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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08690 �� |
MassMutual Premier Funds | ||
(Exact name of registrant as specified in charter) | ||
100 Bright Meadow Blvd., Enfield, CT 06082 | ||
(Address of principal executive offices) (Zip code) | ||
Eric Wietsma | ||
100 Bright Meadow Blvd., Enfield, CT 06082 | ||
(Name and address of agent for service) |
Registrant’s telephone number, including area code: | (860) 562-1000 |
Date of fiscal year end: | 9/30/18 |
Date of reporting period: | 3/31/18 |
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Item 1. Reports to Stockholders.
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Premier Funds. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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To Our Shareholders
Eric Wietsma
“As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to market volatility, how long you have to save and invest, and your specific financial goals and risk tolerance.”
March 31, 2018
Welcome to the MassMutual Premier Funds Semiannual Report, covering the six months ended March 31, 2018.
Market Highlights
• | During the period, U.S. stocks enjoyed moderately positive performance, while encountering increased volatility. |
• | Economic data throughout the period pointed to a synchronized global growth environment. |
• | Foreign stocks in developed markets trailed U.S. stock returns for the period, while foreign stocks in emerging markets beat domestic broad market indexes. |
• | U.S. bonds continued to face headwinds, as the Federal Reserve Board (the “Fed”) increased short-term rates and had a change in leadership. |
Market Commentary
For the six-month period, beginning October 1, 2017, equity investors enjoyed moderately positive returns. U.S. stocks continued to rise sharply at the start of the period, but encountered increased volatility toward the end of the first quarter of 2018. After a two-and-a-half-year streak of positive quarterly results, both the S&P 500® Index* (S&P 500) and the Dow Jones Industrial AverageSM (Dow) declined for the quarter ended March 31, 2018, after hitting record highs in January.
Volatility is the tendency for markets to fluctuate unpredictably and is a normal risk of investing. For nine quarters through the end of 2017, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) had remained uncharacteristically calm. Through the last quarter of 2017, markets absorbed major headline-making events – such as hurricanes, wildfires, and geopolitical turbulence – with only modest fluctuations. In a stark turnaround, during the first quarter of 2018, the S&P 500 gained or lost one percent of its value 23 times!
Several factors contributed to this market volatility. While global economic data provided investors with some confidence in a synchronized global growth environment, wage growth in the U.S. triggered the first major sell-off in domestic markets, as investors sought to balance the likelihood of continued growth against the Fed’s intentions to raise the short-term federal funds rate several times in the years ahead. The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight. Political turbulence also contributed, as investors tried to make sense of reduced taxes, increasing federal debt limits, and tariffs imposed by the Trump administration. Lastly, scrutiny concerning revelations about how social media companies use data, and in particular, how Facebook had allowed customer data to be mined undercut investor confidence in the information technology sector, triggering subsequent rounds of sell-offs.
As a result, the broad market S&P 500 delivered only a modest 4.60% return for the period. The technology-heavy NASDAQ Composite Index managed to grow 8.03%, even with the late period
(Continued)
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MassMutual Premier Funds – President’s Letter to Shareholders (Unaudited) (Continued)
sell-offs. Headlines followed the skyrocketing Dow through the six months, as it peaked to record heights and then dropped – ultimately providing a 7.04% return for the period. Small- and mid-cap stocks underperformed their larger peers and growth stocks widely outperformed their value peers during the period.
The market sell-offs during the last months of the period affected all sectors broadly. The information technology and consumer discretionary sectors held onto earlier gains and managed to end the period with positive returns. The financials and industrials sectors also delivered modest positive returns. The remaining seven sectors ended the reporting period with negative returns, as telecommunication services and utilities lagged the field.
Developed international markets, as measured by the MSCI EAFE® Index, trailed their domestic peers, returning a modest 1.42% gain for the six months. Though developed markets participated in the synchronized global growth environment noted above, they lagged under the weight of sell-offs in the U.S. markets. Emerging-market stocks, as measured in the MSCI Emerging Markets Index, fared better, beating the S&P 500 Index with a 7.49% return for the period.
The Fed asserted its influence on markets during the reporting period through actual and forecasted rate hikes and a change in leadership. Meeting for the first time under new Chairman, Jerome Powell, the Federal Open Market Committee raised the target range for the federal funds rate by a quarter point to 1.50-1.75% during its March 2018 meeting. While this was in line with market expectations, it was also the second hike during the reporting period – totaling four hikes in one year. They also projected a steeper path of increases in 2019 and 2020 as economic outlooks continue to improve.
The Fed’s action followed signals that inflation may be rising faster than desired. Bond yields spiked, with the 10-year U.S. Treasury bond ending the period at 2.74% after surging as high as 2.93%. Since rising yields drive bond prices down, returns on the Bloomberg Barclays U.S. Aggregate Bond Index ended the period with a return of -1.46%. Investment-grade and high-yield corporate bonds fared no better in the rising yield environment. The Bloomberg Barclays U.S. Corporate 10+ Year Bond Index, which tracks investment-grade corporate bonds, ended the period down 4.05%. The Bloomberg Barclays U.S. Corporate High Yield Index fared better, but still ended the period down 0.86%.
Review and maintain your strategy
MassMutual is committed to helping people secure their long-term future and protect the ones they love. While the return of volatility and the reality of market sell-offs can test an investor’s mettle, we’d like to remind you as a retirement investor that it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. As described in this report, financial markets can reverse suddenly with little or no notice. Our multi-managed and sub-advised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to market volatility, how long you have to save and invest, and your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.
Sincerely,
Eric Wietsma
President
The information provided is the opinion of MML Investment Advisers, LLC as of 4/1/18 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 mentioned in this report are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. |
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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.
MassMutual Premier U.S. Government Money Market Fund Portfolio Characteristics (% of Net Assets) on 3/31/18 | ||||
Discount Notes | 88.1 | % | ||
Repurchase Agreement | 14.4 | % | ||
Time Deposit | 0.0 | % | ||
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Total Short-Term Investments | 102.5 | % | ||
Other Assets and Liabilities | (2.5 | )% | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Short-Duration Bond Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Short-Duration Bond Fund Portfolio Characteristics | ||||
Corporate Debt | 45.7 | % | ||
Non-U.S. Government Agency Obligations | 40.9 | % | ||
U.S. Treasury Obligations | 3.2 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 1.3 | % | ||
Purchased Options | 0.8 | % | ||
Municipal Obligations | 0.0 | % | ||
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Total Long-Term Investments | 91.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 8.1 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Inflation-Protected and Income Fund Portfolio Characteristics | ||||
U.S. Treasury Obligations | 91.0 | % | ||
Non-U.S. Government Agency Obligations | 45.6 | % | ||
Corporate Debt | 1.7 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 1.4 | % | ||
Purchased Options | 0.6 | % | ||
Municipal Obligations | 0.0 | % | ||
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Total Long-Term Investments | 140.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | (40.3 | )% | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Core Bond Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Core Bond Fund Portfolio Characteristics (% of Net Assets) on 3/31/18 | ||||
Corporate Debt | 36.5 | % | ||
Non-U.S. Government Agency Obligations | 31.0 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 24.8 | % | ||
U.S. Treasury Obligations | 4.4 | % | ||
Purchased Options | 0.8 | % | ||
Sovereign Debt Obligations | 0.8 | % | ||
Municipal Obligations | 0.6 | % | ||
Preferred Stock | 0.3 | % | ||
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Total Long-Term Investments | 99.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.8 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Diversified Bond Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Diversified Bond Fund Portfolio Characteristics (% of Net Assets) on 3/31/18 | ||||
Corporate Debt | 40.7 | % | ||
Non-U.S. Government Agency Obligations | 28.5 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 21.0 | % | ||
U.S. Treasury Obligations | 3.8 | % | ||
Purchased Options | 1.2 | % | ||
Sovereign Debt Obligations | 0.8 | % | ||
Municipal Obligations | 0.2 | % | ||
Preferred Stock | 0.1 | % | ||
Warrants | 0.0 | % | ||
Common Stock | 0.0 | % | ||
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Total Long-Term Investments | 96.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.7 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier High Yield Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier High Yield Fund Portfolio Characteristics (% of Net Assets) on 3/31/18 | ||||
Corporate Debt | 92.3 | % | ||
Bank Loans | 4.6 | % | ||
Preferred Stock | 0.4 | % | ||
Common Stock | 0.0 | % | ||
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Total Long-Term Investments | 97.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.7 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Balanced Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Balanced Fund Portfolio Characteristics (% of Net Assets) on 3/31/18 | ||||
Common Stock | 64.3 | % | ||
Mutual Funds | 9.7 | % | ||
Corporate Debt | 9.3 | % | ||
Non-U.S. Government Agency Obligations | 8.1 | % | ||
U.S. Government Agency Obligations and Instrumentalities | 6.5 | % | ||
U.S. Treasury Obligations | 1.0 | % | ||
Purchased Options | 0.2 | % | ||
Sovereign Debt Obligations | 0.2 | % | ||
Municipal Obligations | 0.2 | % | ||
Preferred Stock | 0.1 | % | ||
Rights | 0.0 | % | ||
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Total Long-Term Investments | 99.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.4 | % | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Disciplined Value Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Disciplined Value Fund Largest Holdings (% of Net Assets) on 3/31/18 | ||||
iShares Russell 1000 Value Index Fund | 4.3 | % | ||
JP Morgan Chase & Co. | 2.8 | % | ||
Berkshire Hathaway, Inc. Class B | 2.8 | % | ||
Bank of America Corp. | 2.5 | % | ||
Pfizer, Inc. | 2.4 | % | ||
Intel Corp. | 2.1 | % | ||
AT&T, Inc. | 2.0 | % | ||
Exxon Mobil Corp. | 1.9 | % | ||
Johnson & Johnson | 1.8 | % | ||
Citigroup, Inc. | 1.8 | % | ||
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24.4 | % | |||
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MassMutual Premier Disciplined Value Fund Sector Table (% of Net Assets) on 3/31/18 | ||||
Financial | 30.7 | % | ||
Consumer, Non-cyclical | 16.6 | % | ||
Consumer, Cyclical | 8.4 | % | ||
Technology | 8.0 | % | ||
Energy | 7.8 | % | ||
Industrial | 7.7 | % | ||
Communications | 7.6 | % | ||
Utilities | 4.3 | % | ||
Mutual Funds | 4.3 | % | ||
Basic Materials | 3.2 | % | ||
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Total Long-Term Investments | 98.6 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.4 | % | ||
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Net Assets | 100.0 | % | ||
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* | The Fund is not promoted, sponsored, or endorsed by, nor in any way affiliated with Russell Investment Group (“Russell”). Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. The Russell 1000® Value Index and Russell® are trademarks of the Frank Russell Company. |
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MassMutual Premier Main Street Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Main Street Fund Largest Holdings (% of Net Assets) on 3/31/18 | ||||
Apple, Inc. | 5.8 | % | ||
Alphabet, Inc. Class C | 3.8 | % | ||
JP Morgan Chase & Co. | 3.6 | % | ||
UnitedHealth Group, Inc. | 2.9 | % | ||
PepsiCo, Inc. | 2.7 | % | ||
Merck & Co., Inc. | 2.4 | % | ||
Comcast Corp. Class A | 2.4 | % | ||
Facebook, Inc. Class A | 2.4 | % | ||
Lockheed Martin Corp. | 2.4 | % | ||
Berkshire Hathaway, Inc. Class B | 2.3 | % | ||
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30.7 | % | |||
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MassMutual Premier Main Street Fund Sector Table (% of Net Assets) on 3/31/18 | ||||
Consumer, Non-cyclical | 23.7 | % | ||
Financial | 18.7 | % | ||
Communications | 14.3 | % | ||
Technology | 12.6 | % | ||
Consumer, Cyclical | 9.9 | % | ||
Industrial | 8.0 | % | ||
Energy | 5.4 | % | ||
Utilities | 2.7 | % | ||
Basic Materials | 2.2 | % | ||
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Total Long-Term Investments | 97.5 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.5 | % | ||
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Net Assets | 100.0 | % | ||
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* | 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® Index and Russell® are trademarks of the Frank Russell Company. |
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MassMutual Premier Disciplined Growth Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Disciplined Growth Fund Largest Holdings (% of Net Assets) on 3/31/18 | ||||
Apple, Inc. | 7.0 | % | ||
Microsoft Corp. | 5.1 | % | ||
Amazon.com, Inc. | 3.2 | % | ||
Facebook, Inc. Class A | 3.0 | % | ||
Alphabet, Inc. Class C | 2.4 | % | ||
Alphabet, Inc. Class A | 2.3 | % | ||
The Boeing Co. | 1.8 | % | ||
UnitedHealth Group, Inc. | 1.6 | % | ||
PepsiCo, Inc. | 1.5 | % | ||
Comcast Corp. Class A | 1.5 | % | ||
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29.4 | % | |||
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MassMutual Premier Disciplined Growth Fund Sector Table (% of Net Assets) on 3/31/18 | ||||
Technology | 28.1 | % | ||
Consumer, Non-cyclical | 19.4 | % | ||
Communications | 17.5 | % | ||
Consumer, Cyclical | 11.7 | % | ||
Industrial | 11.3 | % | ||
Financial | 7.7 | % | ||
Basic Materials | 2.4 | % | ||
Energy | 0.7 | % | ||
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Total Long-Term Investments | 98.8 | % | ||
Short-Term Investments and Other Assets and Liabilities | 1.2 | % | ||
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Net Assets | 100.0 | % | ||
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* | The Fund is not promoted, sponsored, or endorsed by, nor in any way affiliated with Russell Investment Group (“Russell”). Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. The Russell 1000® Growth Index and Russell® are trademarks of the Frank Russell Company. |
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MassMutual Premier Small Cap Opportunities Fund – Portfolio Summaries (Unaudited) (Continued)
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 invests 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).
MassMutual Premier Small Cap Opportunities Fund Largest Holdings (% of Net Assets) on 3/31/18 | ||||
Korn/Ferry International | 2.5 | % | ||
Asgn, Inc. | 2.2 | % | ||
CACI International, Inc. Class A | 2.1 | % | ||
Visteon Corp. | 1.8 | % | ||
Group 1 Automotive, Inc. | 1.7 | % | ||
MKS Instruments, Inc. | 1.7 | % | ||
Pegasystems, Inc. | 1.6 | % | ||
j2 Global, Inc. | 1.6 | % | ||
Zynga, Inc. Class A | 1.6 | % | ||
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BankUnited, Inc. | 1.5 | % | ||
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MassMutual Premier Small Cap Opportunities Fund Sector Table (% of Net Assets) on 3/31/18 | ||||
Financial | 22.8 | % | ||
Consumer, Non-cyclical | 21.4 | % | ||
Consumer, Cyclical | 15.3 | % | ||
Technology | 13.4 | % | ||
Industrial | 11.5 | % | ||
Communications | 5.9 | % | ||
Mutual Funds | 5.6 | % | ||
Basic Materials | 3.1 | % | ||
Utilities | 2.8 | % | ||
Energy | 2.6 | % | ||
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Total Long-Term Investments | 104.4 | % | ||
Short-Term Investments and Other Assets and Liabilities | (4.4 | )% | ||
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Net Assets | 100.0 | % | ||
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MassMutual Premier Global Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier Global Fund Largest Holdings (% of Net Assets) on 3/31/18 | ||||
Alphabet, Inc. Class A | 5.9 | % | ||
Airbus SE | 3.5 | % | ||
LVMH Moet Hennessy Louis Vuitton SE | 3.1 | % | ||
Adobe Systems, Inc. | 2.9 | % | ||
S&P Global, Inc. | 2.7 | % | ||
Nidec Corp. | 2.7 | % | ||
Aetna, Inc. | 2.6 | % | ||
Maxim Integrated Products, Inc. | 2.3 | % | ||
Citigroup, Inc. | 2.3 | % | ||
Keyence Corp. | 2.3 | % | ||
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30.3 | % | |||
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MassMutual Premier Global Fund Sector Table (% of Net Assets) on 3/31/18 | ||||
Consumer, Non-cyclical | 25.4 | % | ||
Industrial | 19.3 | % | ||
Financial | 17.1 | % | ||
Consumer, Cyclical | 15.3 | % | ||
Communications | 11.8 | % | ||
Technology | 11.8 | % | ||
Mutual Funds | 2.7 | % | ||
Basic Materials | 1.0 | % | ||
Energy | 0.9 | % | ||
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| |||
Total Long-Term Investments | 105.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | (5.3 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
14
Table of Contents
MassMutual Premier International Equity Fund – Portfolio Summaries (Unaudited) (Continued)
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).
MassMutual Premier International Equity Fund Largest Holdings (% of Net Assets) on 3/31/18 | ||||
Infineon Technologies AG | 2.5 | % | ||
SAP SE | 1.9 | % | ||
Nippon Telegraph & Telephone Corp. | 1.9 | % | ||
Keyence Corp. | 1.9 | % | ||
Temenos Group AG Registered | 1.8 | % | ||
Continental AG | 1.8 | % | ||
Carnival Corp. | 1.6 | % | ||
Valeo SA | 1.6 | % | ||
Nidec Corp. | 1.6 | % | ||
STMicroelectronics NV | 1.6 | % | ||
|
| |||
18.2 | % | |||
|
|
MassMutual Premier International Equity Fund Sector Table (% of Net Assets) on 3/31/18 | ||||
Consumer, Cyclical | 25.1 | % | ||
Consumer, Non-cyclical | 24.2 | % | ||
Industrial | 17.3 | % | ||
Technology | 14.4 | % | ||
Communications | 9.5 | % | ||
Financial | 5.0 | % | ||
Mutual Funds | 4.3 | % | ||
Basic Materials | 2.2 | % | ||
Energy | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 103.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | (3.3 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
15
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio Summaries (Unaudited) (Continued)
What is the investment approach of MassMutual Premier Strategic Emerging Markets Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing mainly in common stocks of issuers in developing and emerging markets throughout the world and, at times, up to 100% of its total assets in foreign securities. Under normal market conditions, the Fund will invest at least 80% of its net assets (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 Morgan Stanley Capital Index (“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).
MassMutual Premier Strategic Emerging Markets Fund Largest Holdings (% of Net Assets) on 3/31/18 | ||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 5.9 | % | ||
Alibaba Group Holding Ltd. Sponsored ADR | 5.3 | % | ||
Tencent Holdings Ltd. | 4.9 | % | ||
Housing Development Finance Corp. Ltd. | 3.5 | % | ||
Novatek PJSC Sponsored GDR Registered | 3.1 | % | ||
Glencore PLC | 3.0 | % | ||
Kering SA | 2.7 | % | ||
AIA Group Ltd. | 2.4 | % | ||
Jiangsu Hengrui Medicine Co. Ltd. Class A | 2.3 | % | ||
Kotak Mahindra Bank Ltd. | 2.3 | % | ||
|
| |||
35.4 | % | |||
|
|
MassMutual Premier Strategic Emerging Markets Fund Sector Table (% of Net Assets) on 3/31/18 | ||||
Financial | 23.3 | % | ||
Consumer, Non-cyclical | 20.1 | % | ||
Communications | 17.0 | % | ||
Consumer, Cyclical | 13.3 | % | ||
Technology | 9.7 | % | ||
Basic Materials | 5.2 | % | ||
Energy | 3.7 | % | ||
Mutual Funds | 2.8 | % | ||
Industrial | 2.6 | % | ||
Diversified | 1.4 | % | ||
|
| |||
Total Long-Term Investments | 99.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
16
Table of Contents
March 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 102.5% | ||||||||
Discount Notes — 88.1% | ||||||||
Federal Farm Credit Bank | $ | 315,000 | $ | 314,594 | ||||
Federal Farm Credit Bank | 9,780,000 | 9,778,777 | ||||||
Federal Farm Credit Bank | 500,000 | 497,728 | ||||||
Federal Farm Credit Bank | 3,670,000 | 3,670,859 | ||||||
Federal Farm Credit Bank | 2,884,000 | 2,884,241 | ||||||
Federal Home Loan Bank | 570,000 | 569,092 | ||||||
Federal Home Loan Bank | 3,000,000 | 2,999,634 | ||||||
Federal Home Loan Bank | 1,700,000 | 1,699,790 | ||||||
Federal Home Loan Bank | 14,500,000 | 14,496,224 | ||||||
Federal Home Loan Bank | 17,000,000 | 16,999,998 | ||||||
Federal Home Loan Bank | 3,000,000 | 3,000,019 | ||||||
Federal Home Loan Bank | 15,000,000 | 15,000,000 | ||||||
Federal Home Loan Bank | 3,140,000 | 3,139,302 | ||||||
Federal Home Loan Bank | 738,000 | 737,803 | ||||||
Federal Home Loan Bank | 25,000,000 | 25,000,000 | ||||||
Federal Home Loan Bank | 969,000 | 968,827 | ||||||
Federal Home Loan Bank | 6,461,000 | 6,459,551 | ||||||
Federal Home Loan Bank | 1,400,000 | 1,399,748 | ||||||
Federal Home Loan Bank | 2,850,000 | 2,847,563 | ||||||
Federal Home Loan Bank | 11,000,000 | 11,000,864 | ||||||
Federal Home Loan Bank | 670,000 | 669,788 | ||||||
Federal Home Loan Bank | 5,600,000 | 5,596,948 | ||||||
Federal Home Loan Bank | 10,000,000 | 9,998,614 | ||||||
Federal Home Loan Bank | 708,000 | 707,448 | ||||||
Federal Home Loan Bank | 2,726,000 | 2,723,626 |
Principal Amount | Value | |||||||
Federal Home Loan Bank | $ | 5,000,000 | $ | 4,995,646 | ||||
Federal Home Loan Bank | 1,700,000 | 1,697,265 | ||||||
Federal Home Loan Bank | 800,000 | 799,779 | ||||||
Federal Home Loan Bank | 9,500,000 | 9,500,000 | ||||||
Federal Home Loan Bank | 15,000,000 | 14,999,487 | ||||||
Federal Home Loan Bank | 8,800,000 | 8,795,101 | ||||||
Federal Home Loan Bank | 1,900,000 | 1,898,766 | ||||||
Federal Home Loan Bank | 880,000 | 878,076 | ||||||
Federal Home Loan Bank | 835,000 | 834,454 | ||||||
Federal Home Loan Bank | 4,000,000 | 3,997,387 | ||||||
Federal Home Loan Bank | 2,100,000 | 2,098,138 | ||||||
Federal Home Loan Bank | 700,000 | 699,803 | ||||||
Federal Home Loan Bank | 900,000 | 899,535 | ||||||
Federal Home Loan Bank | 4,700,000 | 4,695,808 | ||||||
Federal Home Loan Bank | 7,100,000 | 7,100,002 | ||||||
Federal Home Loan Bank | 18,000,000 | 18,000,088 | ||||||
Federal Home Loan Bank | 1,700,000 | 1,699,037 | ||||||
Federal Home Loan Bank | 1,150,000 | 1,148,968 | ||||||
Federal Home Loan Bank | 600,000 | 599,065 | ||||||
Federal Home Loan Bank | 775,000 | 774,742 | ||||||
Federal Home Loan Bank | 6,000,000 | 5,994,585 | ||||||
Federal Home Loan Bank | 625,000 | 623,961 | ||||||
Federal Home Loan Bank | 8,000,000 | 8,000,000 | ||||||
Federal Home Loan Bank | 2,800,000 | 2,797,726 | ||||||
Federal Home Loan Bank | 1,300,000 | 1,298,385 | ||||||
Federal Home Loan Bank | 1,500,000 | 1,497,778 |
The accompanying notes are an integral part of the financial statements.
17
Table of Contents
MassMutual Premier U.S. Government Money Market Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Federal Home Loan Bank | $ | 1,900,000 | $ | 1,897,458 | ||||
Federal Home Loan Bank | 6,000,000 | 5,992,525 | ||||||
Federal Home Loan Bank | 3,145,000 | 3,141,826 | ||||||
Federal Home Loan Bank | 3,000,000 | 2,989,125 | ||||||
Federal Home Loan Bank | 3,000,000 | 2,989,031 | ||||||
Federal Home Loan Mortgage Corp. | 4,945,000 | 4,944,934 | ||||||
Federal Home Loan Mortgage Corp. | 3,000,000 | 2,999,292 | ||||||
Federal National Mortgage Association | 1,400,000 | 1,399,207 | ||||||
|
| |||||||
TOTAL DISCOUT NOTES (Cost $275,838,018) | 275,838,018 | |||||||
|
| |||||||
Repurchase Agreement — 14.4% | ||||||||
HSBC Securities (USA) Inc., Tri-Party | 45,000,000 | 45,000,000 | ||||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 1,863 | 1,863 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $320,839,881) | 320,839,881 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.5% (Cost $320,839,881) (c) | 320,839,881 | |||||||
Other Assets/(Liabilities) — (2.5)% | (7,971,321 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 312,868,560 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | The stated maturity dates reflect demand date and stated maturity date, respectively. |
(b) | Maturity value of $45,008,750. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 7/15/25, and an aggregate market value, including accrued interest, of $45,904,999. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
18
Table of Contents
March 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 91.1% | ||||||||
CORPORATE DEBT — 45.7% | ||||||||
Aerospace & Defense — 0.9% | ||||||||
Harris Corp. | $ | 2,960,000 | $ | 2,959,278 | ||||
Harris Corp. | 200,000 | 198,240 | ||||||
L3 Technologies, Inc. | 2,690,000 | 2,772,916 | ||||||
|
| |||||||
5,930,434 | ||||||||
|
| |||||||
Agriculture — 1.0% | ||||||||
Bunge Ltd. Finance Corp. | 3,050,000 | 3,060,455 | ||||||
Imperial Brands Finance PLC (a) | 3,128,000 | 3,105,583 | ||||||
|
| |||||||
6,166,038 | ||||||||
|
| |||||||
Airlines — 0.3% | ||||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 84,850 | 85,147 | ||||||
Delta Air Lines, Inc. | 2,160,000 | 2,157,344 | ||||||
|
| |||||||
2,242,491 | ||||||||
|
| |||||||
Auto Manufacturers — 1.4% | ||||||||
Ford Motor Credit Co. LLC FRN (b) | 1,560,000 | 1,559,673 | ||||||
General Motors Financial Co., Inc. | 3,615,000 | 3,529,169 | ||||||
Hyundai Capital America (a) | 2,350,000 | 2,343,221 | ||||||
Nissan Motor Acceptance Corp. (a) | 1,235,000 | 1,180,154 | ||||||
|
| |||||||
8,612,217 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.5% | ||||||||
Lear Corp. | 2,860,000 | 2,999,486 | ||||||
Lear Corp. | 100,000 | 105,663 | ||||||
|
| |||||||
3,105,149 | ||||||||
|
| |||||||
Banks — 7.8% | ||||||||
ANZ New Zealand Int’l Ltd. (a) | 2,965,000 | 2,955,716 | ||||||
Banco Santander SA | 3,200,000 | 3,185,295 | ||||||
Bancolombia SA | 1,215,000 | 1,287,900 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + .930%, VRN | 6,240,000 | 6,081,322 |
Principal Amount | Value | |||||||
Citigroup, Inc. VRN (b) | $ | 3,225,000 | $ | 3,186,073 | ||||
Discover Bank | 2,212,000 | 2,176,891 | ||||||
Discover Bank | 1,000,000 | 1,020,018 | ||||||
First Horizon National Corp. | 3,420,000 | 3,438,425 | ||||||
The Goldman Sachs Group, Inc. | 2,450,000 | 2,425,065 | ||||||
The Goldman Sachs Group, Inc. | 3,850,000 | 3,810,624 | ||||||
Itau Unibanco Holding SA (a) | 840,000 | 839,597 | ||||||
JP Morgan Chase & Co. | 2,930,000 | 3,048,363 | ||||||
Macquarie Bank Ltd. (a) | 380,000 | 375,577 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 3,350,000 | 3,245,622 | ||||||
Morgan Stanley | 3,410,000 | 3,446,119 | ||||||
Regions Bank | 613,000 | 616,409 | ||||||
Regions Financial Corp. | 2,480,000 | 2,475,451 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,620,000 | 1,563,100 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 260,000 | 255,625 | ||||||
SVB Financial Group | 225,000 | 237,175 | ||||||
Synchrony Bank | 1,970,000 | 1,904,578 | ||||||
Turkiye Garanti Bankasi AS (a) | 1,290,000 | 1,298,302 | ||||||
|
| |||||||
48,873,247 | ||||||||
|
| |||||||
Beverages — 0.4% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 1,765,000 | 1,751,177 | ||||||
Molson Coors Brewing Co. | 660,000 | 633,297 | ||||||
|
| |||||||
2,384,474 | ||||||||
|
| |||||||
Biotechnology — 0.6% | ||||||||
Baxalta, Inc. | 1,025,000 | 1,023,468 | ||||||
Celgene Corp. | 270,000 | 268,006 | ||||||
Celgene Corp. | 2,650,000 | 2,639,506 | ||||||
|
| |||||||
3,930,980 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
19
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Building Materials — 1.2% | ||||||||
Holcim US Finance Sarl & Cie SCS (a) | $ | 2,929,000 | $ | 3,069,406 | ||||
Martin Marietta Materials, Inc. 3 mo. USD LIBOR + .650%, FRN | 980,000 | 983,832 | ||||||
Martin Marietta Materials, Inc. FRN (b) | 540,000 | 540,824 | ||||||
Masco Corp. | 990,000 | 994,178 | ||||||
Masco Corp. | 225,000 | 241,247 | ||||||
Standard Industries, Inc. (a) | 1,472,000 | 1,523,520 | ||||||
|
| |||||||
7,353,007 | ||||||||
|
| |||||||
Chemicals — 1.6% | ||||||||
CF Industries, Inc. | 94,000 | 100,345 | ||||||
The Dow Chemical Co. | 320,000 | 339,654 | ||||||
Incitec Pivot Finance LLC (a) | 2,227,000 | 2,325,250 | ||||||
LyondellBasell Industries NV | 1,553,000 | 1,576,523 | ||||||
LyondellBasell Industries NV | 1,410,000 | 1,522,081 | ||||||
RPM International, Inc. | 43,000 | 43,052 | ||||||
RPM International, Inc. | 2,422,000 | 2,533,650 | ||||||
The Sherwin-Williams Co. | 1,839,000 | 1,791,139 | ||||||
|
| |||||||
10,231,694 | ||||||||
|
| |||||||
Commercial Services — 0.3% | ||||||||
S&P Global, Inc. | 1,700,000 | 1,709,529 | ||||||
|
| |||||||
Computers — 0.9% | ||||||||
Dell International LLC/EMC Corp. (a) | 1,305,000 | 1,310,903 | ||||||
Dell International LLC/EMC Corp. (a) | 980,000 | 1,005,252 | ||||||
DXC Technology Co. | 565,000 | 561,853 | ||||||
Leidos Holdings, Inc. | 2,761,000 | 2,802,415 | ||||||
|
| |||||||
5,680,423 | ||||||||
|
| |||||||
Diversified Financial Services — 2.6% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 250,000 | 256,083 |
Principal Amount | Value | |||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust | $ | 1,670,000 | $ | 1,674,259 | ||||
Aircastle Ltd. | 3,380,000 | 3,485,625 | ||||||
Ally Financial, Inc. | 1,285,000 | 1,285,000 | ||||||
Ally Financial, Inc. | 2,470,000 | 2,489,019 | ||||||
Genpact Luxembourg Sarl (a) | 2,640,000 | 2,590,749 | ||||||
International Lease Finance Corp. | 1,245,000 | 1,245,224 | ||||||
Lazard Group LLC | 3,115,000 | 3,201,660 | ||||||
|
| |||||||
16,227,619 | ||||||||
|
| |||||||
Electric — 2.3% | ||||||||
Ameren Corp. | 1,415,000 | 1,399,986 | ||||||
Duke Energy Corp. | 1,260,000 | 1,199,333 | ||||||
EDP Finance BV (a) | 1,395,000 | 1,416,762 | ||||||
Enel Finance International NV (a) | 1,955,000 | 1,907,924 | ||||||
Entergy Texas, Inc. | 605,000 | 592,826 | ||||||
Entergy Texas, Inc. | 1,803,000 | 1,861,864 | ||||||
Israel Electric Corp. Ltd. (a) | 2,185,000 | 2,226,777 | ||||||
Majapahit Holding BV (a) | 1,160,000 | 1,244,332 | ||||||
Puget Energy, Inc. | 740,000 | 802,744 | ||||||
Puget Energy, Inc. | 634,000 | 683,871 | ||||||
The Southern Co. | 195,000 | 192,379 | ||||||
The Southern Co. | 1,040,000 | 1,007,803 | ||||||
|
| |||||||
14,536,601 | ||||||||
|
| |||||||
Electronics — 0.2% | ||||||||
FLIR Systems, Inc. | 650,000 | 643,826 | ||||||
Tech Data Corp. | 580,000 | 575,880 | ||||||
|
| |||||||
1,219,706 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
SBA Tower Trust (a) | 880,000 | 867,523 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
20
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Foods — 0.8% | ||||||||
Danone SA (a) | $ | 3,075,000 | $ | 2,946,713 | ||||
JBS Investments GmbH (a) | 634,000 | 653,337 | ||||||
Mondelez International Holdings Netherlands BV (a) | 1,490,000 | 1,421,875 | ||||||
Tyson Foods, Inc. | 180,000 | 178,981 | ||||||
|
| |||||||
5,200,906 | ||||||||
|
| |||||||
Health Care – Products — 1.1% | ||||||||
Abbott Laboratories | 961,000 | 952,718 | ||||||
Abbott Laboratories | 1,545,000 | 1,528,653 | ||||||
Becton Dickinson and Co. FRN (b) | 2,205,000 | 2,207,334 | ||||||
Boston Scientific Corp. | 785,000 | 779,896 | ||||||
Zimmer Biomet Holdings, Inc. | 1,213,000 | 1,213,000 | ||||||
|
| |||||||
6,681,601 | ||||||||
|
| |||||||
Health Care – Services — 1.2% | ||||||||
Cigna Corp. | 971,000 | 987,459 | ||||||
Cigna Corp. | 1,805,000 | 1,862,560 | ||||||
HCA, Inc. | 3,140,000 | 3,151,932 | ||||||
Laboratory Corp. of America Holdings | 1,400,000 | 1,388,957 | ||||||
|
| |||||||
7,390,908 | ||||||||
|
| |||||||
Home Builders — 0.5% | ||||||||
Lennar Corp. | 2,853,000 | 2,874,398 | ||||||
|
| |||||||
Insurance — 3.7% | ||||||||
American International Group, Inc. | 1,450,000 | 1,451,501 | ||||||
AmTrust Financial Services, Inc. | 1,505,000 | 1,453,368 | ||||||
Athene Global Funding (a) | 3,615,000 | 3,659,709 | ||||||
CNA Financial Corp. | 1,401,000 | 1,505,505 | ||||||
Enstar Group Ltd. | 1,435,000 | 1,441,465 | ||||||
Jackson National Life Global Funding (a) | 2,940,000 | 2,850,422 | ||||||
Lincoln National Corp. | 310,000 | 316,678 |
Principal Amount | Value | |||||||
Lincoln National Corp. | $ | 1,290,000 | $ | 1,363,784 | ||||
Nuveen Finance LLC (a) | 3,125,000 | 3,118,314 | ||||||
Reinsurance Group of America, Inc. | 1,865,000 | 1,956,649 | ||||||
Trinity Acquisition PLC | 1,480,000 | 1,478,007 | ||||||
Unum Group | 480,000 | 475,920 | ||||||
Willis Towers Watson PLC | 840,000 | 893,976 | ||||||
XLIT Ltd. | 1,335,000 | 1,441,082 | ||||||
|
| |||||||
23,406,380 | ||||||||
|
| |||||||
Internet — 0.5% | ||||||||
Expedia Group, Inc. | 380,000 | 401,860 | ||||||
Expedia Group, Inc. | 2,635,000 | 2,678,841 | ||||||
|
| |||||||
3,080,701 | ||||||||
|
| |||||||
Investment Companies — 0.8% | ||||||||
Ares Capital Corp. | 1,800,000 | 1,818,732 | ||||||
FS Investment Corp. | 1,233,000 | 1,239,161 | ||||||
TCP Capital Corp. | 1,805,000 | 1,756,958 | ||||||
|
| |||||||
4,814,851 | ||||||||
|
| |||||||
Leisure Time — 0.5% | ||||||||
Brunswick Corp. (a) | 3,130,000 | 3,154,000 | ||||||
|
| |||||||
Lodging — 0.4% | ||||||||
Marriott International, Inc. | 410,000 | 393,887 | ||||||
Marriott International, Inc. | 2,015,000 | 1,996,228 | ||||||
|
| |||||||
2,390,115 | ||||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
CNH Industrial Capital LLC | 1,229,000 | 1,225,928 | ||||||
CNH Industrial Capital LLC | 265,000 | 265,066 | ||||||
CNH Industrial Capital LLC | 1,015,000 | 1,014,350 | ||||||
CNH Industrial Capital LLC | 590,000 | 606,963 | ||||||
|
| |||||||
3,112,307 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
21
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Media — 0.9% | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | $ | 1,545,000 | $ | 1,549,350 | ||||
Discovery Communications LLC | 905,000 | 872,087 | ||||||
Sirius XM Radio, Inc. (a) | 3,125,000 | 2,993,750 | ||||||
|
| |||||||
5,415,187 | ||||||||
|
| |||||||
Mining — 1.0% | ||||||||
Anglo American Capital PLC (a) | 1,875,000 | 1,869,000 | ||||||
Glencore Finance Canada Ltd. STEP (a) | 902,000 | 915,055 | ||||||
Glencore Funding LLC (a) | 680,000 | 655,894 | ||||||
Kinross Gold Corp. | 1,450,000 | 1,504,520 | ||||||
Newcrest Finance Pty Ltd. (a) | 1,470,000 | 1,490,367 | ||||||
|
| |||||||
6,434,836 | ||||||||
|
| |||||||
Office Equipment/Supplies — 0.6% | ||||||||
Pitney Bowes, Inc. STEP | 3,915,000 | 3,729,038 | ||||||
|
| |||||||
Oil & Gas — 0.6% | ||||||||
Antero Resources Corp. | 629,000 | 640,008 | ||||||
Continental Resources, Inc. | 1,850,000 | 1,875,437 | ||||||
EQT Corp. | 1,460,000 | 1,418,650 | ||||||
|
| |||||||
3,934,095 | ||||||||
|
| |||||||
Packaging & Containers — 0.5% | ||||||||
Graphic Packaging International LLC | 3,030,000 | 3,079,389 | ||||||
|
| |||||||
Pharmaceuticals — 1.6% | ||||||||
AbbVie, Inc. | 2,390,000 | 2,388,257 | ||||||
CVS Health Corp. | 835,000 | 839,534 | ||||||
Express Scripts Holding Co. | 3,095,000 | 3,089,369 | ||||||
Shire Acquisitions Investments Ireland DAC | 735,000 | 709,659 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 3,325,000 | 2,994,169 | ||||||
|
| |||||||
10,020,988 | ||||||||
|
|
Principal Amount | Value | |||||||
Pipelines — 0.6% | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | $ | 450,000 | $ | 442,222 | ||||
The Williams Cos., Inc. | 3,270,000 | 3,180,075 | ||||||
|
| |||||||
3,622,297 | ||||||||
|
| |||||||
Private Equity — 0.5% | ||||||||
Hercules Capital, Inc. | 2,895,000 | 2,926,078 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.4% | ||||||||
American Tower Corp. | 465,000 | 444,661 | ||||||
American Tower Corp. | 1,520,000 | 1,468,049 | ||||||
American Tower Corp. | 1,105,000 | 1,104,743 | ||||||
Crown Castle International Corp. | 1,869,000 | 1,876,084 | ||||||
Digital Realty Trust LP | 925,000 | 930,554 | ||||||
Healthcare Trust of America Holdings LP | 690,000 | 675,009 | ||||||
Highwoods Realty LP | 170,000 | 170,267 | ||||||
Simon Property Group LP | 1,760,000 | 1,711,091 | ||||||
Weyerhaeuser Co. | 510,000 | 542,583 | ||||||
|
| |||||||
8,923,041 | ||||||||
|
| |||||||
Retail — 1.4% | ||||||||
AutoNation, Inc. | 2,085,000 | 2,083,047 | ||||||
CVS Health Corp. | 2,405,000 | 2,323,480 | ||||||
Dollar Tree, Inc. | 3,000,000 | 3,131,475 | ||||||
QVC, Inc. | 1,449,000 | 1,448,206 | ||||||
|
| |||||||
8,986,208 | ||||||||
|
| |||||||
Semiconductors — 0.7% | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 2,315,000 | 2,271,585 | ||||||
NXP BV/NXP Funding LLC (a) | 2,025,000 | 2,045,250 | ||||||
|
| |||||||
4,316,835 | ||||||||
|
| |||||||
Telecommunications — 1.4% | ||||||||
Ericsson LM | 3,300,000 | 3,276,304 |
The accompanying notes are an integral part of the financial statements.
22
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Hughes Satellite Systems Corp. | $ | 2,704,000 | $ | 2,785,120 | ||||
Sprint Communications, Inc. | 1,250,000 | 1,425,000 | ||||||
Verizon Communications, Inc. | 1,260,000 | 1,238,818 | ||||||
|
| |||||||
8,725,242 | ||||||||
|
| |||||||
Transportation — 0.6% | ||||||||
Asciano Finance Ltd. (a) | 1,803,000 | 1,803,389 | ||||||
Ryder System, Inc. | 170,000 | 164,183 | ||||||
Ryder System, Inc. | 295,000 | 293,908 | ||||||
Ryder System, Inc. | 1,080,000 | 1,073,220 | ||||||
TTX Co. (a) | 565,000 | 562,564 | ||||||
|
| |||||||
3,897,264 | ||||||||
|
| |||||||
Trucking & Leasing — 1.8% | ||||||||
Aviation Capital Group Corp. (a) | 3,260,000 | 3,258,721 | ||||||
DAE Funding LLC (a) | 522,000 | 508,950 | ||||||
GATX Corp. | 1,475,000 | 1,461,570 | ||||||
Park Aerospace Holdings Ltd. (a) | 3,100,000 | 3,037,070 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 1,240,000 | 1,233,777 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 1,650,000 | 1,649,093 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 50,000 | 49,727 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) | 170,000 | 178,920 | ||||||
|
| |||||||
11,377,828 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $290,247,361) | 286,565,625 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.0% | ||||||||
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN (b) | 154,188 | 154,615 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $154,188) | 154,615 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.9% | ||||||||
Automobile ABS — 7.2% | ||||||||
American Credit Acceptance Receivables Trust, Series 2017-4, Class C (a) | $ | 2,700,000 | $ | 2,683,836 | ||||
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class D | 710,000 | 709,541 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 86,885 | 86,742 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 6,921 | 6,918 | ||||||
CPS Auto Receivables Trust, Series 2017-D, Class A (a) | 530,183 | 527,904 | ||||||
CPS Auto Receivables Trust, Series 2018-A, Class A (a) | 222,832 | 222,184 | ||||||
CPS Auto Trust, Series 2016-C, Class A (a) | 122,693 | 122,541 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 170,137 | 170,135 | ||||||
CPS Auto Trust, Series 2015-C, Class B (a) | 441,523 | 441,525 | ||||||
CPS Auto Trust, Series 2016-C, Class B (a) | 710,000 | 708,471 | ||||||
CPS Auto Trust, Series 2017-A, Class B (a) | 1,870,000 | 1,862,118 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) | 51,868 | 51,869 | ||||||
Drive Auto Receivables Trust, Series 2017-2, Class C | 390,000 | 387,141 | ||||||
Drive Auto Receivables Trust, Series 2017-1, Class C | 630,000 | 628,527 | ||||||
DT Auto Owner Trust, Series 2018-1A, Class A (a) | 2,390,000 | 2,389,957 | ||||||
DT Auto Owner Trust, Series 2018-1A, Class B (a) | 800,000 | 799,932 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) | 559,062 | 557,685 |
The accompanying notes are an integral part of the financial statements.
23
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 (a) | $ | 530,000 | $ | 527,011 | ||||
Exeter Automobile Receivables Trust, Series 2018-1A, Class B (a) | 670,000 | 665,068 | ||||||
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) | 520,000 | 519,696 | ||||||
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) | 630,000 | 630,755 | ||||||
Exeter Automobile Receivables Trust, Series 2015-2A, Class C (a) | 1,295,000 | 1,300,797 | ||||||
First Investors Auto Owner Trust, Series 2017-3A, Class B (a) | 890,000 | 874,197 | ||||||
Flagship Credit Auto Trust, Series 2015-2, Class A (a) | 107,704 | 107,485 | ||||||
Flagship Credit Auto Trust, Series 2015-3, Class A (a) | 514,933 | 514,724 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class B (a) | 2,390,000 | 2,368,767 | ||||||
Flagship Credit Auto Trust, Series 2016-3, Class B (a) | 1,150,000 | 1,144,736 | ||||||
Flagship Credit Auto Trust, Series 2018-1, Class A (a) | 2,143,780 | 2,143,737 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (a) | 890,000 | 868,073 | ||||||
Flagship Credit Auto Trust, Series 2016-1, Class A (a) | 377,995 | 378,240 | ||||||
Flagship Credit Auto Trust, Series 2017-1, Class B (a) | 1,515,000 | 1,507,608 | ||||||
Flagship Credit Auto Trust, Series 2017-4, Class C (a) | 1,800,000 | 1,771,133 | ||||||
Flagship Credit Auto Trust, Series 2018-1, Class B (a) | 3,250,000 | 3,249,309 | ||||||
Hertz Vehicle Financing II LP, Series 2018-1A, Class B (a) | 1,420,000 | 1,407,091 | ||||||
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A (a) | 780,000 | 779,137 |
Principal Amount | Value | |||||||
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) | $ | 1,250,000 | $ | 1,266,476 | ||||
OneMain Direct Auto Receivables Trust, Series 2017-2A, Class A (a) | 1,690,000 | 1,677,752 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 1,020,000 | 1,014,220 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 156,677 | 157,304 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A2A (a) | 359,640 | 358,957 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) | 550,000 | 545,399 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | 400,000 | 395,979 | ||||||
OSCAR US Funding Trust VIII LLC, Series 2018-1A, Class A2A (a) | 840,000 | 839,688 | ||||||
Prestige Auto Receivables Trust, Series 2015-1, Class B (a) | 639,601 | 638,954 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-2, Class C | 1,346,940 | 1,346,237 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class B | 899,628 | 899,385 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class D | 600,000 | 601,364 | ||||||
Santander Drive Auto Receivables Trust, Series 2016-1, Class D | 1,740,000 | 1,770,615 | ||||||
Tesla Auto Lease Trust, Series 2018-A, Class B (a) | 390,000 | 389,271 | ||||||
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) | 55,007 | 54,990 | ||||||
|
| |||||||
45,071,181 | ||||||||
|
| |||||||
Commercial MBS — 0.7% | ||||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, VRN (b) | 338,553 | 337,747 |
The accompanying notes are an integral part of the financial statements.
24
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 | $ | 845,000 | $ | 847,120 | ||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) | 419,763 | 424,888 | ||||||
RETL, Series 2018-RVP, Class A, FRN (a) (b) | 1,600,000 | 1,607,509 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (b) | 55,483 | 55,266 | ||||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL1, Class A, FRN (a) (b) | 500,000 | 500,277 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN (b) | 155,140 | 155,700 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (b) | 122,694 | 123,910 | ||||||
|
| |||||||
4,052,417 | ||||||||
|
| |||||||
Home Equity ABS — 0.1% | ||||||||
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN | 23,499 | 23,518 | ||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | 99,602 | 100,533 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (a) | 356,337 | 355,785 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 196,436 | 197,005 | ||||||
|
| |||||||
676,841 | ||||||||
|
| |||||||
Other ABS — 18.1% | ||||||||
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 267,009 | 261,796 | ||||||
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 342,551 | 334,698 |
Principal Amount | Value | |||||||
321 Henderson Receivables I LLC, Series 2010-3A, Class A (a) | $ | 663,467 | $ | 666,136 | ||||
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (a) | 420,000 | 420,127 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) | 1,290,000 | 1,305,248 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (a) | 830,875 | 837,839 | ||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 610,196 | 614,544 | ||||||
Avant Loans Funding Trust, Series 2017-B, Class A (a) | 1,055,628 | 1,054,102 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,500,000 | 1,500,681 | ||||||
BCC Funding X LLC, Series 2015-1, Class A2 (a) | 72,199 | 72,081 | ||||||
BCC Funding XIV LLC, Series 2018-1A, Class A1 (a) | 5,650,776 | 5,647,436 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 1,010,000 | 1,010,194 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) | 555,208 | 544,426 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) | 1,475,000 | 1,478,735 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 793,175 | 794,662 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) | 507,502 | 497,159 | ||||||
Capital Automotive LLC, Series 2012-1A, Class A1 (a) | 614,317 | 613,434 |
The accompanying notes are an integral part of the financial statements.
25
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-4A, Class A1R, 3 mo. USD LIBOR + 1.200%, FRN (a) | $ | 2,050,000 | $ | 2,050,363 | ||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | 239,367 | 239,068 | ||||||
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, Series 2005-OPT3, Class M2, 1 mo. USD LIBOR + .675%, FRN | 239,979 | 240,646 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 1,534,752 | 1,536,012 | ||||||
CLI Funding V LLC, Series 2014-1A, Class A (a) | 1,306,362 | 1,291,990 | ||||||
CLI Funding VI LLC, Series 2017-1A, Class A (a) | 998,824 | 991,652 | ||||||
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) | 149,305 | 149,314 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 44,946 | 44,919 | ||||||
Denali Capital CLO X LLC, Series 2013-1A, Class A1, FRN (a) (b) | 1,850,000 | 1,855,524 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) | 665,660 | 665,640 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) | 122,260 | 121,779 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 168,497 | 166,324 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class B (a) | 201,729 | 200,336 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) | 334,296 | 331,946 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) | 1,126,375 | 1,102,105 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) | 182,343 | 180,340 |
Principal Amount | Value | |||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) | $ | 1,296,900 | $ | 1,301,590 | ||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | 166,667 | 165,559 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) | 269,648 | 271,719 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A1, 3 mo. USD LIBOR + 5.250%, FRN (a) | 101,551 | 102,323 | ||||||
Elara HGV Timeshare Issuer, Series 2017-A, Class A (a) | 614,649 | 605,265 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) | 802,453 | 787,316 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B, VRN (a) (b) | 289,795 | 281,355 | ||||||
Element Rail Leasing I LLC, Series 2014-1A, Class A1 (a) | 726,989 | 722,344 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | 166,971 | 165,018 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | 507,670 | 509,259 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A | 240,851 | 236,920 | ||||||
FNA Trust, Series 2015-1, Class A (a) | 123,507 | 123,012 | ||||||
FRS I LLC, Series 2013-1A, Class A1 (a) | 79,153 | 78,531 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, FRN (a) (b) | 1,500,000 | 1,503,603 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) | 799,293 | 798,675 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 801,975 | 802,038 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (a) | 1,211,727 | 1,180,855 |
The accompanying notes are an integral part of the financial statements.
26
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | $ | 49,768 | $ | 50,094 | ||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) | 109,062 | 109,062 | ||||||
Hero Funding, Series 2017-3A, Class A1 (a) | 1,297,717 | 1,279,332 | ||||||
HERO Funding Trust, Series 2017-2A, Class A1 (a) | 313,787 | 313,335 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (a) | 842,215 | 829,574 | ||||||
HERO Funding Trust, Series 2017-2A, Class A2 (a) | 258,413 | 264,415 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 329,595 | 322,180 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 245,514 | 242,918 | ||||||
Hilton Grand Vacations Trust, Series 2017-AA, Class B, VRN (a) (b) | 709,180 | 692,189 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + | 1,686,728 | 1,686,993 | ||||||
Lendmark Funding Trust, Series 2017-2A, Class A (a) | 819,957 | 814,122 | ||||||
Lendmark Funding Trust, Series 2017-1A, Class A (a) | 630,000 | 625,550 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 57,309 | 57,336 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,200,000 | 1,200,636 | ||||||
Magnetite XI Ltd., Series 2014-11A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,780,000 | 1,780,281 | ||||||
Mariner Finance Issuance Trust, Series 2017-BA, Class A (a) | 3,150,000 | 3,112,262 |
Principal Amount | Value | |||||||
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) | $ | 990,000 | $ | 1,003,057 | ||||
Marlette Funding Trust, Series 2017-3A, Class A (a) | 649,609 | 647,348 | ||||||
Marlette Funding Trust, Series 2017-2A, Class A (a) | 534,858 | 533,604 | ||||||
Marlette Funding Trust, Series 2018-1A, Class A (a) | 2,921,174 | 2,916,913 | ||||||
Marlette Funding Trust, Series 2017-1A, Class A (a) | 641,481 | 641,536 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 312,029 | 312,354 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 334,320 | 333,084 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + | 3,793 | 3,796 | ||||||
Mosaic Solar Loans LLC, Series 2017-2A, Class D (a) | 640,000 | 577,526 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) | 252,602 | 257,710 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (a) | 267,451 | 263,914 | ||||||
MVW Owner Trust, Series 2014-2, Class A (a) | 592,200 | 581,287 | ||||||
MVW Owner Trust, Series 2016-1A, Class A (a) | 768,227 | 750,815 | ||||||
MVW Owner Trust, Series 2017-1A, Class A (a) | 220,599 | 215,707 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) | 232,940 | 232,736 | ||||||
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BR, FRN (a) (b) | 750,000 | 749,955 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 4,200,000 | 4,156,832 |
The accompanying notes are an integral part of the financial statements.
27
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
NP SPE II LLC, Series 2017-1A, Class A1 (a) | $ | 530,753 | $ | 517,607 | ||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (a) | 1,500,000 | 1,493,320 | ||||||
Oak Hill Credit Partners X Ltd., Series 2014-10A, Class AR, 3 mo. USD LIBOR + 1.130%, FRN (a) | 450,000 | 450,084 | ||||||
OCP CLO Ltd., Series 2015-8A, Class A2AR, FRN (a) (b) | 2,150,000 | 2,149,976 | ||||||
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.410%, FRN (a) | 1,350,000 | 1,369,576 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) | 420,000 | 420,221 | ||||||
Oportun Funding VI LLC, Series 2017-A, Class A (a) | 920,000 | 904,827 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 92,088 | 89,832 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) | 546,983 | 531,348 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | 700,000 | 698,366 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 113,591 | 112,437 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) | 117,030 | 116,812 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, FRN (a) (b) | 1,250,000 | 1,255,951 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) | 589,147 | 585,525 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A (a) | 642,235 | 630,558 | ||||||
Sierra Receivables Funding Co. LLC, Series 2016-2A, Class B (a) | 738,197 | 731,760 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 82,367 | 81,891 |
Principal Amount | Value | |||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A (a) | $ | 219,645 | $ | 216,762 | ||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A (a) | 861,788 | 854,352 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class B (a) | 1,087,328 | 1,083,537 | ||||||
Sofi Consumer Loan Program LLC, Series 2017-3, Class A (a) | 1,131,259 | 1,122,814 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 568,115 | 567,412 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | 3,016,903 | 3,012,180 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 930,524 | 931,186 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 1,364,502 | 1,365,387 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 1,240,827 | 1,245,136 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 1,283,930 | 1,282,101 | ||||||
Springleaf Funding Trust, Series 2016-AA, Class A (a) | 2,560,000 | 2,548,651 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T1, Class AT1 (a) | 1,960,000 | 1,955,713 | ||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) | 409,894 | 402,741 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 1,140,000 | 1,140,268 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 1,313,375 | 1,320,814 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 47,933 | 47,938 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A | 1,150,138 | 1,182,725 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) | $ | 1,060,000 | $ | 1,074,273 | ||||
TLF National Tax Lien Trust, Series 2017-1A, Class A (a) | 1,475,296 | 1,473,564 | ||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 670,000 | 672,809 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) | 1,960,000 | 1,960,796 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) | 411,290 | 406,370 | ||||||
Trip Rail Master Funding LLC, Series 2014-1A, Class A2 (a) | 1,200,000 | 1,184,287 | ||||||
Trip Rail Master Funding LLC, Series 2011-1A, Class A2 (a) | 2,248,923 | 2,375,282 | ||||||
Triton Container Finance IV LLC, Series 2017-2A, Class A (a) | 2,351,382 | 2,330,969 | ||||||
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN (b) | 706,993 | 701,670 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (a) | 254,817 | 250,442 | ||||||
Welk Resorts LLC, Series 2017-AA, Class B (a) | 1,420,919 | 1,388,947 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 276,100 | 273,874 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 667,620 | 662,256 | ||||||
Westgate Resorts LLC, Series 2015-2A, Class A (a) | 540,338 | 539,002 | ||||||
|
| |||||||
113,729,440 | ||||||||
|
| |||||||
Student Loans ABS — 12.4% | ||||||||
Academic Loan Funding Trust, Series 2013-1A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 233,415 | 232,768 |
Principal Amount | Value | |||||||
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) | $ | 807,665 | $ | 813,317 | ||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 430,000 | 383,230 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 329,569 | 310,916 | ||||||
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN | 53,826 | 53,814 | ||||||
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN | 701,874 | 640,017 | ||||||
Commonbond Student Loan Trust, Series 2016-B, Class A1 (a) | 570,104 | 559,526 | ||||||
Commonbond Student Loan Trust, Series 2018-AGS, Class C (a) | 490,000 | 489,840 | ||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class C (a) | 1,320,000 | 1,326,402 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (a) | 312,790 | 288,838 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A3 | 199,595 | 197,735 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) | 195,731 | 192,641 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) | 781,629 | 769,892 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (a) | 332,336 | 331,990 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (a) | 430,261 | 426,813 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) | 1,503,574 | 1,492,689 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) | 664,690 | 678,131 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | $ | 1,821,223 | $ | 1,822,134 | ||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | 1,432,208 | 1,473,514 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A2 (a) | 1,332,227 | 1,288,670 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) | 690,074 | 676,564 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) | 760,833 | 790,992 | ||||||
ECMC Group Student Loan Trust, Series 2018-1A, Class A, FRN (a) (b) | 2,400,000 | 2,399,567 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | 2,406,582 | 2,435,696 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 1,658,810 | 1,680,663 | ||||||
Edlinc Student Loan Funding, Series 2017-A, Class A (Acquired 12/22/17, Cost $1,936,440), FRN (a) (b) (c) (d) | 1,876,885 | 1,861,984 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN 2.414% 12/01/31 | 538,113 | 537,828 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN | 194,892 | 194,200 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-C, Class B (a) | 910,000 | 880,665 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B, Class CFX (a) | 1,000,000 | 967,931 | ||||||
Navient Private Education Loan Trust, Series 2014-AA, Class A2A (a) | 668,687 | 659,593 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-A, Class A1 (a) | 1,460,000 | 1,454,528 |
Principal Amount | Value | |||||||
Navient Student Loan Trust, Series 2018-1A, Class A3, FRN (a) (b) | $ | 2,040,000 | $ | 2,043,112 | ||||
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (a) (b) | 1,029,332 | 1,035,863 | ||||||
Navient Student Loan Trust, Series 2018-2A, Class A3, FRN (a) (b) | 1,830,000 | 1,829,978 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) | 1,800,000 | 1,848,955 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | 2,749,642 | 2,817,415 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 1,400,000 | 1,455,254 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) | 539,687 | 523,883 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) | 450,704 | 451,559 | ||||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) | 528,957 | 530,036 | ||||||
Nelnet Student Loan Trust, Series 2018-1A, Class A2, FRN (a) (b) | 1,990,000 | 1,990,000 | ||||||
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 395,000 | 369,804 | ||||||
North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 3 mo. USD LIBOR + .800%, FRN | 385,051 | 387,673 | ||||||
North Carolina State Education Assistance Authority, Series 2011-1, Class A2, 3 mo. USD LIBOR + .900%, FRN | 7,581 | 7,589 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) | 1,495,806 | 1,506,046 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | $ | 3,939 | $ | 3,938 | ||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 567,000 | 541,971 | ||||||
SLC Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .250%, FRN | 1,633,421 | 1,530,766 | ||||||
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN | 480,000 | 462,033 | ||||||
SLM Student Loan Trust, Series 2007-1, Class A6, 3 mo. USD LIBOR + .140%, FRN | 250,000 | 241,652 | ||||||
SLM Student Loan Trust, Series 2006-10, Class A6, 3 mo. USD LIBOR + .150%, FRN | 2,410,000 | 2,322,893 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN | 1,876,951 | 1,768,346 | ||||||
SLM Student Loan Trust, Series 2005-6, Class B, ABS, FRN, 3 mo. USD LIBOR + .290%, FRN | 1,674,044 | 1,595,040 | ||||||
SLM Student Loan Trust, Series 2005-9, Class B, 3 mo. USD LIBOR + .300%, FRN | 1,218,611 | 1,163,111 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN | 520,000 | 518,063 | ||||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 605,266 | 570,781 | ||||||
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (a) | 2,300,000 | 2,284,436 | ||||||
SLM Student Loan Trust, Series 2005-9, Class A7A, 3 mo. EURIBOR + .600%, FRN | 1,820,000 | 1,831,133 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2003-14, Class A7, 3 mo. USD LIBOR + .600%, FRN (a) | $ | 5,880,000 | $ | 5,858,024 | ||||
SLM Student Loan Trust, Series 2004-8A, Class A6, 3 mo. USD LIBOR + .630%, FRN (a) | 450,000 | 449,808 | ||||||
SLM Student Loan Trust, Series 2005-7, Class A5, 3 mo. USD LIBOR + .750%, FRN | 2,000,000 | 1,992,500 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN | 477,605 | 456,955 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN | 100,000 | 100,000 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450%, FRN (a) | 480,000 | 492,949 | ||||||
SMB Private Education Loan Trust, Series 2015-C, Class A3, 1 mo. USD LIBOR + 1.950%, FRN (a) | 1,350,000 | 1,402,811 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $1,406,875) (a) (c) (d) | 500 | 875,000 | ||||||
SoFi Professional Loan Program LLC, Series 2018-A, Class R1, (Acquired 1/22/18, Cost $1,384,761) (a) (c) (d) 0.000% 2/25/42 | 1,928,100 | 1,384,761 | ||||||
SoFi Professional Loan Program LLC, Series 2017-D, Class R1, (Acquired 7/19/17, Cost $1,320,697) (a) (c) (d) | 2,333,800 | 1,341,935 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) | 158,076 | 157,802 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) | 280,000 | 272,826 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) | 770,000 | 753,802 | ||||||
SoFi Professional Loan Program LLC, Series 2014-A, Class A2 (a) | 112,399 | 112,081 |
The accompanying notes are an integral part of the financial statements.
31
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | $ | 731,323 | $ | 741,601 | ||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 681,207 | 702,342 | ||||||
SoFi Professional Loan Program Trust, Series 2018-B, Class R1 (a) (c) (e) | 1,727,800 | 932,839 | ||||||
|
| |||||||
77,972,454 | ||||||||
|
| |||||||
WL Collateral CMO — 2.4% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (b) | 54,088 | 54,710 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (b) | 23,813 | 24,324 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (b) | 8,923 | 8,308 | ||||||
Deephaven Residential Mortgage Trust, Series 2018-1A, Class A2, VRN (a) (b) | 1,742,094 | 1,733,383 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (b) | 9,723 | 9,732 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (b) | 60,919 | 59,844 | ||||||
JP Morgan Mortgage Trust, Series 2018-3, Class A5, VRN (a) (b) | 1,725,000 | 1,720,160 | ||||||
JP Morgan Mortgage Trust, Series 2018-1, Class A5, VRN (a) (b) | 1,056,601 | 1,063,339 | ||||||
JP Morgan Mortgage Trust, Series 2017-6, Class A5, VRN (a) (b) | 1,615,796 | 1,621,364 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (b) | 4,928 | 4,577 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IIA2, VRN (b) | 144,408 | 144,574 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (b) | 4,232 | 4,386 |
Principal Amount | Value | |||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (b) | $ | 284 | $ | 304 | ||||
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, VRN (a) (b) | 906,635 | 915,688 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A (Acquired 2/21/18, Cost $670,000), FRN (a) (b) (c) (d) | 670,000 | 672,530 | ||||||
PSMC Trust, Series 2018-1, Class A3, VRN (a) (b) (c) (e) | 1,680,000 | 1,677,900 | ||||||
Sequoia Mortgage Trust, Series 2018-3, Class A4, VRN (a) (b) | 1,985,276 | 1,990,301 | ||||||
Sequoia Mortgage Trust, Series 2018-CH1, Class A10, VRN (a) (b) | 1,427,695 | 1,440,475 | ||||||
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, VRN (a) (b) | 2,010,149 | 1,931,351 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (b) | 37,140 | 37,628 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 92,013 | 93,436 | ||||||
|
| |||||||
15,208,314 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $257,417,069) | 256,710,647 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 1.3% | ||||||||
Collateralized Mortgage Obligations — 0.9% | ||||||||
Federal Home Loan Mortgage Corp. | 1,280,996 | 1,270,642 | ||||||
Series 4720, Class A | 1,063,523 | 1,055,299 | ||||||
Federal National Mortgage Association | 1,681,278 | 1,672,784 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Series 2015-63, Class KA | $ | 827,392 | $ | 824,877 | ||||
Government National Mortgage Association (b) Series 2014-131, Class BW VRN | 427,234 | 442,491 | ||||||
|
| |||||||
5,266,093 | ||||||||
|
| |||||||
Pass-Through Securities — 0.2% | ||||||||
Federal Home Loan Mortgage Corp. | 378,591 | 396,841 | ||||||
Federal National Mortgage Association | 75,691 | 79,456 | ||||||
Pool #888586 1 year CMT + 2.210%, FRN 3.302% | 162,351 | 170,735 | ||||||
Pool #775539 12 mo. USD LIBOR + 1.645%, FRN 3.475% | 56,043 | 58,439 | ||||||
Pool #702331 5.500% | 1,355 | 1,355 | ||||||
Pool #725796 5.500% | 108,977 | 110,764 | ||||||
Pool #844564 5.500% | 33,303 | 34,318 | ||||||
Government National Mortgage Association | 28,774 | 33,379 | ||||||
Government National Mortgage Association II | 173,483 | 180,260 | ||||||
Pool #82488 1 year CMT + 1.500%, FRN 2.375% | 213,995 | 222,368 | ||||||
|
| |||||||
1,287,915 | ||||||||
|
| |||||||
Whole Loans — 0.2% | ||||||||
Fannie Mae Connecticut Avenue Securities (b) Series 2018-C02, Class 2M2 FRN | 510,000 | 510,328 |
Principal Amount | Value | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes (b) Series 2018-HQA1, Class M2 FRN | $ | 665,000 | $ | 665,466 | ||||
|
| |||||||
1,175,794 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $7,805,829) | 7,729,802 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 3.2% | ||||||||
U.S. Treasury Bonds & Notes — 3.2% | ||||||||
U.S. Treasury Inflation Index | 12,835,242 | 12,654,316 | ||||||
U.S. Treasury Note (f) | 2,100,000 | 2,085,070 | ||||||
U.S. Treasury Note | 5,700,000 | 5,511,744 | ||||||
|
| |||||||
20,251,130 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $20,426,115) | 20,251,130 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $576,050,562) | 571,411,819 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.8% (Cost $5,197,567) | 5,068,690 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $581,248,129) | 576,480,509 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 9.7% | ||||||||
Commercial Paper — 9.6% | ||||||||
American Electric Power Co., Inc. (a) | 5,000,000 | 4,998,026 | ||||||
Dominion Resources, Inc. (a) | 5,000,000 | 4,996,845 | ||||||
Fortive Corp. (a) | 5,500,000 | 5,468,590 | ||||||
HP, Inc. (a) | 5,500,000 | 5,474,744 | ||||||
Hyundai Capital America (a) | 4,000,000 | 3,998,653 | ||||||
Lam Research Corp. (a) | 5,000,000 | 4,974,173 | ||||||
Molex Electronic Technologies (a) | 1,500,000 | 1,491,672 | ||||||
National Grid USA (a) | 5,500,000 | 5,491,170 | ||||||
Suncor Energy, Inc. (a) | 5,077,000 | 5,071,279 |
The accompanying notes are an integral part of the financial statements.
33
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MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Telus Corp. (a) | $ | 5,000,000 | $ | 4,971,446 | ||||
Transcanada Pipelines Ltd. (a) | 5,500,000 | 5,495,528 | ||||||
Walgreens Boots | 5,500,000 | 5,480,980 | ||||||
Xcel Energy, Inc. (a) | 2,500,000 | 2,496,165 | ||||||
|
| |||||||
60,409,271 | ||||||||
|
| |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | 211,444 | 211,444 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $60,617,445) | 60,620,715 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.6% (Cost $641,865,574) (g) | 637,101,224 | |||||||
Other Assets/(Liabilities) — (1.6)% | (9,788,794 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 627,312,430 | ||||||
|
|
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 March 31, 2018, these securities amounted to a value of $354,284,003 or 56.48% 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 March 31, 2018. |
(c) | Investment was valued using significant unobservable inputs. |
(d) | Restricted security. Certain securities are restricted as to resale. At March 31, 2018, these securities amounted to a value of $6,136,210 or 0.98% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2018, these securities amounted to a value of $2,610,739 or 0.42% of net assets. |
(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 Swaptions contracts at March 31, 2018:
OTC Counterparty* | Units | Notional Amount | Expiration Date | Pay/ Receive Exercise Rate | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Barclays Bank PLC | 16,660,000 | USD 16,660,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.44 | $ | 832,872 | $ | 695,678 | $ | (137,194 | ) | ||||||||||||||||
Credit Suisse International | 18,600,000 | USD 18,600,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Strike 2.61 | 892,800 | 866,952 | (25,848 | ) | |||||||||||||||||||
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|
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|
| |||||||||||||||||||||||
$ | 1,725,672 | $ | 1,562,630 | $ | (163,042 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
34
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
OTC Counterparty* | Units | Notional Amount | Expiration Date | Pay/ Receive Exercise Rate | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
Barclays Bank PLC | 33,920,000 | USD 33,920,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.94 | $ | 1,695,763 | $ | 1,763,003 | $ | 67,240 | |||||||||||||||||
Credit Suisse International | 37,080,000 | USD 37,080,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Strike 3.11 | 1,776,132 | 1,743,057 | (33,075 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
3,471,895 | 3,506,060 | 34,165 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 5,197,567 | $ | 5,068,690 | $ | (128,877 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The Fund had the following open Futures contracts at March 31, 2018:
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 6/20/18 | 556 | $ | 66,513,291 | $ | 840,897 | ||||||||||
U.S. Treasury Note 2 Year | 6/29/18 | 1,415 | 300,778,729 | 63,538 | ||||||||||||
|
| |||||||||||||||
$ | 904,435 | |||||||||||||||
|
| |||||||||||||||
Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Ultra 10 Year | 6/20/18 | 198 | $ | (25,233,879 | ) | $ | (478,277 | ) | ||||||||
U.S. Treasury Note 5 Year | 6/29/18 | 1,731 | (197,204,656 | ) | (927,228 | ) | ||||||||||
|
| |||||||||||||||
$ | (1,405,505 | ) | ||||||||||||||
|
|
The Fund had the following open Swap agreements at March 31, 2018:
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†† |
| |||||||||||||||||||||||||||||
OTC Swaps* |
| |||||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,500,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB-)† |
| $ | (221,916 | ) | $ | 924 | $ | (220,992 | ) | ||||||||||||||
Goldman Sachs International | USD | 400,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB-)† |
| (26,883 | ) | (32,048 | ) | (58,931 | ) | ||||||||||||||||
Goldman Sachs International | USD | 1,120,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB-)† |
| (68,016 | ) | (96,992 | ) | (165,008 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (316,815 | ) | $ | (128,116 | ) | $ | (444,931 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
35
Table of Contents
MassMutual Premier Short-Duration Bond Fund – Portfolio of Investments (Continued)
Collateral for swap agreements held by Goldman Sachs International amounted to $277,507 in securities at March 31, 2018.
* | Contracts are subject to a Master Netting Agreement. |
† | 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 protection. |
Currency Legend
USD | U.S. Dollar |
Country weightings, as a percentage of net assets, is as follows:
United States | 76.4 | % | ||
Cayman Islands | 5.3 | % | ||
Netherlands | 2.3 | % | ||
United Kingdom | 1.0 | % | ||
Japan | 0.9 | % | ||
Luxembourg | 0.9 | % | ||
Bermuda | 0.8 | % | ||
Ireland | 0.7 | % | ||
Australia | 0.6 | % | ||
Sweden | 0.5 | % | ||
Spain | 0.5 | % | ||
New Zealand | 0.5 | % | ||
France | 0.5 | % | ||
Canada | 0.4 | % | ||
Turkey | 0.2 | % | ||
Colombia | 0.2 | % | ||
Brazil | 0.1 | % | ||
Austria | 0.1 | % | ||
United States Virgin Islands | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 91.9 | % | ||
Short-Term Investments and Other Assets and Liabilities | 8.1 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
36
Table of Contents
March 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES — 139.7% | ||||||||
CORPORATE DEBT — 1.7% | ||||||||
Auto Manufacturers — 0.5% | ||||||||
General Motors Financial Co., Inc. 3 mo. USD LIBOR + 2.060%, FRN | $ | 1,280,000 | $ | 1,296,097 | ||||
|
| |||||||
Computers — 0.8% | ||||||||
Dell International LLC/EMC Corp. (a) | 800,000 | 803,619 | ||||||
Hewlett Packard Enterprise Co. 3 mo. USD LIBOR + 1.930%, FRN | 1,300,000 | 1,311,462 | ||||||
|
| |||||||
2,115,081 | ||||||||
|
| |||||||
Diversified Financial Services — 0.4% | ||||||||
Ally Financial, Inc. | 1,295,000 | 1,295,000 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $4,667,509) | 4,706,178 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.0% | ||||||||
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN (b) | 104,848 | 105,138 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $104,848) | 105,138 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 45.6% | ||||||||
Auto Floor Plan ABS — 0.7% | ||||||||
Ally Master Owner Trust, Series 2015-2, Class A1, 1 mo. LIBOR + .570%, FRN | 900,000 | 902,630 | ||||||
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) | 520,000 | 522,310 | ||||||
NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, FRN (a) (b) | 530,000 | 529,975 | ||||||
|
| |||||||
1,954,915 | ||||||||
|
| |||||||
Automobile ABS — 11.4% | ||||||||
Ally Auto Receivables Trust, Series 2017-5, Class A1 | 368,837 | 368,507 |
Principal Amount | Value | |||||||
American Credit Acceptance Receivables Trust, Series 2017-4, Class A (a) | $ | 688,632 | $ | 686,965 | ||||
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) | 670,000 | 668,062 | ||||||
American Credit Acceptance Receivables Trust, Series 2017-4, Class C (a) | 890,000 | 884,672 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2017-4, Class A1 | 558,919 | 558,588 | ||||||
AmeriCredit Automobile Receivables Trust, Series 2014-3, Class C | 555,000 | 554,856 | ||||||
ARI Fleet Lease Trust, Series 2018-A, Class A1 (a) | 1,400,000 | 1,398,613 | ||||||
Bank of The West Auto Trust, Series 2014-1, Class A4 (a) | 204,594 | 204,541 | ||||||
CFC LLC, Series 2015-1A, Class A (a) | 60,909 | 60,809 | ||||||
CFC LLC, Series 2014-2A, Class A (a) | 10,381 | 10,377 | ||||||
Chesapeake Funding II LLC, Series 2016-2A, Class A2, 1 mo. USD LIBOR + 1.000%, FRN (a) | 980,627 | 984,076 | ||||||
CPS Auto Receivables Trust, Series 2017-D, Class A (a) | 199,779 | 198,920 | ||||||
CPS Auto Receivables Trust, Series 2018-A, Class A (a) | 204,263 | 203,669 | ||||||
CPS Auto Trust, Series 2016-C, Class A (a) | 68,163 | 68,078 | ||||||
CPS Auto Trust, Series 2015-B, Class A (a) | 46,834 | 46,807 | ||||||
CPS Auto Trust, Series 2013-B, Class A (a) | 92,191 | 92,190 | ||||||
CPS Auto Trust, Series 2016-B, Class A (a) | 44,594 | 44,576 | ||||||
CPS Auto Trust, Series 2016-A, Class A (a) | 7,247 | 7,247 |
The accompanying notes are an integral part of the financial statements.
37
Table of Contents
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CPS Auto Trust, Series 2015-C, Class B (a) | $ | 264,914 | $ | 264,915 | ||||
CPS Auto Trust, Series 2017-A, Class B (a) | 1,000,000 | 995,785 | ||||||
Drive Auto Receivables Trust, Series 2018-1, Class A1 | 1,526,630 | 1,525,750 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) | 26,931 | 26,932 | ||||||
Drive Auto Receivables Trust, Series 2017-1, Class C | 290,000 | 289,322 | ||||||
DT Auto Owner Trust, Series 2017-4A, Class A (a) | 809,910 | 807,250 | ||||||
DT Auto Owner Trust, Series 2017-3A, Class B (a) | 420,000 | 418,358 | ||||||
DT Auto Owner Trust, Series 2018-1A, Class A (a) | 1,010,000 | 1,009,982 | ||||||
DT Auto Owner Trust, Series 2018-1A, Class B (a) | 340,000 | 339,971 | ||||||
Enterprise Fleet Financing LLC, Series 2017-3, Class A1 (a) | 240,506 | 239,898 | ||||||
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) | 309,348 | 308,586 | ||||||
Exeter Automobile Receivables Trust, Series 2018-1A, Class A (a) | 592,547 | 590,755 | ||||||
Exeter Automobile Receivables Trust, Series 2018-1A, Class B (a) | 280,000 | 277,939 | ||||||
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) | 310,000 | 309,819 | ||||||
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) | 320,000 | 320,383 | ||||||
First Investors Auto Owner Trust, Series 2017-3A, Class A1 (a) | 1,112,036 | 1,105,498 | ||||||
First Investors Auto Owner Trust, Series 2017-3A, Class B (a) | 370,000 | 363,430 |
Principal Amount | Value | |||||||
Flagship Credit Auto Trust, Series 2016-3, Class A1 (a) | $ | 43,044 | $ | 43,033 | ||||
Flagship Credit Auto Trust, Series 2015-1, Class A (a) | 15,277 | 15,272 | ||||||
Flagship Credit Auto Trust, Series 2015-2, Class A (a) | 150,285 | 149,979 | ||||||
Flagship Credit Auto Trust, Series 2017-4, Class A (a) | 885,355 | 878,626 | ||||||
Flagship Credit Auto Trust, Series 2015-3, Class A (a) | 369,197 | 369,047 | ||||||
Flagship Credit Auto Trust, Series 2018-1, Class A (a) | 1,364,224 | 1,364,196 | ||||||
Flagship Credit Auto Trust, Series 2017-4, Class B (a) | 1,330,000 | 1,310,022 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (a) | 370,000 | 360,884 | ||||||
Flagship Credit Auto Trust, Series 2016-1, Class A (a) | 221,757 | 221,901 | ||||||
Flagship Credit Auto Trust, Series 2017-1, Class B (a) | 760,000 | 756,292 | ||||||
Hertz Fleet Lease Funding LP, Series 2016-1, Class A1, 1 mo. USD LIBOR + 1.100%, FRN (a) | 795,177 | 799,911 | ||||||
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) | 730,000 | 739,622 | ||||||
OneMain Direct Auto Receivables Trust, Series 2017-2A, Class A (a) | 600,000 | 595,652 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 620,000 | 616,486 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 89,803 | 90,162 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) | 340,000 | 337,156 |
The accompanying notes are an integral part of the financial statements.
38
Table of Contents
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | $ | 280,000 | $ | 277,185 | ||||
Oscar US Funding Trust VII LLC, Series 2017-2A, Class A1 (a) | 4,637 | 4,631 | ||||||
OSCAR US Funding Trust VIII LLC, Series 2018-1A, Class A2A (a) | 350,000 | 349,870 | ||||||
Prestige Auto Receivables Trust, Series 2015-1, Class B (a) | 370,968 | 370,593 | ||||||
Santander Drive Auto Receivables Trust, Series 2018-1, Class A1 | 997,026 | 996,591 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-2, Class C | 355,174 | 355,158 | ||||||
Santander Drive Auto Receivables Trust, Series 2015-2, Class C | 713,086 | 712,714 | ||||||
Santander Retail Auto Lease Trust, Series 2017-A, Class A1 (a) | 1,686,627 | 1,684,790 | ||||||
Tesla Auto Lease Trust, Series 2018-A, Class A (a) | 523,519 | 522,576 | ||||||
Tesla Auto Lease Trust, Series 2018-A, Class B (a) | 165,000 | 164,691 | ||||||
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) | 31,155 | 31,145 | ||||||
Westlake Automobile Receivables Trust, Series 2018-1A, Class A1 (a) | 590,641 | 590,241 | ||||||
|
| |||||||
30,944,552 | ||||||||
|
| |||||||
Commercial MBS — 0.8% | ||||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) | 255,658 | 258,780 | ||||||
RETL, Series 2018-RVP, Class A, FRN (a) (b) | 700,000 | 703,285 | ||||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL1, Class A, FRN (a) (b) | 440,000 | 440,243 | ||||||
VMC Finance LLC, Series 2018-FL1, Class A, FRN (a) (b) | 740,000 | 745,148 | ||||||
|
| |||||||
2,147,456 | ||||||||
|
|
Principal Amount | Value | |||||||
Home Equity ABS — 0.0% | ||||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | $ | 60,733 | $ | 61,301 | ||||
|
| |||||||
Other ABS — 14.8% | ||||||||
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 364,570 | 357,453 | ||||||
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 1,327,213 | 1,296,789 | ||||||
321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 302,118 | 295,381 | ||||||
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 574,425 | 539,466 | ||||||
321 Henderson Receivables II LLC, Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 142,042 | 134,579 | ||||||
AIMCO CLO, Series 2015-AA, Class AR, FRN (a) (b) | 1,450,000 | 1,450,336 | ||||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 568,918 | 572,972 | ||||||
Avant Loans Funding Trust, Series 2017-B, Class A (a) | 524,691 | 523,932 | ||||||
Avery Point IV CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (a) | 1,450,000 | 1,450,486 | ||||||
BCC Funding X LLC, Series 2015-1, Class A2 (a) | 44,430 | 44,358 | ||||||
BCC Funding XIV LLC, Series 2018-1A, Class A1 (a) | 2,603,166 | 2,601,628 | ||||||
BCC Funding XIV LLC, Series 2018-1A, Class A2 (a) | 610,000 | 608,856 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 495,734 | 496,664 |
The accompanying notes are an integral part of the financial statements.
39
Table of Contents
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | $ | 254,772 | $ | 254,453 | ||||
CIFC Funding II Ltd., Series 2015-2A, Class AR, FRN (a) (b) | 1,450,000 | 1,449,975 | ||||||
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, Series 2005-OPT3, Class M2, 1 mo. USD LIBOR + .675%, FRN | 142,488 | 142,883 | ||||||
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) | 81,240 | 81,244 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 27,631 | 27,614 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) | 403,884 | 403,871 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) | 57,535 | 56,794 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) | 109,406 | 108,204 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) | 83,333 | 82,780 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) | 230,187 | 231,955 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B, VRN (a) (b) | 163,339 | 158,582 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | 297,350 | 298,280 | ||||||
FNA Trust, Series 2015-1, Class A (a) | 130,772 | 130,248 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) | 202,383 | 197,830 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 808,224 | 808,351 | ||||||
LCM XXIII Ltd., Series 23A, Class X, 3 mo. USD LIBOR + 1.200%, FRN (a) | 210,000 | 210,062 |
Principal Amount | Value | |||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | $ | 35,232 | $ | 35,249 | ||||
Mariner Finance Issuance Trust, Series 2017-BA, Class A (a) | 1,000,000 | 988,020 | ||||||
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) | 510,000 | 516,726 | ||||||
Marlette Funding Trust, Series 2017-3A, Class A (a) | 203,492 | 202,784 | ||||||
Marlette Funding Trust, Series 2017-2A, Class A (a) | 301,850 | 301,143 | ||||||
Marlette Funding Trust, Series 2018-1A, Class A (a) | 1,292,058 | 1,290,173 | ||||||
Marlette Funding Trust, Series 2017-1A, Class A (a) | 661,781 | 661,838 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 96,100 | 96,200 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 432,228 | 430,630 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN | 2,079 | 2,081 | ||||||
MP CLO VII Ltd., Series 2015-1A, Class A1R, FRN (a) (b) | 1,220,000 | 1,220,331 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) | 131,542 | 131,428 | ||||||
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class AR, FRN (a) (b) | 1,500,000 | 1,499,990 | ||||||
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 | 2,573,277 | ||||||
NYCTL Trust, Series 2016-A, Class A (a) | 503,117 | 498,623 | ||||||
OCP CLO Ltd., Series 2015-10A, Class A1R, FRN (a) (b) | 1,450,000 | 1,449,987 |
The accompanying notes are an integral part of the financial statements.
