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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-02224
MML Series Investment Fund
(Exact name of registrant as specified in charter)
100 Bright Meadow Blvd., Enfield, CT 06082
(Address of principal executive offices) (Zip code)
Richard J. Byrne
100 Bright Meadow Blvd., Enfield, CT 06082
(Name and address of agent for service)
Registrant’s telephone number, including area code:(860) 562-1000
Date of fiscal year end: 12/31/2013
Date of reporting period: 12/31/2013
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Item 1. Reports to Stockholders.
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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MML Series Investment Fund – President’s Letter to Shareholders (Unaudited)
| * | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
(Continued)
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MML Series Investment Fund – President’s Letter to Shareholders (Unaudited) (Continued)
Who Matters Most
MassMutual believes “Who Matters Most to You Says the Most About You.” Our customers matter most to us, and our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. The calendar page turning from one year to the next can be a good time for you to assess your financial situation, focus on your strategy for the future, and meet with your financial professional, if you work with one. Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. Thank you for putting your trust in MassMutual.
Sincerely,
Richard J. Byrne
President
The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.
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MML Series Investment Fund – Economic and Market Overview (Unaudited)
December 31, 2013
Stock investors flourish amid central bank support
Investors drove many U.S. stock indexes to record highs in 2013 – and domestic bonds had a negative year for the first time since 1999 – in an environment that featured the continuation of the Federal Reserve’s (the “Fed”) Quantitative Easing program (“QE”) and brought multiple political standoffs over fiscal legislation, a partial government shutdown, improvement in economic indicators in the U.S., and varying degrees of economic and market strength in Europe and the Far East.
The Fed continued its ongoing effort to foster an environment accommodative to economic growth. The central bank helped keep short-term interest rates at historically low levels by maintaining the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008. The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight. The Fed’s QE purchases of mortgage-backed securities and longer-dated Treasuries totaled $85 billion per month, which helped support the prices of bonds by helping keep demand high for much of the year and contributed to the positive environment for stocks.
The Fed kept QE in full force for the entire year and spurred considerable disruption in both the stock and bond markets when Fed Chairman Bernanke appeared before Congress on May 22 and indicated that the central bank was considering some near-term “tapering” or reduction of its bond purchases. The Fed’s policy announcement on September 18 offered a positive surprise to markets by indicating there would be no imminent changes to QE, as most observers had anticipated the implementation of at least a token decrease in the Fed’s monthly purchases. A market-moving event occurred on December 18, when the Fed unveiled its decision to reduce the monthly bond purchases in QE from $85 billion to $75 billion starting in January 2014. Although improving economic conditions had put the possibility of tapering QE on the front burner once again, many observers expected the central bank to postpone the move, as it had in September. The Fed’s proposed cutback of $10 billion per month was near the low end of expectations for the initial reduction, which helped soften the blow. The Fed also reiterated that short-term rates would remain at current levels, saying the central bank won’t raise short-term rates until well past the time that the unemployment rate declines below 6.5%. The Fed’s December 18 statement indicated Fed officials expect short-term rates to be lower than 1% through the end of 2015, which brought some clarity to the Fed’s near-term plans, and investors drove up stocks in response.
Oil started 2013 at nearly $92 per barrel, dipped to less than $85 in April, crested above $110 in early September, and closed the year at about $98. Gas prices rose substantially in the first quarter of 2013, but declined throughout the fourth quarter of 2013, giving consumers some relief at the pumps at the end of the year. The average price moved in a range between approximately $3.55 and $3.75 per gallon for much of the second and third quarters before dropping to around $3.40 by the end of the year. Gold lost much of its luster with investors who sought the higher returns generated by equities and other investments in the positive market environment. The precious metal led off the year at around $1,657 per ounce, headed downward until early July, staged a summer rally that lost steam as the third quarter drew to a close, and finished the year lower at $1,205.
Market performance
Equity markets rewarded investors substantially in 2013, with U.S. stocks showcasing their best performance since 1995. The NASDAQ Composite® Index, the major technology stock benchmark, returned 40.12% for the year and was the leader among U.S. broad-market indexes. The Russell 2000® Index, representing small-capitalization stocks, finished the year near the top of the pile with a 38.82% increase. The S&P 500® Index of large-capitalization U.S. stocks posted a 32.39% advance, while the blue-chip Dow Jones Industrial AverageSM rose 29.65%. The Morgan Stanley Capital International (“MSCI®”) Europe, Australasia, Far East (EAFE®) Index, a barometer for foreign stocks in developed markets, gained 22.78%, benefiting from the strong performance of Japanese stocks, which rose 57% and had their best performance in 40 years. Stocks from developing economies did not fare as well, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, lost 2.60% during 2013.
Bonds largely struggled during the 12 months, with the Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, declining 2.02%. The yield of the 10-year U.S. Treasury note advanced (and its price declined) over the course of the year from 1.83% to 3.02%, taking a very choppy route to make the climb, as wary investors sold notes in reaction to signals from the Fed about the reduction of QE. The yield of the 10-year note is a key benchmark in determining
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MML Series Investment Fund – Economic and Market Overview (Unaudited) (Continued)
mortgage rates, and its advance caused a slowdown in mortgage sales. Conversely, unrelenting low shorter-term interest rates continued to take their toll, with shorter-term debt investments barely managing to stay in positive territory. In this environment, the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 0.37%; and Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.05%. Fixed-income investors sought the higher returns offered by high-yield bonds, which helped the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, advance 7.44% for the year.*
First quarter 2013: stocks outperform bonds to start the year
Congressional votes to secure passage of a deal to avert the “fiscal cliff” were confirmed late on January 1, 2013. (The fiscal cliff was a large reduction of the federal budget deficit through significant tax increases and spending cuts, which were scheduled to become effective on January 1, 2013, unless Congress could strike an alternate plan.) In February, equity investors focused on the specter of sequestration – the automatic, across-the-board series of spending cuts to government agencies set to go into effect March 1, 2013. Ultimately, in March, Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% – announcing at the same time that it would maintain QE.
U.S. and foreign stocks rose in the first quarter of 2013, outperforming their fixed-income counterparts. Treasury yields traded in a relatively narrow range until mid-March, when they spiked higher on growing optimism about the U.S. economy. (Bond prices move in the opposite direction to interest rates [or yields]; when yields rise, the prices of existing bonds fall – and vice versa.)
Overseas, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. Evidence of a possible slowdown in China caused concern over the world’s second-largest economy, but Chinese lending reached a two-year high and aggregate financing increased substantially, which indicated improving conditions. In March, banks in Cyprus, experiencing hard times because of their investments in Greek sovereign debt, took a $10 billion bailout from the European Union and the International Monetary Fund to resolve the country’s banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven.
Second quarter 2013: prospect of Fed tapering gives investors pause
While stock prices advanced during April and much of May, they gave up a significant portion of those gains following Ben Bernanke’s May 22 remarks to Congress about tapering QE. The Fed chairman stated that the central bank might begin tapering bond purchases in its QE program later in 2013 if warranted by U.S. economic data. Despite the jitters this announcement sent through the markets, U.S. stocks ultimately managed to move higher during the second quarter.
Interest rates rose in the wake of Bernanke’s QE comments when investors sold bonds on the belief that demand would decline if the Fed were to stop its bond purchases, and ensuing price declines drove interest rates higher. Interestingly, concern about the end of QE gave new life to investors’ “bad news is good news” response to economic data. For example, the Commerce Department’s third and final estimate of first-quarter economic growth, released on June 26, came in at 1.8%, well below the previous estimate of 2.4%. Under normal circumstances, weaker-than-expected economic growth would tend to drive down stock prices. However, the news helped shares advance, as investors were hopeful that the disappointing data might convince the Fed to continue with QE for a while longer.
Also weighing on U.S. stocks late in the period was a swoon in Japanese equity prices. Japan’s stock market had been on a tear since mid-November 2012, and when the Bank of Japan announced a massive QE program of its own in April, the rally in that nation’s stocks accelerated, only to reverse sharply along with U.S. shares following Bernanke’s congressional testimony. Emerging markets, including Brazil and China, struggled with lackluster economic growth.
| * | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
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MML Series Investment Fund – Economic and Market Overview (Unaudited) (Continued)
Third quarter 2013: stocks on top; Fed comes to the rescue
U.S. stocks posted strong returns in the third quarter of 2013. Share prices moved higher in July, but backed off in August, as investors remained uncertain of the Fed’s tapering timetable. Disappointing quarterly news from companies regarded as bellwethers for the broader economy, including Wal-Mart Stores and Cisco Systems, weighed on the market in August, as did the growing likelihood of U.S. military strikes in Syria in retaliation for the Assad regime’s alleged use of chemical weapons there.
Stocks rebounded again in September in the midst of talk of a possible diplomatic solution to the crisis in Syria. The market also got a lift from news that former U.S. Treasury Secretary Larry Summers was withdrawing from consideration as a possible replacement for Fed Chairman Bernanke, who would step down in January 2014. Summers’ decision cleared the field for Fed Vice Chair Janet Yellen, a stronger proponent of QE. President Obama ultimately nominated Yellen for the post in early October.
On the heels of the big boost stocks and bonds got from the Fed’s September 18 announcement that QE would continue, the final week of the quarter brought stock-price declines attributable to investor concerns about two looming issues. The first was a federal government shutdown that ultimately came to pass on October 1 due to Congress’s inability to reach a funding agreement prior to the September 30 deadline, and the second was a political stalemate over the U.S. debt ceiling, which needed resolution by mid-October to prevent a default.
Fourth quarter 2013: stocks power ahead through government shutdown, possible Fed tapering
Investors largely stood their ground through the political fiscal wrangling and potential Fed actions, and U.S. stocks notched impressive gains in the fourth quarter of 2013 to cap a banner year that saw most of the popular equity benchmarks record a series of new all-time highs.
Sixteen days into the shutdown, Congress finally approved a measure on October 16 that provided funding for the government until mid-January, along with a temporary extension of the U.S. debt ceiling until February 7, 2014. President Obama signed the bill into law in the early hours of October 17, and most federal workers returned to work that same day. The move alleviated fears that the nation would not pay its bills and ended the shutdown, which had been in effect since October 1. The stock market responded with strong gains during the month of October, and the momentum carried over into November, bolstered by upward revisions to economic growth figures, improved consumer confidence, and a reduction in a key interest rate by the European Central Bank, which also sent European equities higher.
In December, equities rose, but the results did not come easily. The major equity market indexes experienced losses in the first two weeks of the month, reflecting investor concerns that the market might be overpriced and lingering questions about the Fed’s timeline for the tapering of QE. In fact, the S&P 500’s decline of 1.6% in the second week of December was its worst weekly performance since August. Sentiment improved in the third week of the month, as the market received clear communication from the Fed of its plans to reduce its bond purchases and, more importantly, its commitment to keep short-term rates very low as it does so.
Stocks in the U.S. also rose during the latter part of December following the passage of a two-year budget agreement that appeared to reduce the risk of another government shutdown, which represented a welcome departure from the political brinksmanship that has characterized most Congressional budget debates over the past few years. A sizable upward revision in the government’s December 20 release of estimated third-quarter economic growth to a healthy 4.1% from 3.6% was another positive catalyst.
As 2013 transitioned into 2014, stock investors focused on the factors likely to impact the markets in the year ahead, with the imminent reduction of QE at the top of the list. As we prepared this report in early January 2014, the Senate confirmed Janet L. Yellen as the first woman to lead the Federal Reserve. Ms. Yellen will succeed outgoing Chairman Ben Bernanke on February 1, 2014, coming in at a time when the Fed is looking to balance economic growth with the tapering of QE. Investors will also keep an eye out for improving economic growth here and abroad to help create a favorable environment for stocks and bonds. We believe these important issues and numerous others will come into play as investors navigate the world’s financial markets in the year ahead.
The information provided is the opinion of MassMutual Retirement Services Investment Services as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.
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MML Blue Chip Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Blue Chip Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth. Income is a secondary objective. Under normal circumstances, the Fund invests at least 80% of net assets in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadviser currently defines blue chip growth companies to mean firms that, in its view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 41.33%, significantly outpacing the 33.48% return of the Russell 1000® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe. The Fund also substantially outperformed the 32.39% return of the S&P 500® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Overall, stock selection drove the Fund’s relative performance for the year, but sector weighting also contributed, as Fund holdings in the information technology, health care, and consumer discretionary sectors were the leading relative outperformers. Conversely, Fund investments in the materials sector were significant detractors during the year.
The Fund’s stock selection in the information technology sector benefited performance, as the price of Internet giant Google rose due to the continued popularity of smartphones running its Android operating system – and increased advertising revenues. Global payment networks MasterCard and Visa were two Fund holdings that experienced gains from better cost controls and an increase in consumer credit card use in Europe, Asia, and Latin America. Baidu, China’s dominant Internet search company, benefited from becoming the primary application (“app”) distributor in that country after acquiring mobile app store 91 Wireless in July. This Fund holding also reported strong growth from increased mobile advertising revenues.
Stock selection in health care, the best-performing sector in the benchmark, benefited Fund performance during the year. The Fund’s biotechnology industry holdings notably outperformed. Gilead Sciences rose due to broader approval of its HIV treatment, Stribild. The company also benefited as its treatments for certain types of cancer showed positive results during early trials. Shares of Fund holding Celgene, a biotechnology company specializing in the treatment of cancer and immune-system diseases, rose as a result of positive trial results for a multiple myeloma treatment. The company also received Food and Drug Administration approval for Abraxane, a drug used to treat pancreatic cancer.
The Fund benefited from stock selection and an overweight position, relative to the benchmark, in the consumer discretionary sector. Shares of online travel company Priceline.com rose due to increased travel-related spending and the popularity of its smartphone apps. Shares of Amazon.com moved higher during the second half of 2013, led by investor optimism for a strong holiday shopping season, particularly in the online sector – and Amazon Web Services’ growth in the cloud-computing and storage markets.
On the downside, stock selection in, and the Fund’s allocation to, the materials sector detracted from relative performance for the year. Shares of paint company Sherwin-Williams rose more than 20%, but this Fund holding lagged the overall materials sector after losing both a lead-paint lawsuit in California and its bid to acquire Comex Mexico. Shares of Fund holding Praxair, an industrial gases producer which generates more than half of its sales outside the United States, rose – but still underperformed the overall sector due to currency exchange challenges.
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MML Blue Chip Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
Subadviser outlook
Equities rose substantially in 2013 as investors moved out of safer assets and into riskier areas of the market. We expect a continuation of this trend may be likely in 2014, although on a more moderate scale. We are generally optimistic about the environment for equities. In our view, improving global economic growth, attractive stock valuations (despite 2013’s notable performance), and restrained inflation may have the potential to permit large-capitalization growth stocks perform strongly. While a moderate stock market correction is always a possibility, we do not believe there is likely to be a significant selloff in 2014.
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MML Blue Chip Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Growth Index and the S&P 500 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Equity Income Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Income Fund, and who is the Fund’s subadviser?
The Fund seeks dividend income and long-term capital growth by investing primarily in the common stocks of established companies. Under normal circumstances, the Fund invests at least 80% of its net assets in common stocks, with 65% in the common stocks of well-established companies paying above-average dividends. The Fund’s subadviser currently considers well-established companies to mean companies that it considers to be seasoned companies with relatively long operating histories. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 29.93%, trailing the 32.39% return of the S&P 500® Index (the “benchmark”), a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies. Similarly, the Fund underperformed the 32.53% return of the Russell 1000® Value Index, an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund underperformed the benchmark, despite delivering double-digit absolute returns for the year. Stock selection detracted from Fund results, relative to the benchmark, while sector weightings proved positive. The leading detractors from relative performance were Fund holdings in the energy and materials sectors. Conversely, the Fund’s investments in the financials and industrials and business services sectors contributed.
In the energy sector, the share price of Fund holding oil giant Royal Dutch Shell fell, as strong earnings results in the first half of 2013 were overshadowed by weaker-than-expected earnings in the second half. During the last six months of 2013, shares of Fund holding Diamond Offshore, an offshore drilling company, fell on concerns over rising downtime and rig delays. In the materials sector, falling gold prices drove declines in the shares of Fund holding Newmont Mining.
Conversely, stock selection in the financial services sector was the largest single contributor to the Fund’s positive absolute results for the year. Lincoln National shares moved higher, as this Fund holding benefited from a growing annuity business with margins and earnings that exceeded estimates. Another Fund holding, American Express, rose on historically low credit losses and solid expense management. Shares of Fund holding Legg Mason also jumped due to better-than-expected earnings announcements.
An overweight position, relative to the benchmark, and favorable stock selection in the industrials and business services sector contributed to the Fund’s full-year results. Fund holding Boeing benefited from increased orders and revenue growth. Shares of United Continental Holdings – the company that resulted from the merger of airlines United and Continental – moved higher during 2013’s first half, as positive merger-related investor sentiment drove the price of this Fund holding.
Subadviser outlook
We are cautiously optimistic about domestic stocks in 2014, but are tempering our expectations after a year of nearly uninterrupted market strength. Although corporate balance sheets are healthy, sales growth has been tepid and we believe profit margins may be peaking. Earnings growth has lagged equity returns since the most recent market bottom, creating an environment where positive sentiment is outpacing the improvement in fundamentals. We would therefore not be surprised to encounter a cyclical pullback in the near term. Despite this cautionary view, the long term looks positive, in our opinion, due to strong corporate fundamentals and positive economic data. We are poised to take advantage of opportunities for the Fund should valuations become more attractive.
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MML Equity Income Fund – Portfolio Manager Report (Unaudited) (Continued)
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MML Equity Income Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index and the Russell 1000 Value Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Equity Index Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Equity Index Fund, and who is the Fund’s subadviser?
The Fund’s investment objective is to provide investment results that correspond to the price and yield performance of publicly traded common stocks in the aggregate as represented by the S&P 500® Index* (the “Index”). Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets in the equity securities of companies included within the Index. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Class I shares returned 31.84%, lagging the 32.39% return of the Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund’s underperformance versus the Index is mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses, and it is not possible to invest directly in the Index.
Large-capitalization domestic equities outperformed developed equities outside of the United States. The Index rose to new record highs repeatedly over the course of the year on the way to posting its strongest annual return since 1997. During the year, consumer discretionary and health care were the strongest-performing sectors within the Index. Conversely, the telecommunication services and utilities sectors experienced the worst performance of the year, but all 10 sectors of the Index finished 2013 with double-digit returns.
Global developed markets performed positively in 2013, and stocks in the U.S. outperformed their international counterparts. The year began with a late deal that avoided the most significant portions of the so-called “fiscal cliff,” sparking an early rally in U.S. markets – as earnings, housing, and employment data continued to support growth expectations. Despite the positive economic data, central banks’ continuation of easy monetary policies helped drive the performance of global stock markets.
During his testimony before Congress on May 22, outgoing Federal Reserve (the “Fed”) Chairman Ben Bernanke mentioned the possibility of tapering bond purchases towards the end of the year. The news sparked a widespread stock selloff, but some share prices recovered after several Fed officials suggested that tapering of the asset purchase program known as QE might not come as soon as many feared. Toward the end of the summer, investor concerns surfaced over the possibility of an announcement of Fed tapering at the central bank’s September meeting. Consequently, markets reacted positively to the announcement that Fed tapering was not imminent – and the assurance from Bernanke that the Fed would not cut the asset purchasing program until the central bank had enough evidence to support the sustainability of economic growth.
U.S. equities ended the year strongly, partly due to positive market reactions to monetary and fiscal policy activity in Washington. Congress reached a long-term budget agreement in December, further reducing fiscal uncertainty. President Obama nominated Janet Yellen as the next Fed Chairperson, and her testimony before Congress assured markets that Fed policy would remain appropriately accommodative. (Ms. Yellen received Senate confirmation as we prepared this report.) As the year wound down, markets initially reacted positively to the Fed announcement that tapering would ultimately begin in January 2014, as
* The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s®, S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MassMutual. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Index.
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MML Equity Index Fund – Portfolio Manager Report (Unaudited) (Continued)
investors viewed the move favorably – and perceived it as the Fed signaling confidence in the strength and sustainability of the economic recovery.
Subadviser outlook
Although it is impossible to predict the direction that the equity markets will take throughout 2014 after their spectacular rise in 2013, numerous forces will continue to influence the direction that the market takes moving forward – such as Fed policy, inflation, housing, and unemployment, to name just a few. We believe, however, that the Fund continues to be well positioned to pursue returns that are consistent with those of the S&P 500 Index.
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MML Equity Index Fund – Portfolio Manager Report (Unaudited) (Continued)
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Focused Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Focused Equity Fund, and who is the Fund’s subadviser?
The Fund seeks growth of capital over the long-term by investing primarily in equity securities of U.S. companies that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities. The Fund’s subadviser is Harris Associates L.P. (Harris).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Class II shares returned 38.05%, outperforming the 33.11% return of the Russell 1000® Index (the “benchmark”), a widely recognized, unmanaged index representing the performance of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For the year, stock selection was the main driver of the Fund’s outperformance, relative to the benchmark, and sector allocations also contributed.
The consumer discretionary sector produced the largest returns for the Fund, on both a relative and an absolute basis. Within the sector, eight of the nine Fund holdings contributed substantially to performance for the year. Top performers included apparel firm Fifth & Pacific, jewelry producer and retailer Tiffany, and auto technology and electronics provider Delphi Automotive. The standout performer in this group was Fifth & Pacific, which advanced 158% during the reporting period, driven by robust results in its Kate Spade brand. Revenues from Kate Spade have been increasing, with comparable store sales growing, on average, about 45% over the past three years – and increasing more than 30% in the past six months. For full-year 2013, Kate Spade accounted for approximately $742 million of net sales and $130 million of earnings based on the company’s preliminary calculations. Another Fund holding that was a performance driver in 2013 was technology firm Applied Materials, a corporation that provides equipment, services, and software used to manufacture smartphones, flat screen TVs, and solar panels.
On the downside, the energy and industrials sectors, along with a lack of exposure to health care shares, were the primary factors that detracted from the Fund’s relative performance for the year.
The energy sector supplied the smallest cumulative absolute returns for the Fund in 2013. Nevertheless, two of three Fund holdings in the energy sector added value: National Oilwell Varco, a worldwide leader in the design, manufacture and sale of equipment and components used in oil and gas drilling and production; and Dresser-Rand Group, a global supplier of custom-engineered rotating equipment solutions for applications in the oil, gas, process, power, and other industries. A third Fund holding in the energy sector, Apache (a multinational oil and gas corporation) underperformed during the year. The Fund exited the stock in the first quarter after learning that its full-year 2012 finding costs were 45% higher than we anticipated and management’s 2013 production forecast was well below five-year production guidance. After considering these factors, we felt that the assets the Fund had invested in this holding could be deployed to other stocks that could have better upside potential. Another Fund holding that was a performance detractor during 2013 was technology company Diebold, which is the largest U.S. manufacturer of ATMs. The Fund also sold out of Diebold during the reporting period.
Subadviser outlook
Our fundamental outlook for 2014 is there may be continued company-specific progress on profitability, albeit at a more moderate pace than in 2013. Although equity markets already reflect some of this improved performance and outlook, such as the breadth and strength of the underlying economy, we believe there are plenty of reasons why a reversal is not warranted. Our belief is that the stock market may have more room to grow, based on our review of current stock valuations. If the stock market were fully priced, we would be much more concerned and poised to take action. Finally, many financial experts have declared the market to be expensive, which reinforces one of the clear distinctions and advantages we have in not “following the crowd”: We focus on fundamental valuations across market cycles and not on simple price activity in our management of the Fund.
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MML Focused Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
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Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund's return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Foreign Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Foreign Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing, under normal circumstances, at least 80% of its net assets in investments of issuers located outside of the U.S., including those in emerging markets. Under normal market conditions, the Fund invests predominantly in equity securities, primarily common stocks, and, while there are no set percentage targets, the Fund invests predominantly in large- to medium-capitalization companies with market capitalization values greater than $2 billion and may invest a portion in smaller companies. The Fund’s subadviser is Templeton Investment Counsel, LLC (Templeton).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 20.80%, underperforming the 22.78% return of the Morgan Stanley Capital International (MSCI®) Europe, Australasia, Far East (EAFE®) Index (the “benchmark”), a widely recognized, unmanaged index representative of equity securities in developed markets, excluding the U.S. and Canada.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
For 2013, stock selection in Japan and the Fund’s exposure to out-of-benchmark countries South Korea, Brazil, China, and Canada detracted from the Fund’s performance relative to the benchmark. The Fund’s exposure to India also weighed on relative results for the year.
Stock selection and an underweight position, relative to the benchmark, in the consumer discretionary sector – in tandem with stock selection in the telecommunication services sector – hindered the Fund’s relative performance. Fund holdings that were major detractors included Japanese automaker Nissan Motor, Japanese optical and precision technologies company Nikon, and diversified telecommunication provider China Telecom (which is not included in the benchmark). Stock selection in information technology and an overweight position in energy also detracted from results. Fund holdings in South Korean electronic products manufacturer Samsung Electronics, German software maker Software AG, Brazilian oil and natural gas company Petroleo Brasileiro, and Norwegian oil and natural gas production company Statoil (the only benchmark constituent of the four) detracted the most. Fund holdings in other sectors that hampered Fund performance included out-of-benchmark companies such as Brazilian metals and mining firm Vale, Indian commercial bank ICICI Bank, and Canadian fertilizer company Potash Corporation of Saskatchewan.
Conversely, stock selection in Europe – particularly in the U.K., Switzerland, the Netherlands, and France – benefited the Fund’s relative performance. A lack of exposure to Australian stocks, exposure to the out-of-benchmark United States, and favorable stock selection in Hong Kong and Singapore also contributed to the Fund’s relative returns for the year.
From a sector perspective, the Fund’s relative performance benefited from stock selection in financials. Several Fund holdings were notable contributors, including commercial banks Lloyds Banking Group (U.K.) and BNP Paribas (France), financial services providers ING U.S. and ING Groep (Netherlands-based, non-benchmark members), and French insurer AXA. Stock selection in industrials and health care also aided performance, as Fund holdings such as Dutch human resources consulting firm Randstad Holding, Swiss life sciences company Lonza Group, and German pharmaceuticals manufacturer Bayer all advanced for the year. Two other Fund holdings, wireless communications provider Vodafone Group (U.K.) and mail and German freight services company Deutsche Post, also contributed to the Fund’s full-year results.
Subadviser outlook
The global economy continued to improve in 2013, enhancing the positive impact of corporate restructuring of the past few years. With fundamental improvements now coming to fruition and valuations still selectively attractive, we believe the potential for further gains likely exists, particularly in Europe. Financial conditions continued to normalize in 2013 with support from policy makers. Rising domestic demand, improving competitiveness, and a current account surplus in the peripheral countries helped Europe exit its worst recession on record. Yet, even after such notable improvements, euro zone companies traded at a material
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discount relative to their historical average and to their U.S.-based peers. Although significant political and economic risks remain, low-valued European companies with globally diversified revenues remain attractive, in our opinion, and we believe there could be potential for their earnings to increase over the Fund’s long-term investment horizon. Outside of Europe, we have less geographical conviction, as different regions are progressing with reform and recovery at varying paces.
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Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Fundamental Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Fundamental Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term growth of capital by investing primarily in domestic equity securities that the Fund’s subadviser believes offer the potential for long-term growth. The Fund’s subadviser is Wellington Management Company, LLP (Wellington Management).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Class II shares returned 32.29%, underperforming the 33.48% return of the Russell 1000® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the year, the Fund advanced substantially on an absolute basis, but underperformed the benchmark, as unfavorable stock selection offset positive results from sector positioning. Stock selection within the consumer discretionary, materials, and information technology sectors detracted from the Fund’s results, relative to the benchmark during 2013. Fund holdings that were top detractors from relative performance included Altera, Cisco Systems, and Broadcom – all in information technology. Shares of Altera, a programmable logic semiconductor device manufacturer, declined after the company posted better-than-expected quarterly earnings, but slightly missed revenue expectations. Additionally, the company’s fourth-quarter sales outlook was well below consensus estimates. Cisco Systems, a networking systems and communication products provider, saw its shares decline after management provided an updated outlook that disappointed investors, primarily as a result of a muted growth outlook in Asia. Finally, after shares of Broadcom, a provider of semiconductor solutions for wired and wireless communications, fell based on disappointing earnings results, we eliminated the Fund’s position in the stock. Other notable Fund holdings that detracted from performance were Allied Nevada Gold in the materials sector and Facebook in the information technology sector. The Fund’s cash position also detracted amid 2013’s broad-based equity rally.
Turning to the positive side, an underweight position, relative to the benchmark, in the lagging consumer staples sector, as well as an overweight stake in health care stocks, contributed to the Fund’s relative performance during the year. Stock selection within the industrials and financials sectors, however, proved positive for the Fund’s full-year performance.
Fund holdings that were top contributors to the Fund’s relative returns included Yahoo! (information technology), Celgene (health care), and Boeing (industrials). Shares of Yahoo!, a U.S.-based Internet company, climbed due to signs of improvement in pricing, volumes, and display advertising during the period (when we initiated the Fund’s position). Celgene, a global biopharmaceutical firm focused on developing drugs that target cancer and immune-inflammatory diseases, got a lift from strong earnings results and a better-than-expected outlook. Shares of aerospace company Boeing rose as concerns over electrical issues with its 787 Dreamliner subsided – and the company continued to see strong demand for commercial aircraft in the U.S. and abroad. Finally, the Fund’s underweight positions in information technology giants International Business Machines (IBM) and Apple also contributed to the Fund’s benchmark-relative performance.
Subadviser outlook
The Fund continues to have balance with respect to growth, quality, and valuation metrics. From a sector perspective, we increased the Fund’s information technology exposure during the period – and as of December 31, 2013, it represented the Fund’s largest overweight position. We believe that, broadly speaking, the sector may have good organic growth prospects and attractive quality characteristics, such as potentially high returns on capital and strong balance sheets. At year-end, the Fund also had overweight stakes in the health care and industrials sectors. We believe the valuations for many companies within the consumer staples sector are not justified by their modest growth rates, and the Fund’s underweight positions in the materials and telecommunication services sectors heading into 2014 reflect our near-term outlook for companies in those sectors.
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MML Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
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MML Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Growth Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund's prospectus with regard to the Fund's investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund's return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Fundamental Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Fundamental Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return by investing primarily in equity securities of issuers that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities, with a focus on companies with large market capitalizations (which the subadviser believes are generally above $2 billion). The Fund’s subadviser is Wellington Management Company, LLP (Wellington Management).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Class II shares returned 30.91%, underperforming the 32.53% return of the Russell 1000® Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Despite the Fund’s strong absolute return for 2013, it still underperformed the benchmark, as unfavorable stock selection offset positive results from sector positioning. Hampering the Fund’s full-year performance was its overweight position, relative to the benchmark, in the materials sector, which lagged the overall benchmark. Security selection also detracted from relative performance, especially weak selection among information technology and health care stocks. Fund holdings that were primary detractors from the Fund’s relative performance included Mosaic (in the materials sector), Baxter International (health care), and Barrick Gold (materials). Shares of Mosaic, a large producer of phosphate and potash fertilizer, declined after the company faced lower pricing due to an aggressive marketing strategy by a Russian competitor. The Fund exited the stock during the period. Baxter International, a diversified global health care company, underwent price declines as competitive pressures to the hemophilia franchise weighed on the stock during the year. Shares of Barrick Gold, the world’s largest gold producer, fell as lower gold prices reduced earnings forecasts for all miners. We eliminated the stock from the Fund during the year. The Fund’s position in Verizon Communications (telecommunication services) was a notable detractor, and the Fund’s decision to not hold Apple (information technology), a benchmark constituent, also hampered results. The Fund’s cash position also detracted amid 2013’s broad-based equity rally.
On the positive side, an underweight position in the lagging utilities sector and an overweight stake in the strong-performing information technology sector contributed to the Fund’s relative performance for the year. Another performance driver was strong stock selection within the financials sector. Fund holdings that were among the top contributors to relative results for the year included Spirit Aerosystems (industrials), Ameriprise Financial (financials), and Boeing (industrials). Shares of Spirit Aerosystems, an aerospace and defense company, moved higher after the company reported better-than-expected quarterly earnings, driven by operating performance improvements in its mature programs. Ameriprise Financial, a diversified financial services company, saw its shares rise when good performance in asset growth in the advice and wealth management division combined with strong equity markets to lead to solid earnings growth. Shares of aerospace company Boeing climbed as concerns over electrical issues with its 787 Dreamliner subsided – and the company experienced strong demand for commercial aircraft in the U.S. and abroad. Other notable contributors to the Fund’s relative full-year performance included Fund holdings IntercontinentalExchange, a leading operator of regulated exchanges and clearing houses in the financials sector, and weak-performing ExxonMobil (energy), in which the Fund held an underweight position.
Subadviser outlook
In the U.S. in 2014, we expect there may be a “Goldilocks” environment, with an economy that is “not too hot and not too cold.” We believe gross domestic product growth may exceed 3%, driven by less tax drag on the consumer. The employment picture is moderately improving, and our view is that housing could remain constructive. While housing did take a pause in late 2013 in part due to an uptick in mortgage rates, we believe it may have the potential to reaccelerate in the spring selling season. Mortgage rates are still very low, on a historical basis, and we believe that the increased confidence from better employment and wage
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growth figures may help offset higher rates. Our view is that the Federal Reserve is likely to remain accommodative with a zero interest rate policy through 2014 – and implement only modest tapering of bond-buying throughout the year. We believe unwinding Quantitative Easing (QE) may be healthy for the economy because it caused a lot of investor uncertainty during 2013. As 2014 started, the Fund’s largest overweight positions were in the consumer discretionary and information technology sectors, with its largest underweight stakes in the utilities and energy sectors, reflecting our outlook.
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Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Global Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Global Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in the equity securities of U.S. and foreign companies, including companies in developed and emerging markets. Equity securities may include common stocks, depositary receipts, preferred stocks, securities convertible into common or preferred stock, rights, and warrants. The Fund’s subadviser is Massachusetts Financial Services Company (MFS).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Class I shares returned 28.13%, outpacing the 26.68% return of the Morgan Stanley Capital International (MSCI®) World IndexSM (the “benchmark”), an unmanaged index of issuers listed on the stock exchanges of 20 foreign countries and the U.S.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Among the notable factors contributing to the Fund’s performance in 2013 was stock selection in the basic materials sector, which was beneficial to results relative to the benchmark. An overweight position, compared to the benchmark, in diversified technology company 3M also burnished the Fund’s relative results when the stock significantly outpaced the benchmark in 2013. Stock selection in the health care sector was an additional positive factor for the Fund’s relative returns, as overweight positions in strong-performing American life sciences supply company Thermo Fisher Scientific, American cardiovascular medical device maker St. Jude Medical, and German health care products manufacturer Bayer boosted relative returns.
An overweight position in the leisure sector further supported the Fund’s relative performance for the year, and the Fund’s greater-than-benchmark allocations to American media conglomerate Walt Disney and advertising and marketing firm WPP Group (U.K.) benefited relative results. Overweight positions in other Fund holdings – including American custody bank State Street, building and American aircraft controls manufacturer Honeywell International, and U.S.-based global payments technology company Visa – also drove performance during the year. The Fund did not own computer and personal electronics maker Apple (U.S.), which also contributed to the Fund’s relative results, as the stock lagged the benchmark in 2013. During the year, the Fund’s relative currency exposure was another contributor to the Fund’s relative performance, resulting primarily from differences between the Fund’s and the benchmark’s exposures to holdings of securities denominated in foreign currencies.
On the downside, stock selection and an overweight position in the consumer staples sector held back relative returns. Overweight stakes in Dutch brewer Heineken and wine and alcoholic beverage producer Pernod Ricard (France) hindered relative results, as both of these Fund holdings lagged the benchmark during the year. Stock selection in the technology sector further weighed on relative performance. Holdings of South Korean microchip and electronics manufacturer Samsung Electronics (not a benchmark member) and Japanese digital camera and office equipment manufacturer Canon were among the Fund’s top relative detractors during the year. Elsewhere, Italian oil and gas turnkey contractor Saipem proved a drag on performance. Additionally, the U.K.’s Standard Chartered, Brazil’s Itau Unibanco Holding (not a benchmark constituent), and India’s ICICI Bank (also not a benchmark member) – all in the banking business – worked against the Fund’s success in 2013 along with luxury goods company LVMH (France).
The Fund’s cash and/or cash equivalents position during the period also detracted from relative performance. Under normal market conditions, the Fund strives to be fully invested and generally holds cash to buy new holdings and to provide liquidity. In a rising equity market, such as we experienced in 2013, holding cash hurt the Fund’s relative performance since the benchmark has no cash position.
Subadviser outlook
After slow but improving economic growth, subdued inflation and robust equity performance in 2013, our view is that the financial markets may have already priced in optimism about another good year in 2014. Other scenarios, however, could challenge this outlook – including weaker macro-economic conditions, deeper debt burdens, or greater inflationary pressures.
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Nevertheless, our belief is that in an environment of modestly rising interest rates, a slow-but-steady tapering of U.S. Federal Reserve asset purchases could be positive for equities. With respect to emerging markets, we believe they should be considered not as one block, but individually, with each having its own reaction to tapering and the political uncertainty created by upcoming elections in India, Thailand, and Indonesia, for example. Overall, we believe that many 2013 themes could be repeated in 2014, including that fixed-income investments may continue to face challenges throughout the year, which may be similar to those they encountered in 2013. We also believe that developed markets may have the potential to continue experiencing generally positive equity returns in 2014 and some emerging markets may recover, but that overall, global equity returns could be lower this year than in 2013.
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Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI World Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Growth & Income Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Growth & Income Fund, and who is the Fund’s subadviser?
The Fund seeks capital appreciation and income by investing, under normal circumstances, at least 80% of its net assets in equity securities and equity-related securities, including convertible securities, preferred stocks, options, and warrants, of U.S. companies with market capitalizations at the time of purchase greater than $1 billion. The Fund’s subadviser is Massachusetts Financial Services Company (MFS).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 32.53%, outperforming the 32.39% return of the S&P 500® Index (the “benchmark”), a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Stock selection in both the financial services and health care sectors contributed to the Fund’s relative performance for the year. In the financial services sector, the Fund’s overweight positions, relative to the benchmark, in asset management firm BlackRock and transaction processing- and payments-related service providers MasterCard and American Express benefited relative performance, as all three of these Fund holdings outperformed the benchmark. Within the health care sector, the Fund’s overweight positions in strong-performing life sciences supply company Thermo Fisher Scientific and cardiovascular medical device maker St. Jude Medical, as well as its investment in specialty pharmaceutical company Valeant Pharmaceuticals (not a benchmark constituent), also supported the Fund’s relative results.
The Fund’s underweight position in the poorly performing utilities and communications sector also benefited relative performance. Within this sector, an underweight position in telecommunications company AT&T was among the top relative contributors. The Fund eliminated this underperforming position by year-end. The Fund’s overweight position in strong-performing computer products and services provider Hewlett-Packard and media conglomerate Walt Disney also boosted relative performance when the two companies advanced substantially in 2013. The Fund’ avoidance of shares of diversified technology products and services company International Business Machines (IBM) also contributed to the Fund’s relative performance, as the stock lagged the benchmark during the period.
Stock selection in the consumer staples, retailing, and energy sectors was detrimental to the Fund’s full-year relative performance. In the consumer staples sector, international food producer Danone and wine and alcoholic beverage producer Pernod Ricard were two Fund holdings that held back relative returns, as both stocks (which are not benchmark constituents) underperformed the benchmark. Within the retailing sector, holdings of luxury goods company LVMH (which is not represented in the benchmark) and an overweight position in general merchandise store operator Target dampened relative performance. Similarly, in the energy sector, two Fund holdings detracted from relative results: engineering company Dresser Rand Group (not a benchmark member) and an overweight position in oil and gas equipment company Cameron International.
The Fund’s cash and/or cash equivalents position during the period also detracted from relative performance. Under normal market conditions, the Fund strives to be fully invested and generally holds cash to buy new holdings and to provide liquidity. In a rising equity market, such as we experienced in 2013, holding cash hurt the Fund’s relative performance since the benchmark has no cash position.
Subadviser outlook
After slow but improving economic growth, subdued inflation, and robust equity performance in 2013, our view is that the financial markets may have already priced in optimism about another good year in 2014. Other scenarios, however, could challenge this outlook – including weaker macro-economic conditions, deeper debt burdens, or greater inflationary pressures. Nevertheless, our belief is that in an environment of modestly rising interest rates, a slow-but-steady tapering of U.S. Federal Reserve asset purchases could be positive for equities. Our view is that many 2013 themes could carry forward into 2014,
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including the fact that fixed-income investments may continue to face challenges throughout the year, similar to those they encountered in 2013. We also believe that developed markets may have the potential to continue experiencing generally positive equity returns in 2014 and some emerging markets may recover, but that overall, global equity returns could be lower this year than in 2013.
