||||
Dollar General Corp. (a) | 2,250,000 | 2,249,720 | ||||||
Dollar General Corp. (a) | 2,700,000 | 2,699,325 |
Principal Amount | Value | |||||||
Enbridge (US), Inc. (a) | $ | 5,000,000 | $ | 4,986,066 | ||||
Entergy Corp. (a) | 4,750,000 | 4,749,357 | ||||||
Entergy Corp., . (a) | 5,000,000 | 4,990,564 | ||||||
Equifax, Inc. (a) | 5,000,000 | 4,992,638 | ||||||
Equifax, Inc. (a) | 5,000,000 | 4,974,684 | ||||||
Glencore Funding LLC (a) | 5,000,000 | 4,994,255 | ||||||
Hewlett Packard Enterprise Co. (a) | 5,500,000 | 5,495,306 | ||||||
HP, Inc. (a) | 400,000 | 399,735 | ||||||
HP, Inc. (a) | 5,000,000 | 4,996,693 | ||||||
Interpublic Group Cos. (a) | 5,000,000 | 4,986,037 | ||||||
Kroger Co. (a) | 5,000,000 | 4,999,438 | ||||||
Leggett & Platt (a) | 2,000,000 | 1,999,471 | ||||||
Marriott International (a) | 5,500,000 | 5,496,413 | ||||||
Molex Electronic Technologies (a) | 5,000,000 | 4,999,059 | ||||||
Sempra Energy Holdings (a) | 4,300,000 | 4,293,497 | ||||||
Suncor Energy, Inc. (a) | 5,500,000 | 5,484,926 | ||||||
Telus Corp. (a) | 5,500,000 | 5,482,648 | ||||||
Thomson Reuters Corp. (a) | 5,500,000 | 5,488,361 | ||||||
Transcanada American (a) | 5,000,000 | 4,994,991 | ||||||
Volvo Treasury NA LLC (a) | 4,000,000 | 3,997,236 | ||||||
Whirlpool Corp. (a) | 490,000 | 488,853 | ||||||
Whirlpool Corp. (a) | 5,000,000 | 4,983,522 | ||||||
WPP CP Finance PLC (a) | 5,700,000 | 5,665,800 | ||||||
|
| |||||||
130,341,321 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
79
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | $ | 706,313 | $ | 706,313 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $131,048,652) | 131,047,634 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $628,677,036) (g) | 631,647,272 | |||||||
Other Assets/(Liabilities) — (0.2)% | (1,117,424 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 630,529,848 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | 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, 2017, these securities amounted to a value of $381,252,638 or 60.47% of net assets. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2017. |
(c) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(d) | Investment was valued using significant unobservable inputs. |
(e) | Restricted security. Certain securities are restricted as to resale. At September 30, 2017, these securities amounted to a value of $2,420,697 or 0.38% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(f) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
(#) | The Fund had the following open Purchased Options contracts at September 30, 2017: |
Purchased Options
OTC Counterparty | Units | Notional Amount | Expiration Date | Pay/ | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Barclays Bank PLC | 5,080,000 | USD | 5,080,000 | 7/12/27 | Receive | 3-Month USD LIBOR 10 Year Swaption, Underlying swap terminates 7/14/37 Strike 2.87 | $ | 323,833 | $ | 343,588 | $ | 19,755 | ||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Barclays Bank PLC | 10,930,000 | USD | 10,930,000 | 7/12/27 | Pay | 3-Month USD LIBOR 10 Year Swaption, Underlying swap terminates 7/14/37 Strike 2.87 | $ | 703,826 | $ | 655,048 | $ | (48,778 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,027,659 | $ | 998,636 | $ | (29,023 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
80
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
The Fund had the following open Futures contracts at September 30, 2017:
Futures
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Futures Contracts — Long | ||||||||||||||
U.S. Treasury Note 10 Year | 12/19/17 | 556 | $ | 70,413,847 | $ | (740,097 | ) | |||||||
U.S. Treasury Note 2 Year | 12/29/17 | 199 | 43,052,675 | (127,753 | ) | |||||||||
|
| |||||||||||||
$ | (867,850 | ) | ||||||||||||
|
| |||||||||||||
Futures Contracts — Short | ||||||||||||||
U.S. Treasury Ultra 10 Year | 12/19/17 | 198 | $ | (26,911,900 | ) | $ | 314,931 | |||||||
U.S. Treasury Note 5 Year | 12/29/17 | 1,404 | (166,117,335 | ) | 1,147,335 | |||||||||
|
| |||||||||||||
$ | 1,462,266 | |||||||||||||
|
|
The Fund had the following open Swap agreements at September 30, 2017:
Swaps
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Receive (Pay) Fixed Rate | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | |||||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||||||
USD | 6,460,000 | 6/20/22 | Quarterly | (1.000%) | CDX.NA.IG.28 | $ | (38,381 | ) | $ | (98,468 | ) | $ | (136,849 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Credit Default Swaps — Sell Protection†† | ||||||||||||||||||||||||||||||
OTC Swaps | ||||||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,500,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (228,369 | ) | $ | 924 | $ | (227,445 | ) | |||||||||||||||
Goldman Sachs International | USD | 1,120,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB-)† | | (72,834 | ) | (96,992 | ) | (169,826 | ) | ||||||||||||||||
Goldman Sachs International | USD | 400,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB-)† | | (28,604 | ) | (32,048 | ) | (60,652 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (329,807 | ) | $ | (128,116 | ) | $ | (457,923 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Credit Suisse Securities (USA) and Goldman Sachs International amounted to $67,657 and $273,428 in securities, respectively, at September 30, 2017. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protecton. |
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
81
September 30, 2017
Principal Amount | Value | |||||||
BONDS & NOTES — 131.3% | ||||||||
CORPORATE DEBT — 3.5% | ||||||||
Auto Manufacturers — 0.5% | ||||||||
General Motors Financial Co., Inc. 3 mo. USD LIBOR + 2.060%, FRN | $ | 1,280,000 | $ | 1,303,469 | ||||
|
| |||||||
Banks — 1.2% | ||||||||
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .800%, FRN | 2,250,000 | 2,252,898 | ||||||
MUFG Americas Holdings Corp. 3 mo. USD LIBOR + .570%, FRN | 870,000 | 871,128 | ||||||
|
| |||||||
3,124,026 | ||||||||
|
| |||||||
Computers — 0.8% | ||||||||
Dell International LLC/ EMC Corp. (a) | 800,000 | 815,886 | ||||||
Hewlett Packard Enterprise Co. 3 mo. USD LIBOR + 1.930%, FRN | 1,300,000 | 1,320,071 | ||||||
|
| |||||||
2,135,957 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% | ||||||||
Ally Financial, Inc. | 1,295,000 | 1,304,971 | ||||||
|
| |||||||
Pharmaceuticals — 0.5% | ||||||||
Allergan Funding SCS 3 mo. USD LIBOR + 1.080%, FRN | 1,250,000 | 1,254,140 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $5,462,888) | 9,122,563 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.0% | ||||||||
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN (b) | 129,257 | 129,148 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $129,257) | 129,148 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 32.0% | ||||||||
Auto Floor Plan ABS — 0.5% | ||||||||
Ally Master Owner Trust, Series 2015-2, Class A1, 1 mo. LIBOR + .570%, FRN | 900,000 | 901,936 |
Principal Amount | Value | |||||||
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) | $ | 520,000 | $ | 523,578 | ||||
|
| |||||||
1,425,514 | ||||||||
|
| |||||||
Automobile ABS — 8.4% | ||||||||
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) | 392,480 | 392,465 | ||||||
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) | 18,324 | �� | 18,327 | |||||
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) | 670,000 | 669,407 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class A1 | 1,925,772 | 1,925,834 | ||||||
Bank of The West Auto Trust, Series 2014-1, Class A4 (a) | 420,000 | 420,096 | ||||||
California Republic Auto Receivables Trust, Series 2013-2, Class A2 | 7,514 | 7,513 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 119,744 | 119,634 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 94,954 | 94,902 | ||||||
Chesapeake Funding II LLC, Series 2016-2A, Class A2, 1 mo. USD LIBOR + 1.000%, FRN (a) | 1,303,768 | 1,311,313 | ||||||
CPS Auto Trust, Series 2013-A, Class A (a) | 97,304 | 97,304 | ||||||
CPS Auto Trust, Series 2014-D, Class A (a) | 9,237 | 9,237 | ||||||
CPS Auto Trust, Series 2015-A, Class A (a) | 48,690 | 48,685 | ||||||
CPS Auto Trust, Series 2016-C, Class A (a) | 158,979 | 158,758 | ||||||
CPS Auto Trust, Series 2015-B, Class A (a) | 148,766 | 148,755 | ||||||
CPS Auto Trust, Series 2015-C, Class A (a) | 45,940 | 45,944 |
The accompanying notes are an integral part of the financial statements.
82
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CPS Auto Trust, Series 2013-B, Class A (a) | $ | 127,994 | $ | 127,978 | ||||
CPS Auto Trust, Series 2016-B, Class A (a) | 155,021 | 155,106 | ||||||
CPS Auto Trust, Series 2016-A, Class A (a) | 113,561 | 113,703 | ||||||
CPS Auto Trust, Series 2015-C, Class B (a) | 450,000 | 450,297 | ||||||
CPS Auto Trust, Series 2017-A, Class B (a) | 1,000,000 | 1,005,392 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) | 230,043 | 230,457 | ||||||
Drive Auto Receivables Trust, Series 2017-1, Class C | 290,000 | 291,779 | ||||||
DT Auto Owner Trust, Series 2016-3A, Class A (a) | 55,433 | 55,441 | ||||||
DT Auto Owner Trust, Series 2017-3A, Class B (a) | 420,000 | 419,482 | ||||||
DT Auto Owner Trust, Series 2016-1A, Class B (a) | 721,122 | 721,854 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) | 497,668 | 497,477 | ||||||
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) | 5,617 | 5,617 | ||||||
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) | 40,367 | 40,370 | ||||||
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) | 310,000 | 309,039 | ||||||
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) | 320,000 | 320,398 | ||||||
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) | 18,868 | 18,868 | ||||||
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) | 237,701 | 237,843 | ||||||
Flagship Credit Auto Trust, Series 2014-2, Class A (a) | 5,477 | 5,476 |
Principal Amount | Value | |||||||
Flagship Credit Auto Trust, Series 2016-3, Class A1 (a) | $ | 336,814 | $ | 336,364 | ||||
Flagship Credit Auto Trust, Series 2015-1, Class A (a) | 93,685 | 93,492 | ||||||
Flagship Credit Auto Trust, Series 2015-2, Class A (a) | 291,737 | 292,038 | ||||||
Flagship Credit Auto Trust, Series 2015-3, Class A (a) | 614,319 | 614,765 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (a) | 370,000 | 365,965 | ||||||
Flagship Credit Auto Trust, Series 2016-1, Class A (a) | 350,078 | 352,180 | ||||||
Flagship Credit Auto Trust, Series 2017-1, Class B (a) | 760,000 | 762,896 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) | 114,773 | 114,693 | ||||||
Hertz Fleet Lease Funding LP, Series 2016-1, Class A1, 1 mo. USD LIBOR + 1.100%, FRN (a) | 1,047,244 | 1,050,033 | ||||||
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) | 730,000 | 744,202 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 620,000 | 615,909 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 193,114 | 193,593 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) | 340,000 | 341,386 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | 280,000 | 281,863 | ||||||
Oscar US Funding Trust VII LLC, Series 2017-2A, Class A1 (a) | 720,000 | 719,021 | ||||||
Prestige Auto Receivables Trust, Series 2015-1, Class B (a) | 580,000 | 580,478 | ||||||
Santander Drive Auto Receivables Trust, Series 2017-3, Class A1 | 1,460,000 | 1,460,074 |
The accompanying notes are an integral part of the financial statements.
83
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Santander Drive Auto Receivables Trust, Series 2014-2, Class C | $ | 1,202,233 | $ | 1,204,682 | ||||
Santander Drive Auto Receivables Trust, Series 2014-1, Class C | 136,185 | 136,387 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-2, Class C | 900,000 | 904,236 | ||||||
Tidewater Auto Receivables Trust, Series 2016-AA, Class A2 (a) | 91,478 | 91,458 | ||||||
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) | 240,601 | 240,563 | ||||||
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) | 195,348 | 195,371 | ||||||
|
| |||||||
22,166,400 | ||||||||
|
| |||||||
Commercial MBS — 0.2% | ||||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) | 307,131 | 310,695 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class AM, VRN (b) | 5,578 | 5,577 | ||||||
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN (b) | 165,939 | 165,944 | ||||||
|
| |||||||
482,216 | ||||||||
|
| |||||||
Home Equity ABS — 0.1% | ||||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | 114,976 | 115,414 | ||||||
|
| |||||||
Other ABS — 11.6% | ||||||||
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 393,927 | 384,250 | ||||||
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 1,456,722 | 1,420,667 | ||||||
321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 359,796 | 351,140 |
Principal Amount | Value | |||||||
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | $ | 605,279 | $ | 578,928 | ||||
321 Henderson Receivables II LLC, Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 157,620 | 149,008 | ||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 629,593 | 613,302 | ||||||
BCC Funding X LLC, Series 2015-1, Class A2 (a) | 190,957 | 190,773 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 728,904 | 731,980 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | 392,378 | 390,661 | ||||||
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, Series 2005-OPT3, Class M2, 1 mo. USD LIBOR + .675%, FRN | 241,692 | 242,088 | ||||||
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) | 164,818 | 165,534 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 51,162 | 50,973 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (a) | 731,250 | 729,924 | ||||||
Diamond Resorts Owner Trust, Series 2013-1, Class A (a) | 538,476 | 535,972 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) | 499,750 | 497,969 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 78,119 | 77,866 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) | 146,803 | 146,585 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | 145,833 | 144,958 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) | 308,593 | 311,562 |
The accompanying notes are an integral part of the financial statements.
84
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B, VRN (a) (b) | $ | 197,094 | $ | 194,077 | ||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | 324,119 | 332,001 | ||||||
FNA Trust, Series 2015-1, Class A (a) | 187,187 | 186,337 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | 11,466 | 11,458 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 245,578 | 242,472 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 1,150,000 | 1,152,551 | ||||||
LCM XXIII Ltd., Series 23A, Class X, 3 mo. USD LIBOR + 1.200%, FRN (a) | 630,000 | 629,995 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 173,275 | 172,258 | ||||||
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) | 510,000 | 513,002 | ||||||
Marlette Funding Trust, Series 2017-2A, Class A (a) | 491,525 | 492,004 | ||||||
Marlette Funding Trust, Series 2017-1A, Class A (a) | 824,397 | 827,851 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 260,456 | 261,330 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 482,908 | 484,437 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN | 137,317 | 138,101 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 17,086 | 17,079 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) | 279,995 | 280,864 | ||||||
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) | 117,114 | 117,048 |
Principal Amount | Value | |||||||
New Residential Advance Receivables Trust, Series 2016-T1, Class AT1 (a) | $ | 200,000 | $ | 198,800 | ||||
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 2,600,000 | 2,580,699 | ||||||
NYCTL Trust, Series 2016-A, Class A (a) | 1,135,101 | 1,127,577 | ||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class X, 3 mo. USD LIBOR + 1.250%, FRN (a) | 553,333 | 553,328 | ||||||
OneMain Financial Issuance Trust, Series 2014-1A, Class A (a) | 77 | 77 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) | 351,071 | 350,016 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 116,277 | 115,923 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | 400,000 | 403,882 | ||||||
PFS Financing Corp., Series 2014-BA, Class A, 1 mo. LIBOR + .600%, FRN (a) | 1,000,000 | 1,001,281 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) | 99,212 | 98,967 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A, VRN (a) (b) | 158,152 | 157,829 | ||||||
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, VRN (a) (b) | 205,566 | 205,390 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) | 244,389 | 243,278 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 58,619 | 58,733 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A (a) | 69,956 | 69,898 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (a) | 102,633 | 101,004 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 400,433 | 404,413 |
The accompanying notes are an integral part of the financial statements.
85
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | $ | 1,892,700 | $ | 1,908,830 | ||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 676,542 | 683,427 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 755,152 | 766,945 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 805,527 | 815,054 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 857,975 | 863,823 | ||||||
Springleaf Funding Trust, Series 2016-AA, Class A (a) | 1,100,000 | 1,103,067 | ||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) | 477,637 | 472,272 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 643,500 | 655,364 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 149,193 | 148,920 | ||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 300,000 | 301,541 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) | 166,699 | 167,110 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 191,431 | 189,699 | ||||||
Westgate Resorts LLC, Series 2015-1A, Class A (a) | 219,754 | 220,186 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 318,781 | 317,421 | ||||||
Westgate Resorts LLC, Series 2015-2A, Class A (a) | 420,328 | 420,916 | ||||||
|
| |||||||
30,472,675 | ||||||||
|
| |||||||
Student Loans ABS — 11.2% | ||||||||
Academic Loan Funding Trust, Series 2013-1A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 1,811,847 | 1,804,084 |
Principal Amount | Value | |||||||
Access Group, Inc., Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN | $ | 145,053 | $ | 145,052 | ||||
AccessLex Institute, Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN | 24,506 | 24,495 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 118,058 | 110,420 | ||||||
Brazos Higher Education Authority, Inc., Series 2006-2, Class A10, 3 mo. USD LIBOR + .120%, FRN | 350,000 | 338,413 | ||||||
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN | 419,508 | 416,672 | ||||||
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN | 480,937 | 438,592 | ||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class A2, 1 mo. USD LIBOR + .850%, FRN (a) | 523,867 | 527,206 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A3 | 90,912 | 90,439 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) | 159,146 | 157,425 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) | 461,163 | 460,325 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) | 720,761 | 734,928 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 1,232,258 | 1,236,571 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | 213,190 | 212,622 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) | 821,885 | 821,883 |
The accompanying notes are an integral part of the financial statements.
86
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) | $ | 596,165 | $ | 598,245 | ||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | 1,370,167 | 1,371,374 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 963,195 | 963,800 | ||||||
Edsouth Indenture No 9 LLC, Series 2015-1, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 446,180 | 446,454 | ||||||
Educational Services of America, Series 2015-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 750,000 | 703,409 | ||||||
Goal Capital Funding Trust, Series 2010-1, Class A, 3 mo. USD LIBOR + .700%, FRN (a) | 369,362 | 366,167 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN | 348,159 | 346,836 | ||||||
KeyCorp Student Loan Trust, Series 2000-A, Class A2, 3 mo. USD LIBOR + .320%, FRN | 172,585 | 167,862 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN | 633,411 | 632,523 | ||||||
Navient Private Education Loan Trust, Series 2015-AA, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (a) | 626,112 | 634,072 | ||||||
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (a) | 550,000 | 549,997 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | 2,181,315 | 2,225,064 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 1,520,000 | 1,567,711 |
Principal Amount | Value | |||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) | $ | 505,147 | $ | 506,136 | ||||
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN | 500,000 | 499,573 | ||||||
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN | 391,287 | 335,432 | ||||||
Nelnet Student Loan Trust, Series 2010-4A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 62,960 | 63,640 | ||||||
Nelnet Student Loan Trust, Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 295,000 | 267,169 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | 847,772 | 847,771 | ||||||
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. USD LIBOR + 2.500%, FRN (a) | 320,000 | 331,821 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN | 250,000 | 250,000 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A9, 28 day ARS, FRN | 600,000 | 600,000 | ||||||
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN 1 | 460,000 | 438,659 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN | 500,000 | 497,527 | ||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | 348,691 | 323,389 | ||||||
SLM Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .220%, FRN | 386,721 | 352,122 | ||||||
SLM Student Loan Trust, Series 2003-12, Class A5, 3 mo. USD LIBOR + .280%, FRN (a) | 84,413 | 84,459 |
The accompanying notes are an integral part of the financial statements.
87
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN | $ | 300,000 | $ | 298,428 | ||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 383,353 | 346,698 | ||||||
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN | 295,114 | 257,819 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN | 342,161 | 324,355 | ||||||
SLM Student Loan Trust, Series 2005-6, Class A5B, 3 mo. USD LIBOR + 1.200%, FRN | 173,327 | 174,165 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN | 500,000 | 500,000 | ||||||
SLM Student Loan Trust, Series 2003-2, Class A7, 28 day ARS, FRN | 900,000 | 900,000 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) | 340,588 | 340,830 | ||||||
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100%, FRN (a) | 260,000 | 264,519 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2A (a) | 628,101 | 625,696 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) | 814,425 | 814,007 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | 191,452 | 194,146 | ||||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 1,022,951 | 1,048,268 | ||||||
|
| |||||||
29,579,270 | ||||||||
|
|
Principal Amount | Value | |||||||
WL Collateral CMO — 0.0% | ||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1, 1 mo. USD LIBOR + .700%, FRN (a) | $ | 96,174 | $ | 95,256 | ||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $83,694,225) | 84,336,745 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.7% | ||||||||
Pass-Through Securities — 0.0% | ||||||||
Government National Mortgage Association II | 126,988 | 130,482 | ||||||
|
| |||||||
Whole Loans — 0.7% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN | 92,193 | 92,308 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C06, Class 1M1 1 mo. USD LIBOR + 1.300%, FRN | 596,566 | 601,609 | ||||||
Series 2016-C05, Class 2M1 1 mo. USD LIBOR + 1.350%, FRN | 458,022 | 460,405 | ||||||
Series 2016-C04, Class 1M1 1 mo. USD LIBOR + 1.450%, FRN | 586,522 | 591,314 | ||||||
|
| |||||||
1,745,636 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $1,868,110) | 1,876,118 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 95.1% | ||||||||
U.S. Treasury Bonds & Notes — 95.1% | ||||||||
U.S. Treasury Inflation Index (c) | 15,261,526 | 15,336,388 | ||||||
U.S. Treasury Inflation Index (c) | 10,586,713 | 10,619,795 | ||||||
U.S. Treasury Inflation Index (c) | 10,274,725 | 10,306,907 | ||||||
U.S. Treasury Inflation Index | 6,945,264 | 6,944,794 |
The accompanying notes are an integral part of the financial statements.
88
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index (c) | $ | 10,644,800 | $ | 10,695,849 | ||||
U.S. Treasury Inflation Index (c) | 10,605,200 | 10,578,461 | ||||||
U.S. Treasury Inflation Index (c) | 10,309,400 | 10,205,629 | ||||||
U.S. Treasury Inflation Index (c) | 8,169,920 | 7,944,493 | ||||||
U.S. Treasury Inflation Index (c) | 10,335,100 | 10,232,578 | ||||||
U.S. Treasury Inflation Index (c) | 10,518,800 | 10,656,215 | ||||||
U.S. Treasury Inflation Index (c) | 10,838,625 | 10,839,954 | ||||||
U.S. Treasury Inflation Index (c) | 8,633,998 | 8,529,910 | ||||||
U.S. Treasury Inflation Index (c) | 5,203,692 | 5,153,832 | ||||||
U.S. Treasury Inflation Index (c) | 9,774,990 | 10,046,911 | ||||||
U.S. Treasury Inflation Index (c) | 10,496,446 | 10,718,168 | ||||||
U.S. Treasury Inflation Index (c) | 8,489,013 | 8,603,803 | ||||||
U.S. Treasury Inflation Index (c) | 4,258,880 | 3,979,665 | ||||||
U.S. Treasury Inflation Index (c) | 5,416,700 | 5,233,045 | ||||||
U.S. Treasury Inflation Index (c) | 6,330,799 | 6,037,852 | ||||||
U.S. Treasury Inflation Index | 2,991,568 | 2,948,089 | ||||||
U.S. Treasury Inflation Index | 1,621,998 | 1,645,501 | ||||||
U.S. Treasury Inflation Index (c) (d) | 9,013,787 | 9,372,399 | ||||||
U.S. Treasury Inflation Index (c) | 7,632,728 | 7,954,118 | ||||||
U.S. Treasury Inflation Index | 1,245,200 | 1,289,820 | ||||||
U.S. Treasury Inflation Index (c) | 5,776,870 | 6,373,571 | ||||||
U.S. Treasury Inflation Index (c) | 4,089,680 | 4,578,261 | ||||||
U.S. Treasury Inflation Index | 1,547,711 | 1,612,323 | ||||||
U.S. Treasury Inflation Index (c) | 4,933,400 | 5,548,237 | ||||||
U.S. Treasury Inflation Index (c) | 2,265,120 | 2,850,311 | ||||||
U.S. Treasury Inflation Index (c) | 3,129,896 | 3,960,000 | ||||||
U.S. Treasury Inflation Index (c) | 6,675,061 | 7,625,752 | ||||||
U.S. Treasury Inflation Index (c) | 4,855,440 | 5,676,188 |
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index (c) | $ | 2,667,974 | $ | 3,220,664 | ||||
U.S. Treasury Inflation Index (c) | 1,723,888 | 2,376,340 | ||||||
U.S. Treasury Inflation Index (c) | 3,783,725 | 4,952,477 | ||||||
U.S. Treasury Inflation Index (c) | 4,511,852 | 6,137,194 | ||||||
|
| |||||||
250,785,494 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $252,412,993) | 250,785,494 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $343,567,473) | 346,250,068 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $445,470) | 432,872 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $344,012,943) | 346,682,940 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 53.5% | ||||||||
Commercial Paper — 53.4% | ||||||||
Agrium, Inc. | 4,000,000 | 3,993,000 | ||||||
Amphenol Corp. (a) | 4,000,000 | 3,988,117 | ||||||
Anheuser-Busch InBev Finance, Inc. (a) | 2,000,000 | 1,998,098 | ||||||
Avangrid, Inc. (a) | 4,000,000 | 3,994,896 | ||||||
Bell Canada (a) | 4,000,000 | 3,996,954 | ||||||
CRH America Finance, Inc. (a) | 4,000,000 | 3,999,247 | ||||||
Dollar General Corp. (a) | 3,500,000 | 3,499,418 | ||||||
Dominion Resources, Inc. (a) | 4,000,000 | 3,998,171 | ||||||
E.I. Dupont (a) | 4,000,000 | 3,989,381 | ||||||
Enbridge (us), Inc. (a) | 4,000,000 | 3,994,110 | ||||||
Entergy Corp. (a) | 4,000,000 | 3,990,380 | ||||||
Equifax, Inc. (a) | 4,000,000 | 3,979,747 | ||||||
FMC Technologies, Inc. (a) | 4,000,000 | 3,996,927 | ||||||
Ford Motor Credit Co. (a) | 4,000,000 | 3,996,927 |
The accompanying notes are an integral part of the financial statements.
89
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Glencore Funding LLC (a) | $ | 4,000,000 | $ | 3,998,171 | ||||
HP, Inc. (a) | 4,000,000 | 3,997,354 | ||||||
Leggett & Platt (a) | 2,000,000 | 1,998,540 | ||||||
Leggett & Platt (a) | 2,000,000 | 1,999,471 | ||||||
Marriott Internation (a) | 4,000,000 | 3,995,836 | ||||||
Molex Electronic Technologies (a) | 4,000,000 | 3,997,236 | ||||||
Mondelez International, Inc. (a) | 3,000,000 | 2,996,995 | ||||||
Moodys Corp. (a) | 4,000,000 | 3,994,896 | ||||||
Nasdaq, Inc. (a) | 4,000,000 | 3,996,119 | ||||||
National Grid USA (a) | 4,000,000 | 3,998,325 | ||||||
Omnicom Cap, Inc. | 4,000,000 | 3,993,000 | ||||||
Schlumberger Holdings Corp. (a) | 7,000,000 | 6,992,398 | ||||||
Sempra Energy Holdings (a) | 4,000,000 | 3,995,209 | ||||||
Southern Power Co. (a) | 4,000,000 | 3,999,247 | ||||||
Spectra Energy Partners (a) | 1,000,000 | 999,774 | ||||||
Spectra Energy Partners (a) | 2,000,000 | 1,999,163 | ||||||
Spectra Energy Partners (a) | 1,000,000 | 999,193 | ||||||
Suncor Energy, Inc. (a) | 4,000,000 | 3,997,391 | ||||||
TELUS Corp. (a) | 3,400,000 | 3,396,594 | ||||||
TELUS Corp. (a) | 750,000 | 747,528 | ||||||
Thomson Reuters Corp. (a) | 1,230,000 | 1,227,755 | ||||||
Transcanada Pipelines Ltd. (a) | 4,000,000 | 3,993,791 | ||||||
Vodafone Group PLC (a) | 3,750,000 | 3,749,437 | ||||||
Volvo Group Treasury National (a) | 4,265,000 | 4,261,887 | ||||||
WPP CP Finance PLC (a) | 4,000,000 | 3,987,938 | ||||||
Xcel Energy, Inc. (a) | 4,000,000 | 3,995,210 | ||||||
|
| |||||||
140,723,831 | ||||||||
|
|
Principal Amount | Value | |||||||
Repurchase Agreement — 0.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, | $ | 292,015 | $ | 292,015 | ||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 1,485 | 1,485 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $141,018,133) | 141,017,331 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 185.0% (Cost $485,031,076) (f) | 487,700,271 | |||||||
Other Assets/(Liabilities) — (85.0)% | (224,015,327 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 263,684,944 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | 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, 2017, these securities amounted to a value of $200,199,729 or 75.92% of net assets. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2017. |
(c) | All or a portion of this security is pledged as collateral for open reverse repurchase agreements. (Note 2). |
(d) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(e) | Maturity value of $292,016. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $302,512. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
90
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
(#) | The Fund had the following open Purchased Options contracts at September 30, 2017: |
Purchased Options
OTC Counterparty | Units | Notional Amount | Expiration Date | Pay/ | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Barclays Bank PLC | 2,200,000 | USD | 2,200,000 | 7/12/27 | Receive | 3-Month LIBOR BBA 10 Year Swaption, Underlying swaps terminates 07/14/37, Strike 2.87 | $ | 140,243 | $ | 148,798 | $ | 8,555 | ||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Barclays Bank PLC | 4,740,000 | USD | 4,740,000 | 7/12/27 | Pay | 3-Month LIBOR BBA 10 Year Swaption, Underlying swaps terminates 07/14/37, Strike 2.87 | $ | 305,227 | $ | 284,074 | $ | (21,153 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 445,470 | $ | 432,872 | $ | (12,598 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
The Fund had the following open Futures contracts at September 30, 2017:
Futures
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Treasury Note 10 Year | 12/19/17 | 2 | $ | 250,819 | $ | (194 | ) | |||||||||
U.S. Treasury Ultra Long Bond | 12/19/17 | 2 | 334,490 | (4,240 | ) | |||||||||||
|
| |||||||||||||||
$ | (4,434 | ) | ||||||||||||||
|
| |||||||||||||||
Futures Contract — Short | ||||||||||||||||
U.S. Treasury Long Bond | 12/19/17 | 7 | $ | (1,070,761 | ) | $ | 1,073 | |||||||||
|
|
The Fund had the following open Swap agreements at September 30, 2017:
Swaps
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Receive (Pay) Fixed Rate | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | |||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||||
USD | 510,000 | 6/20/22 | Quarterly | (1.000%) | CDX.NA.IG.28 | $ | (3,030 | ) | $ | (7,774 | ) | $ | (10,804 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,220,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (185,740 | ) | $ | 751 | $ | (184,989 | ) |
The accompanying notes are an integral part of the financial statements.
91
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Receive (Pay) Fixed Rate | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | |||||||||||||||||||
Credit Default Swaps — Sell Protection†† (Continued) |
| |||||||||||||||||||||||||||
OTC Swaps (continued) |
| |||||||||||||||||||||||||||
Goldman Sachs International | USD | 730,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (47,472 | ) | $ | (63,218 | ) | $ | (110,690 | ) | |||||||||||||
Goldman Sachs International | USD | 260,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (18,593 | ) | (20,831 | ) | (39,424 | ) | ||||||||||||||||
JP Morgan Chase Bank N.A. | USD | 520,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (79,488 | ) | 641 | (78,847 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (331,293 | ) | $ | (82,657 | ) | $ | (413,950 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Payments Made by Fund | Payments Received by Fund | Unrealized Appreciation (Depreciation) | Premium Received (Paid) | Value | |||||||||||||||||||||
Interest Rate Swaps |
| |||||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||||
Goldman Sachs International | USD | 6,500,000 | 10/13/17 | Pay at maturity | 1.125% | USA-CPI-U | $ | 31,312 | $ | - | $ | 31,312 | ||||||||||||||||||
Bank of America N.A. | USD | 9,000,000 | 11/06/17 | Pay at maturity | 1.275% | USA-CPI-U | 47,732 | - | 47,732 | |||||||||||||||||||||
Goldman Sachs International | USD | 6,700,000 | 1/13/18 | Pay at maturity | 1.295% | USA-CPI-U | 55,292 | - | 55,292 | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | USD | 6,500,000 | 2/17/18 | Pay at maturity | 1.033% | USA-CPI-U | 101,741 | - | 101,741 | |||||||||||||||||||||
Bank of America N.A. | USD | 5,900,000 | 2/16/19 | Pay at maturity | 2.195% | USA-CPI-U | (45,228 | ) | - | (45,228 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 190,849 | $ | - | $ | 190,849 | |||||||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Credit Suisse Securities (USA) and Goldman Sachs International amounted to $11,329 and $259,784 in securities, respectively, at September 30, 2017. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protecton. |
The Fund had the following open Reverse Repurchase agreements at September 30, 2017:
Description | Value | Value Including Accrued Interest | ||||||
Agreement with Banque Paribas, dated 9/06/17, 1.330%, to be repurchased on demand until 11/03/17 at value plus accrued interest. | $ | 28,370,000 | $ | 28,396,203 | ||||
Agreement with Daiwa Securities, dated 9/06/17, 1.310%, to be repurchased on demand until 11/06/17 at value plus accrued interest. | 36,104,750 | 36,137,595 | ||||||
Agreement with Goldman Sachs & Co., dated 8/03/17, 1.320%, to be repurchased on demand until 11/03/17 at value plus accrued interest. | 58,908,955 | 59,036,395 | ||||||
Agreement with HSBC Finance Corp., dated 9/01/17, 1.320%, to be repurchased on demand until 12/05/17 at value plus accrued interest. | 56,216,500 | 56,278,025 | ||||||
Agreement with Morgan Stanley, dated 7/07/17, 1.350%, to be repurchased on demand until 10/04/17 at value plus accrued interest. | 33,094,363 | 33,201,092 | ||||||
|
|
|
| |||||
$ | 212,694,568 | $ | 213,049,310 | |||||
|
|
|
|
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
92
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 0.3% | ||||||||
PREFERRED STOCK — 0.3% | ||||||||
Financial — 0.3% | ||||||||
Insurance — 0.3% | ||||||||
The Allstate Corp. 5.100% | 130,000 | $ | 3,490,500 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,250,000) | 3,490,500 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $3,250,000) | 3,490,500 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 98.5% | ||||||||
CORPORATE DEBT — 36.0% | ||||||||
Advertising — 0.1% | ||||||||
WPP Finance 2010 | $ | 1,338,000 | 1,491,773 | |||||
|
| |||||||
Aerospace & Defense — 0.1% | ||||||||
United Technologies Corp. | 465,000 | 597,700 | ||||||
|
| |||||||
Agriculture — 0.3% | ||||||||
Bunge Ltd. Finance Corp. | 985,000 | 986,128 | ||||||
Bunge Ltd. Finance Corp. | 1,145,000 | 1,103,313 | ||||||
Bunge Ltd. Finance Corp. | 1,145,000 | 1,178,534 | ||||||
Reynolds American, Inc. | 600,000 | 734,161 | ||||||
|
| |||||||
4,002,136 | ||||||||
|
| |||||||
Airlines — 0.9% | ||||||||
American Airlines Group, Inc. (a) | 5,749,000 | 6,022,077 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class A | 626,216 | 646,568 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 245,420 | 252,660 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | 1,603,846 | 1,684,038 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 794,526 | 840,402 |
Principal Amount | Value | |||||||
WestJet Airlines Ltd. (a) | $ | 807,000 | $ | 821,043 | ||||
|
| |||||||
10,266,788 | ||||||||
|
| |||||||
Auto Manufacturers — 0.8% | ||||||||
Ford Motor Co. | 500,000 | 521,702 | ||||||
Ford Motor Credit Co. LLC | 1,265,000 | 1,275,229 | ||||||
Ford Motor Credit Co. LLC | 336,000 | 354,594 | ||||||
General Motors Co. | 1,290,000 | 1,308,800 | ||||||
General Motors Co. | 785,000 | 804,853 | ||||||
General Motors Financial Co., Inc. | 2,390,000 | 2,409,057 | ||||||
General Motors Financial Co., Inc. | 1,110,000 | 1,136,758 | ||||||
Hyundai Capital America (a) | 1,150,000 | 1,151,754 | ||||||
Hyundai Capital America (a) | 910,000 | 914,732 | ||||||
|
| |||||||
9,877,479 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% | ||||||||
Lear Corp. | 560,000 | 596,630 | ||||||
|
| |||||||
Banks — 4.2% | ||||||||
Associated Banc-Corp. | 1,080,000 | 1,094,302 | ||||||
Associated Banc-Corp. | 2,280,000 | 2,342,291 | ||||||
Banco Santander SA | 1,800,000 | 1,868,162 | ||||||
Bancolombia SA | 1,435,000 | 1,585,962 | ||||||
Bank of America Corp. | 2,880,000 | 2,985,051 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN | 1,575,000 | 1,664,769 | ||||||
Bank of America Corp. | 1,690,000 | 1,860,141 | ||||||
Bank of America Corp. | 555,000 | 815,388 | ||||||
The Bank of Nova Scotia | 1,235,000 | 1,301,477 | ||||||
Barclays PLC | 1,600,000 | 1,651,992 | ||||||
Citigroup, Inc. | 3,796,000 | 3,884,007 |
The accompanying notes are an integral part of the financial statements.
93
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Citigroup, Inc. | $ | 225,000 | $ | 355,885 | ||||
Credit Suisse Group AG (a) | 1,250,000 | 1,302,021 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 404,000 | 419,333 | ||||||
First Horizon National Corp. | 4,280,000 | 4,406,666 | ||||||
First Republic Bank | 3,990,000 | 3,965,421 | ||||||
Fulton Financial Corp. | 1,485,000 | 1,500,754 | ||||||
The Goldman Sachs Group, Inc. | 1,333,000 | 1,554,511 | ||||||
The Goldman Sachs Group, Inc. | 440,000 | 580,838 | ||||||
The Goldman Sachs Group, Inc. | 565,000 | 745,400 | ||||||
ICICI Bank Ltd. (a) | 1,800,000 | 1,817,708 | ||||||
JP Morgan Chase & Co. | 2,085,000 | 2,091,014 | ||||||
SVB Financial Group | 2,860,000 | 2,864,896 | ||||||
SVB Financial Group | 515,000 | 559,169 | ||||||
Synchrony Bank | 1,675,000 | 1,670,858 | ||||||
Turkiye Garanti Bankasi AS (a) | 2,955,000 | 3,021,487 | ||||||
UBS Group Funding Switzerland AG (a) | 1,270,000 | 1,332,238 | ||||||
Valley National Bancorp | 1,710,000 | 1,839,747 | ||||||
|
| |||||||
51,081,488 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 4,325,000 | 4,885,380 | ||||||
Molson Coors Brewing Co. | 610,000 | 611,626 | ||||||
|
| |||||||
5,497,006 | ||||||||
|
| |||||||
Biotechnology — 0.2% | ||||||||
Amgen, Inc. | 800,000 | 914,938 | ||||||
Baxalta, Inc. | 1,070,000 | 1,233,160 | ||||||
|
| |||||||
2,148,098 | ||||||||
|
|
Principal Amount | Value | |||||||
Building Materials — 0.7% | ||||||||
James Hardie International Finance DAC (a) | $ | 2,763,000 | $ | 2,901,150 | ||||
Standard Industries, Inc. (a) | 2,966,000 | 3,092,055 | ||||||
Standard Industries, Inc. (a) | 1,612,000 | 1,713,234 | ||||||
Standard Industries, Inc. (a) | 1,207,000 | 1,277,911 | ||||||
|
| |||||||
8,984,350 | ||||||||
|
| |||||||
Chemicals — 0.7% | ||||||||
Ashland, Inc. | 406,000 | 450,660 | ||||||
CF Industries, Inc. | 1,925,000 | 1,900,937 | ||||||
CF Industries, Inc. | 2,830,000 | 2,907,825 | ||||||
Incitec Pivot Finance LLC (a) | 880,000 | 943,271 | ||||||
Monsanto Co. | 625,000 | 640,405 | ||||||
RPM International, Inc. | 705,000 | 714,576 | ||||||
The Sherwin-Williams Co. | 685,000 | 718,871 | ||||||
The Sherwin-Williams Co. (a) | 650,000 | 706,301 | ||||||
|
| |||||||
8,982,846 | ||||||||
|
| |||||||
Commercial Services — 0.4% | ||||||||
The ADT Corp. | 3,100,000 | 3,444,488 | ||||||
ERAC USA Finance LLC (a) | 455,000 | 458,710 | ||||||
ERAC USA Finance LLC (a) | 355,000 | 442,767 | ||||||
|
| |||||||
4,345,965 | ||||||||
|
| |||||||
Computers — 1.0% | ||||||||
Dell International LLC/EMC Corp. (a) | 1,380,000 | 1,448,883 | ||||||
Dell International LLC/EMC Corp. (a) | 535,000 | 594,144 | ||||||
DXC Technology Co. | 575,000 | 582,668 | ||||||
DXC Technology Co. | 875,000 | 920,604 | ||||||
DXC Technology Co. | 1,750,000 | 1,871,834 | ||||||
Leidos Holdings, Inc. | 6,280,000 | 6,603,420 | ||||||
|
| |||||||
12,021,553 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
94
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Diversified Financial Services — 2.4% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | $ | 4,000,000 | $ | 4,232,131 | ||||
Affiliated Managers Group, Inc. | 2,320,000 | 2,339,356 | ||||||
Air Lease Corp. | 3,255,000 | 3,247,109 | ||||||
Ally Financial, Inc. | 2,985,000 | 3,011,596 | ||||||
Ally Financial, Inc. | 2,110,000 | 2,156,631 | ||||||
Ares Finance Co. LLC (a) | 2,380,000 | 2,284,531 | ||||||
Brookfield Finance LLC | 2,930,000 | 3,034,796 | ||||||
Discover Financial Services | 1,710,000 | 1,737,522 | ||||||
Genpact Luxembourg Sarl (a) | 2,295,000 | 2,321,527 | ||||||
International Lease Finance Corp. | 415,000 | 441,098 | ||||||
Lazard Group LLC | 1,209,000 | 1,199,225 | ||||||
Legg Mason, Inc. | 1,161,000 | 1,260,015 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (a) | 1,080,000 | 1,137,413 | ||||||
|
| |||||||
28,402,950 | ||||||||
|
| |||||||
Electric — 2.2% | ||||||||
Duke Energy Corp. | 1,340,000 | 1,290,829 | ||||||
Duke Energy Progress, Inc. | 37,000 | 47,176 | ||||||
EDP Finance BV (a) | 2,610,000 | 2,631,428 | ||||||
Entergy Louisiana LLC | 1,095,000 | 1,126,207 | ||||||
Florida Power & Light Co. | 950,000 | 1,105,050 | ||||||
IPALCO Enterprises, Inc. | 4,085,000 | 4,125,850 | ||||||
IPALCO Enterprises, Inc. (a) | 1,040,000 | 1,042,547 | ||||||
Israel Electric Corp. Ltd. (a) | 1,370,000 | 1,450,762 | ||||||
Majapahit Holding BV (a) | 1,335,000 | 1,488,658 | ||||||
Nevada Power Co., Series N | 1,000,000 | 1,352,871 | ||||||
Oncor Electric Delivery Co. | 130,000 | 192,272 |
Principal Amount | Value | |||||||
Pacific Gas & Electric Co. | $ | 800,000 | $ | 1,020,036 | ||||
Pennsylvania Electric Co. (a) | 2,090,000 | 2,168,200 | ||||||
Progress Energy, Inc. | 505,000 | 681,221 | ||||||
Puget Energy, Inc. | 1,985,000 | 2,217,638 | ||||||
Transelec SA (a) | 1,250,000 | 1,336,809 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class A (a) | 77,455 | 78,495 | ||||||
Virginia Electric and Power Co. | 925,000 | 1,227,578 | ||||||
Wisconsin Public Service Corp. | 1,405,000 | 1,409,201 | ||||||
|
| |||||||
25,992,828 | ||||||||
|
| |||||||
Electronics — 0.6% | ||||||||
Arrow Electronics, Inc. | 945,000 | 934,370 | ||||||
Arrow Electronics, Inc. | 970,000 | 967,928 | ||||||
Arrow Electronics, Inc. | 135,000 | 144,122 | ||||||
Arrow Electronics, Inc. | 750,000 | 802,558 | ||||||
Avnet, Inc. | 135,000 | 137,924 | ||||||
Avnet, Inc. | 944,000 | 996,646 | ||||||
FLIR Systems, Inc. | 1,360,000 | 1,377,916 | ||||||
Ingram Micro, Inc. STEP | 1,381,000 | 1,417,442 | ||||||
Tech Data Corp. | 810,000 | 816,798 | ||||||
|
| |||||||
7,595,704 | ||||||||
|
| |||||||
Engineering & Construction — 0.4% | ||||||||
SBA Tower Trust (a) | 1,350,000 | 1,367,820 | ||||||
SBA Tower Trust (a) | 1,500,000 | 1,511,064 | ||||||
SBA Tower Trust (a) | 1,840,000 | 1,838,734 | ||||||
|
| |||||||
4,717,618 | ||||||||
|
| |||||||
Foods — 0.4% | ||||||||
Kraft Heinz Foods Co. | 1,895,000 | 1,815,205 | ||||||
Tyson Foods, Inc. | 745,000 | 822,958 |
The accompanying notes are an integral part of the financial statements.
95
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
The WhiteWave Foods Co. | $ | 2,048,000 | $ | 2,306,188 | ||||
|
| |||||||
4,944,351 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
Spire, Inc. | 2,000,000 | 2,094,818 | ||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Kennametal, Inc. | 1,200,000 | 1,205,246 | ||||||
|
| |||||||
Health Care – Products — 0.6% | ||||||||
Abbott Laboratories | 780,000 | 800,359 | ||||||
Abbott Laboratories | 725,000 | 809,775 | ||||||
Becton Dickinson & Co. | 1,595,000 | 1,609,881 | ||||||
Becton Dickinson & Co. | 1,685,000 | 1,703,685 | ||||||
Becton Dickinson & Co. | 800,000 | 845,663 | ||||||
Zimmer Biomet Holdings, Inc. | 1,450,000 | 1,427,389 | ||||||
|
| |||||||
7,196,752 | ||||||||
|
| |||||||
Health Care – Services — 0.3% | ||||||||
Humana, Inc. | 1,565,000 | 1,635,070 | ||||||
Humana, Inc. | 780,000 | 868,583 | ||||||
UnitedHealth Group, Inc. | 875,000 | 1,241,832 | ||||||
|
| |||||||
3,745,485 | ||||||||
|
| |||||||
Home Builders — 0.3% | ||||||||
Lennar Corp. | 3,767,000 | 3,889,428 | ||||||
|
| |||||||
Household Products — 0.0% | ||||||||
Church & Dwight Co., Inc. | 515,000 | 509,962 | ||||||
|
| |||||||
Insurance — 3.0% | ||||||||
The Allstate Corp. 3 mo. USD LIBOR + | 2,270,000 | 2,491,325 | ||||||
American International Group, Inc. | 1,200,000 | 1,252,364 | ||||||
AmTrust Financial Services, Inc. | 2,965,000 | 2,932,385 | ||||||
Arch Capital Group US, Inc. | 1,150,000 | 1,280,434 | ||||||
Athene Global Funding (a) | 2,240,000 | 2,230,958 | ||||||
AXIS Specialty Finance PLC | 660,000 | 661,669 |
Principal Amount | Value | |||||||
Brown & Brown, Inc. | $ | 1,758,000 | $ | 1,854,811 | ||||
The Chubb Corp. 3 mo. USD LIBOR + | 411,000 | 408,739 | ||||||
CNA Financial Corp. | 1,095,000 | 1,083,137 | ||||||
CNO Financial Group, Inc. | 1,763,000 | 1,826,909 | ||||||
CNO Financial Group, Inc. | 2,164,000 | 2,310,070 | ||||||
Enstar Group Ltd. | 890,000 | 920,734 | ||||||
Five Corners Funding Trust (a) | 1,465,000 | 1,587,035 | ||||||
QBE Insurance Group Ltd. (a) | 900,000 | 900,975 | ||||||
Reinsurance Group of America, Inc. | 1,990,000 | 2,015,311 | ||||||
Trinity Acquisition PLC | 1,600,000 | 1,633,731 | ||||||
Trinity Acquisition PLC | 500,000 | 530,114 | ||||||
Unum Group | 1,080,000 | 1,094,446 | ||||||
USF&G Capital I (a) | 1,015,000 | 1,432,322 | ||||||
Willis North America, Inc. | 1,050,000 | 1,074,124 | ||||||
Willis North America, Inc. | 706,000 | 768,610 | ||||||
Willis Towers Watson PLC | 1,825,000 | 2,005,471 | ||||||
XLIT Ltd. | 1,275,000 | 1,305,600 | ||||||
XLIT Ltd. | 1,140,000 | 1,273,294 | ||||||
XLIT Ltd. | 1,490,000 | 1,743,893 | ||||||
|
| |||||||
36,618,461 | ||||||||
|
| |||||||
Internet — 0.4% | ||||||||
Amazon.com, Inc. (a) | 1,805,000 | 1,839,514 | ||||||
Expedia, Inc. | 3,420,000 | 3,583,648 | ||||||
|
| |||||||
5,423,162 | ||||||||
|
| |||||||
Investment Companies — 0.8% | ||||||||
Ares Capital Corp. | 3,040,000 | 3,006,097 | ||||||
Ares Capital Corp. | 3,635,000 | 3,727,039 | ||||||
FS Investment Corp. | 2,720,000 | 2,773,806 | ||||||
|
| |||||||
9,506,942 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
96
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Iron & Steel — 0.9% | ||||||||
ArcelorMittal | $ | 2,375,000 | $ | 2,535,312 | ||||
ArcelorMittal STEP | 2,241,000 | 2,437,088 | ||||||
ArcelorMittal STEP | 755,000 | 865,419 | ||||||
Reliance Steel & Aluminum Co. | 1,125,000 | 1,193,702 | ||||||
Vale Overseas Ltd. | 2,775,000 | 3,051,112 | ||||||
Vale Overseas Ltd. | 600,000 | 687,000 | ||||||
|
| |||||||
10,769,633 | ||||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
CNH Industrial Capital LLC | 1,595,000 | 1,618,925 | ||||||
CNH Industrial Capital LLC | 902,000 | 907,908 | ||||||
CNH Industrial Capital LLC | 2,870,000 | 2,949,284 | ||||||
|
| |||||||
5,476,117 | ||||||||
|
| |||||||
Media — 0.8% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 2,005,000 | 2,058,288 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 958,000 | 1,013,589 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,655,000 | 1,942,436 | ||||||
Comcast Corp. | 1,450,000 | 1,336,456 | ||||||
Discovery Communications LLC | 880,000 | 882,326 | ||||||
Discovery Communications LLC | 975,000 | 990,026 | ||||||
Time Warner Cable, Inc. | 655,000 | 785,896 | ||||||
Time Warner Cable, Inc. | 235,000 | 255,509 | ||||||
Time Warner Cable, Inc. | 365,000 | 396,478 | ||||||
Time Warner, Inc. | 15,000 | 17,969 | ||||||
|
| |||||||
9,678,973 | ||||||||
|
|
Principal Amount | Value | |||||||
Mining — 0.5% | ||||||||
Anglo American Capital PLC (a) | $ | 650,000 | $ | 648,377 | ||||
Glencore Funding LLC (a) | 2,310,000 | 2,446,868 | ||||||
Kinross Gold Corp. (a) | 996,000 | 1,004,715 | ||||||
Kinross Gold Corp. | 2,200,000 | 2,359,500 | ||||||
|
| |||||||
6,459,460 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.1% | ||||||||
General Electric Corp. | 429,000 | 628,101 | ||||||
|
| |||||||
Office Equipment/Supplies — 0.3% | ||||||||
Pitney Bowes, Inc. | 830,000 | 831,751 | ||||||
Pitney Bowes, Inc. STEP | 3,050,000 | 3,001,762 | ||||||
Pitney Bowes, Inc. | 275,000 | 278,457 | ||||||
|
| |||||||
4,111,970 | ||||||||
|
| |||||||
Office Furnishings — 0.0% | ||||||||
Steelcase, Inc. | 100,000 | 110,436 | ||||||
|
| |||||||
Oil & Gas — 2.1% | ||||||||
Anadarko Petroleum Corp. | 1,180,000 | 1,317,873 | ||||||
Antero Resources Corp. | 2,975,000 | 3,053,094 | ||||||
Cenovus Energy, Inc. (a) | 1,825,000 | 1,809,455 | ||||||
Concho Resources, Inc. | 765,000 | 768,403 | ||||||
Encana Corp. | 1,319,000 | 1,359,230 | ||||||
Encana Corp. | 1,220,000 | 1,298,279 | ||||||
Encana Corp. | 530,000 | 627,345 | ||||||
EQT Corp. | 1,180,000 | 1,184,392 | ||||||
EQT Corp. | 1,570,000 | 1,570,277 | ||||||
Helmerich & Payne International Drilling Co. | 1,415,000 | 1,496,314 | ||||||
Marathon Petroleum Corp. | 625,000 | 621,760 | ||||||
Marathon Petroleum Corp. | 1,060,000 | 1,275,501 | ||||||
Nabors Industries, Inc. | 1,335,000 | 1,308,300 |
The accompanying notes are an integral part of the financial statements.
97
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Newfield Exploration Co. | $ | 1,175,000 | $ | 1,254,312 | ||||
PBF Holding Co. LLC/PBF Finance Corp. | 1,150,000 | 1,183,062 | ||||||
Petroleos Mexicanos | 395,000 | 398,555 | ||||||
Petroleos Mexicanos | 1,690,000 | 1,803,230 | ||||||
Petroleos Mexicanos | 640,000 | 651,200 | ||||||
Petroleos Mexicanos (a) | 295,000 | 326,928 | ||||||
Petroleos Mexicanos | 202,000 | 214,423 | ||||||
Phillips 66 | 445,000 | 547,387 | ||||||
QEP Resources, Inc. | 1,675,000 | 1,762,937 | ||||||
|
| |||||||
25,832,257 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
National Oilwell Varco, Inc. | 1,288,000 | 1,250,303 | ||||||
National Oilwell Varco, Inc. | 1,423,000 | 1,200,573 | ||||||
Weatherford International Ltd. | 725,000 | 732,250 | ||||||
|
| |||||||
3,183,126 | ||||||||
|
| |||||||
Packaging & Containers — 0.5% | ||||||||
Amcor Finance USA, Inc. (a) | 3,485,000 | 3,458,591 | ||||||
Brambles USA, Inc. (a) | 926,000 | 963,989 | ||||||
Brambles USA, Inc. (a) | 685,000 | 730,449 | ||||||
Graphic Packaging International, Inc. | 520,000 | 550,056 | ||||||
Graphic Packaging International, Inc. | 440,000 | 468,600 | ||||||
|
| |||||||
6,171,685 | ||||||||
|
| |||||||
Pharmaceuticals — 0.7% | ||||||||
AbbVie, Inc. | 2,465,000 | 2,687,181 | ||||||
Allergan Funding SCS | 1,395,000 | 1,509,253 | ||||||
Express Scripts Holding Co. | 1,150,000 | 1,230,879 | ||||||
Shire Acquisitions Investments Ireland DAC | 405,000 | 402,480 |
Principal Amount | Value | |||||||
Teva Pharmaceutical Finance Netherlands III BV | $ | 625,000 | $ | 615,966 | ||||
Teva Pharmaceutical Finance Netherlands III BV | 1,244,000 | 1,197,728 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 510,000 | 429,604 | ||||||
|
| |||||||
8,073,091 | ||||||||
|
| |||||||
Pipelines — 2.5% | ||||||||
Alliance Pipeline LP (a) | 321,045 | 332,189 | ||||||
Energy Transfer LP | 1,025,000 | 1,037,812 | ||||||
Energy Transfer LP | 885,000 | 971,949 | ||||||
EnLink Midstream Partners LP | 675,000 | 680,447 | ||||||
EnLink Midstream Partners LP | 996,000 | 1,042,205 | ||||||
Enterprise Products Operating LLC | 205,000 | 244,435 | ||||||
Enterprise Products Operating LLC | 630,000 | 755,496 | ||||||
Enterprise Products Operating LLC | 152,000 | 184,262 | ||||||
Kinder Morgan Energy Partners LP | 400,000 | 461,163 | ||||||
Kinder Morgan Energy Partners LP | 571,000 | 645,412 | ||||||
Kinder Morgan Energy Partners LP | 535,000 | 611,094 | ||||||
Kinder Morgan Energy Partners LP | 65,000 | 78,841 | ||||||
Kinder Morgan Finance Co. LLC (a) | 3,900,000 | 3,943,352 | ||||||
Magellan Midstream Partners LP | 1,060,000 | 1,174,664 | ||||||
MPLX LP | 685,000 | 697,451 | ||||||
MPLX LP | 3,230,000 | 3,480,527 | ||||||
MPLX LP | 2,318,000 | 2,484,223 | ||||||
MPLX LP | 240,000 | 251,277 | ||||||
MPLX LP | 890,000 | 915,810 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 1,163,000 | 1,169,147 |
The accompanying notes are an integral part of the financial statements.
98
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Plains All American Pipeline LP/PAA Finance Corp. | $ | 1,300,000 | $ | 1,319,383 | ||||
Sabine Pass Liquefaction LLC (a) | 1,545,000 | 1,557,453 | ||||||
Sunoco Logistics Partners Operations LP | 1,370,000 | 1,364,855 | ||||||
Sunoco Logistics Partners Operations LP | 500,000 | 496,881 | ||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 1,675,000 | 1,781,781 | ||||||
Western Gas Partners LP | 2,010,000 | 2,076,844 | ||||||
|
| |||||||
29,758,953 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.1% | ||||||||
American Tower Corp. | 1,000,000 | 1,057,545 | ||||||
Brandywine Operating Partners LP | 1,100,000 | 1,114,831 | ||||||
Crown Castle International Corp. | 1,585,000 | 1,577,477 | ||||||
Crown Castle International Corp. | 775,000 | 792,487 | ||||||
Federal Realty Investment Trust | 455,000 | 495,608 | ||||||
Healthcare Trust of America Holdings LP | 700,000 | 704,621 | ||||||
Healthcare Trust of America Holdings LP | 1,385,000 | 1,355,323 | ||||||
Host Hotels & Resorts LP | 230,000 | 235,192 | ||||||
Host Hotels & Resorts LP | 1,560,000 | 1,594,371 | ||||||
Kimco Realty Corp. | 945,000 | 944,487 | ||||||
Mid-America Apartments LP | 1,090,000 | 1,094,539 | ||||||
UDR, Inc. | 1,405,000 | 1,399,238 | ||||||
Weingarten Realty Investors | 580,000 | 555,427 | ||||||
|
| |||||||
12,921,146 | ||||||||
|
| |||||||
Retail — 1.4% | ||||||||
CVS Health Corp. | 895,000 | 1,124,900 |
Principal Amount | Value | |||||||
CVS Pass-Through Trust (a) | $ | 2,042,156 | $ | 2,332,120 | ||||
Dollar Tree, Inc. | 3,240,000 | 3,418,200 | ||||||
El Puerto de Liverpool SAB de CV (a) | 2,975,000 | 3,023,344 | ||||||
The Home Depot, Inc. | 1,484,000 | 1,597,681 | ||||||
QVC, Inc. | 1,075,000 | 1,085,954 | ||||||
QVC, Inc. | 1,140,000 | 1,184,084 | ||||||
QVC, Inc. | 1,225,000 | 1,242,559 | ||||||
QVC, Inc. | 750,000 | 801,840 | ||||||
Tiffany & Co. | 1,140,000 | 1,120,503 | ||||||
|
| |||||||
16,931,185 | ||||||||
|
| |||||||
Semiconductors — 0.1% | ||||||||
QUALCOMM, Inc. | 1,380,000 | 1,410,441 | ||||||
|
| |||||||
Software — 0.4% | ||||||||
Microsoft Corp. | 2,260,000 | 2,545,240 | ||||||
Oracle Corp. | 1,720,000 | 1,779,698 | ||||||
|
| |||||||
4,324,938 | ||||||||
|
| |||||||
Telecommunications — 1.8% | ||||||||
AT&T, Inc. | 1,975,000 | 1,978,076 | ||||||
AT&T, Inc. | 1,635,000 | 1,681,885 | ||||||
AT&T, Inc. | 1,810,000 | 1,813,523 | ||||||
AT&T, Inc. | 1,970,000 | 1,894,532 | ||||||
AT&T, Inc. | 1,275,000 | 1,341,781 | ||||||
CenturyLink, Inc. | 760,000 | 798,000 | ||||||
Crown Castle Towers LLC (a) | 940,000 | 1,004,376 | ||||||
Embarq Corp. | 200,000 | 203,000 | ||||||
Hughes Satellite Systems Corp. | 1,100,000 | 1,170,125 | ||||||
Sprint Communications, Inc. | 2,500,000 | 3,087,500 | ||||||
Telefonaktiebolaget LM Ericsson | 600,000 | 595,270 |
The accompanying notes are an integral part of the financial statements.
99
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Turk Telekomunikasyon AS (a) | $ | 1,510,000 | $ | 1,527,432 | ||||
Verizon Communications, Inc. | 1,185,000 | 1,236,445 | ||||||
Verizon Communications, Inc. | 1,331,000 | 1,349,188 | ||||||
Verizon Communications, Inc. | 815,000 | 913,589 | ||||||
Verizon Communications, Inc. | 996,000 | 1,249,212 | ||||||
|
| |||||||
21,843,934 | ||||||||
|
| |||||||
Transportation — 0.3% | ||||||||
Asciano Finance Ltd. (a) | 845,000 | 882,247 | ||||||
Asciano Finance Ltd. (a) | 1,650,000 | 1,673,155 | ||||||
Autoridad del Canal de Panama (a) | 1,340,000 | 1,487,400 | ||||||
|
| |||||||
4,042,802 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
DAE Funding LLC (a) | 1,037,000 | 1,057,740 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $422,177,122) | 434,523,507 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.6% | ||||||||
JobsOhio Beverage System Series B | 3,050,000 | 3,266,702 | ||||||
New York City Water & Sewer System | 390,000 | 534,171 | ||||||
State of California BAB | 505,000 | 774,468 | ||||||
State of California BAB | 1,510,000 | 2,362,773 | ||||||
|
| |||||||
6,938,114 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $6,516,974) | 6,938,114 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.2% | ||||||||
Automobile ABS — 0.7% | ||||||||
CFC LLC, Series 2014-2A, Class A (a) | 184,369 | 184,267 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) | 191,288 | 191,155 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 2,500,000 | 2,483,505 |
Principal Amount | Value | |||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | $ | 813,542 | $ | 815,561 | ||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (a) | 4,000,000 | 3,976,296 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | 830,000 | 835,521 | ||||||
|
| |||||||
8,486,305 | ||||||||
|
| |||||||
Commercial MBS — 1.4% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN (b) | 1,445,000 | 1,454,306 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 160,703 | 160,661 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class AM, VRN (b) | 1,660,000 | 1,662,082 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5 | 2,176,000 | 2,305,467 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class B, VRN (b) | 1,200,000 | 1,210,210 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (b) | 1,050,000 | 1,006,100 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (a) | 1,100,000 | 1,143,311 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class B, VRN (a) (b) | 860,000 | 933,067 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) | 1,494,152 | 1,511,488 | ||||||
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) | 800,000 | 867,151 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN (b) | 330,678 | 332,332 |
The accompanying notes are an integral part of the financial statements.
100
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (a) (b) | $ | 825,000 | $ | 877,194 | ||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (b) | 206,183 | 205,910 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A (a) | 1,610,000 | 1,679,308 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN (b) | 232,847 | 234,317 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (b) | 1,089,746 | 1,093,995 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) | 155,573 | 158,152 | ||||||
|
| |||||||
16,835,051 | ||||||||
|
| |||||||
Home Equity ABS — 0.1% | ||||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN | 773,329 | 720,846 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + | 844,665 | 845,350 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP | 25 | 25 | ||||||
|
| |||||||
1,566,221 | ||||||||
|
| |||||||
Other ABS — 15.0% | ||||||||
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 662,924 | 634,064 | ||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (a) | 563,890 | 529,515 | ||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + | 1,075,543 | 1,071,217 | ||||||
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (a) | 2,950,000 | 2,949,979 |
Principal Amount | Value | |||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) | $ | 2,850,000 | $ | 2,879,498 | ||||
ALM VIII Ltd., Series 2013-8A, Class A1R, 3 mo. USD LIBOR + 1.490%, FRN (a) | 1,490,000 | 1,501,325 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (a) | 2,161,500 | 2,231,150 | ||||||
ARL Second LLC, Series 2014-1A, Class A1 (a) | 854,188 | 849,432 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,620,000 | 1,624,249 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) | 4,225,000 | 4,242,939 | ||||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (a) | 2,660,000 | 2,659,896 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 2,415,000 | 2,425,566 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) | 1,677,500 | 1,675,008 | ||||||
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (a) | 1,100,000 | 1,101,283 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) | 2,855,000 | 2,864,838 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% | 1,799,353 | 1,806,946 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) | 1,167,195 | 1,164,545 | ||||||
Capital Automotive REIT, Series 2017-1A, Class A2 (a) | 956,000 | 965,217 | ||||||
Capital Automotive REIT, Series 2014-1A, Class A (a) | 1,100,000 | 1,111,520 |
The accompanying notes are an integral part of the financial statements.
101
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (a) | $ | 3,900,000 | $ | 3,899,957 | ||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | 365,003 | 363,406 | ||||||
CBAM 2017-3 Ltd., Series 2017-3A, Class A, FRN (a) (b) | 2,480,000 | 2,480,000 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 1,187,910 | 1,194,280 | ||||||
CLI Funding V LLC, Series 2014-1A, Class A (a) | 1,296,810 | 1,294,191 | ||||||
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) | 677,092 | 680,032 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 254,614 | 253,673 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A, Class A (a) | 753,704 | 752,735 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (a) | 2,535,000 | 2,530,405 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) | 336,360 | 336,078 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) | 848,193 | 844,736 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) | 3,070,880 | 3,044,372 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) | 3,515,500 | 3,531,300 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (a) | 670,000 | 673,964 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (a) | 3,703,125 | 3,817,017 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A2 (a) | 352,677 | 349,543 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) | 108,590 | 109,111 |
Principal Amount | Value | |||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | $ | 527,692 | $ | 518,848 | ||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | 1,383,434 | 1,417,079 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A | 720,120 | 725,350 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) | 2,903,313 | 2,913,884 | ||||||
First Franklin Mortgage Loan Trust, Series 2005-FF2, Class M3, 1 mo. USD LIBOR + .720%, FRN | 222,890 | 223,359 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN | 6,597 | 6,597 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) | 3,170,000 | 3,181,279 | ||||||
Global Container Assets Ltd., Series 2015-1A, Class A2 (a) | 1,303,740 | 1,286,843 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) | 341,667 | 334,661 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) | 1,715,896 | 1,733,418 | ||||||
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) | 22,433 | 22,418 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 4,011,806 | 4,011,774 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (a) | 2,801,610 | 2,775,525 | ||||||
Goodgreen Trust, Series 2017-1A, Class A (a) | 1,267,032 | 1,290,530 | ||||||
GSAMP Trust, Series 2005-HE5, Class M1, 1 mo. USD LIBOR + ..420%, FRN | 164,909 | 165,026 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | 147,919 | 148,603 |
The accompanying notes are an integral part of the financial statements.
102
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Helios Issuer LLC, Series 2017-1A, Class A (a) | $ | 1,662,390 | $ | 1,683,617 | ||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) | 506,387 | 507,178 | ||||||
HERO Funding Trust, Series 2016-3A, Class A1 (a) | 1,893,417 | 1,885,660 | ||||||
HERO Funding Trust, Series 2017-2A, Class A1 (a) | 504,002 | 507,132 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (a) | 1,807,437 | 1,825,839 | ||||||
HERO Funding Trust, Series 2017-2A, Class A2 (a) | 405,178 | 415,666 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 336,573 | 335,366 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + | 4,887 | 4,887 | ||||||
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (a) | 764,081 | 787,233 | ||||||
KKR Financial CLO Ltd., Series 2018, Class A, 3 mo. USD LIBOR + 1.270%, FRN (a) | 2,000,000 | 1,999,986 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 (a) | 2,606,667 | 2,677,641 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 1,200,000 | 1,202,662 | ||||||
Lendmark Funding Trust, Series 2017-1A, Class A (a) | 1,250,000 | 1,250,423 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN | 378,786 | 379,598 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 825,824 | 820,976 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 1,038,607 | 1,042,094 | ||||||
Marlette Funding Trust, Series 2017-2A, Class B (a) | 970,000 | 970,264 |
Principal Amount | Value | |||||||
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) | $ | 474,660 | $ | 475,366 | ||||
Milos CLO Ltd., Series 2017-1A, Class A, FRN (a) (b) | 940,000 | 939,992 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 1,077,872 | 1,081,285 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) | 567,218 | 574,237 | ||||||
MVW Owner Trust, Series 2014-2, Class A (a) | 1,180,861 | 1,168,475 | ||||||
MVW Owner Trust, Series 2017-1A, Class A (a) | 594,670 | 592,438 | ||||||
MVW Owner Trust, Series 2015-1A, Class A (a) | 942,629 | 932,725 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) | 81,360 | 81,327 | ||||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (a) | 10,300,000 | 10,196,920 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (a) | 2,236,419 | 2,241,091 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) | 970,000 | 965,837 | ||||||
Oportun Funding VI LLC, Series 2017-A, Class A (a) | 1,880,000 | 1,893,438 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 292,196 | 290,359 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (a) | 1,160,678 | 1,141,406 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 516,787 | 515,213 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | 1,500,000 | 1,514,558 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN | 2,212 | 2,212 |
The accompanying notes are an integral part of the financial statements.
103
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) | $ | 700,000 | $ | 702,714 | ||||
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class M1, 1 mo. USD LIBOR + ..400%, FRN | 192,159 | 192,047 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-1A, Class A (a) | 310,892 | 308,381 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 293,096 | 293,667 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 1,671,649 | 1,688,262 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | 7,435,607 | 7,498,973 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 2,774,389 | 2,802,626 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 3,586,974 | 3,642,989 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 3,068,674 | 3,104,969 | ||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (a) | 1,100,000 | 1,096,565 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 1,319,961 | 1,328,958 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 4,200,000 | 4,202,135 | ||||||
Structured Receivables Finance LLC, Series 2010-B, Class A (a) | 380,023 | 380,428 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (a) | 1,946,350 | 1,956,070 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 2,808,000 | 2,818,578 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 2,623,500 | 2,671,869 |
Principal Amount | Value | |||||||
TAL Advantage VI LLC, Series 2017-1A, Class A (a) | $ | 2,433,077 | $ | 2,522,714 | ||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) | 2,340,000 | 2,381,434 | ||||||
Trinity Rail Leasing LLC, Series 2013-1A, Class A (a) | 771,668 | 787,926 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) | 607,961 | 609,460 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A2 (a) | 820,000 | 820,074 | ||||||
Triton Container Finance IV LLC, Series 2017-2A, Class A (a) | 3,354,272 | 3,374,057 | ||||||
Triton Container Finance VI LLC, Series 2017-1A, Class A (a) | 918,028 | 913,999 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (a) | 3,528,000 | 3,552,619 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2II (a) | 2,288,300 | 2,326,862 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A23 (a) | 3,136,000 | 3,225,676 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 1,496,499 | 1,490,115 | ||||||
|
| |||||||
180,795,449 | ||||||||
|
| |||||||
Student Loans ABS — 10.7% | ||||||||
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (a) | 1,350,000 | 1,347,484 | ||||||
Access Group, Inc., Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN | 337,201 | 337,200 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 457,475 | 427,877 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN | 875,000 | 668,849 |
The accompanying notes are an integral part of the financial statements.
104
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A2 (a) | $ | 5,193,087 | $ | 5,211,263 | ||||
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 300,349 | 306,902 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | 871,035 | 868,712 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) | 1,891,622 | 1,889,486 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (a) | 1,523,355 | 1,529,791 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) | 3,360,057 | 3,360,053 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | 3,023,816 | 3,026,480 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 3,976,067 | 3,978,567 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-1, Class A2, 28 day ARS, FRN (a) | 1,300,000 | 1,216,597 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1, 28 day ARS, FRN (a) | 1,950,000 | 1,804,678 | ||||||
Higher Education Funding I, Series 2004-1, Class B2, 28 day ARS, FRN (a) | 600,000 | 487,857 | ||||||
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) | 600,000 | 524,429 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B, Class BFX (a) | 1,190,000 | 1,186,086 | ||||||
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (a) | 3,648,824 | 3,617,601 |
Principal Amount | Value | |||||||
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN | $ | 3,300,000 | $ | 3,208,182 | ||||
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (a) (b) | 2,090,000 | 2,089,988 | ||||||
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (a) | 2,600,000 | 2,599,985 | ||||||
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (a) | 2,400,000 | 2,419,094 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) | 6,000,000 | 6,115,307 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | 3,298,359 | 3,364,512 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 13,200,000 | 13,614,333 | ||||||
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 1,200,000 | 1,117,008 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) | 1,311,908 | 1,308,744 | ||||||
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN | 1,334,661 | 1,303,479 | ||||||
Nelnet Student Loan Trust, Series 2005-1, Class A5, 3 mo. USD LIBOR + .110%, FRN | 1,224,778 | 1,201,065 | ||||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) | 2,272,942 | 2,256,313 | ||||||
Nelnet Student Loan Trust, Series 2014-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 850,000 | 771,516 |
The accompanying notes are an integral part of the financial statements.
105
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Nelnet Student Loan Trust, Series 2014-5A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | $ | 1,200,000 | $ | 1,086,918 | ||||
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,100,000 | 986,640 | ||||||
Nelnet Student Loan Trust, Series 2015-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,130,000 | 1,012,381 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) | 3,182,757 | 3,188,489 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | 164,019 | 164,019 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 1,700,000 | 1,552,900 | ||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200%, FRN | 2,152,224 | 1,980,470 | ||||||
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN | 697,000 | 687,382 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN | 850,000 | 850,000 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN | 2,300,000 | 2,288,625 | ||||||
SLM Student Loan Trust, Series 2007-3, Class B, 3 mo. USD LIBOR + .150%, FRN | 2,600,000 | 2,190,506 | ||||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 1,858,680 | 1,680,959 | ||||||
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (a) | 4,950,000 | 4,844,882 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN | $ | 1,970,000 | $ | 1,931,165 | ||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN | 450,000 | 450,000 | ||||||
SLM Student Loan Trust, Series 2002-7, Class B, 28 day ARS, FRN | 3,800,000 | 3,797,813 | ||||||
SLM Student Loan Trust, Series 2003-2, Class A7, 28 day ARS, FRN | 600,000 | 600,000 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2A (a) | 1,750,000 | 1,735,568 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A2A (a) | 3,250,000 | 3,264,740 | ||||||
SMB Private Education Loan Trust, Series 2017-A, Class B (a) | 1,800,000 | 1,750,846 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, | 1,200 | 2,640,000 | ||||||
SoFi Professional Loan Program LLC, Series 2017-D, Class R1, (Acquired 7/19/17, Cost $2,630,190) (a) (c) (g) | 4,647,800 | 2,630,190 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) | 630,000 | 626,008 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | 2,050,090 | 2,071,361 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) | 1,520,000 | 1,514,963 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (a) | 2,200,000 | 2,193,883 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (a) (b) | 1,180,000 | 1,169,703 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN | 2,030,000 | 2,008,871 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 3,025,000 | 2,943,234 |
The accompanying notes are an integral part of the financial statements.
106
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
South Texas Higher Education Authority, Inc., Series 2012-1, Class A3, 3 mo. USD LIBOR + .850%, FRN | $ | 2,000,000 | $ | 1,993,912 | ||||
|
| |||||||
128,995,866 | ||||||||
|
| |||||||
WL Collateral CMO — 0.3% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (b) | 214,990 | 216,126 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (b) | 83,853 | 85,388 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (b) | 33,111 | 32,060 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (b) | 40,713 | 42,081 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (b) | 208,327 | 203,143 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (a) (b) | 3,288,977 | 3,312,777 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (b) | 25,626 | 25,084 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (b) | 10,915 | 11,231 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (b) | 968 | 1,032 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (b) | 137,576 | 142,018 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 340,210 | 348,453 | ||||||
|
| |||||||
4,419,393 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $339,405,781) | 341,098,285 | |||||||
|
|
Principal Amount | Value | |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.7% | ||||||||
Colombia Government International Bond | $ | 2,980,000 | $ | 3,504,480 | ||||
Mexico Government International Bond 4.750% 3/08/44 | 4,328,000 | 4,460,004 | ||||||
Mexico Government International Bond 6.750% 9/27/34 | 950,000 | 1,245,450 | ||||||
|
| |||||||
9,209,934 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $8,551,708) | 9,209,934 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 25.2% | ||||||||
Collateralized Mortgage Obligations — 1.6% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Series 4303, Class AP | 3,215,947 | 3,288,245 | ||||||
Series 4290, Class CA | 2,149,823 | 2,224,482 | ||||||
Series 2617, Class Z | 1,705,278 | 1,887,255 | ||||||
Series 2693, Class Z | 3,046,675 | 3,323,128 | ||||||
Series 3423, Class PB | 581,540 | 638,664 | ||||||
Series 2178, Class PB | 253,260 | 280,161 | ||||||
Federal National Mortgage Association | ||||||||
Series 2014-7, Class VA | 1,541,313 | 1,612,392 | ||||||
Series 2014-48, Class AB | 2,962,276 | 3,105,547 | ||||||
Series 2007-32, Class Z | 904,871 | 994,369 | ||||||
Series 2010-60, Class HJ | 672,372 | 725,765 | ||||||
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA | 829,630 | 905,318 | ||||||
|
| |||||||
18,985,326 | ||||||||
|
| |||||||
Pass-Through Securities — 23.4% | ||||||||
Federal Home Loan Mortgage Corp. | 7,085,720 | 7,344,791 | ||||||
Pool #Q41916 3.500% | 1,950,903 | 2,028,329 |
The accompanying notes are an integral part of the financial statements.
107
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #Q42045 3.500% | $ | 835,630 | $ | 868,794 | ||||
Pool #Q44275 3.500% | 1,514,042 | 1,574,603 | ||||||
Pool #Q44277 3.500% | 485,064 | 503,481 | ||||||
Pool #Q45741 3.500% | 5,373,647 | 5,577,677 | ||||||
Pool #Z40047 4.000% | 320,125 | 339,395 | ||||||
Pool #Q47742 4.000% | 1,417,128 | 1,512,175 | ||||||
Pool #Q47730 4.000% | 1,711,215 | 1,825,986 | ||||||
Pool #C03537 4.500% | 1,160,600 | 1,262,923 | ||||||
Pool #G06057 4.500% | 1,308,672 | 1,415,666 | ||||||
Pool #G60485 4.500% | 1,575,775 | 1,705,099 | ||||||
Pool #G60172 4.500% | 1,717,304 | 1,869,782 | ||||||
Pool #Q48208 4.500% | 1,272,501 | 1,368,386 | ||||||
Pool #Q48869 4.500% | 8,917,618 | 9,581,214 | ||||||
Pool #G11431 6.000% | 1 | 1 | ||||||
Pool #C00836 7.000% | 10,349 | 11,997 | ||||||
Pool #C49314 7.000% | 4,871 | 5,718 | ||||||
Pool #C51422 7.000% | 1,844 | 2,165 | ||||||
Pool #C53034 7.000% | 12,923 | 15,088 | ||||||
Pool #G01311 7.000% | 55,138 | 64,292 | ||||||
Pool #G01317 7.000% | 32,714 | 38,113 | ||||||
Pool #G00143 7.500% | 440 | 488 | ||||||
Pool #C55867 7.500% | 26,474 | 30,277 | ||||||
Pool #C41497 7.500% | 118 | 140 | ||||||
Pool #C44830 7.500% | 24 | 28 | ||||||
Pool #C45235 7.500% | 16,100 | 18,910 | ||||||
Pool #C46038 7.500% | 974 | 1,148 |
Principal Amount | Value | |||||||
Pool #C01116 7.500% | $ | 1,260 | $ | 1,492 | ||||
Pool #C46309 7.500% | 519 | 617 | ||||||
Pool #C46560 7.500% | 542 | 624 | ||||||
Pool #C46810 7.500% | 126 | 150 | ||||||
Pool #C47063 7.500% | 2,855 | 3,365 | ||||||
Pool #C47060 7.500% | 752 | 888 | ||||||
Pool #G00653 8.500% | 17,126 | 19,635 | ||||||
Federal Home Loan Mortgage Corp. TBA | 15,400,000 | 15,878,845 | ||||||
Pool #3735 4.000% | 9,050,000 | 9,513,459 | ||||||
Federal National Mortgage Association | 519,946 | 546,340 | ||||||
Pool #725692 1 year CMT + 2.146%, FRN | 315,366 | 332,069 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.645%, FRN | 172,004 | 180,797 | ||||||
Pool #AS1304 3.500% | 2,084,828 | 2,181,007 | ||||||
Pool #AV1897 3.500% | 365,455 | 382,657 | ||||||
Pool #AV2325 3.500% | 1,124,656 | 1,176,540 | ||||||
Pool #AS6187 3.500% | 16,342,685 | 16,938,938 | ||||||
Pool #AS6306 3.500% | 5,590,538 | 5,803,241 | ||||||
Pool #AS6475 3.500% | 4,585,249 | 4,761,853 | ||||||
Pool #AS6476 3.500% | 5,150,603 | 5,346,567 | ||||||
Pool #AS6477 3.500% | 5,828,523 | 6,041,173 | ||||||
Pool #BH4875 3.500% | 3,035,405 | 3,131,803 | ||||||
Pool #AZ7917 4.000% | 586,615 | 622,064 | ||||||
Pool #AL8422 4.000% | 524,874 | 556,427 | ||||||
Pool #MA3027 4.000% | 9,377,478 | 9,884,814 |
The accompanying notes are an integral part of the financial statements.
108
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #BF0094 4.000% | $ | 7,151,260 | $ | 7,585,643 | ||||
Pool #BF0105 4.000% | 4,471,816 | 4,743,443 | ||||||
Pool #AH6787 4.500% | 1,261,034 | 1,373,936 | ||||||
Pool #CA0185 4.500% | 6,335,017 | 6,818,061 | ||||||
Pool #675713 5.000% | 655 | 659 | ||||||
Pool #AD6437 5.000% | 730,808 | 811,940 | ||||||
Pool #AD6996 5.000% | 4,886,441 | 5,370,123 | ||||||
Pool #AL8173 5.000% | 1,908,846 | 2,093,019 | ||||||
Pool #254379 7.000% | 37,251 | 43,693 | ||||||
Pool #252717 7.500% | 2,256 | 2,646 | ||||||
Pool #535996 7.500% | 8,588 | 10,138 | ||||||
Pool #254009 7.500% | 21,722 | 25,586 | ||||||
Pool #253394 8.000% | 5,692 | 5,997 | ||||||
Pool #323992 8.000% | 1,772 | 2,093 | ||||||
Pool #525725 8.000% | 3,335 | 3,999 | ||||||
Pool #537433 8.000% | 2,423 | 2,913 | ||||||
Pool #253266 8.000% | 4,263 | 5,085 | ||||||
Pool #253347 8.000% | 5,060 | 6,044 | ||||||
Pool #544976 8.000% | 426 | 506 | ||||||
Pool #535428 8.000% | 5,366 | 6,399 | ||||||
Pool #543290 8.000% | 56 | 68 | ||||||
Pool #547786 8.000% | 2,037 | 2,391 | ||||||
Pool #550767 8.000% | 3,082 | 3,644 | ||||||
Pool #553061 8.000% | 11,778 | 13,899 | ||||||
Pool #535533 8.000% | 4,795 | 5,731 | ||||||
Pool #253481 8.000% | 5,353 | 6,413 |
Principal Amount | Value | |||||||
Pool #560741 8.000% | $ | 2,711 | $ | 3,260 | ||||
Pool #253644 8.000% | 2,433 | 2,913 | ||||||
Pool #581170 8.000% | 1,398 | 1,651 | ||||||
Pool #583916 8.000% | 1,922 | 2,325 | ||||||
Pool #593848 8.000% | 924 | 1,114 | ||||||
Pool #190317 8.000% | 29,996 | 35,789 | ||||||
Pool #545240 8.000% | 2,818 | 3,368 | ||||||
Pool #541202 8.500% | 7,972 | 8,895 | ||||||
Federal National Mortgage Association TBA | 57,875,000 | 59,660,988 | ||||||
Government National Mortgage Association | 5,656,789 | 5,907,368 | ||||||
Pool #MA4510 3.500% | 18,634,106 | 19,397,669 | ||||||
Pool #MA4586 3.500% | 7,662,069 | 7,976,035 | ||||||
Pool #404246 6.500% | 216 | 248 | ||||||
Pool #781038 6.500% | 62,395 | 71,663 | ||||||
Pool #781468 6.500% | 4,003 | 4,646 | ||||||
Pool #781496 6.500% | 20,585 | 23,873 | ||||||
Pool #363066 7.000% | 2,570 | 2,839 | ||||||
Pool #352049 7.000% | 2,098 | 2,325 | ||||||
Pool #354674 7.000% | 2,850 | 3,126 | ||||||
Pool #345964 7.000% | 1,073 | 1,180 | ||||||
Pool #380866 7.000% | 837 | 927 | ||||||
Pool #781124 7.000% | 7,664 | 8,925 | ||||||
Pool #781319 7.000% | 139,370 | 163,371 | ||||||
Pool #581417 7.000% | 62,001 | 72,727 | ||||||
Pool #588012 7.000% | 18,602 | 21,927 |
The accompanying notes are an integral part of the financial statements.