40
Table of Contents
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) | $ | 294,529 | $ | 286,110 | ||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | 400,000 | 399,066 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 63,895 | 63,246 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) | 59,978 | 59,866 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A, VRN (a) (b) | 125,804 | 125,071 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) | 196,382 | 195,175 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 46,675 | 46,405 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A (a) | 361,431 | 358,313 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2014-3A, Class B (a) | 401,691 | 399,813 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (a) | 1,030,079 | 1,025,349 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-1A, Class B (a) | 447,126 | 445,566 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 311,228 | 310,843 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | 1,481,987 | 1,479,668 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 512,650 | 513,014 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 613,260 | 613,657 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 620,414 | 622,568 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 725,700 | 724,666 |
Principal Amount | Value | |||||||
Springleaf Funding Trust, Series 2016-AA, Class A (a) | $ | 1,100,000 | $ | 1,095,123 | ||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) | 402,639 | 395,613 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 1,333,125 | 1,340,676 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (a) | 21,572 | 21,574 | ||||||
TLF National Tax Lien Trust, Series 2017-1A, Class A (a) | 861,971 | 860,959 | ||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class A1, 1 mo. USD LIBOR + .850%, FRN (a) | 600,000 | 603,259 | ||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 300,000 | 301,258 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) | 151,998 | 150,180 | ||||||
Westgate Resorts LLC, Series 2014-1A, Class A (a) | 150,600 | 149,386 | ||||||
Westgate Resorts LLC, Series 2015-1A, Class A (a) | 156,605 | 156,123 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 279,469 | 277,224 | ||||||
Westgate Resorts LLC, Series 2015-2A, Class A (a) | 328,062 | 327,251 | ||||||
|
| |||||||
40,460,328 | ||||||||
|
| |||||||
Student Loans ABS — 15.9% | ||||||||
Academic Loan Funding Trust, Series 2013-1A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 1,672,805 | 1,668,170 | ||||||
Access Group, Inc., Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN | 93,163 | 93,162 | ||||||
AccessLex Institute, Series 2005-1, Class B, 3 mo. USD LIBOR + .570%, FRN | 486,341 | 467,206 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | $ | 94,163 | $ | 88,833 | ||||
Brazos Higher Education Authority, Inc., Series 2006-2, Class A10, 3 mo. USD LIBOR + .120%, FRN | 350,000 | 343,970 | ||||||
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN | 202,617 | 202,569 | ||||||
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN | 449,199 | 409,611 | ||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class A2, 1 mo. USD LIBOR + .850%, FRN (a) | 414,430 | 417,732 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A3 | 56,808 | 56,278 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) | 112,545 | 110,768 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) | 404,062 | 397,995 | ||||||
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) | 579,230 | 590,943 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 995,982 | 996,480 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | 174,053 | 179,073 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) | 602,683 | 611,746 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) | 435,937 | 453,217 | ||||||
ECMC Group Student Loan Trust, Series 2018-1A, Class A, FRN (a) (b) | 2,750,000 | 2,749,504 |
Principal Amount | Value | |||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | $ | 1,203,291 | $ | 1,217,848 | ||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 897,624 | 909,450 | ||||||
Edlinc Student Loan Funding, Series 2017-A, Class A (Acquired 12/22/17, Cost $794,437), FRN (a) (b) (c) (d) | 770,004 | 763,891 | ||||||
Edsouth Indenture No 9 LLC, Series 2015-1, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 411,579 | 413,140 | ||||||
Educational Services of America, Series 2015-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 750,000 | 727,426 | ||||||
Goal Capital Funding Trust, Series 2010-1, Class A, 3 mo. USD LIBOR + .700%, FRN (a) | 335,525 | 335,163 | ||||||
JP Morgan Student Loan Trust, Series 2007-A, Class B, 3 mo. USD LIBOR + .350%, FRN (a) | 402,985 | 384,471 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN | 323,440 | 323,269 | ||||||
KeyCorp Student Loan Trust, Series 2000-A, Class A2, 3 mo. USD LIBOR + .320%, FRN | 142,974 | 141,196 | ||||||
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN | 426,770 | 425,256 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-C, Class A2A (a) | 480,289 | 477,158 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-C, Class A1, FRN (a) (b) | 561,154 | 562,140 | ||||||
Navient Private Education Loan Trust, Series 2015-AA, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (a) | 560,452 | 573,639 | ||||||
Navient Private Education Refi Loan Trust, Series 2018-A, Class A1 (a) | 1,950,000 | 1,942,692 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Navient Student Loan Trust, Series 2018-1A, Class A1, FRN (a) (b) | $ | 862,898 | $ | 862,889 | ||||
Navient Student Loan Trust, Series 2018-2A, Class A2, FRN (a) (b) | 500,000 | 499,994 | ||||||
Navient Student Loan Trust, Series 2018-1A, Class A3, FRN (a) (b) | 680,000 | 681,037 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | 2,017,489 | 2,067,215 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 1,520,000 | 1,579,990 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) | 397,331 | 398,085 | ||||||
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN | 500,000 | 503,357 | ||||||
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN | 369,516 | 338,649 | ||||||
Nelnet Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .200%, FRN | 572,377 | 536,031 | ||||||
Nelnet Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .350%, FRN | 940,552 | 901,095 | ||||||
Nelnet Student Loan Trust, Series 2005-2, Class B, 3 mo. USD LIBOR + .170%, FRN | 671,190 | 625,174 | ||||||
Nelnet Student Loan Trust, Series 2010-4A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) | 54,281 | 54,666 | ||||||
Nelnet Student Loan Trust, Series 2018-1A, Class A2, FRN (a) (b) | 1,040,000 | 1,040,000 | ||||||
Nelnet Student Loan Trust, Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 295,000 | 274,254 |
Principal Amount | Value | |||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | $ | 65,147 | $ | 65,135 | ||||
SLC Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .230%, FRN | 426,698 | 401,176 | ||||||
SLC Student Loan Trust, Series 2005-2, Class B, 3 mo. USD LIBOR + .280%, FRN | 1,398,539 | 1,306,758 | ||||||
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. USD LIBOR + 2.500%, FRN (a) | 320,000 | 330,123 | ||||||
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN | 460,000 | 442,782 | ||||||
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN | 500,000 | 498,038 | ||||||
SLM Student Loan Trust, Series 2007-1, Class A6, 3 mo. USD LIBOR + .140%, FRN | 750,000 | 724,955 | ||||||
SLM Student Loan Trust, Series 2006-10, Class A6, 3 mo. USD LIBOR + .150%, FRN | 700,000 | 674,699 | ||||||
SLM Student Loan Trust, Series 2006-4, Class B, 3 mo. USD LIBOR + .200%, FRN | 270,358 | 258,075 | ||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | 339,295 | 321,288 | ||||||
SLM Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .220%, FRN | 369,163 | 344,992 | ||||||
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN | 687,070 | 647,315 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN | 300,000 | 298,882 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | $ | 363,160 | $ | 342,469 | ||||
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN | 279,832 | 262,717 | ||||||
SLM Student Loan Trust, Series 2005-9, Class A7A, 3 mo. EURIBOR + .600%, FRN | 750,000 | 754,588 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A7, 3 mo. USD LIBOR + .600%, FRN (a) | 400,000 | 398,505 | ||||||
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN | 325,640 | 311,560 | ||||||
SLM Student Loan Trust, Series 2005-6, Class A5B, 3 mo. USD LIBOR + 1.200%, FRN | 66,752 | 67,083 | ||||||
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 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-C, Class A2B, 1 mo. USD LIBOR + 1.100%, FRN (a) | 260,000 | 264,402 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2A (a) | 350,436 | 348,624 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) | 259,697 | 259,246 | ||||||
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX (a) | 680,072 | 672,895 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) | 644,751 | 648,197 |
Principal Amount | Value | |||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | $ | 146,610 | $ | 147,976 | ||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) | 836,482 | 862,435 | ||||||
|
| |||||||
43,301,347 | ||||||||
|
| |||||||
WL Collateral CMO — 2.0% | ||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1, 1 mo. USD LIBOR + .700%, FRN (a) | 47,457 | 47,345 | ||||||
Deephaven Residential Mortgage Trust, Series 2018-1A, Class A1, VRN (a) (b) | 712,237 | 712,222 | ||||||
Deephaven Residential Mortgage Trust, Series 2018-1A, Class A2, VRN (a) (b) | 721,862 | 718,252 | ||||||
JP Morgan Mortgage Trust, Series 2018-3, Class A5, VRN (a) (b) | 700,000 | 698,036 | ||||||
JP Morgan Mortgage Trust, Series 2018-1, Class A5, VRN (a) (b) | 480,273 | 483,336 | ||||||
JP Morgan Mortgage Trust, Series 2017-6, Class A5, VRN (a) (b) | 682,866 | 685,219 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A (Acquired 02/21/18, Cost $270,000), FRN (a) (b) (c) (d) | 270,000 | 271,020 | ||||||
PSMC Trust, Series 2018-1, Class A3, VRN (a) (b) (c) (e) | 640,000 | 639,200 | ||||||
Sequoia Mortgage Trust, Series 2018-3, Class A4, VRN (a) (b) | 595,583 | 597,090 | ||||||
Sequoia Mortgage Trust, Series 2018-CH1, Class A10, VRN (a) (b) | 537,830 | 542,645 | ||||||
|
| |||||||
5,394,365 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $123,680,250) | 124,264,264 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 1.4% | ||||||||
Collateralized Mortgage Obligations — 0.9% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 343,225 | $ | 339,467 | ||||
Series 4491, Class B | 522,512 | 518,288 | ||||||
Series 4720, Class A | 462,401 | 458,825 | ||||||
Federal National Mortgage Association | 739,762 | 736,025 | ||||||
Series 2015-63, Class KA | 370,900 | 369,773 | ||||||
|
| |||||||
2,422,378 | ||||||||
|
| |||||||
Pass-Through Securities — 0.0% | ||||||||
Government National Mortgage Association II | 115,655 | 120,173 | ||||||
|
| |||||||
Whole Loans — 0.5% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN | 24,617 | 24,630 | ||||||
Federal National Mortgage | 540,866 | 545,105 | ||||||
Series 2016-C05, Class 2M1 1 mo. USD LIBOR + 1.350%, FRN | 290,867 | 292,111 | ||||||
Series 2016-C04, Class 1M1 1 mo. USD LIBOR + 1.450%, FRN | 431,454 | 434,826 | ||||||
|
| |||||||
1,296,672 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $3,880,023) | 3,839,223 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 91.0% | ||||||||
U.S. Treasury Bonds & Notes — 91.0% | ||||||||
U.S. Treasury Inflation Index | 4,972,083 | 4,952,723 | ||||||
U.S. Treasury Inflation Index (f) | 15,051,888 | 14,923,712 |
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index (f) | $ | 7,661,920 | $ | 7,580,433 | ||||
U.S. Treasury Inflation Index (f) | 11,989,746 | 11,820,738 | ||||||
U.S. Treasury Inflation Index (f) | 12,550,429 | 12,424,914 | ||||||
U.S. Treasury Inflation Index (f) | 12,471,514 | 12,263,856 | ||||||
U.S. Treasury Inflation Index (f) | 15,963,102 | 15,595,862 | ||||||
U.S. Treasury Inflation Index (f) | 8,268,160 | 7,946,157 | ||||||
U.S. Treasury Inflation Index (f) | 15,636,953 | 15,292,611 | ||||||
U.S. Treasury Inflation Index (f) | 9,580,860 | 9,549,882 | ||||||
U.S. Treasury Inflation Index (f) | 15,461,116 | 15,265,742 | ||||||
U.S. Treasury Inflation Index (f) | 7,178,990 | 6,996,434 | ||||||
U.S. Treasury Inflation Index (f) | 9,621,125 | 9,385,929 | ||||||
U.S. Treasury Inflation Index | 7,061,001 | 6,934,761 | ||||||
U.S. Treasury Inflation Index (f) | 6,595,080 | 6,675,148 | ||||||
U.S. Treasury Inflation Index | 2,632,741 | 2,646,746 | ||||||
U.S. Treasury Inflation Index (f) | 6,680,686 | 6,298,034 | ||||||
U.S. Treasury Inflation Index (f) | 8,984,422 | 8,662,475 | ||||||
U.S. Treasury Inflation Index (f) | 4,053,806 | 4,024,110 | ||||||
U.S. Treasury Inflation Index (f) | 4,370,141 | 4,483,252 | ||||||
U.S. Treasury Inflation Index (f) (g) | 9,122,288 | 9,330,905 | ||||||
U.S. Treasury Inflation Index | 4,543,840 | 4,664,849 | ||||||
U.S. Treasury Inflation Index (f) | 5,049,155 | 5,614,477 | ||||||
U.S. Treasury Inflation Index (f) | 4,138,890 | 4,550,368 | ||||||
U.S. Treasury Inflation Index (f) | 4,992,760 | 5,513,176 | ||||||
U.S. Treasury Inflation Index (f) | 4,298,826 | 5,457,618 | ||||||
U.S. Treasury Inflation Index (f) | 6,571,400 | 7,358,734 | ||||||
U.S. Treasury Inflation Index (f) | 4,913,840 | 5,629,670 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
U.S. Treasury Inflation Index (f) | $ | 2,469,303 | $ | 2,924,952 | ||||
U.S. Treasury Inflation Index | 1,744,625 | 2,348,184 | ||||||
U.S. Treasury Inflation Index (f) | 3,829,250 | 4,909,086 | ||||||
U.S. Treasury Inflation Index (f) | 4,566,149 | 6,077,260 | ||||||
|
| |||||||
248,102,798 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $247,830,953) | 248,102,798 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $380,163,583) | 381,017,601 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.6% (Cost $1,610,040) | 1,568,579 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $381,773,623) | 382,586,180 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 32.0% | ||||||||
Commercial Paper — 31.8% | ||||||||
American Electric Power Co., Inc. (a) | 4,000,000 | 3,998,421 | ||||||
Avangrid, Inc. (a) | 1,000,000 | 997,902 | ||||||
Bell Canada (a) | 4,000,000 | 3,995,598 | ||||||
CRH America Finance In (a) | 4,000,000 | 3,997,476 | ||||||
Experian Finance PLC (a) | 4,000,000 | 3,988,085 | ||||||
FMC Tech, Inc. (a) | 4,000,000 | 3,990,808 | ||||||
Ford Motor Credit Co. (a) | 850,000 | 848,366 | ||||||
Fortive Corp. (a) | 3,000,000 | 2,990,664 | ||||||
Hyundai Capital America (a) | 4,000,000 | 3,997,476 | ||||||
ING US Funding LLC | 2,760,000 | 2,740,369 | ||||||
Interpublic Group Cos. (a) | 4,000,000 | 3,983,346 | ||||||
Lam Research Corp. (a) | 4,000,000 | 3,979,339 | ||||||
Marriott Internation (a) | 4,000,000 | 3,975,546 |
Principal Amount | Value | |||||||
Mccormick & Co. (a) | $ | 4,000,000 | $ | 3,995,848 | ||||
Molex Electronic Technologies (a) | 4,000,000 | 3,977,792 | ||||||
Schlumberger Holdings (a) | 6,500,000 | 6,490,354 | ||||||
Sempra Energy Holdin | 4,000,000 | 3,974,380 | ||||||
Suncor Energy, Inc. (a) | 3,750,000 | 3,745,535 | ||||||
Time Warner, Inc. (a) | 4,000,000 | 3,977,788 | ||||||
Transcanada Pipelines Ltd. (a) | 4,000,000 | 3,996,747 | ||||||
Walgreens Boots | 4,000,000 | 3,977,788 | ||||||
Westpac Securities New Zealand Ltd. (a) | 1,115,000 | 1,105,940 | ||||||
Wpp Cp Llc (a) | 4,000,000 | 3,988,100 | ||||||
Xcel Energy, Inc. (a) | 4,000,000 | 3,993,864 | ||||||
|
| |||||||
86,707,532 | ||||||||
|
| |||||||
Repurchase Agreement — 0.2% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated | 620,349 | 620,349 | ||||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 16,966 | 16,966 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $87,363,771) | 87,344,847 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 172.3% (Cost $469,137,394) (i) | 469,931,027 | |||||||
Other Assets/(Liabilities) — (72.3)% | (197,173,843 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 272,757,184 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury Index |
FRN | Floating Rate Note |
MBS | Mortgage-Backed Security |
VRN | Variable Rate Note |
WL | Whole Loan |
The accompanying notes are an integral part of the financial statements.
46
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
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 March 31, 2018, these securities amounted to a value of $178,862,686 or 65.58% 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 March 31, 2018. |
(c) | Investment was valued using significant unobservable inputs. |
(d) | Restricted security. Certain securities are restricted as to resale. At March 31, 2018, these securities amounted to a value of $1,034,911 or 0.38% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(e) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2018, these securities amounted to a value of $639,200 or 0.23% of net assets. |
(f) | All or a portion of this security is held as collateral for open reverse repurchase agreements. (Note 2). |
(g) | A portion of this security is pledged/held as collateral for open futures contracts and swap agreements. (Note 2). |
(h) | Maturity value of $620,400. Collateralized by U.S. Government Agency obligations with a rate of 1.375%, maturity date of 9/30/23, and an aggregate market value, including accrued interest, of $636,242. |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
(#) | The Fund had the following open Purchased Swaptions contracts at March 31, 2018: |
OTC Counterparty* | Units | Notional Amount | Expiration Date | Pay/ Receive Exercise Rate | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Barclays Bank PLC | 6,970,000 | USD 6,970,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.44 | $ | 348,446 | $ | 291,048 | $ | (57,398 | ) | ||||||||||||||||
Credit Suisse International | 3,850,000 | USD 3,850,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/2/43, Strike 2.61 | 184,800 | 179,450 | (5,350 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
533,246 | 470,498 | (62,748 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
Barclays Bank PLC | 14,190,000 | USD 14,190,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.94 | $ | 709,401 | $ | 737,530 | $ | 28,129 | |||||||||||||||||
Credit Suisse International | 7,670,000 | USD 7,670,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/2/43, Strike 3.11 | 367,393 | 360,551 | (6,842 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
1,076,794 | 1,098,081 | 21,287 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 1,610,040 | $ | 1,568,579 | $ | (41,461 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The accompanying notes are an integral part of the financial statements.
47
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MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
The Fund had the following open Futures contracts at March 31, 2018:
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Future Contract — Long | ||||||||||||||||
U.S. Treasury Long Bond | 6/20/18 | 1 | $ | 142,878 | $ | 3,747 | ||||||||||
|
| |||||||||||||||
Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Ultra Long Bond | 6/20/18 | 4 | $ | (630,058 | ) | $ | (11,817 | ) | ||||||||
U.S. Treasury Note 2 Year | 6/29/18 | 46 | (9,777,749 | ) | (2,282 | ) | ||||||||||
U.S. Treasury Note 5 Year | 6/29/18 | 19 | (2,164,462 | ) | (10,296 | ) | ||||||||||
U.S. Treasury Note 10 Year | 6/20/18 | 22 | (2,647,732 | ) | (17,362 | ) | ||||||||||
|
| |||||||||||||||
$ | (41,757 | ) | ||||||||||||||
|
|
The Fund had the following open Swap agreements at March 31, 2018:
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†† |
| |||||||||||||||||||||||||||
OTC Swaps* |
| |||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,220,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (180,492 | ) | $ | 752 | $ | (179,740 | ) | ||||||||||||||
Goldman Sachs International | USD | 260,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (17,474 | ) | (20,831 | ) | (38,305 | ) | ||||||||||||||||
Goldman Sachs International | USD | 730,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (44,332 | ) | (63,218 | ) | (107,550 | ) | ||||||||||||||||
JP Morgan Chase Bank N.A. | USD | 520,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (77,251 | ) | 640 | (76,611 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (319,549 | ) | $ | (82,657 | ) | $ | (402,206 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
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* |
| |||||||||||||||||||||||||||
Bank of America N.A. | USD | 5,900,000 | 2/16/19 | Pay at maturity | 2.195% | U.S. Consumer Price Index | $ | (1,415 | ) | $ | - | $ | (1,415 | ) | ||||||||||||||
Bank of America N.A. | USD | 5,300,000 | 10/31/19 | Pay at maturity | 2.09% | U.S. Consumer Price Index | 35,549 | - | 35,549 | |||||||||||||||||||
Bank of America N.A. | USD | 5,300,000 | 11/20/19 | Pay at maturity | 2.013% | U.S. Consumer Price Index | 31,009 | - | 31,009 | |||||||||||||||||||
Bank of America N.A. | USD | 5,300,000 | 1/11/20 | Pay at maturity | 2.057% | U.S. Consumer Price Index | 20,625 | - | 20,625 | |||||||||||||||||||
Bank of America N.A. | USD | 8,600,000 | 1/19/20 | Pay at maturity | 2.095% | U.S. Consumer Price Index | 24,972 | - | 24,972 | |||||||||||||||||||
JP Morgan Chase Bank N.A. | USD | 10,600,000 | 12/20/19 | Pay at maturity | 1.910% | U.S. Consumer Price Index | 73,924 | - | 73,924 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 184,664 | $ | - | $ | 184,664 | |||||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Goldman Sachs International amounted to $258,382 in securities, at March 31, 2018.
* | Contracts are subject to a Master Netting Agreement. |
† | 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 protection. |
The accompanying notes are an integral part of the financial statements.
48
Table of Contents
MassMutual Premier Inflation-Protected and Income Fund – Portfolio of Investments (Continued)
The Fund had the following open Reverse Repurchase agreements at March 31, 2018:
Description | Value Number of Shares | Value Including Accrued Interest Value | ||||||
Agreement with BNP Paribas SA, dated 2/02/18, 1.720%, to be repurchased on demand until 5/03/18 at value plus accrued interest. | $ | 27,018,750 | $ | 27,093,622 | ||||
Agreement with Daiwa Securities, dated 2/06/18, 1.640%, to be repurchased on demand until 4/06/18 at value plus accrued interest. | 22,314,375 | 22,369,268 | ||||||
Agreement with Daiwa Securities, dated 2/27/18, 1.670%, to be repurchased on demand until 4/06/18 at value plus accrued interest. | 11,607,500 | 11,625,269 | ||||||
Agreement with Goldman Sachs & Co., dated 3/08/18, 1.870%, to be repurchased on demand until 6/07/18 at value plus accrued interest. | 33,460,855 | 33,502,570 | ||||||
Agreement with HSBC Finance Corp. dated 3/06/18, 1.830%, to be repurchased on demand until 6/06/18 at value plus accrued interest. | 37,879,688 | 37,929,752 | ||||||
Agreement with HSBC Finance Corp. dated 3/20/18, 1.880%, to be repurchased on demand until 4/03/18 at value plus accrued interest. | 14,227,500 | 14,236,416 | ||||||
Agreement with HSBC Finance Corp. dated 3/21/18, 1.900%, to be repurchased on demand until 4/03/18 at value plus accrued interest. | 15,380,000 | 15,388,929 | ||||||
Agreement with Morgan Stanley, dated 1/03/18, 1.640%, to be repurchased on demand until 4/04/18 at value plus accrued interest. | 30,358,125 | 30,477,893 | ||||||
|
|
|
| |||||
$ | 192,246,793 | $ | 192,623,719 | |||||
|
|
|
|
Currency Legend
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
49
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 0.3% | ||||||||
PREFERRED STOCK — 0.3% | ||||||||
Financial — 0.3% | ||||||||
Insurance — 0.3% | ||||||||
The Allstate Corp., 3 mo. USD LIBOR + | 130,000 | $ | 3,472,300 | |||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,250,000) | 3,472,300 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $3,250,000) | 3,472,300 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 98.1% | ||||||||
CORPORATE DEBT — 36.5% | ||||||||
Advertising — 0.1% | ||||||||
WPP Finance 2010 | $ | 1,338,000 | 1,451,237 | |||||
|
| |||||||
Aerospace & Defense — 0.0% | ||||||||
United Technologies Corp. | 465,000 | 573,749 | ||||||
|
| |||||||
Agriculture — 0.3% | ||||||||
Bunge Ltd. Finance Corp. | 1,145,000 | 1,076,492 | ||||||
Bunge Ltd. Finance Corp. | 1,145,000 | 1,148,925 | ||||||
Reynolds American, Inc. | 600,000 | 701,903 | ||||||
|
| |||||||
2,927,320 | ||||||||
|
| |||||||
Airlines — 0.9% | ||||||||
American Airlines Group, Inc. (a) | 7,774,000 | 7,953,968 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 232,415 | 233,229 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | 1,547,055 | 1,543,961 | ||||||
WestJet Airlines Ltd. (a) | 807,000 | 803,698 | ||||||
|
| |||||||
10,534,856 | ||||||||
|
| |||||||
Auto Manufacturers — 0.9% | ||||||||
Ford Motor Co. | 500,000 | 488,948 | ||||||
Ford Motor Credit Co. LLC | 1,265,000 | 1,254,359 |
Principal Amount | Value | |||||||
Ford Motor Credit Co. LLC | $ | 1,245,000 | $ | 1,243,361 | ||||
Ford Motor Credit Co. LLC | 336,000 | 340,868 | ||||||
General Motors Co. | 1,290,000 | 1,262,410 | ||||||
General Motors Co. | 785,000 | 782,479 | ||||||
General Motors Financial Co., Inc. | 2,940,000 | 2,838,368 | ||||||
Hyundai Capital America (a) | 1,150,000 | 1,146,828 | ||||||
Hyundai Capital America (a) | 910,000 | 909,982 | ||||||
|
| |||||||
10,267,603 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.1% | ||||||||
Lear Corp. | 560,000 | 587,312 | ||||||
|
| |||||||
Banks — 4.1% | ||||||||
Associated Banc-Corp. | 1,080,000 | 1,074,582 | ||||||
Associated Banc-Corp. | 2,280,000 | 2,313,263 | ||||||
Banco Santander SA | 1,800,000 | 1,792,918 | ||||||
Bank of America Corp. | 2,380,000 | 2,359,400 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN | 1,125,000 | 1,148,599 | ||||||
Bank of America Corp. | 1,275,000 | 1,534,038 | ||||||
Bank of America Corp. | 555,000 | 768,418 | ||||||
Bank of Montreal VRN (b) | 1,460,000 | 1,383,160 | ||||||
The Bank of Nova Scotia | 1,235,000 | 1,260,784 | ||||||
The Bank of Nova Scotia VRN (b) | 2,350,000 | 2,217,813 | ||||||
Barclays PLC | 1,600,000 | 1,586,552 | ||||||
Citigroup, Inc. | 3,796,000 | 3,756,386 | ||||||
Citigroup, Inc. | 225,000 | 340,719 | ||||||
Credit Suisse Group AG VRN (a) (b) | 850,000 | 823,916 | ||||||
Credit Suisse Group AG (a) | 1,250,000 | 1,252,937 |
The accompanying notes are an integral part of the financial statements.
50
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Deutsche Bank AG | $ | 750,000 | $ | 738,818 | ||||
First Republic Bank | 3,990,000 | 3,958,041 | ||||||
Fulton Financial Corp. | 1,485,000 | 1,470,514 | ||||||
The Goldman Sachs Group, Inc. VRN (b) | 1,450,000 | 1,421,398 | ||||||
The Goldman Sachs Group, Inc. | 1,333,000 | 1,489,914 | ||||||
The Goldman Sachs Group, Inc. | 440,000 | 557,929 | ||||||
The Goldman Sachs Group, Inc. | 565,000 | 707,783 | ||||||
HSBC Holdings PLC | 1,150,000 | 1,156,062 | ||||||
JP Morgan Chase & Co. | 1,135,000 | 1,088,329 | ||||||
Morgan Stanley | 1,150,000 | 1,158,199 | ||||||
SVB Financial Group | 2,860,000 | 2,794,538 | ||||||
SVB Financial Group | 515,000 | 542,868 | ||||||
Turkiye Garanti Bankasi AS (a) | 2,955,000 | 2,974,018 | ||||||
Valley National Bancorp | 1,710,000 | 1,803,153 | ||||||
Wells Fargo & Co. | 851,000 | 939,585 | ||||||
Wells Fargo & Co. | 620,000 | 710,873 | ||||||
|
| |||||||
47,125,507 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 4,325,000 | 4,664,560 | ||||||
Molson Coors Brewing Co. | 610,000 | 576,572 | ||||||
|
| |||||||
5,241,132 | ||||||||
|
| |||||||
Biotechnology — 0.4% | ||||||||
Amgen, Inc. | 500,000 | 555,757 | ||||||
Baxalta, Inc. | 1,070,000 | 1,168,448 | ||||||
Celgene Corp. | 1,780,000 | 1,687,329 | ||||||
Celgene Corp. | 1,150,000 | 1,094,710 | ||||||
|
| |||||||
4,506,244 | ||||||||
|
|
Principal Amount | Value | |||||||
Building Materials — 0.7% | ||||||||
CRH America Finance, Inc. (a) (c) | $ | 1,855,000 | $ | 1,849,169 | ||||
Standard Industries, Inc. (a) | 2,966,000 | 2,879,067 | ||||||
Standard Industries, Inc. (a) | 1,612,000 | 1,632,150 | ||||||
Standard Industries, Inc. (a) | 1,207,000 | 1,249,245 | ||||||
|
| |||||||
7,609,631 | ||||||||
|
| |||||||
Chemicals — 0.4% | ||||||||
Ashland, Inc. | 406,000 | 438,480 | ||||||
Incitec Pivot Finance LLC (a) | 1,130,000 | 1,179,853 | ||||||
Monsanto Co. | 625,000 | 607,871 | ||||||
The Mosaic Co. | 151,000 | 147,839 | ||||||
The Mosaic Co. | 1,140,000 | 1,111,857 | ||||||
RPM International, Inc. | 705,000 | 686,825 | ||||||
The Sherwin-Williams Co. | 685,000 | 681,862 | ||||||
|
| |||||||
4,854,587 | ||||||||
|
| |||||||
Commercial Services — 0.4% | ||||||||
The ADT Corp. | 4,303,000 | 4,485,878 | ||||||
ERAC USA Finance LLC (a) | 355,000 | 438,191 | ||||||
|
| |||||||
4,924,069 | ||||||||
|
| |||||||
Computers — 0.8% | ||||||||
Dell International LLC/EMC Corp. (a) | 535,000 | 576,153 | ||||||
DXC Technology Co. | 1,750,000 | 1,815,475 | ||||||
Leidos Holdings, Inc. | 6,280,000 | 6,374,200 | ||||||
|
| |||||||
8,765,828 | ||||||||
|
| |||||||
Diversified Financial Services — 2.9% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 2,250,000 | 2,188,082 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 4,325,000 | 4,123,600 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 1,725,000 | 1,766,974 |
The accompanying notes are an integral part of the financial statements.
51
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Affiliated Managers Group, Inc. | $ | 2,320,000 | $ | 2,274,773 | ||||
Aircastle Ltd. | 1,700,000 | 1,753,125 | ||||||
Ally Financial, Inc. | 2,985,000 | 2,988,731 | ||||||
Ally Financial, Inc. | 2,110,000 | 2,126,247 | ||||||
Ares Finance Co. LLC (a) | 2,380,000 | 2,312,353 | ||||||
Discover Financial Services | 1,710,000 | 1,696,256 | ||||||
Genpact Luxembourg Sarl (a) | 2,295,000 | 2,252,186 | ||||||
High Street Funding Trust I (a) | 5,780,000 | 5,811,148 | ||||||
International Lease Finance Corp. | 415,000 | 429,244 | ||||||
Lazard Group LLC | 1,209,000 | 1,175,820 | ||||||
Legg Mason, Inc. | 1,161,000 | 1,260,592 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (a) | 1,080,000 | 1,095,893 | ||||||
|
| |||||||
33,255,024 | ||||||||
|
| |||||||
Electric — 2.0% | ||||||||
The Cleveland Electric Illuminating Co. (a) | 925,000 | 884,255 | ||||||
CMS Energy Corp. | 655,000 | 687,880 | ||||||
Duke Energy Corp. | 1,340,000 | 1,208,637 | ||||||
Duke Energy Progress, Inc. | 37,000 | 47,312 | ||||||
EDP Finance BV (a) | 2,610,000 | 2,567,350 | ||||||
Florida Power & Light Co. | 950,000 | 1,081,485 | ||||||
Infraestructura Energetica Nova SAB de CV (a) | 795,000 | 756,443 | ||||||
IPALCO Enterprises, Inc. | 4,085,000 | 4,085,408 | ||||||
IPALCO Enterprises, Inc. | 1,040,000 | 1,018,245 | ||||||
Israel Electric Corp. Ltd. (a) | 1,000,000 | 979,822 | ||||||
Israel Electric Corp. Ltd. (a) | 1,370,000 | 1,396,194 |
Principal Amount | Value | |||||||
Majapahit Holding BV (a) | $ | 1,335,000 | $ | 1,432,055 | ||||
Nevada Power Co., Series N | 1,000,000 | 1,337,105 | ||||||
Oncor Electric Delivery Co. | 130,000 | 192,009 | ||||||
Pacific Gas & Electric Co. | 800,000 | 919,997 | ||||||
Pennsylvania Electric Co. (a) | 2,090,000 | 2,129,439 | ||||||
Progress Energy, Inc. | 505,000 | 656,661 | ||||||
Xcel Energy, Inc. | 1,300,000 | 1,685,241 | ||||||
|
| |||||||
23,065,538 | ||||||||
|
| |||||||
Electronics — 0.5% | ||||||||
Arrow Electronics, Inc. | 945,000 | 900,817 | ||||||
Arrow Electronics, Inc. | 970,000 | 939,708 | ||||||
Arrow Electronics, Inc. | 135,000 | 138,956 | ||||||
Arrow Electronics, Inc. | 750,000 | 785,746 | ||||||
Avnet, Inc. | 135,000 | 134,853 | ||||||
FLIR Systems, Inc. | 1,360,000 | 1,347,082 | ||||||
Ingram Micro, Inc. STEP | 1,381,000 | 1,336,959 | ||||||
Tech Data Corp. | 810,000 | 804,247 | ||||||
|
| |||||||
6,388,368 | ||||||||
|
| |||||||
Engineering & Construction — 0.4% | ||||||||
SBA Tower Trust (a) | 1,500,000 | 1,474,755 | ||||||
SBA Tower Trust (a) | 1,350,000 | 1,329,615 | ||||||
SBA Tower Trust (a) | 1,840,000 | 1,813,912 | ||||||
|
| |||||||
4,618,282 | ||||||||
|
| |||||||
Foods — 0.2% | ||||||||
Kraft Heinz Foods Co. | 1,895,000 | 1,749,158 | ||||||
|
| |||||||
Gas — 0.2% | ||||||||
Spire, Inc. | 2,000,000 | 2,155,251 | ||||||
|
| |||||||
Hand & Machine Tools — 0.1% | ||||||||
Kennametal, Inc. | 1,200,000 | 1,190,408 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
52
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Health Care – Products — 0.4% | ||||||||
Abbott Laboratories | $ | 725,000 | $ | 794,931 | ||||
Becton Dickinson & Co. | 1,595,000 | 1,535,186 | ||||||
Becton Dickinson & Co. | 800,000 | 805,313 | ||||||
Zimmer Biomet Holdings, Inc. | 1,450,000 | 1,394,075 | ||||||
|
| |||||||
4,529,505 | ||||||||
|
| |||||||
Health Care – Services — 0.3% | ||||||||
Humana, Inc. | 1,565,000 | 1,555,479 | ||||||
Humana, Inc. | 780,000 | 804,554 | ||||||
UnitedHealth Group, Inc. | 875,000 | 1,202,067 | ||||||
|
| |||||||
3,562,100 | ||||||||
|
| |||||||
Home Builders — 0.3% | ||||||||
Lennar Corp. | 3,767,000 | 3,795,252 | ||||||
|
| |||||||
Household Products & Wares — 0.0% | ||||||||
Church & Dwight Co., Inc. | 515,000 | 486,838 | ||||||
|
| |||||||
Insurance — 2.9% | ||||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN | 2,270,000 | 2,377,825 | ||||||
American International Group, Inc. | 1,425,000 | 1,444,159 | ||||||
American International Group, Inc. | 1,200,000 | 1,184,440 | ||||||
American International Group, Inc. | 450,000 | 463,501 | ||||||
American International Group, Inc. VRN (b) | 1,145,000 | 1,159,885 | ||||||
AmTrust Financial Services, Inc. | 2,965,000 | 2,863,280 | ||||||
Arch Capital Group US, Inc. | 1,150,000 | 1,270,724 | ||||||
Athene Holding Ltd. | 2,940,000 | 2,821,251 | ||||||
AXIS Specialty Finance PLC | 660,000 | 658,556 | ||||||
AXIS Specialty Finance PLC | 1,585,000 | 1,528,654 | ||||||
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN | 411,000 | 410,877 |
Principal Amount | Value | |||||||
CNA Financial Corp. | $ | 1,095,000 | $ | 1,040,546 | ||||
CNO Financial Group, Inc. | 1,763,000 | 1,774,019 | ||||||
CNO Financial Group, Inc. | 2,164,000 | 2,153,180 | ||||||
Enstar Group Ltd. | 890,000 | 894,010 | ||||||
Reinsurance Group of America, Inc. | 1,990,000 | 1,969,660 | ||||||
Trinity Acquisition PLC | 1,600,000 | 1,597,845 | ||||||
Trinity Acquisition PLC | 500,000 | 506,657 | ||||||
USF&G Capital I (a) | 1,015,000 | 1,402,103 | ||||||
Voya Financial, Inc. VRN (a) (b) | 1,010,000 | 919,291 | ||||||
Willis North America, Inc. | 706,000 | 746,027 | ||||||
XLIT Ltd. | 1,725,000 | 1,736,177 | ||||||
XLIT Ltd. | 1,140,000 | 1,230,587 | ||||||
XLIT Ltd. | 1,490,000 | 1,721,890 | ||||||
|
| |||||||
33,875,144 | ||||||||
|
| |||||||
Internet — 0.6% | ||||||||
Amazon.com, Inc. (a) | 1,805,000 | 1,806,455 | ||||||
Expedia Group, Inc. | 3,420,000 | 3,476,902 | ||||||
Tencent Holdings Ltd. (a) | 1,290,000 | 1,242,501 | ||||||
|
| |||||||
6,525,858 | ||||||||
|
| |||||||
Investment Companies — 1.0% | ||||||||
Ares Capital Corp. | 3,040,000 | 2,953,681 | ||||||
Ares Capital Corp. | 2,750,000 | 2,778,619 | ||||||
FS Investment Corp. | 2,870,000 | 2,884,340 | ||||||
TCP Capital Corp. | 2,810,000 | 2,735,208 | ||||||
|
| |||||||
11,351,848 | ||||||||
|
| |||||||
Iron & Steel — 0.8% | ||||||||
ArcelorMittal 5.125% 6/01/20 | 2,375,000 | 2,446,250 | ||||||
ArcelorMittal STEP | 2,241,000 | 2,325,037 | ||||||
ArcelorMittal STEP | 755,000 | 817,288 |
The accompanying notes are an integral part of the financial statements.
53
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Vale Overseas Ltd. | $ | 2,775,000 | $ | 2,976,187 | ||||
Vale Overseas Ltd. | 600,000 | 705,720 | ||||||
|
| |||||||
9,270,482 | ||||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
CNH Industrial Capital LLC | 1,595,000 | 1,591,012 | ||||||
CNH Industrial Capital LLC | 902,000 | 902,226 | ||||||
CNH Industrial Capital LLC | 2,870,000 | 2,868,163 | ||||||
|
| |||||||
5,361,401 | ||||||||
|
| |||||||
Media — 1.0% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (a) | 1,164,000 | 1,105,102 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 2,005,000 | 2,010,644 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,525,000 | 1,557,771 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 1,655,000 | 1,816,671 | ||||||
Comcast Corp. | 1,450,000 | 1,245,829 | ||||||
Discovery Communications LLC | 1,325,000 | 1,270,998 | ||||||
Discovery Communications LLC | 975,000 | 971,709 | ||||||
Time Warner Cable, Inc. | 655,000 | 745,687 | ||||||
Time Warner Cable, Inc. | 235,000 | 246,620 | ||||||
Time Warner Cable, Inc. | 365,000 | 382,208 | ||||||
Time Warner, Inc. | 15,000 | 17,514 | ||||||
|
| |||||||
11,370,753 | ||||||||
|
| |||||||
Mining — 0.6% | ||||||||
Glencore Funding LLC (a) | 950,000 | 901,132 | ||||||
Glencore Funding LLC (a) | 2,310,000 | 2,363,823 | ||||||
Kinross Gold Corp. (a) | 996,000 | 975,383 |
Principal Amount | Value | |||||||
Kinross Gold Corp. | $ | 2,200,000 | $ | 2,282,720 | ||||
|
| |||||||
6,523,058 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.0% | ||||||||
General Electric Corp. | 429,000 | 555,664 | ||||||
|
| |||||||
Office Equipment/Supplies — 0.3% | ||||||||
Pitney Bowes, Inc. | 830,000 | 821,700 | ||||||
Pitney Bowes, Inc. STEP | 3,050,000 | 2,905,125 | ||||||
|
| |||||||
3,726,825 | ||||||||
|
| |||||||
Oil & Gas — 2.8% | ||||||||
Andeavor | 780,000 | 744,068 | ||||||
Andeavor | 495,000 | 463,073 | ||||||
Antero Resources Corp. | 3,265,000 | 3,322,138 | ||||||
Cenovus Energy, Inc. | 1,225,000 | 1,180,694 | ||||||
Cenovus Energy, Inc. | 1,825,000 | 1,778,907 | ||||||
Cenovus Energy, Inc. | 500,000 | 576,028 | ||||||
Continental Resources, Inc. (a) | 1,556,000 | 1,517,100 | ||||||
Continental Resources, Inc. | 1,425,000 | 1,441,031 | ||||||
Encana Corp. | 1,220,000 | 1,264,838 | ||||||
Encana Corp. | 530,000 | 640,319 | ||||||
EQT Corp. | 3,820,000 | 3,654,410 | ||||||
Helmerich & Payne International Drilling Co. | 1,415,000 | 1,469,139 | ||||||
Hess Corp. | 1,163,000 | 1,138,259 | ||||||
Marathon Petroleum Corp. | 625,000 | 628,282 | ||||||
Marathon Petroleum Corp. | 1,060,000 | 1,293,788 | ||||||
Nabors Industries, Inc. | 1,335,000 | 1,305,109 | ||||||
Newfield Exploration Co. | 1,175,000 | 1,227,875 | ||||||
Patterson-UTI Energy, Inc. (a) | 400,000 | 385,306 |
The accompanying notes are an integral part of the financial statements.
54
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
PBF Holding Co. LLC/PBF Finance Corp. | $ | 1,150,000 | $ | 1,190,250 | ||||
Petroleos Mexicanos | 650,000 | 624,650 | ||||||
Petroleos Mexicanos | 550,000 | 551,150 | ||||||
Petroleos Mexicanos (a) | 1,075,000 | 1,060,380 | ||||||
Petroleos Mexicanos | 1,690,000 | 1,759,290 | ||||||
Petroleos Mexicanos | 640,000 | 622,080 | ||||||
Petroleos Mexicanos | 295,000 | 315,060 | ||||||
Petroleos Mexicanos | 202,000 | 203,515 | ||||||
QEP Resources, Inc. | 1,675,000 | 1,775,500 | ||||||
|
| |||||||
32,132,239 | ||||||||
|
| |||||||
Oil & Gas Services — 0.1% | ||||||||
National Oilwell Varco, Inc. | 1,423,000 | 1,248,317 | ||||||
|
| |||||||
Packaging & Containers — 0.4% | ||||||||
Amcor Finance USA, Inc. (a) | 3,485,000 | 3,359,966 | ||||||
Brambles USA, Inc. (a) | 926,000 | 936,421 | ||||||
Brambles USA, Inc. (a) | 685,000 | 711,557 | ||||||
|
| |||||||
5,007,944 | ||||||||
|
| |||||||
Pharmaceuticals — 1.5% | ||||||||
AbbVie, Inc. | 1,115,000 | 1,149,809 | ||||||
Allergan Funding SCS | 1,395,000 | 1,368,554 | ||||||
CVS Health Corp. | 1,125,000 | 1,126,135 | ||||||
CVS Health Corp. | 959,000 | 963,086 | ||||||
CVS Health Corp. | 1,370,000 | 1,440,948 | ||||||
CVS Health Corp. | 895,000 | 1,061,586 | ||||||
CVS Pass-Through Trust (a) | 2,004,444 | 2,202,669 | ||||||
Express Scripts Holding Co. | 1,150,000 | 1,170,878 | ||||||
Express Scripts Holding Co. | 1,105,000 | 1,121,711 |
Principal Amount | Value | |||||||
Shire Acquisitions Investments Ireland DAC | $ | 405,000 | $ | 386,646 | ||||
Teva Pharmaceutical Finance IV LLC | 1,225,000 | 1,160,863 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 625,000 | 604,361 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 3,769,000 | 3,393,992 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 510,000 | 375,061 | ||||||
|
| |||||||
17,526,299 | ||||||||
|
| |||||||
Pipelines — 2.4% | ||||||||
Alliance Pipeline LP (a) | 256,245 | 261,609 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 440,000 | 432,395 | ||||||
Energy Transfer Partners LP | 1,025,000 | 989,524 | ||||||
Energy Transfer Partners LP | 885,000 | 918,512 | ||||||
Energy Transfer Partners LP VRN (b) | 2,310,000 | 2,210,381 | ||||||
EnLink Midstream Partners LP | 675,000 | 656,053 | ||||||
EnLink Midstream Partners LP | 996,000 | 1,006,286 | ||||||
Enterprise Products Operating LLC VRN (b) | 1,120,000 | 1,072,712 | ||||||
Kinder Morgan Energy Partners LP | 400,000 | 447,629 | ||||||
Kinder Morgan Energy Partners LP | 571,000 | 644,687 | ||||||
Kinder Morgan Energy Partners LP | 535,000 | 613,929 | ||||||
Kinder Morgan Energy Partners LP | 65,000 | 78,359 | ||||||
MPLX LP | 1,115,000 | 1,100,871 | ||||||
MPLX LP | 2,318,000 | 2,420,344 | ||||||
MPLX LP | 240,000 | 250,797 | ||||||
MPLX LP | 890,000 | 912,250 | ||||||
Phillips 66 Partners LP | 815,000 | 787,275 |
The accompanying notes are an integral part of the financial statements.
55
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Phillips 66 Partners LP | $ | 172,000 | $ | 167,763 | ||||
Plains All American Pipeline LP VRN (b) | 2,290,000 | 2,209,850 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 1,163,000 | 1,147,128 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 1,300,000 | 1,289,460 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 650,000 | 580,327 | ||||||
Sabine Pass Liquefaction LLC | 1,545,000 | 1,522,530 | ||||||
Sabine Pass Liquefaction LLC, Series WI | 1,300,000 | 1,399,294 | ||||||
Sunoco Logistics Partners Operations LP | 1,370,000 | 1,297,839 | ||||||
Sunoco Logistics Partners Operations LP | 500,000 | 465,093 | ||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | 624,000 | 654,451 | ||||||
Western Gas Partners LP | 2,010,000 | 2,005,372 | ||||||
Western Gas Partners LP | 615,000 | 616,253 | ||||||
|
| |||||||
28,158,973 | ||||||||
|
| |||||||
Private Equity — 0.2% | ||||||||
Hercules Capital, Inc. | 2,820,000 | 2,850,273 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.0% | ||||||||
American Tower Corp. | 1,000,000 | 1,010,535 | ||||||
American Tower Trust #1 (a) | 1,810,000 | 1,815,847 | ||||||
Crown Castle International Corp. | 1,585,000 | 1,519,686 | ||||||
Crown Castle International Corp. | 775,000 | 762,087 | ||||||
Healthcare Trust of America Holdings LP | 1,385,000 | 1,319,854 | ||||||
Host Hotels & Resorts LP | 1,560,000 | 1,540,736 | ||||||
Kimco Realty Corp. | 945,000 | 909,416 |
Principal Amount | Value | |||||||
Mid-America Apartments LP | $ | 1,090,000 | $ | 1,054,986 | ||||
UDR, Inc. | 1,405,000 | 1,351,739 | ||||||
Weingarten Realty Investors | 580,000 | 550,742 | ||||||
|
| |||||||
11,835,628 | ||||||||
|
| |||||||
Retail — 1.0% | ||||||||
Dollar Tree, Inc. | 3,240,000 | 3,381,993 | ||||||
El Puerto de Liverpool SAB de CV (a) | 2,975,000 | 2,859,719 | ||||||
The Home Depot, Inc. | 1,484,000 | 1,551,985 | ||||||
QVC, Inc. | 1,075,000 | 1,074,411 | ||||||
QVC, Inc. | 1,140,000 | 1,140,968 | ||||||
QVC, Inc. | 750,000 | 773,573 | ||||||
Tiffany & Co. | 1,140,000 | 1,116,058 | ||||||
|
| |||||||
11,898,707 | ||||||||
|
| |||||||
Semiconductors — 0.1% | ||||||||
QUALCOMM, Inc. | 1,380,000 | 1,337,141 | ||||||
|
| |||||||
Software — 0.2% | ||||||||
Microsoft Corp. | 2,260,000 | 2,501,963 | ||||||
|
| |||||||
Telecommunications — 1.5% | ||||||||
AT&T, Inc. | 1,150,000 | 1,151,820 | ||||||
AT&T, Inc. | 1,200,000 | 1,165,493 | ||||||
AT&T, Inc. | 600,000 | 603,388 | ||||||
AT&T, Inc. | 638,000 | 674,924 | ||||||
CenturyLink, Inc. | 760,000 | 780,900 | ||||||
Embarq Corp. | 200,000 | 188,500 | ||||||
Ericsson LM | 3,025,000 | 3,003,278 | ||||||
Hughes Satellite Systems Corp. | 1,100,000 | 1,133,000 | ||||||
Sprint Communications, Inc. | 2,500,000 | 2,850,000 | ||||||
Telefonica Emisiones SAU | 1,040,000 | 1,051,971 |
The accompanying notes are an integral part of the financial statements.
56
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Turk Telekomunikasyon AS (a) | $ | 1,510,000 | $ | 1,500,789 | ||||
Verizon Communications, Inc. | 1,906,000 | 1,923,492 | ||||||
Verizon Communications, Inc. | 996,000 | 1,221,650 | ||||||
|
| |||||||
17,249,205 | ||||||||
|
| |||||||
Transportation — 0.3% | ||||||||
Asciano Finance Ltd. (a) | 845,000 | 864,490 | ||||||
Asciano Finance Ltd. (a) | 1,650,000 | 1,650,356 | ||||||
Autoridad del Canal de Panama (a) | 1,340,000 | 1,438,825 | ||||||
|
| |||||||
3,953,671 | ||||||||
|
| |||||||
Trucking & Leasing — 0.4% | ||||||||
DAE Funding LLC (a) | 1,037,000 | 1,011,075 | ||||||
Park Aerospace Holdings Ltd. (a) | 1,550,000 | 1,468,625 | ||||||
Park Aerospace Holdings Ltd. (a) | 2,050,000 | 2,008,385 | ||||||
|
| |||||||
4,488,085 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $424,647,958) | 422,914,277 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.6% | ||||||||
JobsOhio Beverage System Series B | 3,050,000 | 3,327,398 | ||||||
New York City Water & Sewer System | 390,000 | 518,891 | ||||||
State of California BAB | 505,000 | 768,953 | ||||||
State of California BAB | 1,510,000 | 2,335,880 | ||||||
|
| |||||||
6,951,122 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $6,516,974) | 6,951,122 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 31.0% | ||||||||
Automobile ABS — 1.3% | ||||||||
CarFinance Capital Auto Trust, Series 2014-2A, Class A (a) | 20,157 | 20,149 | ||||||
Hertz Vehicle Financing II LP, Series 2018-1A, Class A (a) | 3,600,000 | 3,554,722 |
Principal Amount | Value | |||||||
Hertz Vehicle Financing II LP, Series 2018-1A, Class B (a) | $ | 3,610,000 | $ | 3,577,183 | ||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) | 2,500,000 | 2,485,833 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) | 378,319 | 379,833 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (a) | 4,000,000 | 3,947,344 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) | 830,000 | 821,657 | ||||||
|
| |||||||
14,786,721 | ||||||||
|
| |||||||
Commercial MBS — 1.1% | ||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5 | 2,176,000 | 2,235,267 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class B, VRN (b) | 1,200,000 | 1,210,660 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (b) | 1,050,000 | 1,020,643 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (a) | 1,100,000 | 1,126,026 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Class B, VRN (a) (b) | 860,000 | 910,166 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) | 1,243,743 | 1,258,927 | ||||||
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) | 800,000 | 838,588 | ||||||
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (a) (b) | 825,000 | 857,699 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (b) | 188,025 | 187,291 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A (a) | 1,610,000 | 1,635,278 |
The accompanying notes are an integral part of the financial statements.
57
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN (b) | $ | 173,886 | $ | 174,514 | ||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (b) | 907,426 | 916,415 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) | 119,729 | 120,488 | ||||||
|
| |||||||
12,491,962 | ||||||||
|
| |||||||
Home Equity ABS — 0.1% | ||||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN | 773,329 | 754,763 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 464,711 | 466,057 | ||||||
|
| |||||||
1,220,820 | ||||||||
|
| |||||||
Other ABS — 15.0% | ||||||||
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) | 629,132 | 590,844 | ||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (a) | 544,295 | 522,146 | ||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN | 757,096 | 754,526 | ||||||
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (a) | 2,950,000 | 2,950,894 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) | 2,850,000 | 2,883,687 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (a) | 2,150,500 | 2,168,524 | ||||||
ARL Second LLC, Series 2014-1A, Class A1 (a) | 786,988 | 776,936 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,620,000 | 1,620,735 |
Principal Amount | Value | |||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) | $ | 4,225,000 | $ | 4,232,199 | ||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (a) | 2,660,000 | 2,673,119 | ||||||
BCC Funding XIV LLC, Series 2018-1A, Class A1 (a) | 1,433,102 | 1,432,255 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 2,415,000 | 2,415,464 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) | 1,563,125 | 1,532,768 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) | 2,855,000 | 2,862,229 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) | 1,223,755 | 1,226,050 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) | 1,054,653 | 1,033,159 | ||||||
Capital Automotive REIT, Series 2014-1A, Class A (a) | 1,100,000 | 1,084,620 | ||||||
Capital Automotive REIT, Series 2017-1A, Class A2 (a) | 951,200 | 953,650 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (a) | 3,900,000 | 3,924,979 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) | 236,997 | 236,701 | ||||||
CBAM Ltd., Series 2017-3A, Class A, FRN (a) (b) | 2,480,000 | 2,495,765 | ||||||
CIFC Funding V Ltd., Series 2017-5A, Class A1, FRN (a) (b) | 2,100,000 | 2,116,353 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) | 1,147,840 | 1,148,782 | ||||||
Clear Creek CLO Ltd., Series 2015-1A, Class AR, FRN (a) (b) | 2,120,000 | 2,134,036 |
The accompanying notes are an integral part of the financial statements.
58
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
CLI Funding V LLC, Series 2014-1A, Class A (a) | $ | 1,197,498 | $ | 1,184,324 | ||||
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) | 333,741 | 333,761 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 137,509 | 137,425 | ||||||
Cronos Containers Program I Ltd., Series 2014-2A, Class A (a) | 692,593 | 686,106 | ||||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) | 264,897 | 263,854 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) | 632,124 | 627,679 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) | 2,175,068 | 2,128,202 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) | 3,497,700 | 3,510,348 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (a) | 666,650 | 679,440 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (a) | 3,684,375 | 3,864,639 | ||||||
Drug Royalty Corp., Inc., Series 2014-1, Class A2 (a) | 263,071 | 259,557 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) | 79,872 | 79,778 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) | 467,520 | 462,050 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) | 1,269,176 | 1,273,148 | ||||||
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A | 672,052 | 661,083 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) | 2,854,518 | 2,878,936 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, FRN (a) (b) | 1,100,000 | 1,102,642 |
Principal Amount | Value | |||||||
Global Container Assets Ltd., Series 2015-1A, Class A2 (a) | $ | 1,259,585 | $ | 1,228,966 | ||||
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) | 316,667 | 311,725 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) | 1,635,336 | 1,634,071 | ||||||
Goldentree Loan Management US CLO Ltd., Series 2017-2A, Class A, FRN (a) (b) | 2,250,000 | 2,261,992 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 2,163,467 | 2,163,637 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (a) | 2,585,587 | 2,519,712 | ||||||
Goodgreen Trust, Series 2017-1A, Class A (a) | 1,206,231 | 1,169,139 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | 124,419 | 125,235 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (a) | 1,616,347 | 1,645,641 | ||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) | 259,671 | 259,671 | ||||||
Hero Funding, Series 2017-3A, Class A1 (a) | 1,481,721 | 1,460,730 | ||||||
HERO Funding Trust, Series 2016-3A, Class A1 (a) | 1,706,502 | 1,694,713 | ||||||
HERO Funding Trust, Series 2017-2A, Class A1 (a) | 470,680 | 470,002 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (a) | 1,635,369 | 1,610,824 | ||||||
HERO Funding Trust, Series 2017-2A, Class A2 (a) | 378,390 | 387,179 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) | 269,870 | 267,017 |
The accompanying notes are an integral part of the financial statements.
59
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (a) | $ | 744,260 | $ | 752,526 | ||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 (a) | 2,521,667 | 2,561,149 | ||||||
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) | 843,364 | 843,496 | ||||||
Lendmark Funding Trust, Series 2017-1A, Class A (a) | 1,250,000 | 1,241,170 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 167,916 | 167,994 | ||||||
Marble Point CLO XI Ltd., Series 2017-2A, Class A, FRN (a) (b) | 2,000,000 | 2,012,462 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (a) | 383,215 | 383,613 | ||||||
Marlette Funding Trust, Series 2017-2A, Class B (a) | 970,000 | 966,218 | ||||||
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) | 384,624 | 382,602 | ||||||
Milos CLO Ltd., Series 2017-1A, Class A, FRN (a) (b) | 940,000 | 946,220 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (a) | 964,752 | 961,186 | ||||||
Mosaic Solar Loans LLC, Series 2017-2A, Class A (a) | 1,028,565 | 1,020,015 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) | 491,549 | 501,490 | ||||||
MP CLO III Ltd., Series 2013-1A, Class AR, FRN (a) (b) | 1,850,000 | 1,863,673 | ||||||
MVW Owner Trust, Series 2014-2, Class A (a) | 1,004,945 | 986,427 | ||||||
MVW Owner Trust, Series 2017-1A, Class A (a) | 551,498 | 539,269 | ||||||
MVW Owner Trust, Series 2015-1A, Class A (a) | 771,868 | 763,687 |
Principal Amount | Value | |||||||
NP SPE II LLC, Series 2017-1A, Class A2 (a) | $ | 2,190,000 | $ | 2,162,129 | ||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (a) | 10,300,000 | 9,977,734 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (a) | 1,806,731 | 1,807,313 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) | 970,000 | 970,511 | ||||||
Oportun Funding VI LLC, Series 2017-A, Class A (a) | 1,880,000 | 1,848,994 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) | 244,610 | 238,615 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (a) | 973,746 | 939,422 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) | 283,977 | 281,093 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) | 1,500,000 | 1,496,499 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) | 700,000 | 704,915 | ||||||
Sierra Receivables Funding Co. LLC, Series 2014-1A, Class A (a) | 247,647 | 247,212 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) | 233,373 | 232,025 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) | 1,299,255 | 1,297,646 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) | 5,822,093 | 5,812,979 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) | 2,102,296 | 2,103,790 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) | 2,912,983 | 2,914,872 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) | 2,363,480 | 2,371,687 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (a) | $ | 1,097,276 | $ | 1,095,671 | ||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) | 1,116,461 | 1,114,870 | ||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (a) | 4,200,000 | 4,205,613 | ||||||
Structured Receivables Finance LLC, Series 2010-B, Class A (a) | 349,151 | 341,306 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (a) | 1,946,350 | 1,881,649 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) | 2,808,000 | 2,808,660 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) | 2,616,875 | 2,631,697 | ||||||
TAL Advantage VI LLC, Series 2017-1A, Class A | 2,309,404 | 2,374,836 | ||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) | 2,340,000 | 2,371,508 | ||||||
Trinity Rail Leasing LLC, Series 2013-1A, Class A (a) | 750,511 | 740,401 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) | 554,347 | 547,716 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A2 (a) | 820,000 | 794,428 | ||||||
Triton Container Finance IV LLC, Series 2017-2A, Class A (a) | 3,204,707 | 3,176,886 | ||||||
Triton Container Finance VI LLC, Series 2017-1A, Class A (a) | 872,475 | 865,495 | ||||||
WAVE Trust, Series 2017-1A, Class A (a) | 3,848,880 | 3,834,897 | ||||||
WAVE Trust, Series 2017-1A, Class C (a) | 2,533,384 | 2,584,052 | ||||||
Wendy’s Funding LLC, Series 2015-1A, Class A2II (a) | 2,276,625 | 2,325,502 |
Principal Amount | Value | |||||||
Wendy’s Funding LLC, Series 2015-1A, Class A23 (a) | $ | 3,120,000 | $ | 3,182,347 | ||||
Westgate Resorts LLC, Series 2017-1A, Class A (a) | 1,311,952 | 1,301,410 | ||||||
|
| |||||||
173,593,224 | ||||||||
|
| |||||||
Student Loans ABS — 13.0% | ||||||||
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (a) | 1,336,663 | 1,339,870 | ||||||
AccessLex Institute, Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN | 216,573 | 216,572 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 364,880 | 344,229 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN | 875,000 | 703,601 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A2 (a) | 4,197,351 | 4,214,140 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) | 239,415 | 246,884 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) | 711,131 | 731,640 | ||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) | 1,507,267 | 1,477,757 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (a) | 1,257,421 | 1,242,250 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) | 2,463,910 | 2,500,963 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) | 2,655,539 | 2,687,664 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) | 3,705,393 | 3,754,209 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Edlinc Student Loan Funding, Series 2017-A, Class A (Acquired 12/22/17, Cost $3,624,618), FRN (a) (b) (d) (e) | $ | 3,513,144 | $ | 3,485,252 | ||||
Education Loan Asset-Backed Trust I, Series 2003-1, Class A2, 28 day ARS, FRN (a) | 1,300,000 | 1,217,932 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1, 28 day ARS, FRN (a) | 1,950,000 | 1,808,808 | ||||||
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) | 600,000 | 526,394 | ||||||
Higher Education Funding I, Series 2004-1, Class B2, 28 day ARS, FRN (a) | 600,000 | 513,105 | ||||||
Laurel Road Prime Student Loan Trust, Series 2017-B, Class BFX (a) | 1,167,142 | 1,130,039 | ||||||
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (a) | 3,442,548 | 3,455,681 | ||||||
Navient Student Loan Trust, Series 2018-1A, Class A3, FRN (a) (b) | 3,810,000 | 3,815,812 | ||||||
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN | 3,300,000 | 3,261,257 | ||||||
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (a) (b) | 1,973,674 | 1,986,196 | ||||||
Navient Student Loan Trust, Series 2018-2A, Class A3, FRN (a) (b) | 3,320,000 | 3,319,960 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) | 4,400,000 | 4,519,667 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) | 3,050,638 | 3,125,830 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) | 6,800,000 | 7,068,376 |
Principal Amount | Value | |||||||
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN | $ | 1,200,000 | $ | 1,182,807 | ||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) | 1,031,930 | 1,001,711 | ||||||
Nelnet Student Loan Trust, Series 2005-1, Class A5, 3 mo. USD LIBOR + .110%, FRN | 1,149,540 | 1,132,354 | ||||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) | 2,115,827 | 2,120,145 | ||||||
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN | 1,251,515 | 1,233,162 | ||||||
Nelnet Student Loan Trust, Series 2018-1A, Class A2, FRN (a) (b) | 3,680,000 | 3,680,000 | ||||||
Nelnet Student Loan Trust, Series 2014-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 850,000 | 782,853 | ||||||
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,100,000 | 1,029,835 | ||||||
Nelnet Student Loan Trust, Series 2014-5A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,200,000 | 1,159,780 | ||||||
Nelnet Student Loan Trust, Series 2015-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) | 1,130,000 | 1,098,701 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) | 2,864,468 | 2,884,078 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN | 12,604 | 12,602 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 1,700,000 | 1,624,958 | ||||||
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN | 697,000 | 692,219 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200%, FRN | $ | 2,040,683 | $ | 1,887,351 | ||||
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN | 2,300,000 | 2,290,977 | ||||||
SLM Student Loan Trust, Series 2007-1, Class A6, 3 mo. USD LIBOR + .140%, FRN | 600,000 | 579,964 | ||||||
SLM Student Loan Trust, Series 2007-3, Class B, 3 mo. USD LIBOR + .150%, FRN | 2,600,000 | 2,381,869 | ||||||
SLM Student Loan Trust, Series 2006-10, Class A6, 3 mo. USD LIBOR + .150%, FRN | 1,890,000 | 1,821,688 | ||||||
SLM Student Loan Trust, Series 2006-2, Class A6, ABS, FRN, 3 mo. USD LIBOR + .170%, FRN | 3,200,000 | 3,141,978 | ||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | 2,381,019 | 2,254,650 | ||||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 1,760,775 | 1,660,454 | ||||||
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (a) | 4,950,000 | 4,916,504 | ||||||
SLM Student Loan Trust, Series 2005-9, Class A7A, 3 mo. EURIBOR + .600%, FRN | 3,280,000 | 3,300,065 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A7, 3 mo. USD LIBOR + .600%, FRN (a) | 14,500,000 | 14,445,808 | ||||||
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 1,970,000 | 1,941,822 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN | 700,000 | 700,000 |
Principal Amount | Value | |||||||
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 | 3,797,567 | ||||||
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 | 1,709,867 | ||||||
SMB Private Education Loan Trust, Series 2017-A, Class B (a) | 1,800,000 | 1,688,742 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $3,376,500) (a) (d) (e) | 1,200 | 2,100,000 | ||||||
SoFi Professional Loan Program LLC, Series 2017-D, Class R1, (Acquired 7/19/17, Cost $2,630,190) (a) (d) (e) | 4,647,800 | 2,672,485 | ||||||
SoFi Professional Loan Program LLC, Series 2018-A, Class R1 (Acquired 1/22/18, Cost $2,492,585) (a) (d) (e) | 3,470,600 | 2,492,585 | ||||||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) | 630,000 | 613,858 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) | 1,520,000 | 1,488,025 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (a) | 2,200,000 | 2,176,539 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) | 1,655,925 | 1,679,196 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (a) (b) | 1,180,000 | 1,155,901 | ||||||
SoFi Professional Loan Program Trust, Series 2018-B, Class R1 (a) (d) (f) | 3,139,900 | 1,695,232 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN | 2,030,000 | 2,061,836 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN | $ | 3,025,000 | $ | 2,952,970 | ||||
South Texas Higher Education Authority, Inc., Series 2012-1, Class A3, 3 mo. USD LIBOR + .850%, FRN | 2,000,000 | 1,997,174 | ||||||
|
| |||||||
150,984,400 | ||||||||
|
| |||||||
WL Collateral CMO — 0.5% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (b) | 187,536 | 189,695 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (b) | 83,853 | 85,655 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (b) | 32,350 | 30,123 | ||||||
Deephaven Residential Mortgage Trust, Series 2018-1A, Class A3, VRN (a) (b) | 1,154,979 | 1,154,959 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (b) | 33,201 | 33,232 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (b) | 187,822 | 184,506 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (a) (b) | 3,134,196 | 3,055,143 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (b) | 18,709 | 17,376 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (b) | 10,553 | 10,936 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (b) | 946 | 1,013 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A (Acquired 2/21/18, Cost $1,180,000), FRN (a) (b) (d) (e) | 1,180,000 | 1,184,457 |
Principal Amount | Value | |||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (b) | $ | 133,173 | $ | 134,924 | ||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 316,525 | 321,423 | ||||||
|
| |||||||
6,403,442 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $358,841,424) | 359,480,569 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% | ||||||||
Colombia Government International Bond | 2,980,000 | 3,434,450 | ||||||
Mexico Government International Bond | 4,328,000 | 4,208,980 | ||||||
Mexico Government International Bond | 950,000 | 1,181,496 | ||||||
|
| |||||||
8,824,926 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $8,551,708) | 8,824,926 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 24.8% | ||||||||
Collateralized Mortgage Obligations — 1.4% | ||||||||
Federal Home Loan Mortgage Corp. Series 4303, Class AP | 2,780,797 | 2,778,297 | ||||||
Series 4290, Class CA | 1,916,140 | 1,942,635 | ||||||
Series 2617, Class Z | 1,534,031 | 1,674,068 | ||||||
Series 2693, Class Z | 2,744,262 | 2,921,452 | ||||||
Series 3423, Class PB | 511,167 | 547,299 | ||||||
Series 2178, Class PB | 232,873 | 255,511 | ||||||
Federal National Mortgage Association Series 2014-7, Class VA | 1,451,050 | 1,479,121 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Series 2014-48, Class AB | $ | 2,540,449 | $ | 2,607,439 | ||||
Series 2007-32, Class Z | 813,648 | 872,538 | ||||||
Series 2010-60, Class HJ | 597,067 | 630,569 | ||||||
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA | 740,652 | 789,395 | ||||||
|
| |||||||
16,498,324 | ||||||||
|
| |||||||
Pass-Through Securities — 23.1% | ||||||||
Federal Home Loan Mortgage Corp. | 1,730,377 | 1,745,991 | ||||||
Pool #Q42045 3.500% | 729,122 | 735,701 | ||||||
Pool #Q44275 3.500% | 1,441,465 | 1,454,472 | ||||||
Pool #Q44277 3.500% | 436,412 | 439,668 | ||||||
Pool #Q52216 3.500% | 5,227,166 | 5,242,480 | ||||||
Pool #V83655 3.500% | 11,073,596 | 11,106,037 | ||||||
Pool #V83763 3.500% | 13,029,572 | 13,067,744 | ||||||
Pool #Q52868 3.500% | 5,569,458 | 5,585,774 | ||||||
Pool #V83886 3.500% | 13,581,926 | 13,620,655 | ||||||
Pool #G61307 3.500% | 10,521,709 | 10,578,016 | ||||||
Pool #Z40047 4.000% | 289,472 | 299,909 | ||||||
Pool #Q47742 4.000% | 1,376,895 | 1,423,957 | ||||||
Pool #Q47730 4.000% | 1,595,175 | 1,649,697 | ||||||
Pool #V83764 4.000% | 8,746,986 | 9,002,220 | ||||||
Pool #V83796 4.000% | 16,460,377 | 16,902,106 | ||||||
Pool #Q52834 4.000% | 1,513,592 | 1,554,210 | ||||||
Pool #C03537 4.500% | 1,063,725 | 1,125,595 | ||||||
Pool #G06057 4.500% | 1,199,615 | 1,268,077 | ||||||
Pool #G60485 4.500% | 1,389,205 | 1,468,054 |
Principal Amount | Value | |||||||
Pool #G60172 4.500% | $ | 1,565,807 | $ | 1,658,349 | ||||
Pool #Q48208 4.500% | 1,237,585 | 1,300,480 | ||||||
Pool #Q48869 4.500% | 8,290,699 | 8,696,490 | ||||||
Pool #C00836 7.000% | 9,321 | 10,583 | ||||||
Pool #C49314 7.000% | 4,764 | 5,483 | ||||||
Pool #C51422 7.000% | 1,804 | 2,077 | ||||||
Pool #C53034 7.000% | 12,604 | 14,425 | ||||||
Pool #G01311 7.000% | 50,505 | 57,730 | ||||||
Pool #G01317 7.000% | 30,846 | 35,228 | ||||||
Pool #G00143 7.500% | 401 | 437 | ||||||
Pool #C55867 7.500% | 24,513 | 27,390 | ||||||
Pool #C41497 7.500% | 116 | 134 | ||||||
Pool #C44830 7.500% | 23 | 27 | ||||||
Pool #C45235 7.500% | 15,640 | 17,935 | ||||||
Pool #C46038 7.500% | 941 | 1,083 | ||||||
Pool #C46810 7.500% | 123 | 143 | ||||||
Pool #C47063 7.500% | 2,770 | 3,186 | ||||||
Pool #C47060 7.500% | 712 | 822 | ||||||
Pool #C01116 7.500% | 1,068 | 1,234 | ||||||
Pool #C46309 7.500% | 503 | 582 | ||||||
Pool #C46560 7.500% | 520 | 585 | ||||||
Pool #G00653 8.500% | 15,563 | 17,512 | ||||||
Federal National Mortgage Association | 256,918 | 269,698 | ||||||
Pool #888586 1 year CMT + 2.210%, FRN 3.302% | 495,400 | 520,985 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pool #775539 12 mo. USD LIBOR + 1.645%, FRN 3.475% | $ | 168,347 | $ | 175,545 | ||||
Pool #AS1304 3.500% | 1,901,805 | 1,944,595 | ||||||
Pool #AV1897 3.500% | 341,226 | 348,904 | ||||||
Pool #AV2325 3.500% | 979,143 | 1,001,173 | ||||||
Pool #BF0196 3.500% | 2,029,779 | 2,055,468 | ||||||
Pool #CA0770 3.500% | 13,502,318 | 13,540,292 | ||||||
Pool #CA1073 3.500% | 19,952,076 | 20,006,631 | ||||||
Pool #MA3287 3.500% | 9,657,607 | 9,613,846 | ||||||
Pool #BH9008 4.000% | 346,757 | 355,968 | ||||||
Pool #CA0181 4.000% | 3,371,013 | 3,460,556 | ||||||
Pool #BH9011 4.000% | 403,038 | 413,743 | ||||||
Pool #CA0620 4.000% | 4,353,475 | 4,469,454 | ||||||
Pool #BF0094 4.000% | 6,636,712 | 6,826,999 | ||||||
Pool #BF0105 4.000% | 4,093,370 | 4,210,735 | ||||||
Pool #AH6787 4.500% | 1,155,963 | 1,224,056 | ||||||
Pool #AD6437 5.000% | 675,256 | 730,094 | ||||||
Pool #AD6996 5.000% | 4,375,020 | 4,725,534 | ||||||
Pool #AL8173 5.000% | 1,749,024 | 1,888,058 | ||||||
Pool #254379 7.000% | 34,413 | 39,551 | ||||||
Pool #252717 7.500% | 2,042 | 2,349 | ||||||
Pool #535996 7.500% | 7,747 | 8,925 | ||||||
Pool #254009 7.500% | 19,900 | 22,867 | ||||||
Pool #253394 8.000% | 4,194 | 4,356 | ||||||
Pool #323992 8.000% | 1,624 | 1,879 | ||||||
Pool #525725 8.000% | 3,255 | 3,823 | ||||||
Pool #537433 8.000% | 2,367 | 2,789 |
Principal Amount | Value | |||||||
Pool #253266 8.000% | $ | 4,107 | $ | 4,800 | ||||
Pool #253347 8.000% | 4,124 | 4,826 | ||||||
Pool #544976 8.000% | 413 | 481 | ||||||
Pool #535428 8.000% | 5,124 | 5,986 | ||||||
Pool #543290 8.000% | 55 | 65 | ||||||
Pool #547786 8.000% | 1,928 | 2,221 | ||||||
Pool #550767 8.000% | 2,958 | 3,428 | ||||||
Pool #553061 8.000% | 11,396 | 13,174 | ||||||
Pool #535533 8.000% | 4,321 | 5,060 | ||||||
Pool #253481 8.000% | 4,771 | 5,603 | ||||||
Pool #560741 8.000% | 2,650 | 3,107 | ||||||
Pool #253644 8.000% | 2,264 | 2,645 | ||||||
Pool #581170 8.000% | 1,354 | 1,560 | ||||||
Pool #593848 8.000% | 903 | 1,062 | ||||||
Pool #190317 8.000% | 27,338 | 31,975 | ||||||
Pool #545240 8.000% | 2,658 | 3,100 | ||||||
Pool #541202 8.500% | 7,276 | 7,967 | ||||||
Federal National Mortgage Association TBA(c) Pool #11192 4.000% | 10,000,000 | 10,260,938 | ||||||
Government National Mortgage Association | 5,528,245 | 5,597,780 | ||||||
Pool #BF1053 3.500% | 1,717,205 | 1,734,511 | ||||||
Pool #BF1120 3.500% | 2,043,839 | 2,064,437 | ||||||
Pool #AV1854 3.500% | 2,218,437 | 2,240,794 | ||||||
Pool #BF1214 3.500% | 1,697,437 | 1,714,544 | ||||||
Pool #BF1245 3.500% | 1,722,340 | 1,739,698 |
The accompanying notes are an integral part of the financial statements.
66
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #404246 6.500% | $ | 209 | $ | 235 | ||||
Pool #781038 6.500% | 57,902 | 65,036 | ||||||
Pool #781468 6.500% | 3,701 | 4,221 | ||||||
Pool #781496 6.500% | 18,812 | 21,338 | ||||||
Pool #363066 7.000% | 2,373 | 2,577 | ||||||
Pool #352049 7.000% | 1,947 | 2,121 | ||||||
Pool #354674 7.000% | 2,424 | 2,624 | ||||||
Pool #345964 7.000% | 888 | 966 | ||||||
Pool #380866 7.000% | 762 | 830 | ||||||
Pool #781124 7.000% | 6,930 | 7,910 | ||||||
Pool #781319 7.000% | 130,241 | 149,607 | ||||||
Pool #581417 7.000% | 31,920 | 36,630 | ||||||
Pool #565982 7.000% | 14,307 | 16,562 | ||||||
Pool #357262 7.500% | 1,215 | 1,336 | ||||||
Pool #441009 8.000% | 861 | 986 | ||||||
Pool #522777 8.000% | 5,302 | 6,196 | ||||||
Pool #523043 8.000% | 281 | 329 | ||||||
Pool #529134 8.000% | 1,667 | 1,982 | ||||||
Pool #477036 8.000% | 669 | 796 | ||||||
Pool #503157 8.000% | 14,383 | 17,113 | ||||||
Pool #528714 8.000% | 1,761 | 2,096 | ||||||
Pool #544640 8.000% | 11,056 | 13,209 | ||||||
Pool #531298 8.500% | 1,071 | 1,250 | ||||||
Government National Mortgage Association II | 735,236 | 763,958 | ||||||
Pool #82488 1 year CMT + 1.500%, FRN 2.375% | 914,979 | 950,778 |
Principal Amount | Value | |||||||
Pool #784026 3.500% | $ | 3,232,176 | $ | 3,269,801 | ||||
Pool #BC4641 3.500% | 2,873,402 | 2,897,871 | ||||||
Pool #MA4778 3.500% | 1,917,906 | 1,937,834 | ||||||
Pool #BC4885 3.500% | 4,471,284 | 4,513,551 | ||||||
Pool #BE4328 3.500% | 1,865,556 | 1,881,442 | ||||||
Pool #BD6940 3.500% | 2,537,942 | 2,559,554 | ||||||
Pool #BE6487 3.500% | 1,121,594 | 1,131,145 | ||||||
Pool #BD3899 3.500% | 4,886,869 | 4,928,483 | ||||||
Pool #BD6461 3.500% | 2,143,420 | 2,161,673 | ||||||
Pool #BF1119 3.500% | 3,289,707 | 3,317,720 | ||||||
Pool #BF1269 3.500% | 1,722,308 | 1,736,974 | ||||||
Pool #AC2985 4.000% | 819,268 | 842,213 | ||||||
Government National Mortgage Association II TBA | 1,550,000 | 1,564,895 | ||||||
Pool #1235 4.000% | 12,650,000 | 13,003,805 | ||||||
Pool #1019 4.500% | 6,200,000 | 6,448,484 | ||||||
|
| |||||||
267,707,044 | ||||||||
|
| |||||||
Whole Loans — 0.3% | ||||||||
Fannie Mae Connecticut Avenue Securities (b) Series 2018-C02, Class 2M2 FRN | 940,000 | 940,604 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2016-HQA3, Class M1 1 mo. USD LIBOR + .800%, FRN | 405,746 | 406,296 | ||||||
Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN | 116,245 | 116,308 | ||||||
Series 2016-HQA3, Class M2 1 mo. USD LIBOR + 1.350%, FRN | 790,000 | 800,627 | ||||||
Series 2016-DNA1, Class M1, 1 mo. USD LIBOR + 1.450%, FRN | 28,855 | 28,873 |
The accompanying notes are an integral part of the financial statements.
67
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Series 2018-HQA1, Class M2 FRN | $ | 1,235,000 | $ | 1,235,866 | ||||
|
| |||||||
3,528,574 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $293,250,249) | 287,733,942 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 4.4% | ||||||||
U.S. Treasury Bonds & Notes — 4.4% | ||||||||
U.S. Treasury Bond | 22,800,000 | 20,735,531 | ||||||
U.S. Treasury Bond (g) | 4,800,000 | 5,273,250 | ||||||
U.S. Treasury Inflation Index | 11,600,116 | 11,392,723 | ||||||
U.S. Treasury Note | 14,700,000 | 14,145,448 | ||||||
|
| |||||||
51,546,952 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $52,084,576) | 51,546,952 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $1,143,892,889) | 1,137,451,788 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.8% (Cost $9,652,703) | 9,412,689 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,156,795,592) | 1,150,336,777 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 3.6% | ||||||||
Commercial Paper — 3.6% | ||||||||
Amphenol Corp. (a) | 7,000,000 | 6,995,583 | ||||||
Avangrid, Inc. (a) | 5,000,000 | 4,989,509 | ||||||
Dollar General Corp. (a) | 1,500,000 | 1,499,666 | ||||||
Dollar General Corp. (a) | 7,500,000 | 7,498,330 | ||||||
Fortive Corp. (a) | 6,500,000 | 6,493,090 | ||||||
Lam Research Corp. (a) | 10,000,000 | 9,996,545 |
Principal Amount | Value | |||||||
Xcel Energy, Inc. (a) | $ | 4,500,000 | $ | 4,493,097 | ||||
|
| |||||||
41,965,820 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $41,974,931) | 41,965,820 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 102.8% (Cost $1,198,770,523) (h) | 1,192,302,597 | |||||||
Other Assets/(Liabilities) — (2.8)% | (32,559,741 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,159,742,856 | ||||||
|
|
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 March 31, 2018, these securities amounted to a value of $431,441,248 or 37.20% 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 March 31, 2018. |
(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 March 31, 2018, these securities amounted to a value of $11,934,779 or 1.03% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(f) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2018, these securities amounted to a value of $1,695,232 or 0.15% of net assets. |
(g) | A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2). |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
(#) The Fund had the following open Purchased Swaptions contracts at March 31, 2018:
OTC Counterparty* | Units | Notional Amount | Expiration Date | Pay/ Receive Exercise Rate | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Barclays Bank PLC | 31,720,000 | USD 31,720,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.44 | $ | 1,585,756 | $ | 1,324,544 | $ | (261,212 | ) | ||||||||||||||||
Credit Suisse International | 33,720,000 | USD 33,720,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Strike 2.61 | 1,618,560 | 1,571,701 | (46,859 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
3,204,316 | 2,896,245 | (308,071 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
Barclays Bank PLC | 64,580,000 | USD 64,580,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.94 | $ | 3,228,549 | $ | 3,356,566 | $ | 128,017 | |||||||||||||||||
Credit Suisse International | 67,220,000 | USD 67,220,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/02/43, Strike 3.11 | 3,219,838 | 3,159,878 | (59,960 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
6,448,387 | 6,516,444 | 68,057 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 9,652,703 | $ | 9,412,689 | $ | (240,014 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The Fund had the following open Futures contracts at March 31, 2018:
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||
Futures Contracts — Long | ||||||||||||
U.S. Treasury Ultra Long Bond | 06/20/18 | 250 | $38,982,878 | $ | 1,134,310 | |||||||
U.S. Treasury Note 2 Year | 06/29/18 | 316 | 67,171,929 | 12,634 | ||||||||
U.S. Treasury Note 5 Year | 06/29/18 | 1,133 | 129,135,502 | 548,741 | ||||||||
|
| |||||||||||
$ | 1,695,685 | |||||||||||
|
| |||||||||||
Futures Contracts — Short | ||||||||||||
U.S. Treasury Long Bond | 06/20/18 | 17 | $(2,489,914) | $ | (2,711 | ) | ||||||
U.S. Treasury Ultra 10 Year | 06/20/18 | 71 | (9,099,257) | (120,759 | ) | |||||||
|
| |||||||||||
$ | (123,470 | ) | ||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
69
Table of Contents
MassMutual Premier Core Bond Fund – Portfolio of Investments (Continued)
The Fund had the following open Swap agreements at March 31, 2018:
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†† |
| |||||||||||||||||||||||||||||
OTC Swaps* |
| |||||||||||||||||||||||||||||
Goldman Sachs International | USD | 4,100,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB- | )† | $ | (606,571 | ) | $ | 2,526 | $ | (604,045 | ) | ||||||||||||||
Goldman Sachs International | USD | 2,660,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB- | )† | (161,537 | ) | (230,356 | ) | (391,893 | ) | ||||||||||||||||
Goldman Sachs International | USD | 970,000 | 5/11/63 | Monthly | 3.000% | | CMBX.NA.BBB-.6 (Rating: BBB- | )† | (65,192 | ) | (77,716 | ) | (142,908 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (833,300 | ) | $ | (305,546 | ) | $ | (1,138,846 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Collateral for swap agreements held by Goldman Sachs International amounted to $1,313,913 in securities at March 31, 2018.
