-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, SZiU3tqk8VMZRhPMZNp8qgVrrmkPLkasgG7srD+a+odkjoFkUAYZmWNSqtYG0tuz SDnTAtnrt7KH7nL9UDagPg== 0001047469-04-007064.txt : 20040309 0001047469-04-007064.hdr.sgml : 20040309 20040309120653 ACCESSION NUMBER: 0001047469-04-007064 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040309 EFFECTIVENESS DATE: 20040309 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MML SERIES INVESTMENT FUND CENTRAL INDEX KEY: 0000067160 IRS NUMBER: 042476032 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-02224 FILM NUMBER: 04656565 BUSINESS ADDRESS: STREET 1: 1295 STATE ST CITY: SPRINGFIELD STATE: MA ZIP: 01111 BUSINESS PHONE: 4137888411 MAIL ADDRESS: STREET 1: 1295 STATE STREET CITY: SPRINGFIELD STATE: MA ZIP: 01111 FORMER COMPANY: FORMER CONFORMED NAME: MML EQUITY INVESTMENT CO INC DATE OF NAME CHANGE: 19850227 FORMER COMPANY: FORMER CONFORMED NAME: MML INVESTMENT CO INC DATE OF NAME CHANGE: 19811109 N-CSR 1 a2129643zn-csr.txt N-CSR 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 811-02224 --------------------------------------------- MML Series Investment Fund - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1295 State Street, Springfield, MA 01111 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Frederick C. Castellani 1295 State Street, Springfield, MA 01111 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 413-788-8411 ------------- Date of fiscal year end: 12/31/2003 ------------ Date of reporting period: 12/31/2003 ----------- ITEM 1 REPORTS TO STOCKHOLDERS. (Annual Report for the period 1/1/03 through 12/31/03 is filed herewith) MML SERIES INVESTMENT FUND ANNUAL REPORT FOR THE YEAR ENDED DECEMBER 31, 2003 [GRAPHIC] MML MONEY MARKET FUND MML MANAGED BOND FUND MML BLEND FUND MML EQUITY FUND [MASSMUTUAL FINANCIAL GROUP(SM) LOGO] YOU CAN'T PREDICT. YOU CAN PREPARE(R). INVEST INSURE RETIRE TABLE OF CONTENTS LETTER TO SHAREHOLDERS 1 STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2003 11 MML Money Market Fund MML Managed Bond Fund MML Blend Fund MML Equity Fund STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003 12 MML Money Market Fund MML Managed Bond Fund MML Blend Fund MML Equity Fund STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2003 AND FOR THE YEAR ENDED DECEMBER 31, 2002 13 MML Money Market Fund MML Managed Bond Fund MML Blend Fund MML Equity Fund FINANCIAL HIGHLIGHTS MML Money Market Fund 14 MML Managed Bond Fund 15 MML Blend Fund 16 MML Equity Fund 17 PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2003 MML Money Market Fund 18 MML Managed Bond Fund 19 MML Blend Fund 25 MML Equity Fund 34 NOTES TO FINANCIAL STATEMENTS 40 INDEPENDENT AUDITORS' REPORT 48 DIRECTORS AND OFFICERS (UNAUDITED) 49 FEDERAL TAX INFORMATION (UNAUDITED) 52
MML SERIES INVESTMENT FUND - LETTER TO SHAREHOLDERS December 31, 2003 TO OUR SHAREHOLDERS [PHOTO OF FREDERICK C. CASTELLANI] FREDERICK C. CASTELLANI "THE RENEWED STRENGTH IN ECONOMIC GROWTH AND THE RALLY IN THE EQUITY MARKETS DURING 2003 HIGHLIGHT WHY WE BELIEVE IT IS IMPORTANT FOR PARTICIPANTS TO STAY THE COURSE - AS WELL AS MAINTAIN A PROPERLY DIVERSIFIED PORTFOLIO. WE BELIEVE THIS IS THE BEST STRATEGY WHEN TRYING TO ACHIEVE LONG-TERM RETIREMENT GOALS." 2003: A YEAR OF MANY HAPPY RETURNS Good times returned in 2003 for many equity investors. The stock market indexes and most equity funds generated returns in excess of 25%, with more aggressive strategies doubling that advance. The bond market lagged with single-digit returns in the plain vanilla, high quality corporate and government agency categories, but compelling gains of over 25% also were found in the high yield and foreign bond markets. Only a year ago, investors were faced with three straight years of stock market losses - with grave concerns about a possible fourth "down" year. Their pessimism was not without merit: the economy was sluggish, unemployment was rising and war was on the horizon. Fortunately, the fundamentals improved as the year progressed, leading to increased optimism and strong performance. Stronger-than-expected economic growth and improving corporate profitability fueled the equity markets. U.S. Gross Domestic Product, a broad measure of economic activity, grew by an 8.2% annualized rate in the third quarter, the strongest advance in nearly 20 years. Providing the foundation were strong corporate earnings reports, evidence of recovery in business investment, continued strength in consumer spending, the Federal Reserve (Fed) policy of maintaining low interest rates, tax reductions, increased government spending and positive strides in the war on terror. AGGRESSIVE STOCKS PREVAILED As in a typical market rally, during the third and fourth quarters, the more aggressive categories led the way, with small-cap outperforming large-cap, international leading domestic, growth leading value, and high yield leading Treasuries. The technology-heavy NASDAQ led the major stock indexes, with the Russell 2000 small-cap index close behind, followed by the MSCI EAFE international equity benchmark. Bringing up the rear were the Dow Jones Industrial Average and the S&P 500(R) Index - but both still turned in impressive double-digit returns for the six-month period. BOND RETURNS LAGGED Over the six months ending December 31, 2003, bonds trailed stocks by a wide margin. In the third quarter, the bond market's woes were punctuated by a brutal July, when the Lehman Brothers Aggregate Bond Index had its worst monthly decline in over 20 years. This left many investors who had flocked to the "safety" of the bond market - leaving stocks behind - rudely surprised. (This turn of events also underscores why we continuously caution investors not to use the recent past performance of any asset category as the primary reason for investing.) The fourth quarter was not much better for bond investors, as the Lehman Brothers Aggregate Bond Index advanced a paltry 0.32%. (Continued) 1 THE 2004 OUTLOOK - TEMPERED OPTIMISM The broad-based stock market rally in 2003 was supported by several factors that continue to provide favorable indicators for 2004, including: - - A U.S. economy that seems to be in the early stages of expansion - - Interest rates which are at a 45-year low - - Low inflation, which should allow the Fed to maintain current interest rate policy - - Reduced taxes - - Improving corporate profitability and earnings growth Conversely, it is unlikely that the market will be as strong or as broad based in 2004 as it was last year, due to several factors: - - High unemployment - - Interest rates that are more likely to rise than decline - - High debt ratios for consumers and government - - Easier comparisons for corporate profit growth (the low or negative profit numbers companies posted in 2001/2002) are now behind us. In closing, as the euphoria of 2003's investment performance abates, pressure will be on the economy and stock prices to sustain the rally. Emphasis will likely be on inflation and interest rates, earnings growth and employment. While last year's gains in the market are encouraging and give stock investors a reason to smile, we continue to urge all investors to maintain focus on long-term investment objectives. This should include maintaining a diversified portfolio in an effort to better weather the stock market's inevitable ups and downs. /s/ Frederick C. Castellani Frederick C. Castellani PRESIDENT 2 MML MONEY MARKET FUND - PORTFOLIO MANAGER REPORT WHAT IS THE INVESTMENT The objective of the Fund is to achieve high current OBJECTIVE OF THE MML income, preserve capital and liquidity by investing in: MONEY MARKET FUND? - a diversified portfolio of money market instruments; and - high quality debt instruments with remaining maturity not to exceed 397 days. HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's PERFORM DURING 2003? shares had a return of 0.62%, equaling the 0.62% return of the Lipper Taxable Money Market Fund Index. WHAT WAS THE INVESTMENT The third quarter was characterized by positive BACKGROUND DURING THE economic surprises, with many companies announcing PERIOD? better-than-expected results. While stocks continued their positive performance through July, the central bank rate cut in late June saw the main bond indexes post negative returns in July. On a more positive note, Gross Domestic Product was revised upward for the second quarter to an annual rate of 3.3%. This positive economic and business momentum continued during the closing quarter of the year, as investors became increasingly confident. Another positive development has been the increase in hiring within the temporary sector of the job market - often viewed as a precursor to an improvement in the permanent job sector. Conversely, non-farm payrolls, which posted seven straight months of declines through August, showed only a modest increase in September, making this a "jobless recovery." Also a positive for the markets, the monetary stimulus that the Federal Reserve (Fed) initiated in 2002 remained in place, with interest rates left unchanged. It is widely believed that the Fed has room to keep rates at current levels well into 2004. Finally, the unemployment rate, which was one of the last economic indicators to turn positive during 2003, continued to decline, albeit slowly. With reduced inventories and increasing demand now coming through, we expect this trend to continue in 2004. HOW IS THE FUND Since there was little short-end commercial paper INVESTED? issuance in 2003, we held almost 50% of the portfolio in Treasuries at year-end. We have also been reducing our exposure to agency discount notes issued by Freddie Mac and Fannie Mae, in the wake of accounting scandals associated with those quasi-government agencies. WHAT IS YOUR OUTLOOK? We believe that money market returns will remain subdued in the coming months. 3 GROWTH OF A $10,000 INVESTMENT Hypothetical Investments in MML Money Market Fund and the Lipper Taxable Money Market Fund Index MML SERIES INVESTMENT FUND TOTAL RETURN
FIVE YEAR TEN YEAR ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL 1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03 MML Money Market Fund 0.62% 3.26% 4.10% - -------------------------------------------------------------------------------- Lipper Taxable Money Market Fund Index 0.62% 3.23% 4.06%
[CHART] GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
MML MONEY MARKET FUND LIPPER TAXABLE MONEY MARKET FUND INDEX 1/1/94 $ 10,000 $ 10,000 12/94 $ 10,384 $ 10,373 12/95 $ 10,964 $ 10,947 12/96 $ 11,513 $ 11,495 12/97 $ 12,109 $ 12,087 12/98 $ 12,733 $ 12,704 12/99 $ 13,342 $ 13,306 12/00 $ 14,147 $ 14,097 12/01 $ 14,665 $ 14,634 12/02 $ 14,854 $ 14,803 12/03 $ 14,947 $ 14,895
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE LIPPER TAXABLE MONEY MARKET FUND INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE CHARGES WOULD HAVE REDUCED THE PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO INDICATION OF FUTURE RESULTS. AN INVESTMENT IN THE MML MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND 4 MML MANAGED BOND FUND - PORTFOLIO MANAGER REPORT WHAT IS THE INVESTMENT The objective of the Fund is to achieve as high a total OBJECTIVE OF THE MML rate of return on an annual basis as is considered MANAGED BOND FUND? consistent with the preservation of capital by investing primarily in a diversified portfolio of investment-grade, fixed-income securities. HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's PERFORM DURING 2003? shares returned 5.59%, outperforming the 4.11% return of the Lehman Brothers Aggregate Bond Index, an index of fixed-income securities primarily from the Treasury, mortgage-backed, and corporate asset classes. WHAT WAS THE INVESTMENT The third quarter was characterized by positive BACKGROUND DURING THE economic surprises, with many companies announcing PERIOD? better-than-expected results. Gross Domestic Product was revised upward for the second quarter to an annual rate of 3.3%. This positive economic and business momentum continued during the fourth quarter, as investors became increasingly confident. Another positive development was the increase in hiring within the temporary sector of the job market - often viewed as a precursor to an improvement in the permanent job sector. Conversely, non-farm payrolls, which posted seven straight months of declines through August, showed only a modest increase in September, making this a "jobless recovery." The positive economic and business momentum seen in the third quarter continued during the closing quarter of 2003. Investors' increased confidence was unabated through year-end. HOW DID YOU RESPOND TO During the beginning of the third quarter, we were THESE EVENTS? buyers of higher coupon mortgages, as they became attractive when they fell out of favor in the market. As the quarter progressed and interest rate volatility continued, these mortgages came back into favor and we cashed in our gains, reducing our exposure to a near market weight by quarter-end. We continued this strategy into the fourth quarter, when mortgages continued to perform well, and we sold on this strength. As a result, at year-end we held an underweight position in mortgages (23.3%) versus the benchmark (35.8%). HOW IS THE FUND Besides mortgages, we are also underweight in INVESTED? Treasuries, on the belief that there are better opportunities for yield. On the other hand, we hold overweight positions in both corporate bonds and BBB rated bonds, which are at the lowest end of the investment-grade spectrum. WHAT IS YOUR OUTLOOK? Looking forward, we expect a continuation of the improving outlook. We expect the Federal Reserve to remain on the sidelines as far as interest rates are concerned, at least through the first half of 2004. We will continue to look for opportunities in corporate bonds, which should perform well in an improving economy. While the strong spread tightening that we witnessed throughout 2003 is unlikely to be repeated in 2004, we believe there are still selective opportunities in corporates. 5 [CHART] DURATION DIVERSIFICATION (12/31/03) MML MANAGED BOND FUND AVERAGE DURATION=4.59 YEARS LESS THAN 1 Year 12.6% 1-3 Years 31.6% 3-5 Years 20.0% 5-10 Years 23.1% 10-20 Years 12.7%
QUALITY STRUCTURE (12/31/03) MML MANAGED BOND FUND U.S. Governments Cash Equivalents Aaa/AAA 47.1% Aa/AA 3.6% A 17.0% Baa/BBB 30.0% Ba/BB 1.5% B 0.8%
GROWTH OF A $10,000 INVESTMENT Hypothetical Investments in MML Managed Bond Fund and the Lehman Brothers Aggregate Bond Index MML SERIES INVESTMENT FUND TOTAL RETURN
FIVE YEAR TEN YEAR ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL 1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03 MML Managed Bond Fund 5.59% 6.15% 6.61% - -------------------------------------------------------------------------------- Lehman Brothers Aggregate Bond Index 4.11% 6.62% 6.95%
[CHART] GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
MML MANAGED BOND FUND LEHMAN BROTHERS AGGREGATE BOND INDEX 1/1/94 $ 10,000 $ 10,000 12/94 $ 9,624 $ 9,708 12/95 $ 11,465 $ 11,502 12/96 $ 11,838 $ 11,919 12/97 $ 13,012 $ 13,070 12/98 $ 14,070 $ 14,206 12/99 $ 13,813 $ 14,089 12/00 $ 15,359 $ 15,728 12/01 $ 16,570 $ 17,056 12/02 $ 17,963 $ 18,805 12/03 $ 18,967 $ 19,576
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE CHARGES WOULD HAVE REDUCED THE PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO INDICATION OF FUTURE RESULTS. 6 MML BLEND FUND - PORTFOLIO MANAGER REPORT WHAT IS THE INVESTMENT The objective of the Fund is to achieve as high a level OBJECTIVE OF THE MML of total rate of return over an extended period of time BLEND FUND? as is consistent with prudent investment risk and the preservation of capital - by investing in a diversified portfolio of equity securities, fixed-income securities and money market instruments. HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's PERFORM DURING 2003? shares returned 18.71%, lagging the 19.94% return of the Lipper Balanced Fund Index, an unmanaged index of stock and bond portfolios. WHAT WAS THE INVESTMENT The equity market rally that began in March 2003 BACKGROUND DURING THE continued in the third quarter, fueled by positive PERIOD? corporate earnings reports and largely favorable economic indicators. As has been the case for much of 2003, the third quarter saw investors continuing to embrace market risk, small-cap stocks and growth investing. This resulted in an environment in which small caps continued to outperform large caps by a wide margin and economically sensitive sectors outpaced sectors associated with low risk in almost all equity market indexes. This trend continued into the fourth quarter. For the full year, small-cap stocks led the U.S. equity market, outperforming large caps by approximately 20%. During 2003, investments in higher-risk stocks with exposure to the economic cycle generated the highest returns in all investment styles, most notably in the small-cap space. WHAT ASSET ALLOCATION In the beginning of the fourth quarter, we moved to an DECISIONS WERE MADE? overweight position in equities, where we remained at year-end. This position added value, as equity markets continued to advance. For the full year, our asset allocation moves were highly favorable. HOW DID THE FUND'S The Fund's stock portfolios kept pace with their STOCK SELECTION MODEL respective benchmarks, the Russell 1000 Index and S&P OPERATE DURING THE 500 Index, during the third quarter, but failed to add PERIOD? value above index returns. This resulted from the persistent market trend of favoring high-risk stocks - characterized by generally volatile earnings, poor balance sheets, low stock prices and high debt levels - over quality companies. Repeating this trend in the fourth quarter, the stock portfolios once again failed to generate value, as the key to outperformance was still to employ an investment strategy that favored increased exposure to economic growth factors and higher-risk, low priced issues. HOW DID THE BOND The Fund's bond portfolio for full-year 2003 remained PORTFOLIO PERFORM? strong relative to the Lehman Brothers Aggregate Bond Index. During the beginning of the third quarter, we were buyers of higher coupon mortgages, as they became attractive when they fell out of favor in the market. As the quarter progressed and interest rate volatility continued, these mortgages came back into favor and we cashed in our gains, reducing our exposure to a near market weight by quarter-end. Corporate bond spreads continued to tighten over the quarter, but still offer improved yields versus Treasuries. Our overweight position in corporate bonds added significant value throughout much of the year. We will continue to look for opportunities in corporate bonds, which we expect to perform well in an improving economy. While the strong spread tightening realized throughout 2003 is unlikely to be repeated in 2004, we believe there still will be selective opportunities to add value from this sector. WHAT IS YOUR OUTLOOK? Financial markets currently have tremendous momentum and, until they are impacted by another force, such as rising bond yields, will likely remain on their current path. In 2004, interest rates could be the big story. If they do not go up much, 2004 could be a big "up" year for financial markets. If they rise sharply, the opposite could be true. 7 [CHART] MML BLEND FUND ASSET ALLOCATION (% OF INVESTMENTS) ON 12/31/03 Common Stocks 61.2% Bonds 26.7% Short-term Issues 12.1%
MML BLEND FUND LARGEST STOCK HOLDINGS (12/31/03) General Electric Co. Microsoft Corp. Citigroup, Inc. Intel Corp. Pfizer, Inc. Exxon Mobil Corp. Wal-Mart Stores, Inc. Cisco Systems, Inc. International Business Machines Corp. Bank of America Corp. GROWTH OF A $10,000 INVESTMENT Hypothetical Investments in MML Blend Fund and the corresponding indices MML SERIES INVESTMENT FUND TOTAL RETURN
FIVE YEAR TEN YEAR ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL 1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03 MML Blend Fund 18.71% -0.45% 6.81% - ------------------------------------------------------------------------------- Lehman Brothers Aggregate Bond Index 4.11% 6.62% 6.95% Lipper Balanced Fund Index 19.94% 2.95% 8.20% S&P 500 Index 28.67% -0.57% 11.06%
[CHART] GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
LEHMAN BROTHERS LIPPER BALANCED MML BLEND FUND AGGREGATE BOND INDEX FUND INDEX S&P 500 INDEX 1/1/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000 12/94 $ 10,248 $ 9,708 $ 9,751 $ 10,132 12/95 $ 12,633 $ 11,502 $ 12,149 $ 13,934 12/96 $ 14,395 $ 11,919 $ 13,728 $ 17,132 12/97 $ 17,403 $ 13,070 $ 16,480 $ 22,845 12/98 $ 19,763 $ 14,206 $ 19,013 $ 29,373 12/99 $ 19,518 $ 14,089 $ 20,720 $ 35,553 12/00 $ 19,522 $ 15,728 $ 21,215 $ 32,319 12/01 $ 18,400 $ 17,056 $ 20,529 $ 28,481 12/02 $ 16,279 $ 18,805 $ 18,335 $ 22,189 12/03 $ 19,324 $ 19,576 $ 21,990 $ 28,550