109
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #565982 7.000% | $ | 14,581 | $ | 17,217 | ||||
Pool #357262 7.500% | 1,310 | 1,470 | ||||||
Pool #441009 8.000% | 911 | 1,066 | ||||||
Pool #522777 8.000% | 5,495 | 6,565 | ||||||
Pool #434719 8.000% | 91 | 111 | ||||||
Pool #523043 8.000% | 290 | 347 | ||||||
Pool #529134 8.000% | 1,707 | 2,073 | ||||||
Pool #477036 8.000% | 685 | 832 | ||||||
Pool #503157 8.000% | 14,724 | 17,894 | ||||||
Pool #528714 8.000% | 1,802 | 2,192 | ||||||
Pool #544640 8.000% | 11,298 | 13,787 | ||||||
Pool #531298 8.500% | 1,120 | 1,335 | ||||||
Government National Mortgage Association II | 807,283 | 829,494 | ||||||
Pool #82488 1 year CMT + 1.500%, FRN | 1,038,833 | 1,066,978 | ||||||
Pool #784026 3.500% | 3,328,541 | 3,475,335 | ||||||
Government National Mortgage Association II TBA | 19,000,000 | 19,752,579 | ||||||
Pool #1367 4.000% | 12,650,000 | 13,320,055 | ||||||
|
| |||||||
283,104,582 | ||||||||
|
| |||||||
Whole Loans — 0.2% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
Series 2016-HQA3, Class M1 1 mo. USD LIBOR + .800%, FRN | 645,541 | 645,803 | ||||||
Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN | 435,354 | 435,895 |
Principal Amount | Value | |||||||
Series 2016-HQA3, Class M2 1 mo. USD LIBOR + 1.350%, FRN | $ | 790,000 | $ | 797,831 | ||||
Series 2016-DNA1, Class M1 1 mo. USD LIBOR + 1.450%, FRN | 403,837 | 404,676 | ||||||
|
| |||||||
2,284,205 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $305,350,296) | 304,374,113 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 7.8% | ||||||||
U.S. Treasury Bonds & Notes — 7.8% | ||||||||
U.S. Treasury Bond | 16,300,000 | 15,150,086 | ||||||
U.S. Treasury Bond (e) | 12,700,000 | 14,344,054 | ||||||
U.S. Treasury Note | 36,100,000 | 36,085,899 | ||||||
U.S. Treasury Note | 29,600,000 | 28,844,969 | ||||||
|
| |||||||
94,425,008 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $94,136,953) | 94,425,008 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $1,176,138,834) | 1,190,568,961 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $2,054,031) | 1,996,073 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,181,442,865) | 1,196,055,534 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 11.5% | ||||||||
Commercial Paper — 11.4% | ||||||||
Anheuser-Busch InBev Finance, Inc. (a) | 4,000,000 | 3,996,195 | ||||||
Avangrid, Inc. (a) | 2,000,000 | 1,997,448 | ||||||
Borgwarner, Inc. (a) | 5,000,000 | 4,998,809 | ||||||
CRH America Finance, Inc. (a) | 3,000,000 | 2,998,392 |
The accompanying notes are an integral part of the financial statements.
110
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Dollar General Corp. (a) | $ | 6,500,000 | $ | 6,498,920 | ||||
Dominion Resources, Inc. (a) | 5,500,000 | 5,497,485 | ||||||
Entergy Corp. (a) | 4,500,000 | 4,499,391 | ||||||
Entergy Corp. (a) | 3,000,000 | 2,992,785 | ||||||
Fortive Corp. (a) | 6,000,000 | 5,999,099 | ||||||
Glencore Funding LlC (a) | 5,000,000 | 4,994,031 | ||||||
Glencore Funding LLC (a) | 3,000,000 | 2,998,628 | ||||||
Moodys Corp. (a) | 4,000,000 | 3,994,896 | ||||||
National Grid USA (a) | 4,250,000 | 4,248,221 | ||||||
NextEra Energy Capital Holdings, Inc. (a) | 3,250,000 | 3,248,640 | ||||||
Reckitt Benckiser Treasury Services PLC (a) | 4,000,000 | 3,995,863 | ||||||
Rogers Communications (a) | 9,500,000 | 9,490,484 | ||||||
Schlumberger Holdings Corp. (a) | 2,000,000 | 1,997,828 | ||||||
Sempra Energy Holdings (a) | 8,500,000 | 8,488,817 | ||||||
Suncor Energy, Inc. (a) | 5,000,000 | 4,996,545 | ||||||
Suncor Energy, Inc. (a) | 2,500,000 | 2,498,370 | ||||||
TELUS Corp. (a) | 7,500,000 | 7,475,283 | ||||||
Transcanada Pipelines Ltd. (a) | 5,000,000 | 4,992,239 | ||||||
Volvo Group Treasury NA (a) | 11,000,000 | 10,991,119 | ||||||
Walgreens Boots Alliance, Inc. | 6,500,000 | 6,495,006 | ||||||
Whirlpool Corp. (a) | 5,000,000 | 4,988,298 | ||||||
WPP CP Finance PLC (a) | 7,000,000 | 6,982,384 | ||||||
Xcel Energy, Inc. (a) | 5,500,000 | 5,493,411 | ||||||
|
| |||||||
137,848,587 | ||||||||
|
|
Principal Amount | Value | |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | $ | 830,618 | $ | 830,618 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $138,680,087) | 138,679,205 | |||||||
|
| |||||||
TOTAL INVESTMENTS —110.5% (Cost $1,320,122,952) (f) | 1,334,734,739 | |||||||
|
| |||||||
Other Assets/(Liabilities) — (10.5)% | (127,157,502 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,207,577,237 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, these securities amounted to a value of $510,045,558 or 42.24% of net assets. |
(b) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2017. |
(c) | Restricted security. Certain securities are restricted as to resale. At September 30, 2017, these securities amounted to a value of $5,270,190 or 0.44% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
(g) | Investment was valued using significant unobservable inputs. |
The accompanying notes are an integral part of the financial statements.
111
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
(#) | The Fund had the following open Purchased Options contracts at September 30, 2017: |
Purchased Options
OTC Counterparty | Units | Notional Amount | Expiration Date | Pay/ | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||
Barclays Bank PLC | 10,160,000 | USD | 10,160,000 | 7/12/27 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87 | $ | 647,667 | $ | 687,176 | $ | 39,509 | ||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
Barclays Bank PLC | 21,840,000 | USD | 21,840,000 | 7/12/27 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87 | $ | 1,406,364 | $ | 1,308,897 | $ | (97,467 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 2,054,031 | $ | 1,996,073 | $ | (57,958 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
The Fund had the following open Futures contracts at September 30, 2017:
Futures
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||
Futures Contracts — Long | ||||||||||||
U.S. Treasury Ultra Long Bond | 12/19/17 | 239 | $40,006,923 | $ | (542,048 | ) | ||||||
U.S. Treasury Note 2 Year | 12/29/17 | 282 | 61,001,017 | (172,735 | ) | |||||||
U.S. Treasury Note 5 Year | 12/29/17 | 814 | 96,282,399 | (637,399 | ) | |||||||
|
| |||||||||||
$ | (1,352,182 | ) | ||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
112
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
The Fund had the following open Swap agreements at September 30, 2017:
Swaps
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Receive (Pay) Fixed Rate | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | |||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||||
USD | 18,890,000 | 6/20/22 | Quarterly | (1.000%) | CDX.NA.IG.28 | $ | (112,230 | ) | $ | (287,936 | ) | $ | (400,166 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||
Goldman Sachs International | USD | 4,100,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (624,210 | ) | $ | 2,526 | $ | (621,684 | ) | ||||||||||||||
Goldman Sachs International | USD | 2,660,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (172,980 | ) | (230,356 | ) | (403,336 | ) | ||||||||||||||||
Goldman Sachs International | USD | 970,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (69,365 | ) | (77,716 | ) | (147,081 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (866,555 | ) | $ | (305,546 | ) | $ | (1,172,101 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Credit Suisse Securities (USA) and Goldman Sachs International amounted to $198,185 and $1,287,225 in securities, respectively at September 30, 2017. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protecton. |
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
113
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 0.1% | ||||||||
COMMON STOCK — 0.0% | ||||||||
Basic Materials — 0.0% | ||||||||
Forest Products & Paper — 0.0% | ||||||||
The Newark Group, Inc. (a) (b) (c) | 26,904 | $ | 807 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $2,032) | 807 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Insurance — 0.1% | ||||||||
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN | 10,000 | 268,500 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $250,000) | 268,500 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $252,032) | 269,307 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 96.3% | ||||||||
CORPORATE DEBT — 40.1% | ||||||||
Advertising — 0.1% | ||||||||
WPP Finance 2010 | $ | 225,000 | 250,859 | |||||
|
| |||||||
Aerospace & Defense — 0.8% | ||||||||
Harris Corp. | 90,000 | 90,945 | ||||||
Moog, Inc. (d) | 600,000 | 625,500 | ||||||
Orbital ATK, Inc. | 435,000 | 450,225 | ||||||
Spirit AeroSystems, Inc. | 65,000 | 65,544 | ||||||
TransDigm, Inc. | 225,000 | 230,485 | ||||||
United Technologies Corp. | 105,000 | 134,965 | ||||||
|
| |||||||
1,597,664 | ||||||||
|
| |||||||
Agriculture — 0.4% | ||||||||
Bunge Ltd. Finance Corp. | 165,000 | 165,189 | ||||||
Bunge Ltd. Finance Corp. | 185,000 | 178,265 | ||||||
Bunge Ltd. Finance Corp. | 50,000 | 51,464 | ||||||
Reynolds American, Inc. | 200,000 | 214,368 |
Principal Amount | Value | |||||||
Reynolds American, Inc. | $ | 150,000 | $ | 183,540 | ||||
|
| |||||||
792,826 | ||||||||
|
| |||||||
Airlines — 0.4% | ||||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 19,478 | 20,053 | ||||||
American Airlines-Pass Through Trust, Series 2014-1, Class A | 55,759 | 57,571 | ||||||
Delta Air Lines, Inc. | 300,000 | 308,340 | ||||||
Guanay Finance Ltd. (d) | 171,384 | 175,668 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 53,264 | 56,340 | ||||||
WestJet Airlines Ltd. (d) | 98,000 | 99,705 | ||||||
|
| |||||||
717,677 | ||||||||
|
| |||||||
Auto Manufacturers — 1.5% | ||||||||
Ford Motor Co. | 100,000 | 103,801 | ||||||
Ford Motor Co. | 45,000 | 58,279 | ||||||
Ford Motor Credit Co. LLC | 200,000 | 201,292 | ||||||
Ford Motor Credit Co. LLC | 200,000 | 211,068 | ||||||
General Motors Co. | 215,000 | 218,133 | ||||||
General Motors Co. | 130,000 | 133,288 | ||||||
General Motors Co. | 225,000 | 226,503 | ||||||
General Motors Financial Co., Inc. | 395,000 | 398,150 | ||||||
General Motors Financial Co., Inc. | 470,000 | 478,262 | ||||||
General Motors Financial Co., Inc. | 360,000 | 366,869 | ||||||
General Motors Financial Co., Inc. | 200,000 | 206,497 | ||||||
Hyundai Capital America (d) | 80,000 | 80,122 | ||||||
Hyundai Capital America (d) | 60,000 | 60,312 | ||||||
JB Poindexter & Co., Inc. (d) | 200,000 | 209,000 | ||||||
|
| |||||||
2,951,576 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
114
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Auto Parts & Equipment — 0.3% | ||||||||
Cooper Tire & Rubber Co. | $ | 255,000 | $ | 282,412 | ||||
The Goodyear Tire & Rubber Co. | 212,000 | 218,250 | ||||||
International Automotive Components Group SA (d) | 9,000 | 9,000 | ||||||
Meritor, Inc. | 118,000 | 122,130 | ||||||
|
| |||||||
631,792 | ||||||||
|
| |||||||
Banks — 3.7% | ||||||||
Associated Banc-Corp. | 310,000 | 314,105 | ||||||
Associated Banc-Corp. | 495,000 | 508,524 | ||||||
Banco General SA (d) | 260,000 | 260,143 | ||||||
Banco Santander SA | 200,000 | 207,574 | ||||||
Bank of America Corp. | 475,000 | 492,326 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN | 265,000 | 280,104 | ||||||
Bank of America Corp. | 55,000 | 70,500 | ||||||
Bank of America Corp. | 125,000 | 183,646 | ||||||
The Bank of Nova Scotia | 200,000 | 210,765 | ||||||
Barclays PLC | 270,000 | 278,774 | ||||||
Citigroup, Inc. | 440,000 | 450,201 | ||||||
Citigroup, Inc. | 345,000 | 367,301 | ||||||
Citigroup, Inc. | 75,000 | 95,580 | ||||||
Discover Bank | 285,000 | 278,861 | ||||||
First Republic Bank | 560,000 | 556,550 | ||||||
Fulton Financial Corp. | 240,000 | 242,546 | ||||||
The Goldman Sachs Group, Inc. | 290,000 | 331,985 | ||||||
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 3.922%, VRN | 240,000 | 248,664 | ||||||
The Goldman Sachs Group, Inc. | 220,000 | 256,558 |
Principal Amount | Value | |||||||
The Goldman Sachs Group, Inc. | $ | 35,000 | $ | 46,203 | ||||
The Goldman Sachs Group, Inc. | 40,000 | 52,772 | ||||||
HSBC Holdings PLC | 125,000 | 165,970 | ||||||
JP Morgan Chase & Co. | 450,000 | 451,298 | ||||||
JP Morgan Chase & Co. | 270,000 | 307,429 | ||||||
SVB Financial Group | 295,000 | 295,505 | ||||||
SVB Financial Group | 35,000 | 38,002 | ||||||
Synchrony Bank | 285,000 | 284,295 | ||||||
Valley National Bancorp | 110,000 | 118,346 | ||||||
|
| |||||||
7,394,527 | ||||||||
|
| |||||||
Beverages — 0.4% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 250,000 | 393,323 | ||||||
JB y Cia SA de CV (d) | 350,000 | 352,826 | ||||||
Molson Coors Brewing Co. | 80,000 | 80,213 | ||||||
|
| |||||||
826,362 | ||||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 175,000 | 200,143 | ||||||
|
| |||||||
Building Materials — 0.5% | ||||||||
James Hardie International Finance DAC (d) | 297,000 | 311,850 | ||||||
Owens Corning | 140,000 | 147,456 | ||||||
Standard Industries, Inc. (d) | 490,000 | 510,825 | ||||||
|
| |||||||
970,131 | ||||||||
|
| |||||||
Chemicals — 0.4% | ||||||||
Incitec Pivot Finance LLC (d) | 50,000 | 53,595 | ||||||
LYB International Finance BV | 250,000 | 284,895 | ||||||
Methanex Corp. | 40,000 | 42,143 | ||||||
Monsanto Co. | 100,000 | 102,465 | ||||||
RPM International, Inc. | 115,000 | 116,562 |
115
The accompanying notes are an integral part of the financial statements.
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
The Sherwin-Williams Co. | $ | 115,000 | $ | 120,686 | ||||
The Sherwin-Williams Co. (d) | 150,000 | 162,993 | ||||||
|
| |||||||
883,339 | ||||||||
|
| |||||||
Commercial Services — 0.5% | ||||||||
The ADT Corp. | 393,000 | 436,672 | ||||||
ERAC USA Finance LLC (d) | 25,000 | 25,204 | ||||||
ERAC USA Finance LLC (d) | 505,000 | 482,692 | ||||||
ERAC USA Finance LLC (d) | 50,000 | 65,767 | ||||||
|
| |||||||
1,010,335 | ||||||||
|
| |||||||
Computers — 0.7% | ||||||||
Dell International LLC/EMC Corp. (d) | 320,000 | 335,973 | ||||||
DXC Technology Co. | 95,000 | 96,267 | ||||||
DXC Technology Co. | 145,000 | 152,557 | ||||||
DXC Technology Co. | 290,000 | 310,190 | ||||||
Leidos Holdings, Inc. | 550,000 | 578,325 | ||||||
|
| |||||||
1,473,312 | ||||||||
|
| |||||||
Diversified Financial Services — 3.2% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 300,000 | 307,191 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 343,000 | 350,982 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 400,000 | 428,734 | ||||||
Affiliated Managers Group, Inc. | 245,000 | 258,585 | ||||||
Ally Financial, Inc. | 495,000 | 536,085 | ||||||
Ally Financial, Inc. | 500,000 | 644,950 | ||||||
Ares Finance Co. LLC (d) | 225,000 | 215,975 | ||||||
Brookfield Finance LLC | 475,000 | 491,989 | ||||||
Brookfield Finance, Inc. | 430,000 | 443,659 | ||||||
Discover Financial Services | 275,000 | 279,426 |
Principal Amount | Value | |||||||
Genpact Luxembourg Sarl (d) | $ | 375,000 | $ | 379,334 | ||||
International Lease Finance Corp. | 341,000 | 359,209 | ||||||
Lazard Group LLC | 196,000 | 194,415 | ||||||
Lazard Group LLC | 915,000 | 966,649 | ||||||
Legg Mason, Inc. | 95,000 | 100,923 | ||||||
Legg Mason, Inc. | 235,000 | 255,042 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (d) | 180,000 | 189,569 | ||||||
|
| |||||||
6,402,717 | ||||||||
|
| |||||||
Electric — 1.2% | ||||||||
Berkshire Hathaway Energy Co. | 120,000 | 151,825 | ||||||
Duke Energy Corp. | 175,000 | 168,578 | ||||||
EDP Finance BV (d) | 430,000 | 433,530 | ||||||
Elwood Energy LLC | 246,310 | 275,867 | ||||||
Entergy Louisiana LLC | 110,000 | 113,135 | ||||||
Indianapolis Power & Light Co. (d) | 110,000 | 109,297 | ||||||
IPALCO Enterprises, Inc. | 290,000 | 292,900 | ||||||
IPALCO Enterprises, Inc. (d) | 175,000 | 175,429 | ||||||
Pennsylvania Electric Co. (d) | 150,000 | 155,612 | ||||||
Puget Energy, Inc. | 100,000 | 101,758 | ||||||
Puget Sound Energy, Inc. | 210,000 | 227,140 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class A (d) | 5,798 | 5,875 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class B (d) | 185,000 | 226,177 | ||||||
|
| |||||||
2,437,123 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.2% | ||||||||
Legrand France SA | 250,000 | 320,831 | ||||||
|
|
116
The accompanying notes are an integral part of the financial statements.
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Electronics — 0.7% | ||||||||
Agilent Technologies, Inc. | $ | 73,000 | $ | 75,594 | ||||
Arrow Electronics, Inc. | 45,000 | 45,204 | ||||||
Arrow Electronics, Inc. | 160,000 | 158,200 | ||||||
Arrow Electronics, Inc. | 160,000 | 159,658 | ||||||
Arrow Electronics, Inc. | 45,000 | 48,041 | ||||||
Avnet, Inc. | 45,000 | 45,975 | ||||||
Avnet, Inc. | 67,000 | 70,737 | ||||||
FLIR Systems, Inc. | 180,000 | 182,371 | ||||||
Ingram Micro, Inc. STEP | 335,000 | 343,840 | ||||||
Jabil, Inc. | 45,000 | 46,100 | ||||||
Tech Data Corp. | 135,000 | 136,133 | ||||||
|
| |||||||
1,311,853 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% | ||||||||
SBA Tower Trust (d) | 180,000 | 181,328 | ||||||
SBA Tower Trust (d) | 180,000 | 182,376 | ||||||
Zachry Holdings, Inc. (d) | 56,000 | 57,680 | ||||||
|
| |||||||
421,384 | ||||||||
|
| |||||||
Entertainment — 0.1% | ||||||||
National CineMedia LLC | 109,000 | 101,097 | ||||||
|
| |||||||
Food Service — 0.3% | ||||||||
Aramark Services, Inc. | 500,000 | 526,450 | ||||||
|
| |||||||
Foods — 0.3% | ||||||||
Kraft Heinz Foods Co. | 170,000 | 162,841 | ||||||
Tyson Foods, Inc. | 65,000 | 71,802 | ||||||
The WhiteWave Foods Co. | 333,000 | 374,981 | ||||||
|
| |||||||
609,624 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
Celulosa Arauco y Constitucion SA | 200,000 | 211,471 |
Principal Amount | Value | |||||||
International Paper Co. | $ | 110,000 | $ | 122,677 | ||||
|
| |||||||
334,148 | ||||||||
|
| |||||||
Gas — 0.0% | ||||||||
NiSource Finance Corp. | 90,000 | 99,460 | ||||||
|
| |||||||
Health Care – Products — 0.5% | ||||||||
Abbott Laboratories | 130,000 | 133,393 | ||||||
Abbott Laboratories | 120,000 | 134,032 | ||||||
Becton Dickinson & Co. | 270,000 | 272,519 | ||||||
Becton Dickinson & Co. | 275,000 | 278,049 | ||||||
Becton Dickinson & Co. | 125,000 | 132,135 | ||||||
|
| |||||||
950,128 | ||||||||
|
| |||||||
Health Care – Services — 1.2% | ||||||||
HCA, Inc. | 493,000 | 504,092 | ||||||
HCA, Inc. | 800,000 | 865,000 | ||||||
HCA, Inc. | 350,000 | 368,812 | ||||||
Humana, Inc. | 260,000 | 271,641 | ||||||
Humana, Inc. | 130,000 | 144,764 | ||||||
UnitedHealth Group, Inc. | 85,000 | 87,207 | ||||||
UnitedHealth Group, Inc. | 75,000 | 106,443 | ||||||
|
| |||||||
2,347,959 | ||||||||
|
| |||||||
Home Builders — 0.3% | ||||||||
PulteGroup, Inc. | 198,000 | 205,920 | ||||||
PulteGroup, Inc. | 441,000 | 480,866 | ||||||
|
| |||||||
686,786 | ||||||||
|
| |||||||
Household Products — 0.0% | ||||||||
Church & Dwight Co., Inc. | 85,000 | 84,168 | ||||||
|
| |||||||
Household Products & Wares — 0.0% | ||||||||
Avery Dennison Corp. | 30,000 | 30,044 | ||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Toro Co. | 170,000 | 210,248 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
117
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Insurance — 3.2% | ||||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN | $ | 790,000 | $ | 867,025 | ||||
American International Group, Inc. | 135,000 | 140,558 | ||||||
AmTrust Financial Services, Inc. | 490,000 | 484,610 | ||||||
Arch Capital Finance LLC | 75,000 | 83,556 | ||||||
Arch Capital Group US, Inc. | 80,000 | 89,074 | ||||||
Athene Global Funding (d) | 975,000 | 1,015,072 | ||||||
AXIS Specialty Finance PLC | 45,000 | 45,114 | ||||||
Brown & Brown, Inc. | 395,000 | 416,752 | ||||||
CNA Financial Corp. | 185,000 | 182,996 | ||||||
CNO Financial Group, Inc. | 535,000 | 571,112 | ||||||
Enstar Group Ltd. | 145,000 | 150,007 | ||||||
Five Corners Funding Trust (d) | 100,000 | 108,330 | ||||||
Marsh & McLennan Cos., Inc. | 150,000 | 185,688 | ||||||
Prudential Financial, Inc. | 125,000 | 161,518 | ||||||
Reinsurance Group of America, Inc. | 315,000 | 319,006 | ||||||
Trinity Acquisition PLC | 390,000 | 413,489 | ||||||
Unum Group | 145,000 | 146,940 | ||||||
Unum Group | 125,000 | 127,944 | ||||||
USF&G Capital I (d) | 95,000 | 134,060 | ||||||
Willis North America, Inc. | 175,000 | 179,021 | ||||||
Willis North America, Inc. | 43,000 | 46,813 | ||||||
XLIT Ltd. | 390,000 | 399,360 | ||||||
XLIT Ltd. | 200,000 | 210,330 | ||||||
|
| |||||||
6,478,375 | ||||||||
|
| |||||||
Internet — 0.5% | ||||||||
Amazon.com, Inc. (d) | 300,000 | 305,737 |
Principal Amount | Value | |||||||
Expedia, Inc. | $ | 280,000 | $ | 304,504 | ||||
Expedia, Inc. | 320,000 | 335,312 | ||||||
Netflix, Inc. (d) | 148,000 | 148,509 | ||||||
|
| |||||||
1,094,062 | ||||||||
|
| |||||||
Investment Companies — 0.6% | ||||||||
Ares Capital Corp. | 510,000 | 504,312 | ||||||
Ares Capital Corp. | 205,000 | 210,191 | ||||||
FS Investment Corp. | 200,000 | 203,956 | ||||||
TCP Capital Corp. | 300,000 | 298,103 | ||||||
|
| |||||||
1,216,562 | ||||||||
|
| |||||||
Iron & Steel — 0.5% | ||||||||
Reliance Steel & Aluminum Co. | 65,000 | 68,969 | ||||||
Vale Overseas Ltd. | 825,000 | 907,088 | ||||||
Vale Overseas Ltd. | 100,000 | 114,500 | ||||||
|
| |||||||
1,090,557 | ||||||||
|
| |||||||
Lodging — 0.3% | ||||||||
MGM Resorts International | 534,000 | 540,675 | ||||||
|
| |||||||
Media — 3.2% | ||||||||
Altice Financing SA (d) | 200,000 | 212,000 | ||||||
CBS Corp. | 100,000 | 137,140 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 600,000 | 623,250 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 168,000 | 177,748 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (d) | 476,000 | 494,501 | ||||||
Comcast Corp. | 140,000 | 129,037 | ||||||
Discovery Communications LLC | 150,000 | 150,396 | ||||||
Discovery Communications LLC | 200,000 | 194,915 |
The accompanying notes are an integral part of the financial statements.
118
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Discovery Communications LLC | $ | 165,000 | $ | 167,543 | ||||
DISH DBS Corp. | 1,000,000 | 1,048,125 | ||||||
SFR Group SA (d) | 800,000 | 844,800 | ||||||
Sirius XM Radio, Inc. (d) | 1,000,000 | 1,055,000 | ||||||
TEGNA, Inc. | 500,000 | 513,125 | ||||||
Time Warner Cable, Inc. | 400,000 | 379,099 | ||||||
Time Warner Cable, Inc. | 240,000 | 249,198 | ||||||
|
| |||||||
6,375,877 | ||||||||
|
| |||||||
Mining — 0.2% | ||||||||
Glencore Funding LLC (d) | 280,000 | 284,298 | ||||||
Glencore Funding LLC (d) | 200,000 | 211,850 | ||||||
|
| |||||||
496,148 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.2% | ||||||||
Carlisle Cos., Inc. | 85,000 | 86,824 | ||||||
General Electric Corp. | 72,000 | 105,416 | ||||||
Textron, Inc. | 120,000 | 127,279 | ||||||
|
| |||||||
319,519 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.4% | ||||||||
Pitney Bowes, Inc. | 140,000 | 140,295 | ||||||
Pitney Bowes, Inc. STEP | 675,000 | 664,325 | ||||||
Pitney Bowes, Inc. | 10,000 | 10,126 | ||||||
|
| |||||||
814,746 | ||||||||
|
| |||||||
Oil & Gas — 2.4% | ||||||||
Anadarko Petroleum Corp. | 150,000 | 167,526 | ||||||
Cenovus Energy, Inc. (d) | 300,000 | 297,445 | ||||||
Citgo Holding, Inc. (d) | 500,000 | 538,750 | ||||||
Concho Resources, Inc. | 130,000 | 130,578 | ||||||
Encana Corp. | 160,000 | 189,387 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. (d) | 220,000 | 171,325 |
Principal Amount | Value | |||||||
EP Energy LLC/Everest Acquisition Finance, Inc. | $ | 47,000 | $ | 39,128 | ||||
EQT Corp. | 195,000 | 195,726 | ||||||
EQT Corp. | 260,000 | 260,046 | ||||||
Helmerich & Payne International Drilling Co. | 150,000 | 158,620 | ||||||
Jupiter Resources, Inc. (d) | 225,000 | 161,437 | ||||||
Marathon Petroleum Corp. | 175,000 | 210,578 | ||||||
Murphy Oil USA, Inc. | 175,000 | 184,187 | ||||||
Nabors Industries, Inc. | 220,000 | 215,600 | ||||||
Newfield Exploration Co. | 1,000,000 | 1,051,250 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 200,000 | 205,750 | ||||||
Petroleos Mexicanos | 25,000 | 25,225 | ||||||
Petroleos Mexicanos | 375,000 | 400,125 | ||||||
Petroleos Mexicanos | 35,000 | 35,613 | ||||||
Petroleos Mexicanos (d) | 65,000 | 72,035 | ||||||
Petroleos Mexicanos | 51,000 | 54,137 | ||||||
Rowan Cos., Inc. | 151,000 | 141,562 | ||||||
|
| |||||||
4,906,030 | ||||||||
|
| |||||||
Oil & Gas Services — 0.2% | ||||||||
National Oilwell Varco, Inc. | 209,000 | 202,883 | ||||||
National Oilwell Varco, Inc. | 239,000 | 201,642 | ||||||
|
| |||||||
404,525 | ||||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Brambles USA, Inc. (d) | 90,000 | 93,692 | ||||||
Brambles USA, Inc. (d) | 35,000 | 37,322 | ||||||
BWAY Holding Co. (d) | 200,000 | 209,000 | ||||||
Sonoco Products Co. | 100,000 | 105,237 | ||||||
|
| |||||||
445,251 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
119
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pharmaceuticals — 1.2% | ||||||||
AbbVie, Inc. | $ | 200,000 | $ | 218,027 | ||||
AstraZeneca PLC | 250,000 | 334,905 | ||||||
Express Scripts Holding Co. | 185,000 | 198,011 | ||||||
Express Scripts Holding Co. | 185,000 | 195,348 | ||||||
McKesson Corp. | 70,000 | 77,695 | ||||||
Mylan NV | 250,000 | 271,187 | ||||||
Shire Acquisitions Investments Ireland DAC | 400,000 | 397,511 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 125,000 | 123,193 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 219,000 | 210,854 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 85,000 | 71,601 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 113,000 | 99,016 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 200,000 | 201,250 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 115,000 | 122,773 | ||||||
|
| |||||||
2,521,371 | ||||||||
|
| |||||||
Pipelines — 2.6% | ||||||||
Energy Transfer LP | 60,000 | 62,663 | ||||||
Energy Transfer LP | 170,000 | 172,125 | ||||||
Energy Transfer LP | 200,000 | 210,535 | ||||||
Energy Transfer LP | 180,000 | 197,685 | ||||||
EnLink Midstream Partners LP | 200,000 | 200,574 | ||||||
EnLink Midstream Partners LP | 125,000 | 126,009 | ||||||
EnLink Midstream Partners LP | 154,000 | 161,144 | ||||||
Enterprise Products Operating LLC | 16,000 | 19,078 |
Principal Amount | Value | |||||||
Enterprise Products Operating LLC | $ | 135,000 | $ | 161,892 | ||||
Enterprise Products Operating LLC | 12,000 | 14,547 | ||||||
Kinder Morgan Energy Partners LP | 65,000 | 74,939 | ||||||
Kinder Morgan Energy Partners LP | 85,000 | 96,077 | ||||||
Kinder Morgan Energy Partners LP | 80,000 | 91,378 | ||||||
Kinder Morgan Energy Partners LP | 15,000 | 18,194 | ||||||
Kinder Morgan, Inc. | 250,000 | 254,521 | ||||||
Kinder Morgan, Inc. (d) | 225,000 | 250,612 | ||||||
MPLX LP | 110,000 | 111,999 | ||||||
MPLX LP | 239,000 | 257,537 | ||||||
MPLX LP | 468,000 | 501,560 | ||||||
MPLX LP | 40,000 | 41,879 | ||||||
MPLX LP | 142,000 | 146,118 | ||||||
Phillips 66 Partners LP | 90,000 | 90,079 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 515,000 | 522,679 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 230,000 | 208,130 | ||||||
Sabine Pass Liquefaction LLC | 638,000 | 703,800 | ||||||
Sunoco Logistics Partners Operations LP | 120,000 | 119,549 | ||||||
Sunoco Logistics Partners Operations LP | 75,000 | 74,532 | ||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (d) | 102,000 | 104,805 | ||||||
Western Gas Partners LP | 331,000 | 342,008 | ||||||
|
| |||||||
5,336,648 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.3% | ||||||||
Brandywine Operating Partners LP | 300,000 | 304,045 | ||||||
Crown Castle International Corp. | 260,000 | 258,766 | ||||||
Crown Castle International Corp. | 125,000 | 127,821 |
The accompanying notes are an integral part of the financial statements.
120
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Crown Castle International Corp. | $ | 70,000 | $ | 71,516 | ||||
CubeSmart LP | 305,000 | 293,191 | ||||||
DCT Industrial Operating Partnership LP | 60,000 | 63,216 | ||||||
Digital Realty Trust LP | 140,000 | 144,372 | ||||||
Federal Realty Investment Trust | 25,000 | �� | 27,231 | |||||
Healthcare Trust of America Holdings LP | 115,000 | 115,759 | ||||||
Healthcare Trust of America Holdings LP | 240,000 | 239,358 | ||||||
Highwoods Realty LP | 110,000 | 113,261 | ||||||
Host Hotels & Resorts LP | 255,000 | 260,618 | ||||||
Kimco Realty Corp. | 160,000 | 159,913 | ||||||
Mid-America Apartments LP | 185,000 | 185,770 | ||||||
UDR, Inc. | 240,000 | 239,016 | ||||||
Weingarten Realty Investors | 75,000 | 71,823 | ||||||
|
| |||||||
2,675,676 | ||||||||
|
| |||||||
Retail — 1.3% | ||||||||
CVS Health Corp. | 25,000 | 31,422 | ||||||
CVS Pass-Through Trust (d) | 212,725 | 242,929 | ||||||
CVS Pass-Through Trust (d) | 16,250 | 20,127 | ||||||
Dollar Tree, Inc. | 1,000,000 | 1,055,000 | ||||||
El Puerto de Liverpool SAB de CV (d) | 280,000 | 284,550 | ||||||
The Home Depot, Inc. | 100,000 | 131,772 | ||||||
Penske Automotive Group, Inc. | 500,000 | 516,875 | ||||||
Tiffany & Co. | 105,000 | 103,204 | ||||||
Wal-Mart Stores, Inc. | 205,000 | 263,673 | ||||||
|
| |||||||
2,649,552 | ||||||||
|
| |||||||
Semiconductors — 0.7% | ||||||||
NXP BV/NXP Funding LLC (d) | 110,000 | 111,100 |
Principal Amount | Value | |||||||
NXP BV/NXP Funding LLC (d) | $ | 1,000,000 | $ | 1,075,000 | ||||
QUALCOMM, Inc. | 230,000 | 235,073 | ||||||
|
| |||||||
1,421,173 | ||||||||
|
| |||||||
Software — 0.4% | ||||||||
Oracle Corp. | 250,000 | 310,353 | ||||||
VMware, Inc. | 510,000 | 513,046 | ||||||
|
| |||||||
823,399 | ||||||||
|
| |||||||
Telecommunications — 1.9% | ||||||||
AT&T, Inc. | 330,000 | 330,514 | ||||||
AT&T, Inc. | 265,000 | 272,599 | ||||||
AT&T, Inc. | 300,000 | 300,584 | ||||||
AT&T, Inc. | 305,000 | 293,316 | ||||||
AT&T, Inc. | 215,000 | 226,261 | ||||||
Embarq Corp. | 45,000 | 45,675 | ||||||
Hughes Satellite Systems Corp. | 444,000 | 475,080 | ||||||
Motorola Solutions, Inc. | 90,000 | 90,874 | ||||||
Sprint Capital Corp. | 500,000 | 560,000 | ||||||
T-Mobile USA, Inc. | 165,000 | 177,837 | ||||||
Telefonaktiebolaget LM Ericsson | 325,000 | 322,438 | ||||||
Verizon Communications, Inc. | 200,000 | 208,683 | ||||||
Verizon Communications, Inc. | 135,000 | 151,331 | ||||||
Verizon Communications, Inc. | 357,000 | 447,760 | ||||||
|
| |||||||
3,902,952 | ||||||||
|
| |||||||
Transportation — 0.4% | ||||||||
Asciano Finance Ltd. (d) | 45,000 | 46,984 | ||||||
The Kenan Advantage Group, Inc. (d) | 720,000 | 739,800 | ||||||
|
| |||||||
786,784 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
121
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Trucking & Leasing — 0.1% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (d) | $ | 145,000 | $ | 146,063 | ||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $78,223,708) | 81,020,508 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.2% | ||||||||
State of California BAB | 125,000 | 191,700 | ||||||
State of California BAB | 150,000 | 234,712 | ||||||
|
| |||||||
426,412 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $353,697) | 426,412 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.9% | ||||||||
Automobile ABS — 1.4% | ||||||||
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (d) | 9,620 | 9,622 | ||||||
CFC LLC, Series 2014-2A, Class A (d) | 11,869 | 11,863 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (d) | 119,282 | 119,496 | ||||||
Drive Auto Receivables Trust, Series 2016-AA, Class B (d) | 96,906 | 97,004 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (d) | 300,000 | 296,728 | ||||||
Flagship Credit Auto Trust, Series 2016-2, Class A2 (d) | 500,000 | 502,985 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (d) | 19,129 | 19,115 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (d) | 320,000 | 317,889 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (d) | 106,829 | 107,094 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (d) | 600,000 | 596,444 |
Principal Amount | Value | |||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (d) | $ | 150,000 | $ | 150,998 | ||||
Santander Drive Auto Receivables Trust, Series 2015-3, Class C | 200,000 | 201,570 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class D | 280,000 | 283,845 | ||||||
|
| |||||||
2,714,653 | ||||||||
|
| |||||||
Commercial MBS — 1.1% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN (e) | 91,515 | 91,794 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN (e) | 100,000 | 100,644 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 | 11,586 | 11,582 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class AM, VRN (e) | 115,000 | 115,144 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5 | 152,000 | 161,044 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class AM | 100,000 | 105,291 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A4, VRN (e) | 110,000 | 118,711 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (e) | 110,000 | 105,401 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (d) | 100,000 | 103,937 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (e) | 151,490 | 153,248 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN (e) | 21,127 | 21,232 | ||||||
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN (e) | 80,599 | 80,601 |
The accompanying notes are an integral part of the financial statements.
122
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (e) | $ | 13,520 | $ | 13,502 | ||||
VNO Mortgage Trust, Series 2013-PENN, Class A (d) | 110,000 | 114,735 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (e) | 306,971 | 308,168 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class C, VRN (e) | 140,000 | 138,259 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 110,000 | 114,674 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class C, VRN (e) | 100,000 | 104,123 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class C, VRN (e) | 170,000 | 182,233 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class D, VRN (e) | 115,000 | 120,140 | ||||||
|
| |||||||
2,264,463 | ||||||||
|
| |||||||
Home Equity ABS — 0.4% | ||||||||
Accredited Mortgage Loan Trust, Series 2005-3, Class M1, 1 mo. USD LIBOR + .450%, FRN | 46,472 | 46,504 | ||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | 91,981 | 92,331 | ||||||
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1, 1 mo. USD LIBOR + ..480%, FRN | 164,222 | 164,803 | ||||||
Conseco Finance Corp., Series 2002-A, Class M1, 1 mo. LIBOR + 1.850%, FRN | 26,752 | 26,850 | ||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN | 193,391 | 180,266 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (d) | 126,115 | 125,827 |
Principal Amount | Value | |||||||
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2, 1 mo. USD LIBOR + .220%, FRN | $ | 24,934 | $ | 24,943 | ||||
MASTR Asset Backed Securities Trust, Series 2005, Class M1, 1 mo. USD LIBOR + .720%, FRN | 99,504 | 95,937 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 48,966 | 49,006 | ||||||
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP | 1 | 1 | ||||||
Option One Mortgage Loan Trust, Series 2005-5, Class A3, 1 mo. USD LIBOR + .210%, FRN | 54,085 | 54,124 | ||||||
Option One Mortgage Loan Trust, Series 2005-3, Class M1, 1 mo. USD LIBOR + .470%, FRN | 24,703 | 24,762 | ||||||
Residential Asset Securities Corp., Series 2005-AHL3, Class A2, 1 mo. USD LIBOR + .240%, FRN | 1,941 | 1,939 | ||||||
|
| |||||||
887,293 | ||||||||
|
| |||||||
Other ABS — 17.2% | ||||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (d) | 86,752 | 81,464 | ||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN 2.962% 1/25/35 | 68,725 | 68,448 | ||||||
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (d) | 250,000 | 249,998 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (d) | 390,000 | 394,037 | ||||||
ALM VIII Ltd., Series 2013-8A, Class A1R, 3 mo. USD LIBOR + 1.490%, FRN (d) | 670,000 | 675,093 | ||||||
ALM XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.150%, FRN (d) | 500,000 | 501,456 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (d) | 250,000 | 250,952 |
The accompanying notes are an integral part of the financial statements.
123
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (d) | $ | 265,275 | $ | 273,823 | ||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class M1, 1 mo. USD LIBOR + | 406,148 | 389,711 | ||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (d) | 166,832 | 162,515 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (d) | 250,000 | 250,656 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (d) | 445,000 | 446,889 | ||||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (d) | 330,000 | 329,987 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (d) | 250,000 | 251,094 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, STEP (d) | 479,167 | 498,067 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (d) | 305,000 | 306,051 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (d) | 212,424 | 213,320 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (d) | 201,846 | 201,387 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class B (d) | 166,742 | 165,929 | ||||||
Capital Automotive REIT, Series 2014-1A, Class A (d) | 100,000 | 101,047 | ||||||
Capital Automotive REIT, Series 2017-1A, Class A2 (d) | 159,333 | 160,870 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (d) | 250,000 | 249,997 |
Principal Amount | Value | |||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-4A, Class A1, 3 mo. USD LIBOR + 1.470%, FRN (d) | $ | 600,000 | $ | 601,098 | ||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, 1 mo. USD LIBOR + .150%, FRN | 41,120 | 40,936 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (d) | 395,970 | 398,093 | ||||||
CLI Funding V LLC, Series 2014-2A, Class A (d) | 69,909 | 69,727 | ||||||
CLI Funding VI LLC, Series 2017-1A, Class A (d) | 366,051 | 366,064 | ||||||
CLI Funding VI LLC, Series 2016-1A, Class A (d) | 457,283 | 459,248 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 54,572 | 54,371 | ||||||
CWABS Asset-Backed Certificates Trust, Series 2005-4, Class MV5, 1 mo. USD LIBOR + .670%, FRN | 440,000 | 434,964 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (d) | 507,000 | 506,081 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2II (d) | 390,000 | 398,268 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (d) | 59,230 | 59,018 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class B (d) | 603,209 | 598,035 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class B (d) | 75,032 | 74,921 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (d) | 414,750 | 416,614 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (d) | 170,000 | 171,006 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (d) | 612,250 | 631,080 |
The accompanying notes are an integral part of the financial statements.
124
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A2 (d) | $ | 187,883 | $ | 182,174 | ||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (d) | 15,513 | 15,587 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (d) | 283,494 | 275,635 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class B (d) | 172,862 | 169,097 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (d) | 62,821 | 61,768 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A2 (d) | 160,000 | 160,314 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (d) | 173,917 | 178,147 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (d) | 202,157 | 202,893 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN | 1,157 | 1,157 | ||||||
Fremont Home Loan Trust, Series 2005-2, Class M2, 1 mo. USD LIBOR + .720%, FRN | 74,391 | 74,469 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (d) | 340,000 | 341,210 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (d) | 279,556 | 282,411 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (d) | 360,667 | 360,664 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (d) | 453,066 | 448,847 | ||||||
Goodgreen Trust, Series 2017-1A, Class A (d) | 233,914 | 238,252 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (d) | 293,363 | 297,109 |
Principal Amount | Value | |||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (d) | $ | 126,597 | $ | 126,794 | ||||
HERO Funding Trust, Series 2016-3A, Class A1 (d) | 257,438 | 256,384 | ||||||
HERO Funding Trust, Series 2017-2A, Class A1 (d) | 108,706 | 109,381 | ||||||
HERO Funding Trust, Series 2016-4A, Class A2 (d) | 244,004 | 253,125 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (d) | 49,116 | 48,495 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (d) | 59,538 | 59,325 | ||||||
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (d) | 85,959 | 88,564 | ||||||
JP Morgan Mortgage Acquisition Trust, Series 2006-CH1, Class A5, 1 mo. USD LIBOR + .230%, FRN | 105,125 | 104,936 | ||||||
KKR Financial CLO Ltd., Series 2018, Class A, 3 mo. USD LIBOR + 1.270%, FRN (d) | 300,000 | 299,998 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 (d) | 450,417 | 462,681 | ||||||
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (d) | 480,000 | 483,572 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN | 67,240 | 67,384 | ||||||
Madison Park Funding Ltd., Series 2016-22A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (d) | 250,000 | 252,570 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (d) | 500,000 | 502,484 | ||||||
Mariner Finance Issuance Trust, Series 2017-AA, Class A (d) | 320,000 | 321,884 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (d) | 331,197 | 332,309 |
The accompanying notes are an integral part of the financial statements.
125
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Marlette Funding Trust, Series 2017-2A, Class B (d) | $ | 140,000 | $ | 140,038 | ||||
Merrill Lynch Mortgage Investors, Inc., Series 2005-WMC2, Class M3, 1 mo. USD LIBOR + .705%, FRN | 1,665 | 1,666 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (d) | 288,144 | 289,056 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (d) | 94,536 | 95,706 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (d) | 52,716 | 52,420 | ||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (d) | 10,170 | 10,166 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (d) | 145,831 | 146,283 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (d) | 1,800,000 | 1,786,638 | ||||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (d) | 1,700,000 | 1,682,987 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (d) | 470,000 | 464,791 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (d) | 208,794 | 209,230 | ||||||
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.410%, FRN (d) | 480,000 | 486,242 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (d) | 120,000 | 119,485 | ||||||
OneMain Financial Issuance Trust, Series 2014-2A, Class A (d) | 16,049 | 16,064 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (d) | 34,376 | 34,160 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (d) | 186,282 | 183,189 |
Principal Amount | Value | |||||||
Ownit Mortgage Loan Trust, Series 2005-2, Class M4, 1 mo. USD LIBOR + .930%, FRN | $ | 16,675 | $ | 16,687 | ||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (d) | 180,875 | 180,324 | ||||||
Park Place Securities Inc, Series 2005-WCW2, Class M1, ABS, 1 mo. USD LIBOR + .500%, FRN | 58,954 | 59,088 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN | 135 | 135 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class M1, 1 mo. USD LIBOR + .480%, FRN | 87,546 | 86,466 | ||||||
Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class A3, 1 mo. USD LIBOR + .280%, FRN | 76,931 | 76,773 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (d) | 38,717 | 38,621 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (d) | 250,000 | 250,969 | ||||||
Seneca Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (d) | 250,000 | 251,239 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (d) | 37,930 | 38,004 | ||||||
Sierra Receivables Funding Co. LLC, Series 2016-1A, Class B (d) | 103,500 | 104,335 | ||||||
Sierra Timeshare 2015-3 Receivables Funding LLC, Series 2015-3A, Class A (d) | 86,205 | 86,216 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (d) | 51,316 | 50,502 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (d) | 247,887 | 250,351 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (d) | 1,250,534 | 1,261,191 |
The accompanying notes are an integral part of the financial statements.
126
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (d) | $ | 648,172 | $ | 658,295 | ||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (d) | 498,659 | 504,557 | ||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1, 1 mo. USD LIBOR + .450%, FRN | 49,337 | 49,392 | ||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (d) | 110,000 | 109,656 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (d) | 315,324 | 317,473 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (d) | 710,000 | 710,361 | ||||||
Store Master Funding LLC, Series 2013-3A, Class A1 (d) | 112,706 | 114,474 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (d) | 307,841 | 309,379 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (d) | 300,000 | 301,130 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (d) | 475,200 | 483,961 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A23 (d) | 435,600 | 460,466 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (d) | 40,282 | 40,209 | ||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (d) | 320,000 | 325,666 | ||||||
Textainer Marine Containers Ltd., Series 2017-2A, Class A (d) | 225,562 | 224,989 | ||||||
Textainer Marine Containers V Ltd., Series 2017-1A, Class A (d) | 293,136 | 296,659 | ||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (d) | 230,000 | 231,182 |
Principal Amount | Value | |||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A2 (d) | $ | 140,000 | $ | 140,013 | ||||
Triton Container Finance IV LLC, Series 2017-2A, Class A (d) | 585,509 | 588,963 | ||||||
Triton Container Finance VI LLC, Series 2017-1A, Class A (d) | 185,559 | 184,745 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class B (d) | 99,218 | 98,180 | ||||||
Welk Resorts LLC, Series 2017-AA, Class B | 256,567 | 256,057 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (d) | 367,500 | 370,065 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2II (d) | 323,400 | 328,850 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A23 (d) | 343,000 | 352,808 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (d) | 86,144 | 85,364 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (d) | 239,086 | 238,066 | ||||||
|
| |||||||
34,811,917 | ||||||||
|
| |||||||
Student Loans ABS — 8.5% | ||||||||
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (d) | 470,000 | 469,124 | ||||||
Access Group, Inc., Series 2006-1, Class B, 3 mo. USD LIBOR + .450%, FRN | 540,390 | 486,558 | ||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 130,000 | 111,697 | ||||||
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN | 397,650 | 391,564 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 29,515 | 27,605 |
The accompanying notes are an integral part of the financial statements.
127
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class C (d) | $ | 450,000 | $ | 447,594 | ||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (d) | 218,624 | 207,482 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (d) | 257,042 | 256,574 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (d) | 126,480 | 127,680 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A2 (d) | 792,166 | 794,938 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (d) | 115,134 | 117,646 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (d) | 296,278 | 295,944 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (d) | 309,331 | 310,410 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (d) | 531,683 | 532,018 | ||||||
KeyCorp Student Loan Trust, Series 2004-A, Class 2B, 3 mo. USD LIBOR + .530%, FRN | 75,167 | 75,180 | ||||||
KeyCorp Student Loan Trust, Series 1999-B, Class CTFS, 3 mo. USD LIBOR + .900%, FRN | 51,386 | 50,907 | ||||||
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (d) (e) | 390,000 | 389,998 | ||||||
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (d) | 400,000 | 399,998 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (d) | 800,000 | 815,374 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (d) | 2,140,000 | 2,207,172 |
Principal Amount | Value | |||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (d) | $ | 188,488 | $ | 188,857 | ||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (d) | 211,112 | 210,602 | ||||||
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN | 186,614 | 159,975 | ||||||
Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 28 day ARS, FRN | 150,000 | 141,338 | ||||||
Nelnet Student Loan Trust, Series 2012-2A, Class B, 1 mo. USD LIBOR + 1.000%, FRN (d) | 200,000 | 174,204 | ||||||
Nelnet Student Loan Trust, Series 2012-1A, Class B, 1 mo. USD LIBOR + 1.000%, FRN (d) | 150,000 | 135,952 | ||||||
Nelnet Student Loan Trust, Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 100,000 | 90,566 | ||||||
Nelnet Student Loan Trust, Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 440,000 | 401,791 | ||||||
Nelnet Student Loan Trust, Series 2014-5A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 100,000 | 90,576 | ||||||
Pennsylvania Higher Education Assistance Agency, Series 2015-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 130,000 | 119,596 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (d) | 531,845 | 532,802 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 190,000 | 173,559 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN | 100,000 | 100,000 | ||||||
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN | 156,005 | 142,937 |
The accompanying notes are an integral part of the financial statements.
128
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | $ | 183,521 | $ | 170,205 | ||||
SLM Student Loan Trust, Series 2005-9, Class B, 3 mo. USD LIBOR + .300%, FRN | 118,442 | 107,566 | ||||||
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN | 152,476 | 133,206 | ||||||
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (d) | 700,000 | 685,135 | ||||||
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 310,000 | 303,889 | ||||||
SLM Student Loan Trust, Series 2013-1, Class B, 1 mo. USD LIBOR + 1.800%, FRN | 381,000 | 375,067 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN | 50,000 | 50,000 | ||||||
SLM Student Loan Trust, Series 2002-7, Class B, 28 day ARS, FRN | 600,000 | 599,655 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2A (d) | 228,000 | 226,120 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, | 200 | 440,000 | ||||||
SoFi Professional Loan Program LLC, Series 2017-D, Class R1 (Acquired 7/19/17, | 1,000,000 | 565,900 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (d) | 250,000 | 249,172 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (d) | 300,000 | 299,166 | ||||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (d) | 104,133 | 106,710 |
Principal Amount | Value | |||||||
SoFi Professional Loan Program LLC, Series 2014-A, Class A2 (d) | $ | 39,549 | $ | 39,947 | ||||
SoFi Professional Loan Program LLC, Series 2017-D, Class BFX (d) | 500,000 | 489,621 | ||||||
SoFi Professional Loan Program LLC, Series 2017-C, Class C, VRN (e) | 180,000 | 174,593 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class C, VRN (e) | 170,000 | 172,819 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 550,000 | 535,133 | ||||||
South Carolina Student Loan Corp., Series 2015-A, Class A, 1 mo. USD LIBOR + 1.500%, FRN | 156,100 | 156,876 | ||||||
|
| |||||||
17,058,998 | ||||||||
|
| |||||||
WL Collateral CMO — 0.3% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (e) | 34,385 | 34,567 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (e) | 10,494 | 10,686 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (e) | 4,309 | 4,173 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (e) | 5,961 | 6,162 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (e) | 32,518 | 31,709 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (e) | 524,330 | 528,124 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (e) | 2,857 | 2,796 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (e) | 1,915 | 1,970 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (e) | 120 | 127 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (e) | 15,484 | 15,984 |
The accompanying notes are an integral part of the financial statements.
129
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | $ | 43,764 | $ | 44,825 | ||||
|
| |||||||
681,123 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $58,041,259) | 58,418,447 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.9% | ||||||||
Brazilian Government International Bond | 100,000 | 107,004 | ||||||
Colombia Government International Bond | 440,000 | 517,440 | ||||||
Mexico Government International Bond | 375,000 | 491,625 | ||||||
Mexico Government International Bond | 554,000 | 570,897 | ||||||
|
| |||||||
1,686,966 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,656,956) | 1,686,966 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 21.1% | ||||||||
Collateralized Mortgage Obligations — 0.7% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Series 4303, Class AP | 234,773 | 240,051 | ||||||
Series 4290, Class CA | 148,674 | 153,837 | ||||||
Series 2617, Class Z | 124,139 | 137,386 | ||||||
Series 2693, Class Z | 225,062 | 245,484 | ||||||
Series 3423, Class PB | 63,441 | 69,673 | ||||||
Series 2178, Class PB | 13,764 | 15,226 | ||||||
Federal National Mortgage Association | ||||||||
Series 2014-7, Class VA | 110,748 | 115,856 | ||||||
Series 2014-48, Class AB | 216,682 | 227,162 | ||||||
Series 2007-32, Class Z | 96,421 | 105,957 | ||||||
Series 2010-60, Class HJ | 49,439 | 53,365 |
Principal Amount | Value | |||||||
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA | $ | 60,118 | $ | 65,603 | ||||
|
| |||||||
1,429,600 | ||||||||
|
| |||||||
Pass-Through Securities — 20.4% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #Q37467 3.500% | 846,056 | 876,990 | ||||||
Pool #Q41916 3.500% | 315,860 | 328,396 | ||||||
Pool #Q42045 3.500% | 127,161 | 132,208 | ||||||
Pool #Q44275 3.500% | 241,504 | 251,164 | ||||||
Pool #Q44277 3.500% | 58,208 | 60,418 | ||||||
Pool #Q45741 3.500% | 647,716 | 672,309 | ||||||
Pool #Q47742 4.000% | 219,899 | 234,648 | ||||||
Pool #Q47730 4.000% | 268,905 | 286,941 | ||||||
Pool #C03537 4.500% | 198,520 | 216,023 | ||||||
Pool #G06057 4.500% | 174,490 | 188,755 | ||||||
Pool #G60485 4.500% | 205,536 | 222,404 | ||||||
Pool #G60172 4.500% | 220,167 | 239,716 | ||||||
Pool #Q48208 4.500% | 146,827 | 157,891 | ||||||
Pool #Q48869 4.500% | 1,428,790 | 1,535,112 | ||||||
Pool #G11476 5.000% | 4,480 | 4,534 | ||||||
Pool #B16010 5.000% | 189 | 194 | ||||||
Pool #B17058 5.000% | 573 | 589 | ||||||
Pool #B18677 5.000% | 354 | 363 | ||||||
Pool #G11431 6.000% | 1 | 1 | ||||||
Pool #G01311 7.000% | 1,163 | 1,356 | ||||||
Pool #C80207 7.500% | 933 | 1,042 | ||||||
Pool #C00530 7.500% | 899 | 1,043 | ||||||
Pool #C00563 7.500% | 3,333 | 3,875 |
The accompanying notes are an integral part of the financial statements.
130
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #C00612 7.500% | $ | 199 | $ | 231 | ||||
Pool #C55867 7.500% | 3,997 | 4,571 | ||||||
Federal Home Loan Mortgage Corp. TBA | ||||||||
Pool # 3376 3.500% | 3,325,000 | 3,428,387 | ||||||
Pool #3735 4.000% | 1,250,000 | 1,314,014 | ||||||
Federal National Mortgage Association | ||||||||
Pool #888586 1 year CMT + 2.207%, FRN | 157,422 | 165,413 | ||||||
Pool #AR3007 3.000% | 242,724 | 244,772 | ||||||
Pool #725692 1 year CMT + 2.146%, FRN | 82,051 | 86,397 | ||||||
Pool #AS1304 3.500% | 285,423 | 298,590 | ||||||
Pool #AV1897 3.500% | 45,682 | 47,832 | ||||||
Pool #AV2325 3.500% | 155,125 | 162,281 | ||||||
Pool #AS6187 3.500% | 1,931,408 | 2,001,875 | ||||||
Pool #AS6306 3.500% | 672,612 | 698,202 | ||||||
Pool #AS6475 3.500% | 605,599 | 628,924 | ||||||
Pool #AS6476 3.500% | 637,278 | 661,524 | ||||||
Pool #AS6477 3.500% | 719,994 | 746,263 | ||||||
Pool #BH4875 3.500% | 534,163 | 551,126 | ||||||
Pool #AX0120 4.000% | 120,786 | 127,443 | ||||||
Pool #AZ7917 4.000% | 97,769 | 103,677 | ||||||
Pool #AL8422 4.000% | 233,277 | 247,301 | ||||||
Pool #MA3027 4.000% | 2,173,426 | 2,291,012 | ||||||
Pool #BF0094 4.000% | 1,191,877 | 1,264,274 | ||||||
Pool #BF0105 4.000% | 605,558 | 642,341 | ||||||
Pool #AH6787 4.500% | 162,133 | 176,649 | ||||||
Pool #CA0185 4.500% | 997,640 | 1,073,710 |
Principal Amount | Value | |||||||
Pool #735010 5.000% | $ | 36,471 | $ | 37,292 | ||||
Pool #AD6437 5.000% | 95,121 | 105,681 | ||||||
Pool #AD6996 5.000% | 638,495 | 701,696 | ||||||
Pool #AL8173 5.000% | 252,240 | 276,578 | ||||||
Pool #575579 7.500% | 8,301 | 9,782 | ||||||
Pool #535996 7.500% | 1,188 | 1,403 | ||||||
Federal National Mortgage Association TBA | 7,425,000 | 7,654,131 | ||||||
Government National Mortgage Association | ||||||||
Pool #783896 3.500% | 402,066 | 419,876 | ||||||
Pool #MA4510 3.500% | 3,072,645 | 3,198,552 | ||||||
Pool #MA4586 3.500% | 1,144,335 | 1,191,226 | ||||||
Pool #579140 6.500% | 814 | 936 | ||||||
Pool #587280 6.500% | 1,177 | 1,351 | ||||||
Pool #550659 6.500% | 105,050 | 120,735 | ||||||
Pool #538689 6.500% | 16,648 | 19,210 | ||||||
Pool #780651 7.000% | 1,372 | 1,573 | ||||||
Pool #462384 7.000% | 827 | 947 | ||||||
Pool #482668 7.000% | 1,073 | 1,237 | ||||||
Pool #506804 7.000% | 6,433 | 7,312 | ||||||
Pool #506914 7.000% | 5,915 | 6,247 | ||||||
Pool #581417 7.000% | 3,772 | 4,425 | ||||||
Pool #423836 8.000% | 954 | 1,112 | ||||||
Pool #444619 8.000% | 7,722 | 8,950 | ||||||
Government National Mortgage Association II | ||||||||
Pool #82462 1 year CMT + 1.500%, FRN | 45,353 | 46,601 | ||||||
Pool #82488 1 year CMT + 1.500%, FRN | 61,308 | 62,969 |
The accompanying notes are an integral part of the financial statements.
131
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #784026 3.500% | $ | 448,228 | $ | 467,995 | ||||
Government National Mortgage Association II TBA | ||||||||
Pool #1635 3.500% | 3,100,000 | 3,222,789 | ||||||
Pool #1367 4.000% | 1,075,000 | 1,131,941 | ||||||
|
| |||||||
41,085,328 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $42,625,358) | 42,514,928 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 5.1% | ||||||||
U.S. Treasury Bonds & Notes — 5.1% | ||||||||
U.S. Treasury Bond | 2,650,000 | 2,463,051 | ||||||
U.S. Treasury Bond (h) | 1,635,000 | 1,846,656 | ||||||
U.S. Treasury Note | 600,000 | 600,375 | ||||||
U.S. Treasury Note | 5,350,000 | 5,347,910 | ||||||
|
| |||||||
10,257,992 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $10,245,241) | 10,257,992 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $191,146,219) | 194,325,253 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.3% (Cost $684,889) | 665,583 | |||||||
|
| |||||||
Number of Shares | ||||||||
WARRANTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Chemicals — 0.0% | ||||||||
Hercules LLC, Expires 3/31/29, Strike 0.09 (a) (b) (c) | 150 | 3,656 | ||||||
|
| |||||||
TOTAL WARRANTS (Cost $0) | 3,656 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $192,083,140) | 195,263,799 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 12.8% | ||||||||
Commercial Paper — 12.5% | ||||||||
Agrium, Inc. | $ | 2,000,000 | $ | 1,999,007 | ||||
Amphenol Corp. (d) | 2,000,000 | 1,994,059 | ||||||
Avangrid, Inc. (d) | 1,000,000 | 998,684 | ||||||
Bell Canada (d) | 2,000,000 | 1,998,477 | ||||||
CRH America Finance, Inc. (d) | 2,000,000 | 1,997,448 | ||||||
Enbridge (US), Inc. (d) | 1,400,000 | 1,397,827 | ||||||
Entergy Corp. (d) | 2,000,000 | 1,999,729 | ||||||
FMC Technologies, Inc. (d) | 900,000 | 897,244 | ||||||
Ford Motor Credit Co. LLC (d) | 2,000,000 | 1,995,838 | ||||||
Hyundai Capital America (d) | 1,000,000 | 999,503 | ||||||
LyondellBasell Industries NV (d) | 2,000,000 | 1,998,558 | ||||||
Mondelez International, Inc. (d) | 2,000,000 | 1,996,417 | ||||||
Nasdaq, Inc. (d) | 2,000,000 | 1,998,060 | ||||||
WPP CP Finance PLC (d) | 1,000,000 | 998,646 | ||||||
WPP CP Finance PLC (d) | 1,000,000 | 998,724 | ||||||
Xylem, Inc. (d) | 1,000,000 | 999,810 | ||||||
|
| |||||||
25,268,031 | ||||||||
|
| |||||||
Time Deposit — 0.3% | ||||||||
Euro Time Deposit | 530,167 | 530,167 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $25,799,040) | 25,798,198 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 109.5% (Cost $217,882,180) (i) | 221,061,997 | |||||||
|
| |||||||
Other Assets/(Liabilities) — (9.5)% | (19,087,270 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 201,974,727 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
132
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Investment was valued using significant unobservable inputs. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $4,463 or 0.00% of net assets. |
(c) | Non-income producing security. |
(d) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, these securities amounted to a value of $87,375,933 or 43.26% of net assets. |
(e) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2017. |
(f) | Restricted security. Certain securities are restricted as to resale. At September 30, 2017, these securities amounted to a value of $1,005,900 or 0.50% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(g) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(h) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
(#) The Fund had the following open Purchased Options contracts at September 30, 2017:
Purchased Options
OTC Counterparty | Units | Notional Amount | Expiration Date | Pay/ | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
Barclays Bank PLC | 3,390,000 | USD | 3,390,000 | 7/12/27 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87 | $ | 216,101 | $ | 229,284 | $ | 13,183 | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
Barclays Bank PLC | 7,280,000 | USD | 7,280,000 | 7/12/27 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87 | 468,788 | 436,299 | (32,489 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 684,889 | $ | 665,583 | $ | (19,306 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
The Fund had the following open Forward contracts at September 30, 2017:
Forward Contracts
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Contracts to Buy | ||||||||||||||||
BRL | 503,196 | BNP Paribas SA* | 10/10/17 | $ | 158,118 | $ | 597 | |||||||||
EGP | 1,846,588 | BNP Paribas SA* | 10/17/17 | 101,780 | 2,486 | |||||||||||
|
|
|
| |||||||||||||
259,898 | 3,083 | |||||||||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
133
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Forward Contracts (Continued) | ||||||||||||||||
Contracts to Buy (Continued) | ||||||||||||||||
INR | 3,345,855 | Goldman Sachs International* | 10/24/17 | $ | 51,000 | $ | 95 | |||||||||
KZT | 4,774,000 | Goldman Sachs International* | 10/24/17 | 14,000 | (38 | ) | ||||||||||
MYR | 2,158,513 | Goldman Sachs International* | 10/24/17 | 502,951 | 7,845 | |||||||||||
PHP | 12,899,430 | Goldman Sachs International* | 10/24/17 | 255,000 | (1,355 | ) | ||||||||||
|
|
|
| |||||||||||||
822,951 | 6,547 | |||||||||||||||
|
|
|
| |||||||||||||
CNH | 1,791,525 | HSBC Bank USA* | 11/14/17 | 265,000 | 4,094 | |||||||||||
MXN | 9,161,951 | HSBC Bank USA* | 10/10/17 | 490,965 | 11,554 | |||||||||||
|
|
|
| |||||||||||||
755,965 | 15,648 | |||||||||||||||
|
|
|
| |||||||||||||
CNH | 1,726,518 | JP Morgan Chase Bank N.A.* | 11/14/17 | 262,429 | (3,100 | ) | ||||||||||
EUR | 118,126 | JP Morgan Chase Bank N.A.* | 10/17/17 | 140,563 | (845 | ) | ||||||||||
GHS | 452,880 | JP Morgan Chase Bank N.A.* | 10/17/17 | 102,000 | (18 | ) | ||||||||||
IDR | 3,428,220,000 | JP Morgan Chase Bank N.A.* | 10/24/17 | 255,000 | (931 | ) | ||||||||||
ILS | 21,153 | JP Morgan Chase Bank N.A.* | 10/17/17 | 6,000 | (13 | ) | ||||||||||
KZT | 81,918,000 | JP Morgan Chase Bank N.A.* | 10/24/17 | 247,071 | (7,497 | ) | ||||||||||
NZD | 170,350 | JP Morgan Chase Bank N.A.* | 10/24/17 | 122,000 | 992 | |||||||||||
SGD | 138,402 | JP Morgan Chase Bank N.A.* | 10/24/17 | 102,000 | 58 | |||||||||||
TRY | 920,425 | JP Morgan Chase Bank N.A.* | 10/17/17 | 255,000 | 2,190 | |||||||||||
|
|
|
| |||||||||||||
1,492,063 | (9,164 | ) | ||||||||||||||
|
|
|
| |||||||||||||
EUR | 442,115 | State Street Bank and Trust* | 10/17/17 | 530,913 | (7,985 | ) | ||||||||||
JPY | 28,099,380 | State Street Bank and Trust* | 10/24/17 | 259,090 | (9,137 | ) | ||||||||||
|
|
|
| |||||||||||||
790,003 | (17,122 | ) | ||||||||||||||
|
|
|
| |||||||||||||
$ | 4,120,880 | $ | (1,008 | ) | ||||||||||||
|
|
|
| |||||||||||||
Contracts to Deliver | ||||||||||||||||
AUD | 130,293 | Bank of America N.A.* | 12/11/17 | $ | 102,000 | $ | (119 | ) | ||||||||
CHF | 5,827 | Bank of America N.A.* | 10/17/17 | 6,000 | (23 | ) | ||||||||||
CLP | 66,978,600 | Bank of America N.A.* | 10/10/17 | 106,437 | 1,800 | |||||||||||
INR | 6,668,410 | Bank of America N.A.* | 10/24/17 | 102,784 | 949 | |||||||||||
|
|
|
| |||||||||||||
317,221 | 2,607 | |||||||||||||||
|
|
|
| |||||||||||||
ILS | 560,128 | Barclays Bank PLC* | 10/17/17 | 158,520 | (15 | ) | ||||||||||
|
|
|
| |||||||||||||
CNH | 3,427,174 | BNP Paribas SA* | 11/14/17 | 492,000 | (22,774 | ) | ||||||||||
|
|
|
| |||||||||||||
CHF | 241,339 | Goldman Sachs International* | 10/17/17 | 255,300 | 5,843 | |||||||||||
COP | 304,521,000 | Goldman Sachs International* | 10/10/17 | 102,000 | (1,602 | ) | ||||||||||
|
|
|
| |||||||||||||
357,300 | 4,241 | |||||||||||||||
|
|
|
| |||||||||||||
BRL | 503,196 | HSBC Bank USA* | 10/10/17 | 159,224 | 510 | |||||||||||
CNH | 90,869 | HSBC Bank USA* | 11/14/17 | 13,000 | (649 | ) | ||||||||||
NZD | 347,261 | HSBC Bank USA* | 10/24/17 | 252,360 | 1,639 | |||||||||||
|
|
|
| |||||||||||||
424,584 | 1,500 | |||||||||||||||
|
|
|
| |||||||||||||
EUR | 132,006 | JP Morgan Chase Bank N.A.* | 10/17/17 | 157,273 | 1,137 | |||||||||||
IDR | 3,428,220,000 | JP Morgan Chase Bank N.A.* | 10/24/17 | 255,761 | 1,692 | |||||||||||
INR | 3,369,450 | JP Morgan Chase Bank N.A.* | 10/24/17 | 52,243 | 787 | |||||||||||
PHP | 6,410,880 | JP Morgan Chase Bank N.A.* | 10/24/17 | 126,000 | (59 | ) | ||||||||||
|
|
|
| |||||||||||||
591,277 | 3,557 | |||||||||||||||
|
|
|
| |||||||||||||
$ | 2,340,902 | $ | (10,884 | ) | ||||||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
134
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Forward Contracts (Continued) | ||||||||||||||||
Cross Currency Forwards | ||||||||||||||||
PLN | 946,112 | Bank of America N.A.* | 10/17/17 | EUR | 222,375 | $ | (3,752 | ) | ||||||||
|
| |||||||||||||||
EUR | 128,010 | Deutsche Bank AG* | 10/17/17 | RON | 589,299 | (239 | ) | |||||||||
EUR | 16,000 | Deutsche Bank AG* | 03/06/18 | CZK | 417,944 | (130 | ) | |||||||||
|
| |||||||||||||||
(369 | ) | |||||||||||||||
|
| |||||||||||||||
HUF | 54,114,000 | Goldman Sachs International* | 10/17/17 | EUR | 174,000 | (499 | ) | |||||||||
|
| |||||||||||||||
CZK | 2,440,473 | HSBC Bank USA* | 03/06/18 | EUR | 92,000 | 2,463 | ||||||||||
|
| |||||||||||||||
CZK | 3,765,844 | JP Morgan Chase Bank N.A.* | 03/06/18 | EUR | 141,000 | 4,950 | ||||||||||
EUR | 4,000 | JP Morgan Chase Bank N.A.* | 10/17/17 | PLN | 17,249 | 4 | ||||||||||
EUR | 10,000 | JP Morgan Chase Bank N.A.* | 03/06/18 | CZK | 260,238 | (36 | ) | |||||||||
RON | 589,299 | JP Morgan Chase Bank N.A.* | 10/17/17 | EUR | 129,000 | (932 | ) | |||||||||
|
| |||||||||||||||
3,986 | ||||||||||||||||
|
| |||||||||||||||
$ | 1,829 | |||||||||||||||
|
|
* | Contracts are subject to a Master Netting Agreement. |
The Fund had the following open Futures contracts at September 30, 2017:
Futures
Expiration Date | Number of Contracts | Notional Amount | Value/Net Unrealized Appreciation/ (Depreciation) | |||||||||||
Futures Contracts — Long | ||||||||||||||
U.S. Treasury Ultra Long Bond | 12/19/17 | 47 | $ | 7,867,233 | $ | (106,358 | ) | |||||||
U.S. Treasury Note 2 Year | 12/29/17 | 98 | 21,198,934 | (60,028 | ) | |||||||||
U.S. Treasury Note 5 Year | 12/29/17 | 57 | 6,737,434 | (39,934 | ) | |||||||||
|
| |||||||||||||
$ | (206,320 | ) | ||||||||||||
|
| |||||||||||||
Futures Contract — Short | ||||||||||||||
U.S. Treasury Ultra 10 Year | 12/19/17 | 1 | $(135,512) | $ | 1,184 | |||||||||
|
|
The accompanying notes are an integral part of the financial statements.
135
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
The Fund had the following open Swap agreements at September 30, 2017:
Swaps
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Receive (Pay) Fixed Rate | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | |||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||||
USD | 3,400,000 | 6/20/22 | Quarterly | (1.000%) | CDX.NA.IG.28 | $ | (20,201 | ) | $ | (51,825 | ) | $ | (72,026 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||
Goldman Sachs International | USD | 380,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (24,711 | ) | $ | (32,908 | ) | $ | (57,619 | ) | |||||||||||||
Goldman Sachs International | USD | 140,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (10,011 | ) | (11,217 | ) | (21,228 | ) | ||||||||||||||||
Goldman Sachs International | USD | 450,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (68,511 | ) | 277 | (68,234 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
(103,233 | ) | (43,848 | ) | (147,081 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Credit Suisse Securities (USA) amounted to $35,572 in securities at September 30, 2017. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protecton. |
Currency Legend
AUD | Australian Dollar |
BRL | Brazilian Real |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Offshore Chinese Yuan |
COP | Colombian Peso |
CZK | Czech Koruna |
EGP | Egyptian Pound |
EUR | Euro |
GHS | Ghanaian Cedis |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KZT | Kazakhstan Tenge |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | New Romanian Leu |
SGD | Singapore Dollar |
TRY | New Turkish Lira |
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
136
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 | 5.1 | % | ||
Netherlands | 1.3 | % | ||
Mexico | 1.1 | % | ||
Ireland | 1.0 | % | ||
Canada | 0.8 | % | ||
United Kingdom | 0.7 | % | ||
France | 0.6 | % | ||
Luxembourg | 0.3 | % | ||
Colombia | 0.3 | % | ||
Sweden | 0.2 | % | ||
Panama | 0.1 | % | ||
Chile | 0.1 | % | ||
Spain | 0.1 | % | ||
United States Virgin Islands | 0.1 | % | ||
Bermuda | 0.1 | % | ||
Brazil | 0.1 | % | ||
Australia | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 96.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
137
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 0.3% | ||||||||
COMMON STOCK — 0.0% | ||||||||
Basic Materials — 0.0% | ||||||||
Forest Products & Paper — 0.0% | ||||||||
The Newark Group, Inc. (a) (b) (c) | 329,969 | $ | 9,899 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $37,350) | 9,899 | |||||||
|
| |||||||
PREFERRED STOCK — 0.3% | ||||||||
Consumer, Non-cyclical — 0.3% | ||||||||
Agriculture — 0.3% | ||||||||
Pinnacle Agriculture Holdings LLC (b) | 1,968,762 | 1,378,134 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,282,343) | 1,378,134 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $1,319,693) | 1,388,033 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 95.4% | ||||||||
BANK LOANS — 4.2% | ||||||||
Building Materials — 0.6% | ||||||||
Beacon Roofing Supply, Inc., 2017 Bridge Term Loan VRN (a) (c) (d) | $ | 2,656,136 | 2,656,136 | |||||
|
| |||||||
Coal — 0.4% | ||||||||
Murray Energy Corp., Term Loan B2 3 mo. LIBOR + 7.250% VRN | 2,238,077 | 2,046,922 | ||||||
|
| |||||||
Foods — 0.2% | ||||||||
Del Monte Foods, Inc., 1st Lien Term Loan 3 mo. LIBOR + 3.250% VRN | 1,015,547 | 868,658 | ||||||
|
| |||||||
Oil & Gas — 2.1% | ||||||||
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan 3 mo. LIBOR + 7.500% VRN | 5,254,429 | 4,604,193 | ||||||
Fieldwood Energy LLC, New 1st Lien Term Loan 3 mo. LIBOR + 7.000% VRN | 2,255,879 | 1,973,894 | ||||||
Fieldwood Energy LLC, 2nd Lien Term Loan 3 mo. LIBOR + 7.125% VRN | 2,963,034 | 1,167,436 | ||||||
Fieldwood Energy LLC, 1st Lien Last Out Term Loan 3 mo. LIBOR + 7.125% VRN | 1,286,561 | 881,294 |
Principal Amount | Value | |||||||
Gulf Finance LLC, Term Loan B 3 mo. LIBOR + 5.250% VRN | $ | 1,566,151 | $ | 1,471,211 | ||||
|
| |||||||
10,098,028 | ||||||||
|
| |||||||
Software — 0.9% | ||||||||
Almonde, Inc., USD 2nd Lien Term Loan 3 mo. LIBOR + | 4,233,302 | 4,301,331 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $21,363,238) | 19,971,075 | |||||||
|
| |||||||
CORPORATE DEBT — 91.2% | ||||||||
Aerospace & Defense — 1.9% | ||||||||
Moog, Inc. (e) | 948,000 | 988,290 | ||||||
TransDigm, Inc. | 4,226,000 | 4,329,030 | ||||||
Triumph Group, Inc. | 1,501,000 | 1,479,235 | ||||||
Triumph Group, Inc. | 336,000 | 328,440 | ||||||
Triumph Group, Inc. (e) | 1,700,000 | 1,789,250 | ||||||
|
| |||||||
8,914,245 | ||||||||
|
| |||||||
Agriculture — 0.6% | ||||||||
Pinnacle Operating Corp. (e) | 2,930,270 | 2,769,105 | ||||||
|
| |||||||
Airlines — 0.9% | ||||||||
American Airlines Group, Inc. (e) | 4,258,000 | 4,460,255 | ||||||
|
| |||||||
Apparel — 0.3% | ||||||||
Perry Ellis International, Inc. | 1,386,000 | 1,386,000 | ||||||
|
| |||||||
Auto Manufacturers — 0.9% | ||||||||
JB Poindexter & Co., Inc. (e) | 4,030,000 | 4,211,350 | ||||||
|
| |||||||
Auto Parts & Equipment — 2.6% | ||||||||
Allison Transmission, Inc. (e) | 727,000 | 754,517 | ||||||
Deck Chassis Acquisition, Inc. (e) | 6,676,000 | 7,493,810 | ||||||
The Goodyear Tire & Rubber Co. | 1,754,000 | 1,828,545 | ||||||
International Automotive Components Group SA (e) | 2,402,000 | 2,402,000 | ||||||
|
| |||||||
12,478,872 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
138
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Building Materials — 1.0% | ||||||||
James Hardie International Finance Ltd. (e) | $ | 1,908,000 | $ | 2,003,400 | ||||
Louisiana-Pacific Corp. | 2,102,000 | 2,165,817 | ||||||
USG Corp. (e) | 786,000 | 820,387 | ||||||
|
| |||||||
4,989,604 | ||||||||
|
| |||||||
Chemicals — 3.6% | ||||||||
A Schulman, Inc. STEP | 4,148,000 | 4,303,550 | ||||||
The Chemours Co. | 746,000 | 773,975 | ||||||
The Chemours Co. | 1,424,000 | 1,577,080 | ||||||
Consolidated Energy Finance SA (e) | 3,192,000 | 3,247,860 | ||||||
Consolidated Energy Finance SA (e) | 2,225,000 | 2,333,469 | ||||||
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (e) | 3,800,000 | 3,838,000 | ||||||
Platform Specialty Products Corp. (e) | 864,000 | 895,320 | ||||||
|
| |||||||
16,969,254 | ||||||||
|
| |||||||
Coal — 1.6% | ||||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. (e) | 3,803,000 | 3,945,612 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. (e) | 3,410,000 | 3,520,825 | ||||||
|
| |||||||
7,466,437 | ||||||||
|
| |||||||
Commercial Services — 5.0% | ||||||||
Booz Allen Hamilton, Inc. (e) | 1,403,000 | 1,417,030 | ||||||
Cardtronics, Inc./Cardtronics USA, Inc. (e) | 1,939,000 | 1,983,626 | ||||||
CSVC Acquisition Corp. (e) | 4,009,000 | 3,928,820 | ||||||
The Hertz Corp. (e) | 4,157,000 | 4,286,906 | ||||||
KAR Auction Services, Inc. (e) | 2,200,000 | 2,288,000 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. (e) | 4,417,000 | 4,874,425 |
Principal Amount | Value | |||||||
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary | $ | 3,245,000 | $ | 3,115,200 | ||||
United Rentals North America, Inc. | 887,000 | 898,087 | ||||||
United Rentals North America, Inc. | 1,303,000 | 1,309,515 | ||||||
|
| |||||||
24,101,609 | ||||||||
|
| |||||||
Computers — 0.5% | ||||||||
Dell International LLC/EMC Corp. (e) | 1,319,000 | 1,457,265 | ||||||
Western Digital Corp. | 805,000 | 945,875 | ||||||
|
| |||||||
2,403,140 | ||||||||
|
| |||||||
Distribution & Wholesale — 1.6% | ||||||||
Avantor, Inc. (e) (f) | 2,323,000 | 2,381,075 | ||||||
Avantor, Inc. (e) (f) | 4,981,000 | 5,096,211 | ||||||
|
| |||||||
7,477,286 | ||||||||
|
| |||||||
Diversified Financial Services — 4.4% | ||||||||
Aircastle Ltd. | 2,965,000 | 3,068,775 | ||||||
Aircastle Ltd. | 269,000 | 287,830 | ||||||
Aircastle Ltd. | 269,000 | 293,883 | ||||||
Alliance Data Systems Corp. (e) | 5,000,000 | 5,200,000 | ||||||
Ally Financial, Inc. | 500,000 | 504,455 | ||||||
Ally Financial, Inc. | 2,175,000 | 2,805,532 | ||||||
LPL Holdings, Inc. (e) | 4,000,000 | 4,146,800 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (e) | 2,168,000 | 2,189,680 | ||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc. (e) | 2,598,000 | 2,705,167 | ||||||
|
| |||||||
21,202,122 | ||||||||
|
| |||||||
Electric — 1.7% | ||||||||
NextEra Energy Operating Partners LP (e) | 707,000 | 722,024 | ||||||
NextEra Energy Operating Partners LP (e) | 624,000 | 635,700 |
The accompanying notes are an integral part of the financial statements.
139
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
NRG Energy, Inc. | $ | 1,712,000 | $ | 1,793,320 | ||||
NRG Energy, Inc. | 4,738,000 | 5,081,505 | ||||||
|
| |||||||
8,232,549 | ||||||||
|
| |||||||
Engineering & Construction — 0.8% | ||||||||
Zachry Holdings, Inc. (e) | 3,639,000 | 3,748,170 | ||||||
|
| |||||||
Entertainment — 1.4% | ||||||||
AMC Entertainment Holdings, Inc. | 1,346,000 | 1,327,493 | ||||||
AMC Entertainment Holdings, Inc. | 1,726,000 | 1,704,425 | ||||||
WMG Acquisition Corp. (e) | 634,000 | 654,605 | ||||||
WMG Acquisition Corp. (e) | 2,750,000 | 2,890,937 | ||||||
|
| |||||||
6,577,460 | ||||||||
|
| |||||||
Foods — 3.3% | ||||||||
C&S Group Enterprises LLC (e) | 2,381,000 | 2,357,190 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. (e) | 2,234,000 | 2,239,585 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. (e) | 3,369,000 | 3,402,690 | ||||||
KeHE Distributors LLC/KeHE Finance Corp. (e) | 3,250,000 | 3,266,250 | ||||||
Pilgrim’s Pride Corp. (e) | 1,790,000 | 1,828,037 | ||||||
Post Holdings, Inc. (e) | 1,088,000 | 1,128,800 | ||||||
Post Holdings, Inc. (e) | 1,346,000 | 1,386,380 | ||||||
|
| |||||||
15,608,932 | ||||||||
|
| |||||||
Forest Products & Paper — 0.6% | ||||||||
Appvion, Inc. (e) | 5,428,000 | 2,931,120 | ||||||
|
| |||||||
Gas — 0.7% | ||||||||
LBC Tank Terminals Holding Netherlands BV (e) | 3,188,000 | 3,347,400 | ||||||
|
| |||||||
Hand & Machine Tools — 0.9% | ||||||||
Apex Tool Group LLC (e) | 4,524,000 | 4,184,700 | ||||||
|
| |||||||
Health Care – Products — 2.1% | ||||||||
Alere, Inc. | 2,065,000 | 2,098,556 |
Principal Amount | Value | |||||||
Halyard Health, Inc. | $ | 3,824,000 | $ | 3,991,300 | ||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA (e) | 4,011,000 | 3,930,780 | ||||||
|
| |||||||
10,020,636 | ||||||||
|
| |||||||
Health Care – Services — 3.8% | ||||||||
CHS/Community Health Systems, Inc. | 1,841,000 | 1,808,782 | ||||||
CHS/Community Health Systems, Inc. | 2,694,000 | 2,114,790 | ||||||
HCA, Inc. | 1,500,000 | 1,533,750 | ||||||
HCA, Inc. | 1,159,000 | 1,253,169 | ||||||
HCA, Inc. | 2,241,000 | 2,406,274 | ||||||
RegionalCare Hospital Partners Holdings, Inc. (e) | 2,680,000 | 2,817,350 | ||||||
Tenet Healthcare Corp. (e) | 3,375,000 | 3,344,490 | ||||||
Tenet Healthcare Corp. | 1,050,000 | 1,068,375 | ||||||
West Street Merger Sub, Inc. (e) | 1,763,000 | 1,754,185 | ||||||
|
| |||||||
18,101,165 | ||||||||
|
| |||||||
Home Builders — 1.7% | ||||||||
Brookfield Residential Properties, Inc. (e) | 897,000 | 944,093 | ||||||
Brookfield Residential Properties, Inc. (e) | 2,230,000 | 2,282,962 | ||||||
Lennar Corp. | 1,991,000 | 2,080,595 | ||||||
M/I Homes, Inc. (e) | 1,629,000 | 1,663,616 | ||||||
M/I Homes, Inc. | 1,262,000 | 1,317,213 | ||||||
|
| |||||||
8,288,479 | ||||||||
|
| |||||||
Insurance — 1.6% | ||||||||
AssuredPartners, Inc. (e) | 1,871,000 | 1,915,436 | ||||||
USIS Merger Sub, Inc. (e) | 2,377,000 | 2,421,569 | ||||||
York Risk Services Holding Corp. (e) | 3,302,000 | 3,252,470 | ||||||
|
| |||||||
7,589,475 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
140
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Internet — 1.1% | ||||||||
TIBCO Software, Inc. (e) | $ | 4,988,000 | $ | 5,461,860 | ||||
|
| |||||||
Iron & Steel — 2.3% | ||||||||
Allegheny Technologies, Inc. | 4,169,000 | 4,252,380 | ||||||
ArcelorMittal STEP | 2,707,000 | 3,204,411 | ||||||
Big River Steel LLC/BRS Finance Corp. (e) | 2,040,000 | 2,164,440 | ||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. (e) | 1,292,000 | 1,340,450 | ||||||
|
| |||||||
10,961,681 | ||||||||
|
| |||||||
Leisure Time — 2.1% | ||||||||
Brunswick Corp. | 650,000 | 756,219 | ||||||
Brunswick Corp. | 4,693,000 | 5,466,134 | ||||||
Carlson Travel, Inc. (e) | 1,299,000 | 1,289,258 | ||||||
Carlson Travel, Inc. (e) | 2,423,000 | 2,301,850 | ||||||
|
| |||||||
9,813,461 | ||||||||
|
| |||||||
Lodging — 1.0% | ||||||||
Interval Acquisition Corp. | 2,917,000 | 3,004,510 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (e) | 1,655,000 | 1,686,015 | ||||||
|
| |||||||
4,690,525 | ||||||||
|
| |||||||
Machinery – Diversified — 0.3% | ||||||||
Welbilt, Inc. | 1,045,000 | 1,200,444 | ||||||
|
| |||||||
Media — 8.3% | ||||||||
Altice Financing SA (e) | 2,100,000 | 2,226,000 | ||||||
Altice Finco SA (e) | 1,094,000 | 1,181,520 | ||||||
Altice Luxembourg SA (e) | 3,000,000 | 3,236,250 | ||||||
AMC Networks, Inc. | 1,969,000 | 1,988,690 | ||||||
Block Communications, Inc. (e) | 2,096,000 | 2,274,789 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 879,000 | 913,061 |
Principal Amount | Value | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (e) | $ | 2,700,000 | $ | 2,865,375 | ||||
CCO Holdings LLC/CCO Holdings Capital Corp. (e) | 1,649,000 | 1,727,328 | ||||||
Clear Channel Worldwide Holdings, Inc. | 2,949,000 | 2,912,137 | ||||||
Clear Channel Worldwide Holdings, Inc. | 2,000,000 | 1,970,000 | ||||||
DISH DBS Corp. | 2,571,000 | 2,951,945 | ||||||
LIN Television Corp. | 3,000,000 | 3,127,500 | ||||||
Midcontinent Communications/Midcontinent Finance Corp. (e) | 1,624,000 | 1,749,860 | ||||||
SFR Group SA (e) | 2,664,000 | 2,783,880 | ||||||
Sirius XM Radio, Inc. (e) | 1,951,000 | 2,058,305 | ||||||
Sirius XM Radio, Inc. (e) | 3,852,000 | 4,054,230 | ||||||
Unitymedia GmbH (e) | 1,000,000 | 1,066,250 | ||||||
Virgin Media Secured Finance PLC (e) | 701,000 | 738,679 | ||||||
|
| |||||||
39,825,799 | ||||||||
|
| |||||||
Mining — 1.7% | ||||||||
Hecla Mining Co. | 2,433,000 | 2,524,359 | ||||||
Kinross Gold Corp. (e) | 2,214,000 | 2,233,373 | ||||||
Kinross Gold Corp. | 1,879,000 | 2,087,569 | ||||||
Kinross Gold Corp. | 1,276,000 | 1,416,360 | ||||||
|
| |||||||
8,261,661 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.4% | ||||||||
Amsted Industries, Inc. (e) | 2,454,000 | 2,579,768 | ||||||
EnPro Industries, Inc. | 4,059,000 | 4,236,581 | ||||||
|
| |||||||
6,816,349 | ||||||||
|
| |||||||
Oil & Gas — 9.0% | ||||||||
Chesapeake Energy Corp. (e) | 2,946,000 | 2,975,460 | ||||||
Chesapeake Energy Corp. (e) | 1,000,000 | 990,000 |
The accompanying notes are an integral part of the financial statements.