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Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Income & Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Income & Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return and current income by investing primarily in equity securities of dividend paying companies that the Fund’s subadviser believes will both increase in value over the long term and provide current income. Equity securities may include common stocks, preferred stocks, securities convertible into common or preferred stock, rights, and warrants. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 24.62%, underperforming the 32.39% return of the S&P 500® Index (the “benchmark”), a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies. The Fund also trailed the 32.53% return of the Russell 1000® Value Index, an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
In 2013, security selection accounted for the majority of the Fund’s underperformance – as stocks that the Fund did not hold, but that were included in the benchmark, performed very well during the year. In particular, the Fund’s stock selection in the consumer staples, information technology, and materials sectors – followed by the consumer discretionary, energy, and industrials sectors – hampered performance the most in 2013. In consumer staples, Fund holdings that detracted most significantly from performance were Unilever (an Anglo-Dutch consumer goods company) and Diageo (a British alcoholic beverages company) – international companies that are out-of-benchmark securities; and Philip Morris, an international tobacco company headquartered in the U.S. Each of these Fund holdings performed worse than the average benchmark holding during the year due to their defensive characteristics and higher degrees of exposure to emerging markets, which underperformed developed markets during 2013. In the materials sector, longtime holding Rio Tinto worked against the Fund’s performance. The company suffered due to slowing growth in Asia and the firm’s historical reliance on this growth to expand operations and fund new projects. The Fund subsequently sold the security. Fund holding Newmont Mining, one of the world’s largest gold producers, also weighed on returns due to the slide in gold prices during the year and weakness at many of the company’s mines.
Turning to the positive side, the largest contributor to the Fund’s relative performance during the year was an overweight position, versus the benchmark, in the industrials sector, followed by security selection within the utilities sector. The Fund maintained an overweight stake in the industrials sector during the year on Fund management’s belief that companies that are early entrants to these markets will be the first beneficiaries of demand growth created by both a larger middle class and an emphasis on developing agrarian efficiencies. Examples of securities the Fund owned during the year include Honeywell, GE, 3M, and John Deere. These companies have exceptionally well-diversified business models with significant percentages of revenue derived from overseas operations. Within utilities, we focused on companies subject to government regulation of certain business activities – typically transmission and distribution, and, often, generation of power. This emphasis was due to our belief that the highest-quality and highest cash flow-generating companies – like Fund holdings NextEra Energy, an electric company based in Florida; and Dominion Resources, a Virginia-based power and energy company – were in this group. Additionally, the Fund’s overweight positions in both consumer discretionary and consumer staples helped bolster returns during the year, and validated our view about the resiliency of U.S. consumers. Lastly, the Fund’s underweight allocation to energy helped performance, as oil prices ended the year largely flat. The Fund’s sector allocation as well as its tendency to favor larger, integrated oil companies contributed to performance because these companies are typically less exposed to the price of oil and are consequently often able to perform relatively stronger than many other companies in the industry during challenging times.
Subadviser outlook
As 2014 began, the Fund remained well positioned, in our view, to capture growth – but importantly, potentially ready to provide relative protection should challenges persist and market volatility intensify. As always, dividend growth, lower volatility, and the ability to assertively participate in a rising market remain cornerstones of the Fund’s strategy.
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MML Income & Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
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MML Income & Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index and the Russell 1000 Value Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Large Cap Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Large Cap Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in large-capitalization companies that the Fund’s subadviser believes offer the potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in the common stocks of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 1000® Growth Index. The Fund’s subadviser is Rainier Investment Management, LLC (Rainier).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 33.54%, modestly outperforming the 33.48% return of the Russell 1000 Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During 2013, the Fund’s holdings in the consumer discretionary sector proved especially beneficial. Leading online travel agency Priceline.com – whose business model is tilted toward hotel reservations, which are more profitable than air travel reservations – posted strong returns during the year. Other Fund holdings that were standout performers in the consumer discretionary sector included casino and gaming company Las Vegas Sands, online retail giant Amazon.com, and retail/accessories company Michael Kors. The Fund’s technology investments also contributed to performance, despite six of the Fund’s 10 biggest laggards for the year coming from this sector. Internet media company Yahoo! was a strong contributor, as the company benefited from a significant investment in Alibaba, the largest e-commerce company in China. Other top performers included social media giant Facebook and electronic payment company MasterCard. For the year, the best-performing Fund holding was biotechnology company Gilead Sciences, which received Food and Drug Administration approval for Sovaldi, the company’s new treatment for Hepatitis C, on December 6, 2013. Sovaldi has the potential to be the preferred Hepatitis C treatment in the future.
Conversely, certain of the Fund’s technology holdings detracted from performance: Teradata, a provider of powerful enterprise analytic technologies and services; EMC, a provider of information technology storage hardware solutions; and Citrix Systems, a company that empowers individuals to work and collaborate from anywhere; were all performance laggards. The Fund sold Teradata and EMC midyear, as part of a repositioning of the technology sector. In addition, Fund holdings in the materials and energy sectors modestly underperformed for the year, due mainly to the Fund’s late entry into paint producer Sherwin-Williams (materials) and weakness in Anadarko Petroleum Corp., an American oil and gas exploration company in the energy sector. The Fund continued to hold both stocks at year-end.
Subadviser outlook
While we entered 2013 believing it was likely there would be positive returns for the stock market, mainly due to our assessment that underlying U.S. growth was stronger than recognized, we were surprised by the magnitude of the gains. Earnings growth was solid throughout 2013, but market valuations increased. We anticipate there may be further gains in the stock market in 2014, but our expectations are more muted. First, we see the potential for less opportunity for further upward valuation in the market; our view is that gains may be more dependent on strong earnings growth (which we expect). Second, a potential additional rise in interest rates may enhance the relative investment appeal of bonds. Third, positive market sentiment has risen and negative sentiment has fallen. Consequently, our view is that there is a risk that investors may have become too optimistic following not only a strong 2013, but meaningful gains in the equity market since the recovery began in 2009.
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MML Large Cap Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
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MML Large Cap Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 1000 Growth Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Managed Volatility Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Managed Volatility Fund (formerly known as MML Large Cap Value Fund) and who is the Fund’s subadviser?
The Fund seeks to capture the majority of the returns associated with equity market investments, while exposing investors to less risk than other equity investments. Under normal circumstances, the Fund invests in a broadly diversified portfolio of common stocks, while also selling index call options and purchasing index put options. The Fund’s stock portfolio will have approximately 500 stocks, and seeks to duplicate the investment composition and return of the S&P 500® Index* (the “Index”) by holding each stock included in the Index in approximately the same proportion as each stock’s relative weighting in the Index. Effective April 29, 2013, the name of this Fund changed from MML Large Cap Value Fund to MML Managed Volatility Fund, Gateway Investment Advisers, LLC (Gateway) replaced Davis Selected Advisers, L.P. as subadviser to the Fund, and the Fund’s investment strategy changed from seeking both capital growth and income by investing primarily in large-capitalization companies that the Fund’s subadviser believed to be undervalued to investing according to the current investment approach described above.
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 17.78%, significantly underperforming the 32.39% return of the Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies. The Index is the Fund’s benchmark. Conversely, the Fund outperformed, by a wide margin, the -2.02% return of the Barclays U.S. Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
From January 1 through April 28, 2013, when Davis Selected Advisers, L.P. served as subadviser to the Fund, all individual sectors within the Index turned in strong results. During this time frame, the primary detractor from the Fund’s relative performance was stock selection in health care. In addition, the Fund’s underweight position, compared to the Index, in this stronger-performing sector dragged on returns. On a stock-specific basis, Brookfield Property Partners, a real estate investment trust, was the Fund holding that hampered performance the most. On the positive side, the Fund’s financials holdings helped drive both the Fund’s absolute and relative performance. Specifically, Wells Fargo, American Express, Berkshire Hathaway, and Progressive were among the top contributors. Other Fund positions that fueled performance were retailers CVS Caremark and Costco Wholesale (in the consumer staples sector), along with Netflix and Walt Disney (both consumer discretionary). Conversely, Fund holdings that hampered performance included U.S.-based oil and gas company EOG Resources (energy) and Swiss global transportation company Kuehne & Nagel (industrials) as well as British-Australian metals and mining corporation Rio Tinto and Anglo-Australian mining and petroleum company BHP Billiton (both multinational companies in the materials sector).
Gateway became the Fund’s subadviser on April 29, 2013. The strong equity performance of the Fund’s stock portfolio, which mirrors the Index, contributed to Fund’s absolute performance for the seven-month time frame (the “reporting period”). The Fund used hedging strategies through the use of derivatives that were intended to help moderate the impact of market volatility, which dampened overall Fund returns, as would typically be the case when employing such a management approach in a highly charged equity market like 2013. (Derivatives are securities that derive their value from the performance of one or more other investments
39
* The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s®, S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MassMutual. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500® Index.
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MML Managed Volatility Fund – Portfolio Manager Report (Unaudited) (Continued)
and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.) The Fund’s relatively modest return during this time period was attributable to the generally moderate stock market volatility environment throughout 2013, which limited the potential benefit of the derivatives in use. Market volatility, as measured by The Chicago Board Options Exchange Volatility Index (the “VIX”), only twice reached levels above 20 in 2013, with one instance in late June – and the other in early October. The VIX sharply contracted back toward its historically low level of approximately 12 after each of these spikes. Volatility, as represented by the VIX, was range bound between 12 and 16 throughout much of the reporting period. Ample liquidity and low interest rates in the U.S. markets helped suppress volatility, while providing fuel for the equity markets to rally. During the time that Gateway served as subadviser to the Fund, the standard deviation (based on monthly returns) of the Index was 9.62%, compared to only 3.10% for the Fund. This lower-risk profile served investors well during the two down months of the reporting period: In May, when the Index was down 1.34%, the Fund was down only 0.58% – and in August, when the Index was down 2.89%, the Fund was down just 0.83%. The Fund’s use of derivatives detracted from returns during the year.
Subadviser outlook
As a hedged equity manager, Gateway is more focused on market volatility and its outlook, rather than the equity markets in isolation. At the end of 2013, the VIX was 13.72, as the market appeared to be content with the current state of the Federal Reserve’s (the “Fed”) policy, a temporary resolution to the U.S. federal budget stalemate, and continued growth in the economy and growth in corporate earnings. With the S&P 500 Index making a new all-time high at 1848.36 on December 31, 2013, along with the relatively low VIX levels, the possibility exists that any kind of unanticipated bad news event has the potential to cause a sharp market selloff with a commensurate spike in the VIX, as occurred in June and October of 2013. Any kind of earnings disappointment, unexpected slower economic growth, or possibly more tapering of Fed bond purchases could cause this type of market behavior. While our investment management team does not try to forecast these types of events, we are vigilant to their possibility and will continue to manage the Fund’s derivative positions to take advantage of any spikes in volatility that may arise in 2014. As always, Gateway’s investment management team will continue to maintain the Fund’s derivative positions in line with the objectives of the Fund.
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MML Managed Volatility Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index and the Barclays U.S. Aggregate Bond Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Mid Cap Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Mid Cap Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in equity securities of mid-capitalization companies that the Fund’s subadviser believes offer the potential for above-average earnings growth. Under normal circumstances, the Fund invests at least 80% of its net assets in a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the subadviser expects to grow at a faster rate than the average company. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 36.69%, outpacing the 35.74% return of the Russell Midcap® Growth Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell Midcap companies (representing mid-capitalization U.S. common stocks) with higher price-to-book ratios and higher forecasted growth rates than securities in the value universe. Similarly, the Fund’s 36.69% return outperformed the 33.50% return of the S&P MidCap 400® Index, a widely recognized, unmanaged index representative of common stocks of mid-capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Stock selection accounted for much of the Fund’s outperformance during the year, while sector allocation dragged on overall results. On the sector level, financials, information technology, and health care helped the Fund’s returns, relative to the benchmark, whereas the materials sector detracted.
Stock selection in financials contributed to the Fund’s relative outperformance – particularly holdings in TD Ameritrade and CBOE Holdings. Discount retail broker TD Ameritrade benefited from an increasing client base and lower expenses as well as rising interest rates. An options and futures exchange operator, CBOE Holdings reported solid earnings driven by cost controls and increased volume in its proprietary volatility and S&P 500® Index option products.
The Fund’s information technology holdings also contributed to relative performance, particularly Cree and Gartner Group. During the year, lighting manufacturer Cree released a lower-priced light bulb, and Walmart announced it would be selling the company’s products. Gartner Group is a leading provider of information technology research and consulting services. One of the company’s main product lines is a subscription-based market research service, and Gartner Group continued to post strong subscriber growth, which boosted returns. Health care was another area of relative strength as a result of favorable stock selection. Fund holdings Alkermes and Valeant Pharmaceuticals both added relative value: Alkermes announced positive trial results for a product that is a treatment for a major depressive disorder. Valeant Pharmaceuticals announced early in the reporting period that it had acquired Bausch & Lomb, and the acquisition integration proceeded smoothly.
On the downside, stock selection in the materials sector hampered the Fund’s relative results. Fund holdings that worked against performance were concentrated among gold-related firms, most notably Franco Nevada and Agnico Eagle Mines. Both suffered amid falling prices for the precious metal.
Subadviser outlook
We are cautiously optimistic about U.S. equities, but are tempering our expectations after a year of nearly uninterrupted market strength. Despite this caution, in our view, the long term has the potential to be positive due to strong corporate fundamentals and positive economic data. We currently are finding opportunities for the Fund in specific companies rather than in larger themes – which underscores the importance of fundamental research and effective stock selection.
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MML Mid Cap Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
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MML Mid Cap Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell Midcap Growth Index and the S&P MidCap 400 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Mid Cap Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Mid Cap Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth. Income is a secondary objective. The Fund invests primarily in equity securities of mid-capitalization companies that the Fund’s subadviser believes offer prospects for long-term capital growth. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities of medium-size companies. The Fund’s subadviser is American Century Investment Management, Inc. (American Century).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 30.43%, trailing the 33.46% return of Russell Midcap® Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell Midcap companies (representing mid-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
Some of the more notable detractors from the Fund’s performance in 2013 were holdings in the energy sector among integrated oil and gas companies, which included Imperial Oil, a high-quality Canadian company whose share price was up less than 5% on flat oil prices when the company was unable to keep pace with the energy sector’s strong advance. The Fund’s greatest source of negative performance was its position in gold producer Newmont Mining, in the materials sector. A sharp drop in gold prices during 2013 negatively impacted the company’s profitability and excess cash reserves. In industrials, an overweight position, relative to the benchmark, in ADT, a provider of home security systems, worked against the Fund, as competition in the home security field – particularly from telecommunications companies – increased. The Fund’s overweight position in waste management company Republic Services also dampened the Fund’s benchmark-relative results.
On the upside, an underweight position in real estate investment trusts (REITs) in the financials sector contributed positively to the Fund’s relative returns. In general, valuation of REITs has appeared unattractive. REITs have benefited from the low interest-rate environment of the past few years. As interest rates increased, however, the REIT industry underperformed. Specifically, the Fund benefited from an underweight position in health care REIT HCP and its lack of exposure to residential REIT AvalonBay Communities, which underperformed. The Fund’s investment in online trading and investment services company Charles Schwab was also beneficial. As interest rates increased, it seemed likely the company would regain earnings power over time. In addition, the portfolio benefited from its underweight position in the utilities sector, which posted the weakest performance in the benchmark during the year. Fund holdings that were notable contributors in the industrials sector included Raytheon, a leading American defense contractor; and Northrop Grumman, a U.S.-based global aerospace and defense technology company. Despite government budget cuts, defense companies have generally maintained their profit margins and are paying dividends to shareholders.
During 2013, the Fund used forward currency exchange contracts, which are agreements between two parties to exchange two designated currencies at a specific time in the future, to insulate the portfolio’s foreign holdings from adverse currency movements.
Subadviser outlook
We continue to follow our disciplined, bottom-up process, selecting companies one at a time for the Fund. Looking forward, we see potential opportunity in consumer staples, health care, industrials, and energy, as reflected by the Fund’s overweight positions in these sectors relative to the benchmark. Our fundamental analysis and valuation work has led the Fund to hold smaller relative weightings in financials, consumer discretionary, materials, and information technology stocks as we head into 2014.
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MML Mid Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
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MML Mid Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell Midcap Value Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML PIMCO Total Return Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML PIMCO Total Return Fund, and who is the Fund’s subadviser?
The Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing, under normal circumstances, at least 65% of its total assets in a diversified portfolio of fixed income securities of varying maturities. The Fund’s subadviser is Pacific Investment Management Company LLC (PIMCO).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Class II shares returned -1.63%, outperforming the -2.02% return of the Barclays U.S. Aggregate Bond Index (the “benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
During the reporting period, tactical management of interest rate exposure contributed to Fund returns. In particular, an underweight position in longer maturities relative to the benchmark helped drive performance, as interest rates rose significantly in 2013, particularly in the second quarter of 2013, when the Federal Reserve (the “Fed”) signaled that it would begin to slow the pace of bond purchases. Additionally, a focus on shorter-term bonds during the second half of the year also helped performance, as shorter-maturity Treasuries remained anchored by the Fed’s forward guidance indicating continued low interest rates.
Non-U.S. interest rate exposure, with tactical positioning in short-term Spanish and Italian sovereign bonds, was positive for returns when peripheral yields continued to fall due to accommodative monetary policies and implicit support from the European Central Bank. Certain Fund holdings of non-agency mortgaged-backed securities also proved positive for performance, as the sector continued to benefit from the ongoing housing recovery. Non-agency mortgage-backed securities are issued by private institutions that are not backed by government-sponsored entities.
Beyond core sectors, exposure to high-yield financial bonds added to performance, as high-yield bonds posted strong returns in 2013. The Fund’s modest exposure to Build America bonds was another positive factor for performance, as the sector outperformed comparable Treasury securities in 2013. Currency exposure, particularly the Fund’s hedged position in the Japanese yen, also contributed to returns, as the yen depreciated more than 21% relative to the U.S. dollar during the year.
Conversely, hampering the Fund’s performance was an underweight position, relative to the benchmark, in investment-grade corporate securities, as prices rose and the sector outperformed like-duration Treasuries over the year. In addition, the Fund’s exposure to Treasury Inflation-Protected Securities (“TIPS”) proved negative for returns, relative to nominal Treasuries, as inflation levels were low and reduced inflation expectations led to a meaningful decline in TIPS’ total return.
With respect to the Fund’s use of derivatives, holdings of pay fixed interest rate swaps on the long end of the U.S. nominal yield curve contributed to performance. (Pay fixed interest rate swaps allow counterparties to exchange streams of fixed interest rate payments for streams of floating interest rate payments.) Additionally, the use of currency forwards to help obtain currency exposure also added to returns. (Currency forwards lock in the price at which an investor can buy or sell a currency on a future date.)
Subadviser outlook
We have become modestly more optimistic about the outlook for global growth and believe the growth rate may be 2.5% to 3.0% in 2014. Many of the issues of 2013 have faded, yielding a potentially brighter outlook for global growth. While many of the challenges have abated, unwinding the current monetary policy’s supportive grip on financial markets could prove challenging.
In the U.S., we believe the growth of the economy (as measured by the gross domestic product) may accelerate from its recent 1.8% pace toward a rate of 2.25% to 2.75%, due to diminishing fiscal drag and steady improvements in employment. In Europe,
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MML PIMCO Total Return Fund – Portfolio Manager Report (Unaudited) (Continued)
we believe there may be a more tempered 0.25% to 0.75% pace of growth, with risks in both directions. In Japan, our view is that extraordinary policies may continue to support growth of 1.0% to 1.5% in 2014, but that Japanese economic policies could become more challenging. In emerging markets, we believe that growth is likely to be shaped by developed market growth as well as central bank policies. While we expect a 3% to 4% growth rate, our view is that there may be large dispersion across countries, given differentiation in trade, commodity dependence, and policy frameworks.
| MML PIMCO Total Return Fund Portfolio Characteristics (% of Net Assets) on 12/31/13 |
||||
| U.S. Government Agency Obligations and Instrumentalities |
52.6 | % | ||
| U.S. Treasury Obligations |
36.1 | % | ||
| Corporate Debt |
17.3 | % | ||
| Non-U.S. Government Agency Obligations |
6.6 | % | ||
| Sovereign Debt Obligations |
6.2 | % | ||
| Municipal Obligations |
2.3 | % | ||
| Preferred Stock |
0.3 | % | ||
|
|
|
|||
| Total Long-Term Investments |
121.4 | % | ||
| Short-Term Investments and Other Assets and Liabilities |
(21.4 | )% | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
|||
| Forward Sale Commitments |
(0.3 | )% | ||
|
|
|
|||
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MML PIMCO Total Return Fund – Portfolio Manager Report (Unaudited) (Continued)
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Aggregate Bond Index is unmanaged, does not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small Cap Growth Equity Fund, and who are the Fund’s subadvisers?
The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company, LLP (Wellington Management), which managed approximately 66% of the Fund’s portfolio; and Waddell & Reed Investment Management Company (Waddell & Reed), which was responsible for approximately 34% of the Fund’s portfolio, as of December 31, 2013.
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class shares returned 48.54%, significantly outperforming the 43.30% return of the Russell 2000 Growth Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index companies (representing small-capitalization U.S. common stocks) with higher price-to-book ratios and higher forecasted growth rates than securities in the value universe. Similarly, the Fund’s 48.54% return exceeded, by a wide margin, the 38.82% return of the Russell 2000 Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
With respect to the Fund’s Wellington Management component, strong stock selection in the health care, materials, financials, and industrials sectors drove relative performance – as did an underweight position, relative to the benchmark, in the lagging financials sector and an overweight stake in the outperforming information technology sector. Top-performing Fund component holdings included AerCap Holdings – one of the world’s largest aircraft leasing companies (industrials sector) – KapStone Paper (materials), and Spirit Airlines (industrials). Conversely, less-than-favorable stock selection in the information technology, consumer staples, and energy sectors detracted. Other factors hampering Fund performance included an overweight allocation to the underperforming materials sector, an underweight stake in the outperforming health care sector, and a minor cash position in 2013’s strong stock market environment. Fund component holdings that were top relative detractors for the year included subscription television service provider TiVo (information technology), technology-focused seismic solutions company ION Geophysical (energy), and Angie’s List (information technology), an Internet-based membership service that compiles consumer ratings of local service companies and contractors in multiple cities across the U.S.
A variety of factors helped propel returns for the year for the Fund’s Waddell & Reed component, but stock selection was one of the most favorable for performance. Fund component holdings in the industrials sector (the largest-weighted sector within this Fund component) turned in the highest returns. Top performers here included WageWorks, which provides tax-advantaged programs for consumer-directed health, commuter, and other employee spending accounts; and Wabtec, which provides technology-based products and services for the freight rail and passenger transit industries. In the financials and energy sectors, Financial Engines, which provides technology-enabled portfolio management services, advice, and retirement income services to participants of employer-sponsored defined contribution plans, and HFF – which provides commercial real estate and capital market services to users and providers of capital in commercial real estate industry – were two Fund component holdings that were strong performance drivers. Conversely, in the information technology sector, the primary detractor was Vocera Communications, a Fund component holding that provides mobile communication solutions in health care, hospitality, energy, and retail environments. Another detractor was ServiceSource, which provides revenue management support for various companies.
Subadviser outlook
In 2014, Wellington Management plans to continue to emphasize fundamental research and bottom-up stock selection in an effort to seek companies that are undervalued relative to their fundamental outlooks. We intend to continue managing risk in the Fund
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MML Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
by applying our buy/sell discipline – and trimming positions as they approach the Fund component’s price targets – while adding to holdings where the risk/reward tradeoff is more favorable.
Waddell & Reed believes there is the potential for the market to consolidate after an impressive year like 2013. Our view is that valuations are extended from a historical standpoint, but not extremely so, and flows into the equity market are strong. We believe, since recent economic statistics have improved, a stronger economy may be possible in 2014.
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MML Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Growth Index and the Russell 2000 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Small Company Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small Company Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in equity securities that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000® Index. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Class II shares returned 31.71%, underperforming the 34.52% return of the Russell 2000 Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index companies (representing small-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe. The Fund also lagged, by a wide margin, the 38.82% return of the Russell 2000 Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The Fund had a robust gain for the 12-month period ended December 31, 2013, but underperformed the benchmark due to less-than-favorable stock selection. Overall, sector allocation was beneficial to Fund results relative to the benchmark – especially the Fund’s underweight positions (versus the benchmark) in the financials and utilities sectors and overweight allocations to consumer discretionary and industrials and business services.
The materials sector weighed on the Fund’s relative performance due to stock selection and an overweight position. The metals and mining industry detracted as spot gold prices plummeted, affecting two Fund holdings – Royal Gold and Franco-Nevada – both of which own gold royalties. Another detractor was Fund holding American Vanguard, a diversified specialty and agricultural products company whose sales were hampered by persistent wet weather in the Midwest during the summer. Fund holdings in the industrials and business services sectors underperformed, and a notable detractor here was Landstar System, a trucking service that contracts trucking capacity via agreements with independent truckers and brokerage carriers. Landstar System’s stock had a gain for the year, but lagged the broader sector. Fund holding Aaron’s weighed on results in the consumer discretionary sector. Aaron’s, a specialty retailer, uses a lease ownership model to sell a broad array of consumer products, including electronics and furniture – but its same-store customer growth targets fell short of lowered expectations.
On the positive side, Fund holdings that benefited performance during the reporting period included commercial banks, notably Home Bancshares, which contributed in the financials sector. Home Bancshares is a bank holding company for Centennial Bank, which offers commercial and retail banking services in Arkansas, Florida, and Alabama. The bank’s performance over the year benefited from improving margins and stable loan growth.
Finally, Fund holding Southwest Gas helped the Fund in the utilities sector. The company purchases, distributes, and transports natural gas to customers in Arizona, California, and Nevada – and it installs and maintains energy distribution systems for utility companies. The company performed well after a recent management change and an improved pay incentive structure that focuses on the long term.
Subadviser outlook
We are cautiously optimistic about U.S. equities, due to strong corporate fundamentals and positive economic data. In our view, improving housing figures and employment trends may be signs of strength in the ongoing economic recovery. Although tapering of the Federal Reserve’s bond purchase program is set to begin in January, we expect monetary conditions may remain accommodative throughout most of 2014. In our view, the small-capitalization market has appeared frothy in recent months, most notably in the initial public offering (IPO) segment. In light of the very strong 2013 gains by small-cap stocks, valuations appear to us to be quite high by many historical standards. Consequently, we have become somewhat more defensive by focusing on
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MML Small Company Value Fund – Portfolio Manager Report (Unaudited) (Continued)
stocks with more compelling valuations. We have also reduced positions in some longer-term winners from the Fund, particularly stocks that have appreciated into the mid-capitalization category. Nevertheless, we continue to find what we believe are good opportunities in a range of sectors.
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MML Small Company Value Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Value Index and the Russell 2000 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Small/Mid Cap Value Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML Small/Mid Cap Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return by investing primarily in securities that the Fund’s subadviser believes to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in securities of small- and mid-cap companies. The Fund’s subadviser is AllianceBernstein L.P. (AllianceBernstein).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund’s Initial Class Shares returned 38.18%, outperforming the 36.80% return of the Russell 2500TM Index (the “benchmark”), an unmanaged index that measures the performance of the 2,500 smallest companies in the Russell 3000® Index, which measures the performance of the 3,000 largest U.S. companies based on market capitalization. The Fund also outpaced the 33.32% return of the Russell 2500 Value Index (the “value benchmark”), an unmanaged index representative of common stocks of small- and mid-capitalization U.S. companies with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Subadviser discussion of factors that contributed to the Fund’s performance
The last three months of 2013 marked the fourth consecutive quarter of positive returns for smaller-capitalization equities, capping the best year in a decade for the Russell 2500 Value Index. The strong performance was a continuation of a broader theme that the U.S. economy is on the mend, which began to emerge approximately 18 months ago. As 2013 came to a close, investor confidence was boosted by the federal budget agreement and declining unemployment numbers. All sectors generated positive double-digit returns, led by the domestically oriented consumer cyclical and consumer growth sectors.
As was the case in the latter half of 2012, investors began to revalue stocks in 2013 based on company-specific fundamentals, creating a more favorable environment for the Fund’s value investing approach. Against this supportive backdrop, the Fund significantly outperformed the value benchmark for the year. The strong performance came primarily from strong stock selection, which was positive across most sectors. Fund holdings in the financials and energy sectors were the greatest contributors to performance. The common thread across many of these successful Fund holdings was that these companies were proactive in their efforts to unlock shareholder value. For example, commercial lender CapitalSource agreed to be acquired by regional bank PacWest. Similarly, semiconductor manufacturer SunEdison announced plans to split into two companies. Other contributors included Micron Technology, one of the world’s leading semiconductor companies; Cimarex Energy, an oil and gas exploration and production company; and Men’s Wearhouse, a men’s discount clothier.
Overall, by sector, the Fund’s industrial resources and consumer staples holdings detracted. On an individual stock basis, some of the Fund’s more defensive holdings, including real estate company LTC Properties, were among the largest detractors in 2013. In addition, shares of milk producer Dean Foods underperformed during the year. Other Fund holdings that detracted from performance during the reporting period included Cliffs Natural Resources, an international mining and natural resources company; AU Optronics, a Taiwanese manufacturer of TFT LCD panels; and General Cable, a manufacturer and distributor of copper, aluminum, and optical fiber cables for the energy and communications industries.
Finally, sector selection benefited Fund performance during the year, with underweight positioning in the financials sector and an overweight stake in consumer cyclicals counteracting the negative effects of an underweight position in consumer growth.
Subadviser outlook
Within smaller-capitalization equities, we believe the opportunity to find undervalued stocks remains attractive. Although stock correlations have declined from historic highs, it appears that investors continue to value many stocks in a similar way. Indeed, the price difference between the cheapest and most expensive stocks is narrower than normal, but many companies have stronger attributes than others, in our view.
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MML Small/Mid Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
Although these opportunities have become more broadly based following the sharp underperformance of utilities and real estate investment trusts (REITs) in 2013, our view is that wrongly valued stocks fall disproportionately into more cyclical industries. Accordingly, the Fund continues to hold overweight positions in these sectors. In many of these instances, we believe company actions or improving industry dynamics may drive dramatic earnings improvement. Additionally, we believe a number of companies will create value for shareholders through share repurchases, dividend increases, and limited tactical acquisitions.
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MML Small/Mid Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2500 Index and the Russell 2500 Value Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
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MML Blue Chip Growth Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
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MML Blue Chip Growth Fund – Portfolio of Investments (Continued)
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MML Blue Chip Growth Fund – Portfolio of Investments (Continued)
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MML Equity Income Fund – Portfolio of Investments
December 31, 2013
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MML Equity Income Fund – Portfolio of Investments (Continued)
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MML Equity Income Fund – Portfolio of Investments (Continued)
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MML Equity Index Fund – Portfolio of Investments
December 31, 2013
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MML Equity Index Fund – Portfolio of Investments (Continued)
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MML Equity Index Fund – Portfolio of Investments (Continued)
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MML Equity Index Fund – Portfolio of Investments (Continued)
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MML Equity Index Fund – Portfolio of Investments (Continued)
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MML Equity Index Fund – Portfolio of Investments (Continued)
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MML Equity Index Fund – Portfolio of Investments (Continued)
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MML Focused Equity Fund – Portfolio of Investments
December 31, 2013
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MML Foreign Fund – Portfolio of Investments
December 31, 2013
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MML Foreign Fund – Portfolio of Investments (Continued)
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MML Foreign Fund – Portfolio of Investments (Continued)
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MML Fundamental Growth Fund – Portfolio of Investments
December 31, 2013
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MML Fundamental Growth Fund – Portfolio of Investments (Continued)
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MML Fundamental Value Fund – Portfolio of Investments
December 31, 2013
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MML Fundamental Value Fund – Portfolio of Investments (Continued)
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MML Global Fund – Portfolio of Investments
December 31, 2013
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MML Global Fund – Portfolio of Investments (Continued)
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MML Global Fund – Portfolio of Investments (Continued)
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MML Growth & Income Fund – Portfolio of Investments
December 31, 2013
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MML Growth & Income Fund – Portfolio of Investments (Continued)
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MML Growth & Income Fund – Portfolio of Investments (Continued)
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MML Income & Growth Fund – Portfolio of Investments
December 31, 2013
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MML Income & Growth Fund – Portfolio of Investments (Continued)
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MML Income & Growth Fund – Portfolio of Investments (Continued)
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MML Large Cap Growth Fund – Portfolio of Investments
December 31, 2013
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MML Large Cap Growth Fund – Portfolio of Investments (Continued)
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MML Managed Volatility Fund – Portfolio of Investments
December 31, 2013
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MML Managed Volatility Fund – Portfolio of Investments (Continued)
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MML Managed Volatility Fund – Portfolio of Investments (Continued)
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MML Managed Volatility Fund – Portfolio of Investments (Continued)
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MML Managed Volatility Fund – Portfolio of Investments (Continued)
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MML Managed Volatility Fund – Portfolio of Investments (Continued)
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MML Managed Volatility Fund – Portfolio of Investments (Continued)
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MML Managed Volatility Fund – Portfolio of Investments (Continued)
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MML Mid Cap Growth Fund – Portfolio of Investments
December 31, 2013
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MML Mid Cap Growth Fund – Portfolio of Investments (Continued)
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MML Mid Cap Growth Fund – Portfolio of Investments (Continued)
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MML Mid Cap Value Fund – Portfolio of Investments
December 31, 2013
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MML Mid Cap Value Fund – Portfolio of Investments (Continued)
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MML Mid Cap Value Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments
December 31, 2013
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML PIMCO Total Return Fund – Portfolio of Investments (Continued)
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MML Small Cap Growth Equity Fund – Portfolio of Investments
December 31, 2013
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MML Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
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MML Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
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MML Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
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MML Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
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MML Small Company Value Fund – Portfolio of Investments
December 31, 2013
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MML Small Company Value Fund – Portfolio of Investments (Continued)
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MML Small Company Value Fund – Portfolio of Investments (Continued)
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MML Small Company Value Fund – Portfolio of Investments (Continued)
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MML Small/Mid Cap Value Fund – Portfolio of Investments
December 31, 2013
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MML Small/Mid Cap Value Fund – Portfolio of Investments (Continued)
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MML Small/Mid Cap Value Fund – Portfolio of Investments (Continued)
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MML Series Investment Fund – Financial Statements
Statements of Assets and Liabilities
December 31, 2013
| MML Blue Chip Growth Fund |
MML Equity Income Fund |
|||||||
| Assets: | ||||||||
| Investments, at value (Note 2) (a) |
$ | 451,557,128 | $ | 586,997,136 | ||||
| Short-term investments, at value (Note 2) (b) |
4,000,926 | 29,853,579 | ||||||
|
|
|
|
|
|||||
| Total investments (c) |
455,558,054 | 616,850,715 | ||||||
|
|
|
|
|
|||||
| Foreign currency, at value (d) |
6,035 | 70,542 | ||||||
| Receivables from: |
||||||||
| Investments sold |
77,968 | 707,742 | ||||||
| Investment adviser |
- | - | ||||||
| Fund shares sold |
142,829 | 156,741 | ||||||
| Variation margin on open derivative instruments (Note 2) |
- | - | ||||||
| Interest and dividends |
168,623 | 865,506 | ||||||
| Foreign taxes withheld |
5,425 | - | ||||||
|
|
|
|
|
|||||
| Total assets |
455,958,934 | 618,651,246 | ||||||
|
|
|
|
|
|||||
| Liabilities: | ||||||||
| Payables for: |
||||||||
| Investments purchased |
1,039,259 | 606,078 | ||||||
| Fund shares repurchased |
1,530,555 | 6,206,186 | ||||||
| Securities on loan (Note 2) |
- | - | ||||||
| Trustees’ fees and expenses (Note 3) |
63,115 | 110,710 | ||||||
| Affiliates (Note 3): |
||||||||
| Investment management fees |
288,648 | 397,314 | ||||||
| Administration fees |
- | - | ||||||
| Service fees |
13,732 | 33,544 | ||||||
| Due to custodian |
- | 1,253 | ||||||
| Accrued expense and other liabilities |
61,307 | 71,544 | ||||||
|
|
|
|
|
|||||
| Total liabilities |
2,996,616 | 7,426,629 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 452,962,318 | $ | 611,224,617 | ||||
|
|
|
|
|
|||||
| Net assets consist of: | ||||||||
| Paid-in capital |
$ | 231,285,940 | $ | 408,268,436 | ||||
| Undistributed (accumulated) net investment income (loss) |
(60,923 | ) | 9,122,284 | |||||
| Accumulated net realized gain (loss) on investments and foreign currency transactions |
39,365,268 | 6,936,645 | ||||||
| Net unrealized appreciation (depreciation) on investments and foreign currency translations |
182,372,033 | 186,897,252 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 452,962,318 | $ | 611,224,617 | ||||
|
|
|
|
|
|||||
| (a) Cost of investments: |
$ | 269,186,214 | $ | 400,103,098 | ||||
| (b) Cost of short-term investments: |
$ | 4,000,926 | $ | 29,853,579 | ||||
| (c) Securities on loan with market value of: |
$ | - | $ | - | ||||
| (d) Cost of foreign currency: |
$ | 5,960 | $ | 69,342 | ||||
The accompanying notes are an integral part of the financial statements.
128
Table of Contents
| MML Equity Index Fund |
MML Focused Equity Fund |
MML Foreign Fund |
MML Fundamental Growth Fund |
MML Fundamental Value Fund |
||||||||||||||
| $ | 401,506,838 | $ | 157,279,472 | $ | 424,428,035 | $ | 237,422,982 | $ | 229,102,252 | |||||||||
| 10,171,459 | 14,354,014 | 11,758,431 | 1,782,340 | 7,658,936 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 411,678,297 | 171,633,486 | 436,186,466 | 239,205,322 | 236,761,188 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| - | - | 20,443 | - | - | ||||||||||||||
| - | - | - | 956,745 | 619,908 | ||||||||||||||
| 12,735 | - | - | 5,839 | - | ||||||||||||||
| 8,943 | 75,226 | 1,035,184 | 110,318 | 104,766 | ||||||||||||||
| 37,433 | - | - | - | - | ||||||||||||||
| 541,033 | 100,564 | 569,091 | 100,048 | 292,697 | ||||||||||||||
| - | - | 450,057 | 4,045 | 23,489 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 412,278,441 | 171,809,276 | 438,261,241 | 240,382,317 | 237,802,048 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| - | - | 125,811 | 1,935,400 | 1,180,072 | ||||||||||||||
| 838,336 | 17,525 | 185,666 | 28,488 | 33,347 | ||||||||||||||
| - | - | 16,750,148 | - | - | ||||||||||||||
| 157,558 | 11,263 | 76,349 | 15,591 | 19,437 | ||||||||||||||
| 35,357 | 109,757 | 320,218 | 141,923 | 130,894 | ||||||||||||||
| 59,412 | 14,634 | - | 20,275 | 20,138 | ||||||||||||||
| 12,616 | 2,747 | 5,007 | 720 | 1,453 | ||||||||||||||
| - | - | - | - | - | ||||||||||||||
| 56,140 | 38,845 | 84,662 | 50,210 | 43,119 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 1,159,419 | 194,771 | 17,547,861 | 2,192,607 | 1,428,460 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 411,119,022 | $ | 171,614,505 | $ | 420,713,380 | $ | 238,189,710 | $ | 236,373,588 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 241,122,526 | $ | 107,532,894 | $ | 369,037,758 | $ | 165,186,581 | $ | 157,905,264 | |||||||||
| 6,419,905 | 600,718 | 7,631,318 | 1,515,348 | 3,364,084 | ||||||||||||||
| (2,439,404 | ) | 14,894,495 | (26,396,865 | ) | 13,654,156 | 9,551,946 | ||||||||||||
| 166,015,995 | 48,586,398 | 70,441,169 | 57,833,625 | 65,552,294 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 411,119,022 | $ | 171,614,505 | $ | 420,713,380 | $ | 238,189,710 | $ | 236,373,588 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 235,828,910 | $ | 108,693,074 | $ | 354,026,603 | $ | 179,589,357 | $ | 163,551,020 | |||||||||
| $ | 10,171,459 | $ | 14,354,014 | $ | 11,758,431 | $ | 1,782,340 | $ | 7,658,936 | |||||||||
| $ | - | $ | - | $ | 15,998,520 | $ | - | $ | - | |||||||||
| $ | - | $ | - | $ | 20,409 | $ | - | $ | - | |||||||||
129
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Assets and Liabilities
December 31, 2013
| MML Blue Chip Growth Fund |
MML Equity Income Fund |
|||||||
| Initial Class shares: | ||||||||
| Net assets |
$ | 429,689,035 | $ | 556,648,863 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
24,764,660 | 41,326,994 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 17.35 | $ | 13.47 | ||||
|
|
|
|
|
|||||
| Class I shares: | ||||||||
| Net assets |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Class II shares: | ||||||||
| Net assets |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Class III shares: | ||||||||
| Net assets |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Service Class shares: | ||||||||
| Net assets |
$ | 23,273,283 | $ | 54,575,754 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
1,355,381 | 4,077,232 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 17.17 | $ | 13.39 | ||||
|
|
|
|
|
|||||
| Service Class I shares: | ||||||||
| Net assets |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| (a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
130
Table of Contents
| MML Equity Index Fund |
MML Focused Equity Fund |
MML Foreign Fund |
MML Fundamental Growth Fund |
MML Fundamental Value Fund |
||||||||||||||
| $ | - | $ | - | $ | 412,363,007 | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| - | - | 36,756,140 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | - | $ | - | $ | 11.22 | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 92,852,939 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 4,012,828 | - | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 23.14 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 141,467,690 | $ | 166,654,849 | $ | - | $ | 236,836,685 | $ | 233,723,991 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 6,101,265 | 10,657,832 | - | 16,377,512 | 15,120,881 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 23.19 | $ | 15.64 | $ | - | $ | 14.46 | $ | 15.46 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 155,355,759 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 6,706,730 | - | - | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 23.16 | $ | - | $ | - | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | - | $ | - | $ | 8,350,373 | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| - | - | 747,915 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | - | $ | - | $ | 11.16 | $ | - | $ | - | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 21,442,634 | $ | 4,959,656 | $ | - | $ | 1,353,025 | $ | 2,649,597 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 943,918 | 318,312 | - | 93,934 | 172,337 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 22.72 | $ | 15.58 | $ | - | $ | 14.40 | $ | 15.37 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
131
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Assets and Liabilities
December 31, 2013
| MML Global Fund |
MML Growth & Income Fund |
|||||||
| Assets: | ||||||||
| Investments, at value (Note 2) (a) |
$ | 174,541,033 | $ | 145,881,219 | ||||
| Short-term investments, at value (Note 2) (b) |
2,510,203 | 1,050,070 | ||||||
|
|
|
|
|
|||||
| Total investments (c) |
177,051,236 | 146,931,289 | ||||||
|
|
|
|
|
|||||
| Cash |
- | - | ||||||
| Foreign currency, at value (d) |
2,524 | 2 | ||||||
| Receivables from: |
||||||||
| Investments sold |
70,220 | - | ||||||
| Investment adviser |
12,526 | - | ||||||
| Fund shares sold |
71,983 | 27,037 | ||||||
| Interest and dividends |
176,644 | 119,053 | ||||||
| Foreign taxes withheld |
154,637 | 5,466 | ||||||
|
|
|
|
|
|||||
| Total assets |
177,539,770 | 147,082,847 | ||||||
|
|
|
|
|
|||||
| Liabilities: | ||||||||
| Payables for: |
||||||||
| Investments purchased |
150,867 | - | ||||||
| Written options outstanding, at value (Note 2) (e) |
- | - | ||||||
| Fund shares repurchased |
233,146 | 675,986 | ||||||
| Securities on loan (Note 2) |
1,785,883 | - | ||||||
| Trustees’ fees and expenses (Note 3) |
22,286 | 43,945 | ||||||
| Affiliates (Note 3): |
||||||||
| Investment management fees |
89,210 | 63,066 | ||||||
| Administration fees |
40,029 | - | ||||||
| Service fees |
3,953 | 10,372 | ||||||
| Accrued expense and other liabilities |
80,798 | 40,287 | ||||||
|
|
|
|
|
|||||
| Total liabilities |
2,406,172 | 833,656 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 175,133,598 | $ | 146,249,191 | ||||
|
|
|
|
|
|||||
| Net assets consist of: | ||||||||
| Paid-in capital |
$ | 105,879,870 | $ | 145,576,116 | ||||
| Undistributed (accumulated) net investment income (loss) |
1,953,706 | 1,602,963 | ||||||
| Distributions in excess of net investment income |
- | - | ||||||
| Accumulated net realized gain (loss) on investments and foreign currency transactions |
3,786,922 | (48,684,078 | ) | |||||
| Net unrealized appreciation (depreciation) on investments and foreign currency translations |
63,513,100 | 47,754,190 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 175,133,598 | $ | 146,249,191 | ||||
|
|
|
|
|
|||||
| (a) Cost of investments: |
$ | 111,009,415 | $ | 98,127,347 | ||||
| (b) Cost of short-term investments: |
$ | 2,510,203 | $ | 1,050,070 | ||||
| (c) Securities on loan with market value of: |
$ | 1,722,223 | $ | - | ||||
| (d) Cost of foreign currency: |
$ | 2,521 | $ | 2 | ||||
| (e) Premiums on written options: |
$ | - | $ | - | ||||
The accompanying notes are an integral part of the financial statements.