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE LIPPER BALANCED FUND INDEX, THE S&P 500 INDEX AND THE LEHMAN BROTHERS AGGREGATE BOND INDEX ARE UNMANAGED AND DO NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE CHARGES WOULD HAVE REDUCED THE PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO INDICATION OF FUTURE RESULTS. 8 MML EQUITY FUND - PORTFOLIO MANAGER REPORT WHAT IS THE INVESTMENT The objective of the Fund is to provide a superior OBJECTIVE OF THE MML total rate of return over an extended period of time EQUITY FUND? from both capital appreciation and current income. The Fund seeks to achieve this objective by investing in a diversified portfolio of equity securities of larger, well established firms (generally with market capitalizations exceeding $2 billion), using a value-oriented investment strategy. HOW DID THE FUND For the 12 months ending December 31, 2003, the Fund's PERFORM DURING 2003? shares returned 27.49%, lagging both the 28.67% return of the Standard & Poor's 500 Index and the 30.03% return of the Russell 1000 Value Index. The Russell 1000 Value Index measures the performance of those companies in the Russell 1000 Index with attributes common to the value universe. The Russell 1000 Index tracks the performance of the 1,000 largest U.S. companies based on total market capitalization. The S&P 500 is a market capitalization-weighted, unmanaged index of 500 common stocks. WHAT WAS THE INVESTMENT The U.S. stock market rallied during the third quarter BACKGROUND DURING THE on increased optimism about the outlook for the economy PERIOD? and corporate earnings. Following a trend established earlier in the year, investors continued to embrace market risk, small stocks and growth investing. Both the market surge and the aforementioned investor sentiment continued into the fourth quarter. For the full year, small-cap stocks outperformed their large-cap counterparts by approximately 20%. Although exposure to equities during the year added value irrespective of asset class or style segmentation, investments in high-risk stocks with exposure to the economic cycle generated the highest returns in all investment styles, most notably the small-cap space. WHAT FACTORS Contributing to performance in the third quarter was CONTRIBUTED TO THE favorable stock selection in the technology, consumer FUND'S PERFORMANCE? discretionary and consumer staples sectors. Detractors came from various sectors, including financial services, health care and producer durables. In the fourth quarter, results were driven by weak stock selection in the technology, financial services and utilities sectors. Consumer discretionary stocks lagged the market due to disappointing holiday sales. Conversely, energy companies advanced - with their prices moving in the same direction as the price of oil. The stocks that suffered the most during the bear market, such as technology issues, rebounded strongly in 2003. Additionally, economically sensitive sectors, including producer durables and materials & processing, once denounced as "old economy," had a very strong run. Meanwhile, sectors generally characterized as defensive, such as utilities, consumer staples and health care, trailed for the year. WHAT IS YOUR OUTLOOK? The equity market currently has tremendous momentum and until it is impacted by another force, such as rising bond yields, it will likely remain on its current path. However, it should be noted that this is currently the consensus forecast, and therefore it is likely already priced into the market. In 2004, interest rates could be the big story. If they do not go up much, 2004 could be a big up year for equities. If they rise sharply, the opposite could be true. 9 MML EQUITY FUND LARGEST STOCK HOLDINGS (12/31/03) Citigroup, Inc. Exxon Mobil Corp. American International Group, Inc. Weyerhaeuser Co. Rockwell Collins, Inc. Wells Fargo & Co. PPG Industries, Inc. Pfizer, Inc. McDonald's Corp. Verizon Communications, Inc. GROWTH OF A $10,000 INVESTMENT Hypothetical Investments in MML Equity Fund and the S&P 500 Index MML SERIES INVESTMENT FUND TOTAL RETURN
FIVE YEAR TEN YEAR ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL 1/1/03 - 12/31/03 1/1/99 - 12/31/03 1/1/94 - 12/31/03 MML Equity Fund 27.49% -2.85% 7.82% - -------------------------------------------------------------------------------- S&P 500 Index 28.67% -0.57% 11.06%
[CHART] GROWTH OF A $10,000 INVESTMENT FOR THE PAST TEN YEARS
MML EQUITY FUND S&P 500 INDEX 1/1/94 $ 10,000 $ 10,000 12/94 $ 10,410 $ 10,132 12/95 $ 13,651 $ 13,934 12/96 $ 16,416 $ 17,132 12/97 $ 21,109 $ 22,845 12/98 $ 24,528 $ 29,373 12/99 $ 23,591 $ 35,553 12/00 $ 24,265 $ 32,319 12/01 $ 20,694 $ 28,481 12/02 $ 16,648 $ 22,189 12/03 $ 21,224 $ 28,550
THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. THE INCLUSION OF THESE CHARGES WOULD HAVE REDUCED THE PERFORMANCE SHOWN HERE. PAST PERFORMANCE IS NO INDICATION OF FUTURE RESULTS. 10 MML SERIES INVESTMENT FUND - FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2003
MML MML MONEY MANAGED MML MML MARKET BOND BLEND EQUITY FUND FUND FUND FUND -------------- --------------- --------------- --------------- ASSETS: Investments, at value (cost $0, $346,753,904, $823,164,324, and $1,096,062,270, respectively) (NOTE 2) $ - $ 358,524,909 $ 1,000,520,102 $ 1,323,353,772 Short-term investments, at amortized cost (NOTE 2) 141,915,296 39,599,262 137,506,616 49,561,963 -------------- --------------- --------------- --------------- Total Investments (including securities on loan with market values of $0, $22,424,305, $54,726,325, and $47,801,340, respectively) 141,915,296 398,124,171 1,138,026,718 1,372,915,735 -------------- --------------- --------------- --------------- Cash 2,483 34,849 48,783 16,078,549 Receivables from: Investments sold - - - - Fund shares sold 409,647 236,234 65,492 110,049 Interest and dividends - 3,972,976 4,264,188 2,010,182 Settlement of investments purchased on a commitment basis (NOTE 2) - 6,094 6,094 - -------------- --------------- --------------- --------------- Total assets 142,327,426 402,374,324 1,142,411,275 1,391,114,515 -------------- --------------- --------------- --------------- LIABILITIES: Payables for: Investments purchased - - - 2,092,006 Dividends (NOTE 2) 57,156 - - - Fund shares repurchased 548,938 172,271 234,598 438,501 Securities on loan (NOTE 2) - 23,017,763 56,533,709 49,561,963 Directors' fees and expenses (NOTE 3) 13,309 25,010 77,219 85,316 Affiliates (NOTE 3): Investment management fees 62,803 155,040 379,171 451,598 Accrued expenses and other liabilities 23,709 13,328 44,156 47,053 -------------- --------------- --------------- --------------- Total liabilities 705,915 23,383,412 57,268,853 52,676,437 -------------- --------------- --------------- --------------- NET ASSETS $ 141,621,511 $ 378,990,912 $ 1,085,142,422 $ 1,338,438,078 ============== =============== =============== =============== NET ASSETS CONSIST OF: Paid-in capital $ 141,798,366 $ 372,310,749 $ 1,218,714,776 $ 1,401,283,864 Undistributed net investment income (distributions in excess of net investment income) 23,871 (1,094,753) (335,246) (69,461) Accumulated net realized loss on investments and forward commitments (200,726) (4,002,183) (310,598,980) (290,067,827) Net unrealized appreciation on investments and forward commitments - 11,777,099 177,361,872 227,291,502 -------------- --------------- --------------- --------------- $ 141,621,511 $ 378,990,912 $ 1,085,142,422 $ 1,338,438,078 ============== =============== =============== =============== Shares outstanding: 141,771,962 30,291,683 74,024,390 64,274,154 ============== =============== =============== =============== Net asset value, offering price and redemption price per share: $ 1.00 $ 12.51 $ 14.66 $ 20.82 ============== =============== =============== ===============
The accompanying notes are an integral part of the financial statements. 11 STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
MML MML MONEY MANAGED MML MML MARKET BOND BLEND EQUITY FUND FUND FUND FUND ------------- ------------- ------------- ------------- INVESTMENT INCOME (NOTE 2): Dividends (net of withholding tax of $0, $0, $0, and $283,630, respectively) $ - $ 65,625 $ 11,731,920 $ 25,877,396 Interest (including securities lending income of $0, $28,418, $53,537, and $81,901, respectively) 1,917,884 19,986,817 18,021,501 131,543 ------------- ------------- ------------- ------------- Total investment income 1,917,884 20,052,442 29,753,421 26,008,939 ------------- ------------- ------------- ------------- EXPENSES (NOTE 2): Investment management fees (NOTE 3) 800,238 1,798,127 4,093,119 4,625,623 Custody fees 16,100 - 129,564 129,510 Trustee reporting 13,446 - 13,446 13,446 Audit and legal fees 23,709 18,281 44,149 47,683 Shareholder reporting fees 1,442 - 10,325 11,723 Directors' fees (NOTE 3) 11,167 26,610 68,950 74,990 ------------- ------------- ------------- ------------- Total expenses 866,102 1,843,018 4,359,553 4,902,975 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME 1,051,782 18,209,424 25,393,868 21,105,964 ------------- ------------- ------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investment transactions and forward commitments 6,912 4,113,006 (8,103,350) (81,586,348) Closed futures contracts - - 778,066 - ------------- ------------- ------------- ------------- Net realized gain (loss) 6,912 4,113,006 (7,325,284) (81,586,348) ------------- ------------- ------------- ------------- Net change in unrealized appreciation (depreciation) on investments and forward commitments - (790,234) 160,549,385 355,529,848 ------------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN 6,912 3,322,772 153,224,101 273,943,500 ------------- ------------- ------------- ------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,058,694 $ 21,532,196 $ 178,617,969 $ 295,049,464 ============= ============= ============= =============
The accompanying notes are an integral part of the financial statements. 12 STATEMENTS OF CHANGES IN NET ASSETS
YEAR ENDED DECEMBER 31, 2003 ------------------------------------------------------------------------ MML MML MONEY MANAGED MML MML MARKET BOND BLEND EQUITY FUND FUND FUND FUND --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income $ 1,051,782 $ 18,209,424 $ 25,393,868 $ 21,105,964 Net realized gain (loss) on investment transactions and forward commitments 6,912 4,113,006 (7,325,284) (81,586,348) Net change in unrealized appreciation (depreciation) on investments and forward commitments - (790,234) 160,549,385 355,529,848 --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 1,058,694 21,532,196 178,617,969 295,049,464 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2): From net investment income (1,051,782) (20,809,869) (27,002,708) (21,136,767) From net realized gains - - - - NET FUND SHARE TRANSACTIONS (NOTE 5) (50,637,354) (7,958,705) (114,913,552) (90,714,246) --------------- --------------- --------------- --------------- TOTAL INCREASE (DECREASE) IN NET ASSETS (50,630,442) (7,236,378) 36,701,709 183,198,451 --------------- --------------- --------------- --------------- NET ASSETS: Beginning of year 192,251,953 386,227,290 1,048,440,713 1,155,239,627 --------------- --------------- --------------- --------------- End of year $ 141,621,511 $ 378,990,912 $ 1,085,142,422 $ 1,338,438,078 =============== =============== =============== =============== Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of the year $ 23,871 $ (1,094,753) $ (335,246) $ (69,461) =============== =============== =============== =============== YEAR ENDED DECEMBER 31, 2002 ------------------------------------------------------------------------ MML MML MONEY MANAGED MML MML MARKET BOND BLEND EQUITY FUND FUND FUND FUND --------------- --------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income $ 2,524,071 $ 18,503,138 $ 34,519,056 $ 18,533,759 Net realized gain (loss) on investment transactions and forward commitments 27,832 (805,419) (101,474,131) (206,958,175) Net change in unrealized appreciation (depreciation) on investments and forward commitments - 10,079,576 (89,670,562) (121,104,698) --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 2,551,903 27,777,295 (156,625,637) (309,529,114) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2): From net investment income (2,524,071) (19,436,802) (35,476,768) (18,498,334) From net realized gains - (1,952,654) - (19,274,161) NET FUND SHARE TRANSACTIONS (NOTE 5) (11,467,228) 86,730,303 (210,580,090) (165,123,797) --------------- --------------- --------------- --------------- TOTAL INCREASE (DECREASE) IN NET ASSETS (11,439,396) 93,118,142 (402,682,495) (512,425,406) --------------- --------------- --------------- --------------- NET ASSETS: Beginning of year 203,691,349 293,109,148 1,451,123,208 1,667,665,033 --------------- --------------- --------------- --------------- End of year $ 192,251,953 $ 386,227,290 $ 1,048,440,713 $ 1,155,239,627 =============== =============== =============== =============== Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of the year $ 23,871 $ (890,097) $ (8,837) $ 72,403 =============== =============== =============== ===============
The accompanying notes are an integral part of the financial statements. 13 MML MONEY MARKET FUND - FINANCIAL STATEMENTS FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, BEGINNING OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ---------- ---------- ---------- ---------- ---------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.01 0.01 0.04 0.06 0.05 Net realized and unrealized gain (loss) on investments 0.00+ 0.00+ (0.00)+ - - ---------- ---------- ---------- ---------- ---------- Total income from investment operations 0.01 0.01 0.04 0.06 0.05 ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.01) (0.01) (0.04) (0.06) (0.05) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF YEAR $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========== ========== ========== ========== ========== TOTAL RETURN (a) 0.62% 1.29% 3.66% 6.03% 4.78% RATIOS / SUPPLEMENTAL DATA: Net assets, end of year (000's) $ 141,622 $ 192,252 $ 203,691 $ 182,008 $ 200,570 Net expenses to average daily net assets 0.52% 0.52% 0.50% 0.51% 0.50% Net investment income to average daily net assets 0.63% 1.27% 3.67% 5.86% 4.68%
+ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS IS LESS THAN $0.01 PER SHARE. (a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE DOES NOT REFLECT EXPENSES THAT APPLY AT THE SEPARATE ACCOUNT LEVEL OR TO RELATED INSURANCE PRODUCTS. INCLUSION OF THESE CHARGES WOULD REDUCE THE TOTAL RETURN FIGURES FOR ALL PERIODS SHOWN. The accompanying notes are an integral part of the financial statements. 14 MML MANAGED BOND FUND - FINANCIAL STATEMENTS FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/03 12/31/02 12/31/01 (b) 12/31/00 12/31/99 ---------- ---------- ------------ ---------- ---------- NET ASSET VALUE, BEGINNING OF YEAR $ 12.49 $ 12.27 $ 12.19 $ 11.61 $ 12.60 ---------- ---------- ---------- ---------- ---------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.57 0.67 0.74 0.77* 0.75 Net realized and unrealized gain (loss) on investments 0.11 0.33 0.20 0.50 (0.98) ---------- ---------- ---------- ---------- ---------- Total income (loss) from investment operations 0.68 1.00 0.94 1.27 (0.23) ---------- ---------- ---------- ---------- ---------- LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.66) (0.70) (0.86) (0.69) (0.76) From net realized gains - (0.08) - - - ---------- ---------- ---------- ---------- ---------- Total distributions (0.66) (0.78) (0.86) (0.69) (0.76) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF YEAR $ 12.51 $ 12.49 $ 12.27 $ 12.19 $ 11.61 ========== ========== ========== ========== ========== TOTAL RETURN (a) 5.59% 8.40% 7.89% 11.19% (1.83)% RATIOS / SUPPLEMENTAL DATA: Net assets, end of year (000's) $ 378,991 $ 386,227 $ 293,109 $ 232,431 $ 239,910 Net expenses to average daily net assets 0.46% 0.47% 0.48% 0.49% 0.50% Net investment income to average daily net assets 4.56% 5.51% 5.98% 6.54% 6.19% Portfolio turnover rate 77% 41% 53% 20% 41%
* PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARE METHOD. (a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE DOES NOT REFLECT EXPENSES THAT APPLY AT THE SEPARATE ACCOUNT LEVEL OR TO RELATED INSURANCE PRODUCTS. INCLUSION OF THESE CHARGES WOULD REDUCE THE TOTAL RETURN FIGURES FOR ALL PERIODS SHOWN. (b) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND DISCOUNTS ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME PER SHARE OF $0.01, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND LOSSES PER SHARE OF $0.01 AND A DECREASE OF THE RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS FROM 6.11% TO 5.98%. PER SHARE DATA AND RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION. The accompanying notes are an integral part of the financial statements. 15 MML BLEND FUND - FINANCIAL STATEMENTS FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/03 12/31/02 12/31/01 (b) 12/31/00 12/31/99 ----------- ----------- ------------ ----------- ----------- NET ASSET VALUE, BEGINNING OF YEAR $ 12.67 $ 14.76 $ 19.51 $ 23.51 $ 25.08 ----------- ----------- ----------- ----------- ----------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.34 0.39 0.47 0.76* 0.84 Net realized and unrealized gain (loss) on investments 2.01 (2.08) (1.69) (0.73) (1.13) ----------- ----------- ----------- ----------- ----------- Total income (loss) from investment operations 2.35 (1.69) (1.22) 0.03 (0.29) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.36) (0.40) (0.56) (0.70) (0.84) From net realized gains - - (2.97) (3.33) (0.44) ----------- ----------- ----------- ----------- ----------- Total distributions (0.36) (0.40) (3.53) (4.03) (1.28) ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF YEAR $ 14.66 $ 12.67 $ 14.76 $ 19.51 $ 23.51 =========== =========== =========== =========== =========== TOTAL RETURN (a) 18.71% (11.53)% (5.75)% 0.02% (1.24)% RATIOS / SUPPLEMENTAL DATA: Net assets, end of year (000's) $ 1,085,142 $ 1,048,441 $ 1,451,123 $ 1,836,095 $ 2,636,321 Net expenses to average daily net assets 0.42% 0.42% 0.40% 0.39% 0.38% Net investment income to average daily net assets 2.44% 2.80% 2.85% 3.30% 3.34% Portfolio turnover rate 101% 90% 87% 103% 21%
* PER SHARE AMOUNT CALCULATED USING THE AVERAGE SHARES METHOD. (a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE DOES NOT REFLECT EXPENSES THAT APPLY AT THE SEPARATE ACCOUNT LEVEL OR TO RELATED INSURANCE PRODUCTS. INCLUSION OF THESE CHARGES WOULD REDUCE THE TOTAL RETURN FIGURES FOR ALL PERIODS SHOWN. (b) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUM AND DISCOUNTS ON DEBT SECUTITIES. THE EFFECT OF THIS CHARGE FOR THE YEAR ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME PER SHARE OF $0.003, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND LOSSES OF $0.003 AND A DECREASE OF THE RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS FROM 2.87% TO 2.85%. PER SHARE DATA AND RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT BEEN RESTATED TO REFLECT THIS PRESENTATION. The accompanying notes are an integral part of the financial statements. 16 MML EQUITY FUND - FINANCIAL STATEMENTS FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99 ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, BEGINNING OF YEAR $ 16.60 $ 21.28 $ 34.30 $ 36.56 $ 39.20 ----------- ----------- ----------- ----------- ----------- INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.33 0.27 0.35 0.53* 0.71 Net realized and unrealized gain (loss) on investments 4.22 (4.41) (5.23) 0.53 (2.21) ----------- ----------- ----------- ----------- ----------- Total income (loss) from investment operations 4.55 (4.14) (4.88) 1.06 (1.50) ----------- ----------- ----------- ----------- ----------- LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.33) (0.27) (0.62) (0.30) (0.71) From net realized gains -- (0.27) (7.52) (3.02) (0.43) ----------- ----------- ----------- ----------- ----------- Total distributions (0.33) (0.54) (8.14) (3.32) (1.14) ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF YEAR $ 20.82 $ 16.60 $ 21.28 $ 34.30 $ 36.56 =========== =========== =========== =========== =========== TOTAL RETURN (a) 27.49% (19.55)% (14.72)% 2.86% (3.82)% RATIOS / SUPPLEMENTAL DATA: Net assets, end of year (000's) $ 1,338,438 $ 1,155,240 $ 1,667,665 $ 2,180,741 $ 2,748,155 Net expenses to average daily net assets 0.41% 0.42% 0.40% 0.40% 0.37% Net investment income to average daily net assets 1.77% 1.33% 1.22% 1.47% 1.78% Portfolio turnover rate 61% 67% 101% 69% 16%
* PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD. (a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE DOES NOT REFLECT EXPENSES THAT APPLY AT THE SEPARATE ACCOUNT LEVEL OR TO RELATED INSURANCE PRODUCTS. INCLUSION OF THESE CHARGES WOULD REDUCE THE TOTAL RETURN FIGURES FOR ALL PERIODS SHOWN. The accompanying notes are an integral part of the financial statements. 17 MML MONEY MARKET FUND - PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- SHORT-TERM INVESTMENTS -- 100.2% Commercial Paper -- 47.5% American Honda Finance Corp. 1.030% 01/28/2004 $ 3,100,000 $ 3,097,605 Anheuser-Busch Cos., Inc. 1.010% 02/06/2004 3,525,000 3,521,440 Bemis Co., Inc. 1.060% 01/14/2004 3,600,000 3,598,622 BP Amoco Capital PLC 1.040% 02/09/2004 910,000 908,975 BP Amoco Capital PLC 1.040% 03/02/2004 2,630,000 2,625,366 CIT Group, Inc. 1.090% 01/16/2004 2,040,000 2,039,074 Clorox Co. 1.020% 01/23/2004 3,325,000 3,322,927 The Coca-Cola Co. 1.030% 02/13/2004 1,720,000 1,717,884 Dow Jones & Co., Inc.+ 1.060% 02/17/2004 3,600,000 3,595,018 Equitable Resources, Inc.+ 1.050% 01/26/2004 2,800,000 2,797,958 Equitable Resources, Inc.+ 1.060% 01/08/2004 675,000 674,861 Florida Power & Light Co. 1.050% 03/03/2004 3,500,000 3,493,671 Gannett Co. 1.020% 01/27/2004 2,230,000 2,228,357 Gannett Co. 1.030% 01/12/2004 1,015,000 1,014,681 General Electric Capital Corp. 1.050% 05/07/2004 3,310,000 3,297,739 Goldman Sachs Group, Inc. 1.140% 05/27/2004 3,500,000 3,483,707 Household Finance Corp. 1.100% 02/02/2004 3,050,000 3,047,018 Kimberly-Clark Worldwide+ 1.020% 01/13/2004 3,425,000 3,423,836 Nestle Capital Corp.+ 1.020% 01/22/2004 2,115,000 2,113,742 Nestle Capital Corp.+ 1.040% 01/06/2004 1,600,000 1,599,769 Northern Illinois Gas Co. 1.100% 03/02/2004 1,830,000 1,826,589 Paccar Financial Corp. 1.050% 03/18/2004 2,450,000 2,444,498 Paccar Financial Corp. 1.050% 02/03/2004 $ 1,080,000 $ 1,078,961 Pfizer, Inc.+ 1.010% 01/20/2004 3,070,000 3,068,364 Pfizer, Inc.+ 1.030% 01/20/2004 325,000 324,823 Toyota Motor Credit Corp.+ 1.040% 01/30/2004 3,385,000 3,382,164 Verizon Network Funding 1.030% 02/04/2004 3,500,000 3,496,595 ------------- 67,224,244 ------------- DISCOUNT NOTES -- 5.5% Federal Farm Credit Bank 0.990% 03/01/2004 3,775,000 3,768,771 Federal Home Loan Bank 1.020% 06/15/2004 1,390,000 1,383,462 Federal Home Loan Bank 1.120% 01/22/2004 1,430,000 1,429,066 Federal Home Loan Mortgage Corp. 1.130% 01/15/2004 1,190,000 1,189,476 ------------- 7,770,775 ------------- U.S. TREASURY BILLS -- 47.2% U.S. Treasury Bill 0.850% 03/18/2004 1,265,000 1,262,703 U.S. Treasury Bill 0.865% 01/29/2004 1,745,000 1,743,826 U.S. Treasury Bill 0.900% 03/11/2004 1,825,000 1,821,806 U.S. Treasury Bill 0.905% 01/15/2004 5,700,000 5,697,994 U.S. Treasury Bill 0.915% 02/26/2004 2,950,000 2,945,801 U.S. Treasury Bill 0.915% 05/20/2004 2,290,000 2,281,851 U.S. Treasury Bill 0.920% 06/03/2004 2,680,000 2,669,453 U.S. Treasury Bill 0.925% 04/15/2004 4,140,000 4,128,831 U.S. Treasury Bill 0.930% 03/11/2004 1,900,000 1,896,564 U.S. Treasury Bill 0.940% 03/04/2004 2,380,000 2,376,085 U.S. Treasury Bill 0.945% 02/05/2004 3,890,000 3,886,426 U.S. Treasury Bill 0.953% 02/19/2004 3,450,000 3,445,527 U.S. Treasury Bill 0.955% 03/25/2004 $ 1,620,000 $ 1,616,390 U.S. Treasury Bill 0.960% 01/29/2004 3,075,000 3,072,704 U.S. Treasury Bill 0.965% 05/06/2004 2,790,000 2,780,577 U.S. Treasury Bill 0.965% 06/24/2004 1,610,000 1,602,448 U.S. Treasury Bill 0.975% 01/15/2004 1,520,000 1,519,424 U.S. Treasury Bill 0.975% 04/01/2004 2,810,000 2,803,074 U.S. Treasury Bill 0.977% 01/02/2004 2,875,000 2,874,921 U.S. Treasury Bill 0.980% 04/08/2004 3,495,000 3,485,676 U.S. Treasury Bill 0.987% 04/29/2004 2,920,000 2,910,473 U.S. Treasury Bill 0.990% 01/08/2004 2,840,000 2,839,453 U.S. Treasury Bill 0.990% 03/18/2004 1,150,000 1,147,565 U.S. Treasury Bill 1.003% 04/15/2004 1,225,000 1,221,418 U.S. Treasury Bill 1.005% 04/22/2004 2,535,000 2,527,074 U.S. Treasury Bill 1.010% 02/12/2004 2,365,000 2,362,213 ------------- 66,920,277 ------------- TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST)* 141,915,296 ------------- TOTAL INVESTMENTS -- 100.2% OTHER ASSETS/ (LIABILITIES) -- (0.2%) (293,785) ------------- NET ASSETS -- 100.0% $ 141,621,511 =============