141
MassMutual Premier High Yield Fund �� Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Citgo Holding, Inc. (e) | $ | 4,414,000 | $ | 4,756,085 | ||||
EP Energy LLC/Everest Acquisition Finance, Inc. (e) | 1,135,000 | 1,146,350 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. (e) | 3,214,000 | 2,502,903 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. | 1,266,000 | 1,053,945 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co. (e) | 1,280,000 | 1,254,400 | ||||||
Jupiter Resources, Inc. (e) | 7,357,000 | 5,278,647 | ||||||
Kosmos Energy Ltd. (e) | 6,535,000 | 6,763,725 | ||||||
Kosmos Energy Ltd. (e) | 499,000 | 516,465 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 2,436,000 | 2,506,035 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. (e) | 2,368,000 | 2,421,280 | ||||||
Rowan Cos., Inc. | 2,500,000 | 2,175,000 | ||||||
Rowan Cos., Inc. | 802,000 | 783,955 | ||||||
Sunoco LP/Sunoco Finance Corp. | 833,000 | 857,990 | ||||||
Sunoco LP/Sunoco Finance Corp. | 2,572,000 | 2,695,070 | ||||||
Transocean, Inc. | 685,000 | 558,275 | ||||||
Transocean, Inc. STEP | 520,000 | 499,200 | ||||||
Tullow Oil PLC (e) | 3,153,000 | 3,066,293 | ||||||
|
| |||||||
42,801,078 | ||||||||
|
| |||||||
Oil & Gas Services — 1.4% | ||||||||
Jonah Energy LLC/Jonah Energy Finance Corp. (e) | 3,495,000 | 3,525,581 | ||||||
Welltec A/S (e) | 3,250,000 | 3,250,000 | ||||||
|
| |||||||
6,775,581 | ||||||||
|
| |||||||
Packaging & Containers — 2.1% | ||||||||
Coveris Holdings SA (e) | 10,235,000 | 10,081,475 | ||||||
|
|
Principal Amount | Value | |||||||
Pharmaceuticals — 2.5% | ||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. (e) | $ | 435,000 | $ | 455,663 | ||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. STEP (e) | 2,390,000 | 1,935,900 | ||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (e) | 904,000 | 1,003,440 | ||||||
Valeant Pharmaceuticals International, Inc. (e) | 1,402,000 | 1,230,255 | ||||||
Valeant Pharmaceuticals International, Inc. (e) | 676,000 | 597,415 | ||||||
Valeant Pharmaceuticals International, Inc. (e) | 5,735,000 | 5,025,294 | ||||||
Valeant Pharmaceuticals International, Inc. (e) | 595,000 | 629,212 | ||||||
Valeant Pharmaceuticals International, Inc. (e) | 1,021,000 | 1,090,009 | ||||||
|
| |||||||
11,967,188 | ||||||||
|
| |||||||
Pipelines — 0.8% | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 2,125,000 | 2,109,063 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 1,687,000 | 1,668,021 | ||||||
|
| |||||||
3,777,084 | ||||||||
|
| |||||||
Private Equity — 0.4% | ||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 1,661,000 | 1,752,355 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.2% | ||||||||
The GEO Group, Inc. | 1,887,000 | 1,983,709 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 2,337,000 | 2,395,425 | ||||||
RHP Hotel Properties LP/RHP Finance Corp. | 1,426,000 | 1,475,910 | ||||||
|
| |||||||
5,855,044 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
142
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Retail — 2.5% | ||||||||
Carrols Restaurant Group, Inc. | $ | 1,512,000 | $ | 1,606,500 | ||||
Ferrellgas LP/Ferrellgas Finance Corp. | 3,000,000 | 2,910,000 | ||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | 3,484,000 | 3,309,800 | ||||||
Penske Automotive Group, Inc. | 4,000,000 | 4,135,000 | ||||||
|
| |||||||
11,961,300 | ||||||||
|
| |||||||
Software — 0.8% | ||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (e) | 1,922,000 | 1,960,440 | ||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc. (e) | 522,000 | 546,142 | ||||||
RP Crown Parent LLC (e) | 1,073,000 | 1,098,484 | ||||||
|
| |||||||
3,605,066 | ||||||||
|
| |||||||
Telecommunications — 6.9% | ||||||||
Cincinnati Bell, Inc. (e) | 2,077,000 | 2,035,460 | ||||||
Digicel Group Ltd. (e) | 1,600,000 | 1,563,008 | ||||||
Digicel Ltd. (e) | 2,100,000 | 2,049,894 | ||||||
GCI, Inc. | 3,000,000 | 3,225,000 | ||||||
Hughes Satellite Systems Corp. | 1,961,000 | 2,039,440 | ||||||
Hughes Satellite Systems Corp. | 1,954,000 | 2,090,780 | ||||||
Sprint Corp. | 1,460,000 | 1,622,425 | ||||||
Sprint Corp. | 7,037,000 | 8,162,920 | ||||||
T-Mobile USA, Inc. | 1,125,000 | 1,212,525 | ||||||
T-Mobile USA, Inc. | 951,000 | 1,009,249 | ||||||
T-Mobile USA, Inc. | 1,318,000 | 1,454,743 | ||||||
Telecom Italia SpA (e) | 2,109,000 | 2,293,537 | ||||||
West Corp. (e) | 4,175,000 | 4,216,750 | ||||||
|
| |||||||
32,975,731 | ||||||||
|
|
Principal Amount | Value | |||||||
Transportation — 1.9% | ||||||||
The Kenan Advantage Group, Inc. (e) | $ | 6,839,000 | $ | 7,027,072 | ||||
Watco Cos. LLC/Watco Finance Corp. (e) | 2,072,000 | 2,149,700 | ||||||
|
| |||||||
9,176,772 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $425,182,236) | 435,219,819 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $446,545,474) | 455,190,894 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $447,865,167) | 456,578,927 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 3.7% | ||||||||
Commercial Paper — 1.9% | ||||||||
Bemis Co., Inc. (e) | 3,000,000 | 2,999,549 | ||||||
Dollar General Corp. (e) | 2,750,000 | 2,749,658 | ||||||
Walgreens Boots Alliance, Inc. | 3,500,000 | 3,497,311 | ||||||
|
| |||||||
9,246,518 | ||||||||
|
| |||||||
Time Deposit — 1.8% | ||||||||
Euro Time Deposit | 8,514,690 | 8,514,690 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,761,911) | 17,761,208 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.4% (Cost $465,627,078) (g) | 474,340,135 | |||||||
|
| |||||||
Other Assets/(Liabilities) — 0.6% | 2,996,662 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 477,336,797 | ||||||
|
|
Abbreviation Legend
STEP | Step Up Bond |
VRN | Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Investment was valued using significant unobservable inputs. |
(b) | Non-income producing security. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $2,666,035 or 0.56% of net assets. |
The accompanying notes are an integral part of the financial statements.
143
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(d) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2017. |
(e) | 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, 2017, these securities amounted to a value of $282,684,020 or 59.22% of net assets. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (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 | 77.2 | % | ||
Luxembourg | 5.8 | % | ||
Canada | 5.6 | % | ||
Bermuda | 3.0 | % | ||
United Kingdom | 0.8 | % | ||
Netherlands | 0.7 | % | ||
Denmark | 0.7 | % | ||
France | 0.6 | % | ||
Italy | 0.5 | % | ||
Ireland | 0.4 | % | ||
Germany | 0.2 | % | ||
Cayman Islands | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 95.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 4.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
144
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 64.6% | ||||||||
COMMON STOCK — 64.5% | ||||||||
Basic Materials — 1.4% | ||||||||
Chemicals — 1.2% | ||||||||
AdvanSix, Inc. (a) | 700 | $ | 27,825 | |||||
Air Products & Chemicals, Inc. | 1,150 | 173,903 | ||||||
Albemarle Corp. | 760 | 103,596 | ||||||
CF Industries Holdings, Inc. | 25 | 879 | ||||||
The Chemours Co. | 1,588 | 80,369 | ||||||
DowDuPont, Inc. | 460 | 31,846 | ||||||
Eastman Chemical Co. | 894 | 80,898 | ||||||
GCP Applied Technologies, Inc. (a) | 7,000 | 214,900 | ||||||
Huntsman Corp. | 2,900 | 79,518 | ||||||
Ingevity Corp. (a) | 3,100 | 193,657 | ||||||
International Flavors & Fragrances, Inc. | 3 | 429 | ||||||
LyondellBasell Industries NV Class A | 2,660 | 263,473 | ||||||
Monsanto Co. | 969 | 116,105 | ||||||
PPG Industries, Inc. | 8 | 869 | ||||||
Praxair, Inc. | 4 | 559 | ||||||
The Sherwin-Williams Co. | 7 | 2,506 | ||||||
|
| |||||||
1,371,332 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0% | ||||||||
International Paper Co. | 607 | 34,490 | ||||||
|
| |||||||
Iron & Steel — 0.0% | ||||||||
Nucor Corp. | 761 | 42,646 | ||||||
|
| |||||||
Mining — 0.2% | ||||||||
Alcoa Corp. | 500 | 23,310 | ||||||
Freeport-McMoRan, Inc. (a) | 48 | 674 | ||||||
Newmont Mining Corp. | 4,984 | 186,950 | ||||||
|
| |||||||
210,934 | ||||||||
|
| |||||||
1,659,402 | ||||||||
|
| |||||||
Communications — 8.0% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. | 933 | 19,397 | ||||||
Omnicom Group, Inc. | 798 | 59,108 | ||||||
|
| |||||||
78,505 | ||||||||
|
| |||||||
Internet — 4.0% | ||||||||
Alphabet, Inc. Class A (a) | 614 | 597,864 | ||||||
Alphabet, Inc. Class C (a) | 1,006 | 964,865 | ||||||
Amazon.com, Inc. (a) | 536 | 515,283 | ||||||
eBay, Inc. (a) | 3,165 | 121,726 | ||||||
Expedia, Inc. | 743 | 106,947 | ||||||
F5 Networks, Inc. (a) | 950 | 114,532 | ||||||
Facebook, Inc. Class A (a) | 7,600 | 1,298,612 | ||||||
Liberty Expedia Holdings, Inc. Class A (a) | 360 | 19,120 | ||||||
Liberty Ventures Series A (a) | 540 | 31,077 | ||||||
Netflix, Inc. (a) | 1,352 | 245,185 |
Number of Shares | Value | |||||||
The Priceline Group, Inc. (a) | 244 | $ | 446,720 | |||||
Symantec Corp. | 4,379 | 143,675 | ||||||
TripAdvisor, Inc. (a) | 43 | 1,743 | ||||||
VeriSign, Inc. (a) | 1,189 | 126,498 | ||||||
|
| |||||||
4,733,847 | ||||||||
|
| |||||||
Media — 1.9% | ||||||||
Cable One, Inc. | 158 | 114,095 | ||||||
CBS Corp. Class B | 1,570 | 91,060 | ||||||
Charter Communications, Inc. Class A (a) | 66 | 23,986 | ||||||
Comcast Corp. Class A | 27,162 | 1,045,194 | ||||||
Discovery Communications, Inc. Class A (a) | 4,300 | 91,547 | ||||||
Discovery Communications, Inc. Class C (a) | 1,100 | 22,286 | ||||||
DISH Network Corp. Class A (a) | 1,800 | 97,614 | ||||||
News Corp. Class A | 1,030 | 13,658 | ||||||
Scripps Networks Interactive, Inc. Class A | 1,224 | 105,129 | ||||||
Time Warner, Inc. | 1,188 | 121,710 | ||||||
Tribune Media Co. Class A | 600 | 24,516 | ||||||
Twenty-First Century Fox, Inc. Class A | 2,921 | 77,056 | ||||||
Twenty-First Century Fox, Inc. Class B | 1,300 | 33,527 | ||||||
Viacom, Inc. Class B | 2,690 | 74,890 | ||||||
The Walt Disney Co. | 2,922 | 288,021 | ||||||
|
| |||||||
2,224,289 | ||||||||
|
| |||||||
Telecommunications — 2.0% | ||||||||
AT&T, Inc. | 29,030 | 1,137,105 | ||||||
CenturyLink, Inc. | 2,654 | 50,161 | ||||||
Cisco Systems, Inc. | 11,824 | 397,641 | ||||||
Juniper Networks, Inc. | 9,948 | 276,853 | ||||||
Motorola Solutions, Inc. | 1,934 | 164,138 | ||||||
Verizon Communications, Inc. | 5,332 | 263,881 | ||||||
|
| |||||||
2,289,779 | ||||||||
|
| |||||||
9,326,420 | ||||||||
|
| |||||||
Consumer, Cyclical — 6.1% | ||||||||
Airlines — 0.6% | ||||||||
Alaska Air Group, Inc. | 2,000 | 152,540 | ||||||
American Airlines Group, Inc. | 4,300 | 204,207 | ||||||
Delta Air Lines, Inc. | 2,000 | 96,440 | ||||||
Southwest Airlines Co. | 1,566 | 87,665 | ||||||
United Continental Holdings, Inc. (a) | 3,300 | 200,904 | ||||||
|
| |||||||
741,756 | ||||||||
|
| |||||||
Apparel — 0.4% | ||||||||
Hanesbrands, Inc. | 5,800 | 142,912 | ||||||
Michael Kors Holdings Ltd. (a) | 1,100 | 52,635 | ||||||
NIKE, Inc. Class B | 84 | 4,355 |
The accompanying notes are an integral part of the financial statements.
145
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Ralph Lauren Corp. | 2,700 | $ | 238,383 | |||||
VF Corp. | 500 | 31,785 | ||||||
|
| |||||||
470,070 | ||||||||
|
| |||||||
Auto Manufacturers — 0.4% | ||||||||
Ford Motor Co. | 18,462 | 220,990 | ||||||
General Motors Co. | 4,600 | 185,748 | ||||||
PACCAR, Inc. | 234 | 16,928 | ||||||
|
| |||||||
423,666 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.4% | ||||||||
Adient PLC | 2,400 | 201,576 | ||||||
Allison Transmission Holdings, Inc. | 2,000 | 75,060 | ||||||
BorgWarner, Inc. | 3,300 | 169,059 | ||||||
Delphi Automotive PLC | 200 | 19,680 | ||||||
The Goodyear Tire & Rubber Co. | 961 | 31,953 | ||||||
|
| |||||||
497,328 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
Fastenal Co. | 70 | 3,191 | ||||||
W.W. Grainger, Inc. | 4 | 719 | ||||||
WESCO International, Inc. (a) | 850 | 49,512 | ||||||
|
| |||||||
53,422 | ||||||||
|
| |||||||
Entertainment — 0.1% | ||||||||
The Madison Square Garden Co. Class A (a) | 790 | 169,139 | ||||||
|
| |||||||
Home Builders — 0.1% | ||||||||
D.R. Horton, Inc. | 2,659 | 106,174 | ||||||
PulteGroup, Inc. | 2,574 | 70,347 | ||||||
|
| |||||||
176,521 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Leggett & Platt, Inc. | 95 | 4,534 | ||||||
Whirlpool Corp. | 324 | 59,759 | ||||||
|
| |||||||
64,293 | ||||||||
|
| |||||||
Housewares — 0.0% | ||||||||
Newell Brands, Inc. | 83 | 3,542 | ||||||
|
| |||||||
Leisure Time — 0.3% | ||||||||
Harley-Davidson, Inc. | 8 | 386 | ||||||
Royal Caribbean Cruises Ltd. | 2,590 | 307,018 | ||||||
|
| |||||||
307,404 | ||||||||
|
| |||||||
Lodging — 0.6% | ||||||||
Marriott International, Inc. Class A | 1,161 | 128,012 | ||||||
MGM Resorts International | 5,000 | 162,950 | ||||||
Wyndham Worldwide Corp. | 1,422 | 149,893 | ||||||
Wynn Resorts Ltd. | 1,469 | 218,763 | ||||||
|
| |||||||
659,618 | ||||||||
|
| |||||||
Retail — 3.0% | ||||||||
AutoZone, Inc. (a) | 96 | 57,131 | ||||||
Best Buy Co., Inc. | 5,808 | 330,824 | ||||||
Coach, Inc. | 84 | 3,383 | ||||||
Costco Wholesale Corp. | 1,098 | 180,390 |
Number of Shares | Value | |||||||
CVS Health Corp. | 2,703 | $ | 219,808 | |||||
Darden Restaurants, Inc. | 373 | 29,385 | ||||||
Dollar General Corp. | 600 | 48,630 | ||||||
Dollar Tree, Inc. (a) | 71 | 6,164 | ||||||
Foot Locker, Inc. | 1,400 | 49,308 | ||||||
The Gap, Inc. | 7,305 | 215,717 | ||||||
Genuine Parts Co. | 36 | 3,443 | ||||||
The Home Depot, Inc. | 1,760 | 287,866 | ||||||
Kohl’s Corp. | 4,261 | 194,515 | ||||||
L Brands, Inc. | 600 | 24,966 | ||||||
Lowe’s Cos., Inc. | 529 | 42,288 | ||||||
Macy’s, Inc. | 11,340 | 247,439 | ||||||
McDonald’s Corp. | 1,035 | 162,164 | ||||||
Nordstrom, Inc. | 411 | 19,379 | ||||||
O’Reilly Automotive, Inc. (a) | 54 | 11,630 | ||||||
PVH Corp. | 1,600 | 201,696 | ||||||
Ross Stores, Inc. | 1,392 | 89,881 | ||||||
Signet Jewelers Ltd. | 3,400 | 226,270 | ||||||
Starbucks Corp. | 90 | 4,834 | ||||||
Target Corp. | 4,367 | 257,697 | ||||||
Tiffany & Co. | 111 | 10,188 | ||||||
The TJX Cos., Inc. | 1,140 | 84,052 | ||||||
Wal-Mart Stores, Inc. | 3,653 | 285,445 | ||||||
Walgreens Boots Alliance, Inc. | 2,406 | 185,791 | ||||||
Yum! Brands, Inc. | 136 | 10,011 | ||||||
|
| |||||||
3,490,295 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 747 | 72,960 | ||||||
Mattel, Inc. | 61 | 944 | ||||||
|
| |||||||
73,904 | ||||||||
|
| |||||||
7,130,958 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 13.3% | ||||||||
Agriculture — 0.7% | ||||||||
Altria Group, Inc. | 4,141 | 262,622 | ||||||
Archer-Daniels-Midland Co. | 1,826 | 77,623 | ||||||
Philip Morris International, Inc. | 4,686 | 520,193 | ||||||
|
| |||||||
860,438 | ||||||||
|
| |||||||
Beverages — 0.8% | ||||||||
Brown-Forman Corp. Class B | 2 | 109 | ||||||
The Coca-Cola Co. | 8,524 | 383,665 | ||||||
Constellation Brands, Inc. Class A | 82 | 16,355 | ||||||
Dr. Pepper Snapple Group, Inc. | 210 | 18,579 | ||||||
Molson Coors Brewing Co. Class B | 436 | 35,595 | ||||||
Monster Beverage Corp. (a) | 750 | 41,437 | ||||||
PepsiCo, Inc. | 3,512 | 391,342 | ||||||
|
| |||||||
887,082 | ||||||||
|
| |||||||
Biotechnology — 1.8% | ||||||||
Amgen, Inc. | 3,725 | 694,526 | ||||||
Biogen, Inc. (a) | 524 | 164,075 | ||||||
Celgene Corp. (a) | 3,948 | 575,698 | ||||||
Gilead Sciences, Inc. | 8,152 | 660,475 |
The accompanying notes are an integral part of the financial statements.
146
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Theravance Biopharma, Inc. (a) | 500 | $ | 17,120 | |||||
|
| |||||||
2,111,894 | ||||||||
|
| |||||||
Commercial Services — 1.3% | ||||||||
Automatic Data Processing, Inc. | 621 | 67,888 | ||||||
Cintas Corp. | 449 | 64,782 | ||||||
Ecolab, Inc. | 4 | 514 | ||||||
Equifax, Inc. | 216 | 22,894 | ||||||
H&R Block, Inc. | 4,342 | 114,976 | ||||||
Moody’s Corp. | 325 | 45,243 | ||||||
PayPal Holdings, Inc. (a) | 4,565 | 292,297 | ||||||
Quanta Services, Inc. (a) | 2,024 | 75,637 | ||||||
Robert Half International, Inc. | 35 | 1,762 | ||||||
S&P Global, Inc. | 2,229 | 348,415 | ||||||
Sotheby’s (a) | 2,000 | 92,220 | ||||||
Total System Services, Inc. | 2,521 | 165,126 | ||||||
United Rentals, Inc. (a) | 1,060 | 147,064 | ||||||
The Western Union Co. | 6,407 | 123,014 | ||||||
|
| |||||||
1,561,832 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.9% | ||||||||
Colgate-Palmolive Co. | 906 | 66,002 | ||||||
The Estee Lauder Cos., Inc. Class A | 546 | 58,881 | ||||||
The Procter & Gamble Co. | 10,633 | 967,390 | ||||||
|
| |||||||
1,092,273 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
Campbell Soup Co. | 1,265 | 59,227 | ||||||
Conagra Brands, Inc. | 2,634 | 88,871 | ||||||
General Mills, Inc. | 294 | 15,218 | ||||||
The Hershey Co. | 419 | 45,742 | ||||||
Hormel Foods Corp. | 2,288 | 73,536 | ||||||
The J.M. Smucker Co. | 724 | 75,970 | ||||||
Kellogg Co. | 135 | 8,420 | ||||||
The Kraft Heinz Co. | 173 | 13,416 | ||||||
The Kroger Co. | 68 | 1,364 | ||||||
Lamb Weston Holdings, Inc. | 3,316 | 155,487 | ||||||
McCormick & Co., Inc. | 73 | 7,493 | ||||||
Mondelez International, Inc. Class A | 21 | 854 | ||||||
Sysco Corp. | 866 | 46,721 | ||||||
Tyson Foods, Inc. Class A | 720 | 50,724 | ||||||
|
| |||||||
643,043 | ||||||||
|
| |||||||
Health Care – Products — 1.7% | ||||||||
Abbott Laboratories | 9,689 | 517,005 | ||||||
Align Technology, Inc. (a) | 1,130 | 210,485 | ||||||
Baxter International, Inc. | 2,622 | 164,531 | ||||||
Becton, Dickinson & Co. | 201 | 39,386 | ||||||
Boston Scientific Corp. (a) | 821 | 23,949 | ||||||
C.R. Bard, Inc. | 34 | 10,897 | ||||||
The Cooper Cos., Inc. | 760 | 180,204 | ||||||
Danaher Corp. | 472 | 40,488 | ||||||
DENTSPLY SIRONA, Inc. | 61 | 3,648 | ||||||
Edwards Lifesciences Corp. (a) | 540 | 59,027 | ||||||
Hologic, Inc. (a) | 200 | 7,338 |
Number of Shares | Value | |||||||
Intuitive Surgical, Inc. (a) | 14 | $ | 14,642 | |||||
Medtronic PLC | 3,416 | 265,662 | ||||||
Patterson Cos., Inc. | 61 | 2,358 | ||||||
Stryker Corp. | 49 | 6,959 | ||||||
Thermo Fisher Scientific, Inc. | 578 | 109,358 | ||||||
Varex Imaging Corp. (a) | 2,600 | 87,984 | ||||||
Varian Medical Systems, Inc. (a) | 674 | 67,440 | ||||||
West Pharmaceutical Services, Inc. | 900 | 86,634 | ||||||
Zimmer Biomet Holdings, Inc. | 364 | 42,621 | ||||||
|
| |||||||
1,940,616 | ||||||||
|
| |||||||
Health Care – Services — 1.3% | ||||||||
Aetna, Inc. | 902 | 143,427 | ||||||
Anthem, Inc. | 878 | 166,715 | ||||||
Centene Corp. (a) | 3,300 | 319,341 | ||||||
Cigna Corp. | 2,489 | 465,294 | ||||||
DaVita, Inc. (a) | 446 | 26,488 | ||||||
HCA Healthcare, Inc. (a) | 400 | 31,836 | ||||||
Humana, Inc. | 225 | 54,817 | ||||||
Laboratory Corp. of America Holdings (a) | 1 | 151 | ||||||
Quest Diagnostics, Inc. | 635 | 59,461 | ||||||
UnitedHealth Group, Inc. | 1,551 | 303,763 | ||||||
Universal Health Services, Inc. Class B | 10 | 1,109 | ||||||
|
| |||||||
1,572,402 | ||||||||
|
| |||||||
Household Products & Wares — 0.3% | ||||||||
Avery Dennison Corp. | 982 | 96,570 | ||||||
The Clorox Co. | 547 | 72,155 | ||||||
Kimberly-Clark Corp. | 1,120 | 131,801 | ||||||
|
| |||||||
300,526 | ||||||||
|
| |||||||
Pharmaceuticals — 3.9% | ||||||||
AbbVie, Inc. | 6,404 | 569,059 | ||||||
Allergan PLC | 749 | 153,508 | ||||||
AmerisourceBergen Corp. | 630 | 52,132 | ||||||
Bristol-Myers Squibb Co. | 1,812 | 115,497 | ||||||
Cardinal Health, Inc. | 55 | 3,681 | ||||||
Eli Lilly & Co. | 2,407 | 205,895 | ||||||
Express Scripts Holding Co. (a) | 3,445 | 218,137 | ||||||
Johnson & Johnson | 8,149 | 1,059,451 | ||||||
McKesson Corp. | 1,091 | 167,589 | ||||||
Merck & Co., Inc. | 7,829 | 501,291 | ||||||
Mylan NV (a) | 1,759 | 55,180 | ||||||
Perrigo Co. PLC | 3,000 | 253,950 | ||||||
Pfizer, Inc. | 24,222 | 864,725 | ||||||
Zoetis, Inc. | 4,910 | 313,062 | ||||||
|
| |||||||
4,533,157 | ||||||||
|
| |||||||
15,503,263 | ||||||||
|
| |||||||
Diversified — 0.0% | ||||||||
Holding Company – Diversified — 0.0% | ||||||||
Leucadia National Corp. | 36 | 909 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
147
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Energy — 2.4% | ||||||||
Oil & Gas — 1.8% | ||||||||
Anadarko Petroleum Corp. | 97 | $ | 4,739 | |||||
Andeavor | 1,526 | 157,407 | ||||||
Apache Corp. | 98 | 4,488 | ||||||
Cabot Oil & Gas Corp. | 92 | 2,461 | ||||||
Chesapeake Energy Corp. (a) | 98 | 421 | ||||||
Chevron Corp. | 2,030 | 238,525 | ||||||
ConocoPhillips | 10 | 501 | ||||||
Devon Energy Corp. | 8,217 | 301,646 | ||||||
EOG Resources, Inc. | 2 | 194 | ||||||
EQT Corp. | 29 | 1,892 | ||||||
Exxon Mobil Corp. | 8,549 | 700,847 | ||||||
Helmerich & Payne, Inc. | 40 | 2,084 | ||||||
Hess Corp. | 47 | 2,204 | ||||||
Marathon Oil Corp. | 1,485 | 20,137 | ||||||
Marathon Petroleum Corp. | 1,864 | 104,533 | ||||||
Murphy USA, Inc. (a) | 1,426 | 98,394 | ||||||
Newfield Exploration Co. (a) | 2,100 | 62,307 | ||||||
Noble Energy, Inc. | 66 | 1,872 | ||||||
Occidental Petroleum Corp. | 30 | 1,926 | ||||||
Phillips 66 | 705 | 64,585 | ||||||
Pioneer Natural Resources Co. | 3 | 443 | ||||||
Range Resources Corp. | 99 | 1,937 | ||||||
Valero Energy Corp. | 5,010 | 385,419 | ||||||
|
| |||||||
2,158,962 | ||||||||
|
| |||||||
Oil & Gas Services — 0.6% | ||||||||
Baker Hughes a GE Co. | 1,974 | 72,288 | ||||||
Halliburton Co. | 6,371 | 293,257 | ||||||
National Oilwell Varco, Inc. | 1,009 | 36,052 | ||||||
Schlumberger Ltd. | 3,887 | 271,157 | ||||||
TechnipFMC PLC (a) | 1,272 | 35,514 | ||||||
|
| |||||||
708,268 | ||||||||
|
| |||||||
Pipelines — 0.0% | ||||||||
Kinder Morgan, Inc. | 60 | 1,151 | ||||||
The Williams Cos., Inc. | 33 | 990 | ||||||
|
| |||||||
2,141 | ||||||||
|
| |||||||
2,869,371 | ||||||||
|
| |||||||
Financial — 12.9% | ||||||||
Banks — 6.3% | ||||||||
Bank of America Corp. | 49,142 | 1,245,258 | ||||||
The Bank of New York Mellon Corp. | 4,395 | 233,023 | ||||||
BB&T Corp. | 2,712 | 127,301 | ||||||
Capital One Financial Corp. | 2,075 | 175,669 | ||||||
Citigroup, Inc. | 12,084 | 878,990 | ||||||
Citizens Financial Group, Inc. | 8,600 | 325,682 | ||||||
Comerica, Inc. | 3,224 | 245,862 | ||||||
Fifth Third Bancorp | 4,221 | 118,104 | ||||||
The Goldman Sachs Group, Inc. | 1,428 | 338,707 | ||||||
Huntington Bancshares, Inc. | 1,110 | 15,496 | ||||||
JP Morgan Chase & Co. | 15,665 | 1,496,164 |
Number of Shares | Value | |||||||
KeyCorp | 4,872 | $ | 91,691 | |||||
M&T Bank Corp. | 281 | 45,252 | ||||||
Morgan Stanley | 7,596 | 365,899 | ||||||
Northern Trust Corp. | 161 | 14,801 | ||||||
The PNC Financial Services Group, Inc. | 1,945 | 262,128 | ||||||
Regions Financial Corp. | 12,143 | 184,938 | ||||||
State Street Corp. | 1,785 | 170,539 | ||||||
SunTrust Banks, Inc. | 2,500 | 149,425 | ||||||
US Bancorp | 1,129 | 60,503 | ||||||
Wells Fargo & Co. | 12,364 | 681,875 | ||||||
Zions Bancorp | 3,949 | 186,314 | ||||||
|
| |||||||
7,413,621 | ||||||||
|
| |||||||
Diversified Financial Services — 2.0% | ||||||||
Alliance Data Systems Corp. | 130 | 28,802 | ||||||
American Express Co. | 1,988 | 179,834 | ||||||
Ameriprise Financial, Inc. | 1,735 | 257,665 | ||||||
BlackRock, Inc. | 130 | 58,122 | ||||||
The Charles Schwab Corp. | 2,722 | 119,060 | ||||||
CME Group, Inc. | 5 | 678 | ||||||
Discover Financial Services | 295 | 19,022 | ||||||
E*TRADE Financial Corp. (a) | 5,193 | 226,467 | ||||||
Franklin Resources, Inc. | 948 | 42,195 | ||||||
Intercontinental Exchange, Inc. | 10 | 687 | ||||||
Invesco Ltd. | 2,223 | 77,894 | ||||||
Mastercard, Inc. Class A | 1,450 | 204,740 | ||||||
Nasdaq, Inc. | 22 | 1,707 | ||||||
Navient Corp. | 5,318 | 79,876 | ||||||
Raymond James Financial, Inc. | 800 | 67,464 | ||||||
Synchrony Financial | 5,800 | 180,090 | ||||||
T. Rowe Price Group, Inc. | 1,886 | 170,966 | ||||||
Visa, Inc. Class A | 5,440 | 572,506 | ||||||
|
| |||||||
2,287,775 | ||||||||
|
| |||||||
Insurance — 3.1% | ||||||||
Aflac, Inc. | 2,245 | 182,721 | ||||||
The Allstate Corp. | 1,786 | 164,151 | ||||||
American International Group, Inc. | 3,611 | 221,679 | ||||||
Aon PLC | 706 | 103,147 | ||||||
Assurant, Inc. | 790 | 75,461 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 2,003 | 367,190 | ||||||
Brighthouse Financial, Inc. (a) | 429 | 26,083 | ||||||
Chubb Ltd. | 1,504 | 214,395 | ||||||
Cincinnati Financial Corp. | 724 | 55,437 | ||||||
Everest Re Group Ltd. | 930 | 212,403 | ||||||
The Hartford Financial Services Group, Inc. | 3,790 | 210,080 | ||||||
Lincoln National Corp. | 3,358 | 246,746 | ||||||
Loews Corp. | 734 | 35,129 | ||||||
Marsh & McLennan Cos., Inc. | 1,230 | 103,086 | ||||||
MetLife, Inc. | 4,729 | 245,671 | ||||||
Principal Financial Group, Inc. | 3,235 | 208,140 | ||||||
The Progressive Corp. | 1,634 | 79,118 |
The accompanying notes are an integral part of the financial statements.
148
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Prudential Financial, Inc. | 1,335 | $ | 141,937 | |||||
Torchmark Corp. | 1,780 | 142,560 | ||||||
The Travelers Cos., Inc. | 553 | 67,754 | ||||||
Unum Group | 5,535 | 283,004 | ||||||
XL Group Ltd. | 5,097 | 201,077 | ||||||
|
| |||||||
3,586,969 | ||||||||
|
| |||||||
Real Estate — 0.0% | ||||||||
CBRE Group, Inc. Class A (a) | 1,198 | 45,380 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.4% | ||||||||
American Tower Corp. | 198 | 27,063 | ||||||
Apartment Investment & Management Co. Class A | 164 | 7,193 | ||||||
AvalonBay Communities, Inc. | 424 | 75,650 | ||||||
Boston Properties, Inc. | 7 | 860 | ||||||
Colony NorthStar, Inc. Class A | 2,000 | 25,120 | ||||||
Crown Castle International Corp. | 400 | 39,992 | ||||||
Digital Realty Trust, Inc. | 1,060 | 125,430 | ||||||
Duke Realty Corp. | 6,600 | 190,212 | ||||||
Equinix, Inc. | 350 | 156,205 | ||||||
Equity Residential | 1 | 66 | ||||||
Essex Property Trust, Inc. | 300 | 76,209 | ||||||
Extra Space Storage, Inc. | 800 | 63,936 | ||||||
Federal Realty Investment Trust | 510 | 63,347 | ||||||
Four Corners Property Trust, Inc. | 3,200 | 79,744 | ||||||
Gaming and Leisure Properties, Inc. | 3,200 | 118,048 | ||||||
GGP, Inc. | 100 | 2,077 | ||||||
HCP, Inc. | 676 | 18,813 | ||||||
Host Hotels & Resorts, Inc. | 4,130 | 76,364 | ||||||
Iron Mountain, Inc. | 73 | 2,840 | ||||||
Kimco Realty Corp. | 510 | 9,970 | ||||||
The Macerich Co. | 100 | 5,497 | ||||||
Mack-Cali Realty Corp. | 2,050 | 48,605 | ||||||
Mid-America Apartment Communities, Inc. | 1,350 | 144,288 | ||||||
Prologis, Inc. | 1,016 | 64,475 | ||||||
Public Storage | 27 | 5,778 | ||||||
Simon Property Group, Inc. | 94 | 15,135 | ||||||
Starwood Waypoint Homes | 2,400 | 87,288 | ||||||
Ventas, Inc. | 36 | 2,345 | ||||||
Vornado Realty Trust | 265 | 20,373 | ||||||
Welltower, Inc. | 374 | 26,285 | ||||||
Weyerhaeuser Co. | 93 | 3,165 | ||||||
|
| |||||||
1,582,373 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
Beneficial Bancorp, Inc. | 6,800 | 112,880 | ||||||
People’s United Financial, Inc. | 3,659 | 66,374 | ||||||
|
| |||||||
179,254 | ||||||||
|
| |||||||
15,095,372 | ||||||||
|
| |||||||
Industrial — 6.7% | ||||||||
Aerospace & Defense — 1.4% | ||||||||
Arconic, Inc. | 4,615 | 114,821 |
Number of Shares | Value | |||||||
The Boeing Co. | 2,726 | $ | 692,976 | |||||
General Dynamics Corp. | 88 | 18,091 | ||||||
Harris Corp. | 154 | 20,279 | ||||||
KLX, Inc. (a) | 2,900 | 153,497 | ||||||
L3 Technologies, Inc. | 654 | 123,233 | ||||||
Lockheed Martin Corp. | 241 | 74,780 | ||||||
Northrop Grumman Corp. | 653 | 187,881 | ||||||
Raytheon Co. | 136 | 25,375 | ||||||
Rockwell Collins, Inc. | 7 | 915 | ||||||
United Technologies Corp. | 1,472 | 170,870 | ||||||
|
| |||||||
1,582,718 | ||||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
Armstrong Flooring, Inc. (a) | 10,560 | 166,320 | ||||||
Johnson Controls International PLC | 26 | 1,047 | ||||||
Masco Corp. | 94 | 3,667 | ||||||
Vulcan Materials Co. | 8 | 957 | ||||||
|
| |||||||
171,991 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.1% | ||||||||
Emerson Electric Co. | 943 | 59,258 | ||||||
Energizer Holdings, Inc. | 2,100 | 96,705 | ||||||
|
| |||||||
155,963 | ||||||||
|
| |||||||
Electronics — 1.7% | ||||||||
Agilent Technologies, Inc. | 3,573 | 229,387 | ||||||
Allegion PLC | 2,200 | 190,234 | ||||||
Amphenol Corp. Class A | 3,472 | 293,870 | ||||||
Corning, Inc. | 1,074 | 32,134 | ||||||
FLIR Systems, Inc. | 435 | 16,926 | ||||||
Fortive Corp. | 2,736 | 193,681 | ||||||
Garmin Ltd. | 400 | 21,588 | ||||||
Honeywell International, Inc. | 1,825 | 258,676 | ||||||
Kimball Electronics, Inc. (a) | 7,900 | 171,035 | ||||||
Knowles Corp. (a) | 5,500 | 83,985 | ||||||
PerkinElmer, Inc. | 1,524 | 105,110 | ||||||
TE Connectivity Ltd. | 3,400 | 282,404 | ||||||
Waters Corp. (a) | 300 | 53,856 | ||||||
|
| |||||||
1,932,886 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
Fluor Corp. | 447 | 18,819 | ||||||
Jacobs Engineering Group, Inc. | 1,224 | 71,322 | ||||||
|
| |||||||
90,141 | ||||||||
|
| |||||||
Environmental Controls — 0.3% | ||||||||
Republic Services, Inc. | 87 | 5,747 | ||||||
Stericycle, Inc. (a) | 87 | 6,231 | ||||||
Waste Management, Inc. | 4,445 | 347,910 | ||||||
|
| |||||||
359,888 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.0% | ||||||||
Snap-on, Inc. | 5 | 745 | ||||||
Stanley Black & Decker, Inc. | 2 | 302 | ||||||
|
| |||||||
1,047 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
149
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Machinery – Construction & Mining — 0.4% | ||||||||
Caterpillar, Inc. | 3,450 | $ | 430,250 | |||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
AGCO Corp. | 1,300 | 95,901 | ||||||
Cummins, Inc. | 583 | 97,961 | ||||||
Deere & Co. | 901 | 113,156 | ||||||
Flowserve Corp. | 91 | 3,876 | ||||||
The Manitowoc Co., Inc. (a) | 5,800 | 52,200 | ||||||
Rockwell Automation, Inc. | 1,406 | 250,563 | ||||||
Roper Technologies, Inc. | 434 | 105,636 | ||||||
Xylem, Inc. | 701 | 43,904 | ||||||
|
| |||||||
763,197 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.9% | ||||||||
3M Co. | 315 | 66,119 | ||||||
Dover Corp. | 803 | 73,386 | ||||||
Eaton Corp. PLC | 382 | 29,334 | ||||||
General Electric Co. | 86 | 2,079 | ||||||
Illinois Tool Works, Inc. | 1,360 | 201,226 | ||||||
Ingersoll-Rand PLC | 1,500 | 133,755 | ||||||
Parker-Hannifin Corp. | 800 | 140,016 | ||||||
Textron, Inc. | 985 | 53,072 | ||||||
Trinseo SA | 4,800 | 322,080 | ||||||
|
| |||||||
1,021,067 | ||||||||
|
| |||||||
Packaging & Containers — 0.3% | ||||||||
Ball Corp. | 40 | 1,652 | ||||||
Packaging Corp. of America | 1,060 | 121,561 | ||||||
Sealed Air Corp. | 47 | 2,008 | ||||||
WestRock Co. | 5,105 | 289,606 | ||||||
|
| |||||||
414,827 | ||||||||
|
| |||||||
Transportation — 0.8% | ||||||||
C.H. Robinson Worldwide, Inc. | 254 | 19,329 | ||||||
CSX Corp. | 2,673 | 145,037 | ||||||
Expeditors International of Washington, Inc. | 84 | 5,028 | ||||||
FedEx Corp. | 626 | 141,213 | ||||||
Norfolk Southern Corp. | 983 | 129,992 | ||||||
Union Pacific Corp. | 2,550 | 295,724 | ||||||
United Parcel Service, Inc. Class B | 1,255 | 150,713 | ||||||
|
| |||||||
887,036 | ||||||||
|
| |||||||
7,811,011 | ||||||||
|
| |||||||
Technology — 11.7% | ||||||||
Computers — 4.5% | ||||||||
Accenture PLC Class A | 1,740 | 235,022 | ||||||
Apple, Inc. | 17,746 | 2,735,013 | ||||||
Cognizant Technology Solutions Corp. Class A | 18 | 1,306 | ||||||
CSRA, Inc. | 3,975 | 128,273 | ||||||
DXC Technology Co. | 1,645 | 141,273 | ||||||
Hewlett Packard Enterprise Co. | 16,763 | 246,584 | ||||||
HP, Inc. | 12,863 | 256,745 |
Number of Shares | Value | |||||||
International Business Machines Corp. | 3,400 | $ | 493,272 | |||||
Lumentum Holdings, Inc. (a) | 1,200 | 65,220 | ||||||
NCR Corp. (a) | 9,200 | 345,184 | ||||||
NetApp, Inc. | 3,809 | 166,682 | ||||||
Seagate Technology PLC | 2,600 | 86,242 | ||||||
Western Digital Corp. | 3,820 | 330,048 | ||||||
|
| |||||||
5,230,864 | ||||||||
|
| |||||||
Office & Business Equipment — 0.1% | ||||||||
Xerox Corp. | 2,843 | 94,643 | ||||||
|
| |||||||
Semiconductors — 2.7% | ||||||||
Analog Devices, Inc. | 1,617 | 139,337 | ||||||
Applied Materials, Inc. | 8,067 | 420,210 | ||||||
Broadcom Ltd. | 1,194 | 289,593 | ||||||
Intel Corp. | 20,311 | 773,443 | ||||||
KLA-Tencor Corp. | 2,998 | 317,788 | ||||||
Lam Research Corp. | 1,563 | 289,217 | ||||||
Microchip Technology, Inc. | 3,124 | 280,473 | ||||||
Micron Technology, Inc. (a) | 6,033 | 237,278 | ||||||
NVIDIA Corp. | 545 | 97,430 | ||||||
QUALCOMM, Inc. | 88 | 4,562 | ||||||
Skyworks Solutions, Inc. | 890 | 90,691 | ||||||
Texas Instruments, Inc. | 2,645 | 237,098 | ||||||
Xilinx, Inc. | 561 | 39,735 | ||||||
|
| |||||||
3,216,855 | ||||||||
|
| |||||||
Software — 4.4% | ||||||||
Activision Blizzard, Inc. | 800 | 51,608 | ||||||
Adobe Systems, Inc. (a) | 2,735 | 408,007 | ||||||
Akamai Technologies, Inc. (a) | 10 | 487 | ||||||
ANSYS, Inc. (a) | 1,780 | 218,459 | ||||||
Autodesk, Inc. (a) | 47 | 5,276 | ||||||
CA, Inc. | 7,885 | 263,201 | ||||||
Citrix Systems, Inc. (a) | 145 | 11,139 | ||||||
Electronic Arts, Inc. (a) | 1,326 | 156,548 | ||||||
Fidelity National Information Services, Inc. | 2,460 | 229,739 | ||||||
Fiserv, Inc. (a) | 294 | 37,914 | ||||||
Intuit, Inc. | 229 | 32,550 | ||||||
Micro Focus International PLC Sponsored ADR (a) | 2,301 | 73,402 | ||||||
Microsoft Corp. | 36,141 | 2,692,143 | ||||||
Oracle Corp. | 11,188 | 540,940 | ||||||
Paychex, Inc. | 13 | 780 | ||||||
Red Hat, Inc. (a) | 624 | 69,177 | ||||||
salesforce.com, Inc. (a) | 1,380 | 128,920 | ||||||
Synopsys, Inc. (a) | 2,300 | 185,219 | ||||||
|
| |||||||
5,105,509 | ||||||||
|
| |||||||
13,647,871 | ||||||||
|
| |||||||
Utilities — 2.0% | ||||||||
Electric — 1.7% | ||||||||
AES Corp. | 14,177 | 156,231 |
The accompanying notes are an integral part of the financial statements.
150
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Ameren Corp. | 1,072 | $ | 62,005 | |||||
American Electric Power Co., Inc. | 296 | 20,791 | ||||||
CenterPoint Energy, Inc. | 7,435 | 217,176 | ||||||
CMS Energy Corp. | 1,110 | 51,415 | ||||||
Consolidated Edison, Inc. | 909 | 73,338 | ||||||
Dominion Energy, Inc. | 362 | 27,849 | ||||||
DTE Energy Co. | 2,892 | 310,485 | ||||||
Duke Energy Corp. | 686 | 57,569 | ||||||
Edison International | 634 | 48,926 | ||||||
Entergy Corp. | 3,111 | 237,556 | ||||||
Eversource Energy | 622 | 37,594 | ||||||
Exelon Corp. | 2,923 | 110,109 | ||||||
FirstEnergy Corp. | 466 | 14,367 | ||||||
NextEra Energy, Inc. | 456 | 66,827 | ||||||
NRG Energy, Inc. | 220 | 5,630 | ||||||
PG&E Corp. | 2,123 | 144,555 | ||||||
Pinnacle West Capital Corp. | 250 | 21,140 | ||||||
PPL Corp. | 784 | 29,753 | ||||||
Public Service Enterprise Group, Inc. | 1,209 | 55,916 | ||||||
SCANA Corp. | 572 | 27,736 | ||||||
The Southern Co. | 1,234 | 60,639 | ||||||
WEC Energy Group, Inc. | 364 | 22,852 | ||||||
Xcel Energy, Inc. | 1,145 | 54,181 | ||||||
|
| |||||||
1,914,640 | ||||||||
|
| |||||||
Gas — 0.3% | ||||||||
NiSource, Inc. | 172 | 4,401 | ||||||
ONE Gas, Inc. | 600 | 44,184 | ||||||
Sempra Energy | 2,852 | 325,499 | ||||||
|
| |||||||
374,084 | ||||||||
|
| |||||||
2,288,724 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $65,272,780) | 75,333,301 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Insurance — 0.1% | ||||||||
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN | 5,000 | 134,250 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $125,000) | 134,250 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $65,397,780) | 75,467,551 | |||||||
|
|
Principal Amount | Value | |||||||
BONDS & NOTES — 25.9% | ||||||||
CORPORATE DEBT — 8.9% | ||||||||
Aerospace & Defense — 0.0% | ||||||||
United Technologies Corp. | $ | 15,000 | $ | 19,281 | ||||
|
| |||||||
Agriculture — 0.1% | ||||||||
Bunge Ltd. Finance Corp. | 25,000 | 25,029 | ||||||
Bunge Ltd. Finance Corp. | 30,000 | 30,878 | ||||||
|
| |||||||
55,907 | ||||||||
|
| |||||||
Airlines — 0.3% | ||||||||
American Airlines Group, Inc. (b) | 162,000 | 169,695 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 11,687 | 12,031 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class A | 21,446 | 22,143 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | 79,030 | 82,982 | ||||||
United Airlines Pass-Through Trust, Series 2014-1, Class A | 26,632 | 28,170 | ||||||
WestJet Airlines Ltd. (b) | 22,000 | 22,383 | ||||||
|
| |||||||
337,404 | ||||||||
|
| |||||||
Auto Manufacturers — 0.2% | ||||||||
Ford Motor Co. | 15,000 | 15,651 | ||||||
General Motors Co. | 30,000 | 30,437 | ||||||
General Motors Co. | 20,000 | 20,506 | ||||||
General Motors Financial Co., Inc. | 55,000 | 55,439 | ||||||
General Motors Financial Co., Inc. | 80,000 | 81,928 | ||||||
Hyundai Capital America (b) | 40,000 | 40,061 | ||||||
Hyundai Capital America (b) | 30,000 | 30,156 | ||||||
|
| |||||||
274,178 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% | ||||||||
Lear Corp. | 20,000 | 21,308 | ||||||
|
| |||||||
Banks — 0.9% | ||||||||
Associated Banc-Corp. | 110,000 | 111,457 |
The accompanying notes are an integral part of the financial statements.
151
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Bank of America Corp. | $ | 90,000 | $ | 93,283 | ||||
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN | 45,000 | 47,565 | ||||||
Bank of America Corp. | 40,000 | 44,027 | ||||||
Bank of America Corp. | 20,000 | 29,383 | ||||||
The Bank of Nova Scotia | 40,000 | 42,153 | ||||||
Citigroup, Inc. | 75,000 | 84,177 | ||||||
Citigroup, Inc. | 20,000 | 25,488 | ||||||
Citigroup, Inc. | 15,000 | 23,726 | ||||||
First Horizon National Corp. | 120,000 | 123,551 | ||||||
Fulton Financial Corp. | 45,000 | 45,477 | ||||||
The Goldman Sachs Group, Inc. | 80,000 | 93,294 | ||||||
JP Morgan Chase & Co. | 10,000 | 10,208 | ||||||
JP Morgan Chase & Co. | 70,000 | 70,202 | ||||||
JP Morgan Chase & Co. | 45,000 | 55,786 | ||||||
Regions Bank | 30,000 | 31,037 | ||||||
SVB Financial Group | 85,000 | 85,146 | ||||||
SVB Financial Group | 15,000 | 16,287 | ||||||
Valley National Bancorp | 50,000 | 53,794 | ||||||
|
| |||||||
1,086,041 | ||||||||
|
| |||||||
Beverages — 0.1% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 95,000 | 107,309 | ||||||
Molson Coors Brewing Co. | 15,000 | 15,040 | ||||||
|
| |||||||
122,349 | ||||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 15,000 | 17,155 | ||||||
Baxalta, Inc. | 35,000 | 40,337 | ||||||
|
| |||||||
57,492 | ||||||||
|
|
Principal Amount | Value | |||||||
Building Materials — 0.1% | ||||||||
Standard Industries, Inc. (b) | $ | 81,000 | $ | 84,443 | ||||
Standard Industries, Inc. (b) | 38,000 | 40,386 | ||||||
Standard Industries, Inc. (b) | 32,000 | 33,880 | ||||||
|
| |||||||
158,709 | ||||||||
|
| |||||||
Chemicals — 0.2% | ||||||||
Ashland, Inc. | 11,000 | 12,210 | ||||||
CF Industries, Inc. | 50,000 | 49,375 | ||||||
CF Industries, Inc. | 90,000 | 92,475 | ||||||
Incitec Pivot Finance LLC (b) | 25,000 | 26,797 | ||||||
Monsanto Co. | 20,000 | 20,493 | ||||||
RPM International, Inc. | 20,000 | 20,272 | ||||||
The Sherwin-Williams Co. | 20,000 | 20,989 | ||||||
The Sherwin-Williams Co. (b) | 25,000 | 27,165 | ||||||
|
| |||||||
269,776 | ||||||||
|
| |||||||
Commercial Services — 0.1% | ||||||||
The ADT Corp. | 85,000 | 94,446 | ||||||
ERAC USA Finance LLC (b) | 15,000 | 15,122 | ||||||
|
| |||||||
109,568 | ||||||||
|
| |||||||
Computers — 0.2% | ||||||||
Dell International LLC/EMC Corp. (b) | 70,000 | 73,494 | ||||||
Dell International LLC/EMC Corp. (b) | 15,000 | 16,658 | ||||||
DXC Technology Co. | 15,000 | 15,200 | ||||||
DXC Technology Co. | 25,000 | 26,303 | ||||||
DXC Technology Co. | 50,000 | 53,481 | ||||||
|
| |||||||
185,136 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 105,000 | 111,094 | ||||||
Affiliated Managers Group, Inc. | 70,000 | 70,584 |
The accompanying notes are an integral part of the financial statements.
152
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Air Lease Corp. | $ | 90,000 | $ | 89,782 | ||||
Ally Financial, Inc. | 120,000 | 122,652 | ||||||
Ares Finance Co. LLC (b) | 85,000 | 81,590 | ||||||
Brookfield Finance LLC | 80,000 | 82,861 | ||||||
Discover Financial Services | 50,000 | 50,805 | ||||||
Genpact Luxembourg Sarl (b) | 65,000 | 65,751 | ||||||
Lazard Group LLC | 34,000 | 33,725 | ||||||
Lazard Group LLC | 90,000 | 95,080 | ||||||
Legg Mason, Inc. | 35,000 | 37,985 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (b) | 30,000 | 31,595 | ||||||
|
| |||||||
873,504 | ||||||||
|
| |||||||
Electric — 0.4% | ||||||||
Duke Energy Corp. | 35,000 | 33,716 | ||||||
Entergy Louisiana LLC | 40,000 | 41,140 | ||||||
Florida Power & Light Co. | 25,000 | 29,080 | ||||||
IPALCO Enterprises, Inc. | 115,000 | 116,150 | ||||||
IPALCO Enterprises, Inc. (b) | 25,000 | 25,061 | ||||||
Nevada Power Co., Series N | 20,000 | 27,057 | ||||||
Pennsylvania Electric Co. (b) | 70,000 | 72,619 | ||||||
Progress Energy, Inc. | 5,000 | 6,745 | ||||||
Puget Energy, Inc. | 5,000 | 5,088 | ||||||
Puget Energy, Inc. | 59,000 | 65,915 | ||||||
Transelec SA (b) | 25,000 | 26,736 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class A (b) | 4,638 | 4,700 | ||||||
Wisconsin Public Service Corp. | 50,000 | 50,150 | ||||||
|
| |||||||
504,157 | ||||||||
|
|
Principal Amount | Value | |||||||
Electronics — 0.2% | ||||||||
Arrow Electronics, Inc. | $ | 25,000 | $ | 24,719 | ||||
Arrow Electronics, Inc. | 60,000 | 61,169 | ||||||
Arrow Electronics, Inc. | 25,000 | 24,946 | ||||||
Arrow Electronics, Inc. | 10,000 | 10,676 | ||||||
Avnet, Inc. | 5,000 | 5,108 | ||||||
Avnet, Inc. | 23,000 | 24,283 | ||||||
FLIR Systems, Inc. | 35,000 | 35,461 | ||||||
Tech Data Corp. | 25,000 | 25,210 | ||||||
|
| |||||||
211,572 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
SBA Tower Trust (b) | 40,000 | 40,528 | ||||||
SBA Tower Trust (b) | 90,000 | 89,938 | ||||||
|
| |||||||
130,466 | ||||||||
|
| |||||||
Foods — 0.1% | ||||||||
Kraft Heinz Foods Co. | 45,000 | 43,105 | ||||||
Tyson Foods, Inc. | 25,000 | 27,616 | ||||||
The WhiteWave Foods Co. | 57,000 | 64,186 | ||||||
|
| |||||||
134,907 | ||||||||
|
| |||||||
Health Care – Products — 0.1% | ||||||||
Abbott Laboratories | 20,000 | 22,339 | ||||||
Becton Dickinson & Co. | 40,000 | 40,373 | ||||||
Becton Dickinson & Co. | 25,000 | 26,427 | ||||||
|
| |||||||
89,139 | ||||||||
|
| |||||||
Health Care – Services — 0.1% | ||||||||
Humana, Inc. | 45,000 | 47,015 | ||||||
Humana, Inc. | 25,000 | 27,839 | ||||||
UnitedHealth Group, Inc. | 20,000 | 28,385 | ||||||
|
| |||||||
103,239 | ||||||||
|
| |||||||
Household Products — 0.0% | ||||||||
Church & Dwight Co., Inc. | 10,000 | 9,902 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
153
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Insurance — 0.8% | ||||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN | $ | 70,000 | $ | 76,825 | ||||
American International Group, Inc. | 25,000 | 26,091 | ||||||
AmTrust Financial Services, Inc. | 75,000 | 74,175 | ||||||
Arch Capital Finance LLC | 30,000 | 33,423 | ||||||
Athene Global Funding (b) | 55,000 | 54,778 | ||||||
AXIS Specialty Finance PLC | 20,000 | 20,051 | ||||||
Brown & Brown, Inc. | 50,000 | 52,754 | ||||||
The Chubb Corp. 3 mo. USD LIBOR + | 21,000 | 20,885 | ||||||
CNA Financial Corp. | 25,000 | 24,729 | ||||||
CNO Financial Group, Inc. | 60,000 | 62,175 | ||||||
CNO Financial Group, Inc. | 72,000 | 76,860 | ||||||
Enstar Group Ltd. | 25,000 | 25,863 | ||||||
QBE Insurance Group Ltd. (b) | 25,000 | 25,027 | ||||||
Reinsurance Group of America, Inc. | 65,000 | 65,827 | ||||||
Trinity Acquisition PLC | 40,000 | 40,843 | ||||||
Trinity Acquisition PLC | 10,000 | 10,602 | ||||||
Unum Group | 25,000 | 25,334 | ||||||
USF&G Capital I (b) | 35,000 | 49,390 | ||||||
Willis North America, Inc. | 25,000 | 25,574 | ||||||
Willis North America, Inc. | 21,000 | 22,862 | ||||||
XLIT Ltd. | 40,000 | 40,960 | ||||||
XLIT Ltd. | 25,000 | 27,923 | ||||||
XLIT Ltd. | 55,000 | 64,372 | ||||||
|
| |||||||
947,323 | ||||||||
|
| |||||||
Internet — 0.1% | ||||||||
Amazon.com, Inc. (b) | 45,000 | 45,860 |
Principal Amount | Value | |||||||
Expedia, Inc. | $ | 90,000 | $ | 94,307 | ||||
|
| |||||||
140,167 | ||||||||
|
| |||||||
Investment Companies — 0.1% | ||||||||
Ares Capital Corp. | 75,000 | 74,164 | ||||||
FS Investment Corp. | 90,000 | 91,780 | ||||||
|
| |||||||
165,944 | ||||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
ArcelorMittal | 80,000 | 85,400 | ||||||
ArcelorMittal STEP | 60,000 | 65,250 | ||||||
Reliance Steel & Aluminum Co. | 30,000 | 31,832 | ||||||
Vale Overseas Ltd. | 75,000 | 82,462 | ||||||
Vale Overseas Ltd. | 20,000 | 22,900 | ||||||
|
| |||||||
287,844 | ||||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
CNH Industrial Capital LLC | 50,000 | 50,750 | ||||||
CNH Industrial Capital LLC | 25,000 | 25,164 | ||||||
CNH Industrial Capital LLC | 95,000 | 97,624 | ||||||
|
| |||||||
173,538 | ||||||||
|
| |||||||
Media — 0.2% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 16,000 | 16,928 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 35,000 | 41,079 | ||||||
Comcast Corp. | 45,000 | 41,476 | ||||||
Discovery Communications LLC | 20,000 | 20,053 | ||||||
Discovery Communications LLC | 25,000 | 25,385 | ||||||
Time Warner Cable, Inc. | 30,000 | 35,995 | ||||||
Time Warner Cable, Inc. | 10,000 | 10,873 | ||||||
Time Warner Cable, Inc. | 10,000 | 10,862 |
The accompanying notes are an integral part of the financial statements.
154
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Time Warner, Inc. | $ | 25,000 | $ | 29,303 | ||||
Time Warner, Inc. | 5,000 | 5,990 | ||||||
|
| |||||||
237,944 | ||||||||
|
| |||||||
Mining — 0.1% | ||||||||
Glencore Funding LLC (b) | 55,000 | 58,259 | ||||||
Kinross Gold Corp. (b) | 31,000 | 31,271 | ||||||
Kinross Gold Corp. | 50,000 | 53,625 | ||||||
|
| |||||||
143,155 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.0% | ||||||||
General Electric Co. | 50,000 | 52,923 | ||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 20,000 | 20,042 | ||||||
Pitney Bowes, Inc. STEP | 80,000 | 78,735 | ||||||
Pitney Bowes, Inc. | 5,000 | 5,063 | ||||||
|
| |||||||
103,840 | ||||||||
|
| |||||||
Office Furnishings — 0.1% | ||||||||
Steelcase, Inc. | 50,000 | 55,218 | ||||||
|
| |||||||
Oil & Gas — 0.6% | ||||||||
Antero Resources Corp. | 75,000 | 76,969 | ||||||
Cenovus Energy, Inc. (b) | 50,000 | 49,574 | ||||||
Concho Resources, Inc. | 20,000 | 20,089 | ||||||
Encana Corp. | 37,000 | 38,128 | ||||||
Encana Corp. | 23,000 | 24,476 | ||||||
Encana Corp. | 15,000 | 17,755 | ||||||
EQT Corp. | 30,000 | 30,112 | ||||||
EQT Corp. | 40,000 | 40,007 | ||||||
Helmerich & Payne International Drilling Co. | 45,000 | 47,586 | ||||||
Marathon Petroleum Corp. | 35,000 | 42,116 | ||||||
Nabors Industries, Inc. | 35,000 | 34,300 |
Principal Amount | Value | |||||||
Newfield Exploration Co. | $ | 25,000 | $ | 26,687 | ||||
PBF Holding Co. LLC/PBF Finance Corp. | 25,000 | 25,719 | ||||||
Petroleos Mexicanos | 5,000 | 5,308 | ||||||
Petroleos Mexicanos | 10,000 | 10,090 | ||||||
Petroleos Mexicanos | 60,000 | 64,020 | ||||||
Petroleos Mexicanos | 15,000 | 15,262 | ||||||
Petroleos Mexicanos (b) | 10,000 | 11,082 | ||||||
Phillips 66 | 25,000 | 30,752 | ||||||
QEP Resources, Inc. | 50,000 | 52,625 | ||||||
|
| |||||||
662,657 | ||||||||
|
| |||||||
Oil & Gas Services — 0.1% | ||||||||
National Oilwell Varco, Inc. | 39,000 | 37,858 | ||||||
National Oilwell Varco, Inc. | 40,000 | 33,748 | ||||||
|
| |||||||
71,606 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Amcor Finance USA, Inc. (b) | 95,000 | 94,280 | ||||||
Brambles USA, Inc. (b) | 24,000 | 24,985 | ||||||
Brambles USA, Inc. (b) | 15,000 | 15,995 | ||||||
Graphic Packaging International, Inc. | 20,000 | 21,156 | ||||||
Graphic Packaging International, Inc. | 10,000 | 10,650 | ||||||
|
| |||||||
167,066 | ||||||||
|
| |||||||
Pharmaceuticals — 0.2% | ||||||||
AbbVie, Inc. | 55,000 | 59,957 | ||||||
Allergan Funding SCS | 45,000 | 48,686 | ||||||
Express Scripts Holding Co. | 30,000 | 32,110 | ||||||
McKesson Corp. | 10,000 | 11,099 | ||||||
McKesson Corp. | 30,000 | 37,505 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 25,000 | 24,639 |
The accompanying notes are an integral part of the financial statements.
155
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Teva Pharmaceutical Finance Netherlands III BV | $ | 24,000 | $ | 23,107 | ||||
Teva Pharmaceutical Finance Netherlands III BV | 15,000 | 12,636 | ||||||
|
| |||||||
249,739 | ||||||||
|
| |||||||
Pipelines — 0.7% | ||||||||
Energy Transfer LP | 30,000 | 30,375 | ||||||
Energy Transfer LP | 25,000 | 27,456 | ||||||
EnLink Midstream Partners LP | 25,000 | 25,202 | ||||||
EnLink Midstream Partners LP | 24,000 | 25,113 | ||||||
Enterprise Products Operating LLC | 16,000 | 19,078 | ||||||
Enterprise Products Operating LLC | 12,000 | 14,547 | ||||||
Kinder Morgan Energy Partners LP | 10,000 | 11,529 | ||||||
Kinder Morgan Energy Partners LP | 25,000 | 28,258 | ||||||
Kinder Morgan Energy Partners LP | 15,000 | 17,133 | ||||||
Kinder Morgan Energy Partners LP | 5,000 | 6,065 | ||||||
Kinder Morgan Finance Co. LLC (b) | 35,000 | 35,389 | ||||||
Magellan Midstream Partners LP | 30,000 | 33,245 | ||||||
MPLX LP | 20,000 | 20,364 | ||||||
MPLX LP | 57,000 | 61,421 | ||||||
MPLX LP | 73,000 | 78,235 | ||||||
MPLX LP | 5,000 | 5,235 | ||||||
MPLX LP | 24,000 | 24,696 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 32,000 | 32,169 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 40,000 | 40,596 | ||||||
Sabine Pass Liquefaction LLC (b) | 45,000 | 45,363 | ||||||
Sunoco Logistics Partners Operations LP | 30,000 | 29,887 |
Principal Amount | Value | |||||||
Sunoco Logistics Partners Operations LP | $ | 25,000 | $ | 24,844 | ||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 50,000 | 53,188 | ||||||
Western Gas Partners LP | 85,000 | 87,827 | ||||||
|
| |||||||
777,215 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.3% | ||||||||
American Tower Corp. | 25,000 | 26,439 | ||||||
Boston Properties LP | 20,000 | 20,338 | ||||||
Brandywine Operating Partners LP | 40,000 | 40,539 | ||||||
Crown Castle International Corp. | 40,000 | 39,810 | ||||||
Crown Castle International Corp. | 20,000 | 20,451 | ||||||
Federal Realty Investment Trust | 10,000 | 10,893 | ||||||
Healthcare Trust of America Holdings LP | 15,000 | 15,099 | ||||||
Healthcare Trust of America Holdings LP | 40,000 | 39,143 | ||||||
Host Hotels & Resorts LP | 45,000 | 45,991 | ||||||
Kimco Realty Corp. | 25,000 | 24,986 | ||||||
Mid-America Apartments LP | 25,000 | 25,104 | ||||||
UDR, Inc. | 35,000 | 34,857 | ||||||
Weingarten Realty Investors | 15,000 | 14,365 | ||||||
|
| |||||||
358,015 | ||||||||
|
| |||||||
Retail — 0.3% | ||||||||
CVS Health Corp. | 10,000 | 12,569 | ||||||
CVS Pass-Through Trust (b) | 51,054 | 58,303 | ||||||
Dollar Tree, Inc. | 90,000 | 94,950 | ||||||
The Home Depot, Inc. | 30,000 | 39,531 | ||||||
QVC, Inc. | 35,000 | 35,357 | ||||||
QVC, Inc. | 25,000 | 25,967 | ||||||
QVC, Inc. | 10,000 | 10,691 |
The accompanying notes are an integral part of the financial statements.
156
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Tiffany & Co. | $ | 40,000 | $ | 39,316 | ||||
|
| |||||||
316,684 | ||||||||
|
| |||||||
Semiconductors — 0.0% | ||||||||
QUALCOMM, Inc. | 35,000 | 35,772 | ||||||
|
| |||||||
Software — 0.1% | ||||||||
Microsoft Corp. | 64,000 | 72,078 | ||||||
Oracle Corp. | 55,000 | 56,909 | ||||||
|
| |||||||
128,987 | ||||||||
|
| |||||||
Telecommunications — 0.4% | ||||||||
AT&T, Inc. | 50,000 | 50,078 | ||||||
AT&T, Inc. | 45,000 | 46,291 | ||||||
AT&T, Inc. | 50,000 | 50,097 | ||||||
AT&T, Inc. | 45,000 | 43,276 | ||||||
AT&T, Inc. | 35,000 | 36,833 | ||||||
CenturyLink, Inc. | 30,000 | 31,500 | ||||||
Hughes Satellite Systems Corp. | 25,000 | 26,594 | ||||||
Sprint Communications, Inc. | 65,000 | 80,275 | ||||||
Verizon Communications, Inc. | 30,000 | 31,302 | ||||||
Verizon Communications, Inc. | 25,000 | 25,342 | ||||||
Verizon Communications, Inc. | 20,000 | 22,419 | ||||||
Verizon Communications, Inc. | 34,000 | 42,644 | ||||||
|
| |||||||
486,651 | ||||||||
|
| |||||||
Transportation — 0.1% | ||||||||
Asciano Finance Ltd. (b) | 20,000 | 20,881 | ||||||
Asciano Finance Ltd. (b) | 55,000 | 55,772 | ||||||
|
| |||||||
76,653 | ||||||||
|
| |||||||
Trucking & Leasing — 0.0% | ||||||||
DAE Funding LLC (b) | 25,000 | 25,500 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $10,126,599) | 10,418,476 | |||||||
|
|
Principal Amount | Value | |||||||
MUNICIPAL OBLIGATIONS — 0.2% | ||||||||
JobsOhio Beverage System Series B | $ | 150,000 | $ | 160,657 | ||||
State of California BAB | 25,000 | 38,340 | ||||||
State of California BAB | 10,000 | 15,648 | ||||||
|
| |||||||
214,645 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $200,174) | 214,645 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.7% | ||||||||
Automobile ABS — 0.3% | ||||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (b) | 25,560 | 25,606 | ||||||
First Investors Auto Owner Trust, Series 2016-2A, Class B (b) | 80,000 | 79,479 | ||||||
GLS Auto Receivables Trust, Series 2015-1A, Class A (b) | 5,978 | 5,974 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (b) | 20,544 | 20,595 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (b) | 110,000 | 109,348 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (b) | 30,000 | 30,199 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-3, Class C | 50,000 | 50,392 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class C | 50,000 | 50,558 | ||||||
|
| |||||||
372,151 | ||||||||
|
| |||||||
Commercial MBS — 0.6% | ||||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN (c) | 15,599 | 15,647 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN (c) | 50,000 | 50,322 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-GAM, Class A1 (b) | 65,180 | 64,570 |
The accompanying notes are an integral part of the financial statements.
157
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (b) | $ | 35,000 | $ | 35,426 | ||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (c) | 35,000 | 33,537 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (b) | 100,000 | 103,937 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (c) | 41,504 | 41,986 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN (c) | 21,352 | 21,325 | ||||||
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN (c) | 11,023 | 11,078 | ||||||
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN (c) | 16,051 | 16,107 | ||||||
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (b) (c) | 100,000 | 106,326 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (c) | 6,760 | 6,751 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (c) | 30,697 | 30,817 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) | 23,934 | 24,331 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 40,000 | 41,700 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class B (b) | 50,000 | 52,756 | ||||||
|
| |||||||
656,616 | ||||||||
|
| |||||||
Home Equity ABS — 0.0% | ||||||||
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN | 6,096 | 6,093 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 30,604 | 30,629 | ||||||
|
| |||||||
36,722 | ||||||||
|
|
Principal Amount | Value | |||||||
Other ABS — 3.8% | ||||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (b) | $ | 43,376 | $ | 40,732 | ||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (b) | 250,000 | 250,952 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (b) | 68,775 | 70,991 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + | 250,000 | 251,061 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (b) | 49,982 | 50,193 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (b) | 250,000 | 249,997 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (b) | 18,250 | 18,170 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (b) | 44,491 | 44,730 | ||||||
CLI Funding V LLC, Series 2014-1A, Class A (b) | 67,367 | 67,231 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 8,868 | 8,835 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2I (b) | 58,500 | 58,394 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (b) | 25,874 | 25,852 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (b) | 27,900 | 27,809 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (b) | 109,674 | 108,728 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (b) | 98,750 | 99,194 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (b) | 108,625 | 111,966 |
The accompanying notes are an integral part of the financial statements.
158
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (b) | $ | 69,145 | $ | 67,228 | ||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (b) | 62,821 | 61,768 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) | 86,024 | 86,337 | ||||||
First Franklin Mortgage Loan Trust, Series 2004-FFH4, Class M6, 1 mo. USD LIBOR + 1.725%, FRN | 80,000 | 81,179 | ||||||
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + | 231 | 231 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + | 247,032 | 247,030 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | 5,917 | 5,944 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (b) | 97,788 | 99,036 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (b) | 117,483 | 118,680 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (b) | 24,301 | 24,214 | ||||||
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN | 204 | 204 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN | 13,448 | 13,477 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 25,807 | 25,656 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (b) | 32,155 | 32,263 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (b) | 53,360 | 53,529 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN | 20,504 | 20,621 |
Principal Amount | Value | |||||||
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (b) | $ | 4,068 | $ | 4,066 | ||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (b) | 320,000 | 316,797 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (b) | 150,000 | 148,338 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + | 185,595 | 185,983 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (b) | 42,988 | 42,859 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (b) | 35,823 | 35,229 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (b) | 50,000 | 50,485 | ||||||
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN | 67 | 67 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (b) | 34,482 | 34,549 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (b) | 243,347 | 245,421 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (b) | 73,908 | 74,660 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (b) | 81,808 | 83,086 | ||||||
SoFi Consumer Loan Program LLC, Series 2015-2, Class A (b) | 88,477 | 89,271 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (b) | 92,060 | 93,149 | ||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1, 1 mo. USD LIBOR + .450%, FRN | 32,891 | 32,928 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (b) | 110,000 | 110,056 |
The accompanying notes are an integral part of the financial statements.
159
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (b) | $ | 79,200 | $ | 80,660 | ||||
Textainer Marine Containers V Ltd., Series 2017-1A, Class A (b) | 96,110 | 97,265 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (b) | 27,698 | 27,380 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2I (b) | 117,600 | 118,421 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A2II (b) | 49,000 | 49,826 | ||||||
Wendys Funding LLC, Series 2015-1A, Class A23 (b) | 73,500 | 75,602 | ||||||
|
| |||||||
4,418,330 | ||||||||
|
| |||||||
Student Loans ABS — 2.9% | ||||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (b) | 100,000 | 85,920 | ||||||
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN | 49,706 | 48,946 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 14,757 | 13,802 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN | 35,000 | 26,754 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) | 132,028 | 132,490 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (b) | 60,912 | 60,749 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (b) | 96,692 | 96,692 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (b) | 61,866 | 62,082 |
Principal Amount | Value | |||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (b) | $ | 94,494 | $ | 94,577 | ||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (b) | 107,878 | 107,946 | ||||||
EdLinc Student Loan Funding Trust, Series 2012-1, Class B, 1 mo. USD LIBOR + 4.240%, FRN (b) | 65,000 | 75,218 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1, 28 day ARS, FRN (b) | 50,000 | 46,274 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN | 61,621 | 61,387 | ||||||
KnowledgeWorks Foundation, Series 2010-1, Class A, 3 mo. USD LIBOR + .950%, FRN | 37,073 | 37,262 | ||||||
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (b) | 81,085 | 80,391 | ||||||
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN | 100,000 | 97,218 | ||||||
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (b) | 100,000 | 99,999 | ||||||
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (b) | 100,000 | 100,796 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (b) | 150,000 | 152,883 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (b) | 96,752 | 98,692 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (b) | 410,000 | 422,869 |
The accompanying notes are an integral part of the financial statements.
160
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN | $ | 40,000 | $ | 37,234 | ||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (b) | 75,395 | 75,543 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (b) | 75,397 | 75,215 | ||||||
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN | 88,977 | 86,899 | ||||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (b) | 47,353 | 47,007 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (b) | 99,721 | 99,900 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 100,000 | 91,347 | ||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200%, FRN | 52,493 | 48,304 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A9, 28 day ARS, FRN | 50,000 | 50,000 | ||||||
SLM Student Loan Trust, Series 2005-4, Class B, 3 mo. USD LIBOR + .180%, FRN | 119,046 | 110,801 | ||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | 109,501 | 101,556 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN | 65,690 | 59,228 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN | 50,000 | 50,000 | ||||||
SMB Private Education Loan Trust, Series 2016-A, Class A2A (b) | 100,000 | 100,453 |
Principal Amount | Value | |||||||
SMB Private Education Loan Trust, Series 2017-A, Class B (b) | $ | 100,000 | $ | 97,269 | ||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (b) | 64,672 | 65,343 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (b) (c) | 100,000 | 99,127 | ||||||
South Carolina Student Loan Corp., Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050%, FRN | 100,000 | 100,832 | ||||||
�� |
|
| ||||||
3,399,005 | ||||||||
|
| |||||||
WL Collateral CMO — 0.1% | ||||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (c) | 5,247 | 5,343 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (c) | 1,998 | 1,934 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (c) | 2,526 | 2,611 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (c) | 14,781 | 14,413 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (b) (c) | 95,333 | 96,023 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (c) | 1,558 | 1,525 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (c) | 1,094 | 1,126 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (c) | 68 | 73 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (c) | 8,564 | 8,841 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 21,026 | 21,535 | ||||||
|
| |||||||
153,424 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $8,972,035) | 9,036,248 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
161
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.2% | ||||||||
Colombia Government International Bond | $ | 100,000 | $ | 117,600 | ||||
Export-Import Bank of Korea | 10,000 | 9,989 | ||||||
Mexico Government International Bond | 123,000 | 126,751 | ||||||
|
| |||||||
254,340 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $240,829) | 254,340 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 6.6% | ||||||||
Collateralized Mortgage Obligations — 0.5% | ||||||||
Federal Home Loan Mortgage Corp. | 108,527 | 110,967 | ||||||
Series 4290, Class CA | 74,337 | 76,918 | ||||||
Series 2617, Class Z | 56,625 | 62,667 | ||||||
Series 2693, Class Z | 104,195 | 113,650 | ||||||
Series 3423, Class PB | 21,147 | 23,224 | ||||||
Federal National Mortgage Association | 50,015 | 52,322 | ||||||
Series 2014-48, Class AB | 99,788 | 104,614 | ||||||
Series 2007-32, Class Z | 33,376 | 36,678 | ||||||
Series 2010-60, Class HJ | 19,776 | 21,346 | ||||||
Federal National Mortgage Association REMIC | 28,055 | 30,615 | ||||||
|
| |||||||
633,001 | ||||||||
|
| |||||||
Pass-Through Securities — 6.0% | ||||||||
Federal Home Loan Mortgage Corp. | 211,514 | 219,248 | ||||||
Pool #Q41916 3.500% | 74,320 | 77,270 | ||||||
Pool #Q44275 3.500% | 46,443 | 48,301 | ||||||
Pool #Q44277 3.500% | 24,253 | 25,174 | ||||||
Pool #Q45741 3.500% | 143,937 | 149,402 |
Principal Amount | Value | |||||||
Pool #Q47742 4.000% | $ | 24,433 | $ | 26,072 | ||||
Pool #Q47730 4.000% | 48,892 | 52,171 | ||||||
Pool #C03537 4.500% | 44,794 | 48,744 | ||||||
Pool #G06057 4.500% | 31,990 | 34,605 | ||||||
Pool #G60485 4.500% | 41,107 | 44,481 | ||||||
Pool #G60172 4.500% | 40,888 | 44,519 | ||||||
Pool #Q48208 4.500% | 24,471 | 26,315 | ||||||
Pool #Q48869 4.500% | 246,343 | 264,674 | ||||||
Pool #G05253 5.000% | 9,001 | 9,864 | ||||||
Pool #G11431 6.000% | 1 | 1 | ||||||
Pool #G00729 8.000% | 13,449 | 15,714 | ||||||
Federal Home Loan Mortgage Corp. TBA | 300,000 | 309,328 | ||||||
Pool #3735 4.000% | 250,000 | 262,803 | ||||||
Federal National Mortgage Association | 19,157 | 20,129 | ||||||
Pool #725692 1 year CMT + 2.146%, FRN | 12,066 | 12,705 | ||||||
Pool #AS1304 3.500% | 49,639 | 51,929 | ||||||
Pool #AV2325 3.500% | 25,854 | 27,047 | ||||||
Pool #AS6187 3.500% | 466,934 | 483,970 | ||||||
Pool #AS6306 3.500% | 157,234 | 163,216 | ||||||
Pool #AS6475 3.500% | 121,120 | 125,785 | ||||||
Pool #AS6476 3.500% | 130,948 | 135,930 | ||||||
Pool #AS6477 3.500% | 145,713 | 151,029 | ||||||
Pool #BH4875 3.500% | 72,840 | 75,154 | ||||||
Pool #AZ7917 4.000% | 16,295 | 17,280 | ||||||
Pool #AL8422 4.000% | 19,440 | 20,608 |
The accompanying notes are an integral part of the financial statements.