132
Table of Contents
| MML Income & Growth Fund |
MML Large Cap Growth Fund |
MML Managed Volatility Fund |
MML Mid Cap Growth Fund |
|||||||||||
| $ | 239,025,896 | $ | 268,427,379 | $ | 230,223,199 | $ | 415,717,254 | |||||||
| 3,740,201 | 1,073,573 | 4,316,899 | 13,333,686 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 242,766,097 | 269,500,952 | 234,540,098 | 429,050,940 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | 779 | - | |||||||||||
| - | - | - | 599 | |||||||||||
| - | 1,795,345 | - | 178,267 | |||||||||||
| - | - | - | - | |||||||||||
| 82,970 | 100,220 | 3,944,207 | 19,425 | |||||||||||
| 498,150 | 90,271 | 311,644 | 154,179 | |||||||||||
| - | 12,695 | 64,142 | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 243,347,217 | 271,499,483 | 238,860,870 | 429,403,410 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | 905,924 | - | 261,953 | |||||||||||
| - | - | 6,743,970 | - | |||||||||||
| 249,101 | 187,132 | 38,325 | 2,094,180 | |||||||||||
| - | - | - | 10,931,759 | |||||||||||
| 38,735 | 30,578 | 75,417 | 76,222 | |||||||||||
| 135,118 | 149,566 | 149,239 | 275,726 | |||||||||||
| - | - | - | - | |||||||||||
| 9,050 | 1,110 | 17,508 | 26,471 | |||||||||||
| 45,642 | 45,585 | 83,063 | 61,851 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 477,646 | 1,319,895 | 7,107,522 | 13,728,162 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 242,869,571 | $ | 270,179,588 | $ | 231,753,348 | $ | 415,675,248 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 176,451,069 | $ | 176,301,548 | $ | 171,772,605 | $ | 214,385,896 | |||||||
| 4,463,436 | - | 2,532,387 | (748,376 | ) | ||||||||||
| - | (16,236 | ) | - | - | ||||||||||
| (2,022,904 | ) | 30,735,580 | 22,589,305 | 53,688,571 | ||||||||||
| 63,977,970 | 63,158,696 | 34,859,051 | 148,349,157 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 242,869,571 | $ | 270,179,588 | $ | 231,753,348 | $ | 415,675,248 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 175,047,939 | $ | 205,268,683 | $ | 192,066,192 | $ | 267,368,060 | |||||||
| $ | 3,740,201 | $ | 1,073,573 | $ | 4,316,899 | $ | 13,333,686 | |||||||
| $ | - | $ | - | $ | - | $ | 10,695,749 | |||||||
| $ | - | $ | - | $ | - | $ | 598 | |||||||
| $ | - | $ | - | $ | 3,438,700 | $ | - | |||||||
133
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Assets and Liabilities
December 31, 2013
| MML Global Fund |
MML Growth & Income Fund |
|||||||
| Initial Class shares: | ||||||||
| Net assets |
$ | - | $ | 129,107,327 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | 10,688,806 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | 12.08 | ||||
|
|
|
|
|
|||||
| Class I shares: | ||||||||
| Net assets |
$ | 149,795,654 | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
12,037,502 | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 12.44 | $ | - | ||||
|
|
|
|
|
|||||
| Class II shares: | ||||||||
| Net assets |
$ | 18,681,189 | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
1,479,243 | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 12.63 | $ | - | ||||
|
|
|
|
|
|||||
| Service Class shares: | ||||||||
| Net assets |
$ | - | $ | 17,141,864 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | 1,426,499 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | 12.02 | ||||
|
|
|
|
|
|||||
| Service Class I shares: | ||||||||
| Net assets |
$ | 6,656,755 | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
537,770 | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 12.38 | $ | - | ||||
|
|
|
|
|
|||||
| (a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
134
Table of Contents
| MML Income & Growth Fund |
MML Large Cap Growth Fund |
MML Managed Volatility Fund |
MML Mid Cap Growth Fund |
|||||||||||
| $ | 228,094,994 | $ | 268,330,300 | $ | 203,330,186 | $ | 371,802,705 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| 19,664,711 | 18,335,092 | 14,184,887 | 22,410,040 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 11.60 | $ | 14.63 | $ | 14.33 | $ | 16.59 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 14,774,577 | $ | 1,849,288 | $ | 28,423,162 | $ | 43,872,543 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| 1,283,321 | 127,432 | 1,994,301 | 2,678,344 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 11.51 | $ | 14.51 | $ | 14.25 | $ | 16.38 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | - | $ | - | $ | - | $ | - | |||||||
|
|
|
|
|
|
|
|
|
|||||||
135
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Assets and Liabilities
December 31, 2013
| MML Mid Cap Value Fund |
MML PIMCO Total Return Fund |
|||||||
| Assets: | ||||||||
| Investments, at value (Note 2) (a) |
$ | 482,755,837 | $ | 500,577,304 | ||||
| Short-term investments, at value (Note 2) (b) |
11,046,816 | 51,433,131 | ||||||
|
|
|
|
|
|||||
| Total investments (c) |
493,802,653 | 552,010,435 | ||||||
|
|
|
|
|
|||||
| Foreign currency, at value (d) |
- | 502,471 | ||||||
| Receivables from: |
||||||||
| Investments sold |
2,068,539 | 11,179,788 | ||||||
| Investments sold on a when-issued basis (Note 2) |
- | 109,099,172 | ||||||
| Collateral held for open swap agreements (Note 2) |
- | 2,576,000 | ||||||
| Open forward foreign currency contracts (Note 2) |
1,508 | 262,671 | ||||||
| Investment adviser |
- | 20,488 | ||||||
| Fund shares sold |
1,595 | 229,068 | ||||||
| Collateral held for open futures contracts (Note 2) |
- | 1,011,000 | ||||||
| Variation margin on open derivative instruments (Note 2) |
- | 303,783 | ||||||
| Interest and dividends |
1,125,684 | 1,998,507 | ||||||
| Open swap agreements, at value (Note 2) |
- | 109,923 | ||||||
|
|
|
|
|
|||||
| Total assets |
496,999,979 | 679,303,306 | ||||||
|
|
|
|
|
|||||
| Liabilities: | ||||||||
| Payables for: |
||||||||
| Investments purchased |
2,327,992 | 402,005 | ||||||
| Written options outstanding, at value (Note 2) (e) |
- | 239,001 | ||||||
| Forward sale commitments, at value (Note 2) (f) |
- | 1,167,934 | ||||||
| Open forward foreign currency contracts (Note 2) |
126,665 | 1,153,249 | ||||||
| Fund shares repurchased |
3,269,532 | 97,266 | ||||||
| Interest and dividends |
- | 4,953 | ||||||
| Investments purchased on a when-issued basis (Note 2) |
- | 263,052,883 | ||||||
| Securities on loan (Note 2) |
- | - | ||||||
| Open swap agreements, at value (Note 2) |
- | 123,724 | ||||||
| Trustees’ fees and expenses (Note 3) |
97,815 | 31,064 | ||||||
| Variation margin on open derivative instruments (Note 2) |
- | 147,590 | ||||||
| Affiliates (Note 3): |
||||||||
| Investment management fees |
358,348 | 180,782 | ||||||
| Administration fees |
- | 36,156 | ||||||
| Service fees |
14,408 | 6,847 | ||||||
| Due to custodian |
- | 21 | ||||||
| Accrued expense and other liabilities |
71,082 | 128,572 | ||||||
|
|
|
|
|
|||||
| Total liabilities |
6,265,842 | 266,772,047 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 490,734,137 | $ | 412,531,259 | ||||
|
|
|
|
|
|||||
| Net assets consist of: | ||||||||
| Paid-in capital |
$ | 341,278,287 | $ | 409,066,612 | ||||
| Undistributed (accumulated) net investment income (loss) |
8,057,114 | 8,028,534 | ||||||
| Accumulated net realized gain (loss) on investments and foreign currency transactions |
73,731,337 | (5,354,813 | ) | |||||
| Net unrealized appreciation (depreciation) on investments and foreign currency translations |
67,667,399 | 790,926 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 490,734,137 | $ | 412,531,259 | ||||
|
|
|
|
|
|||||
| (a) Cost of investments: |
$ | 414,963,192 | $ | 500,888,140 | ||||
| (b) Cost of short-term investments: |
$ | 11,046,816 | $ | 51,366,515 | ||||
| (c) Securities on loan with market value of: |
$ | - | $ | - | ||||
| (d) Cost of foreign currency: |
$ | - | $ | 504,107 | ||||
| (e) Premiums on written options: |
$ | - | $ | 287,308 | ||||
| (f) Proceeds from forward sale commitments: |
$ | - | $ | 1,174,852 | ||||
The accompanying notes are an integral part of the financial statements.
136
Table of Contents
| MML Small Cap Growth Equity Fund |
MML Small Company Value Fund |
MML Small/Mid Cap Value Fund |
||||||||
| $ | 301,536,093 | $ | 107,381,771 | $ | 269,619,233 | |||||
| 5,430,900 | 3,072,670 | 4,100,718 | ||||||||
|
|
|
|
|
|
|
|||||
| 306,966,993 | 110,454,441 | 273,719,951 | ||||||||
|
|
|
|
|
|
|
|||||
| - | - | - | ||||||||
| 947,496 | 53,517 | - | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| - | 5,342 | - | ||||||||
| 60,134 | 62,035 | 137,301 | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| 98,290 | 147,551 | 455,566 | ||||||||
| - | - | - | ||||||||
|
|
|
|
|
|
|
|||||
| 308,072,913 | 110,722,886 | 274,312,818 | ||||||||
|
|
|
|
|
|
|
|||||
| 1,222,122 | 191,474 | 594,876 | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| 4,541,390 | 108,131 | 3,506,296 | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| 21,010,987 | 2,475,933 | - | ||||||||
| - | - | - | ||||||||
| 73,948 | 16,554 | 46,517 | ||||||||
| - | - | - | ||||||||
| 250,356 | 78,389 | 174,861 | ||||||||
| - | 23,055 | - | ||||||||
| 4,843 | 5,898 | 7,685 | ||||||||
| - | - | 629 | ||||||||
| 57,395 | 39,134 | 43,380 | ||||||||
|
|
|
|
|
|
|
|||||
| 27,161,041 | 2,938,568 | 4,374,244 | ||||||||
|
|
|
|
|
|
|
|||||
| $ | 280,911,872 | $ | 107,784,318 | $ | 269,938,574 | |||||
|
|
|
|
|
|
|
|||||
| $ | 139,686,923 | $ | 38,818,610 | $ | 215,142,726 | |||||
| (68,065 | ) | (116,050 | ) | 1,402,931 | ||||||
| 67,637,223 | 27,294,889 | 4,815,179 | ||||||||
| 73,655,791 | 41,786,869 | 48,577,738 | ||||||||
|
|
|
|
|
|
|
|||||
| $ | 280,911,872 | $ | 107,784,318 | $ | 269,938,574 | |||||
|
|
|
|
|
|
|
|||||
| $ | 227,880,302 | $ | 65,594,895 | $ | 221,041,495 | |||||
| $ | 5,430,900 | $ | 3,072,670 | $ | 4,100,718 | |||||
| $ | 20,481,040 | $ | 2,401,688 | $ | - | |||||
| $ | - | $ | - | $ | - | |||||
| $ | - | $ | - | $ | - | |||||
| $ | - | $ | - | $ | - | |||||
137
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Assets and Liabilities
December 31, 2013
| MML Mid Cap Value Fund |
MML PIMCO Total Return Fund |
|||||||
| Initial Class shares: | ||||||||
| Net assets |
$ | 467,386,419 | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
34,230,782 | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 13.65 | $ | - | ||||
|
|
|
|
|
|||||
| Class II shares: | ||||||||
| Net assets |
$ | - | $ | 401,127,388 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | 38,785,512 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | 10.34 | ||||
|
|
|
|
|
|||||
| Service Class shares: | ||||||||
| Net assets |
$ | 23,347,718 | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
1,722,707 | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 13.55 | $ | - | ||||
|
|
|
|
|
|||||
| Service Class I shares: | ||||||||
| Net assets |
$ | - | $ | 11,403,871 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | 1,108,530 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | 10.29 | ||||
|
|
|
|
|
|||||
| (a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
138
Table of Contents
| MML Small Cap Growth Equity Fund |
MML Small Company Value Fund |
MML Small/Mid Cap Value Fund |
||||||||
| $ | 273,040,984 | $ | - | $ | 257,210,038 | |||||
|
|
|
|
|
|
|
|||||
| 11,971,707 | - | 18,636,515 | ||||||||
|
|
|
|
|
|
|
|||||
| $ | 22.81 | $ | - | $ | 13.80 | |||||
|
|
|
|
|
|
|
|||||
| $ | - | $ | 97,840,152 | $ | - | |||||
|
|
|
|
|
|
|
|||||
| - | 4,097,760 | - | ||||||||
|
|
|
|
|
|
|
|||||
| $ | - | $ | 23.88 | $ | - | |||||
|
|
|
|
|
|
|
|||||
| $ | 7,870,888 | $ | - | $ | 12,728,536 | |||||
|
|
|
|
|
|
|
|||||
| 350,718 | - | 927,430 | ||||||||
|
|
|
|
|
|
|
|||||
| $ | 22.44 | $ | - | $ | 13.72 | |||||
|
|
|
|
|
|
|
|||||
| $ | - | $ | 9,944,166 | $ | - | |||||
|
|
|
|
|
|
|
|||||
| - | 420,868 | - | ||||||||
|
|
|
|
|
|
|
|||||
| $ | - | $ | 23.63 | $ | - | |||||
|
|
|
|
|
|
|
|||||
139
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
For the Year Ended December 31, 2013
| MML Blue Chip Growth Fund |
MML Equity Income Fund |
|||||||
| Investment income (Note 2): | ||||||||
| Dividends (a) |
$ | 3,033,690 | $ | 13,801,799 | ||||
| Interest |
297 | 6,006 | ||||||
| Securities lending net income |
- | - | ||||||
|
|
|
|
|
|||||
| Total investment income |
3,033,987 | 13,807,805 | ||||||
|
|
|
|
|
|||||
| Expenses (Note 3): | ||||||||
| Investment management fees |
2,924,437 | 4,272,323 | ||||||
| Custody fees |
48,714 | 50,174 | ||||||
| Audit fees |
33,747 | 33,314 | ||||||
| Legal fees |
2,058 | 3,137 | ||||||
| Proxy fees |
1,028 | 1,028 | ||||||
| Shareholder reporting fees |
44,848 | 70,783 | ||||||
| Trustees’ fees |
28,001 | 41,071 | ||||||
|
|
|
|
|
|||||
| 3,082,833 | 4,471,830 | |||||||
| Administration fees: |
||||||||
| Class I |
- | - | ||||||
| Class II |
- | - | ||||||
| Class III |
- | - | ||||||
| Service Class I |
- | - | ||||||
| Service fees: |
||||||||
| Service Class |
46,221 | 118,529 | ||||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total expenses |
3,129,054 | 4,590,359 | ||||||
| Expenses waived (Note 3): |
||||||||
| Class II fees reimbursed by adviser |
- | - | ||||||
| Service Class I fees reimbursed by adviser |
- | - | ||||||
| Class II administrative fees waived |
- | - | ||||||
| Class III administrative fees waived |
- | - | ||||||
|
|
|
|
|
|||||
| Net expenses |
3,129,054 | 4,590,359 | ||||||
|
|
|
|
|
|||||
| Net investment income (loss) |
(95,067 | ) | 9,217,446 | |||||
|
|
|
|
|
|||||
| Realized and unrealized gain (loss): | ||||||||
| Net realized gain (loss) on: |
||||||||
| Investment transactions |
42,523,480 | 37,763,315 | ||||||
| Futures contracts |
- | - | ||||||
| Foreign currency transactions |
(2,325 | ) | (899 | ) | ||||
|
|
|
|
|
|||||
| Net realized gain (loss) |
42,521,155 | 37,762,416 | ||||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investment transactions |
94,434,630 | 100,710,005 | ||||||
| Futures contracts |
- | - | ||||||
| Translation of assets and liabilities in foreign currencies |
(443 | ) | 2,500 | |||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) |
94,434,187 | 100,712,505 | ||||||
|
|
|
|
|
|||||
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
136,955,342 | 138,474,921 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
$ | 136,860,275 | $ | 147,692,367 | ||||
|
|
|
|
|
|||||
| (a) Net of withholding tax of: |
$ | 2,723 | $ | 100,419 | ||||
The accompanying notes are an integral part of the financial statements.
140
Table of Contents
| MML Equity Index Fund |
MML Focused Equity Fund |
MML Foreign Fund |
MML Fundamental Growth Fund |
MML Fundamental Value Fund |
||||||||||||||
| $ | 7,610,116 | $ | 1,996,807 | $ | 11,432,337 | $ | 3,328,907 | $ | 5,050,867 | |||||||||
| 1,095 | 1,141 | 1,499 | 185 | 304 | ||||||||||||||
| - | - | 437,921 | - | - | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 7,611,211 | 1,997,948 | 11,871,757 | 3,329,092 | 5,051,171 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 364,453 | 1,154,517 | 3,554,627 | 1,486,131 | 1,366,832 | ||||||||||||||
| 34,907 | 11,688 | 187,027 | 52,517 | 18,579 | ||||||||||||||
| 33,722 | 32,933 | 42,691 | 32,986 | 32,983 | ||||||||||||||
| 2,029 | 561 | 2,388 | 757 | 1,168 | ||||||||||||||
| 1,028 | 1,028 | 1,028 | 1,028 | 1,028 | ||||||||||||||
| 42,025 | 19,890 | 50,216 | 26,276 | 25,499 | ||||||||||||||
| 26,307 | 11,281 | 29,139 | 15,536 | 15,250 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 504,471 | 1,231,898 | 3,867,116 | 1,615,231 | 1,461,339 | ||||||||||||||
| 262,420 | - | - | - | - | ||||||||||||||
| 235,988 | 151,399 | - | 211,463 | 209,024 | ||||||||||||||
| 68,772 | - | - | - | - | ||||||||||||||
| 45,696 | 2,536 | - | 842 | 1,258 | ||||||||||||||
| - | - | 18,416 | - | - | ||||||||||||||
| 38,080 | 6,341 | - | 2,104 | 3,145 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 1,155,427 | 1,392,174 | 3,885,532 | 1,829,640 | 1,674,766 | ||||||||||||||
| - | - | - | (22,840 | ) | - | |||||||||||||
| - | (9 | ) | - | (109 | ) | - | ||||||||||||
| (62,102 | ) | - | - | - | - | |||||||||||||
| (68,772 | ) | - | - | - | - | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 1,024,553 | 1,392,165 | 3,885,532 | 1,806,691 | 1,674,766 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 6,586,658 | 605,783 | 7,986,225 | 1,522,401 | 3,376,405 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 3,333,118 | 14,894,498 | 4,953,721 | 13,875,240 | 9,621,394 | ||||||||||||||
| 2,061,784 | - | - | - | - | ||||||||||||||
| - | - | (181,872 | ) | - | (937 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 5,394,902 | 14,894,498 | 4,771,849 | 13,875,240 | 9,620,457 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 88,454,596 | 33,974,350 | 64,908,020 | 44,061,762 | 43,173,705 | ||||||||||||||
| 334,532 | - | - | - | - | ||||||||||||||
| - | - | (2,087 | ) | - | 1,062 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 88,789,128 | 33,974,350 | 64,905,933 | 44,061,762 | 43,174,767 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| 94,184,030 | 48,868,848 | 69,677,782 | 57,937,002 | 52,795,224 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 100,770,688 | $ | 49,474,631 | $ | 77,664,007 | $ | 59,459,403 | $ | 56,171,629 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 1,558 | $ | - | $ | 1,076,695 | $ | 8,236 | $ | 44,649 | |||||||||
141
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Operations
For the Year Ended December 31, 2013
| MML Global Fund |
MML Growth & Income Fund |
|||||||
| Investment income (Note 2): | ||||||||
| Dividends (a) |
$ | 3,163,383 | $ | 2,469,760 | ||||
| Interest |
208 | 73 | ||||||
| Securities lending net income |
64,368 | - | ||||||
|
|
|
|
|
|||||
| Total investment income |
3,227,959 | 2,469,833 | ||||||
|
|
|
|
|
|||||
| Expenses (Note 3): | ||||||||
| Investment management fees |
967,821 | 690,612 | ||||||
| Custody fees |
56,859 | 26,413 | ||||||
| Audit fees |
36,480 | 32,928 | ||||||
| Legal fees |
1,141 | 757 | ||||||
| Proxy fees |
1,028 | 1,028 | ||||||
| Shareholder reporting fees |
22,624 | 20,187 | ||||||
| Trustees’ fees |
11,908 | 9,964 | ||||||
|
|
|
|
|
|||||
| 1,097,861 | 781,889 | |||||||
| Administration fees: |
||||||||
| Class I |
387,988 | - | ||||||
| Class II |
31,620 | - | ||||||
| Service Class I |
14,475 | - | ||||||
| Service fees: |
||||||||
| Service Class |
- | 37,343 | ||||||
| Service Class I |
12,924 | - | ||||||
|
|
|
|
|
|||||
| Total expenses |
1,544,868 | 819,232 | ||||||
| Expenses waived (Note 3): |
||||||||
| Class I fees reimbursed by adviser |
(83,924 | ) | - | |||||
| Class II fees reimbursed by adviser |
(10,638 | ) | - | |||||
| Service Class I fees reimbursed by adviser |
(3,217 | ) | - | |||||
|
|
|
|
|
|||||
| Net expenses |
1,447,089 | 819,232 | ||||||
|
|
|
|
|
|||||
| Net investment income (loss) |
1,780,870 | 1,650,601 | ||||||
|
|
|
|
|
|||||
| Realized and unrealized gain (loss): | ||||||||
| Net realized gain (loss) on: |
||||||||
| Investment transactions |
11,280,444 | 13,643,118 | ||||||
| Written options |
- | - | ||||||
| Foreign currency transactions |
(30,686 | ) | (6,072 | ) | ||||
|
|
|
|
|
|||||
| Net realized gain (loss) |
11,249,758 | 13,637,046 | ||||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investment transactions |
27,095,716 | 23,484,065 | ||||||
| Written options |
- | - | ||||||
| Translation of assets and liabilities in foreign currencies |
(27,629 | ) | 285 | |||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) |
27,068,087 | 23,484,350 | ||||||
|
|
|
|
|
|||||
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
38,317,845 | 37,121,396 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
$ | 40,098,715 | $ | 38,771,997 | ||||
|
|
|
|
|
|||||
| (a) Net of withholding tax of: |
$ | 187,793 | $ | 27,440 | ||||
The accompanying notes are an integral part of the financial statements.
142
Table of Contents
| MML Income & Growth Fund |
MML Large Cap Growth Fund |
MML Managed Volatility Fund |
MML Mid Cap Growth Fund |
|||||||||||
| $ | 6,060,716 | $ | 1,650,792 | $ | 4,684,065 | $ | 2,307,167 | |||||||
| 706 | 285 | 631 | 4,148 | |||||||||||
| - | - | 7,891 | 127,444 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 6,061,422 | 1,651,077 | 4,692,587 | 2,438,759 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 1,422,206 | 1,533,956 | 1,713,632 | 3,097,275 | |||||||||||
| 30,372 | 22,599 | 185,192 | 52,153 | |||||||||||
| 33,576 | 33,009 | 33,010 | 33,766 | |||||||||||
| 1,245 | 1,293 | 8,048 | 2,294 | |||||||||||
| 1,028 | 1,028 | 1,028 | 1,028 | |||||||||||
| 28,878 | 32,055 | 30,353 | 52,283 | |||||||||||
| 16,354 | 17,031 | 16,483 | 29,473 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 1,533,659 | 1,640,971 | 1,987,746 | 3,268,272 | |||||||||||
| - | - | - | - | |||||||||||
| - | - | - | - | |||||||||||
| - | - | - | - | |||||||||||
| 33,347 | 3,970 | 65,756 | 91,328 | |||||||||||
| - | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 1,567,006 | 1,644,941 | 2,053,502 | 3,359,600 | |||||||||||
| - | - | - | - | |||||||||||
| - | - | - | - | |||||||||||
| - | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 1,567,006 | 1,644,941 | 2,053,502 | 3,359,600 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 4,494,416 | 6,136 | 2,639,085 | (920,841 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 3,428,600 | 30,863,487 | 52,688,355 | 55,975,049 | |||||||||||
| - | - | (16,259,108 | ) | - | ||||||||||
| 1,099 | - | (34,893 | ) | (2,314 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 3,429,699 | 30,863,487 | 36,394,354 | 55,972,735 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 39,637,780 | 38,368,865 | 1,230,452 | 70,010,711 | |||||||||||
| - | - | (3,305,270 | ) | - | ||||||||||
| 80 | - | 1,777 | (39 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 39,637,860 | 38,368,865 | (2,073,041 | ) | 70,010,672 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 43,067,559 | 69,232,352 | 34,321,313 | 125,983,407 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 47,561,975 | $ | 69,238,488 | $ | 36,960,398 | $ | 125,062,566 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 84,452 | $ | 36,209 | $ | 35,438 | $ | 22,521 | |||||||
143
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Operations
For the Year Ended December 31, 2013
| MML Mid Cap Value Fund |
MML PIMCO Total Return Fund |
|||||||
| Investment income (Note 2): | ||||||||
| Dividends (a) |
$ | 11,931,071 | $ | 89,375 | ||||
| Interest |
3,222 | 7,034,302 | ||||||
| Securities lending net income |
- | - | ||||||
|
|
|
|
|
|||||
| Total investment income |
11,934,293 | 7,123,677 | ||||||
|
|
|
|
|
|||||
| Expenses (Note 3): | ||||||||
| Investment management fees |
4,092,658 | 1,891,126 | ||||||
| Custody fees |
73,908 | 179,719 | ||||||
| Interest expense |
- | 1,565 | ||||||
| Audit fees |
33,843 | 89,111 | ||||||
| Legal fees |
2,890 | 2,149 | ||||||
| Proxy fees |
1,028 | 1,028 | ||||||
| Shareholder reporting fees |
62,977 | 46,211 | ||||||
| Trustees’ fees |
35,785 | 28,216 | ||||||
|
|
|
|
|
|||||
| 4,303,089 | 2,239,125 | |||||||
| Administration fees: |
||||||||
| Class II |
- | 369,297 | ||||||
| Service Class I |
- | 8,928 | ||||||
| Service fees: |
||||||||
| Service Class |
50,377 | - | ||||||
| Service Class I |
- | 22,321 | ||||||
|
|
|
|
|
|||||
| Total expenses |
4,353,466 | 2,639,671 | ||||||
| Expenses waived (Note 3): |
||||||||
| Class II fees reimbursed by adviser |
- | (153,507 | ) | |||||
| Service Class I fees reimbursed by adviser |
- | (3,813 | ) | |||||
| Initial Class management fees waived |
- | - | ||||||
| Service Class management fees waived |
- | - | ||||||
|
|
|
|
|
|||||
| Net expenses |
4,353,466 | 2,482,351 | ||||||
|
|
|
|
|
|||||
| Net investment income (loss) |
7,580,827 | 4,641,326 | ||||||
|
|
|
|
|
|||||
| Realized and unrealized gain (loss): | ||||||||
| Net realized gain (loss) on: |
||||||||
| Investment transactions |
81,413,242 | (2,976,404 | ) | |||||
| Futures contracts |
- | 211,988 | ||||||
| Written options |
- | 230,754 | ||||||
| Swap agreements |
- | 588,376 | ||||||
| Foreign currency transactions |
602,735 | 244,296 | ||||||
|
|
|
|
|
|||||
| Net realized gain (loss) |
82,015,977 | (1,700,990 | ) | |||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investment transactions |
39,297,572 | (9,999,822 | ) | |||||
| Futures contracts |
- | (497,338 | ) | |||||
| Written options |
- | 5,218 | ||||||
| Forward sale commitments |
- | 6,918 | ||||||
| Swap agreements |
- | 1,883,147 | ||||||
| Translation of assets and liabilities in foreign currencies |
(139,653 | ) | (325,289 | ) | ||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) |
39,157,919 | (8,927,166 | ) | |||||
|
|
|
|
|
|||||
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
121,173,896 | (10,628,156 | ) | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
$ | 128,754,723 | $ | (5,986,830 | ) | |||
|
|
|
|
|
|||||
| (a) Net of withholding tax of: |
$ | 33,472 | $ | - | ||||
The accompanying notes are an integral part of the financial statements.
144
Table of Contents
| MML Small Cap Growth Equity Fund |
MML Small Company Value Fund |
MML Small/Mid Cap Value Fund |
||||||||
| $ | 1,520,156 | $ | 1,372,379 | $ | 3,104,293 | |||||
| 515 | 311 | 377 | ||||||||
| 359,311 | 51,645 | - | ||||||||
|
|
|
|
|
|
|
|||||
| 1,879,982 | 1,424,335 | 3,104,670 | ||||||||
|
|
|
|
|
|
|
|||||
| 2,984,778 | 1,085,842 | 1,515,164 | ||||||||
| 64,161 | 16,923 | 25,890 | ||||||||
| - | - | - | ||||||||
| 35,706 | 33,516 | 32,978 | ||||||||
| 1,607 | 714 | 1,078 | ||||||||
| 1,028 | 1,028 | 1,028 | ||||||||
| 34,337 | 19,453 | 27,180 | ||||||||
| 20,995 | 9,675 | 14,028 | ||||||||
|
|
|
|
|
|
|
|||||
| 3,142,612 | 1,167,151 | 1,617,346 | ||||||||
| - | 299,251 | - | ||||||||
| - | 20,114 | - | ||||||||
| 17,312 | - | 26,877 | ||||||||
| - | 20,114 | - | ||||||||
|
|
|
|
|
|
|
|||||
| 3,159,924 | 1,506,630 | 1,644,223 | ||||||||
| - | (16,336 | ) | - | |||||||
| - | (1,098 | ) | - | |||||||
| (31,636 | ) | - | - | |||||||
| (726 | ) | - | - | |||||||
|
|
|
|
|
|
|
|||||
| 3,127,562 | 1,489,196 | 1,644,223 | ||||||||
|
|
|
|
|
|
|
|||||
| (1,247,580 | ) | (64,861 | ) | 1,460,447 | ||||||
|
|
|
|
|
|
|
|||||
| 70,873,654 | 28,003,763 | 29,633,752 | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| 510 | 295 | - | ||||||||
|
|
|
|
|
|
|
|||||
| 70,874,164 | 28,004,058 | 29,633,752 | ||||||||
|
|
|
|
|
|
|
|||||
| 43,258,322 | 7,190,226 | 33,377,829 | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| - | - | - | ||||||||
| (28 | ) | (7 | ) | - | ||||||
|
|
|
|
|
|
|
|||||
| 43,258,294 | 7,190,219 | 33,377,829 | ||||||||
|
|
|
|
|
|
|
|||||
| 114,132,458 | 35,194,277 | 63,011,581 | ||||||||
|
|
|
|
|
|
|
|||||
| $ | 112,884,878 | $ | 35,129,416 | $ | 64,472,028 | |||||
|
|
|
|
|
|
|
|||||
| $ | 9,689 | $ | 1,598 | $ | - | |||||
145
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Blue Chip Growth Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | (95,067 | ) | $ | 834,032 | |||
| Net realized gain (loss) on investment transactions |
42,521,155 | 36,496,912 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
94,434,187 | 20,423,446 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
136,860,275 | 57,754,390 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
(821,345 | ) | (267,550 | ) | ||||
| Class I |
- | - | ||||||
| Class II |
- | - | ||||||
| Class III |
- | - | ||||||
| Service Class |
(9,913 | ) | - | |||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
(831,258 | ) | (267,550 | ) | ||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Initial Class |
(32,280,599 | ) | - | |||||
| Class I |
- | - | ||||||
| Class II |
- | - | ||||||
| Class III |
- | - | ||||||
| Service Class |
(1,635,935 | ) | - | |||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
(33,916,534 | ) | - | |||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
11,149,065 | (58,195,122 | ) | |||||
| Class I |
- | - | ||||||
| Class II |
- | - | ||||||
| Class III |
- | - | ||||||
| Service Class |
3,560,334 | 3,594,383 | ||||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
14,709,399 | (54,600,739 | ) | |||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
116,821,882 | 2,886,101 | ||||||
| Net assets | ||||||||
| Beginning of year |
336,140,436 | 333,254,335 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 452,962,318 | $ | 336,140,436 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at end of year |
$ | (60,923 | ) | $ | 792,196 | |||
|
|
|
|
|
|||||
The accompanying notes are an integral part of the financial statements.
146
Table of Contents
| MML Equity Income Fund |
MML Equity Index Fund |
|||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||
| $ | 9,217,446 | $ | 10,656,336 | $ | 6,586,658 | $ | 6,256,523 | |||||||
| 37,762,416 | 25,374,299 | 5,394,902 | 5,456,837 | |||||||||||
| 100,712,505 | 48,742,746 | 88,789,128 | 33,493,674 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 147,692,367 | 84,773,381 | 100,770,688 | 45,207,034 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (9,755,151 | ) | (9,826,163 | ) | - | - | |||||||||
| - | - | (1,370,225 | ) | (1,206,610 | ) | |||||||||
| - | - | (2,060,170 | ) | (1,830,764 | ) | |||||||||
| - | - | (2,527,726 | ) | (2,157,110 | ) | |||||||||
| (824,404 | ) | (688,805 | ) | - | - | |||||||||
| - | - | (268,166 | ) | (130,207 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (10,579,555 | ) | (10,514,968 | ) | (6,226,287 | ) | (5,324,691 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | - | - | |||||||||||
| - | - | (271,764 | ) | - | ||||||||||
| - | - | (374,362 | ) | - | ||||||||||
| - | - | (427,558 | ) | - | ||||||||||
| - | - | - | - | |||||||||||
| - | - | (52,886 | ) | - | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | (1,126,570 | ) | - | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (47,334,603 | ) | (103,417,605 | ) | - | - | |||||||||
| - | - | (8,536,399 | ) | (5,970,268 | ) | |||||||||
| - | - | (353,791 | ) | (10,625,114 | ) | |||||||||
| - | - | 1,203,505 | (2,273,712 | ) | ||||||||||
| 3,952,705 | 3,813,619 | - | - | |||||||||||
| - | - | 7,408,938 | 3,089,040 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (43,381,898 | ) | (99,603,986 | ) | (277,747 | ) | (15,780,054 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| 93,730,914 | (25,345,573 | ) | 93,140,084 | 24,102,289 | ||||||||||
| 517,493,703 | 542,839,276 | 317,978,938 | 293,876,649 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 611,224,617 | $ | 517,493,703 | $ | 411,119,022 | $ | 317,978,938 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 9,122,284 | $ | 10,573,396 | $ | 6,419,905 | $ | 6,101,047 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
147
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Focused Equity Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | 605,783 | $ | 956,676 | ||||
| Net realized gain (loss) on investment transactions |
14,894,498 | 8,001,798 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
33,974,350 | 14,202,537 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
49,474,631 | 23,161,011 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
- | - | ||||||
| Class II |
- | (960,339 | ) | |||||
| Service Class |
- | - | ||||||
| Service Class I |
- | (5,292 | )* | |||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
- | (965,631 | ) | |||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Class II |
(2,056,722 | ) | (5,865,595 | ) | ||||
| Service Class I |
(40,162 | ) | (35,195 | )* | ||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
(2,096,884 | ) | (5,900,790 | ) | ||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
- | - | ||||||
| Class II |
(16,334,701 | ) | 9,481,372 | |||||
| Service Class |
- | - | ||||||
| Service Class I |
3,448,372 | 797,061 | * | |||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
(12,886,329 | ) | 10,278,433 | |||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
34,491,418 | 26,573,023 | ||||||
| Net assets | ||||||||
| Beginning of year |
137,123,087 | 110,550,064 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 171,614,505 | $ | 137,123,087 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at end of year |
$ | 600,718 | $ | - | ||||
|
|
|
|
|
|||||
| Distributions in excess of net investment income included in net assets at end of year |
$ | - | $ | (5,059 | ) | |||
|
|
|
|
|
|||||
| * | Service Class I shares commenced operations on May 1, 2012. |
The accompanying notes are an integral part of the financial statements.