* | Contracts are subject to a Master Netting Agreement. |
† | 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 protection. |
Currency Legend
USD | U.S. Dollar |
Country weightings, as a percentage of net assets, is as follows:
United States | 86.1 | % | ||
Cayman Islands | 5.3 | % | ||
Canada | 1.2 | % | ||
Mexico | 1.2 | % | ||
Luxembourg | 0.8 | % | ||
United Kingdom | 0.7 | % | ||
Ireland | 0.7 | % | ||
Netherlands | 0.7 | % | ||
Bermuda | 0.6 | % | ||
Turkey | 0.4 | % | ||
Colombia | 0.3 | % | ||
Sweden | 0.3 | % | ||
Spain | 0.2 | % | ||
Australia | 0.2 | % | ||
Switzerland | 0.2 | % | ||
Panama | 0.1 | % | ||
Israel | 0.1 | % | ||
Germany | 0.1 | % | ||
Barbados | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 99.2 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.8 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
70
Table of Contents
March 31, 2018 (Unaudited)
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. USD LIBOR + | 10,000 | 267,100 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $250,000) | 267,100 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $252,032) | 267,907 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 95.0% | ||||||||
CORPORATE DEBT — 40.7% | ||||||||
Advertising — 0.1% | ||||||||
WPP Finance 2010 | $ | 225,000 | 244,043 | |||||
|
| |||||||
Aerospace & Defense — 0.7% | ||||||||
Moog, Inc. (d) | 600,000 | 615,000 | ||||||
Orbital ATK, Inc. | 435,000 | 444,244 | ||||||
Spirit AeroSystems, Inc. | 65,000 | 64,135 | ||||||
TransDigm, Inc. | 225,000 | 226,687 | ||||||
United Technologies Corp. | 105,000 | 129,556 | ||||||
|
| |||||||
1,479,622 | ||||||||
|
| |||||||
Agriculture — 0.3% | ||||||||
Bunge Ltd. Finance Corp. | 185,000 | 173,931 | ||||||
Bunge Ltd. Finance Corp. | 50,000 | 50,171 | ||||||
Reynolds American, Inc. | 200,000 | 205,734 | ||||||
Reynolds American, Inc. | 150,000 | 175,476 | ||||||
|
| |||||||
605,312 | ||||||||
|
|
Principal Amount | Value | |||||||
Airlines — 0.1% | ||||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | $ | 18,446 | $ | 18,510 | ||||
Guanay Finance Ltd. (d) | 146,706 | 149,690 | ||||||
WestJet Airlines Ltd. (d) | 98,000 | 97,599 | ||||||
|
| |||||||
265,799 | ||||||||
|
| |||||||
Auto Manufacturers — 0.8% | ||||||||
Ford Motor Co. | 100,000 | 101,205 | ||||||
Ford Motor Co. | 45,000 | 54,522 | ||||||
Ford Motor Credit Co. LLC | 220,000 | 219,710 | ||||||
General Motors Co. | 215,000 | 210,402 | ||||||
General Motors Co. | 130,000 | 129,583 | ||||||
General Motors Co. | 225,000 | 218,902 | ||||||
General Motors Financial Co., Inc. | 315,000 | 304,111 | ||||||
General Motors Financial Co., Inc. | 200,000 | 200,279 | ||||||
Hyundai Capital America (d) | 80,000 | 79,779 | ||||||
Hyundai Capital America (d) | 60,000 | 59,999 | ||||||
JB Poindexter & Co., Inc. (d) | 160,000 | 165,000 | ||||||
|
| |||||||
1,743,492 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.1% | ||||||||
The Goodyear Tire & Rubber Co. | 212,000 | 203,938 | ||||||
International Automotive Components Group SA (d) | 9,000 | 8,516 | ||||||
|
| |||||||
212,454 | ||||||||
|
| |||||||
Banks — 4.6% | ||||||||
Associated Banc-Corp. | 310,000 | 308,445 | ||||||
Associated Banc-Corp. | 495,000 | 502,222 | ||||||
Banco General SA (d) | 260,000 | 246,017 | ||||||
Bank of America Corp. | 425,000 | 421,321 |
The accompanying notes are an integral part of the financial statements.
71
Table of Contents
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Bank of America Corp. 3 mo. USD LIBOR + | $ | 210,000 | $ | 214,405 | ||||
Bank of America Corp. | 190,000 | 228,602 | ||||||
Bank of America Corp. | 125,000 | 173,067 | ||||||
Bank of Montreal VRN (e) | 250,000 | 236,843 | ||||||
The Bank of Nova Scotia | 200,000 | 204,176 | ||||||
The Bank of Nova Scotia VRN (e) | 490,000 | 462,437 | ||||||
BPCE SA (d) | 415,000 | 392,025 | ||||||
CIT Group, Inc. | 500,000 | 511,910 | ||||||
CIT Group, Inc. | 484,000 | 502,150 | ||||||
Citigroup, Inc. | 440,000 | 435,408 | ||||||
Citigroup, Inc. | 345,000 | 353,883 | ||||||
Citigroup, Inc. | 75,000 | 92,448 | ||||||
Credit Suisse Group AG VRN (d) (e) | 305,000 | 295,640 | ||||||
Deutsche Bank AG | 130,000 | 128,062 | ||||||
First Republic Bank | 560,000 | 555,515 | ||||||
Fulton Financial Corp. | 240,000 | 237,659 | ||||||
The Goldman Sachs Group, Inc. VRN (e) | 255,000 | 249,970 | ||||||
The Goldman Sachs Group, Inc. | 290,000 | 312,118 | ||||||
The Goldman Sachs Group, Inc. | 220,000 | 245,897 | ||||||
The Goldman Sachs Group, Inc. | 35,000 | 44,381 | ||||||
The Goldman Sachs Group, Inc. | 40,000 | 50,109 | ||||||
HSBC Holdings PLC | 200,000 | 201,054 | ||||||
HSBC Holdings PLC | 125,000 | 155,685 | ||||||
Huntington Bancshares, Inc. VRN (e) | 510,000 | 512,550 | ||||||
JP Morgan Chase & Co. | 200,000 | 191,776 | ||||||
JP Morgan Chase & Co. | 270,000 | 292,147 |
Principal Amount | Value | |||||||
Morgan Stanley | $ | 200,000 | $ | 201,426 | ||||
SVB Financial Group | 295,000 | 288,248 | ||||||
SVB Financial Group | 35,000 | 36,894 | ||||||
Valley National Bancorp | 110,000 | 115,992 | ||||||
Wells Fargo & Co. | 144,000 | 158,990 | ||||||
Wells Fargo & Co. | 105,000 | 120,390 | ||||||
|
| |||||||
9,679,862 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. (f) | 255,000 | 263,777 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 250,000 | 373,704 | ||||||
JB y Cia SA de CV (d) | 350,000 | 345,204 | ||||||
Molson Coors Brewing Co. | 80,000 | 75,616 | ||||||
|
| |||||||
1,058,301 | ||||||||
|
| |||||||
Biotechnology — 0.3% | ||||||||
Amgen, Inc. | 85,000 | 94,479 | ||||||
Celgene Corp. | 315,000 | 298,600 | ||||||
Celgene Corp. | 205,000 | 195,144 | ||||||
|
| |||||||
588,223 | ||||||||
|
| |||||||
Building Materials — 0.5% | ||||||||
CRH America Finance, Inc. (d) (f) | 335,000 | 333,947 | ||||||
Standard Industries, Inc. (d) | 200,000 | 188,190 | ||||||
Standard Industries, Inc. (d) | 490,000 | 475,638 | ||||||
|
| |||||||
997,775 | ||||||||
|
| |||||||
Chemicals — 0.5% | ||||||||
Incitec Pivot Finance LLC (d) | 190,000 | 198,382 | ||||||
LYB International Finance BV | 250,000 | 274,085 | ||||||
Methanex Corp. | 40,000 | 41,389 | ||||||
Monsanto Co. | 100,000 | 97,260 | ||||||
The Mosaic Co. | 26,000 | 25,456 |
The accompanying notes are an integral part of the financial statements.
72
Table of Contents
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
The Mosaic Co. | $ | 190,000 | $ | 185,310 | ||||
RPM International, Inc. | 115,000 | 112,035 | ||||||
The Sherwin-Williams Co. | 115,000 | 114,473 | ||||||
|
| |||||||
1,048,390 | ||||||||
|
| |||||||
Commercial Services — 0.5% | ||||||||
The ADT Corp. | 393,000 | 409,703 | ||||||
ERAC USA Finance LLC (d) | 505,000 | 475,174 | ||||||
ERAC USA Finance LLC (d) | 50,000 | 65,167 | ||||||
|
| |||||||
950,044 | ||||||||
|
| |||||||
Computers — 0.6% | ||||||||
Dell International LLC/EMC Corp. (d) | 275,000 | 349,300 | ||||||
DXC Technology Co. | 290,000 | 300,850 | ||||||
Leidos Holdings, Inc. | 550,000 | 558,250 | ||||||
|
| |||||||
1,208,400 | ||||||||
|
| |||||||
Diversified Financial Services — 4.1% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 300,000 | 295,524 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 1,015,000 | 978,647 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 343,000 | 345,147 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 400,000 | 410,057 | ||||||
Affiliated Managers Group, Inc. | 265,000 | 259,834 | ||||||
Affiliated Managers Group, Inc. | 245,000 | 252,844 | ||||||
Ally Financial, Inc. | 495,000 | 505,519 | ||||||
Ally Financial, Inc. | 500,000 | 610,000 | ||||||
Ares Finance Co. LLC (d) | 225,000 | 218,605 | ||||||
Brookfield Finance, Inc. | 430,000 | 431,639 | ||||||
Discover Financial Services | 275,000 | 272,790 |
Principal Amount | Value | |||||||
Discover Financial Services VRN (e) | $ | 1,015,000 | $ | 992,162 | ||||
Genpact Luxembourg Sarl (d) | 435,000 | 426,885 | ||||||
High Street Funding Trust I (d) | 1,020,000 | 1,025,497 | ||||||
International Lease Finance Corp. | 341,000 | 350,306 | ||||||
Lazard Group LLC | 196,000 | 190,621 | ||||||
Lazard Group LLC | 409,000 | 420,378 | ||||||
Legg Mason, Inc. | 95,000 | 99,335 | ||||||
Legg Mason, Inc. | 235,000 | 255,158 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (d) | 180,000 | 182,649 | ||||||
|
| |||||||
8,523,597 | ||||||||
|
| |||||||
Electric — 1.4% | ||||||||
Berkshire Hathaway Energy Co. | 120,000 | 149,682 | ||||||
The Cleveland Electric Illuminating Co. (d) | 155,000 | 148,173 | ||||||
CMS Energy Corp. | 115,000 | 120,773 | ||||||
Duke Energy Corp. | 175,000 | 157,844 | ||||||
EDP Finance BV (d) | 430,000 | 422,973 | ||||||
Elwood Energy LLC | 224,468 | 249,159 | ||||||
Entergy Louisiana LLC | 110,000 | 112,446 | ||||||
Indianapolis Power & Light Co. (d) | 110,000 | 107,744 | ||||||
IPALCO Enterprises, Inc. | 290,000 | 290,029 | ||||||
IPALCO Enterprises, Inc. | 175,000 | 171,339 | ||||||
Pennsylvania Electric Co. (d) | 150,000 | 152,830 | ||||||
Puget Energy, Inc. | 100,000 | 99,151 | ||||||
Puget Sound Energy, Inc. | 210,000 | 222,473 | ||||||
Tri-State Pass-Through Trust, Series 2003, Class B (d) | 185,000 | 214,437 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Xcel Energy, Inc. | $ | 270,000 | $ | 350,012 | ||||
|
| |||||||
2,969,065 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.1% | ||||||||
Legrand France SA | 250,000 | 317,447 | ||||||
|
| |||||||
Electronics — 0.4% | ||||||||
Arrow Electronics, Inc. | 160,000 | 152,519 | ||||||
Arrow Electronics, Inc. | 160,000 | 155,003 | ||||||
Arrow Electronics, Inc. | 45,000 | 46,319 | ||||||
Avnet, Inc. | 45,000 | 44,951 | ||||||
Ingram Micro, Inc. STEP | 335,000 | 324,317 | ||||||
Tech Data Corp. | 135,000 | 134,041 | ||||||
|
| |||||||
857,150 | ||||||||
|
| |||||||
Engineering & Construction — 0.2% | ||||||||
SBA Tower Trust (d) | 180,000 | 176,971 | ||||||
SBA Tower Trust (d) | 180,000 | 177,282 | ||||||
Zachry Holdings, Inc. (d) | 56,000 | 56,420 | ||||||
|
| |||||||
410,673 | ||||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
National CineMedia LLC | 109,000 | 98,372 | ||||||
|
| |||||||
Food Service — 0.2% | ||||||||
Aramark Services, Inc. | 500,000 | 483,750 | ||||||
|
| |||||||
Foods — 0.3% | ||||||||
Kraft Heinz Foods Co. | 170,000 | 156,917 | ||||||
Post Holdings, Inc. (d) | 500,000 | 477,500 | ||||||
|
| |||||||
634,417 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
CenterPoint Energy Resources Corp. | 220,000 | 265,012 | ||||||
NiSource, Inc. | 90,000 | 95,400 | ||||||
|
| |||||||
360,412 | ||||||||
|
| |||||||
Health Care – Products — 0.7% | ||||||||
Abbott Laboratories | 120,000 | 131,575 |
Principal Amount | Value | |||||||
Becton Dickinson & Co. | $ | 270,000 | $ | 259,875 | ||||
Becton Dickinson & Co. | 275,000 | 265,506 | ||||||
Becton Dickinson & Co. | 125,000 | 125,830 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA (d) | 702,000 | 684,450 | ||||||
|
| |||||||
1,467,236 | ||||||||
|
| |||||||
Health Care – Services — 1.1% | ||||||||
HCA, Inc. | 493,000 | 475,745 | ||||||
HCA, Inc. | 800,000 | 817,760 | ||||||
HCA, Inc. | 350,000 | 350,875 | ||||||
Humana, Inc. | 260,000 | 258,418 | ||||||
Humana, Inc. | 130,000 | 134,092 | ||||||
UnitedHealth Group, Inc. | 85,000 | 83,462 | ||||||
UnitedHealth Group, Inc. | 75,000 | 103,034 | ||||||
|
| |||||||
2,223,386 | ||||||||
|
| |||||||
Home Builders — 0.3% | ||||||||
PulteGroup, Inc. | 198,000 | 192,496 | ||||||
PulteGroup, Inc. | 441,000 | 454,450 | ||||||
|
| |||||||
646,946 | ||||||||
|
| |||||||
Household Products & Wares — 0.1% | ||||||||
Avery Dennison Corp. | 30,000 | 29,510 | ||||||
Church & Dwight Co., Inc. | 85,000 | 80,352 | ||||||
|
| |||||||
109,862 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
The Toro Co. | 170,000 | 206,228 | ||||||
|
| |||||||
Insurance — 3.0% | ||||||||
The Allstate Corp. 3 mo. USD | 790,000 | 827,525 | ||||||
American International Group, Inc. | 135,000 | 133,614 | ||||||
American International Group, Inc. | 220,000 | 222,958 | ||||||
American International Group, Inc. | 195,000 | 200,850 |
The accompanying notes are an integral part of the financial statements.
74
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
American International Group, Inc. VRN (e) | $ | 205,000 | $ | 207,665 | ||||
AmTrust Financial Services, Inc. | 490,000 | 473,190 | ||||||
Arch Capital Finance LLC | 75,000 | 82,898 | ||||||
Arch Capital Group US, Inc. | 80,000 | 88,398 | ||||||
Athene Holding Ltd. | 525,000 | 503,795 | ||||||
AXIS Specialty Finance PLC | 45,000 | 44,902 | ||||||
AXIS Specialty Finance PLC | 270,000 | 260,402 | ||||||
CNA Financial Corp. | 185,000 | 175,800 | ||||||
CNO Financial Group, Inc. | 535,000 | 532,325 | ||||||
Enstar Group Ltd. | 145,000 | 145,653 | ||||||
The Progressive Corp. VRN (e) | 510,000 | 515,738 | ||||||
Prudential Financial, Inc. | 125,000 | 157,507 | ||||||
Reinsurance Group of America, Inc. | 315,000 | 311,780 | ||||||
Trinity Acquisition PLC | 390,000 | 395,192 | ||||||
Unum Group | 125,000 | 124,032 | ||||||
USF&G Capital I (d) | 95,000 | 131,231 | ||||||
Willis North America, Inc. | 43,000 | 45,438 | ||||||
XLIT Ltd. | 490,000 | 493,175 | ||||||
XLIT Ltd. | 200,000 | 219,377 | ||||||
|
| |||||||
6,293,445 | ||||||||
|
| |||||||
Internet — 0.5% | ||||||||
Amazon.com, Inc. (d) | 300,000 | 300,242 | ||||||
Expedia Group, Inc. | 280,000 | 288,897 | ||||||
Expedia Group, Inc. | 320,000 | 325,324 | ||||||
Tencent Holdings Ltd. (d) | 225,000 | 216,715 | ||||||
|
| |||||||
1,131,178 | ||||||||
|
|
Principal Amount | Value | |||||||
Investment Companies — 1.0% | ||||||||
Ares Capital Corp. | $ | 510,000 | $ | 495,519 | ||||
Ares Capital Corp. | 520,000 | 525,412 | ||||||
FS Investment Corp. | 605,000 | 608,023 | ||||||
TCP Capital Corp. | 470,000 | 457,490 | ||||||
|
| |||||||
2,086,444 | ||||||||
|
| |||||||
Iron & Steel — 0.5% | ||||||||
Vale Overseas Ltd. | 825,000 | 884,812 | ||||||
Vale Overseas Ltd. | 100,000 | 117,620 | ||||||
|
| |||||||
1,002,432 | ||||||||
|
| |||||||
Lodging — 0.2% | ||||||||
MGM Resorts International | 534,000 | 508,635 | ||||||
|
| |||||||
Machinery – Diversified — 0.3% | ||||||||
CNH Industrial NV | 600,000 | 610,638 | ||||||
|
| |||||||
Media — 2.5% | ||||||||
Altice Financing SA (d) | 200,000 | 198,000 | ||||||
Altice France SA (d) | 465,000 | 438,263 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (d) | 250,000 | 234,375 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 600,000 | 609,000 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 168,000 | 171,610 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 201,000 | 194,415 | ||||||
Comcast Corp. | 140,000 | 120,287 | ||||||
Discovery Communications LLC | 200,000 | 190,842 | ||||||
Discovery Communications LLC | 165,000 | 164,443 | ||||||
DISH DBS Corp. | 1,000,000 | 891,250 | ||||||
Sirius XM Radio, Inc. (d) | 1,000,000 | 992,500 |
The accompanying notes are an integral part of the financial statements.
75
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
TEGNA, Inc. | $ | 500,000 | $ | 506,670 | ||||
Time Warner Cable, Inc. | 400,000 | 346,440 | ||||||
Time Warner Cable, Inc. | 240,000 | 238,447 | ||||||
|
| |||||||
5,296,542 | ||||||||
|
| |||||||
Mining — 0.8% | ||||||||
First Quantum Minerals Ltd. (d) | 1,000,000 | 950,000 | ||||||
Glencore Funding LLC (d) | 260,000 | 246,626 | ||||||
Glencore Funding LLC (d) | 280,000 | 274,535 | ||||||
Glencore Funding LLC (d) | 200,000 | 204,660 | ||||||
|
| |||||||
1,675,821 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.0% | ||||||||
General Electric Corp. | 72,000 | 93,258 | ||||||
|
| |||||||
Office Equipment/Supplies — 0.4% | ||||||||
Pitney Bowes, Inc. | 140,000 | 138,600 | ||||||
Pitney Bowes, Inc. STEP | 675,000 | 642,937 | ||||||
|
| |||||||
781,537 | ||||||||
|
| |||||||
Oil & Gas — 3.0% | ||||||||
Andeavor | 135,000 | 128,781 | ||||||
Andeavor | 85,000 | 79,518 | ||||||
Cenovus Energy, Inc. | 200,000 | 192,766 | ||||||
Cenovus Energy, Inc. | 300,000 | 292,423 | ||||||
Cenovus Energy, Inc. | 175,000 | 201,610 | ||||||
Citgo Holding, Inc. (d) | 500,000 | 529,375 | ||||||
Continental Resources, Inc. | 250,000 | 252,812 | ||||||
Encana Corp. | 160,000 | 193,304 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. (d) | 220,000 | 146,850 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. (d) | 47,000 | 33,429 | ||||||
EQT Corp. | 685,000 | 655,306 |
Principal Amount | Value | |||||||
Helmerich & Payne International Drilling Co. | $ | 150,000 | $ | 155,739 | ||||
Hess Corp. | 198,000 | 193,788 | ||||||
Jupiter Resources, Inc. (d) | 225,000 | 103,500 | ||||||
Marathon Petroleum Corp. | 175,000 | 213,597 | ||||||
Murphy Oil USA, Inc. | 175,000 | 180,031 | ||||||
Nabors Industries, Inc. | 220,000 | 215,074 | ||||||
Newfield Exploration Co. | 1,000,000 | 1,032,500 | ||||||
Patterson-UTI Energy, Inc. (d) | 70,000 | 67,429 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 200,000 | 207,000 | ||||||
Petroleos Mexicanos | 51,000 | 51,383 | ||||||
Petroleos Mexicanos | 100,000 | 96,100 | ||||||
Petroleos Mexicanos | 100,000 | 100,209 | ||||||
Petroleos Mexicanos (d) | 190,000 | 187,416 | ||||||
Petroleos Mexicanos | 375,000 | 390,375 | ||||||
Petroleos Mexicanos | 35,000 | 34,020 | ||||||
Petroleos Mexicanos | 65,000 | 69,420 | ||||||
Rowan Cos., Inc. | 151,000 | 137,033 | ||||||
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. (d) | 200,000 | 186,500 | ||||||
|
| |||||||
6,327,288 | ||||||||
|
| |||||||
Oil & Gas Services — 0.1% | ||||||||
National Oilwell Varco, Inc. | 239,000 | 209,661 | ||||||
|
| |||||||
Packaging & Containers — 0.2% | ||||||||
Brambles USA, Inc. (d) | 90,000 | 91,013 | ||||||
Brambles USA, Inc. (d) | 35,000 | 36,357 | ||||||
BWAY Holding Co. (d) | 200,000 | 201,250 | ||||||
|
| |||||||
328,620 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
76
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pharmaceuticals — 1.7% | ||||||||
AbbVie, Inc. | $ | 200,000 | $ | 206,244 | ||||
CVS Health Corp. | 198,000 | 198,200 | ||||||
CVS Health Corp. | 169,000 | 169,720 | ||||||
CVS Health Corp. | 240,000 | 252,429 | ||||||
CVS Health Corp. | 25,000 | 29,653 | ||||||
CVS Pass-Through Trust (d) | 208,796 | 229,445 | ||||||
CVS Pass-Through Trust (d) | 15,920 | 18,868 | ||||||
Express Scripts Holding Co. | 185,000 | 188,359 | ||||||
Express Scripts Holding Co. | 185,000 | 187,798 | ||||||
McKesson Corp. | 70,000 | 74,297 | ||||||
Mylan NV | 250,000 | 254,967 | ||||||
Shire Acquisitions Investments Ireland DAC | 400,000 | 381,872 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 125,000 | 120,872 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 669,000 | 602,436 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 85,000 | 62,510 | ||||||
Valeant Pharmaceuticals International (d) | 400,000 | 398,480 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 113,000 | 97,519 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 115,000 | 119,887 | ||||||
|
| |||||||
3,593,556 | ||||||||
|
| |||||||
Pipelines — 2.7% | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 75,000 | 73,704 | ||||||
Energy Transfer Partners LP | 60,000 | 60,834 | ||||||
Energy Transfer Partners LP | 170,000 | 164,116 |
Principal Amount | Value | |||||||
Energy Transfer Partners LP | $ | 200,000 | $ | 202,220 | ||||
Energy Transfer Partners LP | 180,000 | 186,816 | ||||||
Energy Transfer Partners LP VRN (e) | 390,000 | 373,181 | ||||||
EnLink Midstream Partners LP | 200,000 | 198,903 | ||||||
EnLink Midstream Partners LP | 125,000 | 121,491 | ||||||
EnLink Midstream Partners LP | 154,000 | 155,590 | ||||||
Enterprise Products Operating LLC VRN (e) | 200,000 | 191,556 | ||||||
Kinder Morgan Energy Partners LP | 65,000 | 72,740 | ||||||
Kinder Morgan Energy Partners LP | 85,000 | 95,969 | ||||||
Kinder Morgan Energy Partners LP | 80,000 | 91,802 | ||||||
Kinder Morgan Energy Partners LP | 15,000 | 18,083 | ||||||
Kinder Morgan, Inc. (d) | 225,000 | 240,735 | ||||||
MPLX LP | 195,000 | 192,529 | ||||||
MPLX LP | 468,000 | 488,663 | ||||||
MPLX LP | 40,000 | 41,800 | ||||||
MPLX LP | 142,000 | 145,550 | ||||||
Phillips 66 Partners LP | 135,000 | 130,407 | ||||||
Phillips 66 Partners LP | 18,000 | 17,557 | ||||||
Phillips 66 Partners LP | 90,000 | 90,348 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 515,000 | 510,825 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 230,000 | 205,346 | ||||||
Sabine Pass Liquefaction LLC | 638,000 | 686,388 | ||||||
Sunoco Logistics Partners Operations LP | 120,000 | 113,679 | ||||||
Sunoco Logistics Partners Operations LP | 75,000 | 69,764 |
The accompanying notes are an integral part of the financial statements.
77
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (d) | $ | 102,000 | $ | 103,785 | ||||
Western Gas Partners LP | 481,000 | 479,892 | ||||||
Western Gas Partners LP | 110,000 | 110,224 | ||||||
|
| |||||||
5,634,497 | ||||||||
|
| |||||||
Private Equity — 0.5% | ||||||||
Hercules Capital, Inc. | 945,000 | 955,145 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.8% | ||||||||
Crown Castle International Corp. | 260,000 | 249,286 | ||||||
Crown Castle International Corp. | 125,000 | 122,917 | ||||||
Crown Castle International Corp. | 70,000 | 70,542 | ||||||
CubeSmart LP | 305,000 | 283,524 | ||||||
DCT Industrial Operating Partnership LP | 60,000 | 61,653 | ||||||
Healthcare Trust of America Holdings LP | 240,000 | 231,904 | ||||||
Highwoods Realty LP | 110,000 | 110,173 | ||||||
Host Hotels & Resorts LP | 255,000 | 251,851 | ||||||
Kimco Realty Corp. | 160,000 | 153,975 | ||||||
Mid-America Apartments LP | 185,000 | 179,057 | ||||||
Weingarten Realty Investors | 75,000 | 71,217 | ||||||
|
| |||||||
1,786,099 | ||||||||
|
| |||||||
Retail — 1.0% | ||||||||
Dollar Tree, Inc. | 1,000,000 | 1,043,825 | ||||||
El Puerto de Liverpool SAB de CV (d) | 280,000 | 269,150 | ||||||
The Home Depot, Inc. | 100,000 | 127,966 | ||||||
Penske Automotive Group, Inc. | 500,000 | 491,250 | ||||||
Tiffany & Co. | 105,000 | 102,795 | ||||||
|
| |||||||
2,034,986 | ||||||||
|
|
Principal Amount | Value | |||||||
Semiconductors — 0.6% | ||||||||
NXP BV/NXP Funding LLC (d) | $ | 110,000 | $ | 110,143 | ||||
NXP BV/NXP Funding LLC (d) | 1,000,000 | 1,017,800 | ||||||
QUALCOMM, Inc. | 230,000 | 222,857 | ||||||
|
| |||||||
1,350,800 | ||||||||
|
| |||||||
Software — 0.1% | ||||||||
Oracle Corp. | 250,000 | 298,526 | ||||||
|
| |||||||
Telecommunications — 1.5% | ||||||||
AT&T, Inc. | 205,000 | 205,324 | ||||||
AT&T, Inc. | 215,000 | 208,818 | ||||||
AT&T, Inc. | 125,000 | 125,706 | ||||||
AT&T, Inc. | 108,000 | 114,250 | ||||||
Embarq Corp. | 45,000 | 42,413 | ||||||
Ericsson LM | 325,000 | 322,666 | ||||||
Hughes Satellite Systems Corp. | 444,000 | 441,780 | ||||||
Sprint Capital Corp. | 500,000 | 466,250 | ||||||
Sprint Corp. | 400,000 | 390,000 | ||||||
T-Mobile USA, Inc. | 165,000 | 166,237 | ||||||
Telefonica Emisiones SAU | 185,000 | 187,130 | ||||||
Verizon Communications, Inc. | 100,000 | 100,918 | ||||||
Verizon Communications, Inc. | 357,000 | 437,880 | ||||||
|
| |||||||
3,209,372 | ||||||||
|
| |||||||
Transportation — 0.4% | ||||||||
Asciano Finance Ltd. (d) | 45,000 | 46,038 | ||||||
The Kenan Advantage Group, Inc. (d) | 720,000 | 738,000 | ||||||
|
| |||||||
784,038 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. (d) | 145,000 | 144,272 | ||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $86,104,656) | 85,527,048 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
78
Table of Contents
MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
MUNICIPAL OBLIGATIONS — 0.2% | ||||||||
State of California BAB | $ | 125,000 | $ | 190,335 | ||||
State of California BAB | 150,000 | 232,041 | ||||||
|
| |||||||
422,376 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $353,697) | 422,376 | |||||||
|
| |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.5% | ||||||||
Automobile ABS — 1.5% | ||||||||
CFC LLC, Series 2014-2A, Class A (d) | 1,298 | 1,297 | ||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (d) | 13,964 | 13,965 | ||||||
Flagship Credit Auto Trust, Series 2016-4, Class C (d) | 300,000 | 292,609 | ||||||
Flagship Credit Auto Trust, Series 2016-2, Class A2 (d) | 500,000 | 499,906 | ||||||
Hertz Vehicle Financing II LP, Series 2018-1A, Class B (d) | 650,000 | 644,091 | ||||||
Hertz Vehicle Financing II LP, Series 2018-1A, Class C (d) | 330,000 | 326,520 | ||||||
Oscar US Funding Trust II, Series 2015-1A, Class A4 (d) | 320,000 | 318,186 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (d) | 49,678 | 49,877 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (d) | 600,000 | 592,102 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (d) | 150,000 | 148,492 | ||||||
Santander Drive Auto Receivables Trust, Series 2014-4, Class D | 280,000 | 280,637 | ||||||
|
| |||||||
3,167,682 | ||||||||
|
| |||||||
Commercial MBS — 0.8% | ||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5 | 152,000 | 156,140 |
Principal Amount | Value | |||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class AM | $ | 100,000 | $ | 102,255 | ||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A4, VRN (e) | 110,000 | 115,208 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (e) | 110,000 | 106,924 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (d) | 100,000 | 102,366 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (e) | 126,102 | 127,641 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (e) | 12,329 | 12,281 | ||||||
VNO Mortgage Trust, Series 2013-PENN, Class A (d) | 110,000 | 111,727 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (e) | 255,613 | 258,145 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class C, VRN (e) | 140,000 | 137,229 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 110,000 | 112,282 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class C, VRN (e) | 100,000 | 102,113 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class C, VRN (d) (e) | 170,000 | 178,331 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class D, VRN (d) (e) | 115,000 | 117,547 | ||||||
|
| |||||||
1,740,189 | ||||||||
|
| |||||||
Home Equity ABS — 0.3% | ||||||||
Accredited Mortgage Loan Trust, Series 2005-3, Class M1, 1 mo. USD LIBOR + .450%, FRN | 24,151 | 24,175 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN | $ | 48,586 | $ | 49,041 | ||||
Conseco Finance Corp., Series 2002-A, Class M1, 1 mo. LIBOR + 1.850%, FRN | 11,233 | 11,262 | ||||||
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN | 193,391 | 188,748 | ||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (d) | 110,295 | 110,124 | ||||||
MASTR Asset Backed Securities Trust, Series 2005, Class M1, 1 mo. USD LIBOR + .720%, FRN | 99,504 | 99,214 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 26,940 | 27,018 | ||||||
Option One Mortgage Loan Trust, Series 2005-5, Class A3, 1 mo. USD LIBOR + .210%, FRN | 17,804 | 17,809 | ||||||
Option One Mortgage Loan Trust, Series 2005-3, Class M1, 1 mo. USD LIBOR + .705%, FRN | 14,332 | 14,367 | ||||||
|
| |||||||
541,758 | ||||||||
|
| |||||||
Other ABS — 15.4% | ||||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (d) | 83,738 | 80,330 | ||||||
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN | 48,377 | 48,213 | ||||||
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (d) | 250,000 | 250,076 | ||||||
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (d) | 390,000 | 394,610 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (d) | 250,000 | 250,854 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (d) | 263,925 | 266,137 |
Principal Amount | Value | |||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class M1, 1 mo. USD LIBOR + .900%, FRN | $ | 373,401 | $ | 367,832 | ||||
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (d) | 150,754 | 151,829 | ||||||
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (d) | 250,000 | 250,113 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (d) | 445,000 | 445,758 | ||||||
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (d) | 330,000 | 331,628 | ||||||
BCC Funding XIV LLC, Series 2018-1A, Class A1 (d) | 272,108 | 271,947 | ||||||
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (d) | 250,000 | 250,048 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, STEP (d) | 463,542 | 470,734 | ||||||
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (d) | 305,000 | 305,772 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (d) | 144,471 | 144,742 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (d) | 182,384 | 178,667 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class B (d) | 150,665 | 146,871 | ||||||
Capital Automotive REIT, Series 2014-1A, Class A (d) | 100,000 | 98,602 | ||||||
Capital Automotive REIT, Series 2017-1A, Class A2 (d) | 158,533 | 158,942 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (d) | 250,000 | 251,601 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
CIFC Funding V Ltd., Series 2017-5A, Class A1, FRN (d) (e) | $ | 250,000 | $ | 251,947 | ||||
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, 1 mo. USD LIBOR + .150%, FRN | 23,288 | 23,228 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (d) | 382,613 | 382,927 | ||||||
CLI Funding V LLC, Series 2014-2A, Class A (d) | 64,411 | 63,773 | ||||||
CLI Funding VI LLC, Series 2017-1A, Class A (d) | 345,048 | 342,571 | ||||||
CLI Funding VI LLC, Series 2016-1A, Class A (d) | 415,305 | 410,127 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | 29,473 | 29,455 | ||||||
CWABS Asset-Backed Certificates Trust, Series 2005-4, Class MV5, 1 mo. USD LIBOR + .670%, FRN | 440,000 | 451,039 | ||||||
DB Master Finance LLC, Series 2015-1A, Class A2II (d) | 388,000 | 392,481 | ||||||
Diamond Resorts Owner Trust, Series 2013-2, Class A (d) | 47,868 | 47,866 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class B (d) | 427,246 | 416,002 | ||||||
Diamond Resorts Owner Trust, Series 2015-2, Class B (d) | 55,919 | 55,304 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (d) | 412,650 | 414,142 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (d) | 169,150 | 172,395 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (d) | 609,150 | 638,954 | ||||||
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A2 (d) | 177,513 | 169,240 | ||||||
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (d) | 11,410 | 11,397 |
Principal Amount | Value | |||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (d) | $ | 243,708 | $ | 239,111 | ||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class B (d) | 148,602 | 145,720 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (d) | 55,657 | 55,006 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A2 (d) | 160,000 | 160,388 | ||||||
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (d) | 159,554 | 160,053 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (d) | 198,759 | 200,459 | ||||||
Fremont Home Loan Trust, Series 2005-2, Class M2, 1 mo. USD LIBOR + .720%, FRN | 62,073 | 62,565 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class AR, FRN (d) (e) | 250,000 | 250,600 | ||||||
Global SC Finance IV Ltd., Series 2017-1A, Class A (d) | 266,431 | 266,225 | ||||||
Goldentree Loan Management US CLO Ltd., Series 2017-2A, Class A, FRN (d) (e) | 750,000 | 753,997 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (d) | 194,499 | 194,514 | ||||||
Goodgreen Trust, Series 2016-1A, Class A (d) | 418,131 | 407,478 | ||||||
Goodgreen Trust, Series 2017-1A, Class A (d) | 222,689 | 215,841 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (d) | 285,238 | 290,407 | ||||||
Hercules Capital Funding Trust, Series 2014-1A, Class A (d) | 64,918 | 64,918 | ||||||
Hero Funding, Series 2017-3A, Class A1 (d) | 251,796 | 248,229 | ||||||
HERO Funding Trust, Series 2016-3A, Class A1 (d) | 232,024 | 230,421 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
HERO Funding Trust, Series 2017-2A, Class A1 (d) | $ | 101,519 | $ | 101,373 | ||||
HERO Funding Trust, Series 2016-4A, Class A2 (d) | 220,775 | 225,025 | ||||||
Hilton Grand Vacations Trust, Series 2014-AA, Class A (d) | 40,477 | 39,566 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (d) | 47,739 | 47,234 | ||||||
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (d) | 83,729 | 84,659 | ||||||
JP Morgan Mortgage Acquisition Trust, Series 2006-CH1, Class A5, 1 mo. USD LIBOR + .230%, FRN | 55,894 | 55,808 | ||||||
KDAC Aircraft Finance Ltd., Series 2017-1A, Class A (d) | 430,760 | 429,957 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 (d) | 435,729 | 442,552 | ||||||
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (d) | 480,000 | 485,518 | ||||||
Madison Park Funding Ltd., Series 2016-22A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (d) | 250,000 | 253,471 | ||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (d) | 500,000 | 500,265 | ||||||
Marble Point CLO XI Ltd., Series 2017-2A, Class A, FRN (d) (e) | 250,000 | 251,558 | ||||||
Mariner Finance Issuance Trust, Series 2017-AA, Class A (d) | 320,000 | 324,220 | ||||||
Marlette Funding Trust, Series 2016-1A, Class A (d) | 122,202 | 122,329 | ||||||
Marlette Funding Trust, Series 2017-2A, Class B (d) | 140,000 | 139,454 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (d) | 257,904 | 256,951 |
Principal Amount | Value | |||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A (d) | $ | 81,925 | $ | 83,582 | ||||
MP CLO III Ltd., Series 2013-1A, Class AR, FRN (d) (e) | 250,000 | 251,848 | ||||||
MVW Owner Trust, Series 2013-1A, Class A (d) | 43,844 | 43,265 | ||||||
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (d) | 68,512 | 68,452 | ||||||
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (d) | 1,800,000 | 1,781,500 | ||||||
NP SPE II LLC, Series 2017-1A, Class A2 (d) | 380,000 | 375,164 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (d) | 470,000 | 467,907 | ||||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (d) | 1,700,000 | 1,646,810 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (d) | 168,678 | 168,732 | ||||||
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.410%, FRN (d) | 480,000 | 486,960 | ||||||
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (d) | 120,000 | 120,063 | ||||||
Orange Lake Timeshare Trust, Series 2014-AA, Class A (d) | 28,778 | 28,072 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (d) | 156,280 | 150,771 | ||||||
Ownit Mortgage Loan Trust, Series 2005-2, Class M4, 1 mo. USD LIBOR + .930%, FRN | 1,750 | 1,751 | ||||||
Oxford Finance Funding Trust, Series 2014-1A, Class A (d) | 99,392 | 98,383 | ||||||
Park Place Securities Inc, Series 2005-WCW2, Class M1, ABS, 1 mo. USD LIBOR + .750%, FRN | 45,095 | 45,384 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Park Place Securities, Inc., Series 2005-WCW3, Class M1, 1 mo. USD LIBOR + .480%, FRN | $ | 75,877 | $ | 76,040 | ||||
Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class A3, 1 mo. USD LIBOR + .280%, FRN | 62,297 | 62,228 | ||||||
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (d) | 23,406 | 23,362 | ||||||
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (d) | 250,000 | 251,755 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, FRN (d) (e) | 500,000 | 502,380 | ||||||
Seneca Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (d) | 250,000 | 250,037 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (d) | 30,201 | 30,027 | ||||||
Sierra Receivables Funding Co. LLC, Series 2016-1A, Class B (d) | 80,321 | 80,660 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A (d) | 68,639 | 67,738 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (d) | 40,661 | 40,474 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (d) | 192,665 | 192,427 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (d) | 979,170 | 977,637 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (d) | 526,381 | 526,723 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (d) | 384,066 | 385,399 | ||||||
Spirit Master Funding LLC, Series 2014-4A, Class A1 (d) | 109,728 | 109,567 | ||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A (d) | 266,710 | 266,330 |
Principal Amount | Value | |||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (d) | $ | 710,000 | $ | 710,949 | ||||
Store Master Funding LLC, Series 2013-3A, Class A1 (d) | 111,647 | 111,226 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (d) | 307,841 | 297,608 | ||||||
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (d) | 300,000 | 300,070 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (d) | 474,000 | 476,685 | ||||||
Taco Bell Funding LLC, Series 2016-1A, Class A23 (d) | 434,500 | 458,397 | ||||||
TAL Advantage LLC, Series 2014-2A, Class A1 (d) | 5,825 | 5,825 | ||||||
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (d) | 320,000 | 324,309 | ||||||
Textainer Marine Containers Ltd., Series 2017-2A, Class A (d) | 216,550 | 214,359 | ||||||
Textainer Marine Containers V Ltd., Series 2017-1A, Class A (d) | 279,777 | 279,237 | ||||||
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (d) | 230,000 | 230,964 | ||||||
Trip Rail Master Funding LLC, Series 2017-1A, Class A2 (d) | 140,000 | 135,634 | ||||||
Triton Container Finance IV LLC, Series 2017-2A, Class A (d) | 559,401 | 554,545 | ||||||
Triton Container Finance VI LLC, Series 2017-1A, Class A (d) | 176,351 | 174,940 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class B (d) | 83,454 | 81,764 | ||||||
Welk Resorts LLC, Series 2017-AA, Class B (d) | 229,729 | 224,560 | ||||||
Wendy’s Funding LLC, Series 2015-1A, Class A2II (d) | 321,750 | 328,658 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Wendy’s Funding LLC, Series 2015-1A, Class A23 (d) | $ | 341,250 | $ | 348,069 | ||||
Westgate Resorts LLC, Series 2014-1A, Class A (d) | 67,770 | 67,224 | ||||||
Westgate Resorts LLC, Series 2017-1A, Class A (d) | 209,602 | 207,918 | ||||||
|
| |||||||
32,288,395 | ||||||||
|
| |||||||
Student Loans ABS — 10.1% | ||||||||
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (d) | 465,357 | 466,473 | ||||||
Access Group, Inc., Series 2006-1, Class B, 3 mo. USD LIBOR + .450%, FRN | 572,073 | 548,782 | ||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 130,000 | 115,860 | ||||||
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN | 397,650 | 392,538 | ||||||
AccessLex Institute, Series 2005-1, Class B, 3 mo. USD LIBOR + .570%, FRN | 364,756 | 350,404 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 23,541 | 22,208 | ||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class C (d) | 450,000 | 452,183 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (d) | 155,868 | 143,933 | ||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (d) | 225,215 | 221,833 | ||||||
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (d) | 102,529 | 102,422 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A2 (d) | 640,274 | 642,835 | ||||||
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (d) | 91,776 | 94,639 |
Principal Amount | Value | |||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (d) | $ | 236,078 | $ | 231,456 | ||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (d) | 226,194 | 235,160 | ||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (d) | 495,489 | 502,016 | ||||||
EdLinc Student Loan Funding Trust, Series 2017-A, Class A (Acquired 12/22/17, Cost $595,828), | 577,503 | 572,918 | ||||||
KeyCorp Student Loan Trust, Series 2004-A, Class 2B, 3 mo. USD LIBOR + .530%, FRN | 44,533 | 44,540 | ||||||
KeyCorp Student Loan Trust, Series 1999-B, Class CTFS, 3 mo. USD LIBOR + .900%, FRN | 42,311 | 42,345 | ||||||
Navient Student Loan Trust, Series 2018-1A, Class A3, FRN (d) (e) | 650,000 | 650,992 | ||||||
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (d) (e) | 368,293 | 370,630 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (d) | 400,000 | 410,879 | ||||||
Navient Student Loan Trust, Series 2018-1A, Class B, FRN (d) (e) | 250,000 | 249,997 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (d) | 1,030,000 | 1,070,651 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (d) | 166,058 | 161,195 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (d) | 148,258 | 148,539 | ||||||
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN | 176,231 | 161,510 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 28 day ARS, FRN | $ | 150,000 | $ | 141,039 | ||||
Nelnet Student Loan Trust, Series 2012-1A, Class B, 1 mo. USD LIBOR + 1.000%, FRN (d) | 150,000 | 141,005 | ||||||
Nelnet Student Loan Trust, Series 2012-2A, Class B, 1 mo. USD LIBOR + 1.000%, FRN (d) | 200,000 | 186,017 | ||||||
Nelnet Student Loan Trust, Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 100,000 | 92,968 | ||||||
Nelnet Student Loan Trust, Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 440,000 | 421,078 | ||||||
Nelnet Student Loan Trust, Series 2014-5A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 100,000 | 96,648 | ||||||
Pennsylvania Higher Education Assistance Agency, Series 2015-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (d) | 130,000 | 120,719 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (d) | 478,658 | 481,935 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 190,000 | 181,613 | ||||||
SLM Student Loan Trust, Series 2007-1, Class A6, 3 mo. USD LIBOR + .140%, FRN | 100,000 | 96,661 | ||||||
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN | 147,940 | 135,311 | ||||||
SLM Student Loan Trust, Series 2006-7, Class B, ABS, FRN, 3 mo. USD LIBOR + .200%, FRN | 407,541 | 386,728 | ||||||
SLM Student Loan Trust, Series 2006-4, Class B, 3 mo. USD LIBOR + .200%, FRN | 210,279 | 200,725 |
Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | $ | 178,576 | $ | 169,099 | ||||
SLM Student Loan Trust, Series 2005-6, Class B, ABS, FRN, 3 mo. USD LIBOR + .290%, FRN | 432,011 | 411,623 | ||||||
SLM Student Loan Trust, Series 2005-9, Class B, 3 mo. USD LIBOR + .300%, FRN | 112,470 | 107,348 | ||||||
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN | 144,580 | 135,737 | ||||||
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (d) | 700,000 | 695,263 | ||||||
SLM Student Loan Trust, Series 2005-9, Class A7A, 3 mo. EURIBOR + .600%, FRN | 570,000 | 573,487 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A7, 3 mo. USD LIBOR + .600%, FRN (d) | 2,610,000 | 2,600,245 | ||||||
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 310,000 | 305,566 | ||||||
SLM Student Loan Trust, Series 2013-1, Class B,, 1 mo. USD LIBOR + 1.800%, FRN | 381,000 | 391,440 | ||||||
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN | 100,000 | 100,000 | ||||||
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 | 599,616 | ||||||
SMB Private Education Loan Trust, Series 2016-B, Class A2A (d) | 228,000 | 222,771 | ||||||
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $562,750) (a) (d) (g) | 200 | 350,000 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SoFi Professional Loan Program LLC, Series 2018-A, Class R1 (Acquired 1/22/18, Cost $718,200) (a) (d) (g) | $ | 1,000,000 | $ | 718,200 | ||||
SoFi Professional Loan Program LLC, Series 2017-D, Class R1 (Acquired 7/19/17, Cost $565,900) (a) (d) (g) | 1,000,000 | 575,000 | ||||||
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (d) | 250,000 | 244,741 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (d) | 300,000 | 296,801 | ||||||
SoFi Professional Loan Program LLC, Series 2014-A, Class A2 (d) | 30,819 | 30,732 | ||||||
SoFi Professional Loan Program LLC, Series 2017-D, Class BFX (d) | 500,000 | 495,434 | ||||||
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (d) | 85,151 | 87,793 | ||||||
SoFi Professional Loan Program LLC, Series 2017-C, Class C, VRN (d) (e) | 180,000 | 174,271 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class C, VRN (d) (e) | 170,000 | 168,901 | ||||||
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 550,000 | 536,904 | ||||||
South Carolina Student Loan Corp., Series 2015-A, Class A, 1 mo. USD LIBOR + 1.500%, FRN | 143,312 | 144,558 | ||||||
|
| |||||||
21,274,915 | ||||||||
|
| |||||||
WL Collateral CMO — 0.4% | ||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (e) | 29,994 | 30,339 | ||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (e) | 10,494 | 10,719 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (e) | 4,210 | 3,920 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (e) | 4,861 | 4,866 |
Principal Amount | Value | |||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (e) | $ | 29,317 | $ | 28,800 | ||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (d) (e) | 499,654 | 487,052 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (e) | 2,085 | 1,937 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (e) | 1,852 | 1,919 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (e) | 117 | 125 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A (Acquired 2/21/18, Cost $210,000), FRN (a) (d) (e) (g) | 210,000 | 210,793 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (e) | 14,989 | 15,186 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 40,718 | 41,348 | ||||||
|
| |||||||
837,004 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $59,644,640) | 59,849,943 | |||||||
|
| |||||||
SOVEREIGN DEBT OBLIGATIONS — 0.8% | ||||||||
Brazilian Government International Bond | 100,000 | 104,050 | ||||||
Colombia Government International Bond | 440,000 | 507,100 | ||||||
Mexico Government International Bond | 375,000 | 466,380 | ||||||
Mexico Government International Bond | 554,000 | 538,765 | ||||||
|
| |||||||
1,616,295 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,656,956) | 1,616,295 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 21.0% | ||||||||
Collateralized Mortgage Obligations — 0.6% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 203,006 | $ | 202,823 | ||||
Series 4290, Class CA | 132,513 | 134,345 | ||||||
Series 2617, Class Z | 111,673 | 121,867 | ||||||
Series 2693, Class Z | 202,723 | 215,812 | ||||||
Series 3423, Class PB | 55,764 | 59,705 | ||||||
Series 2178, Class PB | 12,656 | 13,887 | ||||||
Federal National Mortgage Association | 104,263 | 106,280 | ||||||
Series 2014-48, Class AB | 185,827 | 190,727 | ||||||
Series 2007-32, Class Z | 86,700 | 92,975 | ||||||
Series 2010-60, Class HJ | 43,902 | 46,365 | ||||||
Federal National Mortgage Association REMIC | 53,670 | 57,203 | ||||||
|
| |||||||
1,241,989 | ||||||||
|
| |||||||
Pass-Through Securities — 20.2% | ||||||||
Federal Home Loan Mortgage Corp. | 110,953 | 111,955 | ||||||
Pool #Q41916 3.500% | 280,156 | 282,684 | ||||||
Pool #Q44275 3.500% | 229,927 | 232,002 | ||||||
Pool #Q44277 3.500% | 52,369 | 52,760 | ||||||
Pool #Q52216 3.500% | 687,139 | 689,152 | ||||||
Pool #Q52868 3.500% | 944,819 | 947,587 | ||||||
Pool #V83763 3.500% | 2,249,888 | 2,256,479 | ||||||
Pool #V83655 3.500% | 1,845,599 | 1,851,006 | ||||||
Pool #V83886 3.500% | 1,791,680 | 1,796,789 | ||||||
Pool #G61307 3.500% | 1,271,581 | 1,278,386 |
Principal Amount | Value | |||||||
Pool #Q47730 4.000% | $ | 250,670 | $ | 259,238 | ||||
Pool #Q47742 4.000% | 213,656 | 220,959 | ||||||
Pool #Q52834 4.000% | 258,904 | 265,852 | ||||||
Pool #V83796 4.000% | 2,809,106 | 2,884,491 | ||||||
Pool #V83764 4.000% | 1,186,032 | 1,220,640 | ||||||
Pool #C03537 4.500% | 181,950 | 192,533 | ||||||
Pool #G06057 4.500% | 159,949 | 169,077 | ||||||
Pool #G60485 4.500% | 181,201 | 191,485 | ||||||
Pool #G60172 4.500% | 200,745 | 212,609 | ||||||
Pool #Q48208 4.500% | 142,798 | 150,055 | ||||||
Pool #Q48869 4.500% | �� | 1,328,344 | 1,393,360 | |||||
Pool #G11476 5.000% | 1,503 | 1,509 | ||||||
Pool #B16010 5.000% | 134 | 136 | ||||||
Pool #B17058 5.000% | 431 | 439 | ||||||
Pool #B18677 5.000% | 159 | 162 | ||||||
Pool #G01311 7.000% | 1,065 | 1,218 | ||||||
Pool #C80207 7.500% | 813 | 896 | ||||||
Pool #C00530 7.500% | 861 | 976 | ||||||
Pool #C00563 7.500% | 2,966 | 3,367 | ||||||
Pool #C00612 7.500% | 186 | 211 | ||||||
Pool #C55867 7.500% | 3,701 | 4,135 | ||||||
Federal National Mortgage Association | 229,865 | 226,148 | ||||||
Pool #725692 1 year CMT + 2.140%, FRN 3.225% | 66,844 | 70,169 | ||||||
Pool #888586 1 year CMT + 2.210%, FRN 3.302% | 149,990 | 157,737 | ||||||
Pool #AS1304 3.500% | 260,366 | 266,224 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pool #AV1897 3.500% | $ | 42,653 | $ | 43,613 | ||||
Pool #AV2325 3.500% | 135,054 | 138,093 | ||||||
Pool #BF0196 3.500% | 317,917 | 321,941 | ||||||
Pool #CA0770 3.500% | 1,897,223 | 1,902,559 | ||||||
Pool #CA1073 3.500% | 2,113,151 | 2,118,929 | ||||||
Pool #MA3287 3.500% | 1,020,520 | 1,015,896 | ||||||
Pool #AX0120 4.000% | 96,000 | 98,932 | ||||||
Pool #CA0181 4.000% | 2,160,297 | 2,217,680 | ||||||
Pool #BH9008 4.000% | 49,537 | 50,853 | ||||||
Pool #BH9011 4.000% | 213,373 | 219,041 | ||||||
Pool #CA0620 4.000% | 195,662 | 200,874 | ||||||
Pool #BF0094 4.000% | 1,106,119 | 1,137,833 | ||||||
Pool #BF0105 4.000% | 554,311 | 570,204 | ||||||
Pool #AH6787 4.500% | 148,624 | 157,379 | ||||||
Pool #735010 5.000% | 21,813 | 22,107 | ||||||
Pool #AD6437 5.000% | 87,890 | 95,028 | ||||||
Pool #AD6996 5.000% | 571,669 | 617,470 | ||||||
Pool #AL8173 5.000% | 231,121 | 249,493 | ||||||
Pool #575579 7.500% | 8,056 | 9,265 | ||||||
Pool #535996 7.500% | 1,072 | 1,235 | ||||||
Federal National Mortgage Association TBA(f) | 2,075,000 | 2,129,145 | ||||||
Government National Mortgage Association | 392,929 | 397,872 | ||||||
Pool #BF1053 3.500% | 348,418 | 351,930 | ||||||
Pool #BF1120 3.500% | 348,948 | 352,465 | ||||||
Pool #AV1854 3.500% | 373,894 | 377,662 |
Principal Amount | Value | |||||||
Pool #BF1214 3.500% | $ | 299,548 | $ | 302,567 | ||||
Pool #BF1245 3.500% | 299,537 | 302,556 | ||||||
Pool #579140 6.500% | 784 | 886 | ||||||
Pool #587280 6.500% | 1,134 | 1,273 | ||||||
Pool #550659 6.500% | 72,566 | 82,613 | ||||||
Pool #538689 6.500% | 16,379 | 18,676 | ||||||
Pool #780651 7.000% | 1,228 | 1,383 | ||||||
Pool #462384 7.000% | 582 | 654 | ||||||
Pool #482668 7.000% | 989 | 1,124 | ||||||
Pool #506804 7.000% | 6,044 | 6,727 | ||||||
Pool #506914 7.000% | 3,809 | 3,929 | ||||||
Pool #581417 7.000% | 1,942 | 2,229 | ||||||
Pool #423836 8.000% | 906 | 1,035 | ||||||
Pool #444619 8.000% | 7,250 | 8,228 | ||||||
Government National Mortgage Association II | 41,305 | 42,919 | ||||||
Pool #82488 1 year CMT + 1.500%, FRN 2.375% | 53,999 | 56,111 | ||||||
Pool #784026 3.500% | 435,251 | 440,318 | ||||||
Pool #BC4641 3.500% | 445,873 | 449,670 | ||||||
Pool #MA4778 3.500% | 221,297 | 223,596 | ||||||
Pool #BC4885 3.500% | 695,533 | 702,108 | ||||||
Pool #BE4328 3.500% | 323,363 | 326,117 | ||||||
Pool #BD6940 3.500% | 422,990 | 426,592 | ||||||
Pool #BD3899 3.500% | 843,419 | 850,601 | ||||||
Pool #BE6487 3.500% | 199,395 | 201,092 | ||||||
Pool #BD6461 3.500% | 378,837 | 382,063 | ||||||
Pool #BF1119 3.500% | 573,206 | 578,088 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Pool #BF1269 3.500% | $ | 299,532 | $ | 302,082 | ||||
Pool #AC2985 4.000% | 124,131 | 127,608 | ||||||
Government National Mortgage Association II TBA | 1,325,000 | 1,337,732 | ||||||
Pool #1235 4.000% | 2,075,000 | 2,133,035 | ||||||
Pool #1019 4.500% | 950,000 | 988,074 | ||||||
|
| |||||||
42,491,611 | ||||||||
|
| |||||||
Whole Loans — 0.2% | ||||||||
Fannie Mae Connecticut Avenue Securities, Series 2018-C02, Class 2M2 FRN | 160,000 | 160,103 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2018-HQA1, Class M2 FRN | 214,000 | 214,150 | ||||||
|
| |||||||
374,253 | ||||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $44,906,344) | 44,107,853 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 3.8% | ||||||||
U.S. Treasury Bonds & Notes — 3.8% | ||||||||
U.S. Treasury Bond | 500,000 | 454,726 | ||||||
U.S. Treasury Bond (h) | 875,000 | 961,270 | ||||||
U.S. Treasury Inflation Index | 2,000,020 | 1,964,262 | ||||||
U.S. Treasury Note | 2,500,000 | 2,452,173 | ||||||
U.S. Treasury Note | 1,700,000 | 1,635,868 | ||||||
U.S. Treasury Note | 650,000 | 623,283 | ||||||
|
| |||||||
8,091,582 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,120,244) | 8,091,582 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $200,786,537) | 199,615,097 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 1.2% (Cost $2,504,186) | 2,442,086 | |||||||
|
|
Number of Shares | Value | |||||||
WARRANTS — 0.0% | ||||||||
Consumer, Non-cyclical — 0.0% | ||||||||
Chemicals — 0.0% | ||||||||
Hercules LLC, Expires 3/31/29, Strike 0.09 (a) (b) (c) | 150 | $ | 3,779 | |||||
|
| |||||||
TOTAL WARRANTS (Cost $0) | 3,779 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $203,542,755) | 202,328,869 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 8.2% | ||||||||
Commercial Paper — 8.2% | ||||||||
FMC Technologies, Inc. (d) | $ | 2,000,000 | 1,998,374 | |||||
Fortive Corp. (d) | 1,000,000 | 999,187 | ||||||
HP, Inc. (d) | 2,000,000 | 1,997,297 | ||||||
Hyundai Capital America (d) | 2,000,000 | 1,999,326 | ||||||
McCormick & Co. (d) | 2,000,000 | 1,997,548 | ||||||
Nasdaq, Inc. (d) | 1,000,000 | 998,357 | ||||||
Southern Co. Gas Capital (d) | 1,500,000 | 1,498,117 | ||||||
Spectra Energy Partners (d) | 2,000,000 | 1,997,489 | ||||||
Walgreens Boots Alliance, Inc. | 2,000,000 | 1,997,874 | ||||||
WPP CP LLC (d) | 1,650,000 | 1,649,444 | ||||||
|
| |||||||
17,133,013 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,134,528) | 17,133,013 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 104.5% (Cost $220,677,283) (i) | 219,461,882 | |||||||
Other Assets/(Liabilities) — (4.5)% | (9,406,630 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 210,055,252 | ||||||
|
|
Abbreviation Legend
ABS | Asset-Backed Security |
ARS | Auction Rate Security |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Abbreviation Legend (continued)
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 March 31, 2018, these securities amounted to a value of $4,586 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 March 31, 2018, these securities amounted to a value of $83,767,180 or 39.88% 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 March 31, 2018. |
(f) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(g) | Restricted security. Certain securities are restricted as to resale. At March 31, 2018, these securities amounted to a value of $2,426,911 or 1.16% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
(h) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
(#) The Fund had the following open Purchased Swaptions contracts at March 31, 2018:
OTC Counterparty* | Units | Notional Amount | Expiration Date | Pay/ Receive Exercise Rate | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Barclays Bank PLC | 8,070,000 | USD 8,070,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.44 | $ | 403,438 | $ | 336,982 | $ | (66,456 | ) | ||||||||||||||||
Credit Suisse International | 8,910,000 | USD 8,910,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 15 Year Swaption, Underlying swap terminates 2/2/43, Strike 2.61 | 427,680 | 415,298 | (12,382 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
831,118 | 752,280 | (78,838 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
Barclays Bank PLC | 16,440,000 | USD 16,440,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.94 | $ | 821,885 | $ | 854,474 | $ | 32,589 | |||||||||||||||||
Credit Suisse International | 17,770,000 | USD 17,770,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 15 Year Swaption, Underlying swap terminates 2/2/43, Strike 3.11 | 851,183 | 835,332 | (15,851 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
1,673,068 | 1,689,806 | 16,738 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 2,504,186 | $ | 2,442,086 | $ | (62,100 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The accompanying notes are an integral part of the financial statements.
90
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
The Fund had the following open Forward contracts at March 31, 2018:
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Contracts to Buy | ||||||||||||||||
ARS | 3,082,240 | Bank of America N.A.* | 2/12/19 | $ | 128,000 | $ | 3,198 | |||||||||
EUR | 43,393 | Bank of America N.A.* | 4/17/18 | 54,285 | (843 | ) | ||||||||||
ILS | 84,628 | Bank of America N.A.* | 4/17/18 | 24,000 | 148 | |||||||||||
KRW | 111,934,800 | Bank of America N.A.* | 4/24/18 | 104,945 | 147 | |||||||||||
SEK | 841,069 | Bank of America N.A.* | 4/17/18 | 102,612 | (1,790 | ) | ||||||||||
|
|
|
| |||||||||||||
413,842 | 860 | |||||||||||||||
|
|
|
| |||||||||||||
MYR | 1,053,403 | Barclays Bank PLC* | 4/24/18 | 266,555 | 5,579 | |||||||||||
|
|
|
| |||||||||||||
ARS | 2,643,200 | BNP Paribas SA* | 6/15/18 | 128,000 | (1,596 | ) | ||||||||||
BRL | 417,792 | BNP Paribas SA* | 4/10/18 | 128,000 | (1,527 | ) | ||||||||||
RUB | 6,155,180 | BNP Paribas SA* | 4/17/18 | 106,445 | 828 | |||||||||||
|
|
|
| |||||||||||||
362,445 | (2,295 | ) | ||||||||||||||
|
|
|
| |||||||||||||
CHF | 125,985 | Goldman Sachs International* | 4/17/18 | 136,886 | (4,964 | ) | ||||||||||
EGP | 1,846,588 | Goldman Sachs International* | 4/17/18 | 103,133 | 1,195 | |||||||||||
JPY | 28,099,380 | Goldman Sachs International* | 4/24/18 | 254,848 | 9,546 | |||||||||||
TRY | 1,203,574 | Goldman Sachs International* | 4/17/18 | 310,435 | (6,737 | ) | ||||||||||
|
|
|
| |||||||||||||
805,302 | (960 | ) | ||||||||||||||
|
|
|
| |||||||||||||
ARS | 3,023,760 | JP Morgan Chase Bank N.A.* | 2/12/19 | 129,000 | (291 | ) | ||||||||||
AUD | 130,055 | JP Morgan Chase Bank N.A.* | 4/24/18 | 103,000 | (3,111 | ) | ||||||||||
EUR | 533,427 | JP Morgan Chase Bank N.A.* | 4/17/18 | 664,994 | (8,038 | ) | ||||||||||
GHS | 452,880 | JP Morgan Chase Bank N.A.* | 4/17/18 | 96,357 | 5,477 | |||||||||||
INR | 3,197,642 | JP Morgan Chase Bank N.A.* | 4/24/18 | 49,000 | (96 | ) | ||||||||||
KZT | 86,692,000 | JP Morgan Chase Bank N.A.* | 4/24/18 | 265,916 | 4,462 | |||||||||||
MXN | 9,539,216 | JP Morgan Chase Bank N.A.* | 4/10/18 | 483,979 | 40,174 | |||||||||||
NGN | 53,883,000 | JP Morgan Chase Bank N.A.* | 4/17/18 | 148,643 | 531 | |||||||||||
PEN | 660,100 | JP Morgan Chase Bank N.A.* | 4/10/18 | 205,000 | (438 | ) | ||||||||||
|
|
|
| |||||||||||||
2,145,889 | 38,670 | |||||||||||||||
|
|
|
| |||||||||||||
$ | 3,994,033 | $ | 41,854 | |||||||||||||
|
|
|
| |||||||||||||
Contracts to Deliver | ||||||||||||||||
ARS | 2,643,200 | Bank of America N.A.* | 6/15/18 | $ | 122,370 | $ | (4,034 | ) | ||||||||
CHF | 125,985 | Bank of America N.A.* | 4/17/18 | 129,101 | (2,821 | ) | ||||||||||
CLP | 33,489,300 | Bank of America N.A.* | 4/10/18 | 55,185 | (272 | ) | ||||||||||
ILS | 538,975 | Bank of America N.A.* | 4/17/18 | 157,137 | 3,346 | |||||||||||
INR | 9,936,005 | Bank of America N.A.* | 4/24/18 | 154,047 | 2,088 | |||||||||||
KZT | 86,692,000 | Bank of America N.A.* | 4/24/18 | 266,309 | (4,069 | ) | ||||||||||
|
|
|
| |||||||||||||
884,149 | (5,762 | ) | ||||||||||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
91
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Counterparty | Settlement Date | In Exchange for | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Contracts to Deliver (Continued) | ||||||||||||||||
CLP | 89,339,400 | Goldman Sachs International* | 4/10/18 | $ 149,499 | $ | 1,557 | ||||||||||
CNH | 305,496 | Goldman Sachs International* | 4/24/18 | 48,000 | (666 | ) | ||||||||||
EUR | 9,828 | Goldman Sachs International* | 4/17/18 | 11,784 | (320 | ) | ||||||||||
NZD | 149,057 | Goldman Sachs International* | 4/24/18 | 108,834 | 1,115 | |||||||||||
TRY | 603,526 | Goldman Sachs International* | 4/17/18 | 154,000 | 1,712 | |||||||||||
|
|
|
| |||||||||||||
472,117 | 3,398 | |||||||||||||||
|
|
|
| |||||||||||||
CNH | 1,329,685 | JP Morgan Chase Bank N.A.* | 4/24/18 | 206,003 | (5,816 | ) | ||||||||||
INR | 3,296,895 | JP Morgan Chase Bank N.A.* | 4/24/18 | 51,000 | 578 | |||||||||||
JPY | 13,878,380 | JP Morgan Chase Bank N.A.* | 4/24/18 | 126,000 | (4,585 | ) | ||||||||||
KES | 7,594,142 | JP Morgan Chase Bank N.A.* | 4/17/18 | 73,436 | (1,609 | ) | ||||||||||
KES | 3,000,911 | JP Morgan Chase Bank N.A.* | 5/09/18 | 29,065 | (481 | ) | ||||||||||
KRW | 111,934,800 | JP Morgan Chase Bank N.A.* | 4/24/18 | 104,775 | (317 | ) | ||||||||||
|
|
|
| |||||||||||||
590,279 | (12,230 | ) | ||||||||||||||
|
|
|
| |||||||||||||
$ 1,946,545 | $ | (14,594 | ) | |||||||||||||
|
|
|
| |||||||||||||
Cross Currency Forwards | ||||||||||||||||
CZK | 2,266,775 | Goldman Sachs International* | 4/17/18 | EUR | 89,145 | $ | 84 | |||||||||
HUF | 54,114,000 | Goldman Sachs International* | 4/17/18 | EUR | 174,607 | (1,709 | ) | |||||||||
PLN | 1,725,066 | Goldman Sachs International* | 4/17/18 | EUR | 411,812 | (3,182 | ) | |||||||||
|
| |||||||||||||||
$ | (4,807 | ) | ||||||||||||||
|
| |||||||||||||||
EUR | 96,000 | JP Morgan Chase Bank N.A.* | 4/17/18 | HUF | 29,664,000 | $ | 1,288 | |||||||||
|
| |||||||||||||||
$ | (3,519 | ) | ||||||||||||||
|
|
* | Contracts are subject to a Master Netting Agreement. |
The Fund had the following open Futures contracts at March 31, 2018:
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Futures Contracts — Long | ||||||||||||||||
U.S. Treasury Ultra Long Bond | 6/20/18 | 86 | $ | 13,378,695 | $ | 421,617 | ||||||||||
U.S. Treasury Note 2 Year | 6/29/18 | 117 | 24,868,681 | 6,616 | ||||||||||||
U.S. Treasury Note 5 Year | 6/29/18 | 87 | 9,911,477 | 46,625 | ||||||||||||
|
| |||||||||||||||
$ | 474,858 | |||||||||||||||
|
| |||||||||||||||
Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Long Bond | 6/20/18 | 24 | $ | (3,441,672 | ) | $ | (77,329 | ) | ||||||||
U.S. Treasury Ultra 10 Year | 6/20/18 | 29 | (3,708,024 | ) | (57,898 | ) | ||||||||||
|
| |||||||||||||||
$ | (135,227 | ) | ||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
92
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
The Fund had the following open Swap agreements at March 31, 2018:
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†† |
| |||||||||||||||||||||||||||
OTC Swaps* |
| |||||||||||||||||||||||||||
Goldman Sachs International | USD | 450,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (66,575 | ) | $ | 278 | $ | (66,297 | ) | ||||||||||||||
Goldman Sachs International | USD | 140,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (9,409 | ) | (11,217 | ) | (20,626 | ) | ||||||||||||||||
Goldman Sachs International | USD | 380,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (23,077 | ) | (32,908 | ) | (55,985 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (99,061 | ) | $ | (43,847 | ) | $ | (142,908 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
† | 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 protection. |
Currency Legend
ARS | Argentinean Peso |
AUD | Australian Dollar |
BRL | Brazilian Real |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Offshore Chinese Yuan |
CZK | Czech Koruna |
EGP | Egyptian Pound |
EUR | Euro |
GHS | Ghanaian Cedis |
HUF | Hungarian Forint |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KES | Kenyan Shilling |
KRW | South Korean Won |
KZT | Kazakhstan Tenge |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NGN | Nigerian Naira |
NZD | New Zealand Dollar |
PEN | Peruvian New Sol |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
TRY | New Turkish Lira |
USD | U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
93
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MassMutual Premier Diversified Bond Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
Country weightings, as a percentage of net assets, is as follows:
United States | 82.6 | % | ||
Cayman Islands | 5.2 | % | ||
Canada | 1.7 | % | ||
Netherlands | 1.7 | % | ||
Ireland | 1.3 | % | ||
Mexico | 1.2 | % | ||
United Kingdom | 0.6 | % | ||
France | 0.5 | % | ||
Bermuda | 0.3 | % | ||
Luxembourg | 0.3 | % | ||
Colombia | 0.2 | % | ||
Sweden | 0.2 | % | ||
Switzerland | 0.1 | % | ||
Panama | 0.1 | % | ||
Spain | 0.1 | % | ||
United States Virgin Islands | 0.1 | % | ||
Germany | 0.1 | % | ||
Brazil | 0.0 | % | ||
Australia | 0.0 | % | ||
|
| |||
Total Long-Term Investments | 96.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 3.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
94
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 0.4% | ||||||||
COMMON STOCK — 0.0% | ||||||||
Basic Materials — 0.0% | ||||||||
Forest Products & Paper — 0.0% | ||||||||
The Newark Group, Inc. (a) (b) | 329,969 | $ | 9,899 | |||||
|
| |||||||
TOTAL COMMON STOCK (Cost $63,490) | 9,899 | |||||||
|
| |||||||
PREFERRED STOCK — 0.4% | ||||||||
Consumer, Non-cyclical — 0.4% | ||||||||
Agriculture — 0.4% | ||||||||
Pinnacle Agriculture Holdings LLC | 2,011,244 | 2,011,244 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $1,282,342) | 2,011,244 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $1,345,832) | 2,021,143 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 96.9% | ||||||||
BANK LOANS — 4.6% | ||||||||
Foods — 0.1% | ||||||||
Del Monte Foods, Inc., 1st Lien Term Loan 3 mo. LIBOR + 3.250% VRN | $ | 660,974 | 562,297 | |||||
|
| |||||||
Health Care – Services — 1.5% | ||||||||
Centene Corp., Bridge Term Loan VRN (a) (b) (c) (g) | 7,000,000 | 6,981,100 | ||||||
|
| |||||||
Oil & Gas — 2.1% | ||||||||
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan 3 mo. LIBOR + 7.500% VRN | 5,254,429 | 4,656,737 | ||||||
Fieldwood Energy LLC, DIP Delayed Draw Term Loan Unfunded + 1.000% VRN (g) | 182,816 | 177,332 | ||||||
Fieldwood Energy LLC, New 1st Lien Term Loan 1 mo. LIBOR + 7.000% VRN | 2,255,879 | 2,237,087 | ||||||
Fieldwood Energy LLC, 1st Lien Last Out Term Loan 3 mo. LIBOR + 7.125% VRN | 1,286,561 | 1,222,233 | ||||||
Fieldwood Energy LLC, 2nd Lien Term Loan 1 mo. LIBOR + 7.125% VRN | 2,963,034 | 592,607 |
Principal Amount | Value | |||||||
Gulf Finance LLC, Term Loan B 3 mo. LIBOR + 5.250% VRN | $ | 1,558,434 | $ | 1,431,811 | ||||
|
| |||||||
10,317,807 | ||||||||
|
| |||||||
Software — 0.9% | ||||||||
Almonde, Inc., USD 2nd Lien Term Loan 3 mo. LIBOR + 7.250% VRN | 4,233,302 | 4,188,979 | ||||||
|
| |||||||
TOTAL BANK LOANS (Cost $23,753,168) | 22,050,183 | |||||||
|
| |||||||
CORPORATE DEBT — 92.3% | ||||||||
Aerospace & Defense — 2.4% | ||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | 2,754,000 | 2,767,770 | ||||||
Moog, Inc. (d) | 948,000 | 971,700 | ||||||
TransDigm, Inc. | 4,226,000 | 4,257,695 | ||||||
Triumph Group, Inc. | 1,501,000 | 1,467,227 | ||||||
Triumph Group, Inc. | 336,000 | 325,920 | ||||||
Triumph Group, Inc. | 1,700,000 | 1,742,500 | ||||||
|
| |||||||
11,532,812 | ||||||||
|
| |||||||
Agriculture — 0.6% | ||||||||
Pinnacle Operating Corp. (d) | 2,930,270 | 2,754,454 | ||||||
|
| |||||||
Airlines — 1.4% | ||||||||
American Airlines Group, Inc. (d) | 6,758,000 | 6,914,448 | ||||||
|
| |||||||
Apparel — 0.3% | ||||||||
Perry Ellis International, Inc. | 1,386,000 | 1,384,268 | ||||||
|
| |||||||
Auto Manufacturers — 2.2% | ||||||||
Deck Chassis Acquisition, Inc. (d) | 6,676,000 | 7,226,770 | ||||||
JB Poindexter & Co., Inc. (d) | 3,232,000 | 3,333,000 | ||||||
|
| |||||||
10,559,770 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.9% | ||||||||
Allison Transmission, Inc. (d) | 727,000 | 720,639 | ||||||
The Goodyear Tire & Rubber Co. | 1,505,000 | 1,463,612 |
The accompanying notes are an integral part of the financial statements.
95
Table of Contents
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
International Automotive Components Group SA (d) | $ | 2,196,000 | $ | 2,077,965 | ||||
|
| |||||||
4,262,216 | ||||||||
|
| |||||||
Building Materials — 1.9% | ||||||||
James Hardie International Finance DAC (d) | 702,000 | 687,960 | ||||||
James Hardie International Finance DAC (d) | 2,402,000 | 2,329,940 | ||||||
Louisiana-Pacific Corp. | 2,102,000 | 2,107,255 | ||||||
Standard Industries, Inc. (d) | 4,491,000 | 4,225,806 | ||||||
|
| |||||||
9,350,961 | ||||||||
|
| |||||||
Chemicals — 3.9% | ||||||||
A Schulman, Inc. STEP | 4,148,000 | 4,376,140 | ||||||
The Chemours Co. | 746,000 | 747,865 | ||||||
The Chemours Co. | 1,424,000 | 1,537,920 | ||||||
Consolidated Energy Finance SA (d) | 3,192,000 | 3,227,910 | ||||||
Consolidated Energy Finance SA (d) | 2,225,000 | 2,330,687 | ||||||
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (d) | 3,800,000 | 3,876,000 | ||||||
Platform Specialty Products Corp. (d) | 2,033,000 | 1,987,258 | ||||||
Platform Specialty Products Corp. (d) | 864,000 | 878,040 | ||||||
|
| |||||||
18,961,820 | ||||||||
|
| |||||||
Coal — 1.8% | ||||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. (d) | 3,803,000 | 3,993,150 | ||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. (d) | 3,410,000 | 3,512,300 | ||||||
Warrior Met Coal, Inc. (d) | 1,257,000 | 1,278,997 | ||||||
|
| |||||||
8,784,447 | ||||||||
|
| |||||||
Commercial Services — 4.3% | ||||||||
Booz Allen Hamilton, Inc. (d) | 2,403,000 | 2,342,925 |
Principal Amount | Value | |||||||
Cardtronics, Inc./Cardtronics USA, Inc. (d) | $ | 1,939,000 | $ | 1,827,508 | ||||
CSVC Acquisition Corp. (d) | 1,590,000 | 1,375,350 | ||||||
The Hertz Corp. (d) | 4,157,000 | 4,219,355 | ||||||
KAR Auction Services, Inc. (d) | 2,200,000 | 2,189,000 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. (d) | 4,084,000 | 4,425,749 | ||||||
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary | 2,145,000 | 2,118,187 | ||||||
United Rentals North America, Inc. | 887,000 | 862,608 | ||||||
United Rentals North America, Inc. | 1,303,000 | 1,257,395 | ||||||
|
| |||||||
20,618,077 | ||||||||
|
| |||||||
Computers — 0.7% | ||||||||
Dell International LLC/EMC Corp. (d) | 1,319,000 | 1,410,631 | ||||||
Dell, Inc. | 1,907,000 | 1,904,616 | ||||||
|
| |||||||
3,315,247 | ||||||||
|
| |||||||
Diversified Financial Services — 4.6% | ||||||||
Aircastle Ltd. | 2,965,000 | 2,905,700 | ||||||
Aircastle Ltd. | 269,000 | 277,406 | ||||||
Aircastle Ltd. | 269,000 | 280,433 | ||||||
Alliance Data Systems Corp. (d) | 5,000,000 | 5,100,000 | ||||||
Ally Financial, Inc. | 500,000 | 500,625 | ||||||
Ally Financial, Inc. | 2,175,000 | 2,653,500 | ||||||
LPL Holdings, Inc. (d) | 4,000,000 | 3,948,800 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (d) | 2,168,000 | 2,165,290 | ||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc. (d) | 3,980,000 | 4,203,875 | ||||||
|
| |||||||
22,035,629 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
96
Table of Contents
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Electric — 1.5% | ||||||||
NextEra Energy Operating Partners LP (d) | $ | 707,000 | $ | 685,790 | ||||
NRG Energy, Inc. | 1,712,000 | 1,750,520 | ||||||
NRG Energy, Inc. | 4,738,000 | 5,011,856 | ||||||
|
| |||||||
7,448,166 | ||||||||
|
| |||||||
Engineering & Construction — 0.9% | ||||||||
New Enterprise Stone & Lime Co., Inc. (d) | 484,000 | 484,605 | ||||||
Zachry Holdings, Inc. (d) | 3,639,000 | 3,666,293 | ||||||
|
| |||||||
4,150,898 | ||||||||
|
| |||||||
Entertainment — 0.6% | ||||||||
AMC Entertainment Holdings, Inc. | 1,171,000 | 1,150,507 | ||||||
AMC Entertainment Holdings, Inc. (d) | 269,000 | 264,992 | ||||||
Boyne USA, Inc. (d) (e) | 632,000 | 648,590 | ||||||
WMG Acquisition Corp. (d) | 634,000 | 634,793 | ||||||
|
| |||||||
2,698,882 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Waste Pro USA, Inc. (d) | 370,000 | 365,375 | ||||||
|
| |||||||
Foods — 4.2% | ||||||||
C&S Group Enterprises LLC (d) | 4,365,000 | 4,113,445 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. (d) | 2,234,000 | 2,178,820 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. (d) | 2,911,000 | 2,794,560 | ||||||
KeHE Distributors LLC/KeHE Finance Corp. (d) | 3,250,000 | 3,176,875 | ||||||
Pilgrim’s Pride Corp. (d) | 884,000 | 858,461 | ||||||
Pilgrim’s Pride Corp. (d) | 3,425,000 | 3,227,378 | ||||||
Post Holdings, Inc. (d) | 1,088,000 | 1,071,680 | ||||||
Post Holdings, Inc. (d) | 1,641,000 | 1,567,155 | ||||||
Post Holdings, Inc. (d) | 1,346,000 | 1,339,270 | ||||||
|
| |||||||
20,327,644 | ||||||||
|
|
Principal Amount | Value | |||||||
Forest Products & Paper — 0.0% | ||||||||
Appvion, Inc. (d) | $ | 5,428,000 | $ | 543 | ||||
|
| |||||||
Gas — 0.7% | ||||||||
LBC Tank Terminals Holding Netherlands BV (d) | 3,188,000 | 3,275,670 | ||||||
|
| |||||||
Hand & Machine Tools — 0.6% | ||||||||
Apex Tool Group LLC / BC Mountain Finance, Inc. (d) | 2,743,000 | 2,736,143 | ||||||
|
| |||||||
Health Care – Products — 3.4% | ||||||||
Avantor, Inc. (d) | 2,323,000 | 2,311,385 | ||||||
Avantor, Inc. (d) | 4,981,000 | 4,906,285 | ||||||
Halyard Health, Inc. | 3,824,000 | 3,919,600 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA (d) | 4,759,000 | 4,640,025 | ||||||
Teleflex, Inc. | 666,000 | 641,032 | ||||||
|
| |||||||
16,418,327 | ||||||||
|
| |||||||
Health Care – Services — 2.7% | ||||||||
CHS/Community Health Systems, Inc. | 1,623,000 | 1,495,189 | ||||||
HCA, Inc. | 1,500,000 | 1,447,500 | ||||||
HCA, Inc. | 1,159,000 | 1,184,730 | ||||||
HCA, Inc. | 2,241,000 | 2,280,217 | ||||||
RegionalCare Hospital Partners Holdings, Inc. (d) | 2,618,000 | 2,722,720 | ||||||
Tenet Healthcare Corp. (d) | 1,125,000 | 1,081,406 | ||||||
Tenet Healthcare Corp. | 1,050,000 | 1,094,625 | ||||||
West Street Merger Sub, Inc. (d) | 1,763,000 | 1,679,258 | ||||||
|
| |||||||
12,985,645 | ||||||||
|
| |||||||
Home Builders — 1.4% | ||||||||
Brookfield Residential Properties, Inc. (d) | 897,000 | 908,213 | ||||||
Brookfield Residential Properties, Inc. (d) | 2,230,000 | 2,257,875 |
The accompanying notes are an integral part of the financial statements.
97
Table of Contents
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
M/I Homes, Inc. | $ | 1,629,000 | $ | 1,585,750 | ||||
M/I Homes, Inc. | 1,262,000 | 1,298,282 | ||||||
William Lyon Homes, Inc. (d) | 676,000 | 673,465 | ||||||
|
| |||||||
6,723,585 | ||||||||
|
| |||||||
Insurance — 1.5% | ||||||||
Acrisure LLC/Acrisure Finance, Inc. (d) | 1,987,000 | 1,907,520 | ||||||
AssuredPartners, Inc. (d) | 1,871,000 | 1,847,613 | ||||||
USIS Merger Sub, Inc. (d) | 692,000 | 692,000 | ||||||
York Risk Services Holding Corp. (d) | 2,879,000 | 2,691,865 | ||||||
|
| |||||||
7,138,998 | ||||||||
|
| |||||||
Internet — 2.0% | ||||||||
TIBCO Software, Inc. (d) | 8,653,000 | 9,420,954 | ||||||
|
| |||||||
Iron & Steel — 1.8% | ||||||||
Allegheny Technologies, Inc. | 4,169,000 | 4,252,380 | ||||||
ArcelorMittal STEP | 2,707,000 | 3,146,887 | ||||||
Big River Steel LLC/BRS Finance Corp. (d) | 165,000 | 171,188 | ||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. (d) 6.375% 5/01/22 | 1,292,000 | 1,329,145 | ||||||
|
| |||||||
8,899,600 | ||||||||
|
| |||||||
Leisure Time — 2.1% | ||||||||
Brunswick Corp. | 650,000 | 759,259 | ||||||
Brunswick Corp. | 4,693,000 | 5,704,997 | ||||||
Carlson Travel, Inc. (d) | 1,299,000 | 1,295,753 | ||||||
Carlson Travel, Inc. (d) | 2,423,000 | 2,262,476 | ||||||
|
| |||||||
10,022,485 | ||||||||
|
| |||||||
Lodging — 1.1% | ||||||||
Interval Acquisition Corp. | 2,917,000 | 2,982,632 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (d) | 500,000 | 502,500 |
Principal Amount | Value | |||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (d) | $ | 1,655,000 | $ | 1,623,969 | ||||
|
| |||||||
5,109,101 | ||||||||
|
| |||||||
Media — 9.1% | ||||||||
Altice Financing SA (d) | 2,100,000 | 2,079,000 | ||||||
Altice Finco SA (d) | 1,094,000 | 1,126,820 | ||||||
Altice Luxembourg SA (d) | 3,960,000 | 3,385,800 | ||||||
AMC Networks, Inc. | 1,969,000 | 1,897,387 | ||||||
Block Communications, Inc. (d) | 2,096,000 | 2,107,696 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (d) | 3,989,000 | 3,739,687 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 879,000 | 892,185 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (d) | 2,700,000 | 2,747,250 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (d) | 1,649,000 | 1,649,000 | ||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. (d) (e) | 2,001,000 | 2,046,022 | ||||||
Clear Channel Worldwide Holdings, Inc. | 2,949,000 | 2,945,314 | ||||||
Clear Channel Worldwide Holdings, Inc. | 2,000,000 | 1,985,000 | ||||||
CSC Holdings LLC (d) | 1,792,000 | 1,692,705 | ||||||
DISH DBS Corp. | 3,301,000 | 3,095,513 | ||||||
LIN Television Corp. | 3,000,000 | 3,086,250 | ||||||
Midcontinent Communications/Midcontinent Finance Corp. (d) | 1,624,000 | 1,707,230 | ||||||
Sirius XM Radio, Inc. (d) | 1,951,000 | 1,936,368 | ||||||
Sirius XM Radio, Inc. (d) | 3,852,000 | 3,803,850 | ||||||
Unitymedia GmbH (d) | 1,000,000 | 1,048,750 |
The accompanying notes are an integral part of the financial statements.