162
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #MA3027 4.000% | $ | 146,523 | $ | 154,450 | ||||
Pool #BF0094 4.000% | 206,286 | 218,817 | ||||||
Pool #BF0105 4.000% | 139,744 | 148,233 | ||||||
Pool #AH6787 4.500% | 36,030 | 39,255 | ||||||
Pool #CA0185 4.500% | 174,587 | 187,899 | ||||||
Pool #AD6437 5.000% | 18,560 | 20,621 | ||||||
Pool #AD6996 5.000% | 130,305 | 143,203 | ||||||
Pool #AL8173 5.000% | 47,721 | 52,325 | ||||||
Pool #564594 7.000% | 7,070 | 8,155 | ||||||
Pool #253795 7.000% | 5,106 | 5,950 | ||||||
Pool #507061 7.500% | 686 | 803 | ||||||
Pool #527761 7.500% | 1,289 | 1,429 | ||||||
Pool #531196 7.500% | 847 | 998 | ||||||
Pool #253183 7.500% | 2,170 | 2,549 | ||||||
Pool #253265 7.500% | 1,350 | 1,569 | ||||||
Pool #535248 8.000% | 130 | 154 | ||||||
Pool #539460 8.000% | 1,135 | 1,363 | ||||||
Pool #190317 8.000% | 1,520 | 1,814 | ||||||
Federal National Mortgage Association TBA | 1,300,000 | 1,340,117 | ||||||
Government National Mortgage Association | 195,062 | 203,702 | ||||||
Pool #MA4510 3.500% | 446,029 | 464,306 | ||||||
Pool #MA4586 3.500% | 174,138 | 181,274 | ||||||
Pool #352049 7.000% | 703 | 779 | ||||||
Pool #588012 7.000% | 3,145 | 3,708 |
Principal Amount | Value | |||||||
Government National Mortgage Association II | $ | 18,141 | $ | 18,640 | ||||
Pool #82488 1 year CMT + 1.500%, FRN | 20,436 | 20,990 | ||||||
Pool #784026 3.500% | 53,787 | 56,159 | ||||||
Government National Mortgage Association II TBA | 500,000 | 519,805 | ||||||
Pool #1367 4.000% | 275,000 | 289,566 | ||||||
|
| |||||||
7,032,101 | ||||||||
|
| |||||||
Whole Loans — 0.1% | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C05, Class 2M1 | 52,560 | 52,833 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $7,739,316) | 7,717,935 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 2.3% | ||||||||
U.S. Treasury Bonds & Notes — 2.3% | ||||||||
U.S. Treasury Bond | 380,000 | 353,192 | ||||||
U.S. Treasury Bond (e) | 380,000 | 429,192 | ||||||
U.S. Treasury Note | 520,000 | 518,660 | ||||||
U.S. Treasury Note | 730,000 | 729,715 | ||||||
U.S. Treasury Note | 630,000 | 613,930 | ||||||
|
| |||||||
2,644,689 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,646,981) | 2,644,689 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $29,925,934) | 30,286,333 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.1% (Cost $50,065) | 48,672 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
163
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
Retail — 0.0% | ||||||||
Safeway Casa Ley CVR (a) (f) (g) | 3,821 | $ | 3,859 | |||||
Safeway PDC LLC CVR (a) (f) (g) | 3,821 | 191 | ||||||
|
| |||||||
4,050 | ||||||||
|
| |||||||
TOTAL RIGHTS (Cost $3,985) | 4,050 | |||||||
|
| |||||||
MUTUAL FUNDS — 9.1% | ||||||||
Diversified Financial Services — 9.1% | ||||||||
iShares China Large-Cap ETF | 2,800 | 123,312 | ||||||
iShares MSCI Australia ETF | 7,000 | 157,080 | ||||||
iShares MSCI EAFE ETF | 43,430 | 2,974,086 | ||||||
iShares MSCI France ETF | 8,500 | 262,650 | ||||||
iShares MSCI Germany ETF | 7,200 | 233,496 | ||||||
iShares MSCI India ETF | 13,000 | 427,050 | ||||||
iShares MSCI Italy Capped ETF | 2,900 | 90,944 | ||||||
iShares MSCI Japan ETF | 10,300 | 573,813 | ||||||
iShares MSCI Singapore Capped ETF | 1,150 | 28,095 | ||||||
iShares MSCI South Korea Capped ETF | 1,800 | 124,308 | ||||||
iShares MSCI Spain ETF | 3,400 | 114,716 | ||||||
iShares MSCI Sweden ETF | 2,100 | 75,348 | ||||||
iShares MSCI Switzerland Capped ETF | 6,400 | 224,192 | ||||||
iShares MSCI Turkey Investable Market ETF | 1,700 | 71,077 | ||||||
iShares MSCI United Kingdom ETF | 10,500 | 365,925 | ||||||
Vanguard FTSE Developed Markets ETF | 74,840 | 3,248,804 | ||||||
Vanguard MSCI Emerging Markets ETF | 35,200 | 1,533,664 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $9,275,225) | 10,628,560 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $104,652,989) | 116,435,166 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 3.2% | ||||||||
Commercial Paper — 3.2% | ||||||||
Entergy Corp. (b) | $ | 1,000,000 | 999,865 | |||||
Hyundai Capital America (b) | 500,000 | 499,519 | ||||||
Interpublic Group Cos. (b) | 1,250,000 | 1,249,859 | ||||||
Walgreens Boots Alliance, Inc. | 1,000,000 | 999,232 | ||||||
|
| |||||||
3,748,475 | ||||||||
|
|
Principal Amount | Value | |||||||
Repurchase Agreement — 0.0% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, | $ | 1,388 | $ | 1,388 | ||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 11,598 | 11,598 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,761,762) | 3,761,461 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.9% (Cost $108,414,751) (i) | 120,196,627 | |||||||
|
| |||||||
Other Assets/(Liabilities) — (2.9)% | (3,443,747 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 116,752,880 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ADR | American Depositary Receipt |
ARS | Auction Rate Security |
BAB | Build America Bonds |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
CVR | Contingent Value Rights |
ETF | Exchange-Traded Fund |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
MTA | Monthly Treasury Average Index |
STEP | Step Up Bond |
TBA | To Be Announced |
VRN | Variable Rate Note |
WL | Whole Loan |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, these securities amounted to a value of $11,830,903 or 10.13% of net assets. |
(c) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2017. |
(d) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(e) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
The accompanying notes are an integral part of the financial statements.
164
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(f) | Investment was valued using significant unobservable inputs. |
(g) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $4,050 or 0.00% of net assets. |
(h) | Maturity value of $1,388. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 1/31/21, and an aggregate market value, including accrued interest, of $5,093. |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
(#) | The Fund had the following open Purchased Options contracts at September 30, 2017: |
Purchased Options
OTC Counterparty | Units | Notional Amount | Expiration Date | Pay/ | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Barclays Bank PLC | 250,000 | USD | 250,000 | 7/12/27 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87 | $ | 15,937 | $ | 16,909 | $ | 972 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Barclays Bank PLC | 530,000 | USD | 530,000 | 7/12/27 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87 | $ | 34,128 | $ | 31,763 | $ | (2,365 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 50,065 | $ | 48,672 | $ | (1,393 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
The Fund had the following open Futures contracts at September 30, 2017:
Futures
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Futures Contracts — Long | ||||||||||||||||
Mini MSCI EAFE | 12/15/17 | 17 | $ | 1,671,231 | $ | 10,409 | ||||||||||
U.S. Treasury Note 10 Year | 12/19/17 | 3 | 378,651 | (2,713 | ) | |||||||||||
U.S. Treasury Ultra 10 Year | 12/19/17 | 2 | 271,834 | (3,178 | ) | |||||||||||
U.S. Treasury Ultra Long Bond | 12/19/17 | 7 | 1,172,459 | (16,584 | ) | |||||||||||
U.S. Treasury Note 2 Year | 12/29/17 | 8 | 1,730,041 | (4,416 | ) | |||||||||||
U.S. Treasury Note 5 Year | 12/29/17 | 21 | 2,484,815 | (17,315 | ) | |||||||||||
|
| |||||||||||||||
$ | (33,797 | ) | ||||||||||||||
|
| |||||||||||||||
Futures Contract — Short | ||||||||||||||||
U.S. Treasury Long Bond | 12/19/17 | 1 | $(154,349) | $ | 1,536 | |||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
165
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
The Fund had the following open Swap agreements at September 30, 2017:
Swaps
Counterparty | Currency | Notional Amount | Expiration Date | Payment Frequency | Receive (Pay) Fixed Rate | Deliverable on Default | Unrealized Appreciation (Depreciation) | Premium (Received) Paid | Value | |||||||||||||||||||||
Credit Default Swaps — Buy Protection |
| |||||||||||||||||||||||||||||
Centrally Cleared Swaps |
| |||||||||||||||||||||||||||||
USD | 500,000 | 6/20/22 | Quarterly | (1.000%) | CDX.NA.IG.28 | $ | (2,971 | ) | $ | (7,621 | ) | $ | (10,592 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Credit Default Swaps — Sell Protection†† |
| |||||||||||||||||||||||||||||
OTC Swaps |
| |||||||||||||||||||||||||||||
Goldman Sachs International | USD | 140,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (21,314 | ) | $ | 86 | $ | (21,228 | ) | ||||||||||||||||
Goldman Sachs International | USD | 50,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (3,252 | ) | (4,330 | ) | (7,582 | ) | ||||||||||||||||||
Goldman Sachs International | USD | 20,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (1,430 | ) | (1,602 | ) | (3,032 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
(25,996 | ) | (5,846 | ) | (31,842 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Credit Suisse Securities (USA) amounted to $10,163 in securities at September 30, 2017. |
† | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
†† | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protecton. |
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
166
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 97.8% | ||||||||
COMMON STOCK — 97.8% | ||||||||
Basic Materials — 1.7% | ||||||||
Chemicals — 1.7% | ||||||||
Eastman Chemical Co. | 9,646 | $ | 872,867 | |||||
|
| |||||||
Communications — 4.5% | ||||||||
Internet — 0.9% | ||||||||
Alphabet, Inc. Class A (a) | 457 | 444,990 | ||||||
|
| |||||||
Media — 2.3% | ||||||||
Comcast Corp. Class A | 12,947 | 498,201 | ||||||
DISH Network Corp. Class A (a) | 6,080 | 329,718 | ||||||
The Walt Disney Co. | 3,767 | 371,313 | ||||||
|
| |||||||
1,199,232 | ||||||||
|
| |||||||
Telecommunications — 1.3% | ||||||||
AT&T, Inc. | 16,330 | 639,646 | ||||||
|
| |||||||
2,283,868 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.2% | ||||||||
Airlines — 0.5% | ||||||||
Southwest Airlines Co. | 4,634 | 259,411 | ||||||
|
| |||||||
Apparel — 1.2% | ||||||||
Hanesbrands, Inc. (b) | 24,880 | 613,043 | ||||||
|
| |||||||
Auto Manufacturers — 0.5% | ||||||||
PACCAR, Inc. | 3,760 | 271,998 | ||||||
|
| |||||||
Home Furnishing — 0.8% | ||||||||
Whirlpool Corp. | 2,179 | 401,895 | ||||||
|
| |||||||
Leisure Time — 0.8% | ||||||||
Carnival Corp. | 5,919 | 382,190 | ||||||
|
| |||||||
Lodging — 0.9% | ||||||||
Wyndham Worldwide Corp. | 4,450 | 469,075 | ||||||
|
| |||||||
Retail — 4.5% | ||||||||
Coach, Inc. | 9,140 | 368,159 | ||||||
Target Corp. | 9,450 | 557,644 | ||||||
Wal-Mart Stores, Inc. | 10,170 | 794,684 | ||||||
Walgreens Boots Alliance, Inc. | 7,453 | 575,521 | ||||||
|
| |||||||
2,296,008 | ||||||||
|
| |||||||
4,693,620 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 16.9% | ||||||||
Agriculture — 1.2% | ||||||||
Philip Morris International, Inc. | 5,260 | 583,913 | ||||||
|
| |||||||
Beverages — 1.9% | ||||||||
The Coca-Cola Co. | 10,780 | 485,208 | ||||||
Coca-Cola European Partners PLC | 11,800 | 491,116 | ||||||
|
| |||||||
976,324 | ||||||||
|
| |||||||
Biotechnology — 2.2% | ||||||||
Amgen, Inc. | 2,928 | 545,926 | ||||||
Gilead Sciences, Inc. | 7,372 | 597,279 | ||||||
|
| |||||||
1,143,205 | ||||||||
|
|
Number of Shares | Value | |||||||
Cosmetics & Personal Care — 1.2% | ||||||||
The Procter & Gamble Co. | 6,912 | $ | 628,854 | |||||
|
| |||||||
Health Care – Products — 3.1% | ||||||||
Danaher Corp. | 6,328 | 542,816 | ||||||
Thermo Fisher Scientific, Inc. | 2,274 | 430,241 | ||||||
Zimmer Biomet Holdings, Inc. | 4,947 | 579,244 | ||||||
|
| |||||||
1,552,301 | ||||||||
|
| |||||||
Health Care – Services — 2.6% | ||||||||
UnitedHealth Group, Inc. | 6,697 | 1,311,607 | ||||||
|
| |||||||
Pharmaceuticals — 4.7% | ||||||||
Bristol-Myers Squibb Co. | 10,090 | 643,137 | ||||||
GlaxoSmithKline PLC Sponsored ADR (b) | 15,180 | 616,308 | ||||||
Pfizer, Inc. | 31,998 | 1,142,328 | ||||||
|
| |||||||
2,401,773 | ||||||||
|
| |||||||
8,597,977 | ||||||||
|
| |||||||
Energy — 10.2% | ||||||||
Oil & Gas — 6.9% | ||||||||
Chevron Corp. | 13,567 | 1,594,122 | ||||||
ConocoPhillips | 5,172 | 258,859 | ||||||
Phillips 66 | 3,547 | 324,941 | ||||||
Suncor Energy, Inc. | 38,324 | 1,342,490 | ||||||
|
| |||||||
3,520,412 | ||||||||
|
| |||||||
Oil & Gas Services — 2.4% | ||||||||
Halliburton Co. | 10,328 | 475,398 | ||||||
Schlumberger Ltd. | 4,209 | 293,620 | ||||||
Weatherford International PLC (a) (b) | 100,466 | 460,134 | ||||||
|
| |||||||
1,229,152 | ||||||||
|
| |||||||
Pipelines — 0.9% | ||||||||
Enbridge, Inc. | 11,397 | 476,850 | ||||||
|
| |||||||
5,226,414 | ||||||||
|
| |||||||
Financial — 31.3% | ||||||||
Banks — 16.6% | ||||||||
Bank of America Corp. | 99,270 | 2,515,502 | ||||||
The Bank of New York Mellon Corp. | 4,975 | 263,775 | ||||||
Citigroup, Inc. | 17,790 | 1,294,045 | ||||||
JP Morgan Chase & Co. | 24,897 | 2,377,912 | ||||||
KeyCorp | 36,556 | 687,984 | ||||||
Morgan Stanley | 11,373 | 547,837 | ||||||
Zions Bancorp | 16,890 | 796,870 | ||||||
|
| |||||||
8,483,925 | ||||||||
|
| |||||||
Diversified Financial Services — 3.8% | ||||||||
Ameriprise Financial, Inc. | 3,432 | 509,686 | ||||||
BlackRock, Inc. | 1,220 | 545,450 | ||||||
Nasdaq, Inc. | 11,528 | 894,227 | ||||||
|
| |||||||
1,949,363 | ||||||||
|
| |||||||
Insurance — 6.8% | ||||||||
American International Group, Inc. | 16,945 | 1,040,254 | ||||||
Aon PLC | 4,408 | 644,009 |
The accompanying notes are an integral part of the financial statements.
167
MassMutual Premier Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
The Hartford Financial Services Group, Inc. | 7,110 | $ | 394,107 | |||||
MetLife, Inc. | 14,104 | 732,703 | ||||||
XL Group Ltd. | 16,192 | 638,774 | ||||||
|
| |||||||
3,449,847 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 4.1% | ||||||||
Crown Castle International Corp. | 5,770 | 576,885 | ||||||
Digital Realty Trust, Inc. | 2,878 | 340,554 | ||||||
HCP, Inc. | 9,115 | 253,670 | ||||||
Invitation Homes, Inc. | 10,023 | 227,021 | ||||||
Prologis, Inc. | 10,470 | 664,426 | ||||||
|
| |||||||
2,062,556 | ||||||||
|
| |||||||
15,945,691 | ||||||||
|
| |||||||
Industrial — 11.6% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
Lockheed Martin Corp. | 3,249 | 1,008,132 | ||||||
|
| |||||||
Electronics — 1.2% | ||||||||
TE Connectivity Ltd. | 7,167 | 595,291 | ||||||
|
| |||||||
Environmental Controls — 1.1% | ||||||||
Waste Management, Inc. | 7,300 | 571,371 | ||||||
|
| |||||||
Machinery – Construction & Mining — 1.1% | ||||||||
Caterpillar, Inc. | 4,520 | 563,689 | ||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
Zebra Technologies Corp. Class A (a) | 2,670 | 289,909 | ||||||
|
| |||||||
Manufacturing — 1.1% | ||||||||
Siemens AG Sponsored ADR | 8,100 | 573,075 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.4% | ||||||||
Parker-Hannifin Corp. | 4,160 | 728,083 | ||||||
|
| |||||||
Packaging & Containers — 1.0% | ||||||||
WestRock Co. | 8,880 | 503,763 | ||||||
|
| |||||||
Transportation — 2.1% | ||||||||
FedEx Corp. | 1,328 | 299,570 | ||||||
Kansas City Southern | 3,060 | 332,561 | ||||||
XPO Logistics, Inc. (a) | 6,604 | 447,619 | ||||||
|
| |||||||
1,079,750 | ||||||||
|
| |||||||
5,913,063 | ||||||||
|
| |||||||
Technology — 7.9% | ||||||||
Computers — 1.4% | ||||||||
Check Point Software Technologies Ltd. (a) | 1,877 | 214,016 | ||||||
HP, Inc. | 25,600 | 510,976 | ||||||
|
| |||||||
724,992 | ||||||||
|
| |||||||
Semiconductors — 2.8% | ||||||||
Broadcom Ltd. | 1,966 | 476,833 | ||||||
Marvell Technology Group Ltd. | 28,430 | 508,897 | ||||||
Texas Instruments, Inc. | 4,923 | 441,298 | ||||||
|
| |||||||
1,427,028 | ||||||||
|
|
Number of Shares | Value | |||||||
Software — 3.7% | ||||||||
First Data Corp. Class A (a) | 29,941 | $ | 540,135 | |||||
Microsoft Corp. | 9,331 | 695,066 | ||||||
Synopsys, Inc. (a) | 8,107 | 652,857 | ||||||
|
| |||||||
1,888,058 | ||||||||
|
| |||||||
4,040,078 | ||||||||
|
| |||||||
Utilities — 4.5% | ||||||||
Electric — 4.5% | ||||||||
Edison International | 18,172 | 1,402,333 | ||||||
Entergy Corp. | 8,170 | 623,861 | ||||||
NextEra Energy, Inc. | 1,843 | 270,092 | ||||||
|
| |||||||
2,296,286 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $42,074,221) | 49,869,864 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $42,074,221) | 49,869,864 | |||||||
|
| |||||||
MUTUAL FUNDS — 3.4% | ||||||||
Diversified Financial Services — 3.4% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (c) | 1,718,034 | 1,718,034 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,718,034) | 1,718,034 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $43,792,255) | 51,587,898 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.9% | ||||||||
Repurchase Agreement — 2.9% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (d) | $ | 1,462,606 | 1,462,606 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 538 | 538 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,463,144) | 1,463,144 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 104.1% (Cost $45,255,399) (e) | 53,051,042 | |||||||
Other Assets/(Liabilities) — (4.1)% | (2,070,846 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 50,980,196 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
168
MassMutual Premier Value Fund – Portfolio of Investments (Continued)
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2017, was $1,672,576 or 3.28% 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 $1,462,612. 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 $1,492,979. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
169
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 100.4% | ||||||||
COMMON STOCK — 100.4% | ||||||||
Basic Materials — 2.3% | ||||||||
Chemicals — 1.2% | ||||||||
Air Products & Chemicals, Inc. | 3,090 | $ | 467,270 | |||||
Albemarle Corp. | 2,010 | 273,983 | ||||||
Ashland Global Holdings, Inc. | 700 | 45,773 | ||||||
Cabot Corp. | 200 | 11,160 | ||||||
Celanese Corp. Series A | 1,500 | 156,405 | ||||||
DowDuPont, Inc. | 810 | 56,076 | ||||||
Eastman Chemical Co. | 4,300 | 389,107 | ||||||
Huntsman Corp. | 21,300 | 584,046 | ||||||
LyondellBasell Industries NV Class A | 3,400 | 336,770 | ||||||
Olin Corp. | 1,600 | 54,800 | ||||||
Platform Specialty Products Corp. (a) | 9,900 | 110,385 | ||||||
Praxair, Inc. | 350 | 48,909 | ||||||
Westlake Chemical Corp. | 160 | 13,295 | ||||||
|
| |||||||
2,547,979 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
Domtar Corp. | 8,137 | 353,065 | ||||||
|
| |||||||
Iron & Steel — 0.3% | ||||||||
Steel Dynamics, Inc. | 4,200 | 144,774 | ||||||
United States Steel Corp. | 17,290 | 443,661 | ||||||
|
| |||||||
588,435 | ||||||||
|
| |||||||
Mining — 0.6% | ||||||||
Alcoa Corp. | 7,300 | 340,326 | ||||||
Freeport-McMoRan, Inc. (a) | 9,331 | 131,007 | ||||||
Newmont Mining Corp. | 7,800 | 292,578 | ||||||
Southern Copper Corp. | 9,100 | 361,816 | ||||||
|
| |||||||
1,125,727 | ||||||||
|
| |||||||
4,615,206 | ||||||||
|
| |||||||
Communications — 7.9% | ||||||||
Advertising — 0.0% | ||||||||
The Interpublic Group of Cos., Inc. | 300 | 6,237 | ||||||
|
| |||||||
Internet — 0.5% | ||||||||
eBay, Inc. (a) | 19,100 | 734,586 | ||||||
FireEye, Inc. (a) | 700 | 11,739 | ||||||
Liberty Expedia Holdings, Inc. Class A (a) | 700 | 37,177 | ||||||
Liberty Ventures Series A (a) | 1,400 | 80,570 | ||||||
Twitter, Inc. (a) | 6,000 | 101,220 | ||||||
|
| |||||||
965,292 | ||||||||
|
| |||||||
Media — 2.3% | ||||||||
Charter Communications, Inc. Class A (a) | 2,290 | 832,232 | ||||||
Comcast Corp. Class A | 23,000 | 885,040 | ||||||
Discovery Communications, Inc. Class A (a) | 6,100 | 129,869 |
Number of Shares | Value | |||||||
Discovery Communications, Inc. Class C (a) | 3,300 | $ | 66,858 | |||||
DISH Network Corp. Class A (a) | 200 | 10,846 | ||||||
John Wiley & Sons, Inc. Class A | 1,400 | 74,900 | ||||||
Liberty Broadband Corp. Class C (a) | 1,400 | 133,420 | ||||||
Liberty Media Corp-Liberty SiriusXM Class C (a) | 2,500 | 104,675 | ||||||
News Corp. Class A | 2,800 | 37,128 | ||||||
Scripps Networks Interactive, Inc. Class A | 2,200 | 188,958 | ||||||
Sirius XM Holdings, Inc. | 117,400 | 648,048 | ||||||
TEGNA, Inc. | 4,455 | 59,385 | ||||||
Time Warner, Inc. | 3,390 | 347,306 | ||||||
Twenty-First Century Fox, Inc. Class A | 11,200 | 295,456 | ||||||
Twenty-First Century Fox, Inc. Class B | 4,300 | 110,897 | ||||||
Viacom, Inc. Class A | 200 | 7,340 | ||||||
Viacom, Inc. Class B | 7,800 | 217,152 | ||||||
The Walt Disney Co. | 6,660 | 656,476 | ||||||
|
| |||||||
4,805,986 | ||||||||
|
| |||||||
Telecommunications — 5.1% | ||||||||
ARRIS International PLC (a) | 13,600 | 387,464 | ||||||
AT&T, Inc. | 131,214 | 5,139,652 | ||||||
CenturyLink, Inc. | 7 | 132 | ||||||
Cisco Systems, Inc. | 66,300 | 2,229,669 | ||||||
EchoStar Corp. Class A (a) | 2,400 | 137,352 | ||||||
Juniper Networks, Inc. | 18,600 | 517,638 | ||||||
LogMeIn, Inc. | 450 | 49,523 | ||||||
Motorola Solutions, Inc. | 2,400 | 203,688 | ||||||
T-Mobile US, Inc. (a) | 12,850 | 792,331 | ||||||
Telephone & Data Systems, Inc. | 1,118 | 31,181 | ||||||
Verizon Communications, Inc. | 18,000 | 890,820 | ||||||
|
| |||||||
10,379,450 | ||||||||
|
| |||||||
16,156,965 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.6% | ||||||||
Airlines — 1.1% | ||||||||
Alaska Air Group, Inc. | 4,900 | 373,723 | ||||||
American Airlines Group, Inc. | 7,300 | 346,677 | ||||||
Copa Holdings SA Class A | 1,820 | 226,644 | ||||||
Delta Air Lines, Inc. | 14,900 | 718,478 | ||||||
JetBlue Airways Corp. (a) | 17,500 | 324,275 | ||||||
Spirit Airlines, Inc. (a) | 600 | 20,046 | ||||||
United Continental Holdings, Inc. (a) | 5,100 | 310,488 | ||||||
|
| |||||||
2,320,331 | ||||||||
|
| |||||||
Apparel — 0.2% | ||||||||
Michael Kors Holdings Ltd. (a) | 3,000 | 143,550 | ||||||
Ralph Lauren Corp. | 3,900 | 344,331 | ||||||
|
| |||||||
487,881 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
170
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Auto Manufacturers — 1.0% | ||||||||
Ford Motor Co. | 74,500 | $ | 891,765 | |||||
General Motors Co. | 29,300 | 1,183,134 | ||||||
|
| |||||||
2,074,899 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.9% | ||||||||
Adient PLC | 62 | 5,207 | ||||||
BorgWarner, Inc. | 7,200 | 368,856 | ||||||
The Goodyear Tire & Rubber Co. | 13,100 | 435,575 | ||||||
Lear Corp. | 5,270 | 912,132 | ||||||
|
| |||||||
1,721,770 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
WESCO International, Inc. (a) | 1,200 | 69,900 | ||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
Cinemark Holdings, Inc. | 3,500 | 126,735 | ||||||
Dolby Laboratories, Inc. Class A | 800 | 46,016 | ||||||
International Game Technology PLC | 6,300 | 154,665 | ||||||
Regal Entertainment Group Class A | 800 | 12,800 | ||||||
|
| |||||||
340,216 | ||||||||
|
| |||||||
Food Services — 0.0% | ||||||||
Aramark | 400 | 16,244 | ||||||
|
| |||||||
Home Builders — 0.6% | ||||||||
CalAtlantic Group, Inc. | 2,000 | 73,260 | ||||||
D.R. Horton, Inc. | 2,000 | 79,860 | ||||||
Lennar Corp. Class A | 2,700 | 142,560 | ||||||
Lennar Corp. Class B | 3,000 | 135,240 | ||||||
PulteGroup, Inc. | 14,700 | 401,751 | ||||||
Toll Brothers, Inc. | 10,500 | 435,435 | ||||||
|
| |||||||
1,268,106 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Tempur Sealy International, Inc. (a) | 1,000 | 64,520 | ||||||
Whirlpool Corp. | 1,010 | 186,284 | ||||||
|
| |||||||
250,804 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
Newell Brands, Inc. | 4,700 | 200,549 | ||||||
|
| |||||||
Leisure Time — 0.7% | ||||||||
Brunswick Corp. | 500 | 27,985 | ||||||
Harley-Davidson, Inc. | 1,500 | 72,315 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 8,300 | 448,615 | ||||||
Royal Caribbean Cruises Ltd. | 7,620 | 903,275 | ||||||
|
| |||||||
1,452,190 | ||||||||
|
| |||||||
Lodging — 0.6% | ||||||||
Hilton Worldwide Holdings, Inc. | 700 | 48,615 | ||||||
Hyatt Hotels Corp. Class A (a) | 7,000 | 432,530 | ||||||
MGM Resorts International | 25,100 | 818,009 | ||||||
|
| |||||||
1,299,154 | ||||||||
|
|
Number of Shares | Value | |||||||
Retail — 4.0% | ||||||||
Bed Bath & Beyond, Inc. | 11,300 | $ | 265,211 | |||||
Best Buy Co., Inc. | 8,500 | 484,160 | ||||||
Burlington Stores, Inc. (a) | 3,800 | 362,748 | ||||||
CVS Health Corp. | 12,880 | 1,047,402 | ||||||
Dick’s Sporting Goods, Inc. | 1,800 | 48,618 | ||||||
Foot Locker, Inc. | 2,000 | 70,440 | ||||||
GameStop Corp. Class A | 18,300 | 378,078 | ||||||
The Gap, Inc. | 14,200 | 419,326 | ||||||
Kohl’s Corp. | 11,700 | 534,105 | ||||||
Liberty Interactive Corp. Class A (a) | 4,800 | 113,136 | ||||||
Macy’s, Inc. | 14,644 | 319,532 | ||||||
The Michaels Cos., Inc. (a) | 4,100 | 88,027 | ||||||
Nu Skin Enterprises, Inc. Class A | 4,900 | 301,252 | ||||||
Penske Automotive Group, Inc. | 6,300 | 299,691 | ||||||
PVH Corp. | 4,360 | 549,622 | ||||||
Target Corp. | 11,200 | 660,912 | ||||||
Tiffany & Co. | 500 | 45,890 | ||||||
Urban Outfitters, Inc. (a) | 300 | 7,170 | ||||||
Wal-Mart Stores, Inc. | 15,900 | 1,242,426 | ||||||
Walgreens Boots Alliance, Inc. | 9,639 | 744,323 | ||||||
Williams-Sonoma, Inc. | 2,200 | 109,692 | ||||||
|
| |||||||
8,091,761 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 1,100 | 107,437 | ||||||
|
| |||||||
19,701,242 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 17.1% | ||||||||
Agriculture — 1.1% | ||||||||
Archer-Daniels-Midland Co. | 1,200 | 51,012 | ||||||
Bunge Ltd. | 2,700 | 187,542 | ||||||
Philip Morris International, Inc. | 17,470 | 1,939,345 | ||||||
|
| |||||||
2,177,899 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
The Coca-Cola Co. | 12,400 | 558,124 | ||||||
Molson Coors Brewing Co. Class B | 1,560 | 127,359 | ||||||
PepsiCo, Inc. | 2,910 | 324,261 | ||||||
|
| |||||||
1,009,744 | ||||||||
|
| |||||||
Biotechnology — 1.6% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 2,820 | 395,618 | ||||||
Amgen, Inc. | 9,630 | 1,795,513 | ||||||
Bio-Rad Laboratories, Inc. Class A (a) | 10 | 2,222 | ||||||
Gilead Sciences, Inc. | 7,700 | 623,854 | ||||||
United Therapeutics Corp. (a) | 4,150 | 486,339 | ||||||
|
| |||||||
3,303,546 | ||||||||
|
| |||||||
Commercial Services — 0.5% | ||||||||
Booz Allen Hamilton Holding Corp. | 3,900 | 145,821 | ||||||
CoreLogic, Inc. (a) | 400 | 18,488 | ||||||
Graham Holdings Co. Class B | 6 | 3,511 | ||||||
H&R Block, Inc. | 15,200 | 402,496 |
The accompanying notes are an integral part of the financial statements.
171
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
ManpowerGroup, Inc. | 3,810 | $ | 448,894 | |||||
Quanta Services, Inc. (a) | 1,300 | 48,581 | ||||||
Sabre Corp. | 2,000 | 36,200 | ||||||
|
| |||||||
1,103,991 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 2.2% | ||||||||
Colgate-Palmolive Co. | 4,100 | 298,685 | ||||||
Edgewell Personal Care Co. (a) | 780 | 56,760 | ||||||
The Procter & Gamble Co. | 45,310 | 4,122,304 | ||||||
|
| |||||||
4,477,749 | ||||||||
|
| |||||||
Foods — 0.7% | ||||||||
Campbell Soup Co. | 700 | 32,774 | ||||||
Conagra Brands, Inc. | 8,600 | 290,164 | ||||||
Ingredion, Inc. | 160 | 19,302 | ||||||
The J.M. Smucker Co. | 350 | 36,726 | ||||||
The Kraft Heinz Co. | 400 | 31,020 | ||||||
The Kroger Co. | 3,600 | 72,216 | ||||||
Lamb Weston Holdings, Inc. | 33 | 1,547 | ||||||
Mondelez International, Inc. Class A | 50 | 2,033 | ||||||
Pilgrim’s Pride Corp. (a) | 14,200 | 403,422 | ||||||
Pinnacle Foods, Inc. | 100 | 5,717 | ||||||
Post Holdings, Inc. (a) | 300 | 26,481 | ||||||
Seaboard Corp. | 30 | 135,150 | ||||||
Tyson Foods, Inc. Class A | 4,700 | 331,115 | ||||||
|
| |||||||
1,387,667 | ||||||||
|
| |||||||
Health Care – Products — 2.3% | ||||||||
Abbott Laboratories | 40,700 | 2,171,752 | ||||||
Alere, Inc. (a) | 1,000 | 50,990 | ||||||
Baxter International, Inc. | 8,900 | 558,475 | ||||||
The Cooper Cos., Inc. | 280 | 66,391 | ||||||
Danaher Corp. | 1,700 | 145,826 | ||||||
Hologic, Inc. (a) | 5,000 | 183,450 | ||||||
Medtronic PLC | 5,269 | 409,770 | ||||||
QIAGEN NV (a) | 8,100 | 255,150 | ||||||
STERIS PLC | 4,900 | 433,160 | ||||||
Teleflex, Inc. | 460 | 111,306 | ||||||
Thermo Fisher Scientific, Inc. | 570 | 107,844 | ||||||
VWR Corp. (a) | 1,800 | 59,598 | ||||||
Zimmer Biomet Holdings, Inc. | 1,070 | 125,286 | ||||||
|
| |||||||
4,678,998 | ||||||||
|
| |||||||
Health Care – Services — 2.0% | ||||||||
Aetna, Inc. | 2,421 | 384,963 | ||||||
Anthem, Inc. | 4,380 | 831,675 | ||||||
Centene Corp. (a) | 3,800 | 367,726 | ||||||
Cigna Corp. | 4,310 | 805,711 | ||||||
DaVita, Inc. (a) | 2,500 | 148,475 | ||||||
HCA Healthcare, Inc. (a) | 3,800 | 302,442 | ||||||
Humana, Inc. | 860 | 209,522 | ||||||
LifePoint Health, Inc. (a) | 4,900 | 283,710 | ||||||
Quest Diagnostics, Inc. | 2,070 | 193,835 | ||||||
WellCare Health Plans, Inc. (a) | 3,830 | 657,764 | ||||||
|
| |||||||
4,185,823 | ||||||||
|
|
Number of Shares | Value | |||||||
Household Products & Wares — 0.1% | ||||||||
Avery Dennison Corp. | 100 | $ | 9,834 | |||||
Kimberly-Clark Corp. | 770 | 90,614 | ||||||
|
| |||||||
100,448 | ||||||||
|
| |||||||
Pharmaceuticals — 6.1% | ||||||||
Allergan PLC | 4,730 | 969,413 | ||||||
Bristol-Myers Squibb Co. | 9,900 | 631,026 | ||||||
Cardinal Health, Inc. | 3,300 | 220,836 | ||||||
Endo International PLC (a) | 31,100 | 266,372 | ||||||
Express Scripts Holding Co. (a) | 10,400 | 658,528 | ||||||
Johnson & Johnson | 25,280 | 3,286,653 | ||||||
Mallinckrodt PLC (a) | 9,060 | 338,572 | ||||||
McKesson Corp. | 4,520 | 694,317 | ||||||
Merck & Co., Inc. | 33,228 | 2,127,589 | ||||||
Mylan NV (a) | 4,700 | 147,439 | ||||||
Perrigo Co. PLC | 1,300 | 110,045 | ||||||
Pfizer, Inc. | 87,015 | 3,106,435 | ||||||
Premier, Inc. Class A (a) | 400 | 13,028 | ||||||
|
| |||||||
12,570,253 | ||||||||
|
| |||||||
34,996,118 | ||||||||
|
| |||||||
Energy — 7.5% | ||||||||
Coal — 0.1% | ||||||||
CONSOL Energy, Inc. (a) | 3,900 | 66,066 | ||||||
|
| |||||||
Energy – Alternate Sources — 0.1% | ||||||||
First Solar, Inc. (a) | 5,600 | 256,928 | ||||||
|
| |||||||
Oil & Gas — 6.2% | ||||||||
Andeavor | 4,110 | 423,947 | ||||||
Apache Corp. | 28 | 1,282 | ||||||
Chevron Corp. | 24,505 | 2,879,337 | ||||||
ConocoPhillips | 1,548 | 77,477 | ||||||
Devon Energy Corp. | 12,750 | 468,053 | ||||||
Diamondback Energy, Inc. (a) | 60 | 5,878 | ||||||
Energen Corp. (a) | 800 | 43,744 | ||||||
Exxon Mobil Corp. | 65,490 | 5,368,870 | ||||||
Gulfport Energy Corp. (a) | 56,600 | 811,644 | ||||||
Marathon Oil Corp. | 4,700 | 63,732 | ||||||
Marathon Petroleum Corp. | 5,040 | 282,643 | ||||||
Murphy Oil Corp. | 1,700 | 45,152 | ||||||
Noble Energy, Inc. | 80 | 2,269 | ||||||
Occidental Petroleum Corp. | 1,930 | 123,925 | ||||||
Patterson-UTI Energy, Inc. | 2,500 | 52,350 | ||||||
PBF Energy, Inc. Class A | 2,300 | 63,503 | ||||||
Phillips 66 | 4,600 | 421,406 | ||||||
Pioneer Natural Resources Co. | 90 | 13,279 | ||||||
QEP Resources, Inc. (a) | 2,600 | 22,282 | ||||||
Rice Energy, Inc. (a) | 600 | 17,364 | ||||||
Southwestern Energy Co. (a) | 7,500 | 45,825 | ||||||
Transocean Ltd. (a) | 52,800 | 568,128 | ||||||
Valero Energy Corp. | 11,764 | 905,005 | ||||||
Whiting Petroleum Corp. (a) | 5,800 | 31,668 | ||||||
WPX Energy, Inc. (a) | 66 | 759 | ||||||
|
| |||||||
12,739,522 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
172
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas Services — 1.0% | ||||||||
Baker Hughes a GE Co. | 5,703 | $ | 208,844 | |||||
Halliburton Co. | 10,800 | 497,124 | ||||||
National Oilwell Varco, Inc. | 1,400 | 50,022 | ||||||
Oceaneering International, Inc. | 6,300 | 165,501 | ||||||
Schlumberger Ltd. | 15,140 | 1,056,166 | ||||||
|
| |||||||
1,977,657 | ||||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
Targa Resources Corp. | 900 | 42,570 | ||||||
The Williams Cos., Inc. | 5,400 | 162,054 | ||||||
|
| |||||||
204,624 | ||||||||
|
| |||||||
15,244,797 | ||||||||
|
| |||||||
Financial — 33.4% | ||||||||
Banks — 16.9% | ||||||||
Associated Banc-Corp. | 950 | 23,037 | ||||||
Bank of America Corp. | 223,873 | 5,672,942 | ||||||
Bank of Hawaii Corp. | 820 | 68,355 | ||||||
The Bank of New York Mellon Corp. | 14,450 | 766,139 | ||||||
BankUnited, Inc. | 300 | 10,671 | ||||||
BB&T Corp. | 10,019 | 470,292 | ||||||
BOK Financial Corp. | 5,800 | 516,664 | ||||||
Capital One Financial Corp. | 6,650 | 562,989 | ||||||
Citigroup, Inc. | 55,971 | 4,071,331 | ||||||
Citizens Financial Group, Inc. | 20,400 | 772,548 | ||||||
Comerica, Inc. | 6,600 | 503,316 | ||||||
Commerce Bancshares, Inc. | 1,016 | 58,694 | ||||||
Cullen/Frost Bankers, Inc. | 2,500 | 237,300 | ||||||
East West Bancorp, Inc. | 1,800 | 107,604 | ||||||
F.N.B. Corp. | 4,000 | 56,120 | ||||||
Fifth Third Bancorp | 11,360 | 317,853 | ||||||
First Horizon National Corp. | 19,416 | 371,816 | ||||||
The Goldman Sachs Group, Inc. | 6,290 | 1,491,925 | ||||||
Huntington Bancshares, Inc. | 3,071 | 42,871 | ||||||
JP Morgan Chase & Co. | 67,627 | 6,459,055 | ||||||
KeyCorp | 26,996 | 508,065 | ||||||
M&T Bank Corp. | 2,505 | 403,405 | ||||||
Morgan Stanley | 29,800 | 1,435,466 | ||||||
Northern Trust Corp. | 700 | 64,351 | ||||||
PacWest Bancorp | 6,700 | 338,417 | ||||||
The PNC Financial Services Group, Inc. | 10,436 | 1,406,460 | ||||||
Popular, Inc. | 12,600 | 452,844 | ||||||
Prosperity Bancshares, Inc. | 900 | 59,157 | ||||||
Regions Financial Corp. | 24,260 | 369,480 | ||||||
State Street Corp. | 6,600 | 630,564 | ||||||
SunTrust Banks, Inc. | 10,100 | 603,677 | ||||||
SVB Financial Group (a) | 900 | 168,381 | ||||||
Synovus Financial Corp. | 4,971 | 228,964 | ||||||
TCF Financial Corp. | 24,000 | 408,960 | ||||||
US Bancorp | 3,190 | 170,952 | ||||||
Webster Financial Corp. | 1,200 | 63,060 | ||||||
Wells Fargo & Co. | 67,053 | 3,697,973 |
Number of Shares | Value | |||||||
Western Alliance Bancorp (a) | 4,100 | $ | 217,628 | |||||
Zions Bancorp | 15,050 | 710,059 | ||||||
|
| |||||||
34,519,385 | ||||||||
|
| |||||||
Diversified Financial Services — 3.1% | ||||||||
Affiliated Managers Group, Inc. | 400 | 75,932 | ||||||
Air Lease Corp. | 1,800 | 76,716 | ||||||
Ally Financial, Inc. | 18,800 | 456,088 | ||||||
American Express Co. | 3,200 | 289,472 | ||||||
Ameriprise Financial, Inc. | 3,000 | 445,530 | ||||||
The Charles Schwab Corp. | 400 | 17,496 | ||||||
CIT Group, Inc. | 4,400 | 215,820 | ||||||
CME Group, Inc. | 1,670 | 226,586 | ||||||
Credit Acceptance Corp. (a) | 2,670 | 748,054 | ||||||
Discover Financial Services | 5,500 | 354,640 | ||||||
E*TRADE Financial Corp. (a) | 16,300 | 710,843 | ||||||
Federated Investors, Inc. Class B | 1,800 | 53,460 | ||||||
FNF Group | 2,557 | 121,355 | ||||||
Franklin Resources, Inc. | 7,700 | 342,727 | ||||||
Intercontinental Exchange, Inc. | 635 | 43,624 | ||||||
Invesco Ltd. | 10,700 | 374,928 | ||||||
Lazard Ltd. Class A | 3,600 | 162,792 | ||||||
Legg Mason, Inc. | 6,300 | 247,653 | ||||||
Navient Corp. | 4,800 | 72,096 | ||||||
OneMain Holdings, Inc. (a) | 5,400 | 152,226 | ||||||
Raymond James Financial, Inc. | 1,400 | 118,062 | ||||||
Santander Consumer USA Holdings, Inc. (a) | 2,100 | 32,277 | ||||||
SLM Corp. (a) | 6,600 | 75,702 | ||||||
Synchrony Financial | 10,800 | 335,340 | ||||||
T. Rowe Price Group, Inc. | 7,100 | 643,615 | ||||||
|
| |||||||
6,393,034 | ||||||||
|
| |||||||
Insurance — 8.2% | ||||||||
Aflac, Inc. | 5,200 | 423,228 | ||||||
Alleghany Corp. (a) | 85 | 47,091 | ||||||
The Allstate Corp. | 7,400 | 680,134 | ||||||
American Financial Group, Inc. | 4,500 | 465,525 | ||||||
American International Group, Inc. | 11,902 | 730,664 | ||||||
American National Insurance Co. | 310 | 36,605 | ||||||
Arch Capital Group Ltd. (a) | 4,700 | 462,950 | ||||||
Aspen Insurance Holdings Ltd. | 600 | 24,240 | ||||||
Assurant, Inc. | 820 | 78,326 | ||||||
Assured Guaranty Ltd. | 14,700 | 554,925 | ||||||
Athene Holding Ltd. Class A (a) | 8,100 | 436,104 | ||||||
Axis Capital Holdings Ltd. | 4,900 | 280,819 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 19,630 | 3,598,572 | ||||||
Brighthouse Financial, Inc. (a) | 1,230 | 74,784 | ||||||
Chubb Ltd. | 5,151 | 734,275 | ||||||
Cincinnati Financial Corp. | 320 | 24,502 | ||||||
CNA Financial Corp. | 12,600 | 633,150 | ||||||
Everest Re Group Ltd. | 2,330 | 532,149 | ||||||
Fairfax Financial Holdings Ltd. | 163 | 84,597 | ||||||
First American Financial Corp. | 11,100 | 554,667 |
The accompanying notes are an integral part of the financial statements.
173
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
The Hanover Insurance Group, Inc. | 300 | $ | 29,079 | |||||
The Hartford Financial Services Group, Inc. | 13,690 | 758,837 | ||||||
Lincoln National Corp. | 6,298 | 462,777 | ||||||
Loews Corp. | 4,220 | 201,969 | ||||||
Markel Corp. (a) | 5 | 5,340 | ||||||
Mercury General Corp. | 90 | 5,102 | ||||||
MetLife, Inc. | 13,540 | 703,403 | ||||||
Old Republic International Corp. | 15,500 | 305,195 | ||||||
Principal Financial Group, Inc. | 8,300 | 534,022 | ||||||
Prudential Financial, Inc. | 6,780 | 720,850 | ||||||
Reinsurance Group of America, Inc. | 4,940 | 689,278 | ||||||
RenaissanceRe Holdings Ltd. | 140 | 18,920 | ||||||
Torchmark Corp. | 890 | 71,280 | ||||||
The Travelers Cos., Inc. | 919 | 112,596 | ||||||
Unum Group | 9,000 | 460,170 | ||||||
Validus Holdings Ltd. | 800 | 39,368 | ||||||
Voya Financial, Inc. | 8,800 | 351,032 | ||||||
W.R. Berkley Corp. | 900 | 60,066 | ||||||
White Mountains Insurance Group Ltd. | 3 | 2,571 | ||||||
Willis Towers Watson PLC | 1,240 | 191,245 | ||||||
XL Group Ltd. | 15,650 | 617,392 | ||||||
|
| |||||||
16,797,799 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
CBRE Group, Inc. Class A (a) | 2,100 | 79,548 | ||||||
Jones Lang LaSalle, Inc. | 440 | 54,340 | ||||||
Realogy Holdings Corp. | 11,900 | 392,105 | ||||||
|
| |||||||
525,993 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 4.9% | ||||||||
AGNC Investment Corp. | 33,900 | 734,952 | ||||||
Alexandria Real Estate Equities, Inc. | 20 | 2,379 | ||||||
American Campus Communities, Inc. | 100 | 4,415 | ||||||
Annaly Capital Management, Inc. | 44,960 | 548,062 | ||||||
Apartment Investment & Management Co. Class A | 100 | 4,386 | ||||||
Apple Hospitality REIT, Inc. | 2,600 | 49,166 | ||||||
AvalonBay Communities, Inc. | 1,844 | 329,007 | ||||||
Boston Properties, Inc. | 50 | 6,144 | ||||||
Brandywine Realty Trust | 2,000 | 34,980 | ||||||
Brixmor Property Group, Inc. | 3,300 | 62,040 | ||||||
Camden Property Trust | 100 | 9,145 | ||||||
Chimera Investment Corp. | 24,420 | 462,026 | ||||||
CoreCivic, Inc. | 3,205 | 85,798 | ||||||
Corporate Office Properties Trust | 1,000 | 32,830 | ||||||
DCT Industrial Trust, Inc. | 10,900 | 631,328 | ||||||
Digital Realty Trust, Inc. | 30 | 3,550 | ||||||
Duke Realty Corp. | 4,800 | 138,336 | ||||||
EPR Properties | 900 | 62,766 | ||||||
Equity Commonwealth (a) | 2,167 | 65,877 | ||||||
Equity Residential | 4,200 | 276,906 | ||||||
Essex Property Trust, Inc. | 1,223 | 310,679 |
Number of Shares | Value | |||||||
Gaming and Leisure Properties, Inc. | 13,100 | $ | 483,259 | |||||
GGP, Inc. | 300 | 6,231 | ||||||
HCP, Inc. | 9,500 | 264,385 | ||||||
Highwoods Properties, Inc. | 800 | 41,672 | ||||||
Hospitality Properties Trust | 540 | 15,385 | ||||||
Host Hotels & Resorts, Inc. | 17,203 | 318,083 | ||||||
JBG SMITH Properties (a) | 19 | 650 | ||||||
Kilroy Realty Corp. | 100 | 7,112 | ||||||
Kimco Realty Corp. | 200 | 3,910 | ||||||
Liberty Property Trust | 2,170 | 89,100 | ||||||
The Macerich Co. | 1,882 | 103,454 | ||||||
Medical Properties Trust, Inc. | 3,900 | 51,207 | ||||||
MFA Financial, Inc. | 29,900 | 261,924 | ||||||
Mid-America Apartment Communities, Inc. | 3,983 | 425,703 | ||||||
National Retail Properties, Inc. | 300 | 12,498 | ||||||
New Residential Investment Corp. | 25,500 | 426,615 | ||||||
Omega Healthcare Investors, Inc. | 4,700 | 149,977 | ||||||
Park Hotels & Resorts, Inc. | 24,900 | 686,244 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 2,400 | 48,384 | ||||||
Prologis, Inc. | 7,385 | 468,652 | ||||||
Rayonier, Inc. | 500 | 14,445 | ||||||
Realty Income Corp. | 600 | 34,314 | ||||||
Senior Housing Properties Trust | 3,600 | 70,380 | ||||||
Spirit Realty Capital, Inc. | 200 | 1,714 | ||||||
Starwood Property Trust, Inc. | 16,000 | 347,520 | ||||||
Two Harbors Investment Corp. | 73,300 | 738,864 | ||||||
UDR, Inc. | 3,100 | 117,893 | ||||||
Uniti Group, Inc. (a) | 72 | 1,056 | ||||||
Ventas, Inc. | 3,800 | 247,494 | ||||||
Vornado Realty Trust | 38 | 2,921 | ||||||
Weingarten Realty Investors | 900 | 28,566 | ||||||
Welltower, Inc. | 4,800 | 337,344 | ||||||
Weyerhaeuser Co. | 9,600 | 326,688 | ||||||
WP Carey, Inc. | 800 | 53,912 | ||||||
|
| |||||||
10,042,328 | ||||||||
|
| |||||||
Savings & Loans — 0.0% | ||||||||
New York Community Bancorp, Inc. | 90 | 1,160 | ||||||
People’s United Financial, Inc. | 4,200 | 76,188 | ||||||
|
| |||||||
77,348 | ||||||||
|
| |||||||
68,355,887 | ||||||||
|
| |||||||
Industrial — 8.7% | ||||||||
Aerospace & Defense — 1.5% | ||||||||
Arconic, Inc. | 3,300 | 82,104 | ||||||
Harris Corp. | 418 | 55,042 | ||||||
L3 Technologies, Inc. | 790 | 148,860 | ||||||
Lockheed Martin Corp. | 2,740 | 850,195 | ||||||
Raytheon Co. | 500 | 93,290 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 7,200 | 559,584 |
The accompanying notes are an integral part of the financial statements.
174
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
United Technologies Corp. | 10,920 | $ | 1,267,593 | |||||
|
| |||||||
3,056,668 | ||||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
Fortune Brands Home & Security, Inc. | 200 | 13,446 | ||||||
Johnson Controls International PLC | 29 | 1,169 | ||||||
Owens Corning | 6,000 | 464,100 | ||||||
USG Corp. (a) | 1,000 | 32,650 | ||||||
|
| |||||||
511,365 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.4% | ||||||||
AMETEK, Inc. | 3,400 | 224,536 | ||||||
Emerson Electric Co. | 8,300 | 521,572 | ||||||
|
| |||||||
746,108 | ||||||||
|
| |||||||
Electronics — 1.5% | ||||||||
Agilent Technologies, Inc. | 9,600 | 616,320 | ||||||
Arrow Electronics, Inc. (a) | 3,800 | 305,558 | ||||||
Corning, Inc. | 4,400 | 131,648 | ||||||
Fortive Corp. | 1,400 | 99,106 | ||||||
Garmin Ltd. | 3,300 | 178,101 | ||||||
Gentex Corp. | 8,000 | 158,400 | ||||||
Honeywell International, Inc. | 4,050 | 574,047 | ||||||
Jabil, Inc. | 17,200 | 491,060 | ||||||
Keysight Technologies, Inc. (a) | 2,400 | 99,984 | ||||||
PerkinElmer, Inc. | 810 | 55,866 | ||||||
Trimble, Inc. (a) | 11,100 | 435,675 | ||||||
|
| |||||||
3,145,765 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% | ||||||||
AECOM (a) | 4,411 | 162,369 | ||||||
Fluor Corp. | 1,900 | 79,990 | ||||||
Jacobs Engineering Group, Inc. | 2,500 | 145,675 | ||||||
|
| |||||||
388,034 | ||||||||
|
| |||||||
Environmental Controls — 0.5% | ||||||||
Republic Services, Inc. | 3,290 | 217,337 | ||||||
Waste Management, Inc. | 10,440 | 817,139 | ||||||
|
| |||||||
1,034,476 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.2% | ||||||||
Regal Beloit Corp. | 6,100 | 481,900 | ||||||
Stanley Black & Decker, Inc. | 5 | 755 | ||||||
|
| |||||||
482,655 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.9% | ||||||||
Caterpillar, Inc. | 3,960 | 493,852 | ||||||
Oshkosh Corp. | 7,700 | 635,558 | ||||||
Terex Corp. | 13,800 | 621,276 | ||||||
|
| |||||||
1,750,686 | ||||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
AGCO Corp. | 3,766 | 277,818 | ||||||
Cummins, Inc. | 3,660 | 614,990 | ||||||
IDEX Corp. | 810 | 98,390 | ||||||
Roper Technologies, Inc. | 530 | 129,002 | ||||||
Xylem, Inc. | 300 | 18,789 | ||||||
|
| |||||||
1,138,989 | ||||||||
|
|
Number of Shares | Value | |||||||
Metal Fabricate & Hardware — 0.2% | ||||||||
The Timken Co. | 8,900 | $ | 432,095 | |||||
Valmont Industries, Inc. | 70 | 11,067 | ||||||
|
| |||||||
443,162 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.6% | ||||||||
AptarGroup, Inc. | 600 | 51,786 | ||||||
Carlisle Cos., Inc. | 100 | 10,029 | ||||||
Colfax Corp. (a) | 4,900 | 204,036 | ||||||
Crane Co. | 3,920 | 313,561 | ||||||
Donaldson Co., Inc. | 2,000 | 91,880 | ||||||
Dover Corp. | 4,300 | 392,977 | ||||||
Eaton Corp. PLC | 1,272 | 97,677 | ||||||
General Electric Co. | 41,890 | 1,012,900 | ||||||
Ingersoll-Rand PLC | 2,700 | 240,759 | ||||||
ITT, Inc. | 1,000 | 44,270 | ||||||
Parker-Hannifin Corp. | 1,990 | 348,290 | ||||||
Pentair PLC | 1,019 | 69,251 | ||||||
Trinity Industries, Inc. | 11,600 | 370,040 | ||||||
|
| |||||||
3,247,456 | ||||||||
|
| |||||||
Packaging & Containers — 0.5% | ||||||||
Ardagh Group SA | 12,700 | 271,907 | ||||||
Bemis Co., Inc. | 60 | 2,734 | ||||||
Crown Holdings, Inc. (a) | 1,000 | 59,720 | ||||||
Owens-Illinois, Inc. (a) | 19,600 | 493,136 | ||||||
WestRock Co. | 3,440 | 195,151 | ||||||
|
| |||||||
1,022,648 | ||||||||
|
| |||||||
Shipbuilding — 0.1% | ||||||||
Huntington Ingalls Industries, Inc. | 460 | 104,162 | ||||||
|
| |||||||
Transportation — 0.3% | ||||||||
CSX Corp. | 1,500 | 81,390 | ||||||
Norfolk Southern Corp. | 3,390 | 448,294 | ||||||
Ryder System, Inc. | 90 | 7,609 | ||||||
Union Pacific Corp. | 1,360 | 157,719 | ||||||
|
| |||||||
695,012 | ||||||||
|
| |||||||
17,767,186 | ||||||||
|
| |||||||
Technology — 7.4% | ||||||||
Computers — 2.1% | ||||||||
Amdocs Ltd. | 3,000 | 192,960 | ||||||
Brocade Communications Systems, Inc. | 1,000 | 11,950 | ||||||
Conduent, Inc. (a) | 51 | 799 | ||||||
DST Systems, Inc. | 3,400 | 186,592 | ||||||
Hewlett Packard Enterprise Co. | 24,300 | 357,453 | ||||||
HP, Inc. | 35,300 | 704,588 | ||||||
International Business Machines Corp. | 4,320 | 626,746 | ||||||
Leidos Holdings, Inc. | 2,350 | 139,167 | ||||||
NetApp, Inc. | 10,900 | 476,984 | ||||||
Teradata Corp. (a) | 11,900 | 402,101 | ||||||
Western Digital Corp. | 12,736 | 1,100,390 | ||||||
|
| |||||||
4,199,730 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
175
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Office & Business Equipment — 0.4% | ||||||||
Pitney Bowes, Inc. | 16,500 | $ | 231,165 | |||||
Xerox Corp. | 16,614 | 553,080 | ||||||
|
| |||||||
784,245 | ||||||||
|
| |||||||
Semiconductors — 2.7% | ||||||||
Cypress Semiconductor Corp. | 4,400 | 66,088 | ||||||
Intel Corp. | 87,300 | 3,324,384 | ||||||
Marvell Technology Group Ltd. | 21,400 | 383,060 | ||||||
Micron Technology, Inc. (a) | 18,000 | 707,940 | ||||||
NXP Semiconductor NV (a) | 1,960 | 221,657 | ||||||
ON Semiconductor Corp. (a) | 24,000 | 443,280 | ||||||
QUALCOMM, Inc. | 4,300 | 222,912 | ||||||
Teradyne, Inc. | 4,700 | 175,263 | ||||||
Xilinx, Inc. | 200 | 14,166 | ||||||
|
| |||||||
5,558,750 | ||||||||
|
| |||||||
Software — 2.2% | ||||||||
Autodesk, Inc. (a) | 360 | 40,414 | ||||||
CA, Inc. | 13,890 | 463,648 | ||||||
The Dun & Bradstreet Corp. | 100 | 11,641 | ||||||
Fidelity National Information Services, Inc. | 7,200 | 672,408 | ||||||
Micro Focus International PLC Sponsored ADR (a) | 3,337 | 106,450 | ||||||
Nuance Communications, Inc. (a) | 2,700 | 42,444 | ||||||
Oracle Corp. | 50,900 | 2,461,015 | ||||||
SS&C Technologies Holdings, Inc | 100 | 4,015 | ||||||
Synopsys, Inc. (a) | 6,423 | 517,244 | ||||||
Zynga, Inc. Class A (a) | 63,900 | 241,542 | ||||||
|
| |||||||
4,560,821 | ||||||||
|
| |||||||
15,103,546 | ||||||||
|
| |||||||
Utilities — 6.5% | ||||||||
Electric — 5.2% | ||||||||
AES Corp. | 70,600 | 778,012 | ||||||
Alliant Energy Corp. | 600 | 24,942 | ||||||
Ameren Corp. | 2,360 | 136,502 | ||||||
American Electric Power Co., Inc. | 2,830 | 198,779 | ||||||
Avangrid, Inc. | 9,900 | 469,458 | ||||||
Calpine Corp. (a) | 20,400 | 300,900 | ||||||
CenterPoint Energy, Inc. | 21,600 | 630,936 | ||||||
CMS Energy Corp. | 2,300 | 106,536 | ||||||
Consolidated Edison, Inc. | 5,160 | 416,309 | ||||||
DTE Energy Co. | 9,820 | 1,054,275 | ||||||
Duke Energy Corp. | 8,314 | 697,711 | ||||||
Edison International | 7,780 | 600,383 | ||||||
Entergy Corp. | 7,900 | 603,244 | ||||||
Eversource Energy | 1,481 | 89,512 | ||||||
Exelon Corp. | 18,475 | 695,953 | ||||||
FirstEnergy Corp. | 13,327 | 410,871 | ||||||
Great Plains Energy, Inc. | 1,337 | 40,511 | ||||||
Hawaiian Electric Industries, Inc. | 900 | 30,033 | ||||||
NextEra Energy, Inc. | 5,632 | 825,369 |
Number of Shares | Value | |||||||
OGE Energy Corp. | 3,600 | $ | 129,708 | |||||
PG&E Corp. | 18,930 | 1,288,944 | ||||||
Pinnacle West Capital Corp. | 1,760 | 148,826 | ||||||
PPL Corp. | 4,100 | 155,595 | ||||||
Public Service Enterprise Group, Inc. | 7,600 | 351,500 | ||||||
SCANA Corp. | 420 | 20,366 | ||||||
The Southern Co. | 50 | 2,457 | ||||||
Vistra Energy Corp. | 900 | 16,821 | ||||||
WEC Energy Group, Inc. | 2,720 | 170,762 | ||||||
Westar Energy, Inc. | 200 | 9,920 | ||||||
Xcel Energy, Inc. | 3,720 | 176,030 | ||||||
|
| |||||||
10,581,165 | ||||||||
|
| |||||||
Gas — 1.3% | ||||||||
Atmos Energy Corp. | 6,650 | 557,536 | ||||||
National Fuel Gas Co. | 1,150 | 65,101 | ||||||
NiSource, Inc. | 27,290 | 698,351 | ||||||
Sempra Energy | 12,590 | 1,436,897 | ||||||
UGI Corp. | 435 | 20,384 | ||||||
Vectren Corp. | 150 | 9,866 | ||||||
|
| |||||||
2,788,135 | ||||||||
|
| |||||||
Water — 0.0% | ||||||||
Aqua America, Inc. | 25 | 830 | ||||||
|
| |||||||
13,370,130 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $185,643,456) | 205,311,077 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $185,643,456) | 205,311,077 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
Retail — 0.0% | ||||||||
Safeway Casa Ley CVR (a) (b) (c) | 9,300 | 9,393 | ||||||
Safeway PDC, LLC CVR (a) (b) (c) | 9,300 | 465 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $9,700) | 9,858 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $185,653,156) | 205,320,935 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||
Repurchase Agreement — 0.1% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (d) | $ | 256,308 | 256,308 | |||||
|
|
The accompanying notes are an integral part of the financial statements.
176
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | $ | 253,908 | 253,908 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $510,216) | 510,216 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.6% (Cost $186,163,372) (e) | 205,831,151 | |||||||
Other Assets/(Liabilities) — (0.6)% | (1,255,988 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 204,575,163 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
CVR | Contingent Value Rights |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Investment was valued using significant unobservable inputs. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $9,858 or 0.00% of net assets. |
(d) | Maturity value of $256,310. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $265,361. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
177
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 98.1% | ||||||||
COMMON STOCK — 98.1% | ||||||||
Basic Materials — 2.4% | ||||||||
Chemicals — 2.4% | ||||||||
DowDuPont, Inc. | 20,144 | $ | 1,394,569 | |||||
PPG Industries, Inc. | 17,394 | 1,890,032 | ||||||
|
| |||||||
3,284,601 | ||||||||
|
| |||||||
Communications — 13.4% | ||||||||
Internet — 7.2% | ||||||||
Alphabet, Inc. Class C (a) | 6,355 | 6,095,144 | ||||||
Facebook, Inc. Class A (a) | 21,026 | 3,592,713 | ||||||
Snap, Inc. Class A (a) (b) | 26,170 | 380,512 | ||||||
�� |
|
| ||||||
10,068,369 | ||||||||
|
| |||||||
Media — 3.0% | ||||||||
Comcast Corp. Class A | 107,052 | 4,119,361 | ||||||
|
| |||||||
Telecommunications — 3.2% | ||||||||
Cisco Systems, Inc. | 62,590 | 2,104,902 | ||||||
Verizon Communications, Inc. | 48,230 | 2,386,902 | ||||||
|
| |||||||
4,491,804 | ||||||||
|
| |||||||
18,679,534 | ||||||||
|
| |||||||
Consumer, Cyclical — 7.7% | ||||||||
Auto Parts & Equipment — 1.3% | ||||||||
Delphi Automotive PLC | 18,314 | 1,802,097 | ||||||
|
| |||||||
Distribution & Wholesale — 0.5% | ||||||||
Fastenal Co. | 16,490 | 751,614 | ||||||
|
| |||||||
Home Furnishing — 1.2% | ||||||||
Whirlpool Corp. | 8,620 | 1,589,873 | ||||||
|
| |||||||
Retail — 4.7% | ||||||||
AutoZone, Inc. (a) | 3,975 | 2,365,562 | ||||||
Lowe’s Cos., Inc. | 22,490 | 1,797,851 | ||||||
McDonald’s Corp. | 15,437 | 2,418,669 | ||||||
|
| |||||||
6,582,082 | ||||||||
|
| |||||||
10,725,666 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 24.6% | ||||||||
Agriculture — 1.9% | ||||||||
Philip Morris International, Inc. | 23,781 | 2,639,929 | ||||||
|
| |||||||
Beverages — 2.7% | ||||||||
PepsiCo, Inc. | 33,687 | 3,753,742 | ||||||
|
| |||||||
Biotechnology — 3.5% | ||||||||
Celgene Corp. (a) | 20,652 | 3,011,475 | ||||||
Gilead Sciences, Inc. | 23,200 | 1,879,664 | ||||||
|
| |||||||
4,891,139 | ||||||||
|
| |||||||
Commercial Services — 4.0% | ||||||||
Equifax, Inc. | 3,100 | 328,569 | ||||||
Nielsen Holdings PLC | 37,050 | 1,535,723 | ||||||
PayPal Holdings, Inc. (a) | 28,957 | 1,854,117 |
Number of Shares | Value | |||||||
S&P Global, Inc. | 12,050 | $ | 1,883,535 | |||||
|
| |||||||
5,601,944 | ||||||||
|
| |||||||
Foods — 3.1% | ||||||||
The Kraft Heinz Co. | 27,240 | 2,112,462 | ||||||
Mondelez International, Inc. Class A | 52,511 | 2,135,097 | ||||||
|
| |||||||
4,247,559 | ||||||||
|
| |||||||
Health Care – Products — 1.9% | ||||||||
Boston Scientific Corp. (a) | 45,103 | 1,315,654 | ||||||
Stryker Corp. | 9,650 | 1,370,493 | ||||||
|
| |||||||
2,686,147 | ||||||||
|
| |||||||
Health Care – Services — 2.4% | ||||||||
UnitedHealth Group, Inc. | 16,789 | 3,288,126 | ||||||
|
| |||||||
Pharmaceuticals — 5.1% | ||||||||
Express Scripts Holding Co. (a) | 25,039 | 1,585,470 | ||||||
Merck & Co., Inc. | 66,541 | 4,260,620 | ||||||
Mylan NV (a) | 25,098 | 787,324 | ||||||
Valeant Pharmaceuticals International, Inc. (a) (b) | 26,936 | 385,993 | ||||||
|
| |||||||
7,019,407 | ||||||||
|
| |||||||
34,127,993 | ||||||||
|
| |||||||
Energy — 6.2% | ||||||||
Oil & Gas — 3.2% | ||||||||
Phillips 66 | 13,538 | 1,240,216 | ||||||
Suncor Energy, Inc. | 92,568 | 3,242,657 | ||||||
|
| |||||||
4,482,873 | ||||||||
|
| |||||||
Oil & Gas Services — 1.1% | ||||||||
Schlumberger Ltd. | 20,680 | 1,442,637 | ||||||
|
| |||||||
Pipelines — 1.9% | ||||||||
Magellan Midstream Partners LP (c) | 37,459 | 2,661,836 | ||||||
|
| |||||||
8,587,346 | ||||||||
|
| |||||||
Financial — 20.6% | ||||||||
Banks — 7.3% | ||||||||
The Bank of New York Mellon Corp. | 40,867 | 2,166,768 | ||||||
Citigroup, Inc. | 62,525 | 4,548,069 | ||||||
SunTrust Banks, Inc. | 24,068 | 1,438,544 | ||||||
US Bancorp | 35,306 | 1,892,049 | ||||||
|
| |||||||
10,045,430 | ||||||||
|
| |||||||
Diversified Financial Services — 6.0% | ||||||||
American Express Co. | 32,352 | 2,926,562 | ||||||
CME Group, Inc. | 14,395 | 1,953,114 | ||||||
Discover Financial Services | 21,228 | 1,368,781 | ||||||
Intercontinental Exchange, Inc. | 30,380 | 2,087,106 | ||||||
|
| |||||||
8,335,563 | ||||||||
|
| |||||||
Insurance — 6.0% | ||||||||
Berkshire Hathaway, Inc. Class B (a) | 18,240 | 3,343,757 | ||||||
Brighthouse Financial, Inc. (a) | 2,610 | 158,688 | ||||||
Marsh & McLennan Cos., Inc. | 18,743 | 1,570,851 |
The accompanying notes are an integral part of the financial statements.
178
MassMutual Premier Main Street Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MetLife, Inc. | 28,730 | $ | 1,492,523 | |||||
The Progressive Corp. | 37,190 | 1,800,740 | ||||||
|
| |||||||
8,366,559 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.3% | ||||||||
Mid-America Apartment Communities, Inc. | 9,886 | 1,056,616 | ||||||
Ventas, Inc. | 11,550 | 752,251 | ||||||
|
| |||||||
1,808,867 | ||||||||
|
| |||||||
28,556,419 | ||||||||
|
| |||||||
Industrial — 9.6% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
Lockheed Martin Corp. | 8,663 | 2,688,042 | ||||||
|
| |||||||
Building Materials — 1.6% | ||||||||
Johnson Controls International PLC | 31,854 | 1,283,398 | ||||||
Vulcan Materials Co. | 7,875 | 941,850 | ||||||
|
| |||||||
2,225,248 | ||||||||
|
| |||||||
Electronics — 0.6% | ||||||||
Agilent Technologies, Inc. | 13,554 | 870,167 | ||||||
|
| |||||||
Environmental Controls — 0.7% | ||||||||
Republic Services, Inc. | 5,734 | 378,788 | ||||||
Waste Connections, Inc. | 8,430 | 589,763 | ||||||
|
| |||||||
968,551 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.1% | ||||||||
General Electric Co. | 119,796 | 2,896,667 | ||||||
|
| |||||||
Transportation — 2.6% | ||||||||
Canadian National Railway Co. | 22,230 | 1,841,756 | ||||||
Canadian Pacific Railway Ltd. | 10,649 | 1,789,351 | ||||||
|
| |||||||
3,631,107 | ||||||||
|
| |||||||
13,279,782 | ||||||||
|
| |||||||
Technology — 10.4% | ||||||||
Computers — 7.6% | ||||||||
Amdocs Ltd. | 34,939 | 2,247,277 | ||||||
Apple, Inc. | 46,302 | 7,136,064 | ||||||
Western Digital Corp. | 14,238 | 1,230,163 | ||||||
|
| |||||||
10,613,504 | ||||||||
|
| |||||||
Semiconductors — 1.9% | ||||||||
Applied Materials, Inc. | 38,153 | 1,987,390 | ||||||
Maxim Integrated Products, Inc. | 14,800 | 706,108 | ||||||
|
| |||||||
2,693,498 | ||||||||
|
| |||||||
Software — 0.9% | ||||||||
Cerner Corp. (a) | 17,035 | 1,214,936 | ||||||
|
| |||||||
14,521,938 | ||||||||
|
| |||||||
Utilities — 3.2% | ||||||||
Electric — 2.0% | ||||||||
PG&E Corp. | 40,840 | 2,780,796 | ||||||
|
|
Number of Shares | Value | |||||||
Gas — 1.2% | ||||||||
National Grid PLC | 131,847 | $ | 1,632,343 | |||||
|
| |||||||
4,413,139 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $111,095,928) | 136,176,418 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $111,095,928) | 136,176,418 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.6% | ||||||||
Diversified Financial Services — 0.6% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 781,944 | 781,944 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $781,944) | 781,944 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $111,877,872) | 136,958,362 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.2% | ||||||||
Repurchase Agreement — 1.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (e) | $ | 1,659,586 | 1,659,586 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 7,311 | 7,311 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,666,897) | 1,666,897 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.9% (Cost $113,544,769) (f) | 138,625,259 | |||||||
Other Assets/(Liabilities) — 0.1% | 107,671 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 138,732,930 | ||||||
|
|
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, 2017, was $758,826 or 0.55% 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). |
The accompanying notes are an integral part of the financial statements.
179
MassMutual Premier Main Street Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
(c) | Security is a Master Limited Partnership. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $1,659,593. 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 $1,695,669. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States | 85.3 | % | ||
Canada | 5.7 | % | ||
United Kingdom | 5.2 | % | ||
Netherlands | 1.6 | % | ||
Ireland | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 98.7 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.3 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
180
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 100.8% | ||||||||
COMMON STOCK — 100.8% | ||||||||
Basic Materials — 2.5% | ||||||||
Chemicals — 2.0% | ||||||||
Albemarle Corp. | 400 | $ | 54,524 | |||||
Celanese Corp. Series A | 2,290 | 238,778 | ||||||
The Chemours Co. | 33,300 | 1,685,313 | ||||||
FMC Corp. | 6,700 | 598,377 | ||||||
Huntsman Corp. | 38,300 | 1,050,186 | ||||||
LyondellBasell Industries NV Class A | 12,170 | 1,205,439 | ||||||
Monsanto Co. | 3,960 | 474,487 | ||||||
Platform Specialty Products Corp. (a) | 77,800 | 867,470 | ||||||
Praxair, Inc. | 3,680 | 514,243 | ||||||
Univar, Inc. (a) | 5,600 | 162,008 | ||||||
Versum Materials, Inc. | 2,420 | 93,945 | ||||||
Westlake Chemical Corp. | 7,200 | 598,248 | ||||||
|
| |||||||
7,543,018 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 9,200 | 522,744 | ||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
Steel Dynamics, Inc. | 16,100 | 554,967 | ||||||
|
| |||||||
Mining — 0.2% | ||||||||
Freeport-McMoRan, Inc. (a) | 9,300 | 130,572 | ||||||
Southern Copper Corp. | 19,502 | 775,399 | ||||||
|
| |||||||
905,971 | ||||||||
|
| |||||||
9,526,700 | ||||||||
|
| |||||||
Communications — 18.0% | ||||||||
Advertising — 0.3% | ||||||||
The Interpublic Group of Cos., Inc. | 25,000 | 519,750 | ||||||
Omnicom Group, Inc. | 8,100 | 599,967 | ||||||
|
| |||||||
1,119,717 | ||||||||
|
| |||||||
Internet — 13.5% | ||||||||
Alphabet, Inc. Class A (a) | 8,359 | 8,139,325 | ||||||
Alphabet, Inc. Class C (a) | 9,819 | 9,417,501 | ||||||
Amazon.com, Inc. (a) | 8,651 | 8,316,639 | ||||||
CDW Corp. | 1,400 | 92,400 | ||||||
Expedia, Inc. | 2,052 | 295,365 | ||||||
F5 Networks, Inc. (a) | 3,520 | 424,371 | ||||||
Facebook, Inc. Class A (a) | 85,950 | 14,686,277 | ||||||
GoDaddy, Inc. Class A (a) | 13,700 | 596,087 | ||||||
IAC/InterActiveCorp (a) | 9,110 | 1,071,154 | ||||||
Liberty Expedia Holdings, Inc. Class A (a) | 13,628 | 723,783 | ||||||
Match Group, Inc. (a) | 200 | 4,638 | ||||||
Netflix, Inc. (a) | 7,207 | 1,306,989 | ||||||
Palo Alto Networks, Inc. (a) | 3,670 | 528,847 | ||||||
The Priceline Group, Inc. (a) | 2,605 | 4,769,286 | ||||||
Symantec Corp. | 26,600 | 872,746 |
Number of Shares | Value | |||||||
VeriSign, Inc. (a) | 4,240 | $ | 451,094 | |||||
|
| |||||||
51,696,502 | ||||||||
|
| |||||||
Media — 2.8% | ||||||||
AMC Networks, Inc. Class A (a) | 25,300 | 1,479,291 | ||||||
CBS Corp. Class B | 6,500 | 377,000 | ||||||
Charter Communications, Inc. Class A (a) | 480 | 174,442 | ||||||
Comcast Corp. Class A | 149,600 | 5,756,608 | ||||||
DISH Network Corp. Class A (a) | 4,300 | 233,189 | ||||||
Scripps Networks Interactive, Inc. Class A | 7,300 | 626,997 | ||||||
Sirius XM Holdings, Inc. | 31,800 | 175,536 | ||||||
Twenty-First Century Fox, Inc. Class A | 17,600 | 464,288 | ||||||
Twenty-First Century Fox, Inc. Class B | 12,000 | 309,480 | ||||||
The Walt Disney Co. | 12,820 | 1,263,667 | ||||||
|
| |||||||
10,860,498 | ||||||||
|
| |||||||
Telecommunications — 1.4% | ||||||||
Arista Networks, Inc. (a) | 3,470 | 657,947 | ||||||
CommScope Holding Co., Inc. (a) | 3,700 | 122,877 | ||||||
LogMeIn, Inc. | 7,080 | 779,154 | ||||||
Motorola Solutions, Inc. | 12,000 | 1,018,440 | ||||||
T-Mobile US, Inc. (a) | 16,600 | 1,023,556 | ||||||
Verizon Communications, Inc. | 38,400 | 1,900,416 | ||||||
|
| |||||||
5,502,390 | ||||||||
|
| |||||||
69,179,107 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.2% | ||||||||
Airlines — 1.0% | ||||||||
Alaska Air Group, Inc. | 12,200 | 930,494 | ||||||
American Airlines Group, Inc. | 22,600 | 1,073,274 | ||||||
Copa Holdings SA Class A | 8,550 | 1,064,731 | ||||||
Southwest Airlines Co. | 16,400 | 918,072 | ||||||
|
| |||||||
3,986,571 | ||||||||
|
| |||||||
Apparel — 0.7% | ||||||||
Carter’s, Inc. | 100 | 9,875 | ||||||
Hanesbrands, Inc. | 41,000 | 1,010,240 | ||||||
Michael Kors Holdings Ltd. (a) | 19,400 | 928,290 | ||||||
NIKE, Inc. Class B | 180 | 9,333 | ||||||
Skechers U.S.A., Inc. Class A (a) | 10 | 251 | ||||||
VF Corp. | 9,400 | 597,558 | ||||||
|
| |||||||
2,555,547 | ||||||||
|
| |||||||
Auto Parts & Equipment — 1.1% | ||||||||
Allison Transmission Holdings, Inc. | 31,700 | 1,189,701 | ||||||
BorgWarner, Inc. | 14,180 | 726,441 | ||||||
Delphi Automotive PLC | 7,700 | 757,680 | ||||||
Lear Corp. | 8,400 | 1,453,872 | ||||||
Visteon Corp. (a) | 550 | 68,074 | ||||||
|
| |||||||
4,195,768 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
181
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Distribution & Wholesale — 0.0% | ||||||||
HD Supply Holdings, Inc. (a) | 400 | $ | 14,428 | |||||
|
| |||||||
Entertainment — 0.2% | ||||||||
Lions Gate Entertainment Corp. Class B (a) | 22,100 | 702,559 | ||||||
The Madison Square Garden Co. Class A (a) | 3 | 642 | ||||||
Regal Entertainment Group Class A | 300 | 4,800 | ||||||
|
| |||||||
708,001 | ||||||||
|
| |||||||
Food Services — 0.0% | ||||||||
Aramark | 2,500 | 101,525 | ||||||
|
| |||||||
Home Builders — 0.8% | ||||||||
D.R. Horton, Inc. | 6,900 | 275,517 | ||||||
NVR, Inc. (a) | 400 | 1,142,000 | ||||||
PulteGroup, Inc. | 27,400 | 748,842 | ||||||
Thor Industries, Inc. | 3,500 | 440,685 | ||||||
Toll Brothers, Inc. | 13,600 | 563,992 | ||||||
|
| |||||||
3,171,036 | ||||||||
|
| |||||||
Home Furnishing — 0.2% | ||||||||
Tempur Sealy International, Inc. (a) | 1,200 | 77,424 | ||||||
Whirlpool Corp. | 2,750 | 507,210 | ||||||
|
| |||||||
584,634 | ||||||||
|
| |||||||
Housewares — 0.3% | ||||||||
The Toro Co. | 13,360 | 829,122 | ||||||
Tupperware Brands Corp. | 4,800 | 296,736 | ||||||
|
| |||||||
1,125,858 | ||||||||
|
| |||||||
Leisure Time — 0.2% | ||||||||
Brunswick Corp. | 4,600 | 257,462 | ||||||
Harley-Davidson, Inc. | 5,500 | 265,155 | ||||||
Polaris Industries, Inc. | 700 | 73,241 | ||||||
|
| |||||||
595,858 | ||||||||
|
| |||||||
Lodging — 1.4% | ||||||||
Choice Hotels International, Inc. | 700 | 44,730 | ||||||
Hilton Worldwide Holdings, Inc. | 10,000 | 694,500 | ||||||
Las Vegas Sands Corp. | 10,600 | 680,096 | ||||||
Marriott International, Inc. Class A | 9,667 | 1,065,883 | ||||||
MGM Resorts International | 40,000 | 1,303,600 | ||||||
Wyndham Worldwide Corp. | 3,850 | 405,829 | ||||||
Wynn Resorts Ltd. | 7,890 | 1,174,979 | ||||||
|
| |||||||
5,369,617 | ||||||||
|
| |||||||
Retail — 5.2% | ||||||||
AutoZone, Inc. (a) | 38 | 22,614 | ||||||
Burlington Stores, Inc. (a) | 1,200 | 114,552 | ||||||
CarMax, Inc. (a) | 2,600 | 197,106 | ||||||
Chipotle Mexican Grill, Inc. (a) | 3 | 923 | ||||||
Coach, Inc. | 1,209 | 48,699 | ||||||
Costco Wholesale Corp. | 9,930 | 1,631,400 | ||||||
Darden Restaurants, Inc. | 3,900 | 307,242 | ||||||
Dick’s Sporting Goods, Inc. | 20,900 | 564,509 |
Number of Shares | Value | |||||||
Dollar General Corp. | 1,500 | $ | 121,575 | |||||
Dollar Tree, Inc. (a) | 2,727 | 236,758 | ||||||
Domino’s Pizza, Inc. | 6,130 | 1,217,112 | ||||||
Dunkin’ Brands Group, Inc. | 8,900 | 472,412 | ||||||
Foot Locker, Inc. | 5,200 | 183,144 | ||||||
The Gap, Inc. | 60,200 | 1,777,706 | ||||||
The Home Depot, Inc. | 33,630 | 5,500,523 | ||||||
L Brands, Inc. | 800 | 33,288 | ||||||
Liberty Interactive Corp. QVC Group Class A (a) | 37,600 | 886,232 | ||||||
McDonald’s Corp. | 6,200 | 971,416 | ||||||
The Michaels Cos., Inc. (a) | 46,400 | 996,208 | ||||||
Nordstrom, Inc. | 16,200 | 763,830 | ||||||
Nu Skin Enterprises, Inc. Class A | 20,830 | 1,280,628 | ||||||
O’Reilly Automotive, Inc. (a) | 70 | 15,076 | ||||||
Ross Stores, Inc. | 8,460 | 546,262 | ||||||
Starbucks Corp. | 1,100 | 59,081 | ||||||
The TJX Cos., Inc. | 18,520 | 1,365,480 | ||||||
Walgreens Boots Alliance, Inc. | 5,500 | 424,710 | ||||||
The Wendy’s Co. | 3,300 | 51,249 | ||||||
Williams-Sonoma, Inc. | 1,700 | 84,762 | ||||||
Yum China Holdings, Inc. (a) | 4,800 | 191,856 | ||||||
Yum! Brands, Inc. | 940 | 69,193 | ||||||
|
| |||||||
20,135,546 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 4,370 | 426,818 | ||||||
|
| |||||||
42,971,207 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 20.0% | ||||||||
Agriculture — 0.6% | ||||||||
Altria Group, Inc. | 25,770 | 1,634,333 | ||||||
Philip Morris International, Inc. | 5,070 | 562,821 | ||||||
|
| |||||||
2,197,154 | ||||||||
|
| |||||||
Beverages — 2.2% | ||||||||
Brown-Forman Corp. Class B | 14 | 760 | ||||||
The Coca-Cola Co. | 80,160 | 3,608,002 | ||||||
Constellation Brands, Inc. Class A | 1,280 | 255,296 | ||||||
Dr. Pepper Snapple Group, Inc. | 1,400 | 123,858 | ||||||
Monster Beverage Corp. (a) | 750 | 41,438 | ||||||
PepsiCo, Inc. | 39,829 | 4,438,145 | ||||||
|
| |||||||
8,467,499 | ||||||||
|
| |||||||
Biotechnology — 3.5% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 3,040 | 426,482 | ||||||
Amgen, Inc. | 10,170 | 1,896,196 | ||||||
Biogen, Inc. (a) | 5,790 | 1,812,965 | ||||||
Bioverativ, Inc. (a) | 90 | 5,136 | ||||||
Celgene Corp. (a) | 35,180 | 5,129,948 | ||||||
Charles River Laboratories International, Inc. (a) | 800 | 86,416 | ||||||
Gilead Sciences, Inc. | 47,020 | 3,809,560 | ||||||
Illumina, Inc. (a) | 940 | 187,248 | ||||||
|
| |||||||
13,353,951 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
182
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Commercial Services — 4.7% | ||||||||
Automatic Data Processing, Inc. | 360 | $ | 39,355 | |||||
Booz Allen Hamilton Holding Corp. | 6,100 | 228,079 | ||||||
Cintas Corp. | 20 | 2,886 | ||||||
CoreLogic, Inc. (a) | 12,900 | 596,238 | ||||||
CoStar Group, Inc. (a) | 3,450 | 925,462 | ||||||
Ecolab, Inc. | 728 | 93,628 | ||||||
Euronet Worldwide, Inc. (a) | 6,900 | 654,051 | ||||||
FleetCor Technologies, Inc. (a) | 4,650 | 719,680 | ||||||
Gartner, Inc. (a) | 350 | 43,544 | ||||||
Global Payments, Inc. | 3,940 | 374,418 | ||||||
H&R Block, Inc. | 35,300 | 934,744 | ||||||
IHS Markit Ltd. (a) | 3,400 | 149,872 | ||||||
KAR Auction Services, Inc. | 4,400 | 210,056 | ||||||
Live Nation Entertainment, Inc. (a) | 42,100 | 1,833,455 | ||||||
Moody’s Corp. | 3,300 | 459,393 | ||||||
PayPal Holdings, Inc. (a) | 40,600 | 2,599,618 | ||||||
Quanta Services, Inc. (a) | 2,400 | 89,688 | ||||||
Robert Half International, Inc. | 8,100 | 407,754 | ||||||
Rollins, Inc. | 20,900 | 964,326 | ||||||
S&P Global, Inc. | 10,090 | 1,577,168 | ||||||
Service Corp. International | 11,000 | 379,500 | ||||||
Square, Inc. Class A (a) | 19,600 | 564,676 | ||||||
Total System Services, Inc. | 12,500 | 818,750 | ||||||
TransUnion (a) | 20,400 | 964,104 | ||||||
United Rentals, Inc. (a) | 7,820 | 1,084,947 | ||||||
Vantiv, Inc. Class A (a) | 7,800 | 549,666 | ||||||
Verisk Analytics, Inc. (a) | 200 | 16,638 | ||||||
The Western Union Co. | 31,020 | 595,584 | ||||||
|
| |||||||
17,877,280 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.3% | ||||||||
Colgate-Palmolive Co. | 380 | 27,683 | ||||||
The Estee Lauder Cos., Inc. Class A | 7,460 | 804,486 | ||||||
The Procter & Gamble Co. | 4,300 | 391,214 | ||||||
|
| |||||||
1,223,383 | ||||||||
|
| |||||||
Foods — 0.5% | ||||||||
Campbell Soup Co. | 2,600 | 121,732 | ||||||
General Mills, Inc. | 2,060 | 106,625 | ||||||
The Hershey Co. | 900 | 98,253 | ||||||
Kellogg Co. | 2,840 | 177,131 | ||||||
The Kroger Co. | 10,520 | 211,031 | ||||||
McCormick & Co., Inc. | 320 | 32,845 | ||||||
Pilgrim’s Pride Corp. (a) | 41,000 | 1,164,810 | ||||||
Sysco Corp. | 3,000 | 161,850 | ||||||
|
| |||||||
2,074,277 | ||||||||
|
| |||||||
Health Care – Products — 2.6% | ||||||||
ABIOMED, Inc. (a) | 3,200 | 539,520 | ||||||
Align Technology, Inc. (a) | 5,260 | 979,780 | ||||||
Baxter International, Inc. | 22,020 | 1,381,755 | ||||||
Becton, Dickinson & Co. | 5,080 | 995,426 | ||||||
Boston Scientific Corp. (a) | 9,200 | 268,364 | ||||||
C.R. Bard, Inc. | 1,780 | 570,490 |
Number of Shares | Value | |||||||
The Cooper Cos., Inc. | 4,660 | $ | 1,104,933 | |||||
Edwards Lifesciences Corp. (a) | 1,380 | 150,848 | ||||||
Henry Schein, Inc. (a) | 180 | 14,758 | ||||||
Hill-Rom Holdings, Inc. | 1,900 | 140,600 | ||||||
Hologic, Inc. (a) | 11,400 | 418,266 | ||||||
IDEXX Laboratories, Inc. (a) | 470 | 73,080 | ||||||
Intuitive Surgical, Inc. (a) | 366 | 382,792 | ||||||
Medtronic PLC | 4,600 | 357,742 | ||||||
ResMed, Inc. | 100 | 7,696 | ||||||
Stryker Corp. | 7,320 | 1,039,587 | ||||||
Teleflex, Inc. | 160 | 38,715 | ||||||
Thermo Fisher Scientific, Inc. | 4,690 | 887,348 | ||||||
Varian Medical Systems, Inc. (a) | 5,000 | 500,300 | ||||||
|
| |||||||
9,852,000 | ||||||||
|
| |||||||
Health Care – Services — 2.0% | ||||||||
Aetna, Inc. | 2,250 | 357,773 | ||||||
Centene Corp. (a) | 6,411 | 620,392 | ||||||
Cigna Corp. | 5,970 | 1,116,032 | ||||||
HCA Healthcare, Inc. (a) | 300 | 23,877 | ||||||
Humana, Inc. | 3,330 | 811,288 | ||||||
Quintiles IMS Holdings, Inc. (a) | 304 | 28,901 | ||||||
UnitedHealth Group, Inc. | 23,130 | 4,530,011 | ||||||
WellCare Health Plans, Inc. (a) | 1,130 | 194,066 | ||||||
|
| |||||||
7,682,340 | ||||||||
|
| |||||||
Household Products & Wares — 0.2% | ||||||||
Avery Dennison Corp. | 2,600 | 255,684 | ||||||
Church & Dwight Co., Inc. | 2,820 | 136,629 | ||||||
The Clorox Co. | 370 | 48,807 | ||||||
Kimberly-Clark Corp. | 2,120 | 249,482 | ||||||
Spectrum Brands Holdings, Inc. | 410 | 43,427 | ||||||
|
| |||||||
734,029 | ||||||||
|
| |||||||
Pharmaceuticals — 3.4% | ||||||||
AbbVie, Inc. | 49,483 | 4,397,059 | ||||||
AmerisourceBergen Corp. | 3,860 | 319,415 | ||||||
Bristol-Myers Squibb Co. | 16,600 | 1,058,084 | ||||||
Eli Lilly & Co. | 26,800 | 2,292,472 | ||||||
Express Scripts Holding Co. (a) | 22,580 | 1,429,766 | ||||||
Herbalife Ltd. (a) | 2,080 | 141,086 | ||||||
Johnson & Johnson | 13,750 | 1,787,638 | ||||||
McKesson Corp. | 3,430 | 526,882 | ||||||
Merck & Co., Inc. | 9,400 | 601,882 | ||||||
Premier, Inc. Class A (a) | 15,500 | 504,835 | ||||||
Zoetis, Inc. | 2,500 | 159,400 | ||||||
|
| |||||||
13,218,519 | ||||||||
|
| |||||||
76,680,432 | ||||||||
|
| |||||||
Energy — 0.7% | ||||||||
Oil & Gas — 0.3% | ||||||||
Cimarex Energy Co. | 1,200 | 136,404 | ||||||
Continental Resources, Inc. (a) | 40 | 1,544 | ||||||
Devon Energy Corp. | 5,400 | 198,234 | ||||||
EOG Resources, Inc. | 90 | 8,707 |
The accompanying notes are an integral part of the financial statements.