148
Table of Contents
| MML Foreign Fund |
MML Fundamental Growth Fund |
|||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||
| $ | 7,986,225 | $ | 8,029,415 | $ | 1,522,401 | $ | 1,367,523 | |||||||
| 4,771,849 | (5,988,811 | ) | 13,875,240 | 3,729,131 | ||||||||||
| 64,905,933 | 57,572,075 | 44,061,762 | 14,493,422 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 77,664,007 | 59,612,679 | 59,459,403 | 19,590,076 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (7,749,572 | ) | (7,361,231 | ) | - | - | |||||||||
| - | - | - | (1,369,882 | ) | ||||||||||
| (126,024 | ) | (125,859 | ) | - | - | |||||||||
| - | - | - | (3,776 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (7,875,596 | ) | (7,487,090 | ) | - | (1,373,658 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | (176,790 | ) | (3,762,431 | ) | |||||||||
| - | - | (766 | ) | (10,823 | )* | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | (177,556 | ) | (3,773,254 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (11,335,137 | ) | 789,238 | - | - | ||||||||||
| - | - | (2,043,186 | ) | 16,108,437 | ||||||||||
| 330,781 | 170,306 | - | - | |||||||||||
| - | - | 598,930 | 526,786 | * | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (11,004,356 | ) | 959,544 | (1,444,256 | ) | 16,635,223 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 58,784,055 | 53,085,133 | 57,837,591 | 31,078,387 | |||||||||||
| 361,929,325 | 308,844,192 | 180,352,119 | 149,273,732 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 420,713,380 | $ | 361,929,325 | $ | 238,189,710 | $ | 180,352,119 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ |
7,631,318 |
|
$ | 7,698,377 | $ | 1,515,348 | $ | - | ||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | - | $ | - | $ | - | $ | (7,045 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||
149
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Fundamental Value Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | 3,376,405 | $ | 3,476,978 | ||||
| Net realized gain (loss) on investment transactions |
9,620,457 | 7,031,377 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
43,174,767 | 16,600,633 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
56,171,629 | 27,108,988 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
- | - | ||||||
| Class I |
- | - | ||||||
| Class II |
(3,428,702 | ) | (2,486,267 | ) | ||||
| Service Class |
- | - | ||||||
| Service Class I |
(21,843 | ) | (2,547 | )* | ||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
(3,450,545 | ) | (2,488,814 | ) | ||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Class II |
(7,095,794 | ) | (388,649 | ) | ||||
| Service Class I |
(43,969 | ) | (376 | )* | ||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
(7,139,763 | ) | (389,025 | ) | ||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
- | - | ||||||
| Class I |
- | - | ||||||
| Class II |
2,908,411 | (11,394,604 | ) | |||||
| Service Class |
- | - | ||||||
| Service Class I |
2,029,846 | 372,397 | * | |||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
4,938,257 | (11,022,207 | ) | |||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
50,519,578 | 13,208,942 | ||||||
| Net assets | ||||||||
| Beginning of year |
185,854,010 | 172,645,068 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 236,373,588 | $ | 185,854,010 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at end of year |
$ | 3,364,084 | $ | 3,470,383 | ||||
|
|
|
|
|
|||||
| * | Service Class I shares commenced operations on May 1, 2012. |
The accompanying notes are an integral part of the financial statements.
150
Table of Contents
| MML Global Fund |
MML Growth & Income Fund |
|||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||
| $ | 1,780,870 | $ | 1,791,458 | $ | 1,650,601 | $ | 1,874,392 | |||||||
| 11,249,758 | 3,518,291 | 13,637,046 | 9,138,165 | |||||||||||
| 27,068,087 | 22,619,779 | 23,484,350 | 12,292,717 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 40,098,715 | 27,929,528 | 38,771,997 | 23,305,274 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | (1,618,014 | ) | (1,472,103 | ) | |||||||||
| (1,585,115 | ) | (1,205,096 | ) | - | - | |||||||||
| (204,676 | ) | (162,460 | ) | - | - | |||||||||
| - | - | (173,449 | ) | (121,326 | ) | |||||||||
| (57,420 | ) | (28,603 | ) | - | - | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (1,847,211 | ) | (1,396,159 | ) | (1,791,463 | ) | (1,593,429 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | - | - | |||||||||||
| - | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | (20,020,941 | ) | (20,633,999 | ) | |||||||||
| (14,742,778 | ) | 16,380,797 | - | - | ||||||||||
| (1,816,143 | ) | (2,127,712 | ) | - | - | |||||||||
| - | - | 789,448 | 464,394 | |||||||||||
| 1,745,820 | 765,793 | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (14,813,101 | ) | 15,018,878 | (19,231,493 | ) | (20,169,605 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 23,438,403 | 41,552,247 | 17,749,041 | 1,542,240 | |||||||||||
| 151,695,195 | 110,142,948 | 128,500,150 | 126,957,910 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 175,133,598 | $ | 151,695,195 | $ | 146,249,191 | $ | 128,500,150 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 1,953,706 | $ | 1,670,455 | $ | 1,602,963 | $ | 1,827,397 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
151
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Income & Growth Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | 4,494,416 | $ | 3,965,517 | ||||
| Net realized gain (loss) on investment transactions |
3,429,699 | 102,396 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
39,637,860 | 11,731,217 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
47,561,975 | 15,799,130 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
(3,744,150 | ) | (1,768,900 | ) | ||||
| Service Class |
(220,892 | ) | (97,325 | ) | ||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
(3,965,042 | ) | (1,866,225 | ) | ||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Initial Class |
- | - | ||||||
| Service Class |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
- | - | ||||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
15,920,205 | 69,781,179 | ||||||
| Service Class |
863,277 | 1,844,319 | ||||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
16,783,482 | 71,625,498 | ||||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
60,380,415 | 85,558,403 | ||||||
| Net assets | ||||||||
| Beginning of year |
182,489,156 | 96,930,753 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 242,869,571 | $ | 182,489,156 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at end of year |
$ | 4,463,436 | $ | 3,932,978 | ||||
|
|
|
|
|
|||||
| Distributions in excess of net investment income included in net assets at end of year |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
The accompanying notes are an integral part of the financial statements.
152
Table of Contents
| MML Large Cap Growth Fund |
MML Managed Volatility Fund |
|||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||
| $ | 6,136 | $ | 972,133 | $ | 2,639,085 | $ | 3,047,453 | |||||||
| 30,863,487 | 14,730,369 | 36,394,354 | 9,487,648 | |||||||||||
| 38,368,865 | 14,042,650 | (2,073,041 | ) | 14,012,464 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 69,238,488 | 29,745,152 | 36,960,398 | 26,547,565 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (904,755 | ) | (123,758 | ) | (2,720,569 | ) | (1,366,218 | ) | |||||||
| (2,705 | ) | - | (320,704 | ) | (108,476 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (907,460 | ) | (123,758 | ) | (3,041,273 | ) | (1,474,694 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| (12,258,471 | ) | - | - | - | ||||||||||
| (82,988 | ) | - | - | - | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (12,341,459 | ) | - | - | - | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 6,892,088 | (11,834,704 | ) | (20,095,019 | ) | (22,866,497 | ) | ||||||||
| 25,881 | 73,966 | 1,998,470 | 1,813,499 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 6,917,969 | (11,760,738 | ) | (18,096,549 | ) | (21,052,998 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 62,907,538 | 17,860,656 | 15,822,576 | 4,019,873 | |||||||||||
| 207,272,050 | 189,411,394 | 215,930,772 | 211,910,899 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 270,179,588 | $ | 207,272,050 | $ | 231,753,348 | $ | 215,930,772 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ |
- |
|
$ | 956,083 | $ | 2,532,387 | $ | 2,969,495 | ||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | (16,236 | ) | $ | - | $ | - | $ | - | ||||||
|
|
|
|
|
|
|
|
|
|||||||
153
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Mid Cap Growth Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | (920,841 | ) | $ | 89,278 | |||
| Net realized gain (loss) on investment transactions |
55,972,735 | 25,471,660 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
70,010,672 | 19,438,919 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
125,062,566 | 44,999,857 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
(1,033,071 | ) | - | |||||
| Class II |
- | - | ||||||
| Service Class |
(40,345 | ) | - | |||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
(1,073,416 | ) | - | |||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Initial Class |
(22,514,574 | ) | (18,818,251 | ) | ||||
| Class II |
- | - | ||||||
| Service Class |
(2,301,829 | ) | (1,530,879 | ) | ||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
(24,816,403 | ) | (20,349,130 | ) | ||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
(49,219,871 | ) | 1,985,117 | |||||
| Class II |
- | - | ||||||
| Service Class |
5,837,267 | 4,696,652 | ||||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
(43,382,604 | ) | 6,681,769 | |||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
55,790,143 | 31,332,496 | ||||||
| Net assets | ||||||||
| Beginning of year |
359,885,105 | 328,552,609 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 415,675,248 | $ | 359,885,105 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at end of year |
$ | (748,376 | ) | $ | (580,116 | ) | ||
|
|
|
|
|
|||||
| * | Service Class I shares commenced operations on May 1, 2012. |
The accompanying notes are an integral part of the financial statements.
154
Table of Contents
| MML Mid Cap Value Fund |
MML PIMCO Total Return Fund |
|||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||
| $ | 7,580,827 | $ | 9,289,005 | $ | 4,641,326 | $ | 5,031,706 | |||||||
| 82,015,977 | 20,644,522 | (1,700,990 | ) | 7,699,893 | ||||||||||
| 39,157,919 | 37,628,374 | (8,927,166 | ) | 10,134,086 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 128,754,723 | 67,561,901 | (5,986,830 | ) | 22,865,685 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (8,519,710 | ) | (7,027,997 | ) | - | - | |||||||||
| - | - | (7,389,774 | ) | (5,464,323 | ) | |||||||||
| (345,178 | ) | (218,645 | ) | - | - | |||||||||
| - | - | (186,554 | ) | |
(35,888 |
)* | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (8,864,888 | ) | (7,246,642 | ) | (7,576,328 | ) | (5,500,211 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| (18,096,855 | ) | (20,340,161 | ) | - | - | |||||||||
| - | - | (3,234,875 | ) | - | ||||||||||
| (810,534 | ) | (714,121 | ) | - | - | |||||||||
| - | - | (82,699 | ) | - | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (18,907,389 | ) | (21,054,282 | ) | (3,317,574 | ) | - | ||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (67,310,235 | ) | (7,894,796 | ) | - | - | |||||||||
| - | - | 110,811,238 | 62,767,403 | |||||||||||
| 3,095,519 | 2,014,886 | - | - | |||||||||||
| - | - | 6,124,863 | |
5,679,679 |
* | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (64,214,716 | ) | (5,879,910 | ) | 116,936,101 | 68,447,082 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 36,767,730 | 33,381,067 | 100,055,369 | 85,812,556 | |||||||||||
| 453,966,407 | 420,585,340 | 312,475,890 | 226,663,334 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 490,734,137 | $ | 453,966,407 | $ | 412,531,259 | $ | 312,475,890 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 8,057,114 | $ | 8,825,991 | $ | 8,028,534 | $ | 7,798,109 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
155
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Small Cap Growth Equity Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | (1,247,580 | ) | $ | (1,005,550 | ) | ||
| Net realized gain (loss) on investment transactions |
70,874,164 | 17,790,403 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
43,258,294 | 16,394,970 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
112,884,878 | 33,179,823 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
- | - | ||||||
| Class II |
- | - | ||||||
| Service Class |
- | - | ||||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
- | - | ||||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Initial Class |
(16,238,406 | ) | (26,329,348 | ) | ||||
| Class II |
- | - | ||||||
| Service Class |
(409,665 | ) | (595,062 | ) | ||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
(16,648,071 | ) | (26,924,410 | ) | ||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
(77,865,410 | ) | 494,613 | |||||
| Class II |
- | - | ||||||
| Service Class |
(257,543 | ) | 648,997 | |||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
(78,122,953 | ) | 1,143,610 | |||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
18,113,854 | 7,399,023 | ||||||
| Net assets | ||||||||
| Beginning of year |
262,798,018 | 255,398,995 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 280,911,872 | $ | 262,798,018 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at end of year |
$ | (68,065 | ) | $ | (67,357 | ) | ||
|
|
|
|
|
|||||
The accompanying notes are an integral part of the financial statements.
156
Table of Contents
| MML Small Company Value Fund |
MML Small/Mid Cap Value Fund |
|||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||
| $ | (64,861 | ) | $ | 1,148,154 | $ | 1,460,447 | $ | 1,448,198 | ||||||
| 28,004,058 | 3,520,547 | 29,633,752 | 15,814,437 | |||||||||||
| 7,190,219 | 11,458,712 | 33,377,829 | 14,208,144 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 35,129,416 | 16,127,413 | 64,472,028 | 31,470,779 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | (1,269,216 | ) | (1,197,285 | ) | |||||||||
| (1,471,311 | ) | (12,933 | ) | - | - | |||||||||
| - | - | (59,171 | ) | (41,422 | ) | |||||||||
| (88,293 | ) | - | - | - | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (1,559,604 | ) | (12,933 | ) | (1,328,387 | ) | (1,238,707 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | - | - | |||||||||||
| (3,313,973 | ) | (2,862,451 | ) | - | - | |||||||||
| - | - | - | - | |||||||||||
| (220,013 | ) | (162,411 | ) | - | - | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (3,533,986 | ) | (3,024,862 | ) | - | - | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| - | - | 29,127,124 | (31,578,914 | ) | ||||||||||
| (44,595,781 | ) | (859,205 | ) | - | - | |||||||||
| - | - | 703,016 | 319,571 | |||||||||||
| 1,716,386 | 1,813,550 | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (42,879,395 | ) | 954,345 | 29,830,140 | (31,259,343 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||
| (12,843,569 | ) | 14,043,963 | 92,973,781 | (1,027,271 | ) | |||||||||
| 120,627,887 | 106,583,924 | 176,964,793 | 177,992,064 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | 107,784,318 | $ | 120,627,887 | $ | 269,938,574 | $ | 176,964,793 | |||||||
|
|
|
|
|
|
|
|
|
|||||||
| $ | (116,050 | ) | $ | 996,396 | $ | 1,402,931 | $ | 1,234,360 | ||||||
|
|
|
|
|
|
|
|
|
|||||||
157
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Blue Chip Growth Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 13.50 | $ | (0.00 | )d | $ | 5.28 | $ | 5.28 | $ | (0.04 | ) | $ | (1.39 | ) | $ | (1.43 | ) | $ | 17.35 | 41.33% | $ | 429,689 | 0.79% | (0.01% | ) | ||||||||||||||||||||||
| 12/31/12 | 11.42 | 0.03 | 2.06 | 2.09 | (0.01 | ) | - | (0.01 | ) | 13.50 | 18.31% | 321,245 | 0.80% | 0.26% | ||||||||||||||||||||||||||||||||||
| 12/31/11 | 11.27 | 0.01 | 0.14 | 0.15 | (0.00 | )d | - | (0.00 | )d | 11.42 | 1.37% | 323,779 | 0.80% | 0.09% | ||||||||||||||||||||||||||||||||||
| 12/31/10 | 9.71 | 0.01 | 1.56 | 1.57 | (0.01 | ) | - | (0.01 | ) | 11.27 | 16.17% | 336,211 | 0.80% | 0.06% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.83 | 0.01 | 2.88 | 2.89 | (0.01 | ) | - | (0.01 | ) | 9.71 | 42.38% | 182,984 | 0.83% | 0.12% | ||||||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 13.38 | $ | (0.04 | ) | $ | 5.23 | $ | 5.19 | $ | (0.01 | ) | $ | (1.39 | ) | $ | (1.40 | ) | $ | 17.17 | 41.00% | $ | 23,273 | 1.04% | (0.26% | ) | ||||||||||||||||||||||
| 12/31/12 | 11.34 | 0.01 | 2.03 | 2.04 | - | - | - | 13.38 | 17.99% | 14,895 | 1.05% | 0.06% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 11.22 | (0.02 | ) | 0.14 | 0.12 | - | - | - | 11.34 | 1.07% | 9,476 | 1.05% | (0.15% | ) | ||||||||||||||||||||||||||||||||||
| 12/31/10 | 9.68 | (0.02 | ) | 1.56 | 1.54 | - | - | - | 11.22 | 15.91% | 7,837 | 1.05% | (0.20% | ) | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.83 | (0.01 | ) | 2.87 | 2.86 | (0.01 | ) | - | (0.01 | ) | 9.68 | 41.93% | 5,600 | 1.08% | (0.13% | ) | ||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
35 | % | 25 | % | 37 | % | 37 | % | 80 | %t | ||||||||||
| c | Per share amount calculated on the average shares method. |
| d | Amount is less than $0.005 per share. |
| m | Total return 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. |
| t | The portfolio turnover rate excludes merger activity. |
The accompanying notes are an integral part of the financial statements.
158
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Equity Income Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.57 | $ | 0.20 | $ | 2.93 | $ | 3.13 | $ | (0.23 | ) | $ | (0.23 | ) | $ | 13.47 | 29.93% | $ | 556,649 | 0.78% | 1.64% | |||||||||||||||||||||||
| 12/31/12 | 9.20 | 0.21 | 1.37 | 1.58 | (0.21 | ) | (0.21 | ) | 10.57 | 17.32% | 478,096 | 0.79% | 2.12% | |||||||||||||||||||||||||||||||
| 12/31/11 | 9.44 | 0.18 | (0.26 | ) | (0.08 | ) | (0.16 | ) | (0.16 | ) | 9.20 | (0.79% | ) | 511,951 | 0.79% | 1.92% | ||||||||||||||||||||||||||||
| 12/31/10 | 8.35 | 0.16 | 1.06 | 1.22 | (0.13 | ) | (0.13 | ) | 9.44 | 14.95% | 550,834 | 0.79% | 1.87% | |||||||||||||||||||||||||||||||
| 12/31/09 | 6.82 | 0.15 | 1.56 | 1.71 | (0.18 | ) | (0.18 | ) | 8.35 | 25.19% | 430,300 | 0.81% | 2.13% | |||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.52 | $ | 0.17 | $ | 2.91 | $ | 3.08 | $ | (0.21 | ) | $ | (0.21 | ) | $ | 13.39 | 29.55% | $ | 54,576 | 1.03% | 1.39% | |||||||||||||||||||||||
| 12/31/12 | 9.16 | 0.19 | 1.36 | 1.55 | (0.19 | ) | (0.19 | ) | 10.52 | 17.06% | 39,397 | 1.04% | 1.88% | |||||||||||||||||||||||||||||||
| 12/31/11 | 9.40 | 0.16 | (0.26 | ) | (0.10 | ) | (0.14 | ) | (0.14 | ) | 9.16 | (0.97% | ) | 30,889 | 1.04% | 1.69% | ||||||||||||||||||||||||||||
| 12/31/10 | 8.32 | 0.14 | 1.06 | 1.20 | (0.12 | ) | (0.12 | ) | 9.40 | 14.70% | 24,921 | 1.04% | 1.62% | |||||||||||||||||||||||||||||||
| 12/31/09 | 6.82 | 0.13 | 1.54 | 1.67 | (0.17 | ) | (0.17 | ) | 8.32 | 24.74% | 16,629 | 1.06% | 1.77% | |||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
15 | % | 15 | % | 22 | % | 16 | % | 31 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
159
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Equity Index Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000's) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 17.89 | $ | 0.34 | $ | 5.30 | $ | 5.64 | $ | (0.33 | ) | $ | (0.06 | ) | $ | (0.39 | ) | $ | 23.14 | 31.84% | $ | 92,853 | 0.44% | 0.44% | l | 1.65% | ||||||||||||||||||||||||||
| 12/31/12 | 15.73 | 0.32 | 2.11 | 2.43 | (0.27 | ) | - | (0.27 | ) | 17.89 | 15.47% | 79,070 | 0.45% | 0.45% | l | 1.84% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 15.73 | 0.26 | 0.00 | d | 0.26 | (0.26 | ) | - | (0.26 | ) | 15.73 | 1.71% | 74,927 | 0.44% | N/A | 1.62% | ||||||||||||||||||||||||||||||||||||
| 12/31/10 | 13.97 | 0.23 | 1.76 | 1.99 | (0.23 | ) | - | (0.23 | ) | 15.73 | 14.51% | 81,199 | 0.45% | N/A | 1.60% | |||||||||||||||||||||||||||||||||||||
| 12/31/09 | 11.33 | 0.22 | 2.72 | 2.94 | (0.30 | ) | - | (0.30 | ) | 13.97 | 26.15% | 74,938 | 0.46% | 0.45% | 1.84% | |||||||||||||||||||||||||||||||||||||
| Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 17.93 | $ | 0.37 | $ | 5.31 | $ | 5.68 | $ | (0.36 | ) | $ | (0.06 | ) | $ | (0.42 | ) | $ | 23.19 | 32.02% | $ | 141,468 | 0.33% | 0.28% | 1.81% | |||||||||||||||||||||||||||
| 12/31/12 | 15.76 | 0.35 | 2.12 | 2.47 | (0.30 | ) | - | (0.30 | ) | 17.93 | 15.69% | 109,646 | 0.34% | 0.29% | 2.00% | |||||||||||||||||||||||||||||||||||||
| 12/31/11 | 15.76 | 0.28 | (0.00 | )d | 0.28 | (0.28 | ) | - | (0.28 | ) | 15.76 | 1.84% | 106,050 | 0.33% | 0.28% | 1.78% | ||||||||||||||||||||||||||||||||||||
| 12/31/10 | 13.98 | 0.25 | 1.77 | 2.02 | (0.24 | ) | - | (0.24 | ) | 15.76 | 14.76% | 115,521 | 0.34% | 0.29% | 1.76% | |||||||||||||||||||||||||||||||||||||
| 12/31/09 | 11.34 | 0.24 | 2.72 | 2.96 | (0.32 | ) | - | (0.32 | ) | 13.98 | 26.33% | 137,083 | 0.35% | 0.29% | 2.03% | |||||||||||||||||||||||||||||||||||||
| Class III |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 17.91 | $ | 0.40 | $ | 5.29 | $ | 5.69 | $ | (0.38 | ) | $ | (0.06 | ) | $ | (0.44 | ) | $ | 23.16 | 32.17% | $ | 155,356 | 0.19% | 0.14% | 1.95% | |||||||||||||||||||||||||||
| 12/31/12 | 15.74 | 0.37 | 2.12 | 2.49 | (0.32 | ) | - | (0.32 | ) | 17.91 | 15.87% | 119,034 | 0.20% | 0.15% | 2.14% | |||||||||||||||||||||||||||||||||||||
| 12/31/11 | 15.75 | 0.31 | (0.02 | ) | 0.29 | (0.30 | ) | - | (0.30 | ) | 15.74 | 1.96% | 106,669 | 0.19% | 0.14% | 1.92% | ||||||||||||||||||||||||||||||||||||
| 12/31/10 | 13.97 | 0.27 | 1.77 | 2.04 | (0.26 | ) | - | (0.26 | ) | 15.75 | 14.93% | 106,015 | 0.20% | 0.15% | 1.90% | |||||||||||||||||||||||||||||||||||||
| 12/31/09 | 11.33 | 0.26 | 2.72 | 2.98 | (0.34 | ) | - | (0.34 | ) | 13.97 | 26.57% | 89,566 | 0.21% | 0.15% | 2.17% | |||||||||||||||||||||||||||||||||||||
| Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 17.62 | $ | 0.29 | $ | 5.20 | $ | 5.49 | $ | (0.33 | ) | $ | (0.06 | ) | $ | (0.39 | ) | $ | 22.72 | 31.49% | $ | 21,443 | 0.69% | 0.69% | l | 1.40% | ||||||||||||||||||||||||||
| 12/31/12 | 15.53 | 0.28 | 2.08 | 2.36 | (0.27 | ) | - | (0.27 | ) | 17.62 | 15.21% | 10,229 | 0.70% | 0.70% | l | 1.63% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 15.59 | 0.22 | 0.00 | d | 0.22 | (0.28 | ) | - | (0.28 | ) | 15.53 | 1.47% | 6,231 | 0.69% | N/A | 1.40% | ||||||||||||||||||||||||||||||||||||
| 12/31/10 | 13.88 | 0.20 | 1.73 | 1.93 | (0.22 | ) | - | (0.22 | ) | 15.59 | 14.22% | 3,284 | 0.70% | N/A | 1.39% | |||||||||||||||||||||||||||||||||||||
| 12/31/09 | 11.32 | 0.18 | 2.71 | 2.89 | (0.33 | ) | - | (0.33 | ) | 13.88 | 25.83% | 1,171 | 0.71% | 0.70% | 1.53% | |||||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
4 | % | 3 | % | 4 | % | 5 | % | 6 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| d | Amount is less than $0.005 per share. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| l | Expenses incurred during the period fell under the expense cap. |
| m | Total return 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.
160
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Focused Equity Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gain |
Tax return of capital |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||||||||
| Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 11.49 | $ | 0.05 | $ | 4.29 | $ | 4.34 | $ | - | $ | (0.19 | ) | $ | - | $ | (0.19 | ) | $ | 15.64 | 38.05% | $ | 166,655 | 0.90% | 0.90% | l | 0.40% | |||||||||||||||||||||||||||||
| 12/31/12 | 10.03 | 0.09 | 1.98 | 2.07 | (0.09 | ) | (0.52 | ) | - | (0.61 | ) | 11.49 | 20.61% | 136,305 | 0.90% | 0.90% | k | 0.76% | ||||||||||||||||||||||||||||||||||||||
| 12/31/11i | 10.00 | 0.01 | 0.04 | 0.05 | (0.02 | ) | - | (0.00 | )d | (0.02 | ) | 10.03 | 0.46% | b | 110,550 | 1.58% | a | 0.90% | a | 1.94% | a | |||||||||||||||||||||||||||||||||||
| Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 11.48 | $ | 0.02 | $ | 4.27 | $ | 4.29 | $ | - | $ | (0.19 | ) | $ | - | $ | (0.19 | ) | $ | 15.58 | 37.64% | $ | 4,960 | 1.15% | |
1.15% |
k |
0.18% | ||||||||||||||||||||||||||||
| 12/31/12h | 11.54 | 0.07 | 0.47 | 0.54 | (0.08 | ) | (0.52 | ) | - | (0.60 | ) | 11.48 | 4.68% | b | 818 | 1.15% | a | 1.15% | a,l | 0.91% | a | |||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||
| 2013 | 2012 | 2011 | ||||||||||
| Portfolio turnover rate for all share classes |
28 | % | 34 | % | 13 | %b | ||||||
| a | Annualized. |
| b | Percentage represents the results for the period and is not annualized. |
| c | Per share amount calculated on the average shares method. |
| d | Amount is less than $0.005 per share. |
| h | For the period May 1, 2012 (commencement of operations) through December 31, 2012. |
| i | For the period December 8, 2011 (commencement of operations) through December 31, 2011. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
| l | Expenses incurred during the period fell under the expense cap. |
| m | Total return 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.
161
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Foreign Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.47 | $ | 0.20 | $ | 1.75 | $ | 1.95 | $ | (0.20 | ) | $ | (0.20 | ) | $ | 11.22 | 20.80% | $ | 412,363 | 0.97% | 2.00% | |||||||||||||||||||||||
| 12/31/12 | 8.13 | 0.21 | 1.32 | 1.53 | (0.19 | ) | (0.19 | ) | 9.47 | 19.06% | 355,174 | 0.97% | 2.38% | |||||||||||||||||||||||||||||||
| 12/31/11 | 9.21 | 0.23 | (1.14 | ) | (0.91 | ) | (0.17 | ) | (0.17 | ) | 8.13 | (9.90% | ) | 303,229 | 0.98% | 2.50% | ||||||||||||||||||||||||||||
| 12/31/10 | 8.95 | 0.16 | 0.24 | 0.40 | (0.14 | ) | (0.14 | ) | 9.21 | 4.70% | 338,495 | 0.99% | 1.85% | |||||||||||||||||||||||||||||||
| 12/31/09 | 7.08 | 0.16 | 1.90 | 2.06 | (0.19 | ) | (0.19 | ) | 8.95 | 29.28% | 288,815 | 1.01% | 2.08% | |||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.43 | $ | 0.17 | $ | 1.74 | $ | 1.91 | $ | (0.18 | ) | $ | (0.18 | ) | $ | 11.16 | 20.42% | $ | 8,350 | 1.22% | 1.71% | |||||||||||||||||||||||
| 12/31/12 | 8.10 | 0.18 | 1.32 | 1.50 | (0.17 | ) | (0.17 | ) | 9.43 | 18.74% | 6,756 | 1.22% | 2.13% | |||||||||||||||||||||||||||||||
| 12/31/11 | 9.18 | 0.20 | (1.12 | ) | (0.92 | ) | (0.16 | ) | (0.16 | ) | 8.10 | (10.13% | ) | 5,615 | 1.23% | 2.23% | ||||||||||||||||||||||||||||
| 12/31/10 | 8.92 | 0.13 | 0.26 | 0.39 | (0.13 | ) | (0.13 | ) | 9.18 | 4.54% | 5,857 | 1.24% | 1.56% | |||||||||||||||||||||||||||||||
| 12/31/09 | 7.07 | 0.15 | 1.89 | 2.04 | (0.19 | ) | (0.19 | ) | 8.92 | 29.01% | 4,313 | 1.26% | 1.88% | |||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
20 | % | 15 | % | 9 | % | 8 | % | 11 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
162
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Fundamental Growth Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Class II |
||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.94 | $ | 0.09 | $ | 3.44 | $ | 3.53 | $ | - | $ | (0.01 | ) | $ | (0.01 | ) | $ | 14.46 | 32.29% | $ | 236,837 | 0.86% | 0.85% | 0.72% | ||||||||||||||||||||||||||||
| 12/31/12 | 9.95 | 0.09 | 1.23 | 1.32 | (0.09 | ) | (0.24 | ) | (0.33 | ) | 10.94 | 13.14% | 179,834 | 0.87% | 0.85% | 0.79% | ||||||||||||||||||||||||||||||||||||
| 12/31/11i | 10.00 | (0.00 | )d | (0.05 | ) | (0.05 | ) | - | - | - | 9.95 | (0.50% | )b | 149,274 | 1.41% | a | 0.85% | a | (0.05% | )a | ||||||||||||||||||||||||||||||||
| Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.92 | $ | 0.06 | $ | 3.43 | $ | 3.49 | $ | - | $ | (0.01 | ) | $ | (0.01 | ) | $ | 14.40 | 31.98% | $ | 1,353 | 1.11% | 1.10% | 0.45% | ||||||||||||||||||||||||||||
| 12/31/12h | 11.50 | 0.07 | (0.33 | ) | (0.26 | ) | (0.08 | ) | (0.24 | ) | (0.32 | ) | 10.92 | (2.32% | )b | 518 | 1.12% | a | 1.10% | a | 0.94% | a | ||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||
| 2013 | 2012 | 2011 | ||||||||||
| Portfolio turnover rate for all share classes |
61 | % | 66 | % | 0 | %b | ||||||
| a | Annualized. |
| b | Percentage represents the results for the period and is not annualized. |
| c | Per share amount calculated on the average shares method. |
| d | Amount is less than $0.005 per share. |
| h | For the period May 1, 2012 (commencement of operations) through December 31, 2012. |
| i | For the period December 8, 2011 (commencement of operations) through December 31, 2011. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| m | Total return 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.
163
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Fundamental Value Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 12.45 | $ | 0.23 | $ | 3.54 | $ | 3.77 | $ | (0.25 | ) | $ | (0.51 | ) | $ | (0.76 | ) | $ | 15.46 | 30.91% | $ | 233,724 | 0.79% | 0.79%l | 1.61% | |||||||||||||||||||||||||||
| 12/31/12 | 10.88 | 0.24 | 1.53 | 1.77 | (0.17 | ) | (0.03 | ) | (0.20 | ) | 12.45 | 16.31% | 185,473 | 0.80% | 0.80% | l | 1.98% | |||||||||||||||||||||||||||||||||||
| 12/31/11 | 11.08 | 0.18 | (0.37 | ) | (0.19 | ) | - | (0.01 | ) | (0.01 | ) | 10.88 | (1.68% | ) | 172,645 | 0.81% | 0.80% | 1.65% | ||||||||||||||||||||||||||||||||||
| 12/31/10g | 10.00 | 0.06 | 1.10 | 1.16 | (0.05 | ) | (0.03 | ) | (0.08 | ) | 11.08 | 11.59% | b | 126,691 | 0.90% | a | 0.80% | a | 1.51% | a | ||||||||||||||||||||||||||||||||
| Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 12.42 | $ | 0.19 | $ | 3.52 | $ | 3.71 | $ | (0.25 | ) | $ | (0.51 | ) | $ | (0.76 | ) | $ | 15.37 | 30.55% | $ | 2,650 | 1.04% | 1.04%l | 1.28% | |||||||||||||||||||||||||||
| 12/31/12h | 12.16 | 0.14 | 0.33 | 0.47 | (0.18 | ) | (0.03 | ) | (0.21 | ) | 12.42 | 3.90% | b | 381 | 1.05% | a | 1.05% | a,l | 1.78% | a | ||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | |||||||||||||
| Portfolio turnover rate for all share classes |
22 | % | 24 | % | 14 | % | 10 | %b | ||||||||
| a | Annualized. |
| b | Percentage represents the results for the period and is not annualized. |
| c | Per share amount calculated on the average shares method. |
| g | For the period August 10, 2010 (commencement of operations) through December 31, 2010. |
| h | For the period May 1, 2012 (commencement of operations) through December 31, 2012. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| l | Expenses incurred during the period fell under the expense cap. |
| m | Total return 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.
164
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Global Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.82 | $ | 0.12 | $ | 2.63 | $ | 2.75 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 12.44 | 28.13% | $ | 149,796 | 0.96% | 0.90% | 1.10% | ||||||||||||||||||||||||||
| 12/31/12 | 8.02 | 0.12 | 1.77 | 1.89 | (0.09 | ) | (0.09 | ) | 9.82 | 23.69% | 131,665 | 0.98% | 0.90% | 1.33% | ||||||||||||||||||||||||||||||||||
| 12/31/11 | 8.46 | 0.11 | (0.47 | ) | (0.36 | ) | (0.08 | ) | (0.08 | ) | 8.02 | (4.24% | ) | 92,595 | 1.00% | 0.90% | 1.28% | |||||||||||||||||||||||||||||||
| 12/31/10 | 7.56 | 0.08 | 0.87 | 0.95 | (0.05 | ) | (0.05 | ) | 8.46 | 12.64% | 83,762 | 1.01% | 0.90% | 1.05% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 5.78 | 0.05 | 1.80 | 1.85 | (0.07 | ) | (0.07 | ) | 7.56 | 32.06% | 65,305 | 1.14% | 0.90% | 0.76% | ||||||||||||||||||||||||||||||||||
| Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.96 | $ | 0.14 | $ | 2.66 | $ | 2.80 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 12.63 | 28.34% | $ | 18,681 | 0.86% | 0.80% | 1.21% | ||||||||||||||||||||||||||
| 12/31/12 | 8.13 | 0.13 | 1.80 | 1.93 | (0.10 | ) | (0.10 | ) | 9.96 | 23.79% | 16,324 | 0.88% | 0.80% | 1.45% | ||||||||||||||||||||||||||||||||||
| 12/31/11 | 8.57 | 0.12 | (0.48 | ) | (0.36 | ) | (0.08 | ) | (0.08 | ) | 8.13 | (4.15% | ) | 15,218 | 0.90% | 0.80% | 1.42% | |||||||||||||||||||||||||||||||
| 12/31/10 | 7.64 | 0.09 | 0.88 | 0.97 | (0.04 | ) | (0.04 | ) | 8.57 | 12.83% | 19,095 | 0.91% | 0.80% | 1.19% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 5.83 | 0.10 | 1.76 | 1.86 | (0.05 | ) | (0.05 | ) | 7.64 | 31.96% | 20,163 | 1.04% | 0.80% | 1.63% | ||||||||||||||||||||||||||||||||||
| Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.78 | $ | 0.09 | $ | 2.63 | $ | 2.72 | $ | (0.12 | ) | $ | (0.12 | ) | $ | 12.38 | 27.94% | $ | 6,657 | 1.21% | 1.15% | 0.82% | ||||||||||||||||||||||||||
| 12/31/12 | 8.00 | 0.09 | 1.77 | 1.86 | (0.08 | ) | (0.08 | ) | 9.78 | 23.35% | 3,707 | 1.23% | 1.15% | 1.03% | ||||||||||||||||||||||||||||||||||
| 12/31/11 | 8.47 | 0.08 | (0.47 | ) | (0.39 | ) | (0.08 | ) | (0.08 | ) | 8.00 | (4.58% | ) | 2,330 | 1.25% | 1.15% | 0.98% | |||||||||||||||||||||||||||||||
| 12/31/10 | 7.57 | 0.05 | 0.89 | 0.94 | (0.04 | ) | (0.04 | ) | 8.47 | 12.46% | 1,424 | 1.26% | 1.15% | 0.71% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 5.80 | 0.08 | 1.76 | 1.84 | (0.07 | ) | (0.07 | ) | 7.57 | 31.77% | 559 | 1.39% | 1.15% | 1.20% | ||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
11 | % | 11 | % | 16 | % | 18 | % | 88 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| m | Total return 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.
165
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Growth & Income Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.24 | $ | 0.13 | $ | 2.85 | $ | 2.98 | $ | (0.14 | ) | $ | (0.14 | ) | $ | 12.08 | 32.53% | $ | 129,107 | 0.57% | 1.22% | |||||||||||||||||||||||
| 12/31/12 | 7.83 | 0.13 | 1.39 | 1.52 | (0.11 | ) | (0.11 | ) | 9.24 | 19.49% | 116,115 | 0.58% | 1.46% | |||||||||||||||||||||||||||||||
| 12/31/11 | 8.07 | 0.10 | (0.25 | ) | (0.15 | ) | (0.09 | ) | (0.09 | ) | 7.83 | (1.83% | ) | 116,867 | 0.58% | 1.23% | ||||||||||||||||||||||||||||
| 12/31/10 | 7.35 | 0.08 | 0.74 | 0.82 | (0.10 | ) | (0.10 | ) | 8.07 | 11.47% | 143,556 | 0.56% | 1.06% | |||||||||||||||||||||||||||||||
| 12/31/09 | 5.87 | 0.09 | 1.52 | 1.61 | (0.13 | ) | (0.13 | ) | 7.35 | 27.66% | 147,773 | 0.58% | 1.51% | |||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.20 | $ | 0.10 | $ | 2.84 | $ | 2.94 | $ | (0.12 | ) | $ | (0.12 | ) | $ | 12.02 | 32.20% | $ | 17,142 | 0.82% | 0.97% | |||||||||||||||||||||||
| 12/31/12 | 7.79 | 0.11 | 1.39 | 1.50 | (0.09 | ) | (0.09 | ) | 9.20 | 19.32% | 12,385 | 0.83% | 1.21% | |||||||||||||||||||||||||||||||
| 12/31/11 | 8.03 | 0.08 | (0.25 | ) | (0.17 | ) | (0.07 | ) | (0.07 | ) | 7.79 | (2.13% | ) | 10,090 | 0.83% | 0.97% | ||||||||||||||||||||||||||||
| 12/31/10 | 7.32 | 0.06 | 0.74 | 0.80 | (0.09 | ) | (0.09 | ) | 8.03 | 11.21% | 13,294 | 0.81% | 0.82% | |||||||||||||||||||||||||||||||
| 12/31/09 | 5.86 | 0.07 | 1.52 | 1.59 | (0.13 | ) | (0.13 | ) | 7.32 | 27.35% | 11,212 | 0.83% | 1.05% | |||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
19 | % | 26 | % | 22 | % | 95 | % | 47 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
166
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Income & Growth Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.48 | $ | 0.22 | $ | 2.09 | $ | 2.31 | $ | (0.19 | ) | $ | (0.19 | ) | $ | 11.60 | 24.62% | $ | 228,095 | 0.70% | 2.07% | |||||||||||||||||||||||
| 12/31/12 | 8.56 | 0.23 | 0.79 | 1.02 | (0.10 | ) | (0.10 | ) | 9.48 | 11.96% | 171,207 | 0.72% | 2.51% | |||||||||||||||||||||||||||||||
| 12/31/11 | 8.37 | 0.20 | 0.25 | 0.45 | (0.26 | ) | (0.26 | ) | 8.56 | 5.60% | 88,465 | 0.74% | 2.37% | |||||||||||||||||||||||||||||||
| 12/31/10 | 7.82 | 0.13 | 0.73 | 0.86 | (0.31 | ) | (0.31 | ) | 8.37 | 11.70% | 72,789 | 0.73% | 1.62% | |||||||||||||||||||||||||||||||
| 12/31/09 | 6.68 | 0.13 | 1.07 | 1.20 | (0.06 | ) | (0.06 | ) | 7.82 | 18.06% | 270,263 | 0.72% | 1.79% | |||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.42 | $ | 0.20 | $ | 2.06 | $ | 2.26 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 11.51 | 24.22% | $ | 14,775 | 0.95% | 1.82% | |||||||||||||||||||||||
| 12/31/12 | 8.51 | 0.20 | 0.80 | 1.00 | (0.09 | ) | (0.09 | ) | 9.42 | 11.73% | 11,282 | 0.97% | 2.23% | |||||||||||||||||||||||||||||||
| 12/31/11 | 8.33 | 0.18 | 0.26 | 0.44 | (0.26 | ) | (0.26 | ) | 8.51 | 5.40% | 8,466 | |
0.99% |
|
2.18% | |||||||||||||||||||||||||||||
| 12/31/10 | 7.79 | 0.13 | 0.71 | 0.84 | (0.30 | ) | (0.30 | ) | 8.33 | 11.47% | 3,953 | 0.98% | 1.64% | |||||||||||||||||||||||||||||||
| 12/31/09 | 6.68 | 0.11 | 1.06 | 1.17 | (0.06 | ) | (0.06 | ) | 7.79 | 17.59% | 2,406 | 0.97% | 1.59% | |||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
15 | % | 3 | % | 12 | % | 64 | % | 52 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
167
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Large Cap Growth Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 11.62 | $ | 0.00 | d | $ | 3.76 | $ | 3.76 | $ | (0.05 | ) | $ | (0.70 | ) | $ | (0.75 | ) | $ | 14.63 | 33.54% | $ | 268,330 | 0.70% | 0.00% | e | ||||||||||||||||||||||
| 12/31/12 | 10.04 | 0.05 | 1.54 | 1.59 | (0.01 | ) | - | (0.01 | ) | 11.62 | 15.81% | 205,833 | 0.70% | 0.49% | ||||||||||||||||||||||||||||||||||
| 12/31/11 | 10.45 | 0.01 | (0.40 | ) | (0.39 | ) | (0.02 | ) | - | (0.02 | ) | 10.04 | (3.69% | ) | 188,235 | 0.71% | 0.08% | |||||||||||||||||||||||||||||||
| 12/31/10 | 8.80 | 0.03 | 1.63 | 1.66 | (0.01 | ) | - | (0.01 | ) | 10.45 | 18.87% | 166,552 | 0.72% | 0.36% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.71 | 0.03 | 2.10 | 2.13 | (0.04 | ) | - | (0.04 | ) | 8.80 | 31.75% | 41,071 | 0.81% | 0.35% | ||||||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 11.53 | $ | (0.03 | ) | $ | 3.73 | $ | 3.70 | $ | (0.02 | ) | $ | (0.70 | ) | $ | (0.72 | ) | $ | 14.51 | 33.24% | $ | 1,849 | 0.95% | (0.25% | ) | ||||||||||||||||||||||
| 12/31/12 | 9.99 | 0.03 | 1.51 | 1.54 | - | - | - | 11.53 | 15.42% | 1,439 | |
0.95% |
|
0.25% | ||||||||||||||||||||||||||||||||||
| 12/31/11 | 10.40 | (0.02 | ) | (0.38 | ) | (0.40 | ) | (0.01 | ) | - | (0.01 | ) | 9.99 | (3.82% | ) | 1,176 | 0.96% | (0.17% | ) | |||||||||||||||||||||||||||||
| 12/31/10 | 8.78 | 0.01 | 1.61 | 1.62 | - | - | - | 10.40 | 18.45% | 763 | 0.97% | 0.11% | ||||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.71 | 0.01 | 2.09 | 2.10 | (0.03 | ) | - | (0.03 | ) | 8.78 | 31.43% | 636 | 1.06% | 0.08% | ||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all shares |
89 | % | 91 | % | 90 | % | 88 | % | 151 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| d | Amount is less than $0.005 per share. |
| e | Amount is less than 0.005%. |
| m | Total return 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.