NOTES TO PORTFOLIO OF INVESTMENTS * Aggregate cost for Federal tax purposes. (NOTE 7). + 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 December 31, 2003 these securities amounted to a value of $20,980,535 or 14.8% of net assets. The accompanying notes are an integral part of the financial statements. 18 MML MANAGED BOND FUND - PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
NUMBER OF MARKET SHARES VALUE ------------- ------------- EQUITIES -- 0.4% AUTOMOTIVE & PARTS General Motors Corp. Series B Convertible Preferred 50,000 $ 1,343,500 ------------- TOTAL EQUITIES (COST $1,250,000) 1,343,500 ------------- PRINCIPAL AMOUNT ------------- BONDS & NOTES -- 94.2% ASSET BACKED SECURITIES -- 4.0% Capital Auto Receivables Asset Trust Series 2003-1, Class A2A 2.270% 01/17/2006 $ 1,375,000 1,384,883 Chase Mortgage Finance Co. Series 2003-S11, Class 1A-1 5.000% 10/25/2033 3,074,477 2,999,346 Conseco Finance Securitizations Corp. Series 2001-1, Class A4 6.210% 07/01/2032 925,000 937,896 Ford Credit Auto Owner Trust Series 2003-A, Class A3A 2.200% 07/17/2006 1,475,000 1,484,219 Metlife Capital Equipment Loan Trust Series 1997-A, Class A 6.850% 05/20/2008 143,665 144,989 MMCA Automobile Trust Series 2002-3, Class A3 2.970% 03/15/2007 1,875,000 1,874,707 National City Auto Receivables Trust Series 2002-A, Class A4 4.830% 08/15/2009 3,000,000 3,131,250 New Century Home Equity Loan Trust Series 1997-NC5, Class A6 6.700% 10/25/2028 2,768 2,849 PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- Oakwood Mortgage Investors, Inc. Series 2001-C, Class A2 5.920% 09/15/2017 $ 319,299 $ 238,778 Option One Mortgage Securities Corp. Trust Series 2002-2A, Class CFTS+ 8.830% 06/26/2032 7,123 7,134 Railcar Trust Series 1992-1, Class A 7.750% 06/01/2004 147,160 149,643 Travelers Funding Limited Series 1A, Class A1+ 6.300% 02/18/2014 1,204,754 1,264,992 Vanderbilt Mortgage and Finance, Inc. Series 2002-C, Class A2 4.230% 02/07/2015 1,475,000 1,503,578 ------------- TOTAL ASSET BACKED SECURITIES (COST $15,099,373) 15,124,264 ------------- CORPORATE DEBT -- 52.2% Albertson's, Inc. 7.750% 06/15/2026 1,000,000 1,115,933 Alcan Aluminum Limited 6.250% 11/01/2008 800,000 883,670 American General Finance Corp. 5.875% 07/14/2006 1,000,000 1,079,129 American Honda Finance Corp.+ 3.850% 11/06/2008 850,000 855,885 Anheuser-Busch Cos., Inc. 5.050% 10/15/2016 850,000 844,402 Anheuser-Busch Cos., Inc. 6.500% 02/01/2043 965,000 1,048,245 Aramark Services, Inc. 8.150% 05/01/2005 1,200,000 1,284,194 Arrow Electronics, Inc.* 8.700% 10/01/2005 660,000 721,632 Avery-Dennison Corp. 6.760% 04/15/2005 1,200,000 1,274,125 Avnet, Inc. 8.000% 11/15/2006 205,000 221,913 Bank of America Corp. 3.250% 08/15/2008 500,000 493,925 Barrick Gold Corp. 7.500% 05/01/2007 2,000,000 2,275,980 BHP Finance (USA) Limited* 6.420% 03/01/2026 $ 2,000,000 $ 2,137,246 Boeing Capital Corp. 7.100% 09/27/2005 555,000 600,226 Bombardier Capital, Inc.+ 7.500% 08/15/2004 1,000,000 1,036,250 BP Capital Markets PLC 2.750% 12/29/2006 2,500,000 2,503,910 Brascan Corp. 7.375% 03/01/2033 1,000,000 1,109,116 British Telecom PLC 8.875% 12/15/2030 1,200,000 1,569,125 Buckeye Partners LP 4.625% 07/15/2013 500,000 480,790 Cabot Corp.+ 5.250% 09/01/2013 525,000 520,535 Capitol Records, Inc.+ 8.375% 08/15/2009 2,000,000 2,101,514 Carolina Power & Light Co. 6.125% 09/15/2033 800,000 822,238 CarrAmerica Realty Corp. 6.625% 03/01/2005 450,000 470,944 Cendant Corp. 6.875% 08/15/2006 700,000 767,999 Cendant Corp. 7.375% 01/15/2013 900,000 1,031,670 Certegy, Inc. 4.750% 09/15/2008 270,000 276,800 Champion International Corp. 6.400% 02/15/2026 1,500,000 1,632,381 Chevron Phillips Chemical Co. LLC 5.375% 06/15/2007 750,000 798,502 Cinergy Corp. 6.250% 09/01/2004 1,000,000 1,025,799 Cingular Wireless 5.625% 12/15/2006 200,000 214,532 CIT Group, Inc. 4.125% 02/21/2006 1,400,000 1,448,731 CIT Group, Inc. 7.375% 04/02/2007 600,000 677,694 Citigroup, Inc. 6.750% 12/01/2005 2,000,000 2,172,772 Clear Channel Communications, Inc. 6.875% 06/15/2018 500,000 556,590
The accompanying notes are an integral part of the financial statements. 19
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- CNF, Inc. 8.875% 05/01/2010 $ 600,000 $ 641,335 Colonial Pipeline Co.+ 7.630% 04/15/2032 500,000 611,852 Comcast Cable Communications, Inc. 8.375% 05/01/2007 1,250,000 1,449,224 Comcast Corp. 6.500% 01/15/2015 500,000 542,510 ConAgra Foods, Inc. 7.000% 10/01/2028 1,250,000 1,373,819 ConAgra Foods, Inc. 7.500% 09/15/2005 1,000,000 1,086,455 Conoco, Inc. 6.350% 04/15/2009 500,000 560,918 Consolidated Natural Gas Co. Series C 6.250% 11/01/2011 650,000 718,019 Cooper Industries Limited 5.250% 07/01/2007 1,500,000 1,603,760 Countrywide Home Loans, Inc. 3.500% 12/19/2005 750,000 770,893 Countrywide Home Loans, Inc. 5.500% 02/01/2007 800,000 857,196 Cox Communications, Inc. 6.750% 03/15/2011 475,000 538,135 Cox Enterprises, Inc.+ 4.375% 05/01/2008 1,250,000 1,269,852 Crane Co. 5.500% 09/15/2013 250,000 255,821 CRH America, Inc. 6.400% 10/15/2033 400,000 409,091 CSX Corp.* 7.250% 05/01/2027 2,000,000 2,240,160 DaimlerChrysler NA Holding Corp. 4.050% 06/04/2008 500,000 496,596 DaimlerChrysler NA Holding Corp. 6.900% 09/01/2004 1,280,000 1,320,412 DaimlerChrysler NA Holding Corp. 7.300% 01/15/2012 970,000 1,080,044 Deutsche Telekom International Finance BV 5.250% 07/22/2013 450,000 454,599 Deutsche Telekom International Finance BV 8.250% 06/15/2005 1,000,000 1,084,755 Dominion Resources, Inc. 2.800% 02/15/2005 $ 900,000 $ 909,278 Dominion Resources, Inc. 7.820% 09/15/2004 1,000,000 1,043,598 Donnelley (R.R.) & Sons Co. 6.625% 04/15/2029 1,000,000 1,036,830 Dover Corp. 6.250% 06/01/2008 750,000 827,656 DPL, Inc. 8.250% 03/01/2007 1,000,000 1,090,000 Duke Energy Field Services Corp. 7.875% 08/16/2010 800,000 937,246 Ecolab, Inc. 6.875% 02/01/2011 1,100,000 1,233,873 Electronic Data Systems Corp. Series B 6.000% 08/01/2013 300,000 294,790 Emerald Investment Grade CBO Limited+ 1.967% 05/24/2011 984,196 934,986 Enbridge Energy Partners LP 4.750% 06/01/2013 500,000 482,941 Entergy Gulf States, Inc.+ 5.250% 08/01/2015 2,400,000 2,317,500 Enterprise Products Operating LP 7.500% 02/01/2011 1,175,000 1,313,080 Equifax, Inc. 4.950% 11/01/2007 500,000 522,958 ERAC USA Finance Co.+ 6.750% 05/15/2007 2,000,000 2,204,750 Exelon Generation Co. LLC 6.950% 06/15/2011 425,000 477,275 FBG Finance Limited+ 7.875% 06/01/2016 1,250,000 1,564,140 First Industrial LP 7.000% 12/01/2006 1,000,000 1,093,801 Fiserv, Inc. 4.000% 04/15/2008 650,000 646,938 Ford Motor Co. 6.375% 02/01/2029 1,420,000 1,266,816 Ford Motor Co. 6.625% 02/15/2028 1,296,000 1,193,196 Ford Motor Credit Co. 5.625% 10/01/2008 400,000 410,637 Ford Motor Credit Co. 7.000% 10/01/2013 950,000 1,001,945 Ford Motor Credit Co. 7.375% 10/28/2009 $ 3,000,000 $ 3,294,483 France Telecom SA 9.750% 03/01/2031 380,000 504,897 Franklin Resources, Inc. 3.700% 04/15/2008 960,000 954,791 General American Transportation Corp. 6.750% 03/01/2006 1,010,000 1,050,166 General Electric Co. 5.000% 02/01/2013 1,650,000 1,668,703 General Mills, Inc. 2.625% 10/24/2006 4,000,000 3,978,052 General Mills, Inc. 8.900% 06/15/2006 1,000,000 1,151,067 General Motors Acceptance Corp. 6.150% 04/05/2007 1,000,000 1,071,759 General Motors Corp. 7.200% 01/15/2011 1,600,000 1,759,178 General Motors Corp. 8.375% 07/15/2033 730,000 847,393 Goodrich (B.F.) Co. 7.500% 04/15/2008 900,000 1,024,849 The Goodyear Tire & Rubber Co. 8.500% 03/15/2007 535,000 525,637 Hershey Foods Corp.* 7.200% 08/15/2027 1,250,000 1,459,064 Household Finance Corp. 4.125% 12/15/2008 850,000 857,433 Household Finance Corp. 6.375% 10/15/2011 500,000 550,592 Household Finance Corp. 6.375% 11/27/2012 1,825,000 2,002,124 Humana, Inc. 7.250% 08/01/2006 995,000 1,087,155 ICI Wilmington, Inc. 7.050% 09/15/2007 550,000 608,559 Idex Corp. 6.875% 02/15/2008 775,000 838,163 Inco Limited 5.700% 10/15/2015 650,000 656,574 International Game Technology 8.375% 05/15/2009 675,000 808,014 International Paper Co. 5.500% 01/15/2014 600,000 602,229 Interpool, Inc. 7.350% 08/01/2007 500,000 480,625
The accompanying notes are an integral part of the financial statements. 20
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- Jefferies Group, Inc. 7.500% 08/15/2007 $ 300,000 $ 337,226 Jefferies Group, Inc. 7.750% 03/15/2012 715,000 799,860 Jet Equipment Trust Series 1995-A+ 8.235% 11/01/2012 1,558,063 841,354 JP Morgan Chase & Co. 3.125% 12/11/2006 1,000,000 1,008,137 Kern River Funding Corp.+ 4.893% 04/30/2018 1,073,129 1,067,956 KeySpan Gas East Corp. Series MTNA 6.900% 01/15/2008 1,105,000 1,243,997 Kimco Realty Corp. Series MTNB 7.860% 11/01/2007 1,100,000 1,269,531 Kinder Morgan Energy Partners LP 5.350% 08/15/2007 1,100,000 1,178,550 The Kroger Co. 6.750% 04/15/2012 1,000,000 1,108,020 The Kroger Co. 7.000% 05/01/2018 500,000 559,328 Lasmo (USA), Inc. 6.750% 12/15/2007 2,000,000 2,243,198 Leucadia National Corp.* 7.750% 08/15/2013 2,000,000 2,090,000 Liberty Media Corp. 3.500% 09/25/2006 2,600,000 2,612,992 Liberty Media Corp. 8.250% 02/01/2030 1,000,000 1,196,521 Lockheed Martin Corp. 8.500% 12/01/2029 925,000 1,212,095 Marriott International, Inc. Series E 7.000% 01/15/2008 1,445,000 1,609,863 Masco Corp. 6.750% 03/15/2006 1,230,000 1,338,919 Meritor Automotive, Inc. 6.800% 02/15/2009 1,000,000 1,050,000 MGM Grand, Inc. 6.950% 02/01/2005 750,000 780,000 MidAmerican Energy Holdings Co. 3.500% 05/15/2008 1,300,000 1,278,062 Miller Brewing Co.+ 5.500% 08/15/2013 700,000 715,150 Millipore Corp. 7.500% 04/01/2007 1,000,000 1,090,000 Mobil Corp.* 8.625% 08/15/2021 $ 1,000,000 $ 1,338,544 Mohawk Industries, Inc. Series D 7.200% 04/15/2012 500,000 567,940 Morgan Stanley Dean Witter & Co. 5.625% 01/20/2004 1,300,000 1,302,262 Motorola, Inc. 6.750% 02/01/2006 500,000 538,643 National Rural Utilities Cooperative Finance Corp. 4.375% 10/01/2010 500,000 502,057 National Rural Utilities Cooperative Finance Corp. 8.000% 03/01/2032 1,350,000 1,681,416 Newell Rubbermaid, Inc. 4.000% 05/01/2010 450,000 435,401 News America Holdings, Inc. 9.250% 02/01/2013 2,000,000 2,580,006 Nisource Finance Corp. 3.200% 11/01/2006 570,000 574,603 Norfolk Southern Corp. 7.050% 05/01/2037 1,000,000 1,121,818 Norske Skogindustrier ASA+ 6.125% 10/15/2015 835,000 845,530 Nortel Networks Limited 6.125% 02/15/2006 380,000 384,750 Oak Hill Securities Fund II+ 8.920% 10/15/2006 700,000 743,149 Park Place Entertainment Corp. 8.500% 11/15/2006 1,000,000 1,107,500 Piedmont Natural Gas Co. Series E 6.000% 12/19/2033 475,000 469,799 Precision Castparts Corp.+ 5.600% 12/15/2013 1,315,000 1,322,886 Progress Energy, Inc. 6.550% 03/01/2004 775,000 780,781 PSEG Power LLC 5.500% 12/01/2015 725,000 726,025 Public Service Co. of Colorado Series 15 5.500% 04/01/2014 1,100,000 1,143,736 Qwest Capital Funding, Inc. 7.750% 02/15/2031 $ 500,000 $ 460,000 Qwest Corp.+ 9.125% 03/15/2012 550,000 631,125 Reliant Energy Resources Corp. Series B 8.125% 07/15/2005 1,235,000 1,319,026 Republic Services, Inc. 7.125% 05/15/2009 1,000,000 1,148,923 The Rouse Co. 5.375% 11/26/2013 600,000 596,857 Ryder System, Inc. 6.600% 11/15/2005 750,000 798,091 Safeway, Inc. 2.500% 11/01/2005 1,900,000 1,881,600 Sealed Air Corp.+ 5.625% 07/15/2013 950,000 972,126 Simon Property Group LP 7.375% 01/20/2006 1,000,000 1,098,186 SLM Corp. 5.000% 10/01/2013 2,850,000 2,831,848 Sonoco Products Co. 6.500% 11/15/2013 1,500,000 1,653,672 Sony Capital Corp.+ 4.950% 11/01/2006 1,500,000 1,592,013 SP PowerAssets Limited+ 5.000% 10/22/2013 500,000 502,657 Sprint Capital Corp. 6.900% 05/01/2019 750,000 766,154 Sprint Capital Corp. 8.375% 03/15/2012 825,000 963,435 Steelcase, Inc. 6.375% 11/15/2006 375,000 392,153 SuperValu, Inc. 7.500% 05/15/2012 400,000 454,381 SuperValu, Inc.* 7.875% 08/01/2009 1,500,000 1,749,666 TCI Communications, Inc. 6.875% 02/15/2006 350,000 380,011 Temple-Inland, Inc. Series MTND 8.125% 12/15/2006 600,000 665,402 Tenet Healthcare Corp. 6.375% 12/01/2011 950,000 912,000 Textron Financial Corp. Series E 2.690% 10/03/2006 1,205,000 1,196,886 Thomas & Betts Corp. 8.250% 01/15/2004 1,500,000 1,500,000
The accompanying notes are an integral part of the financial statements. 21
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- The Thomson Corp. 6.200% 01/05/2012 $ 650,000 $ 713,783 Time Warner Companies, Inc. 7.570% 02/01/2024 500,000 565,432 Timken Co. Series A 6.750% 08/21/2006 600,000 613,589 Toro Co. 7.800% 06/15/2027 850,000 937,150 Toyota Motor Credit Corp. 4.350% 12/15/2010 1,650,000 1,672,514 TransAlta Corp. 5.750% 12/15/2013 1,200,000 1,205,993 Tri-State Generation & Transmission Association Series 2003, Class A+ 6.040% 01/31/2018 650,000 667,706 Tri-State Generation & Transmission Association Series 2003, Class B+ 7.144% 07/31/2033 500,000 532,105 Tyco International Group SA 6.375% 02/15/2006 1,100,000 1,171,500 Tyco International Group SA 6.375% 10/15/2011 275,000 293,906 Union Tank Car Co. 6.790% 05/01/2010 2,000,000 2,237,322 United Air Lines, Inc. Series 91B** ++ 10.110% 02/19/2006 280,959 91,663 US Airways, Inc. Cl. B** ++ 7.500% 04/15/2008 869,681 - USA Interactive 7.000% 01/15/2013 850,000 937,191 Verizon Global Funding Corp. 7.750% 12/01/2030 850,000 998,504 Verizon New England, Inc. 6.500% 09/15/2011 730,000 804,381 VF Corp.+ 6.000% 10/15/2033 375,000 370,852 Vodafone Group PLC 5.375% 01/30/2015 350,000 353,242 Vulcan Materials Co. 6.000% 04/01/2009 800,000 870,221 The Walt Disney Co. 6.750% 03/30/2006 800,000 870,117 Washington Mutual, Inc. 2.400% 11/03/2005 1,900,000 1,904,815 Weyerhaeuser Co. 5.500% 03/15/2005 1,100,000 1,145,162 Weyerhaeuser Co. 5.950% 11/01/2008 $ 1,000,000 $ 1,074,884 Williams Gas Pipelines Central, Inc.+ 7.375% 11/15/2006 950,000 1,035,500 WorldCom, Inc.** ++ 6.500% 05/15/2004 1,560,000 522,600 WorldCom, Inc.** ++ 8.250% 05/15/2031 425,000 142,375 WPP Finance (USA) Corp. 6.625% 07/15/2005 1,100,000 1,144,928 ------------- TOTAL CORPORATE DEBT (Cost $190,210,929) 198,146,836 ------------- MUNICIPAL OBLIGATIONS -- 0.5% GENERAL OBLIGATIONS Illinois State Taxable Pension 5.100% 06/01/2033 2,100,000 1,930,887 ------------- TOTAL MUNICIPAL OBLIGATIONS (Cost $2,100,000) 1,930,887 ------------- NON-U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.4% Asset Securitization Corp. Series 1995-MD4, Class A1 7.100% 08/13/2029 537,210 575,798 CS First Boston Mortgage Securities Corp. Series 1998-C2, Class A1 5.960% 11/11/2030 582,371 618,818 CS First Boston Mortgage Securities Corp. Series 2002-H1N, Class A+ 8.000% 08/27/2032 48,992 48,992 GE Capital Commercial Mortgage Corp. Series 2002-1A, Class A1 5.033% 12/10/2035 758,161 792,632 GMAC Mortgage Corp. Loan Trust Series 2001-J5, Class A7 6.750% 11/25/2031 1,408,609 1,411,550 GSR Mortgage Loan Trust Series 2002-8F, Class 3AA1 6.500% 09/25/2032 372,370 375,239 MASTR Asset Securitization Trust Series 2002-6, Class 6A1 6.500% 10/25/2032 437,114 450,070 Merrill Lynch Mortgage Investors, Inc. Series 1998-C1, Class A1 6.310% 11/15/2026 $ 673,980 $ 693,700 Residential Accredit Loans, Inc. Series 2000-QS8, Class A4 8.000% 07/25/2030 572,140 574,540 Salomon Brothers Mortgage Securities Series 1997-TZH, Class B+ 7.491% 03/25/2022 1,250,000 1,328,662 Salomon Brothers Mortgage Securities Series 2001-MMA, Class A1+ 5.323% 02/18/2034 1,427,310 1,480,266 Starwood Commercial Mortgage Trust Series 1999-C1A, Class B+ 6.920% 02/03/2014 1,000,000 1,127,087 Structured Asset Securities Corp. Series 1998-ALS2, Class 1A 6.750% 03/25/2029 125,778 127,557 Structured Asset Securities Corp. Series 2003-30, Class 1A1 5.500% 10/25/2033 2,552,037 2,582,691 Vendee Mortgage Trust Series 1992-1, Class 2Z 7.750% 05/15/2022 899,171 968,175 Washington Mutual, Inc. Series 2003-S11, Class A1 5.000% 11/25/2033 3,733,641 3,642,446 ------------- TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $16,546,515) 16,798,223 ------------- SOVEREIGN DEBT OBLIGATIONS 0.3% Chile Government International Bond 5.500% 01/15/2013 600,000 617,100 United Mexican States 8.300% 08/15/2031 500,000 563,750 ------------- TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,119,865) 1,180,850 -------------
The accompanying notes are an integral part of the financial statements. 22
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 25.3% FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 2.9% COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4% FHLMC Series 2178, Class PB 7.000% 08/15/2029 $ 1,200,000 $ 1,282,922 FHLMC Series W067, Class A 6.420% 12/01/2005 317,251 339,781 ------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS 1,622,703 ------------- PASS-THROUGH SECURITIES -- 2.5% FHLMC 5.500% 11/01/2031 1,810,923 1,839,078 FHLMC 6.000% 09/01/2016- 02/01/2018 1,159,868 1,220,524 FHLMC 6.500% 09/01/2016- 08/01/2032 5,295,732 5,582,651 FHLMC 7.500% 10/01/2030- 03/01/2031 396,781 426,384 FHLMC 8.000% 03/01/2027 281,291 305,937 FHLMC 9.000% 03/01/2017 19,877 21,785 ------------- TOTAL PASS-THROUGH SECURITIES 9,396,359 ------------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 11,019,062 ------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 16.8% PASS-THROUGH SECURITIES FNMA 4.500% 05/01/2018- 09/01/2018 14,761,372 14,803,382 FNMA 5.000% 03/01/2018- 09/01/2033 16,148,041 16,159,058 FNMA 5.500% 03/01/2033- 05/01/2033 1,443,870 1,465,189 FNMA 6.000% 06/01/2016- 03/01/2033 14,625,136 15,148,493 FNMA 6.420% 11/01/2008 1,245,568 1,376,479 FNMA 6.500% 07/01/2016- 09/01/2032 $ 10,864,223 $ 11,398,723 FNMA 7.000% 03/01/2031- 04/01/2031 794,826 843,074 FNMA 7.500% 08/01/2029- 06/01/2031 673,227 722,405 FNMA 8.000% 11/01/2029- 09/01/2031 1,469,865 1,589,530 FNMA 9.000% 05/01/2009 73,516 79,915 ------------- TOTAL PASS-THROUGH SECURITIES 63,586,248 ------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 5.4% PASS-THROUGH SECURITIES GNMA 5.000% 10/15/2033 8,413,088 8,354,591 GNMA 6.000% 02/15/2029- 08/15/2032 4,325,575 4,508,949 GNMA 6.500% 05/15/2023- 11/15/2028 2,575,073 2,721,905 GNMA 6.625% 11/20/2025- 11/20/2027 88,269 90,857 GNMA 7.000% 09/15/2023- 08/15/2032 2,446,919 2,617,347 GNMA 7.250% 11/20/2021- 01/20/2022 476,855 512,306 GNMA 7.500% 03/15/2017- 06/15/2024 749,338 806,522 GNMA 8.000% 03/15/2004- 04/15/2008 754,950 795,494 ------------- TOTAL PASS-THROUGH SECURITIES 20,407,971 ------------- Other Agencies -- 0.2% PASS-THROUGH SECURITIES New Valley Generation IV 4.687% 01/15/2022 550,000 533,680 ------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $93,994,905) 95,546,961 ------------- U.S. TREASURY OBLIGATIONS -- 7.5% U.S. TREASURY BONDS -- 1.3% U.S. Treasury Bond 6.125% 08/15/2029 $ 4,270,000 $ 4,839,778 ------------- U.S. TREASURY NOTES -- 3.0% U.S. Treasury Note 3.250% 05/31/2004 11,400,000 11,505,094 ------------- U.S. TREASURY STRIPS -- 3.2% U.S. Treasury Strip- Principal Only 0.000% 05/15/2016 21,000,000 11,405,115 U.S. Treasury Strips 0.000% 11/15/2021 1,850,000 703,401 ------------- TOTAL U.S. TREASURY STRIPS 12,108,516 ------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $26,432,317) 28,453,388 ------------- TOTAL BONDS & NOTES (Cost $345,503,904) 357,181,409 ------------- TOTAL LONG TERM INVESTMENTS (Cost $346,753,904) 358,524,909 ------------- SHORT-TERM INVESTMENTS -- 10.4% CASH EQUIVALENTS -- 6.0%*** Bank of Montreal Eurodollar Time Deposit 1.060% 01/15/2004 62,482 62,482 Bank of Montreal Eurodollar Time Deposit 1.060% 02/17/2004 330,144 330,144 Bank of Nova Scotia Eurodollar Time Deposit 1.080% 03/03/2004 990,428 990,428 Bank of Scotland Eurodollar Time Deposit 1.060% 04/02/2004 247,608 247,608 Bank of the West Eurodollar Time Deposit 1.075% 01/14/2004 247,608 247,608 Barclays Eurodollar Time Deposit 1.090% 03/05/2004 825,357 825,357 BNP Paribas Eurodollar Time Deposit 0.970% 01/07/2004 330,143 330,143 Canadian Imperial Bank of Commerce Bank Note 0.990% 05/18/2004 1,650,713 1,650,713
The accompanying notes are an integral part of the financial statements. 23