183
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Gulfport Energy Corp. (a) | 41,200 | $ | 590,808 | |||||
Newfield Exploration Co. (a) | 2,300 | 68,241 | ||||||
|
| |||||||
1,003,938 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Halliburton Co. | 23,100 | 1,063,293 | ||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
ONEOK, Inc. | 9,900 | 548,559 | ||||||
|
| |||||||
2,615,790 | ||||||||
|
| |||||||
Financial — 8.5% | ||||||||
Banks — 1.2% | ||||||||
Capital One Financial Corp. | 8,600 | 728,076 | ||||||
East West Bancorp, Inc. | 8,600 | 514,108 | ||||||
First Republic Bank | 800 | 83,568 | ||||||
Pinnacle Financial Partners, Inc. | 7,800 | 522,210 | ||||||
State Street Corp. | 12,600 | 1,203,804 | ||||||
SVB Financial Group (a) | 3,720 | 695,975 | ||||||
Western Alliance Bancorp (a) | 17,600 | 934,208 | ||||||
|
| |||||||
4,681,949 | ||||||||
|
| |||||||
Diversified Financial Services — 4.7% | ||||||||
Air Lease Corp. | 22,600 | 963,212 | ||||||
Alliance Data Systems Corp. | 1,260 | 279,153 | ||||||
Ameriprise Financial, Inc. | 7,960 | 1,182,139 | ||||||
BGC Partners, Inc. Class A | 30,300 | 438,441 | ||||||
CBOE Holdings, Inc. | 2,800 | 301,364 | ||||||
The Charles Schwab Corp. | 5,900 | 258,066 | ||||||
Credit Acceptance Corp. (a) | 4,410 | 1,235,550 | ||||||
Eaton Vance Corp. | 7,100 | 350,527 | ||||||
Federated Investors, Inc. Class B | 11,780 | 349,866 | ||||||
Intercontinental Exchange, Inc. | 1,250 | 85,875 | ||||||
Invesco Ltd. | 25,600 | 897,024 | ||||||
Lazard Ltd. Class A | 19,300 | 872,746 | ||||||
Legg Mason, Inc. | 17,600 | 691,856 | ||||||
LPL Financial Holdings, Inc. | 17,400 | 897,318 | ||||||
Mastercard, Inc. Class A | 17,860 | 2,521,832 | ||||||
Raymond James Financial, Inc. | 3,700 | 312,021 | ||||||
SEI Investments Co. | 20,000 | 1,221,200 | ||||||
T. Rowe Price Group, Inc. | 8,900 | 806,785 | ||||||
Visa, Inc. Class A | 41,680 | 4,386,403 | ||||||
|
| |||||||
18,051,378 | ||||||||
|
| |||||||
Insurance — 1.7% | ||||||||
The Allstate Corp. | 11,100 | 1,020,201 | ||||||
American International Group, Inc. | 14,800 | 908,572 | ||||||
Aon PLC | 2,460 | 359,406 | ||||||
Arthur J Gallagher & Co. | 3,200 | 196,960 | ||||||
Assurant, Inc. | 10,240 | 978,125 | ||||||
Erie Indemnity Co. Class A | 70 | 8,440 | ||||||
Marsh & McLennan Cos., Inc. | 7,000 | 586,670 | ||||||
The Progressive Corp. | 15,900 | 769,878 | ||||||
RenaissanceRe Holdings Ltd. | 6,490 | 877,058 |
Number of Shares | Value | |||||||
Voya Financial, Inc. | 300 | $ | 11,967 | |||||
XL Group Ltd. | 21,700 | 856,065 | ||||||
|
| |||||||
6,573,342 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
CBRE Group, Inc. Class A (a) | 14,200 | 537,896 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.7% | ||||||||
American Tower Corp. | 2,145 | 293,179 | ||||||
CoreSite Realty Corp. | 5,400 | 604,260 | ||||||
Crown Castle International Corp. | 3,000 | 299,940 | ||||||
Digital Realty Trust, Inc. | 6,550 | 775,061 | ||||||
Equinix, Inc. | 447 | 199,496 | ||||||
Equity LifeStyle Properties, Inc. | 100 | 8,508 | ||||||
Extra Space Storage, Inc. | 100 | 7,992 | ||||||
Federal Realty Investment Trust | 20 | 2,484 | ||||||
Gaming and Leisure Properties, Inc. | 7,400 | 272,986 | ||||||
Iron Mountain, Inc. | 43 | 1,673 | ||||||
Lamar Advertising Co. Class A | 300 | 20,559 | ||||||
Public Storage | 640 | 136,954 | ||||||
Simon Property Group, Inc. | 909 | 146,358 | ||||||
|
| |||||||
2,769,450 | ||||||||
|
| |||||||
32,614,015 | ||||||||
|
| |||||||
Industrial — 13.3% | ||||||||
Aerospace & Defense — 2.7% | ||||||||
The Boeing Co. | 25,000 | 6,355,250 | ||||||
General Dynamics Corp. | 470 | 96,623 | ||||||
HEICO Corp. | 200 | 17,962 | ||||||
HEICO Corp. Class A | 12,400 | 944,880 | ||||||
Lockheed Martin Corp. | 5,340 | 1,656,948 | ||||||
Northrop Grumman Corp. | 3,340 | 960,985 | ||||||
Raytheon Co. | 1,390 | 259,346 | ||||||
Rockwell Collins, Inc. | 10 | 1,307 | ||||||
TransDigm Group, Inc. | 840 | 214,746 | ||||||
|
| |||||||
10,508,047 | ||||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
Eagle Materials, Inc. | 3,000 | 320,100 | ||||||
Fortune Brands Home & Security, Inc. | 4,200 | 282,366 | ||||||
Lennox International, Inc. | 60 | 10,738 | ||||||
|
| |||||||
613,204 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.5% | ||||||||
AMETEK, Inc. | 4,375 | 288,925 | ||||||
Emerson Electric Co. | 4,310 | 270,840 | ||||||
Energizer Holdings, Inc. | 17,500 | 805,875 | ||||||
Universal Display Corp. | 4,830 | 622,346 | ||||||
|
| |||||||
1,987,986 | ||||||||
|
| |||||||
Electronics — 2.7% | ||||||||
Agilent Technologies, Inc. | 23,000 | 1,476,600 | ||||||
Allegion PLC | 2,700 | 233,469 | ||||||
Amphenol Corp. Class A | 25,500 | 2,158,320 | ||||||
Corning, Inc. | 11,700 | 350,064 |
The accompanying notes are an integral part of the financial statements.
184
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Fortive Corp. | 3,760 | $ | 266,170 | |||||
Gentex Corp. | 24,820 | 491,436 | ||||||
Honeywell International, Inc. | 12,180 | 1,726,393 | ||||||
Mettler-Toledo International, Inc. (a) | 530 | 331,865 | ||||||
National Instruments Corp. | 3,300 | 139,161 | ||||||
PerkinElmer, Inc. | 14,100 | 972,477 | ||||||
Trimble, Inc. (a) | 30,020 | 1,178,285 | ||||||
Waters Corp. (a) | 5,680 | 1,019,674 | ||||||
|
| |||||||
10,343,914 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Waste Management, Inc. | 3,500 | 273,945 | ||||||
|
| |||||||
Hand & Machine Tools — 0.2% | ||||||||
Lincoln Electric Holdings, Inc. | 7,200 | 660,096 | ||||||
Snap-on, Inc. | 30 | 4,470 | ||||||
Stanley Black & Decker, Inc. | 750 | 113,228 | ||||||
|
| |||||||
777,794 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.7% | ||||||||
BWX Technologies, Inc. | 1,500 | 84,030 | ||||||
Caterpillar, Inc. | 21,400 | 2,668,794 | ||||||
|
| |||||||
2,752,824 | ||||||||
|
| |||||||
Machinery – Diversified — 2.2% | ||||||||
Cognex Corp. | 8,000 | 882,240 | ||||||
Cummins, Inc. | 6,950 | 1,167,808 | ||||||
Deere & Co. | 8,850 | 1,111,471 | ||||||
Graco, Inc. | 9,640 | 1,192,372 | ||||||
IDEX Corp. | 2,190 | 266,019 | ||||||
Nordson Corp. | 2,000 | 237,000 | ||||||
Rockwell Automation, Inc. | 6,190 | 1,103,120 | ||||||
Roper Technologies, Inc. | 2,850 | 693,690 | ||||||
Wabtec Corp. | 30 | 2,273 | ||||||
Xylem, Inc. | 500 | 31,315 | ||||||
Zebra Technologies Corp. Class A (a) | 14,900 | 1,617,842 | ||||||
|
| |||||||
8,305,150 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.0% | ||||||||
3M Co. | 3,250 | 682,175 | ||||||
A.O. Smith Corp. | 3,500 | 208,005 | ||||||
Donaldson Co., Inc. | 8,200 | 376,708 | ||||||
Dover Corp. | 1,900 | 173,641 | ||||||
General Electric Co. | 2,500 | 60,450 | ||||||
Illinois Tool Works, Inc. | 8,270 | 1,223,629 | ||||||
Ingersoll-Rand PLC | 4,900 | 436,933 | ||||||
Parker-Hannifin Corp. | 4,470 | 782,340 | ||||||
|
| |||||||
3,943,881 | ||||||||
|
| |||||||
Packaging & Containers — 0.7% | ||||||||
Ardagh Group SA | 29,300 | 627,313 | ||||||
Berry Plastics Group, Inc. (a) | 3,800 | 215,270 | ||||||
Crown Holdings, Inc. (a) | 2,600 | 155,272 | ||||||
Graphic Packaging Holding Co. | 7,000 | 97,650 | ||||||
Owens-Illinois, Inc. (a) | 48,600 | 1,222,776 | ||||||
Packaging Corp. of America | 2,630 | 301,608 |
Number of Shares | Value | |||||||
Sealed Air Corp. | 100 | $ | 4,272 | |||||
Silgan Holdings, Inc. | 2,200 | 64,746 | ||||||
|
| |||||||
2,688,907 | ||||||||
|
| |||||||
Shipbuilding — 0.3% | ||||||||
Huntington Ingalls Industries, Inc. | 4,590 | 1,039,360 | ||||||
|
| |||||||
Transportation — 2.0% | ||||||||
C.H. Robinson Worldwide, Inc. | 300 | 22,830 | ||||||
CSX Corp. | 27,600 | 1,497,576 | ||||||
Expeditors International of Washington, Inc. | 100 | 5,986 | ||||||
FedEx Corp. | 7,380 | 1,664,780 | ||||||
Landstar System, Inc. | 1,360 | 135,524 | ||||||
Union Pacific Corp. | 21,750 | 2,522,348 | ||||||
United Parcel Service, Inc. Class B | 15,420 | 1,851,788 | ||||||
XPO Logistics, Inc. (a) | 2,300 | 155,894 | ||||||
|
| |||||||
7,856,726 | ||||||||
|
| |||||||
51,091,738 | ||||||||
|
| |||||||
Technology — 26.6% | ||||||||
Computers — 9.6% | ||||||||
Accenture PLC Class A | 21,290 | 2,875,640 | ||||||
Apple, Inc. | 162,073 | 24,978,691 | ||||||
Cognizant Technology Solutions Corp. Class A | 6,300 | 457,002 | ||||||
CSRA, Inc. | 26,300 | 848,701 | ||||||
Dell Technologies, Inc. Class V (a) | 10,300 | 795,263 | ||||||
DST Systems, Inc. | 180 | 9,878 | ||||||
DXC Technology Co. | 12,400 | 1,064,912 | ||||||
Fortinet, Inc. (a) | 15,600 | 559,104 | ||||||
Genpact Ltd. | 4,500 | 129,375 | ||||||
International Business Machines Corp. | 16,760 | 2,431,541 | ||||||
NCR Corp. (a) | 10,100 | 378,952 | ||||||
NetApp, Inc. | 26,100 | 1,142,136 | ||||||
Western Digital Corp. | 12,300 | 1,062,720 | ||||||
|
| |||||||
36,733,915 | ||||||||
|
| |||||||
Semiconductors — 7.0% | ||||||||
Advanced Micro Devices, Inc. (a) | 8,200 | 104,550 | ||||||
Analog Devices, Inc. | 15,465 | 1,332,619 | ||||||
Applied Materials, Inc. | 72,200 | 3,760,898 | ||||||
Broadcom Ltd. | 16,000 | 3,880,640 | ||||||
IPG Photonics Corp. (a) | 5,310 | 982,669 | ||||||
KLA-Tencor Corp. | 18,500 | 1,961,000 | ||||||
Lam Research Corp. | 12,750 | 2,359,260 | ||||||
Maxim Integrated Products, Inc. | 7,900 | 376,909 | ||||||
Microchip Technology, Inc. | 19,400 | 1,741,732 | ||||||
Micron Technology, Inc. (a) | 33,300 | 1,309,689 | ||||||
Microsemi Corp. (a) | 6,200 | 319,176 | ||||||
NVIDIA Corp. | 10,280 | 1,837,756 | ||||||
NXP Semiconductor NV (a) | 5,480 | 619,733 | ||||||
ON Semiconductor Corp. (a) | 52,300 | 965,981 | ||||||
Skyworks Solutions, Inc. | 6,320 | 644,008 |
The accompanying notes are an integral part of the financial statements.
185
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Teradyne, Inc. | 32,100 | $ | 1,197,009 | |||||
Texas Instruments, Inc. | 28,650 | 2,568,186 | ||||||
Xilinx, Inc. | 11,210 | 794,004 | ||||||
|
| |||||||
26,755,819 | ||||||||
|
| |||||||
Software — 10.0% | ||||||||
Activision Blizzard, Inc. | 18,000 | 1,161,180 | ||||||
Adobe Systems, Inc. (a) | 24,010 | 3,581,812 | ||||||
ANSYS, Inc. (a) | 4,790 | 587,877 | ||||||
Atlassian Corp. PLC Class A (a) | 3,700 | 130,055 | ||||||
Autodesk, Inc. (a) | 4,160 | 467,002 | ||||||
Black Knight Financial Services, Inc. Class A (a) | 3,200 | 137,760 | ||||||
Broadridge Financial Solutions, Inc. | 560 | 45,259 | ||||||
Cadence Design Systems, Inc. (a) | 2,100 | 82,887 | ||||||
CDK Global, Inc. | 3,500 | 220,815 | ||||||
Citrix Systems, Inc. (a) | 2,500 | 192,050 | ||||||
The Dun & Bradstreet Corp. | 860 | 100,113 | ||||||
Electronic Arts, Inc. (a) | 9,600 | 1,133,376 | ||||||
Fidelity National Information Services, Inc. | 2,200 | 205,458 | ||||||
First Data Corp. Class A (a) | 34,700 | 625,988 | ||||||
Fiserv, Inc. (a) | 1,140 | 147,014 | ||||||
Intuit, Inc. | 360 | 51,170 | ||||||
Jack Henry & Associates, Inc. | 660 | 67,841 | ||||||
Microsoft Corp. | 256,360 | 19,096,257 | ||||||
MSCI, Inc. | 4,130 | 482,797 | ||||||
Oracle Corp. | 18,200 | 879,970 | ||||||
Red Hat, Inc. (a) | 5,000 | 554,300 | ||||||
salesforce.com, Inc. (a) | 15,040 | 1,405,037 | ||||||
ServiceNow, Inc. (a) | 10,010 | 1,176,475 | ||||||
Splunk, Inc. (a) | 800 | 53,144 | ||||||
Synopsys, Inc. (a) | 13,200 | 1,062,996 | ||||||
Tableau Software, Inc. Class A (a) | 8,500 | 636,565 | ||||||
Take-Two Interactive Software, Inc. (a) | 12,200 | 1,247,206 | ||||||
Veeva Systems, Inc. Class A (a) | 14,200 | 801,022 | ||||||
VMware, Inc. Class A (a) | 16,680 | 1,821,289 | ||||||
Workday, Inc. Class A (a) | 4,110 | 433,153 | ||||||
|
| |||||||
38,587,868 | ||||||||
|
| |||||||
102,077,602 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $336,381,603) | 386,756,591 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $336,381,603) | 386,756,591 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $336,381,603) | 386,756,591 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||||
Repurchase Agreement — 0.2% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (b) | $ | 680,373 | $ | 680,373 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $680,373) | 680,373 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.0% (Cost $337,061,976) (c) | 387,436,964 | |||||||
Other Assets/(Liabilities) — (1.0)% | (3,843,564 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 383,593,400 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $680,376. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $695,246. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
186
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 97.6% | ||||||||
COMMON STOCK — 97.6% | ||||||||
Basic Materials — 3.5% | ||||||||
Forest Products & Paper — 0.6% | ||||||||
P.H. Glatfelter Co. | 67,169 | $ | 1,306,437 | |||||
|
| |||||||
Iron & Steel — 0.8% | ||||||||
Allegheny Technologies, Inc. (a) | 66,170 | 1,581,463 | ||||||
|
| |||||||
Mining — 2.1% | ||||||||
Compass Minerals International, Inc. (a) | 29,360 | 1,905,464 | ||||||
Kaiser Aluminum Corp. | 24,330 | 2,509,396 | ||||||
|
| |||||||
4,414,860 | ||||||||
|
| |||||||
7,302,760 | ||||||||
|
| |||||||
Communications — 4.5% | ||||||||
Internet — 2.3% | ||||||||
Proofpoint, Inc. (a) (b) | 25,500 | 2,224,110 | ||||||
Q2 Holdings, Inc. (b) | 18,840 | 784,686 | ||||||
Yelp, Inc. (a) (b) | 44,570 | 1,929,881 | ||||||
|
| |||||||
4,938,677 | ||||||||
|
| |||||||
Media — 1.9% | ||||||||
Houghton Mifflin Harcourt Co. (b) | 192,800 | 2,323,240 | ||||||
WideOpenWest, Inc. (a) (b) | 108,351 | 1,633,933 | ||||||
|
| |||||||
3,957,173 | ||||||||
|
| |||||||
Telecommunications — 0.3% | ||||||||
RigNet, Inc. (b) | 30,116 | 517,995 | ||||||
|
| |||||||
9,413,845 | ||||||||
|
| |||||||
Consumer, Cyclical — 13.8% | ||||||||
Airlines — 1.1% | ||||||||
Spirit Airlines, Inc. (b) | 67,420 | 2,252,502 | ||||||
|
| |||||||
Apparel — 1.0% | ||||||||
Canada Goose Holdings, Inc. (a) (b) | 104,890 | 2,155,490 | ||||||
|
| |||||||
Auto Manufacturers — 1.0% | ||||||||
Navistar International Corp. (b) | 47,770 | 2,105,224 | ||||||
|
| |||||||
Auto Parts & Equipment — 1.8% | ||||||||
Visteon Corp. (b) | 31,420 | 3,888,853 | ||||||
|
| |||||||
Distribution & Wholesale — 1.2% | ||||||||
SiteOne Landscape Supply, Inc. (a) (b) | 45,130 | 2,622,053 | ||||||
|
| |||||||
Retail — 6.9% | ||||||||
DSW, Inc. Class A | 104,320 | 2,240,794 | ||||||
Fred’s, Inc. Class A (a) | 140,740 | 906,366 | ||||||
Group 1 Automotive, Inc. | 53,360 | 3,866,466 | ||||||
Papa John’s International, Inc. (a) | 23,020 | 1,682,071 | ||||||
Sonic Corp. (a) | 91,210 | 2,321,294 | ||||||
Suburban Propane Partners LP (c) | 82,995 | 2,165,339 | ||||||
Texas Roadhouse, Inc. | 26,930 | 1,323,340 | ||||||
|
| |||||||
14,505,670 | ||||||||
|
|
Number of Shares | Value | |||||||
Storage & Warehousing — 0.8% | ||||||||
Wesco Aircraft Holdings, Inc. (b) | 167,000 | $ | 1,569,800 | |||||
|
| |||||||
29,099,592 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 20.9% | ||||||||
Beverages — 0.2% | ||||||||
The Boston Beer Co., Inc. Class A (a) (b) | 2,610 | 407,682 | ||||||
|
| |||||||
Biotechnology — 1.5% | ||||||||
Exact Sciences Corp. (b) | 29,650 | 1,397,108 | ||||||
Sage Therapeutics, Inc. (a) (b) | 15,030 | 936,369 | ||||||
Ultragenyx Pharmaceutical, Inc. (b) | 16,070 | 855,888 | ||||||
|
| |||||||
3,189,365 | ||||||||
|
| |||||||
Commercial Services — 6.9% | ||||||||
Booz Allen Hamilton Holding Corp. | 49,440 | 1,848,562 | ||||||
Korn/Ferry International | 131,621 | 5,189,816 | ||||||
Matthews International Corp. Class A | 37,200 | 2,315,700 | ||||||
On Assignment, Inc. (b) | 68,000 | 3,650,240 | ||||||
Paylocity Holding Corp. (b) | 30,120 | 1,470,458 | ||||||
|
| |||||||
14,474,776 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.8% | ||||||||
elf Beauty, Inc. (a) (b) | 72,850 | 1,642,768 | ||||||
|
| |||||||
Foods — 1.6% | ||||||||
Hostess Brands, Inc. (a) (b) | 247,940 | 3,386,860 | ||||||
|
| |||||||
Health Care – Products — 3.2% | ||||||||
NuVasive, Inc. (b) | 50,140 | 2,780,765 | ||||||
NxStage Medical, Inc. (b) | 82,970 | 2,289,972 | ||||||
Wright Medical Group NV (b) | 64,120 | 1,658,784 | ||||||
|
| |||||||
6,729,521 | ||||||||
|
| |||||||
Health Care – Services — 1.5% | ||||||||
Addus HomeCare Corp. (b) | 21,010 | 741,653 | ||||||
Amedisys, Inc. (b) | 43,020 | 2,407,399 | ||||||
|
| |||||||
3,149,052 | ||||||||
|
| |||||||
Household Products & Wares — 1.5% | ||||||||
Acco Brands Corp. (b) | 272,610 | 3,244,059 | ||||||
|
| |||||||
Pharmaceuticals — 3.7% | ||||||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 30,360 | 1,143,661 | ||||||
Clovis Oncology, Inc. (b) | 11,710 | 964,904 | ||||||
Galapagos NV (b) | 5,673 | 577,347 | ||||||
Prestige Brands Holdings, Inc. (b) | 89,266 | 4,471,334 | ||||||
TherapeuticsMD, Inc. (a) (b) | 144,490 | 764,352 | ||||||
|
| |||||||
7,921,598 | ||||||||
|
| |||||||
44,145,681 | ||||||||
|
| |||||||
Energy — 2.7% | ||||||||
Energy – Alternate Sources — 0.8% | ||||||||
Renewable Energy Group, Inc. (a) (b) | 138,009 | 1,676,809 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
187
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas — 0.6% | ||||||||
Matador Resources Co. (a) (b) | 50,405 | $ | 1,368,496 | |||||
|
| |||||||
Pipelines — 1.3% | ||||||||
Cone Midstream Partners LP (c) | 68,340 | 1,082,506 | ||||||
Noble Midstream Partners LP (c) | 31,930 | 1,656,209 | ||||||
|
| |||||||
2,738,715 | ||||||||
|
| |||||||
5,784,020 | ||||||||
|
| |||||||
Financial — 24.0% | ||||||||
Banks — 9.5% | ||||||||
The Bank of NT Butterfield & Son Ltd. | 40,850 | 1,496,744 | ||||||
BankUnited, Inc. | 85,068 | 3,025,869 | ||||||
Chemical Financial Corp. | 38,603 | 2,017,393 | ||||||
Customers Bancorp, Inc. (b) | 42,340 | 1,381,131 | ||||||
FCB Financial Holdings, Inc. Class A (b) | 37,370 | 1,804,971 | ||||||
IBERIABANK Corp. | 39,730 | 3,263,819 | ||||||
MB Financial, Inc. | 91,340 | 4,112,127 | ||||||
Webster Financial Corp. | 57,120 | 3,001,656 | ||||||
|
| |||||||
20,103,710 | ||||||||
|
| |||||||
Diversified Financial Services — 1.1% | ||||||||
Stifel Financial Corp. | 41,700 | 2,229,282 | ||||||
|
| |||||||
Insurance — 0.9% | ||||||||
James River Group Holdings Ltd. | 45,580 | 1,890,658 | ||||||
|
| |||||||
Real Estate — 1.0% | ||||||||
Realogy Holdings Corp. | 64,450 | 2,123,628 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 7.3% | ||||||||
Brandywine Realty Trust | 194,290 | 3,398,132 | ||||||
CYS Investments, Inc. | 360,510 | 3,114,806 | ||||||
DiamondRock Hospitality Co. | 262,500 | 2,874,375 | ||||||
Four Corners Property Trust, Inc. | 132,590 | 3,304,143 | ||||||
National Storage Affiliates Trust | 114,690 | 2,780,086 | ||||||
|
| |||||||
15,471,542 | ||||||||
|
| |||||||
Savings & Loans — 4.2% | ||||||||
Beneficial Bancorp, Inc. | 81,260 | 1,348,916 | ||||||
Berkshire Hills Bancorp, Inc. | 43,210 | 1,674,387 | ||||||
OceanFirst Financial Corp. | 46,090 | 1,267,014 | ||||||
Oritani Financial Corp. | 75,198 | 1,263,326 | ||||||
Sterling Bancorp | 93,840 | 2,313,156 | ||||||
WSFS Financial Corp. | 19,770 | 963,788 | ||||||
|
| |||||||
8,830,587 | ||||||||
|
| |||||||
50,649,407 | ||||||||
|
| |||||||
Industrial — 11.4% | ||||||||
Building Materials — 3.0% | ||||||||
Boise Cascade Co. (b) | 52,640 | 1,837,136 | ||||||
Masonite International Corp. (b) | 24,420 | 1,689,864 | ||||||
Summit Materials, Inc. Class A (b) | 86,859 | 2,782,094 | ||||||
|
| |||||||
6,309,094 | ||||||||
|
|
Number of Shares | Value | |||||||
Electrical Components & Equipment — 1.4% | ||||||||
Generac Holdings, Inc. (b) | 63,610 | $ | 2,921,607 | |||||
|
| |||||||
Engineering & Construction — 2.1% | ||||||||
Dycom Industries, Inc. (b) | 26,200 | 2,250,056 | ||||||
KBR, Inc. | 119,550 | 2,137,554 | ||||||
|
| |||||||
4,387,610 | ||||||||
|
| |||||||
Environmental Controls — 0.8% | ||||||||
Advanced Disposal Services, Inc. (b) | 71,170 | 1,792,772 | ||||||
|
| |||||||
Machinery – Diversified — 0.7% | ||||||||
The Manitowoc Co., Inc. (b) | 165,000 | 1,485,000 | ||||||
|
| |||||||
Metal Fabricate & Hardware — 1.0% | ||||||||
Rexnord Corp. (b) | 81,840 | 2,079,554 | ||||||
|
| |||||||
Transportation — 1.4% | ||||||||
CryoPort, Inc. (b) | 32,690 | 321,997 | ||||||
Genesee & Wyoming, Inc. Class A (b) | 34,600 | 2,560,746 | ||||||
|
| |||||||
2,882,743 | ||||||||
|
| |||||||
Trucking & Leasing — 1.0% | ||||||||
The Greenbrier Cos., Inc. (a) | 44,070 | 2,121,971 | ||||||
|
| |||||||
23,980,351 | ||||||||
|
| |||||||
Technology — 14.2% | ||||||||
Computers — 2.3% | ||||||||
CACI International, Inc. Class A (b) | 28,080 | 3,912,948 | ||||||
Teradata Corp. (b) | 27,160 | 917,736 | ||||||
|
| |||||||
4,830,684 | ||||||||
|
| |||||||
Semiconductors — 5.4% | ||||||||
Brooks Automation, Inc. | 84,170 | 2,555,401 | ||||||
Cypress Semiconductor Corp. (a) | 104,111 | 1,563,747 | ||||||
MaxLinear, Inc. (b) | 74,800 | 1,776,500 | ||||||
MKS Instruments, Inc. | 32,250 | 3,046,013 | ||||||
Semtech Corp. (b) | 64,950 | 2,438,873 | ||||||
|
| |||||||
11,380,534 | ||||||||
|
| |||||||
Software — 6.5% | ||||||||
CommVault Systems, Inc. (b) | 27,890 | 1,695,712 | ||||||
Envestnet, Inc. (b) | 31,210 | 1,591,710 | ||||||
Guidewire Software, Inc. (b) | 31,070 | 2,419,110 | ||||||
j2 Global, Inc. | 39,856 | 2,944,561 | ||||||
Pegasystems, Inc. | 45,640 | 2,631,146 | ||||||
Zynga, Inc. Class A (b) | 661,710 | 2,501,264 | ||||||
|
| |||||||
13,783,503 | ||||||||
|
| |||||||
29,994,721 | ||||||||
|
| |||||||
Utilities — 2.6% | ||||||||
Electric — 1.7% | ||||||||
Portland General Electric Co. | 81,050 | 3,699,122 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
188
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Water — 0.9% | ||||||||
American States Water Co. | 37,030 | $ | 1,823,728 | |||||
|
| |||||||
5,522,850 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $173,673,728) | 205,893,227 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $173,673,728) | 205,893,227 | |||||||
|
| |||||||
MUTUAL FUNDS — 12.9% | ||||||||
Diversified Financial Services — 12.9% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 27,175,495 | 27,175,495 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $27,175,495) | 27,175,495 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $200,849,223) | 233,068,722 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 4.8% | ||||||||
Repurchase Agreement — 4.8% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (e) | $ | 10,022,001 | 10,022,001 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,022,001) | 10,022,001 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 115.3% (Cost $210,871,224) (f) | 243,090,723 | |||||||
Other Assets/(Liabilities) — (15.3)% | (32,215,521 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 210,875,202 | ||||||
|
|
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, 2017, was $26,501,992 or 12.57% 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) | Security is a Master Limited Partnership. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $10,022,042. 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 $10,223,448. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
189
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 98.4% | ||||||||
COMMON STOCK — 96.6% | ||||||||
Cayman Islands — 2.3% | ||||||||
Baidu, Inc. Sponsored ADR (a) | 9,250 | $ | 2,291,132 | |||||
JD.com, Inc. ADR (a) | 134,703 | 5,145,655 | ||||||
|
| |||||||
7,436,787 | ||||||||
|
| |||||||
Denmark — 0.5% | ||||||||
FLSmidth & Co. A/S (b) | 26,283 | 1,739,781 | ||||||
|
| |||||||
France — 6.5% | ||||||||
Kering | 17,760 | 7,069,722 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 33,650 | 9,277,174 | ||||||
Societe Generale SA | 78,290 | 4,579,979 | ||||||
|
| |||||||
20,926,875 | ||||||||
|
| |||||||
Germany — 7.8% | ||||||||
Allianz SE Registered | 28,107 | 6,310,456 | ||||||
Bayer AG Registered | 32,215 | 4,390,060 | ||||||
Linde AG | 15,307 | 3,192,219 | ||||||
SAP SE | 65,099 | 7,131,618 | ||||||
Siemens AG | 30,138 | 4,245,985 | ||||||
|
| |||||||
25,270,338 | ||||||||
|
| |||||||
India — 2.9% | ||||||||
DLF Ltd. | 2,123,649 | 5,400,951 | ||||||
ICICI Bank Ltd. Sponsored ADR | 298,190 | 2,552,506 | ||||||
Zee Entertainment Enterprises Ltd. | 180,748 | 1,439,119 | ||||||
|
| |||||||
9,392,576 | ||||||||
|
| |||||||
Italy — 0.7% | ||||||||
Brunello Cucinelli SpA | 42,516 | 1,319,785 | ||||||
Tod’s SpA (a) (c) | 14,404 | 1,021,872 | ||||||
|
| |||||||
2,341,657 | ||||||||
|
| |||||||
Japan — 14.8% | ||||||||
Dai-ichi Life Holdings, Inc. | 223,400 | 4,016,315 | ||||||
FANUC Corp. | 12,300 | 2,493,936 | ||||||
KDDI Corp. | 153,800 | 4,057,568 | ||||||
Keyence Corp. | 14,600 | 7,783,711 | ||||||
Kyocera Corp. | 62,700 | 3,880,940 | ||||||
Murata Manufacturing Co. Ltd. | 48,710 | 7,201,474 | ||||||
Nidec Corp. | 61,200 | 7,531,781 | ||||||
Nintendo Co. Ltd. | 8,800 | 3,261,631 | ||||||
Renesas Electronics Corp. (a) | 94,600 | 1,032,184 | ||||||
Suzuki Motor Corp. | 66,300 | 3,480,801 | ||||||
TDK Corp. | 45,800 | 3,126,638 | ||||||
|
| |||||||
47,866,979 | ||||||||
|
| |||||||
Netherlands — 3.2% | ||||||||
Airbus SE | 109,920 | 10,462,470 | ||||||
|
| |||||||
Spain — 3.5% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 235,147 | 2,095,688 |
Number of Shares | Value | |||||||
Industria de Diseno Textil SA | 171,389 | $ | 6,458,886 | |||||
International Consolidated Airlines Group SA | 352,230 | 2,801,716 | ||||||
|
| |||||||
11,356,290 | ||||||||
|
| |||||||
Sweden — 1.4% | ||||||||
Assa Abloy AB Class B | 197,550 | 4,520,430 | ||||||
|
| |||||||
Switzerland — 2.9% | ||||||||
Credit Suisse Group AG Registered (a) | 157,205 | 2,488,756 | ||||||
Roche Holding AG | 6,992 | 1,784,929 | ||||||
UBS Group AG Registered (a) | 300,620 | 5,137,931 | ||||||
|
| |||||||
9,411,616 | ||||||||
|
| |||||||
United Kingdom — 6.4% | ||||||||
Circassia Pharmaceuticals PLC (a) (b) | 647,107 | 724,038 | ||||||
Earthport PLC (a) | 1,745,622 | 581,833 | ||||||
International Game Technology PLC | 105,012 | 2,578,044 | ||||||
Prudential PLC | 249,782 | 5,980,917 | ||||||
Shire Ltd. | 28,840 | 1,469,222 | ||||||
TechnipFMC PLC (a) | 101,850 | 2,824,167 | ||||||
Unilever PLC | 113,866 | 6,590,790 | ||||||
|
| |||||||
20,749,011 | ||||||||
|
| |||||||
United States — 43.7% | ||||||||
3M Co. | 22,650 | 4,754,235 | ||||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 70,870 | 2,669,673 | ||||||
Adobe Systems, Inc. (a) | 44,700 | 6,668,346 | ||||||
Aetna, Inc. | 50,900 | 8,093,609 | ||||||
Alphabet, Inc. Class A (a) | 9,640 | 9,386,661 | ||||||
Alphabet, Inc. Class C (a) | 9,308 | 8,927,396 | ||||||
Anthem, Inc. | 32,090 | 6,093,249 | ||||||
Biogen, Inc. (a) | 10,810 | 3,384,827 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 15,980 | 1,487,259 | ||||||
Bluebird Bio, Inc. (a) | 15,470 | 2,124,804 | ||||||
Blueprint Medicines Corp. (a) | 24,020 | 1,673,473 | ||||||
Centene Corp. (a) | 24,110 | 2,333,125 | ||||||
Citigroup, Inc. | 135,920 | 9,886,821 | ||||||
Colgate-Palmolive Co. | 98,820 | 7,199,037 | ||||||
Equifax, Inc. | 7,080 | 750,409 | ||||||
Facebook, Inc. Class A (a) | 46,250 | 7,902,737 | ||||||
FNF Group | 68,160 | 3,234,874 | ||||||
Gilead Sciences, Inc. | 39,240 | 3,179,225 | ||||||
The Goldman Sachs Group, Inc. | 21,780 | 5,165,998 | ||||||
Intuit, Inc. | 43,640 | 6,202,990 | ||||||
Ionis Pharmaceuticals, Inc. (a) (b) | 43,320 | 2,196,324 | ||||||
Loxo Oncology, Inc. (a) | 10,400 | 958,048 | ||||||
MacroGenics, Inc. (a) | 56,670 | 1,047,262 | ||||||
Maxim Integrated Products, Inc. | 130,240 | 6,213,750 | ||||||
PayPal Holdings, Inc. (a) | 59,310 | 3,797,619 | ||||||
S&P Global, Inc. | 48,800 | 7,627,928 |
The accompanying notes are an integral part of the financial statements.
190
MassMutual Premier Global Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Sage Therapeutics, Inc. (a) (b) | 26,220 | $ | 1,633,506 | |||||
Tiffany & Co. | 44,340 | 4,069,525 | ||||||
Twitter, Inc. (a) | 90,800 | 1,531,796 | ||||||
United Parcel Service, Inc. Class B | 29,340 | 3,523,441 | ||||||
The Walt Disney Co. | 44,670 | 4,403,122 | ||||||
Zimmer Biomet Holdings, Inc. | 30,020 | 3,515,042 | ||||||
|
| |||||||
141,636,111 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $172,218,725) | 313,110,921 | |||||||
|
| |||||||
PREFERRED STOCK — 1.8% | ||||||||
Germany — 1.7% | ||||||||
Bayerische Motoren Werke AG 4.630% | 66,007 | 5,880,743 | ||||||
|
| |||||||
India — 0.1% | ||||||||
Zee Entertainment Enterprises Ltd. | 1,120,452 | 167,759 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,186,201) | 6,048,502 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $175,404,926) | 319,159,423 | |||||||
|
| |||||||
MUTUAL FUNDS — 4.0% | ||||||||
United States — 4.0% | ||||||||
Oppenheimer Institutional Government Money Market Fund Class E (d) | 5,490,037 | 5,490,037 | ||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 7,406,975 | 7,406,975 | ||||||
|
| |||||||
12,897,012 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $12,897,012) | 12,897,012 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $188,301,938) | 332,056,435 | |||||||
|
| |||||||
TOTAL INVESTMENTS —102.4% (Cost $188,301,938) (f) | 332,056,435 | |||||||
Other Assets/(Liabilities) — (2.4)% | (7,916,580 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 324,139,855 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2017, was $7,212,190 or 2.23% 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) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $1,021,872 or 0.32% of net assets. |
(d) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Consumer, Non-cyclical | 23.0 | % | ||
Industrial | 17.8 | % | ||
Financial | 17.7 | % | ||
Consumer, Cyclical | 14.6 | % | ||
Communications | 14.0 | % | ||
Technology | 9.4 | % | ||
Mutual Funds | 4.0 | % | ||
Basic Materials | 1.0 | % | ||
Energy | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 102.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (2.4 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
191
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 96.8% | ||||||||
COMMON STOCK — 96.8% | ||||||||
Australia — 1.6% | ||||||||
CSL Ltd. | 59,600 | $ | 6,265,949 | |||||
Sonic Healthcare Ltd. | 145,748 | 2,398,626 | ||||||
|
| |||||||
8,664,575 | ||||||||
|
| |||||||
Belgium — 0.7% | ||||||||
Anheuser-Busch InBev SA/NV | 30,666 | 3,665,402 | ||||||
|
| |||||||
Canada — 4.6% | ||||||||
Alimentation Couche-Tard, Inc. Class B | 98,284 | 4,481,955 | ||||||
CCL Industries, Inc. Class B | 141,236 | 6,834,566 | ||||||
Dollarama, Inc. | 69,002 | 7,550,265 | ||||||
Saputo, Inc. | 176,060 | 6,094,195 | ||||||
|
| |||||||
24,960,981 | ||||||||
|
| |||||||
Cayman Islands — 1.0% | ||||||||
Baidu, Inc. Sponsored ADR (a) | 23,120 | 5,726,593 | ||||||
|
| |||||||
Denmark — 4.7% | ||||||||
Coloplast A/S Class B | 30,340 | 2,462,397 | ||||||
Novo Nordisk A/S Class B | 153,396 | 7,364,290 | ||||||
Novozymes A/S Class B | 105,321 | 5,404,734 | ||||||
Pandora A/S | 55,517 | 5,480,085 | ||||||
William Demant Holding A/S (a) | 174,731 | 4,613,035 | ||||||
|
| |||||||
25,324,541 | ||||||||
|
| |||||||
Finland — 1.1% | ||||||||
Nokia OYJ | 1,024,930 | 6,154,848 | ||||||
|
| |||||||
France — 13.9% | ||||||||
Atos SE | 54,060 | 8,394,211 | ||||||
Dassault Systemes SE | 55,151 | 5,576,211 | ||||||
Edenred | 209,211 | 5,692,920 | ||||||
Essilor International SA | 42,648 | 5,276,448 | ||||||
Hermes International | 11,686 | 5,891,817 | ||||||
Iliad SA | 25,500 | 6,782,494 | ||||||
Legrand SA | 78,960 | 5,701,055 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 25,260 | 6,964,084 | ||||||
Pernod Ricard SA | 38,105 | 5,268,786 | ||||||
SEB SA | 40,647 | 7,460,533 | ||||||
Technicolor SA Registered | 671,620 | 2,318,113 | ||||||
Valeo SA | 133,034 | 9,886,137 | ||||||
|
| |||||||
75,212,809 | ||||||||
|
| |||||||
Germany — 11.3% | ||||||||
Bayer AG Registered | 45,873 | 6,251,288 | ||||||
Bayerische Motoren Werke AG | 47,110 | 4,778,957 | ||||||
Brenntag AG | 85,970 | 4,790,783 | ||||||
Continental AG | 36,203 | 9,188,879 | ||||||
Infineon Technologies AG | 510,133 | 12,824,244 | ||||||
ProSiebenSat.1 Media SE | 126,299 | 4,304,114 |
Number of Shares | Value | |||||||
SAP SE | 101,388 | $ | 11,107,090 | |||||
Scout24 AG (b) | 83,799 | 3,428,117 | ||||||
United Internet AG | 72,572 | 4,520,932 | ||||||
|
| |||||||
61,194,404 | ||||||||
|
| |||||||
India — 2.5% | ||||||||
Hero MotoCorp Ltd. | 147,096 | 8,540,119 | ||||||
ICICI Bank Ltd. Sponsored ADR | 559,668 | 4,790,758 | ||||||
|
| |||||||
13,330,877 | ||||||||
|
| |||||||
Ireland — 0.5% | ||||||||
James Hardie Industries PLC | 187,600 | 2,619,052 | ||||||
|
| |||||||
Japan — 9.3% | ||||||||
Hoya Corp. | 96,500 | 5,234,021 | ||||||
Keyence Corp. | 17,500 | 9,329,791 | ||||||
Koito Manufacturing Co. Ltd. | 103,600 | 6,501,032 | ||||||
Kubota Corp. | 278,300 | 5,068,828 | ||||||
Nidec Corp. | 67,400 | 8,294,804 | ||||||
Nippon Telegraph & Telephone Corp. | 208,000 | 9,539,141 | ||||||
Subaru Corp. | 169,800 | 6,129,681 | ||||||
|
| |||||||
50,097,298 | ||||||||
|
| |||||||
Luxembourg — 0.9% | ||||||||
SES SA | 222,180 | 4,858,099 | ||||||
|
| |||||||
Netherlands — 8.3% | ||||||||
Aalberts Industries NV | 163,166 | 7,889,429 | ||||||
Airbus SE | 61,620 | 5,865,151 | ||||||
ASML Holding NV | 43,106 | 7,353,505 | ||||||
Boskalis Westminster | 101,175 | 3,538,795 | ||||||
Gemalto NV | 43,268 | 1,932,778 | ||||||
Gemalto NV | 17,200 | 768,525 | ||||||
Heineken NV | 68,764 | 6,806,006 | ||||||
Koninklijke Vopak NV | 75,906 | 3,334,013 | ||||||
STMicroelectronics NV | 389,450 | 7,554,066 | ||||||
|
| |||||||
45,042,268 | ||||||||
|
| |||||||
Panama — 1.5% | ||||||||
Carnival Corp. | 126,540 | 8,170,688 | ||||||
|
| |||||||
South Africa — 0.7% | ||||||||
The SPAR Group Ltd. | 289,321 | 3,570,824 | ||||||
|
| |||||||
Spain — 5.5% | ||||||||
Amadeus IT Group SA | 105,299 | 6,853,781 | ||||||
Grifols SA | 261,081 | 7,606,415 | ||||||
Industria de Diseno Textil SA | 132,457 | 4,991,713 | ||||||
Prosegur Cash SA (a) (b) | 1,191,401 | 3,583,680 | ||||||
Prosegur Cia de Seguridad SA | 891,466 | 6,669,486 | ||||||
|
| |||||||
29,705,075 | ||||||||
|
| |||||||
Sweden — 2.2% | ||||||||
Atlas Copco AB Class A | 180,250 | 7,644,236 | ||||||
Swedish Match AB | 116,006 | 4,072,454 | ||||||
|
| |||||||
11,716,690 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
192
MassMutual Premier International Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Switzerland — 9.0% | ||||||||
Barry Callebaut AG Registered | 3,567 | $ | 5,466,949 | |||||
Cie Financiere Richemont SA Registered | 65,071 | 5,947,072 | ||||||
Lonza Group AG Registered | 35,089 | 9,204,011 | ||||||
Roche Holding AG | 20,541 | 5,243,740 | ||||||
Sika AG | 784 | 5,833,392 | ||||||
Sonova Holding AG Registered | 29,490 | 5,003,610 | ||||||
Temenos Group AG Registered | 84,866 | 8,671,255 | ||||||
UBS Group AG Registered | 189,415 | 3,237,314 | ||||||
|
| |||||||
48,607,343 | ||||||||
|
| |||||||
Thailand — 0.9% | ||||||||
CP ALL PCL | 2,534,200 | 4,996,211 | ||||||
|
| |||||||
United Kingdom — 16.6% | ||||||||
BT Group PLC | 914,923 | 3,480,903 | ||||||
Bunzl PLC | 211,252 | 6,422,053 | ||||||
Burberry Group PLC | 190,611 | 4,502,736 | ||||||
Dignity PLC | 95,427 | 2,949,011 | ||||||
Domino’s Pizza Group PLC | 989,070 | 4,111,858 | ||||||
Essentra PLC (c) | 434,919 | 3,220,321 | ||||||
Experian PLC | 210,079 | 4,220,429 | ||||||
Ferguson PLC | 44,215 | 2,901,229 | ||||||
Inmarsat PLC | 282,218 | 2,433,872 | ||||||
Intertek Group PLC | 94,860 | 6,338,379 | ||||||
NEX Group PLC | 456,577 | 4,052,874 | ||||||
Prudential PLC | 226,947 | 5,434,143 | ||||||
Reckitt Benckiser Group PLC | 94,040 | 8,592,883 | ||||||
Royal Mail PLC | 408,988 | 2,105,665 | ||||||
Spectris PLC | 123,105 | 3,975,976 | ||||||
TechnipFMC PLC (a) | 135,324 | 3,752,357 | ||||||
TP ICAP PLC | 600,270 | 4,217,711 | ||||||
Travis Perkins PLC | 354,004 | 6,869,453 | ||||||
Unilever PLC | 78,031 | 4,516,589 | ||||||
The Weir Group PLC | 80,735 | 2,126,226 | ||||||
Whitbread PLC | 70,648 | 3,565,649 | ||||||
|
| |||||||
89,790,317 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $411,842,883) | 523,408,895 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
India — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 653,347 | 97,822 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $19,495) | 97,822 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $411,862,378) | 523,506,717 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 3.2% | ||||||||
United States — 3.2% | ||||||||
Oppenheimer Institutional Government Money Market Fund Class E (d) | 14,724,140 | $ | 14,724,140 | |||||
State Street Navigator Securities Lending Prime Portfolio (e) | 2,537,270 | 2,537,270 | ||||||
|
| |||||||
17,261,410 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $17,261,410) | 17,261,410 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $429,123,788) | 540,768,127 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $429,123,788) (f) | 540,768,127 | |||||||
Other Assets/(Liabilities) — 0.0% | 170,635 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 540,938,762 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | 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, 2017, these securities amounted to a value of $7,011,797 or 1.30% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2017, was $2,409,999 or 0.45% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(d) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Consumer, Cyclical | 25.5 | % | ||
Consumer, Non-cyclical | 24.0 | % | ||
Industrial | 15.2 | % | ||
Technology | 13.1 | % | ||
Communications | 9.5 | % | ||
Basic Materials | 4.2 | % | ||
Financial | 4.0 | % | ||
Mutual Funds | 3.2 | % | ||
Energy | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 100.0 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.0 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
193
September 30, 2017
Number of Shares | Value | |||||||
EQUITIES — 96.6% | ||||||||
COMMON STOCK — 95.2% | ||||||||
Bermuda — 2.2% | ||||||||
Credicorp Ltd. | 7,070 | $ | 1,449,492 | |||||
Jardine Strategic Holdings Ltd. | 91,114 | 3,942,068 | ||||||
|
| |||||||
5,391,560 | ||||||||
|
| |||||||
Brazil — 3.9% | ||||||||
Atacadao Distribuicao Comercio e Industria Ltda (a) | 295,700 | 1,448,086 | ||||||
B3 SA - Brasil Bolsa Balcao | 653,800 | 4,944,038 | ||||||
Embraer SA Sponsored ADR | 21,140 | 477,975 | ||||||
Estacio Participacoes SA | 139,300 | 1,363,026 | ||||||
Natura Cosmeticos SA | 19,500 | 192,097 | ||||||
Sul America SA | 215,125 | 1,215,158 | ||||||
|
| |||||||
9,640,380 | ||||||||
|
| |||||||
Cayman Islands — 18.5% | ||||||||
3SBio, Inc. (a) (b) | 455,000 | 730,604 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 78,613 | 13,577,251 | ||||||
China Lodging Group Ltd. Sponsored ADR (a) | 33,549 | 3,986,292 | ||||||
Ctrip.com International Ltd. ADR (a) | 101,780 | 5,367,877 | ||||||
NetEase.com, Inc. ADR | 3,620 | 954,992 | ||||||
New Oriental Education & Technology Group, Inc. Sponsored ADR | 28,850 | 2,546,301 | ||||||
Tencent Holdings Ltd. | 370,993 | 16,038,823 | ||||||
Want Want China Holdings Ltd. | 1,979,000 | 1,390,909 | ||||||
Wuxi Biologics Cayman, Inc. (a) (b) | 53,000 | 268,216 | ||||||
ZTO Express Cayman, Inc. (a) (c) | 37,270 | 523,271 | ||||||
|
| |||||||
45,384,536 | ||||||||
|
| |||||||
Chile — 0.1% | ||||||||
Banco de Chile | 1,763,560 | 269,060 | ||||||
|
| |||||||
China — 5.0% | ||||||||
China International Capital Corp. Ltd. Class H (b) | 440,800 | 898,269 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. Class A | 444,010 | 4,009,039 | ||||||
Kweichow Moutai Co. Ltd. Class A | 36,554 | 2,847,754 | ||||||
Sinopharm Group Co. Ltd. Class H | 1,006,800 | 4,443,690 | ||||||
|
| |||||||
12,198,752 | ||||||||
|
| |||||||
Colombia — 1.2% | ||||||||
Grupo Aval Acciones y Valores SA | 186,540 | 1,673,264 | ||||||
Grupo de Inversiones Suramericana SA | 88,999 | 1,238,936 | ||||||
|
| |||||||
2,912,200 | ||||||||
|
| |||||||
Egypt — 0.5% | ||||||||
Commercial International Bank Egypt SAE | 242,494 | 1,120,418 | ||||||
|
|
Number of Shares | Value | |||||||
France — 3.8% | ||||||||
Kering | 14,823 | $ | 5,900,590 | |||||
LVMH Moet Hennessy Louis Vuitton SE | 12,168 | 3,354,671 | ||||||
|
| |||||||
9,255,261 | ||||||||
|
| |||||||
Hong Kong — 4.5% | ||||||||
AIA Group Ltd. | 915,800 | 6,791,846 | ||||||
China Mobile Ltd. | 259,000 | 2,620,053 | ||||||
Hang Lung Group Ltd. | 131,000 | 471,771 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 43,535 | 1,180,478 | ||||||
|
| |||||||
11,064,148 | ||||||||
|
| |||||||
India — 12.1% | ||||||||
Apollo Hospitals Enterprise Ltd. | 81,318 | 1,253,617 | ||||||
Biocon Ltd. | 106,131 | 542,454 | ||||||
Cholamandalam Investment & Finance Co. Ltd. | 33,534 | 558,768 | ||||||
Dr. Reddy’s Laboratories Ltd. | 36,390 | 1,302,152 | ||||||
Glenmark Pharmaceuticals Ltd. | 47,771 | 438,955 | ||||||
Housing Development Finance Corp. Ltd. | 424,184 | 11,246,956 | ||||||
Infosys Ltd. | 282,967 | 3,907,700 | ||||||
Kotak Mahindra Bank Ltd. | 197,945 | 3,037,781 | ||||||
Tata Consultancy Services Ltd. | 63,822 | 2,382,846 | ||||||
UltraTech Cement Ltd. | 27,488 | 1,623,497 | ||||||
Zee Entertainment Enterprises Ltd. | 429,011 | 3,415,793 | ||||||
|
| |||||||
29,710,519 | ||||||||
|
| |||||||
Indonesia — 2.4% | ||||||||
Astra International Tbk PT | 3,152,500 | 1,848,858 | ||||||
Bank Mandiri Persero Tbk PT | 3,232,600 | 1,617,290 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 1,024,600 | 1,164,273 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 851,000 | 1,199,573 | ||||||
|
| |||||||
5,829,994 | ||||||||
|
| |||||||
Italy — 1.1% | ||||||||
PRADA SpA | 793,100 | 2,759,137 | ||||||
|
| |||||||
Malaysia — 1.6% | ||||||||
Genting Bhd | 1,158,000 | 2,619,292 | ||||||
Genting Malaysia Bhd | 914,100 | 1,165,171 | ||||||
|
| |||||||
3,784,463 | ||||||||
|
| |||||||
Mexico — 5.2% | ||||||||
Fomento Economico Mexicano SAB de CV | 303,667 | 2,899,595 | ||||||
Fomento Economico Mexicano SAB de CV Sponsored ADR | 14,870 | 1,420,531 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 72,525 | 1,383,192 | ||||||
Grupo Financiero Banorte SAB de CV Class O | 266,073 | 1,831,827 |
The accompanying notes are an integral part of the financial statements.
194
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Grupo Financiero Inbursa SAB de CV Class O | 1,237,921 | $ | 2,263,064 | |||||
Grupo Mexico SAB de CV Series B | 595,995 | 1,825,296 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 513,976 | 1,047,427 | ||||||
|
| |||||||
12,670,932 | ||||||||
|
| |||||||
Netherlands — 1.4% | ||||||||
Steinhoff International Holdings NV | 777,737 | 3,450,029 | ||||||
|
| |||||||
Nigeria — 0.5% | ||||||||
Nigerian Breweries PLC | 1,355,222 | 612,223 | ||||||
Zenith Bank PLC | 8,265,630 | 540,537 | ||||||
|
| |||||||
1,152,760 | ||||||||
|
| |||||||
Philippines — 3.7% | ||||||||
Ayala Corp. | 24,300 | 464,151 | ||||||
Ayala Land, Inc. | 1,790,500 | 1,535,072 | ||||||
Bank of the Philippine Islands | 79,290 | 155,232 | ||||||
Jollibee Foods Corp. | 295,450 | 1,417,926 | ||||||
SM Investments Corp. | 182,295 | 3,171,543 | ||||||
SM Prime Holdings, Inc. | 3,403,600 | 2,309,264 | ||||||
|
| |||||||
9,053,188 | ||||||||
|
| |||||||
Poland — 0.5% | ||||||||
Bank Pekao SA | 37,464 | 1,314,339 | ||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Jeronimo Martins SGPS SA (c) | 11,779 | 232,353 | ||||||
|
| |||||||
Republic of Korea — 4.9% | ||||||||
Amorepacific Corp. | 3,977 | 900,917 | ||||||
AMOREPACIFIC Group | 3,925 | 423,166 | ||||||
Celltrion Healthcare Co. Ltd. (a) | 12,779 | 619,229 | ||||||
Celltrion, Inc. (a) | 6,996 | 870,373 | ||||||
LG Household & Health Care Ltd. | 3,475 | 2,840,251 | ||||||
NAVER Corp. | 7,034 | 4,585,379 | ||||||
Samsung Biologics Co. Ltd. (a) (b) | 6,124 | 1,813,411 | ||||||
|
| |||||||
12,052,726 | ||||||||
|
| |||||||
Russia — 6.8% | ||||||||
Alrosa PJSC (a) | 1,009,458 | 1,432,112 | ||||||
Magnit PJSC (a) | 36,410 | 6,378,708 | ||||||
Novatek PJSC Sponsored GDR Registered | 53,132 | 6,232,982 | ||||||
Polyus PJSC GDR (b) (d) | 16,200 | 627,588 | ||||||
Sberbank of Russia PJSC Sponsored ADR | 142,500 | 2,031,457 | ||||||
|
| |||||||
16,702,847 | ||||||||
|
| |||||||
South Africa — 1.5% | ||||||||
FirstRand Ltd. | 571,890 | 2,201,097 | ||||||
Shoprite Holdings Ltd. | 102,958 | 1,573,471 | ||||||
|
| |||||||
3,774,568 | ||||||||
|
| |||||||
Spain — 0.4% | ||||||||
Prosegur Cash SA (a) (b) | 301,722 | 907,566 | ||||||
|
|
Number of Shares | Value | |||||||
Taiwan — 5.8% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,968,000 | $ | 14,154,108 | |||||
|
| |||||||
Turkey — 1.1% | ||||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 195,387 | 1,147,261 | ||||||
BIM Birlesik Magazalar AS | 76,427 | 1,593,750 | ||||||
|
| |||||||
2,741,011 | ||||||||
|
| |||||||
United Arab Emirates — 2.0% | ||||||||
DP World Ltd. | 154,930 | 3,479,300 | ||||||
Emaar Properties PJSC | 563,724 | 1,303,481 | ||||||
|
| |||||||
4,782,781 | ||||||||
|
| |||||||
United Kingdom — 4.3% | ||||||||
Anglo American PLC | 50,470 | 906,078 | ||||||
Glencore PLC | 1,312,545 | 6,016,963 | ||||||
Mediclinic International PLC (c) | 93,430 | 814,393 | ||||||
Old Mutual PLC | 39,066 | 101,213 | ||||||
Unilever PLC | 46,589 | 2,696,664 | ||||||
|
| |||||||
10,535,311 | ||||||||
|
| |||||||
United States — 0.1% | ||||||||
MercadoLibre, Inc. (c) | 410 | 106,161 | ||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $187,739,150) | 232,951,108 | |||||||
|
| |||||||
PREFERRED STOCK — 1.4% | ||||||||
Brazil — 1.3% | ||||||||
Lojas Americanas SA 0.610% | 526,820 | 3,202,022 | ||||||
|
| |||||||
India — 0.1% | ||||||||
Zee Entertainment Enterprises Ltd. | 612,906 | 91,767 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $2,467,475) | 3,293,789 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $190,206,625) | 236,244,897 | |||||||
|
| |||||||
MUTUAL FUNDS — 0.5% | ||||||||
United States — 0.5% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 1,281,920 | 1,281,920 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $1,281,920) | 1,281,920 | |||||||
|
| |||||||
RIGHTS — 0.5% | ||||||||
Russia — 0.5% | ||||||||
Moscow Exchange OAO (a) | 656,717 | 1,321,421 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $1,255,389) | 1,321,421 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $192,743,934) | 238,848,238 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
195
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 3.7% | ||||||||
Repurchase Agreement — 3.7% | ||||||||
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (f) | $ | 9,131,551 | $ | 9,131,551 | ||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 4,839 | 4,839 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,136,390) | 9,136,390 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.3% (Cost $201,880,324) (g) | 247,984,628 | |||||||
Other Assets/(Liabilities) — (1.3)% | (3,148,842 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 244,835,786 | ||||||
|
|
Abbreviation Legend
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, these securities amounted to a value of $5,245,654 or 2.14% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2017, was $1,229,720 or 0.50% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(d) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $627,588 or 0.26% of net assets. |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | Maturity value of $9,131,589. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 1/31/21, and an aggregate market value, including accrued interest, of $9,314,539. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Financial | 23.1 | % | ||
Consumer, Non-cyclical | 21.9 | % | ||
Communications | 19.1 | % | ||
Consumer, Cyclical | 14.0 | % | ||
Technology | 8.4 | % | ||
Basic Materials | 4.4 | % | ||
Energy | 2.5 | % | ||
Industrial | 2.1 | % | ||
Diversified | 1.6 | % | ||
Mutual Funds | 0.5 | % | ||
|
| |||
Total Long-Term Investments | 97.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.4 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
196
THIS PAGE INTENTIONALLY LEFT BLANK
197
MassMutual Premier Funds – Financial Statements
Statements of Assets and Liabilities
September 30, 2017
MassMutual Premier U.S. Government Money Market Fund | MassMutual Premier Short- Duration Bond Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | - | $ | 500,599,638 | ||||
Repurchase agreements, at value (Note 2) (b) | 44,950,000 | - | ||||||
Other short-term investments, at value (Note 2) (c) | 319,642,086 | 131,047,634 | ||||||
|
|
|
| |||||
Total investments | 364,592,086 | 631,647,272 | ||||||
|
|
|
| |||||
Cash | - | 1,040,178 | ||||||
Foreign currency, at value (d) | - | - | ||||||
Receivables from: | ||||||||
Investments sold | - | - | ||||||
Investments sold on a when-issued basis (Note 2) | - | - | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Investment adviser (Note 3) | - | - | ||||||
Fund shares sold | 1,076,097 | 6,028,128 | ||||||
Variation margin on open derivative instruments (Note 2) | - | 110,277 | ||||||
Interest and dividends | 106,244 | 3,293,588 | ||||||
Interest tax reclaim receivable | - | - | ||||||
Open swap agreements, at value (Note 2) | - | - | ||||||
Prepaid expenses | 10,153 | 33,738 | ||||||
|
|
|
| |||||
Total assets | 365,784,580 | 642,153,181 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | - | 1,456,175 | ||||||
Collateral held for reverse repurchase agreements (Note 2) | - | - | ||||||
Collateral held for open purchased options (Note 2) | - | 1,019,000 | ||||||
Reverse repurchase agreements (Note 2) | - | - | ||||||
Dividends | 10 | - | ||||||
Open forward foreign currency contracts (Note 2) | - | - | ||||||
Investments purchased on a when-issued basis (Note 2) | - | 1,850,000 | ||||||
Fund shares repurchased | 13,153,876 | 6,356,256 | ||||||
Open swap agreements, at value (Note 2) | - | 457,923 | ||||||
Trustees’ fees and expenses (Note 3) | 106,538 | 106,435 | ||||||
Variation margin on open derivative instruments (Note 2) | - | 3,101 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 98,129 | 171,802 | ||||||
Administration fees | 57,630 | 58,567 | ||||||
Service fees | - | 48,117 | ||||||
Shareholder service fees | - | 12,498 | ||||||
Distribution fees | - | 4,244 | ||||||
Due to custodian | - | - | ||||||
Commitment and Contingent Liabilities (Note 10) | - | - | ||||||
Accrued expense and other liabilities | 51,833 | 79,215 | ||||||
|
|
|
| |||||
Total liabilities | 13,468,016 | 11,623,333 | ||||||
|
|
|
| |||||
Net assets | $ | 352,316,564 | $ | 630,529,848 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 352,400,097 | $ | 631,808,228 | ||||
Undistributed (accumulated) net investment income (loss) | (98,779 | ) | 11,398,802 | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 15,246 | (15,873,646 | ) | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | - | 3,196,464 | ||||||
|
|
|
| |||||
Net assets | $ | 352,316,564 | $ | 630,529,848 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | - | $ | 497,628,384 | ||||
(b) Cost of repurchase agreements: | $ | 44,950,000 | $ | - | ||||
(c) Cost of other short-term investments: | $ | 319,642,086 | $ | 131,048,652 | ||||
(d) Cost of foreign currency: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
198
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | 346,682,940 | $ | 1,196,055,534 | $ | 195,263,799 | $ | 456,578,927 | |||||||
292,015 | - | - | - | |||||||||||
140,725,316 | 138,679,205 | 25,798,198 | 17,761,208 | |||||||||||
|
|
|
|
|
|
|
| |||||||
487,700,271 | 1,334,734,739 | 221,061,997 | 474,340,135 | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | - | 3,216 | - | |||||||||||
667,758 | 6,722,627 | 1,057,048 | 5,154,573 | |||||||||||
- | 9,540,326 | 2,150,100 | - | |||||||||||
- | - | 51,685 | - | |||||||||||
1 | - | - | - | |||||||||||
198,037 | 2,344,139 | 95,446 | 3,871,280 | |||||||||||
4,404 | - | - | - | |||||||||||
644,870 | 7,222,033 | 1,346,792 | 8,768,681 | |||||||||||
8 | - | - | - | |||||||||||
236,077 | - | - | - | |||||||||||
33,677 | 37,560 | 35,869 | 37,001 | |||||||||||
|
|
|
|
|
|
|
| |||||||
489,485,103 | 1,360,601,424 | 225,802,153 | 492,171,670 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,395,129 | 18,161,819 | 3,166,217 | 6,165,342 | |||||||||||
423,879 | - | - | - | |||||||||||
450,000 | 2,079,000 | 690,000 | - | |||||||||||
213,049,310 | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | 61,748 | - | |||||||||||
- | 128,090,495 | 18,961,896 | 7,304,000 | |||||||||||
6,752,305 | 2,430,669 | 566,372 | 924,623 | |||||||||||
459,178 | 1,172,101 | 147,081 | - | |||||||||||
56,669 | 297,761 | 36,079 | 48,617 | |||||||||||
253 | 71,183 | 2,191 | - | |||||||||||
84,850 | 378,256 | 62,738 | 180,229 | |||||||||||
38,105 | 104,181 | 36,322 | 50,991 | |||||||||||
20,696 | 85,934 | 27,998 | 57,615 | |||||||||||
6,974 | 27,541 | 8,606 | 9,698 | |||||||||||
2,862 | 510 | 2,490 | 20,876 | |||||||||||
- | - | 2 | - | |||||||||||
- | - | - | - | |||||||||||
59,949 | 124,737 | 57,686 | 72,882 | |||||||||||
|
|
|
|
|
|
|
| |||||||
225,800,159 | 153,024,187 | 23,827,426 | 14,834,873 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 263,684,944 | $ | 1,207,577,237 | $ | 201,974,727 | $ | 477,336,797 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 264,844,550 | $ | 1,195,101,238 | $ | 196,240,733 | $ | 450,471,568 | |||||||
5,034,643 | 26,265,149 | 4,542,277 | 21,695,746 | |||||||||||
(8,716,609 | ) | (26,069,968 | ) | (1,649,738 | ) | (3,543,574 | ) | |||||||
2,522,360 | 12,280,818 | 2,841,455 | 8,713,057 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 263,684,944 | $ | 1,207,577,237 | $ | 201,974,727 | $ | 477,336,797 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 344,012,943 | $ | 1,181,442,865 | $ | 192,083,140 | $ | 447,865,167 | |||||||
$ | 292,015 | $ | - | $ | - | $ | - | |||||||
$ | 140,726,118 | $ | 138,680,087 | $ | 25,799,040 | $ | 17,761,911 | |||||||
$ | - | $ | - | $ | 3,267 | $ | - |
199
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2017
MassMutual Premier U.S. Government Money Market Fund | MassMutual Premier Short- Duration Bond Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | - | $ | 299,767,992 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 28,832,525 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.40 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 352,316,564 | $ | 155,171,953 | ||||
|
|
|
| |||||
Shares outstanding (a) | 352,540,708 | 14,887,457 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 1.00 | $ | 10.42 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | - | $ | 75,543,517 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 7,296,966 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.35 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | - | $ | 28,771,443 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 2,790,667 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.31 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | - | $ | 50,893,171 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 4,972,399 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | - | $ | 10.24 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | - | $ | 10.61 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | - | $ | 13,692,866 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 1,321,651 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.36 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | - | $ | 6,688,906 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 649,567 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.30 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
200
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | 98,194,306 | $ | 546,974,594 | $ | 27,548,191 | $ | 242,644,861 | |||||||
|
|
|
|
|
|
|
| |||||||
9,387,282 | 49,526,654 | 2,511,953 | 25,223,796 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.46 | $ | 11.04 | $ | 10.97 | $ | 9.62 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 60,155,104 | $ | 358,319,420 | $ | 88,739,548 | $ | 55,628,285 | |||||||
|
|
|
|
|
|
|
| |||||||
5,749,603 | 32,361,076 | 8,734,881 | 5,756,709 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.46 | $ | 11.07 | $ | 10.16 | $ | 9.66 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 57,719,004 | $ | 100,902,859 | $ | 16,047,163 | $ | 49,581,186 | |||||||
|
|
|
|
|
|
|
| |||||||
5,537,221 | 9,167,716 | 1,560,599 | 5,131,698 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.42 | $ | 11.01 | $ | 10.28 | $ | 9.66 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 14,519,477 | $ | 71,425,145 | $ | 26,601,231 | $ | 32,888,690 | |||||||
|
|
|
|
|
|
|
| |||||||
1,379,386 | 6,538,177 | 2,594,476 | 3,456,650 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.53 | $ | 10.92 | $ | 10.25 | $ | 9.51 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 22,179,789 | $ | 114,316,903 | $ | 34,137,271 | $ | 29,357,012 | |||||||
|
|
|
|
|
|
|
| |||||||
2,159,991 | 10,565,199 | 3,338,520 | 3,094,523 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.27 | $ | 10.82 | $ | 10.23 | $ | 9.49 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.78 | $ | 11.36 | $ | 10.74 | $ | 10.07 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 6,230,969 | $ | 14,810,501 | $ | 5,032,150 | $ | 30,611,137 | |||||||
|
|
|
|
|
|
|
| |||||||
609,604 | 1,374,439 | 495,499 | 3,255,704 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.22 | $ | 10.78 | $ | 10.16 | $ | 9.40 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 4,686,295 | $ | 827,815 | $ | 3,869,173 | $ | 36,625,626 | |||||||
|
|
|
|
|
|
|
| |||||||
458,415 | 75,089 | 383,051 | 3,815,220 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 10.22 | $ | 11.02 | $ | 10.10 | $ | 9.60 | |||||||
|
|
|
|
|
|
|
|
201
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2017
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | 116,435,166 | $ | 51,587,898 | ||||
Repurchase agreements, at value (Note 2) (b) | 1,388 | 1,462,606 | ||||||
Other short-term investments, at value (Note 2) (c) | 3,760,073 | 538 | ||||||
|
|
|
| |||||
Total investments (d) | 120,196,627 | 53,051,042 | ||||||
|
|
|
| |||||
Cash | - | - | ||||||
Receivables from: | ||||||||
Investments sold | 181,908 | - | ||||||
Collateral pledged for open futures contracts (Note 2) | 65,450 | - | ||||||
Investments sold on a when-issued basis (Note 2) | 263,545 | - | ||||||
Investment adviser (Note 3) | 9,138 | 13,965 | ||||||
Fund shares sold | 6,852 | 851 | ||||||
Variation margin on open derivative instruments (Note 2) | 10,267 | - | ||||||
Interest and dividends | 248,905 | 47,040 | ||||||
Prepaid expenses | 34,760 | 31,373 | ||||||
|
|
|
| |||||
Total assets | 121,017,452 | 53,144,271 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 965,044 | - | ||||||
Investments purchased on a when-issued basis (Note 2) | 2,993,637 | - | ||||||
Fund shares repurchased | 35,994 | 303,488 | ||||||
Securities on loan (Note 2) | - | 1,718,034 | ||||||
Open swap agreements, at value (Note 2) | 31,842 | - | ||||||
Trustees’ fees and expenses (Note 3) | 33,250 | 52,453 | ||||||
Variation margin on open derivative instruments (Note 2) | 3,479 | - | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 45,588 | 20,855 | ||||||
Administration fees | 31,527 | 25,837 | ||||||
Service fees | 26,691 | 3,650 | ||||||
Shareholder service fees | 5,506 | 2,255 | ||||||
Distribution fees | 4,588 | 79 | ||||||
Due to custodian | 36,464 | 538 | ||||||
Commitment and Contingent Liabilities (Note 10) | - | - | ||||||
Accrued expense and other liabilities | 50,962 | 36,886 | ||||||
|
|
|
| |||||
Total liabilities | 4,264,572 | 2,164,075 | ||||||
|
|
|
| |||||
Net assets | $ | 116,752,880 | $ | 50,980,196 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 99,240,433 | $ | 43,053,371 | ||||
Undistributed (accumulated) net investment income (loss) | 1,376,633 | 377,422 | ||||||
Distributions in excess of net investment income | - | - | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 4,415,166 | (246,240 | ) | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 11,720,648 | 7,795,643 | ||||||
|
|
|
| |||||
Net assets | $ | 116,752,880 | $ | 50,980,196 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | 104,652,989 | $ | 43,792,255 | ||||
(b) Cost of repurchase agreements: | $ | 1,388 | $ | 1,462,606 | ||||
(c) Cost of other short-term investments: | $ | 3,760,374 | $ | 538 | ||||
(d) Securities on loan with market value of: | $ | - | $ | 1,672,576 |
The accompanying notes are an integral part of the financial statements.
202
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 205,320,935 | $ | 136,958,362 | $ | 386,756,591 | $ | 233,068,722 | |||||||
256,308 | 1,659,586 | 680,373 | 10,022,001 | |||||||||||
253,908 | 7,311 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
205,831,151 | 138,625,259 | 387,436,964 | 243,090,723 | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
- | 829,575 | - | 361,233 | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
122,090 | 63,913 | 137,952 | 80,712 | |||||||||||
- | - | - | - | |||||||||||
301,981 | 166,636 | 179,175 | 248,922 | |||||||||||
32,841 | 30,427 | 33,356 | 37,727 | |||||||||||
|
|
|
|
|
|
|
| |||||||
206,288,063 | 139,715,810 | 387,787,447 | 243,819,317 | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | 5,424,599 | |||||||||||
- | - | - | - | |||||||||||
1,486,407 | 12,761 | 3,828,983 | 45,761 | |||||||||||
- | 781,944 | - | 27,175,495 | |||||||||||
- | - | - | - | |||||||||||
53,874 | 31,485 | 59,135 | 45,869 | |||||||||||
- | - | - | - | |||||||||||
75,069 | 62,029 | 141,852 | 94,971 | |||||||||||
31,682 | 32,302 | 51,175 | 38,972 | |||||||||||
14,226 | 12,230 | 42,111 | 55,379 | |||||||||||
4,014 | 5,440 | 12,775 | 12,172 | |||||||||||
2,090 | 699 | 2,606 | 5,338 | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
45,538 | 43,990 | 55,410 | 45,559 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,712,900 | 982,880 | 4,194,047 | 32,944,115 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 204,575,163 | $ | 138,732,930 | $ | 383,593,400 | $ | 210,875,202 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 165,538,901 | $ | 104,766,174 | $ | 294,480,504 | $ | 157,674,238 | |||||||
2,778,592 | 914,647 | 2,296,234 | - | |||||||||||
- | - | - | (45,126 | ) | ||||||||||
16,589,891 | 7,971,621 | 36,441,674 | 21,026,591 | |||||||||||
19,667,779 | 25,080,488 | 50,374,988 | 32,219,499 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 204,575,163 | $ | 138,732,930 | $ | 383,593,400 | $ | 210,875,202 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 185,653,156 | $ | 111,877,872 | $ | 336,381,603 | $ | 200,849,223 | |||||||
$ | 256,308 | $ | 1,659,586 | $ | 680,373 | $ | 10,022,001 | |||||||
$ | 253,908 | $ | 7,311 | $ | - | $ | - | |||||||
$ | - | $ | 758,826 | $ | - | $ | 26,501,992 |
203
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2017
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 8,269,773 | $ | 127,637 | ||||
|
|
|
| |||||
Shares outstanding (a) | 659,761 | 5,083 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.53 | $ | 25.11 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 49,381,176 | $ | 32,159,633 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,940,830 | 1,281,387 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.53 | $ | 25.10 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 6,978,302 | $ | 159,283 | ||||
|
|
|
| |||||
Shares outstanding (a) | 532,178 | 6,326 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 13.11 | $ | 25.18 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 9,413,092 | $ | 12,935,106 | ||||
|
|
|
| |||||
Shares outstanding (a) | 749,783 | 514,313 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.55 | $ | 25.15 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 32,637,149 | $ | 5,342,800 | ||||
|
|
|
| |||||
Shares outstanding (a) | 2,671,340 | 212,733 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 12.22 | $ | 25.12 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 12.97 | $ | 26.65 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 2,822,141 | $ | 126,749 | ||||
|
|
|
| |||||
Shares outstanding (a) | 232,330 | 5,053 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.15 | $ | 25.08 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 7,251,247 | $ | 128,988 | ||||
|
|
|
| |||||
Shares outstanding (a) | 599,914 | 5,171 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 12.09 | $ | 24.94 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
204
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 79,530,558 | $ | 8,516,291 | $ | 113,312,687 | $ | 15,105,414 | |||||||
|
|
|
|
|
|
|
| |||||||
4,499,765 | 713,545 | 8,628,364 | 920,524 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 17.67 | $ | 11.94 | $ | 13.13 | $ | 16.41 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 46,583,083 | $ | 78,579,924 | $ | 87,102,610 | $ | 64,889,115 | |||||||
|
|
|
|
|
|
|
| |||||||
2,632,813 | 6,588,012 | 6,630,241 | 3,961,557 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 17.69 | $ | 11.93 | $ | 13.14 | $ | 16.38 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 49,412,885 | $ | 1,132,913 | $ | 73,754,948 | $ | 14,726,131 | |||||||
|
|
|
|
|
|
|
| |||||||
2,812,604 | 92,087 | 5,602,101 | 901,240 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 17.57 | $ | 12.30 | $ | 13.17 | $ | 16.34 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 5,969,674 | $ | 30,995,820 | $ | 41,678,303 | $ | 23,966,689 | |||||||
|
|
|
|
|
|
|
| |||||||
334,161 | 2,603,012 | 3,138,686 | 1,475,083 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 17.86 | $ | 11.91 | $ | 13.28 | $ | 16.25 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 9,120,092 | $ | 13,096,453 | $ | 36,625,443 | $ | 73,462,479 | |||||||
|
|
|
|
|
|
|
| |||||||
524,388 | 1,115,025 | 2,828,055 | 4,611,193 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 17.39 | $ | 11.75 | $ | 12.95 | $ | 15.93 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 18.45 | $ | 12.47 | $ | 13.74 | $ | 16.90 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 10,139,035 | $ | 5,267,596 | $ | 26,809,108 | $ | 9,717,316 | |||||||
|
|
|
|
|
|
|
| |||||||
585,482 | 451,501 | 2,080,100 | 613,852 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 17.32 | $ | 11.67 | $ | 12.89 | $ | 15.83 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,819,836 | $ | 1,143,933 | $ | 4,310,301 | $ | 9,008,058 | |||||||
|
|
|
|
|
|
|
| |||||||
217,585 | 97,311 | 335,148 | 571,150 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 17.56 | $ | 11.76 | $ | 12.86 | $ | 15.77 | |||||||
|
|
|
|
|
|
|
|
205
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
September 30, 2017
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||
Assets: | ||||||||||||
Investments, at value — unaffiliated issuers (Note 2) (a) | $ | 326,566,398 | $ | 526,043,987 | $ | 238,848,238 | ||||||
Investments, at value — affiliated issuers (Note 2 & 7) (b) | 5,490,037 | 14,724,140 | - | |||||||||
Repurchase agreements, at value (Note 2) (c) | - | - | 9,131,551 | |||||||||
Other short-term investments, at value (Note 2) (d) | - | - | 4,839 | |||||||||
|
|
|
|
|
| |||||||
Total investments (e) | 332,056,435 | 540,768,127 | 247,984,628 | |||||||||
|
|
|
|
|
| |||||||
Cash | - | - | - | |||||||||
Foreign currency, at value (f) | 38 | 17,110 | 4,821 | |||||||||
Receivables from: | ||||||||||||
Investments sold | - | 3,494,541 | 645,786 | |||||||||
Investment adviser (Note 3) | - | - | 42,381 | |||||||||
Fund shares sold | 196,337 | 371,302 | 51,528 | |||||||||
Interest and dividends | 314,754 | 767,451 | 293,255 | |||||||||
Foreign taxes withheld | 280,770 | 678,900 | 23,372 | |||||||||
Prepaid expenses | 30,493 | 35,004 | 41,668 | |||||||||
Other receivables | - | - | 1,271 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 332,878,827 | 546,132,435 | 249,088,710 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payables for: | ||||||||||||
Investments purchased | - | 6,356 | 23,088 | |||||||||
Fund shares repurchased | 869,508 | 1,588,710 | 2,512,911 | |||||||||
Securities on loan (Note 2) | 7,406,975 | 2,537,270 | 1,281,920 | |||||||||
Trustees’ fees and expenses (Note 3) | 70,568 | 124,379 | 26,490 | |||||||||
Affiliates (Note 3): | ||||||||||||
Investment advisory fees | 198,087 | 373,908 | 204,445 | |||||||||
Administration fees | 54,022 | 54,911 | 22,290 | |||||||||
Service fees | 29,243 | 36,703 | 1,233 | |||||||||
Shareholder service fees | 17,283 | 8,258 | 225 | |||||||||
Distribution fees | 6,375 | 5,513 | 518 | |||||||||
Due to custodian | - | - | 4,839 | |||||||||
Commitment and Contingent Liabilities (Note 10) | - | - | - | |||||||||
Accrued expense and other liabilities | 86,911 | 457,665 | 174,965 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 8,738,972 | 5,193,673 | 4,252,924 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 324,139,855 | $ | 540,938,762 | $ | 244,835,786 | ||||||
|
|
|
|
|
| |||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 148,070,088 | $ | 433,492,122 | $ | 222,443,416 | ||||||
Undistributed (accumulated) net investment income (loss) | - | 6,115,835 | - | |||||||||
Distributions in excess of net investment income | (115,699 | ) | - | (487,118 | ) | |||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 32,438,912 | (10,002,043 | ) | (23,209,180 | ) | |||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 143,746,554 | 111,332,848 | 46,088,668 | |||||||||
|
|
|
|
|
| |||||||
Net assets | $ | 324,139,855 | $ | 540,938,762 | $ | 244,835,786 | ||||||
|
|
|
|
|
| |||||||
(a) Cost of investments — unaffiliated issuers | $ | 182,811,901 | $ | 414,399,648 | $ | 192,743,934 | ||||||
(b) Cost of investments — affiliated issuers: | $ | 5,490,037 | $ | 14,724,140 | $ | - | ||||||
(c) Cost of repurchase agreements: | $ | - | $ | - | $ | 9,131,551 | ||||||
(d) Cost of other short-term investments: | $ | - | $ | - | $ | 4,839 | ||||||
(e) Securities on loan with market value of: | $ | 7,212,190 | $ | 2,409,999 | $ | 1,229,720 | ||||||
(f) Cost of foreign currency: | $ | 38 | $ | 17,168 | $ | 4,709 |
The accompanying notes are an integral part of the financial statements.