168
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Managed Volatility Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 12.34 | $ | 0.16 | $ | 2.02 | $ | 2.18 | $ | (0.19 | ) | $ | (0.19 | ) | $ | 14.33 | 17.78% | $ | 203,330 | 0.88% | 1.19% | |||||||||||||||||||||||
| 12/31/12 | 10.98 | 0.17 | 1.27 | 1.44 | (0.08 | ) | (0.08 | ) | 12.34 | 13.19% | 193,271 | 0.83% | 1.43% | |||||||||||||||||||||||||||||||
| 12/31/11 | 11.54 | 0.10 | (0.56 | ) | (0.46 | ) | (0.10 | ) | (0.10 | ) | 10.98 | (3.94% | ) | 193,403 | 0.82% | 0.89% | ||||||||||||||||||||||||||||
| 12/31/10 | 10.36 | 0.08 | 1.19 | 1.27 | (0.09 | ) | (0.09 | ) | 11.54 | 12.38% | 218,666 | 0.83% | 0.79% | |||||||||||||||||||||||||||||||
| 12/31/09 | 8.01 | 0.07 | 2.38 | 2.45 | (0.10 | ) | (0.10 | ) | 10.36 | 30.71% | 211,859 | 0.85% | 0.77% | |||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 12.27 | $ | 0.13 | $ | 2.02 | $ | 2.15 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 14.25 | 17.56% | $ | 28,423 | 1.13% | 0.95% | |||||||||||||||||||||||
| 12/31/12 | 10.93 | 0.14 | 1.26 | 1.40 | (0.06 | ) | (0.06 | ) | 12.27 | 12.83% | 22,660 | 1.08% | 1.21% | |||||||||||||||||||||||||||||||
| 12/31/11 | 11.49 | 0.07 | (0.55 | ) | (0.48 | ) | (0.08 | ) | (0.08 | ) | 10.93 | (4.14% | ) | 18,508 | 1.07% | 0.64% | ||||||||||||||||||||||||||||
| 12/31/10 | 10.33 | 0.06 | 1.17 | 1.23 | (0.07 | ) | (0.07 | ) | 11.49 | 12.04% | 16,519 | 1.08% | 0.56% | |||||||||||||||||||||||||||||||
| 12/31/09 | 8.01 | 0.04 | 2.38 | 2.42 | (0.10 | ) | (0.10 | ) | 10.33 | 30.32% | 10,807 | 1.10% | 0.47% | |||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
94 | % | 11 | % | 15 | % | 17 | % | 21 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
169
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Mid Cap Growth Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 12.96 | $ | (0.03 | ) | $ | 4.65 | $ | 4.62 | $ | (0.04 | ) | $ | (0.95 | ) | $ | (0.99 | ) | $ | 16.59 | 36.69% | $ | 371,803 | 0.81% | (0.21% | ) | ||||||||||||||||||||||
| 12/31/12 | 12.08 | 0.01 | 1.63 | 1.64 | - | (0.76 | ) | (0.76 | ) | 12.96 | 13.78% | 330,731 | 0.82% | 0.04% | ||||||||||||||||||||||||||||||||||
| 12/31/11 | 12.23 | (0.04 | ) | (0.11 | ) | (0.15 | ) | - | - | - | 12.08 | (1.23% | ) | 305,757 | 0.82% | (0.33% | ) | |||||||||||||||||||||||||||||||
| 12/31/10 | 9.55 | (0.02 | ) | 2.70 | 2.68 | - | - | - | 12.23 | 28.06% | 330,711 | 0.82% | (0.20% | ) | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.57 | (0.02 | ) | 3.00 | 2.98 | - | - | - | 9.55 | 45.36% | 274,954 | 0.84% | (0.25% | ) | ||||||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 12.81 | $ | (0.07 | ) | $ | 4.61 | $ | 4.54 | $ | (0.02 | ) | $ | (0.95 | ) | $ | (0.97 | ) | $ | 16.38 | 36.40% | $ | 43,873 | 1.06% | (0.45% | ) | ||||||||||||||||||||||
| 12/31/12 | 11.98 | (0.02 | ) | 1.61 | 1.59 | - | (0.76 | ) | (0.76 | ) | 12.81 | 13.47% | 29,154 | 1.07% | (0.19% | ) | ||||||||||||||||||||||||||||||||
| 12/31/11 | 12.17 | (0.07 | ) | (0.12 | ) | (0.19 | ) | - | - | - | 11.98 | (1.56% | ) | 22,796 | 1.07% | (0.57% | ) | |||||||||||||||||||||||||||||||
| 12/31/10 | 9.52 | (0.04 | ) | 2.69 | 2.65 | - | - | - | 12.17 | 27.84% | 17,236 | 1.07% | (0.42% | ) | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.57 | (0.04 | ) | 2.99 | 2.95 | - | - | - | 9.52 | 44.90% | 9,743 | 1.09% | (0.50% | ) | ||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
26 | % | 31 | % | 33 | % | 29 | % | 52 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
170
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Mid Cap Value Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 11.11 | $ | 0.20 | $ | 3.09 | $ | 3.29 | $ | (0.24 | ) | $ | (0.51 | ) | $ | (0.75 | ) | $ | 13.65 | 30.43% | $ | 467,386 | 0.88% | 1.57% | ||||||||||||||||||||||||
| 12/31/12 | 10.17 | 0.23 | 1.42 | 1.65 | (0.18 | ) | (0.53 | ) | (0.71 | ) | 11.11 | 16.70% | 437,725 | 0.89% | 2.12% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.46 | 0.17 | (0.25 | ) | (0.08 | ) | (0.21 | ) | - | (0.21 | ) | 10.17 | (0.64% | ) | 407,615 | 0.90% | 1.62% | |||||||||||||||||||||||||||||||
| 12/31/10 | 8.85 | 0.22 | 1.53 | 1.75 | (0.14 | ) | - | (0.14 | ) | 10.46 | 20.09% | 419,863 | 0.89% | 2.36% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.93 | 0.15 | 1.93 | 2.08 | (0.16 | ) | - | (0.16 | ) | 8.85 | 30.31% | 375,386 | 0.91% | 1.99% | ||||||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 11.04 | $ | 0.17 | $ | 3.07 | $ | 3.24 | $ | (0.22 | ) | $ | (0.51 | ) | $ | (0.73 | ) | $ | 13.55 | 30.11% | $ | 23,348 | 1.13% | 1.33% | ||||||||||||||||||||||||
| 12/31/12 | 10.12 | 0.20 | 1.41 | 1.61 | (0.16 | ) | (0.53 | ) | (0.69 | ) | 11.04 | 16.37% | 16,241 | 1.14% | 1.89% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.41 | 0.14 | (0.23 | ) | (0.09 | ) | (0.20 | ) | - | (0.20 | ) | 10.12 | (0.81% | ) | 12,970 | 1.15% | 1.38% | |||||||||||||||||||||||||||||||
| 12/31/10 | 8.83 | 0.20 | 1.51 | 1.71 | (0.13 | ) | - | (0.13 | ) | 10.41 | 19.62% | 9,686 | 1.14% | 2.14% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.92 | 0.13 | 1.94 | 2.07 | (0.16 | ) | - | (0.16 | ) | 8.83 | 30.20% | 6,160 | 1.16% | 1.76% | ||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
71 | % | 81 | % | 106 | % | 125 | % | 159 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
171
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML PIMCO Total Return Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
|||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
||||||||||||||||||||||||||||
| Class II |
|
|||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.82 | $ | 0.13 | $ | (0.31 | ) | $ | (0.18 | ) | $ | (0.21 | ) | $ | (0.09 | ) | $ | (0.30 | ) | $ | 10.34 | (1.63% | ) | |||||||||||||
| 12/31/12 | 10.13 | 0.20 | 0.70 | 0.90 | (0.21 | ) | - | (0.21 | ) | 10.82 | 8.93% | |||||||||||||||||||||||||
| 12/31/11 | 9.90 | 0.22 | 0.02 | 0.24 | (0.01 | ) | - | (0.01 | ) | 10.13 | 2.45% | |||||||||||||||||||||||||
| 12/31/10g | 10.00 | 0.06 | (0.05 | ) | 0.01 | (0.04 | ) | (0.07 | ) | (0.11 | ) | 9.90 | 0.17% | b | ||||||||||||||||||||||
| Service Class I |
|
|||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.79 | $ | 0.10 | $ | (0.30 | ) | $ | (0.20 | ) | $ | (0.21 | ) | $ | (0.09 | ) | $ | (0.30 | ) | $ | 10.29 | (1.85% | ) | |||||||||||||
| 12/31/12h | 10.49 | 0.10 | 0.41 | 0.51 | (0.21 | ) | - | (0.21 | ) | 10.79 | 4.94% | b | ||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | |||||||||||||
| Portfolio turnover rate for all share classes |
550 | %u | 583 | %u | 417 | % | 221 | %b | ||||||||
| a | Annualized. |
| b | Percentage represents the results for the period and is not annualized. |
| c | Per share amount calculated on the average shares method. |
| e | Amount is less than 0.005%. |
| g | For the period August 10, 2010 (commencement of operations) through December 31, 2010. |
| h | For the period May 1, 2012 (commencement of operations) through December 31, 2012. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| m | Total return 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. |
| n | Includes interest expense. |
| o | Excludes interest expense. |
| p | Interest expense incurred as a result of entering into reverse repurchase agreements and Treasury roll transactions is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements and Treasury roll transactions is included in interest income in the Statements of Operations. |
| u | Excludes Treasury roll transactions. Including these transactions, the portfolio turnover would have been 574% and 618%, respectively, for the years ended December 31, 2013 and December 31, 2012. |
The accompanying notes are an integral part of the financial statements.
172
Table of Contents
| Ratios / Supplemental Data |
||||||||||||||||||||||||||
| Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waiverso |
Ratio of expenses to average daily net assets after expense waiversj,o |
Ratio of interest expense to average daily net assetsp |
Ratio of expenses to average daily net assets before expense waiversn |
Ratio of expenses to average daily net assets after expense waiversj,n |
Net investment income (loss) to average daily net assetsn |
||||||||||||||||||||
| $ | 401,127 | 0.69 | % | 0.65 | % | 0.00 | %e | 0.69 | % | 0.65 | % | 1.23 | % | |||||||||||||
| 306,746 | 0.72 | % | 0.65 | % | 0.00 | %e | 0.72 | % | 0.65 | % | 1.84 | % | ||||||||||||||
| 226,663 | 0.70 | % | 0.65 | % | N/A | 0.70 | % | 0.65 | % | 2.21 | % | |||||||||||||||
| 132,798 | 0.91 | %a | 0.65 | %a | 0.00 | %a,e | 0.91 | %a | 0.65 | %a | 1.40 | %a | ||||||||||||||
| $ | 11,404 | 0.94 | % | 0.90 | % | 0.00 | %e | 0.94 | % | 0.90 | % | 1.00 | % | |||||||||||||
| 5,730 | 0.97 | %a | 0.90 | %a | 0.00 | %a,e | 0.97 | %a | 0.90 | %a | 1.45 | %a | ||||||||||||||
173
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Small Cap Growth Equity Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000's) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 16.30 | $ | (0.08 | ) | $ | 7.79 | $ | 7.71 | $ | (1.20 | ) | $ | (1.20 | ) | $ | 22.81 | 48.54 | % | $ | 273,041 | 1.10 | % | 1.08 | % | (0.43 | %) | |||||||||||||||||||||
| 12/31/12 | 16.05 | (0.06 | ) | 2.17 | 2.11 | (1.86 | ) | (1.86 | ) | 16.30 | 13.41 | % | 256,961 | 1.13 | % | 1.12 | % | (0.38 | %) | |||||||||||||||||||||||||||||
| 12/31/11 | 17.70 | (0.12 | ) | (0.82 | ) | (0.94 | ) | (0.71 | ) | (0.71 | ) | 16.05 | (5.23 | %) | 250,279 | 1.13 | % | N/A | (0.68 | %) | ||||||||||||||||||||||||||||
| 12/31/10 | 14.48 | (0.10 | ) | 3.32 | 3.22 | - | - | 17.70 | 22.24 | % | 258,833 | 1.14 | % | N/A | (0.64 | %) | ||||||||||||||||||||||||||||||||
| 12/31/09 | 10.46 | (0.08 | ) | 4.10 | 4.02 | - | - | 14.48 | 38.43 | % | 250,006 | 1.15 | % | N/A | (0.66 | %) | ||||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 16.09 | $ | (0.13 | ) | $ | 7.68 | $ | 7.55 | $ | (1.20 | ) | $ | (1.20 | ) | $ | 22.44 | 48.17 | % | $ | 7,871 | 1.35 | % | 1.34 | % | (0.69 | %) | |||||||||||||||||||||
| 12/31/12 | 15.91 | (0.10 | ) | 2.14 | 2.04 | (1.86 | ) | (1.86 | ) | 16.09 | 13.07 | % | 5,837 | 1.38 | % | 1.37 | % | (0.63 | %) | |||||||||||||||||||||||||||||
| 12/31/11 | 17.59 | (0.16 | ) | (0.81 | ) | (0.97 | ) | (0.71 | ) | (0.71 | ) | 15.91 | (5.43 | %) | 5,120 | 1.38 | % | N/A | (0.92 | %) | ||||||||||||||||||||||||||||
| 12/31/10 | 14.42 | (0.14 | ) | 3.31 | 3.17 | - | - | 17.59 | 21.90 | % | 4,440 | 1.39 | % | N/A | (0.87 | %) | ||||||||||||||||||||||||||||||||
| 12/31/09 | 10.45 | (0.11 | ) | 4.08 | 3.97 | - | - | 14.42 | 38.09 | % | 2,616 | 1.40 | % | N/A | (0.91 | %) | ||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
86 | % | 90 | % | 91 | % | 95 | % | 90 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| m | Total return 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.
174
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Small Company Value Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waivers |
Ratio of expenses to average daily net assets after expense waiversj |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Class II |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 18.86 | $ | (0.01 | ) | $ | 5.87 | $ | 5.86 | $ | (0.26 | ) | $ | (0.58 | ) | $ | (0.84 | ) | $ | 23.88 | 31.71% | $ | 97,840 | 1.16% | 1.15% | (0.04% | ) | |||||||||||||||||||||||||
| 12/31/12 | 16.83 | 0.19 | 2.34 | 2.53 | (0.00 | )d | (0.50 | ) | (0.50 | ) | 18.86 | 15.20% | 114,274 | 1.17% | 1.15% | 1.05% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 17.30 | (0.01 | ) | (0.23 | ) | (0.24 | ) | - | (0.23 | ) | (0.23 | ) | 16.83 | (1.26% | ) | 102,633 | 1.17% | 1.15% | (0.06% | ) | ||||||||||||||||||||||||||||||||
| 12/31/10 | 15.70 | 0.06 | 3.19 | 3.25 | (0.14 | ) | (1.51 | ) | (1.65 | ) | 17.30 | 20.83% | 105,829 | 1.18% | 1.15% | 0.34% | ||||||||||||||||||||||||||||||||||||
| 12/31/09g | 10.00 | 0.05 | 6.07 | 6.12 | (0.04 | ) | (0.38 | ) | (0.42 | ) | 15.70 | 61.26% | b | 96,203 | 1.26% | a | 1.15% | a | 0.41% | a | ||||||||||||||||||||||||||||||||
| Service Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 18.70 | $ | (0.05 | ) | $ | 5.79 | $ | 5.74 | $ | (0.23 | ) | $ | (0.58 | ) | $ | (0.81 | ) | $ | 23.63 | 31.34% | $ | 9,944 | 1.41% | 1.40% | (0.23% | ) | |||||||||||||||||||||||||
| 12/31/12 | 16.73 | 0.15 | 2.32 | 2.47 | - | (0.50 | ) | (0.50 | ) | 18.70 | 14.99% | 6,354 | 1.42% | 1.40% | 0.86% | |||||||||||||||||||||||||||||||||||||
| 12/31/11 | 17.24 | (0.05 | ) | (0.23 | ) | (0.28 | ) | - | (0.23 | ) | (0.23 | ) | 16.73 | (1.56% | ) | 3,951 | 1.42% | 1.40% | (0.28% | ) | ||||||||||||||||||||||||||||||||
| 12/31/10 | 15.67 | 0.03 | 3.18 | 3.21 | (0.13 | ) | (1.51 | ) | (1.64 | ) | 17.24 | 20.59% | 2,581 | 1.43% | 1.40% | 0.20% | ||||||||||||||||||||||||||||||||||||
| 12/31/09g | 10.00 | 0.03 | 6.04 | 6.07 | (0.02 | ) | (0.38 | ) | (0.40 | ) | 15.67 | 60.83% | b | 677 | 1.51% | a | 1.40% | a | 0.25% | a | ||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
12 | % | 14 | % | 13 | % | 29 | % | 44 | %b | ||||||||||
| a | Annualized. |
| b | Percentage represents the results for the period and is not annualized. |
| c | Per share amount calculated on the average shares method. |
| d | Amount is less than $0.005 per share. |
| g | For the period February 27, 2009 (commencement of operations) through December 31, 2009. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| m | Total return 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.
175
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Small/Mid Cap Value Fund
| Income (loss) from investment operations |
Less distributions to shareholders |
Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of the period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.06 | $ | 0.09 | $ | 3.74 | $ | 3.83 | $ | (0.09 | ) | $ | (0.09 | ) | $ | 13.80 | 38.18% | $ | 257,210 | 0.80% | 0.74% | |||||||||||||||||||||||
| 12/31/12 | 8.51 | 0.08 | 1.54 | 1.62 | (0.07 | ) | (0.07 | ) | 10.06 | 19.06% | 168,248 | 0.81% | 0.82% | |||||||||||||||||||||||||||||||
| 12/31/11 | 9.26 | 0.05 | (0.75 | ) | (0.70 | ) | (0.05 | ) | (0.05 | ) | 8.51 | (7.50% | ) | 170,925 | 0.81% | 0.53% | ||||||||||||||||||||||||||||
| 12/31/10 | 7.35 | 0.05 | 1.91 | 1.96 | (0.05 | ) | (0.05 | ) | 9.26 | 26.84% | 191,141 | 0.81% | 0.62% | |||||||||||||||||||||||||||||||
| 12/31/09 | 5.21 | 0.04 | 2.18 | 2.22 | (0.08 | ) | (0.08 | ) | 7.35 | 42.73% | 178,318 | 0.82% | 0.69% | |||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.01 | $ | 0.06 | $ | 3.72 | $ | 3.78 | $ | (0.07 | ) | $ | (0.07 | ) | $ | 13.72 | 37.82% | $ | 12,729 | 1.05% | 0.47% | |||||||||||||||||||||||
| 12/31/12 | 8.47 | 0.06 | 1.53 | 1.59 | (0.05 | ) | (0.05 | ) | 10.01 | 18.78% | 8,717 | 1.06% | 0.60% | |||||||||||||||||||||||||||||||
| 12/31/11 | 9.22 | 0.03 | (0.74 | ) | (0.71 | ) | (0.04 | ) | (0.04 | ) | 8.47 | (7.70% | ) | 7,067 | 1.06% | 0.30% | ||||||||||||||||||||||||||||
| 12/31/10 | 7.33 | 0.03 | 1.90 | 1.93 | (0.04 | ) | (0.04 | ) | 9.22 | 26.44% | 6,388 | 1.06% | 0.40% | |||||||||||||||||||||||||||||||
| 12/31/09 | 5.21 | 0.02 | 2.18 | 2.20 | (0.08 | ) | (0.08 | ) | 7.33 | 42.32% | 3,806 | 1.07% | 0.40% | |||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classes |
67 | % | 49 | % | 72 | % | 52 | % | 65 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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.
176
Table of Contents
| 1. | The Funds |
MML Series Investment Fund (the “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 December 19, 1984, as restated May 14, 1993, and further amended and restated as of December 15, 2011, as it may be further amended from time to time. The following are 18 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Blue Chip Growth Fund (“Blue Chip Growth Fund”)
MML Equity Income Fund (“Equity Income Fund”)
MML Equity Index Fund (“Equity Index Fund”)
MML Focused Equity Fund (“Focused Equity Fund”)
MML Foreign Fund (“Foreign Fund”)
MML Fundamental Growth Fund (“Fundamental Growth Fund”)
MML Fundamental Value Fund (“Fundamental Value Fund”)
MML Global Fund (“Global Fund”)
MML Growth & Income Fund (“Growth & Income Fund”)
MML Income & Growth Fund (“Income & Growth Fund”)
MML Large Cap Growth Fund (“Large Cap Growth Fund”)
MML Managed Volatility Fund (formerly known as MML Large Cap Value Fund) (“Managed Volatility Fund”)
MML Mid Cap Growth Fund (“Mid Cap Growth Fund”)
MML Mid Cap Value Fund (“Mid Cap Value Fund”)
MML PIMCO Total Return Fund (“PIMCO Total Return Fund”)
MML Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)
MML Small Company Value Fund (“Small Company Value Fund”)
MML Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, and C.M. Life Insurance Company are the record owners of all of the outstanding shares of the Funds.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
| 2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System, or in the case of
177
Table of Contents
Notes to Financial Statements (Continued)
over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Funds’ investment adviser determines more closely approximates current market value. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.
Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee1 in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.
| 1 | The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
178
Table of Contents
Notes to Financial Statements (Continued)
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.
The Focused Equity Fund, Fundamental Growth Fund, Large Cap Growth Fund, Small Company Value Fund, and Small/Mid Cap Value Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2013.
179
Table of Contents
Notes to Financial Statements (Continued)
The PIMCO Total Return Fund characterized all forward sale commitments at Level 2, as of December 31, 2013. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of December 31, 2013, for the remaining Funds’ investments and the PIMCO Total Return Fund’s other investments:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Blue Chip Growth Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 443,989,858 | $ | 7,566,269 | * | $ | - | $ | 451,556,127 | |||||||
| Mutual Funds |
1,001 | - | - | 1,001 | ||||||||||||
| Short-Term Investments |
- | 4,000,926 | - | 4,000,926 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 443,990,859 | $ | 11,567,195 | $ | - | $ | 455,558,054 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Income Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 564,210,409 | $ | 8,835,078 | * | $ | - | $ | 573,045,487 | |||||||
| Preferred Stock |
302,616 | - | - | 302,616 | ||||||||||||
| Mutual Funds |
13,649,033 | - | - | 13,649,033 | ||||||||||||
| Short-Term Investments |
- | 29,853,579 | - | 29,853,579 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 578,162,058 | $ | 38,688,657 | $ | - | $ | 616,850,715 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Index Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 401,506,838 | $ | - | $ | - | $ | 401,506,838 | ||||||||
| Short-Term Investments |
- | 10,171,459 | - | 10,171,459 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 401,506,838 | $ | 10,171,459 | $ | - | $ | 411,678,297 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Asset Derivatives | ||||||||||||||||
| Futures Contracts |
$ | 338,067 | $ | - | $ | - | $ | 338,067 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 55,427,173 | $ | 350,170,639 | * | $ | - | $ | 405,597,812 | |||||||
| Preferred Stock |
1,975,999 | - | - | 1,975,999 | ||||||||||||
| Rights |
104,076 | - | - | 104,076 | ||||||||||||
| Mutual Funds |
16,750,148 | - | - | 16,750,148 | ||||||||||||
| Short-Term Investments |
- | 11,758,431 | - | 11,758,431 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 74,257,396 | $ | 361,929,070 | $ | - | $ | 436,186,466 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Fundamental Value Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 225,806,285 | $ | 3,295,967 | * | $ | - | $ | 229,102,252 | |||||||
| Short-Term Investments |
- | 7,658,936 | - | 7,658,936 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 225,806,285 | $ | 10,954,903 | $ | - | $ | 236,761,188 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 94,772,155 | $ | 77,982,995 | * | $ | - | $ | 172,755,150 | |||||||
| Mutual Funds |
1,785,883 | - | - | 1,785,883 | ||||||||||||
| Short-Term Investments |
- | 2,510,203 | - | 2,510,203 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 96,558,038 | $ | 80,493,198 | $ | - | $ | 177,051,236 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
180
Table of Contents
Notes to Financial Statements (Continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Growth & Income Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 137,804,323 | $ | 8,076,896 | * | $ | - | $ | 145,881,219 | |||||||
| Short-Term Investments |
- | 1,050,070 | - | 1,050,070 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 137,804,323 | $ | 9,126,966 | $ | - | $ | 146,931,289 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income & Growth Fund |
||||||||||||||||
| Asset Investments | ||||||||||||||||
| Common Stock |
$ | 231,750,263 | $ | 7,275,633 | * | $ | - | $ | 239,025,896 | |||||||
| Short-Term Investments |
- | 3,740,201 | - | 3,740,201 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 231,750,263 | $ | 11,015,834 | $ | - | $ | 242,766,097 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Managed Volatility Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 229,874,784 | $ | - | $ | - | $ | 229,874,784 | ||||||||
| Corporate Debt |
- | - | 0 | + | - | |||||||||||
| Purchased Options |
348,415 | - | - | 348,415 | ||||||||||||
| Short-Term Investments |
- | 4,316,899 | - | 4,316,899 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 230,223,199 | $ | 4,316,899 | $ | - | $ | 234,540,098 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Derivatives | ||||||||||||||||
| Written Options |
$ | (6,743,970 | ) | $ | - | $ | - | $ | (6,743,970 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mid Cap Growth Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 397,433,370 | $ | - | $ | 81,541 | $ | 397,514,911 | ||||||||
| Preferred Stock |
- | - | 1,473,891 | 1,473,891 | ||||||||||||
| Mutual Funds |
16,728,452 | - | - | 16,728,452 | ||||||||||||
| Short-Term Investments |
- | 13,333,686 | - | 13,333,686 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 414,161,822 | $ | 13,333,686 | $ | 1,555,432 | $ | 429,050,940 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mid Cap Value Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 462,919,388 | $ | 4,266,202 | * | $ | - | $ | 467,185,590 | |||||||
| Mutual Funds |
15,570,247 | - | - | 15,570,247 | ||||||||||||
| Short-Term Investments |
- | 11,046,816 | - | 11,046,816 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 478,489,635 | $ | 15,313,018 | $ | - | $ | 493,802,653 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Asset Derivatives | ||||||||||||||||
| Forward Contracts |
$ | - | $ | 1,508 | $ | - | $ | 1,508 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Derivatives | ||||||||||||||||
| Forward Contracts |
$ | - | $ | (126,665 | ) | $ | - | $ | (126,665 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| PIMCO Total Return Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Preferred Stock |
$ | 1,176,560 | $ | - | $ | - | $ | 1,176,560 | ||||||||
| Corporate Debt |
- | 70,983,219 | 299,520 | 71,282,739 | ||||||||||||
| Municipal Obligations |
- | 9,349,729 | - | 9,349,729 | ||||||||||||
| Non-U.S. Government Agency Obligations |
- | 27,400,814 | - | 27,400,814 | ||||||||||||
| Sovereign Debt Obligations |
- | 25,498,853 | - | 25,498,853 | ||||||||||||
181
Table of Contents
Notes to Financial Statements (Continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| PIMCO Total Return Fund (Continued) |
||||||||||||||||
| Asset Investments (Continued) |
||||||||||||||||
| U.S. Government Agency Obligations and Instrumentalities |
$ | - | $ | 217,082,534 | $ | - | $ | 217,082,534 | ||||||||
| U.S. Treasury Obligations |
- | 148,786,075 | - | 148,786,075 | ||||||||||||
| Short-Term Investments |
- | 51,433,131 | - | 51,433,131 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 1,176,560 | $ | 550,534,355 | $ | 299,520 | $ | 552,010,435 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Asset Derivatives | ||||||||||||||||
| Forward Contracts |
$ | - | $ | 262,671 | $ | - | $ | 262,671 | ||||||||
| Futures Contracts |
217,143 | - | - | 217,143 | ||||||||||||
| Swap Agreements |
- | 5,153,444 | - | 5,153,444 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | $ | 217,143 | $ | 5,416,115 | $ | - | $ | 5,633,258 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Derivatives | ||||||||||||||||
| Forward Contracts |
$ | - | $ | (1,153,249 | ) | $ | - | $ | (1,153,249 | ) | ||||||
| Futures Contracts |
(670,582 | ) | - | - | (670,582 | ) | ||||||||||
| Swap Agreements |
- | (448,738 | ) | - | (448,738 | ) | ||||||||||
| Written Options |
(17,000 | ) | (222,001 | ) | - | (239,001 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | $ | (687,582 | ) | $ | (1,823,988 | ) | $ | - | $ | (2,511,570 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Cap Growth Equity Fund |
||||||||||||||||
| Asset Investments |
||||||||||||||||
| Common Stock |
$ | 278,029,844 | $ | 732,505 | * | $ | 265,899 | $ | 279,028,248 | |||||||
| Preferred Stock |
- | - | 694,301 | 694,301 | ||||||||||||
| Mutual Funds |
21,813,544 | - | - | 21,813,544 | ||||||||||||
| Short-Term Investments |
- | 5,430,900 | - | 5,430,900 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 299,843,388 | $ | 6,163,405 | $ | 960,200 | $ | 306,966,993 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| + | Represents security at $0 value as of December 31, 2013. |
| * | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
The following tables show Funds with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of December 31, 2013.
| Statements of Assets and Liabilities location: |
PIMCO | |
| Receivables from: |
||
| Investments sold on a when-issued basis |
X | |
| Collateral held for open swap agreements |
X | |
| Collateral held for open futures contracts |
X | |
| Payables for: |
||
| Investments purchased on a when-issued basis |
X |
| Statements of Assets and Liabilities location: |
Foreign |
Global Fund |
Mid
Cap |
Small Cap Growth |
Small Company | |||||
| Payables for: |
||||||||||
| Securities on loan |
X | X | X | X | X |
182
Table of Contents
Notes to Financial Statements (Continued)
The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy during the year ended December 31, 2013. The Funds recognize transfers between the Levels as of the beginning of the year.
Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:
Asset Valuation Inputs
| Investments in Securities | ||||||||||||||||||||||||||||||||||||||||
| Balance as of 12/31/12 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | (Sales) | Transfers into Level 3* |
Transfers (out) of Level 3* |
Balance as of 12/31/13 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 12/31/13 |
|||||||||||||||||||||||||||||||
| Managed Volatility Fund |
|
|||||||||||||||||||||||||||||||||||||||
| Common Stock |
$ | - | ** | $ | - | $ | (2,533,387 | ) | $ | 2,533,387 | $ | - | $ | - | *** | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
| Corporate Debt† |
50,036 | - | - | 300,388 | - | ††† | (350,424 | ) | - | - | - | †† | - | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 50,036 | $ | - | $ | (2,533,387 | ) | $ | 2,833,775 | $ | - | $ | (350,424 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Mid Cap Growth Fund |
|
|||||||||||||||||||||||||||||||||||||||
| Common Stock |
$ | 81,541 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 81,541 | $ | - | ||||||||||||||||||||
| Preferred Stock |
1,016,005 | - | - | 457,886 | - | - | - | - | 1,473,891 | 457,886 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 1,097,546 | $ | - | $ | - | $ | 457,886 | $ | - | $ | - | $ | - | $ | - | $ | 1,555,432 | $ | 457,886 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| PIMCO Total Return Fund |
|
|||||||||||||||||||||||||||||||||||||||
| Corporate Debt† |
$ | 6,444,760 | $ | - | $ | 21,629 | $ | 2,013 | $ | - | $ | (1,964,992 | ) | $ | - | $ | (4,203,890 | )**** | $ | 299,520 | $ | 3,262 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Small Cap Growth Equity Fund |
|
|||||||||||||||||||||||||||||||||||||||
| Common Stock |
$ | 111,557 | $ | - | $ | 1,230 | $ | 2 | $ | 159,219 | $ | (6,109 | ) | $ | - | $ | - | $ | 265,899 | $ | 2 | |||||||||||||||||||
| Preferred Stock |
- | - | - | 46,515 | 647,786 | - | - | - | 694,301 | 46,515 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 111,557 | $ | - | $ | 1,230 | $ | 46,517 | $ | 807,005 | $ | (6,109 | ) | $ | - | $ | - | $ | 960,200 | $ | 46,517 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| * | The Fund(s) recognize transfers between the Levels as of the beginning of the year. |
| ** | Represents security at $0 value as of December 31, 2012. |
| *** | Represents security at $0 value at the time of sale. |
| **** | Transfers occurred between Level 3 and Level 2 as a result of changes in liquidity. |
| † | Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price. |
| †† | Represents security at $0 value as of December 31, 2013. |
| ††† | Represents security at $0 value at the time of purchase. |
None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s).
183
Table of Contents
Notes to Financial Statements (Continued)
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended December 31, 2013, the following table shows how the Fund used these derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).
| Type of Derivative and Objective for Use |
Equity |
Foreign |
Global |
Managed |
Mid Cap |
PIMCO | ||||||
| Foreign Currency Exchange Transactions* |
||||||||||||
| Hedging/Risk Management |
A |
A | ||||||||||
| Directional Exposures to Currencies |
A | |||||||||||
| Futures Contracts** |
||||||||||||
| Hedging/Risk Management |
A | |||||||||||
| Duration/Credit Quality Management |
A | |||||||||||
| Substitution for Direct Investment |
A |
A | ||||||||||
| Interest Rate Swaps*** |
||||||||||||
| Hedging/Risk Management |
A | |||||||||||
| Duration Management |
A | |||||||||||
| Substitution for Direct Investment |
A | |||||||||||
| Credit Default Swaps (Protection Buyer) |
||||||||||||
| Hedging/Risk Management |
A | |||||||||||
| Duration/Credit Quality Management |
A | |||||||||||
| Substitution for Direct Investment |
A | |||||||||||
| Credit Default Swaps (Protection Seller) |
||||||||||||
| Hedging/Risk Management |
A | |||||||||||
| Duration/Credit Quality Management |
A | |||||||||||
| Income |
A | |||||||||||
| Substitution for Direct Investment |
A | |||||||||||
| Options (Purchased) |
||||||||||||
| Hedging/Risk Management |
A |
|||||||||||
| Options (Written) |
||||||||||||
| Hedging/Risk Management |
A |
A | ||||||||||
| Duration/Credit Quality Management |
A | |||||||||||
| Income |
A |
A | ||||||||||
| Rights and Warrants |
||||||||||||
| Result of a Corporate Action |
A |
A |
||||||||||
| * | Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable. |
| ** | Includes any options purchased or written on futures contracts, if applicable. |
| *** | Includes any caps, floors, and collars, and related purchased or written options, if applicable. |
184
Table of Contents
Notes to Financial Statements (Continued)
At December 31, 2013, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
| Credit Risk |
Equity Risk |
Foreign Exchange Risk |
Interest Rate Risk |
Total | ||||||||||||||||
| Equity Index Fund | ||||||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||
| Futures Contracts^^ |
$ | - | $ | 338,067 | $ | - | $ | - | $ | 338,067 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Realized Gain (Loss)# | ||||||||||||||||||||
| Futures Contracts |
$ | - | $ | 2,061,784 | $ | - | $ | - | $ | 2,061,784 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in Apprecation (Depreciation)## | ||||||||||||||||||||
| Futures Contracts |
$ | - | $ | 334,532 | $ | - | $ | - | $ | 334,532 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Number of Contracts, Notional Amounts or Shares/Units† |
||||||||||||||||||||
| Futures Contracts |
- | 90 | - | - | 90 | |||||||||||||||
| Foreign Fund | ||||||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||
| Rights* |
$ | - | $ | 104,076 | $ | - | $ | - | $ | 104,076 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Realized Gain (Loss)# | ||||||||||||||||||||
| Rights |
$ | - | $ | 1,901 | $ | - | $ | - | $ | 1,901 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in Apprecation (Depreciation)## | ||||||||||||||||||||
| Rights |
$ | - | $ | 6,751 | $ | - | $ | - | $ | 6,751 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Number of Contracts, Notional Amounts or Shares/Units† |
||||||||||||||||||||
| Rights |
- | 271,544 | - | - | 271,544 | |||||||||||||||
| Global Fund | ||||||||||||||||||||
| Realized Gain (Loss)# | ||||||||||||||||||||
| Rights |
$ | - | $ | 52,839 | $ | - | $ | - | $ | 52,839 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Number of Contracts, Notional Amounts or Shares/Units† |
||||||||||||||||||||
| Rights |
- | 25,773 | - | - | 25,773 | |||||||||||||||
| Managed Volatility Fund | ||||||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||
| Purchased Options* |
$ | - | $ | 348,415 | $ | - | $ | - | $ | 348,415 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability Derivatives | ||||||||||||||||||||
| Written Options^ |
$ | - | $ | (6,743,970 | ) | $ | - | $ | - | $ | (6,743,970 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Realized Gain (Loss)# | ||||||||||||||||||||
| Purchased Options |
$ | - | $ | (4,232,644 | ) | $ | - | $ | - | $ | (4,232,644 | ) | ||||||||
| Written Options |
- | (16,259,108 | ) | - | - | (16,259,108 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Realized Gain (Loss) |
$ | - | $ | (20,491,752 | ) | $ | - | $ | - | $ | (20,491,752 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
185
Table of Contents
Notes to Financial Statements (Continued)
| Credit Risk |
Equity Risk |
Foreign Exchange Risk |
Interest Rate Risk |
Total | ||||||||||||||||
| Managed Volatility Fund (Continued) | ||||||||||||||||||||
| Change in Appreciation (Depreciation)## | ||||||||||||||||||||
| Purchased Options |
$ | - | $ | (697,205 | ) | $ | - | $ | - | $ | (697,205 | ) | ||||||||
| Written Options |
- | (3,305,270 | ) | - | - | (3,305,270 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Change in Appreciation (Depreciation) |
$ | - | $ | (4,002,475 | ) | $ | - | $ | - | $ | (4,002,475 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Number of Contracts, Notional Amounts or Shares/Units† |
||||||||||||||||||||
| Purchased Options |
- | 1,312 | - | - | 1,312 | |||||||||||||||
| Written Options |
- | 1,312 | - | - | 1,312 | |||||||||||||||
| Mid Cap Value Fund | ||||||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||
| Forward Contracts* |
$ | - | $ | - | $ | 1,508 | $ | - | $ | 1,508 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability Derivatives | ||||||||||||||||||||
| Forward Contracts^ |
$ | - | $ | - | $ | (126,665 | ) | $ | - | $ | (126,665 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Realized Gain (Loss)# | ||||||||||||||||||||
| Forward Contracts |
$ | - | $ | - | $ | 646,869 | $ | - | $ | 646,869 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in Appreciation (Depreciation)## | ||||||||||||||||||||
| Forward Contracts |
$ | - | $ | - | $ | (139,837 | ) | $ | - | $ | (139,837 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Number of Contracts, Notional Amounts or Shares/Units† |
||||||||||||||||||||
| Forward Contracts |
$ | - | $ | - | $ | 19,259,384 | $ | - | $ | 19,259,384 | ||||||||||
| PIMCO Total Return Fund | ||||||||||||||||||||
| Asset Derivatives | ||||||||||||||||||||
| Forward Contracts* |
$ | - | $ | - | $ | 262,671 | $ | - | $ | 262,671 | ||||||||||
| Futures Contracts^^ |
- | - | - | 217,143 | 217,143 | |||||||||||||||
| Swap Agreements* |
98,569 | - | - | 11,354 | 109,923 | |||||||||||||||
| Swap Agreements^^,^^^ |
251,365 | - | - | 4,792,156 | 5,043,521 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Value |
$ | 349,934 | $ | - | $ | 262,671 | $ | 5,020,653 | $ | 5,633,258 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Liability Derivatives | ||||||||||||||||||||
| Forward Contracts^ |
$ | - | $ | - | $ | (1,153,249 | ) | $ | - | $ | (1,153,249 | ) | ||||||||
| Futures Contracts^^ |
- | - | - | (670,582 | ) | (670,582 | ) | |||||||||||||
| Swap Agreements^ |
(54,108 | ) | - | - | (69,616 | ) | (123,724 | ) | ||||||||||||
| Swap Agreements^^,^^^ |
- | - | - | (325,014 | ) | (325,014 | ) | |||||||||||||
| Written Options^ |
(834 | ) | - | - | (221,167 | ) | (222,001 | ) | ||||||||||||
| Written Options^,^^^ |
- | - | - | (17,000 | ) | (17,000 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Value |
$ | (54,942 | ) | $ | - | $ | (1,153,249 | ) | $ | (1,303,379 | ) | $ | (2,511,570 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Realized Gain (Loss)# | ||||||||||||||||||||
| Forward Contracts |
$ | - | $ | - | $ | 232,079 | $ | - | $ | 232,079 | ||||||||||
| Futures Contracts |
- | - | - | 211,988 | 211,988 | |||||||||||||||
| Swap Agreements |
158,119 | - | - | 430,257 | 588,376 | |||||||||||||||
| Written Options |
- | - | - | 230,754 | 230,754 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Realized Gain (Loss) |
$ | 158,119 | $ | - | $ | 232,079 | $ | 872,999 | $ | 1,263,197 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
186
Table of Contents
Notes to Financial Statements (Continued)
| Credit Risk |
Equity Risk |
Foreign Exchange Risk |
Interest Rate Risk |
Total | ||||||||||||||||
| PIMCO Total Return Fund (Continued) | ||||||||||||||||||||
| Change in Appreciation (Depreciation)## | ||||||||||||||||||||
| Forward Contracts |
$ | - | $ | - | $ | (330,057 | ) | $ | - | $ | (330,057 | ) | ||||||||
| Futures Contracts |
- | - | - | (497,338 | ) | (497,338 | ) | |||||||||||||
| Swap Agreements |
(24,980 | ) | - | - | 1,908,127 | 1,883,147 | ||||||||||||||
| Written Options |
396 | - | - | 4,822 | 5,218 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Change in Appreciation (Depreciation) |
$ | (24,584 | ) | $ | - | $ | (330,057 | ) | $ | 1,415,611 | $ | 1,060,970 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Number of Contracts Notional Amounts or Shares/Units† | ||||||||||||||||||||
| Forward Contracts |
$ | - | $ | - | $ | 71,483,015 | $ | - | $ | 71,483,015 | ||||||||||
| Futures Contracts |
- | - | - | 878 | 878 | |||||||||||||||
| Swap Agreements |
$ | 18,808,333 | $ | - | $ | - | $ | 106,025,000 | $ | 124,833,333 | ||||||||||
| Written Options |
$ | 1,200,000 | $ | - | $ | - | $ | 49,858,360 | $ | 51,058,360 | ||||||||||
| * | Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable. |
| ^ | Statements of Assets and Liabilities location: Payables for: open forward foreign currency contracts, open swap agreements, at value, or written options outstanding, at value, as applicable. |
| ^^ | Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. |
| ^^^ | Represents centrally cleared swaps or exchange-traded written options, which are not subject to a master netting agreement. |
| # | Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or foreign currency transactions, as applicable. |
| ## | Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable. |
| † | Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased options, and rights, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2013. |
The following table presents the Fund(s) derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of December 31, 2013.
| Counterparty |
Derivative Assets Subject to a MNA by Counterparty† |
Financial Instruments Available for Offset |
Collateral Received*** |
Net Amount* | ||||||||||||
| PIMCO Total Return Fund | ||||||||||||||||
| Barclays Bank PLC |
$ | 75,933 | $ | (75,933 | ) | $ | - | $ | - | |||||||
| Credit Suisse International |
206,118 | (165,248 | ) | - | 40,870 | |||||||||||
| Goldman Sachs International |
19,010 | - | - | 19,010 | ||||||||||||
| JP Morgan Chase Bank |
19,038 | (19,038 | ) | - | - | |||||||||||
| UBS AG |
52,495 | (22,209 | ) | - | 30,286 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 372,594 | $ | (282,428 | ) | $ | - | $ | 90,166 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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Notes to Financial Statements (Continued)
The following table presents the Fund(s) derivative liabilities by counterparty net of amounts available for offset under a MNA, or similar agreement, and net of the related collateral received by the Fund(s) as of December 31, 2013.
| Counterparty |
Derivative Liabilities Subject to a MNA by Counterparty† |
Financial Instruments Available for Offset |
Collateral Pledged*** |
Net Amount** | ||||||||||||
| PIMCO Total Return Fund | ||||||||||||||||
| Barclays Bank PLC |
$ | (119,415 | ) | $ | 75,933 | $ | - | $ | (43,482 | ) | ||||||
| Credit Suisse International |
(165,248 | ) | 165,248 | - | - | |||||||||||
| Goldman Sachs Bank USA |
(39,735 | ) | - | - | (39,735 | ) | ||||||||||
| Goldman Sachs Capital |
(191,591 | ) | - | - | (191,591 | ) | ||||||||||
| JP Morgan Chase Bank |
(686,225 | ) | 19,038 | 635,221 | (31,966 | ) | ||||||||||
| Royal Bank of Scotland PLC |
(274,551 | ) | - | 269,119 | (5,432 | ) | ||||||||||
| UBS AG |
(22,209 | ) | 22,209 | - | - | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (1,498,974 | ) | $ | 282,428 | $ | 904,340 | $ | (312,206 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Represents the net amount receivable from the counterparty in the even of default. |
| ** | Represents the net amount payable to the counterparty in the event of default. |
| *** | The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
| † | The amount presented here may be less than the total amount shown in the Statement of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.