98
Table of Contents
MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Virgin Media Secured Finance PLC (d) | $ | 701,000 | $ | 681,281 | ||||
|
| |||||||
43,653,108 | ||||||||
|
| |||||||
Mining — 2.7% | ||||||||
Constellium NV (d) | 1,020,000 | 1,004,700 | ||||||
First Quantum Minerals Ltd. (d) | 2,288,000 | 2,170,740 | ||||||
First Quantum Minerals Ltd. (d) | 1,191,000 | 1,131,450 | ||||||
Hecla Mining Co. | 2,433,000 | 2,478,619 | ||||||
Kinross Gold Corp. (d) | 2,214,000 | 2,168,170 | ||||||
Kinross Gold Corp. | 1,879,000 | 2,018,985 | ||||||
Kinross Gold Corp. | 1,276,000 | 1,454,640 | ||||||
Northwest Acquisitions ULC/Dominion Finco, Inc. (d) | 499,000 | 508,980 | ||||||
|
| |||||||
12,936,284 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.4% | ||||||||
Amsted Industries, Inc. (d) | 2,454,000 | 2,454,000 | ||||||
EnPro Industries, Inc. | 4,059,000 | 4,195,991 | ||||||
|
| |||||||
6,649,991 | ||||||||
|
| |||||||
Oil & Gas — 7.9% | ||||||||
Chesapeake Energy Corp. (d) | 2,946,000 | 2,850,255 | ||||||
Chesapeake Energy Corp. (d) | 426,000 | 406,830 | ||||||
Citgo Holding, Inc. (d) | 4,414,000 | 4,673,322 | ||||||
Ensco PLC | 834,000 | 765,195 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. (d) | 3,214,000 | 2,145,345 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc. (d) | 1,266,000 | 900,442 | ||||||
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. (d) | 1,390,000 | 1,365,675 | ||||||
Jupiter Resources, Inc. (d) | 7,357,000 | 3,384,220 |
Principal Amount | Value | |||||||
Kosmos Energy Ltd. (d) | $ | 6,535,000 | $ | 6,649,362 | ||||
Kosmos Energy Ltd. (d) | 499,000 | 507,733 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 2,436,000 | 2,521,260 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 2,368,000 | 2,459,760 | ||||||
Rowan Cos., Inc. | 2,500,000 | 2,081,250 | ||||||
Rowan Cos., Inc. | 802,000 | 751,875 | ||||||
Sunoco LP / Sunoco Finance Corp. (d) | 398,000 | 383,573 | ||||||
Sunoco LP / Sunoco Finance Corp. (d) | 676,000 | 652,340 | ||||||
Sunoco LP / Sunoco Finance Corp. (d) | 478,000 | 461,868 | ||||||
Transocean, Inc. | 1,715,000 | 1,337,700 | ||||||
Transocean, Inc. STEP | 520,000 | 514,800 | ||||||
Tullow Oil PLC (d) | 3,153,000 | 3,180,589 | ||||||
|
| |||||||
37,993,394 | ||||||||
|
| |||||||
Oil & Gas Services — 1.7% | ||||||||
Jonah Energy LLC/Jonah Energy Finance Corp. (d) | 3,495,000 | 3,145,500 | ||||||
KCA Deutag UK Finance PLC (d) (e) | 1,209,000 | 1,216,556 | ||||||
Welltec A/S (d) | 3,500,000 | 3,613,750 | ||||||
|
| |||||||
7,975,806 | ||||||||
|
| |||||||
Packaging & Containers — 2.3% | ||||||||
Coveris Holdings SA (d) | 10,235,000 | 10,260,587 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. VI (d) | 722,000 | 698,535 | ||||||
|
| |||||||
10,959,122 | ||||||||
|
| |||||||
Pharmaceuticals — 3.6% | ||||||||
Catalent Pharma Solutions, Inc. (d) | 918,000 | 895,050 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. STEP (d) | 2,390,000 | 1,714,825 |
The accompanying notes are an integral part of the financial statements.
99
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MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (d) | $ | 904,000 | $ | 960,500 | ||||
Teva Pharmaceutical Finance Netherlands III BV (d) | 1,091,000 | 1,059,558 | ||||||
Teva Pharmaceutical Finance Netherlands III BV (d) | 621,000 | 613,627 | ||||||
Valeant Pharmaceuticals International (d) | 2,000,000 | 1,992,400 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 1,402,000 | 1,226,750 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 981,000 | 955,004 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 676,000 | 596,563 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 5,735,000 | 4,949,305 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 595,000 | 614,338 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 1,021,000 | 1,064,392 | ||||||
Valeant Pharmaceuticals International, Inc. (d) | 943,000 | 937,106 | ||||||
|
| |||||||
17,579,418 | ||||||||
|
| |||||||
Pipelines — 2.0% | ||||||||
Energy Transfer Equity LP | 4,862,000 | 4,716,140 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 2,125,000 | 2,093,125 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 2,834,000 | 2,777,320 | ||||||
|
| |||||||
9,586,585 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 1.1% | ||||||||
The GEO Group, Inc. | 1,887,000 | 1,844,543 | ||||||
MPT Operating Partnership LP / MPT Finance Corp. | 2,337,000 | 2,290,961 |
Principal Amount | Value | |||||||
RHP Hotel Properties LP/RHP Finance Corp. | $ | 1,426,000 | $ | 1,429,565 | ||||
|
| |||||||
5,565,069 | ||||||||
|
| |||||||
Retail — 2.6% | ||||||||
Carrols Restaurant Group, Inc. | 1,512,000 | 1,572,480 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp. | 3,000,000 | 2,842,500 | ||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | 3,484,000 | 3,196,570 | ||||||
Golden Nugget, Inc. (d) | 869,000 | 901,587 | ||||||
Penske Automotive Group, Inc. | 4,000,000 | 3,930,000 | ||||||
|
| |||||||
12,443,137 | ||||||||
|
| |||||||
Software — 1.0% | ||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc. (d) | 522,000 | 534,398 | ||||||
RP Crown Parent LLC (d) | 1,073,000 | 1,110,555 | ||||||
Veritas US, Inc./Veritas Bermuda Ltd. (d) | 3,598,000 | 3,364,130 | ||||||
|
| |||||||
5,009,083 | ||||||||
|
| |||||||
Telecommunications — 5.4% | ||||||||
Cincinnati Bell, Inc. (d) | 2,077,000 | 1,858,915 | ||||||
GCI, Inc. | 3,000,000 | 3,142,500 | ||||||
Hughes Satellite Systems Corp. | 1,961,000 | 1,921,780 | ||||||
Hughes Satellite Systems Corp. | 1,954,000 | 1,944,230 | ||||||
Sprint Corp. | 1,460,000 | 1,509,275 | ||||||
Sprint Corp. | 1,508,000 | 1,471,356 | ||||||
Sprint Corp. | 7,037,000 | 7,177,740 | ||||||
T-Mobile USA, Inc. | 529,000 | 507,840 | ||||||
T-Mobile USA, Inc. | 815,000 | 783,419 | ||||||
T-Mobile USA, Inc. | 1,125,000 | 1,133,437 | ||||||
T-Mobile USA, Inc. | 951,000 | 990,562 |
The accompanying notes are an integral part of the financial statements.
100
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MassMutual Premier High Yield Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
T-Mobile USA, Inc. | $ | 1,318,000 | $ | 1,400,375 | ||||
Telecom Italia SpA (d) | 2,109,000 | 2,145,907 | ||||||
|
| |||||||
25,987,336 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Mattel, Inc. | 464,000 | 453,560 | ||||||
|
| |||||||
Transportation — 1.8% | ||||||||
The Kenan Advantage Group, Inc. (d) | 6,839,000 | 7,009,975 | ||||||
Watco Cos. LLC/Watco Finance Corp. (d) | 1,822,000 | 1,867,550 | ||||||
|
| |||||||
8,877,525 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $453,384,117) | 443,865,583 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $477,137,285) | 465,915,766 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $478,483,117) | 467,936,909 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 2.9% | ||||||||
Commercial Paper — 1.4% | ||||||||
Amphenol Corp. | 3,250,000 | 3,247,949 | ||||||
Dollar General Corp. | 1,300,000 | 1,299,711 | ||||||
HP, Inc. | 2,000,000 | 1,998,714 | ||||||
|
| |||||||
6,546,374 | ||||||||
|
| |||||||
Time Deposit — 1.5% | ||||||||
Euro Time Deposit | 7,248,161 | 7,248,161 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,795,051) | 13,794,535 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.2% (Cost $492,278,168) | 481,731,444 | |||||||
Less Unfunded Loan Commitments — (1.5)% | (7,177,332 | ) | ||||||
NET INVESTMENTS — 98.7% (Cost $485,100,836) (f) | 474,554,112 | |||||||
Other Assets/(Liabilities) — 1.3% | 6,038,366 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 480,592,478 | ||||||
|
|
Abbreviation Legend
DIP | Debtor In Possession |
STEP | Step Up Bond |
VRN | Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Investment was valued using significant unobservable inputs. |
(b) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2018, these securities amounted to a value of $6,990,999 or 1.45% 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 March 31, 2018. |
(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 March 31, 2018, these securities amounted to a value of $286,063,536 or 59.52% of net assets. |
(e) | A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
(g) | Unfunded or partially unfunded loan commitments. |
Country weightings, as a percentage of net assets, is as follows:
United States | 78.2 | % | ||
Canada | 6.3 | % | ||
Luxembourg | 5.8 | % | ||
Bermuda | 2.2 | % | ||
Netherlands | 1.2 | % | ||
United Kingdom | 1.2 | % | ||
Denmark | 0.8 | % | ||
Ireland | 0.6 | % | ||
Italy | 0.4 | % | ||
Cayman Islands | 0.4 | % | ||
Germany | 0.2 | % | ||
|
| |||
Total Long-Term Investments | 97.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | 2.7 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
101
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 64.4% | ||||||||
COMMON STOCK — 64.3% | ||||||||
Basic Materials — 1.7% | ||||||||
Chemicals — 1.3% | ||||||||
AdvanSix, Inc. (a) | 700 | $ | 24,347 | |||||
Air Products & Chemicals, Inc. | 1,150 | 182,884 | ||||||
Albemarle Corp. | 760 | 70,482 | ||||||
CF Industries Holdings, Inc. | 5,625 | 212,231 | ||||||
The Chemours Co. | 1,588 | 77,351 | ||||||
DowDuPont, Inc. | 460 | 29,307 | ||||||
Eastman Chemical Co. | 894 | 94,389 | ||||||
Huntsman Corp. | 2,900 | 84,825 | ||||||
Ingevity Corp. (a) | 3,100 | 228,439 | ||||||
International Flavors & Fragrances, Inc. | 3 | 411 | ||||||
LyondellBasell Industries NV Class A | 1,500 | 158,520 | ||||||
Monsanto Co. | 969 | 113,073 | ||||||
PPG Industries, Inc. | 8 | 893 | ||||||
Praxair, Inc. | 974 | 140,548 | ||||||
The Sherwin-Williams Co. | 7 | 2,745 | ||||||
|
| |||||||
1,420,445 | ||||||||
|
| |||||||
Forest Products & Paper — 0.0% | ||||||||
International Paper Co. | 607 | 32,432 | ||||||
|
| |||||||
Iron & Steel — 0.0% | ||||||||
Nucor Corp. | 61 | 3,727 | ||||||
|
| |||||||
Mining — 0.4% | ||||||||
Alcoa Corp. (a) | 500 | 22,480 | ||||||
Freeport-McMoRan, Inc. (a) | 10,448 | 183,571 | ||||||
Newmont Mining Corp. | 4,984 | 194,725 | ||||||
|
| |||||||
400,776 | ||||||||
|
| |||||||
1,857,380 | ||||||||
|
| |||||||
Communications — 8.4% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. | 933 | 21,487 | ||||||
Omnicom Group, Inc. | 798 | 57,991 | ||||||
|
| |||||||
79,478 | ||||||||
|
| |||||||
Internet — 5.0% | ||||||||
Alphabet, Inc. Class A (a) | 1,424 | 1,476,887 | ||||||
Alphabet, Inc. Class C (a) | 1,006 | 1,037,981 | ||||||
Amazon.com, Inc. (a) | 536 | 775,774 | ||||||
Booking Holdings, Inc. (a) | 134 | 278,772 | ||||||
eBay, Inc. (a) | 3,165 | 127,360 | ||||||
Expedia Group, Inc. | 743 | 82,035 | ||||||
F5 Networks, Inc. (a) | 950 | 137,380 | ||||||
Facebook, Inc. Class A (a) | 8,850 | 1,414,141 | ||||||
Liberty Expedia Holdings, Inc. Class A (a) | 360 | 14,141 | ||||||
Netflix, Inc. (a) | 232 | 68,521 | ||||||
Symantec Corp. | 79 | 2,042 |
Number of Shares | Value | |||||||
TripAdvisor, Inc. (a) | 43 | $ | 1,758 | |||||
VeriSign, Inc. (a) | 2,379 | 282,054 | ||||||
|
| |||||||
5,698,846 | ||||||||
|
| |||||||
Media — 1.5% | ||||||||
Cable One, Inc. | 158 | 108,563 | ||||||
CBS Corp. Class B | 70 | 3,597 | ||||||
Charter Communications, Inc. Class A (a) | 66 | 20,541 | ||||||
Comcast Corp. Class A | 18,662 | 637,681 | ||||||
Discovery Communications, Inc. Class A (a) | 4,300 | 92,149 | ||||||
Discovery Communications, Inc. Class C (a) | 2,395 | 46,750 | ||||||
DISH Network Corp. Class A (a) | 1,800 | 68,202 | ||||||
News Corp. Class A | 11,930 | 188,494 | ||||||
Time Warner, Inc. | 2,718 | 257,068 | ||||||
Tribune Media Co. Class A | 600 | 24,306 | ||||||
Twenty-First Century Fox, Inc. Class A | 2,921 | 107,172 | ||||||
Twenty-First Century Fox, Inc. Class B | 1,300 | 47,281 | ||||||
Viacom, Inc. Class B | 1,890 | 58,703 | ||||||
The Walt Disney Co. | 2 | 201 | ||||||
|
| |||||||
1,660,708 | ||||||||
|
| |||||||
Telecommunications — 1.8% | ||||||||
AT&T, Inc. | 27,330 | 974,315 | ||||||
CenturyLink, Inc. | 54 | 887 | ||||||
Cisco Systems, Inc. | 19,324 | 828,806 | ||||||
GCI Liberty, Inc. Class A (a) | 540 | 28,545 | ||||||
Juniper Networks, Inc. | 3,848 | 93,622 | ||||||
Motorola Solutions, Inc. | 534 | 56,230 | ||||||
Verizon Communications, Inc. | 1,132 | 54,132 | ||||||
|
| |||||||
2,036,537 | ||||||||
|
| |||||||
9,475,569 | ||||||||
|
| |||||||
Consumer, Cyclical — 5.7% | ||||||||
Airlines — 0.8% | ||||||||
Alaska Air Group, Inc. | 3,200 | 198,272 | ||||||
American Airlines Group, Inc. | 4,300 | 223,428 | ||||||
Delta Air Lines, Inc. | 2,000 | 109,620 | ||||||
Southwest Airlines Co. | 1,566 | 89,701 | ||||||
United Continental Holdings, Inc. (a) | 3,300 | 229,251 | ||||||
|
| |||||||
850,272 | ||||||||
|
| |||||||
Apparel — 0.5% | ||||||||
Hanesbrands, Inc. | 5,800 | 106,836 | ||||||
Michael Kors Holdings Ltd. (a) | 1,100 | 68,288 | ||||||
NIKE, Inc. Class B | 84 | 5,581 | ||||||
Ralph Lauren Corp. | 2,700 | 301,860 | ||||||
VF Corp. | 1,900 | 140,828 | ||||||
|
| |||||||
623,393 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
102
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Auto Manufacturers — 0.4% | ||||||||
Ford Motor Co. | 18,462 | $ | 204,559 | |||||
General Motors Co. | 4,600 | 167,164 | ||||||
PACCAR, Inc. | 1,934 | 127,973 | ||||||
|
| |||||||
499,696 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.2% | ||||||||
Aptiv PLC | 200 | 16,994 | ||||||
BorgWarner, Inc. | 3,300 | 165,759 | ||||||
Delphi Technologies PLC | 66 | 3,145 | ||||||
The Goodyear Tire & Rubber Co. | 1,061 | 28,201 | ||||||
|
| |||||||
214,099 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.1% | ||||||||
Fastenal Co. | 70 | 3,821 | ||||||
W.W. Grainger, Inc. | 494 | 139,442 | ||||||
|
| |||||||
143,263 | ||||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
The Madison Square Garden Co. Class A (a) | 790 | 194,182 | ||||||
|
| |||||||
Home Builders — 0.2% | ||||||||
D.R. Horton, Inc. | 3,159 | 138,491 | ||||||
PulteGroup, Inc. | 2,574 | 75,907 | ||||||
|
| |||||||
214,398 | ||||||||
|
| |||||||
Home Furnishing — 0.0% | ||||||||
Leggett & Platt, Inc. | 95 | 4,214 | ||||||
Whirlpool Corp. | 184 | 28,172 | ||||||
|
| |||||||
32,386 | ||||||||
|
| |||||||
Housewares — 0.0% | ||||||||
Newell Brands, Inc. | 83 | 2,115 | ||||||
|
| |||||||
Leisure Time — 0.2% | ||||||||
Harley-Davidson, Inc. | 5,108 | 219,031 | ||||||
Royal Caribbean Cruises Ltd. | 560 | 65,934 | ||||||
|
| |||||||
284,965 | ||||||||
|
| |||||||
Lodging — 0.5% | ||||||||
Hilton Worldwide Holdings, Inc. | 1,800 | 141,768 | ||||||
Marriott International, Inc. Class A | 2,061 | 280,255 | ||||||
Wyndham Worldwide Corp. | 162 | 18,538 | ||||||
Wynn Resorts Ltd. | 449 | 81,879 | ||||||
|
| |||||||
522,440 | ||||||||
|
| |||||||
Retail — 2.5% | ||||||||
AutoZone, Inc. (a) | 96 | 62,274 | ||||||
Best Buy Co., Inc. | 1,808 | 126,542 | ||||||
Costco Wholesale Corp. | 1,098 | 206,896 | ||||||
Darden Restaurants, Inc. | 373 | 31,798 | ||||||
Dollar Tree, Inc. (a) | 71 | 6,738 | ||||||
Foot Locker, Inc. | 6,100 | 277,794 | ||||||
The Gap, Inc. | 1,705 | 53,196 | ||||||
Genuine Parts Co. | 36 | 3,234 | ||||||
The Home Depot, Inc. | 1,140 | 203,194 | ||||||
Kohl’s Corp. | 961 | 62,955 |
Number of Shares | Value | |||||||
L Brands, Inc. | 600 | $ | 22,926 | |||||
Lowe’s Cos., Inc. | 29 | 2,545 | ||||||
Macy’s, Inc. | 11,340 | 337,252 | ||||||
McDonald’s Corp. | 1,035 | 161,853 | ||||||
Nordstrom, Inc. | 411 | 19,897 | ||||||
O’Reilly Automotive, Inc. (a) | 54 | 13,359 | ||||||
PVH Corp. | 240 | 36,343 | ||||||
Ross Stores, Inc. | 1,392 | 108,548 | ||||||
Signet Jewelers Ltd. | 5,100 | 196,452 | ||||||
Starbucks Corp. | 90 | 5,210 | ||||||
Tapestry, Inc. | 84 | 4,419 | ||||||
Target Corp. | 2,567 | 178,227 | ||||||
Tiffany & Co. | 111 | 10,840 | ||||||
The TJX Cos., Inc. | 1,140 | 92,978 | ||||||
Walgreens Boots Alliance, Inc. | 2,406 | 157,521 | ||||||
Walmart, Inc. | 4,453 | 396,183 | ||||||
Yum! Brands, Inc. | 36 | 3,065 | ||||||
|
| |||||||
2,782,239 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 747 | 62,972 | ||||||
Mattel, Inc. | 61 | 802 | ||||||
|
| |||||||
63,774 | ||||||||
|
| |||||||
6,427,222 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 14.8% | ||||||||
Agriculture — 0.4% | ||||||||
Altria Group, Inc. | 4,041 | 251,835 | ||||||
Archer-Daniels-Midland Co. | 26 | 1,128 | ||||||
Philip Morris International, Inc. | 2,446 | 243,132 | ||||||
|
| |||||||
496,095 | ||||||||
|
| |||||||
Beverages — 0.8% | ||||||||
Brown-Forman Corp. Class B | 2 | 109 | ||||||
The Coca-Cola Co. | 3,324 | 144,361 | ||||||
Constellation Brands, Inc. Class A | 82 | 18,689 | ||||||
Dr. Pepper Snapple Group, Inc. | 210 | 24,860 | ||||||
Molson Coors Brewing Co. Class B | 436 | 32,844 | ||||||
Monster Beverage Corp. (a) | 750 | 42,908 | ||||||
PepsiCo, Inc. | 5,362 | 585,262 | ||||||
|
| |||||||
849,033 | ||||||||
|
| |||||||
Biotechnology — 1.3% | ||||||||
Amgen, Inc. | 3,325 | 566,846 | ||||||
Biogen, Inc. (a) | 524 | 143,482 | ||||||
Celgene Corp. (a) | 2,398 | 213,926 | ||||||
Gilead Sciences, Inc. | 7,252 | 546,728 | ||||||
|
| |||||||
1,470,982 | ||||||||
|
| |||||||
Commercial Services — 1.5% | ||||||||
Automatic Data Processing, Inc. | 621 | 70,471 | ||||||
Cintas Corp. | 449 | 76,590 | ||||||
Ecolab, Inc. | 4 | 548 | ||||||
Equifax, Inc. | 216 | 25,447 | ||||||
H&R Block, Inc. | 4,342 | 110,330 |
The accompanying notes are an integral part of the financial statements.
103
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Moody’s Corp. | 325 | $ | 52,423 | |||||
PayPal Holdings, Inc. (a) | 4,565 | 346,347 | ||||||
Quanta Services, Inc. (a) | 24 | 824 | ||||||
Robert Half International, Inc. | 1,835 | 106,228 | ||||||
S&P Global, Inc. | 819 | 156,478 | ||||||
Total System Services, Inc. | 3,721 | 320,974 | ||||||
United Rentals, Inc. (a) | 1,060 | 183,094 | ||||||
The Western Union Co. | 11,307 | 217,434 | ||||||
|
| |||||||
1,667,188 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.0% | ||||||||
Colgate-Palmolive Co. | 906 | 64,942 | ||||||
The Estee Lauder Cos., Inc. Class A | 1,726 | 258,417 | ||||||
The Procter & Gamble Co. | 10,033 | 795,416 | ||||||
|
| |||||||
1,118,775 | ||||||||
|
| |||||||
Foods — 0.9% | ||||||||
Campbell Soup Co. | 1,265 | 54,787 | ||||||
Conagra Brands, Inc. | 8,834 | 325,798 | ||||||
General Mills, Inc. | 294 | 13,248 | ||||||
The Hershey Co. | 419 | 41,464 | ||||||
Hormel Foods Corp. | 2,288 | 78,524 | ||||||
The J.M. Smucker Co. | 724 | 89,783 | ||||||
Kellogg Co. | 135 | 8,776 | ||||||
The Kraft Heinz Co. | 173 | 10,776 | ||||||
The Kroger Co. | 5,068 | 121,328 | ||||||
Lamb Weston Holdings, Inc. | 3,316 | 193,058 | ||||||
McCormick & Co., Inc. | 73 | 7,767 | ||||||
Mondelez International, Inc. Class A | 21 | 876 | ||||||
Sysco Corp. | 866 | 51,925 | ||||||
Tyson Foods, Inc. Class A | 720 | 52,697 | ||||||
|
| |||||||
1,050,807 | ||||||||
|
| |||||||
Health Care – Products — 2.0% | ||||||||
Abbott Laboratories | 4,689 | 280,965 | ||||||
Align Technology, Inc. (a) | 360 | 90,407 | ||||||
Baxter International, Inc. | 5,422 | 352,647 | ||||||
Becton, Dickinson & Co. | 838 | 181,595 | ||||||
Boston Scientific Corp. (a) | 6,721 | 183,618 | ||||||
The Cooper Cos., Inc. | 190 | 43,474 | ||||||
Danaher Corp. | 1,972 | 193,078 | ||||||
DENTSPLY SIRONA, Inc. | 61 | 3,069 | ||||||
Edwards Lifesciences Corp. (a) | 540 | 75,341 | ||||||
Hologic, Inc. (a) | 200 | 7,472 | ||||||
Intuitive Surgical, Inc. (a) | 42 | 17,339 | ||||||
Medtronic PLC | 5,216 | 418,427 | ||||||
Patterson Cos., Inc. | 61 | 1,356 | ||||||
Stryker Corp. | 49 | 7,885 | ||||||
Thermo Fisher Scientific, Inc. | 578 | 119,334 | ||||||
Varex Imaging Corp. (a) | 2,600 | 93,028 | ||||||
Varian Medical Systems, Inc. (a) | 674 | 82,666 | ||||||
West Pharmaceutical Services, Inc. | 900 | 79,461 | ||||||
Zimmer Biomet Holdings, Inc. | 364 | 39,690 | ||||||
|
| |||||||
2,270,852 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Services — 1.6% | ||||||||
Aetna, Inc. | 902 | $ | 152,438 | |||||
Anthem, Inc. | 878 | 192,897 | ||||||
Centene Corp. (a) | 2,500 | 267,175 | ||||||
Cigna Corp. | 969 | 162,540 | ||||||
DaVita, Inc. (a) | 446 | 29,409 | ||||||
HCA Healthcare, Inc. | 400 | 38,800 | ||||||
Humana, Inc. | 225 | 60,487 | ||||||
Laboratory Corp. of America Holdings (a) | 1 | 162 | ||||||
Quest Diagnostics, Inc. | 635 | 63,690 | ||||||
UnitedHealth Group, Inc. | 3,931 | 841,234 | ||||||
Universal Health Services, Inc. Class B | 10 | 1,184 | ||||||
|
| |||||||
1,810,016 | ||||||||
|
| |||||||
Household Products & Wares — 0.3% | ||||||||
Avery Dennison Corp. | 982 | 104,337 | ||||||
The Clorox Co. | 547 | 72,811 | ||||||
Kimberly-Clark Corp. | 1,120 | 123,346 | ||||||
|
| |||||||
300,494 | ||||||||
|
| |||||||
Pharmaceuticals — 5.0% | ||||||||
AbbVie, Inc. | 8,704 | 823,834 | ||||||
Allergan PLC | 1,189 | 200,097 | ||||||
AmerisourceBergen Corp. | 230 | 19,828 | ||||||
Bristol-Myers Squibb Co. | 3,112 | 196,834 | ||||||
Cardinal Health, Inc. | 2,255 | 141,343 | ||||||
CVS Health Corp. | 2,703 | 168,154 | ||||||
Eli Lilly & Co. | 2,407 | 186,229 | ||||||
Express Scripts Holding Co. (a) | 3,445 | 237,981 | ||||||
Johnson & Johnson | 8,449 | 1,082,739 | ||||||
McKesson Corp. | 1,091 | 153,689 | ||||||
Merck & Co., Inc. | 7,829 | 426,446 | ||||||
Mylan NV (a) | 4,759 | 195,928 | ||||||
Perrigo Co. PLC | 3,000 | 250,020 | ||||||
Pfizer, Inc. | 27,522 | 976,756 | ||||||
Zoetis, Inc. | 6,510 | 543,650 | ||||||
|
| |||||||
5,603,528 | ||||||||
|
| |||||||
16,637,770 | ||||||||
|
| |||||||
Energy — 2.6% | ||||||||
Oil & Gas — 2.4% | ||||||||
Anadarko Petroleum Corp. | 97 | 5,860 | ||||||
Andeavor | 376 | 37,811 | ||||||
Apache Corp. | 98 | 3,771 | ||||||
Cabot Oil & Gas Corp. | 92 | 2,206 | ||||||
Chesapeake Energy Corp. (a) | 98 | 296 | ||||||
Chevron Corp. | 2,590 | 295,364 | ||||||
ConocoPhillips | 10 | 593 | ||||||
Devon Energy Corp. | 6,317 | 200,817 | ||||||
EOG Resources, Inc. | 2 | 210 | ||||||
EQT Corp. | 29 | 1,378 | ||||||
Exxon Mobil Corp. | 9,449 | 704,990 |
The accompanying notes are an integral part of the financial statements.
104
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Helmerich & Payne, Inc. | 40 | $ | 2,662 | |||||
Hess Corp. | 47 | 2,379 | ||||||
Marathon Oil Corp. | 15,685 | 252,999 | ||||||
Marathon Petroleum Corp. | 5,564 | 406,784 | ||||||
Murphy USA, Inc. (a) | 1,426 | 103,813 | ||||||
Newfield Exploration Co. (a) | 2,100 | 51,282 | ||||||
Noble Energy, Inc. | 66 | 2,000 | ||||||
Occidental Petroleum Corp. | 1,930 | 125,373 | ||||||
Phillips 66 | 705 | 67,624 | ||||||
Pioneer Natural Resources Co. | 3 | 515 | ||||||
Range Resources Corp. | 99 | 1,439 | ||||||
Valero Energy Corp. | 4,210 | 390,562 | ||||||
|
| |||||||
2,660,728 | ||||||||
|
| |||||||
Oil & Gas Services — 0.2% | ||||||||
Baker Hughes a GE Co. | 74 | 2,055 | ||||||
Halliburton Co. | 2,671 | 125,377 | ||||||
National Oilwell Varco, Inc. | 1,009 | 37,141 | ||||||
Schlumberger Ltd. | 687 | 44,504 | ||||||
TechnipFMC PLC | 1,272 | 37,460 | ||||||
|
| |||||||
246,537 | ||||||||
|
| |||||||
Pipelines — 0.0% | ||||||||
Kinder Morgan, Inc. | 60 | 904 | ||||||
The Williams Cos., Inc. | 33 | 820 | ||||||
|
| |||||||
1,724 | ||||||||
|
| |||||||
2,908,989 | ||||||||
|
| |||||||
Financial — 12.2% | ||||||||
Banks — 6.2% | ||||||||
Bank of America Corp. | 38,842 | 1,164,872 | ||||||
The Bank of New York Mellon Corp. | 4,395 | 226,474 | ||||||
BB&T Corp. | 512 | 26,644 | ||||||
Capital One Financial Corp. | 2,075 | 198,826 | ||||||
Citigroup, Inc. | 12,584 | 849,420 | ||||||
Citizens Financial Group, Inc. | 8,600 | 361,028 | ||||||
Comerica, Inc. | 1,324 | 127,011 | ||||||
Fifth Third Bancorp | 9,921 | 314,992 | ||||||
The Goldman Sachs Group, Inc. | 1,898 | 478,030 | ||||||
Huntington Bancshares, Inc. | 1,110 | 16,761 | ||||||
JP Morgan Chase & Co. | 14,365 | 1,579,719 | ||||||
KeyCorp | 4,872 | 95,248 | ||||||
M&T Bank Corp. | 281 | 51,805 | ||||||
Morgan Stanley | 9,196 | 496,216 | ||||||
Northern Trust Corp. | 161 | 16,604 | ||||||
The PNC Financial Services Group, Inc. | 1,945 | 294,162 | ||||||
Regions Financial Corp. | 4,943 | 91,841 | ||||||
State Street Corp. | 1,785 | 178,018 | ||||||
SunTrust Banks, Inc. | 2,500 | 170,100 | ||||||
US Bancorp | 1,129 | 57,015 | ||||||
Wells Fargo & Co. | 2,664 | 139,620 | ||||||
Zions Bancorp | 649 | 34,222 | ||||||
|
| |||||||
6,968,628 | ||||||||
|
|
Number of Shares | Value | |||||||
Diversified Financial Services — 2.3% | ||||||||
Alliance Data Systems Corp. | 130 | $ | 27,672 | |||||
American Express Co. | 3,488 | 325,361 | ||||||
Ameriprise Financial, Inc. | 1,065 | 157,556 | ||||||
BlackRock, Inc. | 470 | 254,608 | ||||||
The Charles Schwab Corp. | 722 | 37,703 | ||||||
CME Group, Inc. | 5 | 809 | ||||||
Discover Financial Services | 295 | 21,219 | ||||||
E*TRADE Financial Corp. (a) | 1,893 | 104,891 | ||||||
Franklin Resources, Inc. | 948 | 32,877 | ||||||
Intercontinental Exchange, Inc. | 10 | 725 | ||||||
Invesco Ltd. | 5,523 | 176,791 | ||||||
Mastercard, Inc. Class A | 2,630 | 460,671 | ||||||
Nasdaq, Inc. | 22 | 1,897 | ||||||
Navient Corp. | 21,118 | 277,068 | ||||||
Raymond James Financial, Inc. | 800 | 71,528 | ||||||
Synchrony Financial | 5,800 | 194,474 | ||||||
T. Rowe Price Group, Inc. | 1,886 | 203,631 | ||||||
Visa, Inc. Class A | 1,730 | 206,943 | ||||||
|
| |||||||
2,556,424 | ||||||||
|
| |||||||
Insurance — 2.6% | ||||||||
Aflac, Inc. | 4,490 | 196,482 | ||||||
The Allstate Corp. | 1,786 | 169,313 | ||||||
American International Group, Inc. | 11 | 599 | ||||||
Aon PLC | 706 | 99,073 | ||||||
Assurant, Inc. | 790 | 72,214 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 2,003 | 399,558 | ||||||
Brighthouse Financial, Inc. (a) | 29 | 1,491 | ||||||
Chubb Ltd. | 1,114 | 152,362 | ||||||
Cincinnati Financial Corp. | 724 | 53,764 | ||||||
Everest Re Group Ltd. | 450 | 115,569 | ||||||
The Hartford Financial Services Group, Inc. | 890 | 45,853 | ||||||
Lincoln National Corp. | 3,358 | 245,335 | ||||||
Loews Corp. | 3,034 | 150,881 | ||||||
Marsh & McLennan Cos., Inc. | 1,230 | 101,586 | ||||||
MetLife, Inc. | 4,729 | 217,014 | ||||||
Principal Financial Group, Inc. | 1,235 | 75,224 | ||||||
The Progressive Corp. | 1,634 | 99,560 | ||||||
Prudential Financial, Inc. | 2,295 | 237,647 | ||||||
Torchmark Corp. | 480 | 40,402 | ||||||
The Travelers Cos., Inc. | 1,103 | 153,162 | ||||||
Unum Group | 5,535 | 263,521 | ||||||
XL Group Ltd. | 597 | 32,990 | ||||||
|
| |||||||
2,923,600 | ||||||||
|
| |||||||
Investment Companies — 0.0% | ||||||||
Leucadia National Corp. | 36 | 818 | ||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
CBRE Group, Inc. Class A (a) | 3,598 | 169,898 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.9% | ||||||||
American Tower Corp. | 18 | 2,616 |
The accompanying notes are an integral part of the financial statements.
105
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Apartment Investment & Management Co. Class A | 164 | $ | 6,683 | |||||
AvalonBay Communities, Inc. | 424 | 69,731 | ||||||
Boston Properties, Inc. | 7 | 863 | ||||||
Crown Castle International Corp. | 400 | 43,844 | ||||||
Digital Realty Trust, Inc. | 50 | 5,269 | ||||||
Duke Realty Corp. | 6,600 | 174,768 | ||||||
Equinix, Inc. | 20 | 8,363 | ||||||
Equity Residential | 1 | 62 | ||||||
Essex Property Trust, Inc. | 300 | 72,204 | ||||||
Extra Space Storage, Inc. | 800 | 69,888 | ||||||
Federal Realty Investment Trust | 510 | 59,216 | ||||||
Four Corners Property Trust, Inc. | 3,200 | 73,888 | ||||||
GGP, Inc. | 100 | 2,046 | ||||||
HCP, Inc. | 676 | 15,703 | ||||||
Host Hotels & Resorts, Inc. | 4,130 | 76,983 | ||||||
Iron Mountain, Inc. | 73 | 2,399 | ||||||
Kimco Realty Corp. | 510 | 7,344 | ||||||
Mid-America Apartment Communities, Inc. | 10 | 912 | ||||||
Prologis, Inc. | 216 | 13,606 | ||||||
Public Storage | 27 | 5,411 | ||||||
Simon Property Group, Inc. | 94 | 14,509 | ||||||
Ventas, Inc. | 4,136 | 204,856 | ||||||
Vornado Realty Trust | 265 | 17,834 | ||||||
Welltower, Inc. | 374 | 20,357 | ||||||
Weyerhaeuser Co. | 2,993 | 104,755 | ||||||
|
| |||||||
1,074,110 | ||||||||
|
| |||||||
Savings & Loans — 0.1% | ||||||||
People’s United Financial, Inc. | 3,659 | 68,277 | ||||||
|
| |||||||
13,761,755 | ||||||||
|
| |||||||
Industrial — 5.9% | ||||||||
Aerospace & Defense — 1.3% | ||||||||
Arconic, Inc. | 15 | 346 | ||||||
The Boeing Co. | 2,426 | 795,437 | ||||||
General Dynamics Corp. | 88 | 19,439 | ||||||
Harris Corp. | 154 | 24,837 | ||||||
KLX, Inc. (a) | 2,900 | 206,074 | ||||||
L3 Technologies, Inc. | 44 | 9,152 | ||||||
Lockheed Martin Corp. | 241 | 81,441 | ||||||
Northrop Grumman Corp. | 653 | 227,975 | ||||||
Raytheon Co. | 136 | 29,352 | ||||||
Rockwell Collins, Inc. | 7 | 944 | ||||||
United Technologies Corp. | 212 | 26,674 | ||||||
|
| |||||||
1,421,671 | ||||||||
|
| |||||||
Building Materials — 0.0% | ||||||||
Johnson Controls International PLC | 26 | 916 | ||||||
Masco Corp. | 94 | 3,802 | ||||||
Vulcan Materials Co. | 8 | 913 | ||||||
|
| |||||||
5,631 | ||||||||
|
|
Number of Shares | Value | |||||||
Electrical Components & Equipment — 0.3% | ||||||||
AMETEK, Inc. | 3,700 | $ | 281,089 | |||||
Emerson Electric Co. | 943 | 64,407 | ||||||
|
| |||||||
345,496 | ||||||||
|
| |||||||
Electronics — 1.2% | ||||||||
Agilent Technologies, Inc. | 773 | 51,714 | ||||||
Allegion PLC | 2,500 | 213,225 | ||||||
Amphenol Corp. Class A | 672 | 57,879 | ||||||
Corning, Inc. | 1,074 | 29,943 | ||||||
FLIR Systems, Inc. | 435 | 21,754 | ||||||
Fortive Corp. | 2,736 | 212,095 | ||||||
Garmin Ltd. | 400 | 23,572 | ||||||
Honeywell International, Inc. | 2,215 | 320,090 | ||||||
PerkinElmer, Inc. | 1,524 | 115,397 | ||||||
TE Connectivity Ltd. | 2,100 | 209,790 | ||||||
Waters Corp. (a) | 300 | 59,595 | ||||||
|
| |||||||
1,315,054 | ||||||||
|
| |||||||
Engineering & Construction — 0.3% | ||||||||
Fluor Corp. | 2,447 | 140,017 | ||||||
Jacobs Engineering Group, Inc. | 3,924 | 232,105 | ||||||
|
| |||||||
372,122 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Republic Services, Inc. | 87 | 5,762 | ||||||
Stericycle, Inc. (a) | 87 | 5,092 | ||||||
Waste Management, Inc. | 345 | 29,022 | ||||||
|
| |||||||
39,876 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.0% | ||||||||
Snap-on, Inc. | 5 | 738 | ||||||
Stanley Black & Decker, Inc. | 2 | 306 | ||||||
|
| |||||||
1,044 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.4% | ||||||||
Caterpillar, Inc. | 3,020 | 445,088 | ||||||
|
| |||||||
Machinery – Diversified — 0.5% | ||||||||
Cummins, Inc. | 1,593 | 258,209 | ||||||
Deere & Co. | 901 | 139,943 | ||||||
Flowserve Corp. | 91 | 3,943 | ||||||
Rockwell Automation, Inc. | 76 | 13,239 | ||||||
Roper Technologies, Inc. | 434 | 121,820 | ||||||
Xylem, Inc. | 701 | 53,921 | ||||||
|
| |||||||
591,075 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.3% | ||||||||
3M Co. | 1,655 | 363,305 | ||||||
Dover Corp. | 803 | 78,871 | ||||||
Eaton Corp. PLC | 1,982 | 158,382 | ||||||
General Electric Co. | 86 | 1,159 | ||||||
Illinois Tool Works, Inc. | 2,180 | 341,519 | ||||||
Ingersoll-Rand PLC | 1,500 | 128,265 | ||||||
Parker-Hannifin Corp. | 1,230 | 210,367 | ||||||
Pentair PLC | 2,600 | 177,138 |
The accompanying notes are an integral part of the financial statements.
106
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Textron, Inc. | 685 | $ | 40,394 | |||||
|
| |||||||
1,499,400 | ||||||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Ball Corp. | 40 | 1,588 | ||||||
Packaging Corp. of America | 110 | 12,397 | ||||||
Sealed Air Corp. | 47 | 2,011 | ||||||
WestRock Co. | 1,405 | 90,159 | ||||||
|
| |||||||
106,155 | ||||||||
|
| |||||||
Transportation — 0.4% | ||||||||
C.H. Robinson Worldwide, Inc. | 254 | 23,802 | ||||||
CSX Corp. | 573 | 31,922 | ||||||
Expeditors International of Washington, Inc. | 84 | 5,317 | ||||||
FedEx Corp. | 6 | 1,441 | ||||||
Norfolk Southern Corp. | 983 | 133,472 | ||||||
Union Pacific Corp. | 1,640 | 220,465 | ||||||
United Parcel Service, Inc. Class B | 125 | 13,082 | ||||||
|
| |||||||
429,501 | ||||||||
|
| |||||||
6,572,113 | ||||||||
|
| |||||||
Technology — 11.4% | ||||||||
Computers — 4.5% | ||||||||
Accenture PLC Class A | 330 | 50,655 | ||||||
Apple, Inc. | 17,486 | 2,933,801 | ||||||
Cognizant Technology Solutions Corp. Class A | 1,518 | 122,199 | ||||||
CSRA, Inc. | 475 | 19,584 | ||||||
DXC Technology Co. | 4,145 | 416,697 | ||||||
Hewlett Packard Enterprise Co. | 16,063 | 281,745 | ||||||
HP, Inc. | 3,163 | 69,333 | ||||||
International Business Machines Corp. | 2,230 | 342,149 | ||||||
Lumentum Holdings, Inc. (a) | 1,200 | 76,560 | ||||||
NetApp, Inc. | 3,609 | 222,639 | ||||||
Seagate Technology PLC | 2,600 | 152,152 | ||||||
Western Digital Corp. | 3,820 | 352,472 | ||||||
|
| |||||||
5,039,986 | ||||||||
|
| |||||||
Office & Business Equipment — 0.2% | ||||||||
Xerox Corp. | 8,143 | 234,355 | ||||||
|
| |||||||
Semiconductors — 2.6% | ||||||||
Analog Devices, Inc. | 217 | 19,775 | ||||||
Applied Materials, Inc. | 6,167 | 342,947 | ||||||
Broadcom Ltd. | 34 | 8,012 | ||||||
Intel Corp. | 11,511 | 599,493 | ||||||
KLA-Tencor Corp. | 2,998 | 326,812 | ||||||
Lam Research Corp. | 1,563 | 317,539 | ||||||
Microchip Technology, Inc. | 1,924 | 175,777 | ||||||
Micron Technology, Inc. (a) | 4,433 | 231,136 | ||||||
NVIDIA Corp. | 635 | 147,060 | ||||||
QUALCOMM, Inc. | 5,088 | 281,926 | ||||||
Skyworks Solutions, Inc. | 890 | 89,231 |
Number of Shares | Value | |||||||
Texas Instruments, Inc. | 3,345 | $ | 347,512 | |||||
Xilinx, Inc. | 561 | 40,527 | ||||||
|
| |||||||
2,927,747 | ||||||||
|
| |||||||
Software — 4.1% | ||||||||
Activision Blizzard, Inc. | 3,500 | 236,110 | ||||||
Adobe Systems, Inc. (a) | 1,845 | 398,668 | ||||||
Akamai Technologies, Inc. (a) | 10 | 710 | ||||||
ANSYS, Inc. (a) | 350 | 54,842 | ||||||
Autodesk, Inc. (a) | 47 | 5,902 | ||||||
CA, Inc. | 2,285 | 77,461 | ||||||
Cadence Design Systems, Inc. (a) | 4,800 | 176,496 | ||||||
Citrix Systems, Inc. (a) | 45 | 4,176 | ||||||
Electronic Arts, Inc. (a) | 136 | 16,489 | ||||||
Fidelity National Information Services, Inc. | 860 | 82,818 | ||||||
Fiserv, Inc. (a) | 588 | 41,930 | ||||||
Intuit, Inc. | 1,409 | 244,250 | ||||||
Microsoft Corp. | 24,841 | 2,267,238 | ||||||
Oracle Corp. | 12,688 | 580,476 | ||||||
Paychex, Inc. | 13 | 801 | ||||||
Red Hat, Inc. (a) | 2,244 | 335,500 | ||||||
salesforce.com, Inc. (a) | 180 | 20,934 | ||||||
Synopsys, Inc. (a) | 100 | 8,324 | ||||||
|
| |||||||
4,553,125 | ||||||||
|
| |||||||
12,755,213 | ||||||||
|
| |||||||
Utilities — 1.6% | ||||||||
Electric — 1.6% | ||||||||
AES Corp. | 8,277 | 94,110 | ||||||
Ameren Corp. | 1,072 | 60,707 | ||||||
American Electric Power Co., Inc. | 296 | 20,303 | ||||||
CenterPoint Energy, Inc. | 3,535 | 96,859 | ||||||
CMS Energy Corp. | 1,110 | 50,272 | ||||||
Consolidated Edison, Inc. | 909 | 70,847 | ||||||
Dominion Energy, Inc. | 362 | 24,410 | ||||||
DTE Energy Co. | 452 | 47,189 | ||||||
Duke Energy Corp. | 686 | 53,144 | ||||||
Edison International | 2,534 | 161,314 | ||||||
Entergy Corp. | 3,111 | 245,085 | ||||||
Eversource Energy | 622 | 36,648 | ||||||
Exelon Corp. | 2,923 | 114,026 | ||||||
FirstEnergy Corp. | 6,566 | 223,310 | ||||||
NextEra Energy, Inc. | 456 | 74,478 | ||||||
NRG Energy, Inc. | 220 | 6,717 | ||||||
PG&E Corp. | 2,123 | 93,263 | ||||||
Pinnacle West Capital Corp. | 250 | 19,950 | ||||||
PPL Corp. | 784 | 22,179 | ||||||
Public Service Enterprise Group, Inc. | 1,209 | 60,740 | ||||||
SCANA Corp. | 1,072 | 40,254 | ||||||
Sempra Energy | 332 | 36,925 | ||||||
The Southern Co. | 1,234 | 55,110 | ||||||
WEC Energy Group, Inc. | 364 | 22,823 |
The accompanying notes are an integral part of the financial statements.
107
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Xcel Energy, Inc. | 1,145 | $ | 52,075 | |||||
|
| |||||||
1,782,738 | ||||||||
|
| |||||||
Gas — 0.0% | ||||||||
NiSource, Inc. | 172 | 4,113 | ||||||
ONE Gas, Inc. | 600 | 39,612 | ||||||
|
| |||||||
43,725 | ||||||||
|
| |||||||
1,826,463 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost 62,646,627) | 72,222,474 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Financial — 0.1% | ||||||||
Insurance — 0.1% | ||||||||
The Allstate Corp., | 5,000 | 133,550 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $125,000) | 133,550 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $62,771,627) | 72,356,024 | |||||||
|
| |||||||
Principal Amount | ||||||||
BONDS & NOTES — 25.3% | ||||||||
CORPORATE DEBT — 9.3% | ||||||||
Aerospace & Defense — 0.0% | ||||||||
United Technologies Corp. | $ | 15,000 | 18,508 | |||||
|
| |||||||
Agriculture — 0.0% | ||||||||
Bunge Ltd. Finance Corp. | 30,000 | 30,103 | ||||||
|
| |||||||
Airlines — 0.3% | ||||||||
American Airlines Group, Inc. (b) | 202,000 | 206,677 | ||||||
American Airlines Pass-Through Trust, Series 2014-1, Class B | 11,067 | 11,106 | ||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | 76,232 | 76,079 | ||||||
WestJet Airlines Ltd. (b) | 22,000 | 21,910 | ||||||
|
| |||||||
315,772 | ||||||||
|
| |||||||
Auto Manufacturers — 0.3% | ||||||||
Ford Motor Co. | 15,000 | 14,669 | ||||||
General Motors Co. | 30,000 | 29,358 |
Principal Amount | Value | |||||||
General Motors Co. | $ | 20,000 | $ | 19,936 | ||||
General Motors Financial Co., Inc. | 80,000 | 79,786 | ||||||
General Motors Financial Co., Inc. | 75,000 | 72,407 | ||||||
Hyundai Capital America (b) | 40,000 | 39,890 | ||||||
Hyundai Capital America (b) | 30,000 | 29,999 | ||||||
|
| |||||||
286,045 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.0% | ||||||||
Lear Corp. | 20,000 | 20,975 | ||||||
|
| |||||||
Banks — 0.9% | ||||||||
Associated Banc-Corp. | 110,000 | 109,448 | ||||||
Bank of America Corp. | 60,000 | 59,481 | ||||||
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN | 25,000 | 25,524 | ||||||
Bank of America Corp. | 45,000 | 47,576 | ||||||
Bank of America Corp. | 20,000 | 27,691 | ||||||
Bank of Montreal VRN (c) | 35,000 | 33,158 | ||||||
The Bank of Nova Scotia | 40,000 | 40,835 | ||||||
The Bank of Nova Scotia VRN (c) | 60,000 | 56,625 | ||||||
Citigroup, Inc. | 75,000 | 81,203 | ||||||
Citigroup, Inc. | 20,000 | 24,653 | ||||||
Citigroup, Inc. | 15,000 | 22,715 | ||||||
Fulton Financial Corp. | 45,000 | 44,561 | ||||||
The Goldman Sachs Group, Inc. VRN (c) | 40,000 | 39,211 | ||||||
The Goldman Sachs Group, Inc. | 80,000 | 89,417 | ||||||
JP Morgan Chase & Co. | 10,000 | 9,873 | ||||||
JP Morgan Chase & Co. | 30,000 | 28,766 | ||||||
JP Morgan Chase & Co. | 45,000 | 54,420 | ||||||
Morgan Stanley | 30,000 | 30,214 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Regions Bank | $ | 30,000 | $ | 30,167 | ||||
SVB Financial Group | 85,000 | 83,054 | ||||||
SVB Financial Group | 15,000 | 15,812 | ||||||
Valley National Bancorp | 50,000 | 52,724 | ||||||
Wells Fargo & Co. | 14,000 | 15,457 | ||||||
Wells Fargo & Co. | 15,000 | 17,199 | ||||||
|
| |||||||
1,039,784 | ||||||||
|
| |||||||
Beverages — 0.1% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 95,000 | 102,459 | ||||||
Molson Coors Brewing Co. | 15,000 | 14,178 | ||||||
|
| |||||||
116,637 | ||||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
Amgen, Inc. | 15,000 | 16,673 | ||||||
Baxalta, Inc. | 35,000 | 38,220 | ||||||
Celgene Corp. | 45,000 | 42,657 | ||||||
Celgene Corp. | 30,000 | 28,558 | ||||||
|
| |||||||
126,108 | ||||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
Standard Industries, Inc. (b) | 81,000 | 78,626 | ||||||
Standard Industries, Inc. (b) | 38,000 | 38,475 | ||||||
Standard Industries, Inc. (b) | 32,000 | 33,120 | ||||||
|
| |||||||
150,221 | ||||||||
|
| |||||||
Chemicals — 0.1% | ||||||||
Ashland, Inc. | 11,000 | 11,880 | ||||||
Incitec Pivot Finance LLC (b) | 30,000 | 31,324 | ||||||
Monsanto Co. | 20,000 | 19,452 | ||||||
The Mosaic Co. | 4,000 | 3,916 | ||||||
The Mosaic Co. | 30,000 | 29,259 | ||||||
RPM International, Inc. | 20,000 | 19,485 |
Principal Amount | Value | |||||||
The Sherwin-Williams Co. | $ | 20,000 | $ | 19,908 | ||||
|
| |||||||
135,224 | ||||||||
|
| |||||||
Commercial Services — 0.1% | ||||||||
The ADT Corp. | 110,000 | 114,675 | ||||||
|
| |||||||
Computers — 0.1% | ||||||||
Dell International LLC/EMC Corp. (b) | 15,000 | 16,154 | ||||||
DXC Technology Co. | 50,000 | 51,871 | ||||||
|
| |||||||
68,025 | ||||||||
|
| |||||||
Diversified Financial Services — 0.9% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 105,000 | 107,555 | ||||||
Affiliated Managers Group, Inc. | 70,000 | 68,635 | ||||||
Aircastle Ltd. | 50,000 | 51,563 | ||||||
Ally Financial, Inc. | 120,000 | 120,924 | ||||||
Ares Finance Co. LLC (b) | 85,000 | 82,584 | ||||||
Brookfield Finance LLC | 80,000 | 80,589 | ||||||
Discover Financial Services | 50,000 | 49,598 | ||||||
Genpact Luxembourg Sarl (b) | 65,000 | 63,787 | ||||||
High Street Funding Trust I (b) | 145,000 | 145,781 | ||||||
Lazard Group LLC | 34,000 | 33,067 | ||||||
Lazard Group LLC | 90,000 | 92,504 | ||||||
Legg Mason, Inc. | 35,000 | 38,002 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (b) | 30,000 | 30,442 | ||||||
|
| |||||||
965,031 | ||||||||
|
| |||||||
Electric — 0.4% | ||||||||
The Cleveland Electric Illuminating Co. (b) | 25,000 | 23,899 | ||||||
CMS Energy Corp. | 25,000 | 26,255 | ||||||
Duke Energy Corp. | 35,000 | 31,569 | ||||||
Entergy Louisiana LLC | 40,000 | 40,889 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Florida Power & Light Co. | $ | 25,000 | $ | 28,460 | ||||
IPALCO Enterprises, Inc. | 115,000 | 115,011 | ||||||
IPALCO Enterprises, Inc. | 25,000 | 24,477 | ||||||
Nevada Power Co., Series N | 20,000 | 26,742 | ||||||
Pennsylvania Electric Co. (b) | 70,000 | 71,321 | ||||||
Progress Energy, Inc. | 5,000 | 6,502 | ||||||
Puget Energy, Inc. | 5,000 | 4,958 | ||||||
Xcel Energy, Inc. | 60,000 | 77,780 | ||||||
|
| |||||||
477,863 | ||||||||
|
| |||||||
Electronics — 0.2% | ||||||||
Arrow Electronics, Inc. | 25,000 | 23,831 | ||||||
Arrow Electronics, Inc. | 60,000 | 59,540 | ||||||
Arrow Electronics, Inc. | 25,000 | 24,219 | ||||||
Arrow Electronics, Inc. | 10,000 | 10,293 | ||||||
Avnet, Inc. | 5,000 | 4,995 | ||||||
Avnet, Inc. | 23,000 | 23,816 | ||||||
FLIR Systems, Inc. | 35,000 | 34,667 | ||||||
Tech Data Corp. | 25,000 | 24,822 | ||||||
|
| |||||||
206,183 | ||||||||
|
| |||||||
Engineering & Construction — 0.1% | ||||||||
SBA Tower Trust (b) | 40,000 | 39,396 | ||||||
SBA Tower Trust (b) | 90,000 | 88,724 | ||||||
|
| |||||||
128,120 | ||||||||
|
| |||||||
Foods — 0.0% | ||||||||
Kraft Heinz Foods Co. | 45,000 | 41,537 | ||||||
|
| |||||||
Gas — 0.0% | ||||||||
CenterPoint Energy Resources Corp. | 35,000 | 42,161 | ||||||
|
| |||||||
Health Care – Products — 0.1% | ||||||||
Abbott Laboratories | 20,000 | 21,929 |
Principal Amount | Value | |||||||
Becton Dickinson & Co. | $ | 40,000 | $ | 38,500 | ||||
Becton Dickinson & Co. | 25,000 | 25,166 | ||||||
|
| |||||||
85,595 | ||||||||
|
| |||||||
Health Care – Services — 0.1% | ||||||||
Humana, Inc. | 45,000 | 44,726 | ||||||
Humana, Inc. | 25,000 | 25,787 | ||||||
UnitedHealth Group, Inc. | 20,000 | 27,476 | ||||||
|
| |||||||
97,989 | ||||||||
|
| |||||||
Household Products & Wares — 0.0% | ||||||||
Church & Dwight Co., Inc. | 10,000 | 9,453 | ||||||
|
| |||||||
Insurance — 0.9% | ||||||||
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN | 70,000 | 73,325 | ||||||
American International Group, Inc. | 40,000 | 40,538 | ||||||
American International Group, Inc. | 25,000 | 24,676 | ||||||
American International Group, Inc. | 15,000 | 15,450 | ||||||
American International Group, Inc. VRN (c) | 30,000 | 30,390 | ||||||
AmTrust Financial Services, Inc. | 75,000 | 72,427 | ||||||
Arch Capital Finance LLC | 30,000 | 33,159 | ||||||
Athene Holding Ltd. | 80,000 | 76,769 | ||||||
AXIS Specialty Finance PLC | 20,000 | 19,956 | ||||||
AXIS Specialty Finance PLC | 40,000 | 38,578 | ||||||
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN | 21,000 | 20,994 | ||||||
CNA Financial Corp. | 25,000 | 23,757 | ||||||
CNO Financial Group, Inc. | 60,000 | 60,375 | ||||||
CNO Financial Group, Inc. | 72,000 | 71,640 | ||||||
Enstar Group Ltd. | 25,000 | 25,113 | ||||||
Reinsurance Group of America, Inc. | 65,000 | 64,336 |
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Trinity Acquisition PLC | $ | 40,000 | $ | 39,946 | ||||
Trinity Acquisition PLC | 10,000 | 10,133 | ||||||
USF&G Capital I (b) | 35,000 | 48,348 | ||||||
Voya Financial, Inc. VRN (b) (c) | 25,000 | 22,755 | ||||||
Willis North America, Inc. | 21,000 | 22,190 | ||||||
XLIT Ltd. | 40,000 | 40,259 | ||||||
XLIT Ltd. | 25,000 | 26,986 | ||||||
XLIT Ltd. | 55,000 | 63,560 | ||||||
|
| |||||||
965,660 | ||||||||
|
| |||||||
Internet — 0.1% | ||||||||
Amazon.com, Inc. (b) | 45,000 | 45,036 | ||||||
Expedia Group, Inc. | 90,000 | 91,498 | ||||||
|
| |||||||
136,534 | ||||||||
|
| |||||||
Investment Companies — 0.3% | ||||||||
Ares Capital Corp. | 75,000 | 72,870 | ||||||
Ares Capital Corp. | 75,000 | 75,780 | ||||||
FS Investment Corp. | 90,000 | 90,450 | ||||||
TCP Capital Corp. | 70,000 | 68,137 | ||||||
|
| |||||||
307,237 | ||||||||
|
| |||||||
Iron & Steel — 0.2% | ||||||||
ArcelorMittal | 80,000 | 82,400 | ||||||
ArcelorMittal STEP | 60,000 | 62,250 | ||||||
Vale Overseas Ltd. | 75,000 | 80,438 | ||||||
Vale Overseas Ltd. | 20,000 | 23,524 | ||||||
|
| |||||||
248,612 | ||||||||
|
| |||||||
Machinery – Diversified — 0.2% | ||||||||
CNH Industrial Capital LLC | 50,000 | 49,875 | ||||||
CNH Industrial Capital LLC | 25,000 | 25,006 | ||||||
CNH Industrial Capital LLC | 95,000 | 94,939 | ||||||
|
| |||||||
169,820 | ||||||||
|
|
Principal Amount | Value | |||||||
Media — 0.2% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. (b) | $ | 30,000 | $ | 28,482 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 37,000 | 37,795 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 35,000 | 38,419 | ||||||
Comcast Corp. | 45,000 | 38,664 | ||||||
Discovery Communications LLC | 35,000 | 33,574 | ||||||
Discovery Communications LLC | 25,000 | 24,916 | ||||||
Time Warner Cable, Inc. | 30,000 | 34,154 | ||||||
Time Warner Cable, Inc. | 10,000 | 10,494 | ||||||
Time Warner Cable, Inc. | 10,000 | 10,471 | ||||||
Time Warner, Inc. | 5,000 | 5,838 | ||||||
|
| |||||||
262,807 | ||||||||
|
| |||||||
Mining — 0.2% | ||||||||
Glencore Funding LLC (b) | 25,000 | 23,714 | ||||||
Glencore Funding LLC (b) | 55,000 | 56,282 | ||||||
Kinross Gold Corp. (b) | 31,000 | 30,358 | ||||||
Kinross Gold Corp. | 50,000 | 51,880 | ||||||
|
| |||||||
162,234 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.0% | ||||||||
General Electric Co. | 50,000 | 46,350 | ||||||
|
| |||||||
Office Equipment/Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 20,000 | 19,800 | ||||||
Pitney Bowes, Inc. STEP | 80,000 | 76,200 | ||||||
|
| |||||||
96,000 | ||||||||
|
| |||||||
Oil & Gas — 0.7% | ||||||||
Andeavor | 20,000 | 19,079 | ||||||
Andeavor | 10,000 | 9,355 |
The accompanying notes are an integral part of the financial statements.
111
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Antero Resources Corp. | $ | 83,000 | $ | 84,452 | ||||
Cenovus Energy, Inc. | 30,000 | 28,915 | ||||||
Cenovus Energy, Inc. | 50,000 | 48,737 | ||||||
Cenovus Energy, Inc. | 15,000 | 17,281 | ||||||
Continental Resources, Inc. (b) | 38,000 | 37,050 | ||||||
Continental Resources, Inc. | 35,000 | 35,394 | ||||||
Encana Corp. | 23,000 | 23,845 | ||||||
Encana Corp. | 15,000 | 18,122 | ||||||
EQT Corp. | 90,000 | 86,099 | ||||||
Helmerich & Payne International Drilling Co. | 45,000 | 46,722 | ||||||
Hess Corp. | 25,000 | 24,468 | ||||||
Marathon Petroleum Corp. | 35,000 | 42,719 | ||||||
Nabors Industries, Inc. | 35,000 | 34,216 | ||||||
Newfield Exploration Co. | 25,000 | 26,125 | ||||||
Patterson-UTI Energy, Inc. (b) | 10,000 | 9,633 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. | 25,000 | 25,875 | ||||||
Petroleos Mexicanos | 5,000 | 5,038 | ||||||
Petroleos Mexicanos | 20,000 | 19,220 | ||||||
Petroleos Mexicanos | 10,000 | 10,021 | ||||||
Petroleos Mexicanos (b) | 30,000 | 29,592 | ||||||
Petroleos Mexicanos | 60,000 | 62,460 | ||||||
Petroleos Mexicanos | 15,000 | 14,580 | ||||||
Petroleos Mexicanos | 10,000 | 10,680 | ||||||
QEP Resources, Inc. | 50,000 | 53,000 | ||||||
|
| |||||||
822,678 | ||||||||
|
|
Principal Amount | Value | |||||||
Oil & Gas Services — 0.0% | ||||||||
National Oilwell Varco, Inc. | $ | 40,000 | $ | 35,090 | ||||
|
| |||||||
Packaging & Containers — 0.1% | ||||||||
Amcor Finance USA, Inc. (b) | 95,000 | 91,592 | ||||||
Brambles USA, Inc. (b) | 24,000 | 24,270 | ||||||
Brambles USA, Inc. (b) | 15,000 | 15,581 | ||||||
|
| |||||||
131,443 | ||||||||
|
| |||||||
Pharmaceuticals — 0.4% | ||||||||
AbbVie, Inc. | 25,000 | 25,781 | ||||||
Allergan Funding SCS | 45,000 | 44,147 | ||||||
CVS Health Corp. | 31,000 | 31,031 | ||||||
CVS Health Corp. | 24,000 | 24,102 | ||||||
CVS Health Corp. | 35,000 | 36,813 | ||||||
CVS Health Corp. | 10,000 | 11,861 | ||||||
CVS Pass-Through Trust (b) | 50,111 | 55,067 | ||||||
Express Scripts Holding Co. | 30,000 | 30,545 | ||||||
Express Scripts Holding Co. | 30,000 | 30,454 | ||||||
McKesson Corp. | 10,000 | 10,614 | ||||||
McKesson Corp. | 30,000 | 35,907 | ||||||
Teva Pharmaceutical Finance IV LLC | 30,000 | 28,429 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 25,000 | 24,174 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 99,000 | 89,150 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 15,000 | 11,031 | ||||||
|
| |||||||
489,106 | ||||||||
|
| |||||||
Pipelines — 0.8% | ||||||||
Andeavor Logistics LP VRN (c) | 40,000 | 40,185 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 10,000 | 9,827 |
The accompanying notes are an integral part of the financial statements.
112
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Energy Transfer Partners LP | $ | 30,000 | $ | 28,962 | ||||
Energy Transfer Partners LP | 25,000 | 25,947 | ||||||
Energy Transfer Partners LP VRN (c) | 60,000 | 57,412 | ||||||
EnLink Midstream Partners LP | 25,000 | 24,298 | ||||||
EnLink Midstream Partners LP | 24,000 | 24,248 | ||||||
Enterprise Products Operating LLC VRN (c) | 30,000 | 28,733 | ||||||
Kinder Morgan Energy Partners LP | 10,000 | 11,191 | ||||||
Kinder Morgan Energy Partners LP | 25,000 | 28,226 | ||||||
Kinder Morgan Energy Partners LP | 15,000 | 17,213 | ||||||
Kinder Morgan Energy Partners LP | 5,000 | 6,028 | ||||||
Magellan Midstream Partners LP | 30,000 | 32,699 | ||||||
MPLX LP | 30,000 | 29,620 | ||||||
MPLX LP | 73,000 | 76,223 | ||||||
MPLX LP | 5,000 | 5,225 | ||||||
MPLX LP | 24,000 | 24,600 | ||||||
Phillips 66 Partners LP | 20,000 | 19,320 | ||||||
Phillips 66 Partners LP | 4,000 | 3,901 | ||||||
Plains All American Pipeline LP VRN (c) | 55,000 | 53,075 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 32,000 | 31,563 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 40,000 | 39,676 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 25,000 | 22,320 | ||||||
Sabine Pass Liquefaction LLC | 45,000 | 44,345 | ||||||
Sunoco Logistics Partners Operations LP | 30,000 | 28,420 | ||||||
Sunoco Logistics Partners Operations LP | 25,000 | 23,255 |
Principal Amount | Value | |||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. | $ | 19,000 | $ | 19,927 | ||||
Western Gas Partners LP | 85,000 | 84,804 | ||||||
Western Gas Partners LP | 15,000 | 15,031 | ||||||
|
| |||||||
856,274 | ||||||||
|
| |||||||
Private Equity — 0.1% | ||||||||
Hercules Capital, Inc. | 70,000 | 70,751 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.3% | ||||||||
American Tower Corp. | 25,000 | 25,263 | ||||||
American Tower Trust #1 (b) | 50,000 | 50,161 | ||||||
Crown Castle International Corp. | 40,000 | 38,352 | ||||||
Crown Castle International Corp. | 20,000 | 19,667 | ||||||
Healthcare Trust of America Holdings LP | 40,000 | 38,119 | ||||||
Host Hotels & Resorts LP | 45,000 | 44,444 | ||||||
Kimco Realty Corp. | 25,000 | 24,059 | ||||||
Mid-America Apartments LP | 25,000 | 24,197 | ||||||
UDR, Inc. | 35,000 | 33,673 | ||||||
Weingarten Realty Investors | 15,000 | 14,243 | ||||||
|
| |||||||
312,178 | ||||||||
|
| |||||||
Retail — 0.2% | ||||||||
Dollar Tree, Inc. | 90,000 | 93,944 | ||||||
The Home Depot, Inc. | 30,000 | 38,390 | ||||||
QVC, Inc. | 35,000 | 34,981 | ||||||
QVC, Inc. | 25,000 | 25,021 | ||||||
QVC, Inc. | 10,000 | 10,314 | ||||||
Tiffany & Co. | 40,000 | 39,160 | ||||||
|
| |||||||
241,810 | ||||||||
|
| |||||||
Semiconductors — 0.0% | ||||||||
QUALCOMM, Inc. | 35,000 | 33,913 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
113
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Software — 0.1% | ||||||||
Microsoft Corp. | $ | 64,000 | $ | 70,852 | ||||
|
| |||||||
Telecommunications — 0.3% | ||||||||
AT&T, Inc. | 30,000 | 30,048 | ||||||
AT&T, Inc. | 30,000 | 29,137 | ||||||
AT&T, Inc. | 35,000 | 37,026 | ||||||
CenturyLink, Inc. | 30,000 | 30,825 | ||||||
Ericsson LM | 75,000 | 74,461 | ||||||
Hughes Satellite Systems Corp. | 25,000 | 25,750 | ||||||
Sprint Communications, Inc. | 65,000 | 74,100 | ||||||
Verizon Communications, Inc. | 25,000 | 25,229 | ||||||
Verizon Communications, Inc. | 34,000 | 41,703 | ||||||
|
| |||||||
368,279 | ||||||||
|
| |||||||
Transportation — 0.1% | ||||||||
Asciano Finance Ltd. (b) | 20,000 | 20,461 | ||||||
Asciano Finance Ltd. (b) | 55,000 | 55,012 | ||||||
|
| |||||||
75,473 | ||||||||
|
| |||||||
Trucking & Leasing — 0.1% | ||||||||
DAE Funding LLC (b) | 25,000 | 24,375 | ||||||
Park Aerospace Holdings Ltd. (b) | 50,000 | 47,375 | ||||||
Park Aerospace Holdings Ltd. (b) | 50,000 | 48,985 | ||||||
|
| |||||||
120,735 | ||||||||
|
| |||||||
TOTAL CORPORATE DEBT (Cost $10,547,044) | 10,499,845 | |||||||
|
| |||||||
MUNICIPAL OBLIGATIONS — 0.2% | ||||||||
JobsOhio Beverage System Series B | 150,000 | 163,643 | ||||||
State of California BAB | 25,000 | 38,067 | ||||||
State of California BAB | 10,000 | 15,469 | ||||||
|
| |||||||
217,179 | ||||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $200,174) | 217,179 | |||||||
|
|
Principal Amount | Value | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.1% | ||||||||
Automobile ABS — 0.4% | ||||||||
Drive Auto Receivables Trust, Series 2016-BA, Class B (b) | $ | 2,992 | $ | 2,992 | ||||
First Investors Auto Owner Trust, Series 2016-2A, Class B (b) | 80,000 | 78,595 | ||||||
Hertz Vehicle Financing II LP, Series 2018-1A, Class A (b) | 150,000 | 148,114 | ||||||
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + | 9,554 | 9,592 | ||||||
Oscar US Funding Trust V, Series 2016-2A, Class A4 (b) | 110,000 | 108,552 | ||||||
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (b) | 30,000 | 29,698 | ||||||
|
| |||||||
377,543 | ||||||||
|
| |||||||
Commercial MBS — 0.5% | ||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-GAM, Class A1 (b) | 55,995 | 54,803 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (b) | 35,000 | 34,443 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (c) | 35,000 | 34,021 | ||||||
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (b) | 100,000 | 102,366 | ||||||
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (c) | 34,548 | 34,970 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN (c) | 18,814 | 18,771 | ||||||
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (b) (c) | 100,000 | 103,964 | ||||||
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (c) | 6,165 | 6,141 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (c) | 25,561 | 25,814 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) | $ | 18,420 | $ | 18,537 | ||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B | 40,000 | 40,830 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class B (b) | 50,000 | 51,629 | ||||||
|
| |||||||
526,289 | ||||||||
|
| |||||||
Home Equity ABS — 0.0% | ||||||||
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN | 2,288 | 2,290 | ||||||
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN | 16,837 | 16,886 | ||||||
|
| |||||||
19,176 | ||||||||
|
| |||||||
Other ABS — 3.6% | ||||||||
321 Henderson Receivables I LLC, Series 2015-1A, Class A (b) | 41,869 | 40,165 | ||||||
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (b) | 250,000 | 250,854 | ||||||
Arbys Funding LLC, Series 2015-1A, Class A2 (b) | 68,425 | 68,998 | ||||||
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) | 250,000 | 250,426 | ||||||
BlueVirgo Trust, Series 2015-1A, Class NOTE (b) | 33,993 | 34,057 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (b) | 250,000 | 251,601 | ||||||
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (b) | 11,850 | 11,835 | ||||||
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (b) | 42,990 | 43,026 | ||||||
CLI Funding V LLC, Series 2014-1A, Class A (b) | 62,208 | 61,523 |
Principal Amount | Value | |||||||
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN | $ | 4,789 | $ | 4,786 | ||||
Diamond Resorts Owner Trust, Series 2014-1, Class A (b) | 20,377 | 20,296 | ||||||
Diamond Resorts Owner Trust, Series 2015-1, Class A (b) | 20,548 | 20,283 | ||||||
Diamond Resorts Owner Trust, Series 2016-1, Class A (b) | 77,681 | 76,007 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (b) | 98,250 | 98,605 | ||||||
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (b) | 108,075 | 113,363 | ||||||
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (b) | 59,441 | 58,320 | ||||||
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (b) | 55,657 | 55,006 | ||||||
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) | 84,578 | 85,302 | ||||||
First Franklin Mortgage Loan Trust, Series 2004-FFH4, Class M6, 1 mo. USD LIBOR + 1.725%, FRN | 80,000 | 83,225 | ||||||
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (b) | 133,218 | 133,229 | ||||||
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + ..645%, FRN | 4,977 | 5,010 | ||||||
Helios Issuer LLC, Series 2017-1A, Class A (b) | 95,079 | 96,802 | ||||||
HERO Funding Trust, Series 2016-4A, Class A1 (b) | 106,299 | 104,704 | ||||||
Hilton Grand Vacations Trust, Series 2013-A, Class A (b) | 19,485 | 19,279 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN | 5,247 | 5,250 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Mariner Finance Issuance Trust, Series 2017-BA, Class A (b) | $ | 100,000 | $ | 98,802 | ||||
Marlette Funding Trust, Series 2016-1A, Class A (b) | 11,864 | 11,877 | ||||||
Miramax LLC, Series 2014-1A, Class A2 (b) | 47,760 | 47,583 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN | 310 | 311 | ||||||
MP CLO III Ltd., Series 2013-1A, Class AR, FRN (b) (c) | 250,000 | 251,848 | ||||||
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (b) | 150,000 | 149,332 | ||||||
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (b) | 320,000 | 309,988 | ||||||
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (b) | 149,936 | 149,984 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class A (b) | 36,065 | 35,034 | ||||||
Orange Lake Timeshare Trust, Series 2016-A, Class B (b) | 30,054 | 28,995 | ||||||
Oxford Finance Funding Trust, Series 2016-1A, Class A (b) | 50,000 | 49,883 | ||||||
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (b) | 27,456 | 27,297 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (b) | 190,541 | 190,243 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (b) | 56,004 | 56,044 | ||||||
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (b) | 66,436 | 66,480 | ||||||
SoFi Consumer Loan Program LLC, Series 2015-2, Class A (b) | 58,832 | 58,940 | ||||||
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (b) | 70,904 | 71,151 |
Principal Amount | Value | |||||||
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (b) | $ | 110,000 | $ | 110,147 | ||||
Taco Bell Funding LLC, Series 2016-1A, Class A2I (b) | 79,000 | 79,447 | ||||||
Textainer Marine Containers V Ltd., Series 2017-1A, Class A (b) | 91,730 | 91,553 | ||||||
Welk Resorts LLC, Series 2015-AA, Class A (b) | 23,594 | 23,189 | ||||||
Wendy’s Funding LLC, Series 2015-1A, Class A2II (b) | 48,750 | 49,797 | ||||||
Wendy’s Funding LLC, Series 2015-1A, Class A23 (b) | 73,125 | 74,586 | ||||||
|
| |||||||
4,024,463 | ||||||||
|
| |||||||
Student Loans ABS — 3.5% | ||||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (b) | 100,000 | 89,123 | ||||||
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN | 49,706 | 49,067 | ||||||
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN | 11,770 | 11,104 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN | 35,000 | 28,144 | ||||||
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) | 106,712 | 106,766 | ||||||
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (b) | 49,729 | 51,164 | ||||||
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (b) | 70,904 | 71,970 | ||||||
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (b) | 45,239 | 47,032 | ||||||
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (b) | 82,986 | 83,989 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (b) | $ | 100,534 | $ | 101,858 | ||||
Edlinc Student Loan Funding, Series 2017-A, Class A (Acquired 12/22/17, Cost $99,305), FRN (b) (c) (d) (e) | 96,251 | 95,486 | ||||||
EdLinc Student Loan Funding Trust, Series 2012-1, Class B, 1 mo. USD LIBOR + 4.240%, FRN (b) | 65,000 | 76,638 | ||||||
Education Loan Asset-Backed Trust I, Series 2003-2, Class 2A1, 28 day ARS, FRN (b) | 50,000 | 46,380 | ||||||
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN | 57,246 | 57,216 | ||||||
KnowledgeWorks Foundation, Series 2010-1, Class A, 3 mo. USD LIBOR + .950%, FRN | 34,157 | 34,259 | ||||||
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (b) | 76,501 | 76,793 | ||||||
Navient Student Loan Trust, Series 2018-1A, Class A3, FRN (b) (c) | 100,000 | 100,152 | ||||||
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN | 100,000 | 98,826 | ||||||
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (b) | 150,000 | 154,079 | ||||||
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (b) | 89,485 | 91,691 | ||||||
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (b) | 210,000 | 218,288 | ||||||
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN | 40,000 | 39,427 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (b) | 59,306 | 57,570 |
Principal Amount | Value | |||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (b) | $ | 59,303 | $ | 59,416 | ||||
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (b) | 44,080 | 44,170 | ||||||
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN | 83,434 | 82,211 | ||||||
Nelnet Student Loan Trust, Series 2018-1A, Class A2, FRN (b) (c) | 100,000 | 100,000 | ||||||
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (b) | 89,748 | 90,363 | ||||||
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN | 100,000 | 95,586 | ||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200%, FRN | 49,773 | 46,033 | ||||||
SLM Student Loan Trust, Series 2006-5, Class A6B, 3 mo. USD LIBOR + .120%, FRN | 100,000 | 100,000 | ||||||
SLM Student Loan Trust, Series 2007-1, Class A6, 3 mo. USD LIBOR + .140%, FRN | 200,000 | 193,321 | ||||||
SLM Student Loan Trust, Series 2006-10, Class A6, 3 mo. USD LIBOR + .150%, FRN | 100,000 | 96,386 | ||||||
SLM Student Loan Trust, Series 2006-2, Class A6, ABS, FRN, 3 mo. USD LIBOR + .170%, FRN | 100,000 | 98,187 | ||||||
SLM Student Loan Trust, Series 2005-4, Class B, 3 mo. USD LIBOR + .180%, FRN | 112,971 | 107,445 | ||||||
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN | 166,076 | 157,262 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN | $ | 62,461 | $ | 58,847 | ||||
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN | 55,024 | 51,889 | ||||||
SLM Student Loan Trust, Series 2003-14, Class A7, 3 mo. USD LIBOR + .600%, FRN (b) | 250,000 | 249,066 | ||||||
SLM Student Loan Trust, Series 2005-7, Class A5, 3 mo. USD LIBOR + .750%, FRN | 100,000 | 99,625 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A9, 28 day ARS, FRN | 50,000 | 50,000 | ||||||
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN | 50,000 | 50,000 | ||||||
SMB Private Education Loan Trust, Series 2017-A, Class B (b) | 100,000 | 93,819 | ||||||
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (b) | 52,237 | 52,971 | ||||||
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (b) (c) | 100,000 | 97,958 | ||||||
South Carolina Student Loan Corp., Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050%, FRN | 100,000 | 101,383 | ||||||
|
| |||||||
3,962,960 | ||||||||
|
| |||||||
WL Collateral CMO — 0.1% | ||||||||
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (c) | 5,247 | 5,360 | ||||||
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (c) | 1,952 | 1,817 | ||||||
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (c) | 2,060 | 2,062 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (c) | 13,326 | 13,091 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (b) (c) | 90,846 | 88,555 |
Principal Amount | Value | |||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (c) | $ | 1,137 | $ | 1,056 | ||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (c) | 1,058 | 1,096 | ||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (c) | 67 | 72 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (c) | 8,290 | 8,399 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN | 19,562 | 19,865 | ||||||
|
| |||||||
141,373 | ||||||||
|
| |||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $8,992,588) | 9,051,804 | |||||||
|
| |||||||
Sovereign Debt Obligations — 0.2% | ||||||||
Colombia Government International Bond | 100,000 | 115,250 | ||||||
Mexico Government International Bond | 123,000 | 119,617 | ||||||
|
| |||||||
234,867 | ||||||||
|
| |||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $230,862) | 234,867 | |||||||
|
| |||||||
U.S. Government Agency Obligations and Instrumentalities — 6.5% | ||||||||
Collateralized Mortgage Obligations — 0.5% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
REMIC Series 4303, Class AP | 93,842 | 93,758 | ||||||
Series 4290, Class CA | 66,257 | 67,173 | ||||||
Series 2617, Class Z | 50,938 | 55,588 | ||||||
Series 2693, Class Z | 93,853 | 99,913 | ||||||
Series 3423, Class PB | 18,588 | 19,902 | ||||||
Federal National Mortgage Association | ||||||||
REMIC Series 2014-7, Class VA | 47,086 | 47,997 | ||||||
Series 2014-48, Class AB | 85,578 | 87,835 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Series 2007-32, Class Z | $ | 30,012 | $ | 32,184 | ||||
Series 2010-60, Class HJ | 17,561 | 18,546 | ||||||
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA | 25,046 | 26,694 | ||||||
|
| |||||||
549,590 | ||||||||
|
| |||||||
Pass-Through Securities — 6.0% | ||||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool #Q41916 3.500% | 65,919 | 66,514 | ||||||
Pool #Q44275 3.500% | 44,217 | 44,616 | ||||||
Pool #Q44277 3.500% | 21,821 | 21,983 | ||||||
Pool #Q52216 3.500% | 98,163 | 98,450 | ||||||
Pool #V83655 3.500% | 270,688 | 271,481 | ||||||
Pool #V83763 3.500% | 321,413 | 322,354 | ||||||
Pool #Q52868 3.500% | 149,182 | 149,619 | ||||||
Pool #V83886 3.500% | 49,769 | 49,911 | ||||||
Pool #G61307 3.500% | 249,330 | 250,664 | ||||||
Pool #Q47742 4.000% | 23,740 | 24,551 | ||||||
Pool #Q47730 4.000% | 45,576 | 47,134 | ||||||
Pool #V83764 4.000% | 247,090 | 254,300 | ||||||
Pool #V83796 4.000% | 418,902 | 430,143 | ||||||
Pool #Q52834 4.000% | 149,368 | 153,376 | ||||||
Pool #C03537 4.500% | 41,055 | 43,443 | ||||||
Pool #G06057 4.500% | 29,324 | 30,997 | ||||||
Pool #G60485 4.500% | 36,240 | 38,297 | ||||||
Pool #G60172 4.500% | 37,281 | 39,485 | ||||||
Pool #Q48208 4.500% | 23,800 | 25,009 | ||||||
Pool #Q48869 4.500% | 229,025 | 240,235 | ||||||
Pool #G05253 5.000% | 8,071 | 8,722 |
Principal Amount | Value | |||||||
Pool #G00729 8.000% | $ | 12,740 | $ | 14,585 | ||||
Federal National Mortgage Association | ||||||||
Pool #725692 1 year CMT + 2.140%, FRN 3.225% | 9,830 | 10,319 | ||||||
Pool #888586 1 year CMT + 2.210%, FRN 3.302% | 18,252 | 19,195 | ||||||
Pool #AS1304 3.500% | 45,281 | 46,300 | ||||||
Pool #AV2325 3.500% | 22,509 | 23,015 | ||||||
Pool #BF0196 3.500% | 48,910 | 49,529 | ||||||
Pool #CA0770 3.500% | 394,228 | 395,337 | ||||||
Pool #CA1073 3.500% | 245,715 | 246,387 | ||||||
Pool #MA3287 3.500% | 248,907 | 247,780 | ||||||
Pool #CA0181 4.000% | 71,219 | 73,110 | ||||||
Pool #BH9011 4.000% | 23,708 | 24,338 | ||||||
Pool #CA0620 4.000% | 73,373 | 75,328 | ||||||
Pool #BF0094 4.000% | 191,444 | 196,933 | ||||||
Pool #BF0105 4.000% | 127,918 | 131,585 | ||||||
Pool #AH6787 4.500% | 33,028 | 34,973 | ||||||
Pool #AD6437 5.000% | 17,149 | 18,542 | ||||||
Pool #AD6996 5.000% | 116,667 | 126,014 | ||||||
Pool #AL8173 5.000% | 43,726 | 47,201 | ||||||
Pool #564594 7.000% | 6,844 | 7,764 | ||||||
Pool #253795 7.000% | 4,365 | 5,003 | ||||||
Pool #507061 7.500% | 663 | 761 | ||||||
Pool #527761 7.500% | 1,165 | 1,264 | ||||||
Pool #531196 7.500% | 796 | 913 | ||||||
Pool #253183 7.500% | 2,099 | 2,407 | ||||||
Pool #253265 7.500% | 1,071 | 1,212 |
The accompanying notes are an integral part of the financial statements.