206
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||
Class I shares: | ||||||||||||
Net assets | $ | 34,308,212 | $ | 246,510,207 | $ | 236,990,664 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 2,083,972 | 18,341,156 | 18,403,021 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 16.46 | $ | 13.44 | $ | 12.88 | ||||||
|
|
|
|
|
| |||||||
Class R5 shares: | ||||||||||||
Net assets | $ | 120,521,023 | $ | 195,316,038 | $ | 3,887,465 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 7,319,583 | 14,534,380 | 297,845 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 16.47 | $ | 13.44 | $ | 13.05 | ||||||
|
|
|
|
|
| |||||||
Service Class shares: | ||||||||||||
Net assets | $ | 19,085,643 | $ | 21,421,923 | $ | 433,516 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 1,168,769 | 1,599,419 | 33,745 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 16.33 | $ | 13.39 | $ | 12.85 | ||||||
|
|
|
|
|
| |||||||
Administrative Class shares: | ||||||||||||
Net assets | $ | 103,199,792 | $ | 17,967,861 | $ | 1,565,457 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 6,276,671 | 1,348,838 | 121,232 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 16.44 | $ | 13.32 | $ | 12.91 | ||||||
|
|
|
|
|
| |||||||
Class A shares: | ||||||||||||
Net assets | $ | 30,768,877 | $ | 39,745,931 | $ | 118,395 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 1,891,371 | 3,073,332 | 9,195 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, and redemption price per share | $ | 16.27 | $ | 12.93 | $ | 12.88 | ||||||
|
|
|
|
|
| |||||||
Offering price per share | ||||||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 17.26 | $ | 13.72 | $ | 13.67 | ||||||
|
|
|
|
|
| |||||||
Class R4 shares: | ||||||||||||
Net assets | $ | 5,560,163 | $ | 10,931,565 | $ | 1,018,919 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 344,779 | 851,518 | 79,840 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 16.13 | $ | 12.84 | $ | 12.76 | ||||||
|
|
|
|
|
| |||||||
Class R3 shares: | ||||||||||||
Net assets | $ | 10,696,145 | $ | 9,045,237 | $ | 821,370 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding (a) | 659,960 | 707,284 | 64,527 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering price and redemption price per share | $ | 16.21 | $ | 12.79 | $ | 12.73 | ||||||
|
|
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
207
MassMutual Premier Funds – Financial Statements (Continued)
For the Year Ended September 30, 2017
MassMutual Premier U.S. Government Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends | $ | - | $ | - | ||||
Interest (a) | 2,602,166 | 15,381,629 | ||||||
|
|
|
| |||||
Total investment income | 2,602,166 | 15,381,629 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 1,256,685 | 2,029,556 | ||||||
Custody fees | 42,775 | 74,764 | ||||||
Interest expense | - | - | ||||||
Audit fees | 32,330 | 38,108 | ||||||
Legal fees | 21,729 | 9,486 | ||||||
Accounting & Administration fees | 67,865 | 60,644 | ||||||
Proxy fees | 976 | 976 | ||||||
Shareholder reporting fees | 19,386 | 32,713 | ||||||
Trustees’ fees | 24,847 | 41,088 | ||||||
Registration and filing fees | 21,796 | 83,455 | ||||||
Transfer agent fees | 3,000 | 3,000 | ||||||
|
|
|
| |||||
1,491,389 | 2,373,790 | |||||||
Administration fees: | ||||||||
Class R5 | 359,053 | 176,783 | ||||||
Service Class | - | 78,377 | ||||||
Administrative Class | - | 45,392 | ||||||
Class A | - | 97,233 | ||||||
Class R4 | - | 24,272 | ||||||
Class R3 | - | 11,604 | ||||||
Distribution fees: | ||||||||
Class R3 | - | 14,504 | ||||||
Distribution and Service fees: | ||||||||
Class A | - | 162,055 | ||||||
Class R4 | - | 30,340 | ||||||
Class R3 | - | 14,504 | ||||||
Shareholder service fees: | ||||||||
Service Class | - | 26,126 | ||||||
Administrative Class | - | 45,392 | ||||||
Class A | - | 97,233 | ||||||
|
|
|
| |||||
Total expenses | 1,850,442 | 3,197,605 | ||||||
Expenses waived: | ||||||||
Class R5 fees reimbursed by adviser | (36,956 | ) | - | |||||
Class I advisory fees waived | - | - | ||||||
Class R5 advisory fees waived | - | - | ||||||
Service Class advisory fees waived | - | - | ||||||
Administrative Class advisory fees waived | - | - | ||||||
Class A advisory fees waived | - | - | ||||||
Class R4 advisory fees waived | - | - | ||||||
Class R3 advisory fees waived | - | - | ||||||
|
|
|
| |||||
Net expenses | 1,813,486 | 3,197,605 | ||||||
|
|
|
| |||||
Net investment income (loss) | 788,680 | 12,184,024 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
208
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | - | $ | 165,750 | $ | 12,750 | $ | - | |||||||
9,844,424 | 36,924,612 | 6,615,300 | 31,608,101 | |||||||||||
|
|
|
|
|
|
|
| |||||||
9,844,424 | 37,090,362 | 6,628,050 | 31,608,101 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,085,497 | 4,525,581 | 741,110 | 2,066,683 | |||||||||||
72,547 | 129,012 | 56,430 | 81,666 | |||||||||||
2,233,123 | - | - | - | |||||||||||
38,188 | 39,325 | 39,033 | 37,130 | |||||||||||
4,862 | 18,643 | 3,074 | 6,542 | |||||||||||
47,572 | 87,125 | 42,838 | 52,139 | |||||||||||
976 | 976 | 976 | 976 | |||||||||||
21,968 | 58,801 | 16,413 | 29,816 | |||||||||||
19,649 | 80,668 | 13,797 | 32,106 | |||||||||||
82,048 | 85,596 | 82,441 | 84,170 | |||||||||||
3,000 | 3,000 | 3,000 | 3,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||
3,609,430 | 5,028,727 | 999,112 | 2,394,228 | |||||||||||
61,834 | 377,365 | 81,665 | 53,818 | |||||||||||
92,290 | 136,751 | 24,088 | 74,749 | |||||||||||
22,596 | 121,826 | 47,344 | 47,027 | |||||||||||
33,786 | 195,030 | 53,935 | 43,886 | |||||||||||
11,741 | 29,537 | 9,235 | 50,578 | |||||||||||
7,584 | 1,601 | 6,600 | 43,396 | |||||||||||
9,480 | 2,001 | 8,250 | 54,245 | |||||||||||
56,311 | 325,050 | 89,891 | 73,144 | |||||||||||
14,677 | 36,922 | 11,543 | 63,222 | |||||||||||
9,480 | 2,001 | 8,250 | 54,245 | |||||||||||
30,763 | 45,583 | 8,029 | 24,916 | |||||||||||
22,596 | 121,826 | 47,344 | 47,027 | |||||||||||
33,786 | 195,030 | 53,935 | 43,886 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,016,354 | 6,619,250 | 1,449,221 | 3,068,367 | |||||||||||
- | - | - | - | |||||||||||
(34,519 | ) | - | - | - | ||||||||||
(18,552 | ) | - | - | - | ||||||||||
(18,432 | ) | - | - | - | ||||||||||
(4,530 | ) | - | - | - | ||||||||||
(6,758 | ) | - | - | - | ||||||||||
(1,761 | ) | - | - | - | ||||||||||
(1,144 | ) | - | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
3,930,658 | 6,619,250 | 1,449,221 | 3,068,367 | |||||||||||
|
|
|
|
|
|
|
| |||||||
5,913,766 | 30,471,112 | 5,178,829 | 28,539,734 | |||||||||||
|
|
|
|
|
|
|
|
209
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2017
MassMutual Premier U.S. Government Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 15,375 | $ | (646,154 | ) | |||
Futures contracts | - | 2,283,590 | ||||||
Swap agreements | - | (48,948 | ) | |||||
Foreign currency transactions | - | - | ||||||
Forward contracts | - | 44,307 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 15,375 | 1,632,795 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | - | (430,857 | ) | |||||
Futures contracts | - | 759,513 | ||||||
Swap agreements | - | (180,790 | ) | |||||
Translation of assets and liabilities in foreign currencies | - | - | ||||||
Forward contracts | - | (44,307 | ) | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | - | 103,559 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 15,375 | 1,736,354 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 804,055 | $ | 13,920,378 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | - | $ | 367 |
The accompanying notes are an integral part of the financial statements.
210
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||
$ | 788,039 | $ | 3,944,660 | $ | 534,344 | $ | 12,393,363 | |||||||
(45,671 | ) | (5,578,318 | ) | (517,783 | ) | - | ||||||||
(83,066 | ) | (178,419 | ) | (115,303 | ) | - | ||||||||
- | - | 2,037 | - | |||||||||||
- | 107,114 | 215,868 | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
659,302 | (1,704,963 | ) | 119,163 | 12,393,363 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(8,413,364 | ) | (10,635,551 | ) | (1,071,486 | ) | 1,369,001 | ||||||||
7,198 | (1,849,796 | ) | (204,491 | ) | - | |||||||||
(204,314 | ) | (460,573 | ) | (56,844 | ) | - | ||||||||
- | (1 | ) | 1,532 | - | ||||||||||
- | (107,114 | ) | (44,076 | ) | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(8,610,480 | ) | (13,053,035 | ) | (1,375,365 | ) | 1,369,001 | ||||||||
|
|
|
|
|
|
|
| |||||||
(7,951,178 | ) | (14,757,998 | ) | (1,256,202 | ) | 13,762,364 | ||||||||
|
|
|
|
|
|
|
| |||||||
$ | (2,037,412 | ) | $ | 15,713,114 | $ | 3,922,627 | $ | 42,302,098 | ||||||
|
|
|
|
|
|
|
| |||||||
$ | 15 | $ | - | $ | - | $ | - |
211
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2017
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends (a) | $ | 1,834,584 | $ | 1,419,328 | ||||
Interest | 984,070 | 679 | ||||||
Securities lending net income | - | 4,013 | ||||||
|
|
|
| |||||
Total investment income | 2,818,654 | 1,424,020 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 572,461 | 298,310 | ||||||
Custody fees | 45,287 | 17,719 | ||||||
Audit fees | 39,000 | 36,618 | ||||||
Legal fees | 1,765 | 1,043 | ||||||
Accounting & Administration fees | 47,986 | 50,089 | ||||||
Proxy fees | 976 | 976 | ||||||
Shareholder reporting fees | 12,547 | 10,482 | ||||||
Trustees’ fees | 8,338 | 4,292 | ||||||
Registration and filing fees | 82,374 | 82,430 | ||||||
Transfer agent fees | 3,000 | 3,000 | ||||||
|
|
|
| |||||
813,734 | 504,959 | |||||||
Administration fees: | ||||||||
Class R5 | 50,798 | 40,689 | ||||||
Service Class | 15,128 | 215 | ||||||
Administrative Class | 17,498 | 18,979 | ||||||
Class A | 50,776 | 8,733 | ||||||
Class R4 | 5,123 | 237 | ||||||
Class R3 | 13,792 | 236 | ||||||
Distribution fees: | ||||||||
Class R3 | 17,240 | 296 | ||||||
Distribution and Service fees: | ||||||||
Class A | 84,626 | 14,554 | ||||||
Class R4 | 6,404 | 297 | ||||||
Class R3 | 17,240 | 296 | ||||||
Shareholder service fees: | ||||||||
Service Class | 5,043 | 72 | ||||||
Administrative Class | 17,498 | 18,978 | ||||||
Class A | 50,776 | 8,733 | ||||||
|
|
|
| |||||
Total expenses | 1,165,676 | 617,274 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | (2,887 | ) | (293 | ) | ||||
Class R5 fees reimbursed by adviser | (41,806 | ) | (100,291 | ) | ||||
Service Class fees reimbursed by adviser | (8,253 | ) | (353 | ) | ||||
Administrative Class fees reimbursed by adviser | (9,536 | ) | (31,134 | ) | ||||
Class A fees reimbursed by adviser | (27,859 | ) | (14,333 | ) | ||||
Class R4 fees reimbursed by adviser | (2,116 | ) | (292 | ) | ||||
Class R3 fees reimbursed by adviser | (5,699 | ) | (291 | ) | ||||
|
|
|
| |||||
Net expenses | 1,067,520 | 470,287 | ||||||
|
|
|
| |||||
Net investment income (loss) | 1,751,134 | 953,733 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
212
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 4,951,221 | $ | 2,897,463 | $ | 5,905,131 | $ | 2,652,417 | |||||||
8,332 | 847 | 1,200 | 1,685 | |||||||||||
- | 2,508 | - | 139,289 | |||||||||||
|
|
|
|
|
|
|
| |||||||
4,959,553 | 2,900,818 | 5,906,331 | 2,793,391 | |||||||||||
|
|
|
|
|
|
|
| |||||||
914,742 | 734,520 | 1,643,222 | 1,129,480 | |||||||||||
21,105 | 27,112 | 30,838 | 31,408 | |||||||||||
37,603 | 35,042 | 37,662 | 36,038 | |||||||||||
3,772 | 1,776 | 6,049 | 3,024 | |||||||||||
41,982 | 45,925 | 48,651 | 41,705 | |||||||||||
976 | 976 | 976 | 976 | |||||||||||
42,474 | 12,215 | 48,589 | 15,283 | |||||||||||
12,962 | 9,220 | 23,995 | 13,748 | |||||||||||
85,018 | 83,228 | 85,069 | 83,792 | |||||||||||
3,000 | 3,000 | 3,000 | 3,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,163,634 | 953,014 | 1,928,051 | 1,358,454 | |||||||||||
49,968 | 77,619 | 82,636 | 64,386 | |||||||||||
77,653 | 1,803 | 106,120 | 21,755 | |||||||||||
8,779 | 47,210 | 60,765 | 33,170 | |||||||||||
16,144 | 18,981 | 57,680 | 106,981 | |||||||||||
14,058 | 9,339 | 40,156 | 15,635 | |||||||||||
3,847 | 2,258 | 7,358 | 14,934 | |||||||||||
4,808 | 2,823 | 9,197 | 18,668 | |||||||||||
26,907 | 31,635 | 96,134 | 178,302 | |||||||||||
17,572 | 11,674 | 50,195 | 19,543 | |||||||||||
4,808 | 2,823 | 9,197 | 18,668 | |||||||||||
25,884 | 601 | 35,373 | 7,252 | |||||||||||
8,779 | 47,210 | 60,765 | 33,170 | |||||||||||
16,144 | 18,981 | 57,680 | 106,981 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,438,985 | 1,225,971 | 2,601,307 | 1,997,899 | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,438,985 | 1,225,971 | 2,601,307 | 1,997,899 | |||||||||||
|
|
|
|
|
|
|
| |||||||
3,520,568 | 1,674,847 | 3,305,024 | 795,492 | |||||||||||
|
|
|
|
|
|
|
|
213
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations (Continued)
For the Year Ended September 30, 2017
MassMutual Premier Balanced Fund | MassMutual Premier Value Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 5,243,667 | $ | 7,463,218 | ||||
Futures contracts | (188,796 | ) | - | |||||
Swap agreements | (5,879 | ) | - | |||||
Foreign currency transactions | - | 295 | ||||||
Forward contracts | 2,828 | - | ||||||
|
|
|
| |||||
Net realized gain (loss) | 5,051,820 | 7,463,513 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | 7,857,800 | 1,330,205 | ||||||
Futures contracts | (13,611 | ) | - | |||||
Swap agreements | (11,976 | ) | - | |||||
Translation of assets and liabilities in foreign currencies | - | - | ||||||
Forward contracts | (2,828 | ) | - | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | 7,829,385 | 1,330,205 | ||||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 12,881,205 | 8,793,718 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 14,632,339 | $ | 9,747,451 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | - | $ | 16,221 |
The accompanying notes are an integral part of the financial statements.
214
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||
$ | 19,144,450 | $ | 8,375,371 | $ | 38,424,086 | $ | 23,120,691 | |||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | (853 | ) | - | (502 | ) | |||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
19,144,450 | 8,374,518 | 38,424,086 | 23,120,189 | |||||||||||
|
|
|
|
|
|
|
| |||||||
9,683,417 | 13,443,307 | 31,210,877 | 15,507,454 | |||||||||||
- | - | - | - | |||||||||||
- | - | - | - | |||||||||||
- | 41 | - | - | |||||||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
9,683,417 | 13,443,348 | 31,210,877 | 15,507,454 | |||||||||||
|
|
|
|
|
|
|
| |||||||
28,827,867 | 21,817,866 | 69,634,963 | 38,627,643 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 32,348,435 | $ | 23,492,713 | $ | 72,939,987 | $ | 39,423,135 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,938 | $ | 18,484 | $ | 738 | $ | - |
215
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Year Ended September 30, 2017
MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||
Investment income (Note 2): | ||||||||||||
Dividends — unaffiliated issuers (a) | $ | 4,615,088 | $ | 11,927,504 | $ | 3,506,066 | ||||||
Dividends — affiliated issuers (Note 7) | 33,111 | 70,385 | - | |||||||||
Interest | 323 | 10 | 8,355 | |||||||||
Securities lending net income | 74,799 | 67,556 | 7,649 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 4,723,321 | 12,065,455 | 3,522,070 | |||||||||
|
|
|
|
|
| |||||||
Expenses (Note 3): | ||||||||||||
Investment advisory fees | 2,323,281 | 4,254,410 | 2,078,874 | |||||||||
Custody fees | 106,897 | 273,463 | 358,025 | |||||||||
Audit fees | 43,640 | 44,315 | 58,307 | |||||||||
Legal fees | 4,607 | 7,647 | 3,036 | |||||||||
Accounting & Administration fees | 53,217 | 62,427 | 50,840 | |||||||||
Proxy fees | 976 | 975 | 976 | |||||||||
Shareholder reporting fees | 19,191 | 26,258 | 13,650 | |||||||||
Trustees’ fees | 20,895 | 34,619 | 14,914 | |||||||||
Registration and filing fees | 83,760 | 83,491 | 84,533 | |||||||||
Transfer agent fees | 3,000 | 3,000 | 3,000 | |||||||||
|
|
|
|
|
| |||||||
2,659,464 | 4,790,605 | 2,666,155 | ||||||||||
Administration fees: | ||||||||||||
Class R5 | 116,501 | 199,321 | 3,397 | |||||||||
Service Class | 33,339 | 29,249 | 3,641 | |||||||||
Administrative Class | 148,889 | 29,173 | 1,866 | |||||||||
Class A | 46,142 | 59,030 | 156 | |||||||||
Class R4 | 9,666 | 13,987 | 1,727 | |||||||||
Class R3 | 18,253 | 13,386 | 1,523 | |||||||||
Distribution fees: | ||||||||||||
Class R3 | 22,817 | 16,733 | 1,903 | |||||||||
Distribution and Service fees: | ||||||||||||
Class A | 76,903 | 98,383 | 260 | |||||||||
Class R4 | 12,083 | 17,483 | 2,158 | |||||||||
Class R3 | 22,817 | 16,733 | 1,903 | |||||||||
Shareholder service fees: | ||||||||||||
Service Class | 11,113 | 9,750 | 1,214 | |||||||||
Administrative Class | 148,889 | 29,173 | 1,866 | |||||||||
Class A | 46,142 | 59,030 | 156 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 3,373,018 | 5,382,036 | 2,687,925 | |||||||||
Expenses waived: | ||||||||||||
Class I fees reimbursed by adviser | - | - | (462,864 | ) | ||||||||
Class R5 fees reimbursed by adviser | - | - | (7,902 | ) | ||||||||
Service Class fees reimbursed by adviser | - | - | (5,656 | ) | ||||||||
Administrative Class fees reimbursed by adviser | - | - | (2,895 | ) | ||||||||
Class A fees reimbursed by adviser | - | - | (241 | ) | ||||||||
Class R4 fees reimbursed by adviser | - | - | (2,008 | ) | ||||||||
Class R3 fees reimbursed by adviser | - | - | (1,771 | ) | ||||||||
Class I advisory fees waived | - | (42,110 | ) | - | ||||||||
Class R5 advisory fees waived | - | (39,738 | ) | - | ||||||||
Service Class advisory fees waived | - | (3,868 | ) | - | ||||||||
Administrative Class advisory fees waived | - | (3,893 | ) | - | ||||||||
Class A advisory fees waived | - | (7,856 | ) | - | ||||||||
Class R4 advisory fees waived | - | (1,424 | ) | - | ||||||||
Class R3 advisory fees waived | - | (1,366 | ) | - | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 3,373,018 | 5,281,781 | 2,204,588 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,350,303 | 6,783,674 | 1,317,482 | |||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
216
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 | $ | 37,106,640 | $ | (5,072,800 | ) | $ | 5,624,275 | |||||
Foreign currency transactions | (95,450 | ) | (285,292 | ) | (263,433 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 37,011,190 | (5,358,092 | ) | 5,360,842 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investment transactions | 36,419,586 | * | 72,256,514 | * | 32,267,723 | * | ||||||
Translation of assets and liabilities in foreign currencies | 12,118 | 40,386 | 8,249 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) | 36,431,704 | 72,296,900 | 32,275,972 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 73,442,894 | 66,938,808 | 37,636,814 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 74,793,197 | $ | 73,722,482 | $ | 38,954,296 | ||||||
|
|
|
|
|
| |||||||
(a) Net of foreign withholding tax of: | $ | 350,015 | $ | 974,836 | $ | 394,950 | ||||||
* Net increase (decrease) in accrued foreign capital gains tax of: | $ | 7,230 | $ | 55,025 | $ | 206,943 |
217
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier U.S. Government Money Market Fund | ||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 788,680 | $ | 72 | ||||
Net realized gain (loss) | 15,375 | 24,972 | ||||||
Net change in unrealized appreciation (depreciation) | - | - | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 804,055 | 25,044 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | - | - | ||||||
Class R5 | (789,917 | ) | (11,965 | ) | ||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from net investment income | (789,917 | ) | (11,965 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | - | - | ||||||
Class R5 | 17,582,182 | (65,310,212 | ) | |||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 17,582,182 | (65,310,212 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 17,596,320 | (65,297,133 | ) | |||||
Net assets | ||||||||
Beginning of year | 334,720,244 | 400,017,377 | ||||||
|
|
|
| |||||
End of year | $ | 352,316,564 | $ | 334,720,244 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | (98,779 | ) | $ | (97,271 | ) | ||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
218
MassMutual Premier Short-Duration Bond Fund | MassMutual Premier Inflation-Protected and Income Fund | |||||||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||
$ | 12,184,024 | $ | 10,474,840 | $ | 5,913,766 | $ | 3,799,755 | |||||||
1,632,795 | (4,952,023 | ) | 659,302 | 2,835,829 | ||||||||||
103,559 | 5,278,681 | (8,610,480 | ) | 15,501,926 | ||||||||||
|
|
|
|
|
|
|
| |||||||
13,920,378 | 10,801,498 | (2,037,412 | ) | 22,137,510 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(5,251,944 | ) | (4,222,083 | ) | (3,303,684 | ) | (2,070,502 | ) | |||||||
(4,576,584 | ) | (4,590,598 | ) | (1,716,053 | ) | (582,044 | ) | |||||||
(1,118,894 | ) | (1,958,806 | ) | (1,685,214 | ) | (756,409 | ) | |||||||
(646,507 | ) | (879,709 | ) | (380,046 | ) | (105,506 | ) | |||||||
(1,566,898 | ) | (1,838,838 | ) | (479,336 | ) | (134,206 | ) | |||||||
(192,528 | ) | (175,113 | ) | (140,571 | ) | (14,543 | ) | |||||||
(74,927 | ) | (45,671 | ) | (71,044 | ) | (3,444 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(13,428,282 | ) | (13,710,818 | ) | (7,775,948 | ) | (3,666,654 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
132,199,050 | 12,058,459 | (20,398,922 | ) | (39,685,040 | ) | |||||||||
(43,682,185 | ) | 40,882,540 | (3,014,284 | ) | 1,731,671 | |||||||||
20,200,806 | (29,715,905 | ) | (11,059,868 | ) | (10,071,596 | ) | ||||||||
(4,144,691 | ) | (3,556,410 | ) | 588,103 | 1,797,747 | |||||||||
(36,253,064 | ) | 12,649,341 | (587,313 | ) | (147,850 | ) | ||||||||
4,170,379 | 3,603,350 | 1,040,525 | 4,132,071 | |||||||||||
2,990,995 | 2,100,060 | 1,986,688 | 2,300,600 | |||||||||||
|
|
|
|
|
|
|
| |||||||
75,481,290 | 38,021,435 | (31,445,071 | ) | (39,942,397 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
75,973,386 | 35,112,115 | (41,258,431 | ) | (21,471,541 | ) | |||||||||
554,556,462 | 519,444,347 | 304,943,375 | 326,414,916 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 630,529,848 | $ | 554,556,462 | $ | 263,684,944 | $ | 304,943,375 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 11,398,802 |
| $ | 9,580,122 | $ | 5,034,643 | $ | 5,913,818 | ||||||
|
|
|
|
|
|
|
|
219
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Core Bond Fund | ||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 30,471,112 | $ | 34,431,678 | ||||
Net realized gain (loss) | (1,704,963 | ) | (3,036,046 | ) | ||||
Net change in unrealized appreciation (depreciation) | (13,053,035 | ) | 27,288,872 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 15,713,114 | 58,684,504 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (14,601,868 | ) | (18,392,842 | ) | ||||
Class R5 | (12,612,757 | ) | (13,227,798 | ) | ||||
Service Class | (2,383,497 | ) | (3,755,333 | ) | ||||
Administrative Class | (2,568,484 | ) | (2,491,012 | ) | ||||
Class A | (3,580,048 | ) | (4,190,328 | ) | ||||
Class R4 | (472,193 | ) | (267,681 | ) | ||||
Class R3 | (21,128 | ) | (14,877 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (36,239,975 | ) | (42,339,871 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | - | (8,265,546 | ) | |||||
Class R5 | - | (6,172,224 | ) | |||||
Service Class | - | (1,803,649 | ) | |||||
Administrative Class | - | (1,231,876 | ) | |||||
Class A | - | (2,311,413 | ) | |||||
Class R4 | - | (134,733 | ) | |||||
Class R3 | - | (8,654 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gains | - | (19,928,095 | ) | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 51,023,270 | (174,674,936 | ) | |||||
Class R5 | (41,235,128 | ) | (79,824,947 | ) | ||||
Service Class | 9,993,431 | (37,745,897 | ) | |||||
Administrative Class | (12,086,916 | ) | 627,367 | |||||
Class A | (32,957,250 | ) | (16,166,644 | ) | ||||
Class R4 | 259,884 | 5,745,974 | ||||||
Class R3 | 60,373 | 153,907 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (24,942,336 | ) | (301,885,176 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (45,469,197 | ) | (305,468,638 | ) | ||||
Net assets | ||||||||
Beginning of year | 1,253,046,434 | 1,558,515,072 | ||||||
|
|
|
| |||||
End of year | $ | 1,207,577,237 | $ | 1,253,046,434 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 26,265,149 | $ | 28,012,559 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
220
MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||
$ | 5,178,829 | $ | 4,266,747 | $ | 28,539,734 | $ | 21,393,688 | |||||||
119,163 | (339,829 | ) | 12,393,363 | (8,408,542 | ) | |||||||||
(1,375,365 | ) | 5,858,958 | 1,369,001 | 22,383,759 | ||||||||||
|
|
|
|
|
|
|
| |||||||
3,922,627 | 9,785,876 | 42,302,098 | 35,368,905 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(510,116 | ) | (386,359 | ) | (11,671,304 | ) | (6,934,044 | ) | |||||||
(1,924,560 | ) | (1,753,470 | ) | (2,992,693 | ) | (2,287,408 | ) | |||||||
(405,459 | ) | (398,210 | ) | (3,214,659 | ) | (3,971,242 | ) | |||||||
(765,843 | ) | (817,856 | ) | (1,772,049 | ) | (1,621,145 | ) | |||||||
(742,829 | ) | (695,744 | ) | (1,587,444 | ) | (1,679,547 | ) | |||||||
(113,297 | ) | (80,375 | ) | (1,369,341 | ) | (478,602 | ) | |||||||
(60,325 | ) | (12,501 | ) | (873,103 | ) | (346,635 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(4,522,429 | ) | (4,144,515 | ) | (23,480,593 | ) | (17,318,623 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | (75,901 | ) | - | - | ||||||||||
- | (358,118 | ) | - | - | ||||||||||
- | (85,619 | ) | - | - | ||||||||||
- | (180,295 | ) | - | - | ||||||||||
- | (177,335 | ) | - | - | ||||||||||
- | (17,224 | ) | - | - | ||||||||||
- | (2,843 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
- | (897,335 | ) | - | - | ||||||||||
|
|
|
|
|
|
|
| |||||||
7,268,356 | 3,835,480 | 11,089,432 | 103,407,200 | |||||||||||
11,132,841 | 10,574,682 | 7,594,632 | 2,622,746 | |||||||||||
(804,633 | ) | (3,636,750 | ) | (11,805,108 | ) | (4,834,727 | ) | |||||||
(7,847,618 | ) | (1,669,108 | ) | 2,756,858 | 3,660,580 | |||||||||
(2,915,667 | ) | (639,376 | ) | (779,251 | ) | (506,306 | ) | |||||||
1,309,395 | 729,170 | 11,190,268 | 14,811,423 | |||||||||||
1,269,728 | 2,138,551 | 21,695,534 | 9,748,074 | |||||||||||
|
|
|
|
|
|
|
| |||||||
9,412,402 | 11,332,649 | 41,742,365 | 128,908,990 | |||||||||||
|
|
|
|
|
|
|
| |||||||
8,812,600 | 16,076,675 | 60,563,870 | 146,959,272 | |||||||||||
193,162,127 | 177,085,452 | 416,772,927 | 269,813,655 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 201,974,727 | $ | 193,162,127 | $ | 477,336,797 | $ | 416,772,927 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 4,542,277 |
| $ | 3,221,808 | $ | 21,695,746 | $ | 16,712,123 | ||||||
|
|
|
|
|
|
|
|
221
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Balanced Fund | ||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,751,134 | $ | 1,973,207 | ||||
Net realized gain (loss) | 5,051,820 | 818,956 | ||||||
Net change in unrealized appreciation (depreciation) | 7,829,385 | 7,885,498 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 14,632,339 | 10,677,661 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (38,945 | ) | (9,467 | ) | ||||
Class R5 | (941,540 | ) | (1,332,335 | ) | ||||
Service Class | (159,963 | ) | (296,398 | ) | ||||
Administrative Class | (223,479 | ) | (196,174 | ) | ||||
Class A | (491,694 | ) | (576,849 | ) | ||||
Class R4 | (39,384 | ) | (51,793 | ) | ||||
Class R3 | (88,704 | ) | (91,642 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (1,983,709 | ) | (2,554,658 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (10,064 | ) | (30,621 | ) | ||||
Class R5 | (256,998 | ) | (4,510,492 | ) | ||||
Service Class | (48,115 | ) | (1,042,848 | ) | ||||
Administrative Class | (65,382 | ) | (716,470 | ) | ||||
Class A | (171,366 | ) | (2,460,146 | ) | ||||
Class R4 | (12,808 | ) | (181,309 | ) | ||||
Class R3 | (31,686 | ) | (324,797 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (596,419 | ) | (9,266,683 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 6,906,875 | 554,717 | ||||||
Class R5 | (9,420,450 | ) | (8,586,844 | ) | ||||
Service Class | (8,076,631 | ) | 1,703,110 | |||||
Administrative Class | (1,577,286 | ) | 1,144,383 | |||||
Class A | (1,584,590 | ) | (391,427 | ) | ||||
Class R4 | 186,346 | 393,794 | ||||||
Class R3 | 1,536,213 | 3,353,909 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (12,029,523 | ) | (1,828,358 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 22,688 | (2,972,038 | ) | |||||
Net assets | ||||||||
Beginning of year | 116,730,192 | 119,702,230 | ||||||
|
|
|
| |||||
End of year | $ | 116,752,880 | $ | 116,730,192 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 1,376,633 | $ | 1,442,249 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
222
MassMutual Premier Value Fund | MassMutual Premier Disciplined Value Fund | |||||||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||
$ | 953,733 | $ | 903,357 | $ | 3,520,568 | $ | 6,862,871 | |||||||
7,463,513 | (673,919 | ) | 19,144,450 | 7,375,476 | ||||||||||
1,330,205 | 6,242,120 | 9,683,417 | 23,824,174 | |||||||||||
|
|
|
|
|
|
|
| |||||||
9,747,451 | 6,471,558 | 32,348,435 | 38,062,521 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(1,998 | ) | (1,729 | ) | (2,353,643 | ) | (3,673,296 | ) | |||||||
(794,392 | ) | (721,893 | ) | (1,696,950 | ) | (938,314 | ) | |||||||
(2,379 | ) | (1,852 | ) | (1,494,180 | ) | (1,307,815 | ) | |||||||
(180,911 | ) | (158,282 | ) | (168,634 | ) | (133,031 | ) | |||||||
(71,194 | ) | (67,859 | ) | (282,683 | ) | (120,839 | ) | |||||||
(1,513 | ) | (1,234 | ) | (176,562 | ) | (45,578 | ) | |||||||
(1,246 | ) | (927 | ) | (22,222 | ) | (2,452 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(1,053,633 | ) | (953,776 | ) | (6,194,874 | ) | (6,221,325 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | (2,496,839 | ) | (3,272,325 | ) | |||||||||
- | - | (1,850,616 | ) | (887,232 | ) | |||||||||
- | - | (1,718,634 | ) | (1,291,029 | ) | |||||||||
- | - | (198,868 | ) | (140,597 | ) | |||||||||
- | - | (351,909 | ) | (154,323 | ) | |||||||||
- | - | (202,498 | ) | (49,544 | ) | |||||||||
- | - | (32,613 | ) | (3,446 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
- | - | (6,851,977 | ) | (5,798,496 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
- | (105 | ) | (726,741 | ) | (105,330,995 | ) | ||||||||
(20,663,663 | ) | (3,540,323 | ) | (5,341,282 | ) | (3,963,835 | ) | |||||||
(5,531 | ) | 24,174 | (19,780,583 | ) | (6,743,282 | ) | ||||||||
(590,522 | ) | (1,293,998 | ) | (418,640 | ) | (2,220,786 | ) | |||||||
(1,412,524 | ) | (1,220,248 | ) | (2,258,550 | ) | 1,609,747 | ||||||||
- | (197 | ) | 5,343,898 | 1,357,808 | ||||||||||
5,496 | 1,761 | 2,984,902 | 277,321 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(22,666,744 | ) | (6,028,936 | ) | (20,196,996 | ) | (115,014,022 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(13,972,926 | ) | (511,154 | ) | (895,412 | ) | (88,971,322 | ) | |||||||
64,953,122 | 65,464,276 | 205,470,575 | 294,441,897 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 50,980,196 | $ | 64,953,122 | $ | 204,575,163 | $ | 205,470,575 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 377,422 |
| $ | 534,123 | $ | 2,778,592 | $ | 5,187,556 | ||||||
|
|
|
|
|
|
|
|
223
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Main Street Fund | ||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,674,847 | $ | 1,424,095 | ||||
Net realized gain (loss) | 8,374,518 | 3,981,483 | ||||||
Net change in unrealized appreciation (depreciation) | 13,443,348 | 11,069,137 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 23,492,713 | 16,474,715 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (17,545 | ) | (419 | ) | ||||
Class R5 | (985,628 | ) | (1,121,638 | ) | ||||
Service Class | (10,280 | ) | (13,942 | ) | ||||
Administrative Class | (330,203 | ) | (406,873 | ) | ||||
Class A | (110,288 | ) | (127,765 | ) | ||||
Class R4 | (45,456 | ) | (2,224 | ) | ||||
Class R3 | (12,257 | ) | (3,796 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (1,511,657 | ) | (1,676,657 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (35,014 | ) | (8,799 | ) | ||||
Class R5 | (2,116,947 | ) | (25,323,663 | ) | ||||
Service Class | (27,618 | ) | (583,837 | ) | ||||
Administrative Class | (845,330 | ) | (10,656,650 | ) | ||||
Class A | (348,342 | ) | (4,277,912 | ) | ||||
Class R4 | (100,602 | ) | (58,326 | ) | ||||
Class R3 | (33,223 | ) | (103,854 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (3,507,076 | ) | (41,013,041 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 7,019,354 | 708,043 | ||||||
Class R5 | (5,501,152 | ) | 20,325,095 | |||||
Service Class | (990,407 | ) | (4,511,613 | ) | ||||
Administrative Class | (2,708,436 | ) | 4,469,765 | |||||
Class A | (511,751 | ) | 1,857,708 | |||||
Class R4 | 1,198,900 | 3,326,066 | ||||||
Class R3 | 183,668 | 730,284 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (1,309,824 | ) | 26,905,348 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 17,164,156 | 690,365 | ||||||
Net assets | ||||||||
Beginning of year | 121,568,774 | 120,878,409 | ||||||
|
|
|
| |||||
End of year | $ | 138,732,930 | $ | 121,568,774 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | 914,647 | $ | 929,368 | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of year | $ | - | $ | - | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
224
MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | |||||||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||
$ | 3,305,024 | $ | 5,055,348 | $ | 795,492 | $ | 1,491,296 | |||||||
38,424,086 | 22,562,050 | 23,120,189 | 2,278,238 | |||||||||||
31,210,877 | 22,627,437 | 15,507,454 | 13,568,674 | |||||||||||
|
|
|
|
|
|
|
| |||||||
72,939,987 | 50,244,835 | 39,423,135 | 17,338,208 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(1,520,687 | ) | (2,336,591 | ) | (51,423 | ) | (16,478 | ) | |||||||
(1,102,028 | ) | (955,316 | ) | (722,512 | ) | (402,813 | ) | |||||||
(813,275 | ) | (905,689 | ) | (151,647 | ) | (74,292 | ) | |||||||
(419,940 | ) | (318,099 | ) | (203,773 | ) | (66,134 | ) | |||||||
(338,412 | ) | (234,446 | ) | (521,329 | ) | (145,188 | ) | |||||||
(176,073 | ) | (83,598 | ) | (61,557 | ) | (8,881 | ) | |||||||
(21,868 | ) | (36,279 | ) | (47,585 | ) | (11,123 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(4,392,283 | ) | (4,870,018 | ) | (1,759,826 | ) | (724,909 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(7,245,299 | ) | (14,078,291 | ) | (99,887 | ) | (199,275 | ) | |||||||
(5,658,271 | ) | (6,415,840 | ) | (1,518,131 | ) | (5,761,090 | ) | |||||||
(4,637,195 | ) | (6,571,097 | ) | (342,433 | ) | (1,084,737 | ) | |||||||
(2,532,802 | ) | (2,545,498 | ) | (496,326 | ) | (1,523,756 | ) | |||||||
(2,628,927 | ) | (2,763,442 | ) | (1,730,203 | ) | (6,655,266 | ) | |||||||
(1,097,568 | ) | (609,627 | ) | (155,824 | ) | (128,067 | ) | |||||||
(226,206 | ) | (292,275 | ) | (148,261 | ) | (210,981 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(24,026,268 | ) | (33,276,070 | ) | (4,491,065 | ) | (15,563,172 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(7,147,349 | ) | (82,494,554 | ) | 10,238,249 | 3,682,738 | |||||||||
105,106 | (11,108,613 | ) | (7,400,125 | ) | 2,275,492 | |||||||||
(15,272,706 | ) | (9,579,854 | ) | (1,103,797 | ) | 6,367,336 | ||||||||
(1,693,636 | ) | 3,777,490 | 2,571,457 | (754,240 | ) | |||||||||
(6,702,224 | ) | (597,334 | ) | (8,136,910 | ) | 2,901,383 | ||||||||
10,011,003 | 7,725,117 | 3,905,603 | 3,575,259 | |||||||||||
674,295 | (524,477 | ) | 2,235,598 | 4,182,258 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(20,025,511 | ) | (92,802,225 | ) | 2,310,075 | 22,230,226 | |||||||||
|
|
|
|
|
|
|
| |||||||
24,495,925 | (80,703,478 | ) | 35,482,319 | 23,280,353 | ||||||||||
359,097,475 | 439,800,953 | 175,392,883 | 152,112,530 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 383,593,400 | $ | 359,097,475 | $ | 210,875,202 | $ | 175,392,883 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 2,296,234 | $ | 3,372,682 | $ | - | $ | 1,276,727 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | - | $ | (45,126 | ) | $ | - | ||||||
|
|
|
|
|
|
|
|
225
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Global Fund | ||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,350,303 | $ | 2,613,510 | ||||
Net realized gain (loss) | 37,011,190 | 9,145,307 | ||||||
Net change in unrealized appreciation (depreciation) | 36,431,704 | 3,334,424 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 74,793,197 | 15,093,241 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (225,061 | ) | (30,113 | ) | ||||
Class R5 | (1,469,473 | ) | (1,390,770 | ) | ||||
Service Class | (261,598 | ) | (278,289 | ) | ||||
Administrative Class | (980,579 | ) | (724,998 | ) | ||||
Class A | (216,133 | ) | (152,532 | ) | ||||
Class R4 | (48,672 | ) | (31,513 | ) | ||||
Class R3 | (62,240 | ) | (27,852 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (3,263,756 | ) | (2,636,067 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (467,366 | ) | (244,605 | ) | ||||
Class R5 | (3,331,064 | ) | (12,918,214 | ) | ||||
Service Class | (667,597 | ) | (2,753,401 | ) | ||||
Administrative Class | (2,666,566 | ) | (9,121,946 | ) | ||||
Class A | (843,373 | ) | (3,237,261 | ) | ||||
Class R4 | (137,972 | ) | (273,902 | ) | ||||
Class R3 | (238,876 | ) | (362,854 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (8,352,814 | ) | (28,912,183 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 11,216,037 | 14,821,632 | ||||||
Class R5 | (27,637,117 | ) | (32,776,913 | ) | ||||
Service Class | (13,942,751 | ) | 4,152 | |||||
Administrative Class | (16,093,724 | ) | (16,995,190 | ) | ||||
Class A | (7,679,208 | ) | (6,557,294 | ) | ||||
Class R4 | 244,024 | 3,828,117 | ||||||
Class R3 | 100,516 | 5,865,901 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (53,792,223 | ) | (31,809,595 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 9,384,404 | (48,264,604 | ) | |||||
Net assets | ||||||||
Beginning of year | 314,755,451 | 363,020,055 | ||||||
|
|
|
| |||||
End of year | $ | 324,139,855 | $ | 314,755,451 | ||||
|
|
|
| |||||
Undistributed (accumulated) net investment income (loss) included in net assets at end of year | $ | - | $ | 1,433,844 | ||||
|
|
|
| |||||
Distributions in excess of net investment income included in net assets at end of year | $ | (115,699 | ) | $ | - | |||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
226
MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | |||||||||||||
Year Ended September 30, 2017 | Year Ended September 30, 2016 | Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||
$ | 6,783,674 | $ | 6,028,757 | $ | 1,317,482 | $ | 1,191,877 | |||||||
(5,358,092 | ) | 8,569,344 | 5,360,842 | (11,942,755 | ) | |||||||||
72,296,900 | 29,129,070 | 32,275,972 | 41,403,293 | |||||||||||
|
|
|
|
|
|
|
| |||||||
73,722,482 | 43,727,171 | 38,954,296 | 30,652,415 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(2,520,657 | ) | (2,095,715 | ) | (2,039,263 | ) | (1,204,528 | ) | |||||||
(2,377,345 | ) | (2,525,746 | ) | (31,977 | ) | (13,627 | ) | |||||||
(235,477 | ) | (212,860 | ) | (73,865 | ) | (44,993 | ) | |||||||
(179,212 | ) | (166,318 | ) | (11,682 | ) | (2,191 | ) | |||||||
(279,085 | ) | (272,171 | ) | (183 | ) | (82 | ) | |||||||
(55,387 | ) | (5,437 | ) | (8,779 | ) | (742 | ) | |||||||
(32,828 | ) | (10,452 | ) | (5,018 | ) | (649 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(5,679,991 | ) | (5,288,699 | ) | (2,170,767 | ) | (1,266,812 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,890,225 | ) | (6,711,005 | ) | - | - | |||||||||
(2,979,941 | ) | (9,017,251 | ) | - | - | |||||||||
(319,197 | ) | (829,544 | ) | - | - | |||||||||
(268,503 | ) | (730,576 | ) | - | - | |||||||||
(588,484 | ) | (1,787,455 | ) | - | - | |||||||||
(77,734 | ) | (21,263 | ) | - | - | |||||||||
(59,351 | ) | (41,357 | ) | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
(7,183,435 | ) | (19,138,451 | ) | - | - | |||||||||
|
|
|
|
|
|
|
| |||||||
23,943,833 | 17,828,478 | (3,386,325 | ) | 49,518,495 | ||||||||||
(47,878,604 | ) | (38,880,404 | ) | 106,292 | (4,842,404 | ) | ||||||||
(3,063,669 | ) | (69,542 | ) | (7,587,580 | ) | (25,957 | ) | |||||||
(2,982,208 | ) | (1,562,712 | ) | 607,467 | 160,783 | |||||||||
(7,701,580 | ) | (5,899,158 | ) | 2,452 | (129,809 | ) | ||||||||
6,088,990 | 3,112,106 | 243,951 | 417,128 | |||||||||||
4,245,079 | 2,981,376 | 41,892 | 396,277 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(27,348,159 | ) | (22,489,856 | ) | (9,971,851 | ) | 45,494,513 | ||||||||
|
|
|
|
|
|
|
| |||||||
33,510,897 | (3,189,835 | ) | 26,811,678 | 74,880,116 | ||||||||||
507,427,865 | 510,617,700 | 218,024,108 | 143,143,992 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 540,938,762 | $ | 507,427,865 | $ | 244,835,786 | $ | 218,024,108 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 6,115,835 |
| $ | 5,407,457 | $ | - | $ | - | ||||||
|
|
|
|
|
|
|
| |||||||
$ | - | $ | - | $ | (487,118 | ) | $ | (261,325 | ) | |||||
|
|
|
|
|
|
|
|
227
Statement of Cash Flows
For the Year Ended September 30, 2017
MassMutual Premier Inflation- Protected and Income Fund | ||||
Cash flows from operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | (2,037,412 | ) | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (99,585,489 | ) | ||
Investments sold | 208,247,276 | |||
(Increase) Decrease to the principal amount of inflation-indexed bonds | (4,213,891 | ) | ||
(Purchase) Sale of short-term investments, net | (27,229,336 | ) | ||
Amortization (accretion) of discount and premium, net | 979,411 | |||
(Increase) Decrease in receivable from interest and dividends | 132,281 | |||
(Increase) Decrease in prepaid expenses | (3,345 | ) | ||
(Increase) Decrease in receivable for open swap agreements | (9,264 | ) | ||
(Increase) Decrease in variation margin receivable on open derivative instruments | (4,404 | ) | ||
Increase (Decrease) in payable for Trustees’ fees and expenses | 5,864 | |||
Increase (Decrease) in payable for investment advisory fees | (17,343 | ) | ||
Increase (Decrease) in payable for administration fees | 10,406 | |||
Increase (Decrease) in payable for service fees | 1,311 | |||
Increase (Decrease) in payable for distribution fees | 1,308 | |||
Increase (Decrease) in payable for shareholder service fees | (458 | ) | ||
Increase (Decrease) in payable for open swap agreements | 214,049 | |||
Increase (Decrease) in collateral on purchased options | 450,000 | |||
Increase (decrease) in variation margin payable on open derivative instruments | (11,119 | ) | ||
Increase (Decrease) in payable for accrued expenses and other liabilities | 24,257 | |||
Net change in unrealized (appreciation) depreciation on investments | 8,413,364 | |||
Net realized (gain) loss on investments | (788,039 | ) | ||
|
| |||
Net cash from (used in) operating activities | 84,579,427 | |||
|
| |||
Cash flows from (used in) financing activities: | ||||
Increase (Decrease) in due to custodian | (251,611 | ) | ||
Proceeds from shares sold | 91,907,500 | |||
Payment on shares redeemed | (124,680,641 | ) | ||
Cash distributions paid | (144 | ) | ||
Net Increase (Decrease) in reverse repurchase agreements | (52,115,395 | ) | ||
Increase (Decrease) in collateral pledged for reverse repurchase agreements | 472,702 | |||
Increase (Decrease) in payable for interest for reverse repurchase agreements | 88,162 | |||
|
| |||
Net cash from (used in) financing activities | 84,579,427 | |||
|
| |||
Net increase (decrease) in cash | - | |||
Cash at beginning of period | - | |||
|
| |||
Cash at end of period | $ | - | ||
|
| |||
Non cash financing activities not included herein consist of: | ||||
Reinvestment of all distributions | $ | 7,775,804 | ||
Cash paid out for interest on reverse repurchase agreement | $ | 2,144,961 |
The accompanying notes are an integral part of the financial statements.
228
MassMutual Premier U.S. Government 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 1.00 | $ | 0.00 | d | $ | 0.00 | d | $ | 0.00 | d | $ | (0.00 | )d | $ | (0.00 | )d | $ | 1.00 | 0.23% | $ | 352,317 | 0.52% | 0.51% | 0.22% | |||||||||||||||||||||||
9/30/16 | 1.00 | 0.00 | d | 0.00 | d | 0.00 | d | (0.00 | )d | (0.00 | )d | 1.00 | 0.00% | e | 334,720 | 0.51% | 0.36% | 0.00% | e | |||||||||||||||||||||||||||||
9/30/15 | 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 | ||||||||||||||||||||||||||||||
9/30/14 | 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 | |||||||||||||||||||||||||||||
9/30/13 | 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% |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
e | Amount is less than 0.005%. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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.
229
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.39 | $ | 0.23 | $ | 0.03 | $ | 0.26 | $ | (0.25 | ) | $ | - | $ | (0.25 | ) | $ | 10.40 | 2.57% | $ | 299,768 | 0.40% | N/A | 2.20% | ||||||||||||||||||||||||||||
9/30/16 | 10.46 | 0.20 | 0.00 | d | 0.20 | (0.27 | ) | - | (0.27 | ) | 10.39 | 1.98% | 166,281 | 0.40% | N/A | 1.97% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 10.57 | 0.17 | (0.01 | ) | 0.16 | (0.23 | ) | - | (0.23 | ) | 10.50 | 1.46% | 193,155 | 0.44% | 0.37% | 1.62% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.42 | $ | 0.22 | $ | 0.02 | $ | 0.24 | $ | (0.24 | ) | $ | - | $ | (0.24 | ) | $ | 10.42 | 2.36% | $ | 155,172 | 0.50% | N/A | 2.09% | ||||||||||||||||||||||||||||
9/30/16 | 10.49 | 0.19 | 0.00 | d | 0.19 | (0.26 | ) | - | (0.26 | ) | 10.42 | 1.88% | 199,354 | 0.50% | N/A | 1.87% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 10.59 | 0.15 | (0.01 | ) | 0.14 | (0.21 | ) | - | (0.21 | ) | 10.52 | 1.36% | 179,221 | 0.59% | 0.52% | 1.47% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.35 | $ | 0.21 | $ | 0.02 | $ | 0.23 | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.35 | 2.24% | $ | 75,544 | 0.60% | N/A | 2.00% | ||||||||||||||||||||||||||||
9/30/16 | 10.42 | 0.18 | 0.00 | d | 0.18 | (0.25 | ) | - | (0.25 | ) | 10.35 | 1.78% | 55,309 | 0.60% | N/A | 1.75% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 10.53 | 0.15 | (0.02 | ) | 0.13 | (0.21 | ) | - | (0.21 | ) | 10.45 | 1.25% | 75,423 | 0.66% | 0.59% | 1.40% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 72 | % | 87 | % | 59 | % | 90 | % | 146 | % |
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. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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.
230
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.30 | $ | 0.19 | $ | 0.04 | $ | 0.23 | $ | (0.22 | ) | $ | - | $ | (0.22 | ) | $ | 10.31 | 2.24% | $ | 28,771 | 0.70% | N/A | 1.89% | ||||||||||||||||||||||||||||
9/30/16 | 10.37 | 0.17 | 0.00 | d | 0.17 | (0.24 | ) | - | (0.24 | ) | 10.30 | 1.69% | 32,906 | 0.70% | N/A | 1.66% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 10.49 | 0.14 | (0.02 | ) | 0.12 | (0.20 | ) | - | (0.20 | ) | 10.41 | 1.19% | 42,999 | 0.75% | 0.68% | 1.31% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.23 | $ | 0.16 | $ | 0.04 | $ | 0.20 | $ | (0.19 | ) | $ | - | $ | (0.19 | ) | $ | 10.24 | 2.00% | $ | 50,893 | 0.95% | N/A | 1.62% | ||||||||||||||||||||||||||||
9/30/16 | 10.30 | 0.14 | 0.00 | d | 0.14 | (0.21 | ) | - | (0.21 | ) | 10.23 | 1.49% | 87,598 | 0.95% | N/A | 1.42% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 10.41 | 0.11 | (0.01 | ) | 0.10 | (0.17 | ) | - | (0.17 | ) | 10.34 | 0.88% | 77,196 | 1.00% | 0.93% | 1.06% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.36 | $ | 0.18 | $ | 0.03 | $ | 0.21 | $ | (0.21 | ) | $ | - | $ | (0.21 | ) | $ | 10.36 | 2.05% | $ | 13,693 | 0.85% | N/A | 1.75% | ||||||||||||||||||||||||||||
9/30/16 | 10.45 | 0.16 | 0.00 | d | 0.16 | (0.25 | ) | - | (0.25 | ) | 10.36 | 1.59% | 9,446 | 0.85% | N/A | 1.53% | ||||||||||||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.31 | $ | 0.15 | $ | 0.03 | $ | 0.18 | $ | (0.19 | ) | $ | - | $ | (0.19 | ) | $ | 10.30 | 1.79% | $ | 6,689 | 1.10% | N/A | 1.50% | ||||||||||||||||||||||||||||
9/30/16 | 10.42 | 0.13 | 0.00 | d | 0.13 | (0.24 | ) | - | (0.24 | ) | 10.31 | 1.27% | 3,661 | 1.10% | N/A | 1.29% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 10.44 | 0.09 | (0.02 | ) | 0.07 | (0.05 | ) | - | (0.05 | ) | 10.46 | 0.72% | 618 | 1.23% | 1.16% | 0.82% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 10.49 | 0.08 | - | 0.08 | - | (0.13 | ) | (0.13 | ) | 10.44 | 0.74% | 1,251 | 1.37% | 1.23% | 0.81% |
231
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 waivers (including interest expense)p | Ratio of Expenses to average daily net assets after expense waivers (including interest expense)j,p | Ratio of Expenses to average daily net assets after expense waivers (excluding interest expense)j | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.79 | $ | 0.23 | $ | (0.27 | ) | $ | (0.04 | ) | $ | (0.29 | ) | $ | - | $ | (0.29 | ) | $ | 10.46 | (0.32% | ) | $ | 98,194 | 1.26% | 1.23% | 0.45% | 2.24% | ||||||||||||||||||||||||||||||||
9/30/16 | 10.19 | 0.13 | 0.59 | 0.72 | (0.12 | ) | - | (0.12 | ) | 10.79 | 7.16% | 122,515 | 0.91% | 0.90% | 0.46% | 1.23% | ||||||||||||||||||||||||||||||||||||||||||||
9/30/15 | 10.56 | 0.06 | (0.17 | ) | (0.11 | ) | (0.26 | ) | - | (0.26 | ) | 10.19 | (1.12% | ) | 153,421 | 0.67% | N/A | 0.47% | 0.56% | |||||||||||||||||||||||||||||||||||||||||
9/30/14 | 11.00 | 0.26 | (0.08 | ) | 0.18 | (0.26 | ) | (0.36 | ) | (0.62 | ) | 10.56 | 1.79% | 160,396 | 0.64% | 0.58% | 0.45% | 2.42% | ||||||||||||||||||||||||||||||||||||||||||
9/30/13 | 12.22 | 0.28 | (0.99 | ) | (0.71 | ) | (0.40 | ) | (0.11 | ) | �� | (0.51 | ) | 11.00 | (6.12% | ) | 115,192 | 0.77% | 0.64% | 0.44% | 2.43% | |||||||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.80 | $ | 0.22 | $ | (0.28 | ) | $ | (0.06 | ) | $ | (0.28 | ) | $ | - | $ | (0.28 | ) | $ | 10.46 | (0.51% | ) | $ | 60,155 | 1.36% | 1.33% | 0.55% | 2.07% | ||||||||||||||||||||||||||||||||
9/30/16 | 10.19 | 0.13 | 0.59 | 0.72 | (0.11 | ) | - | (0.11 | ) | 10.80 | 7.14% | 65,361 | 1.01% | 1.00% | 0.56% | 1.22% | ||||||||||||||||||||||||||||||||||||||||||||
9/30/15 | 10.56 | 0.05 | (0.18 | ) | (0.13 | ) | (0.24 | ) | - | (0.24 | ) | 10.19 | (1.22% | ) | 60,285 | 0.77% | N/A | 0.57% | 0.48% | |||||||||||||||||||||||||||||||||||||||||
9/30/14 | 10.99 | 0.24 | (0.07 | ) | 0.17 | (0.24 | ) | (0.36 | ) | (0.60 | ) | 10.56 | 1.62% | 57,910 | 0.75% | 0.69% | 0.56% | 2.30% | ||||||||||||||||||||||||||||||||||||||||||
9/30/13 | 12.22 | 0.27 | (1.00 | ) | (0.73 | ) | (0.39 | ) | (0.11 | ) | (0.50 | ) | 10.99 | (6.22% | ) | 56,344 | 0.88% | 0.75% | 0.55% | 2.29% | ||||||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.76 | $ | 0.21 | $ | (0.29 | ) | $ | (0.08 | ) | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 10.42 | (0.63% | ) | $ | 57,719 | 1.46% | 1.43% | 0.65% | 2.00% | ||||||||||||||||||||||||||||||||
9/30/16 | 10.16 | 0.10 | 0.60 | 0.70 | (0.10 | ) | - | (0.10 | ) | 10.76 | 6.96% | 71,040 | 1.11% | 1.10% | 0.66% | 0.95% | ||||||||||||||||||||||||||||||||||||||||||||
9/30/15 | 10.52 | 0.04 | (0.17 | ) | (0.13 | ) | (0.23 | ) | - | (0.23 | ) | 10.16 | (1.23% | ) | 77,147 | 0.87% | N/A | 0.67% | 0.37% | |||||||||||||||||||||||||||||||||||||||||
9/30/14 | 10.96 | 0.23 | (0.08 | ) | 0.15 | (0.23 | ) | (0.36 | ) | (0.59 | ) | 10.52 | 1.54% | 77,120 | 0.85% | 0.79% | 0.66% | 2.16% | ||||||||||||||||||||||||||||||||||||||||||
9/30/13 | 12.18 | 0.26 | (1.00 | ) | (0.74 | ) | (0.37 | ) | (0.11 | ) | (0.48 | ) | 10.96 | (6.35% | ) | 82,273 | 0.98% | 0.85% | 0.65% | 2.20% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 25 | % | 46 | % | 59 | % | 65 | % | 56 | % |
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. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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. |
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.
232
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 waivers (including interest expense)p | Ratio of Expenses to average daily net assets after expense waivers (including interest expense)j,p | Ratio of Expenses to average daily net assets after expense waivers (excluding interest expense)j | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.86 | $ | 0.20 | $ | (0.27 | ) | $ | (0.07 | ) | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 10.53 | (0.58% | ) | $ | 14,519 | 1.56% | 1.53% | 0.75% | 1.94% | ||||||||||||||||||||||||||||||||
9/30/16 | 10.26 | 0.10 | 0.59 | 0.69 | (0.09 | ) | - | (0.09 | ) | 10.86 | 6.80% | 14,408 | 1.21% | 1.20% | 0.76% | 0.96% | ||||||||||||||||||||||||||||||||||||||||||||
9/30/15 | 10.62 | 0.04 | (0.17 | ) | (0.13 | ) | (0.23 | ) | - | (0.23 | ) | 10.26 | (1.30% | ) | 11,859 | 0.97% | N/A | 0.77% | 0.36% | |||||||||||||||||||||||||||||||||||||||||
9/30/14 | 11.06 | 0.23 | (0.09 | ) | 0.14 | (0.22 | ) | (0.36 | ) | (0.58 | ) | 10.62 | 1.42% | 10,584 | 0.92% | 0.86% | 0.73% | 2.15% | ||||||||||||||||||||||||||||||||||||||||||
9/30/13 | 12.28 | 0.24 | (0.99 | ) | (0.75 | ) | (0.36 | ) | (0.11 | ) | (0.47 | ) | 11.06 | (6.46% | ) | 10,183 | 1.10% | 0.97% | 0.77% | 2.08% | ||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.60 | $ | 0.17 | $ | (0.27 | ) | $ | (0.10 | ) | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.27 | (0.92% | ) | $ | 22,180 | 1.81% | 1.78% | 1.00% | 1.67% | ||||||||||||||||||||||||||||||||
9/30/16 | 10.00 | 0.08 | 0.58 | 0.66 | (0.06 | ) | - | (0.06 | ) | 10.60 | 6.65% | 23,476 | 1.46% | 1.45% | 1.01% | 0.76% | ||||||||||||||||||||||||||||||||||||||||||||
9/30/15 | 10.36 | (0.00 | )d | (0.16 | ) | (0.16 | ) | (0.20 | ) | - | (0.20 | ) | 10.00 | (1.58% | ) | 22,320 | 1.22% | N/A | 1.02% | (0.02% | ) | |||||||||||||||||||||||||||||||||||||||
9/30/14 | 10.80 | 0.19 | (0.08 | ) | 0.11 | (0.19 | ) | (0.36 | ) | (0.55 | ) | 10.36 | 1.16% | 26,054 | 1.18% | 1.11% | 0.98% | 1.79% | ||||||||||||||||||||||||||||||||||||||||||
9/30/13 | 12.00 | 0.22 | (0.98 | ) | (0.76 | ) | (0.33 | ) | (0.11 | ) | (0.44 | ) | 10.80 | (6.62% | ) | 28,778 | 1.28% | 1.15% | 0.95% | 1.93% | ||||||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.57 | $ | 0.18 | $ | (0.28 | ) | $ | (0.10 | ) | $ | (0.25 | ) | $ | - | $ | (0.25 | ) | $ | 10.22 | (0.84% | ) | $ | 6,231 | 1.71% | 1.68% | 0.90% | 1.78% | ||||||||||||||||||||||||||||||||
9/30/16 | 10.00 | 0.12 | 0.55 | 0.67 | (0.10 | ) | - | (0.10 | ) | 10.57 | 6.77% | 5,352 | 1.36% | 1.35% | 0.91% | 1.21% | ||||||||||||||||||||||||||||||||||||||||||||
9/30/15 | 10.37 | 0.14 | (0.29 | ) | (0.15 | ) | (0.22 | ) | - | (0.22 | ) | 10.00 | (1.47% | ) | 996 | 1.12% | N/A | 0.92% | 1.42% | |||||||||||||||||||||||||||||||||||||||||
9/30/14gg | 10.22 | 0.16 | (0.01 | ) | 0.15 | - | - | - | 10.37 | 1.47% | b | 101 | 1.03% | a | N/A | 0.90% | a | 3.03% | a | |||||||||||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.57 | $ | 0.16 | $ | (0.27 | ) | $ | (0.11 | ) | $ | (0.24 | ) | $ | - | $ | (0.24 | ) | $ | 10.22 | (1.00% | ) | $ | 4,686 | 1.97% | 1.94% | 1.16% | 1.54% | ||||||||||||||||||||||||||||||||
9/30/16 | 10.01 | 0.15 | 0.48 | 0.63 | (0.07 | ) | - | (0.07 | ) | 10.57 | 6.37% | 2,792 | 1.61% | 1.60% | 1.16% | 1.46% | ||||||||||||||||||||||||||||||||||||||||||||
9/30/15 | 10.37 | (0.03 | ) | (0.15 | ) | (0.18 | ) | (0.18 | ) | - | (0.18 | ) | 10.01 | (1.76% | ) | 386 | 1.37% | N/A | 1.17% | (0.30% | ) | |||||||||||||||||||||||||||||||||||||||
9/30/14 | 10.82 | 0.17 | (0.09 | ) | 0.08 | (0.17 | ) | (0.36 | ) | (0.53 | ) | 10.37 | 0.93% | 1,593 | 1.40% | 1.33% | 1.20% | 1.66% | ||||||||||||||||||||||||||||||||||||||||||
9/30/13 | 12.04 | 0.18 | (0.97 | ) | (0.79 | ) | (0.32 | ) | (0.11 | ) | (0.43 | ) | 10.82 | (6.84% | ) | 1,404 | 1.59% | 1.46% | 1.26% | 1.59% |
233
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.26 | $ | 0.29 | $ | (0.15 | ) | $ | 0.14 | $ | (0.36 | ) | $ | - | $ | (0.36 | ) | $ | 11.04 | 1.41% | $ | 546,975 | 0.42% | N/A | 2.70% | |||||||||||||||||||||||||||
9/30/16 | 11.27 | 0.29 | 0.19 | 0.48 | (0.34 | ) | (0.15 | ) | (0.49 | ) | 11.26 | 4.54% | 501,737 | 0.42% | N/A | 2.59% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 11.27 | 0.29 | 0.25 | 0.54 | (0.38 | ) | - | (0.38 | ) | 11.43 | 4.92% | 620,248 | 0.49% | 0.40% | 2.59% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.29 | $ | 0.28 | $ | (0.15 | ) | $ | 0.13 | $ | (0.35 | ) | $ | - | $ | (0.35 | ) | $ | 11.07 | 1.30% | $ | 358,319 | 0.52% | N/A | 2.58% | |||||||||||||||||||||||||||
9/30/16 | 11.30 | 0.28 | 0.19 | 0.47 | (0.33 | ) | (0.15 | ) | (0.48 | ) | 11.29 | 4.40% | 408,472 | 0.52% | N/A | 2.49% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 11.27 | 0.27 | 0.26 | 0.53 | (0.35 | ) | - | (0.35 | ) | 11.45 | 4.72% | 511,202 | 0.64% | 0.55% | 2.43% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.22 | $ | 0.27 | $ | (0.15 | ) | $ | 0.12 | $ | (0.33 | ) | $ | - | $ | (0.33 | ) | $ | 11.01 | 1.24% | $ | 100,903 | 0.62% | N/A | 2.51% | |||||||||||||||||||||||||||
9/30/16 | 11.23 | 0.26 | 0.20 | 0.46 | (0.32 | ) | (0.15 | ) | �� | (0.47 | ) | 11.22 | 4.34% | 91,885 | 0.62% | N/A | 2.40% | |||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 11.22 | 0.27 | 0.24 | 0.51 | (0.35 | ) | - | (0.35 | ) | 11.38 | 4.65% | 166,094 | 0.71% | 0.63% | 2.36% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 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% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 213 | % | 330 | % | 361 | % | 361 | % | 452 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
234
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.14 | $ | 0.26 | $ | (0.15 | ) | $ | 0.11 | $ | (0.33 | ) | $ | - | $ | (0.33 | ) | $ | 10.92 | 1.11% | $ | 71,425 | 0.72% | N/A | 2.38% | |||||||||||||||||||||||||||
9/30/16 | 11.16 | 0.25 | 0.19 | 0.44 | (0.31 | ) | (0.15 | ) | (0.46 | ) | 11.14 | 4.19% | 85,249 | 0.72% | N/A | 2.29% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 11.16 | 0.25 | 0.25 | 0.50 | (0.34 | ) | - | (0.34 | ) | 11.32 | 4.60% | 70,975 | 0.81% | 0.71% | 2.27% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.03 | $ | 0.23 | $ | (0.15 | ) | $ | 0.08 | $ | (0.29 | ) | $ | - | $ | (0.29 | ) | $ | 10.82 | 0.87% | $ | 114,317 | 0.97% | N/A | 2.13% | |||||||||||||||||||||||||||
9/30/16 | 11.04 | 0.22 | 0.20 | 0.42 | (0.28 | ) | (0.15 | ) | (0.43 | ) | 11.03 | 4.01% | 150,014 | 0.97% | N/A | 2.04% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 11.04 | 0.22 | 0.25 | 0.47 | (0.31 | ) | - | (0.31 | ) | 11.20 | 4.25% | 174,618 | 1.05% | 0.96% | 2.02% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.00 | $ | 0.24 | $ | (0.14 | ) | $ | 0.10 | $ | (0.32 | ) | $ | - | $ | (0.32 | ) | $ | 10.78 | 1.03% | $ | 14,811 | 0.87% | N/A | 2.23% | |||||||||||||||||||||||||||
9/30/16 | 11.03 | 0.23 | 0.19 | 0.42 | (0.30 | ) | (0.15 | ) | (0.45 | ) | 11.00 | 4.09% | 14,906 | 0.87% | N/A | 2.14% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14gg | 10.95 | 0.12 | 0.13 | 0.25 | - | - | - | 11.20 | 2.28% | b | 102 | 0.86% | a | N/A | 2.08% | a | ||||||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.25 | $ | 0.22 | $ | (0.16 | ) | $ | 0.06 | $ | (0.29 | ) | $ | - | $ | (0.29 | ) | $ | 11.02 | 0.64% | $ | 828 | 1.12% | N/A | 1.99% | |||||||||||||||||||||||||||
9/30/16 | 11.25 | 0.21 | 0.20 | 0.41 | (0.26 | ) | (0.15 | ) | (0.41 | ) | 11.25 | 3.89% | 783 | 1.12% | N/A | 1.89% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 11.40 | 0.22 | (0.10 | ) | 0.12 | (0.22 | ) | (0.05 | ) | (0.27 | ) | 11.25 | 1.02% | 625 | 1.12% | N/A | 1.90% | |||||||||||||||||||||||||||||||||||
9/30/14 | 11.20 | 0.20 | 0.24 | 0.44 | (0.24 | ) | - | (0.24 | ) | 11.40 | 4.02% | 1,231 | 1.29% | 1.20% | 1.78% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 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% |
235
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.01 | $ | 0.31 | $ | (0.09 | ) | $ | 0.22 | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 10.97 | 2.16% | $ | 27,548 | 0.51% | 0.51% | n | 2.87% | ||||||||||||||||||||||||||
9/30/16 | 10.73 | 0.28 | 0.31 | 0.59 | (0.26 | ) | (0.05 | ) | (0.31 | ) | 11.01 | 5.71% | 20,147 | 0.53% | 0.52% | 2.60% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | ||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.22 | $ | 0.28 | $ | (0.09 | ) | $ | 0.19 | $ | (0.25 | ) | $ | - | $ | (0.25 | ) | $ | 10.16 | 2.02% | $ | 88,740 | 0.61% | 0.61% | n | 2.76% | ||||||||||||||||||||||||||
9/30/16 | 9.98 | 0.25 | 0.29 | 0.54 | (0.25 | ) | (0.05 | ) | (0.30 | ) | 10.22 | 5.63% | 77,693 | 0.63% | 0.62% | 2.50% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.34 | $ | 0.27 | $ | (0.09 | ) | $ | 0.18 | $ | (0.24 | ) | $ | - | $ | (0.24 | ) | $ | 10.28 | 1.89% | $ | 16,047 | 0.71% | 0.71% | n | 2.65% | ||||||||||||||||||||||||||
9/30/16 | 10.09 | 0.24 | 0.30 | 0.54 | (0.24 | ) | (0.05 | ) | (0.29 | ) | 10.34 | 5.53% | 16,990 | 0.73% | 0.72% | 2.39% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 207 | % | 314 | % | 362 | % | 382 | % | 438 | % |
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. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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 | Expenses incurred during the period fell under the expense cap. |
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
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.31 | $ | 0.26 | $ | (0.09 | ) | $ | 0.17 | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.25 | 1.78% | $ | 26,601 | 0.81% | 0.81% | n | 2.54% | ||||||||||||||||||||||||||
9/30/16 | 10.07 | 0.23 | 0.29 | 0.52 | (0.23 | ) | (0.05 | ) | (0.28 | ) | 10.31 | 5.38% | 34,731 | 0.83% | 0.82% | 2.29% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | |||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.28 | $ | 0.23 | $ | (0.07 | ) | $ | 0.16 | $ | (0.21 | ) | $ | - | $ | (0.21 | ) | $ | 10.23 | 1.63% | $ | 34,137 | 1.06% | 1.06% | n | 2.30% | ||||||||||||||||||||||||||
9/30/16 | 10.04 | 0.20 | 0.29 | 0.49 | (0.20 | ) | (0.05 | ) | (0.25 | ) | 10.28 | 5.06% | 37,243 | 1.08% | 1.07% | 2.04% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 10.61 | 0.25 | (0.25 | ) | - | (0.37 | ) | (0.30 | ) | (0.67 | ) | 9.94 | (0.05% | ) | 32,005 | 1.22% | 1.05% | 2.47% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.22 | $ | 0.24 | $ | (0.07 | ) | $ | 0.17 | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.16 | 1.77% | $ | 5,032 | 0.96% | 0.96% | n | 2.41% | ||||||||||||||||||||||||||
9/30/16 | 10.01 | 0.21 | 0.29 | 0.50 | (0.24 | ) | (0.05 | ) | (0.29 | ) | 10.22 | 5.18% | 3,765 | 0.98% | 0.97% | 2.15% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14gg | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.19 | $ | 0.22 | $ | (0.09 | ) | $ | 0.13 | $ | (0.22 | ) | $ | - | $ | (0.22 | ) | $ | 10.10 | 1.41% | $ | 3,869 | 1.21% | 1.21% | n | 2.18% | ||||||||||||||||||||||||||
9/30/16 | 9.99 | 0.19 | 0.29 | 0.48 | (0.23 | ) | (0.05 | ) | (0.28 | ) | 10.19 | 4.94% | 2,592 | 1.23% | a | 1.22% | 1.95% | |||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14gg | 9.93 | 0.09 | 0.14 | 0.23 | - | - | - | 10.16 | 2.32% | b | 102 | 1.25% | a | 1.22% | a | 1.87% | a |
237
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 9.29 | $ | 0.62 | $ | 0.28 | $ | 0.90 | $ | (0.57 | ) | $ | - | $ | (0.57 | ) | $ | 9.62 | 10.22% | $ | 242,645 | 0.54% | 0.54%n | 6.63% | ||||||||||||||||||||||||||||
9/30/16 | 8.98 | 0.62 | 0.28 | 0.90 | (0.59 | ) | - | (0.59 | ) | 9.29 | 10.86% | 220,759 | 0.57% | 0.55% | 7.05% | |||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 9.78 | 0.70 | 0.30 | 1.00 | (0.71 | ) | - | (0.71 | ) | 10.07 | 10.75% | 99,457 | 0.60% | 0.50% | 7.09% | |||||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 9.33 | $ | 0.61 | $ | 0.28 | $ | 0.89 | $ | (0.56 | ) | $ | - | $ | (0.56 | ) | $ | 9.66 | 10.08% | $ | 55,628 | 0.64% | 0.64%n | 6.54% | ||||||||||||||||||||||||||||
9/30/16 | 9.02 | 0.61 | 0.28 | 0.89 | (0.58 | ) | - | (0.58 | ) | 9.33 | 10.68% | 45,867 | 0.67% | 0.65% | 6.93% | |||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 9.80 | 0.68 | 0.30 | 0.98 | (0.69 | ) | - | (0.69 | ) | 10.09 | 10.51% | 31,341 | 0.80% | 0.70% | 6.86% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 9.33 | $ | 0.60 | $ | 0.28 | $ | 0.88 | $ | (0.55 | ) | $ | - | $ | (0.55 | ) | $ | 9.66 | 9.93% | $ | 49,581 | 0.74% | 0.74%n | 6.45% | ||||||||||||||||||||||||||||
9/30/16 | 9.01 | 0.60 | 0.29 | 0.89 | (0.57 | ) | - | (0.57 | ) | 9.33 | 10.70% | 59,787 | 0.77% | 0.75% | 6.83% | |||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 9.80 | 0.67 | 0.31 | 0.98 | (0.69 | ) | - | (0.69 | ) | 10.09 | 10.56% | 58,569 | 0.85% | 0.75% | 6.82% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 70 | % | 50 | % | 76 | % | 80 | % | 106 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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 | Expenses incurred during the period fell under the expense cap. |
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
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 9.20 | $ | 0.58 | $ | 0.28 | $ | 0.86 | $ | (0.55 | ) | $ | - | $ | (0.55 | ) | $ | 9.51 | 9.79% | $ | 32,889 | 0.84% | 0.84%n | 6.34% | ||||||||||||||||||||||||||||
9/30/16 | 8.89 | 0.58 | 0.29 | 0.87 | (0.56 | ) | - | (0.56 | ) | 9.20 | 10.63% | 28,948 | 0.87% | 0.85% | 6.74% | |||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 9.72 | 0.65 | 0.31 | 0.96 | (0.69 | ) | - | (0.69 | ) | 9.99 | 10.40% | 14,288 | 1.00% | 0.90% | 6.66% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 9.17 | $ | 0.56 | $ | 0.28 | $ | 0.84 | $ | (0.52 | ) | $ | - | $ | (0.52 | ) | $ | 9.49 | 9.63% | $ | 29,357 | 1.09% | 1.09%n | 6.09% | ||||||||||||||||||||||||||||
9/30/16 | 8.86 | 0.56 | 0.29 | 0.85 | (0.54 | ) | - | (0.54 | ) | 9.17 | 10.31% | 29,055 | 1.12% | 1.10% | 6.49% | |||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 9.66 | 0.63 | 0.29 | 0.92 | (0.64 | ) | - | (0.64 | ) | 9.94 | 10.09% | 31,490 | 1.25% | 1.15% | 6.43% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 9.11 | $ | 0.56 | $ | 0.28 | $ | 0.84 | $ | (0.55 | ) | $ | - | $ | (0.55 | ) | $ | 9.40 | 9.66% | $ | 30,611 | 0.99% | 0.99%n | 6.18% | ||||||||||||||||||||||||||||
9/30/16 | 8.84 | 0.57 | 0.28 | 0.85 | (0.58 | ) | - | (0.58 | ) | 9.11 | 10.44% | 18,428 | 1.02% | 1.00% | 6.66% | |||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14gg | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 9.29 | $ | 0.55 | $ | 0.29 | $ | 0.84 | $ | (0.53 | ) | $ | - | $ | (0.53 | ) | $ | 9.60 | 9.43% | $ | 36,626 | 1.24% | 1.24%n | 5.93% | ||||||||||||||||||||||||||||
9/30/16 | 9.01 | 0.56 | 0.28 | 0.84 | (0.56 | ) | - | (0.56 | ) | 9.29 | 10.12% | 13,928 | 1.27% | 1.25% | 6.38% | |||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 9.78 | 0.60 | 0.31 | 0.91 | (0.62 | ) | - | (0.62 | ) | 10.07 | 9.69% | 727 | 1.55% | 1.45% | 6.10% |
239
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.32 | $ | 0.21 | $1.28 | $1.49 | $ | (0.22 | ) | $ | (0.06 | ) | $ | (0.28 | ) | $ | 12.53 | 13.39% | $8,270 | 0.68% | 0.60% | 1.76% | ||||||||||||||||||||||||||||||
9/30/16 | 11.48 | 0.22 | 0.84 | 1.06 | (0.29 | ) | (0.93 | ) | (1.22 | ) | 11.32 | 9.96% | 967 | 0.68% | 0.60% | 1.98% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14gg | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.32 | $ | 0.20 | $1.28 | $1.48 | $ | (0.21 | ) | $ | (0.06 | ) | $ | (0.27 | ) | $ | 12.53 | 13.27% | $49,381 | 0.78% | 0.70% | 1.66% | ||||||||||||||||||||||||||||||
9/30/16 | 11.48 | 0.21 | 0.84 | 1.05 | (0.28 | ) | (0.93 | ) | (1.21 | ) | 11.32 | 9.82% | 53,727 | 0.78% | 0.70% | 1.87% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | |||||||||||||||||||||||||||||||||||
9/30/13 | 11.34 | 0.21 | 1.04 | 1.25 | (0.21 | ) | - | (0.21 | ) | 12.38 | 11.17% | 106,661 | 0.64% | 0.63% | 1.78% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.83 | $ | 0.19 | $1.34 | $1.53 | $ | (0.19 | ) | $ | (0.06 | ) | $ | (0.25 | ) | $ | 13.11 | 13.11% | $6,978 | 0.88% | 0.80% | 1.54% | ||||||||||||||||||||||||||||||
9/30/16 | 11.94 | 0.20 | 0.89 | 1.09 | (0.27 | ) | (0.93 | ) | (1.20 | ) | 11.83 | 9.76% | 14,130 | 0.88% | 0.80% | 1.87% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | |||||||||||||||||||||||||||||||||||
9/30/13 | 11.73 | 0.20 | 1.06 | 1.26 | (0.19 | ) | - | (0.19 | ) | 12.80 | 10.92% | 9,370 | 0.80% | 0.79% | 1.63% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 108 | % | 176 | % | 204 | % | 192 | % | 242 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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.