Further details regarding the derivatives and other investments held by the Funds during the year ended December 31, 2013, are discussed below.
Foreign Currency Exchange Transactions
A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.
A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other
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Notes to Financial Statements (Continued)
market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.
The Fund(s) listed in the following table had open forward foreign currency contracts at December 31, 2013. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
| Counterparty |
Settlement |
In Exchange for |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Mid Cap Value Fund | ||||||||||||||||
| Contract to Buy | ||||||||||||||||
| CHF | 568,894 | Credit Suisse International | 01/31/14 | $ | 636,362 | $ | 1,508 | |||||||||
|
|
|
|
|
|||||||||||||
| Contracts to Deliver | ||||||||||||||||
| CHF | 568,894 | Credit Suisse International | 01/31/14 | $ | 634,696 | $ | (3,174 | ) | ||||||||
|
|
|
|
|
|||||||||||||
| CAD | 13,978,162 | JP Morgan Chase Bank | 01/31/14 | 13,051,717 | (98,209 | ) | ||||||||||
|
|
|
|
|
|||||||||||||
| EUR | 2,600,938 | UBS AG | 01/31/14 | 3,552,780 | (25,282 | ) | ||||||||||
|
|
|
|
|
|||||||||||||
| $ | 17,239,193 | $ | (126,665 | ) | ||||||||||||
|
|
|
|
|
|||||||||||||
| PIMCO Total Return Fund | ||||||||||||||||
| Contracts to Buy | ||||||||||||||||
| BRL | 29,267 | Credit Suisse International | 01/03/14 | $ | 12,452 | $ | (47 | ) | ||||||||
| EUR | 15,161,000 | Credit Suisse International | 01/02/14 | 20,719,023 | 137,955 | |||||||||||
|
|
|
|
|
|||||||||||||
| 20,731,475 | 137,908 | |||||||||||||||
|
|
|
|
|
|||||||||||||
| EUR | 1,689,000 | UBS AG | 01/02/14 | 2,292,133 | 31,423 | |||||||||||
|
|
|
|
|
|||||||||||||
| $ | 23,023,608 | $ | 169,331 | |||||||||||||
|
|
|
|
|
|||||||||||||
| Contracts to Deliver | ||||||||||||||||
| GBP | 1,931,000 | Barclays Bank PLC | 03/12/14 | $ | 3,159,489 | $ | (36,618 | ) | ||||||||
|
|
|
|
|
|||||||||||||
| BRL | 29,267 | Credit Suisse International | 01/03/14 | 12,493 | 88 | |||||||||||
| CAD | 2,733,000 | Credit Suisse International | 03/20/14 | 2,561,413 | (6,584 | ) | ||||||||||
| EUR | 15,161,000 | Credit Suisse International | 02/04/14 | 20,719,220 | (137,451 | ) | ||||||||||
| EUR | 100,000 | Credit Suisse International | 06/02/14 | 126,800 | (10,777 | ) | ||||||||||
| JPY | 20,980,880 | Credit Suisse International | 01/06/14 | 200,000 | 770 | |||||||||||
| JPY | 215,800,000 | Credit Suisse International | 02/18/14 | 2,116,910 | 67,305 | |||||||||||
|
|
|
|
|
|||||||||||||
| 25,736,836 | (86,649 | ) | ||||||||||||||
|
|
|
|
|
|||||||||||||
| EUR | 996,000 | Goldman Sachs Capital | 02/28/14 | 1,333,313 | (36,854 | ) | ||||||||||
| EUR | 3,881,000 | Goldman Sachs Capital | 03/14/14 | 5,184,236 | (154,737 | ) | ||||||||||
|
|
|
|
|
|||||||||||||
| 6,517,549 | (191,591 | ) | ||||||||||||||
|
|
|
|
|
|||||||||||||
189
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| Counterparty |
Settlement |
In Exchange for |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| PIMCO Total Return Fund (Continued) | ||||||||||||||||
| Contracts to Deliver (Continued) | ||||||||||||||||
| EUR | 16,337,000 | JP Morgan Chase Bank | 01/02/14 | $ | 21,983,345 | $ | (491,455 | ) | ||||||||
| MXN | 297,373 | JP Morgan Chase Bank | 01/23/14 | 23,085 | 346 | |||||||||||
| JPY | 93,000,000 | JP Morgan Chase Bank | 02/18/14 | 900,617 | 17,330 | |||||||||||
|
|
|
|
|
|||||||||||||
| 22,907,047 | (473,779 | ) | ||||||||||||||
|
|
|
|
|
|||||||||||||
| EUR | 5,600,000 | Royal Bank of Scotland PLC | 02/28/14 | 7,429,464 | (274,290 | ) | ||||||||||
|
|
|
|
|
|||||||||||||
| EUR | 513,000 | UBS AG | 01/02/14 | 701,298 | (4,436 | ) | ||||||||||
| EUR | 265,000 | UBS AG | 02/04/14 | 364,791 | 236 | |||||||||||
| JPY | 34,100,000 | UBS AG | 02/18/14 | 331,090 | 7,218 | |||||||||||
|
|
|
|
|
|||||||||||||
| 1,397,179 | 3,018 | |||||||||||||||
|
|
|
|
|
|||||||||||||
| $ | 67,147,564 | $ | (1,059,909 | ) | ||||||||||||
|
|
|
|
|
|||||||||||||
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
190
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The Fund(s) listed in the following table had open futures contracts at December 31, 2013:
| Expiration |
Number of Contracts |
Notional Amount |
Net Unrealized Appreciation/ (Depreciation) |
|||||||||||
| Equity Index Fund | ||||||||||||||
| Futures Contracts — Long | ||||||||||||||
| S&P 500 E Mini Index | 03/21/14 | 116 | $ | 10,678,380 | $ | 338,067 | ||||||||
|
|
|
|||||||||||||
| PIMCO Total Return Fund | ||||||||||||||
| Futures Contracts — Long | ||||||||||||||
| 3 Month EURIBOR | 12/15/14 | 11 | $ | 3,769,176 | $ | (2,268 | ) | |||||||
| 3 Month EURIBOR | 03/16/15 | 11 | 3,766,149 | (3,386 | ) | |||||||||
| 3 Month EURIBOR | 06/15/15 | 11 | 3,762,366 | (4,572 | ) | |||||||||
| 3 Month EURIBOR | 09/14/15 | 11 | 3,758,015 | (5,724 | ) | |||||||||
| 90 Day Eurodollar | 12/15/14 | 96 | 23,896,800 | (4,503 | ) | |||||||||
| 90 Day Eurodollar | 03/16/15 | 9 | 2,238,075 | 547 | ||||||||||
| 90 Day Eurodollar | 06/15/15 | 98 | 24,334,625 | (20,134 | ) | |||||||||
| 90 Day Eurodollar | 09/14/15 | 506 | 125,399,450 | 47,064 | ||||||||||
| 90 Day Eurodollar | 12/14/15 | 576 | 142,380,000 | (219,197 | ) | |||||||||
| 90 Day Eurodollar | 03/14/16 | 163 | 40,167,275 | (80,822 | ) | |||||||||
| 90 Day Eurodollar | 06/13/16 | 44 | 10,808,050 | (27,528 | ) | |||||||||
| 90 Day Eurodollar | 09/19/16 | 80 | 19,589,000 | 51,416 | ||||||||||
| 90 Day Eurodollar | 12/19/16 | 54 | 13,182,075 | 47,127 | ||||||||||
| 90 Day Eurodollar | 03/13/17 | 29 | 7,058,600 | 30,210 | ||||||||||
| 90 Day Eurodollar | 06/19/17 | 46 | 11,164,775 | 40,779 | ||||||||||
| U.S. Treasury Note 10 Year | 03/20/14 | 78 | 9,597,656 | (180,160 | ) | |||||||||
| U.S. Treasury Note 5 Year | 03/31/14 | 84 | 10,022,250 | (122,288 | ) | |||||||||
|
|
|
|||||||||||||
| $ | (453,439 | ) | ||||||||||||
|
|
|
|||||||||||||
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional
191
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value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.
Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options and Rights” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse; the initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation/depreciation on a Fund’s Statement of Operations. Only a limited number of transactions are currently eligible for clearing.
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
192
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During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
The Fund(s) listed in the following table had open swap agreements at December 31, 2013. A Fund’s current exposure to a counterparty is the fair value of the agreement.
| Counterparty |
Currency |
Notional Amount |
Expiration Date |
Receive (Pay) Fixed Rate |
Deliverable on Default |
Unrealized Appreciation (Depreciation) |
Premium (Received) Paid |
Value | ||||||||||||||||||
| PIMCO Total Return Fund* |
|
|||||||||||||||||||||||||
| Credit Default Swaps — Sell Protection*** |
|
|||||||||||||||||||||||||
| OTC Swaps |
|
|||||||||||||||||||||||||
| Barclays Bank PLC |
USD | 1,600,000 | 6/20/15 | 5.000% | CDX.EM.13† (PIMCO Rating: BA+)** |
$ | (86,512 | ) | $ | 133,850 | $ | 47,338 | ||||||||||||||
| Barclays Bank PLC |
USD | 400,000 | 12/20/15 | 1.000% | Federative Republic of Brazil (PIMCO Rating: BAA)** |
1,846 | (2,308 | ) | (462 | ) | ||||||||||||||||
| Barclays Bank PLC |
USD | 1,500,000 | 3/20/16 | 1.000% | Federative Republic of Brazil (PIMCO Rating: BAA)** |
664 | (6,149 | ) | (5,485 | ) | ||||||||||||||||
| Barclays Bank PLC |
USD | 400,000 | 3/20/16 | 1.000% | United Mexican States (PIMCO Rating: BAA+)** |
6,702 | (1,930 | ) | 4,772 | |||||||||||||||||
| Barclays Bank PLC |
USD | 900,000 | 6/20/16 | 1.000% | Federative Republic of Brazil (PIMCO Rating: BAA)** |
(4,487 | ) | (1,303 | ) | (5,790 | ) | |||||||||||||||
| Barclays Bank PLC |
USD | 800,000 | 12/20/16 | 1.000% | Federative Republic of Brazil (PIMCO Rating: BAA)** |
10,567 | (20,149 | ) | (9,582 | ) | ||||||||||||||||
| Barclays Bank PLC |
USD | 500,000 | 9/20/17 | 1.000% | Republic of Indonesia (PIMCO Rating: BAA-)** |
5,101 | (18,206 | ) | (13,105 | ) | ||||||||||||||||
| Barclays Bank PLC |
USD | 1,500,000 | 3/20/18 | 1.000% | United Mexican States (PIMCO Rating: BAA+)** |
8,092 | 4,377 | 12,469 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (58,027 | ) | 88,182 | 30,155 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Credit Suisse International |
USD | 800,000 | 6/20/16 | 1.000% | Federative Republic of Brazil (PIMCO Rating: BAA)** |
(3,983 | ) | (1,164 | ) | (5,147 | ) | |||||||||||||||
| Credit Suisse International |
USD | 200,000 | 9/20/17 | 1.000% | Republic of Indonesia (PIMCO Rating: BAA-)** |
1,948 | (7,190 | ) | (5,242 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (2,035 | ) | (8,354 | ) | (10,389 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Goldman Sachs International |
USD | 1,300,000 | 12/20/14 | 1.000% | MetLife, Inc. (PIMCO Rating: A-)** |
42,969 | (32,175 | ) | 10,794 | |||||||||||||||||
| Goldman Sachs International |
USD | 200,000 | 6/20/15 | 1.000% | United Kingdom Gilt (PIMCO Rating: AAA)** |
740 | 2,014 | 2,754 | ||||||||||||||||||
| Goldman Sachs International |
USD | 100,000 | 3/20/16 | 1.000% | General Electric Capital Corp. (PIMCO Rating: AA+)** |
3,062 | (1,685 | ) | 1,377 | |||||||||||||||||
| Goldman Sachs International |
USD | 300,000 | 9/20/16 | 1.000% | United Mexican States (PIMCO Rating: BAA+)** |
5,499 | (1,414 | ) | 4,085 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 52,270 | (33,260 | ) | 19,010 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| JP Morgan Chase Bank |
USD | 200,000 | 6/20/16 | 1.000% | Republic of Indonesia (PIMCO Rating: BAA-)** |
2,425 | (3,707 | ) | (1,282 | ) | ||||||||||||||||
| JP Morgan Chase Bank |
USD | 100,000 | 9/20/16 | 1.000% | Federative Republic of Brazil (PIMCO Rating: BAA)** |
(313 | ) | (609 | ) | (922 | ) | |||||||||||||||
| JP Morgan Chase Bank |
USD | 100,000 | 9/20/16 | 1.000% | United Mexican States (PIMCO Rating: BAA+)** |
786 | 576 | 1,362 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 2,898 | (3,740 | ) | (842 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| UBS AG | USD | 100,000 | 9/20/16 | 1.000% | Republic of Indonesia (PIMCO Rating: BAA-)** |
937 | (1,578 | ) | (641 | ) | ||||||||||||||||
| UBS AG | USD | 1,000,000 | 9/20/16 | 1.000% | United Mexican States (PIMCO Rating: BAA+)** |
18,006 | (4,388 | ) | 13,618 | |||||||||||||||||
| UBS AG | USD | 300,000 | 6/20/17 | 1.000% | Republic of Indonesia (PIMCO Rating: BAA-)** |
2,797 | (9,247 | ) | (6,450 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 21,740 | (15,213 | ) | 6,527 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
193
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Notes to Financial Statements (Continued)
| Counterparty |
Currency |
Notional Amount |
Expiration Date |
Receive (Pay) Fixed Rate |
Deliverable on Default |
Unrealized Appreciation (Depreciation) |
Premium (Received) Paid |
Value | ||||||||||||||||||
| PIMCO Total Return Fund* (Continued) |
|
|||||||||||||||||||||||||
| Credit Default Swaps — Sell Protection*** (Continued) |
||||||||||||||||||||||||||
| Centrally Cleared Swaps |
|
|||||||||||||||||||||||||
| EUR | 10,000,000 | 12/20/18 | 1.000% | ITRAXX Europe Series 20† (PIMCO Rating: A-)** |
$ | 188,764 | $ | 7,108 | $ | 195,872 | ||||||||||||||||
| USD | 3,100,000 | 12/20/18 | 1.000% | CDX.NA.IG.21† (PIMCO Rating: BAA+)** |
24,517 | 30,976 | 55,493 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 213,281 | 38,084 | 251,365 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Counterparty |
Currency |
Notional Amount |
Expiration Date |
Payments Made by Fund |
Payments Received by Fund |
Unrealized Appreciation (Depreciation) |
Premium Received (Paid) |
Value | ||||||||||||||||||
| Interest Rate Swaps |
|
|||||||||||||||||||||||||
| OTC Swaps |
||||||||||||||||||||||||||
| Barclays Bank PLC |
MXN | 9,000,000 | 9/13/17 | MXN TIIE Mexican Banxico |
Fixed 5.500% | $ | 18,056 | $ | (6,702 | ) | $ | 11,354 | ||||||||||||||
| Barclays Bank PLC | MXN | 14,000,000 | 9/02/22 | MXN TIIE Mexican Banxico |
Fixed 6.000% | (38,363 | ) | (7,326 | ) | (45,689 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (20,307 | ) | (14,028 | ) | (34,335 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Goldman Sachs Bank USA |
BRL | 200,000 | 1/02/17 | CETIP Interbank | Fixed 9.095% | (5,074 | ) | — | (5,074 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| JP Morgan Chase Bank |
MXN | 2,000,000 | 6/05/23 | MXN TIE Mexican Banxixo |
Fixed 6.000% | (3,236 | ) | (4,935 | ) | (8,171 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| UBS AG | BRL | 400,000 | 1/02/17 | CETIP Interbank | Fixed 8.900% | (10,003 | ) | (679 | ) | (10,682 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Centrally Cleared Swaps |
|
|||||||||||||||||||||||||
| USD | 18,000,000 | 3/18/16 | 3-Month USD-LIBOR-BBA |
Fixed 1.500% | (27,560 | ) | 146,774 | 119,214 | ||||||||||||||||||
| USD | 79,700,000 | 12/16/16 | 3-Month USD-LIBOR-BBA |
Fixed 1.500% | (144,828 | ) | 61,220 | (83,608 | ) | |||||||||||||||||
| USD | 74,500,000 | 9/21/17 | 3-Month USD-LIBOR-BBA |
Fixed 3.000% | (215,507 | ) | 579,160 | 363,653 | ||||||||||||||||||
| USD | 17,400,000 | 10/15/17 | Federal Funds Effective Rate US |
Fixed 1.000% | (222,184) | (19,222 | ) | (241,406 | ) | |||||||||||||||||
| USD | 14,000,000 | 6/19/43 | 3-Month USD-LIBOR-BBA |
Fixed 2.750% | 2,072,285 | 986,856 | 3,059,141 | |||||||||||||||||||
| USD | 15,500,000 | 12/18/43 | 3-Month USD-LIBOR-BBA |
Fixed 3.500% | 660,123 | 590,025 | 1,250,148 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 2,122,329 | 2,344,813 | 4,467,142 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| BRL | Brazilian Real |
| EUR | Euro |
| MXN | Mexican Peso |
| USD | U.S. Dollar |
| * | Collateral for swap agreements held by Barclays Bank PLC, Citigroup Global Markets, Inc., Credit Suisse International, Morgan Stanley & Co., and UBS AG amounted to $717,000, $313,000, $707,000, $736,000 and $103,000 in cash, respectively, at December 31, 2013; and collateral for swap agreements held by JPMorgan Chase Bank and Royal Bank of Scotland PLC amounted to $635,221 and $269,119 in securities, respectively, at December 31, 2013. |
| ** | Rating is determined by Pacific Investment Management Company LLC and represents a weighted average rating of all securities in the underlying index for credit default swaps. The source of the ratings for the underlying securities are Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, and/or Fitch Ratings. All ratings are as of the report date and do not reflect subsequent changes. |
194
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| *** | For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Pacific Investment Management Company LLC’s rating category. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection. |
| † | Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index. |
Options and Rights
A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.
Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
Writing put and call options. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
Purchasing put options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find
195
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Notes to Financial Statements (Continued)
it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
The Fund(s) listed in the following table had open written option contracts at December 31, 2013. A Fund’s current exposure to a counterparty is the fair value of the contract.
| OTC |
Units | Expiration Date |
Description |
Premiums Received |
Value | |||||||||||
| Managed Volatility Fund | ||||||||||||||||
| 136 | 1/03/14 | S&P 500 Index Call, Strike 1,780.00 | $ | 258,060 | $ | 871,760 | ||||||||||
| 136 | 1/10/14 | S&P 500 Index Call, Strike 1,810.00 | 232,810 | 532,440 | ||||||||||||
| 138 | 1/18/14 | S&P 500 Index Call, Strike 1,775.00 | 413,653 | 1,080,540 | ||||||||||||
| 119 | 1/18/14 | S&P 500 Index Call, Strike 1,790.00 | 326,953 | 744,940 | ||||||||||||
| 146 | 1/18/14 | S&P 500 Index Call, Strike 1,800.00 | 364,635 | 807,380 | ||||||||||||
| 137 | 1/18/14 | S&P 500 Index Call, Strike 1,810.00 | 328,458 | 590,470 | ||||||||||||
| 157 | 2/22/14 | S&P 500 Index Call, Strike 1,800.00 | 674,708 | 926,300 | ||||||||||||
| 118 | 2/22/14 | S&P 500 Index Call, Strike 1,810.00 | 365,505 | 645,460 | ||||||||||||
| 153 | 2/22/14 | S&P 500 Index Call, Strike 1,840.00 | 473,918 | 544,680 | ||||||||||||
|
|
|
|
|
|||||||||||||
| $ | 3,438,700 | $ | 6,743,970 | |||||||||||||
|
|
|
|
|
|||||||||||||
196
Table of Contents
Notes to Financial Statements (Continued)
| OTC |
Units | Expiration Date |
Description |
Premiums Received |
Value | |||||||||||||
| PIMCO Total Return Fund | ||||||||||||||||||
| 34 | 3/14/14 | Eurodollar Futures Put, Strike 97.38 | $ | 11,943 | $ | 17,000 | ||||||||||||
| Barclays Bank PLC | 1,400,000 | 3/12/14 | Interest Rate Swaption EUR 1 Year Call, Strike 0.40 | 2,706 | 769 | |||||||||||||
| Barclays Bank PLC | 1,400,000 | 3/12/14 | Interest Rate Swaption EUR 1 Year Put, Strike 0.40 | 3,067 | 1,915 | |||||||||||||
| Goldman Sachs Bank USA | 14,500,000 | 1/27/14 | Interest Rate Swaption USD 5 Year Call, Strike 1.40 | 24,340 | 253 | |||||||||||||
| Goldman Sachs Bank USA | 14,500,000 | 1/27/14 | Interest Rate Swaption USD 5 Year Put, Strike 2.00 | 95,740 | 18,693 | |||||||||||||
| Goldman Sachs Bank USA | 1,400,000 | 3/12/14 | Interest Rate Swaption EUR 1 Year Call, Strike 0.40 | 2,887 | 769 | |||||||||||||
| Goldman Sachs Bank USA | 1,400,000 | 3/12/14 | Interest Rate Swaption EUR 1 Year Put, Strike 0.40 | 2,887 | 1,915 | |||||||||||||
| Goldman Sachs Bank USA | 7,100,000 | 3/31/14 | Interest Rate Swaption USD 1 Year Put, Strike 2.00 | 7,748 | 13,031 | |||||||||||||
| JP Morgan Chase Bank N.A. | 20,100,000 | 3/03/14 | Interest Rate Swaption USD 5 Year Call, Strike 1.40 | 14,070 | 3,192 | |||||||||||||
| JP Morgan Chase Bank N.A. | 20,100,000 | 3/03/14 | Interest Rate Swaption USD 5 Year Put, Strike 1.80 | 108,540 | 180,369 | |||||||||||||
| JP Morgan Chase Bank N.A. | 600,000 | 3/19/14 | CDX.NA.IG.21 5 Year Index USD Call, Strike 0.60 | 240 | 567 | |||||||||||||
| JP Morgan Chase Bank N.A. | 600,000 | 3/19/14 | CDX.NA.IG.21 5 Year Index USD Put, Strike 0.90 | 990 | 267 | |||||||||||||
| Royal Bank of Scotland PLC | 400,000 | 1/27/14 | Interest Rate Swaption USD 10 Year Call, Strike 2.50 | 2,400 | 1 | |||||||||||||
| Royal Bank of Scotland PLC | 400,000 | 1/27/14 | Interest Rate Swaption USD 10 Year Put, Strike 3.50 | 3,180 | 104 | |||||||||||||
| Royal Bank of Scotland PLC | 1,800,000 | 3/03/14 | Interest Rate Swaption USD 10 Year Call, Strike 2.50 | 6,570 | 156 | |||||||||||||
|
|
|
|
|
|||||||||||||||
| $ | 287,308 | $ | 239,001 | |||||||||||||||
|
|
|
|
|
|||||||||||||||
| EUR | Euro |
| USD | United States Dollar |
Transactions in written option contracts during the year ended December 31, 2013, were as follows:
| Number of Contracts |
Premiums Received |
|||||||
| Managed Volatility Fund | ||||||||
| Options outstanding at December 31, 2012 |
- | $ | - | |||||
| Options written |
10,301 | 33,583,653 | ||||||
| Options terminated in closing purchase transactions |
(9,061 | ) | (30,144,953 | ) | ||||
|
|
|
|
|
|||||
| Options outstanding at December 31, 2013 |
1,240 | $ | 3,438,700 | |||||
|
|
|
|
|
|||||
| PIMCO Total Return Fund |
||||||||
| Options outstanding at December 31, 2012 |
5,000,000 | $ | 44,133 | |||||
| Options written |
169,500,116 | 591,274 | ||||||
| Options terminated in closing purchase transactions |
(3,400,000 | ) | (18,400 | ) | ||||
| Options expired |
(71,600,042 | ) | (264,675 | ) | ||||
| Options exercised |
(13,800,040 | ) | (65,024 | ) | ||||
|
|
|
|
|
|||||
| Options outstanding at December 31, 2013 |
85,700,034 | $ | 287,308 | |||||
|
|
|
|
|
|||||
Inflation-Indexed Bonds
The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.
If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a
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Notes to Financial Statements (Continued)
guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.
The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.
Bank Loans
Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
At December 31, 2013, the Funds had no unfunded loan commitments.
Repurchase Agreements
Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.
Reverse Repurchase Agreements and Treasury Rolls
Each Fund may enter into reverse repurchase agreements or Treasury rolls with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to
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Notes to Financial Statements (Continued)
repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty. Similarly, in a Treasury roll transaction, a Fund sells a Treasury security and simultaneously enters into an agreement to repurchase the security from the buyer at a later date, at the original sale price plus interest. The repurchase price is typically adjusted to provide the Fund the economic benefit of any interest that accrued on the Treasury security during the term of the transaction. The Fund may use the purchase price received by it to earn additional return during the term of the Treasury roll transaction.
Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.
Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse repurchase transactions, typically a Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.
Reverse repurchase agreements and Treasury rolls generally create investment leverage. If the counterparty in such a transaction files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.
A Fund accounts for a Treasury roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these Treasury roll transactions may be considered financing transactions, whereby the difference in the sales price and the future price is recorded as an adjustment to interest income.
The Fund(s) listed in the following table had reverse repurchase transactions during the year ended December 31, 2013:
| Description |
Value | |||
| PIMCO Total Return Fund |
||||
| Average balance outstanding |
$ | 1,530,884 | ||
| Maximum balance outstanding |
$ | 17,558,750 | ||
| Average interest rate |
0.00% | * | ||
| Weighted average maturity |
7 days | |||
| * | Amount was less than 0.005%. |
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Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase agreements.
The Fund(s) listed in the following table had Treasury roll transactions during the year ended December 31, 2013, which were accounted for as financing transactions:
| PIMCO Total Return Fund | ||||
| Average balance outstanding |
$ | 1,541,250 | ||
| Weighted average interest rate |
0.01% |
Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into Treasury roll transactions.
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
Dollar Roll Transactions
A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.
Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered
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financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
Each Fund may lend its securities to qualified brokers, under the terms of a master netting agreement. Securities lending cannot exceed 33% of the total assets of the Fund taken at current value.
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the borrower, as well as a share of the income earned on investment of the cash collateral received for the loan of securities. At December 31, 2013 the Fund(s) collateral was equal to or greater than 100% of the market value of the securities on loan.
The Funds employ an agent to implement their securities lending program and the agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or borrower, respectively. For the year ended December 31, 2013, the Fund(s) earned securities lending net income as follows:
| Securities Lending Gross Income |
Securities Lending Fees and Expenses |
Securities Lending Net Income |
||||||||||
| Foreign Fund |
$ | 547,500 | $ | 109,579 | $ | 437,921 | ||||||
| Global Fund |
80,481 | 16,113 | 64,368 | |||||||||
| Managed Volatility Fund |
9,885 | 1,994 | 7,891 | |||||||||
| Mid Cap Growth Fund |
159,456 | 32,012 | 127,444 | |||||||||
| Small Cap Growth Equity Fund |
449,545 | 90,234 | 359,311 | |||||||||
| Small Company Value Fund |
64,608 | 12,963 | 51,645 | |||||||||
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.
Foreign Currency Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds
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do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.
Foreign Securities
The Foreign Fund invests substantially all of its assets and the Global Fund invests a significant amount of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
| 3. | Management Fees and Other Transactions |
Investment Management Fees and Investment Subadvisers
Under agreements between MassMutual and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund’s average daily net assets, at the annual rates shown in following table.
MassMutual has also entered into investment subadvisory agreements for each Fund with the unaffiliated investment subadviser(s) shown in the following table. MassMutual pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets
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under management which include (1) the average daily net assets of the specified Fund which it manages, and, if applicable, (2) the average daily net assets of all other Funds or accounts of MassMutual or its affiliates for which the subadviser provides subadvisory services and which have substantially the same investment objective, policies and investment strategies.
The Funds’ subadvisory fees are paid by MassMutual out of the management fees.
| Fund |
Investment Management Fee |
Investment Subadviser(s) | ||
| Blue Chip Growth Fund* |
0.75% on the first $400 million; and | T. Rowe Price Associates, Inc. | ||
| 0.70% on any excess over $400 million | ||||
| Equity Income Fund* |
0.75% on the first $600 million; and | T. Rowe Price Associates, Inc. | ||
| 0.70% on any excess over $600 million | ||||
| Equity Index Fund |
0.10% on the first $750 million; and | Northern Trust Investments, Inc. | ||
| 0.08% on any excess over $750 million | ||||
| Focused Equity Fund* |
0.75% on the first $250 million; and | Harris Associates L.P. | ||
| 0.65% on any excess over $250 million | ||||
| Foreign Fund |
0.89% on the first $500 million; and | Templeton Investment Counsel, LLC | ||
| 0.85% on any excess over $500 million | ||||
| Fundamental Growth Fund* |
0.70% on the first $250 million; and | Wellington Management Company, LLP | ||
| 0.68% on any excess over $250 million | ||||
| Fundamental Value Fund* |
0.65% on the first $500 million; and | Wellington Management Company, LLP | ||
| 0.625% on any excess over $500 million | ||||
| Global Fund* |
0.60% on the first $600 million; and | Massachusetts Financial Services Company | ||
| 0.55% on any excess over $600 million | ||||
| Growth & Income Fund |
0.50% | Massachusetts Financial Services Company | ||
| Income & Growth Fund* |
0.65% on the first $600 million; and | BlackRock Investment Management, LLC | ||
| 0.60% on any excess over $600 million | ||||
| Large Cap Growth Fund* |
0.65% on the first $600 million; and | Rainier Investment Management, LLC | ||
| 0.60% on any excess over $600 million | ||||
| Managed Volatility Fund#** |
0.75% on the first $500 million; and | Gateway Investment Advisers, LLC | ||
| 0.70% on any excess over $500 million | ||||
| Mid Cap Growth Fund* |
0.77% on the first $600 million; and | T. Rowe Price Associates, Inc. | ||
| 0.75% on any excess over $600 million | ||||
| Mid Cap Value Fund* |
0.84% on the first $600 million; and 0.80% on any excess over $600 million |
American Century Investment Management, Inc. | ||
| PIMCO Total Return Fund* |
0.50% on the first $500 million; and 0.48% on any excess over $500 million |
Pacific Investment Management Company LLC | ||
| Small Cap Growth Equity Fund** |
1.04% on the first $200 million; and 1.00% on any excess over $200 million |
Waddell & Reed Investment Management Company; and Wellington Management Company, LLP | ||
| Small Company Value Fund* |
0.85% on the first $150 million; and | T. Rowe Price Associates, Inc. | ||
| 0.75% on any excess over $150 million | ||||
| Small/Mid Cap Value Fund |
0.75% | AllianceBernstein L.P. |
| # | Effective April 29, 2013, Gateway Investment Advisers, LLC replaced Davis Selected Advisers, L.P. as the investment subadviser for the Managed Volatility Fund. |
| * | Prior to June 1, 2013, the investment management fees were as follows: |
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| Fund |
Investment Management Fee |
Investment Subadviser(s) | ||
| Blue Chip Growth Fund |
0.75% on the first $600 million; and | |||
| 0.70% on any excess over $600 million | ||||
| Equity Income Fund |
0.75% on the first $750 million; | |||
| 0.725% on the next $250 million; and | ||||
| 0.70% on any excess over $1 billion | ||||
| Focused Equity Fund |
0.75% | |||
| Fundamental Growth Fund |
0.70% | |||
| Fundamental Value Fund |
0.65% on the first $1 billion; and | |||
| 0.625% on any excess over $1 billion | ||||
| Global Fund |
0.60% | |||
| Income & Growth Fund |
0.65% | |||
| Large Cap Growth Fund |
0.65% | |||
| Mid Cap Growth Fund |
0.77% | |||
| Mid Cap Value Fund |
0.84% | |||
| PIMCO Total Return Fund |
0.50% | |||
| Small Company Value Fund |
0.85% |
| ** | Prior to May 1, 2013, the investment management fees were as follows: |
| Managed Volatility Fund |
0.80% on the first $100 million; | |||
| 0.75% on the next $400 million; and | ||||
| 0.70% on any excess over $500 million | ||||
| Small Cap Growth Equity Fund |
1.075% on the first $200 million; | |||
| 1.05% on the next $200 million; | ||||
| 1.025% on the next $600 million; and | ||||
| 1.00% on any excess over $1 billion |
Administration Fees
For the Equity Index Fund, Focused Equity Fund, Fundamental Growth Fund, Fundamental Value Fund, Global Fund, PIMCO Total Return Fund, and Small Company Value Fund, under separate administrative and shareholder services agreements between the Funds and MassMutual, MassMutual provides certain administrative and shareholder services and bears some of the class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
| Class I | Class II | Class III | Service Class I | |||||||||
| Equity Index Fund |
0.30% on the first $100 million; 0.28% on the next $150 million; and 0.26% on any excess over $250 million |
0.19% | 0.05% | 0.30% on the first $100 million; 0.28% on the next $150 million; and 0.26% on any excess over $250 million | ||||||||
| Focused Equity Fund |
None | 0.10% | None | 0.10% | ||||||||
| Fundamental Growth Fund |
None | 0.10% | None | 0.10% | ||||||||
| Fundamental Value Fund |
None | 0.10% | None | 0.10% | ||||||||
| Global Fund |
0.28% | 0.18% | None | 0.28% | ||||||||
| PIMCO Total Return Fund |
None | 0.10% | None | 0.10% | ||||||||
| Small Company Value Fund |
None | 0.25% | None | 0.25% | ||||||||
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Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders.
Expense Caps and Waivers
MassMutual agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:
| Class I | Class II | Class III | Service Class I | |||||||||||||
| Equity Index Fund *^ |
0.05% | 0.05% | 0.05% | 0.05% | ||||||||||||
| Focused Equity Fund* |
None | 0.90% | None | 1.15% | ||||||||||||
| Fundamental Growth Fund** |
None | 0.85% | None | 1.10% | ||||||||||||
| Fundamental Value Fund* |
None | 0.80% | None | 1.05% | ||||||||||||
| Global Fund** |
0.90% | 0.80% | None | 1.15% | ||||||||||||
| PIMCO Total Return Fund** |
None | 0.65% | None | 0.90% | ||||||||||||
| Small Company Value Fund** |
None | 1.15% | None | 1.40% | ||||||||||||
| # | Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
| * | Expense caps in effect through April 30, 2013. |
| ** | Expense caps in effect through April 30, 2014. |
| ^ | Expense cap also excludes the management, Rule 12b-1 and administrative fees, taxes and brokerage commissions. |
MassMutual has agreed to waive, through April 30, 2014, 0.05% of the administrative and shareholder service fee for Class II and Class III shares of the Equity Index Fund. For the period January 1, 2013 through April 30, 2013, MassMutual had agreed to voluntarily waive 0.035% of the management fee for the Small Cap Growth Equity Fund.