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Principal Amount | Value | |||||||
Pool #535248 8.000% | $ | 114 | $ | 132 | ||||
Pool #539460 8.000% | 1,108 | 1,304 | ||||||
Pool #190317 8.000% | 1,386 | 1,621 | ||||||
Federal National Mortgage Association TBA | ||||||||
Pool #11192 4.000% | 535,000 | 548,960 | ||||||
Government National Mortgage Association | ||||||||
Pool #783896 3.500% | 190,629 | 193,027 | ||||||
Pool #BF1053 3.500% | 24,887 | 25,138 | ||||||
Pool #BF1120 3.500% | 49,850 | 50,352 | ||||||
Pool #AV1854 3.500% | 43,245 | 43,681 | ||||||
Pool #BF1214 3.500% | 49,925 | 50,428 | ||||||
Pool #BF1245 3.500% | 49,923 | 50,426 | ||||||
Pool #352049 7.000% | 652 | 711 | ||||||
Government National Mortgage Association II | ||||||||
Pool #82462 1 year CMT + 1.500%, FRN 2.375% | 16,522 | 17,168 | ||||||
Pool #82488 1 year CMT + 1.500%, FRN 2.375% | 18,000 | 18,704 | ||||||
Pool #784026 3.500% | 52,230 | 52,838 | ||||||
Pool #BC4641 3.500% | 74,312 | 74,945 | ||||||
Pool #BC4885 3.500% | 99,362 | 100,301 | ||||||
Pool #BE4328 3.500% | 74,622 | 75,258 | ||||||
Pool #BD6940 3.500% | 49,764 | 50,187 | ||||||
Pool #BD3899 3.500% | 124,032 | 125,088 | ||||||
Pool #BE6487 3.500% | 25,034 | 25,247 | ||||||
Pool #BD6461 3.500% | 49,847 | 50,271 | ||||||
Pool #BF1119 3.500% | 74,766 | 75,403 | ||||||
Pool #BF1269 3.500% | 39,527 | 39,864 |
Principal Amount | Value | |||||||
Pool #AC2985 4.000% | $ | 24,826 | $ | 25,522 | ||||
Government National Mortgage Association II TBA | ||||||||
Pool #304 3.500% | 100,000 | 100,961 | ||||||
Pool #1235 4.000% | 325,000 | 334,090 | ||||||
Pool #1019 4.500% | 150,000 | 156,012 | ||||||
|
| |||||||
6,698,718 | ||||||||
|
| |||||||
Whole Loans — 0.0% | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C05, Class 2M1 1 mo. | 33,378 | 33,521 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $7,417,829) | 7,281,829 | |||||||
|
| |||||||
U.S. Treasury Obligations — 1.0% | ||||||||
U.S. Treasury Bonds & Notes — 1.0% | ||||||||
U.S. Treasury Bond | 635,000 | 577,503 | ||||||
U.S. Treasury Bond (g) | 205,000 | 225,212 | ||||||
U.S. Treasury Inflation Index | 300,003 | 294,639 | ||||||
|
| |||||||
1,097,354 | ||||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,110,721) | 1,097,354 | |||||||
|
| |||||||
TOTAL BONDS & NOTES (Cost $28,499,218) | 28,382,878 | |||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $245,589) | 239,534 | |||||||
|
| |||||||
Number of Shares | ||||||||
RIGHTS — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
Retail — 0.0% | ||||||||
Safeway PDC LLC CVR (a) (d) (h) | 3,821 | 1 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $126) | 1 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 9.7% | ||||||||
Diversified Financial Services — 9.7% | ||||||||
iShares China Large-Cap ETF | 2,800 | $ | 132,272 | |||||
iShares MSCI Australia ETF | 7,000 | 154,140 | ||||||
iShares MSCI EAFE ETF | 43,430 | 3,026,202 | ||||||
iShares MSCI France ETF | 8,500 | 266,900 | ||||||
iShares MSCI Germany ETF | 7,200 | 230,688 | ||||||
iShares MSCI India ETF | 13,000 | 443,690 | ||||||
iShares MSCI Italy ETF | 2,900 | 93,235 | ||||||
iShares MSCI Japan ETF | 10,300 | 625,004 | ||||||
iShares MSCI Singapore ETF | 1,150 | 30,671 | ||||||
iShares MSCI South Korea ETF | 1,800 | 135,810 | ||||||
iShares MSCI Spain ETF | 3,400 | 110,534 | ||||||
iShares MSCI Sweden ETF | 2,100 | 70,308 | ||||||
iShares MSCI Switzerland Capped ETF | 6,400 | 219,968 | ||||||
iShares MSCI Turkey Investable Market ETF | 1,700 | 72,114 | ||||||
iShares MSCI United Kingdom ETF | 10,500 | 364,875 | ||||||
Vanguard FTSE Developed Markets ETF | 74,840 | 3,311,670 | ||||||
Vanguard FTSE Emerging Markets ETF | 35,200 | 1,653,696 | ||||||
TOTAL MUTUAL FUNDS (Cost $9,275,225) | 10,941,777 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $100,791,785) | 111,920,214 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||
Commercial Paper — 1.4% | ||||||||
Dollar General Corp. (b) | $ | 700,000 | 699,843 | |||||
HP, Inc. (b) | 900,000 | 899,422 | ||||||
|
| |||||||
1,599,265 | ||||||||
|
| |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | 134,783 | 134,783 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,734,139) | 1,734,048 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.1% (Cost $102,525,924) (i) | 113,654,262 | |||||||
Other Assets/(Liabilities) — (1.1)% | (1,256,686 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 112,397,576 | ||||||
|
|
Abbreviation Legend
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 March 31, 2018, these securities amounted to a value of $10,419,966 or 9.27% 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 March 31, 2018. |
(d) | Investment was valued using significant unobservable inputs. |
(e) | Restricted security. Certain securities are restricted as to resale. At March 31, 2018, these securities amounted to a value of $95,486 or 0.08% 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 purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
(g) | A portion of this security is pledged/held as collateral for open futures contracts. (Note 2). |
(h) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2018, these securities amounted to a value of $1 or 0.00% of net assets. |
(i) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
121
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
(#) The Fund had the following open Purchased Swaptions contracts at March 31, 2018:
OTC Counterparty* | Units | Notional Amount | Expiration Date | Pay/ Receive Exercise Rate | Description | Premiums Purchased | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
Barclays Bank PLC | 790,000 | USD 790,000 | 12/13/32 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.44 | $ | 39,495 | $ | 32,990 | $ | (6,505 | ) | ||||||||||||||||
Credit Suisse International | 870,000 | USD 870,000 | 1/31/33 | Receive | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/2/43, Strike 2.61 | 41,760 | 40,551 | (1,209 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
81,255 | 73,541 | (7,714 | ) | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
Barclays Bank PLC | 1,620,000 | USD 1,620,000 | 12/13/32 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 12/15/42, Strike 2.94 | $ | 80,988 | $ | 84,199 | $ | 3,211 | |||||||||||||||||
Credit Suisse International | 1,740,000 | USD 1,740,000 | 1/31/33 | Pay | 3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 2/2/43, Strike 3.11 | 83,346 | 81,794 | (1,552 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
164,334 | 165,993 | 1,659 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 245,589 | $ | 239,534 | $ | (6,055 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
The Fund had the following open Futures contracts at March 31, 2018:
Expiration Date | Number of Contracts | Notional Amount | Value/ Net Unrealized Appreciation/ (Depreciation) | |||||||||||||
Futures Contracts — Long | ||||||||||||||||
Mini MSCI EAFE | 6/15/18 | 17 | $ | 1,718,083 | $ | (17,573 | ) | |||||||||
U.S. Treasury Note 2 Year | 6/29/18 | 11 | 2,337,690 | 1,013 | ||||||||||||
U.S. Treasury Note 5 Year | 6/29/18 | 24 | 2,735,842 | 11,221 | ||||||||||||
U.S. Treasury Note 10 Year | 6/20/18 | 7 | 837,397 | 10,587 | ||||||||||||
U.S. Treasury Ultra Long Bond | 6/20/18 | 6 | 933,380 | 29,433 | ||||||||||||
|
| |||||||||||||||
$ | 34,681 | |||||||||||||||
|
| |||||||||||||||
Futures Contracts — Short | ||||||||||||||||
U.S. Treasury Long Bond | 6/20/18 | 1 | $ | (143,778 | ) | $ | (2,847 | ) | ||||||||
U.S. Treasury Ultra 10 Year | 6/20/18 | 1 | (128,496 | ) | (1,363 | ) | ||||||||||
|
| |||||||||||||||
$ | (4,210 | ) | ||||||||||||||
|
|
The accompanying notes are an integral part of the financial statements.
122
Table of Contents
MassMutual Premier Balanced Fund – Portfolio of Investments (Continued)
The Fund had the following open Swap agreements at March 31, 2018:
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†† |
| |||||||||||||||||||||||||||
OTC Swaps* |
| |||||||||||||||||||||||||||
Goldman Sachs International | USD | 140,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | $ | (20,712 | ) | $ | 86 | $ | (20,626 | ) | ||||||||||||||
Goldman Sachs International | USD | 50,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (3,036 | ) | (4,330 | ) | (7,366 | ) | ||||||||||||||||
Goldman Sachs International | USD | 20,000 | 5/11/63 | Monthly | 3.000% | CMBX.NA.BBB-.6 (Rating: BBB-)† | (1,345 | ) | (1,602 | ) | (2,947 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (25,093 | ) | $ | (5,846 | ) | $ | (30,939 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Contracts are subject to a Master Netting Agreement. |
† | 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 protection. |
Currency Legend
USD U.S. | Dollar |
The accompanying notes are an integral part of the financial statements.
123
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 94.3% | ||||||||
COMMON STOCK — 94.3% | ||||||||
Basic Materials — 3.2% | ||||||||
Chemicals — 1.9% | ||||||||
Air Products & Chemicals, Inc. | 3,090 | $ | 491,404 | |||||
Albemarle Corp. | 2,010 | 186,407 | ||||||
Ashland Global Holdings, Inc. | 700 | 48,853 | ||||||
Cabot Corp. | 200 | 11,144 | ||||||
Celanese Corp. Series A | 1,500 | 150,315 | ||||||
CF Industries Holdings, Inc. | 9,500 | 358,435 | ||||||
DowDuPont, Inc. | 810 | 51,605 | ||||||
Eastman Chemical Co. | 200 | 21,116 | ||||||
Huntsman Corp. | 21,300 | 623,025 | ||||||
LyondellBasell Industries NV Class A | 3,300 | 348,744 | ||||||
Platform Specialty Products Corp. (a) | 42,600 | 410,238 | ||||||
Praxair, Inc. | 5,030 | 725,829 | ||||||
Westlake Chemical Corp. | 6,660 | 740,259 | ||||||
|
| |||||||
4,167,374 | ||||||||
|
| |||||||
Forest Products & Paper — 0.2% | ||||||||
Domtar Corp. | 8,137 | 346,148 | ||||||
|
| |||||||
Iron & Steel — 0.4% | ||||||||
Steel Dynamics, Inc. | 4,200 | 185,724 | ||||||
United States Steel Corp. | 17,290 | 608,435 | ||||||
|
| |||||||
794,159 | ||||||||
|
| |||||||
Mining — 0.7% | ||||||||
Alcoa Corp. (a) | 3,400 | 152,864 | ||||||
Freeport-McMoRan, Inc. (a) | 34,631 | 608,467 | ||||||
Newmont Mining Corp. | 7,800 | 304,746 | ||||||
Southern Copper Corp. | 9,100 | 493,038 | ||||||
Tahoe Resources, Inc. | 3,200 | 15,008 | ||||||
|
| |||||||
1,574,123 | ||||||||
|
| |||||||
6,881,804 | ||||||||
|
| |||||||
Communications — 7.6% | ||||||||
Internet — 0.7% | ||||||||
eBay, Inc. (a) | 19,100 | 768,584 | ||||||
FireEye, Inc. (a) | 700 | 11,851 | ||||||
Liberty Expedia Holdings, Inc. Class A (a) | 13,500 | 530,280 | ||||||
Twitter, Inc. (a) | 6,000 | 174,060 | ||||||
|
| |||||||
1,484,775 | ||||||||
|
| |||||||
Media — 1.8% | ||||||||
Comcast Corp. Class A | 5,400 | 184,518 | ||||||
Discovery Communications, Inc. Class A (a) | 6,100 | 130,723 | ||||||
Discovery Communications, Inc. Class C (a) | 5,628 | 109,859 | ||||||
DISH Network Corp. Class A (a) | 200 | 7,578 | ||||||
John Wiley & Sons, Inc. Class A | 1,400 | 89,180 |
Number of Shares | Value | |||||||
News Corp. Class A | 2,800 | $ | 44,240 | |||||
Sirius XM Holdings, Inc. | 117,400 | 732,576 | ||||||
TEGNA, Inc. | 4,455 | 50,742 | ||||||
Time Warner, Inc. | 12,890 | 1,219,136 | ||||||
Twenty-First Century Fox, Inc. Class A | 11,200 | 410,928 | ||||||
Twenty-First Century Fox, Inc. Class B | 4,300 | 156,391 | ||||||
Viacom, Inc. Class A | 1,500 | 59,400 | ||||||
Viacom, Inc. Class B | 23,700 | 736,122 | ||||||
|
| |||||||
3,931,393 | ||||||||
|
| |||||||
Telecommunications — 5.1% | ||||||||
ARRIS International PLC (a) | 13,600 | 361,352 | ||||||
AT&T, Inc. | 117,414 | 4,185,809 | ||||||
CenturyLink, Inc. | 7 | 115 | ||||||
Cisco Systems, Inc. | 84,000 | 3,602,760 | ||||||
EchoStar Corp. Class A (a) | 8,900 | 469,653 | ||||||
GCI Liberty, Inc. Class A (a) | 8,700 | 459,882 | ||||||
Juniper Networks, Inc. | 8,900 | 216,537 | ||||||
LogMeIn, Inc. | 6,080 | 702,544 | ||||||
Motorola Solutions, Inc. | 2,400 | 252,720 | ||||||
T-Mobile US, Inc. (a) | 7,550 | 460,852 | ||||||
Telephone & Data Systems, Inc. | 1,118 | 31,338 | ||||||
Verizon Communications, Inc. | 2,700 | 129,114 | ||||||
|
| |||||||
10,872,676 | ||||||||
|
| |||||||
16,288,844 | ||||||||
|
| |||||||
Consumer, Cyclical — 8.4% | ||||||||
Airlines — 1.2% | ||||||||
Alaska Air Group, Inc. | 4,900 | 303,604 | ||||||
American Airlines Group, Inc. | 7,300 | 379,308 | ||||||
Copa Holdings SA Class A | 4,380 | 563,399 | ||||||
Delta Air Lines, Inc. | 7,400 | 405,594 | ||||||
JetBlue Airways Corp. (a) | 17,500 | 355,600 | ||||||
Spirit Airlines, Inc. (a) | 8,600 | 324,908 | ||||||
United Continental Holdings, Inc. (a) | 5,100 | 354,297 | ||||||
|
| |||||||
2,686,710 | ||||||||
|
| |||||||
Apparel — 0.5% | ||||||||
Michael Kors Holdings Ltd. (a) | 3,000 | 186,240 | ||||||
Ralph Lauren Corp. | 3,900 | 436,020 | ||||||
VF Corp. | 5,600 | 415,072 | ||||||
|
| |||||||
1,037,332 | ||||||||
|
| |||||||
Auto Manufacturers — 1.0% | ||||||||
Ford Motor Co. | 74,500 | 825,460 | ||||||
General Motors Co. | 28,000 | 1,017,520 | ||||||
PACCAR, Inc. | 5,200 | 344,084 | ||||||
|
| |||||||
2,187,064 | ||||||||
|
| |||||||
Auto Parts & Equipment — 0.7% | ||||||||
Adient PLC | 62 | 3,705 | ||||||
BorgWarner, Inc. | 7,200 | 361,656 |
The accompanying notes are an integral part of the financial statements.
124
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
The Goodyear Tire & Rubber Co. | 3,400 | $ | 90,372 | |||||
Lear Corp. | 5,270 | 980,694 | ||||||
|
| |||||||
1,436,427 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.0% | ||||||||
WESCO International, Inc. (a) | 1,200 | 74,460 | ||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
Cinemark Holdings, Inc. | 3,500 | 131,845 | ||||||
Dolby Laboratories, Inc. Class A | 800 | 50,848 | ||||||
International Game Technology PLC | 6,300 | 168,399 | ||||||
|
| |||||||
351,092 | ||||||||
|
| |||||||
Food Services — 0.0% | ||||||||
Aramark | 400 | 15,824 | ||||||
|
| |||||||
Home Builders — 0.5% | ||||||||
D.R. Horton, Inc. | 2,000 | 87,680 | ||||||
Lennar Corp. Class A | 4,470 | 263,462 | ||||||
Lennar Corp. Class B | 3,149 | 150,176 | ||||||
PulteGroup, Inc. | 2,900 | 85,521 | ||||||
Toll Brothers, Inc. | 10,500 | 454,125 | ||||||
|
| |||||||
1,040,964 | ||||||||
|
| |||||||
Home Furnishing — 0.1% | ||||||||
Tempur Sealy International, Inc. (a) | 1,000 | 45,290 | ||||||
Whirlpool Corp. | 1,010 | 154,641 | ||||||
|
| |||||||
199,931 | ||||||||
|
| |||||||
Leisure Time — 0.4% | ||||||||
Brunswick Corp. | 500 | 29,695 | ||||||
Harley-Davidson, Inc. | 8,700 | 373,056 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 1,700 | 90,049 | ||||||
Royal Caribbean Cruises Ltd. | 3,480 | 409,735 | ||||||
|
| |||||||
902,535 | ||||||||
|
| |||||||
Lodging — 0.4% | ||||||||
Hilton Worldwide Holdings, Inc. | 700 | 55,132 | ||||||
Hyatt Hotels Corp. Class A | 7,000 | 533,820 | ||||||
MGM Resorts International | 5,600 | 196,112 | ||||||
|
| |||||||
785,064 | ||||||||
|
| |||||||
Retail — 3.4% | ||||||||
AutoNation, Inc. (a) | 7,100 | 332,138 | ||||||
Bed Bath & Beyond, Inc. | 11,300 | 237,187 | ||||||
Best Buy Co., Inc. | 6,200 | 433,938 | ||||||
Burlington Stores, Inc. (a) | 850 | 113,178 | ||||||
Dick’s Sporting Goods, Inc. | 15,600 | 546,780 | ||||||
Foot Locker, Inc. | 10,100 | 459,954 | ||||||
GameStop Corp. Class A | 18,300 | 230,946 | ||||||
The Gap, Inc. | 4,700 | 146,640 | ||||||
Kohl’s Corp. | 2,800 | 183,428 | ||||||
Macy’s, Inc. | 14,644 | 435,513 | ||||||
The Michaels Cos., Inc. (a) | 1,900 | 37,449 | ||||||
Nu Skin Enterprises, Inc. Class A | 4,900 | 361,179 | ||||||
PVH Corp. | 1,370 | 207,459 |
Number of Shares | Value | |||||||
Qurate Retail Group, Inc. (a) | 4,800 | $ | 120,816 | |||||
Signet Jewelers Ltd. | 6,800 | 261,936 | ||||||
Target Corp. | 11,200 | 777,616 | ||||||
Tiffany & Co. | 500 | 48,830 | ||||||
Urban Outfitters, Inc. (a) | 300 | 11,088 | ||||||
Walgreens Boots Alliance, Inc. | 9,639 | 631,065 | ||||||
Walmart, Inc. | 18,200 | 1,619,254 | ||||||
|
| |||||||
7,196,394 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.0% | ||||||||
Hasbro, Inc. | 1,100 | 92,730 | ||||||
|
| |||||||
18,006,527 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 16.6% | ||||||||
Agriculture — 0.4% | ||||||||
Bunge Ltd. | 2,700 | 199,638 | ||||||
Philip Morris International, Inc. | 6,160 | 612,304 | ||||||
|
| |||||||
811,942 | ||||||||
|
| |||||||
Beverages — 0.3% | ||||||||
The Coca-Cola Co. | 4,800 | 208,464 | ||||||
Molson Coors Brewing Co. Class B | 1,560 | 117,515 | ||||||
PepsiCo, Inc. | 2,910 | 317,626 | ||||||
|
| |||||||
643,605 | ||||||||
|
| |||||||
Biotechnology — 1.6% | ||||||||
Amgen, Inc. | 15,070 | 2,569,133 | ||||||
Bio-Rad Laboratories, Inc. Class A (a) | 10 | 2,501 | ||||||
Gilead Sciences, Inc. | 7,700 | 580,503 | ||||||
United Therapeutics Corp. (a) | 2,450 | 275,282 | ||||||
|
| |||||||
3,427,419 | ||||||||
|
| |||||||
Commercial Services — 0.3% | ||||||||
Booz Allen Hamilton Holding Corp. | 3,900 | 151,008 | ||||||
CoreLogic, Inc. (a) | 400 | 18,092 | ||||||
Graham Holdings Co. Class B | 6 | 3,614 | ||||||
H&R Block, Inc. | 1,000 | 25,410 | ||||||
ManpowerGroup, Inc. | 3,030 | 348,753 | ||||||
Sabre Corp. | 2,000 | 42,900 | ||||||
|
| |||||||
589,777 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 1.6% | ||||||||
Colgate-Palmolive Co. | 4,100 | 293,888 | ||||||
Edgewell Personal Care Co. (a) | 80 | 3,905 | ||||||
The Procter & Gamble Co. | 39,210 | 3,108,569 | ||||||
|
| |||||||
3,406,362 | ||||||||
|
| |||||||
Foods — 0.6% | ||||||||
Campbell Soup Co. | 700 | 30,317 | ||||||
Conagra Brands, Inc. | 8,600 | 317,168 | ||||||
Ingredion, Inc. | 160 | 20,627 | ||||||
The J.M. Smucker Co. | 350 | 43,404 | ||||||
The Kraft Heinz Co. | 400 | 24,916 | ||||||
The Kroger Co. | 3,600 | 86,184 | ||||||
Lamb Weston Holdings, Inc. | 33 | 1,921 |
The accompanying notes are an integral part of the financial statements.
125
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Mondelez International, Inc. Class A | 50 | $ | 2,087 | |||||
Pilgrim’s Pride Corp. (a) | 7,200 | 177,192 | ||||||
Pinnacle Foods, Inc. | 100 | 5,410 | ||||||
Post Holdings, Inc. (a) | 300 | 22,728 | ||||||
Seaboard Corp. | 30 | 127,950 | ||||||
Tyson Foods, Inc. Class A | 4,700 | 343,993 | ||||||
|
| |||||||
1,203,897 | ||||||||
|
| |||||||
Health Care – Products — 2.8% | ||||||||
Abbott Laboratories | 35,600 | 2,133,152 | ||||||
Baxter International, Inc. | 16,400 | 1,066,656 | ||||||
The Cooper Cos., Inc. | 30 | 6,864 | ||||||
Danaher Corp. | 5,500 | 538,505 | ||||||
Hologic, Inc. (a) | 5,000 | 186,800 | ||||||
Medtronic PLC | 16,669 | 1,337,187 | ||||||
QIAGEN NV (a) | 8,100 | 261,711 | ||||||
STERIS PLC | 400 | 37,344 | ||||||
Teleflex, Inc. | 460 | 117,291 | ||||||
Thermo Fisher Scientific, Inc. | 570 | 117,682 | ||||||
Zimmer Biomet Holdings, Inc. | 1,070 | 116,673 | ||||||
|
| |||||||
5,919,865 | ||||||||
|
| |||||||
Health Care – Services — 1.8% | ||||||||
Aetna, Inc. | 2,421 | 409,149 | ||||||
Anthem, Inc. | 4,380 | 962,286 | ||||||
Centene Corp. (a) | 7,900 | 844,273 | ||||||
Cigna Corp. | 1,710 | 286,835 | ||||||
HCA Healthcare, Inc. | 3,800 | 368,600 | ||||||
Humana, Inc. | 860 | 231,194 | ||||||
LifePoint Health, Inc. (a) | 4,900 | 230,300 | ||||||
Quest Diagnostics, Inc. | 2,070 | 207,621 | ||||||
WellCare Health Plans, Inc. (a) | 1,550 | 300,127 | ||||||
|
| |||||||
3,840,385 | ||||||||
|
| |||||||
Household Products & Wares — 0.2% | ||||||||
Avery Dennison Corp. | 4,320 | 459,000 | ||||||
Kimberly-Clark Corp. | 770 | 84,800 | ||||||
|
| |||||||
543,800 | ||||||||
|
| |||||||
Pharmaceuticals — 7.0% | ||||||||
Allergan PLC | 4,730 | 796,012 | ||||||
Bristol-Myers Squibb Co. | 5,100 | 322,575 | ||||||
Cardinal Health, Inc. | 3,300 | 206,844 | ||||||
CVS Health Corp. | 12,880 | 801,265 | ||||||
Endo International PLC (a) | 31,100 | 184,734 | ||||||
Express Scripts Holding Co. (a) | 10,400 | 718,432 | ||||||
Johnson & Johnson | 30,470 | 3,904,731 | ||||||
Mallinckrodt PLC (a) | 19,260 | 278,885 | ||||||
McKesson Corp. | 4,520 | 636,732 | ||||||
Merck & Co., Inc. | 33,228 | 1,809,929 | ||||||
Mylan NV (a) | 4,700 | 193,499 | ||||||
Perrigo Co. PLC | 1,300 | 108,342 | ||||||
Pfizer, Inc. | 142,115 | 5,043,661 | ||||||
|
| |||||||
15,005,641 | ||||||||
|
| |||||||
35,392,693 | ||||||||
|
|
Number of Shares | Value | |||||||
Energy — 7.8% | ||||||||
Coal — 0.0% | ||||||||
CONSOL Energy, Inc. (a) | 487 | $ | 14,108 | |||||
|
| |||||||
Energy – Alternate Sources — 0.2% | ||||||||
First Solar, Inc. (a) | 5,600 | 397,488 | ||||||
|
| |||||||
Oil & Gas — 6.8% | ||||||||
Andeavor | 1,560 | 156,874 | ||||||
Apache Corp. | 28 | 1,077 | ||||||
Chevron Corp. | 20,515 | 2,339,531 | ||||||
CNX Resources Corp. (a) | 3,900 | 60,177 | ||||||
ConocoPhillips | 8,648 | 512,740 | ||||||
Devon Energy Corp. | 12,750 | 405,323 | ||||||
Diamondback Energy, Inc. (a) | 60 | 7,591 | ||||||
EOG Resources, Inc. | 5,020 | 528,455 | ||||||
Exxon Mobil Corp. | 54,390 | 4,058,038 | ||||||
Gulfport Energy Corp. (a) | 35,700 | 344,505 | ||||||
HollyFrontier Corp. | 9,300 | 454,398 | ||||||
Marathon Oil Corp. | 25,200 | 406,476 | ||||||
Marathon Petroleum Corp. | 20,940 | 1,530,923 | ||||||
Murphy Oil Corp. | 1,700 | 43,928 | ||||||
Murphy USA, Inc. (a) | 5,000 | 364,000 | ||||||
Noble Energy, Inc. | 80 | 2,424 | ||||||
Occidental Petroleum Corp. | 11,330 | 735,997 | ||||||
Patterson-UTI Energy, Inc. | 2,500 | 43,775 | ||||||
PBF Energy, Inc. Class A | 12,700 | 430,530 | ||||||
Phillips 66 | 1,200 | 115,104 | ||||||
Pioneer Natural Resources Co. | 1,960 | 336,689 | ||||||
QEP Resources, Inc. (a) | 46,900 | 459,151 | ||||||
Southwestern Energy Co. (a) | 7,500 | 32,475 | ||||||
Transocean Ltd. (a) | 15,200 | 150,480 | ||||||
Valero Energy Corp. | 11,764 | 1,091,346 | ||||||
Whiting Petroleum Corp. (a) | 1,450 | 49,068 | ||||||
WPX Energy, Inc. (a) | 66 | 975 | ||||||
|
| |||||||
14,662,050 | ||||||||
|
| |||||||
Oil & Gas Services — 0.7% | ||||||||
Baker Hughes a GE Co. | 3 | 84 | ||||||
Halliburton Co. | 10,800 | 506,952 | ||||||
National Oilwell Varco, Inc. | 17,000 | 625,770 | ||||||
Oceaneering International, Inc. | 6,300 | 116,802 | ||||||
Schlumberger Ltd. | 3,840 | 248,755 | ||||||
|
| |||||||
1,498,363 | ||||||||
|
| |||||||
Pipelines — 0.1% | ||||||||
Kinder Morgan, Inc. | 4,000 | 60,240 | ||||||
The Williams Cos., Inc. | 5,400 | 134,244 | ||||||
|
| |||||||
194,484 | ||||||||
|
| |||||||
16,766,493 | ||||||||
|
| |||||||
Financial — 30.7% | ||||||||
Banks — 14.7% | ||||||||
Associated Banc-Corp. | 17,850 | 443,573 | ||||||
Bank of America Corp. | 175,273 | 5,256,437 |
The accompanying notes are an integral part of the financial statements.
126
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Bank of Hawaii Corp. | 820 | $ | 68,142 | |||||
The Bank of New York Mellon Corp. | 14,450 | 744,608 | ||||||
BankUnited, Inc. | 300 | 11,994 | ||||||
BB&T Corp. | 3,419 | 177,925 | ||||||
BOK Financial Corp. | 400 | 39,596 | ||||||
Capital One Financial Corp. | 6,650 | 637,203 | ||||||
CIT Group, Inc. | 11,100 | 571,650 | ||||||
Citigroup, Inc. | 57,371 | 3,872,542 | ||||||
Citizens Financial Group, Inc. | 20,400 | 856,392 | ||||||
Comerica, Inc. | 6,600 | 633,138 | ||||||
Commerce Bancshares, Inc. | 1,066 | 63,864 | ||||||
Cullen/Frost Bankers, Inc. | 2,500 | 265,175 | ||||||
East West Bancorp, Inc. | 2,900 | 181,366 | ||||||
F.N.B. Corp. | 4,000 | 53,800 | ||||||
Fifth Third Bancorp | 11,360 | 360,680 | ||||||
First Horizon National Corp. | 616 | 11,599 | ||||||
The Goldman Sachs Group, Inc. | 8,170 | 2,057,696 | ||||||
Huntington Bancshares, Inc. | 5,171 | 78,082 | ||||||
JP Morgan Chase & Co. | 54,427 | 5,985,337 | ||||||
KeyCorp | 26,996 | 527,772 | ||||||
M&T Bank Corp. | 385 | 70,979 | ||||||
Morgan Stanley | 29,800 | 1,608,008 | ||||||
Northern Trust Corp. | 700 | 72,191 | ||||||
PacWest Bancorp | 6,700 | 331,851 | ||||||
The PNC Financial Services Group, Inc. | 7,876 | 1,191,166 | ||||||
Popular, Inc. | 300 | 12,486 | ||||||
Prosperity Bancshares, Inc. | 900 | 65,367 | ||||||
Regions Financial Corp. | 24,260 | 450,751 | ||||||
State Street Corp. | 6,600 | 658,218 | ||||||
SunTrust Banks, Inc. | 10,100 | 687,204 | ||||||
SVB Financial Group (a) | 900 | 216,009 | ||||||
Synovus Financial Corp. | 4,971 | 248,252 | ||||||
TCF Financial Corp. | 2,100 | 47,901 | ||||||
US Bancorp | 8,490 | 428,745 | ||||||
Webster Financial Corp. | 1,200 | 66,480 | ||||||
Wells Fargo & Co. | 36,153 | 1,894,779 | ||||||
Western Alliance Bancorp (a) | 4,100 | 238,251 | ||||||
Zions Bancorp | 3,450 | 181,919 | ||||||
|
| |||||||
31,369,128 | ||||||||
|
| |||||||
Diversified Financial Services — 4.2% | ||||||||
Affiliated Managers Group, Inc. | 400 | 75,832 | ||||||
Air Lease Corp. | 1,600 | 68,192 | ||||||
Ally Financial, Inc. | 18,800 | 510,420 | ||||||
American Express Co. | 12,500 | 1,166,000 | ||||||
Ameriprise Financial, Inc. | 3,000 | 443,820 | ||||||
BlackRock, Inc. | 1,750 | 948,010 | ||||||
The Charles Schwab Corp. | 700 | 36,554 | ||||||
CME Group, Inc. | 1,670 | 270,106 | ||||||
Credit Acceptance Corp. (a) | 740 | 244,503 | ||||||
Discover Financial Services | 5,500 | 395,615 | ||||||
E*TRADE Financial Corp. (a) | 7,900 | 437,739 |
Number of Shares | Value | |||||||
Federated Investors, Inc. Class B | 1,800 | $ | 60,120 | |||||
FNF Group | 2,557 | 102,331 | ||||||
Franklin Resources, Inc. | 7,700 | 267,036 | ||||||
Intercontinental Exchange, Inc. | 5,035 | 365,138 | ||||||
Invesco Ltd. | 10,700 | 342,507 | ||||||
Lazard Ltd. Class A | 3,600 | 189,216 | ||||||
Legg Mason, Inc. | 14,500 | 589,425 | ||||||
Navient Corp. | 32,100 | 421,152 | ||||||
OneMain Holdings, Inc. (a) | 5,400 | 161,676 | ||||||
Raymond James Financial, Inc. | 4,600 | 411,286 | ||||||
Santander Consumer USA Holdings, Inc. | 31,400 | 511,820 | ||||||
SLM Corp. (a) | 6,600 | 73,986 | ||||||
Synchrony Financial | 10,800 | 362,124 | ||||||
T. Rowe Price Group, Inc. | 3,900 | 421,083 | ||||||
|
| |||||||
8,875,691 | ||||||||
|
| |||||||
Insurance — 7.0% | ||||||||
Aflac, Inc. | 10,400 | 455,104 | ||||||
Alleghany Corp. | 85 | 52,227 | ||||||
The Allstate Corp. | 4,000 | 379,200 | ||||||
American Financial Group, Inc. | 250 | 28,055 | ||||||
American International Group, Inc. | 2 | 109 | ||||||
American National Insurance Co. | 310 | 36,258 | ||||||
Arch Capital Group Ltd. (a) | 400 | 34,236 | ||||||
Aspen Insurance Holdings Ltd. | 600 | 26,910 | ||||||
Assurant, Inc. | 820 | 74,956 | ||||||
Assured Guaranty Ltd. | 14,700 | 532,140 | ||||||
Athene Holding Ltd. Class A (a) | 8,100 | 387,261 | ||||||
Axis Capital Holdings Ltd. | 4,900 | 282,093 | ||||||
Berkshire Hathaway, Inc. Class B (a) | 29,570 | 5,898,624 | ||||||
Brighthouse Financial, Inc. (a) | 30 | 1,542 | ||||||
Chubb Ltd. | 3,401 | 465,155 | ||||||
Cincinnati Financial Corp. | 320 | 23,763 | ||||||
CNA Financial Corp. | 12,500 | 616,875 | ||||||
Everest Re Group Ltd. | 1,040 | 267,093 | ||||||
Fairfax Financial Holdings Ltd. | 163 | 82,967 | ||||||
First American Financial Corp. | 2,700 | 158,436 | ||||||
The Hanover Insurance Group, Inc. | 300 | 35,367 | ||||||
The Hartford Financial Services Group, Inc. | 6,090 | 313,757 | ||||||
Lincoln National Corp. | 6,298 | 460,132 | ||||||
Loews Corp. | 4,220 | 209,861 | ||||||
Markel Corp. (a) | 5 | 5,851 | ||||||
Mercury General Corp. | 90 | 4,128 | ||||||
MetLife, Inc. | 19,540 | 896,691 | ||||||
Old Republic International Corp. | 15,500 | 332,475 | ||||||
Principal Financial Group, Inc. | 4,300 | 261,913 | ||||||
Prudential Financial, Inc. | 6,780 | 702,069 | ||||||
Reinsurance Group of America, Inc. | 2,780 | 428,120 | ||||||
RenaissanceRe Holdings Ltd. | 140 | 19,391 | ||||||
Torchmark Corp. | 890 | 74,911 | ||||||
The Travelers Cos., Inc. | 3,139 | 435,881 |
The accompanying notes are an integral part of the financial statements.
127
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Unum Group | 9,000 | $ | 428,490 | |||||
Validus Holdings Ltd. | 800 | 53,960 | ||||||
Voya Financial, Inc. | 8,800 | 444,400 | ||||||
W.R. Berkley Corp. | 900 | 65,430 | ||||||
White Mountains Insurance Group Ltd. | 3 | 2,468 | ||||||
XL Group Ltd. | 50 | 2,763 | ||||||
|
| |||||||
14,981,062 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
CBRE Group, Inc. Class A (a) | 11,800 | 557,196 | ||||||
Jones Lang LaSalle, Inc. | 440 | 76,842 | ||||||
|
| |||||||
634,038 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 4.5% | ||||||||
AGNC Investment Corp. | 15,600 | 295,152 | ||||||
Alexandria Real Estate Equities, Inc. | 20 | 2,498 | ||||||
American Campus Communities, Inc. | 100 | 3,862 | ||||||
Annaly Capital Management, Inc. | 44,960 | 468,933 | ||||||
Apartment Investment & Management Co. Class A | 100 | 4,075 | ||||||
Apple Hospitality REIT, Inc. | 2,500 | 43,925 | ||||||
AvalonBay Communities, Inc. | 1,844 | 303,264 | ||||||
Boston Properties, Inc. | 50 | 6,161 | ||||||
Brandywine Realty Trust | 19,900 | 316,012 | ||||||
Brixmor Property Group, Inc. | 3,300 | 50,325 | ||||||
Camden Property Trust | 100 | 8,418 | ||||||
Chimera Investment Corp. | 41,020 | 714,158 | ||||||
CoreCivic, Inc. | 3,205 | 62,562 | ||||||
DCT Industrial Trust, Inc. | 3,500 | 197,190 | ||||||
Digital Realty Trust, Inc. | 30 | 3,161 | ||||||
Duke Realty Corp. | 15,400 | 407,792 | ||||||
EPR Properties | 900 | 49,860 | ||||||
Equity Commonwealth (a) | 2,167 | 66,462 | ||||||
Equity Residential | 4,200 | 258,804 | ||||||
Essex Property Trust, Inc. | 1,223 | 294,352 | ||||||
Gaming and Leisure Properties, Inc. | 9,800 | 328,006 | ||||||
GGP, Inc. | 300 | 6,138 | ||||||
HCP, Inc. | 9,500 | 220,685 | ||||||
Highwoods Properties, Inc. | 800 | 35,056 | ||||||
Hospitality Properties Trust | 540 | 13,684 | ||||||
Host Hotels & Resorts, Inc. | 3 | 56 | ||||||
Hudson Pacific Properties, Inc. | 9,200 | 299,276 | ||||||
JBG SMITH Properties | 19 | 640 | ||||||
Kilroy Realty Corp. | 100 | 7,096 | ||||||
Kimco Realty Corp. | 200 | 2,880 | ||||||
Liberty Property Trust | 2,170 | 86,214 | ||||||
Life Storage, Inc. | 3,500 | 292,320 | ||||||
The Macerich Co. | 1,882 | 105,430 | ||||||
Medical Properties Trust, Inc. | 3,900 | 50,700 | ||||||
MFA Financial, Inc. | 29,900 | 225,147 | ||||||
Mid-America Apartment Communities, Inc. | 3,983 | 363,409 | ||||||
National Retail Properties, Inc. | 300 | 11,778 |
Number of Shares | Value | |||||||
New Residential Investment Corp. | 47,700 | $ | 784,665 | |||||
Omega Healthcare Investors, Inc. | 4,700 | 127,088 | ||||||
Park Hotels & Resorts, Inc. | 24,900 | 672,798 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 2,400 | 42,216 | ||||||
Prologis, Inc. | 7,385 | 465,181 | ||||||
Rayonier, Inc. | 500 | 17,590 | ||||||
Realty Income Corp. | 600 | 31,038 | ||||||
Senior Housing Properties Trust | 3,600 | 56,376 | ||||||
Spirit Realty Capital, Inc. | 200 | 1,552 | ||||||
Starwood Property Trust, Inc. | 16,000 | 335,200 | ||||||
Two Harbors Investment Corp. | 36,650 | 563,310 | ||||||
UDR, Inc. | 3,100 | 110,422 | ||||||
Uniti Group, Inc. (a) | 72 | 1,170 | ||||||
Ventas, Inc. | 8,100 | 401,193 | ||||||
Vornado Realty Trust | 38 | 2,557 | ||||||
Weingarten Realty Investors | 900 | 25,272 | ||||||
Welltower, Inc. | 600 | 32,658 | ||||||
Weyerhaeuser Co. | 9,600 | 336,000 | ||||||
WP Carey, Inc. | 800 | 49,592 | ||||||
|
| |||||||
9,661,359 | ||||||||
|
| |||||||
Savings & Loans — 0.0% | ||||||||
New York Community Bancorp, Inc. | 90 | 1,173 | ||||||
People’s United Financial, Inc. | 4,200 | 78,372 | ||||||
|
| |||||||
79,545 | ||||||||
|
| |||||||
65,600,823 | ||||||||
|
| |||||||
Industrial — 7.7% | ||||||||
Aerospace & Defense — 0.6% | ||||||||
Harris Corp. | 4,098 | 660,925 | ||||||
L3 Technologies, Inc. | 790 | 164,320 | ||||||
Lockheed Martin Corp. | 160 | 54,069 | ||||||
Raytheon Co. | 500 | 107,910 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 2,500 | 209,250 | ||||||
|
| |||||||
1,196,474 | ||||||||
|
| |||||||
Building Materials — 0.1% | ||||||||
Fortune Brands Home & Security, Inc. | 200 | 11,778 | ||||||
Johnson Controls International PLC | 29 | 1,022 | ||||||
Owens Corning | 2,300 | 184,920 | ||||||
USG Corp. (a) | 1,000 | 40,420 | ||||||
|
| |||||||
238,140 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.4% | ||||||||
AMETEK, Inc. | 3,400 | 258,298 | ||||||
Emerson Electric Co. | 8,300 | 566,890 | ||||||
|
| |||||||
825,188 | ||||||||
|
| |||||||
Electronics — 1.7% | ||||||||
Agilent Technologies, Inc. | 5,400 | 361,260 | ||||||
Arrow Electronics, Inc. (a) | 3,800 | 292,676 | ||||||
Avnet, Inc. | 9,200 | 384,192 |
The accompanying notes are an integral part of the financial statements.
128
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Corning, Inc. | 24,400 | $ | 680,272 | |||||
Fortive Corp. | 1,400 | 108,528 | ||||||
Garmin Ltd. | 3,300 | 194,469 | ||||||
Gentex Corp. | 1,400 | 32,228 | ||||||
Honeywell International, Inc. | 6,010 | 868,505 | ||||||
Jabil, Inc. | 17,200 | 494,156 | ||||||
Keysight Technologies, Inc. (a) | 2,400 | 125,736 | ||||||
PerkinElmer, Inc. | 810 | 61,333 | ||||||
Trimble, Inc. (a) | 4,100 | 147,108 | ||||||
|
| |||||||
3,750,463 | ||||||||
|
| |||||||
Engineering & Construction — 0.5% | ||||||||
AECOM (a) | 4,011 | 142,912 | ||||||
Fluor Corp. | 13,900 | 795,358 | ||||||
Jacobs Engineering Group, Inc. | 2,500 | 147,875 | ||||||
|
| |||||||
1,086,145 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Republic Services, Inc. | 3,290 | 217,897 | ||||||
Waste Management, Inc. | 340 | 28,601 | ||||||
|
| |||||||
246,498 | ||||||||
|
| |||||||
Hand & Machine Tools — 0.2% | ||||||||
Regal Beloit Corp. | 1,000 | 73,350 | ||||||
Stanley Black & Decker, Inc. | 2,265 | 346,998 | ||||||
|
| |||||||
420,348 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 0.7% | ||||||||
Caterpillar, Inc. | 6,030 | 888,701 | ||||||
Oshkosh Corp. | 300 | 23,181 | ||||||
Terex Corp. | 13,800 | 516,258 | ||||||
|
| |||||||
1,428,140 | ||||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
AGCO Corp. | 3,766 | 244,225 | ||||||
Cummins, Inc. | 3,660 | 593,249 | ||||||
IDEX Corp. | 810 | 115,433 | ||||||
Roper Technologies, Inc. | 530 | 148,766 | ||||||
Xylem, Inc. | 1,100 | 84,612 | ||||||
|
| |||||||
1,186,285 | ||||||||
|
| |||||||
Metal Fabricate & Hardware — 0.0% | ||||||||
The Timken Co. | 1,000 | 45,600 | ||||||
Valmont Industries, Inc. | 70 | 10,241 | ||||||
|
| |||||||
55,841 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.5% | ||||||||
AptarGroup, Inc. | 600 | 53,898 | ||||||
Colfax Corp. (a) | 4,900 | 156,310 | ||||||
Crane Co. | 3,920 | 363,541 | ||||||
Donaldson Co., Inc. | 2,000 | 90,100 | ||||||
Dover Corp. | 4,300 | 422,346 | ||||||
Eaton Corp. PLC | 6,772 | 541,151 | ||||||
General Electric Co. | 90 | 1,213 | ||||||
Ingersoll-Rand PLC | 2,700 | 230,877 | ||||||
ITT, Inc. | 1,000 | 48,980 |
Number of Shares | Value | |||||||
Parker-Hannifin Corp. | 2,990 | $ | 511,380 | |||||
Pentair PLC | 1,019 | 69,424 | ||||||
Textron, Inc. | 6,100 | 359,717 | ||||||
Trinity Industries, Inc. | 11,600 | 378,508 | ||||||
|
| |||||||
3,227,445 | ||||||||
|
| |||||||
Packaging & Containers — 0.4% | ||||||||
Ardagh Group SA | 12,700 | 237,236 | ||||||
Bemis Co., Inc. | 60 | 2,611 | ||||||
Crown Holdings, Inc. (a) | 1,000 | 50,750 | ||||||
Owens-Illinois, Inc. (a) | 19,600 | 424,536 | ||||||
WestRock Co. | 3,440 | 220,745 | ||||||
|
| |||||||
935,878 | ||||||||
|
| |||||||
Shipbuilding — 0.1% | ||||||||
Huntington Ingalls Industries, Inc. | 460 | 118,570 | ||||||
|
| |||||||
Transportation — 0.8% | ||||||||
Norfolk Southern Corp. | 7,970 | 1,082,167 | ||||||
Ryder System, Inc. | 90 | 6,551 | ||||||
Union Pacific Corp. | 1,360 | 182,825 | ||||||
XPO Logistics, Inc. (a) | 4,800 | 488,688 | ||||||
|
| |||||||
1,760,231 | ||||||||
|
| |||||||
16,475,646 | ||||||||
|
| |||||||
Technology — 8.0% | ||||||||
Computers — 2.4% | ||||||||
Amdocs Ltd. | 3,000 | 200,160 | ||||||
Conduent, Inc. (a) | 27,351 | 509,823 | ||||||
DST Systems, Inc. | 3,400 | 284,410 | ||||||
Hewlett Packard Enterprise Co. | 24,300 | 426,222 | ||||||
HP, Inc. | 21,400 | 469,088 | ||||||
International Business Machines Corp. | 4,320 | 662,817 | ||||||
Leidos Holdings, Inc. | 2,350 | 153,690 | ||||||
NetApp, Inc. | 12,200 | 752,618 | ||||||
Teradata Corp. (a) | 11,900 | 472,073 | ||||||
Western Digital Corp. | 12,736 | 1,175,151 | ||||||
|
| |||||||
5,106,052 | ||||||||
|
| |||||||
Office & Business Equipment — 0.3% | ||||||||
Pitney Bowes, Inc. | 16,500 | 179,685 | ||||||
Xerox Corp. | 16,614 | 478,151 | ||||||
|
| |||||||
657,836 | ||||||||
|
| |||||||
Semiconductors — 3.4% | ||||||||
Cypress Semiconductor Corp. | 4,400 | 74,624 | ||||||
Intel Corp. | 84,400 | 4,395,552 | ||||||
Marvell Technology Group Ltd. | 2,100 | 44,100 | ||||||
Micron Technology, Inc. (a) | 8,300 | 432,762 | ||||||
NXP Semiconductor NV (a) | 1,960 | 229,320 | ||||||
ON Semiconductor Corp. (a) | 24,000 | 587,040 | ||||||
QUALCOMM, Inc. | 24,500 | 1,357,545 | ||||||
Teradyne, Inc. | 4,700 | 214,837 | ||||||
Xilinx, Inc. | 200 | 14,448 | ||||||
|
| |||||||
7,350,228 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
129
Table of Contents
MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Software — 1.9% | ||||||||
Autodesk, Inc. (a) | 360 | $ | 45,209 | |||||
CA, Inc. | 13,890 | 470,871 | ||||||
The Dun & Bradstreet Corp. | 2,870 | 335,790 | ||||||
Fidelity National Information Services, Inc. | 7,200 | 693,360 | ||||||
Nuance Communications, Inc. (a) | 2,700 | 42,525 | ||||||
Oracle Corp. | 47,500 | 2,173,125 | ||||||
SS&C Technologies Holdings, Inc | 100 | 5,364 | ||||||
Synopsys, Inc. (a) | 523 | 43,534 | ||||||
Zynga, Inc. Class A (a) | 63,900 | 233,874 | ||||||
|
| |||||||
4,043,652 | ||||||||
|
| |||||||
17,157,768 | ||||||||
|
| |||||||
Utilities — 4.3% | ||||||||
Electric — 4.1% | ||||||||
AES Corp. | 42,800 | 486,636 | ||||||
Alliant Energy Corp. | 600 | 24,516 | ||||||
Ameren Corp. | 2,360 | 133,647 | ||||||
American Electric Power Co., Inc. | 2,830 | 194,110 | ||||||
Avangrid, Inc. | 1,100 | 56,232 | ||||||
CenterPoint Energy, Inc. | 7,900 | 216,460 | ||||||
CMS Energy Corp. | 2,300 | 104,167 | ||||||
Consolidated Edison, Inc. | 5,160 | 402,170 | ||||||
DTE Energy Co. | 2,780 | 290,232 | ||||||
Duke Energy Corp. | 8,914 | 690,567 | ||||||
Edison International | 6,280 | 399,785 | ||||||
Entergy Corp. | 7,900 | 622,362 | ||||||
Eversource Energy | 1,481 | 87,260 | ||||||
Exelon Corp. | 4,275 | 166,768 | ||||||
FirstEnergy Corp. | 13,327 | 453,251 | ||||||
Great Plains Energy, Inc. | 11,637 | 369,940 | ||||||
Hawaiian Electric Industries, Inc. | 900 | 30,942 | ||||||
NextEra Energy, Inc. | 4,802 | 784,311 | ||||||
OGE Energy Corp. | 3,600 | 117,972 | ||||||
PG&E Corp. | 10,830 | 475,762 | ||||||
Pinnacle West Capital Corp. | 1,760 | 140,448 | ||||||
PPL Corp. | 14,000 | 396,060 | ||||||
Public Service Enterprise Group, Inc. | 7,600 | 381,824 | ||||||
SCANA Corp. | 2,520 | 94,626 | ||||||
Sempra Energy | 2,630 | 292,509 | ||||||
The Southern Co. | 12,250 | 547,085 | ||||||
Vistra Energy Corp. (a) | 15,600 | 324,948 | ||||||
WEC Energy Group, Inc. | 2,720 | 170,544 | ||||||
Westar Energy, Inc. | 200 | 10,518 | ||||||
Xcel Energy, Inc. | 3,720 | 169,186 | ||||||
|
| |||||||
8,634,838 | ||||||||
|
| |||||||
Gas — 0.2% | ||||||||
Atmos Energy Corp. | 250 | 21,060 | ||||||
National Fuel Gas Co. | 1,150 | 59,167 | ||||||
NiSource, Inc. | 16,690 | 399,058 |
Number of Shares | Value | |||||||
UGI Corp. | 435 | $ | 19,323 | |||||
Vectren Corp. | 150 | 9,588 | ||||||
|
| |||||||
508,196 | ||||||||
|
| |||||||
Water — 0.0% | ||||||||
Aqua America, Inc. | 25 | 851 | ||||||
|
| |||||||
9,143,885 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $184,537,563) | 201,714,483 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $184,537,563) | 201,714,483 | |||||||
|
| |||||||
RIGHTS — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
Retail — 0.0% | ||||||||
Safeway PDC, LLC. | 9,300 | 3 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $307) | 3 | |||||||
|
| |||||||
MUTUAL FUNDS — 4.3% | ||||||||
Diversified Financial Services — 4.3% | ||||||||
iShares Russell 1000 Value Index Fund | 75,738 | 9,085,530 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $9,008,414) | 9,085,530 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $193,546,284) | 210,800,016 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||||
Repurchase Agreement — 1.4% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/29/18, 0.740%, due 4/02/18 (d) | $ | 3,035,939 | 3,035,939 | |||||
|
|
The accompanying notes are an integral part of the financial statements.
130
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MassMutual Premier Disciplined Value Fund – Portfolio of Investments (Continued)
Principal Amount | Value | |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | $ | 47,267 | $ | 47,267 | ||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,083,206) | 3,083,206 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $196,629,490) (e) | 213,883,222 | |||||||
Other Assets/(Liabilities) — (0.0)% | (27,554 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 213,855,668 | ||||||
|
|
Abbreviation Legend
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 March 31, 2018, these securities amounted to a value of $3 or 0.00% of net assets. |
(d) | Maturity value of $3,036,188. Collateralized by U.S. Government Agency obligations with a rate of 1.375%, maturity date of 9/30/23, and an aggregate market value, including accrued interest, of $3,101,091. |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
131
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 97.5% | ||||||||
COMMON STOCK — 97.5% | ||||||||
Basic Materials — 2.2% | ||||||||
Chemicals — 2.2% | ||||||||
DowDuPont, Inc. | 20,084 | $ | 1,279,552 | |||||
PPG Industries, Inc. | 14,554 | 1,624,226 | ||||||
|
| |||||||
2,903,778 | ||||||||
|
| |||||||
Communications — 14.3% | ||||||||
Internet — 7.6% | ||||||||
Alphabet, Inc. Class C (a) | 4,805 | 4,957,751 | ||||||
eBay, Inc. (a) | 41,890 | 1,685,654 | ||||||
Facebook, Inc. Class A (a) | 19,526 | 3,120,059 | ||||||
|
| |||||||
9,763,464 | ||||||||
|
| |||||||
Media — 2.4% | ||||||||
Comcast Corp. Class A | 91,582 | 3,129,357 | ||||||
|
| |||||||
Telecommunications — 4.3% | ||||||||
Cisco Systems, Inc. | 27,480 | 1,178,617 | ||||||
Motorola Solutions, Inc. | 25,310 | 2,665,143 | ||||||
Verizon Communications, Inc. | 36,610 | 1,750,690 | ||||||
|
| |||||||
5,594,450 | ||||||||
|
| |||||||
18,487,271 | ||||||||
|
| |||||||
Consumer, Cyclical — 9.9% | ||||||||
Airlines — 0.5% | ||||||||
Alaska Air Group, Inc. | 10,960 | 679,082 | ||||||
|
| |||||||
Auto Parts & Equipment — 0.9% | ||||||||
Aptiv PLC | 11,784 | 1,001,286 | ||||||
Delphi Technologies PLC | 3,884 | 185,073 | ||||||
|
| |||||||
1,186,359 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.9% | ||||||||
Fastenal Co. | 21,650 | 1,181,873 | ||||||
|
| |||||||
Home Furnishing — 0.4% | ||||||||
Whirlpool Corp. | 2,800 | 428,708 | ||||||
|
| |||||||
Retail — 7.2% | ||||||||
Best Buy Co., Inc. | 21,190 | 1,483,088 | ||||||
CarMax, Inc. (a) | 23,640 | 1,464,262 | ||||||
Lowe’s Cos., Inc. | 28,290 | 2,482,447 | ||||||
McDonald’s Corp. | 11,317 | 1,769,752 | ||||||
O’Reilly Automotive, Inc. (a) | 8,820 | 2,181,892 | ||||||
|
| |||||||
9,381,441 | ||||||||
|
| |||||||
12,857,463 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 23.7% | ||||||||
Agriculture — 1.8% | ||||||||
Philip Morris International, Inc. | 23,711 | 2,356,873 | ||||||
|
| |||||||
Beverages — 2.7% | ||||||||
PepsiCo, Inc. | 31,947 | 3,487,015 | ||||||
|
|
Number of Shares | Value | |||||||
Biotechnology — 3.1% | ||||||||
Celgene Corp. (a) | 18,422 | $ | 1,643,427 | |||||
Exact Sciences Corp. (a) | 18,040 | 727,553 | ||||||
Gilead Sciences, Inc. | 21,440 | 1,616,361 | ||||||
|
| |||||||
3,987,341 | ||||||||
|
| |||||||
Commercial Services — 4.4% | ||||||||
Equifax, Inc. | 5,610 | 660,914 | ||||||
Nielsen Holdings PLC | 33,350 | 1,060,197 | ||||||
PayPal Holdings, Inc. (a) | 23,207 | 1,760,715 | ||||||
S&P Global, Inc. | 12,020 | 2,296,541 | ||||||
|
| |||||||
5,778,367 | ||||||||
|
| |||||||
Foods — 2.7% | ||||||||
The Kraft Heinz Co. | 28,830 | 1,795,821 | ||||||
Mondelez International, Inc. Class A | 41,541 | 1,733,506 | ||||||
|
| |||||||
3,529,327 | ||||||||
|
| |||||||
Health Care – Products — 2.1% | ||||||||
Boston Scientific Corp. (a) | 45,503 | 1,243,142 | ||||||
Stryker Corp. | 9,630 | 1,549,660 | ||||||
|
| |||||||
2,792,802 | ||||||||
|
| |||||||
Health Care – Services — 4.0% | ||||||||
DaVita, Inc. (a) | 19,700 | 1,299,018 | ||||||
Laboratory Corp. of America Holdings (a) | 840 | 135,870 | ||||||
UnitedHealth Group, Inc. | 17,319 | 3,706,266 | ||||||
|
| |||||||
5,141,154 | ||||||||
|
| |||||||
Pharmaceuticals — 2.9% | ||||||||
Express Scripts Holding Co. (a) | 8,289 | 572,604 | ||||||
Merck & Co., Inc. | 57,701 | 3,142,974 | ||||||
|
| |||||||
3,715,578 | ||||||||
|
| |||||||
30,788,457 | ||||||||
|
| |||||||
Energy — 5.4% | ||||||||
Oil & Gas — 3.7% | ||||||||
Exxon Mobil Corp. | 26,240 | 1,957,766 | ||||||
Suncor Energy, Inc. | 84,218 | 2,908,890 | ||||||
|
| |||||||
4,866,656 | ||||||||
|
| |||||||
Pipelines — 1.7% | ||||||||
Magellan Midstream Partners LP (b) | 37,364 | 2,180,190 | ||||||
|
| |||||||
7,046,846 | ||||||||
|
| |||||||
Financial — 18.7% | ||||||||
Banks — 7.9% | ||||||||
The Bank of New York Mellon Corp. | 40,747 | 2,099,693 | ||||||
JP Morgan Chase & Co. | 42,520 | 4,675,924 | ||||||
SunTrust Banks, Inc. | 24,018 | 1,634,185 | ||||||
US Bancorp | 35,206 | 1,777,903 | ||||||
|
| |||||||
10,187,705 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
132
Table of Contents
MassMutual Premier Main Street Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Diversified Financial Services — 4.4% | ||||||||
CME Group, Inc. | 12,475 | $ | 2,017,706 | |||||
Discover Financial Services | 20,828 | 1,498,158 | ||||||
Intercontinental Exchange, Inc. | 30,280 | 2,195,906 | ||||||
|
| |||||||
5,711,770 | ||||||||
|
| |||||||
Insurance — 5.7% | ||||||||
Berkshire Hathaway, Inc. Class B (a) | 15,280 | 3,048,054 | ||||||
Marsh & McLennan Cos., Inc. | 25,633 | 2,117,030 | ||||||
The Progressive Corp. | 37,070 | 2,258,675 | ||||||
|
| |||||||
7,423,759 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.7% | ||||||||
Mid-America Apartment Communities, Inc. | 9,846 | 898,349 | ||||||
|
| |||||||
24,221,583 | ||||||||
|
| |||||||
Industrial — 8.0% | ||||||||
Aerospace & Defense — 2.4% | ||||||||
Lockheed Martin Corp. | 9,063 | 3,062,660 | ||||||
|
| |||||||
Building Materials — 0.7% | ||||||||
Vulcan Materials Co. | 7,865 | 897,947 | ||||||
|
| |||||||
Electronics — 1.4% | ||||||||
Agilent Technologies, Inc. | 27,134 | 1,815,265 | ||||||
|
| |||||||
Environmental Controls — 0.8% | ||||||||
Republic Services, Inc. | 15,034 | 995,702 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 2.0% | ||||||||
General Electric Co. | 96,846 | 1,305,484 | ||||||
Illinois Tool Works, Inc. | 8,390 | 1,314,377 | ||||||
|
| |||||||
2,619,861 | ||||||||
|
| |||||||
Transportation — 0.7% | ||||||||
Canadian Pacific Railway Ltd. | 5,519 | 974,103 | ||||||
|
| |||||||
10,365,538 | ||||||||
|
| |||||||
Technology — 12.6% | ||||||||
Computers — 8.2% | ||||||||
Amdocs Ltd. | 27,329 | 1,823,391 | ||||||
Apple, Inc. | 45,102 | 7,567,214 | ||||||
Western Digital Corp. | 14,188 | 1,309,127 | ||||||
|
| |||||||
10,699,732 | ||||||||
|
| |||||||
Semiconductors — 2.2% | ||||||||
Applied Materials, Inc. | 35,513 | 1,974,878 | ||||||
Maxim Integrated Products, Inc. | 14,360 | 864,759 | ||||||
|
| |||||||
2,839,637 | ||||||||
|
| |||||||
Software — 2.2% | ||||||||
Activision Blizzard, Inc. | 19,570 | 1,320,192 | ||||||
Cerner Corp. (a) | 14,965 | 867,970 | ||||||
ServiceNow, Inc. (a) | 3,960 | 655,182 | ||||||
|
| |||||||
2,843,344 | ||||||||
|
| |||||||
16,382,713 | ||||||||
|
|
Number of Shares | Value | |||||||
Utilities — 2.7% | ||||||||
Electric — 1.0% | ||||||||
PG&E Corp. | 31,140 | $ | 1,367,980 | |||||
|
| |||||||
Gas — 1.7% | ||||||||
National Grid PLC | 192,907 | 2,169,400 | ||||||
|
| |||||||
3,537,380 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $109,819,678) | 126,591,029 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $109,819,678) | 126,591,029 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $109,819,678) | 126,591,029 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||||
Repurchase Agreement — 2.5% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/29/18, 0.740%, due 4/02/18 (c) | $ | 3,230,169 | 3,230,169 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit 0.280% 4/02/18 | 30,497 | 30,497 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,260,666) | 3,260,666 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% (Cost $113,080,344) (d) | 129,851,695 | |||||||
|
| |||||||
Other Assets/(Liabilities) — (0.0)% | (56,157 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 129,795,538 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Security is a Master Limited Partnership. |
(c) | Maturity value of $3,230,434. Collateralized by U.S. Government Agency obligations with a rate of 1.375%, maturity date of 9/30/23, and an aggregate market value, including accrued interest, of $3,299,034. |
(d) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
133
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.8% | ||||||||
COMMON STOCK — 98.8% | ||||||||
Basic Materials — 2.4% | ||||||||
Chemicals — 2.1% | ||||||||
Albemarle Corp. | 400 | $ | 37,096 | |||||
Celanese Corp. Series A | 2,290 | 229,481 | ||||||
The Chemours Co. | 16,300 | 793,973 | ||||||
DowDuPont, Inc. | 6,300 | 401,373 | ||||||
Huntsman Corp. | 38,300 | 1,120,275 | ||||||
LyondellBasell Industries NV Class A | 12,170 | 1,286,125 | ||||||
Monsanto Co. | 5,930 | 691,972 | ||||||
Platform Specialty Products Corp. (a) | 60,000 | 577,800 | ||||||
Praxair, Inc. | 6,930 | 999,999 | ||||||
Univar, Inc. (a) | 5,600 | 155,400 | ||||||
Versum Materials, Inc. | 2,420 | 91,065 | ||||||
Westlake Chemical Corp. | 15,800 | 1,756,170 | ||||||
|
| |||||||
8,140,729 | ||||||||
|
| |||||||
Forest Products & Paper — 0.1% | ||||||||
International Paper Co. | 9,200 | 491,556 | ||||||
|
| |||||||
Iron & Steel — 0.0% | ||||||||
Steel Dynamics, Inc. | 800 | 35,376 | ||||||
|
| |||||||
Mining — 0.2% | ||||||||
Freeport-McMoRan, Inc. (a) | 43,200 | 759,024 | ||||||
Southern Copper Corp. | 2,102 | 113,886 | ||||||
|
| |||||||
872,910 | ||||||||
|
| |||||||
9,540,571 | ||||||||
|
| |||||||
Communications — 17.5% | ||||||||
Advertising — 0.1% | ||||||||
The Interpublic Group of Cos., Inc. | 100 | 2,303 | ||||||
Omnicom Group, Inc. | 8,100 | 588,627 | ||||||
|
| |||||||
590,930 | ||||||||
|
| |||||||
Internet — 13.3% | ||||||||
Alphabet, Inc. Class A (a) | 8,559 | 8,876,881 | ||||||
Alphabet, Inc. Class C (a) | 9,249 | 9,543,026 | ||||||
Amazon.com, Inc. (a) | 8,651 | 12,520,938 | ||||||
Booking Holdings, Inc. (a) | 1,405 | 2,922,948 | ||||||
CDW Corp. | 1,400 | 98,434 | ||||||
Expedia Group, Inc. | 2,052 | 226,561 | ||||||
F5 Networks, Inc. (a) | 3,520 | 509,027 | ||||||
Facebook, Inc. Class A (a) | 72,630 | 11,605,548 | ||||||
GoDaddy, Inc. Class A (a) | 13,700 | 841,454 | ||||||
IAC/InterActiveCorp (a) | 1,870 | 292,431 | ||||||
Liberty Expedia Holdings, Inc. Class A (a) | 31,728 | 1,246,276 | ||||||
Match Group, Inc. (a) | 3,400 | 151,096 | ||||||
Netflix, Inc. (a) | 7 | 2,068 | ||||||
Palo Alto Networks, Inc. (a) | 3,670 | 666,178 | ||||||
Symantec Corp. | 3,600 | 93,060 |
Number of Shares | Value | |||||||
Twitter, Inc. (a) | 36,400 | $ | 1,055,964 | |||||
VeriSign, Inc. (a) | 9,470 | 1,122,763 | ||||||
|
| |||||||
51,774,653 | ||||||||
|
| |||||||
Media — 2.9% | ||||||||
AMC Networks, Inc. Class A (a) | 25,300 | 1,308,010 | ||||||
CBS Corp. Class B | 6,500 | 334,035 | ||||||
Charter Communications, Inc. Class A (a) | 480 | 149,386 | ||||||
Comcast Corp. Class A | 166,100 | 5,675,637 | ||||||
Discovery Communications, Inc. Class C (a) | 7,726 | 150,811 | ||||||
DISH Network Corp. Class A (a) | 4,300 | 162,927 | ||||||
Sirius XM Holdings, Inc. | 304,300 | 1,898,832 | ||||||
Twenty-First Century Fox, Inc. Class A | 17,600 | 645,744 | ||||||
Twenty-First Century Fox, Inc. Class B | 12,000 | 436,440 | ||||||
The Walt Disney Co. | 6,180 | 620,719 | ||||||
|
| |||||||
11,382,541 | ||||||||
|
| |||||||
Telecommunications — 1.2% | ||||||||
Arista Networks, Inc. (a) | 3,470 | 885,891 | ||||||
LogMeIn, Inc. | 6,510 | 752,231 | ||||||
Motorola Solutions, Inc. | 400 | 42,120 | ||||||
T-Mobile US, Inc. (a) | 16,600 | 1,013,264 | ||||||
Verizon Communications, Inc. | 38,400 | 1,836,288 | ||||||
|
| |||||||
4,529,794 | ||||||||
|
| |||||||
68,277,918 | ||||||||
|
| |||||||
Consumer, Cyclical — 11.7% | ||||||||
Airlines — 1.0% | ||||||||
Alaska Air Group, Inc. | 12,200 | 755,912 | ||||||
American Airlines Group, Inc. | 22,600 | 1,174,296 | ||||||
Copa Holdings SA Class A | 8,550 | 1,099,787 | ||||||
Southwest Airlines Co. | 16,400 | 939,392 | ||||||
|
| |||||||
3,969,387 | ||||||||
|
| |||||||
Apparel — 0.3% | ||||||||
Carter’s, Inc. | 100 | 10,410 | ||||||
Hanesbrands, Inc. | 8,900 | 163,938 | ||||||
Michael Kors Holdings Ltd. (a) | 2,100 | 130,368 | ||||||
NIKE, Inc. Class B | 80 | 5,315 | ||||||
Skechers U.S.A., Inc. Class A (a) | 10 | 389 | ||||||
VF Corp. | 9,400 | 696,728 | ||||||
|
| |||||||
1,007,148 | ||||||||
|
| |||||||
Auto Parts & Equipment — 1.4% | ||||||||
Allison Transmission Holdings, Inc. | 31,700 | 1,238,202 | ||||||
Aptiv PLC | 7,700 | 654,269 | ||||||
BorgWarner, Inc. | 14,180 | 712,261 | ||||||
Delphi Technologies PLC | 2,566 | 122,270 | ||||||
Lear Corp. | 8,400 | 1,563,156 | ||||||
Visteon Corp. (a) | 6,280 | 692,307 |
The accompanying notes are an integral part of the financial statements.
134
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
WABCO Holdings, Inc. (a) | 4,240 | $ | 567,609 | |||||
|
| |||||||
5,550,074 | ||||||||
|
| |||||||
Distribution & Wholesale — 0.4% | ||||||||
HD Supply Holdings, Inc. (a) | 18,600 | 705,684 | ||||||
KAR Auction Services, Inc. | 12,900 | 699,180 | ||||||
|
| |||||||
1,404,864 | ||||||||
|
| |||||||
Entertainment — 0.2% | ||||||||
Lions Gate Entertainment Corp. Class A | 13,200 | 340,956 | ||||||
Lions Gate Entertainment Corp. Class B | 22,100 | 532,168 | ||||||
The Madison Square Garden Co. Class A (a) | 3 | 737 | ||||||
|
| |||||||
873,861 | ||||||||
|
| |||||||
Food Services — 0.0% | ||||||||
Aramark | 2,500 | 98,900 | ||||||
|
| |||||||
Home Builders — 1.0% | ||||||||
D.R. Horton, Inc. | 10,400 | 455,936 | ||||||
NVR, Inc. (a) | 510 | 1,428,000 | ||||||
PulteGroup, Inc. | 1,800 | 53,082 | ||||||
Thor Industries, Inc. | 6,150 | 708,296 | ||||||
Toll Brothers, Inc. | 24,500 | 1,059,625 | ||||||
|
| |||||||
3,704,939 | ||||||||
|
| |||||||
Home Furnishing — 0.2% | ||||||||
Tempur Sealy International, Inc. (a) | 1,200 | 54,348 | ||||||
Whirlpool Corp. | 4,610 | 705,837 | ||||||
|
| |||||||
760,185 | ||||||||
|
| |||||||
Housewares — 0.1% | ||||||||
The Toro Co. | 5,160 | 322,242 | ||||||
Tupperware Brands Corp. | 4,800 | 232,224 | ||||||
|
| |||||||
554,466 | ||||||||
|
| |||||||
Leisure Time — 0.4% | ||||||||
Brunswick Corp. | 4,600 | 273,194 | ||||||
Harley-Davidson, Inc. | 16,000 | 686,080 | ||||||
Polaris Industries, Inc. | 4,580 | 524,502 | ||||||
|
| |||||||
1,483,776 | ||||||||
|
| |||||||
Lodging — 1.9% | ||||||||
Choice Hotels International, Inc. | 700 | 56,105 | ||||||
Hilton Worldwide Holdings, Inc. | 10,000 | 787,600 | ||||||
Las Vegas Sands Corp. | 34,900 | 2,509,310 | ||||||
Marriott International, Inc. Class A | 17,147 | 2,331,649 | ||||||
Wyndham Worldwide Corp. | 3,850 | 440,556 | ||||||
Wynn Resorts Ltd. | 7,890 | 1,438,820 | ||||||
|
| |||||||
7,564,040 | ||||||||
|
| |||||||
Retail — 4.7% | ||||||||
AutoZone, Inc. (a) | 38 | 24,650 | ||||||
Burlington Stores, Inc. (a) | 1,200 | 159,780 | ||||||
CarMax, Inc. (a) | 2,600 | 161,044 |
Number of Shares | Value | |||||||
Chipotle Mexican Grill, Inc. (a) | 3 | $ | 969 | |||||
Copart, Inc. (a) | 15,400 | 784,322 | ||||||
Costco Wholesale Corp. | 11,520 | 2,170,714 | ||||||
Darden Restaurants, Inc. | 3,900 | 332,475 | ||||||
Dick’s Sporting Goods, Inc. | 43,000 | 1,507,150 | ||||||
Dollar General Corp. | 1,500 | 140,325 | ||||||
Dollar Tree, Inc. (a) | 2,727 | 258,792 | ||||||
Domino’s Pizza, Inc. | 1,590 | 371,361 | ||||||
Dunkin’ Brands Group, Inc. | 8,900 | 531,241 | ||||||
Foot Locker, Inc. | 32,600 | 1,484,604 | ||||||
The Gap, Inc. | 29,100 | 907,920 | ||||||
The Home Depot, Inc. | 24,630 | 4,390,051 | ||||||
L Brands, Inc. | 800 | 30,568 | ||||||
Lowe’s Cos., Inc. | 6,800 | 596,700 | ||||||
McDonald’s Corp. | 2,130 | 333,089 | ||||||
The Michaels Cos., Inc. (a) | 46,400 | 914,544 | ||||||
Nordstrom, Inc. | 3,300 | 159,753 | ||||||
Nu Skin Enterprises, Inc. Class A | 730 | 53,808 | ||||||
O’Reilly Automotive, Inc. (a) | 70 | 17,317 | ||||||
Qurate Retail Group, Inc. (a) | 35,000 | 880,950 | ||||||
Ross Stores, Inc. | 8,460 | 659,711 | ||||||
Starbucks Corp. | 1,100 | 63,679 | ||||||
Tapestry, Inc. | 9 | 474 | ||||||
The TJX Cos., Inc. | 3,920 | 319,715 | ||||||
Walgreens Boots Alliance, Inc. | 14,600 | 955,862 | ||||||
Williams-Sonoma, Inc. | 1,700 | 89,692 | ||||||
Yum China Holdings, Inc. | 4,800 | 199,200 | ||||||
Yum! Brands, Inc. | 40 | 3,405 | ||||||
|
| |||||||
18,503,865 | ||||||||
|
| |||||||
Toys, Games & Hobbies — 0.1% | ||||||||
Hasbro, Inc. | 4,370 | 368,391 | ||||||
|
| |||||||
45,843,896 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 19.4% | ||||||||
Agriculture — 0.5% | ||||||||
Altria Group, Inc. | 25,770 | 1,605,986 | ||||||
Philip Morris International, Inc. | 5,070 | 503,958 | ||||||
|
| |||||||
2,109,944 | ||||||||
|
| |||||||
Beverages — 1.9% | ||||||||
Brown-Forman Corp. Class B | 17 | 925 | ||||||
The Coca-Cola Co. | 24,260 | 1,053,612 | ||||||
Constellation Brands, Inc. Class A | 1,280 | 291,738 | ||||||
Dr. Pepper Snapple Group, Inc. | 1,400 | 165,732 | ||||||
Monster Beverage Corp. (a) | 750 | 42,907 | ||||||
PepsiCo, Inc. | 53,169 | 5,803,396 | ||||||
|
| |||||||
7,358,310 | ||||||||
|
| |||||||
Biotechnology — 2.8% | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 3,040 | 338,838 | ||||||
Amgen, Inc. | 10,170 | 1,733,782 | ||||||
Biogen, Inc. (a) | 5,790 | 1,585,418 | ||||||
Celgene Corp. (a) | 27,800 | 2,480,038 |
The accompanying notes are an integral part of the financial statements.