240
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.35 | $ | 0.17 | $1.28 | $1.45 | $ | (0.19 | ) | $ | (0.06 | ) | $ | (0.25 | ) | $ | 12.55 | 13.01% | $9,413 | 0.98% | 0.90% | 1.46% | ||||||||||||||||||||||||||||||
9/30/16 | 11.51 | 0.19 | 0.84 | 1.03 | (0.26 | ) | (0.93 | ) | (1.19 | ) | 11.35 | 9.59% | 9,751 | 0.98% | 0.90% | 1.68% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 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% | |||||||||||||||||||||||||||||||||||
9/30/13 | 11.38 | 0.17 | 1.04 | 1.21 | (0.18 | ) | - | (0.18 | ) | 12.41 | 10.69% | 3,603 | 0.95% | 0.94% | 1.47% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.05 | $ | 0.14 | $1.25 | $1.39 | $ | (0.16 | ) | $ | (0.06 | ) | $ | (0.22 | ) | $ | 12.22 | 12.78% | $32,637 | 1.23% | 1.15% | 1.21% | ||||||||||||||||||||||||||||||
9/30/16 | 11.22 | 0.15 | 0.83 | 0.98 | (0.22 | ) | (0.93 | ) | (1.15 | ) | 11.05 | 9.38% | 30,781 | 1.23% | 1.15% | 1.42% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 11.15 | 0.14 | 1.01 | 1.15 | (0.16 | ) | - | (0.16 | ) | 12.14 | 10.50% | 38,017 | 1.20% | 1.19% | 1.23% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.99 | $ | 0.15 | $1.24 | $1.39 | $ | (0.17 | ) | $ | (0.06 | ) | $ | (0.23 | ) | $ | 12.15 | 12.88% | $2,822 | 1.13% | 1.05% | 1.32% | ||||||||||||||||||||||||||||||
9/30/16 | 11.20 | 0.16 | 0.83 | 0.99 | (0.27 | ) | (0.93 | ) | (1.20 | ) | 10.99 | 9.51% | 2,373 | 1.13% | 1.05% | 1.54% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14gg | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.95 | $ | 0.12 | $1.24 | $1.36 | $ | (0.16 | ) | $ | (0.06 | ) | $ | (0.22 | ) | $ | 12.09 | 12.58% | $7,251 | 1.38% | 1.30% | 1.08% | ||||||||||||||||||||||||||||||
9/30/16 | 11.18 | 0.14 | 0.82 | 0.96 | (0.26 | ) | (0.93 | ) | (1.19 | ) | 10.95 | 9.29% | 5,002 | 1.38% | 1.30% | 1.31% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14gg | 12.28 | 0.07 | 0.37 | 0.44 | - | - | - | 12.72 | 3.58% | b | 104 | 1.31%a | 1.30% | a | 1.13% | a |
241
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 21.71 | $ | 0.41 | $ | 3.38 | $ | 3.79 | $ | (0.39 | ) | $ | (0.39 | ) | $ | 25.11 | 17.65% | $ | 128 | 0.85% | 0.60% | 1.74% | ||||||||||||||||||||||||||
9/30/16 | 19.91 | 0.33 | 1.81 | 2.14 | (0.34 | ) | (0.34 | ) | 21.71 | 10.87% | 110 | 0.82% | 0.60% | 1.60% | ||||||||||||||||||||||||||||||||||
9/30/15 | 20.95 | 0.32 | (0.95 | ) | (0.63 | ) | (0.41 | ) | (0.41 | ) | 19.91 | (3.10% | ) | 101 | 0.73% | 0.60% | 1.50% | |||||||||||||||||||||||||||||||
9/30/14gg | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 21.70 | $ | 0.40 | $ | 3.37 | $ | 3.77 | $ | (0.37 | ) | $ | (0.37 | ) | $ | 25.10 | 17.55% | $ | 32,160 | 0.95% | 0.70% | 1.71% | ||||||||||||||||||||||||||
9/30/16 | 19.90 | 0.31 | 1.81 | 2.12 | (0.32 | ) | (0.32 | ) | 21.70 | 10.74% | 46,856 | 0.92% | 0.70% | 1.49% | ||||||||||||||||||||||||||||||||||
9/30/15 | 20.93 | 0.29 | (0.93 | ) | (0.64 | ) | (0.39 | ) | (0.39 | ) | 19.90 | (3.16% | ) | 46,467 | 0.83% | 0.70% | 1.38% | |||||||||||||||||||||||||||||||
9/30/14 | 18.37 | 0.32 | 2.56 | 2.88 | (0.32 | ) | (0.32 | ) | 20.93 | 15.85% | 64,896 | 0.67% | 0.66% | 1.64% | ||||||||||||||||||||||||||||||||||
9/30/13 | 15.23 | 0.28 | 3.12 | 3.40 | (0.26 | ) | (0.26 | ) | 18.37 | 22.56% | 99,626 | 0.62% | N/A | 1.69% | ||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 21.77 | $ | 0.37 | $ | 3.39 | $ | 3.76 | $ | (0.35 | ) | $ | (0.35 | ) | $ | 25.18 | 17.44% | $ | 159 | 1.05% | 0.80% | 1.57% | ||||||||||||||||||||||||||
9/30/16 | 19.97 | 0.29 | 1.81 | 2.10 | (0.30 | ) | (0.30 | ) | 21.77 | 10.61% | 144 | 1.02% | 0.80% | 1.41% | ||||||||||||||||||||||||||||||||||
9/30/15 | 21.01 | 0.28 | (0.95 | ) | (0.67 | ) | (0.37 | ) | (0.37 | ) | 19.97 | (3.28% | ) | 109 | 0.93% | 0.80% | 1.30% | |||||||||||||||||||||||||||||||
9/30/14 | 18.43 | 0.31 | 2.57 | 2.88 | (0.30 | ) | (0.30 | ) | 21.01 | 15.81% | 132 | 0.78% | 0.76% | 1.52% | ||||||||||||||||||||||||||||||||||
9/30/13 | 15.29 | 0.26 | 3.12 | 3.38 | (0.24 | ) | (0.24 | ) | 18.43 | 22.42% | 110 | 0.72% | N/A | 1.59% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 58 | % | 62 | % | 54 | % | 43 | % | 150 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 21.75 | $ | 0.34 | $ | 3.39 | $ | 3.73 | $ | (0.33 | ) | $ | (0.33 | ) | $ | 25.15 | 17.29% | $ | 12,935 | 1.15% | 0.90% | 1.43% | ||||||||||||||||||||||||||
9/30/16 | 19.94 | 0.27 | 1.81 | 2.08 | (0.27 | ) | (0.27 | ) | 21.75 | 10.53% | 11,708 | 1.12% | 0.90% | 1.29% | ||||||||||||||||||||||||||||||||||
9/30/15 | 20.98 | 0.26 | (0.96 | ) | (0.70 | ) | (0.34 | ) | (0.34 | ) | 19.94 | (3.40% | ) | 11,984 | 1.03% | 0.90% | 1.20% | |||||||||||||||||||||||||||||||
9/30/14 | 18.40 | 0.28 | 2.58 | 2.86 | (0.28 | ) | (0.28 | ) | 20.98 | 15.65% | 14,077 | 0.88% | 0.87% | 1.40% | ||||||||||||||||||||||||||||||||||
9/30/13 | 15.25 | 0.25 | 3.12 | 3.37 | (0.22 | ) | (0.22 | ) | 18.40 | 22.32% | 15,628 | 0.83% | N/A | 1.48% | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 21.72 | $ | 0.28 | $ | 3.39 | $ | 3.67 | $ | (0.27 | ) | $ | (0.27 | ) | $ | 25.12 | 17.02% | $ | 5,343 | 1.40% | 1.15% | 1.20% | ||||||||||||||||||||||||||
9/30/16 | 19.91 | 0.21 | 1.81 | 2.02 | (0.21 | ) | (0.21 | ) | 21.72 | 10.23% | 5,918 | 1.37% | 1.15% | 1.04% | ||||||||||||||||||||||||||||||||||
9/30/15 | 20.94 | 0.20 | (0.94 | ) | (0.74 | ) | (0.29 | ) | (0.29 | ) | 19.91 | (3.59% | ) | 6,605 | 1.28% | 1.15% | 0.95% | |||||||||||||||||||||||||||||||
9/30/14 | 18.35 | 0.23 | 2.57 | 2.80 | (0.21 | ) | (0.21 | ) | 20.94 | 15.35% | 7,513 | 1.15% | 1.14% | 1.13% | ||||||||||||||||||||||||||||||||||
9/30/13 | 15.22 | 0.20 | 3.11 | 3.31 | (0.18 | ) | (0.18 | ) | 18.35 | 21.94% | 8,304 | 1.12% | N/A | 1.19% | ||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 21.70 | $ | 0.30 | $ | 3.38 | $ | 3.68 | $ | (0.30 | ) | $ | (0.30 | ) | $ | 25.08 | 17.09% | $ | 127 | 1.30% | 1.05% | 1.29% | ||||||||||||||||||||||||||
9/30/16 | 19.89 | 0.23 | 1.82 | 2.05 | (0.24 | ) | (0.24 | ) | 21.70 | 10.41% | 110 | 1.27% | 1.05% | 1.15% | ||||||||||||||||||||||||||||||||||
9/30/15 | 20.95 | 0.23 | (0.95 | ) | (0.72 | ) | (0.34 | ) | (0.34 | ) | 19.89 | (3.57% | ) | 101 | 1.18% | 1.05% | 1.06% | |||||||||||||||||||||||||||||||
9/30/14gg | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 21.59 | $ | 0.24 | $ | 3.36 | $ | 3.60 | $ | (0.25 | ) | $ | (0.25 | ) | $ | 24.94 | 16.78% | $ | 129 | 1.55% | 1.30% | 1.04% | ||||||||||||||||||||||||||
9/30/16 | 19.79 | 0.18 | 1.81 | 1.99 | (0.19 | ) | (0.19 | ) | 21.59 | 10.12% | 107 | 1.53% | 1.30% | 0.90% | ||||||||||||||||||||||||||||||||||
9/30/15 | 20.82 | 0.17 | (0.94 | ) | (0.77 | ) | (0.26 | ) | (0.26 | ) | 19.79 | (3.77% | ) | 96 | 1.43% | 1.30% | 0.81% | |||||||||||||||||||||||||||||||
9/30/14 | 18.26 | 0.18 | 2.56 | 2.74 | (0.18 | ) | (0.18 | ) | 20.82 | 15.09% | 101 | 1.38% | 1.37% | 0.91% | ||||||||||||||||||||||||||||||||||
9/30/13 | 15.15 | 0.15 | 3.10 | 3.25 | (0.14 | ) | (0.14 | ) | 18.26 | 21.54% | 88 | 1.43% | N/A | 0.87% |
243
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 | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 16.05 | $ | 0.31 | $ | 2.40 | $ | 2.71 | $ | (0.53 | ) | $ | (0.56 | ) | $ | (1.09 | ) | $ | 17.67 | 17.36% | $ | 79,531 | 0.57% | N/A | 1.87% | |||||||||||||||||||||||||||
9/30/16 | 14.75 | 0.35 | 1.56 | 1.91 | (0.32 | ) | (0.29 | ) | (0.61 | ) | 16.05 | 13.26% | 73,202 | 0.53% | N/A | 2.29% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 15.75 | 0.29 | (1.00 | ) | (0.71 | ) | (0.29 | ) | - | (0.29 | ) | 14.75 | (4.64% | ) | 163,640 | 0.53% | N/A | 1.84% | ||||||||||||||||||||||||||||||||||
9/30/14gg | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 16.06 | $ | 0.30 | $ | 2.40 | $ | 2.70 | $ | (0.51 | ) | $ | (0.56 | ) | $ | (1.07 | ) | $ | 17.69 | 17.31% | $ | 46,583 | 0.67% | N/A | 1.78% | |||||||||||||||||||||||||||
9/30/16 | 14.76 | 0.34 | 1.55 | 1.89 | (0.30 | ) | (0.29 | ) | (0.59 | ) | 16.06 | 13.11% | 46,644 | 0.63% | N/A | 2.22% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 15.76 | 0.28 | (1.01 | ) | (0.73 | ) | (0.27 | ) | - | (0.27 | ) | 14.76 | (4.74% | ) | 46,754 | 0.63% | N/A | 1.73% | ||||||||||||||||||||||||||||||||||
9/30/14 | 13.55 | 0.27 | 2.20 | 2.47 | (0.26 | ) | - | (0.26 | ) | 15.76 | 18.30% | 71,929 | 0.57% | N/A | 1.81% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 11.29 | 0.26 | 2.26 | 2.52 | (0.26 | ) | - | (0.26 | ) | 13.55 | 22.88% | 236,830 | 0.56% | 0.53% | 2.08% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 15.95 | $ | 0.28 | $ | 2.39 | $ | 2.67 | $ | (0.49 | ) | $ | (0.56 | ) | $ | (1.05 | ) | $ | 17.57 | 17.19% | $ | 49,413 | 0.77% | N/A | 1.65% | |||||||||||||||||||||||||||
9/30/16 | 14.66 | 0.32 | 1.55 | 1.87 | (0.29 | ) | (0.29 | ) | (0.58 | ) | 15.95 | 13.03% | 64,634 | 0.73% | N/A | 2.12% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 15.66 | 0.26 | (1.00 | ) | (0.74 | ) | (0.26 | ) | - | (0.26 | ) | 14.66 | (4.84% | ) | 65,799 | 0.73% | N/A | 1.65% | ||||||||||||||||||||||||||||||||||
9/30/14 | 13.48 | 0.25 | 2.17 | 2.42 | (0.24 | ) | - | (0.24 | ) | 15.66 | 18.15% | 68,003 | 0.68% | N/A | 1.66% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 11.22 | 0.25 | 2.26 | 2.51 | (0.25 | ) | - | (0.25 | ) | 13.48 | 22.82% | 69,162 | 0.65% | 0.62% | 2.01% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 102 | % | 109 | % | 113 | % | 92 | % | 145 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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.
244
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 16.21 | $ | 0.27 | $ | 2.41 | $ | 2.68 | $ | (0.47 | ) | $ | (0.56 | ) | $ | (1.03 | ) | $ | 17.86 | 17.01% | $ | 5,970 | 0.87% | N/A | 1.57% | |||||||||||||||||||||||||||
9/30/16 | 14.88 | 0.31 | 1.58 | 1.89 | (0.27 | ) | (0.29 | ) | (0.56 | ) | 16.21 | 12.97% | 5,801 | 0.83% | N/A | 2.00% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 15.90 | 0.25 | (1.02 | ) | (0.77 | ) | (0.25 | ) | - | (0.25 | ) | 14.88 | (4.97% | ) | 7,460 | 0.83% | N/A | 1.55% | ||||||||||||||||||||||||||||||||||
9/30/14 | 13.68 | 0.23 | 2.23 | 2.46 | (0.24 | ) | - | (0.24 | ) | 15.90 | 18.02% | 7,047 | 0.80% | N/A | 1.54% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 11.40 | 0.23 | 2.29 | 2.52 | (0.24 | ) | - | (0.24 | ) | 13.68 | 22.60% | 4,459 | 0.79% | 0.76% | 1.82% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 15.82 | $ | 0.22 | $ | 2.36 | $ | 2.58 | $ | (0.45 | ) | $ | (0.56 | ) | $ | (1.01 | ) | $ | 17.39 | 16.74% | $ | 9,120 | 1.12% | N/A | 1.32% | |||||||||||||||||||||||||||
9/30/16 | 14.53 | 0.27 | 1.53 | 1.80 | (0.22 | ) | (0.29 | ) | (0.51 | ) | 15.82 | 12.65% | 10,415 | 1.08% | N/A | 1.78% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 15.51 | 0.20 | (0.98 | ) | (0.78 | ) | (0.20 | ) | - | (0.20 | ) | 14.53 | (5.13% | ) | 8,081 | 1.08% | N/A | 1.30% | ||||||||||||||||||||||||||||||||||
9/30/14 | 13.36 | 0.19 | 2.15 | 2.34 | (0.19 | ) | - | (0.19 | ) | 15.51 | 17.67% | 10,718 | 1.05% | N/A | 1.29% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 11.13 | 0.20 | 2.24 | 2.44 | (0.21 | ) | - | (0.21 | ) | 13.36 | 22.26% | 11,844 | 1.04% | 1.01% | 1.60% | |||||||||||||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 15.77 | $ | 0.24 | $ | 2.36 | $ | 2.60 | $ | (0.49 | ) | $ | (0.56 | ) | $ | (1.05 | ) | $ | 17.32 | 16.94% | $ | 10,139 | 1.02% | N/A | 1.43% | |||||||||||||||||||||||||||
9/30/16 | 14.51 | 0.28 | 1.53 | 1.81 | (0.26 | ) | (0.29 | ) | (0.55 | ) | 15.77 | 12.75% | 4,127 | 0.98% | N/A | 1.90% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 15.52 | 0.21 | (0.98 | ) | (0.77 | ) | (0.24 | ) | - | (0.24 | ) | 14.51 | (5.10% | ) | 2,524 | 0.98% | N/A | 1.34% | ||||||||||||||||||||||||||||||||||
9/30/14gg | 14.96 | 0.10 | 0.46 | 0.56 | - | - | - | 15.52 | 3.74% | b | 104 | 0.95% | a | N/A | 1.32% | a | ||||||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 15.92 | $ | 0.20 | $ | 2.38 | $ | 2.58 | $ | (0.38 | ) | $ | (0.56 | ) | $ | (0.94 | ) | $ | 17.56 | 16.62% | $ | 3,820 | 1.27% | N/A | 1.18% | |||||||||||||||||||||||||||
9/30/16 | 14.62 | 0.25 | 1.54 | 1.79 | (0.20 | ) | (0.29 | ) | (0.49 | ) | 15.92 | 12.49% | 648 | 1.23% | N/A | 1.66% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 15.61 | 0.19 | (1.00 | ) | (0.81 | ) | (0.18 | ) | - | (0.18 | ) | 14.62 | (5.29% | ) | 185 | 1.23% | N/A | 1.19% | ||||||||||||||||||||||||||||||||||
9/30/14 | 13.43 | 0.16 | 2.17 | 2.33 | (0.15 | ) | - | (0.15 | ) | 15.61 | 17.48% | 174 | 1.27% | N/A | 1.06% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 11.19 | 0.16 | 2.26 | 2.42 | (0.18 | ) | - | (0.18 | ) | 13.43 | 21.92% | 153 | 1.34% | 1.31% | 1.30% |
245
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.42 | $ | 0.16 | $ | 1.81 | $ | 1.97 | $ | (0.15 | ) | $ | (0.30 | ) | $ | (0.45 | ) | $ | 11.94 | 19.50% | $ | 8,516 | 0.71% | N/A | 1.40% | |||||||||||||||||||||||||||
9/30/16 | 13.75 | 0.18 | 1.43 | 1.61 | (0.22 | ) | (4.72 | ) | (4.94 | ) | 10.42 | 14.34% | 739 | 0.72% | N/A | 1.68% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14gg | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.41 | $ | 0.15 | $ | 1.81 | $ | 1.96 | $ | (0.14 | ) | $ | (0.30 | ) | $ | (0.44 | ) | $ | 11.93 | 19.40% | $ | 78,580 | 0.81% | N/A | 1.36% | |||||||||||||||||||||||||||
9/30/16 | 13.73 | 0.13 | 1.48 | 1.61 | (0.21 | ) | (4.72 | ) | (4.93 | ) | 10.41 | 14.28% | 73,380 | 0.82% | N/A | 1.27% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 12.10 | 0.12 | 2.11 | 2.23 | (0.11 | ) | - | (0.11 | ) | 14.22 | 18.54% | 97,358 | 0.76% | 0.72% | 0.89% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 10.32 | 0.13 | 1.78 | 1.91 | (0.13 | ) | - | (0.13 | ) | 12.10 | 18.65% | 131,115 | 0.80% | 0.71% | 1.16% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.71 | $ | 0.15 | $ | 1.85 | $ | 2.00 | $ | (0.11 | ) | $ | (0.30 | ) | $ | (0.41 | ) | $ | 12.30 | 19.21% | $ | 1,133 | 0.91% | N/A | 1.28% | |||||||||||||||||||||||||||
9/30/16 | 13.91 | 0.12 | 1.51 | 1.63 | (0.11 | ) | (4.72 | ) | (4.83 | ) | 10.71 | 14.21% | 1,979 | 0.92% | N/A | 0.98% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 12.26 | 0.11 | 2.14 | 2.25 | (0.11 | ) | - | (0.11 | ) | 14.40 | 18.40% | 6,742 | 0.84% | 0.79% | 0.82% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 10.46 | 0.12 | 1.81 | 1.93 | (0.13 | ) | - | (0.13 | ) | 12.26 | 18.71% | 5,267 | 0.85% | 0.76% | 1.11% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 35 | % | 38 | % | 54 | % | 53 | % | 43 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
246
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.40 | $ | 0.13 | $ | 1.80 | $ | 1.93 | $ | (0.12 | ) | $ | (0.30 | ) | $ | (0.42 | ) | $ | 11.91 | 19.07% | $ | 30,996 | 1.01% | N/A | 1.17% | |||||||||||||||||||||||||||
9/30/16 | 13.71 | 0.11 | 1.48 | 1.59 | (0.18 | ) | (4.72 | ) | (4.90 | ) | 10.40 | 14.11% | 29,371 | 1.02% | N/A | 1.05% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 12.08 | 0.09 | 2.11 | 2.20 | (0.09 | ) | - | (0.09 | ) | 14.19 | 18.26% | 35,299 | 0.96% | 0.92% | 0.69% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 10.30 | 0.11 | 1.78 | 1.89 | (0.11 | ) | - | (0.11 | ) | 12.08 | 18.52% | 33,164 | 1.00% | 0.91% | 0.97% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.26 | $ | 0.10 | $ | 1.79 | $ | 1.89 | $ | (0.10 | ) | $ | (0.30 | ) | $ | (0.40 | ) | $ | 11.75 | 18.88% | $ | 13,096 | 1.26% | N/A | 0.90% | |||||||||||||||||||||||||||
9/30/16 | 13.58 | 0.09 | 1.45 | 1.54 | (0.14 | ) | (4.72 | ) | (4.86 | ) | 10.26 | 13.78% | 11,877 | 1.27% | N/A | 0.82% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 11.98 | 0.06 | 2.09 | 2.15 | (0.06 | ) | - | (0.06 | ) | 14.07 | 17.99% | 13,580 | 1.21% | 1.17% | 0.44% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 10.23 | 0.08 | 1.76 | 1.84 | (0.09 | ) | - | (0.09 | ) | 11.98 | 18.18% | 13,493 | 1.25% | 1.16% | 0.71% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.22 | $ | 0.11 | $ | 1.78 | $ | 1.89 | $ | (0.14 | ) | $ | (0.30 | ) | $ | (0.44 | ) | $ | 11.67 | 19.02% | $ | 5,268 | 1.16% | N/A | 0.99% | |||||||||||||||||||||||||||
9/30/16 | 13.57 | 0.15 | 1.40 | 1.55 | (0.18 | ) | (4.72 | ) | (4.90 | ) | 10.22 | 13.88% | 3,421 | 1.17% | N/A | 1.45% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14gg | 13.29 | 0.04 | 0.74 | 0.78 | - | - | - | 14.07 | 5.87% | b | 106 | 1.07% | a | N/A | 0.60% | a | ||||||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.30 | $ | 0.08 | $ | 1.79 | $ | 1.87 | $ | (0.11 | ) | $ | (0.30 | ) | $ | (0.41 | ) | $ | 11.76 | 18.69% | $ | 1,144 | 1.41% | N/A | 0.74% | |||||||||||||||||||||||||||
9/30/16 | 13.66 | 0.07 | 1.46 | 1.53 | (0.17 | ) | (4.72 | ) | (4.89 | ) | 10.30 | 13.60% | 802 | 1.42% | N/A | 0.70% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 12.03 | 0.03 | 2.11 | 2.14 | (0.02 | ) | - | (0.02 | ) | 14.15 | 17.78% | 119 | 1.41% | 1.38% | 0.24% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 10.24 | 0.05 | 1.77 | 1.82 | (0.03 | ) | - | (0.03 | ) | 12.03 | 17.82% | 70 | 1.55% | 1.46% | 0.45% |
247
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.69 | $ | 0.13 | $ | 2.30 | $ | 2.43 | $ | (0.17 | ) | $ | (0.82 | ) | $ | (0.99 | ) | $ | 13.13 | 22.32% | $ | 113,313 | 0.53% | N/A | 1.09% | |||||||||||||||||||||||||||
9/30/16 | 11.37 | 0.14 | 1.17 | 1.31 | (0.14 | ) | (0.85 | ) | (0.99 | ) | 11.69 | 11.94% | 107,336 | 0.51% | N/A | 1.22% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14gg | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.69 | $ | 0.12 | $ | 2.31 | $ | 2.43 | $ | (0.16 | ) | $ | (0.82 | ) | $ | (0.98 | ) | $ | 13.14 | 22.27% | $ | 87,103 | 0.63% | N/A | 1.00% | |||||||||||||||||||||||||||
9/30/16 | 11.38 | 0.13 | 1.16 | 1.29 | (0.13 | ) | (0.85 | ) | (0.98 | ) | 11.69 | 11.70% | 76,893 | 0.61% | N/A | 1.12% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.71 | $ | 0.11 | $ | 2.31 | $ | 2.42 | $ | (0.14 | ) | $ | (0.82 | ) | $ | (0.96 | ) | $ | 13.17 | 22.15% | $ | 73,755 | 0.73% | N/A | 0.89% | |||||||||||||||||||||||||||
9/30/16 | 11.40 | 0.12 | 1.16 | 1.28 | (0.12 | ) | (0.85 | ) | (0.97 | ) | 11.71 | 11.58% | 80,551 | 0.71% | N/A | 1.02% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | �� | 2014 | 2013 | |||||||||||||||
Portfolio turnover rate | 105 | % | 124 | % | 138 | % | 142 | % | 153 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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.
248
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.81 | $ | 0.09 | $ | 2.34 | $ | 2.43 | $ | (0.14 | ) | $ | (0.82 | ) | $ | (0.96 | ) | $ | 13.28 | 21.95% | $ | 41,678 | 0.83% | N/A | 0.78% | |||||||||||||||||||||||||||
9/30/16 | 11.48 | 0.10 | 1.19 | 1.29 | (0.11 | ) | (0.85 | ) | (0.96 | ) | 11.81 | 11.57% | 38,399 | 0.81% | N/A | 0.91% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | ||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.53 | $ | 0.07 | $ | 2.28 | $ | 2.35 | $ | (0.11 | ) | $ | (0.82 | ) | $ | (0.93 | ) | $ | 12.95 | 21.73% | $ | 36,625 | 1.08% | N/A | 0.55% | |||||||||||||||||||||||||||
9/30/16 | 11.23 | 0.07 | 1.15 | 1.22 | (0.07 | ) | (0.85 | ) | (0.92 | ) | 11.53 | 11.23% | 38,743 | 1.06% | N/A | 0.67% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 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% | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.50 | $ | 0.07 | $ | 2.27 | $ | 2.34 | $ | (0.13 | ) | $ | (0.82 | ) | $ | (0.95 | ) | $ | 12.89 | 21.80% | $ | 26,809 | 0.98% | N/A | 0.61% | |||||||||||||||||||||||||||
9/30/16 | 11.23 | 0.08 | 1.16 | 1.24 | (0.12 | ) | (0.85 | ) | (0.97 | ) | 11.50 | 11.38% | 14,016 | 0.96% | N/A | 0.75% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14gg | 12.03 | 0.04 | 0.67 | 0.71 | - | - | - | 12.74 | 5.90% | b | 106 | 0.95% | a | N/A | 0.68% | a | ||||||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.45 | $ | 0.04 | $ | 2.27 | $ | 2.31 | $ | (0.08 | ) | $ | (0.82 | ) | $ | (0.90 | ) | $ | 12.86 | 21.52% | $ | 4,310 | 1.23% | N/A | 0.38% | |||||||||||||||||||||||||||
9/30/16 | 11.21 | 0.06 | 1.14 | 1.20 | (0.11 | ) | (0.85 | ) | (0.96 | ) | 11.45 | 11.01% | 3,159 | 1.21% | N/A | 0.55% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14gg | 12.03 | 0.03 | 0.67 | 0.70 | - | - | - | 12.73 | 5.82% | b | 106 | 1.20% | a | N/A | 0.43% | a |
249
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.81 | $ | 0.11 | $ | 3.01 | $ | 3.12 | $ | (0.18 | ) | $ | (0.34 | ) | $ | (0.52 | ) | $ | 16.41 | 23.05% | $ | 15,105 | 0.70% | N/A | 0.75% | |||||||||||||||||||||||||||
9/30/16 | 13.84 | 0.17 | 1.31 | 1.48 | (0.12 | ) | (1.39 | ) | (1.51 | ) | 13.81 | 11.60% | 3,642 | 0.71% | N/A | 1.33% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||||
9/30/14gg | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.78 | $ | 0.10 | $ | 3.00 | $ | 3.10 | $ | (0.16 | ) | $ | (0.34 | ) | $ | (0.50 | ) | $ | 16.38 | 22.99% | $ | 64,889 | 0.80% | N/A | 0.63% | |||||||||||||||||||||||||||
9/30/16 | 13.82 | 0.15 | 1.30 | 1.45 | (0.10 | ) | (1.39 | ) | (1.49 | ) | 13.78 | 11.40% | 61,310 | 0.81% | N/A | 1.16% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 14.92 | 0.17 | 0.83 | 1.00 | (0.15 | ) | - | (0.15 | ) | 15.77 | 6.75% | 73,288 | 0.74% | N/A | 1.04% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 11.03 | 0.16 | 3.86 | 4.02 | (0.13 | ) | - | (0.13 | ) | 14.92 | 36.88% | 83,213 | 0.73% | 0.70% | 1.23% | |||||||||||||||||||||||||||||||||||||
Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.75 | $ | 0.08 | $ | 3.00 | $ | 3.08 | $ | (0.15 | ) | $ | (0.34 | ) | $ | (0.49 | ) | $ | 16.34 | 22.87% | $ | 14,726 | 0.90% | N/A | 0.54% | |||||||||||||||||||||||||||
9/30/16 | 13.81 | 0.14 | 1.29 | 1.43 | (0.10 | ) | (1.39 | ) | (1.49 | ) | 13.75 | 11.23% | 13,313 | 0.91% | N/A | 1.08% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 14.92 | 0.16 | 0.82 | 0.98 | (0.14 | ) | - | (0.14 | ) | 15.76 | 6.60% | 6,865 | 0.84% | N/A | 0.98% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 11.03 | 0.14 | 3.88 | 4.02 | (0.13 | ) | - | (0.13 | ) | 14.92 | 36.79% | 2,627 | 0.83% | 0.80% | 1.15% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 62 | % | 57 | % | 52 | % | 66 | % | 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. |
f | Amount is less than $500. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
250
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.68 | $ | 0.07 | $ | 2.98 | $ | 3.05 | $ | (0.14 | ) | $ | (0.34 | ) | $ | (0.48 | ) | $ | 16.25 | 22.75% | $ | 23,967 | 1.00% | N/A | 0.44% | |||||||||||||||||||||||||||
9/30/16 | 13.72 | 0.12 | 1.29 | 1.41 | (0.06 | ) | (1.39 | ) | (1.45 | ) | 13.68 | 11.17% | 17,641 | 1.01% | N/A | 0.94% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 14.84 | 0.14 | 0.83 | 0.97 | (0.13 | ) | - | (0.13 | ) | 15.68 | 6.55% | 17,595 | 0.95% | N/A | 0.86% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 10.98 | 0.13 | 3.85 | 3.98 | (0.12 | ) | - | (0.12 | ) | 14.84 | 36.60% | 9,661 | 0.93% | 0.90% | 1.02% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.42 | $ | 0.03 | $ | 2.92 | $ | 2.95 | $ | (0.10 | ) | $ | (0.34 | ) | $ | (0.44 | ) | $ | 15.93 | 22.42% | $ | 73,462 | 1.25% | N/A | 0.19% | |||||||||||||||||||||||||||
9/30/16 | 13.49 | 0.09 | 1.26 | 1.35 | (0.03 | ) | (1.39 | ) | (1.42 | ) | 13.42 | 10.88% | 69,495 | 1.26% | N/A | 0.70% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14 | 14.62 | 0.09 | 0.81 | 0.90 | (0.09 | ) | - | (0.09 | ) | 15.43 | 6.19% | 70,281 | 1.19% | N/A | 0.60% | |||||||||||||||||||||||||||||||||||||
9/30/13 | 10.80 | 0.10 | 3.80 | 3.90 | (0.08 | ) | - | (0.08 | ) | 14.62 | 36.40% | 77,201 | 1.18% | 1.15% | 0.77% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.36 | $ | 0.04 | $ | 2.91 | $ | 2.95 | $ | (0.14 | ) | $ | (0.34 | ) | $ | (0.48 | ) | $ | 15.83 | 22.50% | $ | 9,717 | 1.15% | N/A | 0.29% | |||||||||||||||||||||||||||
9/30/16 | 13.48 | 0.10 | 1.27 | 1.37 | (0.10 | ) | (1.39 | ) | (1.49 | ) | 13.36 | 11.06% | 4,467 | 1.16% | N/A | 0.75% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14gg | 16.14 | 0.04 | (0.74 | ) | (0.70 | ) | - | - | - | 15.44 | (4.34% | )b | 96 | 1.11% | a | N/A | 0.46% | a | ||||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.32 | $ | 0.01 | $ | 2.89 | $ | 2.90 | $ | (0.11 | ) | $ | (0.34 | ) | $ | (0.45 | ) | $ | 15.77 | 22.19% | $ | 9,008 | 1.40% | N/A | 0.04% | |||||||||||||||||||||||||||
9/30/16 | 13.46 | 0.07 | 1.25 | 1.32 | (0.07 | ) | (1.39 | ) | (1.46 | ) | 13.32 | 10.72% | 5,524 | 1.41% | N/A | 0.51% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/14gg | 16.14 | 0.02 | (0.74 | ) | (0.72 | ) | - | - | - | 15.42 | (4.46% | )b | 96 | 1.36% | a | N/A | 0.21% | a |
251
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.47 | $ | 0.12 | $ | 3.43 | $ | 3.55 | $ | (0.18 | ) | $ | (0.38 | ) | $ | (0.56 | ) | $ | 16.46 | 27.53% | $ | 34,308 | 0.86% | N/A | 0.78% | |||||||||||||||||||||||||||
9/30/16 | 13.94 | 0.11 | 0.66 | 0.77 | (0.14 | ) | (1.10 | ) | (1.24 | ) | 13.47 | 5.50% | 16,576 | 0.85% | N/A | 0.85% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14gg | 14.85 | 0.13 | 0.13 | 0.26 | - | - | - | 15.11 | 1.75% | b | 102 | 0.84% | a | N/A | 1.75% | a | ||||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.46 | $ | 0.08 | $ | 3.48 | $ | 3.56 | $ | (0.17 | ) | $ | (0.38 | ) | $ | (0.55 | ) | $ | 16.47 | 27.55% | $ | 120,521 | 0.96% | N/A | 0.54% | |||||||||||||||||||||||||||
9/30/16 | 13.93 | 0.12 | 0.63 | 0.75 | (0.12 | ) | (1.10 | ) | (1.22 | ) | 13.46 | 5.37% | 125,171 | 0.95% | N/A | 0.89% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 11.19 | 0.16 | 2.79 | 2.95 | (0.15 | ) | - | (0.15 | ) | 13.99 | 26.55% | 213,577 | 1.05% | 0.89% | 1.28% | |||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.35 | $ | 0.07 | $ | 3.44 | $ | 3.51 | $ | (0.15 | ) | $ | (0.38 | ) | $ | (0.53 | ) | $ | 16.33 | 27.37% | $ | 19,086 | 1.06% | N/A | 0.46% | |||||||||||||||||||||||||||
9/30/16 | 13.83 | 0.11 | 0.62 | 0.73 | (0.11 | ) | (1.10 | ) | (1.21 | ) | 13.35 | 5.28% | 28,699 | 1.05% | N/A | 0.87% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 11.12 | 0.14 | 2.78 | 2.92 | (0.14 | ) | - | (0.14 | ) | 13.90 | 26.47% | 8,558 | 1.08% | 1.03% | 1.13% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 30 | % | 25 | % | 32 | % | 27 | % | 28 | % |
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. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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.
252
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.44 | $ | 0.05 | $ | 3.47 | $ | 3.52 | $ | (0.14 | ) | $ | (0.38 | ) | $ | (0.52 | ) | $ | 16.44 | 27.24% | $ | 103,200 | 1.16% | N/A | 0.36% | |||||||||||||||||||||||||||
9/30/16 | 13.91 | 0.09 | 0.63 | 0.72 | (0.09 | ) | (1.10 | ) | (1.19 | ) | 13.44 | 5.15% | 99,085 | 1.15% | N/A | 0.68% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 11.17 | 0.13 | 2.79 | 2.92 | (0.13 | ) | - | (0.13 | ) | 13.96 | 26.30% | 128,755 | 1.23% | 1.14% | 1.01% | |||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.29 | $ | 0.02 | $ | 3.44 | $ | 3.46 | $ | (0.10 | ) | $ | (0.38 | ) | $ | (0.48 | ) | $ | 16.27 | 26.99% | $ | 30,769 | 1.41% | N/A | 0.12% | |||||||||||||||||||||||||||
9/30/16 | 13.77 | 0.06 | 0.61 | 0.67 | (0.05 | ) | (1.10 | ) | (1.15 | ) | 13.29 | 4.85% | 32,200 | 1.40% | N/A | 0.44% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 11.06 | 0.09 | 2.76 | 2.85 | (0.09 | ) | - | (0.09 | ) | 13.82 | 25.94% | 48,500 | 1.48% | 1.43% | 0.72% | |||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.21 | $ | 0.03 | $ | 3.41 | $ | 3.44 | $ | (0.14 | ) | $ | (0.38 | ) | $ | (0.52 | ) | $ | 16.13 | 27.05% | $ | 5,560 | 1.31% | N/A | 0.20% | |||||||||||||||||||||||||||
9/30/16 | 13.74 | 0.09 | 0.61 | 0.70 | (0.13 | ) | (1.10 | ) | (1.23 | ) | 13.21 | 5.05% | 4,322 | 1.30% | N/A | 0.73% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14gg | 14.70 | 0.10 | 0.13 | 0.23 | - | - | - | 14.93 | 1.56% | b | 102 | 1.29% | a | N/A | 1.30% | a | ||||||||||||||||||||||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 13.27 | $ | (0.00 | )d | $ | 3.42 | $ | 3.42 | $ | (0.10 | ) | $ | (0.38 | ) | $ | (0.48 | ) | $ | 16.21 | 26.73% | $ | 10,696 | 1.56% | N/A | (0.03% | ) | |||||||||||||||||||||||||
9/30/16 | 13.79 | 0.05 | 0.61 | 0.66 | (0.08 | ) | (1.10 | ) | (1.18 | ) | 13.27 | 4.78% | 8,702 | 1.55% | N/A | 0.42% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 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% | |||||||||||||||||||||||||||||||||
9/30/14 | 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% | ||||||||||||||||||||||||||||||||||||
9/30/13 | 11.10 | 0.08 | 2.77 | 2.85 | (0.09 | ) | - | (0.09 | ) | 13.86 | 25.81% | 1,235 | 1.78% | 1.52% | 0.63% |
253
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,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 waiver | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.97 | $ | 0.18 | $ | 1.61 | $ | 1.79 | $ | (0.15 | ) | $ | (0.17 | ) | $ | (0.32 | ) | $ | 13.44 | 15.60% | $ | 246,510 | 0.96% | 0.94% | 1.46% | |||||||||||||||||||||||||||
9/30/16 | 11.55 | 0.15 | 0.85 | 1.00 | (0.14 | ) | (0.44 | ) | (0.58 | ) | 11.97 | 8.86% | 195,019 | 0.95% | 0.94% | 1.30% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 14.39 | 0.18 | (0.60 | ) | (0.42 | ) | (0.18 | ) | (2.24 | ) | (2.42 | ) | 11.55 | (3.02% | ) | 169,842 | 0.96% | N/A | 1.42% | |||||||||||||||||||||||||||||||||
9/30/14gg | 15.47 | 0.14 | (1.22 | ) | (1.08 | ) | - | - | - | 14.39 | (6.98% | )b | 64,208 | 0.96% | a | N/A | 1.83% | a | ||||||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.97 | $ | 0.17 | $ | 1.61 | $ | 1.78 | $ | (0.14 | ) | $ | (0.17 | ) | $ | (0.31 | ) | $ | 13.44 | 15.47% | $ | 195,316 | 1.06% | 1.04% | 1.38% | |||||||||||||||||||||||||||
9/30/16 | 11.54 | 0.14 | 0.85 | 0.99 | (0.12 | ) | (0.44 | ) | (0.56 | ) | 11.97 | 8.83% | 221,320 | 1.05% | 1.04% | 1.18% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 14.38 | 0.13 | (0.57 | ) | (0.44 | ) | (0.16 | ) | (2.24 | ) | (2.40 | ) | 11.54 | (3.17% | ) | 251,687 | 1.06% | N/A | 1.05% | |||||||||||||||||||||||||||||||||
9/30/14 | 15.92 | 0.15 | (0.16 | ) | (0.01 | ) | (0.19 | ) | (1.34 | ) | (1.53 | ) | 14.38 | (0.32% | ) | 351,818 | 1.06% | N/A | 0.97% | |||||||||||||||||||||||||||||||||
9/30/13 | 13.20 | 0.21 | 3.14 | 3.35 | (0.20 | ) | (0.43 | ) | (0.63 | ) | 15.92 | 26.22% | 445,260 | 1.07% | N/A | 1.46% | ||||||||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.93 | $ | 0.15 | $ | 1.61 | $ | 1.76 | $ | (0.13 | ) | $ | (0.17 | ) | $ | (0.30 | ) | $ | 13.39 | 15.33% | $ | 21,422 | 1.16% | 1.14% | 1.25% | |||||||||||||||||||||||||||
9/30/16 | 11.51 | 0.13 | 0.84 | 0.97 | (0.11 | ) | (0.44 | ) | (0.55 | ) | 11.93 | 8.66% | 22,510 | 1.15% | 1.14% | 1.09% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 14.34 | 0.13 | (0.57 | ) | (0.44 | ) | (0.15 | ) | (2.24 | ) | (2.39 | ) | 11.51 | (3.20% | ) | 21,741 | 1.16% | N/A | 1.03% | |||||||||||||||||||||||||||||||||
9/30/14 | 15.90 | 0.14 | (0.17 | ) | (0.03 | ) | (0.19 | ) | (1.34 | ) | (1.53 | ) | 14.34 | (0.46% | ) | 23,473 | 1.12% | N/A | 0.88% | |||||||||||||||||||||||||||||||||
9/30/13 | 13.18 | 0.20 | 3.15 | 3.35 | (0.20 | ) | (0.43 | ) | (0.63 | ) | 15.90 | 26.23% | 25,987 | 1.10% | N/A | 1.42% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 44 | % | 36 | % | 45 | % | 76 | % | 56 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
j | Computed after giving effect to an agreement by MML Advisers and/or 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.
254
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.87 | $ | 0.15 | $ | 1.58 | $ | 1.73 | $ | (0.11 | ) | $ | (0.17 | ) | $ | (0.28 | ) | $ | 13.32 | 15.19% | $ | 17,968 | 1.26% | 1.24% | 1.22% | |||||||||||||||||||||||||||
9/30/16 | 11.45 | 0.11 | 0.85 | 0.96 | (0.10 | ) | (0.44 | ) | (0.54 | ) | 11.87 | 8.59% | 18,407 | 1.25% | 1.24% | 0.97% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 14.27 | 0.12 | (0.56 | ) | (0.44 | ) | (0.14 | ) | (2.24 | ) | (2.38 | ) | 11.45 | (3.28% | ) | 19,307 | 1.26% | N/A | 0.96% | |||||||||||||||||||||||||||||||||
9/30/14 | 15.82 | 0.13 | (0.18 | ) | (0.05 | ) | (0.16 | ) | (1.34 | ) | (1.50 | ) | 14.27 | (0.57% | ) | 18,339 | 1.25% | N/A | 0.86% | |||||||||||||||||||||||||||||||||
9/30/13 | 13.13 | 0.19 | 3.11 | 3.30 | (0.18 | ) | (0.43 | ) | (0.61 | ) | 15.82 | 25.96% | 18,017 | 1.25% | N/A | 1.31% | ||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.52 | $ | 0.10 | $ | 1.56 | $ | 1.66 | $ | (0.08 | ) | $ | (0.17 | ) | $ | (0.25 | ) | $ | 12.93 | 14.95% | $ | 39,746 | 1.51% | 1.49% | 0.90% | |||||||||||||||||||||||||||
9/30/16 | 11.12 | 0.08 | 0.83 | 0.91 | (0.07 | ) | (0.44 | ) | (0.51 | ) | 11.52 | 8.34% | 42,907 | 1.50% | 1.49% | 0.72% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 13.94 | 0.08 | (0.56 | ) | (0.48 | ) | (0.10 | ) | (2.24 | ) | (2.34 | ) | 11.12 | (3.54% | ) | 47,166 | 1.51% | N/A | 0.65% | |||||||||||||||||||||||||||||||||
9/30/14 | 15.48 | 0.09 | (0.17 | ) | (0.08 | ) | (0.12 | ) | (1.34 | ) | (1.46 | ) | 13.94 | (0.77% | ) | 53,155 | 1.50% | N/A | 0.58% | |||||||||||||||||||||||||||||||||
9/30/13 | 12.85 | 0.14 | 3.06 | 3.20 | (0.14 | ) | (0.43 | ) | (0.57 | ) | 15.48 | 25.70% | 56,137 | 1.50% | N/A | 1.04% | ||||||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.47 | $ | 0.13 | $ | 1.53 | $ | 1.66 | $ | (0.12 | ) | $ | (0.17 | ) | $ | (0.29 | ) | $ | 12.84 | 15.10% | $ | 10,932 | 1.41% | 1.39% | 1.10% | |||||||||||||||||||||||||||
9/30/16 | 11.11 | 0.14 | 0.77 | 0.91 | (0.11 | ) | (0.44 | ) | (0.55 | ) | 11.47 | 8.42% | 3,648 | 1.40% | 1.39% | 1.28% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 13.94 | 0.09 | (0.55 | ) | (0.46 | ) | (0.13 | ) | (2.24 | ) | (2.37 | ) | 11.11 | (3.46% | ) | 349 | 1.41% | N/A | 0.73% | |||||||||||||||||||||||||||||||||
9/30/14gg | 15.03 | 0.11 | (1.20 | ) | (1.09 | ) | - | - | - | 13.94 | (7.25% | )b | 93 | 1.41% | a | N/A | 1.47% | a | ||||||||||||||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 11.43 | $ | 0.09 | $ | 1.54 | $ | 1.63 | $ | (0.10 | ) | $ | (0.17 | ) | $ | (0.27 | ) | $ | 12.79 | 14.77% | $ | 9,045 | 1.66% | 1.64% | 0.77% | |||||||||||||||||||||||||||
9/30/16 | 11.09 | 0.09 | 0.80 | 0.89 | (0.11 | ) | (0.44 | ) | (0.55 | ) | 11.43 | 8.24% | 3,618 | 1.65% | 1.64% | 0.82% | ||||||||||||||||||||||||||||||||||||
9/30/15 | 13.93 | 0.05 | (0.54 | ) | (0.49 | ) | (0.11 | ) | (2.24 | ) | (2.35 | ) | 11.09 | (3.76% | ) | 524 | 1.66% | N/A | 0.41% | |||||||||||||||||||||||||||||||||
9/30/14gg | 15.03 | 0.09 | (1.19 | ) | (1.10 | ) | - | - | - | 13.93 | (7.32% | )b | 93 | 1.66% | a | N/A | 1.22% | a |
255
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 | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.79 | $ | 0.07 | $ | 2.14 | $ | 2.21 | $ | (0.12 | ) | $ | (0.12 | ) | $ | 12.88 | 20.85% | $ | 236,991 | 1.28% | 1.05% | 0.65% | ||||||||||||||||||||||||||
9/30/16 | 9.19 | 0.07 | 1.61 | 1.68 | (0.08 | ) | (0.08 | ) | 10.79 | 18.36% | 204,626 | 1.31% | 1.05% | 0.69% | ||||||||||||||||||||||||||||||||||
9/30/15 | 12.11 | 0.09 | (2.87 | ) | (2.78 | ) | (0.14 | ) | (0.14 | ) | 9.19 | (23.13% | ) | 127,823 | 1.37% | 1.05% | 0.77% | |||||||||||||||||||||||||||||||
9/30/14 | 11.68 | 0.08 | 0.50 | 0.58 | (0.15 | ) | (0.15 | ) | 12.11 | 5.01% | 140,584 | 1.34% | 1.02% | 0.68% | ||||||||||||||||||||||||||||||||||
9/30/13 | 12.03 | 0.16 | (0.41 | ) | (0.25 | ) | (0.10 | ) | (0.10 | ) | 11.68 | (2.10% | ) | 115,463 | 1.23% | 0.99% | 1.30% | |||||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.94 | $ | 0.06 | $ | 2.16 | $ | 2.22 | $ | (0.11 | ) | $ | (0.11 | ) | $ | 13.05 | 20.59% | $ | 3,887 | 1.38% | 1.15% | 0.54% | ||||||||||||||||||||||||||
9/30/16 | 9.30 | 0.04 | 1.65 | 1.69 | (0.05 | ) | (0.05 | ) | 10.94 | 18.22% | 3,148 | 1.41% | 1.15% | 0.38% | ||||||||||||||||||||||||||||||||||
9/30/15 | 12.24 | 0.08 | (2.89 | ) | (2.81 | ) | (0.13 | ) | (0.13 | ) | 9.30 | (23.20% | ) | 7,389 | 1.47% | 1.15% | 0.67% | |||||||||||||||||||||||||||||||
9/30/14 | 11.81 | 0.07 | 0.49 | 0.56 | (0.13 | ) | (0.13 | ) | 12.24 | 4.88% | 8,869 | 1.47% | 1.15% | 0.55% | ||||||||||||||||||||||||||||||||||
9/30/13 | 12.17 | 0.15 | (0.42 | ) | (0.27 | ) | (0.09 | ) | (0.09 | ) | 11.81 | (2.29% | ) | 7,008 | 1.39% | 1.15% | 1.22% | |||||||||||||||||||||||||||||||
Service Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.78 | $ | (0.02 | ) | $ | 2.19 | $ | 2.17 | $ | (0.10 | ) | $ | (0.10 | ) | $ | 12.85 | 20.41% | $ | 434 | 1.48% | 1.25% | (0.20% | ) | ||||||||||||||||||||||||
9/30/16 | 9.17 | 0.04 | 1.63 | 1.67 | (0.06 | ) | (0.06 | ) | 10.78 | 18.27% | 8,238 | 1.51% | 1.25% | 0.43% | ||||||||||||||||||||||||||||||||||
9/30/15 | 12.09 | 0.07 | (2.87 | ) | (2.80 | ) | (0.12 | ) | (0.12 | ) | 9.17 | (23.23% | ) | 7,015 | 1.57% | 1.25% | 0.63% | |||||||||||||||||||||||||||||||
9/30/14 | 11.66 | 0.06 | 0.49 | 0.55 | (0.12 | ) | (0.12 | ) | 12.09 | 4.75% | 256 | 1.57% | 1.25% | 0.46% | ||||||||||||||||||||||||||||||||||
9/30/13 | 12.01 | 0.13 | (0.40 | ) | (0.27 | ) | (0.08 | ) | (0.08 | ) | 11.66 | (2.34% | ) | 206 | 1.49% | 1.25% | 1.06% |
Year ended September 30 | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Portfolio turnover rate | 51 | % | 33 | % | 40 | % | 108 | % | 75 | % |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
j | Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
l | Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
256
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.84 | $ | 0.05 | $ | 2.13 | $ | 2.18 | $ | (0.11 | ) | $ | (0.11 | ) | $ | 12.91 | 20.35% | $ | 1,565 | 1.58% | 1.35% | 0.41% | ||||||||||||||||||||||||||
9/30/16 | 9.23 | 0.04 | 1.62 | 1.66 | (0.05 | ) | (0.05 | ) | 10.84 | 18.02% | 677 | 1.61% | 1.35% | 0.42% | ||||||||||||||||||||||||||||||||||
9/30/15 | 12.15 | 0.06 | (2.88 | ) | (2.82 | ) | (0.10 | ) | (0.10 | ) | 9.23 | (23.32% | ) | 431 | 1.67% | 1.35% | 0.54% | |||||||||||||||||||||||||||||||
9/30/14 | 11.72 | 0.07 | 0.47 | 0.54 | (0.11 | ) | (0.11 | ) | 12.15 | 4.61% | 409 | 1.68% | 1.37% | 0.59% | ||||||||||||||||||||||||||||||||||
9/30/13 | 12.09 | 0.13 | (0.43 | ) | (0.30 | ) | (0.07 | ) | (0.07 | ) | 11.72 | (2.50% | ) | 98 | 1.64% | 1.40% | 1.09% | |||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.74 | $ | 0.02 | $ | 2.14 | $ | 2.16 | $ | (0.02 | ) | $ | (0.02 | ) | $ | 12.88 | 20.18% | $ | 118 | 1.83% | 1.60% | 0.14% | ||||||||||||||||||||||||||
9/30/16 | 9.13 | 0.01 | 1.60 | 1.61 | (0.00 | )d | (0.00 | )d | 10.74 | 17.68% | 95 | 1.86% | 1.60% | 0.11% | ||||||||||||||||||||||||||||||||||
9/30/15 | 12.04 | 0.00 | d | (2.81 | ) | (2.81 | ) | (0.10 | ) | (0.10 | ) | 9.13 | (23.47% | ) | 190 | 1.92% | 1.60% | 0.02% | ||||||||||||||||||||||||||||||
9/30/14 | 11.61 | (0.01 | ) | 0.51 | 0.50 | (0.07 | ) | (0.07 | ) | 12.04 | 4.36% | 470 | 1.94% | 1.62% | (0.05% | ) | ||||||||||||||||||||||||||||||||
9/30/13 | 11.94 | 0.08 | (0.41 | ) | (0.33 | ) | - | - | 11.61 | (2.76% | ) | 336 | 1.89% | 1.65% | 0.63% | |||||||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.72 | $ | 0.03 | $ | 2.11 | $ | 2.14 | $ | (0.10 | ) | $ | (0.10 | ) | $ | 12.76 | 20.23% | $ | 1,019 | 1.73% | 1.50% | 0.24% | ||||||||||||||||||||||||||
9/30/16 | 9.14 | 0.02 | 1.61 | 1.63 | (0.05 | ) | (0.05 | ) | 10.72 | 17.87% | 599 | 1.76% | 1.50% | 0.23% | ||||||||||||||||||||||||||||||||||
9/30/15 | 12.05 | 0.03 | (2.84 | ) | (2.81 | ) | (0.10 | ) | (0.10 | ) | 9.14 | (23.45% | ) | 112 | 1.82% | 1.50% | 0.27% | |||||||||||||||||||||||||||||||
9/30/14gg | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||
9/30/17 | $ | 10.70 | $ | (0.01 | ) | $ | 2.12 | $ | 2.11 | $ | (0.08 | ) | $ | (0.08 | ) | $ | 12.73 | 19.88% | $ | 821 | 1.98% | 1.75% | (0.07% | ) | ||||||||||||||||||||||||
9/30/16 | 9.12 | 0.00 | d | 1.61 | 1.61 | (0.03 | ) | (0.03 | ) | 10.70 | 17.66% | 642 | 2.01% | 1.75% | 0.04% | |||||||||||||||||||||||||||||||||
9/30/15 | 12.03 | 0.03 | (2.86 | ) | (2.83 | ) | (0.08 | ) | (0.08 | ) | 9.12 | (23.57% | ) | 184 | 2.07% | 1.75% | 0.24% | |||||||||||||||||||||||||||||||
9/30/14gg | 11.64 | 0.03 | 0.36 | 0.39 | - | - | 12.03 | 3.35% | b | 103 | 2.07% | a | 1.75% | a | 0.51% | a |
257
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 U.S. Government Money Market Fund (“U.S. Government 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.
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. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an
258
Notes to Financial Statements (Continued)
official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (with the exception of debt securities held by the U.S. Government Money Market Fund) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. The U.S. Government Money Market Fund’s debt securities are typically valued at amortized cost, but may be valued using a vendor quote if the Fund’s investment adviser determines it more closely approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the U.S. Government Money Market Fund must adhere to certain conditions. It is the intention of the U.S. Government Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
1 | The 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. |
259
Notes to Financial Statements (Continued)
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Fund’s subadvisers utilize one or a combination of, but not limited to, the following inputs:
Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.
Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
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.)
260
Notes to Financial Statements (Continued)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The U.S. Government Money Market Fund characterized all investments at Level 2, as of September 30, 2017. The Value Fund and Disciplined Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 2017. 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, 2017, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 281,576,027 | $ | - | $ | 281,576,027 | ||||||||
Municipal Obligations | - | 189,924 | - | 189,924 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 198,316,070 | 2,420,697 | ** | 200,736,767 | |||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 2,017,289 | - | 2,017,289 | ||||||||||||
U.S. Treasury Obligations | - | 15,080,995 | - | 15,080,995 | ||||||||||||
Purchased Options | - | 998,636 | - | 998,636 | ||||||||||||
Short-Term Investments | - | 131,047,634 | - | 131,047,634 | ||||||||||||
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|
| |||||||||
Total Investments | $ | - | $ | 629,226,575 | $ | 2,420,697 | $ | 631,647,272 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,462,266 | $ | - | $ | - | $ | 1,462,266 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (867,850 | ) | $ | - | $ | - | $ | (867,850 | ) | ||||||
Swap Agreements | - | (594,772 | ) | - | (594,772 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (867,850 | ) | $ | (594,772 | ) | $ | - | $ | (1,462,622 | ) | |||||
|
|
|
|
|
|
|
|
261
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 9,122,563 | $ | - | $ | 9,122,563 | ||||||||
Municipal Obligations | - | 129,148 | - | 129,148 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 84,336,745 | - | 84,336,745 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 1,876,118 | - | 1,876,118 | ||||||||||||
U.S. Treasury Obligations | - | 250,785,494 | - | 250,785,494 | ||||||||||||
Purchased Options | - | 432,872 | - | 432,872 | ||||||||||||
Short-Term Investments | - | 141,017,331 | - | 141,017,331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 487,700,271 | $ | - | $ | 487,700,271 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,073 | $ | - | $ | - | $ | 1,073 | ||||||||
Swap Agreements | - | 236,077 | - | 236,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,073 | $ | 236,077 | $ | - | $ | 237,150 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (4,434 | ) | $ | - | $ | - | $ | (4,434 | ) | ||||||
Swap Agreements | - | (469,982 | ) | - | (469,982 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (4,434 | ) | $ | (469,982 | ) | $ | - | $ | (474,416 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 3,490,500 | $ | - | $ | - | $ | 3,490,500 | ||||||||
Corporate Debt | - | 434,523,507 | - | 434,523,507 | ||||||||||||
Municipal Obligations | - | 6,938,114 | - | 6,938,114 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 335,828,095 | 5,270,190 | ** | 341,098,285 | |||||||||||
Sovereign Debt Obligations | - | 9,209,934 | - | 9,209,934 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 304,374,113 | - | 304,374,113 | ||||||||||||
U.S. Treasury Obligations | - | 94,425,008 | - | 94,425,008 | ||||||||||||
Purchased Options | - | 1,996,073 | - | 1,996,073 | ||||||||||||
Short-Term Investments | - | 138,679,205 | - | 138,679,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,490,500 | $ | 1,325,974,049 | $ | 5,270,190 | $ | 1,334,734,739 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (1,352,182 | ) | $ | - | $ | - | $ | (1,352,182 | ) | ||||||
Swap Agreements | - | (1,572,267 | ) | - | (1,572,267 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,352,182 | ) | $ | (1,572,267 | ) | $ | - | $ | (2,924,449 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 807 | ** | $ | 807 | |||||||
Preferred Stock | 268,500 | - | - | 268,500 | ||||||||||||
Corporate Debt | - | 81,020,508 | - | 81,020,508 | ||||||||||||
Municipal Obligations | - | 426,412 | - | 426,412 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 57,412,547 | 1,005,900 | ** | 58,418,447 | |||||||||||
Sovereign Debt Obligations | - | 1,686,966 | - | 1,686,966 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 42,514,928 | - | 42,514,928 | ||||||||||||
U.S. Treasury Obligations | - | 10,257,992 | - | 10,257,992 | ||||||||||||
Purchased Options | - | 665,583 | - | 665,583 | ||||||||||||
Warrants | - | - | 3,656 | ** | 3,656 | |||||||||||
Short-Term Investments | - | 25,798,198 | - | 25,798,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 268,500 | $ | 219,783,134 | $ | 1,010,363 | $ | 221,061,997 | ||||||||
|
|
|
|
|
|
|
|
262
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Diversified Bond Fund (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 51,685 | $ | - | $ | 51,685 | ||||||||
Futures Contracts | 1,184 | - | - | 1,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,184 | $ | 51,685 | $ | - | $ | 52,869 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (61,748 | ) | $ | - | $ | (61,748 | ) | ||||||
Futures Contracts | (206,320 | ) | - | - | (206,320 | ) | ||||||||||
Swap Agreements | - | (219,107 | ) | - | (219,107 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (206,320 | ) | $ | (280,855 | ) | $ | - | $ | (487,175 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 9,899 | ** | $ | 9,899 | |||||||
Preferred Stock | - | 1,378,134 | - | 1,378,134 | ||||||||||||
Bank Loans | - | 17,314,939 | 2,656,136 | ** | 19,971,075 | |||||||||||
Corporate Debt | - | 435,219,819 | - | 435,219,819 | ||||||||||||
Short-Term Investments | - | 17,761,208 | - | 17,761,208 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 471,674,100 | $ | 2,666,035 | $ | 474,340,135 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 75,333,301 | $ | - | $ | - | $ | 75,333,301 | ||||||||
Preferred Stock | 134,250 | - | - | 134,250 | ||||||||||||
Corporate Debt | - | 10,418,476 | - | 10,418,476 | ||||||||||||
Municipal Obligations | - | 214,645 | - | 214,645 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 9,036,248 | - | 9,036,248 | ||||||||||||
Sovereign Debt Obligations | - | 254,340 | - | 254,340 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 7,717,935 | - | 7,717,935 | ||||||||||||
U.S. Treasury Obligations | - | 2,644,689 | - | 2,644,689 | ||||||||||||
Purchased Options | - | 48,672 | - | 48,672 | ||||||||||||
Rights | - | - | 4,050 | ** | 4,050 | |||||||||||
Mutual Funds | 10,628,560 | - | - | 10,628,560 | ||||||||||||
Short-Term Investments | - | 3,761,461 | - | 3,761,461 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 86,096,111 | $ | 34,096,466 | $ | 4,050 | $ | 120,196,627 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 11,945 | $ | - | $ | - | $ | 11,945 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (44,206 | ) | $ | - | $ | - | $ | (44,206 | ) | ||||||
Swap Agreements | - | (42,434 | ) | - | (42,434 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (44,206 | ) | $ | (42,434 | ) | $ | - | $ | (86,640 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 205,311,077 | $ | - | $ | - | $ | 205,311,077 | ||||||||
Rights | - | - | 9,858 | ** | 9,858 | |||||||||||
Short-Term Investments | - | 510,216 | - | 510,216 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 205,311,077 | $ | 510,216 | $ | 9,858 | $ | 205,831,151 | ||||||||
|
|
|
|
|
|
|
|
263
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Main Street Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 134,544,075 | $ | 1,632,343 | * | $ | - | $ | 136,176,418 | |||||||
Mutual Funds | 781,944 | - | - | 781,944 | ||||||||||||
Short-Term Investments | - | 1,666,897 | - | 1,666,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 135,326,019 | $ | 3,299,240 | $ | - | $ | 138,625,259 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 205,315,880 | $ | 577,347 | * | $ | - | $ | 205,893,227 | |||||||
Mutual Funds | 27,175,495 | - | - | 27,175,495 | ||||||||||||
Short-Term Investments | - | 10,022,001 | - | 10,022,001 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 232,491,375 | $ | 10,599,348 | $ | - | $ | 243,090,723 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Cayman Islands | $ | 7,436,787 | $ | - | $ | - | $ | 7,436,787 | ||||||||
Denmark | - | 1,739,781 | - | 1,739,781 | ||||||||||||
France | - | 20,926,875 | - | 20,926,875 | ||||||||||||
Germany | - | 25,270,338 | - | 25,270,338 | ||||||||||||
India | 2,552,506 | 6,840,070 | - | 9,392,576 | ||||||||||||
Italy | - | 2,341,657 | - | 2,341,657 | ||||||||||||
Japan | - | 47,866,979 | - | 47,866,979 | ||||||||||||
Netherlands | - | 10,462,470 | - | 10,462,470 | ||||||||||||
Spain | - | 11,356,290 | - | 11,356,290 | ||||||||||||
Sweden | - | 4,520,430 | - | 4,520,430 | ||||||||||||
Switzerland | - | 9,411,616 | - | 9,411,616 | ||||||||||||
United Kingdom | 2,578,044 | 18,170,967 | - | 20,749,011 | ||||||||||||
United States | 141,636,111 | - | - | 141,636,111 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Germany | - | 5,880,743 | - | 5,880,743 | ||||||||||||
India | 167,759 | - | - | 167,759 | ||||||||||||
Mutual Funds | 12,897,012 | - | - | 12,897,012 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 167,268,219 | $ | 164,788,216 | $ | - | $ | 332,056,435 | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 8,664,575 | $ | - | $ | 8,664,575 | ||||||||
Belgium | - | 3,665,402 | - | 3,665,402 | ||||||||||||
Canada | 24,960,981 | - | - | 24,960,981 | ||||||||||||
Cayman Islands | 5,726,593 | - | - | 5,726,593 | ||||||||||||
Denmark | - | 25,324,541 | - | 25,324,541 | ||||||||||||
Finland | - | 6,154,848 | - | 6,154,848 | ||||||||||||
France | - | 75,212,809 | - | 75,212,809 | ||||||||||||
Germany | - | 61,194,404 | - | 61,194,404 | ||||||||||||
India | 4,790,758 | 8,540,119 | - | 13,330,877 | ||||||||||||
Ireland | - | 2,619,052 | - | 2,619,052 | ||||||||||||
Japan | - | 50,097,298 | - | 50,097,298 | ||||||||||||
Luxembourg | - | 4,858,099 | - | 4,858,099 | ||||||||||||
Netherlands | - | 45,042,268 | - | 45,042,268 | ||||||||||||
Panama | 8,170,688 | - | - | 8,170,688 |
264
Notes to Financial Statements (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
International Equity Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
South Africa | $ | - | $ | 3,570,824 | $ | - | $ | 3,570,824 | ||||||||
Spain | - | 29,705,075 | - | 29,705,075 | ||||||||||||
Sweden | - | 11,716,690 | - | 11,716,690 | ||||||||||||
Switzerland | - | 48,607,343 | - | 48,607,343 | ||||||||||||
Thailand | 4,996,211 | - | - | 4,996,211 | ||||||||||||
United Kingdom | - | 89,790,317 | - | 89,790,317 | ||||||||||||
Preferred Stock | ||||||||||||||||
India | 97,822 | - | - | 97,822 | ||||||||||||
Mutual Funds | 17,261,410 | - | - | 17,261,410 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 66,004,463 | $ | 474,763,664 | $ | - | $ | 540,768,127 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Bermuda | $ | 1,449,492 | $ | 3,942,068 | $ | - | $ | 5,391,560 | ||||||||
Brazil | 9,640,380 | - | - | 9,640,380 | ||||||||||||
Cayman Islands | 26,955,984 | 18,428,552 | - | 45,384,536 | ||||||||||||
Chile | - | 269,060 | - | 269,060 | ||||||||||||
China | - | 12,198,752 | - | 12,198,752 | ||||||||||||
Colombia | 2,912,200 | - | - | 2,912,200 | ||||||||||||
Egypt | - | 1,120,418 | - | 1,120,418 | ||||||||||||
France | - | 9,255,261 | - | 9,255,261 | ||||||||||||
Hong Kong | - | 11,064,148 | - | 11,064,148 | ||||||||||||
India | - | 29,710,519 | - | 29,710,519 | ||||||||||||
Indonesia | - | 5,829,994 | - | 5,829,994 | ||||||||||||
Italy | - | 2,759,137 | - | 2,759,137 | ||||||||||||
Malaysia | - | 3,784,463 | - | 3,784,463 | ||||||||||||
Mexico | 12,670,932 | - | - | 12,670,932 | ||||||||||||
Netherlands | - | 3,450,029 | - | 3,450,029 | ||||||||||||
Nigeria | - | 1,152,760 | - | 1,152,760 | ||||||||||||
Philippines | - | 9,053,188 | - | 9,053,188 | ||||||||||||
Poland | - | 1,314,339 | - | 1,314,339 | ||||||||||||
Portugal | - | 232,353 | - | 232,353 | ||||||||||||
Republic of Korea | - | 12,052,726 | - | 12,052,726 | ||||||||||||
Russia | 7,810,820 | 8,892,027 | - | 16,702,847 | ||||||||||||
South Africa | - | 3,774,568 | - | 3,774,568 | ||||||||||||
Spain | - | 907,566 | - | 907,566 | ||||||||||||
Taiwan | - | 14,154,108 | - | 14,154,108 | ||||||||||||
Turkey | - | 2,741,011 | - | 2,741,011 | ||||||||||||
United Arab Emirates | - | 4,782,781 | - | 4,782,781 | ||||||||||||
United Kingdom | - | 10,535,311 | - | 10,535,311 | ||||||||||||
United States | 106,161 | - | - | 106,161 | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 3,202,022 | - | - | 3,202,022 | ||||||||||||
India | 91,767 | - | - | 91,767 | ||||||||||||
Mutual Funds | 1,281,920 | - | - | 1,281,920 | ||||||||||||
Rights | 1,321,421 | - | - | 1,321,421 | ||||||||||||
Short-Term Investments | - | 9,136,390 | - | 9,136,390 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 67,443,099 | $ | 180,541,529 | $ | - | $ | 247,984,628 | ||||||||
|
|
|
|
|
|
|
|
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable. |
265
Notes to Financial Statements (Continued)
** | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2017 is not presented. |
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, 2017.
Statements of Assets and Liabilities location | Short-Duration | Inflation- | Core | Diversified | High | Balanced | ||||||
Receivables from: | ||||||||||||
Investments sold on a when-issued basis | X | X | X | |||||||||
Collateral pledged for open futures contracts | X | |||||||||||
Payable from: | ||||||||||||
Reverse repurchase agreements | X | |||||||||||
Investments purchased on a when-issued basis | X | X | X | X | X | |||||||
Collateral held for open purchased options | X | X | X | X | ||||||||
Collateral held for reverse repurchase agreements | X | |||||||||||
Due to custodian | X | X |
Statements of Assets and Liabilities location: | Value | Main | Small Cap | Global | International Fund | Strategic | ||||||
Payables from: | ||||||||||||
Securities on loan | X | X | X | X | X | X | ||||||
Due to custodian | X | X |
The Funds, with the exception of the International Equity Fund and Strategic Emerging Markets Fund, had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the year ended September 30, 2017. The Funds recognize transfers between the Levels as of the beginning of the year.
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Transfers In* | Transfers Out* | |||||||||||||||
Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | |||||||||||||
International Equity Fund | $ | 6,651,052 | $ | - | $ | - | $ | (6,651,052 | ) | |||||||
Strategic Emerging Markets Fund | $ | 22,605,820 | $ | - | $ | - | $ | (22,605,820 | ) |
* | Transfers occurred between Level 1 and Level 2 as inputs were more observable. |
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Gains or losses from derivatives can be substantially greater than their original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended
266
Notes to Financial Statements (Continued)
September 30, 2017, the following table shows how the Fund used these types of derivatives during the year (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- | Inflation | Core | Diversified | Balanced | |||||
Foreign Currency Exchange Transactions* | ||||||||||
Hedging/Risk Management | A | A | A | A | ||||||
Directional Exposures to Currencies | M | A | M | A | ||||||
Intention to Create Investment Leverage in Portfolio | M | M | M | 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 | |||||
Interest Rate Swaps*** | ||||||||||
Hedging/Risk Management | A | A | ||||||||
Duration Management | A | A | ||||||||
Asset/Liability Management | M | M | ||||||||
Substitution for Direct Investment | M | M | ||||||||
Intention to Create Investment Leverage in Portfolio | 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 | |||||
Credit Default Swaps (Protection Seller) | ||||||||||
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 | |||||
Options (Purchased) | ||||||||||
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 |
* | Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable. |
** | Includes any options purchased or written on futures contracts, if applicable. |
*** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
267
Notes to Financial Statements (Continued)
At September 30, 2017, 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 | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 998,636 | $ | 998,636 | ||||||||||
Futures Contracts^^ | - | - | - | 1,462,266 | 1,462,266 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 2,460,902 | $ | 2,460,902 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (867,850 | ) | $ | (867,850 | ) | ||||||||
Swap Agreements^ | (457,923 | ) | - | - | - | (457,923 | ) | |||||||||||||
Swap Agreements^^,^^^ | (136,849 | ) | - | - | - | (136,849 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (594,772 | ) | $ | - | $ | - | $ | (867,850 | ) | $ | (1,462,622 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (77,389 | ) | $ | (77,389 | ) | ||||||||
Forward Contracts | - | - | 44,307 | - | 44,307 | |||||||||||||||
Futures Contracts | - | - | - | 2,283,590 | 2,283,590 | |||||||||||||||
Swap Agreements | (48,948 | ) | - | - | - | (48,948 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (48,948 | ) | $ | - | $ | 44,307 | $ | 2,206,201 | $ | 2,201,560 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (29,023 | ) | $ | (29,023 | ) | ||||||||
Forward Contracts | - | - | (44,307 | ) | - | (44,307 | ) | |||||||||||||
Futures Contracts | - | - | - | 759,513 | 759,513 | |||||||||||||||
Swap Agreements | (180,790 | ) | - | - | - | (180,790 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (180,790 | ) | $ | - | $ | (44,307 | ) | $ | 730,490 | $ | 505,393 | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 432,872 | $ | 432,872 | ||||||||||
Futures Contracts^^ | - | - | - | 1,073 | 1,073 | |||||||||||||||
Swap Agreements* | - | - | - | 236,077 | 236,077 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 670,022 | $ | 670,022 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (4,434 | ) | $ | (4,434 | ) | ||||||||
Swap Agreements^ | (413,950 | ) | - | - | (45,228 | ) | (459,178 | ) | ||||||||||||
Swap Agreements^^,^^^ | (10,804 | ) | - | - | - | (10,804 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (424,754 | ) | $ | - | $ | - | $ | (49,662 | ) | $ | (474,416 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (40,961 | ) | $ | (40,961 | ) | ||||||||
Futures Contracts | - | - | - | (45,671 | ) | (45,671 | ) | |||||||||||||
Swap Agreements | 71,906 | - | - | (154,972 | ) | (83,066 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | 71,906 | $ | - | $ | - | $ | (241,604 | ) | $ | (169,698 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
268
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Inflation-Protected and Income Fund (Continued) | ||||||||||||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (12,598 | ) | $ | (12,598 | ) | ||||||||
Futures Contracts | - | - | - | 7,198 | 7,198 | |||||||||||||||
Swap Agreements | (168,350 | ) | - | - | (35,964 | ) | (204,314 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (168,350 | ) | $ | - | $ | - | $ | (41,364 | ) | $ | (209,714 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Core Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 1,996,073 | $ | 1,996,073 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (1,352,182 | ) | $ | (1,352,182 | ) | ||||||||
Swap Agreements^ | (1,172,101 | ) | - | - | - | (1,172,101 | ) | |||||||||||||
Swap Agreements^^,^^^ | (400,166 | ) | - | - | - | (400,166 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (1,572,267 | ) | $ | - | $ | - | $ | (1,352,182 | ) | $ | (2,924,449 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (156,610 | ) | $ | (156,610 | ) | ||||||||
Forward Contracts | - | - | 107,114 | - | 107,114 | |||||||||||||||
Futures Contracts | - | - | - | (5,578,318 | ) | (5,578,318 | ) | |||||||||||||
Swap Agreements | (177,179 | ) | - | - | (1,240 | ) | (178,419 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (177,179 | ) | $ | - | $ | 107,114 | $ | (5,736,168 | ) | $ | (5,806,233 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (57,958 | ) | $ | (57,958 | ) | ||||||||
Forward Contracts | - | - | (107,114 | ) | - | (107,114 | ) | |||||||||||||
Futures Contracts | - | - | - | (1,849,796 | ) | (1,849,796 | ) | |||||||||||||
Swap Agreements | (460,573 | ) | - | - | - | (460,573 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (460,573 | ) | $ | - | $ | (107,114 | ) | $ | (1,907,754 | ) | $ | (2,475,441 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Diversified Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 665,583 | $ | 665,583 | ||||||||||
Forward Contracts* | - | - | 51,685 | - | 51,685 | |||||||||||||||
Futures Contracts^^ | - | - | - | 1,184 | 1,184 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | 51,685 | $ | 666,767 | $ | 718,452 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (61,748 | ) | $ | - | $ | (61,748 | ) | ||||||||
Futures Contracts^^ | - | - | - | (206,320 | ) | (206,320 | ) | |||||||||||||
Swap Agreements^ | (147,081 | ) | - | - | - | (147,081 | ) | |||||||||||||
Swap Agreements^^,^^^ | (72,026 | ) | - | - | - | (72,026 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (219,107 | ) | $ | - | $ | (61,748 | ) | $ | (206,320 | ) | $ | (487,175 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
269
Notes to Financial Statements (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Diversified Bond Fund (Continued) | ||||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (52,305 | ) | $ | (52,305 | ) | ||||||||
Forward Contracts | - | - | 215,868 | - | 215,868 | |||||||||||||||
Futures Contracts | - | - | - | (517,783 | ) | (517,783 | ) | |||||||||||||
Swap Agreements | (44,705 | ) | - | - | (70,598 | ) | (115,303 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (44,705 | ) | $ | - | $ | 215,868 | $ | (640,686 | ) | $ | (469,523 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (19,306 | ) | $ | (19,306 | ) | ||||||||
Forward Contracts | - | - | (44,076 | ) | - | (44,076 | ) | |||||||||||||
Futures Contracts | - | - | - | (204,491 | ) | (204,491 | ) | |||||||||||||
Swap Agreements | (56,844 | ) | - | - | - | (56,844 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (56,844 | ) | $ | - | $ | (44,076 | ) | $ | (223,797 | ) | $ | (324,717 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 48,672 | $ | 48,672 | ||||||||||
Futures Contracts^^ | - | 10,409 | - | 1,536 | 11,945 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | 10,409 | $ | - | $ | 50,208 | $ | 60,617 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (44,206 | ) | $ | (44,206 | ) | ||||||||
Swap Agreements^ | (31,842 | ) | - | - | - | (31,842 | ) | |||||||||||||
Swap Agreements^^,^^^ | (10,592 | ) | - | - | - | (10,592 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (42,434 | ) | $ | - | $ | - | $ | (44,206 | ) | $ | (86,640 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (5,008 | ) | $ | (5,008 | ) | ||||||||
Forward Contracts | - | - | 2,828 | - | 2,828 | |||||||||||||||
Futures Contracts | - | (102,815 | ) | - | (85,981 | ) | (188,796 | ) | ||||||||||||
Swap Agreements | (5,879 | ) | - | - | - | (5,879 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (5,879 | ) | $ | (102,815 | ) | $ | 2,828 | $ | (90,989 | ) | $ | (196,855 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (1,393 | ) | $ | (1,393 | ) | ||||||||
Forward Contracts | - | - | (2,828 | ) | - | (2,828 | ) | |||||||||||||
Futures Contracts | - | 27,469 | - | (41,080 | ) | (13,611 | ) | |||||||||||||
Swap Agreements | (11,976 | ) | - | - | - | (11,976 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (11,976 | ) | $ | 27,469 | $ | (2,828 | ) | $ | (42,473 | ) | $ | (29,808 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
* | Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable. |
^ | Statements of Assets and Liabilities location: Payables for: open forward foreign currency contracts, or open swap agreements, at value, as applicable. |
270
Notes to Financial Statements (Continued)
^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
^^^ | Represents centrally cleared swaps which are not subject to a master netting agreement. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, swap agreements, or forward contracts, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, swap agreements, or forward contracts, as applicable. |
For the year ended September 30, 2017, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† | ||||||||||||||||
Fund Name | Futures Contracts | Forward Contracts | Swap Agreements | Purchased Swaptions | ||||||||||||
Short-Duration Bond Fund | 1,637 | $ | 37,555,693 | $ | 9,480,000 | $ | 11,701,111 | |||||||||
Inflation-Protected and Income Fund | 37 | - | 35,873,333 | 5,552,444 | ||||||||||||
Core Bond Fund | 1,367 | 90,792,886 | 26,620,000 | 23,512,889 | ||||||||||||
Diversified Bond Fund | 230 | 15,720,434 | 4,370,000 | 7,841,556 | ||||||||||||
Balanced Fund | 80 | 2,397,172 | 743,333 | 646,667 |
† | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, and purchased swaptions, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended September 30, 2017. |
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of September 30, 2017.
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | 47,732 | $ | (45,228 | ) | $ | - | $ | 2,504 | |||||||
Barclays Bank PLC | 432,872 | - | (432,872 | ) | - | |||||||||||
Goldman Sachs International | 86,604 | (86,604 | ) | - | - | |||||||||||
JP Morgan Chase Bank N.A. | 101,741 | (78,847 | ) | - | 22,894 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 668,949 | $ | (210,679 | ) | $ | (432,872 | ) | $ | 25,398 | |||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund | ||||||||||||||||
Barclays Bank PLC | $ | 998,636 | $ | - | $ | (998,636 | ) | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Bank of America N.A. | $ | 2,749 | $ | (2,749 | ) | $ | - | $ | - | |||||||
Barclays Bank PLC | 665,583 | (15 | ) | (665,568 | ) | - | ||||||||||
BNP Paribas SA | 3,083 | (3,083 | ) | - | - | |||||||||||
Goldman Sachs International | 13,783 | (13,783 | ) | - | - | |||||||||||
HSBC Bank USA | 20,260 | (649 | ) | - | 19,611 | |||||||||||
JP Morgan Chase Bank N.A. | 11,810 | (11,810 | ) | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 717,268 | $ | (32,089 | ) | $ | (665,568 | ) | $ | 19,611 | |||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Barclays Bank PLC | $ | 1,996,073 | $ | - | $ | (1,996,073 | ) | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Barclays Bank PLC | $ | 48,672 | $ | - | $ | - | $ | 48,672 | ||||||||
|
|
|
|
|
|
|
|
271
Notes to Financial Statements (Continued)
The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of September 30, 2017.
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 | $ | (457,923 | ) | $ | - | $ | 273,428 | $ | (184,495 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | (45,228 | ) | $ | 45,228 | $ | - | $ | - | |||||||
Goldman Sachs International | (335,103 | ) | 86,604 | 248,499 | - | |||||||||||
JP Morgan Chase Bank N.A. | (78,847 | ) | 78,847 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (459,178 | ) | $ | 210,679 | $ | 248,499 | $ | - | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Goldman Sachs International | $ | (1,172,101 | ) | $ | - | $ | 1,172,101 | $ | - | |||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Bank of America N.A. | $ | (3,894 | ) | $ | 2,749 | $ | - | $ | (1,145 | ) | ||||||
Barclays Bank PLC | (15 | ) | 15 | - | - | |||||||||||
BNP Paribas SA | (22,774 | ) | 3,083 | - | (19,691 | ) | ||||||||||
Deutsche Bank AG | (369 | ) | - | - | (369 | ) | ||||||||||
Goldman Sachs International | (150,575 | ) | 13,783 | - | (136,792 | ) | ||||||||||
HSBC Bank USA | (649 | ) | 649 | - | - | |||||||||||
JP Morgan Chase Bank N.A. | (13,431 | ) | 11,810 | - | (1,621 | ) | ||||||||||
State Street Bank and Trust | (17,122 | ) | - | - | (17,122 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (208,829 | ) | $ | 32,089 | $ | - | $ | (176,740 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Goldman Sachs International | $ | (31,842 | ) | $ | - | $ | - | $ | (31,842 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents the net amount receivable from the counterparty in the event of default. |
** | Represents the net amount payable to the counterparty in the event of default. |
*** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
† | The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within 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, 2017, 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
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Notes to Financial Statements (Continued)
the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.
Forward foreign currency contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Portfolio of Investments. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
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 a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
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Notes to Financial Statements (Continued)
Futures contracts outstanding at the end of the year, if any, are listed in each applicable Fund’s Portfolio of Investments.
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, 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
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Notes to Financial Statements (Continued)
when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange 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.
Swap agreements outstanding at the end of the year, if any, are listed in each applicable Fund’s Portfolio of Investments. A Fund’s current exposure to a counterparty is the fair value of the transaction.
Options, Rights, and Warrants
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to
275
Notes to Financial Statements (Continued)
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, a Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
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.
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Notes to Financial Statements (Continued)
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
Inflation-Indexed Bonds
The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.
The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
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.
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Notes to Financial Statements (Continued)
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, 2017, the Funds had no unfunded loan commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.
Reverse Repurchase Agreements
Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty.
Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create 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.
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Notes to Financial Statements (Continued)
The following table is a summary of the Fund(s) open reverse repurchase transactions which are subject to an MRA on a net basis at September 30, 2017:
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral* | Cash Collateral Pledged* | Net Amount | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Banque Paribas | (28,370,000 | ) | $ | 28,370,000 | $ | - | $ | - | ||||||||
Daiwa Securities | (36,104,750 | ) | 36,104,750 | - | - | |||||||||||
Goldman Sachs & Co. | (58,908,955 | ) | 58,908,955 | - | - | |||||||||||
HSBC Finance Corp. | (56,216,500 | ) | 56,216,500 | - | - | |||||||||||
Morgan Stanley | (33,094,363 | ) | 33,094,363 | - | - | |||||||||||
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|
| |||||||||
$ | (212,694,568 | ) | $ | 212,694,568 | $ | - | $ | - | ||||||||
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* | Collateral with a value of $216,654,408 has been pledged in connection with open reverse repurchase transactions. Excess collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
Reverse repurchase transactions outstanding at the end of the year, if any, are listed in each applicable Fund’s Portfolio of Investments.
At September 30, 2017, the average balance outstanding for open reverse repurchase agreements for the Fund was $219,942,746. The maximum balance outstanding for the Fund was $264,809,962 during the year ended September 30, 2017. The weighted average maturity was 61 days, at a weighted average interest rate of 1.015%.
Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase transactions.
The type of underlying collateral and the remaining maturity of open reverse repurchase transactions in relation to the reverse repurchase agreements on the Statements of Assets and Liabilities is as follows:
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
U.S. Treasury Obligations | $ | - | $ | 33,094,363 | $ | 179,600,205 | $ | - | $ | 212,694,568 | ||||||||||
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| |||||||||||
Total Borrowings | $ | - | $ | 33,094,363 | $ | 179,600,205 | - | $ | 212,694,568 | |||||||||||
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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.
279
Notes to Financial Statements (Continued)
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Dollar Roll Transactions
A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.
Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
Each Fund 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”).
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. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At September 30, 2017, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.
Security loans can be terminated at the discretion of either the Agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at September 30, 2017.
280
Notes to Financial Statements (Continued)
The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. For the year ended September 30, 2017, 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 | $ | 5,018 | $ | 1,005 | $ | 4,013 | ||||||
Main Street Fund | 3,146 | 638 | 2,508 | |||||||||
Small Cap Opportunities Fund | 174,299 | 35,010 | 139,289 | |||||||||
Global Fund | 93,517 | 18,718 | 74,799 | |||||||||
International Equity Fund | 83,536 | 15,980 | 67,556 | |||||||||
Strategic Emerging Markets Fund | 9,573 | 1,924 | 7,649 |
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 determine the classification of distributions received as return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets.
281
Notes to Financial Statements (Continued)
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, 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 U.S. Government 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 U.S. Government Money Market Fund. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
3. 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, computed and accrued daily and payable monthly, at the following annual rates:
Fund | Investment Advisory Fee | |
U.S. Government 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 | ||
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 | |
0.30% on any excess over $150 million |
282
Notes to Financial Statements (Continued)
Fund | Investment Advisory Fee | |
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 $300 million; and | |
0.43% on any excess over $300 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 $300 million; and | |
0.53% on any excess over $300 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 |
MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets, at the following annual rates:
U.S. Government Money Market Fund | 0.05% | |
Short-Duration Bond Fund | 0.08% | |
Inflation-Protected and Income Fund | 0.08% | |
Core Bond Fund | 0.10% | |
Diversified Bond Fund | 0.10% | |
High Yield Fund | 0.20% | |
Balanced Fund: fixed income portion | 0.09% | |
Balanced Fund: equity portion* | 0.22% of the first $50 million; | |
0.21% of the next $50 million; and | ||
0.20% of any excess over $100 million | ||
Disciplined Value Fund* | 0.25% of the first $50 million; | |
0.21% of the next $50 million; | ||
0.17% of the next $650 million; and | ||
0.14% of any excess over $750 million | ||
Disciplined Growth Fund* | 0.25% of the first $50 million; | |
0.21% of the next $50 million; | ||
0.17% of the next $650 million; and | ||
0.14% of any excess over $750 million |
* | Subadvisory fee based on Aggregate Assets. For purposes of these subadvisory agreements, “Aggregate Assets” means the aggregate of (i) the average daily net assets of the Fund determined at the close of the NYSE on each day that the NYSE is open for trading, and (ii) the average daily net assets of certain other funds or accounts of MML Advisers or its affiliates, including other funds registered under the 1940 Act, for which Barings provides investment advisory services, as agreed upon from time to time by MML Advisers and Barings, determined at the close of the NYSE on each day that the NYSE is open for trading. |
283
Notes to Financial Statements (Continued)
In addition, prior to December 30, 2016, Barings Real Estate Advisers LLC (“Barings Real Estate”) served 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 was primarily responsible for managing each Fund’s commercial mortgage-backed securities. Barings Real Estate was a wholly-owned subsidiary of Barings. The appointment of Barings Real Estate as a sub-subadviser to each Fund did not relieve Barings of any obligation or liability to any of the Funds that it would otherwise have had pursuant to investment subadvisory agreements between MML Advisers and Barings with respect to each Fund, and any and all acts and omissions of Barings Real Estate in respect to any Fund were considered the acts and omissions of Barings. Effective December 30, 2016, Barings Real Estate merged with and into Barings and, as a result, no longer serves as a sub-subadviser to any of the Funds.
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 monthly by MML Advisers out of the advisory fees previously disclosed above.
Administration Fees
Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers 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 | ||||||||||||||||||||||
U.S. Government 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% |
284
Notes to Financial Statements (Continued)
Class I | Class R5 | Service Class | Administrative Class | Class A | Class R4 | Class R3 | ||||||||||||||||||||||
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 or unusual expenses such as organizational expenses and shareholder meeting expenses) through January 31, 2018 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. |
285
Notes to Financial Statements (Continued)
For the U.S. Government 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.
For the Inflation-Protected and Income Fund, MML Advisers has agreed to voluntarily waive .03% of its management fees through January 31, 2018. MML Advisers may amend or discontinue this waiver at any time without advance notice.
For the International Equity Fund, MML Advisers has agreed to voluntarily waive .02% of its management fees through January 31, 2018. 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 may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
Elaine A. Sarsynski resigned as a Trustee of the Trust effective as of February 1, 2017. Teresa Hassara became a Trustee of the Trust effective as of June 6, 2017.