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- Citigroup Eurodollar Time Deposit 1.080% 01/05/2004 $ 165,071 $ 165,071 Citigroup Eurodollar Time Deposit 1.090% 03/04/2004 660,285 660,285 Citigroup Eurodollar Time Deposit 1.100% 01/22/2004 165,071 165,071 Credit Agricole Indosuez Eurodollar Time Deposit 1.080% 01/06/2004 1,700,235 1,700,235 Dreyfus Cash Management Plus, Inc. Money Market Fund 907,892 907,892 Fannie Mae Discount Note 1.062% 01/02/2004 495,214 495,214 Fleet National Bank Bank Note 1.000% 01/21/2004 825,357 825,357 Freddie Mac Discount Note 1.062% 01/27/2004 658,924 658,924 General Electric Capital Corp. 1.092% 01/05/2004 823,857 823,857 Goldman Sachs Financial Square Prime Obligations Money Market Fund 330,143 330,143 Harris Trust & Savings Bank Eurodollar Time Deposit 1.050% 01/29/2004 181,578 181,578 Merrill Lynch Premier Institutional Money Market Fund 1,135,710 1,135,710 Merrimac Money Market Fund 2,740,184 2,740,184 Morgan Stanley Dean Witter & Co. 1.080% 01/29/2004 858,371 858,371 National Bank of Commerce Bank Note 1.120% 05/19/2004 412,678 412,678 Royal Bank of Canada Eurodollar Time Deposit 1.050% 02/27/2004 412,678 412,678 Royal Bank of Scotland Eurodollar Time Deposit 1.080% 01/09/2004 $ 330,143 $ 330,143 Royal Bank of Scotland Eurodollar Time Deposit 1.080% 01/15/2004 825,357 825,357 Royal Bank of Scotland Eurodollar Time Deposit 1.090% 03/03/2004 412,678 412,678 Southtrust Bank Eurodollar Time Deposit 1.090% 02/17/2004 495,214 495,214 Svenska Handlesbanken Eurodollar Time Deposit 1.080% 02/04/2004 412,678 412,678 Svenska Handlesbanken Eurodollar Time Deposit 1.085% 01/15/2004 412,678 412,678 Svenska Handlesbanken Eurodollar Time Deposit 1.090% 02/24/2004 825,357 825,357 Toronto Dominion Bank Eurodollar Time Deposit 1.100% 01/08/2004 165,071 165,071 Wells Fargo Eurodollar Time Deposit 1.070% 01/20/2004 1,980,856 1,980,856 ------------- 23,017,763 ------------- COMMERCIAL PAPER -- 4.4% Countrywide Home Loans, Inc.* 1.120% 01/08/2004 2,235,000 2,234,513 COX Communications, Inc.*+ 1.170% 01/05/2004 3,825,000 3,824,503 Kellogg Co.*+ 1.150% 01/06/2004 2,890,000 2,889,538 Kellogg Co.*+ 1.150% 01/15/2004 1,500,000 1,499,329 Praxair, Inc.* 1.080% 01/14/2004 2,135,000 2,134,167 Time Warner, Inc.* 1.130% 01/07/2004 2,740,000 2,739,484 Washington Mutual Finance* 1.001% 01/02/2004 $ 1,260,000 $ 1,259,965 ------------- 16,581,499 ------------- TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) 39,599,262 ------------- TOTAL INVESTMENTS -- 105.0% (COST $386,353,166)**** 398,124,171 OTHER ASSETS/ (LIABILITIES) -- (5.0%) (19,133,259) ------------- NET ASSETS -- 100.0% $ 378,990,912 =============
NOTES TO PORTFOLIO OF INVESTMENTS * All or a portion of this security is segregated to cover forward purchase commitments. (NOTE 2). ** Non-income producing security. *** Represents investments of security lending collateral. (NOTE 2). **** Aggregate cost for Federal tax purposes. (NOTE 7). + 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 December 31, 2003 these securities amounted to a value of $38,727,876 or 10.2% of net assets. ++ Security is currently in default. The accompanying notes are an integral part of the financial statements. 24 MML BLEND FUND - PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
NUMBER OF MARKET SHARES VALUE ------------- ------------- EQUITIES -- 64.2% ADVERTISING -- 0.1% Monster Worldwide, Inc.* 4,200 $ 92,232 Omnicom Group, Inc. 10,000 873,300 ------------- 965,532 ------------- AEROSPACE & DEFENSE -- 1.2% Boeing Co. 79,200 3,337,488 General Dynamics Corp. 13,500 1,220,265 Goodrich Corp. 70,100 2,081,269 Honeywell International, Inc. 57,487 1,921,790 Lockheed Martin Corp. 6,900 354,660 Northrop Grumman Corp. 12,400 1,185,440 Raytheon Co. 2,800 84,112 Rockwell Collins, Inc. 12,100 363,363 United Technologies Corp. 32,000 3,032,640 ------------- 13,581,027 ------------- AIR TRANSPORTATION -- 0.1% Delta Air Lines, Inc. 8,300 98,023 Southwest Airlines Co. 47,600 768,264 ------------- 866,287 ------------- APPAREL, TEXTILES & SHOES -- 0.4% The Gap, Inc. 60,600 1,406,526 Jones Apparel Group, Inc. 10,200 359,346 Limited Brands 33,900 611,217 Liz Claiborne, Inc. 8,800 312,048 Nike, Inc. Cl. B 18,100 1,239,126 Nordstrom, Inc. 9,100 312,130 Reebok International Limited 4,868 191,410 VF Corp. 7,400 319,976 ------------- 4,751,779 ------------- AUTOMOTIVE & PARTS -- 0.7% AutoNation, Inc.* 100,600 1,848,022 Cooper Tire & Rubber Co. 3,800 81,244 Dana Corp. 9,900 181,665 Delphi Corp. 38,300 391,043 Ford Motor Co. 144,909 2,318,544 General Motors Corp. 38,400 2,050,560 Paccar, Inc. 7,750 659,680 ------------- 7,530,758 ------------- BANKING, SAVINGS & LOANS -- 8.1% AmSouth Bancorp. 23,500 575,750 Bank of America Corp. 135,800 10,922,394 Bank One Corp. 77,100 3,514,989 BB&T Corp. 8,500 328,440 Capital One Financial Corp. 15,600 956,124 Charter One Financial, Inc. 15,260 527,233 Citigroup, Inc. 403,485 $ 19,585,162 Comerica, Inc. 11,400 639,084 Fannie Mae 103,400 7,761,204 Fifth Third Bancorp 6,000 354,600 First Tennessee National Corp. 8,300 366,030 FleetBoston Financial Corp. 71,800 3,134,070 Freddie Mac 79,700 4,648,104 Golden West Financial Corp. 14,300 1,475,617 J.P. Morgan Chase & Co. 204,182 7,499,605 KeyCorp 17,700 518,964 Marshall and Ilsley Corp. 15,700 600,525 Mellon Financial Corp. 17,400 558,714 National City Corp. 41,000 1,391,540 North Fork Bancorporation, Inc. 6,200 250,914 Northern Trust Corp. 14,800 687,016 Providian Financial Corp.* 19,900 231,636 Regions Financial Corp. 14,600 543,120 SLM Corp. 30,700 1,156,776 SouthTrust Corp. 22,000 720,060 State Street Corp. 22,000 1,145,760 SunTrust Banks, Inc. 3,600 257,400 Synovus Financial Corp. 400 11,568 U.S. Bancorp 131,400 3,913,092 Union Planters Corp. 1,100 34,639 Wachovia Corp. 133,100 6,201,129 Washington Mutual, Inc. 62,150 2,493,458 Wells Fargo & Co. 77,800 4,581,642 Zions Bancorp 6,700 410,911 ------------- 87,997,270 ------------- BEVERAGES -- 1.5% Anheuser-Busch Companies, Inc. 40,100 2,112,468 The Coca-Cola Co. 168,500 8,551,375 Coca-Cola Enterprises, Inc. 31,100 680,157 Coors (Adolph) Co. Cl. B 3,000 168,300 The Pepsi Bottling Group, Inc. 18,400 444,912 PepsiCo, Inc. 96,210 4,485,310 ------------- 16,442,522 ------------- BROADCASTING, PUBLISHING & PRINTING -- 1.6% American Greetings Corp. Cl. A* 5,400 118,098 Comcast Corp. Cl. A* 73,972 2,431,460 Dow Jones & Co., Inc. 45,800 2,283,130 Gannett Co., Inc. 12,600 1,123,416 Knight Ridder, Inc. 6,000 464,220 The McGraw-Hill Companies, Inc. 10,100 $ 706,192 Meredith Corp. 3,700 180,597 New York Times Co. Cl. A 11,000 525,690 Time Warner, Inc.* 333,306 5,996,175 Tribune Co. 2,100 108,360 Univision Communications, Inc. Cl. A* 23,700 940,653 Viacom, Inc. Cl. B 62,400 2,769,312 ------------- 17,647,303 ------------- BUILDING MATERIALS & CONSTRUCTION -- 0.3% Louisiana-Pacific Corp.* 58,700 1,049,556 Masco Corp. 31,100 852,451 Vulcan Materials Co. 37,100 1,764,847 ------------- 3,666,854 ------------- CHEMICALS -- 0.7% Air Products & Chemicals, Inc. 500 26,415 Dow Chemical Co. 62,700 2,606,439 Du Pont (E.I.) de Nemours & Co. 23,500 1,078,415 Engelhard Corp. 8,500 254,575 Hercules, Inc.* 8,100 98,820 International Flavors & Fragrances, Inc. 400 13,968 Monsanto Co. 67,500 1,942,650 PPG Industries, Inc. 11,600 742,632 Praxair, Inc. 1,000 38,200 Rohm & Haas Co. 15,100 644,921 ------------- 7,447,035 ------------- COMMERCIAL SERVICES -- 1.3% Apollo Group, Inc. Cl. A* 13,000 884,000 Block (H&R), Inc. 32,300 1,788,451 Cendant Corp.* 119,800 2,667,946 Concord EFS, Inc.* 33,300 494,172 Convergys Corp.* 97,700 1,705,842 Donnelley (R.R.) & Sons Co. 6,600 198,990 Ecolab, Inc. 600 16,422 Equifax, Inc. 7,400 181,300 Fluor Corp. 34,000 1,347,760 Moody's Corp. 26,200 1,586,410 Paychex, Inc. 35,200 1,309,440 PerkinElmer, Inc. 42,900 732,303 Quest Diagnostics, Inc.* 7,200 526,392 Robert Half International, Inc.* 5,900 137,706 Ryder System, Inc. 4,300 146,845 ------------- 13,723,979 -------------
The accompanying notes are an integral part of the financial statements. 25
NUMBER OF MARKET SHARES VALUE ------------- ------------- COMMUNICATIONS -- 1.3% ADC Telecommunications, Inc.* 54,900 $ 163,053 Andrew Corp.* 10,500 120,855 Avaya, Inc.* 33,700 436,078 Citizens Communications Co.* 19,400 240,948 Lucent Technologies, Inc.* 284,000 806,560 Network Appliance, Inc.* 23,400 480,402 Nextel Communications, Inc. Cl. A* 75,000 2,104,500 Qualcomm, Inc. 54,100 2,917,613 SBC Communications, Inc. 226,836 5,913,615 Scientific-Atlanta, Inc. 29,400 802,620 Tellabs, Inc.* 25,400 214,122 ------------- 14,200,366 ------------- COMMUNICATIONS EQUIPMENT -- 0.3% Motorola, Inc. 196,000 2,757,720 ------------- COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.1% Autodesk, Inc. 9,400 231,052 Computer Sciences Corp.* 11,600 513,068 Teradyne, Inc.* 11,700 297,765 Unisys Corp.* 24,600 365,310 ------------- 1,407,195 ------------- COMPUTERS & INFORMATION -- 2.4% Apple Computer, Inc.* 34,100 728,717 Cisco Systems, Inc.* 479,094 11,637,193 Comverse Technology, Inc.* 10,500 184,695 Dell, Inc.* 224,200 7,613,832 EMC Corp.* 185,300 2,394,076 Gateway, Inc.* 22,200 102,120 International Game Technology 25,500 910,350 Jabil Circuit, Inc.* 11,700 331,110 Lexmark International, Inc.* 20,000 1,572,800 Solectron Corp.* 103,800 613,458 Symbol Technologies, Inc. 13,500 228,015 ------------- 26,316,366 ------------- COMPUTERS & OFFICE EQUIPMENT -- 1.6% Electronic Data Systems Corp. 32,700 802,458 Hewlett-Packard Co. 208,362 4,786,075 International Business Machines Corp. 118,100 10,945,508 Pitney Bowes, Inc. 15,500 629,610 ------------- 17,163,651 ------------- CONTAINERS -- 0.2% Ball Corp. 4,600 274,022 Bemis Co., Inc. 3,500 175,000 Pactiv Corp.* 10,700 $ 255,730 Sealed Air Corp.* 15,100 817,514 Temple-Inland, Inc. 15,200 952,584 ------------- 2,474,850 ------------- COSMETICS & PERSONAL CARE -- 1.5% Alberto-Culver Co. Cl. B 4,200 264,936 Avon Products, Inc. 16,200 1,093,338 Colgate-Palmolive Co. 18,300 915,915 The Gillette Co. 70,000 2,571,100 Kimberly-Clark Corp. 34,700 2,050,423 The Procter & Gamble Co. 88,952 8,884,526 ------------- 15,780,238 ------------- DATA PROCESSING & PREPARATION -- 0.5% Automatic Data Processing, Inc. 40,800 1,616,088 Deluxe Corp. 19,700 814,201 First Data Corp. 28,200 1,158,738 Fiserv, Inc.* 12,600 497,826 IMS Health, Inc. 17,700 440,022 NCR Corp.* 21,200 822,560 ------------- 5,349,435 ------------- ELECTRIC UTILITIES -- 1.6% AES Corp.* 25,300 238,832 Ameren Corp. 10,800 496,800 American Electric Power Co. 17,000 518,670 Calpine Corp.* 27,200 130,832 CenterPoint Energy, Inc. 53,400 517,446 Cinergy Corp. 7,300 283,313 Consolidated Edison, Inc. 4,900 210,749 Constellation Energy Group, Inc. 10,900 426,844 Dominion Resources, Inc. 15,400 982,982 DTE Energy Co. 6,900 271,860 Duke Energy Corp. 36,500 746,425 Edison International* 109,200 2,394,756 Entergy Corp. 16,700 954,071 Exelon Corp. 32,100 2,130,156 FirstEnergy Corp. 7,500 264,000 FPL Group, Inc. 12,300 804,666 NiSource, Inc. 18,500 405,890 PG&E Corp.* 27,600 766,452 Pinnacle West Capital Corp. 600 24,012 PPL Corp. 12,500 546,875 Progress Energy, Inc. 10,400 470,704 Public Service Enterprise Group, Inc. 16,700 731,460 Southern Co. 72,300 2,187,075 TXU Corp. 22,000 521,840 ------------- 17,026,710 ------------- ELECTRICAL EQUIPMENT & ELECTRONICS -- 5.0% Advanced Micro Devices, Inc.* 36,600 $ 545,340 Altera Corp.* 26,100 592,470 American Power Conversion Corp. 12,200 298,290 Analog Devices, Inc. 24,900 1,136,685 Applied Micro Circuits Corp.* 23,000 137,540 Broadcom Corp. Cl. A* 20,300 692,027 Emerson Electric Co. 28,400 1,838,900 General Electric Co. 683,900 21,187,222 Intel Corp. 517,700 16,669,940 JDS Uniphase Corp.* 97,600 356,240 Johnson Controls, Inc. 5,900 685,108 Kla-Tencor Corp.* 5,900 346,153 Linear Technology Corp. 21,300 896,091 LSI Logic Corp.* 23,400 207,558 Maxim Integrated Products, Inc. 22,100 1,100,580 Micron Technology, Inc.* 41,600 560,352 Molex, Inc. 12,500 436,125 National Semiconductor Corp.* 16,800 662,088 Novellus Systems, Inc.* 5,500 231,275 PMC-Sierra, Inc.* 12,100 243,815 Qlogic Corp.* 6,100 314,760 Rockwell Automation, Inc. 10,800 384,480 Sanmina-SCI Corp.* 40,200 506,922 Texas Instruments, Inc. 118,100 3,469,778 Thomas & Betts Corp. 4,200 96,138 Xilinx, Inc.* 23,200 898,768 ------------- 54,494,645 ------------- ENERGY -- 4.3% Amerada Hess Corp. 5,700 303,069 Anadarko Petroleum Corp. 21,500 1,096,715 Apache Corp. 10,161 824,057 Burlington Resources, Inc. 12,700 703,326 ChevronTexaco Corp. 99,992 8,638,309 ConocoPhillips 86,154 5,649,118 Devon Energy Corp. 32,300 1,849,498 EOG Resources, Inc. 7,200 332,424 Exxon Mobil Corp. 390,898 16,026,818 Halliburton Co. 41,400 1,076,400 Kerr-McGee Corp. 300 13,947 KeySpan Corp. 10,600 390,080 Kinder Morgan, Inc. 8,700 514,170 Marathon Oil Corp. 27,100 896,739 Nabors Industries Limited* 13,800 572,700 Nicor, Inc. 3,500 119,140 Noble Corp.* 12,600 450,828 Occidental Petroleum Corp. 25,700 1,085,568
The accompanying notes are an integral part of the financial statements. 26
NUMBER OF MARKET SHARES VALUE ------------- ------------- Peoples Energy Corp. 2,700 $ 113,508 Schlumberger Limited 55,100 3,015,072 Sempra Energy 30,600 919,836 Sunoco, Inc. 18,200 930,930 Unocal Corp. 2,900 106,807 The Williams Companies, Inc. 49,100 482,162 Xcel Energy, Inc. 26,800 455,064 ------------- 46,566,285 ------------- ENTERTAINMENT & LEISURE -- 0.4% Brunswick Corp. 5,100 162,333 Harrah's Entertainment, Inc. 9,400 467,838 The Walt Disney Co. 150,900 3,520,497 ------------- 4,150,668 ------------- FINANCIAL SERVICES -- 2.4% American Express Co. 43,900 2,117,297 Apartment Investment & Management Co. Cl. A 6,300 217,350 Bear Stearns Companies, Inc. 17,800 1,423,110 Countrywide Financial Corp. 20,800 1,577,680 Franklin Resources, Inc. 16,600 864,196 The Goldman Sachs Group, Inc. 31,900 3,149,487 Huntington Bancshares, Inc. 17,500 393,750 Janus Capital Group, Inc. 16,300 267,483 Lehman Brothers Holdings, Inc. 26,500 2,046,330 MBNA Corp. 117,350 2,916,148 Merrill Lynch & Co., Inc. 62,900 3,689,085 Morgan Stanley 74,300 4,299,741 PNC Financial Services Group, Inc. 18,400 1,007,032 Price (T. Rowe) Group, Inc. 8,700 412,467 ProLogis Trust 1,900 60,971 The Schwab (Charles) Corp. 92,400 1,094,016 Simon Property Group, Inc. 8,500 393,890 ------------- 25,930,033 ------------- FOODS -- 1.0% Archer-Daniels-Midland Co. 60,535 921,343 Campbell Soup Co. 17,900 479,720 ConAgra Foods, Inc. 23,500 620,165 General Mills, Inc. 10,100 457,530 Heinz (H. J.) Co. 24,200 $ 881,606 Hershey Foods Corp. 9,000 692,910 Kellogg Co. 28,000 1,066,240 The Kroger Co.* 51,600 955,116 McCormick & Co., Inc. 1,000 30,100 Sara Lee Corp. 53,200 1,154,972 Starbucks Corp.* 17,500 578,550 SuperValu, Inc. 8,900 254,451 Sysco Corp. 71,500 2,661,945 Wrigley (Wm.) Jr. Co. 5,600 314,776 ------------- 11,069,424 ------------- FOREST PRODUCTS & PAPER -- 0.4% Boise Cascade Corp. 4,100 134,726 Georgia-Pacific Corp. 41,700 1,278,939 International Paper Co. 19,000 819,090 MeadWestvaco Corp. 13,900 413,525 Plum Creek Timber Co., Inc. 600 18,270 Weyerhaeuser Co. 19,000 1,216,000 ------------- 3,880,550 ------------- HEALTHCARE -- 0.4% Express Scripts, Inc.* 5,000 332,150 Humana, Inc.* 11,200 255,920 Manor Care, Inc. 6,100 210,877 UnitedHealth Group, Inc. 41,200 2,397,016 Wellpoint Health Networks, Inc.* 14,000 1,357,860 ------------- 4,553,823 ------------- HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 0.2% Centex Corp. 3,300 355,245 KB Home 2,700 195,804 Maytag Corp. 4,100 114,185 Pulte Homes, Inc. 13,900 1,301,318 Whirlpool Corp. 4,300 312,395 ------------- 2,278,947 ------------- HOUSEHOLD PRODUCTS -- 0.5% Black & Decker Corp. 31,100 1,533,852 The Clorox Co. 14,900 723,544 Corning, Inc.* 122,000 1,272,460 Fortune Brands, Inc. 7,100 507,579 Newell Rubbermaid, Inc. 8,200 186,714 Sherwin-Williams Co. 25,700 892,818 Snap-On, Inc. 1,900 61,256 The Stanley Works 2,600 98,462 Tupperware Corp. 3,800 65,892 ------------- 5,342,577 ------------- INDUSTRIAL - DIVERSIFIED -- 1.4% 3M Co. 53,400 4,540,602 Cooper Industries Limited Cl. A 7,000 $ 405,510 Danaher Corp. 10,200 935,850 Eaton Corp. 7,400 799,052 Illinois Tool Works, Inc. 21,000 1,762,110 ITT Industries, Inc. 6,300 467,523 Textron, Inc. 39,400 2,248,164 Tyco International Limited 136,331 3,612,772 ------------- 14,771,583 ------------- INFORMATION RETRIEVAL SERVICES -- 0.2% Yahoo!, Inc.* 43,400 1,960,378 ------------- INSURANCE -- 2.9% ACE Limited 18,200 753,844 Aetna, Inc. 10,700 723,106 AFLAC, Inc. 34,500 1,248,210 Allstate Corp. 48,100 2,069,262 Ambac Financial Group, Inc. 7,900 548,181 American International Group, Inc. 131,015 8,683,674 Anthem, Inc.* 9,600 720,000 Aon Corp. 12,900 308,826 Chubb Corp. 12,700 864,870 Cigna Corp. 23,600 1,357,000 Cincinnati Financial Corp. 6,500 272,220 The Hartford Financial Services Group, Inc. 11,000 649,330 Jefferson-Pilot Corp. 9,600 486,240 John Hancock Financial Services, Inc. 19,200 720,000 Lincoln National Corp. 46,800 1,889,316 Loews Corp. 7,800 385,710 Marsh & McLennan Companies, Inc. 5,600 268,184 MBIA, Inc. 13,750 814,413 Metlife, Inc. 72,500 2,441,075 Principal Financial Group, Inc. 30,000 992,100 Progressive Corp. 14,300 1,195,337 Prudential Financial, Inc. 37,300 1,558,021 Safeco Corp. 9,200 358,156 The St. Paul Companies, Inc. 21,000 832,650 Torchmark Corp. 8,200 373,428 Travelers Property Casualty Corp. Cl. B 67,700 1,148,869 UnumProvident Corp. 19,900 313,823 XL Capital Limited Cl. A 700 54,285 ------------- 32,030,130 ------------- LODGING -- 0.2% Hilton Hotels Corp. 27,900 477,927
The accompanying notes are an integral part of the financial statements. 27
NUMBER OF MARKET SHARES VALUE ------------- ------------- Marriott International, Inc. Cl. A 17,300 $ 799,260 Starwood Hotels & Resorts Worldwide, Inc. 14,900 535,953 ------------- 1,813,140 ------------- MACHINERY & COMPONENTS -- 0.3% Baker Hughes, Inc. 500 16,080 Caterpillar, Inc. 200 16,604 Cummins, Inc. 2,800 137,032 Deere & Co. 16,000 1,040,800 Dover Corp. 13,900 552,525 Ingersoll-Rand Co. Cl. A 11,600 787,408 Pall Corp. 8,700 233,421 Parker-Hannifin Corp. 7,500 446,250 ------------- 3,230,120 ------------- MANUFACTURING -- 0.2% American Standard Companies, Inc.* 200 20,140 Applied Materials, Inc.* 113,100 2,539,095 ------------- 2,559,235 ------------- MEDICAL SUPPLIES -- 1.3% Agilent Technologies, Inc.* 41,900 1,225,156 Allergan, Inc. 900 69,129 Applied Biosystems Group- Applera Corp. 14,500 300,295 Bard (C.R.), Inc. 12,900 1,048,125 Bausch & Lomb, Inc. 19,800 1,027,620 Baxter International, Inc. 41,500 1,266,580 Becton, Dickinson & Co. 17,700 728,178 Biomet, Inc. 1,900 69,179 Boston Scientific Corp.* 33,200 1,220,432 Guidant Corp. 38,400 2,311,680 Medtronic, Inc. 57,200 2,780,492 St. Jude Medical, Inc.* 700 42,945 Stryker Corp. 13,800 1,173,138 Tektronix, Inc. 6,300 199,080 Thermo Electron Corp.* 500 12,600 Waters Corp.* 5,100 169,116 Zimmer Holdings, Inc.* 9,800 689,920 ------------- 14,333,665 ------------- METALS & MINING -- 0.3% Alcoa, Inc. 39,000 1,482,000 Crane Co. 4,400 135,256 Freeport-McMoRan Copper & Gold, Inc. Cl. B 7,900 332,827 Newmont Mining Corp. 20,300 986,783 Phelps Dodge Corp.* 4,200 319,578 ------------- 3,256,444 ------------- PHARMACEUTICALS -- 5.7% Abbott Laboratories 108,400 $ 5,051,440 AmerisourceBergen Corp. 12,300 690,645 Amgen, Inc.* 89,508 5,531,594 Bristol-Myers Squibb Co. 134,500 3,846,700 Cardinal Health, Inc. 3,500 214,060 Eli Lilly & Co. 54,400 3,825,952 Genzyme Corp.* 8,700 429,258 Johnson & Johnson 205,920 10,637,827 King Pharmaceuticals, Inc.* 108,200 1,651,132 McKesson Corp. 32,000 1,029,120 Medco Health Solutions, Inc.* 18,379 624,702 Merck & Co., Inc. 155,300 7,174,860 Pfizer, Inc. 460,043 16,253,319 Schering-Plough Corp. 3,700 64,343 Sigma-Aldrich Corp. 5,700 325,926 Watson Pharmaceutical, Inc.* 7,500 345,000 Wyeth 90,800 3,854,460 ------------- 61,550,338 ------------- PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1% Eastman Kodak Co. 22,700 582,709 ------------- PREPACKAGED SOFTWARE -- 3.2% Adobe Systems, Inc. 30,900 1,214,370 BMC Software, Inc.* 17,500 326,375 Citrix Systems, Inc.* 32,000 678,720 Computer Associates International, Inc. 38,800 1,060,792 Compuware Corp.* 15,700 94,828 Electronic Arts, Inc.* 15,600 745,368 Intuit, Inc.* 14,000 740,740 Microsoft Corp. 738,162 20,328,981 Novell, Inc.* 27,100 285,092 Oracle Corp.* 357,260 4,715,832 Peoplesoft, Inc.* 34,100 777,480 Siebel Systems, Inc.* 33,700 467,419 SunGard Data Systems, Inc.* 19,200 532,032 Symantec Corp.* 41,800 1,448,370 Veritas Software Corp.* 41,789 1,552,879 ------------- 34,969,278 ------------- REAL ESTATE -- 0.1% Equity Office Properties Trust 37,800 1,082,970 Equity Residential 18,000 531,180 ------------- 1,614,150 ------------- RESTAURANTS -- 0.4% Darden Restaurants, Inc. 7,350 154,644 McDonald's Corp. 126,200 $ 3,133,546 Wendy's International, Inc. 9,700 380,628 Yum! Brands, Inc.* 21,700 746,480 ------------- 4,415,298 ------------- RETAIL -- 4.1% AutoZone, Inc.* 17,800 1,516,738 Bed Bath & Beyond, Inc.* 19,700 853,995 Best Buy Co., Inc. 32,350 1,689,964 Big Lots, Inc.* 8,800 125,048 Costco Wholesale Corp.* 41,300 1,535,534 CVS Corp. 35,600 1,285,872 Dollar General Corp. 36,000 755,640 Family Dollar Stores, Inc. 12,600 452,088 Federated Department Stores, Inc. 32,900 1,550,577 The Home Depot, Inc. 201,400 7,147,686 J.C. Penney Company, Inc. 18,000 473,040 Lowe's Companies, Inc. 71,000 3,932,690 The May Department Stores Co. 25,900 752,913 RadioShack Corp. 56,500 1,733,420 Sears, Roebuck and Co. 26,900 1,223,681 Staples, Inc.* 32,600 889,980 TJX Companies, Inc. 34,000 749,700 Walgreen Co. 68,000 2,473,840 Wal-Mart Stores, Inc. 290,160 15,392,988 ------------- 44,535,394 ------------- RETAIL - GROCERY -- 0.1% Albertson's, Inc. 24,400 552,660 Winn-Dixie Stores, Inc. 10,600 105,470 ------------- 658,130 ------------- TELEPHONE UTILITIES -- 1.5% Alltel Corp. 13,100 610,198 AT&T Corp. 87,180 1,769,754 BellSouth Corp. 176,700 5,000,610 CenturyTel, Inc. 10,100 329,462 Sprint Corp. (FON Group) 105,600 1,733,952 Sprint Corp. (PCS Group)* 42,400 238,288 Verizon Communications, Inc. 188,068 6,597,425 ------------- 16,279,689 ------------- TOBACCO -- 0.8% Altria Group, Inc. 139,200 7,575,264 Reynolds (R.J.) Tobacco Holdings, Inc. 6,600 383,790 UST, Inc. 6,900 246,261 ------------- 8,205,315 ------------- TOYS, GAMES -- 0.1% Hasbro, Inc. 75,200 1,600,256 -------------