135
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Charles River Laboratories International, Inc. (a) | 800 | $ | 85,392 | |||||
Gilead Sciences, Inc. | 47,020 | 3,544,838 | ||||||
Illumina, Inc. (a) | 3,510 | 829,834 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 2,660 | 433,527 | ||||||
|
| |||||||
11,031,667 | ||||||||
|
| |||||||
Commercial Services — 4.3% | ||||||||
Automatic Data Processing, Inc. | 12,320 | 1,398,073 | ||||||
Booz Allen Hamilton Holding Corp. | 6,100 | 236,192 | ||||||
Cintas Corp. | 20 | 3,412 | ||||||
CoreLogic, Inc. (a) | 600 | 27,138 | ||||||
CoStar Group, Inc. (a) | 2,760 | 1,000,997 | ||||||
Ecolab, Inc. | 728 | 99,787 | ||||||
Euronet Worldwide, Inc. (a) | 15,700 | 1,239,044 | ||||||
FleetCor Technologies, Inc. (a) | 1,920 | 388,800 | ||||||
Gartner, Inc. (a) | 350 | 41,167 | ||||||
Global Payments, Inc. | 3,940 | 439,389 | ||||||
H&R Block, Inc. | 26,600 | 675,906 | ||||||
IHS Markit Ltd. (a) | 3,400 | 164,016 | ||||||
Live Nation Entertainment, Inc. (a) | 10,000 | 421,400 | ||||||
Moody’s Corp. | 3,300 | 532,290 | ||||||
PayPal Holdings, Inc. (a) | 37,000 | 2,807,190 | ||||||
Quanta Services, Inc. (a) | 2,400 | 82,440 | ||||||
Robert Half International, Inc. | 8,100 | 468,909 | ||||||
Rollins, Inc. | 1,000 | 51,030 | ||||||
S&P Global, Inc. | 10,090 | 1,927,795 | ||||||
Service Corp. International | 11,000 | 415,140 | ||||||
Square, Inc. Class A (a) | 19,600 | 964,320 | ||||||
Total System Services, Inc. | 7,200 | 621,072 | ||||||
TransUnion (a) | 9,200 | 522,376 | ||||||
United Rentals, Inc. (a) | 7,820 | 1,350,748 | ||||||
Verisk Analytics, Inc. (a) | 200 | 20,800 | ||||||
The Western Union Co. | 47,220 | 908,041 | ||||||
Worldpay, Inc. Class A (a) | 600 | 49,344 | ||||||
|
| |||||||
16,856,816 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.4% | ||||||||
Colgate-Palmolive Co. | 380 | 27,239 | ||||||
The Estee Lauder Cos., Inc. Class A | 7,460 | 1,116,911 | ||||||
The Procter & Gamble Co. | 4,300 | 340,904 | ||||||
|
| |||||||
1,485,054 | ||||||||
|
| |||||||
Foods — 0.5% | ||||||||
Campbell Soup Co. | 2,600 | 112,606 | ||||||
General Mills, Inc. | 8,060 | 363,184 | ||||||
The Hershey Co. | 900 | 89,064 | ||||||
Kellogg Co. | 2,840 | 184,628 | ||||||
The Kroger Co. | 28,220 | 675,587 | ||||||
McCormick & Co., Inc. | 320 | 34,045 | ||||||
Pilgrim’s Pride Corp. (a) | 13,400 | 329,774 | ||||||
Sysco Corp. | 3,000 | 179,880 | ||||||
|
| |||||||
1,968,768 | ||||||||
|
|
Number of Shares | Value | |||||||
Health Care – Products — 2.7% | ||||||||
ABIOMED, Inc. (a) | 3,150 | $ | 916,619 | |||||
Align Technology, Inc. (a) | 3,130 | 786,037 | ||||||
Baxter International, Inc. | 22,020 | 1,432,181 | ||||||
Becton, Dickinson & Co. | 7,923 | 1,716,914 | ||||||
Boston Scientific Corp. (a) | 9,200 | 251,344 | ||||||
The Cooper Cos., Inc. | 1,400 | 320,334 | ||||||
Edwards Lifesciences Corp. (a) | 1,380 | 192,538 | ||||||
Henry Schein, Inc. (a) | 180 | 12,098 | ||||||
Hill-Rom Holdings, Inc. | 1,900 | 165,300 | ||||||
Hologic, Inc. (a) | 11,400 | 425,904 | ||||||
IDEXX Laboratories, Inc. (a) | 470 | 89,953 | ||||||
Intuitive Surgical, Inc. (a) | 2,888 | 1,192,253 | ||||||
Medtronic PLC | 10,700 | 858,354 | ||||||
ResMed, Inc. | 100 | 9,847 | ||||||
Stryker Corp. | 2,110 | 339,541 | ||||||
Teleflex, Inc. | 190 | 48,446 | ||||||
Thermo Fisher Scientific, Inc. | 4,690 | 968,297 | ||||||
Varian Medical Systems, Inc. (a) | 5,000 | 613,250 | ||||||
|
| |||||||
10,339,210 | ||||||||
|
| |||||||
Health Care – Services — 2.4% | ||||||||
Aetna, Inc. | 4,650 | 785,850 | ||||||
Centene Corp. (a) | 611 | 65,298 | ||||||
Cigna Corp. | 7,750 | 1,299,985 | ||||||
HCA Healthcare, Inc. | 300 | 29,100 | ||||||
Humana, Inc. | 3,330 | 895,204 | ||||||
IQVIA Holdings, Inc. (a) | 304 | 29,825 | ||||||
UnitedHealth Group, Inc. | 28,360 | 6,069,040 | ||||||
WellCare Health Plans, Inc. (a) | 1,130 | 218,802 | ||||||
|
| |||||||
9,393,104 | ||||||||
|
| |||||||
Household Products & Wares — 0.2% | ||||||||
Avery Dennison Corp. | 2,600 | 276,250 | ||||||
Church & Dwight Co., Inc. | 2,820 | 142,015 | ||||||
The Clorox Co. | 370 | 49,251 | ||||||
Kimberly-Clark Corp. | 3,440 | 378,847 | ||||||
Spectrum Brands Holdings, Inc. | 410 | 42,517 | ||||||
|
| |||||||
888,880 | ||||||||
|
| |||||||
Pharmaceuticals — 3.7% | ||||||||
AbbVie, Inc. | 57,183 | 5,412,371 | ||||||
AmerisourceBergen Corp. | 3,860 | 332,771 | ||||||
Bristol-Myers Squibb Co. | 17,700 | 1,119,525 | ||||||
Eli Lilly & Co. | 26,800 | 2,073,516 | ||||||
Express Scripts Holding Co. (a) | 13,580 | 938,106 | ||||||
Herbalife Ltd. (a) | 2,080 | 202,738 | ||||||
Johnson & Johnson | 13,750 | 1,762,062 | ||||||
McKesson Corp. | 8,490 | 1,195,986 | ||||||
Merck & Co., Inc. | 9,400 | 512,018 | ||||||
Zoetis, Inc. | 8,800 | 734,888 | ||||||
|
| |||||||
14,283,981 | ||||||||
|
| |||||||
75,715,734 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
136
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Energy — 0.7% | ||||||||
Oil & Gas — 0.2% | ||||||||
Cimarex Energy Co. | 1,200 | $ | 112,200 | |||||
Continental Resources, Inc. (a) | 40 | 2,358 | ||||||
Devon Energy Corp. | 5,400 | 171,666 | ||||||
EOG Resources, Inc. | 90 | 9,474 | ||||||
Gulfport Energy Corp. (a) | 41,200 | 397,580 | ||||||
Newfield Exploration Co. (a) | 2,300 | 56,166 | ||||||
|
| |||||||
749,444 | ||||||||
|
| |||||||
Oil & Gas Services — 0.3% | ||||||||
Halliburton Co. | 23,100 | 1,084,314 | ||||||
|
| |||||||
Pipelines — 0.2% | ||||||||
ONEOK, Inc. | 9,900 | 563,508 | ||||||
The Williams Cos., Inc. | 13,000 | 323,180 | ||||||
|
| |||||||
886,688 | ||||||||
|
| |||||||
2,720,446 | ||||||||
|
| |||||||
Financial — 7.7% | ||||||||
Banks — 0.9% | ||||||||
Capital One Financial Corp. | 900 | 86,238 | ||||||
East West Bancorp, Inc. | 8,600 | 537,844 | ||||||
First Republic Bank | 800 | 74,088 | ||||||
Pinnacle Financial Partners, Inc. | 7,800 | 500,760 | ||||||
State Street Corp. | 12,600 | 1,256,598 | ||||||
SVB Financial Group (a) | 3,720 | 892,837 | ||||||
Western Alliance Bancorp (a) | 1,600 | 92,976 | ||||||
|
| |||||||
3,441,341 | ||||||||
|
| |||||||
Diversified Financial Services — 4.9% | ||||||||
Air Lease Corp. | 8,400 | 358,008 | ||||||
Alliance Data Systems Corp. | 1,260 | 268,204 | ||||||
Ameriprise Financial, Inc. | 7,960 | 1,177,602 | ||||||
BGC Partners, Inc. Class A | 12,700 | 170,815 | ||||||
Cboe Global Markets, Inc. | 2,800 | 319,480 | ||||||
The Charles Schwab Corp. | 5,300 | 276,766 | ||||||
Credit Acceptance Corp. (a) | 4,410 | 1,457,108 | ||||||
Eaton Vance Corp. | 7,100 | 395,257 | ||||||
Federated Investors, Inc. Class B | 21,580 | 720,772 | ||||||
Intercontinental Exchange, Inc. | 1,250 | 90,650 | ||||||
Invesco Ltd. | 25,600 | 819,456 | ||||||
Lazard Ltd. Class A | 26,300 | 1,382,328 | ||||||
Legg Mason, Inc. | 27,300 | 1,109,745 | ||||||
LPL Financial Holdings, Inc. | 3,500 | 213,745 | ||||||
Mastercard, Inc. Class A | 26,040 | 4,561,167 | ||||||
Raymond James Financial, Inc. | 3,700 | 330,817 | ||||||
SEI Investments Co. | 3,800 | 284,658 | ||||||
T. Rowe Price Group, Inc. | 8,900 | 960,933 | ||||||
Visa, Inc. Class A | 36,770 | 4,398,427 | ||||||
|
| |||||||
19,295,938 | ||||||||
|
| |||||||
Insurance — 1.1% | ||||||||
The Allstate Corp. | 11,100 | 1,052,280 | ||||||
American International Group, Inc. | 200 | 10,884 |
Number of Shares | Value | |||||||
Aon PLC | 4,640 | $ | 651,131 | |||||
Arthur J Gallagher & Co. | 3,200 | 219,936 | ||||||
Assurant, Inc. | 9,340 | 853,769 | ||||||
Erie Indemnity Co. Class A | 70 | 8,235 | ||||||
Marsh & McLennan Cos., Inc. | 7,000 | 578,130 | ||||||
The Progressive Corp. | 15,900 | 968,787 | ||||||
Voya Financial, Inc. | 300 | 15,150 | ||||||
|
| |||||||
4,358,302 | ||||||||
|
| |||||||
Real Estate — 0.3% | ||||||||
CBRE Group, Inc. Class A (a) | 25,600 | 1,208,832 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 0.5% | ||||||||
American Tower Corp. | 765 | 111,185 | ||||||
CoreSite Realty Corp. | 970 | 97,252 | ||||||
Crown Castle International Corp. | 3,000 | 328,830 | ||||||
Digital Realty Trust, Inc. | 450 | 47,421 | ||||||
Equinix, Inc. | 447 | 186,909 | ||||||
Equity LifeStyle Properties, Inc. | 100 | 8,777 | ||||||
Extra Space Storage, Inc. | 100 | 8,736 | ||||||
Gaming and Leisure Properties, Inc. | 7,400 | 247,678 | ||||||
Iron Mountain, Inc. | 43 | 1,413 | ||||||
Lamar Advertising Co. Class A | 300 | 19,098 | ||||||
Outfront Media, Inc. | 28,100 | 526,594 | ||||||
Public Storage | 640 | 128,250 | ||||||
Simon Property Group, Inc. | 909 | 140,304 | ||||||
|
| |||||||
1,852,447 | ||||||||
|
| |||||||
30,156,860 | ||||||||
|
| |||||||
Industrial — 11.3% | ||||||||
Aerospace & Defense — 2.8% | ||||||||
The Boeing Co. | 21,090 | 6,914,989 | ||||||
General Dynamics Corp. | 470 | 103,823 | ||||||
HEICO Corp. | 250 | 21,703 | ||||||
HEICO Corp. Class A | 375 | 26,606 | ||||||
Lockheed Martin Corp. | 3,080 | 1,040,824 | ||||||
Northrop Grumman Corp. | 5,920 | 2,066,790 | ||||||
Raytheon Co. | 1,390 | 299,990 | ||||||
Rockwell Collins, Inc. | 10 | 1,349 | ||||||
TransDigm Group, Inc. | 840 | 257,830 | ||||||
|
| |||||||
10,733,904 | ||||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
Eagle Materials, Inc. | 3,000 | 309,150 | ||||||
Fortune Brands Home & Security, Inc. | 4,200 | 247,338 | ||||||
Lennox International, Inc. | 60 | 12,262 | ||||||
|
| |||||||
568,750 | ||||||||
|
| |||||||
Electrical Components & Equipment — 0.7% | ||||||||
AMETEK, Inc. | 17,175 | 1,304,785 | ||||||
Emerson Electric Co. | 4,310 | 294,373 | ||||||
Energizer Holdings, Inc. | 17,500 | 1,042,650 | ||||||
Universal Display Corp. | 1,040 | 105,040 | ||||||
|
| |||||||
2,746,848 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
137
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Electronics — 1.5% | ||||||||
Agilent Technologies, Inc. | 10,200 | $ | 682,380 | |||||
Allegion PLC | 2,700 | 230,283 | ||||||
Amphenol Corp. Class A | 7,600 | 654,588 | ||||||
Corning, Inc. | 11,700 | 326,196 | ||||||
Fortive Corp. | 3,760 | 291,475 | ||||||
Gentex Corp. | 10,420 | 239,868 | ||||||
Honeywell International, Inc. | 11,860 | 1,713,889 | ||||||
Mettler-Toledo International, Inc. (a) | 530 | 304,766 | ||||||
National Instruments Corp. | 3,300 | 166,881 | ||||||
PerkinElmer, Inc. | 5,300 | 401,316 | ||||||
Trimble, Inc. (a) | 8,420 | 302,110 | ||||||
Waters Corp. (a) | 2,550 | 506,557 | ||||||
|
| |||||||
5,820,309 | ||||||||
|
| |||||||
Environmental Controls — 0.1% | ||||||||
Waste Management, Inc. | 3,500 | 294,420 | ||||||
|
| |||||||
Hand & Machine Tools — 0.0% | ||||||||
Lincoln Electric Holdings, Inc. | 500 | 44,975 | ||||||
Stanley Black & Decker, Inc. | 750 | 114,900 | ||||||
|
| |||||||
159,875 | ||||||||
|
| |||||||
Machinery – Construction & Mining — 1.0% | ||||||||
BWX Technologies, Inc. | 14,400 | 914,832 | ||||||
Caterpillar, Inc. | 21,400 | 3,153,932 | ||||||
|
| |||||||
4,068,764 | ||||||||
|
| |||||||
Machinery – Diversified — 1.6% | ||||||||
Cognex Corp. | 8,300 | 431,517 | ||||||
Cummins, Inc. | 8,460 | 1,371,281 | ||||||
Deere & Co. | 8,170 | 1,268,964 | ||||||
Gardner Denver Holdings, Inc. (a) | 19,300 | 592,124 | ||||||
Graco, Inc. | 3,390 | 154,991 | ||||||
IDEX Corp. | 2,190 | 312,097 | ||||||
Nordson Corp. | 2,000 | 272,680 | ||||||
Rockwell Automation, Inc. | 710 | 123,682 | ||||||
Roper Technologies, Inc. | 2,850 | 799,967 | ||||||
Wabtec Corp. | 30 | 2,442 | ||||||
Xylem, Inc. | 500 | 38,460 | ||||||
Zebra Technologies Corp. Class A (a) | 6,370 | 886,640 | ||||||
|
| |||||||
6,254,845 | ||||||||
|
| |||||||
Miscellaneous – Manufacturing — 1.6% | ||||||||
3M Co. | 15,010 | 3,294,995 | ||||||
A.O. Smith Corp. | 3,500 | 222,565 | ||||||
AptarGroup, Inc. | 400 | 35,932 | ||||||
Donaldson Co., Inc. | 8,200 | 369,410 | ||||||
Dover Corp. | 1,900 | 186,618 | ||||||
General Electric Co. | 2,500 | 33,700 | ||||||
Illinois Tool Works, Inc. | 8,270 | 1,295,578 | ||||||
Ingersoll-Rand PLC | 4,900 | 418,999 | ||||||
Parker-Hannifin Corp. | 3,310 | 566,110 | ||||||
|
| |||||||
6,423,907 | ||||||||
|
|
Number of Shares | Value | |||||||
Packaging & Containers — 0.4% | ||||||||
Ardagh Group SA | 300 | $ | 5,604 | |||||
Berry Plastics Group, Inc. (a) | 3,800 | 208,278 | ||||||
Crown Holdings, Inc. (a) | 2,600 | 131,950 | ||||||
Graphic Packaging Holding Co. | 7,000 | 107,450 | ||||||
Owens-Illinois, Inc. (a) | 29,400 | 636,804 | ||||||
Packaging Corp. of America | 2,630 | 296,401 | ||||||
Sealed Air Corp. | 100 | 4,279 | ||||||
Silgan Holdings, Inc. | 2,200 | 61,270 | ||||||
|
| |||||||
1,452,036 | ||||||||
|
| |||||||
Shipbuilding — 0.3% | ||||||||
Huntington Ingalls Industries, Inc. | 4,590 | 1,183,118 | ||||||
|
| |||||||
Transportation — 1.1% | ||||||||
C.H. Robinson Worldwide, Inc. | 300 | 28,113 | ||||||
CSX Corp. | 6,300 | 350,973 | ||||||
Expeditors International of Washington, Inc. | 100 | 6,330 | ||||||
Landstar System, Inc. | 1,360 | 149,124 | ||||||
Union Pacific Corp. | 21,750 | 2,923,852 | ||||||
United Parcel Service, Inc. Class B | 7,260 | 759,832 | ||||||
|
| |||||||
4,218,224 | ||||||||
|
| |||||||
43,925,000 | ||||||||
|
| |||||||
Technology — 28.1% | ||||||||
Computers — 10.6% | ||||||||
Accenture PLC Class A | 17,070 | 2,620,245 | ||||||
Apple, Inc. | 162,053 | 27,189,252 | ||||||
Cognizant Technology Solutions Corp. Class A | 16,200 | 1,304,100 | ||||||
CSRA, Inc. | 4,500 | 185,535 | ||||||
Dell Technologies ,Inc. Class V (a) | 10,300 | 754,063 | ||||||
DST Systems, Inc. | 180 | 15,057 | ||||||
DXC Technology Co. | 12,400 | 1,246,572 | ||||||
Fortinet, Inc. (a) | 25,500 | 1,366,290 | ||||||
Genpact Ltd. | 20,700 | 662,193 | ||||||
International Business Machines Corp. | 16,760 | 2,571,487 | ||||||
NCR Corp. (a) | 5,600 | 176,512 | ||||||
NetApp, Inc. | 26,100 | 1,610,109 | ||||||
Western Digital Corp. | 17,100 | 1,577,817 | ||||||
|
| |||||||
41,279,232 | ||||||||
|
| |||||||
Semiconductors — 6.7% | ||||||||
Advanced Micro Devices, Inc. (a) | 8,200 | 82,410 | ||||||
Analog Devices, Inc. | 2,365 | 215,522 | ||||||
Applied Materials, Inc. | 49,500 | 2,752,695 | ||||||
Broadcom Ltd. | 5,230 | 1,232,450 | ||||||
IPG Photonics Corp. (a) | 5,310 | 1,239,248 | ||||||
KLA-Tencor Corp. | 18,500 | 2,016,685 | ||||||
Lam Research Corp. | 12,750 | 2,590,290 | ||||||
Maxim Integrated Products, Inc. | 34,200 | 2,059,524 | ||||||
Microchip Technology, Inc. | 13,900 | 1,269,904 | ||||||
Micron Technology, Inc. (a) | 29,700 | 1,548,558 |
The accompanying notes are an integral part of the financial statements.
138
Table of Contents
MassMutual Premier Disciplined Growth Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Microsemi Corp. (a) | 6,200 | $ | 401,264 | |||||
NVIDIA Corp. | 6,920 | 1,602,603 | ||||||
NXP Semiconductor NV (a) | 5,480 | 641,160 | ||||||
ON Semiconductor Corp. (a) | 82,300 | 2,013,058 | ||||||
Skyworks Solutions, Inc. | 6,320 | 633,643 | ||||||
Teradyne, Inc. | 32,100 | 1,467,291 | ||||||
Texas Instruments, Inc. | 33,950 | 3,527,066 | ||||||
Xilinx, Inc. | 11,210 | 809,810 | ||||||
|
| |||||||
26,103,181 | ||||||||
|
| |||||||
Software — 10.8% | ||||||||
Activision Blizzard, Inc. | 34,400 | 2,320,624 | ||||||
Adobe Systems, Inc. (a) | 16,470 | 3,558,838 | ||||||
ANSYS, Inc. (a) | 4,790 | 750,545 | ||||||
Atlassian Corp. PLC Class A (a) | 23,400 | 1,261,728 | ||||||
Autodesk, Inc. (a) | 4,160 | 522,413 | ||||||
Broadridge Financial Solutions, Inc. | 560 | 61,426 | ||||||
Cadence Design Systems, Inc. (a) | 2,100 | 77,217 | ||||||
CDK Global, Inc. | 3,500 | 221,690 | ||||||
Citrix Systems, Inc. (a) | 8,300 | 770,240 | ||||||
The Dun & Bradstreet Corp. | 5,460 | 638,820 | ||||||
Electronic Arts, Inc. (a) | 1,800 | 218,232 | ||||||
Fidelity National Information Services, Inc. | 2,200 | 211,860 | ||||||
First Data Corp. Class A (a) | 34,700 | 555,200 | ||||||
Fiserv, Inc. (a) | 2,280 | 162,587 | ||||||
Intuit, Inc. | 7,830 | 1,357,330 | ||||||
Jack Henry & Associates, Inc. | 660 | 79,827 | ||||||
Microsoft Corp. | 220,260 | 20,103,130 | ||||||
MSCI, Inc. | 4,130 | 617,311 | ||||||
Oracle Corp. | 18,200 | 832,650 | ||||||
Red Hat, Inc. (a) | 5,480 | 819,315 | ||||||
salesforce.com, Inc. (a) | 15,100 | 1,756,130 | ||||||
ServiceNow, Inc. (a) | 3,270 | 541,021 | ||||||
Splunk, Inc. (a) | 800 | 78,712 | ||||||
Synopsys, Inc. (a) | 300 | 24,972 | ||||||
Tableau Software, Inc. Class A (a) | 1,400 | 113,148 | ||||||
Take-Two Interactive Software, Inc. (a) | 6,720 | 657,082 | ||||||
Veeva Systems, Inc. Class A (a) | 4,900 | 357,798 | ||||||
VMware, Inc. Class A (a) | 16,680 | 2,022,784 | ||||||
Workday, Inc. Class A (a) | 12,210 | 1,552,013 | ||||||
|
| |||||||
42,244,643 | ||||||||
|
| |||||||
109,627,056 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $325,426,227) | 385,807,481 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $325,426,227) | 385,807,481 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $325,426,227) | 385,807,481 | |||||||
|
|
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||||
Repurchase Agreement — 1.2% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/29/18, 0.740%, due 4/02/18 (b) | $ | 4,694,185 | $ | 4,694,185 | ||||
|
| |||||||
Time Deposit — 0.1% | ||||||||
Euro Time Deposit | 146,088 | 146,088 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,840,273) | 4,840,273 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.1% (Cost $330,266,500) (c) | 390,647,754 | |||||||
Other Assets/(Liabilities) — (0.1)% | (239,737 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 390,408,017 | ||||||
|
|
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
(a) | Non-income producing security. |
(b) | Maturity value of $4,694,571. Collateralized by U.S. Government Agency obligations with a rate of 1.375%, maturity date of 9/30/23, and an aggregate market value, including accrued interest, of $4,788,311. |
(c) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
139
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March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 98.8% | ||||||||
COMMON STOCK — 98.8% | ||||||||
Basic Materials — 3.1% | ||||||||
Iron & Steel — 0.9% | ||||||||
Allegheny Technologies, Inc. (a) (b) | 77,019 | $ | 1,823,810 | |||||
|
| |||||||
Mining — 2.2% | ||||||||
Compass Minerals International, Inc. (b) | 32,690 | 1,971,207 | ||||||
Kaiser Aluminum Corp. | 27,264 | 2,750,938 | ||||||
|
| |||||||
4,722,145 | ||||||||
|
| |||||||
6,545,955 | ||||||||
|
| |||||||
Communications — 5.9% | ||||||||
Internet — 5.0% | ||||||||
Etsy, Inc. (a) | 89,150 | 2,501,549 | ||||||
Proofpoint, Inc. (a) | 27,510 | 3,126,511 | ||||||
Q2 Holdings, Inc. (a) | 48,100 | 2,190,955 | ||||||
Yelp, Inc. (a) | 67,600 | 2,822,300 | ||||||
|
| |||||||
10,641,315 | ||||||||
|
| |||||||
Media — 0.7% | ||||||||
Houghton Mifflin Harcourt Co. (a) | 208,960 | 1,452,272 | ||||||
|
| |||||||
Telecommunications — 0.2% | ||||||||
RigNet, Inc. (a) | 32,556 | 442,762 | ||||||
|
| |||||||
12,536,349 | ||||||||
|
| |||||||
Consumer, Cyclical — 15.3% | ||||||||
Airlines — 1.3% | ||||||||
Spirit Airlines, Inc. (a) | 73,020 | 2,758,696 | ||||||
|
| |||||||
Apparel — 1.2% | ||||||||
Canada Goose Holdings, Inc. (a) (b) | 76,325 | 2,550,781 | ||||||
|
| |||||||
Auto Manufacturers — 0.8% | ||||||||
Navistar International Corp. (a) | 45,510 | 1,591,485 | ||||||
|
| |||||||
Auto Parts & Equipment — 2.8% | ||||||||
Dorman Products, Inc. (a) | 34,410 | 2,278,286 | ||||||
Visteon Corp. (a) | 34,250 | 3,775,720 | ||||||
|
| |||||||
6,054,006 | ||||||||
|
| |||||||
Retail — 8.6% | ||||||||
The Children’s Place, Inc. | 10,390 | 1,405,247 | ||||||
DSW, Inc. Class A | 112,530 | 2,527,424 | ||||||
Fred’s, Inc. Class A (b) | 139,320 | 416,567 | ||||||
Group 1 Automotive, Inc. | 54,940 | 3,589,780 | ||||||
Nu Skin Enterprises, Inc. Class A | 14,750 | 1,087,222 | ||||||
Sonic Corp. (b) | 84,960 | 2,143,541 | ||||||
Suburban Propane Partners LP | 122,380 | 2,693,584 | ||||||
Texas Roadhouse, Inc. (c) | 29,050 | 1,678,509 | ||||||
The Wendy’s Co. | 164,640 | 2,889,432 | ||||||
|
| |||||||
18,431,306 | ||||||||
|
|
Number of Shares | Value | |||||||
Storage & Warehousing — 0.6% | ||||||||
Wesco Aircraft Holdings, Inc. (a) | 120,210 | $ | 1,232,152 | |||||
|
| |||||||
32,618,426 | ||||||||
|
| |||||||
Consumer, Non-cyclical — 21.4% | ||||||||
Agriculture — 0.8% | ||||||||
Universal Corp. | 33,500 | 1,624,750 | ||||||
|
| |||||||
Biotechnology — 3.0% | ||||||||
Emergent BioSolutions, Inc. (a) | 35,030 | 1,844,330 | ||||||
Exact Sciences Corp. (a) | 30,040 | 1,211,513 | ||||||
Ligand Pharmaceuticals, Inc. (a) | 11,590 | 1,914,204 | ||||||
Sage Therapeutics, Inc. (a) | 8,994 | 1,448,664 | ||||||
|
| |||||||
6,418,711 | ||||||||
|
| |||||||
Commercial Services — 5.5% | ||||||||
ASGN, Inc. | 57,460 | 4,704,825 | ||||||
Korn/Ferry International | 104,681 | 5,400,493 | ||||||
Paylocity Holding Corp. (a) | 32,320 | 1,655,753 | ||||||
|
| |||||||
11,761,071 | ||||||||
|
| |||||||
Cosmetics & Personal Care — 0.7% | ||||||||
elf Beauty, Inc. (a) (b) | 78,860 | 1,527,518 | ||||||
|
| |||||||
Foods — 1.0% | ||||||||
Hostess Brands, Inc. (a) | 144,030 | 2,130,204 | ||||||
|
| |||||||
Health Care – Products — 3.7% | ||||||||
NuVasive, Inc. (a) | 43,620 | 2,277,400 | ||||||
NxStage Medical, Inc. (a) | 41,330 | 1,027,464 | ||||||
Quidel Corp. (a) | 39,810 | 2,062,556 | ||||||
Repligen Corp. (a) | 35,130 | 1,271,003 | ||||||
Wright Medical Group NV (a) | 68,960 | 1,368,167 | ||||||
|
| |||||||
8,006,590 | ||||||||
|
| |||||||
Health Care – Services — 3.1% | ||||||||
Addus HomeCare Corp. (a) | 23,256 | 1,131,404 | ||||||
Amedisys, Inc. (a) | 46,400 | 2,799,776 | ||||||
American Renal Associates Holdings, Inc. (a) | 30,130 | 567,951 | ||||||
Molina Healthcare, Inc. (a) | 24,980 | 2,027,876 | ||||||
|
| |||||||
6,527,007 | ||||||||
|
| |||||||
Household Products & Wares — 1.4% | ||||||||
Acco Brands Corp. | 238,990 | 2,999,324 | ||||||
|
| |||||||
Pharmaceuticals — 2.2% | ||||||||
Clovis Oncology, Inc. (a) | 12,710 | 671,088 | ||||||
Galapagos NV (a) (b) | 8,533 | 855,673 | ||||||
Prestige Brands Holdings, Inc. (a) | 69,136 | 2,331,266 | ||||||
TherapeuticsMD, Inc. (a) (b) | 173,930 | 847,039 | ||||||
|
| |||||||
4,705,066 | ||||||||
|
| |||||||
45,700,241 | ||||||||
|
| |||||||
Energy — 2.6% | ||||||||
Energy – Alternate Sources — 0.9% | ||||||||
Renewable Energy Group, Inc. (a) (b) | 146,821 | 1,879,309 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
140
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Oil & Gas — 0.7% | ||||||||
Matador Resources Co. (a) | 54,375 | $ | 1,626,356 | |||||
|
| |||||||
Pipelines — 1.0% | ||||||||
CNX Midstream Partners LP | 9,890 | 181,877 | ||||||
Noble Midstream Partners LP (c) | 41,200 | 1,921,156 | ||||||
|
| |||||||
2,103,033 | ||||||||
|
| |||||||
5,608,698 | ||||||||
|
| |||||||
Financial — 22.8% | ||||||||
Banks — 8.8% | ||||||||
The Bank of NT Butterfield & Son Ltd. (c) | 39,090 | 1,754,359 | ||||||
BankUnited, Inc. | 80,688 | 3,225,906 | ||||||
Chemical Financial Corp. | 41,643 | 2,277,039 | ||||||
Columbia Banking System, Inc. | 38,170 | 1,601,232 | ||||||
Customers Bancorp, Inc. (a) | 45,670 | 1,331,281 | ||||||
FCB Financial Holdings, Inc. Class A (a) | 42,176 | 2,155,194 | ||||||
IBERIABANK Corp. | 28,560 | 2,227,680 | ||||||
MB Financial, Inc. | 60,280 | 2,440,134 | ||||||
Webster Financial Corp. | 30,070 | 1,665,878 | ||||||
|
| |||||||
18,678,703 | ||||||||
|
| |||||||
Diversified Financial Services — 1.2% | ||||||||
Stifel Financial Corp. | 44,980 | 2,664,165 | ||||||
|
| |||||||
Insurance — 0.5% | ||||||||
James River Group Holdings Ltd. | 27,322 | 969,111 | ||||||
|
| |||||||
Real Estate — 1.0% | ||||||||
Realogy Holdings Corp. | 81,100 | 2,212,408 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITS) — 6.6% | ||||||||
Brandywine Realty Trust | 170,660 | 2,710,081 | ||||||
CYS Investments, Inc. | 388,850 | 2,613,072 | ||||||
DiamondRock Hospitality Co. | 282,230 | 2,946,481 | ||||||
Four Corners Property Trust, Inc. | 131,600 | 3,038,644 | ||||||
National Storage Affiliates Trust | 113,530 | 2,847,333 | ||||||
|
| |||||||
14,155,611 | ||||||||
|
| |||||||
Savings & Loans — 4.7% | ||||||||
Beneficial Bancorp, Inc. | 87,400 | 1,359,070 | ||||||
Berkshire Hills Bancorp, Inc. | 46,600 | 1,768,470 | ||||||
OceanFirst Financial Corp. | 86,502 | 2,313,928 | ||||||
Sterling Bancorp | 101,230 | 2,282,737 | ||||||
WSFS Financial Corp. | 46,970 | 2,249,863 | ||||||
|
| |||||||
9,974,068 | ||||||||
|
| |||||||
48,654,066 | ||||||||
|
| |||||||
Industrial — 11.5% | ||||||||
Building Materials — 2.3% | ||||||||
Masonite International Corp. (a) | 36,708 | 2,252,036 | ||||||
Summit Materials, Inc. Class A (a) | 87,700 | 2,655,556 | ||||||
|
| |||||||
4,907,592 | ||||||||
|
|
Number of Shares | Value | |||||||
Electrical Components & Equipment — 1.5% | ||||||||
Generac Holdings, Inc. (a) | 68,890 | $ | 3,162,740 | |||||
|
| |||||||
Engineering & Construction — 2.0% | ||||||||
Dycom Industries, Inc. (a) | 19,850 | 2,136,455 | ||||||
KBR, Inc. | 124,788 | 2,020,318 | ||||||
|
| |||||||
4,156,773 | ||||||||
|
| |||||||
Environmental Controls — 0.8% | ||||||||
Advanced Disposal Services, Inc. (a) | 80,333 | 1,789,819 | ||||||
|
| |||||||
Machinery – Diversified — 0.6% | ||||||||
The Manitowoc Co., Inc. (a) | 48,433 | 1,378,403 | ||||||
|
| |||||||
Metal Fabricate & Hardware — 1.2% | ||||||||
Rexnord Corp. (a) | 88,270 | 2,619,854 | ||||||
|
| |||||||
Miscellaneous – Manufacturing — 0.6% | ||||||||
EnPro Industries, Inc. | 15,060 | 1,165,343 | ||||||
|
| |||||||
Transportation — 1.4% | ||||||||
CryoPort, Inc. (a) (b) | 43,270 | 372,122 | ||||||
Genesee & Wyoming, Inc. Class A (a) | 37,310 | 2,641,175 | ||||||
|
| |||||||
3,013,297 | ||||||||
|
| |||||||
Trucking & Leasing — 1.1% | ||||||||
The Greenbrier Cos., Inc. (b) | 47,170 | 2,370,292 | ||||||
|
| |||||||
24,564,113 | ||||||||
|
| |||||||
Technology — 13.4% | ||||||||
Computers — 3.2% | ||||||||
CACI International, Inc. Class A (a) | 29,086 | 4,402,166 | ||||||
Teradata Corp. (a) | 60,350 | 2,394,085 | ||||||
|
| |||||||
6,796,251 | ||||||||
|
| |||||||
Semiconductors — 3.9% | ||||||||
Brooks Automation, Inc. | 90,790 | 2,458,593 | ||||||
MKS Instruments, Inc. | 30,450 | 3,521,542 | ||||||
Semtech Corp. (a) | 57,330 | 2,238,737 | ||||||
|
| |||||||
8,218,872 | ||||||||
|
| |||||||
Software — 6.3% | ||||||||
Blackline, Inc. (a) | 32,490 | 1,273,933 | ||||||
Envestnet, Inc. (a) | 33,810 | 1,937,313 | ||||||
j2 Global, Inc. | 42,996 | 3,393,244 | ||||||
Pegasystems, Inc. | 57,552 | 3,490,529 | ||||||
Zynga, Inc. Class A (a) | 924,670 | 3,384,292 | ||||||
|
| |||||||
13,479,311 | ||||||||
|
| |||||||
28,494,434 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
141
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Utilities — 2.8% | ||||||||
Electric — 2.8% | ||||||||
Black Hills Corp. | 57,600 | $ | 3,127,680 | |||||
NorthWestern Corp. | 52,490 | 2,823,962 | ||||||
|
| |||||||
5,951,642 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $186,328,485) | 210,673,924 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $186,328,485) | 210,673,924 | |||||||
|
| |||||||
MUTUAL FUNDS — 5.6% | ||||||||
Diversified Financial Services — 5.6% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 11,863,307 | 11,863,307 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $11,863,307) | 11,863,307 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $198,191,792) | 222,537,231 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||||
Repurchase Agreement — 1.4% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/29/18, | $ | 3,063,478 | 3,063,478 | |||||
|
| |||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | 22,167 | 22,167 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,085,645) | 3,085,645 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 105.8% (Cost $201,277,437) (f) | 225,622,876 | |||||||
Other Assets/(Liabilities) — (5.8)% | (12,427,069 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 213,195,807 | ||||||
|
|
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 March 31, 2018, was $11,542,324 or 5.41% 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) | Security is a Master Limited Partnership. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | Maturity value of $3,063,730. Collateralized by U.S. Government Agency obligations with a rate of 1.375%, maturity date of 9/30/23, and an aggregate market value, including accrued interest, of $3,129,369. |
(f) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
142
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 102.6% | ||||||||
COMMON STOCK — 100.7% | ||||||||
Cayman Islands — 2.4% | ||||||||
Baidu, Inc. Sponsored ADR (a) | 9,160 | $ | 2,044,420 | |||||
JD.com, Inc. ADR (a) | 132,294 | 5,356,584 | ||||||
|
| |||||||
7,401,004 | ||||||||
|
| |||||||
Denmark — 0.7% | ||||||||
FLSmidth & Co. A/S | 32,981 | 2,131,719 | ||||||
|
| |||||||
France — 6.5% | ||||||||
Kering SA | 13,990 | 6,708,133 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 30,710 | 9,470,625 | ||||||
Societe Generale SA | 72,680 | 3,954,176 | ||||||
|
| |||||||
20,132,934 | ||||||||
|
| |||||||
Germany — 7.4% | ||||||||
Allianz SE Registered | 26,095 | 5,897,324 | ||||||
Bayer AG Registered | 32,577 | 3,683,582 | ||||||
Linde AG (a) | 14,212 | 2,991,878 | ||||||
SAP SE | 64,270 | 6,725,601 | ||||||
Siemens AG Registered | 27,982 | 3,569,108 | ||||||
|
| |||||||
22,867,493 | ||||||||
|
| |||||||
India — 2.7% | ||||||||
DLF Ltd. | 1,935,317 | 6,019,533 | ||||||
ICICI Bank Ltd. Sponsored ADR | 274,770 | 2,431,715 | ||||||
|
| |||||||
8,451,248 | ||||||||
|
| |||||||
Italy — 0.3% | ||||||||
Brunello Cucinelli SpA | 30,461 | 957,491 | ||||||
|
| |||||||
Japan — 15.9% | ||||||||
Capcom Co. Ltd. | 82,000 | 1,900,994 | ||||||
Dai-ichi Life Holdings, Inc. | 207,400 | 3,850,622 | ||||||
FANUC Corp. | 11,400 | 2,901,399 | ||||||
Keyence Corp. | 11,300 | 7,073,067 | ||||||
Kyocera Corp. | 55,300 | 3,134,648 | ||||||
MinebeaMitsumi, Inc. (b) | 71,000 | 1,531,168 | ||||||
Murata Manufacturing Co. Ltd. | 39,410 | 5,440,201 | ||||||
Nidec Corp. | 54,700 | 8,390,752 | ||||||
Nintendo Co. Ltd. | 8,200 | 3,656,520 | ||||||
Omron Corp. | 56,900 | 3,339,209 | ||||||
Renesas Electronics Corp. (a) | 87,900 | 886,613 | ||||||
Suzuki Motor Corp. | 61,600 | 3,343,964 | ||||||
TDK Corp. | 42,500 | 3,788,719 | ||||||
|
| |||||||
49,237,876 | ||||||||
|
| |||||||
Netherlands — 3.4% | ||||||||
Airbus SE | 92,400 | 10,691,020 | ||||||
|
| |||||||
Spain — 3.1% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 218,321 | 1,728,546 | ||||||
Industria de Diseno Textil SA | 159,126 | 4,987,346 |
Number of Shares | Value | |||||||
International Consolidated Airlines Group SA | 327,030 | $ | 2,824,519 | |||||
|
| |||||||
9,540,411 | ||||||||
|
| |||||||
Sweden — 1.3% | ||||||||
Assa Abloy AB Class B | 183,416 | 3,982,297 | ||||||
|
| |||||||
Switzerland — 3.1% | ||||||||
Credit Suisse Group AG Registered | 185,313 | 3,109,450 | ||||||
Roche Holding AG | 6,492 | 1,489,004 | ||||||
UBS Group AG Registered | 279,110 | 4,914,621 | ||||||
|
| |||||||
9,513,075 | ||||||||
|
| |||||||
United Kingdom — 6.6% | ||||||||
Circassia Pharmaceuticals PLC (a) (b) | 647,107 | 777,706 | ||||||
Earthport PLC (a) | 1,793,362 | 282,448 | ||||||
International Game Technology PLC | 96,772 | 2,586,716 | ||||||
Prudential PLC | 231,922 | 5,797,431 | ||||||
Shire Ltd. | 26,770 | 1,334,464 | ||||||
TechnipFMC PLC | 94,570 | 2,754,418 | ||||||
Unilever PLC | 122,506 | 6,807,258 | ||||||
|
| |||||||
20,340,441 | ||||||||
|
| |||||||
United States — 47.3% | ||||||||
3M Co. | 20,870 | 4,581,383 | ||||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 65,310 | 1,467,516 | ||||||
Adobe Systems, Inc. (a) | 41,180 | 8,898,175 | ||||||
Aetna, Inc. | 46,910 | 7,927,790 | ||||||
Alphabet, Inc. Class A (a) | 17,480 | 18,129,207 | ||||||
AnaptysBio, Inc. (a) (b) | 15,740 | 1,638,219 | ||||||
Anthem, Inc. | 29,580 | 6,498,726 | ||||||
Biogen, Inc. (a) | 9,960 | 2,727,247 | ||||||
BioMarin Pharmaceutical, Inc. (a) | 14,740 | 1,194,972 | ||||||
Bluebird Bio, Inc. (a) | 11,640 | 1,987,530 | ||||||
Blueprint Medicines Corp. (a) | 24,250 | 2,223,725 | ||||||
Centene Corp. (a) | 22,220 | 2,374,651 | ||||||
Citigroup, Inc. | 106,250 | 7,171,875 | ||||||
Colgate-Palmolive Co. | 95,530 | 6,847,591 | ||||||
Equifax, Inc. | 14,710 | 1,732,985 | ||||||
Facebook, Inc. Class A (a) | 42,620 | 6,810,250 | ||||||
FNF Group | 62,800 | 2,513,256 | ||||||
Gilead Sciences, Inc. | 36,170 | 2,726,856 | ||||||
GlycoMimetics, Inc. (a) (b) | 37,940 | 615,766 | ||||||
The Goldman Sachs Group, Inc. | 20,720 | 5,218,539 | ||||||
Intuit, Inc. | 40,210 | 6,970,404 | ||||||
Ionis Pharmaceuticals, Inc. (a) | 43,190 | 1,903,815 | ||||||
Loxo Oncology, Inc. (a) | 15,760 | 1,818,231 | ||||||
MacroGenics, Inc. (a) | 59,390 | 1,494,252 | ||||||
Maxim Integrated Products, Inc. | 120,010 | 7,227,002 | ||||||
Newell Brands, Inc. | 130,000 | 3,312,400 | ||||||
PayPal Holdings, Inc. (a) | 63,498 | 4,817,593 |
The accompanying notes are an integral part of the financial statements.
143
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MassMutual Premier Global Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
S&P Global, Inc. | 44,290 | $ | 8,462,048 | |||||
Sage Therapeutics, Inc. (a) | 20,740 | 3,340,592 | ||||||
Tiffany & Co. | 39,200 | 3,828,272 | ||||||
United Parcel Service, Inc. Class B | 29,920 | 3,131,427 | ||||||
The Walt Disney Co. | 41,160 | 4,134,110 | ||||||
Zimmer Biomet Holdings, Inc. | 26,330 | 2,871,023 | ||||||
|
| |||||||
146,597,428 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $178,063,939) | 311,844,437 | |||||||
|
| |||||||
PREFERRED STOCK — 1.9% | ||||||||
Germany — 1.9% | ||||||||
Bayerische Motoren Werke AG 4.460% 4.630% | 61,507 | 5,765,653 | ||||||
|
| |||||||
India — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 458,440 | 52,998 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,081,851) | 5,818,651 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $181,145,790) | 317,663,088 | |||||||
|
| |||||||
MUTUAL FUNDS — 2.7% | ||||||||
United States — 2.7% | ||||||||
Oppenheimer Institutional Government Money Market Fund Class E (c) | 2,370,526 | 2,370,526 | ||||||
State Street Navigator Securities Lending Prime Portfolio (d) | 6,014,897 | 6,014,897 | ||||||
|
| |||||||
8,385,423 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $8,385,423) | 8,385,423 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $189,531,213) | 326,048,511 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||
Time Deposit — 0.0% | ||||||||
Euro Time Deposit | $ | 24,857 | 24,857 | |||||
|
| |||||||
TOTAL TIME DEPOSIT (Cost $24,857) | 24,857 | |||||||
|
|
Value | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $24,857) | $ | 24,857 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 105.3% (Cost $189,556,070) (e) | 326,073,368 | |||||||
Other Assets/(Liabilities) — (5.3)% | (16,414,176 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 309,659,192 | ||||||
|
|
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 March 31, 2018, was $5,801,618 or 1.87% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2). |
(c) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(d) | Represents investment of security lending collateral. (Note 2). |
(e) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Consumer, Non-cyclical | 25.4 | % | ||
Industrial | 19.3 | % | ||
Financial | 17.1 | % | ||
Consumer, Cyclical | 15.3 | % | ||
Communications | 11.8 | % | ||
Technology | 11.8 | % | ||
Mutual Funds | 2.7 | % | ||
Basic Materials | 1.0 | % | ||
Energy | 0.9 | % | ||
|
| |||
Total Long-Term Investments | 105.3 | % | ||
Short-Term Investments and Other Assets and Liabilities | (5.3 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
144
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 99.0% | ||||||||
COMMON STOCK — 99.0% | ||||||||
Australia — 1.3% | ||||||||
CSL Ltd. | 58,100 | $ | 6,986,321 | |||||
|
| |||||||
Austria — 1.5% | ||||||||
ams AG | 76,821 | 8,042,186 | ||||||
|
| |||||||
Brazil — 0.3% | ||||||||
Cielo SA | 292,200 | 1,831,201 | ||||||
|
| |||||||
Canada — 4.3% | ||||||||
Alimentation Couche-Tard, Inc. Class B | 105,882 | 4,739,562 | ||||||
CCL Industries, Inc. Class B | 137,851 | 6,959,156 | ||||||
Dollarama, Inc. | 44,548 | 5,414,155 | ||||||
Saputo, Inc. | 187,402 | 6,014,726 | ||||||
|
| |||||||
23,127,599 | ||||||||
|
| |||||||
Cayman Islands — 2.4% | ||||||||
Baidu, Inc. Sponsored ADR (a) | 26,300 | 5,869,897 | ||||||
JD.com, Inc. ADR (a) | 55,494 | 2,246,952 | ||||||
WH Group Ltd. (b) | 4,344,500 | 4,669,884 | ||||||
|
| |||||||
12,786,733 | ||||||||
|
| |||||||
Denmark — 4.4% | ||||||||
Novo Nordisk A/S Class B | 149,719 | 7,366,836 | ||||||
Novozymes A/S Class B | 83,138 | 4,305,309 | ||||||
Pandora A/S | 54,376 | 5,894,224 | ||||||
William Demant Holding A/S (a) | 170,543 | 6,349,799 | ||||||
|
| |||||||
23,916,168 | ||||||||
|
| |||||||
Finland — 1.3% | ||||||||
Nokia OYJ | 1,327,816 | 7,339,702 | ||||||
|
| |||||||
France — 13.5% | ||||||||
Atos SE | 52,760 | 7,223,728 | ||||||
Dassault Systemes SE | 49,461 | 6,728,230 | ||||||
Edenred | 182,411 | 6,347,216 | ||||||
Essilor International Cie Generale d’Optique SA | 36,758 | 4,961,922 | ||||||
Hermes International | 11,406 | 6,763,056 | ||||||
Iliad SA | 22,900 | 4,739,964 | ||||||
Legrand SA | 77,070 | 6,048,868 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 24,660 | 7,604,872 | ||||||
Pernod Ricard SA | 37,195 | 6,196,107 | ||||||
Seb SA (c) | 35,867 | 6,849,370 | ||||||
Technicolor SA Registered | 648,860 | 1,099,329 | ||||||
Valeo SA | 129,844 | 8,586,501 | ||||||
|
| |||||||
73,149,163 | ||||||||
|
| |||||||
Germany — 12.5% | ||||||||
Bayer AG Registered | 53,191 | 6,014,471 | ||||||
Bayerische Motoren Werke AG | 51,245 | 5,561,380 | ||||||
Brenntag AG | 83,909 | 4,993,534 |
Number of Shares | Value | |||||||
Continental AG | 35,335 | $ | 9,760,411 | |||||
Infineon Technologies AG | 497,903 | 13,338,831 | ||||||
ProSiebenSat.1 Media SE | 172,455 | 5,981,409 | ||||||
SAP SE | 98,957 | 10,355,457 | ||||||
Scout24 AG (b) | 128,759 | 6,002,822 | ||||||
Siemens Healthineers AG (a) (b) | 30,433 | 1,250,706 | ||||||
United Internet AG Registered | 70,833 | 4,460,918 | ||||||
|
| |||||||
67,719,939 | ||||||||
|
| |||||||
India — 2.7% | ||||||||
Hero MotoCorp Ltd. | 143,570 | 7,814,201 | ||||||
ICICI Bank Ltd. Sponsored ADR | 795,908 | 7,043,786 | ||||||
|
| |||||||
14,857,987 | ||||||||
|
| |||||||
Ireland — 0.6% | ||||||||
James Hardie Industries PLC | 181,700 | 3,210,052 | ||||||
|
| |||||||
Japan — 12.3% | ||||||||
Hitachi Ltd. | 842,000 | 6,142,759 | ||||||
Hoya Corp. | 105,300 | 5,332,769 | ||||||
Keyence Corp. | 16,100 | 10,077,556 | ||||||
Koito Manufacturing Co. Ltd. | 119,700 | 8,393,290 | ||||||
Kubota Corp. | 326,900 | 5,760,873 | ||||||
Nidec Corp. | 55,500 | 8,513,469 | ||||||
Nippon Telegraph & Telephone Corp. | 217,800 | 10,117,819 | ||||||
Nitori Holdings Co. Ltd. | 36,900 | 6,458,157 | ||||||
Subaru Corp. | 181,900 | 6,020,610 | ||||||
|
| |||||||
66,817,302 | ||||||||
|
| |||||||
Luxembourg — 0.8% | ||||||||
SES SA (d) | 342,510 | 4,640,297 | ||||||
|
| |||||||
Netherlands — 8.2% | ||||||||
Aalberts Industries NV | 132,569 | 6,768,211 | ||||||
Airbus SE | 55,320 | 6,400,728 | ||||||
ASML Holding NV | 42,073 | 8,324,013 | ||||||
Boskalis Westminster | 150,249 | 4,404,723 | ||||||
Heineken NV | 58,095 | 6,252,314 | ||||||
Koninklijke Vopak NV | 74,086 | 3,639,828 | ||||||
STMicroelectronics NV (d) | 380,110 | 8,435,569 | ||||||
|
| |||||||
44,225,386 | ||||||||
|
| |||||||
Panama — 1.6% | ||||||||
Carnival Corp. | 131,360 | 8,614,589 | ||||||
|
| |||||||
South Africa — 0.9% | ||||||||
The SPAR Group Ltd. | 282,387 | 4,830,124 | ||||||
|
| |||||||
Spain — 4.8% | ||||||||
Amadeus IT Group SA | 76,574 | 5,660,916 | ||||||
Grifols SA | 254,824 | 7,217,931 | ||||||
Industria de Diseno Textil SA | 88,512 | 2,774,154 | ||||||
Prosegur Cash SA (b) | 1,333,853 | 4,014,999 | ||||||
Prosegur Cia de Seguridad SA | 795,960 | 6,119,190 | ||||||
|
| |||||||
25,787,190 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
145
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Sweden — 2.3% | ||||||||
Atlas Copco AB Class A | 156,069 | $ | 6,761,144 | |||||
Swedish Match AB | 126,749 | 5,762,176 | ||||||
|
| |||||||
12,523,320 | ||||||||
|
| |||||||
Switzerland — 9.3% | ||||||||
Barry Callebaut AG Registered | 2,932 | 5,731,180 | ||||||
Cie Financiere Richemont SA Registered | 63,512 | 5,705,301 | ||||||
Lonza Group AG Registered | 24,637 | 5,811,591 | ||||||
Roche Holding AG | 20,048 | 4,598,207 | ||||||
Sika AG | 639 | 5,008,608 | ||||||
Sonova Holding AG Registered | 28,783 | 4,575,040 | ||||||
Temenos Group AG Registered | 82,831 | 9,939,143 | ||||||
UBS Group AG Registered | 182,995 | 3,222,210 | ||||||
VAT Group AG (b) (e) | 34,419 | 5,792,730 | ||||||
|
| |||||||
50,384,010 | ||||||||
|
| |||||||
Thailand — 1.3% | ||||||||
CP ALL PCL | 2,473,400 | 6,881,541 | ||||||
|
| |||||||
United Kingdom — 12.7% | ||||||||
Bunzl PLC | 250,121 | 7,356,978 | ||||||
Domino’s Pizza Group PLC | 955,560 | 4,434,206 | ||||||
Essentra PLC (d) | 425,155 | 2,530,338 | ||||||
Ferguson PLC | 43,732 | 3,289,495 | ||||||
Intertek Group PLC | 60,430 | 3,955,447 | ||||||
Melrose Industries PLC (d) | 362,600 | 1,176,849 | ||||||
NEX Group PLC | 448,132 | 6,174,868 | ||||||
Prudential PLC | 223,302 | 5,581,954 | ||||||
Reckitt Benckiser Group PLC | 98,932 | 8,383,391 | ||||||
Spectris PLC | 119,517 | 4,523,897 | ||||||
TechnipFMC PLC | 113,474 | 3,305,011 | ||||||
TP ICAP PLC | 592,523 | 3,717,882 | ||||||
Travis Perkins PLC | 192,401 | 3,334,948 | ||||||
Unilever PLC | 76,686 | 4,261,190 | ||||||
The Weir Group PLC | 78,622 | 2,203,590 | ||||||
Whitbread PLC | 89,565 | 4,661,797 | ||||||
|
| |||||||
68,891,841 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $417,918,525) | 536,562,651 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% | ||||||||
India — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 522,678 | 60,425 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $16,969) | 60,425 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $417,935,494) | 536,623,076 | |||||||
|
|
Number of Shares | Value | |||||||
MUTUAL FUNDS — 4.3% | ||||||||
United States — 4.3% | ||||||||
Oppenheimer Institutional Government Money Market Fund Class E (f) | 7,059,274 | $ | 7,059,274 | |||||
State Street Navigator Securities Lending Prime Portfolio (g) | 16,145,667 | 16,145,667 | ||||||
|
| |||||||
23,204,941 | ||||||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $23,204,941) | 23,204,941 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $441,140,435) | 559,828,017 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.3% (Cost $441,140,435) (h) | 559,828,017 | |||||||
Other Assets/(Liabilities) — (3.3)% | (18,048,834 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 541,779,183 | ||||||
|
|
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 March 31, 2018, these securities amounted to a value of $21,731,141 or 4.01% of net assets. |
(c) | This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2018, these securities amounted to a value of $6,849,370 or 1.26% of net assets. |
(d) | Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2018, was $15,359,333 or 2.83% 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). |
(e) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2018, these securities amounted to a value of $5,792,730 or 1.07% of net assets. |
(f) | Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers. |
(g) | Represents investment of security lending collateral. (Note 2). |
(h) | See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
146
Table of Contents
MassMutual Premier International Equity Fund – Portfolio of Investments (Continued)
Notes to Portfolio of Investments (Continued)
Sector weightings, as a percentage of net assets, is as follows:
Consumer, Cyclical | 25.1 | % | ||
Consumer, Non-cyclical | 24.2 | % | ||
Industrial | 17.3 | % | ||
Technology | 14.4 | % | ||
Communications | 9.5 | % | ||
Financial | 5.0 | % | ||
Mutual Funds | 4.3 | % | ||
Basic Materials | 2.2 | % | ||
Energy | 1.3 | % | ||
|
| |||
Total Long-Term Investments | 103.3 | % | ||
Other Assets and Liabilities | (3.3 | )% | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
147
Table of Contents
March 31, 2018 (Unaudited)
Number of Shares | Value | |||||||
EQUITIES — 96.0% | ||||||||
COMMON STOCK — 94.7% | ||||||||
Bermuda — 2.5% | ||||||||
Credicorp Ltd. | 14,210 | $ | 3,226,239 | |||||
Jardine Strategic Holdings Ltd. | 92,114 | 3,543,969 | ||||||
|
| |||||||
6,770,208 | ||||||||
|
| |||||||
Brazil — 4.6% | ||||||||
Atacadao Distribuicao Comercio e Industria Ltda (a) | 601,800 | 2,734,253 | ||||||
B3 SA - Brasil Bolsa Balcao | 672,000 | 5,432,667 | ||||||
Itau Unibanco Holding SA Sponsored ADR | 111,360 | 1,737,216 | ||||||
Natura Cosmeticos SA | 15,000 | 145,391 | ||||||
Sul America SA | 74,250 | 493,658 | ||||||
Vale SA Sponsored ADR | 165,130 | 2,100,454 | ||||||
�� |
|
| ||||||
12,643,639 | ||||||||
|
| |||||||
Cayman Islands — 16.1% | ||||||||
3SBio, Inc. (a) (b) | 263,500 | 598,625 | ||||||
Alibaba Group Holding Ltd. Sponsored ADR (a) | 78,538 | 14,414,865 | ||||||
China Lodging Group Ltd. Sponsored ADR | 34,094 | 4,490,521 | ||||||
Ctrip.com International Ltd. ADR (a) | 104,650 | 4,878,783 | ||||||
Hutchison China MediTech Ltd. ADR (a) (c) | 9,580 | 283,185 | ||||||
JD.com, Inc. ADR (a) | 16,040 | 649,460 | ||||||
New Oriental Education & Technology Group, Inc. Sponsored ADR | 23,880 | 2,093,082 | ||||||
Sunny Optical Technology Group Co. Ltd. | 28,000 | 528,278 | ||||||
Tencent Holdings Ltd. | 250,393 | 13,328,725 | ||||||
Want Want China Holdings Ltd. | 1,212,000 | 981,295 | ||||||
Wuxi Biologics Cayman, Inc. (a) (b) | 54,500 | 529,461 | ||||||
ZTO Express Cayman, Inc. (c) | 93,290 | 1,398,417 | ||||||
|
| |||||||
44,174,697 | ||||||||
|
| |||||||
Chile — 0.2% | ||||||||
Banco de Chile | 2,742,778 | 462,398 | ||||||
SACI Falabella | 22,006 | 210,987 | ||||||
|
| |||||||
673,385 | ||||||||
|
| |||||||
China — 6.1% | ||||||||
China International Capital Corp. Ltd. Class H (b) | 516,400 | 1,045,922 | ||||||
Dong-E-E-Jiao Co. Ltd. | 31,000 | 301,407 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. Class A | 478,010 | 6,360,667 | ||||||
Kweichow Moutai Co. Ltd. Class A | 27,154 | 3,003,738 | ||||||
Sinopharm Group Co. Ltd. Class H | 1,189,600 | 5,984,246 | ||||||
|
| |||||||
16,695,980 | ||||||||
|
|
Number of Shares | Value | |||||||
Colombia — 1.0% | ||||||||
Grupo Aval Acciones y Valores SA | 186,460 | $ | 1,549,483 | |||||
Grupo de Inversiones Suramericana SA | 85,924 | 1,149,088 | ||||||
|
| |||||||
2,698,571 | ||||||||
|
| |||||||
Egypt — 0.5% | ||||||||
Commercial International Bank Egypt SAE | 252,448 | 1,275,599 | ||||||
|
| |||||||
France — 4.9% | ||||||||
Kering SA | 15,323 | 7,347,300 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 19,518 | 6,019,135 | ||||||
|
| |||||||
13,366,435 | ||||||||
|
| |||||||
Hong Kong — 2.8% | ||||||||
AIA Group Ltd. | 762,200 | 6,506,805 | ||||||
Hang Lung Group Ltd. | 54,000 | 177,029 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 26,335 | 865,628 | ||||||
|
| |||||||
7,549,462 | ||||||||
|
| |||||||
India — 11.8% | ||||||||
Apollo Hospitals Enterprise Ltd. | 81,318 | 1,320,044 | ||||||
Biocon Ltd. | 174,243 | 1,595,582 | ||||||
Cholamandalam Investment & Finance Co. Ltd. | 46,727 | 1,055,793 | ||||||
Dalmia Bharat Ltd. | 6,723 | 298,731 | ||||||
Dr. Reddy’s Laboratories Ltd. | 36,374 | 1,161,996 | ||||||
Housing Development Finance Corp. Ltd. | 341,762 | 9,588,146 | ||||||
Infosys Ltd. | 104,712 | 1,840,593 | ||||||
Kotak Mahindra Bank Ltd. | 385,588 | 6,280,616 | ||||||
Reliance Industries Ltd. | 58,283 | 791,539 | ||||||
Tata Consultancy Services Ltd. | 55,019 | 2,412,185 | ||||||
UltraTech Cement Ltd. | 32,451 | 1,975,416 | ||||||
Zee Entertainment Enterprises Ltd. | 449,321 | 4,012,784 | ||||||
|
| |||||||
32,333,425 | ||||||||
|
| |||||||
Indonesia — 1.7% | ||||||||
Astra International Tbk PT | 1,699,000 | 905,044 | ||||||
Bank Central Asia Tbk PT | 413,500 | 702,047 | ||||||
Bank Mandiri Persero Tbk PT | 2,558,600 | 1,431,059 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 1,886,200 | 495,070 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 862,000 | 1,007,675 | ||||||
|
| |||||||
4,540,895 | ||||||||
|
| |||||||
Italy — 1.2% | ||||||||
PRADA SpA | 715,400 | 3,306,949 | ||||||
|
| |||||||
Malaysia — 0.8% | ||||||||
Genting Bhd | 818,000 | 1,844,808 | ||||||
Genting Malaysia Bhd | 250,400 | 315,278 | ||||||
|
| |||||||
2,160,086 | ||||||||
|
|
The accompanying notes are an integral part of the financial statements.
148
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
Mexico — 4.8% | ||||||||
Fomento Economico Mexicano SAB de CV | 397,076 | $ | 3,647,648 | |||||
Fomento Economico Mexicano SAB de CV Sponsored ADR | 19,420 | 1,775,570 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 81,691 | 1,391,237 | ||||||
Grupo Financiero Inbursa SAB de CV Class O | 1,372,626 | 2,295,844 | ||||||
Grupo Mexico SAB de CV Series B | 1,004,090 | 3,400,344 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 395,840 | 748,259 | ||||||
|
| |||||||
13,258,902 | ||||||||
|
| |||||||
Netherlands — 0.6% | ||||||||
Steinhoff International Holdings NV | 796,978 | 223,495 | ||||||
Yandex NV Class A (a) | 34,780 | 1,372,071 | ||||||
|
| |||||||
1,595,566 | ||||||||
|
| |||||||
Nigeria — 0.1% | ||||||||
Zenith Bank PLC | 3,412,035 | 278,073 | ||||||
|
| |||||||
Philippines — 3.5% | ||||||||
Ayala Corp. | 50,240 | 918,555 | ||||||
Ayala Land, Inc. | 2,146,200 | 1,695,807 | ||||||
Jollibee Foods Corp. | 295,320 | 1,696,639 | ||||||
SM Investments Corp. | 182,215 | 3,223,211 | ||||||
SM Prime Holdings, Inc. | 3,192,600 | 2,070,891 | ||||||
|
| |||||||
9,605,103 | ||||||||
|
| |||||||
Portugal — 0.2% | ||||||||
Jeronimo Martins SGPS SA | 26,163 | 477,134 | ||||||
|
| |||||||
Republic of Korea — 8.3% | ||||||||
Amorepacific Corp. | 7,065 | 2,047,655 | ||||||
AMOREPACIFIC Group | 4,020 | 519,735 | ||||||
Celltrion Healthcare Co. Ltd. (a) | 262 | 26,773 | ||||||
Celltrion, Inc. (a) | 100 | 29,539 | ||||||
Kakao Corp. | 4,062 | 499,028 | ||||||
LG Household & Health Care Ltd. | 4,065 | 4,565,330 | ||||||
NAVER Corp. | 8,177 | 6,063,383 | ||||||
Netmarble Games Corp. (b) | 1,709 | 238,341 | ||||||
Samsung Biologics Co. Ltd. (a) (b) | 6,153 | 2,830,168 | ||||||
Samsung Electronics Co. Ltd. | 2,481 | 5,781,616 | ||||||
|
| |||||||
22,601,568 | ||||||||
|
| |||||||
Russia — 6.8% | ||||||||
LUKOIL PJSC | 6,880 | 476,234 | ||||||
LUKOIL PJSC | 6,420 | 442,902 | ||||||
Magnit PJSC (a) | 37,096 | 3,013,076 | ||||||
Novatek PJSC Sponsored GDR Registered | 62,132 | 8,523,047 | ||||||
Polyus PJSC GDR (b) (d) | 16,700 | 649,630 | ||||||
Sberbank of Russia PJSC (a) | 801,616 | 3,553,676 |
Number of Shares | Value | |||||||
Sberbank of Russia PJSC Sponsored ADR | 105,860 | $ | 1,977,045 | |||||
|
| |||||||
18,635,610 | ||||||||
|
| |||||||
South Africa — 2.9% | ||||||||
FirstRand Ltd. (c) | 934,641 | 5,289,554 | ||||||
Shoprite Holdings Ltd. | 123,167 | 2,630,693 | ||||||
|
| |||||||
7,920,247 | ||||||||
|
| |||||||
Spain — 0.2% | ||||||||
Prosegur Cash SA (b) | 165,974 | 499,594 | ||||||
|
| |||||||
Taiwan — 6.2% | ||||||||
Largan Precision Co. Ltd. | 7,000 | 809,919 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,911,000 | 16,241,626 | ||||||
|
| |||||||
17,051,545 | ||||||||
|
| |||||||
Turkey — 1.0% | ||||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 263,117 | 1,806,944 | ||||||
BIM Birlesik Magazalar AS | 58,369 | 1,055,170 | ||||||
|
| |||||||
2,862,114 | ||||||||
|
| |||||||
United Arab Emirates — 1.7% | ||||||||
DP World Ltd. | 150,853 | 3,398,608 | ||||||
Emaar Properties PJSC | 853,215 | 1,350,907 | ||||||
|
| |||||||
4,749,515 | ||||||||
|
| |||||||
United Kingdom — 3.6% | ||||||||
Glencore PLC | 1,623,125 | 8,076,351 | ||||||
Mediclinic International PLC (c) | 196,120 | 1,656,148 | ||||||
|
| |||||||
9,732,499 | ||||||||
|
| |||||||
United States — 0.6% | ||||||||
MercadoLibre, Inc. | 440 | 156,812 | ||||||
Snap, Inc. Class A (a) | 64,420 | 1,022,345 | ||||||
Yum China Holdings, Inc. | 13,740 | 570,210 | ||||||
|
| |||||||
1,749,367 | ||||||||
|
| |||||||
TOTAL COMMON STOCK (Cost $206,598,249) | 259,206,168 | |||||||
|
| |||||||
PREFERRED STOCK — 1.3% | ||||||||
Brazil — 1.3% | ||||||||
Lojas Americanas SA 0.610% | 617,720 | 3,525,071 | ||||||
|
| |||||||
India — 0.0% | ||||||||
Zee Entertainment Enterprises Ltd. 6.000% | 490,325 | 56,684 | ||||||
|
| |||||||
TOTAL PREFERRED STOCK (Cost $3,002,748) | 3,581,755 | |||||||
|
| |||||||
TOTAL EQUITIES (Cost $209,600,997) | 262,787,923 | |||||||
|
|
The accompanying notes are an integral part of the financial statements.
149
Table of Contents
MassMutual Premier Strategic Emerging Markets Fund – Portfolio of Investments (Continued)
Number of Shares | Value | |||||||
MUTUAL FUNDS — 2.8% | ||||||||
United States — 2.8% | ||||||||
State Street Navigator Securities Lending Prime Portfolio (e) | 7,641,521 | $ | 7,641,521 | |||||
|
| |||||||
TOTAL MUTUAL FUNDS (Cost $7,641,521) | 7,641,521 | |||||||
|
| |||||||
RIGHTS — 0.3% | ||||||||
Russia — 0.3% | ||||||||
Moscow Exchange OAO (a) | 357,822 | 732,301 | ||||||
|
| |||||||
TOTAL RIGHTS (Cost $710,733) | 732,301 | |||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $217,953,251) | 271,161,745 | |||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS — 4.3% | ||||||||
Repurchase Agreement — 4.3% | ||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/29/18, 0.740%, due 4/02/18 (f) | $ | 11,665,509 | 11,665,509 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $11,665,509) | 11,665,509 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.4% (Cost $229,618,760) (g) | 282,827,254 | |||||||
Other Assets/(Liabilities) — (3.4)% | (9,281,980 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 273,545,274 | ||||||
|
|
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 March 31, 2018, these securities amounted to a value of $6,391,741 or 2.34% of net assets. |
(c) | Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2018, was $7,283,522 or 2.66% 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 March 31, 2018, these securities amounted to a value of $649,630 or 0.24% of net assets. |
(e) | Represents investment of security lending collateral. (Note 2). |
(f) | Maturity value of $11,666,468. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 8/15/23, and an aggregate market value, including accrued interest, of $11,903,261. |
(g) | See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Financial | 23.3 | % | ||
Consumer, Non-cyclical | 20.1 | % | ||
Communications | 17.0 | % | ||
Consumer, Cyclical | 13.3 | % | ||
Technology | 9.7 | % | ||
Basic Materials | 5.2 | % | ||
Energy | 3.7 | % | ||
Mutual Funds | 2.8 | % | ||
Industrial | 2.6 | % | ||
Diversified | 1.4 | % | ||
|
| |||
Total Long-Term Investments | 99.1 | % | ||
Short-Term Investments and Other Assets and Liabilities | 0.9 | % | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
The accompanying notes are an integral part of the financial statements.
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151
Table of Contents
MassMutual Premier Funds – Financial Statements
Statements of Assets and Liabilities
March 31, 2018 (Unaudited)
MassMutual Premier U.S. Government Money Market Fund | MassMutual Premier Short- Duration Bond Fund | |||||||
Assets: | ||||||||
Investments, at value (Note 2) (a) | $ | - | $ | 576,480,509 | ||||
Repurchase agreements, at value (Note 2) (b) | 45,000,000 | - | ||||||
Other short-term investments, at value (Note 2) (c) | 275,839,881 | 60,620,715 | ||||||
|
|
|
| |||||
Total investments | 320,839,881 | 637,101,224 | ||||||
|
|
|
| |||||
Foreign currency, at value (d) | - | - | ||||||
Receivables from: |
| |||||||
Investments sold | - | - | ||||||
Investments sold on a when-issued basis (Note 2) | - | - | ||||||
Collateral pledged for reverse repurchase agreements (Note 2) | - | - | ||||||
Open forward contracts (Note 2) | - | - | ||||||
Investment adviser (Note 3) | - | - | ||||||
Fund shares sold | 209,861 | 35,718 | ||||||
Variation margin on open derivative instruments (Note 2) | - | 2 | ||||||
Interest and dividends | 141,680 | 3,431,375 | ||||||
Interest tax reclaim receivable | - | - | ||||||
Open swap agreements, at value (Note 2) | - | - | ||||||
Prepaid expenses | 16,773 | 67,096 | ||||||
|
|
|
| |||||
Total assets | 321,208,195 | 640,635,415 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: |
| |||||||
Investments purchased | - | - | ||||||
Collateral held for reverse repurchase agreements (Note 2) | - | - | ||||||
Collateral held for open purchased options (Note 2) | - | 5,099,000 | ||||||
Reverse repurchase agreements (Note 2) | - | - | ||||||
Dividends (Note 2) | 21 | - | ||||||
Open forward contracts (Note 2) | - | - | ||||||
Foreign currency overdraft (d) | - | - | ||||||
Investments purchased on a when-issued basis (Note 2) | - | - | ||||||
Fund shares repurchased | 8,030,368 | 7,307,745 | ||||||
Open swap agreements, at value (Note 2) | - | 444,931 | ||||||
Trustees’ fees and expenses (Note 3) | 104,099 | 105,659 | ||||||
Variation margin on open derivative instruments (Note 2) | - | - | ||||||
Affiliates (Note 3): |
| |||||||
Investment advisory fees | 98,854 | 171,302 | ||||||
Administration fees | 61,900 | 63,988 | ||||||
Service fees | - | 47,565 | ||||||
Shareholder service fees | - | 13,467 | ||||||
Distribution fees | - | 4,288 | ||||||
Due to custodian | - | 268 | ||||||
Commitment and Contingent Liabilities (Note 10) | - | - | ||||||
Accrued expense and other liabilities | 44,393 | 64,772 | ||||||
|
|
|
| |||||
Total liabilities | 8,339,635 | 13,322,985 | ||||||
|
|
|
| |||||
Net assets | $ | 312,868,560 | $ | 627,312,430 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 312,971,058 | $ | 642,892,324 | ||||
Accumulated undistributed (distributions in excess of) net investment income | (104,419 | ) | 3,529,798 | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 1,921 | (13,527,457 | ) | |||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | - | (5,582,235 | ) | |||||
|
|
|
| |||||
Net assets | $ | 312,868,560 | $ | 627,312,430 | ||||
|
|
|
| |||||
(a) Cost of investments: | $ | - | $ | 581,248,129 | ||||
(b) Cost of repurchase agreements: | $ | 45,000,000 | $ | - | ||||
(c) Cost of other short-term investments: | $ | 275,839,881 | $ | 60,617,445 | ||||
(d) Cost of foreign currency: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
152
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | MassMutual Premier Balanced Fund | ||||||||||||||
$ | 382,586,180 | $ | 1,150,336,777 | $ | 202,328,869 | $ | 460,759,577 | $ | 111,920,214 | |||||||||
620,349 | - | - | - | - | ||||||||||||||
86,724,498 | 41,965,820 | 17,133,013 | 13,794,535 | 1,734,048 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
469,931,027 | 1,192,302,597 | 219,461,882 | 474,554,112 | 113,654,262 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | - | 3,367 | - | - | ||||||||||||||
524,594 | 8,242,480 | 1,036,870 | 975,009 | 171,502 | ||||||||||||||
- | - | - | - | 203,883 | ||||||||||||||
1,399,248 | - | - | - | - | ||||||||||||||
- | - | 83,053 | - | - | ||||||||||||||
1 | - | - | - | 8,619 | ||||||||||||||
1,876,227 | 341,760 | 174,988 | 254,556 | 2,327 | ||||||||||||||
- | 363,589 | 82,319 | - | 110,382 | ||||||||||||||
752,844 | 7,163,885 | 1,436,345 | 9,758,785 | 248,938 | ||||||||||||||
39 | 2,805 | 1,274 | - | - | ||||||||||||||
186,079 | - | - | - | - | ||||||||||||||
60,404 | 58,497 | 60,054 | 61,641 | 66,285 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
474,730,463 | 1,208,475,613 | 222,340,152 | 485,604,103 | 114,466,198 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
4,438,037 | 2,056,791 | 2,097,825 | - | 56,955 | ||||||||||||||
1,407,326 | - | - | - | - | ||||||||||||||
1,630,000 | 9,449,000 | 2,500,000 | - | 270,000 | ||||||||||||||
192,623,719 | - | - | - | - | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | 59,312 | - | - | ||||||||||||||
1 | 4 | - | - | - | ||||||||||||||
- | 33,041,684 | 7,156,067 | 3,664,668 | 1,339,763 | ||||||||||||||
1,215,915 | 653,443 | 110,290 | 721,017 | 160,988 | ||||||||||||||
403,621 | 1,138,846 | 142,908 | - | 30,939 | ||||||||||||||
56,174 | 291,378 | 35,797 | 49,759 | 32,475 | ||||||||||||||
57 | - | - | - | - | ||||||||||||||
81,010 | 348,519 | 60,715 | 179,453 | 43,817 | ||||||||||||||
39,520 | 102,825 | 38,156 | 54,322 | 34,295 | ||||||||||||||
19,752 | 78,748 | 26,856 | 62,609 | 26,985 | ||||||||||||||
6,285 | 24,492 | 7,664 | 8,947 | 5,061 | ||||||||||||||
2,930 | 398 | 2,479 | 25,750 | 4,842 | ||||||||||||||
- | 1,440,854 | - | - | 19,886 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
48,932 | 105,775 | 46,831 | 245,100 | 42,616 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
201,973,279 | 48,732,757 | 12,284,900 | 5,011,625 | 2,068,622 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 272,757,184 | $ | 1,159,742,856 | $ | 210,055,252 | $ | 480,592,478 | $ | 112,397,576 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 279,603,233 | $ | 1,190,011,882 | $ | 212,167,060 | $ | 486,913,123 | $ | 98,296,347 | |||||||||
1,479,578 | 8,863,816 | 1,651,071 | 7,422,771 | 394,289 | ||||||||||||||
(8,946,365 | ) | (33,403,831 | ) | (2,811,314 | ) | (3,196,692 | ) | 2,573,224 | ||||||||||
620,738 | (5,729,011 | ) | (951,565 | ) | (10,546,724 | ) | 11,133,716 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 272,757,184 | $ | 1,159,742,856 | $ | 210,055,252 | $ | 480,592,478 | $ | 112,397,576 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 381,773,623 | $ | 1,156,795,592 | $ | 203,542,755 | $ | 471,305,785 | $ | 100,791,785 | |||||||||
$ | 620,349 | $ | - | $ | - | $ | - | $ | - | |||||||||
$ | 86,743,422 | $ | 41,974,931 | $ | 17,134,528 | $ | 13,795,051 | $ | 1,734,139 | |||||||||
$ | - | $ | - | $ | 3,265 | $ | - | $ | - |
153
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2018 (Unaudited)
MassMutual Premier U.S. Government Money Market Fund | MassMutual Premier Short- Duration Bond Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | - | $ | 299,454,761 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 29,494,890 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.15 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 312,868,560 | $ | 143,565,420 | ||||
|
|
|
| |||||
Shares outstanding (a) | 313,111,669 | 14,094,900 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 1.00 | $ | 10.19 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | - | $ | 76,439,517 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 7,557,258 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.11 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | - | $ | 30,654,199 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 3,040,652 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.08 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | - | $ | 56,370,565 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 5,625,884 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | - | $ | 10.02 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | - | $ | 10.38 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | - | $ | 13,488,914 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 1,330,558 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.14 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | - | $ | 7,339,054 | ||||
|
|
|
| |||||
Shares outstanding (a) | - | 727,532 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | - | $ | 10.09 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
154
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | MassMutual Premier Balanced Fund | ||||||||||||||
$ | 113,255,083 | $ | 551,418,432 | $ | 32,893,268 | $ | 247,481,159 | $ | 10,188,685 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
11,078,113 | 51,821,196 | 3,116,320 | 27,637,454 | 840,732 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.22 | $ | 10.64 | $ | 10.56 | $ | 8.95 | $ | 12.12 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 62,790,666 | $ | 316,941,964 | $ | 94,391,490 | $ | 53,766,963 | $ | 45,090,776 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
6,137,237 | 29,689,498 | 9,672,110 | 5,972,362 | 3,720,083 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.23 | $ | 10.68 | $ | 9.76 | $ | 9.00 | $ | 12.12 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 50,232,955 | $ | 97,049,288 | $ | 14,145,465 | $ | 45,519,297 | $ | 7,079,788 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
4,924,680 | 9,144,145 | 1,430,619 | 5,054,204 | 555,823 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.20 | $ | 10.61 | $ | 9.89 | $ | 9.01 | $ | 12.74 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 13,705,737 | $ | 64,800,752 | $ | 24,984,159 | $ | 32,572,290 | $ | 7,913,071 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,329,750 | 6,147,570 | 2,532,088 | 3,674,671 | 650,464 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.31 | $ | 10.54 | $ | 9.87 | $ | 8.86 | $ | 12.17 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 21,607,159 | $ | 110,203,805 | $ | 34,586,369 | $ | 26,931,915 | $ | 31,330,000 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,147,428 | 10,540,228 | 3,510,893 | 3,042,905 | 2,648,798 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.06 | $ | 10.46 | $ | 9.85 | $ | 8.85 | $ | 11.83 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.56 |
| $ | 10.98 | $ | 10.34 | $ | 9.39 | $ | 12.55 | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 5,921,493 | $ | 18,673,708 | $ | 4,755,948 | $ | 32,403,370 | $ | 3,102,932 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
591,842 | 1,796,650 | 486,767 | 3,700,701 | 264,352 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.01 | $ | 10.39 | $ | 9.77 | $ | 8.76 | $ | 11.74 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 5,244,091 | $ | 654,907 | $ | 4,298,553 | $ | 41,917,484 | $ | 7,692,324 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
523,762 | 61,296 | 441,948 | 4,683,822 | 657,790 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 10.01 | $ | 10.68 | $ | 9.73 | $ | 8.95 | $ | 11.69 | |||||||||
|
|
|
|
|
|
|
|
|
|
155
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2018 (Unaudited)
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | |||||||
Assets: | ||||||||
Investments, at value — unaffiliated issuers (Note 2) (a) | $ | 210,800,016 | $ | 126,591,029 | ||||
Investments, at value — affiliated issuers (Note 2 & 7) (b) | - | - | ||||||
Repurchase agreements, at value (Note 2) (c) | 3,035,939 | 3,230,169 | ||||||
Other short-term investments, at value (Note 2) (d) | 47,267 | 30,497 | ||||||
|
|
|
| |||||
Total investments (e) | 213,883,222 | 129,851,695 | ||||||
|
|
|
| |||||
Cash | - | - | ||||||
Foreign currency, at value (f) | - | - | ||||||
Receivables from: | ||||||||
Investments sold | 4,840,518 | 20,884 | ||||||
Collateral on closed futures contracts | 70,226 | - | ||||||
Investment adviser (Note 3) | - | - | ||||||
Fund shares sold | 47,301 | 6,674 | ||||||
Interest and dividends | 307,000 | 171,122 | ||||||
Foreign taxes withheld | - | - | ||||||
Prepaid expenses | 63,808 | 66,580 | ||||||
|
|
|
| |||||
Total assets | 219,212,075 | 130,116,955 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payables for: | ||||||||
Investments purchased | 5,007,467 | 135,926 | ||||||
Foreign currency overdraft | - | - | ||||||
Fund shares repurchased | 151,673 | 12,928 | ||||||
Securities on loan (Note 2) | - | - | ||||||
Trustees’ fees and expenses (Note 3) | 52,655 | 30,894 | ||||||
Affiliates (Note 3): | ||||||||
Investment advisory fees | 72,635 | 58,521 | ||||||
Administration fees | 33,970 | 34,529 | ||||||
Service fees | 13,925 | 12,995 | ||||||
Shareholder service fees | 3,749 | 5,214 | ||||||
Distribution fees | 2,489 | 889 | ||||||
Due to custodian | - | - | ||||||
Commitment and Contingent Liabilities (Note 10) | - | - | ||||||
Accrued expense and other liabilities | 17,844 | 29,521 | ||||||
|
|
|
| |||||
Total liabilities | 5,356,407 | 321,417 | ||||||
|
|
|
| |||||
Net assets | $ | 213,855,668 | $ | 129,795,538 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid-in capital | $ | 192,218,154 | $ | 107,758,820 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 904,056 | 267,591 | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 3,479,726 | 4,997,728 | ||||||
Net unrealized appreciation (depreciation) on investments and foreign currency translations | 17,253,732 | 16,771,399 | ||||||
|
|
|
| |||||
Net assets | $ | 213,855,668 | $ | 129,795,538 | ||||
|
|
|
| |||||
(a) Cost of investments — unaffiliated issuers: | $ | 193,546,284 | $ | 109,819,678 | ||||
(b) Cost of investments — affiliated issuers: | $ | - | $ | - | ||||
(c) Cost of repurchase agreements: | $ | 3,035,939 | $ | 3,230,169 | ||||
(d) Cost of other short-term investments: | $ | 47,267 | $ | 30,497 | ||||
(e) Securities on loan with market value of: | $ | - | $ | - | ||||
(f) Cost of foreign currency: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
156
Table of Contents
MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||||||
$ | 385,807,481 | $ | 222,537,231 | $ | 323,677,985 | $ | 552,768,743 | $ | 271,161,745 | |||||||||
- | - | 2,370,526 | 7,059,274 | - | ||||||||||||||
4,694,185 | 3,063,478 | - | - | 11,665,509 | ||||||||||||||
146,088 | 22,167 | 24,857 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
390,647,754 | 225,622,876 | 326,073,368 | 559,828,017 | 282,827,254 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | - | - | 1 | - | ||||||||||||||
- | - | - | - | 53,403 | ||||||||||||||
- | 65,512 | 1,452,373 | 534,243 | 757,015 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
- | - | - | - | 40,563 | ||||||||||||||
67,757 | 40,982 | 201,641 | 108,359 | 85,177 | ||||||||||||||
157,583 | 240,568 | 523,450 | 769,056 | 386,693 | ||||||||||||||
- | - | 252,402 | 762,774 | 17,286 | ||||||||||||||
59,365 | 60,303 | 66,607 | 68,743 | 59,181 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
390,932,459 | 226,030,241 | 328,569,841 | 562,071,193 | 284,226,572 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
- | 449,238 | - | 1,637,706 | 2,092,336 | ||||||||||||||
- | - | - | 54 | - | ||||||||||||||
181,025 | 233,868 | 12,440,219 | 1,217,338 | 277,785 | ||||||||||||||
- | 11,863,307 | 6,014,897 | 16,145,667 | 7,641,521 | ||||||||||||||
59,035 | 45,036 | 69,347 | 121,716 | 26,698 | ||||||||||||||
143,852 | 98,881 | 198,056 | 368,265 | 218,786 | ||||||||||||||
54,924 | 41,075 | 57,141 | 57,613 | 25,800 | ||||||||||||||
43,930 | 53,392 | 30,510 | 37,828 | 1,448 | ||||||||||||||
11,903 | 11,523 | 17,078 | 7,182 | 232 | ||||||||||||||
3,252 | 5,630 | 7,295 | 5,668 | 548 | ||||||||||||||
- | - | - | - | 121,395 | ||||||||||||||
- | - | - | - | - | ||||||||||||||
26,521 | 32,484 | 76,106 | 692,973 | 274,749 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
524,442 | 12,834,434 | 18,910,649 | 20,292,010 | 10,681,298 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 390,408,017 | $ | 213,195,807 | $ | 309,659,192 | $ | 541,779,183 | $ | 273,545,274 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$313,366,949 | $ | 183,102,666 | $ | 148,972,179 | $ | 420,437,918 | $ | 233,919,852 | ||||||||||
574,407 | 239,187 | (2,457,066 | ) | 152,828 | (4,052,891 | ) | ||||||||||||
16,085,407 | 5,508,515 | 26,619,856 | 3,018,196 | (9,418,349 | ) | |||||||||||||
60,381,254 | 24,345,439 | 136,524,223 | 118,170,241 | 53,096,662 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 390,408,017 | $ | 213,195,807 | $ | 309,659,192 | $ | 541,779,183 | $ | 273,545,274 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 325,426,227 | $ | 198,191,792 | $ | 187,160,687 | $ | 434,081,161 | $ | 217,953,251 | |||||||||
$ | - | $ | - | $ | 2,370,526 | $ | 7,059,274 | $ | - | |||||||||
$ | 4,694,185 | $ | 3,063,478 | $ | - | $ | - | $ | 11,665,509 | |||||||||
$ | 146,088 | $ | 22,167 | $ | 24,857 | $ | - | $ | - | |||||||||
$ | - | $ | 11,542,324 | $ | 5,801,618 | $ | 15,359,333 | $ | 7,283,522 | |||||||||
$ | - | $ | - | $ | - | $ | - | $ | 53,444 |
157
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Assets and Liabilities
March 31, 2018 (Unaudited)
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | |||||||
Class I shares: | ||||||||
Net assets | $ | 76,455,720 | $ | 10,039,044 | ||||
|
|
|
| |||||
Shares outstanding (a) | 4,748,725 | 919,853 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 16.10 | $ | 10.91 | ||||
|
|
|
| |||||
Class R5 shares: | ||||||||
Net assets | $ | 59,065,294 | $ | 69,591,893 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,661,486 | 6,377,600 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 16.13 | $ | 10.91 | ||||
|
|
|
| |||||
Service Class shares: | ||||||||
Net assets | $ | 49,702,407 | $ | 528,635 | ||||
|
|
|
| |||||
Shares outstanding (a) | 3,104,306 | 46,847 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 16.01 | $ | 11.28 | ||||
|
|
|
| |||||
Administrative Class shares: | ||||||||
Net assets | $ | 6,329,576 | $ | 29,075,372 | ||||
|
|
|
| |||||
Shares outstanding (a) | 387,779 | 2,666,541 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 16.32 | $ | 10.90 | ||||
|
|
|
| |||||
Class A shares: | ||||||||
Net assets | $ | 9,075,262 | $ | 12,936,688 | ||||
|
|
|
| |||||
Shares outstanding (a) | 571,561 | 1,202,867 | ||||||
|
|
|
| |||||
Net asset value, and redemption price per share | $ | 15.88 | $ | 10.75 | ||||
|
|
|
| |||||
Offering price per share | ||||||||
(100/[100-maximum sales charge] of net asset value) | $ | 16.85 | $ | 11.41 | ||||
|
|
|
| |||||
Class R4 shares: | ||||||||
Net assets | $ | 9,362,903 | $ | 6,049,083 | ||||
|
|
|
| |||||
Shares outstanding (a) | 593,955 | 566,627 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 15.76 | $ | 10.68 | ||||
|
|
|
| |||||
Class R3 shares: | ||||||||
Net assets | $ | 3,864,506 | $ | 1,574,823 | ||||
|
|
|
| |||||
Shares outstanding (a) | 241,443 | 146,086 | ||||||
|
|
|
| |||||
Net asset value, offering price and redemption price per share | $ | 16.01 | $ | 10.78 | ||||
|
|
|
|
(a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
158
Table of Contents
MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||||||
$ | 114,896,030 | $ | 26,926,935 | $ | 31,656,640 | $ | 268,060,461 | $ | 264,820,144 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
9,072,591 | 1,841,206 | 2,027,973 | 19,460,723 | 19,253,690 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 12.66 | $ | 14.62 | $ | 15.61 | $ | 13.77 | $ | 13.75 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 100,626,457 | $ | 61,474,952 | $ | 109,103,644 | $ | 176,892,537 | $ | 4,295,178 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
7,938,181 | 4,209,477 | 6,984,119 | 12,837,285 | 307,931 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 12.68 | $ | 14.60 | $ | 15.62 | $ | 13.78 | $ | 13.95 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 67,897,164 | $ | 16,809,621 | $ | 21,012,489 | $ | 23,832,062 | $ | 444,116 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
5,340,559 | 1,153,617 | 1,356,788 | 1,734,814 | 32,307 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 12.71 | $ | 14.57 | $ | 15.49 | $ | 13.74 | $ | 13.75 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 38,428,843 | $ | 23,550,169 | $ | 100,851,821 | $ | 13,915,281 | $ | 1,634,279 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,991,498 | 1,625,861 | 6,459,720 | 1,017,518 | 118,333 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 12.85 | $ | 14.48 | $ | 15.61 | $ | 13.68 | $ | 13.81 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 35,669,881 | $ | 65,946,816 | $ | 30,801,262 | $ | 37,490,076 | $ | 162,300 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,851,587 | 4,653,144 | 1,993,515 | 2,821,584 | 11,787 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 12.51 | $ | 14.17 | $ | 15.45 | $ | 13.29 | $ | 13.77 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 13.27 | $ | 15.03 | $ | 16.39 | $ | 14.10 | $ | 14.61 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 27,316,000 | $ | 9,446,772 | $ | 5,373,683 | $ | 12,809,150 | $ | 1,297,510 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,199,372 | 671,389 | 351,705 | 973,229 | 95,016 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 12.42 | $ | 14.07 | $ | 15.28 | $ | 13.16 | $ | 13.66 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 5,573,642 | $ | 9,040,542 | $ | 10,859,653 | $ | 8,779,616 | $ | 891,747 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
449,286 | 645,728 | 705,848 | 668,273 | 65,369 | ||||||||||||||
|
|
|
|
|
|
| �� |
|
| |||||||||
$ | 12.41 | $ | 14.00 | $ | 15.39 | $ | 13.14 | $ | 13.64 | |||||||||
|
|
|
|
|
|
|
|
|
|
159
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
For the Six Months Ended March 31, 2018 (Unaudited)
MassMutual Premier U.S. Government Money Market Fund | MassMutual Premier Short-Duration Bond Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends | $ | - | $ | - | ||||
Interest (a) | 2,588,375 | 9,069,155 | ||||||
|
|
|
| |||||
Total investment income | 2,588,375 | 9,069,155 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 723,893 | 1,062,706 | ||||||
Custody fees | 15,218 | 37,283 | ||||||
Interest expense | - | - | ||||||
Audit fees | 16,087 | 18,974 | ||||||
Legal fees | 2,656 | 4,109 | ||||||
Accounting & Administration fees | 32,037 | 29,596 | ||||||
Proxy fees | 484 | 484 | ||||||
Shareholder reporting fees | 9,828 | 15,788 | ||||||
Trustees’ fees | 10,061 | 16,203 | ||||||
Registration and filing fees | 11,413 | 44,120 | ||||||
Transfer agent fees | 1,480 | 1,480 | ||||||
|
|
|
| |||||
823,157 | 1,230,743 | |||||||
Administration fees: | ||||||||
Class R5 | 206,826 | 74,211 | ||||||
Service Class | - | 56,472 | ||||||
Administrative Class | - | 22,736 | ||||||
Class A | - | 40,121 | ||||||
Class R4 | - | 13,427 | ||||||
Class R3 | - | 6,767 | ||||||
Distribution fees: | ||||||||
Class R3 | - | 8,459 | ||||||
Distribution and Service fees: | ||||||||
Class A | - | 66,868 | ||||||
Class R4 | - | 16,784 | ||||||
Class R3 | - | 8,459 | ||||||
Shareholder service fees: | ||||||||
Service Class | - | 18,824 | ||||||
Administrative Class | - | 22,736 | ||||||
Class A | - | 40,121 | ||||||
|
|
|
| |||||
Total expenses | 1,029,983 | 1,626,728 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | - | - | ||||||
Class R5 fees reimbursed by adviser | - | - | ||||||
Service Class fees reimbursed by adviser | - | - | ||||||
Administrative Class fees reimbursed by adviser | - | - | ||||||
Class A fees reimbursed by adviser | - | - | ||||||
Class R4 fees reimbursed by adviser | - | - | ||||||
Class R3 fees reimbursed by adviser | - | - | ||||||
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: | 1,029,983 | 1,626,728 | ||||||
|
|
|
| |||||
Net investment income (loss) | 1,558,392 | 7,442,427 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
160
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | MassMutual Premier Balanced Fund | ||||||||||||||
$ | - | $ | 82,875 | $ | 6,375 | $ | - | $ | 836,780 | |||||||||
5,780,532 | 20,007,971 | 3,739,905 | 16,741,204 | 484,628 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
5,780,532 | 20,090,846 | 3,746,280 | 16,741,204 | 1,321,408 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
496,431 | 2,209,781 | 375,195 | 1,114,332 | 276,754 | ||||||||||||||
32,403 | 61,019 | 26,887 | 40,246 | 31,236 | ||||||||||||||
1,494,944 | - | - | - | - | ||||||||||||||
18,979 | 19,692 | 19,378 | 18,448 | 19,354 | ||||||||||||||
2,005 | 8,074 | 1,333 | 2,908 | 821 | ||||||||||||||
21,918 | 42,613 | 20,713 | 25,840 | 23,297 | ||||||||||||||
483 | 484 | 484 | 484 | 484 | ||||||||||||||
9,996 | 28,164 | 7,555 | 14,602 | 6,175 | ||||||||||||||
7,519 | 32,065 | 5,340 | 12,101 | 3,190 | ||||||||||||||
43,494 | 43,643 | 43,161 | 42,817 | 43,395 | ||||||||||||||
1,480 | 1,480 | 1,480 | 1,480 | 1,479 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,129,652 | 2,447,015 | 501,526 | 1,273,258 | 406,185 | ||||||||||||||
29,856 | 166,388 | 44,209 | 27,282 | 23,606 | ||||||||||||||
39,239 | 72,616 | 11,147 | 35,097 | 5,437 | ||||||||||||||
10,796 | 50,933 | 19,279 | 24,342 | 6,798 | ||||||||||||||
16,033 | 82,197 | 25,573 | 21,079 | 24,164 | ||||||||||||||
6,005 | 16,615 | 4,869 | 31,115 | 3,096 | ||||||||||||||
4,730 | 684 | 3,954 | 39,763 | 7,589 | ||||||||||||||
5,912 | 855 | 4,943 | 49,704 | 9,487 | ||||||||||||||
26,722 | 136,994 | 42,622 | 35,132 | 40,274 | ||||||||||||||
7,506 | 20,769 | 6,087 | 38,893 | 3,869 | ||||||||||||||
5,912 | 855 | 4,943 | 49,704 | 9,487 | ||||||||||||||
13,080 | 24,205 | 3,716 | 11,699 | 1,812 | ||||||||||||||
10,796 | 50,933 | 19,279 | 24,342 | 6,798 | ||||||||||||||
16,033 | 82,197 | 25,573 | 21,079 | 24,164 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,322,272 | 3,153,256 | 717,720 | 1,682,489 | 572,766 | ||||||||||||||
- | - | - | - | (4,650 | ) | |||||||||||||
- | - | - | - | (24,653 | ) | |||||||||||||
- | - | - | - | (3,789 | ) | |||||||||||||
- | - | - | - | (4,733 | ) | |||||||||||||
- | - | - | - | (16,833 | ) | |||||||||||||
- | - | - | - | (1,618 | ) | |||||||||||||
- | - | - | - | (3,968 | ) | |||||||||||||
(15,412 | ) | - | - | - | - | |||||||||||||
(8,958 | ) | - | - | - | - | |||||||||||||
(7,847 | ) | - | - | - | - | |||||||||||||
(2,159 | ) | - | - | - | - | |||||||||||||
(3,207 | ) | - | - | - | - | |||||||||||||
(900 | ) | - | - | - | - | |||||||||||||
(710 | ) | - | - | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,283,079 | 3,153,256 | 717,720 | 1,682,489 | 512,522 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
3,497,453 | 16,937,590 | 3,028,560 | 15,058,715 | 808,886 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
161
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Six Months Ended March 31, 2018 (Unaudited)
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 | $ | 1,925 | $ | (124,366 | ) | |||
Futures contracts | - | 2,480,175 | ||||||
Swap agreements | - | (9,620 | ) | |||||
Foreign currency transactions | - | - | ||||||
Forward contracts | - | - | ||||||
|
|
|
| |||||
Net realized gain (loss) | 1,925 | 2,346,189 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | - | (7,734,586 | ) | |||||
Futures contracts | - | (1,095,486 | ) | |||||
Swap agreements | - | 51,373 | ||||||
Translation of assets and liabilities in foreign currencies | - | - | ||||||
Forward contracts | - | - | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | - | (8,778,699 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 1,925 | (6,432,510 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 1,560,317 | $ | 1,009,917 | ||||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
162
Table of Contents
MassMutual Premier Inflation- Protected and Income Fund | MassMutual Premier Core Bond Fund | MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | MassMutual Premier Balanced Fund | ||||||||||||||
$ | (699,824 | ) | $ | (1,005,283 | ) | $ | (234,859 | ) | $ | 346,882 | $ | 4,283,490 | ||||||
139,533 | (6,283,750 | ) | (930,172 | ) | - | (149,672 | ) | |||||||||||
330,535 | (44,830 | ) | (14,581 | ) | - | (1,105 | ) | |||||||||||
- | - | 2,821 | - | - | ||||||||||||||
- | - | 15,215 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(229,756 | ) | (7,333,863 | ) | (1,161,576 | ) | 346,882 | 4,132,713 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(1,875,562 | ) | (21,079,713 | ) | (4,395,218 | ) | (19,259,781 | ) | (653,538 | ) | |||||||||
(34,649 | ) | 2,924,397 | 544,767 | - | 62,732 | |||||||||||||
8,589 | 145,485 | 24,373 | - | 3,874 | ||||||||||||||
- | 2 | (746 | ) | - | - | |||||||||||||
- | - | 33,804 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(1,901,622 | ) | (18,009,829 | ) | (3,793,020 | ) | (19,259,781 | ) | (586,932 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
(2,131,378 | ) | (25,343,692 | ) | (4,954,596 | ) | (18,912,899 | ) | 3,545,781 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,366,075 | $ | (8,406,102 | ) | $ | (1,926,036 | ) | $ | (3,854,184 | ) | $ | 4,354,667 | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 59 | $ | - | $ | - | $ | - | $ | - |
163
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Six Months Ended March 31, 2018 (Unaudited)
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | |||||||
Investment income (Note 2): | ||||||||
Dividends — unaffiliated issuers (a) | $ | 2,631,550 | $ | 1,286,378 | ||||
Dividends — affiliated issuers (Note 7) | - | - | ||||||
Interest | 2,405 | 6,266 | ||||||
Securities lending net income | - | 3,719 | ||||||
Non cash income | - | - | ||||||
|
|
|
| |||||
Total investment income | 2,633,955 | 1,296,363 | ||||||
|
|
|
| |||||
Expenses (Note 3): | ||||||||
Investment advisory fees | 457,286 | 375,843 | ||||||
Custody fees | 10,967 | 6,446 | ||||||
Audit fees | 18,690 | 17,392 | ||||||
Legal fees | 1,414 | 893 | ||||||
Accounting & Administration fees | 19,688 | 21,656 | ||||||
Proxy fees | 484 | 484 | ||||||
Shareholder reporting fees | 20,846 | 6,273 | ||||||
Trustees’ fees | 5,475 | 3,642 | ||||||
Registration and filing fees | 42,688 | 44,943 | ||||||
Transfer agent fees | 1,480 | 1,480 | ||||||
|
|
|
| |||||
579,018 | 479,052 | |||||||
Administration fees: | ||||||||
Class R5 | 22,957 | 37,089 | ||||||
Service Class | 36,925 | 830 | ||||||
Administrative Class | 4,628 | 23,253 | ||||||
Class A | 6,569 | 9,983 | ||||||
Class R4 | 9,726 | 5,414 | ||||||
Class R3 | 3,902 | 1,266 | ||||||
Distribution fees: | ||||||||
Class R3 | 4,877 | 1,582 | ||||||
Distribution and Service fees: | ||||||||
Class A | 10,948 | 16,639 | ||||||
Class R4 | 12,158 | 6,768 | ||||||
Class R3 | 4,877 | 1,582 | ||||||
Shareholder service fees: | ||||||||
Service Class | 12,308 | 277 | ||||||
Administrative Class | 4,628 | 23,253 | ||||||
Class A | 6,569 | 9,983 | ||||||
|
|
|
| |||||
Total expenses | 720,090 | 616,971 | ||||||
Expenses waived: | ||||||||
Class I fees reimbursed by adviser | - | - | ||||||
Class R5 fees reimbursed by adviser | - | - | ||||||
Service Class fees reimbursed by adviser | - | - | ||||||
Administrative Class fees reimbursed by adviser | - | - | ||||||
Class A fees reimbursed by adviser | - | - | ||||||
Class R4 fees reimbursed by adviser | - | - | ||||||
Class R3 fees reimbursed by adviser | - | - | ||||||
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: | 720,090 | 616,971 | ||||||
|
|
|
| |||||
Net investment income (loss) | 1,913,865 | 679,392 | ||||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
164
Table of Contents
MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||||||
$ | 2,587,082 | $ | 1,521,819 | $ | 1,790,739 | $ | 2,745,469 | $ | 1,127,197 | |||||||||
- | - | 31,056 | 76,637 | - | ||||||||||||||
4,164 | 8,796 | 5 | 2 | 26,341 | ||||||||||||||
- | 166,236 | 21,091 | 18,824 | 19,532 | ||||||||||||||
- | - | - | 276,778 | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,591,246 | 1,696,851 | 1,842,891 | 3,117,710 | 1,173,070 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
888,024 | 604,778 | 1,239,012 | 2,302,753 | 1,309,894 | ||||||||||||||
16,811 | 10,656 | 63,185 | 161,060 | 191,887 | ||||||||||||||
18,743 | 17,891 | 21,932 | 22,174 | 30,377 | ||||||||||||||
2,479 | 1,339 | 2,085 | 3,357 | 1,355 | ||||||||||||||
23,580 | 19,886 | 26,486 | 31,266 | 24,451 | ||||||||||||||
484 | 484 | 484 | 484 | 484 | ||||||||||||||
23,957 | 7,541 | 10,095 | 13,640 | 7,744 | ||||||||||||||
10,016 | 5,338 | 8,495 | 13,818 | 5,937 | ||||||||||||||
42,882 | 43,134 | 45,091 | 43,747 | 42,862 | ||||||||||||||
1,480 | 1,479 | 1,480 | 1,480 | 1,480 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,028,456 | 712,526 | 1,418,345 | 2,593,779 | 1,616,471 | ||||||||||||||
47,663 | 31,108 | 58,181 | 92,791 | 2,060 | ||||||||||||||
54,385 | 11,354 | 15,308 | 16,778 | 342 | ||||||||||||||
30,420 | 17,739 | 78,679 | 12,171 | 1,193 | ||||||||||||||
27,602 | 51,638 | 23,773 | 28,969 | 133 | ||||||||||||||
27,919 | 9,480 | 5,436 | 12,201 | 1,154 | ||||||||||||||
4,835 | 8,961 | 11,278 | 8,937 | 843 | ||||||||||||||
6,043 | 11,201 | 14,097 | 11,171 | 1,053 | ||||||||||||||
46,003 | 86,062 | 39,621 | 48,282 | 221 | ||||||||||||||
34,898 | 11,850 | 6,795 | 15,251 | 1,442 | ||||||||||||||
6,043 | 11,201 | 14,098 | 11,171 | 1,053 | ||||||||||||||
18,128 | 3,785 | 5,103 | 5,593 | 114 | ||||||||||||||
30,420 | 17,739 | 78,679 | 12,171 | 1,193 | ||||||||||||||
27,602 | 51,638 | 23,773 | 28,969 | 133 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,390,417 | 1,036,282 | 1,793,166 | 2,898,234 | 1,627,405 | ||||||||||||||
- | - | - | - | (233,422 | ) | |||||||||||||
- | - | - | - | (3,787 | ) | |||||||||||||
- | - | - | - | (416 | ) | |||||||||||||
- | - | - | - | (1,460 | ) | |||||||||||||
- | - | - | - | (161 | ) | |||||||||||||
- | - | - | - | (1,062 | ) | |||||||||||||
- | - | - | - | (774 | ) | |||||||||||||
- | - | - | (26,108 | ) | - | |||||||||||||
- | - | - | (18,542 | ) | - | |||||||||||||
- | - | - | (2,244 | ) | - | |||||||||||||
- | - | - | (1,614 | ) | - | |||||||||||||
- | - | - | (3,860 | ) | - | |||||||||||||
- | - | - | (1,222 | ) | - | |||||||||||||
- | - | - | (893 | ) | - | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,390,417 | 1,036,282 | 1,793,166 | 2,843,751 | 1,386,323 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,200,829 | 660,569 | 49,725 | 273,959 | (213,253 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
165
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Operations
For the Six Months Ended March 31, 2018 (Unaudited)
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | |||||||
Realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 7,303,465 | $ | 6,261,631 | ||||
Futures contracts | 70,226 | - | ||||||
Foreign currency transactions | - | (2,501 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 7,373,691 | 6,259,130 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investment transactions | (2,414,047 | ) | (8,309,139 | ) | ||||
Translation of assets and liabilities in foreign currencies | - | 50 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (2,414,047 | ) | (8,309,089 | ) | ||||
|
|
|
| |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 4,959,644 | (2,049,959 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | $ | 6,873,509 | $ | (1,370,567 | ) | |||
|
|
|
| |||||
(a) Net of foreign withholding tax of: | $ | 793 | $ | 9,534 | ||||
* Net increase (decrease) in accrued foreign capital gains tax of: | $ | - | $ | - |
The accompanying notes are an integral part of the financial statements.