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Rebated Brokerage Commissions
The Funds listed below have entered into agreements with certain brokers whereby the brokers will rebate to the Funds, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Funds and are included with realized gain or loss on investment transactions presented in the Statements of Operations. For the year ended December 31, 2013, brokerage commissions rebated under these agreements were as follows:
| Rebated Commissions |
||||
| Foreign Fund |
$ | 7,815 | ||
| Fundamental Growth Fund |
20 | |||
| Fundamental Value Fund |
246 | |||
| Growth & Income Fund |
1,504 | |||
| Large Cap Growth Fund |
3,709 | |||
| Managed Volatility Fund |
5,483 | |||
| Small Cap Growth Equity Fund |
77,062 | |||
| Small/Mid Cap Value Fund |
49,257 | |||
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Deferred Compensation
Trustees of the Funds who are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.
| 4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2013, were as follows:
| Purchases | Sales | |||||||||||||||
| Long-Term U.S. Government Securities |
Other Long-Term Securities |
Long-Term U.S. Government Securities |
Other Long-Term Securities |
|||||||||||||
| Blue Chip Growth Fund |
$ | - | $ | 133,664,216 | $ | - | $ | 151,850,949 | ||||||||
| Equity Income Fund |
- | 80,674,928 | - | 126,460,175 | ||||||||||||
| Equity Index Fund |
- | 15,564,429 | - | 15,308,799 | ||||||||||||
| Focused Equity Fund |
- | 39,570,644 | - | 57,754,680 | ||||||||||||
| Foreign Fund |
- | 75,754,731 | - | 91,499,196 | ||||||||||||
| Fundamental Growth Fund |
- | 133,659,985 | - | 127,055,321 | ||||||||||||
| Fundamental Value Fund |
- | 44,750,686 | - | 49,485,221 | ||||||||||||
| Global Fund |
- | 17,087,293 | - | 31,351,998 | ||||||||||||
| Growth & Income Fund |
- | 26,229,071 | - | 44,842,643 | ||||||||||||
| Income & Growth Fund |
- | 51,262,562 | - | 31,002,888 | ||||||||||||
| Large Cap Growth Fund |
- | 206,600,230 | - | 209,334,902 | ||||||||||||
| Managed Volatility Fund |
- | 207,918,820 | - | 239,952,331 | ||||||||||||
| Mid Cap Growth Fund |
- | 99,521,698 | - | 173,451,271 | ||||||||||||
| Mid Cap Value Fund |
- | 340,748,171 | - | 426,998,160 | ||||||||||||
| PIMCO Total Return Fund |
2,580,845,587 | 75,380,250 | 2,459,232,892 | 88,683,580 | ||||||||||||
| Small Cap Growth Equity Fund |
- | 241,304,208 | - | 330,630,457 | ||||||||||||
| Small Company Value Fund |
- | 15,123,652 | - | 62,723,277 | ||||||||||||
| Small/Mid Cap Value Fund |
- | 162,409,197 | - | 136,206,229 | ||||||||||||
| 5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Blue Chip Growth Fund Initial Class |
||||||||||||||||
| Sold |
2,979,857 | $ | 45,030,707 | 3,038,667 | $ | 39,781,954 | ||||||||||
| Issued as reinvestment of dividends |
2,308,364 | 33,101,944 | 20,086 | 267,550 | ||||||||||||
| Redeemed |
(4,322,346 | ) | (66,983,586 | ) | (7,612,426 | ) | (98,244,626 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
965,875 | $ | 11,149,065 | (4,553,673 | ) | $ | (58,195,122 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Blue Chip Growth Fund Service Class |
||||||||||||||||
| Sold |
329,288 | $ | 5,070,926 | 431,924 | $ | 5,601,619 | ||||||||||
| Issued as reinvestment of dividends |
115,905 | 1,645,848 | - | - | ||||||||||||
| Redeemed |
(202,983 | ) | (3,156,440 | ) | (154,393 | ) | (2,007,236 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
242,210 | $ | 3,560,334 | 277,531 | $ | 3,594,383 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Income Fund Initial Class |
||||||||||||||||
| Sold |
2,973,549 | $ | 36,220,517 | 2,970,596 | $ | 30,007,399 | ||||||||||
| Issued as reinvestment of dividends |
812,929 | 9,755,151 | 969,050 | 9,826,163 | ||||||||||||
| Redeemed |
(7,676,697 | ) | (93,310,271 | ) | (14,351,877 | ) | (143,251,167 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(3,890,219 | ) | $ | (47,334,603 | ) | (10,412,231 | ) | $ | (103,417,605 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Income Fund Service Class |
||||||||||||||||
| Sold |
749,752 | $ | 9,175,332 | 656,313 | $ | 6,605,555 | ||||||||||
| Issued as reinvestment of dividends |
69,104 | 824,404 | 68,266 | 688,805 | ||||||||||||
| Redeemed |
(488,268 | ) | (6,047,031 | ) | (350,743 | ) | (3,480,741 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
330,588 | $ | 3,952,705 | 373,836 | $ | 3,813,619 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Index Fund Class I |
||||||||||||||||
| Sold |
249,675 | $ | 5,212,089 | 286,277 | $ | 4,963,876 | ||||||||||
| Issued as reinvestment of dividends |
80,886 | 1,641,989 | 68,635 | 1,206,610 | ||||||||||||
| Redeemed |
(736,317 | ) | (15,390,477 | ) | (700,301 | ) | (12,140,754 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(405,756 | ) | $ | (8,536,399 | ) | (345,389 | ) | $ | (5,970,268 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Index Fund Class II |
||||||||||||||||
| Sold |
608,724 | $ | 12,546,414 | 432,504 | $ | 7,519,183 | ||||||||||
| Issued as reinvestment of dividends |
119,751 | 2,434,532 | 104,021 | 1,830,763 | ||||||||||||
| Redeemed |
(742,961 | ) | (15,334,737 | ) | (1,151,450 | ) | (19,975,060 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(14,486 | ) | $ | (353,791 | ) | (614,925 | ) | $ | (10,625,114 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Index Fund Class III |
||||||||||||||||
| Sold |
689 | $ | 12,995 | 30,235 | $ | 535,573 | ||||||||||
| Issued as reinvestment of dividends |
145,580 | 2,955,284 | 122,702 | 2,157,110 | ||||||||||||
| Redeemed |
(85,934 | ) | (1,764,774 | ) | (283,465 | ) | (4,966,395 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
60,335 | $ | 1,203,505 | (130,528 | ) | $ | (2,273,712 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Equity Index Fund Service Class I |
||||||||||||||||
| Sold |
445,313 | $ | 9,134,510 | 240,445 | $ | 4,126,995 | ||||||||||
| Issued as reinvestment of dividends |
16,101 | 321,052 | 7,518 | 130,207 | ||||||||||||
| Redeemed |
(98,045 | ) | (2,046,624 | ) | (68,723 | ) | (1,168,162 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
363,369 | $ | 7,408,938 | 179,240 | $ | 3,089,040 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Focused Equity Fund Class II |
||||||||||||||||
| Sold |
1,001,699 | $ | 13,848,143 | 12,300,977 | $ | 135,851,304 | ||||||||||
| Issued as reinvestment of dividends |
149,907 | 2,056,722 | 594,593 | 6,825,934 | ||||||||||||
| Redeemed |
(2,355,714 | ) | (32,239,566 | ) | (12,051,004 | ) | (133,195,866 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(1,204,108 | ) | $ | (16,334,701 | ) | 844,566 | $ | 9,481,372 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Focused Equity Fund Service Class I* |
||||||||||||||||
| Sold |
285,477 | $ | 3,996,240 | 75,330 | $ | 843,504 | ||||||||||
| Issued as reinvestment of dividends |
2,936 | 40,162 | 3,530 | 40,487 | ||||||||||||
| Redeemed |
(41,345 | ) | (588,030 | ) | (7,616 | ) | (86,930 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
247,068 | $ | 3,448,372 | 71,244 | $ | 797,061 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
207
Table of Contents
Notes to Financial Statements (Continued)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Foreign Fund Initial Class |
||||||||||||||||
| Sold |
7,645,020 | $ | 75,728,569 | 5,361,549 | $ | 46,254,081 | ||||||||||
| Issued as reinvestment of dividends |
771,102 | 7,749,572 | 865,010 | 7,361,231 | ||||||||||||
| Redeemed |
(9,168,968 | ) | (94,813,278 | ) | (6,006,857 | ) | (52,826,074 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(752,846 | ) | $ | (11,335,137 | ) | 219,702 | $ | 789,238 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Fund Service Class |
||||||||||||||||
| Sold |
141,859 | $ | 1,458,470 | 130,716 | $ | 1,118,100 | ||||||||||
| Issued as reinvestment of dividends |
12,590 | 126,024 | 14,842 | 125,859 | ||||||||||||
| Redeemed |
(123,150 | ) | (1,253,713 | ) | (122,294 | ) | (1,073,653 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
31,299 | $ | 330,781 | 23,264 | $ | 170,306 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Fundamental Growth Fund Class II |
||||||||||||||||
| Sold |
2,304,314 | $ | 28,004,999 | 17,301,697 | $ | 192,143,061 | ||||||||||
| Issued as reinvestment of dividends |
14,076 | 176,790 | 462,370 | 5,132,313 | ||||||||||||
| Redeemed |
(2,378,323 | ) | (30,224,975 | ) | (16,326,622 | ) | (181,166,937 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(59,933 | ) | $ | (2,043,186 | ) | 1,437,445 | $ | 16,108,437 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Fundamental Growth Fund Service Class I* |
||||||||||||||||
| Sold |
56,655 | $ | 727,997 | 49,338 | $ | 548,919 | ||||||||||
| Issued as reinvestment of dividends |
61 | 766 | 1,318 | 14,599 | ||||||||||||
| Redeemed |
(10,165 | ) | (129,833 | ) | (3,273 | ) | (36,732 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
46,551 | $ | 598,930 | 47,383 | $ | 526,786 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Fundamental Value Fund Class II |
||||||||||||||||
| Sold |
1,855,648 | $ | 26,469,510 | 1,822,064 | $ | 21,820,832 | ||||||||||
| Issued as reinvestment of dividends |
757,703 | 10,524,496 | 239,576 | 2,874,916 | ||||||||||||
| Redeemed |
(2,390,350 | ) | (34,085,595 | ) | (3,028,092 | ) | (36,090,352 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
223,001 | $ | 2,908,411 | (966,452 | ) | $ | (11,394,604 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Fundamental Value Fund Service Class I* |
||||||||||||||||
| Sold |
154,904 | $ | 2,224,375 | 32,686 | $ | 397,064 | ||||||||||
| Issued as reinvestment of dividends |
4,759 | 65,812 | 244 | 2,923 | ||||||||||||
| Redeemed |
(17,996 | ) | (260,341 | ) | (2,260 | ) | (27,590 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
141,667 | $ | 2,029,846 | 30,670 | $ | 372,397 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Fund Class I |
||||||||||||||||
| Sold |
1,512,491 | $ | 16,923,784 | 2,845,061 | $ | 25,222,955 | ||||||||||
| Issued as reinvestment of dividends |
144,101 | 1,585,115 | 133,160 | 1,205,096 | ||||||||||||
| Redeemed |
(3,026,135 | ) | (33,251,677 | ) | (1,117,187 | ) | (10,047,254 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(1,369,543 | ) | $ | (14,742,778 | ) | 1,861,034 | $ | 16,380,797 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Fund Class II |
||||||||||||||||
| Sold |
63,809 | $ | 705,506 | 84,572 | $ | 763,261 | ||||||||||
| Issued as reinvestment of dividends |
18,340 | 204,676 | 17,697 | 162,460 | ||||||||||||
| Redeemed |
(241,585 | ) | (2,726,325 | ) | (335,760 | ) | (3,053,433 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(159,436 | ) | $ | (1,816,143 | ) | (233,491 | ) | $ | (2,127,712 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Fund Service Class I |
||||||||||||||||
| Sold |
211,987 | $ | 2,349,871 | 155,998 | $ | 1,389,887 | ||||||||||
| Issued as reinvestment of dividends |
5,244 | 57,420 | 3,168 | 28,603 | ||||||||||||
| Redeemed |
(58,268 | ) | (661,471 | ) | (71,560 | ) | (652,697 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
158,963 | $ | 1,745,820 | 87,606 | $ | 765,793 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
208
Table of Contents
Notes to Financial Statements (Continued)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Growth & Income Fund Initial Class |
||||||||||||||||
| Sold |
211,388 | $ | 2,236,793 | 299,018 | $ | 2,605,004 | ||||||||||
| Issued as reinvestment of dividends |
153,804 | 1,618,014 | 165,219 | 1,472,103 | ||||||||||||
| Redeemed |
(2,245,704 | ) | (23,875,748 | ) | (2,827,748 | ) | (24,711,106 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(1,880,512 | ) | $ | (20,020,941 | ) | (2,363,511 | ) | $ | (20,633,999 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Growth & Income Fund Service Class |
||||||||||||||||
| Sold |
263,986 | $ | 2,811,623 | 167,055 | $ | 1,455,084 | ||||||||||
| Issued as reinvestment of dividends |
16,566 | 173,449 | 13,663 | 121,326 | ||||||||||||
| Redeemed |
(200,800 | ) | (2,195,624 | ) | (128,750 | ) | (1,112,016 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
79,752 | $ | 789,448 | 51,968 | $ | 464,394 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income & Growth Fund Initial Class |
||||||||||||||||
| Sold |
3,855,991 | $ | 40,095,618 | 9,803,508 | $ | 88,820,522 | ||||||||||
| Issued as reinvestment of dividends |
362,805 | 3,744,150 | 191,232 | 1,768,900 | ||||||||||||
| Redeemed |
(2,614,169 | ) | (27,919,563 | ) | (2,269,354 | ) | (20,808,243 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
1,604,627 | $ | 15,920,205 | 7,725,386 | $ | 69,781,179 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Income & Growth Fund Service Class |
||||||||||||||||
| Sold |
230,965 | $ | 2,429,862 | 302,779 | $ | 2,749,232 | ||||||||||
| Issued as reinvestment of dividends |
21,551 | 220,892 | 10,579 | 97,325 | ||||||||||||
| Redeemed |
(167,322 | ) | (1,787,477 | ) | (109,956 | ) | (1,002,238 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
85,194 | $ | 863,277 | 203,402 | $ | 1,844,319 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Large Cap Growth Fund Initial Class |
||||||||||||||||
| Sold |
1,922,393 | $ | 24,625,529 | 2,370,695 | $ | 26,659,276 | ||||||||||
| Issued as reinvestment of dividends |
1,069,312 | 13,163,226 | 10,790 | 123,758 | ||||||||||||
| Redeemed |
(2,369,969 | ) | (30,896,667 | ) | (3,408,441 | ) | (38,617,738 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
621,736 | $ | 6,892,088 | (1,026,956 | ) | $ | (11,834,704 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Large Cap Growth Fund Service Class |
||||||||||||||||
| Sold |
24,497 | $ | 313,611 | 25,252 | $ | 280,192 | ||||||||||
| Issued as reinvestment of dividends |
7,013 | 85,693 | - | - | ||||||||||||
| Redeemed |
(28,906 | ) | (373,423 | ) | (18,207 | ) | (206,226 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
2,604 | $ | 25,881 | 7,045 | $ | 73,966 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Managed Volatility Fund Initial Class |
||||||||||||||||
| Sold |
904,381 | $ | 12,605,824 | 563,444 | $ | 6,745,377 | ||||||||||
| Issued as reinvestment of dividends |
199,355 | 2,720,569 | 114,553 | 1,366,218 | ||||||||||||
| Redeemed |
(2,583,773 | ) | (35,421,412 | ) | (2,626,400 | ) | (30,978,092 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(1,480,037 | ) | $ | (20,095,019 | ) | (1,948,403 | ) | $ | (22,866,497 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Managed Volatility Fund Service Class |
||||||||||||||||
| Sold |
364,132 | $ | 4,966,598 | 350,206 | $ | 4,137,537 | ||||||||||
| Issued as reinvestment of dividends |
23,615 | 320,704 | 9,135 | 108,476 | ||||||||||||
| Redeemed |
(239,620 | ) | (3,288,832 | ) | (206,634 | ) | (2,432,514 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
148,127 | $ | 1,998,470 | 152,707 | $ | 1,813,499 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mid Cap Growth Fund Initial Class |
||||||||||||||||
| Sold |
1,615,347 | $ | 23,563,381 | 2,635,901 | $ | 34,261,340 | ||||||||||
| Issued as reinvestment of dividends |
1,609,545 | 23,547,645 | 1,500,658 | 18,818,251 | ||||||||||||
| Redeemed |
(6,338,515 | ) | (96,330,897 | ) | (3,933,400 | ) | (51,094,474 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(3,113,623 | ) | $ | (49,219,871 | ) | 203,159 | $ | 1,985,117 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
209
Table of Contents
Notes to Financial Statements (Continued)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Mid Cap Growth Fund Service Class |
||||||||||||||||
| Sold |
546,508 | $ | 8,145,873 | 413,025 | $ | 5,290,170 | ||||||||||
| Issued as reinvestment of dividends |
161,976 | 2,342,174 | 123,359 | 1,530,879 | ||||||||||||
| Redeemed |
(305,523 | ) | (4,650,780 | ) | (164,235 | ) | (2,124,397 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
402,961 | $ | 5,837,267 | 372,149 | $ | 4,696,652 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mid Cap Value Fund Initial Class |
||||||||||||||||
| Sold |
1,765,860 | $ | 22,113,742 | 2,713,077 | $ | 29,448,878 | ||||||||||
| Issued as reinvestment of dividends |
2,176,334 | 26,616,565 | 2,599,065 | 27,368,158 | ||||||||||||
| Redeemed |
(9,104,383 | ) | (116,040,542 | ) | (5,987,540 | ) | (64,711,832 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(5,162,189 | ) | $ | (67,310,235 | ) | (675,398 | ) | $ | (7,894,796 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Mid Cap Value Fund Service Class |
||||||||||||||||
| Sold |
348,175 | $ | 4,398,857 | 257,324 | $ | 2,771,129 | ||||||||||
| Issued as reinvestment of dividends |
95,120 | 1,155,712 | 89,089 | 932,766 | ||||||||||||
| Redeemed |
(191,491 | ) | (2,459,050 | ) | (157,318 | ) | (1,689,009 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
251,804 | $ | 3,095,519 | 189,095 | $ | 2,014,886 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| PIMCO Total Return Fund Class II |
||||||||||||||||
| Sold |
12,126,211 | $ | 129,091,697 | 7,303,849 | $ | 76,908,792 | ||||||||||
| Issued as reinvestment of dividends |
1,042,654 | 10,624,649 | 515,502 | 5,464,322 | ||||||||||||
| Redeemed |
(2,731,246 | ) | (28,905,108 | ) | (1,853,083 | ) | (19,605,711 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
10,437,619 | $ | 110,811,238 | 5,966,268 | $ | 62,767,403 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| PIMCO Total Return Fund Service Class I* |
||||||||||||||||
| Sold |
800,946 | $ | 8,491,372 | 582,570 | $ | 6,231,995 | ||||||||||
| Issued as reinvestment of dividends |
26,527 | 269,253 | 3,392 | 35,888 | ||||||||||||
| Redeemed |
(250,051 | ) | (2,635,762 | ) | (54,854 | ) | (588,204 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
577,422 | $ | 6,124,863 | 531,108 | $ | 5,679,679 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Cap Growth Equity Fund Initial Class |
||||||||||||||||
| Sold |
922,288 | $ | 17,708,296 | 1,156,458 | $ | 19,523,695 | ||||||||||
| Issued as reinvestment of dividends |
834,338 | 16,238,406 | 1,650,316 | 26,329,349 | ||||||||||||
| Redeemed |
(5,548,545 | ) | (111,812,112 | ) | (2,636,771 | ) | (45,358,431 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(3,791,919 | ) | $ | (77,865,410 | ) | 170,003 | $ | 494,613 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Cap Growth Equity Fund Service Class |
||||||||||||||||
| Sold |
55,221 | $ | 1,103,212 | 50,726 | $ | 858,613 | ||||||||||
| Issued as reinvestment of dividends |
21,373 | 409,665 | 37,745 | 595,062 | ||||||||||||
| Redeemed |
(88,545 | ) | (1,770,420 | ) | (47,663 | ) | (804,678 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(11,951 | ) | $ | (257,543 | ) | 40,808 | $ | 648,997 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Company Value Fund Class II |
||||||||||||||||
| Sold |
665,816 | $ | 14,342,007 | 722,798 | $ | 13,012,293 | ||||||||||
| Issued as reinvestment of dividends |
229,951 | 4,785,284 | 164,027 | 2,875,384 | ||||||||||||
| Redeemed |
(2,856,390 | ) | (63,723,072 | ) | (924,862 | ) | (16,746,882 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(1,960,623 | ) | $ | (44,595,781 | ) | (38,037 | ) | $ | (859,205 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Company Value Fund Service Class I |
||||||||||||||||
| Sold |
115,783 | $ | 2,478,790 | 141,751 | $ | 2,490,797 | ||||||||||
| Issued as reinvestment of dividends |
14,959 | 308,306 | 9,339 | 162,411 | ||||||||||||
| Redeemed |
(49,742 | ) | (1,070,710 | ) | (47,409 | ) | (839,658 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
81,000 | $ | 1,716,386 | 103,681 | $ | 1,813,550 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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Notes to Financial Statements (Continued)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Small/Mid Cap Value Fund Initial Class |
||||||||||||||||
| Sold |
5,365,757 | $ | 70,569,273 | 661,493 | $ | 6,151,513 | ||||||||||
| Issued as reinvestment of dividends |
105,068 | 1,269,216 | 127,371 | 1,197,285 | ||||||||||||
| Redeemed |
(3,552,655 | ) | (42,711,365 | ) | (4,164,313 | ) | (38,927,712 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
1,918,170 | $ | 29,127,124 | (3,375,449 | ) | $ | (31,578,914 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small/Mid Cap Value Fund Service Class |
||||||||||||||||
| Sold |
172,248 | $ | 2,127,068 | 152,305 | $ | 1,411,804 | ||||||||||
| Issued as reinvestment of dividends |
4,918 | 59,171 | 4,425 | 41,422 | ||||||||||||
| Redeemed |
(120,212 | ) | (1,483,223 | ) | (120,770 | ) | (1,133,655 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
56,954 | $ | 703,016 | 35,960 | $ | 319,571 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Service Class I shares commenced operations on May 1, 2012. |
| 6. | Federal Income Tax Information |
At December 31, 2013, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:
| Federal Income Tax Cost |
Tax Basis Unrealized Appreciation |
Tax Basis Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| Blue Chip Growth Fund |
$ | 273,581,736 | $ | 182,195,273 | $ | (218,955 | ) | $ | 181,976,318 | |||||||
| Equity Income Fund |
435,029,298 | 190,586,068 | (8,764,651 | ) | 181,821,417 | |||||||||||
| Equity Index Fund |
253,631,081 | 167,135,985 | (9,088,769 | ) | 158,047,216 | |||||||||||
| Focused Equity Fund |
123,065,992 | 48,567,494 | - | 48,567,494 | ||||||||||||
| Foreign Fund |
366,013,732 | 86,666,499 | (16,493,765 | ) | 70,172,734 | |||||||||||
| Fundamental Growth Fund |
181,469,159 | 58,467,230 | (731,067 | ) | 57,736,163 | |||||||||||
| Fundamental Value Fund |
171,310,749 | 66,277,086 | (826,647 | ) | 65,450,439 | |||||||||||
| Global Fund |
113,630,832 | 64,614,619 | (1,194,215 | ) | 63,420,404 | |||||||||||
| Growth & Income Fund |
99,241,658 | 47,908,662 | (219,031 | ) | 47,689,631 | |||||||||||
| Income & Growth Fund |
179,070,262 | 64,840,272 | (1,144,437 | ) | 63,695,835 | |||||||||||
| Large Cap Growth Fund |
206,365,232 | 64,046,096 | (910,376 | ) | 63,135,720 | |||||||||||
| Managed Volatility Fund |
196,509,455 | 41,384,467 | (3,353,824 | ) | 38,030,643 | |||||||||||
| Mid Cap Growth Fund |
281,569,409 | 150,864,306 | (3,382,775 | ) | 147,481,531 | |||||||||||
| Mid Cap Value Fund |
432,925,800 | 66,567,132 | (5,690,279 | ) | 60,876,853 | |||||||||||
| PIMCO Total Return Fund |
553,785,877 | 5,275,641 | (7,051,084 | ) | (1,775,442 | ) | ||||||||||
| Small Cap Growth Equity Fund |
234,917,502 | 75,034,143 | (2,984,652 | ) | 72,049,491 | |||||||||||
| Small Company Value Fund |
68,977,949 | 42,536,018 | (1,059,526 | ) | 41,476,492 | |||||||||||
| Small/Mid Cap Value Fund |
225,905,903 | 50,596,265 | (2,782,217 | ) | 47,814,048 | |||||||||||
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.
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Notes to Financial Statements (Continued)
At December 31, 2013, the following Fund(s) had available, for federal income tax purposes, pre-enactment unused capital losses:
| Expiring 2016 |
Expiring 2017 |
Expiring 2018 |
||||||||||
| Blue Chip Growth Fund |
$ | 1,846,053 | $ | - | $ | - | ||||||
| Foreign Fund |
- | 20,915,928 | 4,482,917 | |||||||||
| Growth & Income Fund |
15,494,350 | 33,125,485 | - | |||||||||
| Income & Growth Fund |
- | 1,740,783 | - | |||||||||
At December 31, 2013, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
| Short Term Capital Loss Carryforward |
Long Term Capital Loss Carryforward |
|||||||
| Foreign Fund |
$ | - | $ | 877,774 | ||||
| PIMCO Total Return Fund |
4,448,543 | - | ||||||
Net capital loss carryforwards for the Funds shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2013, was as follows:
| Ordinary Income |
Long Term Capital Gain |
Return of Capital |
||||||||||
| Blue Chip Growth Fund |
$ | 831,258 | $ | 33,916,534 | $ | - | ||||||
| Equity Income Fund |
10,579,555 | - | - | |||||||||
| Equity Index Fund |
6,226,287 | 1,126,570 | - | |||||||||
| Focused Equity Fund |
2,096,884 | - | - | |||||||||
| Foreign Fund |
7,875,596 | - | - | |||||||||
| Fundamental Growth Fund |
- | 177,556 | - | |||||||||
| Fundamental Value Fund |
3,556,739 | 7,033,569 | - | |||||||||
| Global Fund |
1,847,211 | - | - | |||||||||
| Growth & Income Fund |
1,791,463 | - | - | |||||||||
| Income & Growth Fund |
3,965,042 | - | - | |||||||||
| Large Cap Growth Fund |
907,460 | 12,341,459 | - | |||||||||
| Managed Volatility Fund |
3,041,273 | - | - | |||||||||
| Mid Cap Growth Fund |
2,536,462 | 23,353,357 | - | |||||||||
| Mid Cap Value Fund |
22,373,019 | 5,399,258 | - | |||||||||
| PIMCO Total Return Fund |
10,551,217 | 342,685 | - | |||||||||
| Small Cap Growth Equity Fund |
- | 16,648,071 | - | |||||||||
| Small Company Value Fund |
1,559,604 | 3,533,986 | - | |||||||||
| Small/Mid Cap Value Fund |
1,328,387 | - | - | |||||||||
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Notes to Financial Statements (Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2012, was as follows:
| Ordinary Income |
Long Term Capital Gain |
Return of Capital |
||||||||||
| Blue Chip Growth Fund |
$ | 267,550 | $ | - | $ | - | ||||||
| Equity Income Fund |
10,514,968 | - | - | |||||||||
| Equity Index Fund |
5,324,691 | - | - | |||||||||
| Focused Equity Fund |
6,866,421 | - | - | |||||||||
| Foreign Fund |
7,478,090 | - | - | |||||||||
| Fundamental Growth Fund |
5,009,030 | 137,881 | - | |||||||||
| Fundamental Value Fund |
2,877,839 | - | - | |||||||||
| Global Fund |
1,396,159 | - | - | |||||||||
| Growth & Income Fund |
1,593,429 | - | - | |||||||||
| Income & Growth Fund |
1,866,225 | - | - | |||||||||
| Large Cap Growth Fund |
123,758 | - | - | |||||||||
| Managed Volatility Fund |
1,474,694 | - | - | |||||||||
| Mid Cap Growth Fund |
- | 20,349,130 | - | |||||||||
| Mid Cap Value Fund |
7,386,198 | 20,914,726 | - | |||||||||
| PIMCO Total Return Fund |
5,500,211 | - | - | |||||||||
| Small Cap Growth Equity Fund |
4,751,604 | 22,172,806 | - | |||||||||
| Small Company Value Fund |
12,933 | 3,024,862 | - | |||||||||
| Small/Mid Cap Value Fund |
1,238,707 | - | - | |||||||||
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2013:
| Amount | ||||
| Foreign Fund |
$ | 288,525 | ||
| Global Fund |
61,824 | |||
Capital accounts within financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2013, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.
At December 31, 2013, the components of distributable earnings on a tax basis were as follows:
| Undistributed Ordinary Income |
Undistributed Long Term Capital Gain (Capital Loss Carryover) |
Other Temporary Differences |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Blue Chip Growth Fund |
$ | 1,470,496 | $ | 38,289,367 | $ | (60,922 | ) | $ | 181,977,437 | |||||||
| Equity Income Fund |
9,229,860 | 12,009,266 | (107,576 | ) | 181,824,631 | |||||||||||
| Equity Index Fund |
7,566,123 | 4,538,698 | (155,541 | ) | 158,047,216 | |||||||||||
| Focused Equity Fund |
3,317,740 | 12,206,791 | (10,414 | ) | 48,567,494 | |||||||||||
| Foreign Fund |
7,813,728 | (26,276,619 | ) | (74,112 | ) | 70,212,625 | ||||||||||
| Fundamental Growth Fund |
3,055,937 | 12,225,449 | (14,420 | ) | 57,736,163 | |||||||||||
| Fundamental Value Fund |
3,528,868 | 9,506,241 | (18,285 | ) | 65,451,500 | |||||||||||
| Global Fund |
1,974,947 | 3,898,136 | (21,241 | ) | 63,401,886 | |||||||||||
213
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Notes to Financial Statements (Continued)
| Undistributed Ordinary Income |
Undistributed Long Term Capital Gain (Capital Loss Carryover) |
Other Temporary Differences |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Growth & Income Fund |
$ | 1,646,157 | $ | (48,619,835 | ) | $ | (43,196 | ) | $ | 47,689,949 | ||||||
| Income & Growth Fund |
4,500,957 | (1,740,783 | ) | (37,521 | ) | 63,695,849 | ||||||||||
| Large Cap Growth Fund |
12,002,665 | 18,768,922 | (29,267 | ) | 63,135,720 | |||||||||||
| Managed Volatility Fund |
2,606,575 | 18,713,195 | (74,189 | ) | 38,735,162 | |||||||||||
| Mid Cap Growth Fund |
4,579,003 | 49,302,845 | (73,989 | ) | 147,481,493 | |||||||||||
| Mid Cap Value Fund |
38,559,179 | 50,143,160 | (123,112 | ) | 60,876,623 | |||||||||||
| PIMCO Total Return Fund |
7,515,332 | (4,448,543 | ) | 19,088 | 378,770 | |||||||||||
| Small Cap Growth Equity Fund |
22,325,121 | 46,922,693 | (72,357 | ) | 72,049,492 | |||||||||||
| Small Company Value Fund |
283,099 | 27,218,146 | (12,022 | ) | 41,476,485 | |||||||||||
| Small/Mid Cap Value Fund |
1,510,219 | 5,517,002 | (45,421 | ) | 47,814,048 | |||||||||||
During the year ended December 31, 2013, the following amounts were reclassified due to permanent differences between book and tax accounting:
| Paid-in Capital |
Accumulated Net Realized Gain (Loss) on Investments |
Undistributed Net Investment Income (Loss) |
||||||||||
| Blue Chip Growth Fund |
$ | 25 | $ | (73,231 | ) | $ | 73,206 | |||||
| Equity Income Fund |
43 | 88,960 | (89,003 | ) | ||||||||
| Equity Index Fund |
54 | 41,459 | (41,513 | ) | ||||||||
| Focused Equity Fund |
6 | - | (6 | ) | ||||||||
| Foreign Fund |
29 | 177,659 | (177,688 | ) | ||||||||
| Fundamental Growth Fund |
8 | - | (8 | ) | ||||||||
| Fundamental Value Fund |
9 | 32,150 | (32,159 | ) | ||||||||
| Global Fund |
11 | (349,603 | ) | 349,592 | ||||||||
| Growth & Income Fund |
16 | 83,556 | (83,572 | ) | ||||||||
| Income & Growth Fund |
15 | (1,099 | ) | 1,084 | ||||||||
| Large Cap Growth Fund |
13 | 70,982 | (70,995 | ) | ||||||||
| Managed Volatility Fund |
27 | 34,893 | (34,920 | ) | ||||||||
| Mid Cap Growth Fund |
30 | (1,826,027 | ) | 1,825,997 | ||||||||
| Mid Cap Value Fund |
63 | (515,247 | ) | 515,184 | ||||||||
| PIMCO Total Return Fund |
(141,501 | ) | (3,023,926 | ) | 3,165,427 | |||||||
| Small Cap Growth Equity Fund |
(141,944 | ) | (1,104,928 | ) | 1,246,872 | |||||||
| Small Company Value Fund |
7 | (512,026 | ) | 512,019 | ||||||||
| Small/Mid Cap Value Fund |
18 | (36,529 | ) | 36,511 | ||||||||
The Funds did not have any unrecognized tax benefits at December 31, 2013, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2013, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
| 7. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into
214
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Notes to Financial Statements (Continued)
contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
| 8. | New Accounting Pronouncements |
On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.
| 9. | Legal Proceedings |
On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.
The potential amounts sought to be recovered from the Equity Income Fund and Equity Index Fund, plus interest and the Official Committee’s court costs, are approximately $4,562,800 and $207,706, respectively.
In addition, on June 2, 2011, the Equity Income Fund was named as a defendant in two closely related, parallel adversary proceedings brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), one in the United States District Court for the District of Massachusetts and one in the United States District Court for the District of Connecticut. The Plaintiffs also seek to recover payments of the Proceeds.
The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset values depending on the net assets of each applicable Fund at the time of such judgment or settlement.
| 10. | Subsequent Events |
In preparation of these financial statements management has evaluated the events and transactions subsequent to December 31, 2013, through the date when the financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.
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Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of MML Series Investment Fund and Shareholders of MML Blue Chip Growth Fund, MML Equity Income Fund, MML Equity Index Fund, MML Focused Equity Fund, MML Foreign Fund, MML Fundamental Growth Fund, MML Fundamental Value Fund, MML Global Fund, MML Growth & Income Fund, MML Income & Growth Fund, MML Large Cap Growth Fund, MML Managed Volatility Fund (formerly known as MML Large Cap Value Fund), MML Mid Cap Growth Fund, MML Mid Cap Value Fund, MML PIMCO Total Return Fund, MML Small Cap Growth Equity Fund, MML Small Company Value Fund, and MML Small/Mid Cap Value Fund (collectively, the “Funds”):
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 24, 2014
216
Table of Contents
Trustees and Officers (Unaudited)
The following table lists the Trust’s Trustees and Officers as of December 31, 2013; 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, 100 Bright Meadow Blvd., Enfield, Connecticut 06082, Attention: Retirement Services Marketing.
Disinterested Trustees
| Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
| Richard H. Ayers Age: 71 |
Chairman
Trustee |
Since 2010
Since 1999 |
Retired. | 92 | Director (2008-2011), Celera Corporation; Director (1996-2008), Applera Corporation; Chairman (since 2010), Trustee (since 1996), MassMutual Select Funds (open-end investment company); Chairman and Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairman and Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| Allan W. Blair Age: 65 |
Trustee | Since 2003 |
President and Chief Executive Officer (since 1996), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (since 1984), Westover Metropolitan Development Corporation. | 92 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| Nabil N. El-Hage Age: 55 |
Trustee | Since 2012 |
Consultant (since 2010); Chairman (since 2011), Academy of Executive Education, LLC; Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Professor of Management Practice (2005-2009), Harvard Business School. | 92 | Director (2007-2010), Virtual Radiologic Corporation; Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
| Maria D. Furman Age: 59 |
Trustee | Since 2012 |
Retired. | 92 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
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Table of Contents
Trustees and Officers (Unaudited) (Continued)
| Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships | |||||
| R. Alan Hunter, Jr. Age: 67 |
Trustee | Since 2003 |
Retired. | 92 | Director (since 2007), Actuant Corporation; Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| F. William Marshall, Jr. Age: 71 |
Trustee | Since 1996 |
Retired; Consultant (1999-2009). | 131*** | Trustee (since 2000), Denver Board – Oppenheimer Funds; Trustee (since 1996), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| C. Ann Merrifield Age: 62 |
Trustee | Since 2012 |
President and Chief Executive Officer (since 2012), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), President, Biosurgery (2003-2009), Genzyme Corporation. | 92 | Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
| Susan B. Sweeney Age: 61 |
Trustee | Since 2009 |
Senior Vice President and Chief Investment Officer (since 2010), Selective Insurance Group (property and casualty company); Senior Managing Director (2008-2010), Ironwood Capital (private equity firm). | 94^ | Trustee (since 2012), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2012), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
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Trustees and Officers (Unaudited) (Continued)
Interested Trustees
| Name, Address*, and Age |
Position(s) |
Term
of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships | |||||
| Robert E. Joyal^^ Age: 68 |
Trustee |
Since 2003 |
Retired. | 94^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (since 2006), Jefferies Group, Inc. (investment bank); Director (2007-2011), Scottish Re Group Ltd.; Director (2003-2010), Alabama Aircraft Industries, Inc.; Trustee (since 2003), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2003), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| Elaine A. Sarsynski^^^ Age: 58 |
Trustee | Since 2008 |
Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2006), MassMutual International LLC. | 92 | Director (since 2012), Horizon Technology Finance Management LLC; Trustee (since 2008), MassMutual Select Funds (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MassMutual Premier Funds (open-end investment company). | |||||
Principal Officers who are Not Trustees
| Name, Address*, and Age |
Position(s) Held |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
| Richard J. Byrne Age: 51 |
President | Since 2007 |
Vice President (since 2007), MassMutual; President (since 2007), MML Series Investment Fund II (open-end investment company). | 37 | ||||
| Michael C. Eldredge Age: 49 |
Vice President | Since 2009 |
Vice President (since 2008), MassMutual; Vice President (2005-2008), ING; Vice President (since 2009), MassMutual Select Funds (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company); Vice President (since 2009), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| Andrew M. Goldberg Age: 47 |
Vice President, Secretary, and Chief Legal Officer
Assistant Secretary
|
Since 2008
(2001- |
Assistant Vice President and Counsel (since 2004), MassMutual; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 92 | ||||
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Trustees and Officers (Unaudited) (Continued)
| Name, Address*, and Age |
Position(s) Held |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
| Nicholas H. Palmerino Age: 48 |
Chief Financial Officer and Treasurer | Since 2006 |
Assistant Vice President (since 2006), MassMutual; Chief Financial Officer and Treasurer (since 2006), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| Philip S. Wellman Age: 49 |
Vice President and Chief Compliance Officer | Since 2007 |
Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (since 2008), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2007-2008), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| Eric H. Wietsma Age: 47 |
Vice President | Since 2006 |
Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company); President (since 2008) Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| * | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, CT 06082. |
| ** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-two years. |
| The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. |
| *** | Denver Board – Oppenheimer Funds is deemed to be part of the Fund Complex because it is managed by OppenheimerFunds, Inc., an indirect subsidiary of MassMutual. |
| ^ | Babson Capital Participation Investors and Babson Capital Corporate Investors are deemed to be a part of the Fund Complex because they are managed by Babson Capital Management LLC, an indirect subsidiary of MassMutual. |
| ^^ | Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, through his position as a director of Jefferies Group, Inc., a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MassMutual or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MassMutual has brokerage placement discretion. |
| ^^^ | Ms. Sarsynski is an Interested Person through her employment with MassMutual. |
| # | The President, Treasurer, and Secretary are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each other officer shall hold office at the pleasure of the Trustees. |
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Federal Tax Information (Unaudited)
For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2013, qualified for the dividends received deduction, as follows:
| Dividends Received Deductions |
||||
| Blue Chip Growth Fund |
100.00% | |||
| Equity Income Fund |
100.00% | |||
| Equity Index Fund |
100.00% | |||
| Focused Equity Fund |
20.44% | |||
| Fundamental Value Fund |
100.00% | |||
| Global Fund |
55.52% | |||
| Growth & Income Fund |
100.00% | |||
| Income & Growth Fund |
100.00% | |||
| Large Cap Growth Fund |
100.00% | |||
| Managed Volatility Fund |
100.00% | |||
| Mid Cap Growth Fund |
100.00% | |||
| Mid Cap Value Fund |
52.45% | |||
| Small Company Value Fund |
100.00% | |||
| Small/Mid Cap Value Fund |
100.00% | |||
For the year ended December 31, 2013, the following Fund(s) earned the following foreign sources of income:
| Foreign Sources of Income |
||||
| Foreign Fund |
$ | 7,212,699 | ||
| Global Fund |
1,158,150 | |||
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A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
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Other Information (Unaudited) (Continued)
Fund Expenses December 31, 2013
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2013:
As a shareholder of the Funds, you incur ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2013.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning Value |
Annualized Expense Ratio |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|||||||||||||||||||
| Blue Chip Growth Fund | ||||||||||||||||||||||||
| Initial Class |
$ | 1,000 | 0.79 | % | $ | 1,261.00 | $ | 4.55 | $ | 1,021.50 | $ | 4.07 | ||||||||||||
| Service Class |
1,000 | 1.04 | % | 1,259.40 | 5.99 | 1,020.20 | 5.35 | |||||||||||||||||
| Equity Income Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.79 | % | 1,136.90 | 4.30 | 1,021.50 | 4.07 | |||||||||||||||||
| Service Class |
1,000 | 1.04 | % | 1,136.60 | 5.66 | 1,020.20 | 5.35 | |||||||||||||||||
| Equity Index Fund | ||||||||||||||||||||||||
| Class I |
1,000 | 0.44 | % | 1,160.20 | 2.42 | 1,023.20 | 2.27 | |||||||||||||||||
| Class II |
1,000 | 0.28 | % | 1,161.50 | 1.54 | 1,024.10 | 1.44 | |||||||||||||||||
| Class III |
1,000 | 0.14 | % | 1,162.10 | 0.77 | 1,024.80 | 0.72 | |||||||||||||||||
| Service Class I |
1,000 | 0.69 | % | 1,159.00 | 3.80 | 1,022.00 | 3.55 | |||||||||||||||||
| Focused Equity Fund | ||||||||||||||||||||||||
| Class II |
1,000 | 0.90 | % | 1,156.10 | 4.94 | 1,020.90 | 4.63 | |||||||||||||||||
| Service Class I |
1,000 | 1.15 | % | 1,154.20 | 6.31 | 1,019.60 | 5.92 | |||||||||||||||||
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Other Information (Unaudited) (Continued)
| Beginning Value |
Annualized Expense Ratio |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|||||||||||||||||||
| Foreign Fund | ||||||||||||||||||||||||
| Initial Class |
$ | 1,000 | 0.97 | % | $ | 1,180.60 | $ | 5.39 | $ | 1,020.50 | $ | 4.99 | ||||||||||||
| Service Class |
1,000 | 1.22 | % | 1,179.20 | 6.77 | 1,019.30 | 6.28 | |||||||||||||||||
| Fundamental Growth Fund | ||||||||||||||||||||||||
| Class II |
1,000 | 0.85 | % | 1,172.80 | 4.71 | 1,021.10 | 4.38 | |||||||||||||||||
| Service Class I |
1,000 | 1.10 | % | 1,171.70 | 6.09 | 1,019.90 | 5.66 | |||||||||||||||||
| Fundamental Value Fund | ||||||||||||||||||||||||
| Class II |
1,000 | 0.80 | % | 1,130.20 | 4.34 | 1,021.40 | 4.12 | |||||||||||||||||
| Service Class I |
1,000 | 1.05 | % | 1,128.40 | 5.69 | 1,020.10 | 5.40 | |||||||||||||||||
| Global Fund | ||||||||||||||||||||||||
| Class I |
1,000 | 0.90 | % | 1,172.70 | 4.98 | 1,020.90 | 4.63 | |||||||||||||||||
| Class II |
1,000 | 0.80 | % | 1,173.80 | 4.43 | 1,021.40 | 4.12 | |||||||||||||||||
| Service Class I |
1,000 | 1.15 | % | 1,171.60 | 6.36 | 1,019.60 | 5.92 | |||||||||||||||||
| Growth & Income Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.57 | % | 1,177.50 | 3.16 | 1,022.60 | 2.94 | |||||||||||||||||
| Service Class |
1,000 | 0.82 | % | 1,176.30 | 4.55 | 1,021.30 | 4.22 | |||||||||||||||||
| Income & Growth Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.70 | % | 1,129.40 | 3.80 | 1,021.90 | 3.61 | |||||||||||||||||
| Service Class |
1,000 | 0.95 | % | 1,127.30 | 5.15 | 1,020.60 | 4.89 | |||||||||||||||||
| Large Cap Growth Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.70 | % | 1,236.40 | 3.99 | 1,021.90 | 3.61 | |||||||||||||||||
| Service Class |
1,000 | 0.95 | % | 1,235.90 | 5.41 | 1,020.60 | 4.89 | |||||||||||||||||
| Managed Volatility Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.95 | % | 1,053.20 | 4.97 | 1,020.60 | 4.89 | |||||||||||||||||
| Service Class |
1,000 | 1.19 | % | 1,052.20 | 6.22 | 1,019.40 | 6.12 | |||||||||||||||||
| Mid Cap Growth Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.82 | % | 1,189.70 | 4.57 | 1,021.30 | 4.22 | |||||||||||||||||
| Service Class |
1,000 | 1.07 | % | 1,187.80 | 5.96 | 1,020.00 | 5.51 | |||||||||||||||||
| Mid Cap Value Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.89 | % | 1,129.40 | 4.83 | 1,020.90 | 4.58 | |||||||||||||||||
| Service Class |
1,000 | 1.14 | % | 1,128.40 | 6.18 | 1,019.70 | 5.87 | |||||||||||||||||
| PIMCO Total Return Fund | ||||||||||||||||||||||||
| Class II |
1,000 | 0.65 | % | 1,011.70 | 3.33 | 1,022.20 | 3.35 | |||||||||||||||||
| Service Class I |
1,000 | 0.90 | % | 1,011.50 | 4.61 | 1,020.90 | 4.63 | |||||||||||||||||
| Small Cap Growth Equity Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 1.09 | % | 1,233.40 | 6.20 | 1,019.90 | 5.61 | |||||||||||||||||
| Service Class |
1,000 | 1.34 | % | 1,231.40 | 7.62 | 1,018.70 | 6.89 | |||||||||||||||||
| Small Company Value Fund | ||||||||||||||||||||||||
| Class II |
1,000 | 1.15 | % | 1,172.80 | 6.37 | 1,019.60 | 5.92 | |||||||||||||||||
| Service Class I |
1,000 | 1.40 | % | 1,171.30 | 7.75 | 1,018.30 | 7.20 | |||||||||||||||||
| Small/Mid Cap Value Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.80 | % | 1,173.10 | 4.43 | 1,021.40 | 4.12 | |||||||||||||||||
| Service Class |
1,000 | 1.05 | % | 1,171.10 | 5.81 | 1,020.10 | 5.40 | |||||||||||||||||
| * | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2013, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise. |
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Distributor:
MML Distributors, LLC
1295 State Street
Springfield, MA 01111-0001
| ©2014 Massachusetts Mutual Life Insurance Company, Springfield, MA 01111-0001. All rights reserved. www.massmutual.com.