The accompanying notes are an integral part of the financial statements. 28
NUMBER OF MARKET SHARES VALUE ------------- ------------- TRANSPORTATION -- 1.2% Burlington Northern Santa Fe Corp. 22,700 $ 734,345 Carnival Corp. 46,500 1,847,445 CSX Corp. 600 21,564 FedEx Corp. 25,000 1,687,500 Norfolk Southern Corp. 14,300 338,195 Union Pacific Corp. 15,500 1,076,940 United Parcel Service, Inc. Cl. B 100,400 7,484,820 ------------- 13,190,809 ------------- TRAVEL -- 0.0% Sabre Holdings Corp. 4,500 97,155 ------------- TOTAL EQUITIES (COST $531,991,607) 697,017,045 ------------- RIGHTS -- 0.0% Computers & Information Seagate Technology*+ 21,700 - ------------- TOTAL RIGHTS (COST $0) - ------------- PRINCIPAL AMOUNT ------------- BONDS & NOTES -- 28.0% ASSET BACKED SECURITIES -- 0.8% Chase Mortgage Finance Co. Series 2003-S11, Class 1A-1 5.000% 10/25/2033 $ 2,628,182 2,563,957 Conseco Finance Securitizations Corp. Series 2001-1, Class A4 6.210% 07/01/2032 1,900,000 1,926,490 Metlife Capital Equipment Loan Trust Series 1997-A, Class A 6.850% 05/20/2008 359,163 362,474 Option One Mortgage Securities Corp. Trust Series 2002-2A, Class CFTS++ 8.830% 06/26/2032 9,970 9,981 Railcar Trust Series 1992-1, Class A 7.750% 06/01/2004 133,180 135,427 Travelers Funding Limited Series 1A, Class A1++ 6.300% 02/18/2014 2,925,831 3,072,123 PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- Vanderbilt Mortgage and Finance, Inc. Series 2002-C, Class A2 4.230% 02/07/2015 $ 1,250,000 $ 1,274,219 ------------- TOTAL ASSET BACKED SECURITIES (COST $9,124,558) 9,344,671 ------------- CORPORATE DEBT -- 13.9% American General Finance Corp. 5.875% 07/14/2006 775,000 836,325 American Honda Finance Corp.++ 3.850% 11/06/2008 700,000 704,847 Anheuser-Busch Cos., Inc. 5.050% 10/15/2016 725,000 720,225 Anheuser-Busch Cos., Inc. 6.500% 02/01/2043 775,000 841,855 AOL Time Warner, Inc. 5.625% 05/01/2005 2,040,000 2,135,458 Aramark Services, Inc. 8.150% 05/01/2005 750,000 802,621 Arrow Electronics, Inc.** 8.700% 10/01/2005 1,460,000 1,596,338 Avnet, Inc. 8.000% 11/15/2006 545,000 589,962 BP Capital Markets PLC 2.750% 12/29/2006 2,000,000 2,003,128 Buckeye Partners LP 4.625% 07/15/2013 350,000 336,553 Cabot Corp.++ 5.250% 09/01/2013 425,000 421,385 Carolina Power & Light Co. 6.125% 09/15/2033 650,000 668,069 Cendant Corp. 7.375% 01/15/2013 750,000 859,725 Certegy, Inc. 4.750% 09/15/2008 220,000 225,541 Champion International Corp. 6.400% 02/15/2026 1,000,000 1,088,254 Cinergy Corp. 6.250% 09/01/2004 2,000,000 2,051,598 CIT Group, Inc. 7.375% 04/02/2007 900,000 1,016,541 Colonial Pipeline Co.++ 7.630% 04/15/2032 750,000 917,777 Comcast Cable Communications, Inc. 8.375% 05/01/2007 2,500,000 2,898,447 Cox Communications, Inc. 6.750% 03/15/2011 400,000 453,166 Cox Enterprises, Inc.++ 4.375% 05/01/2008 $ 350,000 $ 355,559 Crane Co. 5.500% 09/15/2013 200,000 204,657 CRH America, Inc. 6.400% 10/15/2033 325,000 332,386 CSX Corp. 7.250% 05/01/2027 2,200,000 2,464,176 DaimlerChrysler NA Holding Corp. 4.050% 06/04/2008 2,000,000 1,986,384 Deutsche Telekom International Finance BV 5.250% 07/22/2013 325,000 328,321 Deutsche Telekom International Finance BV 8.250% 06/15/2005 850,000 922,042 Diageo Finance BV 3.000% 12/15/2006 500,000 502,615 Dominion Resources, Inc.** 7.820% 09/15/2004 2,130,000 2,222,864 Donnelley (R.R.) & Sons Co. 6.625% 04/15/2029 1,000,000 1,036,830 Duke Energy Field Services Corp. 7.875% 08/16/2010 1,800,000 2,108,804 Electronic Data Systems Corp. Series B 6.000% 08/01/2013 125,000 122,829 Emerald Investment Grade CBO Limited++ 1.967% 05/24/2011 2,952,588 2,804,958 Enbridge Energy Partners LP 4.750% 06/01/2013 350,000 338,058 Entergy Gulf States, Inc.++ 5.250% 08/01/2015 1,675,000 1,617,422 ERAC USA Finance Co.++ 6.750% 05/15/2007 1,000,000 1,102,375 Exelon Generation Co. LLC 6.950% 06/15/2011 350,000 393,050 First Industrial LP 7.600% 05/15/2007 700,000 789,367 Ford Motor Co. 6.375% 02/01/2029 965,000 860,900 Ford Motor Co. 6.625% 02/15/2028 900,000 828,608 Ford Motor Credit Co. 5.625% 10/01/2008 300,000 307,978 Ford Motor Credit Co. 7.000% 10/01/2013 800,000 843,743
The accompanying notes are an integral part of the financial statements. 29
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- Ford Motor Credit Co.** 7.375% 10/28/2009 $ 750,000 $ 823,621 France Telecom SA 9.750% 03/01/2031 300,000 398,602 Franklin Resources, Inc. 3.700% 04/15/2008 800,000 795,659 General American Transportation Corp. 6.750% 03/01/2006 790,000 821,417 General Mills, Inc. 2.625% 10/24/2006 3,325,000 3,306,756 General Mills, Inc. 8.900% 06/15/2006 2,250,000 2,589,901 General Motors Acceptance Corp. 6.150% 04/05/2007 1,000,000 1,071,759 General Motors Corp. 7.200% 01/15/2011 950,000 1,044,512 General Motors Corp. 8.375% 07/15/2033 520,000 603,623 Goodrich (B.F.) Co. 7.500% 04/15/2008 1,800,000 2,049,698 The Goodyear Tire & Rubber Co. 8.500% 03/15/2007 500,000 491,250 Household Finance Corp. 4.125% 12/15/2008 1,800,000 1,815,741 Household Finance Corp. 6.375% 10/15/2011 1,125,000 1,238,832 Household Finance Corp. 6.375% 11/27/2012 775,000 850,217 ICI Wilmington, Inc. 7.050% 09/15/2007 735,000 813,256 Inco Limited 5.700% 10/15/2015 550,000 555,563 International Game Technology 8.375% 05/15/2009 325,000 389,044 International Paper Co. 5.500% 01/15/2014 800,000 802,972 Interpool, Inc. 7.350% 08/01/2007 1,000,000 961,250 Jefferies Group, Inc. 7.750% 03/15/2012 900,000 1,006,816 JP Morgan Chase & Co. 3.125% 12/11/2006 1,000,000 1,008,137 Kern River Funding Corp.++ 4.893% 04/30/2018 731,679 728,152 Kimco Realty Corp. Series MTNB 7.860% 11/01/2007 1,325,000 1,529,208 The Kroger Co. 6.750% 04/15/2012 1,000,000 1,108,020 Leucadia National Corp.** 7.750% 08/15/2013 $ 1,150,000 $ 1,201,750 Liberty Media Corp. 3.500% 09/25/2006 500,000 502,498 Liberty Media Corp. 8.250% 02/01/2030 2,695,000 3,224,624 Lockheed Martin Corp. 8.500% 12/01/2029 1,425,000 1,867,282 Marriott International, Inc. Series E 7.000% 01/15/2008 690,000 768,723 Meritor Automotive, Inc. 6.800% 02/15/2009 2,000,000 2,100,000 Merrill Lynch & Co., Inc. 2.940% 01/30/2006 3,150,000 3,190,635 MidAmerican Energy Holdings Co. 3.500% 05/15/2008 1,050,000 1,032,281 Miller Brewing Co.++ 5.500% 08/15/2013 500,000 510,821 Millipore Corp. 7.500% 04/01/2007 4,250,000 4,632,500 Mobil Corp. 8.625% 08/15/2021 2,000,000 2,677,088 Mohawk Industries, Inc. Series D 7.200% 04/15/2012 750,000 851,911 National Rural Utilities Cooperative Finance Corp. 8.000% 03/01/2032 1,950,000 2,428,711 Newell Rubbermaid, Inc. 4.000% 05/01/2010 320,000 309,619 News America Holdings, Inc. 9.250% 02/01/2013 2,000,000 2,580,006 Nisource Finance Corp. 3.200% 11/01/2006 480,000 483,876 Norske Skogindustrier ASA++ 6.125% 10/15/2015 675,000 683,512 North Finance (Bermuda) Limited++ 7.000% 09/15/2005 4,000,000 4,269,400 Oak Hill Securities Fund II++ 8.920% 10/15/2006 500,000 530,821 Piedmont Natural Gas Co. Series E 6.000% 12/19/2033 400,000 395,620 Precision Castparts Corp.++ 5.600% 12/15/2013 1,125,000 1,131,747 Progress Energy, Inc. 6.550% 03/01/2004 $ 1,490,000 $ 1,501,115 PSEG Power LLC 5.500% 12/01/2015 600,000 600,848 Public Service Co. of Colorado Series 15 5.500% 04/01/2014 850,000 883,796 Qwest Corp.++ 9.125% 03/15/2012 850,000 975,375 The Rouse Co. 5.375% 11/26/2013 500,000 497,380 Ryder System, Inc. 6.600% 11/15/2005 3,500,000 3,724,427 Safeway, Inc. 2.500% 11/01/2005 1,600,000 1,584,506 Sealed Air Corp.++ 5.625% 07/15/2013 675,000 690,721 Simon Property Group LP 6.875% 11/15/2006 750,000 835,601 SLM Corp. 5.000% 10/01/2013 2,475,000 2,459,237 SP PowerAssets Limited++ 5.000% 10/22/2013 425,000 427,258 Sprint Capital Corp. 6.900% 05/01/2019 2,000,000 2,043,078 Sprint Capital Corp. 8.375% 03/15/2012 200,000 233,560 Steelcase, Inc. 6.375% 11/15/2006 300,000 313,723 SuperValu, Inc.** 7.875% 08/01/2009 2,000,000 2,332,888 Tenet Healthcare Corp. 6.375% 12/01/2011 750,000 720,000 Textron Financial Corp. Series E 2.690% 10/03/2006 1,710,000 1,698,485 Thomas & Betts Corp. 8.250% 01/15/2004 1,000,000 1,000,000 Timken Co. Series A 6.750% 08/21/2006 500,000 511,324 Toro Co. 7.800% 06/15/2027 1,300,000 1,433,288 Toyota Motor Credit Corp. 4.350% 12/15/2010 1,400,000 1,419,103 TransAlta Corp. 5.750% 12/15/2013 1,000,000 1,004,994 Tri-State Generation & Transmission Association Series 2003, Class A++ 6.040% 01/31/2018 550,000 564,982
The accompanying notes are an integral part of the financial statements. 30
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- Tri-State Generation & Transmission Association Series 2003, Class B++ 7.144% 07/31/2033 $ 425,000 $ 452,289 Tyco International Group SA 6.375% 02/15/2006 1,300,000 1,384,500 Tyco International Group SA 6.375% 10/15/2011 1,350,000 1,442,812 US Airways, Inc. Cl. B* +++ 7.500% 04/15/2008 869,681 - USA Interactive 7.000% 01/15/2013 700,000 771,805 Verizon Global Funding Corp. 7.750% 12/01/2030 1,400,000 1,644,594 VF Corp.++ 6.000% 10/15/2033 300,000 296,682 Vodafone Group PLC 5.375% 01/30/2015 100,000 100,926 Vulcan Materials Co. 6.000% 04/01/2009 1,250,000 1,359,720 The Walt Disney Co. 6.750% 03/30/2006 650,000 706,970 Washington Mutual, Inc. 2.400% 11/03/2005 1,600,000 1,604,054 Wells Fargo Financial Corp. 7.000% 11/01/2005 2,500,000 2,724,750 Weyerhaeuser Co. 5.500% 03/15/2005 850,000 884,898 WorldCom, Inc.* +++ 6.500% 05/15/2004 1,810,000 606,350 WorldCom, Inc.* +++ 8.250% 05/15/2031 610,000 204,350 WPP Finance (USA) Corp. 6.625% 07/15/2005 2,550,000 2,654,152 ------------- TOTAL CORPORATE DEBT (COST $145,201,945) 150,113,713 ============= MUNICIPAL OBLIGATIONS -- 0.1% GENERAL OBLIGATIONS Illinois State Taxable Pension 5.100% 06/01/2033 1,450,000 1,333,232 ------------- TOTAL MUNICIPAL OBLIGATIONS (COST $1,450,000) 1,333,232 ============= NON-U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.0% COLLATERALIZED MORTGAGE OBLIGATIONS Asset Securitization Corp. Series 1995-MD4, Class A1 7.100% 08/13/2029 $ 1,396,746 $ 1,497,075 CS First Boston Mortgage Securities Corp. Series 1998-C2, Class A1 5.960% 11/11/2030 1,747,113 1,856,453 CS First Boston Mortgage Securities Corp. Series 2002-H1N, Class A++ 8.000% 08/27/2032 70,767 70,767 MASTR Asset Securitization Trust Series 2002-6, Class 6A1 6.500% 10/25/2032 437,114 450,070 Merrill Lynch Mortgage Investors, Inc. Series 1998-C1, Class A1 6.310% 11/15/2026 1,733,093 1,783,800 Salomon Brothers Mortgage Securities Series 1997-TZH, Class B++ 7.491% 03/25/2022 3,000,000 3,188,789 Salomon Brothers Mortgage Securities Series 2001-MMA, Class A1++ 5.323% 02/18/2034 2,140,965 2,220,399 Starwood Commercial Mortgage Trust Series 1999-C1A, Class B++ 6.920% 02/03/2014 3,000,000 3,381,260 Structured Asset Securities Corp. Series 1998-ALS2, Class 1A 6.750% 03/25/2029 503,111 510,230 Structured Asset Securities Corp. Series 2003-30, Class 1A1 5.500% 10/25/2033 2,552,037 2,582,691 Vendee Mortgage Trust Series 1992-1, Class 2Z 7.750% 05/15/2022 1,258,840 1,355,445 Washington Mutual, Inc. Series 2003-S11, Class A1 5.000% 11/25/2033 $ 3,235,822 $ 3,156,786 ------------- TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (COST $21,332,862) 22,053,765 ============= U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.1% FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.9% COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1% FHLMC Series W067, Class A 6.420% 12/01/2005 819,085 877,253 ============= PASS-THROUGH SECURITIES -- 0.8% FHLMC 6.000% 09/01/2016- 02/01/2018 1,593,762 1,676,518 FHLMC 6.500% 08/01/2016- 08/01/2032 4,101,866 4,319,555 FHLMC 7.500% 02/01/2030- 03/01/2031 2,234,559 2,402,583 FHLMC 8.000% 08/01/2026- 03/01/2028 606,861 660,791 FHLMC 9.000% 03/01/2017 59,631 65,356 ------------- TOTAL PASS-THROUGH SECURITIES 9,124,803 ------------- TOTAL FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 10,002,056 ------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 4.9% PASS-THROUGH SECURITIES FNMA 4.500% 05/01/2018- 09/01/2018 12,893,662 12,929,925 FNMA 5.000% 08/01/2033- 09/01/2033 13,863,608 13,737,969 FNMA 5.500% 02/01/2018 2,483,062 2,587,350 FNMA 6.000% 05/01/2016- 03/01/2033 12,099,080 12,536,329 FNMA 6.500% 10/01/2031- 09/01/2032 4,579,419 4,798,016
The accompanying notes are an integral part of the financial statements. 31
PRINCIPAL MARKET AMOUNT VALUE ------------- ------------- FNMA 7.000% 01/01/2031- 05/01/2031 $ 3,393,882 $ 3,606,029 FNMA 7.500% 09/01/2029- 05/01/2030 1,210,347 1,298,760 FNMA 8.000% 05/01/2013- 09/01/2031 1,014,768 1,098,001 ------------- TOTAL PASS-THROUGH SECURITIES 52,592,379 ------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 2.3% PASS-THROUGH SECURITIES GNMA 5.000% 07/15/2033- 08/15/2033 9,111,120 9,047,769 GNMA 6.000% 01/15/2032- 08/15/2032 4,649,697 4,845,493 GNMA 6.500% 10/15/2028- 03/15/2029 5,185,530 5,490,344 GNMA 7.000% 04/15/2023- 08/15/2032 1,135,053 1,217,196 GNMA 7.250% 06/20/2021- 05/20/2022 1,899,111 2,040,432 GNMA 7.500% 09/15/2016- 10/15/2017 731,211 787,316 GNMA 8.000% 05/15/2005- 05/15/2008 831,703 879,456 GNMA 9.000% 08/15/2008- 09/15/2009 241,615 262,479 ------------- TOTAL PASS-THROUGH SECURITIES 24,570,485 ------------- OTHER AGENCIES -- 0.0% PASS-THROUGH SECURITIES New Valley Generation IV 4.687% 01/15/2022 375,000 363,873 ------------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST $84,354,147) 87,528,793 ============= U.S. TREASURY OBLIGATIONS -- 3.1% U.S. TREASURY BONDS -- 2.2% U.S. Treasury Bond 4.375% 08/15/2012 2,350,000 2,397,367 U.S. Treasury Bond 6.125% 08/15/2029 $ 2,785,000 $ 3,156,623 U.S. Treasury Bond** 8.750% 05/15/2017 13,000,000 18,230,469 ------------- TOTAL U.S. TREASURY BONDS 23,784,459 ------------- U.S. TREASURY NOTES -- 0.7% U.S. Treasury Note 3.625% 05/15/2013 450,000 432,703 U.S. Treasury Note 3.875% 02/15/2013 3,125,000 3,060,059 U.S. Treasury Note 5.625% 05/15/2008 3,875,000 4,292,773 ------------- TOTAL U.S. TREASURY NOTES 7,785,535 ------------- U.S. TREASURY STRIPS -- 0.2% U.S. Treasury Strips 0.000% 11/15/2021 4,100,000 1,558,889 ------------- TOTAL U.S. TREASURY OBLIGATIONS (COST $29,709,205) 33,128,883 ============= TOTAL BONDS & NOTES (COST $291,172,717) 303,503,057 ============= TOTAL LONG TERM INVESTMENTS (COST $823,164,324) 1,000,520,102 ============= SHORT-TERM INVESTMENTS -- 12.7% CASH EQUIVALENTS 5.2%*** Bank of Montreal Eurodollar Time Deposit 1.060% 01/15/2004 153,463 153,463 Bank of Montreal Eurodollar Time Deposit 1.060% 02/17/2004 810,860 810,860 Bank of Nova Scotia Eurodollar Time Deposit 1.080% 03/03/2004 2,432,581 2,432,581 Bank of Scotland Eurodollar Time Deposit 1.060% 04/02/2004 608,145 608,145 Bank of the West Eurodollar Time Deposit 1.075% 01/14/2004 608,145 608,145 Barclays Eurodollar Time Deposit 1.090% 03/05/2004 2,027,151 2,027,151 BNP Paribas Eurodollar Time Deposit 0.970% 01/07/2004 810,860 810,860 Canadian Imperial Bank of Commerce Bank Note 0.990% 05/18/2004 $ 4,054,302 $ 4,054,302 Citigroup Eurodollar Time Deposit 1.080% 01/05/2004 405,430 405,430 Citigroup Eurodollar Time Deposit 1.090% 03/04/2004 1,621,721 1,621,721 Citigroup Eurodollar Time Deposit 1.100% 01/22/2004 405,430 405,430 Credit Agricole Indosuez Eurodollar Time Deposit 1.080% 01/06/2004 4,175,931 4,175,931 Dreyfus Cash Management Plus, Inc. Money Market Fund 2,229,866 2,229,866 Fannie Mae Discount Note 1.062% 01/02/2004 1,216,290 1,216,290 Fleet National Bank Bank Note 1.000% 01/21/2004 2,027,151 2,027,151 Freddie Mac Discount Note 1.062% 01/27/2004 1,618,378 1,618,378 General Electric Capital Corp. 1.092% 01/05/2004 2,023,468 2,023,468 Goldman Sachs Financial Square Prime Obligations Money Market Fund 810,860 810,860 Harris Trust & Savings Bank Eurodollar Time Deposit 1.050% 01/29/2004 445,973 445,973 Merrill Lynch Premier Institutional Money Market Fund 2,789,406 2,789,406 Merrimac Money Market Fund 6,730,141 6,730,141 Morgan Stanley Dean Witter & Co. 1.080% 01/29/2004 2,108,237 2,108,237 National Bank of Commerce Bank Note 1.120% 05/19/2004 1,013,575 1,013,575 Royal Bank of Canada Eurodollar Time Deposit 1.050% 02/27/2004 1,013,575 1,013,575
The accompanying notes are an integral part of the financial statements. 32
PRINCIPAL MARKET AMOUNT VALUE ------------- -------------- Royal Bank of Scotland Eurodollar Time Deposit 1.080% 01/09/2004 $ 810,860 $ 810,860 Royal Bank of Scotland Eurodollar Time Deposit 1.080% 01/15/2004 2,027,151 2,027,151 Royal Bank of Scotland Eurodollar Time Deposit 1.090% 03/03/2004 1,013,575 1,013,575 Southtrust Bank Eurodollar Time Deposit 1.090% 02/17/2004 1,216,290 1,216,290 Svenska Handlesbanken Eurodollar Time Deposit 1.080% 02/04/2004 1,013,575 1,013,575 Svenska Handlesbanken Eurodollar Time Deposit 1.085% 01/15/2004 1,013,575 1,013,575 Svenska Handlesbanken Eurodollar Time Deposit 1.090% 02/24/2004 2,027,151 2,027,151 Toronto Dominion Bank Eurodollar Time Deposit 1.100% 01/08/2004 405,431 405,431 Wells Fargo Eurodollar Time Deposit 1.070% 01/20/2004 4,865,162 4,865,162 -------------- 56,533,709 -------------- COMMERCIAL PAPER -- 7.5% Baxter International, Inc. 1.070% 01/20/2004 1,355,000 1,354,234 Boston Scientific Corp. 1.160% 01/28/2004 2,095,000 2,093,177 British Aero North America 1.250% 01/12/2004 2,935,000 2,933,879 Campbell Soup Co. 1.060% 01/27/2004 3,215,000 3,212,539 Campbell Soup Co. 1.100% 01/05/2004 350,000 349,957 Consolidated Natural Gas Co. 1.190% 01/15/2004 $ 1,960,000 $ 1,959,093 Countrywide Home Loans, Inc. 1.010% 01/02/2004 3,310,000 3,309,907 Dominion Resources, Inc. 1.150% 01/22/2004 5,030,000 5,026,626 Elsevier Finance SA 1.180% 01/07/2004 1,550,000 1,549,695 Elsevier Finance SA 1.200% 01/05/2004 3,915,000 3,914,478 General Mills, Inc. 1.140% 01/23/2004 4,000,000 3,997,213 General Mills, Inc. 1.150% 02/06/2004 2,975,000 2,971,579 ITT Industries, Inc. 1.150% 01/16/2004 3,000,000 2,998,562 KeySpan Corp. 1.110% 01/21/2004 3,000,000 2,998,150 KeySpan Corp. 1.120% 01/14/2004 1,420,000 1,419,426 Kinder Morgan Energy Partners LP 1.150% 01/15/2004 2,700,000 2,698,793 Kinder Morgan Energy Partners LP 1.170% 01/16/2004 1,400,000 1,399,318 Newell Rubbermaid, Inc. 1.150% 01/06/2004 3,000,000 2,999,521 Praxair, Inc. 1.170% 01/09/2004 3,500,000 3,499,090 Reed Elsevier, Inc. 1.120% 02/03/2004 2,930,000 2,926,992 Reed Elsevier, Inc. 1.150% 01/07/2004 2,000,000 1,999,617 Reed Elsevier, Inc. 1.180% 01/13/2004 1,640,000 1,639,355 Time Warner, Inc. 1.140% 01/20/2004 2,925,000 2,923,240 Time Warner, Inc. 1.150% 01/29/2004 3,300,000 3,297,048 Walt Disney Co. 1.100% 01/12/2004 $ 3,000,000 $ 2,998,992 Washington Mutual Finance 1.100% 01/08/2004 4,155,000 4,154,111 Wisconsin Electric Power Co. 1.080% 01/30/2004 2,500,000 2,497,825 Wisconsin Electric Power Co. 1.100% 01/13/2004 3,750,000 3,748,626 Wisconsin Gas Co. 1.100% 01/26/2004 4,105,000 4,101,864 -------------- 80,972,907 -------------- TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) 137,506,616 -------------- TOTAL INVESTMENTS -- 104.9% (COST $960,670,940)**** 1,138,026,718 OTHER ASSETS/ (LIABILITIES) -- (4.9%) (52,884,296) -------------- NET ASSETS -- 100.0% $1,085,142,422 --------------
NOTES TO PORTFOLIO OF INVESTMENTS * Non-income producing security. ** All or a portion of this security is segregated to cover forward purchase commitments. (NOTE 2). *** Represents investments of security lending collateral. (NOTE 2). **** Aggregate cost for Federal tax purposes. (NOTE 7). + This security is valued in good faith under procedures established by the board of directors. ++ 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 December 31, 2003 these securities amounted to a value of $31,129,402 or 2.9% of net assets. +++ Security is currently in default. The accompanying notes are an integral part of the financial statements. 33 MML EQUITY FUND - PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