166
Table of Contents
MassMutual Premier Disciplined Growth Fund | MassMutual Premier Small Cap Opportunities Fund | MassMutual Premier Global Fund | MassMutual Premier International Equity Fund | MassMutual Premier Strategic Emerging Markets Fund | ||||||||||||||
$ | 23,628,254 | $ | 9,475,643 | $ | 29,785,268 | $ | 13,162,199 | $ | 13,849,247 | |||||||||
- | - | - | - | - | ||||||||||||||
- | (130 | ) | (16,799 | ) | (141,960 | ) | (58,416 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
23,628,254 | 9,475,513 | 29,768,469 | 13,020,239 | 13,790,831 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
10,006,266 | (7,874,060 | ) | (7,233,049 | )* | 6,822,103 | * | 7,009,003 | * | ||||||||||
- | - | 10,718 | 15,290 | (1,009 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
10,006,266 | (7,874,060 | ) | (7,222,331 | ) | 6,837,393 | 7,007,994 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
33,634,520 | 1,601,453 | 22,546,138 | 19,857,632 | 20,798,825 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 34,835,349 | $ | 2,262,022 | $ | 22,595,863 | $ | 20,131,591 | $ | 20,585,572 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,098 | $ | - | $ | 101,109 | $ | 318,289 | $ | 107,364 | |||||||||
$ | - | $ | - | $ | (4,150 | ) | $ | (221,140 | ) | $ | (95,187 | ) |
167
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier U.S. Government Money Market Fund | ||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,558,392 | $ | 788,680 | ||||
Net realized gain (loss) | 1,925 | 15,375 | ||||||
Net change in unrealized appreciation (depreciation) | - | - | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 1,560,317 | 804,055 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | - | - | ||||||
Class R5 | (1,564,032 | ) | (789,917 | ) | ||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Total distributions from net investment income | (1,564,032 | ) | (789,917 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class R5 | (15,250 | ) | - | |||||
|
|
|
| |||||
Total distributions from net realized gains | (15,250 | ) | - | |||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | - | - | ||||||
Class R5 | (39,429,039 | ) | 17,582,182 | |||||
Service Class | - | - | ||||||
Administrative Class | - | - | ||||||
Class A | - | - | ||||||
Class R4 | - | - | ||||||
Class R3 | - | - | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (39,429,039 | ) | 17,582,182 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (39,448,004 | ) | 17,596,320 | |||||
Net assets | ||||||||
Beginning of period | 352,316,564 | 334,720,244 | ||||||
|
|
|
| |||||
End of period | $ | 312,868,560 | $ | 352,316,564 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income at end of period | $ | (104,419 | ) | $ | (98,779 | ) | ||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
168
Table of Contents
MassMutual Premier Short-Duration Bond Fund | MassMutual Premier Inflation-Protected and Income Fund | |||||||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||||
$ | 7,442,427 | $ | 12,184,024 | $ | 3,497,453 | $ | 5,913,766 | |||||||
2,346,189 | 1,632,795 | (229,756 | ) | 659,302 | ||||||||||
(8,778,699 | ) | 103,559 | (1,901,622 | ) | (8,610,480 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
1,009,917 | 13,920,378 | 1,366,075 | (2,037,412 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
(7,691,062 | ) | (5,251,944 | ) | (2,927,040 | ) | (3,303,684 | ) | |||||||
(3,581,314 | ) | (4,576,584 | ) | (1,630,948 | ) | (1,716,053 | ) | |||||||
(1,800,199 | ) | (1,118,894 | ) | (1,365,911 | ) | (1,685,214 | ) | |||||||
(675,313 | ) | (646,507 | ) | (362,670 | ) | (380,046 | ) | |||||||
(1,139,955 | ) | (1,566,898 | ) | (495,760 | ) | (479,336 | ) | |||||||
(295,883 | ) | (192,528 | ) | (157,975 | ) | (140,571 | ) | |||||||
(127,705 | ) | (74,927 | ) | (112,214 | ) | (71,044 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(15,311,431 | ) | (13,428,282 | ) | (7,052,518 | ) | (7,775,948 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
- | - | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||
6,712,297 | 132,199,050 | 17,423,545 | (20,398,922 | ) | ||||||||||
(8,299,375 | ) | (43,682,185 | ) | 3,941,618 | (3,014,284 | ) | ||||||||
2,608,367 | 20,200,806 | (6,425,786 | ) | (11,059,868 | ) | |||||||||
2,536,611 | (4,144,691 | ) | (513,946 | ) | 588,103 | |||||||||
6,648,571 | (36,253,064 | ) | (144,946 | ) | (587,313 | ) | ||||||||
91,741 | 4,170,379 | (177,469 | ) | 1,040,525 | ||||||||||
785,884 | 2,990,995 | 655,667 | 1,986,688 | |||||||||||
|
|
|
|
|
|
|
| |||||||
11,084,096 | 75,481,290 | 14,758,683 | (31,445,071 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
(3,217,418 | ) | 75,973,386 | 9,072,240 | (41,258,431 | ) | |||||||||
630,529,848 | 554,556,462 | 263,684,944 | 304,943,375 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 627,312,430 | $ | 630,529,848 | $ | 272,757,184 | $ | 263,684,944 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,529,798 | $ | 11,398,802 | $ | 1,479,578 | $ | 5,034,643 | |||||||
|
|
|
|
|
|
|
|
169
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Core Bond Fund | ||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 16,937,590 | $ | 30,471,112 | ||||
Net realized gain (loss) | (7,333,863 | ) | (1,704,963 | ) | ||||
Net change in unrealized appreciation (depreciation) | (18,009,829 | ) | (13,053,035 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (8,406,102 | ) | 15,713,114 | |||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (16,298,876 | ) | (14,601,868 | ) | ||||
Class R5 | (10,042,498 | ) | (12,612,757 | ) | ||||
Service Class | (2,847,221 | ) | (2,383,497 | ) | ||||
Administrative Class | (1,969,162 | ) | (2,568,484 | ) | ||||
Class A | (2,716,702 | ) | (3,580,048 | ) | ||||
Class R4 | (452,049 | ) | (472,193 | ) | ||||
Class R3 | (12,415 | ) | (21,128 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (34,338,923 | ) | (36,239,975 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Net fund share transactions (Note 5): | ||||||||
Class I | 24,424,557 | 51,023,270 | ||||||
Class R5 | (29,070,740 | ) | (41,235,128 | ) | ||||
Service Class | (275,011 | ) | 9,993,431 | |||||
Administrative Class | (4,135,912 | ) | (12,086,916 | ) | ||||
Class A | (367,005 | ) | (32,957,250 | ) | ||||
Class R4 | 4,488,791 | 259,884 | ||||||
Class R3 | (154,036 | ) | 60,373 | |||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (5,089,356 | ) | (24,942,336 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (47,834,381 | ) | (45,469,197 | ) | ||||
Net assets | ||||||||
Beginning of period | 1,207,577,237 | 1,253,046,434 | ||||||
|
|
|
| |||||
End of period | $ | 1,159,742,856 | $ | 1,207,577,237 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income at end of period | $ | 8,863,816 | $ | 26,265,149 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
170
Table of Contents
MassMutual Premier Diversified Bond Fund | MassMutual Premier High Yield Fund | |||||||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||||
$ | 3,028,560 | $ | 5,178,829 | $ | 15,058,715 | $ | 28,539,734 | |||||||
(1,161,576 | ) | 119,163 | 346,882 | 12,393,363 | ||||||||||
(3,793,020 | ) | (1,375,365 | ) | (19,259,781 | ) | 1,369,001 | ||||||||
|
|
|
|
|
|
|
| |||||||
(1,926,036 | ) | 3,922,627 | (3,854,184 | ) | 42,302,098 | |||||||||
|
|
|
|
|
|
|
| |||||||
(843,981 | ) | (510,116 | ) | (15,260,676 | ) | (11,671,304 | ) | |||||||
(2,762,770 | ) | (1,924,560 | ) | (3,402,827 | ) | (2,992,693 | ) | |||||||
(455,302 | ) | (405,459 | ) | (2,834,872 | ) | (3,214,659 | ) | |||||||
(738,553 | ) | (765,843 | ) | (1,983,745 | ) | (1,772,049 | ) | |||||||
(874,975 | ) | (742,829 | ) | (1,668,415 | ) | (1,587,444 | ) | |||||||
(142,412 | ) | (113,297 | ) | (1,876,196 | ) | (1,369,341 | ) | |||||||
(101,773 | ) | (60,325 | ) | (2,304,959 | ) | (873,103 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(5,919,766 | ) | (4,522,429 | ) | (29,331,690 | ) | (23,480,593 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
6,443,264 | 7,268,356 | 21,875,488 | 11,089,432 | |||||||||||
9,216,374 | 11,132,841 | 1,950,806 | 7,594,632 | |||||||||||
(1,327,032 | ) | (804,633 | ) | (849,071 | ) | (11,805,108 | ) | |||||||
(612,855 | ) | (7,847,618 | ) | 1,952,096 | 2,756,858 | |||||||||
1,713,132 | (2,915,667 | ) | (484,729 | ) | (779,251 | ) | ||||||||
(84,418 | ) | 1,309,395 | 3,957,860 | 11,190,268 | ||||||||||
577,862 | 1,269,728 | 8,039,105 | 21,695,534 | |||||||||||
|
|
|
|
|
|
|
| |||||||
15,926,327 | 9,412,402 | 36,441,555 | 41,742,365 | |||||||||||
|
|
|
|
|
|
|
| |||||||
8,080,525 | 8,812,600 | 3,255,681 | 60,563,870 | |||||||||||
201,974,727 | 193,162,127 | 477,336,797 | 416,772,927 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 210,055,252 | $ | 201,974,727 | $ | 480,592,478 | $ | 477,336,797 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,651,071 | $ | 4,542,277 | $ | 7,422,771 | $ | 21,695,746 | |||||||
|
|
|
|
|
|
|
|
171
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Balanced Fund | ||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 808,886 | $ | 1,751,134 | ||||
Net realized gain (loss) | 4,132,713 | 5,051,820 | ||||||
Net change in unrealized appreciation (depreciation) | (586,932 | ) | 7,829,385 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 4,354,667 | 14,632,339 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (150,517 | ) | (38,945 | ) | ||||
Class R5 | (825,274 | ) | (941,540 | ) | ||||
Service Class | (112,228 | ) | (159,963 | ) | ||||
Administrative Class | (142,305 | ) | (223,479 | ) | ||||
Class A | (418,692 | ) | (491,694 | ) | ||||
Class R4 | (46,983 | ) | (39,384 | ) | ||||
Class R3 | (95,231 | ) | (88,704 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (1,791,230 | ) | (1,983,709 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (419,886 | ) | (10,064 | ) | ||||
Class R5 | (2,441,906 | ) | (256,998 | ) | ||||
Service Class | (363,420 | ) | (48,115 | ) | ||||
Administrative Class | (489,680 | ) | (65,382 | ) | ||||
Class A | (1,685,764 | ) | (171,366 | ) | ||||
Class R4 | (165,643 | ) | (12,808 | ) | ||||
Class R3 | (408,356 | ) | (31,686 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (5,974,655 | ) | (596,419 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 2,164,710 | 6,906,875 | ||||||
Class R5 | (2,885,644 | ) | (9,420,450 | ) | ||||
Service Class | 304,278 | (8,076,631 | ) | |||||
Administrative Class | (1,247,157 | ) | (1,577,286 | ) | ||||
Class A | (357,423 | ) | (1,584,590 | ) | ||||
Class R4 | 385,309 | 186,346 | ||||||
Class R3 | 691,841 | 1,536,213 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | (944,086 | ) | (12,029,523 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (4,355,304 | ) | 22,688 | |||||
Net assets | ||||||||
Beginning of period | 116,752,880 | 116,730,192 | ||||||
|
|
|
| |||||
End of period | $ | 112,397,576 | $ | 116,752,880 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income at end of period | $ | 394,289 | $ | 1,376,633 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
172
Table of Contents
MassMutual Premier Disciplined Value Fund | MassMutual Premier Main Street Fund | |||||||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||||
$ | 1,913,865 | $ | 3,520,568 | $ | 679,392 | $ | 1,674,847 | |||||||
7,373,691 | 19,144,450 | 6,259,130 | 8,374,518 | |||||||||||
(2,414,047 | ) | 9,683,417 | (8,309,089 | ) | 13,443,348 | |||||||||
|
|
|
|
|
|
|
| |||||||
6,873,509 | 32,348,435 | (1,370,567 | ) | 23,492,713 | ||||||||||
|
|
|
|
|
|
|
| |||||||
(1,604,136 | ) | (2,353,643 | ) | (121,371 | ) | (17,545 | ) | |||||||
(858,883 | ) | (1,696,950 | ) | (792,770 | ) | (985,628 | ) | |||||||
(884,855 | ) | (1,494,180 | ) | (10,364 | ) | (10,280 | ) | |||||||
(104,018 | ) | (168,634 | ) | (274,091 | ) | (330,203 | ) | |||||||
(119,815 | ) | (282,683 | ) | (86,861 | ) | (110,288 | ) | |||||||
(157,778 | ) | (176,562 | ) | (36,158 | ) | (45,456 | ) | |||||||
(58,916 | ) | (22,222 | ) | (4,833 | ) | (12,257 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(3,788,401 | ) | (6,194,874 | ) | (1,326,448 | ) | (1,511,657 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(8,075,905 | ) | (2,496,839 | ) | (698,041 | ) | (35,014 | ) | |||||||
(4,566,582 | ) | (1,850,616 | ) | (5,009,325 | ) | (2,116,947 | ) | |||||||
(4,962,387 | ) | (1,718,634 | ) | (72,606 | ) | (27,618 | ) | |||||||
(612,898 | ) | (198,868 | ) | (2,130,007 | ) | (845,330 | ) | |||||||
(891,635 | ) | (351,909 | ) | (909,629 | ) | (348,342 | ) | |||||||
(982,879 | ) | (202,498 | ) | (339,371 | ) | (100,602 | ) | |||||||
(391,570 | ) | (32,613 | ) | (74,044 | ) | (33,223 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(20,483,856 | ) | (6,851,977 | ) | (9,233,023 | ) | (3,507,076 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
3,834,688 | (726,741 | ) | 2,454,141 | 7,019,354 | ||||||||||
16,155,185 | (5,341,282 | ) | (2,571,375 | ) | (5,501,152 | ) | ||||||||
4,639,424 | (19,780,583 | ) | (503,344 | ) | (990,407 | ) | ||||||||
896,798 | (418,640 | ) | 802,408 | (2,708,436 | ) | |||||||||
681,536 | (2,258,550 | ) | 998,379 | (511,751 | ) | |||||||||
78,694 | 5,343,898 | 1,253,785 | 1,198,900 | |||||||||||
392,928 | 2,984,902 | 558,652 | 183,668 | |||||||||||
|
|
|
|
|
|
|
| |||||||
26,679,253 | (20,196,996 | ) | 2,992,646 | (1,309,824 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||
9,280,505 | (895,412 | ) | (8,937,392 | ) | 17,164,156 | |||||||||
204,575,163 | 205,470,575 | 138,732,930 | 121,568,774 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 213,855,668 | $ | 204,575,163 | $ | 129,795,538 | $ | 138,732,930 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 904,056 |
| $ | 2,778,592 | $ | 267,591 | $ | 914,647 | ||||||
|
|
|
|
|
|
|
|
173
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier Disciplined Growth Fund | ||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 1,200,829 | $ | 3,305,024 | ||||
Net realized gain (loss) | 23,628,254 | 38,424,086 | ||||||
Net change in unrealized appreciation (depreciation) | 10,006,266 | 31,210,877 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 34,835,349 | 72,939,987 | ||||||
|
|
|
| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (1,067,533 | ) | (1,520,687 | ) | ||||
Class R5 | (749,015 | ) | (1,102,028 | ) | ||||
Service Class | (553,563 | ) | (813,275 | ) | ||||
Administrative Class | (250,708 | ) | (419,940 | ) | ||||
Class A | (132,436 | ) | (338,412 | ) | ||||
Class R4 | (154,197 | ) | (176,073 | ) | ||||
Class R3 | (15,204 | ) | (21,868 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (2,922,656 | ) | (4,392,283 | ) | ||||
|
|
|
| |||||
From net realized gains: | ||||||||
Class I | (12,964,775 | ) | (7,245,299 | ) | ||||
Class R5 | (10,132,474 | ) | (5,658,271 | ) | ||||
Service Class | (8,469,423 | ) | (4,637,195 | ) | ||||
Administrative Class | (4,565,652 | ) | (2,532,802 | ) | ||||
Class A | (4,168,816 | ) | (2,628,927 | ) | ||||
Class R4 | (3,156,438 | ) | (1,097,568 | ) | ||||
Class R3 | (526,943 | ) | (226,206 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gains | (43,984,521 | ) | (24,026,268 | ) | ||||
|
|
|
| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 4,932,093 | (7,147,349 | ) | |||||
Class R5 | 16,503,373 | 105,106 | ||||||
Service Class | (3,431,990 | ) | (15,272,706 | ) | ||||
Administrative Class | (2,094,691 | ) | (1,693,636 | ) | ||||
Class A | 123,390 | (6,702,224 | ) | |||||
Class R4 | 1,412,574 | 10,011,003 | ||||||
Class R3 | 1,441,696 | 674,295 | ||||||
|
|
|
| |||||
Increase (decrease) in net assets from fund share transactions | 18,886,445 | (20,025,511 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 6,814,617 | 24,495,925 | ||||||
Net assets | ||||||||
Beginning of period | 383,593,400 | 359,097,475 | ||||||
|
|
|
| |||||
End of period | $ | 390,408,017 | $ | 383,593,400 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income at end of period | $ | 574,407 | $ | 2,296,234 | ||||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
174
Table of Contents
MassMutual Premier Small Cap Opportunities Fund | MassMutual Premier Global Fund | |||||||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||||||
$ | 660,569 | $ | 795,492 | $ | 49,725 | $ | 1,350,303 | |||||||
9,475,513 | 23,120,189 | 29,768,469 | 37,011,190 | |||||||||||
(7,874,060 | ) | 15,507,454 | (7,222,331 | ) | 36,431,704 | |||||||||
|
|
|
|
|
|
|
| |||||||
2,262,022 | 39,423,135 | 22,595,863 | 74,793,197 | |||||||||||
|
|
|
|
|
|
|
| |||||||
(80,448 | ) | (51,423 | ) | (371,046 | ) | (225,061 | ) | |||||||
(217,215 | ) | (722,512 | ) | (973,977 | ) | (1,469,473 | ) | |||||||
(37,295 | ) | (151,647 | ) | (148,279 | ) | (261,598 | ) | |||||||
(36,981 | ) | (203,773 | ) | (697,807 | ) | (980,579 | ) | |||||||
- | (521,329 | ) | (127,246 | ) | (216,133 | ) | ||||||||
(4,317 | ) | (61,557 | ) | (34,562 | ) | (48,672 | ) | |||||||
- | (47,585 | ) | (38,175 | ) | (62,240 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(376,256 | ) | (1,759,826 | ) | (2,391,092 | ) | (3,263,756 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(2,130,989 | ) | (99,887 | ) | (4,234,464 | ) | (467,366 | ) | |||||||
(7,472,114 | ) | (1,518,131 | ) | (12,439,902 | ) | (3,331,064 | ) | |||||||
(1,770,371 | ) | (342,433 | ) | (2,169,952 | ) | (667,597 | ) | |||||||
(2,825,370 | ) | (496,326 | ) | (11,456,262 | ) | (2,666,566 | ) | |||||||
(8,525,904 | ) | (1,730,203 | ) | (3,406,608 | ) | (843,373 | ) | |||||||
(1,168,317 | ) | (155,824 | ) | (660,525 | ) | (137,972 | ) | |||||||
(1,100,524 | ) | (148,261 | ) | (1,219,812 | ) | (238,876 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(24,993,589 | ) | (4,491,065 | ) | (35,587,525 | ) | (8,352,814 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
14,031,300 | 10,238,249 | (468,343 | ) | 11,216,037 | ||||||||||
3,332,036 | (7,400,125 | ) | (6,390,138 | ) | (27,637,117 | ) | ||||||||
3,711,477 | (1,103,797 | ) | 2,940,136 | (13,942,751 | ) | |||||||||
2,200,521 | 2,571,457 | 2,532,113 | (16,093,724 | ) | ||||||||||
288,687 | (8,136,910 | ) | 1,446,223 | (7,679,208 | ) | |||||||||
806,956 | 3,905,603 | 86,286 | 244,024 | |||||||||||
1,057,451 | 2,235,598 | 755,814 | 100,516 | |||||||||||
|
|
|
|
|
|
|
| |||||||
25,428,428 | 2,310,075 | 902,091 | (53,792,223 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
2,320,605 | 35,482,319 | (14,480,663 | ) | 9,384,404 | ||||||||||
210,875,202 | 175,392,883 | 324,139,855 | 314,755,451 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 213,195,807 | $ | 210,875,202 | $ | 309,659,192 | $ | 324,139,855 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 239,187 | $ | (45,126 | ) | $ | (2,457,066 | ) | $ | (115,699 | ) | ||||
|
|
|
|
|
|
|
|
175
Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
Statements of Changes in Net Assets
MassMutual Premier International Equity Fund | ||||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 273,959 | $ | 6,783,674 | ||||
Net realized gain (loss) | 13,020,239 | (5,358,092 | ) | |||||
Net change in unrealized appreciation (depreciation) | 6,837,393 | 72,296,900 | ||||||
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|
| |||||
Net increase (decrease) in net assets resulting from operations | 20,131,591 | 73,722,482 | ||||||
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| |||||
Distributions to shareholders (Note 2): | ||||||||
From net investment income: | ||||||||
Class I | (3,222,891 | ) | (2,520,657 | ) | ||||
Class R5 | (2,165,164 | ) | (2,377,345 | ) | ||||
Service Class | (228,348 | ) | (235,477 | ) | ||||
Administrative Class | (161,875 | ) | (179,212 | ) | ||||
Class A | (277,389 | ) | (279,085 | ) | ||||
Class R4 | (124,071 | ) | (55,387 | ) | ||||
Class R3 | (57,228 | ) | (32,828 | ) | ||||
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|
|
| |||||
Total distributions from net investment income | (6,236,966 | ) | (5,679,991 | ) | ||||
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|
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| |||||
From net realized gains: | ||||||||
Class I | - | (2,890,225 | ) | |||||
Class R5 | - | (2,979,941 | ) | |||||
Service Class | - | (319,197 | ) | |||||
Administrative Class | - | (268,503 | ) | |||||
Class A | - | (588,484 | ) | |||||
Class R4 | - | (77,734 | ) | |||||
Class R3 | - | (59,351 | ) | |||||
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| |||||
Total distributions from net realized gains | - | (7,183,435 | ) | |||||
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| |||||
Net fund share transactions (Note 5): | ||||||||
Class I | 15,417,834 | 23,943,833 | ||||||
Class R5 | (23,461,404 | ) | (47,878,604 | ) | ||||
Service Class | 1,871,871 | (3,063,669 | ) | |||||
Administrative Class | (4,654,769 | ) | (2,982,208 | ) | ||||
Class A | (3,331,102 | ) | (7,701,580 | ) | ||||
Class R4 | 1,606,282 | 6,088,990 | ||||||
Class R3 | (502,916 | ) | 4,245,079 | |||||
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| |||||
Increase (decrease) in net assets from fund share transactions | (13,054,204 | ) | (27,348,159 | ) | ||||
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| |||||
Total increase (decrease) in net assets | 840,421 | 33,510,897 | ||||||
Net assets | ||||||||
Beginning of period | 540,938,762 | 507,427,865 | ||||||
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| |||||
End of period | $ | 541,779,183 | $ | 540,938,762 | ||||
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| |||||
Accumulated undistributed (distributions in excess of) net investment income at end of period | $ | 152,828 | $ | 6,115,835 | ||||
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The accompanying notes are an integral part of the financial statements.
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MassMutual Premier Strategic Emerging Markets Fund | ||||||
Six Months Ended March 31, 2018 (Unaudited) | Year Ended September 30, 2017 | |||||
$ | (213,253 | ) | $ | 1,317,482 | ||
13,790,831 | 5,360,842 | |||||
7,007,994 | 32,275,972 | |||||
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| |||
20,585,572 | 38,954,296 | |||||
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| |||
(3,266,714 | ) | (2,039,263 | ) | |||
(48,833 | ) | (31,977 | ) | |||
(4,633 | ) | (73,865 | ) | |||
(15,720 | ) | (11,682 | ) | |||
(1,765 | ) | (183 | ) | |||
(9,767 | ) | (8,779 | ) | |||
(5,088 | ) | (5,018 | ) | |||
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|
| |||
(3,352,520 | ) | (2,170,767 | ) | |||
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| |||
- | �� | - | ||||
- | - | |||||
- | - | |||||
- | - | |||||
- | - | |||||
- | - | |||||
- | - | |||||
|
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| |||
- | - | |||||
|
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|
| |||
11,145,055 | (3,386,325 | ) | ||||
136,888 | 106,292 | |||||
(22,068 | ) | (7,587,580 | ) | |||
(38,148 | ) | 607,467 | ||||
31,655 | 2,452 | |||||
210,519 | 243,951 | |||||
12,535 | 41,892 | |||||
|
|
|
| |||
11,476,436 | (9,971,851 | ) | ||||
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| |||
28,709,488 | 26,811,678 | |||||
244,835,786 | 218,024,108 | |||||
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| |||
$ | 273,545,274 | $ | 244,835,786 | |||
|
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| |||
$ | (4,052,891 | ) | $ | (487,118 | ) | |
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Table of Contents
MassMutual Premier Funds – Financial Statements (Continued)
For the Six Months Ended March 31, 2018 (Unaudited)
MassMutual Premier Inflation- Protected and Income Fund | ||||
Cash flows from operating activities: | ||||
Net increase (decrease) in net assets resulting from operations | $ | 1,366,075 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (137,155,552 | ) | ||
Investments sold | 98,472,906 | |||
(Increase ) Decrease to the principal amount of inflation-linked securities | (2,812,723 | ) | ||
(Purchase) Sale of short-term investments, net | 56,524,362 | |||
Amortization (Accretion) of discount and premium, net | 350,938 | |||
(Increase) Decrease in receivable from interest and dividends | (108,005 | ) | ||
(Increase) Decrease in prepaid expenses | (26,727 | ) | ||
(Increase) Decrease in receivable for open swap agreements, at value | 49,998 | |||
Increase (Decrease) in variation margin payable on open derivative instruments | 4,208 | |||
Increase (Decrease) in payable for Trustees’ fees and expenses | (495 | ) | ||
Increase (Decrease) in payable for investment advisory fees | (3,840 | ) | ||
Increase (Decrease) in payable for administration fees | 1,415 | |||
Increase (Decrease) in payable for service fees | (944 | ) | ||
Increase (Decrease) in payable for distribution fees | 68 | |||
Increase (Decrease) in payable for shareholder service fees | (689 | ) | ||
Increase (Decrease) in payable for open swap agreements, at value | (55,557 | ) | ||
Increase (Decrease) in collateral held on purchased options | 1,180,000 | |||
Increase (Decrease) in collateral held on open swap agreements | - | |||
Increase (Decrease) in payable for accrued expenses and other liabilities | (11,017 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 1,875,562 | |||
Net realized (gain) loss from investments | 699,824 | |||
|
| |||
Net cash from (used in) operating activities | 20,349,807 | |||
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| |||
Cash flows from (used in) financing activities: | ||||
Proceeds from shares sold | 42,551,784 | |||
Payment on shares redeemed | (42,060,047 | ) | ||
Cash distributions paid | (152 | ) | ||
Net Increase (Decrease) in reverse repurchase agreements | (20,425,591 | ) | ||
Increase (Decrease) in collateral pledged for reverse repurchase agreements | (415,801 | ) | ||
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| |||
Net cash from (used in) financing activities | (20,349,807 | ) | ||
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| |||
Net increase (decrease) in cash | - | |||
Cash at beginning of period | - | |||
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| |||
Cash at end of period | $ | - | ||
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| |||
Non cash financing activities not included herein consist of: | ||||
Reinvestment of all distributions | $ | 7,052,366 | ||
Cash paid out for interest on reverse repurchase agreements | $ | 1,472,760 |
The accompanying notes are an integral part of the financial statements.
178
Table of Contents
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 1.00 | $ | 0.00 | d | $ | 0.00 | d | $ | 0.00 | d | $ | (0.00 | )d | $ | (0.00 | )d | $ | 1.00 | 0.38% | b | $ | 312,869 | 0.50% | a | 0.50% | a | 0.75% | a | |||||||||||||||||||
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% |
a | Annualized. |
b | Percentage represents the results for the period and is not annualized. |
c | Per share amount calculated on the average shares method. |
d | Amount is less than $0.005 per share. |
e | Amount is less than 0.005%. |
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. |
r | Unaudited. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
MassMutual Premier Short-Duration Bond Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
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3/31/18r | $ | 10.40 | $ | 0.13 | $ | (0.11 | ) | $ | 0.02 | $ | (0.27 | ) | $ | - | $ | (0.27 | ) | $ | 10.15 | 0.17% | b | $ | 299,455 | 0.39% | a | N/A | 2.50% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.42 | $ | 0.12 | $ | (0.09 | ) | $ | 0.03 | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 10.19 | 0.15% | b | $ | 143,565 | 0.49% | a | N/A | 2.40% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.35 | $ | 0.12 | $ | (0.11 | ) | $ | 0.01 | $ | (0.25 | ) | $ | - | $ | (0.25 | ) | $ | 10.11 | 0.11% | b | $ | 76,440 | 0.59% | a | N/A | 2.30% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Portfolio turnover rate | 19 | % | 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. |
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. |
m | Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
r | Unaudited. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.31 | $ | 0.11 | $ | (0.10 | ) | $ | 0.01 | $ | (0.24 | ) | $ | - | $ | (0.24 | ) | $ | 10.08 | 0.06% | b | $ | 30,654 | 0.69% | a | N/A | 2.21% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.24 | $ | 0.10 | $ | (0.11 | ) | $ | (0.01 | ) | $ | (0.21 | ) | $ | - | $ | (0.21 | ) | $ | 10.02 | 0.00% | b,e | $ | 56,371 | 0.94% | a | N/A | 1.96% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.36 | $ | 0.10 | $ | (0.10 | ) | $ | 0.00 | d | $ | (0.22 | ) | $ | - | $ | (0.22 | ) | $ | 10.14 | 0.03% | b | $ | 13,489 | 0.84% | a | N/A | 2.05% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.30 | $ | 0.09 | $ | (0.10 | ) | $ | (0.01 | ) | $ | (0.20 | ) | $ | - | $ | (0.20 | ) | $ | 10.09 | (0.12% | )b | $ | 7,339 | 1.09% | a | N/A | 1.81% | a | |||||||||||||||||||||||
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% |
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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 (including interest expense)p | |||||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.46 | $ | 0.14 | $ | (0.08 | ) | $ | 0.06 | $ | (0.30 | ) | $ | - | $ | (0.30 | ) | $ | 10.22 | 0.54% | b | $ | 113,255 | 1.63% | a | 1.60% | a | 0.46% | a | 2.79% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.46 | $ | 0.14 | $ | (0.08 | ) | $ | 0.06 | $ | (0.29 | ) | $ | - | $ | (0.29 | ) | $ | 10.23 | 0.53% | b | $ | 62,791 | 1.73% | a | 1.70% | a | 0.56% | a | 2.72% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.42 | $ | 0.14 | $ | (0.09 | ) | $ | 0.05 | $ | (0.27 | ) | $ | - | $ | (0.27 | ) | $ | 10.20 | 0.51% | b | $ | 50,233 | 1.83% | a | 1.80% | a | 0.66% | a | 2.69% | a | |||||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 27% | 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. |
r | Unaudited. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
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Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m |
Net | 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 (including interest expense)p | |||||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.53 | $ | 0.13 | $ | (0.09 | ) | $ | 0.04 | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 10.31 | 0.41% | b | $ | 13,706 | 1.93% | a | 1.90% | a | 0.76% | a | 2.52% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.27 | $ | 0.11 | $ | (0.08 | ) | $ | 0.03 | $ | (0.24 | ) | $ | - | $ | (0.24 | ) | $ | 10.06 | 0.26% | b | $ | 21,607 | 2.18% | a | 2.15% | a | 1.01% | a | 2.28% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.22 | $ | 0.12 | $ | (0.08 | ) | $ | 0.04 | $ | (0.25 | ) | $ | - | $ | (0.25 | ) | $ | 10.01 | 0.31% | b | $ | 5,921 | 2.08% | a | 2.05% | a | 0.91% | a | 2.39% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.22 | $ | 0.11 | $ | (0.09 | ) | $ | 0.02 | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.01 | 0.23% | b | $ | 5,244 | 2.33% | a | 2.30% | a | 1.16% | a | 2.15% | a | |||||||||||||||||||||||||
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% |
183
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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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.04 | $ | 0.16 | $ | (0.23 | ) | $ | (0.07 | ) | $ | (0.33 | ) | $ | - | $ | (0.33 | ) | $ | 10.64 | (0.65% | )b | $ | 551,418 | 0.42% | a | N/A | 3.04% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.07 | $ | 0.16 | $ | (0.23 | ) | $ | (0.07 | ) | $ | (0.32 | ) | $ | - | $ | (0.32 | ) | $ | 10.68 | (0.76% | )b | $ | 316,942 | 0.52% | a | N/A | 2.92% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.01 | $ | 0.15 | $ | (0.24 | ) | $ | (0.09 | ) | $ | (0.31 | ) | $ | - | $ | (0.31 | ) | $ | 10.61 | (0.84% | )b | $ | 97,049 | 0.62% | a | N/A | 2.83% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Portfolio turnover rate | 94 | % | 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. |
r | Unaudited. |
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.
184
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.92 | $ | 0.14 | $ | (0.22 | ) | $ | (0.08 | ) | $ | (0.30 | ) | $ | - | $ | (0.30 | ) | $ | 10.54 | (0.80% | )b | $ | 64,801 | 0.72% | a | N/A | 2.72% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.82 | $ | 0.13 | $ | (0.22 | ) | $ | (0.09 | ) | $ | (0.27 | ) | $ | - | $ | (0.27 | ) | $ | 10.46 | (1.00% | )b | $ | 110,204 | 0.97% | a | N/A | 2.48% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.78 | $ | 0.14 | $ | (0.24 | ) | $ | (0.10 | ) | $ | (0.29 | ) | $ | - | $ | (0.29 | ) | $ | 10.39 | (0.88% | )b | $ | 18,674 | 0.87% | a | N/A | 2.63% | a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.02 | $ | 0.12 | $ | (0.23 | ) | $ | (0.11 | ) | $ | (0.23 | ) | $ | - | $ | (0.23 | ) | $ | 10.68 | (1.03% | )b | $ | 655 | 1.12% | a | N/A | 2.31% | a | |||||||||||||||||||||||
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% |
185
Table of Contents
MassMutual Premier Diversified Bond Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.97 | $ | 0.17 | $ | (0.26 | ) | $ | (0.09 | ) | $ | (0.32 | ) | $ | - | $ | (0.32 | ) | $ | 10.56 | (0.92% | )b | $ | 32,893 | 0.50% | a | 0.50% | a,n | 3.25% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.16 | $ | 0.15 | $ | (0.24 | ) | $ | (0.09 | ) | $ | (0.31 | ) | $ | - | $ | (0.31 | ) | $ | 9.76 | (0.89% | )b | $ | 94,391 | 0.60% | a | 0.60% | a,n | 3.13% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.28 | $ | 0.15 | $ | (0.24 | ) | $ | (0.09 | ) | $ | (0.30 | ) | $ | - | $ | (0.30 | ) | $ | 9.89 | (0.89% | )b | $ | 14,145 | 0.70% | a | 0.70% | a,n | 3.01% | a | ||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Portfolio turnover rate | 91 | % | 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. |
r | Unaudited. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
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Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.25 | $ | 0.14 | $ | (0.23 | ) | $ | (0.09 | ) | $ | (0.29 | ) | $ | - | $ | (0.29 | ) | $ | 9.87 | (1.03% | )b | $ | 24,984 | 0.80% | a | 0.80% | a,n | 2.92% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.23 | $ | 0.13 | $ | (0.25 | ) | $ | (0.12 | ) | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 9.85 | (1.07% | )b | $ | 34,586 | 1.05% | a | 1.05% | a,n | 2.68% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.16 | $ | 0.14 | $ | (0.25 | ) | $ | (0.11 | ) | $ | (0.28 | ) | $ | - | $ | (0.28 | ) | $ | 9.77 | (1.02% | )b | $ | 4,756 | 0.95% | a | 0.95% | a,n | 2.77% | a | ||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 10.10 | $ | 0.12 | $ | (0.23 | ) | $ | (0.11 | ) | $ | (0.26 | ) | $ | - | $ | (0.26 | ) | $ | 9.73 | (1.24% | )b | $ | 4,299 | 1.20% | a | 1.20% | a,n | 2.53% | a | ||||||||||||||||||||||
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 |
187
Table of Contents
MassMutual Premier High Yield Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 9.62 | $ | 0.30 | $ | (0.37 | ) | $ | (0.07 | ) | $ | (0.60 | ) | $ | - | $ | (0.60 | ) | $ | 8.95 | (0.77% | )b | $ | 247,481 | 0.53% | a | 0.53% | a,n | 6.50% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 9.66 | $ | 0.29 | $ | (0.36 | ) | $ | (0.07 | ) | $ | (0.59 | ) | $ | - | $ | (0.59 | ) | $ | 9.00 | (0.76% | )b | $ | 53,767 | 0.63% | a | 0.63% | a,n | 6.39% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 9.66 | $ | 0.29 | $ | (0.36 | ) | $ | (0.07 | ) | $ | (0.58 | ) | $ | - | $ | (0.58 | ) | $ | 9.01 | (0.87% | )b | $ | 45,519 | 0.73% | a | 0.73% | a,n | 6.28% | a | ||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Portfolio turnover rate | 15 | % | 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. |
r | Unaudited. |
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.
188
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 9.51 | $ | 0.28 | $ | (0.36 | ) | $ | (0.08 | ) | $ | (0.57 | ) | $ | - | $ | (0.57 | ) | $ | 8.86 | (0.86% | )b | $ | 32,572 | 0.83% | a | 0.83% | a,n | 6.19% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 9.49 | $ | 0.27 | $ | (0.36 | ) | $ | (0.09 | ) | $ | (0.55 | ) | $ | - | $ | (0.55 | ) | $ | 8.85 | (0.92% | )b | $ | 26,932 | 1.08% | a | 1.08% | a,n | 5.93% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 9.40 | $ | 0.27 | $ | (0.35 | ) | $ | (0.08 | ) | $ | (0.56 | ) | $ | - | $ | (0.56 | ) | $ | 8.76 | (0.98% | )b | $ | 32,403 | 0.98% | a | 0.98% | a,n | 6.05% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 9.60 | $ | 0.27 | $ | (0.37 | ) | $ | (0.10 | ) | $ | (0.55 | ) | $ | - | $ | (0.55 | ) | $ | 8.95 | (1.05% | )b | $ | 41,917 | 1.23% | a | 1.23% | a,n | 5.81% | a | ||||||||||||||||||||||
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% |
189
Table of Contents
MassMutual Premier Balanced Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.53 | $ | 0.11 | $0.39 | $0.50 | $ | (0.24 | ) | $ | (0.67 | ) | $ | (0.91 | ) | $ | 12.12 | 3.87% | b | $10,189 | 0.70%a | 0.60% | a | 1.71% | a | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.53 | $ | 0.10 | $0.39 | $0.49 | $ | (0.23 | ) | $ | (0.67 | ) | $ | (0.90 | ) | $ | 12.12 | 3.76% | b | $45,091 | 0.80%a | 0.70% | a | 1.59% | a | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.11 | $ | 0.10 | $0.41 | $0.51 | $ | (0.21 | ) | $ | (0.67 | ) | $ | (0.88 | ) | $ | 12.74 | 3.75% | b | $7,080 | 0.90%a | 0.80% | a | 1.49% | a | |||||||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 46% | 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. |
r | Unaudited. |
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.
190
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.55 | $ | 0.09 | $0.39 | $0.48 | $ | (0.19 | ) | $ | (0.67 | ) | $ | (0.86 | ) | $ | 12.17 | 3.74% | b | $7,913 | 1.00%a | 0.90% | a | 1.39% | a | |||||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.22 | $ | 0.07 | $ | 0.38 | $ | 0.45 | $ | (0.17 | ) | $ | (0.67 | ) | $ | (0.84 | ) | $ | 11.83 | 3.53% | b | $ | 31,330 | 1.25% | a | 1.15% | a | 1.14% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.15 | $ | 0.07 | $ | 0.38 | $ | 0.45 | $ | (0.19 | ) | $ | (0.67 | ) | $ | (0.86 | ) | $ | 11.74 | 3.58% | b | $ | 3,103 | 1.15% | a | 1.05% | a | 1.25% | a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.09 | $ | 0.06 | $ | 0.37 | $ | 0.43 | $ | (0.16 | ) | $ | (0.67 | ) | $ | (0.83 | ) | $ | 11.69 | 3.40% | b | $ | 7,692 | 1.40% | a | 1.30% | a | 1.00% | a | |||||||||||||||||||||||
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 |
191
Table of Contents
MassMutual Premier Disciplined Value Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 17.67 | $ | 0.17 | $ | 0.44 | $ | 0.61 | $ | (0.36 | ) | $ | (1.82 | ) | $ | (2.18 | ) | $ | 16.10 | 3.06% | b | $ | 76,456 | 0.57% | a | N/A | 2.01% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 17.69 | $ | 0.17 | $ | 0.43 | $ | 0.60 | $ | (0.34 | ) | $ | (1.82 | ) | $ | (2.16 | ) | $ | 16.13 | 3.07% | b | $ | 59,065 | 0.67% | a | N/A | 1.95% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 17.57 | $ | 0.15 | $ | 0.43 | $ | 0.58 | $ | (0.32 | ) | $ | (1.82 | ) | $ | (2.14 | ) | $ | 16.01 | 3.05% | b | $ | 49,702 | 0.77% | a | N/A | 1.82% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 41% | 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. |
r | Unaudited. |
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.
192
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 17.86 | $ | 0.15 | $ | 0.44 | $ | 0.59 | $ | (0.31 | ) | $ | (1.82 | ) | $ | (2.13 | ) | $ | 16.32 | 2.97% | b | $ | 6,330 | 0.87% | a | N/A | 1.72% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 17.39 | $ | 0.12 | $ | 0.43 | $ | 0.55 | $ | (0.24 | ) | $ | (1.82 | ) | $ | (2.06 | ) | $ | 15.88 | 2.84% | b | $ | 9,075 | 1.12% | a | N/A | 1.47% | 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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 17.32 | $ | 0.13 | $ | 0.42 | $ | 0.55 | $ | (0.29 | ) | $ | (1.82 | ) | $ | (2.11 | ) | $ | 15.76 | 2.90% | b | $ | 9,363 | 1.02% | a | N/A | 1.57% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 17.56 | $ | 0.11 | $ | 0.43 | $ | 0.54 | $ | (0.27 | ) | $ | (1.82 | ) | $ | (2.09 | ) | $ | 16.01 | 2.75% | b | $ | 3,865 | 1.27% | a | N/A | 1.32% | a | ||||||||||||||||||||||||
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% |
193
Table of Contents
MassMutual Premier Main Street Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.94 | $ | 0.07 | $ | (0.17 | ) | $ | (0.10 | ) | $ | (0.14 | ) | $ | (0.79 | ) | $ | (0.93 | ) | $ | 10.91 | (1.13% | )b | $ | 10,039 | 0.70% | a | N/A | 1.20% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.93 | $ | 0.06 | $ | (0.16 | ) | $ | (0.10 | ) | $ | (0.13 | ) | $ | (0.79 | ) | $ | (0.92 | ) | $ | 10.91 | (1.15% | )b | $ | 69,592 | 0.80% | a | N/A | 1.09% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.30 | $ | 0.06 | $ | (0.18 | ) | $ | (0.12 | ) | $ | (0.11 | ) | $ | (0.79 | ) | $ | (0.90 | ) | $ | 11.28 | (1.22% | )b | $ | 529 | 0.90% | a | N/A | 0.99% | a | ||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||
Portfolio turnover rate | 26% | 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. |
r | Unaudited. |
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.
194
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.91 | $ | 0.05 | $ | (0.17 | ) | $ | (0.12 | ) | $ | (0.10 | ) | $ | (0.79 | ) | $ | (0.89 | ) | $ | 10.90 | (1.26% | )b | $ | 29,075 | 1.00% | a | N/A | 0.90% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.75 | $ | 0.04 | $ | (0.17 | ) | $ | (0.13 | ) | $ | (0.08 | ) | $ | (0.79 | ) | $ | (0.87 | ) | $ | 10.75 | (1.42% | )b | $ | 12,937 | 1.25% | a | N/A | 0.65% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.67 | $ | 0.04 | $ | (0.16 | ) | $ | (0.12 | ) | $ | (0.08 | ) | $ | (0.79 | ) | $ | (0.87 | ) | $ | 10.68 | (1.26% | )b | $ | 6,049 | 1.15% | a | N/A | 0.76% | a | ||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 11.76 | $ | 0.03 | $ | (0.17 | ) | $ | (0.14 | ) | $ | (0.05 | ) | $ | (0.79 | ) | $ | (0.84 | ) | $ | 10.78 | (1.44% | )b | $ | 1,575 | 1.40% | a | N/A | 0.53% | a | ||||||||||||||||||||||
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% |
195
Table of Contents
MassMutual Premier Disciplined Growth Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.13 | $ | 0.05 | $ | 1.16 | $ | 1.21 | $ | (0.13 | ) | $ | (1.55 | ) | $ | (1.68 | ) | $ | 12.66 | 9.20% | b | $ | 114,896 | 0.52% | a | N/A | 0.22% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.14 | $ | 0.05 | $ | 1.15 | $ | 1.20 | $ | (0.11 | ) | $ | (1.55 | ) | $ | (1.66 | ) | $ | 12.68 | 9.17% | b | $ | 100,626 | 0.62% | a | N/A | 0.10% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.17 | $ | 0.04 | $ | 1.15 | $ | 1.19 | $ | (0.10 | ) | $ | (1.55 | ) | $ | (1.65 | ) | $ | 12.71 | 9.04% | b | $ | 67,897 | 0.72% | a | N/A | 0.03% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 29% | 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. |
r | Unaudited. |
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.
196
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.28 | $ | 0.03 | $ | 1.17 | $ | 1.20 | $ | (0.08 | ) | $ | (1.55 | ) | $ | (1.63 | ) | $ | 12.85 | 9.08% | b | $ | 38,429 | 0.82% | a | N/A | (0.13% | )a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.95 | $ | 0.02 | $ | 1.14 | $ | 1.16 | $ | (0.05 | ) | $ | (1.55 | ) | $ | (1.60 | ) | $ | 12.51 | 8.94% | b | $ | 35,670 | 1.07% | a | N/A | (0.35% | )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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.89 | $ | 0.02 | $ | 1.14 | $ | 1.16 | $ | (0.08 | ) | $ | (1.55 | ) | $ | (1.63 | ) | $ | 12.42 | 8.96% | b | $ | 27,316 | 0.97% | a | N/A | (0.22% | )a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.86 | $ | 0.01 | $ | 1.13 | $ | 1.14 | $ | (0.04 | ) | $ | (1.55 | ) | $ | (1.59 | ) | $ | 12.41 | 8.89% | b | $ | 5,574 | 1.22% | a | N/A | (0.49% | )a | ||||||||||||||||||||||||
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 |
197
Table of Contents
MassMutual Premier Small Cap Opportunities Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.41 | $ | 0.08 | $ | 0.14 | $ | 0.22 | $ | (0.07 | ) | $ | (1.94 | ) | $ | (2.01 | ) | $ | 14.62 | 1.13% | b | $ | 26,927 | 0.68% | a | N/A | 1.01% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.38 | $ | 0.06 | $ | 0.16 | $ | 0.22 | $ | (0.06 | ) | $ | (1.94 | ) | $ | (2.00 | ) | $ | 14.60 | 1.08% | b | $ | 61,475 | 0.78% | a | N/A | 0.83% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.34 | $ | 0.06 | $ | 0.15 | $ | 0.21 | $ | (0.04 | ) | $ | (1.94 | ) | $ | (1.98 | ) | $ | 14.57 | 1.05% | b | $ | 16,810 | 0.88% | a | N/A | 0.76% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 30% | 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. |
d | Amount is less than $0.005 per share. |
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. |
r | Unaudited. |
gg | For the period April 1, 2014 (commencement of operations) through September 30, 2014. |
The accompanying notes are an integral part of the financial statements.
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Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.25 | $ | 0.05 | $ | 0.14 | $ | 0.19 | $ | (0.02 | ) | $ | (1.94 | ) | $ | (1.96 | ) | $ | 14.48 | 0.97% | b | $ | 23,550 | 0.98% | a | N/A | 0.64% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 15.93 | $ | 0.03 | $ | 0.15 | $ | 0.18 | $ | - | $ | (1.94 | ) | $ | (1.94 | ) | $ | 14.17 | 0.88% | b | $ | 65,947 | 1.23% | a | N/A | 0.38% | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 15.83 | $ | 0.04 | $ | 0.14 | $ | 0.18 | $ | (0.00 | )d | $ | (1.94 | ) | $ | (1.94 | ) | $ | 14.07 | 0.94% | b | $ | 9,447 | 1.13% | a | N/A | 0.49% | a | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 15.77 | $ | 0.02 | $ | 0.15 | $ | 0.17 | $ | - | $ | (1.94 | ) | $ | (1.94 | ) | $ | 14.00 | 0.82% | b | $ | 9,041 | 1.38% | a | N/A | 0.24% | a | |||||||||||||||||||||||||
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 |
199
Table of Contents
MassMutual Premier Global Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.46 | $ | 0.02 | $ | 1.16 | $ | 1.18 | $ | (0.16 | ) | $ | (1.87 | ) | $ | (2.03 | ) | $ | 15.61 | 7.16% | b | $ | 31,657 | 0.86% | a | N/A | 0.29% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.47 | $ | 0.01 | $ | 1.16 | $ | 1.17 | $ | (0.15 | ) | $ | (1.87 | ) | $ | (2.02 | ) | $ | 15.62 | 7.05% | b | $ | 109,104 | 0.96% | a | N/A | 0.15% | a | ||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.33 | $ | 0.01 | $ | 1.15 | $ | 1.16 | $ | (0.13 | ) | $ | (1.87 | ) | $ | (2.00 | ) | $ | 15.49 | 7.06% | b | $ | 21,012 | 1.06% | a | N/A | 0.08% | a | ||||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 20% | 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. |
r | Unaudited. |
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.
200
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.44 | $ | (0.00 | )d | $ | 1.15 | $ | 1.15 | $ | (0.11 | ) | $ | (1.87 | ) | $ | (1.98 | ) | $ | 15.61 | 6.98% | b | $ | 100,852 | 1.16% | a | N/A | (0.05% | )a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.27 | $ | (0.02 | ) | $ | 1.14 | $ | 1.12 | $ | (0.07 | ) | $ | (1.87 | ) | $ | (1.94 | ) | $ | 15.45 | 6.84% | b | $ | 30,801 | 1.41% | a | N/A | (0.29% | )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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.13 | $ | (0.02 | ) | $ | 1.14 | $ | 1.12 | $ | (0.10 | ) | $ | (1.87 | ) | $ | (1.97 | ) | $ | 15.28 | 6.89% | b | $ | 5,374 | 1.31% | a | N/A | (0.20% | )a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 16.21 | $ | (0.04 | ) | $ | 1.15 | $ | 1.11 | $ | (0.06 | ) | $ | (1.87 | ) | $ | (1.93 | ) | $ | 15.39 | 6.73% | b | $ | 10,860 | 1.56% | a | N/A | (0.44% | )a | |||||||||||||||||||||||
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% |
201
Table of Contents
MassMutual Premier International Equity Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
Income (loss) from investment operations | Less distributions to shareholders | Ratios /Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.44 | $ | 0.02 | $ | 0.48 | $ | 0.50 | $ | (0.17 | ) | $ | - | $ | (0.17 | ) | $ | 13.77 | 3.74% | b | $ | 268,060 | 0.95% | a | 0.93%a | 0.22% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.44 | $ | 0.01 | $ | 0.49 | $ | 0.50 | $ | (0.16 | ) | $ | - | $ | (0.16 | ) | $ | 13.78 | 3.70% | b | $ | 176,893 | 1.05% | a | 1.03%a | 0.10% | a | |||||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.39 | $ | 0.00 | d | $ | 0.50 | $ | 0.50 | $ | (0.15 | ) | $ | - | $ | (0.15 | ) | $ | 13.74 | 3.71% | b | $ | 23,832 | 1.15% | a | 1.13% | a | 0.03% | a | |||||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 24% | 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. |
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. |
r | Unaudited. |
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.
202
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios /Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | From net realized gains | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | ||||||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.32 | $ | (0.01 | ) | $ | 0.50 | $ | 0.49 | $ | (0.13 | ) | $ | - | $ | (0.13 | ) | $ | 13.68 | 3.65% | b | $ | 13,915 | 1.25% | a | 1.23% | a | (0.13% | )a | |||||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.93 | $ | (0.02 | ) | $ | 0.48 | $ | 0.46 | $ | (0.10 | ) | $ | - | $ | (0.10 | ) | $ | 13.29 | 3.53% | b | $ | 37,490 | 1.50% | a | 1.48% | a | (0.35% | )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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.84 | $ | (0.01 | ) | $ | 0.46 | $ | 0.45 | $ | (0.13 | ) | $ | - | $ | (0.13 | ) | $ | 13.16 | 3.51% | b | $ | 12,809 | 1.40% | a | 1.38% | a | (0.21% | )a | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.79 | $ | (0.03 | ) | $ | 0.47 | $ | 0.44 | $ | (0.09 | ) | $ | - | $ | (0.09 | ) | $ | 13.14 | 3.41% | b | $ | 8,780 | 1.65% | a | 1.63% | a | (0.49% | )a | |||||||||||||||||||||||
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 |
203
Table of Contents
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.88 | $ | (0.01 | ) | $ | 1.05 | $ | 1.04 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 13.75 | 8.18% | b | $ | 264,820 | 1.23% | a | 1.05% | a | (0.15% | )a | |||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 13.05 | $ | (0.02 | ) | $ | 1.08 | $ | 1.06 | $ | (0.16 | ) | $ | (0.16 | ) | $ | 13.95 | 8.20% | b | $ | 4,295 | 1.33% | a | 1.15% | a | (0.26% | )a | |||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.85 | $ | (0.02 | ) | $ | 1.06 | $ | 1.04 | $ | (0.14 | ) | $ | (0.14 | ) | $ | 13.75 | 8.12% | b | $ | 444 | 1.43% | a | 1.25% | a | (0.36% | )a | |||||||||||||||||||||
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% |
Six months ended March 31, 2018b,r | Year ended September 30 | |||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Portfolio turnover rate | 22% | 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. |
r | Unaudited. |
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.
204
Table of Contents
Income (loss) from investment operations | Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss)c,j | Net realized and unrealized gain (loss) on investments | Total income (loss) from investment operations | From net investment income | Total distributions | Net asset value, end of the period | Total returnl,m | Net assets, end of the period (000’s) | Ratio of expenses to average daily net assets before expense waivers | Ratio of expenses to average daily net assets after expense waiversj | Net investment income (loss) to average daily net assets | |||||||||||||||||||||||||||||||||||||
Administrative Class |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.91 | $ | (0.03 | ) | $ | 1.07 | $ | 1.04 | $ | (0.14 | ) | $ | (0.14 | ) | $ | 13.81 | 8.08% | b | $ | 1,634 | 1.53% | a | 1.35% | a | (0.46% | )a | |||||||||||||||||||||
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.88 | $ | (0.05 | ) | $ | 1.06 | $ | 1.01 | $ | (0.12 | ) | $ | (0.12 | ) | $ | 13.77 | 7.92% | b | $ | 162 | 1.78% | a | 1.60% | a | (0.72% | )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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.76 | $ | (0.04 | ) | $ | 1.06 | $ | 1.02 | $ | (0.12 | ) | $ | (0.12 | ) | $ | 13.66 | 8.04% | b | $ | 1,298 | 1.68% | a | 1.50% | a | (0.59% | )a | |||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||
3/31/18r | $ | 12.73 | $ | (0.06 | ) | $ | 1.05 | $ | 0.99 | $ | (0.08 | ) | $ | (0.08 | ) | $ | 13.64 | 7.84% | b | $ | 892 | 1.93% | a | 1.75% | a | (0.85% | )a | |||||||||||||||||||||
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 |
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1. | The Funds |
MassMutual Premier Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated August 1, 1994, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 14 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 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.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the 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
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Notes to Financial Statements (Unaudited) (Continued)
settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (with the exception of debt securities held by the U.S. Government Money Market Fund) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. The U.S. Government Money Market Fund’s debt securities are typically valued at amortized cost, but may be valued using a vendor quote if the Fund’s investment adviser determines it more closely approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the U.S. Government Money Market Fund must adhere to certain conditions. It is the intention of the U.S. Government Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. 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. |
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Notes to Financial Statements (Unaudited) (Continued)
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:
Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.
Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
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.
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Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The U.S. Government Money Market Fund characterized all investments at Level 2 as of March 31, 2018. The Disciplined Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of March 31, 2018. 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 March 31, 2018, for the remaining Funds’ investments:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 286,565,625 | $ | - | $ | 286,565,625 | ||||||||
Municipal Obligations | - | 154,615 | - | 154,615 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 247,963,698 | 8,746,949 | ** | 256,710,647 | |||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 7,729,802 | - | 7,729,802 | ||||||||||||
U.S. Treasury Obligations | - | 20,251,130 | - | 20,251,130 | ||||||||||||
Purchased Options | - | 5,068,690 | - | 5,068,690 | ||||||||||||
Short-Term Investments | - | 60,620,715 | - | 60,620,715 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 628,354,275 | $ | 8,746,949 | $ | 637,101,224 | ||||||||
|
|
|
|
|
|
|
|
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-Duration Bond Fund (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 904,435 | $ | - | $ | - | $ | 904,435 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (1,405,505 | ) | $ | - | $ | - | $ | (1,405,505 | ) | ||||||
Swap Agreements | - | (444,931 | ) | - | (444,931 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,405,505 | ) | $ | (444,931 | ) | $ | - | $ | (1,850,436 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Corporate Debt | $ | - | $ | 4,706,178 | $ | - | $ | 4,706,178 | ||||||||
Municipal Obligations | - | 105,138 | - | 105,138 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 122,590,153 | 1,674,111 | ** | 124,264,264 | |||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 3,839,223 | - | 3,839,223 | ||||||||||||
U.S. Treasury Obligations | - | 248,102,798 | - | 248,102,798 | ||||||||||||
Purchased Options | - | 1,568,579 | - | 1,568,579 | ||||||||||||
Short-Term Investments | - | 87,344,847 | - | 87,344,847 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 468,256,916 | $ | 1,674,111 | $ | 469,931,027 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 3,747 | $ | - | $ | - | $ | 3,747 | ||||||||
Swap Agreements | - | 186,079 | - | 186,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,747 | $ | 186,079 | $ | - | $ | 189,826 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (41,757 | ) | $ | - | $ | - | $ | (41,757 | ) | ||||||
Swap Agreements | - | (403,621 | ) | - | (403,621 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (41,757 | ) | $ | (403,621 | ) | $ | - | $ | (445,378 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Preferred Stock | $ | 3,472,300 | $ | - | $ | - | $ | 3,472,300 | ||||||||
Corporate Debt | - | 422,914,277 | - | 422,914,277 | ||||||||||||
Municipal Obligations | - | 6,951,122 | - | 6,951,122 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 345,850,558 | 13,630,011 | ** | 359,480,569 | |||||||||||
Sovereign Debt Obligations | - | 8,824,926 | - | 8,824,926 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 287,733,942 | - | 287,733,942 | ||||||||||||
U.S. Treasury Obligations | - | 51,546,952 | - | 51,546,952 | ||||||||||||
Purchased Options | - | 9,412,689 | - | 9,412,689 | ||||||||||||
Short-Term Investments | - | 41,965,820 | - | 41,965,820 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,472,300 | $ | 1,175,200,286 | $ | 13,630,011 | $ | 1,192,302,597 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,695,685 | $ | - | $ | - | $ | 1,695,685 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (123,470 | ) | $ | - | $ | - | $ | (123,470 | ) | ||||||
Swap Agreements | - | (1,138,846 | ) | - | (1,138,846 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (123,470 | ) | $ | (1,138,846 | ) | $ | - | $ | (1,262,316 | ) | |||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Diversified Bond Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 807 | ** | $ | 807 | |||||||
Preferred Stock | 267,100 | - | - | 267,100 | ||||||||||||
Corporate Debt | - | 85,527,048 | - | 85,527,048 | ||||||||||||
Municipal Obligations | - | 422,376 | - | 422,376 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 57,423,032 | 2,426,911 | ** | 59,849,943 | |||||||||||
Sovereign Debt Obligations | - | 1,616,295 | - | 1,616,295 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 44,107,853 | - | 44,107,853 | ||||||||||||
U.S. Treasury Obligations | - | 8,091,582 | - | 8,091,582 | ||||||||||||
Purchased Options | - | 2,442,086 | - | 2,442,086 | ||||||||||||
Warrants | - | - | 3,779 | ** | 3,779 | |||||||||||
Short-Term Investments | - | 17,133,013 | - | 17,133,013 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 267,100 | $ | 216,763,285 | $ | 2,431,497 | $ | 219,461,882 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Asset Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | 83,053 | $ | - | $ | 83,053 | ||||||||
Futures Contracts | 474,858 | - | - | 474,858 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 474,858 | $ | 83,053 | $ | - | $ | 557,911 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Forward Contracts | $ | - | $ | (59,312 | ) | $ | - | $ | (59,312 | ) | ||||||
Futures Contracts | (135,227 | ) | - | - | (135,227 | ) | ||||||||||
Swap Agreements | - | (142,908 | ) | - | (142,908 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (135,227 | ) | $ | (202,220 | ) | $ | - | $ | (337,447 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | - | $ | - | $ | 9,899 | ** | $ | 9,899 | |||||||
Preferred Stock | - | 2,011,244 | - | 2,011,244 | ||||||||||||
Bank Loans (Less Unfunded Loan Commitments) | - | 14,891,751 | - | 14,891,751 | ||||||||||||
Corporate Debt | - | 443,865,583 | - | 443,865,583 | ||||||||||||
Short-Term Investments | - | 13,794,535 | - | 13,794,535 | ||||||||||||
Unfunded Loan Commitments*** | - | - | (18,900 | )** | (18,900 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | - | $ | 474,563,113 | $ | (9,001 | ) | $ | 474,554,112 | |||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 72,222,474 | $ | - | $ | - | $ | 72,222,474 | ||||||||
Preferred Stock | 133,550 | - | - | 133,550 | ||||||||||||
Corporate Debt | - | 10,499,845 | - | 10,499,845 | ||||||||||||
Municipal Obligations | - | 217,179 | - | 217,179 | ||||||||||||
Non-U.S. Government Agency Obligations | - | 8,956,318 | 95,486 | ** | 9,051,804 | |||||||||||
Sovereign Debt Obligations | - | 234,867 | - | 234,867 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities | - | 7,281,829 | - | 7,281,829 | ||||||||||||
U.S. Treasury Obligations | - | 1,097,354 | - | 1,097,354 | ||||||||||||
Purchased Options | - | 239,534 | - | 239,534 | ||||||||||||
Rights | - | - | 1 | ** | 1 | |||||||||||
Mutual Funds | 10,941,777 | - | - | 10,941,777 | ||||||||||||
Short-Term Investments | - | 1,734,048 | - | 1,734,048 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 83,297,801 | $ | 30,260,974 | $ | 95,487 | $ | 113,654,262 | ||||||||
|
|
|
|
|
|
|
|
211
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Balanced Fund (Continued) | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | $ | 52,254 | $ | - | $ | - | $ | 52,254 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | $ | (21,783 | ) | $ | - | $ | - | $ | (21,783 | ) | ||||||
Swap Agreements | - | (30,939 | ) | - | (30,939 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (21,783 | ) | $ | (30,939 | ) | $ | - | $ | (52,722 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 201,714,483 | $ | - | $ | - | $ | 201,714,483 | ||||||||
Rights | - | - | 3 | ** | 3 | |||||||||||
Mutual Funds | 9,085,530 | - | - | 9,085,530 | ||||||||||||
Short-Term Investments | - | 3,083,206 | - | 3,083,206 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 210,800,013 | $ | 3,083,206 | $ | 3 | $ | 213,883,222 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 124,421,629 | $ | 2,169,400 | * | $ | - | $ | 126,591,029 | |||||||
Short-Term Investments | - | 3,260,666 | - | 3,260,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 124,421,629 | $ | 5,430,066 | $ | - | $ | 129,851,695 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock | $ | 209,818,251 | $ | 855,673 | * | $ | - | $ | 210,673,924 | |||||||
Mutual Funds | 11,863,307 | - | - | 11,863,307 | ||||||||||||
Short-Term Investments | - | 3,085,645 | - | 3,085,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 221,681,558 | $ | 3,941,318 | $ | - | $ | 225,622,876 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Cayman Islands | $ | 7,401,004 | $ | - | $ | - | $ | 7,401,004 | ||||||||
Denmark | - | 2,131,719 | - | 2,131,719 | ||||||||||||
France | - | 20,132,934 | - | 20,132,934 | ||||||||||||
Germany | - | 22,867,493 | - | 22,867,493 | ||||||||||||
India | 2,431,715 | 6,019,533 | - | 8,451,248 | ||||||||||||
Italy | - | 957,491 | - | 957,491 | ||||||||||||
Japan | - | 49,237,876 | - | 49,237,876 | ||||||||||||
Netherlands | - | 10,691,020 | - | 10,691,020 | ||||||||||||
Spain | - | 9,540,411 | - | 9,540,411 | ||||||||||||
Sweden | - | 3,982,297 | - | 3,982,297 | ||||||||||||
Switzerland | - | 9,513,075 | - | 9,513,075 | ||||||||||||
United Kingdom | 2,586,716 | 17,753,725 | - | 20,340,441 | ||||||||||||
United States | 146,597,428 | - | - | 146,597,428 | ||||||||||||
Preferred Stock* | ||||||||||||||||
Germany | - | 5,765,653 | - | 5,765,653 | ||||||||||||
India | 52,998 | - | - | 52,998 | ||||||||||||
Mutual Funds | 8,385,423 | - | - | 8,385,423 | ||||||||||||
Short-Term Investments | - | 24,857 | - | 24,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 167,455,284 | $ | 158,618,084 | $ | - | $ | 326,073,368 | ||||||||
|
|
|
|
|
|
|
|
212
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
International Equity Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Australia | $ | - | $ | 6,986,321 | $ | - | $ | 6,986,321 | ||||||||
Austria | - | 8,042,186 | - | 8,042,186 | ||||||||||||
Brazil | 1,831,201 | - | - | 1,831,201 | ||||||||||||
Canada | 23,127,599 | - | - | 23,127,599 | ||||||||||||
Cayman Islands | 8,116,849 | 4,669,884 | - | 12,786,733 | ||||||||||||
Denmark | - | 23,916,168 | - | 23,916,168 | ||||||||||||
Finland | - | 7,339,702 | - | 7,339,702 | ||||||||||||
France | - | 73,149,163 | - | 73,149,163 | ||||||||||||
Germany | 1,250,706 | 66,469,233 | - | 67,719,939 | ||||||||||||
India | 7,043,786 | 7,814,201 | - | 14,857,987 | ||||||||||||
Ireland | - | 3,210,052 | - | 3,210,052 | ||||||||||||
Japan | - | 66,817,302 | - | 66,817,302 | ||||||||||||
Luxembourg | - | 4,640,297 | - | 4,640,297 | ||||||||||||
Netherlands | - | 44,225,386 | - | 44,225,386 | ||||||||||||
Panama | 8,614,589 | - | - | 8,614,589 | ||||||||||||
South Africa | - | 4,830,124 | - | 4,830,124 | ||||||||||||
Spain | - | 25,787,190 | - | 25,787,190 | ||||||||||||
Sweden | - | 12,523,320 | - | 12,523,320 | ||||||||||||
Switzerland | - | 50,384,010 | - | 50,384,010 | ||||||||||||
Thailand | 6,881,541 | - | - | 6,881,541 | ||||||||||||
United Kingdom | - | 68,891,841 | - | 68,891,841 | ||||||||||||
Preferred Stock | ||||||||||||||||
India | 60,425 | - | - | 60,425 | ||||||||||||
Mutual Funds | 23,204,941 | - | - | 23,204,941 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 80,131,637 | $ | 479,696,380 | $ | - | $ | 559,828,017 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund | ||||||||||||||||
Asset Investments | ||||||||||||||||
Common Stock* | ||||||||||||||||
Bermuda | $ | 3,226,239 | $ | 3,543,969 | $ | - | $ | 6,770,208 | ||||||||
Brazil | 12,643,639 | - | - | 12,643,639 | ||||||||||||
Cayman Islands | 28,208,313 | 15,966,384 | - | 44,174,697 | ||||||||||||
Chile | 673,385 | - | - | 673,385 | ||||||||||||
China | - | 16,695,980 | - | 16,695,980 | ||||||||||||
Colombia | 1,549,483 | 1,149,088 | - | 2,698,571 | ||||||||||||
Egypt | - | 1,275,599 | - | 1,275,599 | ||||||||||||
France | - | 13,366,435 | - | 13,366,435 | ||||||||||||
Hong Kong | - | 7,549,462 | - | 7,549,462 | ||||||||||||
India | - | 32,333,425 | - | 32,333,425 | ||||||||||||
Indonesia | - | 4,540,895 | - | 4,540,895 | ||||||||||||
Italy | - | 3,306,949 | - | 3,306,949 | ||||||||||||
Malaysia | - | 2,160,086 | - | 2,160,086 | ||||||||||||
Mexico | 1,775,570 | 11,483,332 | - | 13,258,902 | ||||||||||||
Netherlands | 1,372,071 | 223,495 | - | 1,595,566 | ||||||||||||
Nigeria | - | 278,073 | - | 278,073 | ||||||||||||
Philippines | - | 9,605,103 | - | 9,605,103 | ||||||||||||
Portugal | - | 477,134 | - | 477,134 | ||||||||||||
Republic of Korea | - | 22,601,568 | - | 22,601,568 |
213
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Strategic Emerging Markets Fund (Continued) | ||||||||||||||||
Asset Investments (Continued) | ||||||||||||||||
Russia | $ | - | $ | 18,635,610 | $ | - | $ | 18,635,610 | ||||||||
South Africa | - | 7,920,247 | - | 7,920,247 | ||||||||||||
Spain | - | 499,594 | - | 499,594 | ||||||||||||
Taiwan | - | 17,051,545 | - | 17,051,545 | ||||||||||||
Turkey | - | 2,862,114 | - | 2,862,114 | ||||||||||||
United Arab Emirates | - | 4,749,515 | - | 4,749,515 | ||||||||||||
United Kingdom | - | 9,732,499 | - | 9,732,499 | ||||||||||||
United States | 1,749,367 | - | - | 1,749,367 | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 3,525,071 | - | - | 3,525,071 | ||||||||||||
India | 56,684 | - | - | 56,684 | ||||||||||||
Mutual Funds | 7,641,521 | - | - | 7,641,521 | ||||||||||||
Rights | - | 732,301 | - | 732,301 | ||||||||||||
Short-Term Investments | - | 11,665,509 | - | 11,665,509 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 62,421,343 | $ | 220,405,911 | $ | - | $ | 282,827,254 | ||||||||
|
|
|
|
|
|
|
|
* | 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. |
** | 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 period ended March 31, 2018 is not presented. |
*** | Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment. |
The following tables show Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of March 31, 2018.