The following table shows beneficial ownership of Funds’ shares by affiliated parties at September 30, 2017:
Total % Ownership by Related Party | ||||
U.S. Government Money Market Fund | 47.7 | % | ||
Short-Duration Bond Fund | 90.0 | % | ||
Inflation-Protected and Income Fund | 83.9 | % | ||
Core Bond Fund | 79.2 | % | ||
Diversified Bond Fund | 56.4 | % | ||
High Yield Fund | 69.0 | % | ||
Balanced Fund | 75.0 | % | ||
Value Fund | 94.6 | % | ||
Disciplined Value Fund | 83.4 | % | ||
Main Street Fund | 92.5 | % | ||
Disciplined Growth Fund | 77.5 | % | ||
Small Cap Opportunities Fund | 78.0 | % | ||
Global Fund | 84.4 | % | ||
International Equity Fund | 89.0 | % | ||
Strategic Emerging Markets Fund | 99.5 | % |
286
Notes to Financial Statements (Continued)
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended September 30, 2017, 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 | 173,241,667 | 236,241,868 | 180,479,384 | 281,516,462 | ||||||||||||
Inflation-Protected and Income Fund | 58,438,092 | 39,117,523 | 86,759,931 | 121,616,493 | ||||||||||||
Core Bond Fund | 2,079,064,952 | 447,406,587 | 2,018,492,393 | 543,893,282 | ||||||||||||
Diversified Bond Fund | 318,795,836 | 85,008,915 | 316,158,037 | 77,235,496 | ||||||||||||
High Yield Fund | - | 333,952,990 | - | 295,441,019 | ||||||||||||
Balanced Fund | 66,318,255 | 61,022,856 | 66,813,269 | 73,049,865 | ||||||||||||
Value Fund | - | 33,632,176 | - | 55,805,734 | ||||||||||||
Disciplined Value Fund | - | 206,704,715 | - | 234,429,489 | ||||||||||||
Main Street Fund | - | 45,637,378 | - | 51,178,948 | ||||||||||||
Disciplined Growth Fund | - | 383,473,923 | - | 421,223,221 | ||||||||||||
Small Cap Opportunities Fund | - | 119,165,318 | - | 123,298,101 | ||||||||||||
Global Fund | - | 91,821,711 | - | 155,591,331 | ||||||||||||
International Equity Fund | - | 223,264,302 | - | 258,002,635 | ||||||||||||
Strategic Emerging Markets Fund | - | 102,103,746 | - | 104,667,381 |
The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These policies have been designed to ensure that cross-trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. These trades are included within the respective purchases and sales amounts shown in the table above, as applicable.
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
U.S. Government Money Market Fund Class R5 | ||||||||||||||||
Sold | 1,667,017,896 | $ | 1,667,017,896 | 1,663,936,209 | $ | 1,663,936,205 | ||||||||||
Issued as reinvestment of dividends | 789,917 | 789,917 | 11,965 | 11,965 | ||||||||||||
Redeemed | (1,650,225,631 | ) | (1,650,225,631 | ) | (1,729,258,382 | ) | (1,729,258,382 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 17,582,182 | $ | 17,582,182 | (65,310,208 | ) | $ | (65,310,212 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class I | ||||||||||||||||
Sold | 24,677,044 | $ | 254,122,849 | 13,052,465 | $ | 134,134,974 | ||||||||||
Issued as reinvestment of dividends | 505,892 | 5,124,688 | 406,694 | 4,111,675 | ||||||||||||
Redeemed | (12,349,609 | ) | (127,048,487 | ) | (12,199,325 | ) | (126,188,190 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 12,833,327 | $ | 132,199,050 | 1,259,834 | $ | 12,058,459 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R5 | ||||||||||||||||
Sold | 4,494,152 | $ | 46,232,992 | 8,767,054 | $ | 90,738,499 | ||||||||||
Issued as reinvestment of dividends | 450,451 | 4,576,584 | 452,722 | 4,590,598 | ||||||||||||
Redeemed | (9,191,175 | ) | (94,491,761 | ) | (5,289,514 | ) | (54,446,557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,246,572 | ) | $ | (43,682,185 | ) | 3,930,262 | $ | 40,882,540 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Service Class | ||||||||||||||||
Sold | 5,101,752 | $ | 52,345,346 | 1,622,718 | $ | 16,673,754 | ||||||||||
Issued as reinvestment of dividends | 110,782 | 1,118,894 | 194,326 | 1,958,806 | ||||||||||||
Redeemed | (3,260,281 | ) | (33,263,434 | ) | (4,734,274 | ) | (48,348,465 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,952,253 | $ | 20,200,806 | (2,917,230 | ) | $ | (29,715,905 | ) | ||||||||
|
|
|
|
|
|
|
|
287
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short-Duration Bond Fund Administrative Class | ||||||||||||||||
Sold | 1,009,028 | $ | 10,319,430 | 1,644,279 | $ | 16,838,267 | ||||||||||
Issued as reinvestment of dividends | 64,201 | 646,507 | 87,620 | 879,709 | ||||||||||||
Redeemed | (1,475,833 | ) | (15,110,628 | ) | (2,085,242 | ) | (21,274,386 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (402,604 | ) | $ | (4,144,691 | ) | (353,343 | ) | $ | (3,556,410 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class A | ||||||||||||||||
Sold | 1,569,035 | $ | 15,960,892 | 3,068,293 | $ | 31,304,881 | ||||||||||
Issued as reinvestment of dividends | 156,533 | 1,566,893 | 184,068 | 1,838,837 | ||||||||||||
Redeemed | (5,314,558 | ) | (53,780,849 | ) | (2,018,225 | ) | (20,494,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,588,990 | ) | $ | (36,253,064 | ) | 1,234,136 | $ | 12,649,341 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R4 | ||||||||||||||||
Sold | 607,838 | $ | 6,207,024 | 513,116 | $ | 5,284,172 | ||||||||||
Issued as reinvestment of dividends | 19,006 | 192,528 | 17,079 | 172,671 | ||||||||||||
Redeemed | (216,955 | ) | (2,229,173 | ) | (180,971 | ) | (1,853,493 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 409,889 | $ | 4,170,379 | 349,224 | $ | 3,603,350 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R3 | ||||||||||||||||
Sold | 475,044 | $ | 4,848,762 | 277,492 | $ | 2,843,660 | ||||||||||
Issued as reinvestment of dividends | 7,426 | 74,927 | 4,531 | 45,671 | ||||||||||||
Redeemed | (187,965 | ) | (1,932,694 | ) | (76,783 | ) | (789,271 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 294,505 | $ | 2,990,995 | 205,240 | $ | 2,100,060 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class I | ||||||||||||||||
Sold | 4,174,785 | $ | 43,720,647 | 5,757,789 | $ | 59,582,229 | ||||||||||
Issued as reinvestment of dividends | 327,422 | 3,303,684 | 207,258 | 2,070,502 | ||||||||||||
Redeemed | (6,464,706 | ) | (67,423,253 | ) | (9,664,230 | ) | (101,337,771 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,962,499 | ) | $ | (20,398,922 | ) | (3,699,183 | ) | $ | (39,685,040 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R5 | ||||||||||||||||
Sold | 1,859,926 | $ | 19,503,721 | 1,688,822 | $ | 17,618,935 | ||||||||||
Issued as reinvestment of dividends | 169,906 | 1,716,053 | 58,204 | 582,044 | ||||||||||||
Redeemed | (2,334,640 | ) | (24,234,058 | ) | (1,606,436 | ) | (16,469,308 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (304,808 | ) | $ | (3,014,284 | ) | 140,590 | $ | 1,731,671 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Service Class | ||||||||||||||||
Sold | 1,091,632 | $ | 11,393,848 | 1,262,096 | $ | 13,159,948 | ||||||||||
Issued as reinvestment of dividends | 167,350 | 1,685,214 | 75,869 | 756,409 | ||||||||||||
Redeemed | (2,326,226 | ) | (24,138,930 | ) | (2,327,798 | ) | (23,987,953 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,067,244 | ) | $ | (11,059,868 | ) | (989,833 | ) | $ | (10,071,596 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Administrative Class | ||||||||||||||||
Sold | 615,865 | $ | 6,479,434 | 646,044 | $ | 6,834,582 | ||||||||||
Issued as reinvestment of dividends | 37,333 | 380,046 | 10,477 | 105,506 | ||||||||||||
Redeemed | (600,076 | ) | (6,271,377 | ) | (486,329 | ) | (5,142,341 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 53,122 | $ | 588,103 | 170,192 | $ | 1,797,747 | ||||||||||
|
|
|
|
|
|
|
|
288
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Inflation-Protected and Income Fund Class A | ||||||||||||||||
Sold | 350,072 | $ | 3,601,819 | 566,784 | $ | 5,819,526 | ||||||||||
Issued as reinvestment of dividends | 48,160 | 479,192 | 13,621 | 134,169 | ||||||||||||
Redeemed | (453,751 | ) | (4,668,324 | ) | (596,303 | ) | (6,101,545 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (55,519 | ) | $ | (587,313 | ) | (15,898 | ) | $ | (147,850 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R4 | ||||||||||||||||
Sold | 417,215 | $ | 4,259,457 | 560,700 | $ | 5,700,016 | ||||||||||
Issued as reinvestment of dividends | 14,213 | 140,571 | 1,381 | 13,551 | ||||||||||||
Redeemed | (328,355 | ) | (3,359,503 | ) | (155,187 | ) | (1,581,496 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 103,073 | $ | 1,040,525 | 406,894 | $ | 4,132,071 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R3 | ||||||||||||||||
Sold | 268,065 | $ | 2,745,586 | 277,546 | $ | 2,838,252 | ||||||||||
Issued as reinvestment of dividends | 7,169 | 71,044 | 350 | 3,444 | ||||||||||||
Redeemed | (80,830 | ) | (829,942 | ) | (52,446 | ) | (541,096 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 194,404 | $ | 1,986,688 | 225,450 | $ | 2,300,600 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class I | ||||||||||||||||
Sold | 17,235,560 | $ | 185,829,287 | 14,060,151 | $ | 156,373,556 | ||||||||||
Issued as reinvestment of dividends | 1,386,692 | 14,601,868 | 2,498,443 | 26,658,389 | ||||||||||||
Redeemed | (13,640,947 | ) | (149,407,885 | ) | (32,114,427 | ) | (357,706,881 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,981,305 | $ | 51,023,270 | (15,555,833 | ) | $ | (174,674,936 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R5 | ||||||||||||||||
Sold | 4,806,352 | $ | 52,575,651 | 2,690,313 | $ | 29,746,398 | ||||||||||
Issued as reinvestment of dividends | 1,194,390 | 12,612,757 | 1,811,393 | 19,400,021 | ||||||||||||
Redeemed | (9,818,043 | ) | (106,423,536 | ) | (11,634,707 | ) | (128,971,366 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,817,301 | ) | $ | (41,235,128 | ) | (7,133,001 | ) | $ | (79,824,947 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Service Class | ||||||||||||||||
Sold | 3,488,190 | $ | 37,533,577 | 1,284,205 | $ | 14,139,544 | ||||||||||
Issued as reinvestment of dividends | 226,784 | 2,383,497 | 521,970 | 5,558,982 | ||||||||||||
Redeemed | (2,737,161 | ) | (29,923,643 | ) | (5,275,810 | ) | (57,444,423 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 977,813 | $ | 9,993,431 | (3,469,635 | ) | $ | (37,745,897 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Administrative Class | ||||||||||||||||
Sold | 1,569,916 | $ | 16,977,562 | 2,300,519 | $ | 25,056,753 | ||||||||||
Issued as reinvestment of dividends | 246,023 | 2,568,484 | 351,880 | 3,722,888 | ||||||||||||
Redeemed | (2,927,929 | ) | (31,632,962 | ) | (2,594,694 | ) | (28,152,274 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,111,990 | ) | $ | (12,086,916 | ) | 57,705 | $ | 627,367 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class A | ||||||||||||||||
Sold | 1,385,830 | $ | 14,736,023 | 1,636,651 | $ | 17,700,256 | ||||||||||
Issued as reinvestment of dividends | 345,543 | 3,579,825 | 619,171 | 6,501,293 | ||||||||||||
Redeemed | (4,765,211 | ) | (51,273,098 | ) | (3,746,735 | ) | (40,368,193 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,033,838 | ) | $ | (32,957,250 | ) | (1,490,913 | ) | $ | (16,166,644 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R4 | ||||||||||||||||
Sold | 530,280 | $ | 5,663,731 | 682,691 | $ | 7,268,738 | ||||||||||
Issued as reinvestment of dividends | 45,799 | 472,193 | 38,061 | 398,115 | ||||||||||||
Redeemed | (556,380 | ) | (5,876,040 | ) | (178,039 | ) | (1,920,879 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 19,699 | $ | 259,884 | 542,713 | $ | 5,745,974 | ||||||||||
|
|
|
|
|
|
|
|
289
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Core Bond Fund Class R3 | ||||||||||||||||
Sold | 28,304 | $ | 308,926 | 19,547 | $ | 215,262 | ||||||||||
Issued as reinvestment of dividends | 1,999 | 21,128 | 2,195 | 23,531 | ||||||||||||
Redeemed | (24,845 | ) | (269,681 | ) | (7,626 | ) | (84,886 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,458 | $ | 60,373 | 14,116 | $ | 153,907 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class I | ||||||||||||||||
Sold | 1,030,426 | $ | 11,005,092 | 576,858 | $ | 6,148,415 | ||||||||||
Issued as reinvestment of dividends | 49,002 | 510,116 | 44,663 | 462,260 | ||||||||||||
Redeemed | (397,627 | ) | (4,246,852 | ) | (259,806 | ) | (2,775,195 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 681,801 | $ | 7,268,356 | 361,715 | $ | 3,835,480 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R5 | ||||||||||||||||
Sold | 2,122,705 | $ | 21,119,131 | 2,095,040 | $ | 20,821,771 | ||||||||||
Issued as reinvestment of dividends | 199,436 | 1,924,560 | 219,500 | 2,111,588 | ||||||||||||
Redeemed | (1,190,612 | ) | (11,910,850 | ) | (1,243,836 | ) | (12,358,677 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,131,529 | $ | 11,132,841 | 1,070,704 | $ | 10,574,682 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Service Class | ||||||||||||||||
Sold | 352,965 | $ | 3,545,581 | 237,627 | $ | 2,399,222 | ||||||||||
Issued as reinvestment of dividends | 41,458 | 405,459 | 49,674 | 483,829 | ||||||||||||
Redeemed | (477,247 | ) | (4,755,673 | ) | (647,922 | ) | (6,519,801 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (82,824 | ) | $ | (804,633 | ) | (360,621 | ) | $ | (3,636,750 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Administrative Class | ||||||||||||||||
Sold | 756,534 | $ | 7,540,949 | 560,811 | $ | 5,656,308 | ||||||||||
Issued as reinvestment of dividends | 78,468 | 765,843 | 102,691 | 998,151 | ||||||||||||
Redeemed | (1,609,795 | ) | (16,154,410 | ) | (828,200 | ) | (8,323,567 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (774,793 | ) | $ | (7,847,618 | ) | (164,698 | ) | $ | (1,669,108 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class A | ||||||||||||||||
Sold | 582,548 | $ | 5,826,937 | 761,793 | $ | 7,589,872 | ||||||||||
Issued as reinvestment of dividends | 76,188 | 742,829 | 89,915 | 873,079 | ||||||||||||
Redeemed | (942,736 | ) | (9,485,433 | ) | (910,427 | ) | (9,102,327 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (284,000 | ) | $ | (2,915,667 | ) | (58,719 | ) | $ | (639,376 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R4 | ||||||||||||||||
Sold | 338,989 | $ | 3,397,385 | 141,806 | $ | 1,415,357 | ||||||||||
Issued as reinvestment of dividends | 11,704 | 113,297 | 9,804 | 94,609 | ||||||||||||
Redeemed | (223,446 | ) | (2,201,287 | ) | (79,015 | ) | (780,796 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 127,247 | $ | 1,309,395 | 72,595 | $ | 729,170 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R3 | ||||||||||||||||
Sold | 211,720 | $ | 2,101,371 | 238,535 | $ | 2,392,274 | ||||||||||
Issued as reinvestment of dividends | 6,258 | 60,325 | 1,298 | 12,502 | ||||||||||||
Redeemed | (89,326 | ) | (891,968 | ) | (26,671 | ) | (266,225 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 128,652 | $ | 1,269,728 | 213,162 | $ | 2,138,551 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class I |
| |||||||||||||||
Sold | 14,888,726 | $ | 136,599,532 | 16,053,242 | $ | 140,164,355 | ||||||||||
Issued as reinvestment of dividends | 1,314,336 | 11,671,304 | 840,340 | 6,932,809 | ||||||||||||
Redeemed | (14,739,865 | ) | (137,181,404 | ) | (4,999,532 | ) | (43,689,964 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,463,197 | $ | 11,089,432 | 11,894,050 | $ | 103,407,200 | ||||||||||
|
|
|
|
|
|
|
|
290
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
High Yield Fund Class R5 |
| |||||||||||||||
Sold | 1,811,008 | $ | 16,788,321 | 1,507,512 | $ | 13,358,792 | ||||||||||
Issued as reinvestment of dividends | 335,127 | 2,992,693 | 275,924 | 2,287,408 | ||||||||||||
Redeemed | (1,305,015 | ) | (12,186,382 | ) | (1,483,805 | ) | (13,023,454 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 841,120 | $ | 7,594,632 | 299,631 | $ | 2,622,746 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Service Class |
| |||||||||||||||
Sold | 1,184,290 | $ | 11,156,689 | 938,792 | $ | 8,283,984 | ||||||||||
Issued as reinvestment of dividends | 359,582 | 3,214,659 | 479,040 | 3,971,242 | ||||||||||||
Redeemed | (2,823,019 | ) | (26,176,456 | ) | (1,968,879 | ) | (17,089,953 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,279,147 | ) | $ | (11,805,108 | ) | (551,047 | ) | $ | (4,834,727 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Administrative Class |
| |||||||||||||||
Sold | 1,023,534 | $ | 9,408,366 | 961,794 | $ | 8,362,359 | ||||||||||
Issued as reinvestment of dividends | 201,141 | 1,772,049 | 198,184 | 1,621,145 | ||||||||||||
Redeemed | (916,006 | ) | (8,423,557 | ) | (735,160 | ) | (6,322,924 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 308,669 | $ | 2,756,858 | 424,818 | $ | 3,660,580 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class A |
| |||||||||||||||
Sold | 665,667 | $ | 6,096,763 | 620,626 | $ | 5,388,621 | ||||||||||
Issued as reinvestment of dividends | 180,100 | 1,584,880 | 205,252 | 1,676,905 | ||||||||||||
Redeemed | (920,200 | ) | (8,460,894 | ) | (880,422 | ) | (7,571,832 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (74,433 | ) | $ | (779,251 | ) | (54,544 | ) | $ | (506,306 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R4 |
| |||||||||||||||
Sold | 1,717,667 | $ | 15,666,668 | 1,994,886 | $ | 17,145,053 | ||||||||||
Issued as reinvestment of dividends | 157,215 | 1,369,341 | 58,215 | 472,120 | ||||||||||||
Redeemed | (642,812 | ) | (5,845,741 | ) | (331,663 | ) | (2,805,750 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,232,070 | $ | 11,190,268 | 1,721,438 | $ | 14,811,423 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R3 |
| |||||||||||||||
Sold | 2,589,978 | $ | 24,303,425 | 1,256,552 | $ | 10,962,917 | ||||||||||
Issued as reinvestment of dividends | 97,991 | 873,103 | 41,813 | 346,635 | ||||||||||||
Redeemed | (372,153 | ) | (3,480,994 | ) | (178,837 | ) | (1,561,478 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,315,816 | $ | 21,695,534 | 1,119,528 | $ | 9,748,074 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class I |
| |||||||||||||||
Sold | 715,336 | $ | 8,574,640 | 49,821 | $ | 525,193 | ||||||||||
Issued as reinvestment of dividends | 4,322 | 49,009 | 3,775 | 40,088 | ||||||||||||
Redeemed | (145,327 | ) | (1,716,774 | ) | (959 | ) | (10,564 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 574,331 | $ | 6,906,875 | 52,637 | $ | 554,717 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R5 |
| |||||||||||||||
Sold | 203,456 | $ | 2,375,393 | 183,962 | $ | 2,040,064 | ||||||||||
Issued as reinvestment of dividends | 105,598 | 1,198,538 | 549,138 | 5,842,827 | ||||||||||||
Redeemed | (1,112,626 | ) | (12,994,381 | ) | (1,474,757 | ) | (16,469,735 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (803,572 | ) | $ | (9,420,450 | ) | (741,657 | ) | $ | (8,586,844 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Service Class |
| |||||||||||||||
Sold | 49,915 | $ | 608,776 | 229,288 | $ | 2,747,680 | ||||||||||
Issued as reinvestment of dividends | 17,515 | 208,078 | 120,436 | 1,339,246 | ||||||||||||
Redeemed | (729,307 | ) | (8,893,485 | ) | (206,050 | ) | (2,383,816 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (661,877 | ) | $ | (8,076,631 | ) | 143,674 | $ | 1,703,110 | ||||||||
|
|
|
|
|
|
|
|
291
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Balanced Fund Administrative Class |
| |||||||||||||||
Sold | 399,431 | $ | 4,531,011 | 125,540 | $ | 1,383,702 | ||||||||||
Issued as reinvestment of dividends | 25,361 | 288,861 | 85,454 | 912,644 | ||||||||||||
Redeemed | (533,821 | ) | (6,397,158 | ) | (107,412 | ) | (1,151,963 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (109,029 | ) | $ | (1,577,286 | ) | 103,582 | $ | 1,144,383 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class A |
| |||||||||||||||
Sold | 467,692 | $ | 5,212,321 | 219,229 | $ | 2,362,104 | ||||||||||
Issued as reinvestment of dividends | 59,723 | 662,927 | 291,391 | 3,036,297 | ||||||||||||
Redeemed | (641,004 | ) | (7,459,838 | ) | (521,475 | ) | (5,789,828 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (113,589 | ) | $ | (1,584,590 | ) | (10,855 | ) | $ | (391,427 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R4 |
| |||||||||||||||
Sold | 30,654 | $ | 351,273 | 56,412 | $ | 600,705 | ||||||||||
Issued as reinvestment of dividends | 4,732 | 52,192 | 21,474 | 222,254 | ||||||||||||
Redeemed | (18,933 | ) | (217,119 | ) | (41,431 | ) | (429,165 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 16,453 | $ | 186,346 | 36,455 | $ | 393,794 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R3 |
| |||||||||||||||
Sold | 245,154 | $ | 2,715,591 | 330,972 | $ | 3,677,203 | ||||||||||
Issued as reinvestment of dividends | 10,944 | 120,390 | 39,268 | 405,641 | ||||||||||||
Redeemed | (113,035 | ) | (1,299,768 | ) | (68,421 | ) | (728,935 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 143,063 | $ | 1,536,213 | 301,819 | $ | 3,353,909 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class I | ||||||||||||||||
Sold | - | $ | - | - | $ | - | ||||||||||
Issued as reinvestment of dividends | - | - | - | + | 2 | |||||||||||
Redeemed | - | - | (5 | ) | (107 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | - | $ | - | (5 | ) | $ | (105 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class R5 | ||||||||||||||||
Sold | 36,097 | $ | 838,479 | 29,655 | $ | 606,091 | ||||||||||
Issued as reinvestment of dividends | 34,720 | 794,392 | 35,561 | 721,893 | ||||||||||||
Redeemed | (948,229 | ) | (22,296,534 | ) | (241,660 | ) | (4,868,307 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (877,412 | ) | $ | (20,663,663 | ) | (176,444 | ) | $ | (3,540,323 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Service Class | ||||||||||||||||
Sold | 2,016 | $ | 48,689 | 1,345 | $ | 28,228 | ||||||||||
Issued as reinvestment of dividends | 104 | 2,379 | 91 | 1,852 | ||||||||||||
Redeemed | (2,422 | ) | (56,599 | ) | (282 | ) | (5,906 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (302 | ) | $ | (5,531 | ) | 1,154 | $ | 24,174 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Administrative Class | ||||||||||||||||
Sold | 46,800 | $ | 1,075,105 | 31,011 | $ | 629,277 | ||||||||||
Issued as reinvestment of dividends | 7,879 | 180,911 | 7,770 | 158,282 | ||||||||||||
Redeemed | (78,578 | ) | (1,846,538 | ) | (101,645 | ) | (2,081,557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (23,899 | ) | $ | (590,522 | ) | (62,864 | ) | $ | (1,293,998 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class A | ||||||||||||||||
Sold | 11,105 | $ | 257,640 | 12,631 | $ | 258,606 | ||||||||||
Issued as reinvestment of dividends | 3,098 | 71,194 | 3,328 | 67,859 | ||||||||||||
Redeemed | (73,893 | ) | (1,741,358 | ) | (75,363 | ) | (1,546,713 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (59,690 | ) | $ | (1,412,524 | ) | (59,404 | ) | $ | (1,220,248 | ) | ||||||
|
|
|
|
|
|
|
|
292
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Value Fund Class R4 | ||||||||||||||||
Issued as reinvestment of dividends | - | $ | - | - | + | $ | 2 | |||||||||
Redeemed | - | - | (10 | ) | (199 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | - | $ | - | (10 | ) | $ | (197 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Value Fund Class R3 | ||||||||||||||||
Sold | 257 | $ | 5,992 | 91 | $ | 1,850 | ||||||||||
Issued as reinvestment of dividends | 4 | 102 | 3 | 53 | ||||||||||||
Redeemed | (25 | ) | (598 | ) | (7 | ) | (142 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 236 | $ | 5,496 | 87 | $ | 1,761 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class I | ||||||||||||||||
Sold | 2,154,943 | $ | 35,739,090 | 3,431,726 | $ | 52,221,364 | ||||||||||
Issued as reinvestment of dividends | 295,221 | 4,850,482 | 465,524 | 6,945,621 | ||||||||||||
Redeemed | (2,512,339 | ) | (41,316,313 | ) | (10,428,754 | ) | (164,497,980 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (62,175 | ) | $ | (726,741 | ) | (6,531,504 | ) | $ | (105,330,995 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R5 | ||||||||||||||||
Sold | 1,861,134 | $ | 30,682,843 | 271,272 | $ | 4,116,817 | ||||||||||
Issued as reinvestment of dividends | 215,526 | 3,547,566 | 122,191 | 1,825,546 | ||||||||||||
Redeemed | (2,347,548 | ) | (39,571,691 | ) | (658,335 | ) | (9,906,198 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (270,888 | ) | $ | (5,341,282 | ) | (264,872 | ) | $ | (3,963,835 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Service Class | ||||||||||||||||
Sold | 275,439 | $ | 4,594,208 | 402,248 | $ | 6,069,204 | ||||||||||
Issued as reinvestment of dividends | 196,502 | 3,212,814 | 175,006 | 2,598,844 | ||||||||||||
Redeemed | (1,712,103 | ) | (27,587,605 | ) | (1,014,180 | ) | (15,411,330 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,240,162 | ) | $ | (19,780,583 | ) | (436,926 | ) | $ | (6,743,282 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Administrative Class | ||||||||||||||||
Sold | 102,645 | $ | 1,744,764 | 69,348 | $ | 1,072,405 | ||||||||||
Issued as reinvestment of dividends | 22,085 | 367,502 | 18,121 | 273,628 | ||||||||||||
Redeemed | (148,487 | ) | (2,530,906 | ) | (230,829 | ) | (3,566,819 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (23,757 | ) | $ | (418,640 | ) | (143,360 | ) | $ | (2,220,786 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class A | ||||||||||||||||
Sold | 86,132 | $ | 1,439,786 | 176,047 | $ | 2,725,708 | ||||||||||
Issued as reinvestment of dividends | 39,100 | 634,592 | 18,643 | 275,162 | ||||||||||||
Redeemed | (259,323 | ) | (4,332,928 | ) | (92,501 | ) | (1,391,123 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (134,091 | ) | $ | (2,258,550 | ) | 102,189 | $ | 1,609,747 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R4 | ||||||||||||||||
Sold | 373,277 | $ | 6,174,346 | 97,797 | $ | 1,511,747 | ||||||||||
Issued as reinvestment of dividends | 23,471 | 379,060 | 6,213 | 91,383 | ||||||||||||
Redeemed | (72,900 | ) | (1,209,508 | ) | (16,301 | ) | (245,322 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 323,848 | $ | 5,343,898 | 87,709 | $ | 1,357,808 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R3 | ||||||||||||||||
Sold | 221,791 | $ | 3,745,789 | 133,800 | $ | 1,945,948 | ||||||||||
Issued as reinvestment of dividends | 3,344 | 54,835 | 97 | 1,443 | ||||||||||||
Redeemed | (48,291 | ) | (815,722 | ) | (105,790 | ) | (1,670,070 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 176,844 | $ | 2,984,902 | 28,107 | $ | 277,321 | ||||||||||
|
|
|
|
|
|
|
|
293
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Main Street Fund Class I | ||||||||||||||||
Sold | 757,372 | $ | 8,323,648 | 74,242 | $ | 775,688 | ||||||||||
Issued as reinvestment of dividends | 5,006 | 52,559 | 950 | 9,218 | ||||||||||||
Redeemed | (119,776 | ) | (1,356,853 | ) | (6,958 | ) | (76,863 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 642,602 | $ | 7,019,354 | 68,234 | $ | 708,043 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R5 | ||||||||||||||||
Sold | 727,751 | $ | 7,774,104 | 814,150 | $ | 10,206,587 | ||||||||||
Issued as reinvestment of dividends | 295,483 | 3,102,575 | 2,723,512 | 26,445,301 | ||||||||||||
Redeemed | (1,481,980 | ) | (16,377,831 | ) | (1,554,370 | ) | (16,326,793 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (458,746 | ) | $ | (5,501,152 | ) | 1,983,292 | $ | 20,325,095 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Service Class | ||||||||||||||||
Sold | 30,034 | $ | 331,268 | 53,859 | $ | 561,634 | ||||||||||
Issued as reinvestment of dividends | 3,496 | 37,898 | 59,838 | 597,779 | ||||||||||||
Redeemed | (126,281 | ) | (1,359,573 | ) | (397,401 | ) | (5,671,026 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (92,751 | ) | $ | (990,407 | ) | (283,704 | ) | $ | (4,511,613 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Administrative Class | ||||||||||||||||
Sold | 698,392 | $ | 7,690,204 | 202,028 | $ | 2,196,323 | ||||||||||
Issued as reinvestment of dividends | 111,956 | 1,175,533 | 1,139,395 | 11,063,523 | ||||||||||||
Redeemed | (1,032,777 | ) | (11,574,173 | ) | (824,549 | ) | (8,790,081 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (222,429 | ) | $ | (2,708,436 | ) | 516,874 | $ | 4,469,765 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class A | ||||||||||||||||
Sold | 147,563 | $ | 1,571,363 | 254,961 | $ | 2,648,319 | ||||||||||
Issued as reinvestment of dividends | 44,183 | 458,618 | 458,924 | 4,405,674 | ||||||||||||
Redeemed | (234,045 | ) | (2,541,732 | ) | (506,735 | ) | (5,196,285 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (42,299 | ) | $ | (511,751 | ) | 207,150 | $ | 1,857,708 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R4 | ||||||||||||||||
Sold | 189,535 | $ | 2,014,675 | 339,113 | $ | 3,454,121 | ||||||||||
Issued as reinvestment of dividends | 13,853 | 142,686 | 2,372 | 22,677 | ||||||||||||
Redeemed | (86,426 | ) | (958,461 | ) | (14,696 | ) | (150,732 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 116,962 | $ | 1,198,900 | 326,789 | $ | 3,326,066 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R3 | ||||||||||||||||
Sold | 60,731 | $ | 641,845 | 64,073 | $ | 699,287 | ||||||||||
Issued as reinvestment of dividends | 4,373 | 45,480 | 10,020 | 96,689 | ||||||||||||
Redeemed | (45,646 | ) | (503,657 | ) | (6,464 | ) | (65,692 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 19,458 | $ | 183,668 | 67,629 | $ | 730,284 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class I | ||||||||||||||||
Sold | 4,066,894 | $ | 48,088,326 | 5,952,867 | $ | 67,693,803 | ||||||||||
Issued as reinvestment of dividends | 788,308 | 8,765,987 | 1,469,551 | 16,414,882 | ||||||||||||
Redeemed | (5,411,052 | ) | (64,001,662 | ) | (14,501,026 | ) | (166,603,239 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (555,850 | ) | $ | (7,147,349 | ) | (7,078,608 | ) | $ | (82,494,554 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R5 | ||||||||||||||||
Sold | 1,855,353 | $ | 22,015,055 | 842,095 | $ | 9,475,004 | ||||||||||
Issued as reinvestment of dividends | 606,849 | 6,760,298 | 659,316 | 7,371,156 | ||||||||||||
Redeemed | (2,409,425 | ) | (28,670,247 | ) | (2,450,267 | ) | (27,954,773 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 52,777 | $ | 105,106 | (948,856 | ) | $ | (11,108,613 | ) | ||||||||
|
|
|
|
|
|
|
|
294
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Disciplined Growth Fund Service Class | ||||||||||||||||
Sold | 558,809 | $ | 6,716,424 | 523,863 | $ | 5,931,125 | ||||||||||
Issued as reinvestment of dividends | 487,956 | 5,450,470 | 666,975 | 7,476,786 | ||||||||||||
Redeemed | (2,323,747 | ) | (27,439,600 | ) | (2,023,734 | ) | (22,987,765 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,276,982 | ) | $ | (15,272,706 | ) | (832,896 | ) | $ | (9,579,854 | ) | ||||||
|
|
|
|
|
| �� |
| |||||||||
Disciplined Growth Fund Administrative Class | ||||||||||||||||
Sold | 1,042,038 | $ | 12,553,291 | 598,748 | $ | 6,921,739 | ||||||||||
Issued as reinvestment of dividends | 261,768 | 2,952,743 | 253,191 | 2,863,597 | ||||||||||||
Redeemed | (1,417,743 | ) | (17,199,670 | ) | (528,609 | ) | (6,007,846 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (113,937 | ) | $ | (1,693,636 | ) | 323,330 | $ | 3,777,490 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class A | ||||||||||||||||
Sold | 576,257 | $ | 6,887,465 | 667,957 | $ | 7,302,947 | ||||||||||
Issued as reinvestment of dividends | 269,268 | 2,967,338 | 270,812 | 2,997,888 | ||||||||||||
Redeemed | (1,376,390 | ) | (16,557,027 | ) | (965,793 | ) | (10,898,169 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (530,865 | ) | $ | (6,702,224 | ) | (27,024 | ) | $ | (597,334 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R4 | ||||||||||||||||
Sold | 1,088,434 | $ | 12,787,698 | 887,025 | $ | 10,016,241 | ||||||||||
Issued as reinvestment of dividends | 116,208 | 1,273,641 | 62,015 | 684,022 | ||||||||||||
Redeemed | (343,601 | ) | (4,050,336 | ) | (264,491 | ) | (2,975,146 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 861,041 | $ | 10,011,003 | 684,549 | $ | 7,725,117 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R3 | ||||||||||||||||
Sold | 75,235 | $ | 881,963 | 231,824 | $ | 2,570,463 | ||||||||||
Issued as reinvestment of dividends | 22,655 | 248,074 | 29,017 | 319,473 | ||||||||||||
Redeemed | (38,629 | ) | (455,742 | ) | (309,402 | ) | (3,414,413 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 59,261 | $ | 674,295 | (48,561 | ) | $ | (524,477 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class I | ||||||||||||||||
Sold | 759,805 | $ | 11,808,262 | 286,501 | $ | 3,976,110 | ||||||||||
Issued as reinvestment of dividends | 10,336 | 151,310 | 16,948 | 215,753 | ||||||||||||
Redeemed | (113,369 | ) | (1,721,323 | ) | (39,704 | ) | (509,125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 656,772 | $ | 10,238,249 | 263,745 | $ | 3,682,738 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R5 | ||||||||||||||||
Sold | 850,759 | $ | 12,845,922 | 362,600 | $ | 4,763,279 | ||||||||||
Issued as reinvestment of dividends | 153,259 | 2,240,643 | 484,965 | 6,163,903 | ||||||||||||
Redeemed | (1,490,602 | ) | (22,486,690 | ) | (655,837 | ) | (8,651,690 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (486,584 | ) | $ | (7,400,125 | ) | 191,728 | $ | 2,275,492 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Service Class | ||||||||||||||||
Sold | 152,497 | $ | 2,259,272 | 476,495 | $ | 6,517,316 | ||||||||||
Issued as reinvestment of dividends | 33,841 | 494,080 | 91,262 | 1,159,029 | ||||||||||||
Redeemed | (252,981 | ) | (3,857,149 | ) | (101,465 | ) | (1,309,009 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (66,643 | ) | $ | (1,103,797 | ) | 466,292 | $ | 6,367,336 | ||||||||
|
|
|
|
|
|
|
|
295
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Small Cap Opportunities Fund Administrative Class | ||||||||||||||||
Sold | 429,226 | $ | 6,203,116 | 361,220 | $ | 4,769,152 | ||||||||||
Issued as reinvestment of dividends | 48,183 | 700,099 | 125,782 | 1,589,890 | ||||||||||||
Redeemed | (291,707 | ) | (4,331,758 | ) | (521,928 | ) | (7,113,282 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 185,702 | $ | 2,571,457 | (34,926 | ) | $ | (754,240 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class A | ||||||||||||||||
Sold | 603,634 | $ | 8,731,191 | 816,162 | $ | 10,490,835 | ||||||||||
Issued as reinvestment of dividends | 157,772 | 2,251,414 | 547,510 | 6,800,076 | ||||||||||||
Redeemed | (1,327,422 | ) | (19,119,515 | ) | (1,105,166 | ) | (14,389,528 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (566,016 | ) | $ | (8,136,910 | ) | 258,506 | $ | 2,901,383 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R4 | ||||||||||||||||
Sold | 431,601 | $ | 6,143,412 | 367,076 | $ | 4,539,252 | ||||||||||
Issued as reinvestment of dividends | 15,341 | 217,381 | 10,215 | 126,151 | ||||||||||||
Redeemed | (167,580 | ) | (2,455,190 | ) | (85,139 | ) | (1,090,144 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 279,362 | $ | 3,905,603 | 292,152 | $ | 3,575,259 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R3 | ||||||||||||||||
Sold | 263,892 | $ | 3,807,799 | 356,665 | $ | 4,627,657 | ||||||||||
Issued as reinvestment of dividends | 13,841 | 195,846 | 17,139 | 211,494 | ||||||||||||
Redeemed | (121,356 | ) | (1,768,047 | ) | (51,552 | ) | (656,893 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 156,377 | $ | 2,235,598 | 322,252 | $ | 4,182,258 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class I | ||||||||||||||||
Sold | 1,832,403 | $ | 25,204,364 | 1,240,605 | $ | 15,937,011 | ||||||||||
Issued as reinvestment of dividends | 53,182 | 692,427 | 19,723 | 265,859 | ||||||||||||
Redeemed | (1,032,531 | ) | (14,680,754 | ) | (104,352 | ) | (1,381,238 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 853,054 | $ | 11,216,037 | 1,155,976 | $ | 14,821,632 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R5 | ||||||||||||||||
Sold | 832,995 | $ | 12,003,450 | 266,787 | $ | 3,628,888 | ||||||||||
Issued as reinvestment of dividends | 368,422 | 4,800,537 | 1,061,497 | 14,308,984 | ||||||||||||
Redeemed | (3,180,180 | ) | (44,441,104 | ) | (3,970,723 | ) | (50,714,785 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,978,763 | ) | $ | (27,637,117 | ) | (2,642,439 | ) | $ | (32,776,913 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Service Class | ||||||||||||||||
Sold | 274,224 | $ | 3,975,721 | 536,351 | $ | 7,546,075 | ||||||||||
Issued as reinvestment of dividends | 71,863 | 929,195 | 226,584 | 3,031,690 | ||||||||||||
Redeemed | (1,327,391 | ) | (18,847,667 | ) | (824,489 | ) | (10,573,613 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (981,304 | ) | $ | (13,942,751 | ) | (61,554 | ) | $ | 4,152 | |||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Administrative Class | ||||||||||||||||
Sold | 502,928 | $ | 7,454,986 | 503,850 | $ | 6,652,106 | ||||||||||
Issued as reinvestment of dividends | 279,904 | 3,647,145 | 730,485 | 9,846,944 | ||||||||||||
Redeemed | (1,877,751 | ) | (27,195,855 | ) | (2,546,020 | ) | (33,494,240 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,094,919 | ) | $ | (16,093,724 | ) | (1,311,685 | ) | $ | (16,995,190 | ) | ||||||
|
|
|
|
|
|
|
|
296
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Global Fund Class A | ||||||||||||||||
Sold | 238,601 | $ | 3,424,388 | 213,653 | $ | 2,833,054 | ||||||||||
Issued as reinvestment of dividends | 81,985 | 1,059,247 | 253,681 | 3,389,184 | ||||||||||||
Redeemed | (851,258 | ) | (12,162,843 | ) | (1,001,274 | ) | (12,779,532 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (530,672 | ) | $ | (7,679,208 | ) | (533,940 | ) | $ | (6,557,294 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R4 | ||||||||||||||||
Sold | 101,640 | $ | 1,427,466 | 352,039 | $ | 4,760,090 | ||||||||||
Issued as reinvestment of dividends | 14,582 | 186,644 | 22,365 | 296,555 | ||||||||||||
Redeemed | (98,679 | ) | (1,370,086 | ) | (100,236 | ) | (1,228,528 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 17,543 | $ | 244,024 | 274,168 | $ | 3,828,117 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R3 | ||||||||||||||||
Sold | 168,348 | $ | 2,466,355 | 580,735 | $ | 7,557,485 | ||||||||||
Issued as reinvestment of dividends | 23,360 | 301,116 | 29,266 | 390,706 | ||||||||||||
Redeemed | (187,674 | ) | (2,666,955 | ) | (164,736 | ) | (2,082,290 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,034 | $ | 100,516 | 445,265 | $ | 5,865,901 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class I | ||||||||||||||||
Sold | 6,782,552 | $ | 80,313,443 | 5,126,763 | $ | 59,500,946 | ||||||||||
Issued as reinvestment of dividends | 497,781 | 5,410,882 | 767,136 | 8,806,720 | ||||||||||||
Redeemed | (5,226,255 | ) | (61,780,492 | ) | (4,314,817 | ) | (50,479,188 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,054,078 | $ | 23,943,833 | 1,579,082 | $ | 17,828,478 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class R5 | ||||||||||||||||
Sold | 942,955 | $ | 11,538,780 | 832,489 | $ | 9,732,787 | ||||||||||
Issued as reinvestment of dividends | 492,851 | 5,357,286 | 1,004,612 | 11,542,997 | ||||||||||||
Redeemed | (5,390,129 | ) | (64,774,670 | ) | (5,155,511 | ) | (60,156,188 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (3,954,323 | ) | $ | (47,878,604 | ) | (3,318,410 | ) | $ | (38,880,404 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Service Class | ||||||||||||||||
Sold | 363,069 | $ | 4,547,245 | 415,401 | $ | 4,758,303 | ||||||||||
Issued as reinvestment of dividends | 51,122 | 554,674 | 90,960 | 1,042,403 | ||||||||||||
Redeemed | (701,112 | ) | (8,165,588 | ) | (509,062 | ) | (5,870,248 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (286,921 | ) | $ | (3,063,669 | ) | (2,701 | ) | $ | (69,542 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Administrative Class | ||||||||||||||||
Sold | 620,329 | $ | 7,310,744 | 284,044 | $ | 3,244,782 | ||||||||||
Issued as reinvestment of dividends | 41,455 | 447,715 | 78,606 | 896,894 | ||||||||||||
Redeemed | (863,832 | ) | (10,740,667 | ) | (498,193 | ) | (5,704,388 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (202,048 | ) | $ | (2,982,208 | ) | (135,543 | ) | $ | (1,562,712 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class A | ||||||||||||||||
Sold | 315,344 | $ | 3,643,957 | 477,964 | $ | 5,257,944 | ||||||||||
Issued as reinvestment of dividends | 82,618 | 867,485 | 185,538 | 2,059,474 | ||||||||||||
Redeemed | (1,048,089 | ) | (12,213,022 | ) | (1,179,715 | ) | (13,216,576 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (650,127 | ) | $ | (7,701,580 | ) | (516,213 | ) | $ | (5,899,158 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class R4 | ||||||||||||||||
Sold | 747,613 | $ | 8,607,719 | 357,253 | $ | 3,900,990 | ||||||||||
Issued as reinvestment of dividends | 12,775 | 133,121 | 2,014 | 22,234 | ||||||||||||
Redeemed | (226,836 | ) | (2,651,850 | ) | (72,739 | ) | (811,118 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 533,552 | $ | 6,088,990 | 286,528 | $ | 3,112,106 | ||||||||||
|
|
|
|
|
|
|
|
297
Notes to Financial Statements (Continued)
Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund Class R3 | ||||||||||||||||
Sold | 572,298 | $ | 6,343,478 | 353,737 | $ | 3,922,066 | ||||||||||
Issued as reinvestment of dividends | 8,872 | 92,179 | 4,298 | 47,362 | ||||||||||||
Redeemed | (190,477 | ) | (2,190,578 | ) | (88,685 | ) | (988,052 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 390,693 | $ | 4,245,079 | 269,350 | $ | 2,981,376 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class I |
| |||||||||||||||
Sold | 6,810,089 | $ | 76,547,678 | 7,117,369 | $ | 69,627,630 | ||||||||||
Issued as reinvestment of dividends | 204,745 | 2,039,263 | 125,734 | 1,204,528 | ||||||||||||
Redeemed | (7,567,834 | ) | (81,973,266 | ) | (2,194,935 | ) | (21,313,663 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (553,000 | ) | $ | (3,386,325 | ) | 5,048,168 | $ | 49,518,495 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R5 |
| |||||||||||||||
Sold | 7,134 | $ | 77,714 | 7,941 | $ | 78,778 | ||||||||||
Issued as reinvestment of dividends | 3,166 | 31,977 | 1,403 | 13,627 | ||||||||||||
Redeemed | (322 | ) | (3,399 | ) | (515,991 | ) | (4,934,809 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 9,978 | $ | 106,292 | (506,647 | ) | $ | (4,842,404 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Service Class |
| |||||||||||||||
Sold | 19,761 | $ | 215,897 | 57,885 | $ | 545,681 | ||||||||||
Issued as reinvestment of dividends | 7,417 | 73,865 | 4,604 | 44,104 | ||||||||||||
Redeemed | (757,936 | ) | (7,877,342 | ) | (62,560 | ) | (615,742 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (730,758 | ) | $ | (7,587,580 | ) | (71 | ) | $ | (25,957 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Administrative Class |
| |||||||||||||||
Sold | 75,021 | $ | 798,642 | 37,722 | $ | 356,889 | ||||||||||
Issued as reinvestment of dividends | 1,167 | 11,682 | 227 | 2,191 | ||||||||||||
Redeemed | (17,378 | ) | (202,857 | ) | (22,210 | ) | (198,297 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 58,810 | $ | 607,467 | 15,739 | $ | 160,783 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class A |
| |||||||||||||||
Sold | 4,758 | $ | 51,823 | 6,619 | $ | 61,796 | ||||||||||
Issued as reinvestment of dividends | 18 | 183 | 9 | 82 | ||||||||||||
Redeemed | (4,386 | ) | (49,554 | ) | (18,692 | ) | (191,687 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 390 | $ | 2,452 | (12,064 | ) | $ | (129,809 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R4 |
| |||||||||||||||
Sold | 46,969 | $ | 500,627 | 45,526 | $ | 435,805 | ||||||||||
Issued as reinvestment of dividends | 799 | 7,912 | 35 | 333 | ||||||||||||
Redeemed | (23,845 | ) | (264,588 | ) | (1,878 | ) | (19,010 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,923 | $ | 243,951 | 43,683 | $ | 417,128 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R3 |
| |||||||||||||||
Sold | 30,237 | $ | 333,180 | 41,899 | $ | 416,440 | ||||||||||
Issued as reinvestment of dividends | 441 | 4,366 | 43 | 411 | ||||||||||||
Redeemed | (26,153 | ) | (295,654 | ) | (2,110 | ) | (20,574 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 4,525 | $ | 41,892 | 39,832 | $ | 396,277 | ||||||||||
|
|
|
|
|
|
|
|
+ | Amount rounds to less than 0.5 share. |
Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. The Distributor retained $29 and $671 for International Equity Fund and High Yield Fund, respectively, during the year ended September 30, 2017.
298
Notes to Financial Statements (Continued)
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. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the year ended September 30, 2017, were waived for any redemptions or exchanges subject to such a charge.
6. | Federal Income Tax Information |
At September 30, 2017, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Short-Duration Bond Fund | $ | 631,719,482 | $ | 4,842,793 | $ | (4,688,775 | ) | $ | 154,018 | |||||||
Inflation-Protected and Income Fund | 489,960,696 | 6,363,957 | (8,962,065 | ) | (2,598,108 | ) | ||||||||||
Core Bond Fund | 1,320,851,828 | 19,754,212 | (8,202,268 | ) | 11,551,944 | |||||||||||
Diversified Bond Fund | 217,928,751 | 3,845,011 | (1,051,409 | ) | 2,793,602 | |||||||||||
High Yield Fund | 465,600,939 | 16,322,060 | (7,582,864 | ) | 8,739,196 | |||||||||||
Balanced Fund | 108,605,241 | 13,027,784 | (1,497,626 | ) | 11,530,158 | |||||||||||
Value Fund | 45,501,639 | 8,057,485 | (508,082 | ) | 7,549,403 | |||||||||||
Disciplined Value Fund | 187,434,760 | 22,386,491 | (3,990,100 | ) | 18,396,391 | |||||||||||
Main Street Fund | 113,627,922 | 26,889,082 | (1,891,745 | ) | 24,997,337 | |||||||||||
Disciplined Growth Fund | 338,099,899 | 52,207,246 | (2,870,181 | ) | 49,337,065 | |||||||||||
Small Cap Opportunities Fund | 210,465,239 | 37,412,337 | (4,786,853 | ) | 32,625,484 | |||||||||||
Global Fund | 192,233,091 | 144,234,323 | (4,410,979 | ) | 139,823,344 | |||||||||||
International Equity Fund | 432,575,166 | 127,885,077 | (19,692,116 | ) | 108,192,961 | |||||||||||
Strategic Emerging Markets Fund | 209,317,786 | 44,027,038 | (5,360,546 | ) | 38,666,492 |
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at September 30, 2017, 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, 2017, for federal income tax purposes, there were no unused capital losses.
At September 30, 2017, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term Capital Loss Carryforward | Long Term Capital Loss Carryforward | |||||||
Short-Duration Bond Fund | $ | 467,734 | $ | 12,007,666 | ||||
Inflation-Protected and Income Fund | - | 2,784,449 | ||||||
Core Bond Fund | 3,294,058 | 21,102,958 | ||||||
Diversified Bond Fund | 71,798 | 138,043 |
299
Notes to Financial Statements (Continued)
Short Term Capital Loss Carryforward | Long Term Capital Loss Carryforward | |||||||
High Yield Fund | $ | - | $ | 3,569,713 | ||||
International Equity Fund | 645,397 | 1,497,838 | ||||||
Strategic Emerging Markets Fund | 9,295,942 | 10,290,356 |
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, 2017, post-October capital losses:
Post-October Loss | ||||
Inflation-Protected and Income Fund | $ | 674,747 | ||
Diversified Bond Fund | 1,264,724 | |||
International Equity Fund | 4,407,430 |
The following Fund(s) elected to defer to the fiscal year beginning October 1, 2017, late year ordinary losses:
Amount | ||||
Small Cap Opportunities Fund | $ | 502 |
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, 2017, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
U.S. Government Money Market Fund | $ | 789,917 | $ | - | $ | - | ||||||
Short-Duration Bond Fund | 13,428,282 | - | - | |||||||||
Inflation-Protected and Income Fund | 7,775,948 | - | - | |||||||||
Core Bond Fund | 36,239,975 | - | - | |||||||||
Diversified Bond Fund | 4,522,429 | - | - | |||||||||
High Yield Fund | 23,480,593 | - | - | |||||||||
Balanced Fund | 2,442,043 | 138,085 | - | |||||||||
Value Fund | 1,053,633 | - | - | |||||||||
Disciplined Value Fund | 6,103,273 | 6,943,578 | - | |||||||||
Main Street Fund | 1,643,081 | 3,375,652 | - | |||||||||
Disciplined Growth Fund | 9,734,083 | 18,684,468 | - | |||||||||
Small Cap Opportunities Fund | 1,759,826 | 4,491,065 | - | |||||||||
Global Fund | 3,263,756 | 8,352,814 | - | |||||||||
International Equity Fund | 5,913,749 | 6,949,677 | - | |||||||||
Strategic Emerging Markets Fund | 2,170,767 | - | - |
300
Notes to Financial Statements (Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2016, was as follows:
Ordinary Income | Long Term Capital Gain | Return of Capital | ||||||||||
U.S. Government Money Market Fund | $ | 11,965 | $ | - | $ | - | ||||||
Short-Duration Bond Fund | 13,710,818 | - | - | |||||||||
Inflation-Protected and Income Fund | 3,666,654 | - | - | |||||||||
Core Bond Fund | 52,085,840 | 10,182,126 | - | |||||||||
Diversified Bond Fund | 5,041,850 | - | - | |||||||||
High Yield Fund | 17,318,623 | - | - | |||||||||
Balanced Fund | 3,566,564 | 8,254,777 | - | |||||||||
Value Fund | 953,776 | - | - | |||||||||
Disciplined Value Fund | 6,224,660 | 5,795,161 | - | |||||||||
Main Street Fund | 4,106,333 | 38,583,365 | - | |||||||||
Disciplined Growth Fund | 9,124,718 | 29,021,370 | - | |||||||||
Small Cap Opportunities Fund | 724,909 | 15,563,172 | - | |||||||||
Global Fund | 2,636,067 | 28,912,183 | - | |||||||||
International Equity Fund | 5,340,091 | 19,087,059 | - | |||||||||
Strategic Emerging Markets Fund | 1,266,812 | - | - |
The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2017:
Amount | ||||
Global Fund | $ | 240,362 | ||
International Equity Fund | 841,617 | |||
Strategic Emerging Markets Fund | 342,275 |
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, 2017, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, partnership basis adjustments, swap agreements, premium amortization accruals, passive foreign investment companies, non-taxable dividends basis adjustments, the deferral of wash sale losses, and deferred Trustee compensation.
At September 30, 2017, 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) | |||||||||||||
U.S. Government Money Market Fund | $ | 20,882 | $ | - | $ | (104,415 | ) | $ | - | |||||||
Short-Duration Bond Fund | 11,145,608 | (12,475,400 | ) | (102,606 | ) | 154,018 | ||||||||||
Inflation-Protected and Income Fund | 4,761,824 | (2,784,449 | ) | (729,721 | ) | (2,407,260 | ) | |||||||||
Core Bond Fund | 25,611,347 | (24,397,016 | ) | (290,274 | ) | 11,551,942 | ||||||||||
Diversified Bond Fund | 4,448,498 | (209,841 | ) | (1,299,547 | ) | 2,794,884 | ||||||||||
High Yield Fund | 21,741,217 | (3,569,713 | ) | (45,471 | ) | 8,739,196 | ||||||||||
Balanced Fund | 2,169,239 | 3,845,572 | (32,522 | ) | 11,530,158 | |||||||||||
Value Fund | 429,487 | - | (52,065 | ) | 7,549,403 | |||||||||||
Disciplined Value Fund | 9,552,105 | 11,140,393 | (52,627 | ) | 18,396,392 |
301
Notes to Financial Statements (Continued)
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
Main Street Fund | $ | 1,582,215 | $ | 7,417,826 | $ | (30,620 | ) | $ | 24,997,335 | |||||||
Disciplined Growth Fund | 20,256,919 | 19,575,723 | (56,811 | ) | 49,337,065 | |||||||||||
Small Cap Opportunities Fund | 3,953,596 | 16,667,010 | (45,126 | ) | 32,625,484 | |||||||||||
Global Fund | 3,246,333 | 33,076,624 | (68,591 | ) | 139,815,401 | |||||||||||
International Equity Fund | 6,236,966 | (2,143,235 | ) | (4,528,561 | ) | 107,881,470 | ||||||||||
Strategic Emerging Markets Fund | 3,352,520 | (19,586,298 | ) | (25,058 | ) | 38,651,206 |
During the year ended September 30, 2017, 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) | ||||||||||
U.S. Government Money Market Fund | $ | 400 | $ | (129 | ) | $ | (271 | ) | ||||
Short-Duration Bond Fund | 374 | (3,063,312 | ) | 3,062,938 | ||||||||
Inflation-Protected and Income Fund | 206 | (983,213 | ) | 983,007 | ||||||||
Core Bond Fund | 1,104 | (4,022,557 | ) | 4,021,453 | ||||||||
Diversified Bond Fund | (974 | ) | (663,095 | ) | 664,069 | |||||||
High Yield Fund | 151 | 75,367 | (75,518 | ) | ||||||||
Balanced Fund | 16,738 | (183,697 | ) | 166,959 | ||||||||
Value Fund | (25,594,354 | ) | 25,651,155 | (56,801 | ) | |||||||
Disciplined Value Fund | (135,186 | ) | (130,156 | ) | 265,342 | |||||||
Main Street Fund | (86 | ) | 177,997 | (177,911 | ) | |||||||
Disciplined Growth Fund | 127,973 | (138,784 | ) | 10,811 | ||||||||
Small Cap Opportunities Fund | (1,535 | ) | 359,054 | (357,519 | ) | |||||||
Global Fund | 257 | (364,167 | ) | 363,910 | ||||||||
International Equity Fund | 460 | 394,845 | (395,305 | ) | ||||||||
Strategic Emerging Markets Fund | 85 | (627,577 | ) | 627,492 |
The Funds did not have any unrecognized tax benefits at September 30, 2017, 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, 2017, 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, 2017, was as follows:
Beginning Value as of 9/30/16 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 9/30/17 | Number of Shares Held as of 9/30/17 | Dividend Income | Realized Gains Distribution | ||||||||||||||||||||||||||||
Global Fund | ||||||||||||||||||||||||||||||||||||
Oppenheimer Institutional Government Money Market Fund Class E* | $ | 3,661,292 | $ | 68,743,258 | $ | (66,914,513 | ) | $ | - | $ | - | $ | 5,490,037 | 5,490,037 | $ | 33,111 | $ | - |
302
Notes to Financial Statements (Continued)
Beginning Value as of 9/30/16 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 9/30/17 | Number of Shares Held as of 9/30/17 | Dividend Income | Realized Gains Distribution | ||||||||||||||||||||||||||||
International Equity Fund |
| |||||||||||||||||||||||||||||||||||
Oppenheimer Institutional Government Money Market Fund Class E* | $ | 6,403,734 | $ | 122,546,502 | $ | (114,226,096 | ) | $ | - | $ | - | $ | 14,724,140 | 14,724,140 | $ | 70,385 | $ | - |
* | Fund advised by OFI Global Asset Management, Inc. |
8. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
9. | New Accounting Pronouncements |
In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments, for all reporting periods ending after August 1, 2017. Management is still evaluating the impact of the Rule; however, the Funds have adopted the Rule’s Regulation S-X amendments and the Funds’ financial statements are in compliance with those amendments.
In November 2016, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-18, “Statement of Cash Flows (Topic 230), Restricted Cash, a consensus of the FASB’s Emerging Issues Task Force” (“ASU 2016-18”). ASU 2016-18 requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in ASU 2016-18 do not provide a definition of restricted cash or restricted cash equivalents. ASU 2016-18 is effective for interim and annual reporting periods beginning after December 15, 2017. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is still evaluating the potential impact of ASU 2017-08 but believes that adoption of ASU 2017-08 will not have a material effect on each Fund’s financial position or its results of operations.
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 (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.
303
Notes to Financial Statements (Continued)
The potential amounts sought to be recovered from the Balanced Fund, Disciplined Value Fund, and Small Cap Opportunities Fund, plus interest and the Official Committee’s court costs, are approximately $44,200, $299,880, and $414,800, respectively.
In addition, on June 2, 2011, the Disciplined Value Fund and Small Cap Opportunities Fund were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.
The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts 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. Upcoming Fund Liquidation
The Trustees have approved a Plan of Liquidation and Termination pursuant to which it is expected that the Value Fund will be dissolved. Effective on or about March 23, 2018 (the “Termination Date”), shareholders of the various classes of shares of the Value Fund will receive proceeds in proportion to the number of shares of such class held by each of them on the Termination Date.
12. | Subsequent Events |
In preparation of these financial statements, management has evaluated the events and transactions subsequent to September 30, 2017, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.
Effective October 1, 2017, OFI’s subadvisory fee from MML Advisers for the Global Fund was updated to:
0.40% of the first $100 million; |
0.35% of the next $250 million; |
0.30% of any excess over $350 million |
Effective October 1, 2017, OFI Global Institutional’s subadvisory fee from MML Advisers for the Main Street Fund was updated to 0.30%
304
To the Board of Trustees of MassMutual Premier Funds and Shareholders of MassMutual Premier U.S. Government 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, 2017, 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, 2017, 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, 2017, the results of their operations for the year then ended, the cash flows for the MassMutual Premier Inflation-Protected and Income Fund for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
As discussed in Note 11 to the financial statements, the MassMutual Premier Value Fund’s (the “Fund”) Trustees approved the liquidation of the Fund.
Deloitte & Touche LLP
Boston, Massachusetts
November 21, 2017
305
The following table lists the Trust’s Trustees and Officers; 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: MassMutual U.S. Product and 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 | |||||
Allan W. Blair Age: 69 | Trustee | Since 2012 | Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company). | 93 | 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: 59 | Trustee
Chairman | Since 2003
2006- 2012 | Founder and sole member of PR Academy of Executive Education, LLC (since 2016); Chairman (2011-2016), Academy of Executive Education, LLC (predecessor to PR Academy of Executive Education, LLC). | 93 | Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company). | |||||
Maria D. Furman Age: 63 | Trustee | Since 2004 | Retired. | 93 | 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). | |||||
R. Alan Hunter, Jr. Age: 70 | Chairperson Trustee | Since 2012 | Retired. | 93 | Director (since 2007), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MassMutual Select Funds (open-end investment company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company). |
306
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 | |||||
C. Ann Merrifield Age: 66 | Trustee | Since 2004 | Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company). | 93 | Director (since 2015), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company). | |||||
Susan B. Sweeney Age: 65 | Trustee | Since 2012 | Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company). | 95^ | Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company). |
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 | |||||
Teresa Hassara^^ Age: 55 | Trustee | Since | Director (since 2017), MML Advisers; Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF. | 93 | Trustee (since 2017), MassMutual Select Funds (open-end investment company); Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company). |
307
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 | |||||
Robert E. Joyal^^^ Age: 72 | Trustee | Since 2012 | Retired. | 95^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc. (provider of alternative and renewable energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), 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 | ||||
Joseph Fallon Age: 42 | Vice President Assistant Vice President | Since 2017 2015- | Investment Director (since 2014), MML Advisers; Head of Investment Consulting & Strategy (since 2017), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Select Funds (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); | 93 | ||||
Andrew M. Goldberg Age: 51 | Vice President, Secretary, and Chief Legal Officer Assistant Clerk | Since 2008 2004- | Assistant Vice President and Counsel (since 2004), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company). | 93 | ||||
Renee Hitchcock Age: 46 | Chief Financial Officer and Treasurer
Assistant Treasurer | Since 2016
2007- | Assistant Vice President (since 2015), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company). | 93 | ||||
Jill Nareau Robert Age: 45 | Vice President and Assistant Secretary Assistant Secretary (formerly known as “Assistant Clerk”) | Since 2017 2008- | Assistant Vice President and Counsel (since 2009), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MassMutual Select Funds (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company). | 93 |
308
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 | ||||
Douglas Steele Age: 42 | Vice President | Since 2016 | Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), Investment Director (2005-2013), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company). | 93 | ||||
Philip S. Wellman Age: 53 | Vice President and Chief Compliance Officer | Since 2007 | Vice President and Chief Compliance Officer (since 2013), MML Advisers; Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (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). | 93 | ||||
Eric H. Wietsma Age: 51 | President Vice President | Since 2008 2006- | Director and President (since 2013), MML Advisers; Senior Vice President (since 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). | 93 | ||||
Tina Wilson Age: 46 | Vice President | Since 2016 | Vice President and Head of Investments (since 2016), MML Advisers; Senior Vice President (since 2014), Vice President (2009-2014), MassMutual; Vice President (since 2016), MassMutual Select Funds (open-end investment company); President (since 2017), Vice President (2016-2017), MML Series Investment Fund (open-end investment company); President (since 2017), Vice President (2016-2017), MML Series Investment Fund II (open-end investment company). | 93 |
* | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981. |
** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate. |
The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees. |
^ | Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers. |
^^ | Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual. |
^^^ | Mr. Joyal is an Interested Person through his position as a director of 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. |
# | The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees. |
309
For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2017, qualified for the dividends received deduction, as follows:
Dividends Received Deductions | ||||
Short-Duration Bond Fund | 0.11 | % | ||
Diversified Bond Fund | 0.41 | % | ||
Balanced Fund | 52.12 | % | ||
Value Fund | 98.40 | % | ||
Disciplined Value Fund | 87.47 | % | ||
Main Street Fund | 38.04 | % | ||
Disciplined Growth Fund | 70.28 | % | ||
Small Cap Opportunities Fund | 59.16 | % | ||
Global Fund | 48.85 | % | ||
Strategic Emerging Markets Fund | 4.05 | % |
For the year ended September 30, 2017, the following Fund(s) earned the following foreign sources of income:
Amount | ||||
Global Fund | $ | 3,400,546 | ||
International Equity Fund | 11,212,861 | |||
Strategic Emerging Markets Fund | 3,879,855 |
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, 2017:
Qualified Dividend Income | ||||
Diversified Bond Fund | $ | 12,750 | ||
Balanced Fund | 1,474,158 | |||
Value Fund | 1,292,523 | |||
Disciplined Value Fund | 4,341,582 | |||
Main Street Fund | 2,636,366 | |||
Disciplined Growth Fund | 5,669,703 | |||
Small Cap Opportunities Fund | 1,459,052 | |||
Global Fund | 4,108,757 | |||
International Equity Fund | 11,100,883 | |||
Strategic Emerging Markets Fund | 2,297,970 |
310
A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The 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 EDGAR database on its 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 May and June 2017, 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 U.S. Government 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, 2016. 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 eight of the Funds, total net expense information showed the Funds to be in the first or second quartile of their peer groups (least expensive), 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 Diversified Bond Fund, Balanced Fund, Inflation-Protected and Income Fund, Short-Duration Bond Fund, Disciplined Value Fund, Disciplined Growth Fund, Main Street Fund, and High Yield Fund.
The Committee considered that the Small Cap Opportunities Fund had total net expenses and net advisory fees in the first comparative decile (6th and 1st percentiles, respectively), and had achieved three-year performance in the second comparative quartile (35th percentile). They considered that the Fund had experienced performance in the third comparative quartile (74th percentile) for the one-year period. They considered MML Advisers’ statements that the Fund had underperformed for the last two years, although with below median volatility, but had a quite favorable long-term performance record. The Committee determined that further inquiry was not required in light of the Fund’s performance and expenses relative to its peers.
As to the U.S. Government Money Market Fund, the Committee considered that, although the Fund had total net expenses and net advisory fees in the fourth comparative quartile (79th percentile in each case) and performance in the fourth and third comparative quartiles for the one-and three-year periods (80th and 73rd percentiles, respectively), respectively, fee and performance comparisons are difficult for money market funds due to the compression of yields in the space in recent years. The Committee considered MML Advisers’ statement that it had waived a portion of its fees into December 2016 in order to support the Fund’s yield.
The Committee considered the remaining Funds which had total net expenses in the first or second comparative quartile, but experienced one- or three-year performance in the third or fourth comparative quartile.
• | Strategic Emerging Markets Fund – The Committee considered that the Fund has experienced fourth quartile comparative performance for the three-year period (80th percentile) and third quartile comparative performance over the one-year period (59th percentile) and the Fund’s total net expenses are in the first comparative quartile (18th percentile). They also considered that the Fund’s net advisory fee was in the first comparative quartile (24th percentile). The Committee considered MML Advisers’ statement that the Fund’s underperformance was due in part to the broad market factors and that, although the Fund is on Under Review status for performance reasons, MML Advisers remains very committed to the current subadviser and portfolio management team and the strategy. |
• | International Equity Fund – The Committee considered that the Fund’s total net expenses are in the second comparative quartile (34th percentile) and it net advisory fee is in the third comparative quartile (67th percentile), four basis points above the peer group median. The Committee considered that the Fund had experienced performance in the third comparative quartile for the one- and three-year periods (57th and 67th percentiles, respectively). The Committee considered Management’s statements that the Fund had top-half performance results in seven of the last 10 years and that its recent underperformance was the result of the recent market environment which had created stylistic headwinds for the Fund, and that the Adviser remains very committed to the Fund’s subadviser and its investment strategy. |
• | Core Bond Fund – The Committee noted that the Fund’s total net expense ratio was in the first comparative quartile (23rd percentile), and that the Fund’s net advisory fee was in the third comparative quartile (67th percentile). The Committee considered MML Advisers’ statement that the Fund’s net advisory fee compares unfavorably relative to a number of peers because many of the Fund’s peers have implemented substantial fee waivers. The Committee considered that the Fund experienced performance in the third comparative quartile for the one- and three-year periods (62nd and 67th percentiles, respectively), and MML Advisers’ statement that the period from November 2015 through February 2016 in particular was below expectations. The Committee considered MML Advisers’ statement that the Fund’s underperformance was in substantial part due to the fact that, during the period, investment grade corporate debt, heavily favored by the Fund’s investment strategy, underperformed substantially in the energy and commodity sectors. |
• | Value Fund – The Committee noted that the Fund had total net expenses and net advisory fees in the first comparative quartile (6th percentile in each case) and experienced third quartile comparative performance in the one- and three-year periods (73rd and 63rd percentiles, respectively). The Committee considered MML Advisers’ statements that, although the Fund underperformed in the most recent year thus affecting one- and three-year performance, the Fund’s performance has been |
312
Other Information (Unaudited) (Continued)
improving under a new portfolio management team, and that MML Advisers is confident in the abilities of that team to deliver long-term favorable performance. MML Advisers noted that the Fund is, however, under review due to viability concerns because of the low level of assets in the Fund and the negative profitability of the Fund to MML Advisers. |
• | Global Fund – The Committee noted that the Fund had total net expenses and net advisory fees in the first comparative quartile (10th and 24th percentiles, respectively) and that the Fund experienced third quartile comparative performance in the three-year period (58th percentile) and fourth quartile comparative performance in the one-year period (89th percentile). The Committee considered MML Advisers’ statements that much of the underperformance during the period occurred during the beginning of 2016 due to adverse performance of certain sector allocations in the Fund’s portfolio, and that the Fund had experienced substantially better performance before and after that period. The Committee considered MML Advisers’ statement that it has high conviction in the subadviser’s ability to deliver excess returns over the long term. |
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.
At their meeting in September 2017, the Trustees, including the Independent Trustees, reviewed and approved proposals to make changes to the existing subadvisory agreements between MML Advisers and each of OFI Global Institutional, Inc. (“OFI Global”) for the Main Street Fund and OppenheimerFunds, Inc. (“OFI”) for the Global Fund in order to lower fees. In arriving at their decision, the Trustees discussed the fees payable to each subadviser on behalf of the applicable Fund by MML Advisers and the effect of such fees on the profitability to MML Advisers. The Trustees concluded that they were satisfied that MML Advisers’ projected level of profitability due to the amended subadvisory agreements (the “Amended Agreements”) was not excessive and the subadvisory fee amount under each Amended Agreement was fair and reasonable. In their deliberations, the Trustees were advised by independent counsel.
Each of the existing subadvisory agreements between MML Advisers and OFI for the Global Fund and between MML Advisers and OFI Global for the International Equity Fund and Strategic Emerging Markets Fund was also amended to clarify its terms with respect to foreign currency transactions.
The Amended Agreements became effective on October 1, 2017.
Prior to the votes being taken to approve the Amended Agreements discussed above, the Independent Trustees met separately in executive session to discuss the appropriateness of the contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
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Other Information (Unaudited) (Continued)
Fund Expenses September 30, 2017
Expense Examples:
The following information is in regards to expenses for the six months ended September 30, 2017:
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, 2017.
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* | |||||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||
Class R5 | $ | 1,000 | 0.53 | % | $ | 1,002.00 | $ | 2.66 | $ | 1,022.40 | $ | 2.69 | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.40 | % | 1,016.60 | 2.02 | 1,023.10 | 2.03 | |||||||||||||||||
Class R5 | 1,000 | 0.50 | % | 1,015.60 | 2.53 | 1,022.60 | 2.54 | |||||||||||||||||
Service Class | 1,000 | 0.60 | % | 1,014.70 | 3.03 | 1,022.10 | 3.04 | |||||||||||||||||
Administrative Class | 1,000 | 0.70 | % | 1,014.80 | 3.54 | 1,021.60 | 3.55 | |||||||||||||||||
Class A | 1,000 | 0.95 | % | 1,012.90 | 4.79 | 1,020.30 | 4.81 | |||||||||||||||||
Class R4 | 1,000 | 0.85 | % | 1,013.70 | 4.29 | 1,020.80 | 4.31 | |||||||||||||||||
Class R3 | 1,000 | 1.10 | % | 1,012.80 | 5.55 | 1,019.60 | 5.57 | |||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.46 | % | 1,006.70 | 2.31 | 1,022.80 | 2.33 | |||||||||||||||||
Class R5 | 1,000 | 0.56 | % | 1,006.70 | 2.82 | 1,022.30 | 2.84 | |||||||||||||||||
Service Class | 1,000 | 0.66 | % | 1,005.80 | 3.32 | 1,021.80 | 3.35 | |||||||||||||||||
Administrative Class | 1,000 | 0.76 | % | 1,005.70 | 3.82 | 1,021.30 | 3.85 | |||||||||||||||||
Class A | 1,000 | 1.01 | % | 1,004.90 | 5.08 | 1,020.00 | 5.11 | |||||||||||||||||
Class R4 | 1,000 | 0.91 | % | 1,004.90 | 4.57 | 1,020.50 | 4.61 | |||||||||||||||||
Class R3 | 1,000 | 1.16 | % | 1,003.90 | 5.83 | 1,019.30 | 5.87 |
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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* | |||||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.42 | % | $ | 1,028.90 | $ | 2.14 | $ | 1,023.00 | $ | 2.13 | ||||||||||||
Class R5 | 1,000 | 0.52 | % | 1,028.80 | 2.64 | 1,022.50 | 2.64 | |||||||||||||||||
Service Class | 1,000 | 0.62 | % | 1,029.00 | 3.15 | 1,022.00 | 3.14 | |||||||||||||||||
Administrative Class | 1,000 | 0.72 | % | 1,027.30 | 3.66 | 1,021.50 | 3.65 | |||||||||||||||||
Class A | 1,000 | 0.97 | % | 1,026.60 | 4.93 | 1,020.20 | 4.91 | |||||||||||||||||
Class R4 | 1,000 | 0.87 | % | 1,026.70 | 4.42 | 1,020.70 | 4.41 | |||||||||||||||||
Class R3 | 1,000 | 1.12 | % | 1,025.10 | 5.69 | 1,019.50 | 5.67 | |||||||||||||||||
Diversified Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.51 | % | 1,031.00 | 2.60 | 1,022.50 | 2.59 | |||||||||||||||||
Class R5 | 1,000 | 0.61 | % | 1,030.40 | 3.10 | 1,022.00 | 3.09 | |||||||||||||||||
Service Class | 1,000 | 0.71 | % | 1,030.10 | 3.61 | 1,021.50 | 3.60 | |||||||||||||||||
Administrative Class | 1,000 | 0.81 | % | 1,029.10 | 4.12 | 1,021.00 | 4.10 | |||||||||||||||||
Class A | 1,000 | 1.06 | % | 1,028.20 | 5.39 | 1,019.80 | 5.37 | |||||||||||||||||
Class R4 | 1,000 | 0.96 | % | 1,028.40 | 4.88 | 1,020.30 | 4.86 | |||||||||||||||||
Class R3 | 1,000 | 1.21 | % | 1,027.50 | 6.15 | 1,019.00 | 6.12 | |||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.55 | % | 1,044.50 | 2.82 | 1,022.30 | 2.79 | |||||||||||||||||
Class R5 | 1,000 | 0.65 | % | 1,043.20 | 3.33 | 1,021.80 | 3.29 | |||||||||||||||||
Service Class | 1,000 | 0.75 | % | 1,043.20 | 3.84 | 1,021.30 | 3.80 | |||||||||||||||||
Administrative Class | 1,000 | 0.85 | % | 1,042.80 | 4.35 | 1,020.80 | 4.31 | |||||||||||||||||
Class A | 1,000 | 1.10 | % | 1,040.60 | 5.63 | 1,019.60 | 5.57 | |||||||||||||||||
Class R4 | 1,000 | 1.00 | % | 1,042.10 | 5.12 | 1,020.10 | 5.06 | |||||||||||||||||
Class R3 | 1,000 | 1.25 | % | 1,041.20 | 6.40 | 1,018.80 | 6.33 | |||||||||||||||||
Balanced Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.60 | % | 1,066.40 | 3.11 | 1,022.10 | 3.04 | |||||||||||||||||
Class R5 | 1,000 | 0.70 | % | 1,065.50 | 3.62 | 1,021.60 | 3.55 | |||||||||||||||||
Service Class | 1,000 | 0.80 | % | 1,065.00 | 4.14 | 1,021.10 | 4.05 | |||||||||||||||||
Administrative Class | 1,000 | 0.90 | % | 1,064.50 | 4.66 | 1,020.60 | 4.56 | |||||||||||||||||
Class A | 1,000 | 1.15 | % | 1,063.50 | 5.95 | 1,019.30 | 5.82 | |||||||||||||||||
Class R4 | 1,000 | 1.05 | % | 1,063.90 | 5.43 | 1,019.80 | 5.32 | |||||||||||||||||
Class R3 | 1,000 | 1.30 | % | 1,062.40 | 6.72 | 1,018.60 | 6.58 | |||||||||||||||||
Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.60 | % | 1,064.40 | 3.11 | 1,022.10 | 3.04 | |||||||||||||||||
Class R5 | 1,000 | 0.70 | % | 1,064.00 | 3.62 | 1,021.60 | 3.55 | |||||||||||||||||
Service Class | 1,000 | 0.80 | % | 1,063.80 | 4.14 | 1,021.10 | 4.05 | |||||||||||||||||
Administrative Class | 1,000 | 0.90 | % | 1,063.00 | 4.65 | 1,020.60 | 4.56 | |||||||||||||||||
Class A | 1,000 | 1.15 | % | 1,061.70 | 5.94 | 1,019.30 | 5.82 | |||||||||||||||||
Class R4 | 1,000 | 1.05 | % | 1,061.80 | 5.43 | 1,019.80 | 5.32 | |||||||||||||||||
Class R3 | 1,000 | 1.30 | % | 1,060.80 | 6.72 | 1,018.60 | 6.58 | |||||||||||||||||
Disciplined Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.57 | % | 1,049.90 | 2.93 | 1,022.20 | 2.89 | |||||||||||||||||
Class R5 | 1,000 | 0.67 | % | 1,049.80 | 3.44 | 1,021.70 | 3.40 | |||||||||||||||||
Service Class | 1,000 | 0.77 | % | 1,049.00 | 3.96 | 1,021.20 | 3.90 | |||||||||||||||||
Administrative Class | 1,000 | 0.87 | % | 1,048.70 | 4.47 | 1,020.70 | 4.41 | |||||||||||||||||
Class A | 1,000 | 1.12 | % | 1,047.00 | 5.75 | 1,019.50 | 5.67 | |||||||||||||||||
Class R4 | 1,000 | 1.02 | % | 1,047.80 | 5.24 | 1,020.00 | 5.17 | |||||||||||||||||
Class R3 | 1,000 | 1.27 | % | 1,046.50 | 6.52 | 1,018.70 | 6.43 |
315
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* | |||||||||||||||||||
Main Street Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.72 | % | $ | 1,082.50 | $ | 3.76 | $ | 1,021.50 | $ | 3.65 | ||||||||||||
Class R5 | 1,000 | 0.82 | % | 1,081.60 | 4.28 | 1,021.00 | 4.15 | |||||||||||||||||
Service Class | 1,000 | 0.92 | % | 1,080.80 | 4.80 | 1,020.50 | 4.66 | |||||||||||||||||
Administrative Class | 1,000 | 1.02 | % | 1,079.80 | 5.32 | 1,020.00 | 5.17 | |||||||||||||||||
Class A | 1,000 | 1.27 | % | 1,079.00 | 6.62 | 1,018.70 | 6.43 | |||||||||||||||||
Class R4 | 1,000 | 1.17 | % | 1,079.60 | 6.10 | 1,019.20 | 5.92 | |||||||||||||||||
Class R3 | 1,000 | 1.42 | % | 1,077.90 | 7.40 | 1,017.90 | 7.18 | |||||||||||||||||
Disciplined Growth Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.53 | % | 1,103.40 | 2.79 | 1,022.40 | 2.69 | |||||||||||||||||
Class R5 | 1,000 | 0.63 | % | 1,103.30 | 3.32 | 1,021.90 | 3.19 | |||||||||||||||||
Service Class | 1,000 | 0.73 | % | 1,103.00 | 3.85 | 1,021.40 | 3.70 | |||||||||||||||||
Administrative Class | 1,000 | 0.83 | % | 1,102.10 | 4.37 | 1,020.90 | 4.20 | |||||||||||||||||
Class A | 1,000 | 1.07 | % | 1,100.30 | 5.63 | 1,019.70 | 5.42 | |||||||||||||||||
Class R4 | 1,000 | 0.98 | % | 1,100.80 | 5.16 | 1,020.20 | 4.96 | |||||||||||||||||
Class R3 | 1,000 | 1.23 | % | 1,100.10 | 6.48 | 1,018.90 | 6.23 | |||||||||||||||||
Small Cap Opportunities Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.71 | % | 1,078.20 | 3.70 | 1,021.50 | 3.60 | |||||||||||||||||
Class R5 | 1,000 | 0.80 | % | 1,078.30 | 4.17 | 1,021.10 | 4.05 | |||||||||||||||||
Service Class | 1,000 | 0.90 | % | 1,077.80 | 4.69 | 1,020.60 | 4.56 | |||||||||||||||||
Administrative Class | 1,000 | 1.00 | % | 1,076.90 | 5.21 | 1,020.10 | 5.06 | |||||||||||||||||
Class A | 1,000 | 1.25 | % | 1,075.60 | 6.50 | 1,018.80 | 6.33 | |||||||||||||||||
Class R4 | 1,000 | 1.15 | % | 1,076.10 | 5.99 | 1,019.30 | 5.82 | |||||||||||||||||
Class R3 | 1,000 | 1.40 | % | 1,075.00 | 7.28 | 1,018.00 | 7.08 | |||||||||||||||||
Global Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.85 | % | 1,152.70 | 4.59 | 1,020.80 | 4.31 | |||||||||||||||||
Class R5 | 1,000 | 0.95 | % | 1,152.60 | 5.13 | 1,020.30 | 4.81 | |||||||||||||||||
Service Class | 1,000 | 1.05 | % | 1,151.60 | 5.66 | 1,019.80 | 5.32 | |||||||||||||||||
Administrative Class | 1,000 | 1.15 | % | 1,151.30 | 6.20 | 1,019.30 | 5.82 | |||||||||||||||||
Class A | 1,000 | 1.40 | % | 1,149.80 | 7.54 | 1,018.00 | 7.08 | |||||||||||||||||
Class R4 | 1,000 | 1.30 | % | 1,150.50 | 7.01 | 1,018.60 | 6.58 | |||||||||||||||||
Class R3 | 1,000 | 1.55 | % | 1,148.80 | 8.35 | 1,017.30 | 7.84 | |||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.93 | % | 1,135.10 | 4.98 | 1,020.40 | 4.71 | |||||||||||||||||
Class R5 | 1,000 | 1.03 | % | 1,135.10 | 5.51 | 1,019.90 | 5.22 | |||||||||||||||||
Service Class | 1,000 | 1.13 | % | 1,133.80 | 6.04 | 1,019.40 | 5.72 | |||||||||||||||||
Administrative Class | 1,000 | 1.23 | % | 1,133.60 | 6.58 | 1,018.90 | 6.23 | |||||||||||||||||
Class A | 1,000 | 1.48 | % | 1,132.20 | 7.91 | 1,017.60 | 7.49 | |||||||||||||||||
Class R4 | 1,000 | 1.38 | % | 1,132.30 | 7.38 | 1,018.10 | 6.98 | |||||||||||||||||
Class R3 | 1,000 | 1.63 | % | 1,130.90 | 8.71 | 1,016.90 | 8.24 | |||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||
Class I | 1,000 | 1.05 | % | 1,151.00 | 5.66 | 1,019.80 | 5.32 | |||||||||||||||||
Class R5 | 1,000 | 1.15 | % | 1,149.80 | 6.20 | 1,019.30 | 5.82 | |||||||||||||||||
Service Class | 1,000 | 1.25 | % | 1,149.40 | 6.74 | 1,018.80 | 6.33 | |||||||||||||||||
Administrative Class | 1,000 | 1.35 | % | 1,148.60 | 7.27 | 1,018.30 | 6.83 | |||||||||||||||||
Class A | 1,000 | 1.60 | % | 1,148.00 | 8.62 | 1,017.00 | 8.09 | |||||||||||||||||
Class R4 | 1,000 | 1.50 | % | 1,147.50 | 8.08 | 1,017.50 | 7.59 | |||||||||||||||||
Class R3 | 1,000 | 1.75 | % | 1,146.80 | 9.42 | 1,016.30 | 8.85 |
* | Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2017, 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. |
316
Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981 |
© 2017 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-43521-00 |
Item 2. Code of Ethics.
As of September 30, 2017, 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, 2017, 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 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that Susan B. Sweeney and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Ms. Sweeney and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
References below to Deloitte & Touche LLP include its affiliates where applicable.
(a) | AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended 2017 and 2016 were $477,407 and $491,121, respectively. |
(b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2017 and 2016. 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 2017 and 2016. |
(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 2017 and 2016 were $103,105 and $113,040, 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 2017 and 2016. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2017 and 2016. 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 2017 and 2016. |
(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 2017 and 2016 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 2017 and 2016 were $13,292,326 and $3,715,481, 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. |
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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to this filing.
Item 13. Exhibits.
(a)(1) Code of Ethics (Item 2) is attached.
(a)(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.
(a)(4) 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.
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 | 11/21/2017 |
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 | 11/21/2017 |
By (Signature and Title) | /s/ Renee Hitchcock | |
Renee Hitchcock, Treasurer and Principal Financial Officer |
Date | 11/21/2017 |