NUMBER OF MARKET SHARES VALUE ------------- --------------- EQUITIES -- 98.9% ADVERTISING -- 0.0% Monster Worldwide, Inc.* 1,600 $ 35,136 Omnicom Group, Inc. 2,500 218,325 --------------- 253,461 --------------- AEROSPACE & DEFENSE -- 4.3% Boeing Co. 17,500 737,450 General Dynamics Corp. 3,000 271,170 Goodrich Corp. 49,600 1,472,624 Honeywell International, Inc. 17,200 574,996 Lockheed Martin Corp. 379,900 19,526,860 Northrop Grumman Corp. 2,700 258,120 Raytheon Co. 700 21,028 Rockwell Collins, Inc. 1,145,900 34,411,377 United Technologies Corp. 7,100 672,867 --------------- 57,946,492 --------------- AIR TRANSPORTATION -- 0.0% Delta Air Lines, Inc. 1,900 22,439 Southwest Airlines Co. 11,700 188,838 --------------- 211,277 --------------- APPAREL, TEXTILES & SHOES -- 2.1% The Gap, Inc. 13,500 313,335 Jones Apparel Group, Inc. 2,400 84,552 Limited Brands 1,442,400 26,006,472 Liz Claiborne, Inc. 1,800 63,828 Nike, Inc. Cl. B 4,100 280,686 Nordstrom, Inc. 2,100 72,030 Reebok International Limited 1,000 39,320 VF Corp. 22,400 968,576 --------------- 27,828,799 --------------- AUTOMOTIVE & PARTS -- 0.6% American Axle & Manufacturing Holdings, Inc.* 8,000 323,360 Autoliv, Inc. 19,700 741,705 AutoNation, Inc.* 22,300 409,651 BorgWarner, Inc. 3,300 280,731 Cooper Tire & Rubber Co. 500 10,690 Dana Corp. 30,600 561,510 Delphi Corp. 8,500 86,785 Ford Motor Co. 32,200 515,200 General Motors Corp. 40,200 $ 2,146,680 Genuine Parts Co. 26,900 893,080 Lear Corp. 20,400 1,251,132 Magna International, Inc. Cl. A 11,400 912,570 Paccar, Inc. 5,400 459,648 --------------- 8,592,742 --------------- BANKING, SAVINGS & LOANS -- 17.0% AmSouth Bancorp 52,300 1,281,350 Bank of America Corp. 365,700 29,413,251 Bank One Corp. 72,900 3,323,511 BB&T Corp. 1,900 73,416 Capital One Financial Corp. 3,500 214,515 Charter One Financial, Inc. 3,365 116,261 Citigroup, Inc. 1,030,900 50,039,886 Comerica, Inc. 21,100 1,182,866 Fannie Mae 32,400 2,431,944 Fifth Third Bancorp 253,000 14,952,300 First Tennessee National Corp. 1,900 83,790 FleetBoston Financial Corp. 78,700 3,435,255 Freddie Mac 519,900 30,320,568 Golden West Financial Corp. 18,800 1,939,972 J.P. Morgan Chase & Co. 100,800 3,702,384 KeyCorp 47,500 1,392,700 Marshall and Ilsley Corp. 3,200 122,400 Mellon Financial Corp. 3,900 125,229 National City Corp. 411,800 13,976,492 North Fork Bancorporation, Inc. 1,300 52,611 Northern Trust Corp. 3,200 148,544 Providian Financial Corp.* 4,400 51,216 Regions Financial Corp. 33,800 1,257,360 SLM Corp. 538,800 20,301,984 SouthTrust Corp. 4,900 160,377 State Street Corp. 4,900 255,192 SunTrust Banks, Inc. 20,400 1,458,600 Synovus Financial Corp. 100 2,892 U.S. Bancorp 124,900 3,719,522 Union Planters Corp. 31,050 977,764 UnionBanCal Corp. 21,500 1,237,110 Wachovia Corp. 94,300 4,393,437 Washington Mutual, Inc. 65,100 2,611,812 Wells Fargo & Co. 562,000 33,096,180 Zions Bancorp 1,400 85,862 --------------- 227,938,553 --------------- BEVERAGES -- 2.6% Anheuser-Busch Companies, Inc. 8,900 $ 468,852 The Coca-Cola Co. 37,300 1,892,975 Coca-Cola Enterprises, Inc. 8,200 179,334 Coors (Adolph) Co. Cl. B 700 39,270 Diageo PLC Sponsored ADR (United Kingdom) 575,000 30,394,500 The Pepsi Bottling Group, Inc. 4,800 116,064 PepsiCo, Inc. 21,400 997,668 --------------- 34,088,663 --------------- BROADCASTING, PUBLISHING & PRINTING -- 2.5% American Greetings Corp. Cl. A* 1,200 26,244 Comcast Corp. Cl. A* 80,089 2,632,525 Dow Jones & Co., Inc. 10,100 503,485 Gannett Co., Inc. 280,700 25,027,212 Knight Ridder, Inc. 1,500 116,055 Liberty Media Corp. Cl. A* 53,500 636,115 The McGraw-Hill Companies, Inc. 2,300 160,816 Meredith Corp. 800 39,048 New York Times Co. Cl. A 2,400 114,696 Time Warner, Inc.* 168,700 3,034,913 Tribune Co. 500 25,800 Univision Communications, Inc. Cl. A* 5,200 206,388 Viacom, Inc. Cl. B 24,400 1,082,872 --------------- 33,606,169 --------------- BUILDING MATERIALS & CONSTRUCTION -- 0.1% Louisiana-Pacific Corp.* 13,000 232,440 Masco Corp. 7,200 197,352 Vulcan Materials Co. 8,200 390,074 --------------- 819,866 --------------- CHEMICALS -- 5.7% Air Products & Chemicals, Inc. 200 10,566 Ashland, Inc. 19,400 854,764 Dow Chemical Co. 564,800 23,478,736 Du Pont (E.I.) de Nemours & Co. 379,500 17,415,255 Engelhard Corp. 1,600 47,920 Hercules, Inc.* 1,700 20,740
The accompanying notes are an integral part of the financial statements. 34
NUMBER OF MARKET SHARES VALUE ------------- --------------- International Flavors & Fragrances, Inc. 100 $ 3,492 The Lubrizol Corp. 17,200 559,344 Monsanto Co. 23,500 676,330 PPG Industries, Inc. 516,200 33,047,124 Praxair, Inc. 12,600 481,320 Rohm & Haas Co. 3,300 140,943 --------------- 76,736,534 --------------- COMMERCIAL SERVICES -- 2.2% Apollo Group, Inc. Cl. A* 3,300 224,400 Block (H&R), Inc. 7,200 398,664 Cendant Corp.* 52,700 1,173,629 Concord EFS, Inc.* 7,400 109,816 Convergys Corp.* 23,000 401,580 Donnelley (R.R.) & Sons Co. 1,400 42,210 Ecolab, Inc. 200 5,474 Equifax, Inc. 1,900 46,550 Fluor Corp. 7,500 297,300 Moody's Corp. 5,800 351,190 Paychex, Inc. 7,800 290,160 PerkinElmer, Inc. 9,500 162,165 Quest Diagnostics, Inc.* 1,600 116,976 Robert Half International, Inc.* 1,300 30,342 Ryder System, Inc. 1,000 34,150 Waste Management, Inc. 866,200 25,639,520 --------------- 29,324,126 --------------- COMMUNICATIONS -- 1.4% ADC Telecommunications, Inc.* 258,900 768,933 Andrew Corp.* 2,400 27,624 Avaya, Inc.* 8,900 115,166 BCE, Inc. 431,200 9,641,632 Ciena Corp.* 3,800 25,232 Citizens Communications Co.* 2,600 32,292 Lucent Technologies, Inc.* 193,200 548,688 Network Appliance, Inc.* 5,200 106,756 Nextel Communications, Inc. Cl. A* 16,600 465,796 Nortel Networks Corp.* 339,600 1,436,508 Qualcomm, Inc. 12,000 647,160 SBC Communications, Inc. 124,800 3,253,536 Scientific-Atlanta, Inc. 6,800 185,640 Tellabs, Inc.* 117,400 989,682 --------------- 18,244,645 --------------- COMMUNICATIONS EQUIPMENT -- 0.1% Motorola, Inc. 42,000 $ 590,940 --------------- COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.0% Autodesk, Inc. 1,600 39,328 Computer Sciences Corp.* 2,500 110,575 Teradyne, Inc.* 2,600 66,170 Unisys Corp.* 4,600 68,310 --------------- 284,383 --------------- COMPUTER RELATED SERVICES -- 0.1% Ingram Micro, Inc. Cl. A* 40,600 645,540 --------------- COMPUTERS & INFORMATION -- 2.4% Apple Computer, Inc.* 1,185,100 25,325,587 Cisco Systems, Inc.* 106,100 2,577,169 Comverse Technology, Inc.* 2,400 42,216 Dell, Inc.* 49,600 1,684,416 EMC Corp.* 39,700 512,924 Gateway, Inc.* 5,000 23,000 International Game Technology 5,700 203,490 Jabil Circuit, Inc.* 3,000 84,900 Lexmark International, Inc.* 4,400 346,016 Quantum Corp.* 52,200 162,864 Solectron Corp.* 169,400 1,001,154 Symbol Technologies, Inc. 3,000 50,670 Tech Data Corp.* 17,600 698,544 --------------- 32,712,950 --------------- COMPUTERS & OFFICE EQUIPMENT -- 2.5% Electronic Data Systems Corp. 7,200 176,688 Hewlett-Packard Co. 183,365 4,211,894 International Business Machines Corp. 300,900 27,887,412 Pitney Bowes, Inc. 11,000 446,820 --------------- 32,722,814 --------------- CONTAINERS -- 0.0% Ball Corp. 1,000 59,570 Bemis Co., Inc. 700 35,000 Pactiv Corp.* 2,400 57,360 Sealed Air Corp.* 3,400 184,076 Temple-Inland, Inc. 3,300 206,811 --------------- 542,817 --------------- COSMETICS & PERSONAL CARE -- 0.3% Alberto-Culver Co. Cl. B 1,000 63,080 Avon Products, Inc. 3,600 242,964 Colgate-Palmolive Co. 4,100 205,205 The Gillette Co. 15,600 572,988 Kimberly-Clark Corp. 7,600 $ 449,084 The Procter & Gamble Co. 26,500 2,646,820 --------------- 4,180,141 --------------- DATA PROCESSING & PREPARATION -- 1.0% Automatic Data Processing, Inc. 306,600 12,144,426 Deluxe Corp. 19,500 805,935 First Data Corp. 6,300 258,867 Fiserv, Inc.* 2,700 106,677 IMS Health, Inc. 3,600 89,496 NCR Corp.* 4,600 178,480 --------------- 13,583,881 --------------- ELECTRIC UTILITIES -- 4.5% AES Corp.* 5,600 52,864 Alliant Energy Corp. 25,200 627,480 Ameren Corp. 9,700 446,200 American Electric Power Co. 43,900 1,339,389 Calpine Corp.* 5,700 27,417 CenterPoint Energy, Inc. 10,700 103,683 Cinergy Corp. 30,300 1,175,943 Consolidated Edison, Inc. 1,100 47,311 Constellation Energy Group, Inc. 31,500 1,233,540 Dominion Resources, Inc. 3,400 217,022 DTE Energy Co. 1,600 63,040 Duke Energy Corp. 8,100 165,645 Edison International* 86,000 1,885,980 Entergy Corp. 488,400 27,902,292 Exelon Corp. 169,500 11,248,020 FirstEnergy Corp. 1,600 56,320 FPL Group, Inc. 2,700 176,634 NiSource, Inc. 4,400 96,536 Northeast Utilities 35,125 708,471 NSTAR 196,900 9,549,650 PG&E Corp.* 6,100 169,397 Pinnacle West Capital Corp. 200 8,004 PPL Corp. 26,600 1,163,750 Progress Energy, Inc. 2,300 104,098 Public Service Enterprise Group, Inc. 3,400 148,920 Puget Energy, Inc. 9,800 232,946 Southern Co. 16,000 484,000 TXU Corp. 4,900 116,228 --------------- 59,550,780 --------------- ELECTRICAL EQUIPMENT & ELECTRONICS -- 1.2% Advanced Micro Devices, Inc.* 8,200 122,180 Altera Corp.* 5,300 120,310
The accompanying notes are an integral part of the financial statements. 35
NUMBER OF MARKET SHARES VALUE ------------- --------------- American Power Conversion Corp. 2,500 $ 61,125 Analog Devices, Inc. 5,500 251,075 Applied Micro Circuits Corp.* 4,800 28,704 Arrow Electronics, Inc.* 30,600 708,084 Avnet, Inc.* 32,800 710,448 Broadcom Corp. Cl. A* 4,500 153,405 Emerson Electric Co. 6,300 407,925 Flextronics International Limited* 53,900 799,876 General Electric Co. 151,500 4,693,470 Hubbell, Inc. Cl. B 16,500 727,650 Intel Corp. 114,700 3,693,340 JDS Uniphase Corp.* 19,500 71,175 Johnson Controls, Inc. 1,400 162,568 Kla-Tencor Corp.* 1,300 76,271 Linear Technology Corp. 4,300 180,901 LSI Logic Corp.* 5,200 46,124 Maxim Integrated Products, Inc. 4,900 244,020 Micron Technology, Inc.* 9,200 123,924 Molex, Inc. 2,800 97,692 National Semiconductor Corp.* 3,700 145,817 Novellus Systems, Inc.* 1,200 50,460 PMC-Sierra, Inc.* 2,400 48,360 Qlogic Corp.* 1,400 72,240 Rockwell Automation, Inc. 2,800 99,680 Sanmina-SCI Corp.* 47,900 604,019 Texas Instruments, Inc. 26,100 766,818 Thomas & Betts Corp. 20,100 460,089 Xilinx, Inc.* 4,700 182,078 --------------- 15,909,828 --------------- ENERGY -- 8.4% Amerada Hess Corp. 1,300 69,121 Anadarko Petroleum Corp. 4,700 239,747 Apache Corp. 2,205 178,825 BP PLC Sponsored ADR (United Kingdom) 510,300 25,183,305 Burlington Resources, Inc. 2,900 160,602 ChevronTexaco Corp. 55,400 4,786,006 ConocoPhillips 53,196 3,488,062 Devon Energy Corp. 7,100 406,546 EOG Resources, Inc. 1,600 73,872 Exxon Mobil Corp. 1,131,100 46,375,100 Halliburton Co. 9,100 236,600 Kerr-McGee Corp. 100 4,649 KeySpan Corp. 2,300 84,640 Kinder Morgan, Inc. 1,900 $ 112,290 Marathon Oil Corp. 42,900 1,419,561 Nabors Industries Limited* 3,000 124,500 Nicor, Inc. 700 23,828 Noble Corp.* 2,800 100,184 Occidental Petroleum Corp. 44,100 1,862,784 Peoples Energy Corp. 600 25,224 Royal Dutch Petroleum Co. NY Shares 449,500 23,549,305 Schlumberger Limited 12,200 667,584 Sempra Energy 39,700 1,193,382 Sunoco, Inc. 4,100 209,715 Unocal Corp. 700 25,781 Valero Energy Corp. 21,800 1,010,212 The Williams Companies, Inc. 28,800 282,816 Xcel Energy, Inc. 26,400 448,272 --------------- 112,342,513 --------------- ENTERTAINMENT & LEISURE -- 1.3% Brunswick Corp. 1,200 38,196 Harrah's Entertainment, Inc. 2,000 99,540 The Walt Disney Co. 751,600 17,534,828 --------------- 17,672,564 --------------- FINANCIAL SERVICES -- 4.4% American Express Co. 502,400 24,230,752 Apartment Investment & Management Co. Cl. A 1,400 48,300 Bear Stearns Companies, Inc. 16,600 1,327,170 Countrywide Financial Corp. 29,066 2,204,657 Franklin Resources, Inc. 3,700 192,622 The Goldman Sachs Group, Inc. 20,700 2,043,711 Huntington Bancshares, Inc. 52,900 1,190,250 Janus Capital Group, Inc. 3,600 59,076 Lehman Brothers Holdings, Inc. 25,700 1,984,554 MBNA Corp. 26,700 663,495 Merrill Lynch & Co., Inc. 37,100 2,175,915 Morgan Stanley 370,400 21,435,048 PNC Financial Services Group, Inc. 4,200 229,866 Price (T. Rowe) Group, Inc. 1,700 80,597 ProLogis Trust 400 12,836 The Schwab (Charles) Corp. 20,200 $ 239,168 Simon Property Group, Inc. 1,900 88,046 --------------- 58,206,063 --------------- FOODS -- 4.1% Archer-Daniels-Midland Co. 84,600 1,287,612 Campbell Soup Co. 4,000 107,200 ConAgra Foods, Inc. 53,900 1,422,421 General Mills, Inc. 2,300 104,190 Heinz (H. J.) Co. 698,100 225,431,783 Hershey Foods Corp. 2,000 153,980 Kellogg Co. 550,100 20,947,808 The Kroger Co.* 52,000 962,520 McCormick & Co., Inc. 300 9,030 Safeway, Inc.* 40,900 896,119 Sara Lee Corp. 52,300 1,135,433 Starbucks Corp.* 3,800 125,628 SuperValu, Inc. 2,000 57,180 Sysco Corp. 15,900 591,957 Tyson Foods, Inc. Cl. A 65,400 865,896 Wrigley (Wm.) Jr. Co. 1,300 73,073 --------------- 54,171,830 --------------- FOREST PRODUCTS & PAPER -- 3.0% Boise Cascade Corp. 20,900 686,774 Georgia-Pacific Corp. 48,700 1,493,629 International Paper Co. 4,200 181,062 MeadWestvaco Corp. 36,500 1,085,875 Plum Creek Timber Co., Inc. 200 6,090 Weyerhaeuser Co. 564,900 36,153,600 --------------- 39,607,030 --------------- HEALTHCARE -- 0.3% Express Scripts, Inc.* 1,100 73,073 GlaxoSmithKline PLC ADR (United Kingdom) 18,700 871,794 Health Net, Inc.* 34,100 1,115,070 Humana, Inc.* 49,400 1,128,790 Manor Care, Inc. 1,400 48,398 UnitedHealth Group, Inc. 8,600 500,348 Wellpoint Health Networks, Inc.* 3,100 300,669 --------------- 4,038,142 --------------- HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 0.3% Centex Corp. 800 86,120 KB Home 18,100 1,312,612 Leggett & Platt, Inc. 36,000 778,680 Pulte Homes, Inc. 20,400 1,909,848 Whirlpool Corp. 4,600 334,190 --------------- 4,421,450 ---------------
The accompanying notes are an integral part of the financial statements. 36
NUMBER OF MARKET SHARES VALUE ------------- --------------- HOUSEHOLD PRODUCTS -- 0.4% Black & Decker Corp. 25,600 $ 1,262,592 The Clorox Co. 3,300 160,248 Corning, Inc.* 188,000 1,960,840 Fortune Brands, Inc. 1,600 114,384 Newell Rubbermaid, Inc. 1,800 40,986 Sherwin-Williams Co. 32,800 1,139,472 Snap-On, Inc. 600 19,344 The Stanley Works 1,000 37,870 Tupperware Corp. 500 8,670 --------------- 4,744,406 --------------- INDUSTRIAL - DIVERSIFIED -- 0.4% 3M Co. 11,800 1,003,354 Cooper Industries Limited Cl. A 19,400 1,123,842 Danaher Corp. 2,200 201,850 Eaton Corp. 1,600 172,768 Illinois Tool Works, Inc. 4,400 369,204 ITT Industries, Inc. 1,300 96,473 Textron, Inc. 22,700 1,295,262 Tyco International Limited 50,000 1,325,000 --------------- 5,587,753 --------------- INFORMATION RETRIEVAL SERVICES -- 0.0% Yahoo!, Inc.* 9,600 433,632 --------------- INSURANCE -- 8.7% ACE Limited 15,200 629,584 Aetna, Inc. 30,300 2,047,674 AFLAC, Inc. 369,200 13,357,656 Allstate Corp. 530,300 22,813,506 Ambac Financial Group, Inc. 1,600 111,024 American International Group, Inc. 559,000 37,050,520 Anthem, Inc.* 2,200 165,000 Aon Corp. 2,900 69,426 Chubb Corp. 18,100 1,232,610 Cigna Corp. 5,200 299,000 Cincinnati Financial Corp. 1,400 58,632 Everest Re Group Limited 162,100 13,713,660 The Hartford Financial Services Group, Inc. 2,500 147,575 Jefferson-Pilot Corp. 2,100 106,365 John Hancock Financial Services, Inc. 4,300 161,250 Lincoln National Corp. 10,300 415,811 Loews Corp. 1,700 84,065 Marsh & McLennan Companies, Inc. 1,300 62,257 MBIA, Inc. 3,100 183,613 Metlife, Inc. 48,900 1,646,463 PartnerRe Limited 6,500 377,325 Principal Financial Group, Inc. 6,700 $ 221,569 Progressive Corp. 3,100 259,129 Prudential Financial, Inc. 8,300 346,691 Radian Group, Inc. 407,300 19,855,875 RenaissanceRe Holdings Limited 7,800 382,590 Safeco Corp. 2,100 81,753 The St. Paul Companies, Inc. 4,600 182,390 Torchmark Corp. 1,700 77,418 Travelers Property Casualty Corp. Cl. A 5,124 85,981 Travelers Property Casualty Corp. Cl. B 25,627 434,890 UnumProvident Corp. 4,500 70,965 XL Capital Limited Cl. A 200 15,510 --------------- 116,747,777 --------------- LODGING -- 0.0% Hilton Hotels Corp. 7,100 121,623 Marriott International, Inc. Cl. A 4,400 203,280 Starwood Hotels & Resorts Worldwide, Inc. 3,300 118,701 --------------- 443,604 --------------- MACHINERY & COMPONENTS -- 1.0% Baker Hughes, Inc. 200 6,432 Caterpillar, Inc. 100 8,302 Cummins, Inc. 700 34,258 Deere & Co. 3,500 227,675 Dover Corp. 3,100 123,225 Ingersoll-Rand Co. Cl. A 7,000 475,160 Pall Corp. 2,000 53,660 Parker-Hannifin Corp. 211,500 12,584,250 --------------- 13,512,962 --------------- MANUFACTURING -- 0.0% American Standard Companies, Inc.* 100 10,070 Applied Materials, Inc.* 25,000 561,250 --------------- 571,320 --------------- MEDICAL SUPPLIES -- 0.3% Agilent Technologies, Inc.* 9,200 269,008 Allergan, Inc. 200 15,362 Applied Biosystems Group-Applera Corp. 1,900 39,349 Bard (C.R.), Inc. 2,800 227,500 Bausch & Lomb, Inc. 4,400 228,360 Baxter International, Inc. 9,200 280,784 Becton, Dickinson & Co. 3,900 160,446 Biomet, Inc. 400 14,564 Boston Scientific Corp.* 7,400 272,024 Guidant Corp. 23,900 $ 1,438,780 Medtronic, Inc. 12,700 617,347 St. Jude Medical, Inc.* 200 12,270 Stryker Corp. 3,000 255,030 Tektronix, Inc. 1,300 41,080 Thermo Electron Corp.* 100 2,520 Waters Corp.* 1,100 36,476 Zimmer Holdings, Inc.* 2,100 147,840 --------------- 4,058,740 --------------- METALS & MINING -- 0.1% Alcoa, Inc. 8,700 330,600 Crane Co. 900 27,666 Freeport-McMoRan Copper & Gold, Inc. Cl. B 1,800 75,834 Newmont Mining Corp. 4,500 218,745 Phelps Dodge Corp.* 900 68,481 --------------- 721,326 --------------- PHARMACEUTICALS -- 5.1% Abbott Laboratories 29,300 1,365,380 AmerisourceBergen Corp. 2,700 151,605 Amgen, Inc.* 19,452 1,202,134 Bristol-Myers Squibb Co. 880,500 25,182,300 Cardinal Health, Inc. 800 48,928 Eli Lilly & Co. 11,900 836,927 Genzyme Corp.* 2,000 98,680 Johnson & Johnson 45,600 2,355,696 King Pharmaceuticals, Inc.* 25,600 390,656 McKesson Corp. 7,100 228,336 Medco Health Solutions, Inc.* 3,979 135,246 Merck & Co., Inc. 62,900 2,905,980 Pfizer, Inc. 903,720 31,928,428 Schering-Plough Corp. 1,600 27,824 Sigma-Aldrich Corp. 1,200 68,616 Watson Pharmaceutical, Inc.* 1,700 78,200 Wyeth 20,200 857,490 --------------- 67,862,426 --------------- PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.0% Eastman Kodak Co. 5,100 130,917 --------------- PREPACKAGED SOFTWARE -- 0.6% Adobe Systems, Inc. 6,900 271,170 BMC Software, Inc.* 3,300 61,545 Citrix Systems, Inc.* 7,100 150,591 Computer Associates International, Inc. 8,600 235,124 Compuware Corp.* 5,400 32,616 Electronic Arts, Inc.* 3,200 152,896 Intuit, Inc.* 3,100 164,021 Microsoft Corp. 163,600 4,505,544
The accompanying notes are an integral part of the financial statements. 37
NUMBER OF MARKET SHARES VALUE ------------- --------------- Novell, Inc.* 5,200 $ 54,704 Oracle Corp.* 77,600 1,024,320 Peoplesoft, Inc.* 7,500 171,000 Siebel Systems, Inc.* 7,400 102,638 SunGard Data Systems, Inc.* 4,300 119,153 Symantec Corp.* 9,200 318,780 Veritas Software Corp.* 9,200 341,872 --------------- 7,705,974 --------------- REAL ESTATE -- 0.0% Equity Office Properties Trust 8,300 237,795 Equity Residential 4,000 118,040 --------------- 355,835 --------------- RESTAURANTS -- 2.3% Darden Restaurants, Inc. 1,950 41,028 McDonald's Corp. 1,232,000 30,590,560 Wendy's International, Inc. 2,100 82,404 Yum! Brands, Inc.* 5,500 189,200 --------------- 30,903,192 --------------- RETAIL -- 1.8% AutoZone, Inc.* 4,000 340,840 Bed Bath & Beyond, Inc.* 4,400 190,740 Best Buy Co., Inc. 7,200 376,128 Big Lots, Inc.* 1,800 25,578 Costco Wholesale Corp.* 9,100 338,338 CVS Corp. 8,200 296,184 Dollar General Corp. 7,300 153,227 Family Dollar Stores, Inc. 2,500 89,700 Federated Department Stores, Inc. 7,300 344,049 Foot Locker, Inc. 1,400 32,830 The Home Depot, Inc. 44,600 1,582,854 J.C. Penney Company, Inc. 4,000 105,120 Lowe's Companies, Inc. 15,800 875,162 The May Department Stores Co. 35,300 1,026,171 RadioShack Corp. 12,600 386,568 Rite Aid Corp.* 1,987,600 12,005,104 Sears, Roebuck and Co. 47,600 2,165,324 Staples, Inc.* 7,300 199,290 TJX Companies, Inc. 7,600 167,580 Walgreen Co. 15,000 545,700 Wal-Mart Stores, Inc. 64,300 3,411,115 --------------- 24,657,602 --------------- RETAIL - GROCERY -- 0.0% Albertson's, Inc. 17,100 387,315 Winn-Dixie Stores, Inc. 2,100 20,895 --------------- 408,210 --------------- TELEPHONE UTILITIES -- 2.8% Alltel Corp. 2,900 135,082 AT&T Corp. 20,140 $ 408,842 BellSouth Corp. 92,600 2,620,580 CenturyTel, Inc. 2,000 65,240 Qwest Communications International, Inc.* 179,300 774,576 Sprint Corp. (FON Group) 109,000 1,789,780 Sprint Corp. (PCS Group)* 139,200 782,304 Verizon Communications, Inc. 870,600 30,540,648 --------------- 37,117,052 --------------- TOBACCO -- 0.5% Altria Group, Inc. 97,600 5,311,392 Reynolds (R.J.) Tobacco Holdings, Inc. 1,400 81,410 UST, Inc. 27,100 967,199 --------------- 6,360,001 --------------- TOYS, GAMES -- 0.0% Hasbro, Inc. 16,600 353,248 --------------- TRANSPORTATION -- 2.5% Burlington Northern Santa Fe Corp. 45,000 1,455,750 Carnival Corp. 10,400 413,192 CSX Corp. 31,900 1,146,486 FedEx Corp. 5,500 371,250 Norfolk Southern Corp. 50,200 1,187,230 Union Pacific Corp. 398,300 27,673,884 United Parcel Service, Inc. Cl. B 22,200 1,655,010 --------------- 33,902,802 --------------- TOTAL EQUITIES (COST $1,096,062,270) 1,323,353,772 =============== PRINCIPAL AMOUNT ------------- SHORT-TERM INVESTMENTS -- 3.7% CASH EQUIVALENTS** Bank of Montreal Eurodollar Time Deposit 1.060% 01/15/2004 $ 134,537 134,537 Bank of Montreal Eurodollar Time Deposit 1.060% 02/17/2004 710,864 710,864 Bank of Nova Scotia Eurodollar Time Deposit 1.080% 03/03/2004 2,132,594 2,132,594 Bank of Scotland Eurodollar Time Deposit 1.060% 04/02/2004 533,150 533,150 Bank of the West Eurodollar Time Deposit 1.075% 01/14/2004 533,150 533,150 PRINCIPAL MARKET AMOUNT VALUE ------------- --------------- Barclays Eurodollar Time Deposit 1.090% 03/05/2004 $ 1,777,162 $ 1,777,162 BNP Paribas Eurodollar Time Deposit 0.970% 01/07/2004 710,864 710,864 Canadian Imperial Bank of Commerce Bank Note 0.990% 05/18/2004 3,554,325 3,554,325 Citigroup Eurodollar Time Deposit 1.080% 01/05/2004 355,433 355,433 Citigroup Eurodollar Time Deposit 1.090% 03/04/2004 1,421,730 1,421,730 Citigroup Eurodollar Time Deposit 1.100% 01/22/2004 355,433 355,433 Credit Agricole Indosuez Eurodollar Time Deposit 1.080% 01/06/2004 3,660,954 3,660,954 Dreyfus Cash Management Plus, Inc. Money Market Fund 1,954,878 1,954,878 Fannie Mae Discount Note 1.062% 01/02/2004 1,066,298 1,066,298 Fleet National Bank Bank Note 1.000% 01/21/2004 1,777,162 1,777,162 Freddie Mac Discount Note 1.062% 01/27/2004 1,418,799 1,418,799 General Electric Capital Corp. 1.092% 01/05/2004 1,773,934 1,773,934 Goldman Sachs Financial Square Prime Obligations Money Market Fund 710,864 710,864 Harris Trust & Savings Bank Eurodollar Time Deposit 1.050% 01/29/2004 390,976 390,976 Merrill Lynch Premier Institutional Money Market Fund 2,445,416 2,445,416 Merrimac Money Market Fund 5,900,179 5,900,179 Morgan Stanley Dean Witter & Co. 1.080% 01/29/2004 1,848,249 1,848,249
The accompanying notes are an integral part of the financial statements. 38
PRINCIPAL MARKET AMOUNT VALUE ------------- --------------- National Bank of Commerce Bank Note 1.120% 05/19/2004 $ 888,581 $ 888,581 Royal Bank of Canada Eurodollar Time Deposit 1.050% 02/27/2004 888,581 888,581 Royal Bank of Scotland Eurodollar Time Deposit 1.080% 01/09/2004 710,864 710,864 Royal Bank of Scotland Eurodollar Time Deposit 1.080% 01/15/2004 1,777,162 1,777,162 Royal Bank of Scotland Eurodollar Time Deposit 1.090% 03/03/2004 888,581 888,581 Southtrust Bank Eurodollar Time Deposit 1.090% 02/17/2004 1,066,298 1,066,298 Svenska Handlesbanken Eurodollar Time Deposit 1.080% 02/04/2004 888,581 888,581 Svenska Handlesbanken Eurodollar Time Deposit 1.085% 01/15/2004 888,581 888,581 Svenska Handlesbanken Eurodollar Time Deposit 1.090% 02/24/2004 1,777,162 1,777,162 Toronto Dominion Bank Eurodollar Time Deposit 1.100% 01/08/2004 355,433 355,433 Wells Fargo Eurodollar Time Deposit 1.070% 01/20/2004 4,265,188 4,265,188 --------------- 49,561,963 --------------- TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) 49,561,963 --------------- TOTAL INVESTMENTS -- 102.6% (COST $1,145,624,233)*** 1,372,915,735 OTHER ASSETS/ (LIABILITIES) -- (2.6%) (34,477,657) --------------- NET ASSETS -- 100.0% $ 1,338,438,078 ===============