Statements of Assets and Liabilities location: | Short-Duration | Inflation- | Core | Diversified | High | Balanced | ||||||
Receivables from: | ||||||||||||
Investments sold on a when-issued basis | X | |||||||||||
Collateral pledged for reverse repurchase agreements | X | |||||||||||
Payables from: | ||||||||||||
Reverse repurchase agreements | X | |||||||||||
Collateral held for reverse repurchase agreements | X | |||||||||||
Collateral held for open purchased options | X | X | X | X | X | |||||||
Investments purchased on a when-issued basis | X | X | X | X | ||||||||
Foreign Currency overdraft | X | X | ||||||||||
Due to custodian | X | X | X |
Statements of Assets and Liabilities location: | Disciplined Value Fund | Small Cap | Global | International | Strategic | |||||
Receivables from: | ||||||||||
Collateral on closed futures contracts | X | |||||||||
Payables from: | ||||||||||
Foreign currency overdraft | X | |||||||||
Securities on loan | X | X | X | X | ||||||
Due to custodian | X |
214
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
The Funds, with the exception of the Strategic Emerging Markets Fund, had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the period ended March 31, 2018. 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 | |||||||||||||
Strategic Emerging Markets Fund | $ | 269,060 | $ | 18,357,639 | $ | (18,357,639 | ) | $ | (269,060 | ) |
* | Transfers occurred between Level 1 and Level 2 as inputs were more/less 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. 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 period ended March 31, 2018, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
Type of Derivative and Objective for Use | Short- | Inflation- | Core | Diversified | Balanced | Disciplined | ||||||
Foreign Currency Exchange Transactions* | ||||||||||||
Hedging/Risk Management | A | |||||||||||
Directional Exposures to Currencies | M | |||||||||||
Intention to Create Investment Leverage in Portfolio | M | |||||||||||
Futures Contracts** | ||||||||||||
Hedging/Risk Management | A | A | A | A | A | A | ||||||
Duration/Credit Quality Management | A | A | A | A | A | M | ||||||
Substitution for Direct Investment | A | A | A | A | A | A | ||||||
Intention to Create Investment Leverage in Portfolio | M | M | M | M | M | M | ||||||
Interest Rate Swaps*** | ||||||||||||
Hedging/Risk Management | A | |||||||||||
Duration Management | A | |||||||||||
Asset/Liability Management | A | |||||||||||
Substitution for Direct Investment | A | |||||||||||
Intention to Create Investment Leverage in Portfolio | M | |||||||||||
Credit Default Swaps (Protection Buyer) | ||||||||||||
Hedging/Risk Management | A | |||||||||||
Duration/Credit Quality Management | A | |||||||||||
Income | A | |||||||||||
Substitution for Direct Investment | A | |||||||||||
Intention to Create Investment Leverage in Portfolio | M |
215
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Type of Derivative and Objective for Use | Short- | Inflation- | Core | Diversified | Balanced | Disciplined | ||||||
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. |
At March 31, 2018, and during the period 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* | $ | - | $ | - | $ | - | $ | 5,068,690 | $ | 5,068,690 | ||||||||||
Futures Contracts^^ | - | - | - | 904,435 | 904,435 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 5,973,125 | $ | 5,973,125 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (1,405,505 | ) | $ | (1,405,505 | ) | ||||||||
Swap Agreements^ | (444,931 | ) | - | - | - | (444,931 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (444,931 | ) | $ | - | $ | - | $ | (1,405,505 | ) | $ | (1,850,436 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (116,891 | ) | $ | (116,891 | ) | ||||||||
Futures Contracts | - | - | - | 2,480,175 | 2,480,175 | |||||||||||||||
Swap Agreements | (9,620 | ) | - | - | - | (9,620 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (9,620 | ) | $ | - | $ | - | $ | 2,363,284 | $ | 2,353,664 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (99,854 | ) | $ | (99,854 | ) | ||||||||
Futures Contracts | - | - | - | (1,095,486 | ) | (1,095,486 | ) | |||||||||||||
Swap Agreements | 51,373 | - | - | - | 51,373 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 51,373 | $ | - | $ | - | $ | (1,195,340 | ) | $ | (1,143,967 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
216
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 1,568,579 | $ | 1,568,579 | ||||||||||
Futures Contracts^^ | - | - | - | 3,747 | 3,747 | |||||||||||||||
Swap Agreements* | - | - | - | 186,079 | 186,079 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 1,758,405 | $ | 1,758,405 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (41,757 | ) | $ | (41,757 | ) | ||||||||
Swap Agreements^ | (402,206 | ) | - | - | (1,415 | ) | (403,621 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (402,206 | ) | $ | - | $ | - | $ | (43,172 | ) | $ | (445,378 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (50,690 | ) | $ | (50,690 | ) | ||||||||
Futures Contracts | - | - | - | 139,533 | 139,533 | |||||||||||||||
Swap Agreements | 37,038 | - | - | 293,497 | 330,535 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | 37,038 | $ | - | $ | - | $ | 382,340 | $ | 419,378 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (28,863 | ) | $ | (28,863 | ) | ||||||||
Futures Contracts | - | - | - | (34,649 | ) | (34,649 | ) | |||||||||||||
Swap Agreements | 14,774 | - | - | (6,185 | ) | 8,589 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 14,774 | $ | - | $ | - | $ | (69,697 | ) | $ | (54,923 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Core Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 9,412,689 | $ | 9,412,689 | ||||||||||
Futures Contracts^^ | - | - | - | 1,695,685 | 1,695,685 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 11,108,374 | $ | 11,108,374 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | - | $ | - | $ | (123,470 | ) | $ | (123,470 | ) | ||||||||
Swap Agreements^ | (1,138,846 | ) | - | - | - | (1,138,846 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (1,138,846 | ) | $ | - | $ | - | $ | (123,470 | ) | $ | (1,262,316 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (233,575 | ) | $ | (233,575 | ) | ||||||||
Futures Contracts | - | - | - | (6,283,750 | ) | (6,283,750 | ) | |||||||||||||
Swap Agreements | (44,830 | ) | - | - | - | (44,830 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (44,830 | ) | $ | - | $ | - | $ | (6,517,325 | ) | $ | (6,562,155 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (182,056 | ) | $ | (182,056 | ) | ||||||||
Futures Contracts | - | - | - | 2,924,397 | 2,924,397 | |||||||||||||||
Swap Agreements | 145,485 | - | - | - | 145,485 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 145,485 | $ | - | $ | - | $ | 2,742,341 | $ | 2,887,826 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Diversified Bond Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 2,442,086 | $ | 2,442,086 | ||||||||||
Forward Contracts* | - | - | 83,053 | - | 83,053 | |||||||||||||||
Futures Contracts^^ | - | - | - | 474,858 | 474,858 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | 83,053 | $ | 2,916,944 | $ | 2,999,997 | ||||||||||
|
|
|
|
|
|
|
|
|
|
217
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Credit Risk | Equity Risk | Foreign Exchange Risk | Interest Rate Risk | Total | ||||||||||||||||
Diversified Bond Fund (Continued) | ||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||
Forward Contracts^ | $ | - | $ | - | $ | (59,312 | ) | $ | - | $ | (59,312 | ) | ||||||||
Futures Contracts^^ | - | - | - | (135,227 | ) | (135,227 | ) | |||||||||||||
Swap Agreements^ | (142,908 | ) | - | - | - | (142,908 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (142,908 | ) | $ | - | $ | (59,312 | ) | $ | (135,227 | ) | $ | (337,447 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (77,860 | ) | $ | (77,860 | ) | ||||||||
Forward Contracts | - | - | 15,215 | - | 15,215 | |||||||||||||||
Futures Contracts | - | - | - | (930,172 | ) | (930,172 | ) | |||||||||||||
Swap Agreements | (14,405 | ) | - | - | (176 | ) | (14,581 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (14,405 | ) | $ | - | $ | 15,215 | $ | (1,008,208 | ) | $ | (1,007,398 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (42,794 | ) | $ | (42,794 | ) | ||||||||
Forward Contracts | - | - | 33,804 | - | 33,804 | |||||||||||||||
Futures Contracts | - | - | - | 544,767 | 544,767 | |||||||||||||||
Swap Agreements | 24,373 | - | - | - | 24,373 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 24,373 | $ | - | $ | 33,804 | $ | 501,973 | $ | 560,150 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balanced Fund | ||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||
Purchased Options* | $ | - | $ | - | $ | - | $ | 239,534 | $ | 239,534 | ||||||||||
Futures Contracts^^ | - | - | - | 52,254 | 52,254 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | - | $ | - | $ | - | $ | 291,788 | $ | 291,788 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability Derivatives | ||||||||||||||||||||
Futures Contracts^^ | $ | - | $ | (17,573 | ) | $ | - | $ | (4,210 | ) | $ | (21,783 | ) | |||||||
Swap Agreements^ | (30,939 | ) | - | - | - | (30,939 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (30,939 | ) | $ | (17,573 | ) | $ | - | $ | (4,210 | ) | $ | (52,722 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (5,670 | ) | $ | (5,670 | ) | ||||||||
Futures Contracts | - | 61,220 | - | (210,892 | ) | (149,672 | ) | |||||||||||||
Swap Agreements | (1,105 | ) | - | - | - | (1,105 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (1,105 | ) | $ | 61,220 | $ | - | $ | (216,562 | ) | $ | (156,447 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in Appreciation (Depreciation)## | ||||||||||||||||||||
Purchased Options | $ | - | $ | - | $ | - | $ | (4,662 | ) | $ | (4,662 | ) | ||||||||
Futures Contracts | - | (27,982 | ) | - | 90,714 | 62,732 | ||||||||||||||
Swap Agreements | 3,874 | - | - | - | 3,874 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 3,874 | $ | (27,982 | ) | $ | - | $ | 86,052 | $ | 61,944 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Disciplined Value Fund | ||||||||||||||||||||
Realized Gain (Loss)# | ||||||||||||||||||||
Futures Contracts | $ | - | $ | 70,226 | $ | - | $ | - | $ | 70,226 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | - | $ | 70,226 | $ | - | $ | - | $ | 70,226 | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward contracts or open swap agreements, at value, as applicable. |
^ | Statements of Assets and Liabilities location: Payables for: open forward contracts, or open swap agreements, at value, as applicable. |
218
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
^^ | Cumulative appreciation (depreciation) on futures contracts is reported in “Futures Contracts” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
# | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, or swap agreements, as applicable. |
## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, or swap agreements, as applicable. |
For the period ended March 31, 2018, 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 | 3,281 | $ | - | $ | 5,173,333 | $ | 66,896,667 | |||||||||
Inflation-Protected and Income Fund | 57 | - | 41,716,667 | 22,180,000 | ||||||||||||
Core Bond Fund | 1,487 | - | 14,026,667 | 125,336,667 | ||||||||||||
Diversified Bond Fund | 257 | 6,594,559 | 2,103,333 | 33,236,667 | ||||||||||||
Balanced Fund | 63 | - | 376,667 | 3,171,667 | ||||||||||||
Disciplined Value Fund | 37 | - | - | - |
† | 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 period ended March 31, 2018. |
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 March 31, 2018.
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||
Barclays Bank PLC | $ | 2,458,681 | $ | - | $ | (2,458,681 | ) | $ | - | |||||||
Credit Suisse International | 2,610,009 | - | (2,600,000 | ) | 10,009 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,068,690 | $ | - | $ | (5,058,681 | ) | $ | 10,009 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | 112,155 | $ | (1,415 | ) | $ | - | $ | 110,740 | |||||||
Barclays Bank PLC | 1,028,578 | - | (1,028,578 | ) | - | |||||||||||
Credit Suisse International | 540,001 | - | (540,001 | ) | - | |||||||||||
JP Morgan Chase Bank N.A. | 73,924 | (73,924 | ) | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,754,658 | $ | (75,339 | ) | $ | (1,568,579 | ) | $ | 110,740 | |||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Barclays Bank PLC | $ | 4,681,110 | $ | - | $ | (4,681,110 | ) | $ | - | |||||||
Credit Suisse International | 4,731,579 | - | (4,700,000 | ) | 31,579 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 9,412,689 | $ | - | $ | (9,381,110 | ) | $ | 31,579 | ||||||||
|
|
|
|
|
|
|
|
219
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Counterparty | Derivative Assets Subject to an MNA by Counterparty† | Financial Instruments Available for Offset | Collateral Received*** | Net Amount* | ||||||||||||
Diversified Bond Fund | ||||||||||||||||
Bank of America N.A. | $ | 8,927 | $ | (8,927 | ) | $ | - | $ | - | |||||||
Barclays Bank PLC | 1,197,035 | - | (1,197,035 | ) | - | |||||||||||
BNP Paribas SA | 828 | (828 | ) | - | - | |||||||||||
Credit Suisse International | 1,250,630 | - | (1,250,630 | ) | - | |||||||||||
Goldman Sachs International | 15,209 | (15,209 | ) | - | - | |||||||||||
JP Morgan Chase Bank N.A | 52,510 | (24,782 | ) | - | 27,728 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 2,525,139 | $ | (49,746 | ) | $ | (2,447,665 | ) | $ | 27,728 | |||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Barclays Bank PLC | $ | 117,189 | $ | - | $ | (117,189 | ) | $ | - | |||||||
Credit Suisse International | 122,345 | - | (122,345 | ) | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 239,534 | $ | - | $ | (239,534 | ) | $ | - | ||||||||
|
|
|
|
|
|
|
|
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 March 31, 2018.
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 | $ | (444,931 | ) | $ | - | $ | 277,507 | $ | (167,424 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
Bank of America N.A. | $ | (1,415 | ) | $ | 1,415 | $ | - | $ | - | |||||||
Goldman Sachs International | (325,595 | ) | - | 258,382 | (67,213 | ) | ||||||||||
JP Morgan Chase Bank N.A. | (76,611 | ) | 73,924 | - | (2,687 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (403,621 | ) | $ | 75,339 | $ | 258,382 | $ | (69,900 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund | ||||||||||||||||
Goldman Sachs International | $ | (1,138,846 | ) | $ | - | - | $ | (1,138,846 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund | ||||||||||||||||
Bank of America N.A. | $ | (13,829 | ) | $ | 8,927 | $ | - | $ | (4,902 | ) | ||||||
BNP Paribas SA | (3,123 | ) | 828 | - | (2,295 | ) | ||||||||||
Goldman Sachs International | (160,486 | ) | 15,209 | - | (145,277 | ) | ||||||||||
JP Morgan Chase Bank N.A | (24,782 | ) | 24,782 | - | - | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (202,220 | ) | $ | 49,746 | $ | - | $ | (152,474 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund | ||||||||||||||||
Goldman Sachs International | $ | (30,939 | ) | $ | - | $ | - | $ | (30,939 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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. |
220
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
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 period ended March 31, 2018, are discussed below.
Foreign Currency Exchange Transactions
A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.
A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.
Forward foreign currency contracts outstanding at the end of the period, 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 contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
221
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
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.
Futures contracts outstanding at the end of the period, 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 or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment 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.
222
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement.: In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be 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 period, 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.
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Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
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Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
Inflation-Linked Securities
Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.
Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.
The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.
Bank Loans
A Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal,
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interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
The High Yield Fund entered into certain loan agreements which are unfunded. The High Yield Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the High Yield Fund’s Portfolio of Investments. At March 31, 2018, the High Yield Fund had sufficient cash and/or securities to cover these commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.
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
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by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.
The following table is a summary of the Fund(s) open reverse repurchase transactions which are subject to an MRA on a net basis at March 31, 2018:
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral* | Cash Collateral Pledged* | Net Amount | ||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||
BNP Paribas | $ | (27,018,750 | ) | $ | 27,018,750 | $ | - | $ | - | |||||||
Daiwa Securities | (33,921,875 | ) | 33,921,875 | - | - | |||||||||||
Goldman Sachs & Co. | (33,460,855 | ) | 33,460,855 | - | - | |||||||||||
HSBC Finance Corp. | (67,487,188 | ) | 67,487,188 | - | - | |||||||||||
Morgan Stanley | (30,358,125 | ) | 30,358,125 | - | - | |||||||||||
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$ | (192,246,793 | ) | $ | 192,246,793 | $ | - | $ | - | ||||||||
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* | Collateral with a value of $197,974,142 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 period, if any, are listed in each applicable Fund’s Portfolio of Investments.
At March 31, 2018, the average balance outstanding for open reverse repurchase agreements for the Fund was $199,215,495. The maximum balance outstanding for the Fund was $212,694,567 during the period ended March 31, 2018. The weighted average maturity was 45 days, at a weighted average interest rate of 1.510%.
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 | $ | - | $ | 93,887,500 | $ | 98,359,293 | $ | - | $ | 192,246,793 | ||||||||||
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Total Borrowings | $ | - | $ | 93,887,500 | $ | 98,359,293 | $ | - | $ | 192,246,793 | ||||||||||
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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
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these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Dollar Roll Transactions
A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.
Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
Each Fund 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 March 31, 2018, 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 March 31, 2018.
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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 period ended March 31, 2018, the Fund(s) earned securities lending net income as follows:
Securities Lending Gross Income | Securities Lending Fees and Expenses | Securities Lending Net Income | ||||||||||
Main Street Fund | $ | 4,600 | $ | 881 | $ | 3,719 | ||||||
Small Cap Opportunities Fund | 199,613 | 33,377 | 166,236 | |||||||||
Global Fund | 25,168 | 4,077 | 21,091 | |||||||||
International Equity Fund | 22,407 | 3,583 | 18,824 | |||||||||
Strategic Emerging Markets Fund | 23,339 | 3,807 | 19,532 |
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.
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.
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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 | ||
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 |
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Notes to Financial Statements (Unaudited) (Continued)
Fund | Investment Advisory Fee | |
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. |
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.
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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 | 0.40% of the first $100 million; | |
0.35% of the next $250 million; and | ||
0.30% of any excess over $350 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:
Main Street Fund | 0.30% | |
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% | |||||||||||||||||||||
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% | |||||||||||||||||||||
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% |
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Notes to Financial Statements (Unaudited) (Continued)
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, as applicable) through January 31, 2019 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% | |||||||||||||||||||||
Strategic Emerging Markets Fund | 1.05% | 1.15% | 1.25% | 1.35% | 1.60% | 1.50% | 1.75% |
# | Acquired Fund Fees and Expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
For the 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, 2019. 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, 2019. MML Advisers may amend or discontinue this waiver at any time without advance notice.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
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Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
The following table shows beneficial ownership of Funds’ shares by affiliated parties at March 31, 2018:
Total % Ownership by Related Party | ||||
U.S. Government Money Market Fund | 52.0 | % | ||
Short-Duration Bond Fund | 90.6 | % | ||
Inflation-Protected and Income Fund | 82.8 | % | ||
Core Bond Fund | 77.7 | % | ||
Diversified Bond Fund | 57.9 | % | ||
High Yield Fund | 65.9 | % | ||
Balanced Fund | 74.5 | % | ||
Disciplined Value Fund | 84.9 | % | ||
Main Street Fund | 89.3 | % | ||
Disciplined Growth Fund | 75.6 | % | ||
Small Cap Opportunities Fund | 71.0 | % | ||
Global Fund | 83.9 | % | ||
International Equity Fund | 89.2 | % | ||
Strategic Emerging Markets Fund | 99.0 | % |
4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments for the period ended March 31, 2018, 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 | 12,644,640 | 178,789,083 | 7,547,132 | 91,145,539 | ||||||||||||
Inflation-Protected and Income Fund | 55,044,221 | 82,154,240 | 57,872,558 | 40,534,037 | ||||||||||||
Core Bond Fund | 885,538,568 | 214,124,460 | 934,417,533 | 185,728,372 | ||||||||||||
Diversified Bond Fund | 150,392,747 | 41,157,165 | 149,644,780 | 29,716,960 | ||||||||||||
High Yield Fund | - | 94,102,068 | - | 71,553,899 | ||||||||||||
Balanced Fund | 23,254,942 | 29,917,223 | 24,903,640 | 36,246,727 | ||||||||||||
Disciplined Value Fund | - | 85,868,019 | - | 84,924,656 | ||||||||||||
Main Street Fund | - | 34,801,199 | - | 42,333,869 | ||||||||||||
Disciplined Growth Fund | - | 116,743,344 | - | 150,426,522 | ||||||||||||
Small Cap Opportunities Fund | - | 64,963,394 | - | 61,779,087 | ||||||||||||
Global Fund | - | 68,293,196 | - | 95,416,179 | ||||||||||||
International Equity Fund | - | 134,962,582 | - | 149,563,370 | ||||||||||||
Strategic Emerging Markets Fund | - | 60,373,291 | - | 55,358,551 |
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. The cross-trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
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Notes to Financial Statements (Unaudited) (Continued)
Fund | Purchases | Sales | ||||||
Main Street Fund | $ | 24,020.00 | $ | 149,418.50 | ||||
Small Cap Opportunities Fund | 1,377,729.06 | - | ||||||
Global Fund | 220,634.10 | 139,072.50 | ||||||
International Equity Fund | 492,185.84 | - | ||||||
Strategic Emerging Markets Fund | - | 219,234.69 |
5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
U.S. Government Money Market Fund Class R5 |
| |||||||||||||||
Sold | 927,973,875 | $ | 927,973,875 | 1,667,017,896 | $ | 1,667,017,896 | ||||||||||
Issued as reinvestment of dividends | 1,578,992 | 1,578,992 | 789,917 | 789,917 | ||||||||||||
Redeemed | (968,981,906 | ) | (968,981,906 | ) | (1,650,225,631 | ) | (1,650,225,631 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (39,429,039 | ) | $ | (39,429,039 | ) | 17,582,182 | $ | 17,582,182 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class I |
| |||||||||||||||
Sold | 6,248,179 | $ | 64,098,633 | 24,677,044 | $ | 254,122,849 | ||||||||||
Issued as reinvestment of dividends | 743,720 | 7,548,756 | 505,892 | 5,124,688 | ||||||||||||
Redeemed | (6,329,534 | ) | (64,935,092 | ) | (12,349,609 | ) | (127,048,487 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 662,365 | $ | 6,712,297 | 12,833,327 | $ | 132,199,050 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R5 |
| |||||||||||||||
Sold | 1,943,099 | $ | 19,997,920 | 4,494,152 | $ | 46,232,992 | ||||||||||
Issued as reinvestment of dividends | 351,454 | 3,581,314 | 450,451 | 4,576,584 | ||||||||||||
Redeemed | (3,087,110 | ) | (31,878,609 | ) | (9,191,175 | ) | (94,491,761 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (792,557 | ) | $ | (8,299,375 | ) | (4,246,572 | ) | $ | (43,682,185 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Service Class |
| |||||||||||||||
Sold | 1,472,688 | $ | 15,085,768 | 5,101,752 | $ | 52,345,346 | ||||||||||
Issued as reinvestment of dividends | 177,885 | 1,800,199 | 110,782 | 1,118,894 | ||||||||||||
Redeemed | (1,390,281 | ) | (14,277,600 | ) | (3,260,281 | ) | (33,263,434 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 260,292 | $ | 2,608,367 | 1,952,253 | $ | 20,200,806 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Administrative Class |
| |||||||||||||||
Sold | 563,345 | $ | 5,739,710 | 1,009,028 | $ | 10,319,430 | ||||||||||
Issued as reinvestment of dividends | 66,929 | 675,313 | 64,201 | 646,507 | ||||||||||||
Redeemed | (380,289 | ) | (3,878,412 | ) | (1,475,833 | ) | (15,110,628 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 249,985 | $ | 2,536,611 | (402,604 | ) | $ | (4,144,691 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class A |
| |||||||||||||||
Sold | 1,048,371 | $ | 10,653,804 | 1,569,035 | $ | 15,960,892 | ||||||||||
Issued as reinvestment of dividends | 113,654 | 1,139,950 | 156,533 | 1,566,893 | ||||||||||||
Redeemed | (508,540 | ) | (5,145,183 | ) | (5,314,558 | ) | (53,780,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 653,485 | $ | 6,648,571 | (3,588,990 | ) | $ | (36,253,064 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Duration Bond Fund Class R4 |
| |||||||||||||||
Sold | 125,095 | $ | 1,279,501 | 607,838 | $ | 6,207,024 | ||||||||||
Issued as reinvestment of dividends | 29,151 | 295,883 | 19,006 | 192,528 | ||||||||||||
Redeemed | (145,339 | ) | (1,483,643 | ) | (216,955 | ) | (2,229,173 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,907 | $ | 91,741 | 409,889 | $ | 4,170,379 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Short-Duration Bond Fund Class R3 |
| |||||||||||||||
Sold | 128,148 | $ | 1,298,390 | 475,044 | $ | 4,848,762 | ||||||||||
Issued as reinvestment of dividends | 12,632 | 127,705 | 7,426 | 74,927 | ||||||||||||
Redeemed | (62,815 | ) | (640,211 | ) | (187,965 | ) | (1,932,694 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 77,965 | $ | 785,884 | 294,505 | $ | 2,990,995 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class I |
| |||||||||||||||
Sold | 2,309,613 | $ | 23,840,446 | 4,174,785 | $ | 43,720,647 | ||||||||||
Issued as reinvestment of dividends | 285,844 | 2,927,040 | 327,422 | 3,303,684 | ||||||||||||
Redeemed | (904,626 | ) | (9,343,941 | ) | (6,464,706 | ) | (67,423,253 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,690,831 | $ | 17,423,545 | (1,962,499 | ) | $ | (20,398,922 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R5 |
| |||||||||||||||
Sold | 878,094 | $ | 9,019,761 | 1,859,926 | $ | 19,503,721 | ||||||||||
Issued as reinvestment of dividends | 158,962 | 1,630,948 | 169,906 | 1,716,053 | ||||||||||||
Redeemed | (649,422 | ) | (6,709,091 | ) | (2,334,640 | ) | (24,234,058 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 387,634 | $ | 3,941,618 | (304,808 | ) | $ | (3,014,284 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Service Class |
| |||||||||||||||
Sold | 502,335 | $ | 5,143,259 | 1,091,632 | $ | 11,393,848 | ||||||||||
Issued as reinvestment of dividends | 133,520 | 1,365,911 | 167,350 | 1,685,214 | ||||||||||||
Redeemed | (1,248,396 | ) | (12,934,956 | ) | (2,326,226 | ) | (24,138,930 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (612,541 | ) | $ | (6,425,786 | ) | (1,067,244 | ) | $ | (11,059,868 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Administrative Class |
| |||||||||||||||
Sold | 167,674 | $ | 1,735,365 | 615,865 | $ | 6,479,434 | ||||||||||
Issued as reinvestment of dividends | 35,074 | 362,670 | 37,333 | 380,046 | ||||||||||||
Redeemed | (252,384 | ) | (2,611,981 | ) | (600,076 | ) | (6,271,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (49,636 | ) | $ | (513,946 | ) | 53,122 | $ | 588,103 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class A |
| |||||||||||||||
Sold | 162,154 | $ | 1,641,404 | 350,072 | $ | 3,601,819 | ||||||||||
Issued as reinvestment of dividends | 49,070 | 495,608 | 48,160 | 479,192 | ||||||||||||
Redeemed | (223,787 | ) | (2,281,958 | ) | (453,751 | ) | (4,668,324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (12,563 | ) | $ | (144,946 | ) | (55,519 | ) | $ | (587,313 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R4 |
| |||||||||||||||
Sold | 140,616 | $ | 1,427,223 | 417,215 | $ | 4,259,457 | ||||||||||
Issued as reinvestment of dividends | 15,735 | 157,975 | 14,213 | 140,571 | ||||||||||||
Redeemed | (174,113 | ) | (1,762,667 | ) | (328,355 | ) | (3,359,503 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,762 | ) | $ | (177,469 | ) | 103,073 | $ | 1,040,525 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Protected and Income Fund Class R3 |
| |||||||||||||||
Sold | 141,864 | $ | 1,422,516 | 268,065 | $ | 2,745,586 | ||||||||||
Issued as reinvestment of dividends | 11,166 | 112,214 | 7,169 | 71,044 | ||||||||||||
Redeemed | (87,683 | ) | (879,063 | ) | (80,830 | ) | (829,942 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 65,347 | $ | 655,667 | 194,404 | $ | 1,986,688 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class I |
| |||||||||||||||
Sold | 4,461,427 | $ | 48,136,363 | 17,235,560 | $ | 185,829,287 | ||||||||||
Issued as reinvestment of dividends | 1,514,765 | 16,298,876 | 1,386,692 | 14,601,868 | ||||||||||||
Redeemed | (3,681,650 | ) | (40,010,682 | ) | (13,640,947 | ) | (149,407,885 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,294,542 | $ | 24,424,557 | 4,981,305 | $ | 51,023,270 | ||||||||||
|
|
|
|
|
|
|
|
236
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Core Bond Fund Class R5 |
| |||||||||||||||
Sold | 1,481,041 | $ | 16,076,237 | 4,806,352 | $ | 52,575,651 | ||||||||||
Issued as reinvestment of dividends | 929,861 | 10,042,498 | 1,194,390 | 12,612,757 | ||||||||||||
Redeemed | (5,082,480 | ) | (55,189,475 | ) | (9,818,043 | ) | (106,423,536 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,671,578 | ) | $ | (29,070,740 | ) | (3,817,301 | ) | $ | (41,235,128 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Service Class |
| |||||||||||||||
Sold | 607,972 | $ | 6,514,837 | 3,488,190 | $ | 37,533,577 | ||||||||||
Issued as reinvestment of dividends | 265,104 | 2,847,221 | 226,784 | 2,383,497 | ||||||||||||
Redeemed | (896,647 | ) | (9,637,069 | ) | (2,737,161 | ) | (29,923,643 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (23,571 | ) | $ | (275,011 | ) | 977,813 | $ | 9,993,431 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Administrative Class |
| |||||||||||||||
Sold | 538,968 | $ | 5,780,865 | 1,569,916 | $ | 16,977,562 | ||||||||||
Issued as reinvestment of dividends | 184,551 | 1,969,162 | 246,023 | 2,568,484 | ||||||||||||
Redeemed | (1,114,126 | ) | (11,885,939 | ) | (2,927,929 | ) | (31,632,962 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (390,607 | ) | $ | (4,135,912 | ) | (1,111,990 | ) | $ | (12,086,916 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class A |
| |||||||||||||||
Sold | 864,146 | $ | 9,152,135 | 1,385,830 | $ | 14,736,023 | ||||||||||
Issued as reinvestment of dividends | 256,523 | 2,716,576 | 345,543 | 3,579,825 | ||||||||||||
Redeemed | (1,145,640 | ) | (12,235,716 | ) | (4,765,211 | ) | (51,273,098 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (24,971 | ) | $ | (367,005 | ) | (3,033,838 | ) | $ | (32,957,250 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R4 |
| |||||||||||||||
Sold | 493,414 | $ | 5,247,307 | 530,280 | $ | 5,663,731 | ||||||||||
Issued as reinvestment of dividends | 42,930 | 452,049 | 45,799 | 472,193 | ||||||||||||
Redeemed | (114,133 | ) | (1,210,565 | ) | (556,380 | ) | (5,876,040 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 422,211 | $ | 4,488,791 | 19,699 | $ | 259,884 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Core Bond Fund Class R3 |
| |||||||||||||||
Sold | 11,780 | $ | 126,897 | 28,304 | $ | 308,926 | ||||||||||
Issued as reinvestment of dividends | 1,146 | 12,415 | 1,999 | 21,128 | ||||||||||||
Redeemed | (26,719 | ) | (293,348 | ) | (24,845 | ) | (269,681 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (13,793 | ) | $ | (154,036 | ) | 5,458 | $ | 60,373 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class I |
| |||||||||||||||
Sold | 945,532 | $ | 10,096,889 | 1,030,426 | $ | 11,005,092 | ||||||||||
Issued as reinvestment of dividends | 78,951 | 843,981 | 49,002 | 510,116 | ||||||||||||
Redeemed | (420,116 | ) | (4,497,606 | ) | (397,627 | ) | (4,246,852 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 604,367 | $ | 6,443,264 | 681,801 | $ | 7,268,356 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R5 |
| |||||||||||||||
Sold | 1,150,888 | $ | 11,362,481 | 2,122,705 | $ | 21,119,131 | ||||||||||
Issued as reinvestment of dividends | 279,350 | 2,762,770 | 199,436 | 1,924,560 | ||||||||||||
Redeemed | (493,009 | ) | (4,908,877 | ) | (1,190,612 | ) | (11,910,850 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 937,229 | $ | 9,216,374 | 1,131,529 | $ | 11,132,841 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Service Class |
| |||||||||||||||
Sold | 192,913 | $ | 1,939,567 | 352,965 | $ | 3,545,581 | ||||||||||
Issued as reinvestment of dividends | 45,439 | 455,302 | 41,458 | 405,459 | ||||||||||||
Redeemed | (368,332 | ) | (3,721,901 | ) | (477,247 | ) | (4,755,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (129,980 | ) | $ | (1,327,032 | ) | (82,824 | ) | $ | (804,633 | ) | ||||||
|
|
|
|
|
|
|
|
237
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Diversified Bond Fund Administrative Class |
| |||||||||||||||
Sold | 219,496 | $ | 2,201,516 | 756,534 | $ | 7,540,949 | ||||||||||
Issued as reinvestment of dividends | 73,855 | 738,553 | 78,468 | 765,843 | ||||||||||||
Redeemed | (355,739 | ) | (3,552,924 | ) | (1,609,795 | ) | (16,154,410 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (62,388 | ) | $ | (612,855 | ) | (774,793 | ) | $ | (7,847,618 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class A |
| |||||||||||||||
Sold | 382,322 | $ | 3,822,074 | 582,548 | $ | 5,826,937 | ||||||||||
Issued as reinvestment of dividends | 87,585 | 874,975 | 76,188 | 742,829 | ||||||||||||
Redeemed | (297,534 | ) | (2,983,917 | ) | (942,736 | ) | (9,485,433 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 172,373 | $ | 1,713,132 | (284,000 | ) | $ | (2,915,667 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R4 |
| |||||||||||||||
Sold | 50,453 | $ | 500,166 | 338,989 | $ | 3,397,385 | ||||||||||
Issued as reinvestment of dividends | 14,371 | 142,412 | 11,704 | 113,297 | ||||||||||||
Redeemed | (73,556 | ) | (726,996 | ) | (223,446 | ) | (2,201,287 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (8,732 | ) | $ | (84,418 | ) | 127,247 | $ | 1,309,395 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Bond Fund Class R3 |
| |||||||||||||||
Sold | 80,180 | $ | 789,755 | 211,720 | $ | 2,101,371 | ||||||||||
Issued as reinvestment of dividends | 10,311 | 101,773 | 6,258 | 60,325 | ||||||||||||
Redeemed | (31,594 | ) | (313,666 | ) | (89,326 | ) | (891,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 58,897 | $ | 577,862 | 128,652 | $ | 1,269,728 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class I |
| |||||||||||||||
Sold | 4,567,026 | $ | 42,132,802 | 14,888,726 | $ | 136,599,532 | ||||||||||
Issued as reinvestment of dividends | 1,686,569 | 15,212,849 | 1,314,336 | 11,671,304 | ||||||||||||
Redeemed | (3,839,937 | ) | (35,470,163 | ) | (14,739,865 | ) | (137,181,404 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,413,658 | $ | 21,875,488 | 1,463,197 | $ | 11,089,432 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R5 |
| |||||||||||||||
Sold | 649,874 | $ | 6,009,218 | 1,811,008 | $ | 16,788,321 | ||||||||||
Issued as reinvestment of dividends | 375,174 | 3,402,827 | 335,127 | 2,992,693 | ||||||||||||
Redeemed | (809,395 | ) | (7,461,239 | ) | (1,305,015 | ) | (12,186,382 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 215,653 | $ | 1,950,806 | 841,120 | $ | 7,594,632 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Service Class |
| |||||||||||||||
Sold | 341,633 | $ | 3,150,257 | 1,184,290 | $ | 11,156,689 | ||||||||||
Issued as reinvestment of dividends | 312,554 | 2,834,872 | 359,582 | 3,214,659 | ||||||||||||
Redeemed | (731,681 | ) | (6,834,200 | ) | (2,823,019 | ) | (26,176,456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (77,494 | ) | $ | (849,071 | ) | (1,279,147 | ) | $ | (11,805,108 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Administrative Class |
| |||||||||||||||
Sold | 254,357 | $ | 2,315,928 | 1,023,534 | $ | 9,408,366 | ||||||||||
Issued as reinvestment of dividends | 222,144 | 1,983,745 | 201,141 | 1,772,049 | ||||||||||||
Redeemed | (258,480 | ) | (2,347,577 | ) | (916,006 | ) | (8,423,557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 218,021 | $ | 1,952,096 | 308,669 | $ | 2,756,858 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class A |
| |||||||||||||||
Sold | 284,092 | $ | 2,610,318 | 665,667 | $ | 6,096,763 | ||||||||||
Issued as reinvestment of dividends | 186,531 | 1,665,727 | 180,100 | 1,584,880 | ||||||||||||
Redeemed | (522,241 | ) | (4,760,774 | ) | (920,200 | ) | (8,460,894 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (51,618 | ) | $ | (484,729 | ) | (74,433 | ) | $ | (779,251 | ) | ||||||
|
|
|
|
|
|
|
|
238
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
High Yield Fund Class R4 |
| |||||||||||||||
Sold | 818,171 | $ | 7,363,960 | 1,717,667 | $ | 15,666,668 | ||||||||||
Issued as reinvestment of dividends | 212,480 | 1,876,196 | 157,215 | 1,369,341 | ||||||||||||
Redeemed | (585,654 | ) | (5,282,296 | ) | (642,812 | ) | (5,845,741 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 444,997 | $ | 3,957,860 | 1,232,070 | $ | 11,190,268 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund Class R3 |
| |||||||||||||||
Sold | 993,501 | $ | 9,228,439 | 2,589,978 | $ | 24,303,425 | ||||||||||
Issued as reinvestment of dividends | 255,256 | 2,304,959 | 97,991 | 873,103 | ||||||||||||
Redeemed | (380,155 | ) | (3,494,293 | ) | (372,153 | ) | (3,480,994 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 868,602 | $ | 8,039,105 | 2,315,816 | $ | 21,695,534 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class I |
| |||||||||||||||
Sold | 275,003 | $ | 3,362,625 | 715,336 | $ | 8,574,640 | ||||||||||
Issued as reinvestment of dividends | 46,488 | 570,403 | 4,322 | 49,009 | ||||||||||||
Redeemed | (140,520 | ) | (1,768,318 | ) | (145,327 | ) | (1,716,774 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 180,971 | $ | 2,164,710 | 574,331 | $ | 6,906,875 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R5 |
| |||||||||||||||
Sold | 225,935 | $ | 2,853,594 | 203,456 | $ | 2,375,393 | ||||||||||
Issued as reinvestment of dividends | 266,274 | 3,267,180 | 105,598 | 1,198,538 | ||||||||||||
Redeemed | (712,956 | ) | (9,006,418 | ) | (1,112,626 | ) | (12,994,381 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (220,747 | ) | $ | (2,885,644 | ) | (803,572 | ) | $ | (9,420,450 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Service Class |
| |||||||||||||||
Sold | 33,217 | $ | 439,362 | 49,915 | $ | 608,776 | ||||||||||
Issued as reinvestment of dividends | 36,872 | 475,648 | 17,515 | 208,078 | ||||||||||||
Redeemed | (46,444 | ) | (610,732 | ) | (729,307 | ) | (8,893,485 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,645 | $ | 304,278 | (661,877 | ) | $ | (8,076,631 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Administrative Class |
| |||||||||||||||
Sold | 47,440 | $ | 593,664 | 399,431 | $ | 4,531,011 | ||||||||||
Issued as reinvestment of dividends | 51,256 | 631,985 | 25,361 | 288,861 | ||||||||||||
Redeemed | (198,015 | ) | (2,472,806 | ) | (533,821 | ) | (6,397,158 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (99,319 | ) | $ | (1,247,157 | ) | (109,029 | ) | $ | (1,577,286 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class A |
| |||||||||||||||
Sold | 113,742 | $ | 1,391,165 | 467,692 | $ | 5,212,321 | ||||||||||
Issued as reinvestment of dividends | 175,481 | 2,104,022 | 59,723 | 662,927 | ||||||||||||
Redeemed | (311,765 | ) | (3,852,610 | ) | (641,004 | ) | (7,459,838 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (22,542 | ) | $ | (357,423 | ) | (113,589 | ) | $ | (1,584,590 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R4 |
| |||||||||||||||
Sold | 28,385 | $ | 348,415 | 30,654 | $ | 351,273 | ||||||||||
Issued as reinvestment of dividends | 17,868 | 212,626 | 4,732 | 52,192 | ||||||||||||
Redeemed | (14,231 | ) | (175,732 | ) | (18,933 | ) | (217,119 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 32,022 | $ | 385,309 | 16,453 | $ | 186,346 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balanced Fund Class R3 |
| |||||||||||||||
Sold | 50,108 | $ | 605,510 | 245,154 | $ | 2,715,591 | ||||||||||
Issued as reinvestment of dividends | 42,461 | 503,587 | 10,944 | 120,390 | ||||||||||||
Redeemed | (34,693 | ) | (417,256 | ) | (113,035 | ) | (1,299,768 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 57,876 | $ | 691,841 | 143,063 | $ | 1,536,213 | ||||||||||
|
|
|
|
|
|
|
|
239
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Disciplined Value Fund Class I |
| |||||||||||||||
Sold | 357,374 | $ | 6,144,626 | 2,154,943 | $ | 35,739,090 | ||||||||||
Issued as reinvestment of dividends | 587,738 | 9,680,041 | 295,221 | 4,850,482 | ||||||||||||
Redeemed | (696,152 | ) | (11,989,979 | ) | (2,512,339 | ) | (41,316,313 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 248,960 | $ | 3,834,688 | (62,175 | ) | $ | (726,741 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R5 |
| |||||||||||||||
Sold | 964,221 | $ | 15,328,041 | 1,861,134 | $ | 30,682,843 | ||||||||||
Issued as reinvestment of dividends | 328,616 | 5,425,465 | 215,526 | 3,547,566 | ||||||||||||
Redeemed | (264,164 | ) | (4,598,321 | ) | (2,347,548 | ) | (39,571,691 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,028,673 | $ | 16,155,185 | (270,888 | ) | $ | (5,341,282 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Service Class |
| |||||||||||||||
Sold | 197,912 | $ | 3,262,359 | 275,439 | $ | 4,594,208 | ||||||||||
Issued as reinvestment of dividends | 356,757 | 5,847,242 | 196,502 | 3,212,814 | ||||||||||||
Redeemed | (262,967 | ) | (4,470,177 | ) | (1,712,103 | ) | (27,587,605 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 291,702 | $ | 4,639,424 | (1,240,162 | ) | $ | (19,780,583 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Administrative Class |
| |||||||||||||||
Sold | 28,506 | $ | 485,521 | 102,645 | $ | 1,744,764 | ||||||||||
Issued as reinvestment of dividends | 42,903 | 716,916 | 22,085 | 367,502 | ||||||||||||
Redeemed | (17,791 | ) | (305,639 | ) | (148,487 | ) | (2,530,906 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 53,618 | $ | 896,798 | (23,757 | ) | $ | (418,640 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class A |
| |||||||||||||||
Sold | 67,809 | $ | 1,089,445 | 86,132 | $ | 1,439,786 | ||||||||||
Issued as reinvestment of dividends | 62,167 | 1,011,450 | 39,100 | 634,592 | ||||||||||||
Redeemed | (82,803 | ) | (1,419,359 | ) | (259,323 | ) | (4,332,928 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 47,173 | $ | 681,536 | (134,091 | ) | $ | (2,258,550 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R4 |
| |||||||||||||||
Sold | 64,732 | $ | 1,102,522 | 373,277 | $ | 6,174,346 | ||||||||||
Issued as reinvestment of dividends | 70,629 | 1,140,657 | 23,471 | 379,060 | ||||||||||||
Redeemed | (126,888 | ) | (2,164,485 | ) | (72,900 | ) | (1,209,508 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 8,473 | $ | 78,694 | 323,848 | $ | 5,343,898 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Value Fund Class R3 |
| |||||||||||||||
Sold | 21,442 | $ | 360,624 | 221,791 | $ | 3,745,789 | ||||||||||
Issued as reinvestment of dividends | 27,452 | 450,486 | 3,344 | 54,835 | ||||||||||||
Redeemed | (25,036 | ) | (418,182 | ) | (48,291 | ) | (815,722 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,858 | $ | 392,928 | 176,844 | $ | 2,984,902 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class I |
| |||||||||||||||
Sold | 230,189 | $ | 2,735,725 | 757,372 | $ | 8,323,648 | ||||||||||
Issued as reinvestment of dividends | 72,068 | 819,412 | 5,006 | 52,559 | ||||||||||||
Redeemed | (95,949 | ) | (1,100,996 | ) | (119,776 | ) | (1,356,853 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 206,308 | $ | 2,454,141 | 642,602 | $ | 7,019,354 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R5 |
| |||||||||||||||
Sold | 171,875 | $ | 1,972,356 | 727,751 | $ | 7,774,104 | ||||||||||
Issued as reinvestment of dividends | 510,299 | 5,802,095 | 295,483 | 3,102,575 | ||||||||||||
Redeemed | (892,586 | ) | (10,345,826 | ) | (1,481,980 | ) | (16,377,831 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (210,412 | ) | $ | (2,571,375 | ) | (458,746 | ) | $ | (5,501,152 | ) | ||||||
|
|
|
|
|
|
|
|
240
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Main Street Fund Service Class |
| |||||||||||||||
Sold | 3,140 | $ | 37,642 | 30,034 | $ | 331,268 | ||||||||||
Issued as reinvestment of dividends | 7,049 | 82,970 | 3,496 | 37,898 | ||||||||||||
Redeemed | (55,429 | ) | (623,956 | ) | (126,281 | ) | (1,359,573 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (45,240 | ) | $ | (503,344 | ) | (92,751 | ) | $ | (990,407 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Administrative Class |
| |||||||||||||||
Sold | 211,283 | $ | 2,505,681 | 698,392 | $ | 7,690,204 | ||||||||||
Issued as reinvestment of dividends | 211,442 | 2,404,098 | 111,956 | 1,175,533 | ||||||||||||
Redeemed | (359,196 | ) | (4,107,371 | ) | (1,032,777 | ) | (11,574,173 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 63,529 | $ | 802,408 | (222,429 | ) | $ | (2,708,436 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class A |
| |||||||||||||||
Sold | 99,578 | $ | 1,134,003 | 147,563 | $ | 1,571,363 | ||||||||||
Issued as reinvestment of dividends | 88,812 | 996,464 | 44,183 | 458,618 | ||||||||||||
Redeemed | (100,548 | ) | (1,132,088 | ) | (234,045 | ) | (2,541,732 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 87,842 | $ | 998,379 | (42,299 | ) | $ | (511,751 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R4 |
| |||||||||||||||
Sold | 119,362 | $ | 1,315,229 | 189,535 | $ | 2,014,675 | ||||||||||
Issued as reinvestment of dividends | 33,710 | 375,529 | 13,853 | 142,686 | ||||||||||||
Redeemed | (37,946 | ) | (436,973 | ) | (86,426 | ) | (958,461 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 115,126 | $ | 1,253,785 | 116,962 | $ | 1,198,900 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Main Street Fund Class R3 |
| |||||||||||||||
Sold | 62,382 | $ | 713,903 | 60,731 | $ | 641,845 | ||||||||||
Issued as reinvestment of dividends | 7,011 | 78,878 | 4,373 | 45,480 | ||||||||||||
Redeemed | (20,618 | ) | (234,129 | ) | (45,646 | ) | (503,657 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 48,775 | $ | 558,652 | 19,458 | $ | 183,668 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class I |
| |||||||||||||||
Sold | 660,722 | $ | 8,652,495 | 4,066,894 | $ | 48,088,326 | ||||||||||
Issued as reinvestment of dividends | 1,111,030 | 14,032,308 | 788,308 | 8,765,987 | ||||||||||||
Redeemed | (1,327,525 | ) | (17,752,710 | ) | (5,411,052 | ) | (64,001,662 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 444,227 | $ | 4,932,093 | (555,850 | ) | $ | (7,147,349 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R5 |
| |||||||||||||||
Sold | 1,229,883 | $ | 15,880,211 | 1,855,353 | $ | 22,015,055 | ||||||||||
Issued as reinvestment of dividends | 860,197 | 10,881,489 | 606,849 | 6,760,298 | ||||||||||||
Redeemed | (782,140 | ) | (10,258,327 | ) | (2,409,425 | ) | (28,670,247 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,307,940 | $ | 16,503,373 | 52,777 | $ | 105,106 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Service Class |
| |||||||||||||||
Sold | 177,709 | $ | 2,373,525 | 558,809 | $ | 6,716,424 | ||||||||||
Issued as reinvestment of dividends | 711,031 | 9,022,986 | 487,956 | 5,450,470 | ||||||||||||
Redeemed | (1,150,282 | ) | (14,828,501 | ) | (2,323,747 | ) | (27,439,600 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (261,542 | ) | $ | (3,431,990 | ) | (1,276,982 | ) | $ | (15,272,706 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Administrative Class |
| |||||||||||||||
Sold | 156,409 | $ | 2,093,592 | 1,042,038 | $ | 12,553,291 | ||||||||||
Issued as reinvestment of dividends | 375,691 | 4,816,360 | 261,768 | 2,952,743 | ||||||||||||
Redeemed | (679,288 | ) | (9,004,643 | ) | (1,417,743 | ) | (17,199,670 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (147,188 | ) | $ | (2,094,691 | ) | (113,937 | ) | $ | (1,693,636 | ) | ||||||
|
|
|
|
|
|
|
|
241
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Disciplined Growth Fund Class A |
| |||||||||||||||
Sold | 125,455 | $ | 1,637,595 | 576,257 | $ | 6,887,465 | ||||||||||
Issued as reinvestment of dividends | 344,100 | 4,301,251 | 269,268 | 2,967,338 | ||||||||||||
Redeemed | (446,023 | ) | (5,815,456 | ) | (1,376,390 | ) | (16,557,027 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 23,532 | $ | 123,390 | (530,865 | ) | $ | (6,702,224 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R4 |
| |||||||||||||||
Sold | 110,782 | $ | 1,428,109 | 1,088,434 | $ | 12,787,698 | ||||||||||
Issued as reinvestment of dividends | 266,987 | 3,310,635 | 116,208 | 1,273,641 | ||||||||||||
Redeemed | (258,497 | ) | (3,326,170 | ) | (343,601 | ) | (4,050,336 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 119,272 | $ | 1,412,574 | 861,041 | $ | 10,011,003 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Disciplined Growth Fund Class R3 |
| |||||||||||||||
Sold | 94,553 | $ | 1,212,293 | 75,235 | $ | 881,963 | ||||||||||
Issued as reinvestment of dividends | 43,722 | 542,147 | 22,655 | 248,074 | ||||||||||||
Redeemed | (24,137 | ) | (312,744 | ) | (38,629 | ) | (455,742 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 114,138 | $ | 1,441,696 | 59,261 | $ | 674,295 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class I |
| |||||||||||||||
Sold | 945,405 | $ | 14,397,143 | 759,805 | $ | 11,808,262 | ||||||||||
Issued as reinvestment of dividends | 148,718 | 2,211,437 | 10,336 | 151,310 | ||||||||||||
Redeemed | (173,441 | ) | (2,577,280 | ) | (113,369 | ) | (1,721,323 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 920,682 | $ | 14,031,300 | 656,772 | $ | 10,238,249 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R5 |
| |||||||||||||||
Sold | 406,691 | $ | 6,042,962 | 850,759 | $ | 12,845,922 | ||||||||||
Issued as reinvestment of dividends | 517,451 | 7,689,329 | 153,259 | 2,240,643 | ||||||||||||
Redeemed | (676,222 | ) | (10,400,255 | ) | (1,490,602 | ) | (22,486,690 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 247,920 | $ | 3,332,036 | (486,584 | ) | $ | (7,400,125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Service Class |
| |||||||||||||||
Sold | 194,473 | $ | 2,859,822 | 152,497 | $ | 2,259,272 | ||||||||||
Issued as reinvestment of dividends | 121,893 | 1,807,666 | 33,841 | 494,080 | ||||||||||||
Redeemed | (63,989 | ) | (956,011 | ) | (252,981 | ) | (3,857,149 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 252,377 | $ | 3,711,477 | (66,643 | ) | $ | (1,103,797 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Administrative Class |
| |||||||||||||||
Sold | 85,073 | $ | 1,296,252 | 429,226 | $ | 6,203,116 | ||||||||||
Issued as reinvestment of dividends | 194,189 | 2,862,351 | 48,183 | 700,099 | ||||||||||||
Redeemed | (128,484 | ) | (1,958,082 | ) | (291,707 | ) | (4,331,758 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 150,778 | $ | 2,200,521 | 185,702 | $ | 2,571,457 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class A |
| |||||||||||||||
Sold | 141,214 | $ | 2,089,067 | 603,634 | $ | 8,731,191 | ||||||||||
Issued as reinvestment of dividends | 590,410 | 8,525,518 | 157,772 | 2,251,414 | ||||||||||||
Redeemed | (689,673 | ) | (10,325,898 | ) | (1,327,422 | ) | (19,119,515 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 41,951 | $ | 288,687 | (566,016 | ) | $ | (8,136,910 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Small Cap Opportunities Fund Class R4 |
| |||||||||||||||
Sold | 83,742 | $ | 1,232,459 | 431,601 | $ | 6,143,412 | ||||||||||
Issued as reinvestment of dividends | 81,831 | 1,172,634 | 15,341 | 217,381 | ||||||||||||
Redeemed | (108,036 | ) | (1,598,137 | ) | (167,580 | ) | (2,455,190 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 57,537 | $ | 806,956 | 279,362 | $ | 3,905,603 | ||||||||||
|
|
|
|
|
|
|
|
242
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Small Cap Opportunities Fund Class R3 |
| |||||||||||||||
Sold | 67,438 | $ | 995,990 | 263,892 | $ | 3,807,799 | ||||||||||
Issued as reinvestment of dividends | 77,121 | 1,100,523 | 13,841 | 195,846 | ||||||||||||
Redeemed | (69,981 | ) | (1,039,062 | ) | (121,356 | ) | (1,768,047 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 74,578 | $ | 1,057,451 | 156,377 | $ | 2,235,598 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class I |
| |||||||||||||||
Sold | 702,737 | $ | 11,566,706 | 1,832,403 | $ | 25,204,364 | ||||||||||
Issued as reinvestment of dividends | 293,906 | 4,605,510 | 53,182 | 692,427 | ||||||||||||
Redeemed | (1,052,642 | ) | (16,640,559 | ) | (1,032,531 | ) | (14,680,754 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (55,999 | ) | $ | (468,343 | ) | 853,054 | $ | 11,216,037 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R5 |
| |||||||||||||||
Sold | 281,905 | $ | 4,650,737 | 832,995 | $ | 12,003,450 | ||||||||||
Issued as reinvestment of dividends | 855,477 | 13,413,879 | 368,422 | 4,800,537 | ||||||||||||
Redeemed | (1,472,846 | ) | (24,454,754 | ) | (3,180,180 | ) | (44,441,104 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (335,464 | ) | $ | (6,390,138 | ) | (1,978,763 | ) | $ | (27,637,117 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Service Class |
| |||||||||||||||
Sold | 139,239 | $ | 2,280,916 | 274,224 | $ | 3,975,721 | ||||||||||
Issued as reinvestment of dividends | 149,082 | 2,318,231 | 71,863 | 929,195 | ||||||||||||
Redeemed | (100,302 | ) | (1,659,011 | ) | (1,327,391 | ) | (18,847,667 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 188,019 | $ | 2,940,136 | (981,304 | ) | $ | (13,942,751 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Administrative Class |
| |||||||||||||||
Sold | 346,765 | $ | 5,667,395 | 502,928 | $ | 7,454,986 | ||||||||||
Issued as reinvestment of dividends | 775,132 | 12,154,069 | 279,904 | 3,647,145 | ||||||||||||
Redeemed | (938,848 | ) | (15,289,351 | ) | (1,877,751 | ) | (27,195,855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 183,049 | $ | 2,532,113 | (1,094,919 | ) | $ | (16,093,724 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class A |
| |||||||||||||||
Sold | 125,655 | $ | 2,056,350 | 238,601 | $ | 3,424,388 | ||||||||||
Issued as reinvestment of dividends | 227,491 | 3,532,931 | 81,985 | 1,059,247 | ||||||||||||
Redeemed | (251,002 | ) | (4,143,058 | ) | (851,258 | ) | (12,162,843 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 102,144 | $ | 1,446,223 | (530,672 | ) | $ | (7,679,208 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R4 |
| |||||||||||||||
Sold | 85,517 | $ | 1,346,566 | 101,640 | $ | 1,427,466 | ||||||||||
Issued as reinvestment of dividends | 45,283 | 695,087 | 14,582 | 186,644 | ||||||||||||
Redeemed | (123,874 | ) | (1,955,367 | ) | (98,679 | ) | (1,370,086 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,926 | $ | 86,286 | 17,543 | $ | 244,024 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Global Fund Class R3 |
| |||||||||||||||
Sold | 98,825 | $ | 1,599,174 | 168,348 | $ | 2,466,355 | ||||||||||
Issued as reinvestment of dividends | 81,318 | 1,257,987 | 23,360 | 301,116 | ||||||||||||
Redeemed | (134,255 | ) | (2,101,347 | ) | (187,674 | ) | (2,666,955 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 45,888 | $ | 755,814 | 4,034 | $ | 100,516 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class I |
| |||||||||||||||
Sold | 1,992,203 | $ | 27,621,649 | 6,782,552 | $ | 80,313,443 | ||||||||||
Issued as reinvestment of dividends | 235,937 | 3,222,891 | 497,781 | 5,410,882 | ||||||||||||
Redeemed | (1,108,573 | ) | (15,426,706 | ) | (5,226,255 | ) | (61,780,492 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,119,567 | $ | 15,417,834 | 2,054,078 | $ | 23,943,833 | ||||||||||
|
|
|
|
|
|
|
|
243
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
International Equity Fund Class R5 |
| |||||||||||||||
Sold | 348,901 | $ | 4,834,118 | 942,955 | $ | 11,538,780 | ||||||||||
Issued as reinvestment of dividends | 158,504 | 2,165,164 | 492,851 | 5,357,286 | ||||||||||||
Redeemed | (2,204,500 | ) | (30,460,686 | ) | (5,390,129 | ) | (64,774,670 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,697,095 | ) | $ | (23,461,404 | ) | (3,954,323 | ) | $ | (47,878,604 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Service Class |
| |||||||||||||||
Sold | 416,784 | $ | 5,867,759 | 363,069 | $ | 4,547,245 | ||||||||||
Issued as reinvestment of dividends | 16,753 | 228,348 | 51,122 | 554,674 | ||||||||||||
Redeemed | (298,142 | ) | (4,224,236 | ) | (701,112 | ) | (8,165,588 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 135,395 | $ | 1,871,871 | (286,921 | ) | $ | (3,063,669 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Administrative Class |
| |||||||||||||||
Sold | 44,325 | $ | 609,924 | 620,329 | $ | 7,310,744 | ||||||||||
Issued as reinvestment of dividends | 11,929 | 161,875 | 41,455 | 447,715 | ||||||||||||
Redeemed | (387,574 | ) | (5,426,568 | ) | (863,832 | ) | (10,740,667 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (331,320 | ) | $ | (4,654,769 | ) | (202,048 | ) | $ | (2,982,208 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class A |
| |||||||||||||||
Sold | 134,289 | $ | 1,808,002 | 315,344 | $ | 3,643,957 | ||||||||||
Issued as reinvestment of dividends | 21,028 | 277,357 | 82,618 | 867,485 | ||||||||||||
Redeemed | (407,065 | ) | (5,416,461 | ) | (1,048,089 | ) | (12,213,022 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (251,748 | ) | $ | (3,331,102 | ) | (650,127 | ) | $ | (7,701,580 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class R4 |
| |||||||||||||||
Sold | 173,775 | $ | 2,294,421 | 747,613 | $ | 8,607,719 | ||||||||||
Issued as reinvestment of dividends | 9,500 | 124,071 | 12,775 | 133,121 | ||||||||||||
Redeemed | (61,564 | ) | (812,210 | ) | (226,836 | ) | (2,651,850 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 121,711 | $ | 1,606,282 | 533,552 | $ | 6,088,990 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund Class R3 |
| |||||||||||||||
Sold | 51,946 | $ | 690,709 | 572,298 | $ | 6,343,478 | ||||||||||
Issued as reinvestment of dividends | 4,385 | 57,228 | 8,872 | 92,179 | ||||||||||||
Redeemed | (95,342 | ) | (1,250,853 | ) | (190,477 | ) | (2,190,578 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (39,011 | ) | $ | (502,916 | ) | 390,693 | $ | 4,245,079 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class I |
| |||||||||||||||
Sold | 1,972,872 | $ | 26,661,634 | 6,810,089 | $ | 76,547,678 | ||||||||||
Issued as reinvestment of dividends | 250,131 | 3,266,714 | 204,745 | 2,039,263 | ||||||||||||
Redeemed | (1,372,334 | ) | (18,783,293 | ) | (7,567,834 | ) | (81,973,266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 850,669 | $ | 11,145,055 | (553,000 | ) | $ | (3,386,325 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R5 |
| |||||||||||||||
Sold | 6,912 | $ | 95,243 | 7,134 | $ | 77,714 | ||||||||||
Issued as reinvestment of dividends | 3,686 | 48,833 | 3,166 | 31,977 | ||||||||||||
Redeemed | (512 | ) | (7,188 | ) | (322 | ) | (3,399 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 10,086 | $ | 136,888 | 9,978 | $ | 106,292 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Service Class |
| |||||||||||||||
Sold | 4,272 | $ | 58,490 | 19,761 | $ | 215,897 | ||||||||||
Issued as reinvestment of dividends | 355 | 4,633 | 7,417 | 73,865 | ||||||||||||
Redeemed | (6,065 | ) | (85,191 | ) | (757,936 | ) | (7,877,342 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (1,438 | ) | $ | (22,068 | ) | (730,758 | ) | $ | (7,587,580 | ) | ||||||
|
|
|
|
|
|
|
|
244
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Six Months Ended March 31, 2018 | Year Ended September 30, 2017 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Strategic Emerging Markets Fund Administrative Class |
| |||||||||||||||
Sold | 11,455 | $ | 158,335 | 75,021 | $ | 798,642 | ||||||||||
Issued as reinvestment of dividends | 1,197 | 15,720 | 1,167 | 11,682 | ||||||||||||
Redeemed | (15,551 | ) | (212,203 | ) | (17,378 | ) | (202,857 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,899 | ) | $ | (38,148 | ) | 58,810 | $ | 607,467 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class A |
| |||||||||||||||
Sold | 7,018 | $ | 93,202 | 4,758 | $ | 51,823 | ||||||||||
Issued as reinvestment of dividends | 135 | 1,765 | 18 | 183 | ||||||||||||
Redeemed | (4,561 | ) | (63,312 | ) | (4,386 | ) | (49,554 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,592 | $ | 31,655 | 390 | $ | 2,452 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R4 |
| |||||||||||||||
Sold | 17,978 | $ | 249,406 | 46,969 | $ | 500,627 | ||||||||||
Issued as reinvestment of dividends | 752 | 9,767 | 799 | 7,912 | ||||||||||||
Redeemed | (3,554 | ) | (48,654 | ) | (23,845 | ) | (264,588 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 15,176 | $ | 210,519 | 23,923 | $ | 243,951 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Strategic Emerging Markets Fund Class R3 |
| |||||||||||||||
Sold | 7,832 | $ | 104,977 | 30,237 | $ | 333,180 | ||||||||||
Issued as reinvestment of dividends | 392 | 5,088 | 441 | 4,366 | ||||||||||||
Redeemed | (7,382 | ) | (97,530 | ) | (26,153 | ) | (295,654 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 842 | $ | 12,535 | 4,525 | $ | 41,892 | ||||||||||
|
|
|
|
|
|
|
|
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 $110 for the Main Street Fund during the period ended March 31, 2018.
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 period ended March 31, 2018, were waived for any redemptions or exchanges subject to such a charge.
6. | Federal Income Tax Information |
At March 31, 2018, 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 | $ | 641,865,574 | $ | 4,233,177 | $ | (8,997,527 | ) | $ | (4,764,350 | ) | ||||||
Inflation-Protected and Income Fund | 469,137,394 | 5,027,903 | (4,234,270 | ) | 793,633 | |||||||||||
Core Bond Fund | 1,198,770,523 | 13,041,721 | (19,509,647 | ) | (6,467,926 | ) | ||||||||||
Diversified Bond Fund | 220,677,283 | 2,316,149 | (3,531,550 | ) | (1,215,401 | ) | ||||||||||
High Yield Fund | 485,100,836 | 9,474,480 | (20,021,204 | ) | (10,546,724 | ) | ||||||||||
Balanced Fund | 102,525,924 | 13,625,996 | (2,497,658 | ) | 11,128,338 | |||||||||||
Disciplined Value Fund | 196,629,490 | 25,528,423 | (8,274,691 | ) | 17,253,732 | |||||||||||
Main Street Fund | 113,080,344 | 22,529,900 | (5,758,549 | ) | 16,771,351 | |||||||||||
Disciplined Growth Fund | 330,266,500 | 67,212,433 | (6,831,179 | ) | 60,381,254 | |||||||||||
Small Cap Opportunities Fund | 201,277,437 | 32,471,834 | (8,126,395 | ) | 24,345,439 | |||||||||||
Global Fund | 189,556,070 | 141,690,020 | (5,172,722 | ) | 136,517,298 | |||||||||||
International Equity Fund | 441,140,435 | 138,337,264 | (19,649,682 | ) | 118,687,582 | |||||||||||
Strategic Emerging Markets Fund | 229,618,760 | 62,600,971 | (9,392,477 | ) | 53,208,494 |
245
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at March 31, 2018, 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 | ||||||
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.
246
Table of Contents
Notes to Financial Statements (Unaudited) (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, 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 | - | |||||||||
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 | - | - |
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, swap agreements, premium amortization accruals, passive foreign investment companies, partnership basis adjustments, 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 | |||||||||||
Disciplined Value Fund | 9,552,105 | 11,140,393 | (52,627 | ) | 18,396,392 | |||||||||||
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 |
247
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Undistributed Ordinary Income | Undistributed Long Term Capital Gain (Capital Loss Carryover) | Other Temporary Differences | Unrealized Appreciation (Depreciation) | |||||||||||||
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 |
The Funds did not have any unrecognized tax benefits at March 31, 2018, nor were there any increases or decreases in unrecognized tax benefits for the period 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 period ended March 31, 2018, 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 period ended March 31, 2018, was as follows:
Beginning Value as of 9/30/17 | Purchases | Sales | Change in Unrealized Appreciation/ Depreciation | Net Realized Gain (Loss) | Value as of 3/31/18 | Number of Shares Held as of 3/31/18 | Dividend Income | Realized Gains Distribution | ||||||||||||||||||||||||||||
Global Fund | ||||||||||||||||||||||||||||||||||||
Oppenheimer Institutional Government Money Market Fund Class E* | $ | 5,490,037 | $ | 38,436,757 | $ | (41,556,268 | ) | $ | - | $ | - | $ | 2,370,526 | 2,370,526 | $ | 31,056 | $ | - | ||||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||||||||||||||
Oppenheimer Institutional Government Money Market Fund Class E* | $ | 14,724,140 | $ | 59,671,798 | $ | (67,336,664 | ) | $ | - | $ | - | $ | 7,059,274 | 7,059,274 | $ | 76,637 | $ | - |
* | 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.
248
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
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 currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.
10. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“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.
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.
249
Table of Contents
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.
250
Table of Contents
Other Information (Unaudited) (Continued)
Expense Examples:
The following information is in regards to expenses for the six months ended March 31, 2018:
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 March 31, 2018.
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 | 0.50 | % | $ | 1,003.80 | $ | 2.47 | $ | 1,022.20 | $ | 2.49 | ||||||||||||
Short-Duration Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.39 | % | 1,001.70 | 1.92 | 1,022.70 | 1.95 | |||||||||||||||||
Class R5 | 1,000 | 0.49 | % | 1,001.50 | 2.42 | 1,022.20 | 2.44 | |||||||||||||||||
Service Class | 1,000 | 0.59 | % | 1,001.10 | 2.91 | 1,021.70 | 2.94 | |||||||||||||||||
Administrative Class | 1,000 | 0.69 | % | 1,000.60 | 3.40 | 1,021.30 | 3.44 | |||||||||||||||||
Class A | 1,000 | 0.94 | % | 1,000.00 | 4.64 | 1,020.00 | 4.68 | |||||||||||||||||
Class R4 | 1,000 | 0.84 | % | 1,000.30 | 4.14 | 1,020.50 | 4.19 | |||||||||||||||||
Class R3 | 1,000 | 1.09 | % | 998.80 | 5.37 | 1,019.30 | 5.43 |
251
Table of Contents
Other Information (Unaudited) (Continued)
Beginning Value | Annualized Expense Ratio | Ending Value (Based on Actual Returns and Expenses) | Operating Expenses Incurred* | Ending Value (Based on Hypothetical Returns and Expenses) | Operating Expenses Incurred* | |||||||||||||||||||
Inflation-Protected and Income Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.46 | % | $ | 1,005.40 | $ | 2.27 | $ | 1,022.40 | $ | 2.29 | ||||||||||||
Class R5 | 1,000 | 0.56 | % | 1,005.30 | 2.77 | 1,021.90 | 2.79 | |||||||||||||||||
Service Class | 1,000 | 0.66 | % | 1,005.10 | 3.26 | 1,021.40 | 3.29 | |||||||||||||||||
Administrative Class | 1,000 | 0.76 | % | 1,004.10 | 3.76 | 1,020.90 | 3.79 | |||||||||||||||||
Class A | 1,000 | 1.01 | % | 1,002.60 | 4.99 | 1,019.70 | 5.03 | |||||||||||||||||
Class R4 | 1,000 | 0.91 | % | 1,003.10 | 4.49 | 1,020.20 | 4.53 | |||||||||||||||||
Class R3 | 1,000 | 1.16 | % | 1,002.30 | 5.73 | 1,018.90 | 5.77 | |||||||||||||||||
Core Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.42 | % | 993.50 | 2.06 | 1,022.60 | 2.09 | |||||||||||||||||
Class R5 | 1,000 | 0.52 | % | 992.40 | 2.55 | 1,022.10 | 2.59 | |||||||||||||||||
Service Class | 1,000 | 0.62 | % | 991.60 | 3.04 | 1,021.60 | 3.09 | |||||||||||||||||
Administrative Class | 1,000 | 0.72 | % | 992.00 | 3.54 | 1,021.10 | 3.59 | |||||||||||||||||
Class A | 1,000 | 0.97 | % | 990.00 | 4.76 | 1,019.90 | 4.83 | |||||||||||||||||
Class R4 | 1,000 | 0.87 | % | 991.20 | 4.27 | 1,020.40 | 4.33 | |||||||||||||||||
Class R3 | 1,000 | 1.12 | % | 989.70 | 5.49 | 1,019.10 | 5.58 | |||||||||||||||||
Diversified Bond Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.50 | % | 990.80 | 2.45 | 1,022.20 | 2.49 | |||||||||||||||||
Class R5 | 1,000 | 0.60 | % | 991.10 | 2.95 | 1,021.70 | 2.99 | |||||||||||||||||
Service Class | 1,000 | 0.70 | % | 991.10 | 3.44 | 1,021.20 | 3.49 | |||||||||||||||||
Administrative Class | 1,000 | 0.80 | % | 989.70 | 3.92 | 1,020.70 | 3.99 | |||||||||||||||||
Class A | 1,000 | 1.05 | % | 989.30 | 5.15 | 1,019.50 | 5.23 | |||||||||||||||||
Class R4 | 1,000 | 0.95 | % | 989.80 | 4.66 | 1,020.00 | 4.73 | |||||||||||||||||
Class R3 | 1,000 | 1.20 | % | 987.60 | 5.88 | 1,018.70 | 5.97 | |||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.53 | % | 992.30 | 2.60 | 1,022.00 | 2.64 | |||||||||||||||||
Class R5 | 1,000 | 0.63 | % | 992.40 | 3.10 | 1,021.60 | 3.14 | |||||||||||||||||
Service Class | 1,000 | 0.73 | % | 991.30 | 3.58 | 1,021.10 | 3.64 | |||||||||||||||||
Administrative Class | 1,000 | 0.83 | % | 991.40 | 4.08 | 1,020.60 | 4.14 | |||||||||||||||||
Class A | 1,000 | 1.08 | % | 990.80 | 5.30 | 1,019.30 | 5.38 | |||||||||||||||||
Class R4 | 1,000 | 0.98 | % | 990.20 | 4.81 | 1,019.80 | 4.88 | |||||||||||||||||
Class R3 | 1,000 | 1.23 | % | 989.50 | 6.03 | 1,018.60 | 6.12 | |||||||||||||||||
Balanced Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.60 | % | 1,038.70 | 3.02 | 1,021.70 | 2.99 | |||||||||||||||||
Class R5 | 1,000 | 0.70 | % | 1,037.60 | 3.52 | 1,021.20 | 3.49 | |||||||||||||||||
Service Class | 1,000 | 0.80 | % | 1,037.50 | 4.02 | 1,020.70 | 3.99 | |||||||||||||||||
Administrative Class | 1,000 | 0.90 | % | 1,037.40 | 4.52 | 1,020.20 | 4.48 | |||||||||||||||||
Class A | 1,000 | 1.15 | % | 1,035.30 | 5.77 | 1,019.00 | 5.73 | |||||||||||||||||
Class R4 | 1,000 | 1.05 | % | 1,035.80 | 5.27 | 1,019.50 | 5.23 | |||||||||||||||||
Class R3 | 1,000 | 1.30 | % | 1,034.00 | 6.52 | 1,018.20 | 6.47 | |||||||||||||||||
Disciplined Value Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.57 | % | 1,030.60 | 2.85 | 1,021.80 | 2.84 | |||||||||||||||||
Class R5 | 1,000 | 0.67 | % | 1,030.70 | 3.35 | 1,021.40 | 3.34 | |||||||||||||||||
Service Class | 1,000 | 0.77 | % | 1,030.50 | 3.86 | 1,020.90 | 3.84 | |||||||||||||||||
Administrative Class | 1,000 | 0.87 | % | 1,029.70 | 4.35 | 1,020.40 | 4.33 | |||||||||||||||||
Class A | 1,000 | 1.12 | % | 1,028.40 | 5.60 | 1,019.10 | 5.58 | |||||||||||||||||
Class R4 | 1,000 | 1.02 | % | 1,029.00 | 5.10 | 1,019.60 | 5.08 | |||||||||||||||||
Class R3 | 1,000 | 1.27 | % | 1,027.50 | 6.35 | 1,018.40 | 6.32 |
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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* | |||||||||||||||||||
Main Street Fund | ||||||||||||||||||||||||
Class I | $ | 1,000 | 0.70 | % | $ | 988.70 | $ | 3.43 | $ | 1,021.20 | $ | 3.49 | ||||||||||||
Class R5 | 1,000 | 0.80 | % | 988.50 | 3.92 | 1,020.70 | 3.99 | |||||||||||||||||
Service Class | 1,000 | 0.90 | % | 987.80 | 4.41 | 1,020.20 | 4.48 | |||||||||||||||||
Administrative Class | 1,000 | 1.00 | % | 987.40 | 4.90 | 1,019.70 | 4.98 | |||||||||||||||||
Class A | 1,000 | 1.25 | % | 985.80 | 6.12 | 1,018.50 | 6.22 | |||||||||||||||||
Class R4 | 1,000 | 1.15 | % | 987.40 | 5.64 | 1,019.00 | 5.73 | |||||||||||||||||
Class R3 | 1,000 | 1.40 | % | 985.60 | 6.85 | 1,017.80 | 6.97 | |||||||||||||||||
Disciplined Growth Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.52 | % | 1,092.00 | 2.68 | 1,022.10 | 2.59 | |||||||||||||||||
Class R5 | 1,000 | 0.62 | % | 1,091.70 | 3.20 | 1,021.60 | 3.09 | |||||||||||||||||
Service Class | 1,000 | 0.72 | % | 1,090.40 | 3.71 | 1,021.10 | 3.59 | |||||||||||||||||
Administrative Class | 1,000 | 0.82 | % | 1,090.80 | 4.23 | 1,020.60 | 4.09 | |||||||||||||||||
Class A | 1,000 | 1.07 | % | 1,089.40 | 5.51 | 1,019.40 | 5.33 | |||||||||||||||||
Class R4 | 1,000 | 0.97 | % | 1,089.60 | 5.00 | 1,019.90 | 4.83 | |||||||||||||||||
Class R3 | 1,000 | 1.22 | % | 1,088.90 | 6.28 | 1,018.60 | 6.07 | |||||||||||||||||
Small Cap Opportunities Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.68 | % | 1,011.30 | 3.37 | 1,021.30 | 3.39 | |||||||||||||||||
Class R5 | 1,000 | 0.78 | % | 1,010.80 | 3.87 | 1,020.80 | 3.89 | |||||||||||||||||
Service Class | 1,000 | 0.88 | % | 1,010.50 | 4.36 | 1,020.30 | 4.38 | |||||||||||||||||
Administrative Class | 1,000 | 0.98 | % | 1,009.70 | 4.86 | 1,019.80 | 4.88 | |||||||||||||||||
Class A | 1,000 | 1.23 | % | 1,008.80 | 6.09 | 1,018.60 | 6.12 | |||||||||||||||||
Class R4 | 1,000 | 1.13 | % | 1,009.40 | 5.60 | 1,019.10 | 5.63 | |||||||||||||||||
Class R3 | 1,000 | 1.38 | % | 1,008.20 | 6.83 | 1,017.90 | 6.87 | |||||||||||||||||
Global Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.86 | % | 1,071.60 | 4.39 | 1,020.40 | 4.28 | |||||||||||||||||
Class R5 | 1,000 | 0.96 | % | 1,070.50 | 4.90 | 1,019.90 | 4.78 | |||||||||||||||||
Service Class | 1,000 | 1.06 | % | 1,070.60 | 5.41 | 1,019.40 | 5.28 | |||||||||||||||||
Administrative Class | 1,000 | 1.16 | % | 1,069.80 | 5.92 | 1,018.90 | 5.77 | |||||||||||||||||
Class A | 1,000 | 1.41 | % | 1,068.40 | 7.19 | 1,017.70 | 7.01 | |||||||||||||||||
Class R4 | 1,000 | 1.31 | % | 1,068.90 | 6.68 | 1,018.20 | 6.52 | |||||||||||||||||
Class R3 | 1,000 | 1.56 | % | 1,067.30 | 7.95 | 1,017.00 | 7.76 | |||||||||||||||||
International Equity Fund | ||||||||||||||||||||||||
Class I | 1,000 | 0.93 | % | 1,037.40 | 4.67 | 1,020.10 | 4.63 | |||||||||||||||||
Class R5 | 1,000 | 1.03 | % | 1,037.00 | 5.17 | 1,019.60 | 5.13 | |||||||||||||||||
Service Class | 1,000 | 1.13 | % | 1,037.10 | 5.68 | 1,019.10 | 5.63 | |||||||||||||||||
Administrative Class | 1,000 | 1.23 | % | 1,036.50 | 6.18 | 1,018.60 | 6.12 | |||||||||||||||||
Class A | 1,000 | 1.48 | % | 1,035.30 | 7.43 | 1,017.40 | 7.36 | |||||||||||||||||
Class R4 | 1,000 | 1.38 | % | 1,035.10 | 6.92 | 1,017.90 | 6.87 | |||||||||||||||||
Class R3 | 1,000 | 1.63 | % | 1,034.10 | 8.18 | 1,016.60 | 8.11 | |||||||||||||||||
Strategic Emerging Markets Fund | ||||||||||||||||||||||||
Class I | 1,000 | 1.05 | % | 1,081.80 | 5.39 | 1,019.50 | 5.23 | |||||||||||||||||
Class R5 | 1,000 | 1.15 | % | 1,082.00 | 5.90 | 1,019.00 | 5.73 | |||||||||||||||||
Service Class | 1,000 | 1.25 | % | 1,081.20 | 6.41 | 1,018.50 | 6.22 | |||||||||||||||||
Administrative Class | 1,000 | 1.35 | % | 1,080.80 | 6.93 | 1,018.00 | 6.72 | |||||||||||||||||
Class A | 1,000 | 1.60 | % | 1,079.20 | 8.20 | 1,016.80 | 7.96 | |||||||||||||||||
Class R4 | 1,000 | 1.50 | % | 1,080.40 | 7.69 | 1,017.30 | 7.46 | |||||||||||||||||
Class R3 | 1,000 | 1.75 | % | 1,078.40 | 8.97 | 1,016.00 | 8.70 |
* | Expenses are calculated using the annualized expense ratio for the six months ended March 31, 2018, multiplied by the average account value over the period, multiplied by 180 days in the period, divided by 365 days in the year, unless stated otherwise. |
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Underwriter:
MML Distributors, LLC 100 Bright Meadow Blvd. Enfield, CT 06082-1981 |
© 2018 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC | RS-44649-00 |
Table of Contents
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
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.
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Item 13. Exhibits.
(a)(1) Code of Ethics (Item 2) is not applicable to this filing.
(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.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | MassMutual Premier Funds |
By (Signature and Title) | /s/ Eric Wietsma | |||
Eric Wietsma, President and Principal Executive Officer | ||||
Date 5/25/2018 |
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 5/25/2018 |
By (Signature and Title) | /s/ Renee Hitchcock | |||
Renee Hitchcock, Treasurer and Principal Financial Officer |
Date 5/25/2018 |