NOTES TO PORTFOLIO OF INVESTMENTS ADR - American Depository Receipt. * Non-income producing security. ** Represents investments of security lending collateral. (NOTE 2). *** Aggregate cost for Federal tax purposes. (NOTE 7). The remainder of this page is intentionally left blank. The accompanying notes are an integral part of the financial statements. 39 NOTES TO FINANCIAL STATEMENTS 1. THE FUND MML Series Investment Fund ("MML Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a no-load, 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 May 14, 1993, as amended. The following are four series of the Trust (each individually referred to as a "Fund" or collectively as the "Funds"): MML Money Market Fund ("Money Market Fund"), MML Managed Bond Fund ("Managed Bond Fund"), MML Blend Fund ("Blend Fund") and MML Equity Fund ("Equity Fund"). The MML Trust was established by Massachusetts Mutual Life Insurance Company ("MassMutual") for the purpose of providing vehicles for the investment of assets of various separate investment accounts established by MassMutual and by life insurance companies which are subsidiaries of MassMutual. Shares of MML Trust are not offered to the general public. 2. SIGNIFICANT The following is a summary of significant accounting ACCOUNTING policies followed consistently by each Fund in the POLICIES preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America ("generally accepted accounting principles"). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. INVESTMENT Equity securities are valued on the basis of valuations VALUATION furnished by a pricing service, authorized by the Board of Trustees ("Trustees"), which provides the last reported sale price for securities listed on a national securities exchange or the official closing price on the NASDAQ National Market System, or in the case of over-the-counter securities not so listed, the last reported bid price. Debt securities (other than short-term obligations with a remaining maturity of sixty days or less) are valued on the basis of valuations furnished by a pricing service, authorized 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. For the Managed Bond Fund, Blend Fund and Equity Fund, short-term securities with a remaining maturity of sixty days or less are valued at either amortized cost or at original cost plus accrued interest, whichever approximates current market value. The Money Market Fund's portfolio securities are valued at amortized cost in accordance with Rule 2a-7 under the Investment Company Act of 1940, as amended, pursuant to which the Money Market Fund must adhere to certain conditions. It is the intention of the Money Market Fund to maintain a per-share net asset value of $1.00. All other securities and other assets, including debt securities for which the prices supplied by a pricing agent are deemed by MassMutual not to be representative of market values, including restricted securities and securities for which no market quotation is available, are valued at fair value in accordance with procedures approved by and determined in good faith by the Trustees, although the actual calculation may be done by others. Portfolio securities traded on more than one national securities exchange are valued at the last price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. All assets and liabilities expressed in foreign currencies will be converted into U.S. dollars at the mean between the buying and selling rates of such currencies against U.S. dollars last quoted by any major bank. If such quotations are not available, the rate of exchange will be determined in accordance with policies established by the Trustees. SECURITIES LENDING The Managed Bond Fund, Blend Fund and Equity Fund may lend their securities to qualified brokers; however, securities lending cannot exceed 10% of the total assets of the Managed Bond Fund taken at current value, and 33% of the total assets of the Blend Fund and the Equity Fund taken at current value. The loans are collateralized at all times with cash or securities with a market value at least equal to 100% of the market value of the securities on loan. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities. At December 31, 2003, the 40 Funds loaned securities having the following market values, collateralized by cash, which was invested in short-term instruments in the following amounts:
SECURITIES ON LOAN COLLATERAL ------------------ ---------- Managed Bond Fund $ 22,424,305 $ 23,017,763 Blend Fund 54,726,325 56,533,709 Equity Fund 47,801,340 49,561,963
REPURCHASE The Money Market Fund, Managed Bond Fund and Blend Fund AGREEMENTS 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. The Funds, through their custodian, take possession of the securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Funds in the event of default by the seller. Collateral for repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the Funds and the counterparty. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Funds may be delayed or limited. ACCOUNTING FOR Investment transactions are accounted for on the trade INVESTMENTS date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed on the specific identification cost method. 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. FEDERAL INCOME TAX It is each Fund's intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"), applicable to a regulated investment company. Under such provisions, the Funds will 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, no Federal income tax provision is required. DIVIDENDS AND Dividends from net investment income are declared and DISTRIBUTIONS TO paid quarterly for the Managed Bond and Blend Fund and SHAREHOLDERS annually for the Equity Fund and at other times as may be required to satisfy tax or regulatory requirements. Dividends from net investment income are declared daily and paid monthly for the Money Market Fund. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to investments in forward contracts, passive foreign investment companies, the deferral of wash sale losses, and paydowns on certain mortgage-backed securities. As a result, net investment income and net realized gain on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting the net asset value of the Funds. 41 During the year ended December 31, 2003, the following amounts were reclassified due to the differences between book and tax accounting:
ACCUMULATED NET REALIZED UNDISTRIBUTED PAID-IN GAIN (LOSS) ON NET INVESTMENT CAPITAL INVESTMENTS INCOME (LOSS) ------------ -------------- -------------- Managed Bond Fund $ (57,127) $ (2,338,662) $ 2,395,789 Blend Fund (89,731) (1,192,700) 1,282,431 Equity Fund (245,401) 356,462 (111,061)
FOREIGN CURRENCY The books and records of the Funds are maintained in TRANSLATION 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 recorded on the books of the Funds and the amount actually received. FORWARD FOREIGN The Managed Bond and Blend Funds may enter into forward CURRENCY foreign currency contracts in order to hedge the effect CONTRACTS of currency movements of foreign denominated securities or obligations. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange and interest rates. 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. 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. Forward foreign currency contracts involve a risk of loss from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in foreign currency values and interest rates. The notional or contractual amounts of these instruments represent the investments the Funds have in particular classes of financial instruments and 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 are considered. At December 31, 2003, the Funds had no open forward foreign currency contracts. FORWARD Each Fund may purchase or sell securities on a "when COMMITMENTS issued" or delayed delivery or on a forward commitment basis. The Funds use forward commitments to manage interest rate exposure or as a temporary substitute for purchasing or selling particular debt securities. Delivery and payment for securities purchased on a forward commitment basis can take place a month or more after the date of the transaction. The Funds instruct the custodian to segregate assets in a separate account with a current market value at least equal to the amount of its forward purchase commitments. The price of the 42 underlying security and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Forward commitments are valued on the basis of valuations furnished by a pricing service, authorized 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 and determined in good faith by the Trustees, although the actual calculation may be done by others. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the value of the forward commitment. When a forward commitment contract is closed, 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. Forward commitments involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. The Funds could also be exposed to loss if they cannot close out their forward commitments because of an illiquid secondary market, or the inability of counterparties to perform. The Funds monitor exposure to ensure counterparties are creditworthy and concentration of exposure is minimized. A summary of open obligations for the Managed Bond Fund and the Blend Fund under these forward commitments at December 31, 2003, is as follows:
FORWARD EXPIRATION AGGREGATE COMMITMENT OF FACE VALUE MARKET UNREALIZED CONTRACTS TO BUY CONTRACTS OF CONTRACTS COST VALUE APPRECIATION --------------------- ---------- ------------ ---------- ----------- ------------ MML MANAGED BOND FUND MASTR Asset Securitization Trust Series 2003-12, Class 6A1 5.0% 12/25/2033 January-04 $ 3,000,000 $ 2,933,906 $ 2,940,000 $ 6,094 MML BLEND FUND MASTR Asset Securitization Trust Series 2003-12, Class 6A1 5.0% 12/25/2033 January-04 $ 3,000,000 $ 2,933,906 $ 2,940,000 $ 6,094
FINANCIAL FUTURES The Funds may purchase or sell financial futures CONTRACTS contracts and options on such futures contracts for the purpose of hedging the market risk on existing securities or as a substitute for the purchase of securities. Futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. When the contract is closed, each 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. At December 31, 2003, the Funds had no open futures contracts. 43 3. MANAGEMENT FEES AND OTHER TRANSACTIONS INVESTMENT Under agreements between the Trust and MassMutual on MANAGEMENT FEE behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for this service, MassMutual receives advisory fees monthly from each Fund at the annual rate of 0.50% of the first $100,000,000, 0.45% of the next $200,000,000, 0.40% of the next $200,000,000 and 0.35% of any excess over $500,000,000 of the average daily net asset value of each Fund. MassMutual has entered into an investment sub-advisory agreement with David L. Babson & Company, Inc. ("DLB"), pursuant to which DLB serves as the Funds' sub-adviser providing day-to-day management of the Funds' investments. DLB is a wholly-owned subsidiary of DLB Acquisition Corporation, which is a controlled subsidiary of MassMutual. DLB receives a fee from MassMutual equal to an annual rate of 0.13% of the average daily net asset value of the portion of the assets of the Equity Fund that DLB manages, 0.13% of the average daily net assets of the Equity Segment of the Blend Fund, 0.09% of the average daily net assets of the Money Market and Bond Segments of the Blend Fund, 0.05% of the average daily net assets of the Money Market Fund and 0.10% of the average daily net assets of the Managed Bond Fund. MassMutual has also entered into an investment sub-advisory agreement with Alliance Capital Management L.P. ("Alliance Capital"). Alliance Capital is a limited partnership, the majority ownership interests in which are held by its affiliates: Alliance Capital Management Holding L.P., a publicly traded partnership; and AXA Financial, Inc. ("AXA Financial") together with certain wholly-owned subsidiaries of AXA Financial. AXA Financial is a wholly-owned subsidiary of AXA. The sub-advisory agreement with Alliance Capital provides that Alliance Capital manage a portion of the investment and reinvestment of the assets of the Equity Fund. MassMutual pays a sub-advisory fee to Alliance Capital based upon the aggregate net assets under management which include (1) the average daily net asset value of the portion of the assets of the Equity Fund that Alliance Capital manages, and (2) the average daily net assets of all other funds or accounts of MassMutual or its affiliates for which Alliance Capital provides sub-advisory services and which have substantially the same investment objectives, policies and investment strategies. EXPENSE WAIVERS MassMutual has agreed, at least through April 30, 2004, to bear the expenses of each Fund to the extent that the aggregate expenses (excluding each Fund's management fee, interest, taxes, brokerage commissions and extraordinary expenses) incurred during the Fund's fiscal year exceed 0.11% of the average daily net asset value of each Fund for such year. No waivers have been required as a result of this agreement for the year ended December 31, 2003. OTHER Certain officers and trustees of the Funds are also officers of MassMutual. The compensation of each trustee who is not an officer or employee of MassMutual is borne by the Funds. DEFERRED Trustees of the Funds that are not employees of COMPENSATION MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of the Non-Qualified Deferred Compensation Plan. Any amounts deferred shall accrue interest at a rate equal to eight percent (8%) per annum. For the year ended December 31, 2003, no significant amounts have been deferred. 44 4. PURCHASES AND Cost of purchases and proceeds from sales of investment SALES OF securities (excluding short-term investments) for the INVESTMENTS year ended December 31, 2003, were as follows:
LONG-TERM U.S. OTHER LONG-TERM GOVERNMENT SECURITIES SECURITIES --------------------- --------------- PURCHASES Managed Bond Fund $ 155,903,637 $ 128,688,403 Blend Fund 111,131,671 831,799,249 Equity Fund - 716,561,072 SALES Managed Bond Fund $ 226,094,535 $ 109,558,859 Blend Fund 145,791,287 913,191,691 Equity Fund - 802,429,068
5. CAPITAL SHARE The Funds are authorized to issue an unlimited number TRANSACTIONS of shares, with no par value in each class of shares. Changes in shares outstanding for each Fund are as follows:
YEAR ENDED DECEMBER 31, 2003 YEAR ENDED DECEMBER 31, 2002 SHARES AMOUNT SHARES AMOUNT -------------- ---------------- -------------- ---------------- MONEY MARKET FUND Sold 105,705,023 $ 105,590,864 165,193,610 $ 165,008,566 Issued as reinvestment of dividends 1,152,760 1,151,593 2,684,850 2,681,623 Redeemed (157,549,810) (157,379,811) (179,358,620) (179,157,417) -------------- ---------------- -------------- ---------------- Net increase (decrease) (50,692,027) $ (50,637,354) (11,480,160) $ (11,467,228) ============== ================ ============== ================ MANAGED BOND FUND Sold 7,918,246 $ 99,825,935 10,984,290 $ 135,540,613 Issued as reinvestment of dividends 1,653,061 20,809,869 1,746,822 21,389,456 Redeemed (10,213,932) (128,594,509) (5,688,928) (70,199,766) -------------- ---------------- -------------- ---------------- Net increase (decrease) (642,625) $ (7,958,705) 7,042,184 $ 86,730,303 ============== ================ ============== ================ BLEND FUND Sold 2,306,539 $ 31,049,864 3,317,565 $ 45,740,765 Issued as reinvestment of dividends 1,979,001 27,002,708 2,662,705 35,476,768 Redeemed (12,990,744) (172,966,124) (21,550,926) (291,797,623) -------------- ---------------- -------------- ---------------- Net increase (decrease) (8,705,204) $ (114,913,552) (15,570,656) $ (210,580,090) ============== ================ ============== ================ EQUITY FUND Sold 2,869,073 $ 51,938,991 3,970,790 $ 75,723,259 Issued as reinvestment of dividends 1,019,277 21,136,767 2,191,725 37,772,495 Redeemed (9,220,071) (163,790,004) (14,913,474) (278,619,551) -------------- ---------------- -------------- ---------------- Net increase (decrease) (5,331,721) $ (90,714,246) (8,750,959) $ (165,123,797) ============== ================ ============== ================
6. FOREIGN The Funds may also invest in foreign securities, SECURITIES subject to certain percentage restrictions. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities issued by U.S. companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. Government. 45 7. FEDERAL INCOME At December 31, 2003, the cost of securities and the TAX INFORMATION unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a Federal income tax basis, were as follows:
FEDERAL TAX BASIS TAX BASIS NET UNREALIZED INCOME TAX UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION DEPRECIATION (DEPRECIATION) ---------------- -------------- -------------- -------------- Managed Bond Fund $ 387,451,557 $ 14,944,305 $ (4,271,691) $ 10,672,614 Blend Fund 990,782,324 155,724,483 (8,480,089) 147,244,394 Equity Fund 1,162,637,853 221,172,513 (10,894,631) 210,277,882
Note: The aggregate cost for investments for the Money Market Fund as of December 31, 2003, is the same for financial reporting and Federal income tax purposes. At December 31, 2003, the following Funds had available, for Federal income tax purposes, unused capital losses:
EXPIRING EXPIRING EXPIRING 2009 2010 2011 -------------- -------------- ------------- Money Market Fund $ 200,726 $ - $ - Managed Bond Fund - 3,720,523 - Blend Fund 138,677,965 96,826,930 44,214,404 Equity Fund - 178,923,645 94,130,260
Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year, or until their respective expiration dates, whichever occurs first. Certain differences exist from the amounts reflected in the Statement of Changes in Net Assets primarily due to the character of short-term capital gains treated as ordinary income for tax purposes. The tax character of distributions paid during the year ended December 31, 2003 was as follows:
ORDINARY LONG TERM RETURN OF INCOME CAPITAL GAIN CAPITAL ------------- ------------- ------------- Money Market Fund $ 1,051,782 $ - $ - Managed Bond Fund 20,809,869 - - Blend Fund 27,002,708 - - Equity Fund 21,136,767 - -
At December 31, 2003, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED LONG TERM UNREALIZED ORDINARY CAPITAL GAIN/ APPRECIATION/ INCOME (LOSS) (CAPITAL LOSS CARRYOVER) (DEPRECIATION)* ------------- ------------------------ --------------- Money Market Fund $ 32,835 $ (200,726) $ - Managed Bond Fund - (4,002,183) 11,777,099 Blend Fund - (310,598,980) 177,361,872 Equity Fund - (290,067,827) 227,291,502
* INCLUDES UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS, DERIVATIVES AND FOREIGN CURRENCY DENOMINATED ASSETS AND LIABILITIES, IF ANY. 46 The following Funds have elected to defer to January 1, 2004 post-October losses:
AMOUNT ----------- Managed Bond Fund $ 10,185 Blend Fund 766,582
47 INDEPENDENT AUDITORS' REPORT THE BOARD OF TRUSTEES AND SHAREHOLDERS OF MML SERIES INVESTMENT FUND We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of the MML Money Market Fund, the MML Managed Bond Fund, the MML Blend Fund, and the MML Equity Fund (collectively the "Funds") which are components of the MML Series Investment Fund ("The MML Trust"), as of December 31, 2003, and the related statements of operations for the year then ended, the statements of changes in net assets for the two years in the period ended December 2003 and the financial highlights for the five years in the period ended December 2003. The financial statements and financial highlights are the responsibility of the MML Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2003 by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2003, and the results of their operations, the changes in their net assets and their financial highlights for the respective stated periods in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Deloitte & Touche LLP Boston, Massachusetts February 11, 2004 48 TRUSTEES AND OFFICERS (UNAUDITED) The following table lists the Trust's trustees and officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called "public companies") or in registered investment companies. The Trust's Statement of Additional Information includes additional information about the Trust's trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund, c/o Massachusetts Mutual Life Insurance Company, 1295 State Street, Springfield, Massachusetts 01111-0111, Attention: Retirement Services Marketing. DISINTERESTED TRUSTEES
TERM NUMBER OF OF OFFICE** PORTFOLIOS IN AND FUND POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE - -------------------------- ------------ ----------- ----------------------------- ------------- ------------------------------ Ronald J. Abdow Trustee of Since President, Abdow Corporation 46 Trustee, Abdow G&R Trust and Age: 71 the Trust 1993 (operator of restaurants). Abdow G&R Co. (owners and operators or restaurant properties); Chairman, Western Mass Development Corp.; Chairman, American International College; Trustee (since 2002), Oppenheimer Tremont Market Neutral Fund LLC, Oppenheimer Tremont Opportunity Fund LLC and Oppenheimer Real Estate Fund. Richard H. Ayers Trustee of Since Retired. 46 Director, Applera Corporation; Age: 60 the Trust 1999 Director (since 2002), Instron Corporation. Mary E. Boland Trustee of Since Attorney at Law, Egan, 46 Director (since 1999), Age: 63 the Trust 1973 Flanagan and Cohen, P.C. (law BankNorth Massachusetts; firm), Springfield, MA. Director (since 1999), Massachusetts Educational Financing Authority. Richard W. Greene Trustee of Since Retired; Vice President for 46 Age: 67 the Trust 1999 Investments and Treasurer (1998-2000), University of Rochester (private university).
49
TERM NUMBER OF OF OFFICE** PORTFOLIOS IN AND FUND POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE - -------------------------- ------------ ----------- ----------------------------- ------------- ------------------------------ Beverly L. Hamilton Trustee of Since President ARCO Investment 46 Director (since 1991), Age: 56 the Trust 1999 Management Co. (1991-2000). American Funds Emerging Markets Growth Fund (open-interval mutual fund); Trustee (since 2000), Monterey Institute for International Studies; Trustee (since 2001), The California Endowment; Trustee (since 2002), Community Hospital of the Monterey Peninsula; Trustee (since 2002), Board II Oppenheimer Funds; Investment Advisory Committees of Rockefeller Foundation, Unilever (Holland) pension fund, CFSB Sprout, University of Michigan endowment and Hartford Hospital. F. William Marshall, Jr. Trustee of Since Consultant (since 1999); 46 Trustee (since 2000), Board II Age: 61 the Trust 1996 Chairman (1999), Family Bank, Oppenheimer Funds. F.S.B. (formerly SIS Bank); Executive Vice President (1999), Peoples Heritage Financial Group; President, Chief Executive Officer and Director (1993-1999), SIS Bancorp, Inc. and SIS Bank (formerly, Springfield Institution for Savings). Allan W. Blair Trustee of Since President and Chief Executive 46 Director (since 2001), Future Age: 55 the Trust 2003 Officer (since 1996), Works, Inc. Economic Development Council of Western Massachusetts; President and Chief Operating Officer (since 1993), Westmass Area Development Corporation; President and Chief Operating Officer (since 1984), Westover Metropolitan Development Corporation. R. Alan Hunter, Jr. Trustee of Since Retired. 46 Age: 56 the Trust 2003
50 INTERESTED TRUSTEES
TERM NUMBER OF OF OFFICE** PORTFOLIOS IN AND FUND POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE - -------------------------- ------------ ----------- ---------------------------- ------------- ------------------------------ Stuart H. Reese Chairman Since Executive Vice President and 46 Director (since 1994), Merrill Age: 48 and Trustee 1999 Chief Investment Officer Lynch Derivative Products; of the Trust (since 1999), Chief Chairman (since 1999), Executive Director Director (since 1996), Antares (1997-1999), MassMutual; Capital Corporation (finance Chairman and Chief Executive company); Director (since Officer (since 2001), 1996), HYP Management, Inc. President and Chief (managing member of MassMutual Executive Officer High Yield Partners LLC), and (1999-2001), David L. Babson MMHC Investment, Inc. & Company Inc. (investment (investor in funds sponsored adviser); Chairman (since by MassMutual); Director 1999), President (since 1994), MassMutual (1995-1999), MassMutual Corporate Value Partners Corporate Investors and Limited (investor in debt and MassMutual Participation equity securities) and Investors (closed-end MassMutual Corporate Value investment companies). Limited (parent of MassMutual Corporate Value Partners Limited); President (since 1997), MassMutual/ Darby CBO IM Inc. (manager of MassMutual/ Darby CBO LLC, a high yield bond fund); Advisory Board Member (since 1995), Kirtland Capital Partners. Frederick C. Castellani Trustee and Since Executive Vice President 46 Age: 56 President 2001 (since 2001), Senior Vice of the Trust President (1996-2001), MassMutual. Robert E. Joyal Trustee of Since Retired; President 46 Director (since 1996), Antares Age: 58 the Trust 2003 (2001-2003), Director Leverage Capital Corp.; (2000-2003) and Managing Director (since 1996), Director (2000-2001), David L. MassMutual High Yield Partners Babson & Company Inc.; II, LLC; Director (since Executive Director 1999), MassMutual Corporate (1997-1999), Massachusetts Value Partners Limited; Mutual Life Insurance Company. President (since 1999), MassMutual Corporate Investors (closed-end investment company); President (since 1999), MassMutual Participation Investors (closed-end investment company).
51 PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
NUMBER OF PORTFOLIOS IN FUND POSITION(S) LENGTH PRINCIPAL COMPLEX NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(s) DURING OVERSEEN BY AND AGE TRUST SERVED PAST 5 YEARS OFFICER - -------------------------- ------------ ----------- ----------------------------------- ------------- James S. Collins Chief Since Vice President (since 1999), Second 46 Age: 45 Financial 2000 Vice President (1990-1999), Officer and MassMutual. Treasurer of Trust Thomas M. Kinzler Vice Since Vice President and Associate 46 Age: 47 President 1999 General Counsel (since 1999), and Second Vice President and Associate Secretary General Counsel (1996-1999), of the Trust MassMutual. Vernon J. Meyer Vice Since Vice President (since 1998), 46 Age: 38 President 1999 MassMutual. of the Trust David W. O'Leary Vice Since Senior Vice President (since 14 Age: 42 President 2001 2001), MassMutual; Senior Vice of the Trust President (1999-2001), Vice President (1996-1999), Aetna Financial Services. Toby Slodden Vice Since Executive Vice President (since 46 Age: 46 President 2003 2003), Senior Vice President of the Trust (1999-2003), Vice President (1997-1999), MassMutual.
* The address of each Trustee and Principal Officer is the same as that for the Trust; 1295 State Street, Springfield, Massachusetts 01111. ** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his successor or until he dies, resigns or is removed. Notwithstanding the foregoing, a Trustee shall retire and cease to serve as a Trustee as of the first board meeting following the date on which the Trustee attains the age of seventy-two years. Except, any Trustee who attained the age of seventy-two years during 2001 shall retire and cease to serve as a Trustee on or before June 1, 2003. FEDERAL TAX INFORMATION (UNAUDITED) For corporate shareholders, a portion of the ordinary dividends paid during the Fund's year ended December 31, 2003 qualified for the dividends received deduction, as follows: Managed Bond Fund 0.32% Blend Fund 41.43% Equity Fund 100.00%
52 [MASSMUTUAL FINANCIAL GROUP(SM) LOGO] Massachusetts Mutual Life Insurance Company and affiliates, Springfield, MA 01111-0001 www.massmutual.com MassMutual Financial Group is a marketing designation (or fleet name) for Massachusetts Mutual Life Insurance Company (MassMutual) and its affiliates. L4540 204 ITEM 2 CODE OF ETHICS. As of December 31, 2003, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2003, there were no amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under item 10 (a). ITEM 3 AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Richard H. Ayers and Richard W. Greene, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the "SEC"). Mr. Ayers and Mr. Greene are "independent" as defined by the SEC for purposes of audit committee financial expert determinations. ITEM 4 PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES: The aggregate fees paid and accrued by the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant's annual financial statements for 2003 and 2002 were $78,100 and $68,628, respectively. (b) AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2003 or 2002. (c) TAX FEES: The aggregate fees paid or accrued by the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form 1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses.for 2003 and 2002 were $21,580 and $11,257, respectively. (d) ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2003 or 2002. (e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICY: All services to be performed for the Registrant by Deloitte & Touche LLP must be pre-approved by the audit committee. All services performed during 2003 and 2002 were pre-approved by the committee. (2) Not applicable. (f) Not applicable. (g) Not applicable. (h) Not applicable. ITEM 5 AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to this filing. ITEM 6 [RESERVED] ITEM 7 DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 8 [RESERVED] ITEM 9 CONTROLS AND PROCEDURES. (a) The Registrant's Principal Executive Officer and Principal Financial Officer concluded that the Registrant's disclosure controls and procedures are effective based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"). (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 last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 10 (EXHIBITS): (a)(1) Code of Ethics Described in Item 2 is attached. (a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a) are attached hereto as Exhibit 99CERT.302 (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99CERT.906. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) MML Series Investment Fund By (Signature and Title): /s/ Frederick C. Castellani ------------------------------------------- Frederick C. Castellani, President and Principal Executive Officer Date February 11, 2004 -------------------- 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/ Frederick C. Castellani ------------------------------------------- Frederick C. Castellani, President and Principal Executive Officer Date February 11, 2004 -------------------- By (Signature and Title): /s/ James S. Collins ------------------------------------------- James S. Collins, Treasurer and Principal Financial Officer Date February 11, 2004 -------------------- EX-99.CODEOFETH 3 a2129643zex-99_codeofeth.txt EX-99.CODE OF ETHICS EXHIBIT 99.CODE ETH CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS OF MASSMUTUAL INSTITUIONAL FUNDS MML SERIES INVESTMENT FUND This Code of Ethics (the "Code") for Principal Executive and Senior Financial Officers has been adopted by those investment companies identified above for which Massachusetts Mutual Life Insurance Company ("MassMutual") acts as investment adviser (individually, a "Fund" and collectively, the "Funds"), to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406. The Code applies to each Fund's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions ("Covered Officers"). A listing of positions currently within the ambit of Covered Officers for each Fund is attached as Exhibit A.(1) 1. PURPOSES OF THE CODE This Code sets forth standards and procedures that are reasonably designed to deter wrongdoing and to promote: - honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; - full, fair, accurate, timely, and understandable disclosure in reports and documents that the Funds file with, or submit to, the Securities and Exchange Commission ("SEC") and in other public communications made by the Funds; - compliance with applicable governmental laws, rules and regulations; - the prompt internal reporting of violations of this Code to an appropriate person identified in the Code; and - accountability for adherence to this Code. It is acknowledged that, as a result of the contractual relationship between each Fund and MassMutual, of which the Covered Officers are also officers or employees, and subject to MassMutual's fiduciary duties to each Fund, the Covered Officers will, in the normal course of their duties, be involved in establishing policies and implementing decisions that may have different effects on MassMutual and the Funds. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the contractual relationship between each Fund and MassMutual and is consistent with the expectations of each Fund's Board of Trustees with respect to the performance by the Covered Officers of their duties as officers of the Funds. In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the - ---------- (1) The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by the Funds dated August 4, 2003, under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code. following: (1) the duty at all times in performing any responsibilities as a financial officer, controller, accountant or principal executive officer of a Fund, to place the interests of the Fund ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that each Fund's financial statements and reports to shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the Fund's business and affairs in an honest and ethical manner. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. 2. PROHIBITIONS The specific provisions and reporting requirements of this Code are concerned primarily with promoting honest and ethical conduct and avoiding conflicts of interest between personal and professional relationships. No Covered Officer may use information concerning the business and affairs of a Fund (including the investment intentions of a Fund), or use his or her ability to influence such investment intentions, for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the interests of a Fund or its shareholders. No Covered Officer may use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund and its shareholders. No Covered Officer shall, in connection with carrying out his or her official duties and responsibilities on behalf of a Fund: (i) employ any device, scheme or artifice to defraud a Fund or its shareholders; (ii) intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public; (iii) engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders; (iv) engage in any manipulative practice with respect to any Fund; (v) intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund; (vi) intentionally mislead or omit to provide material information to the Fund's independent auditors or to the Board of Trustees or the officers of the Fund or its investment adviser in connection with Fund related matters; (vii) fail to notify the Code Administrator (as defined in Section 7 below) promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws; or (viii) retaliate against others for, or otherwise discourage, the reporting of actual or apparent violations of this Code. 3. REPORTS OF CONFLICTS OF INTERESTS 2 If a Covered Officer becomes aware of an actual or apparent conflict of interest under this Code, he or she must immediately report the matter to the Code's Administrator. Upon receipt of such report, the Code Administrator will take prompt steps to determine whether an actual conflict of interest exists or appears to exist, and if so, will take steps (if possible) to resolve the conflict or remedy the appearance thereof. If the Code Administrator determines that no actual or apparent conflict exists, the Code Administrator shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the Code Administrator may in his or her discretion refer the matter to the affected Fund's Board of Trustees or any committee appointed by the Board to deal with such information. If the Code Administrator is involved or believed to be involved in the conflict of interest or appearance of conflict of interest, the Covered Officer shall report the matter directly to MassMutual's General Counsel, or his or her designee, who shall take the same action as described above with respect to resolving the matter. 4. WAIVERS Any Covered Officer requesting a waiver of any provision of this Code must submit a written request for such waiver to the Code Administrator, setting forth the basis of such request and all necessary facts upon which such request can be evaluated. The Code Administrator shall review such request and make a written determination thereon. In determining whether to waive any of the provisions of this Code, the Code Administrator shall consider whether the proposed action: (i) is prohibited by this Code; (ii) is consistent with honest and ethical conduct; and (iii) will result in a conflict of interest between the Covered Officer's personal and professional obligations to a Fund. In lieu of determining whether to waive any provision of this Code, the Code Administrator may in his or her discretion refer the matter to the affected Fund's Board of Trustees or any committee appointed by the Board to deal with such information. 5. REPORTING REQUIREMENTS (a) Each Covered Officer shall, upon becoming subject to this Code, be presented with a copy of this Code by the Code Administrator, and shall affirm in writing to the Code Administrator that he or she has received, read, understands and shall adhere to this Code (See Exhibit B). (b) At least annually, all Covered Officers shall be provided with a copy of the current Code by the Code Administrator, and shall certify that they have read and understand the Code and recognize that they are subject thereto (See Exhibit B). (c) At least annually, all Covered Officers shall certify that they have complied with the requirements of this Code and that they have disclosed or reported any violations of this Code to the Code Administrator (See Exhibit C). (d) The Code Administrator shall submit a quarterly report to the Board of Trustees or any committee appointed by the Board to deal with such information, containing (i) a description of any report of a conflict of interest or apparent conflict and the disposition thereof; (ii) a description of any request for a waiver from this Code and the disposition thereof; (iii) any violation of the Code that has been reported or found and the sanction imposed; and (iv) any other significant information 3 arising in connection with the Code, including any proposed amendments. (e) Each Covered Officer shall notify the Code Administrator promptly if he or she knows of or has a reasonable belief that any violation of this Code has occurred or is likely to occur. Failure to do so is itself a violation of this Code. (f) Any changes to or waivers of this Code, including "implicit" waivers as defined in applicable SEC rules, will, to the extent required, be disclosed by the Funds as provided by applicable SEC rules.(2) 6. SANCTIONS Any violations of this Code shall be subject to the imposition of such sanctions by MassMutual as may be deemed appropriate under the circumstances to achieve the purpose of this Code and may include, without limitation, a letter of censure, suspension from employment or termination of employment, in the sole discretion of MassMutual, and/or removal as an officer of the Fund, in the sole discretion of the Fund's Board of Trustees or any committee appointed by the Board to deal with such information. 7. ADMINISTRATION AND CONSTRUCTION (a) The administration of this Code of Ethics shall be the responsibility of the Code Administrator of this Code, acting under the terms of this Code and the oversight of the Board of Trustees of the Fund or any committee appointed by the Board to deal with such information. (b) The Code Administrator shall be the Compliance Officer of the Funds or his or her designee. (c) The duties of such Code Administrator will include: (i) maintaining a current list of the names of all Covered Officers; (ii) furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder; (iii) maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder; (iv) issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations; (v) conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations to MassMutual's General Counsel, or his or her designee, and to the Board of Trustees of the affected Fund(s) or any committee appointed by them to deal with such information; and (vi) periodically conducting educational training programs as needed to explain and reinforce the terms of this Code. - ---------- (2) An "implicit waiver" is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the Code Administrator, MassMutual's General Counsel, or his or her designee, or an officer of the Trust. 4 (d) In carrying out the duties and responsibilities described under this Code, the Code Administrator may consult with such other persons as the Code Administrator shall deem necessary or desirable, including legal counsel to the Trust, legal counsel to the Trustees who are not "interested persons," as that term is defined in the Investment Company Act of 1940, as amended (the "Disinterested Trustees"), and legal counsel to the Trust's investment adviser. 8. REQUIRED RECORDS The Code Administrator shall maintain and cause to be maintained in an easily accessible place the following records for the period required by applicable SEC rules (currently six years following the end of the fiscal year of the Fund in which the applicable event or report occurred): (a) a copy of any Code which has been in effect during the period; (b) a copy of each certification pursuant to the Code made by a Covered Officer during the period; (c) a copy of each report made by the Code Administrator pursuant to this Code during the period; (d) a list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports; (e) a record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision; (f) a record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision; and (g) a record of any violation of any such Code and of any action taken as a result of such violation, during the period. 9. AMENDMENTS AND MODIFICATIONS This Code (other than Exhibit A and the names of the Funds identified on the first page that have adopted the Code) may not be amended or modified except by a writing that is approved or ratified by a majority vote of the Board of Trustees and the Disinterested Trustees. 10. CONFIDENTIALITY. This Code is for the internal use of the Funds. Reports and records prepared or maintained under this Code are considered confidential and shall be maintained and protected accordingly to the extent permitted by applicable laws, rules and regulations. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trustees and their counsel, Fund counsel, Fund officers, the independent auditors of the Funds, and MassMutual or its counsel, except as such disclosure may be required pursuant to applicable judicial or regulatory process. 5 EXHIBIT A POSITIONS COVERED BY THIS CODE OF ETHICS MASSMUTUAL INSTITUTIONAL FUNDS AND MML SERIES INVESTMENT FUND Principal Executive Officer Chief Financial Officer Treasurer Assistant Treasurer PERSONNEL OF MASSMUTUAL WHO BY VIRTUE OF THEIR JOBS PERFORM CRITICAL FINANCIAL AND ACCOUNTING FUNCTIONS FOR MASSMUTUAL ON BEHALF OF A FUND, INCLUDING: Second Vice President/Fund Operations 6 EXHIBIT B INITIAL/ANNUAL CERTIFICATION By signing below I certify that I have received, read, and understand this Code of Ethics for Principal Executive and Senior Financial Officers of the Funds (the "Code"), and further certify that I shall adhere to this Code. - ----------------------------------------------------------------------- Signature - ----------------------------------------------------------------------- (Type or Print) Name and Title - --------------------------- Date Please return the executed certification to the Code Administrator. 7 EXHIBIT C ANNUAL COMPLIANCE/REPORTING CERTIFICATION By signing below, I certify that I have complied with the requirements of this Code of Ethics for Principal Executive and Senior Financial Officers of the Funds (the "Code"), and have disclosed or reported any violations of this Code to the Code Administrator for the year ended 2003. - ----------------------------------------------------------------------- Signature - ----------------------------------------------------------------------- (Type or Print) Name and Title - --------------------------- Date Please return the executed certification to the Code Administrator. 8 EX-99.CERT 4 a2129643zex-99_cert.txt EX-99.CERT EXHIBIT 99.CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002: I, Frederick C. Castellani, certify that: 1. I have reviewed this report on Form N-CSR of MML Series Investment Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the Registrant's most recent fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: February 11, 2004 ----------------- /s/ Frederick C. Castellani ------------------------------------------- Frederick C. Castellani President and Principal Executive Officer CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002: I, James S. Collins, certify that: 1. I have reviewed this report on Form N-CSR of MML Series Investment Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the Registrant's most recent fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: February 11, 2004 ----------------- /s/ James S. Collins ---------------------------------------------- James S. Collins Treasurer and Principal Financial Officer EX-99.906.CERT 5 a2129643zex-99_906cert.txt EX-99.906.CERT EX-99.906.CERT CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 Frederick C. Castellani, President and Principal Executive Officer of MML Series Investment Fund (the "Registrant"), certifies to the best of his knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended December 31, 2003 (the "Form N-CSR") fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. /s/ Frederick C. Castellani -------------------------------------------- Frederick C. Castellani President and Principal Executive Officer Date February 11, 2004 --------------------- A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the "Commission") or its staff upon request. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Commission. CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 James S. Collins, Treasurer and Principal Financial Officer of MML Series Investment Fund (the "Registrant"), certifies to the best of his knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended December 31, 2003 (the "Form N-CSR") fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. /s/ James S. Collins -------------------------------------------- James S. Collins Treasurer and Principal Financial Officer Date February 11, 2004 --------------------- A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the "Commission") or its staff upon request. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Commission. -----END PRIVACY-ENHANCED MESSAGE-----