MassMutual Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) and its affiliated companies and sales representatives. |
L4540a 114 CRN201503-180221 |
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This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MML Series Investment Fund. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
Table of Contents
MML Series Investment Fund – President’s Letter to Shareholders (Unaudited)
| * | Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels. |
(Continued)
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Table of Contents
MML Series Investment Fund – President’s Letter to Shareholders (Unaudited) (Continued)
Who Matters Most
MassMutual believes “Who Matters Most to You Says the Most About You.” Our customers matter most to us, and our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. The calendar page turning from one year to the next can be a good time for you to assess your financial situation, focus on your strategy for the future, and meet with your financial professional, if you work with one. Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. Thank you for putting your trust in MassMutual.
Sincerely,
Richard J. Byrne
President
The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.
2
Table of Contents
MML Series Investment Fund – Economic and Market Overview (Unaudited)
December 31, 2013
Stock investors flourish amid central bank support
Investors drove many U.S. stock indexes to record highs in 2013 – and domestic bonds had a negative year for the first time since 1999 – in an environment that featured the continuation of the Federal Reserve’s (the “Fed”) Quantitative Easing program (“QE”) and brought multiple political standoffs over fiscal legislation, a partial government shutdown, improvement in economic indicators in the U.S., and varying degrees of economic and market strength in Europe and the Far East.
The Fed continued its ongoing effort to foster an environment accommodative to economic growth. The central bank helped keep short-term interest rates at historically low levels by maintaining the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008. The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight. The Fed’s QE purchases of mortgage-backed securities and longer-dated Treasuries totaled $85 billion per month, which helped support the prices of bonds by helping keep demand high for much of the year and contributed to the positive environment for stocks.
The Fed kept QE in full force for the entire year and spurred considerable disruption in both the stock and bond markets when Fed Chairman Bernanke appeared before Congress on May 22 and indicated that the central bank was considering some near-term “tapering” or reduction of its bond purchases. The Fed’s policy announcement on September 18 offered a positive surprise to markets by indicating there would be no imminent changes to QE, as most observers had anticipated the implementation of at least a token decrease in the Fed’s monthly purchases. A market-moving event occurred on December 18, when the Fed unveiled its decision to reduce the monthly bond purchases in QE from $85 billion to $75 billion starting in January 2014. Although improving economic conditions had put the possibility of tapering QE on the front burner once again, many observers expected the central bank to postpone the move, as it had in September. The Fed’s proposed cutback of $10 billion per month was near the low end of expectations for the initial reduction, which helped soften the blow. The Fed also reiterated that short-term rates would remain at current levels, saying the central bank won’t raise short-term rates until well past the time that the unemployment rate declines below 6.5%. The Fed’s December 18 statement indicated Fed officials expect short-term rates to be lower than 1% through the end of 2015, which brought some clarity to the Fed’s near-term plans, and investors drove up stocks in response.
Oil started 2013 at nearly $92 per barrel, dipped to less than $85 in April, crested above $110 in early September, and closed the year at about $98. Gas prices rose substantially in the first quarter of 2013, but declined throughout the fourth quarter of 2013, giving consumers some relief at the pumps at the end of the year. The average price moved in a range between approximately $3.55 and $3.75 per gallon for much of the second and third quarters before dropping to around $3.40 by the end of the year. Gold lost much of its luster with investors who sought the higher returns generated by equities and other investments in the positive market environment. The precious metal led off the year at around $1,657 per ounce, headed downward until early July, staged a summer rally that lost steam as the third quarter drew to a close, and finished the year lower at $1,205.
Market performance
Equity markets rewarded investors substantially in 2013, with U.S. stocks showcasing their best performance since 1995. The NASDAQ Composite® Index, the major technology stock benchmark, returned 40.12% for the year and was the leader among U.S. broad-market indexes. The Russell 2000® Index, representing small-capitalization stocks, finished the year near the top of the pile with a 38.82% increase. The S&P 500® Index of large-capitalization U.S. stocks posted a 32.39% advance, while the blue-chip Dow Jones Industrial AverageSM rose 29.65%. The Morgan Stanley Capital International (“MSCI®”) Europe, Australasia, Far East (EAFE®) Index, a barometer for foreign stocks in developed markets, gained 22.78%, benefiting from the strong performance of Japanese stocks, which rose 57% and had their best performance in 40 years. Stocks from developing economies did not fare as well, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, lost 2.60% during 2013.
Bonds largely struggled during the 12 months, with the Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, declining 2.02%. The yield of the 10-year U.S. Treasury note advanced (and its price declined) over the course of the year from 1.83% to 3.02%, taking a very choppy route to make the climb, as wary investors sold notes in reaction to signals from the Fed about the reduction of QE. The yield of the 10-year note is a key benchmark in determining mortgage rates, and its advance caused a slowdown in mortgage sales. Conversely, unrelenting low shorter-term interest rates
3
Table of Contents
MML Series Investment Fund – Economic and Market Overview (Unaudited) (Continued)
continued to take their toll, with shorter-term debt investments barely managing to stay in positive territory. In this environment, the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 0.37%; and Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.05%. Fixed-income investors sought the higher returns offered by high-yield bonds, which helped the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, advance 7.44% for the year.*
First quarter 2013: stocks outperform bonds to start the year
Congressional votes to secure passage of a deal to avert the “fiscal cliff” were confirmed late on January 1, 2013. (The fiscal cliff was a large reduction of the federal budget deficit through significant tax increases and spending cuts, which were scheduled to become effective on January 1, 2013, unless Congress could strike an alternate plan.) In February, equity investors focused on the specter of sequestration – the automatic, across-the-board series of spending cuts to government agencies set to go into effect March 1, 2013. Ultimately, in March, Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% – announcing at the same time that it would maintain QE.
U.S. and foreign stocks rose in the first quarter of 2013, outperforming their fixed-income counterparts. Treasury yields traded in a relatively narrow range until mid-March, when they spiked higher on growing optimism about the U.S. economy. (Bond prices move in the opposite direction to interest rates [or yields]; when yields rise, the prices of existing bonds fall – and vice versa.)
Overseas, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. Evidence of a possible slowdown in China caused concern over the world’s second-largest economy, but Chinese lending reached a two-year high and aggregate financing increased substantially, which indicated improving conditions. In March, banks in Cyprus, experiencing hard times because of their investments in Greek sovereign debt, took a $10 billion bailout from the European Union and the International Monetary Fund to resolve the country’s banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven.
Second quarter 2013: prospect of Fed tapering gives investors pause
While stock prices advanced during April and much of May, they gave up a significant portion of those gains following Ben Bernanke’s May 22 remarks to Congress about tapering QE. The Fed chairman stated that the central bank might begin tapering bond purchases in its QE program later in 2013 if warranted by U.S. economic data. Despite the jitters this announcement sent through the markets, U.S. stocks ultimately managed to move higher during the second quarter.
Interest rates rose in the wake of Bernanke’s QE comments when investors sold bonds on the belief that demand would decline if the Fed were to stop its bond purchases, and ensuing price declines drove interest rates higher. Interestingly, concern about the end of QE gave new life to investors’ “bad news is good news” response to economic data. For example, the Commerce Department’s third and final estimate of first-quarter economic growth, released on June 26, came in at 1.8%, well below the previous estimate of 2.4%. Under normal circumstances, weaker-than-expected economic growth would tend to drive down stock prices. However, the news helped shares advance, as investors were hopeful that the disappointing data might convince the Fed to continue with QE for a while longer.
Also weighing on U.S. stocks late in the period was a swoon in Japanese equity prices. Japan’s stock market had been on a tear since mid-November 2012, and when the Bank of Japan announced a massive QE program of its own in April, the rally in that nation’s stocks accelerated, only to reverse sharply along with U.S. shares following Bernanke’s congressional testimony. Emerging markets, including Brazil and China, struggled with lackluster economic growth.
| * | Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. |
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Table of Contents
MML Series Investment Fund – Economic and Market Overview (Unaudited) (Continued)
Third quarter 2013: stocks on top; Fed comes to the rescue
U.S. stocks posted strong returns in the third quarter of 2013. Share prices moved higher in July, but backed off in August, as investors remained uncertain of the Fed’s tapering timetable. Disappointing quarterly news from companies regarded as bellwethers for the broader economy, including Wal-Mart Stores and Cisco Systems, weighed on the market in August, as did the growing likelihood of U.S. military strikes in Syria in retaliation for the Assad regime’s alleged use of chemical weapons there.
Stocks rebounded again in September in the midst of talk of a possible diplomatic solution to the crisis in Syria. The market also got a lift from news that former U.S. Treasury Secretary Larry Summers was withdrawing from consideration as a possible replacement for Fed Chairman Bernanke, who would step down in January 2014. Summers’ decision cleared the field for Fed Vice Chair Janet Yellen, a stronger proponent of QE. President Obama ultimately nominated Yellen for the post in early October.
On the heels of the big boost stocks and bonds got from the Fed’s September 18 announcement that QE would continue, the final week of the quarter brought stock-price declines attributable to investor concerns about two looming issues. The first was a federal government shutdown that ultimately came to pass on October 1 due to Congress’s inability to reach a funding agreement prior to the September 30 deadline, and the second was a political stalemate over the U.S. debt ceiling, which needed resolution by mid-October to prevent a default.
Fourth quarter 2013: stocks power ahead through government shutdown, possible Fed tapering
Investors largely stood their ground through the political fiscal wrangling and potential Fed actions, and U.S. stocks notched impressive gains in the fourth quarter of 2013 to cap a banner year that saw most of the popular equity benchmarks record a series of new all-time highs.
Sixteen days into the shutdown, Congress finally approved a measure on October 16 that provided funding for the government until mid-January, along with a temporary extension of the U.S. debt ceiling until February 7, 2014. President Obama signed the bill into law in the early hours of October 17, and most federal workers returned to work that same day. The move alleviated fears that the nation would not pay its bills and ended the shutdown, which had been in effect since October 1. The stock market responded with strong gains during the month of October, and the momentum carried over into November, bolstered by upward revisions to economic growth figures, improved consumer confidence, and a reduction in a key interest rate by the European Central Bank, which also sent European equities higher.
In December, equities rose, but the results did not come easily. The major equity market indexes experienced losses in the first two weeks of the month, reflecting investor concerns that the market might be overpriced and lingering questions about the Fed’s timeline for the tapering of QE. In fact, the S&P 500’s decline of 1.6% in the second week of December was its worst weekly performance since August. Sentiment improved in the third week of the month, as the market received clear communication from the Fed of its plans to reduce its bond purchases and, more importantly, its commitment to keep short-term rates very low as it does so.
Stocks in the U.S. also rose during the latter part of December following the passage of a two-year budget agreement that appeared to reduce the risk of another government shutdown, which represented a welcome departure from the political brinksmanship that has characterized most Congressional budget debates over the past few years. A sizable upward revision in the government’s December 20 release of estimated third-quarter economic growth to a healthy 4.1% from 3.6% was another positive catalyst.
As 2013 transitioned into 2014, stock investors focused on the factors likely to impact the markets in the year ahead, with the imminent reduction of QE at the top of the list. As we prepared this report in early January 2014, the Senate confirmed Janet L. Yellen as the first woman to lead the Federal Reserve. Ms. Yellen will succeed outgoing Chairman Ben Bernanke on February 1, 2014, coming in at a time when the Fed is looking to balance economic growth with the tapering of QE. Investors will also keep an eye out for improving economic growth here and abroad to help create a favorable environment for stocks and bonds. We believe these important issues and numerous others will come into play as investors navigate the world’s financial markets in the year ahead.
The information provided is the opinion of MassMutual Retirement Services Investment Services as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.
5
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MML Allocation Fund Series – Portfolio Manager Report (Unaudited)
What are the investment approaches of the Funds that constitute the MML Allocation Series (the “Series”), and who is the Series’ investment adviser?
The MML Allocation Series comprises five Funds – each of which has a “fund of funds” structure. The five Funds in the Series are MML Conservative Allocation Fund, MML Balanced Allocation Fund, MML Moderate Allocation Fund, MML Growth Allocation Fund, and MML Aggressive Allocation Fund.
Each Fund seeks to achieve as high a total rate of return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital. Each Fund invests in a combination of domestic and international mutual funds (“Underlying Funds”) using an asset allocation strategy. Underlying Funds can include series of the MML Series Investment Fund and MML Series Investment Fund II (which are advised by Massachusetts Mutual Life Insurance Company (MassMutual)), OppenheimerFunds (which are advised by OFI Global Asset Management, Inc. (OFI Global), a majority owned, indirect subsidiary of MassMutual), and non-affiliated funds. The Series’ investment adviser is MassMutual.
Through their investment in Underlying Funds, the Funds may be exposed to a wide range of securities and other instruments with differing characteristics (such as credit quality, duration, geography, industry, and market capitalization), including, but not limited to, equity securities of small-, mid-, or large-capitalization U.S. or non-U.S. issuers, fixed income securities of U.S. or non-U.S. private or governmental issuers (including “junk” or “high-yield” bonds, including securities in default), inflation-protected securities, bank loans, and short-term investments of any kind.
Each Fund’s assets are allocated to its Underlying Funds according to an asset allocation strategy, as follows:
| • | MML Conservative Allocation Fund: Approximately 40% in equity funds and 60% in fixed income funds, including money market funds. |
| • | MML Balanced Allocation Fund: Approximately 50% in equity funds and 50% in fixed income funds, including money market funds. |
| • | MML Moderate Allocation Fund: Approximately 60% in equity funds and 40% in fixed income funds, including money market funds. |
| • | MML Growth Allocation Fund: Approximately 75% in equity funds and 25% in fixed income funds, including money market funds. |
| • | MML Aggressive Allocation Fund: Approximately 90% in equity funds and 10% in fixed income funds, including money market funds. |
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MML Allocation Fund Series – Portfolio Manager Report (Unaudited) (Continued)
How did each Fund perform during the 12 months ended December 31, 2013?
The return of each Fund’s Initial Class shares is shown below. Also shown are the returns of each Fund’s Custom Index (defined below); the Russell 3000® Index, a widely recognized, unmanaged index that measures the performance of the 3,000 largest U.S. companies based on market capitalization; the Morgan Stanley Capital International All Country World Index (MSCI® ACWI) ex USA, an unmanaged index representative of stocks domiciled in global developed and emerging markets, excluding the United States; and the Barclays U.S. Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index.
| Fund’s Initial |
Custom |
Russell 3000 |
MSCI ACWI |
Barclays U.S. | ||||||
| MML Conservative Allocation Fund |
11.32% | 9.57% | 33.55% | 15.29% | -2.02%* | |||||
| MML Balanced Allocation Fund |
14.49% | 12.62% | 33.55%* | 15.29% | -2.02% | |||||
| MML Moderate Allocation Fund |
17.57% | 15.73% | 33.55%* | 15.29% | -2.02% | |||||
| MML Growth Allocation Fund |
22.64% | 20.51% | 33.55%* | 15.29% | -2.02% | |||||
| MML Aggressive Allocation Fund |
27.39% | 25.43% | 33.55%* | 15.29% | -2.02% | |||||
* Benchmark return
Each of the MML Allocation Series Funds outperformed its respective Custom Index for the full year – and all five Funds (each of which has a stock component) also outpaced the Barclays U.S. Aggregate Bond Index. Conversely, all of the Series Funds underperformed the Russell 3000 Index. The MML Moderate Allocation Fund, MML Growth Allocation Fund, and MML Aggressive Allocation Fund each outpaced the MSCI ACWI ex USA for the year, while the MML Conservative Allocation Fund and MML Balanced Allocation Fund trailed the MSCI ACWI ex USA in 2013.
MML Allocation Fund Series Custom Indexes
| • | The Custom MML Conservative Allocation Index comprises the Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, and the MSCI ACWI ex USA. The weightings of each index are 60%, 30%, and 10%, respectively. |
| • | The Custom MML Balanced Allocation Index comprises the Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, and the MSCI ACWI ex USA. The weightings of each index are 50%, 37.5%, and 12.5%, respectively. |
| • | The Custom MML Moderate Allocation Index comprises the Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, and the MSCI ACWI ex USA. The weightings of each index are 40%, 45%, and 15%, respectively. |
| • | The Custom MML Growth Allocation Index comprises the Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, and the MSCI ACWI ex USA. The weightings of each index are 25%, 56.25%, and 18.75%, respectively. |
| • | The Custom MML Aggressive Allocation Index comprises the Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, and the MSCI ACWI ex USA. The weightings of each index are 10%, 67.5%, and 22.5%, respectively. |
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
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MML Allocation Fund Series – Portfolio Manager Report (Unaudited) (Continued)
Investment adviser discussion of factors that contributed to the Funds’ performance
The Series experienced another strong year in 2013 by diversifying across asset classes and managers. From an allocation perspective, positions in fixed-income Underlying Funds that focused their objectives outside of the Barclays U.S. Aggregate Bond Index were beneficial and a key driver of performance for the year. For example, there was another solid year in the high-yield segment of the fixed-income market, with the Barclays U.S. Corporate High-Yield Bond Index outperforming the Barclays U.S. Aggregate Bond Index. The Funds gained exposure to high-yield bonds through the Series Funds’ positions in MML High Yield Fund, where active manager outperformance over the benchmark further added to the Underlying Funds’ full-year results. Secondarily, positions in multi-sector fixed income funds, such as Oppenheimer Global Strategic Income, which includes international and corporate high-yield bonds, and a segment that focuses on short-term interest rates (through MML Short-Duration Bond), also outperformed the Barclays U.S. Aggregate Bond Index. Lastly, the Series Funds’ positions in U.S. Treasury Inflation-Protected Securities (TIPS) detracted from investment-grade fixed-income, although the impact was minimized, as we reduced the Underlying Funds’ allocation to TIPS early in the year.
Regarding the Series Funds’ equity investments, underweight allocations to international equities were an important driver of outperformance in 2013, as the U.S. stock market, represented by the performance of the S&P 500® Index, outpaced international equities in both developed and emerging markets, as represented by the MSCI® EAFE® Index and the MSCI Emerging Markets Index, respectively. From a market-capitalization perspective, the Series Funds’ overweight positions in large-capitalization equities (relative to small-capitalization stocks) constituted a slight negative, as the S&P 500 Index underperformed the small-cap Russell 2000® Index for the year. From an investment style perspective, the Series Funds’ positioning in value stocks, relative to growth equities, had a negligible effect on performance in 2013.
Reviewing the Underlying Fund positions in the Series, 2013 marked the addition of two new funds in the small- and mid-capitalization categories: MML Small/Mid Cap Value Fund and Oppenheimer Discovery Mid Cap Fund. We added these two funds in order to diversify the small- and mid-cap categories. We also eliminated the Series Funds’ position in MML Small Cap Equity Fund in an effort to emphasize style-based strategies. Within U.S. large-cap value equities, we eliminated the Series Funds’ position in MML Equity after changes to one of the co-subadvisers – and reallocated the proceeds across the large-cap value category. Within the international equity segment, we increased the Series Funds’ positions late in the year in emerging-market equities. At the manager selection level, we experienced exceptional outperformance by MML Blue Chip Growth and MML Focused Equity, which more than offset the underperformance from the Series Funds’ positions in MML Income & Growth.
Investment adviser outlook
We expect 2014 to be a more difficult year for the markets. We anticipate a variety of challenges, including tougher year-over-year comparisons for equities, potential volatility and uncertainty from the Federal Reserve’s tapering of its bond-buying program, valuation levels elevated with price/earnings (P/E) ratios at a trailing 19x earnings on the S&P 500 Index, and less price appreciation from stock buybacks. While we expect the economy may continue to improve in 2014, we are concerned that some of the market gains from 2013’s improving economy have already begun to characterize the beginning of 2014 – indicating the possibility that investors may be a little too optimistic. From an allocation perspective, we seek to opportunistically gain greater exposure for the Underlying Funds to international equities in 2014, given the growing differential in past returns and P/E ratios that favor, in our view, an increasing position in the international equity segment. With respect to the Series Funds’ fixed-income investments, we remain diligent and continue to position the Underlying Funds’ exposure to reduce the potential impacts of an unexpected rise in interest rates and the potential downside of stretched valuations of riskier bonds. Lastly, in the coming year we will look to build a position for the Series Funds in real assets for the Underlying Funds – to help provide an inflation hedge, income, and the potential for further portfolio diversification.
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MML Allocation Fund Series – Portfolio Manager Report (Unaudited) (Continued)
| MML Aggressive Allocation Fund Asset Allocation (% of Net Assets) on 12/31/13 |
||||
| Equity Funds |
89.5 | % | ||
| Fixed Income Funds |
10.6 | % | ||
|
|
|
|||
| Total Long-Term Investments |
100.1 | % | ||
| Other Assets & Liabilities |
(0.1 | )% | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
|||
9
Table of Contents
MML Conservative Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
+ From 9/4/07.
++ From 9/2/08.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Barclays U.S. Aggregate Bond Index, the Russell 3000 Index, the MSCI ACWI ex USA, and the Custom MML Conservative Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
10
Table of Contents
MML Balanced Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
+ From 9/4/07.
++ From 9/2/08.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Balanced Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
11
Table of Contents
MML Moderate Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
+ From 9/4/07.
++ From 9/2/08.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Moderate Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
12
Table of Contents
MML Growth Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
+ From 9/4/07.
++ From 9/2/08.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Growth Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
13
Table of Contents
MML Aggressive Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
+ From 9/4/07.
++ From 9/2/08.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the Russell 3000 Index, the Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Aggressive Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
14
Table of Contents
MML American Funds Growth Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML American Funds® Growth Fund, and who is the Fund’s investment adviser?
The Fund seeks to provide investors with long-term capital growth through a “master feeder” relationship. (See page 52 of this report for information about the “master feeder” relationship.) The Fund invests all of its assets in Class 1 shares of the American Funds Insurance Series – Growth Fund (the “Master Growth Fund”), a series of the American Funds Insurance Series®, a registered open-end investment company, managed by Capital Research and Management Company (Capital Research) with substantially the same investment objective. The Master Growth Fund invests primarily in common stocks and seeks to invest in companies that appear to offer superior opportunities for growth of capital. The Master Growth Fund may invest a portion of its assets in common stocks and other securities of issuers domiciled outside the United States. Although the Master Growth Fund focuses on investments in medium- to large-capitalization companies, the Master Growth Fund’s investments are not limited to a particular capitalization size. The Fund’s investment adviser is Massachusetts Mutual Life Insurance Company (MassMutual).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund returned 29.56%, underperforming the 32.39% return of the S&P 500® Index (the “benchmark”), a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies. The Fund also trailed the 33.48% return of the Russell 1000® Growth Index, an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Capital Research’s discussion of factors that contributed to the Fund’s performance
The primary reason for the Fund’s underperfomance in 2013, relative to the benchmark, was stock selection in the materials, energy, and financials sectors. While Fund holdings in all three sectors turned in positive absolute returns for the year, they trailed the benchmark returns. Specific Fund holdings that detracted included Intuitive Surgical, a health care company that manufactures robotic equipment, which experienced slower sales in 2013. Another detractor was Lululemon Athletica, a yoga-related athletic apparel company in the consumer discretionary sector. The company experienced major production problems with their yoga pants – which received widespread media coverage and led to a change in the company’s chief executive officer. Also hampering the Fund’s performance was its position in Pacific Rubiales Energy, a Canadian producer of natural gas and heavy crude oil in Colombia and Peru, whose stock dropped 23% for the year. Fund holding Rackspace Hosting, a U.S.-based cloud hosting company, also detracted. Finally, the Fund’s cash position, which averaged 5% during the year, hurt relative performance in 2013’s strong equity market, since the benchmark remains fully invested at all times.
Conversely, several factors helped the Fund’s performance. From a sector allocation perspective, an underweight position in the information technology sector contributed to full-year results, as did an underweight in the weaker utilities sector. Fund holdings in the consumer discretionary sector, where the Fund held an overweight stake, did well. For example, Amazon.com, one of the Fund’s largest holdings, advanced almost 60% for the year. In the health care sector, Gilead Sciences rose due to broader approval of its HIV treatment, Stribild – and positive results from clinical trials for certain types of its cancer treatments. In addition, biotechnology company Incyte experienced promising results from a few of its drug trials – including one to treat pancreatic cancer and another to treat rheumatoid arthritis. The Fund’s small position in computer and personal electronics maker Apple also contributed to relative results, as the stock lagged the benchmark in 2013. The same was true of the Fund’s avoidance of ExxonMobil, which underperformed in 2013. Looking outside the U.S., stock selection in the Netherlands and Ireland was positive for the year, although the Fund experienced weakness in its holdings based in Canada and India.
Capital Research’s outlook
As active managers, we invest in companies rather than markets. Our expectation is that global economic growth may remain modest in 2014 – but that there is the potential for this to be a period of accelerating growth in the U.S. We also believe that corporate balance sheets will remain healthy this year. We continue to seek attractive investment opportunities in companies across all sectors, including firms that offer products and services designed to satisfy consumer demand in rapidly growing
15
Table of Contents
MML American Funds Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
developing countries. Finally, we believe that companies that pay and increase dividends could continue to remain attractive as investors seek alternatives to traditional fixed-income investments.
|
MML American Funds Growth Fund Asset Allocation (% of Net Assets) on 12/31/13 |
||||
| Equity Funds |
100.1 | % | ||
|
|
|
|||
| Total Long-Term Investments |
100.1 | % | ||
| Short-Term Investments and Other Assets & Liabilities |
(0.1 | )% | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
|||
16
Table of Contents
MML American Funds Growth Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index and the Russell 1000 Growth Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
17
Table of Contents
MML American Funds International Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML American Funds® International Fund, and who is the Fund’s investment adviser?
The Fund seeks long-term capital growth of assets through a “master-feeder” relationship. (See page 52 of this report for information about the “master feeder” relationship.) The Fund invests all of its assets in Class 1 shares of the American Funds Insurance Series – International Fund (the “Master International Fund”), a series of the American Funds Insurance Series®, a registered open-end investment company managed by Capital Research and Management Company (Capital Research) with substantially the same investment objective. The Master International Fund invests primarily in common stocks of companies domiciled outside the United States, including companies domiciled in developing countries, that Capital Research believes have the potential for growth. Although the Master International Fund focuses on investments in medium- to large-capitalization companies, the Master International Fund’s investments are not limited to a particular capitalization size. The Fund’s investment adviser is Massachusetts Mutual Life Insurance Company (MassMutual).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund returned 21.09%, substantially outperforming the 15.29% return of Morgan Stanley Capital International All Country World Index (MSCI® ACWI®) ex USA (the “benchmark”), an unmanaged index representative of stocks domiciled in global developed and emerging markets, excluding the United States. Conversely, the Fund trailed the 22.78% return of the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE®) Index, a widely recognized, unmanaged index representative of equity securities in developed markets, excluding the U.S. and Canada.
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Capital Research’s discussion of factors that contributed to the Fund’s performance
During 2013, the primary reason for the Fund’s strong outperformance was stock selection. Despite the Fund having an underweight position, relative to the benchmark, in strong-performing Japan, stock selection there was extremely successful. In China, a country whose equity markets faced numerous challenges in 2013, stock selection was also quite favorable. Some of the Fund holdings that were major contributors to 2013 performance were in Japan or China. For example, SoftBank, a Japanese telecommunications company that acquired a majority share of wireless phone services provider Sprint, is a Fund holding whose stock price nearly doubled in 2013, despite initial investor uncertainty over SoftBank’s $21.6 billion Sprint acquisition price. Investors eventually embraced SoftBank, in part because the company also owns a substantial position in Alibaba. Alibaba is the Chinese e-commerce giant that is expected to become a publicly traded company in 2014 in what may be one of the largest initial public offerings ever. In 2012, Alibaba’s sales volume was nearly double that of Amazon.com’s. Another performance standout was Fund holding Sands China Ltd., an entertainment and gaming company in the consumer discretionary sector, whose stock price nearly doubled in 2013, as gaming continued to be extremely popular with China consumers. The Fund’s overweight stake, relative to the benchmark, in Sands China also helped to drive full-year results. Fund holding Baidu, a Chinese language Internet search provider, also did well for the year. The company made a big comeback in 2013, creating an increased presence in the mobile marketplace. NetEase, a Chinese information technology company, was another Fund holding that was a standout for the year, as the power of the Chinese consumer continued to shine. Elsewhere, the stock price of Fund holding Bayer, a German pharmaceutical company in the health care sector, advanced for the year. Bayer received approval for one of its prostate cancer medicines – and the company has the kind of rich product pipeline that investors tend to favor. On a sector-specific basis, the Fund’s allocations to the materials, telecommunications, and consumer discretionary sectors contributed the most to its full-year performance. In addition, the Fund’s ability to avoid weakness in emerging markets benefited performance.
On the negative side, overweight allocations to South Korea and India hurt the Fund. Fund holding Samsung Electronics, a South Korean high-tech manufacturer and digital media provider, detracted from the Fund’s performance on a relative basis, as investors became frustrated by the corporation’s cash balance and the margin pressures associated with the manufacturing of Samsung’s lower-end smartphones. Ultimately, Samsung lagged the broader market and was the Fund’s biggest detractor for the year. Power Grid Corporation of India, a power supplier in the utilities sector, also hampered Fund performance. Charoen Pokphand, a Thailand-based agro-industrial and food conglomerate that was a Fund holding in the consumer staples sector – and Pharmstandard, a health care company that is Russia’s biggest drug maker and that experienced sales declines in 2013 – detracted slightly from full-year results.
18
Table of Contents
MML American Funds International Fund – Portfolio Manager Report (Unaudited) (Continued)
Capital Research’s outlook
As active managers, we invest in companies rather than markets. Our expectation is that global economic growth may remain modest in 2014 – but that there is the potential for this to be a period of accelerating growth in the U.S. We also believe that corporate balance sheets will remain healthy this year. We continue to seek attractive investment opportunities in companies across all sectors, including firms that offer products and services designed to satisfy consumer demand in rapidly growing developing countries. Finally, we believe that companies that pay and increase dividends could continue to remain attractive as investors seek alternatives to traditional fixed-income investments.
|
MML American Funds International Fund Asset Allocation |
||||
| Equity Funds |
100.2 | % | ||
|
|
|
|||
| Total Long-Term Investments |
100.2 | % | ||
| Other Assets and Liabilities |
(0.2 | )% | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
|||
19
Table of Contents
MML American Funds International Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the MSCI ACWI ex USA and the MSCI EAFE Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
20
Table of Contents
MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited)
What is the investment approach of MML American Funds® Core Allocation Fund, and who is the Fund’s investment adviser?
The Fund seeks as high a total rate of return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital. The Fund is a “fund of funds” and seeks to achieve its investment objective by principally investing in a combination of series of the American Funds Insurance Series® (the “Underlying Funds”), managed by Capital Research and Management Company (Capital Research), using a flexible asset allocation approach. The Fund’s investment adviser invests the Fund’s assets in a combination of domestic and international Underlying Funds. As of the date of this report, it is expected that the Underlying Funds will include Class 1 shares of the American Funds Insurance Series – Bond Fund, the American Funds Insurance Series – Blue Chip Income and Growth Fund, the American Funds Insurance Series – Growth-Income Fund, and the American Funds Insurance Series – International Fund. The Fund’s investment adviser allocates the Fund’s assets among a variety of different asset classes through investing in Underlying Funds in response to changing market, economic, and investment conditions. The Fund’s investment adviser is Massachusetts Mutual Life Insurance Company (MassMutual).
How did the Fund perform during the 12 months ended December 31, 2013?
The Fund returned 18.30%, significantly trailing the 32.39% return of the S&P 500® Index (the “benchmark”), a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies. Conversely, the Fund outperformed the 15.29% return of the Morgan Stanley Capital International All Country World Index (MSCI® ACWI®) ex USA, an unmanaged index representative of stocks domiciled in global developed and emerging markets, excluding the United States. The Fund also outpaced, by a wide margin, the -2.02% return of the Barclays U.S. Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index. Finally, the Fund’s 18.30% return outperformed the 17.71% return of the Custom MML Core Allocation Index, which comprises the benchmark (55%), the Barclays U.S. Aggregate Bond Index (35%), and the MSCI ACWI ex USA (10%).
For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.
Capital Research’s discussion of factors that contributed to the Fund’s performance
The following paragraphs discuss the results of each of the Fund’s underlying portfolio components. Because the Fund invests in both stock- and bond-based portfolios, its overall performance may vary considerably from the broad market indexes listed above, which each measure the performance of a specific group of securities. These component-specific discussions focus on results and positioning versus each component’s main comparative index, not how the Fund as a whole performed or was positioned versus those indexes.
With respect to the American Funds Insurance Series – Bond Fund (the “Bond Fund”), the Fund outperformed the Barclays U.S. Aggregate Bond Index (the “index”). The biggest theme in the fixed-income markets in 2013 was the abundance of corporate debt issuance, coupled with the strong results of the corporate bond market itself. Consequently, the Bond Fund’s holdings in corporate bonds helped the Bond Fund’s full-year results, particularly within the telecommunications sector, where Verizon Wireless was a major standout. During the reporting period, the Bond Fund held an overweight position, relative to the index, in investment-grade bonds, which also helped drive full-year results. The Bond Fund’s underweight position in agency pass-through securities also contributed to performance, as uncertainty in the mortgage market caused some volatility in the mortgage-backed securities (MBS) sector and hampered the Bond Fund’s performance for the year. The Bond Fund trimmed its exposure to MBS as a result of the Federal Reserve’s (the “Fed”) decision to taper its Quantitative Easing program (“QE”) beginning in January 2014. (An agency pass-through security is a security, backed by a U.S. government agency, representing pooled bonds, which passes income from debtors to its security holders. Mortgages are agency pass-through securities.) In the financials sector, two Bond Fund holdings – global financial services firm Morgan Stanley and banking giant Bank of America – were both strong performers for the year, as was a Dutch landline and mobile telecommunications company, Royal KPN. The Bond Fund’s position in Altria Group (consumer discretionary), an American multinational corporation that is the parent company of one of the world’s largest tobacco companies, was another holding that helped performance. The Bond Fund’s investment in commercial mortgage-backed securities also worked against full-year performance.
21
Table of Contents
MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
The American Funds Insurance Series – Blue Chip Income and Growth Fund (the “Income and Growth Fund”) outperformed the benchmark in 2013. Sector allocations to the strong-performing information technology, health care, industrials, and materials sectors helped drive the Income and Growth Fund’s performance – particularly its overweight stakes in the health care and industrials sectors. Stock selection was quite favorable during the year, as the share price doubled for Income and Growth Fund holding Hewlett-Packard Co., a leading computer manufacturer that announced layoffs during the reporting period. The price of shares for Income and Growth Fund holding Gilead Sciences also more than doubled during the year, due in part to its broader approval of its HIV treatment, Stribild. The Income and Growth Fund’s position in Johnson Controls (consumer discretionary), an American company that offers energy-efficient products and services for a diverse group of industries, was another contributor to performance. Conversely, utilities was the only market sector that detracted from the Income and Growth Fund’s absolute results during the year, where its positions in FirstEnergy Corporation and Exelon, both energy providers, proved detrimental. Another Income and Growth Fund holding that detracted from relative performance included U.K.-based oil giant Royal Dutch Shell, which disappointed when strong earnings results in the first half of 2013 were overshadowed by weaker-than-expected earnings in the second half. The Income and Growth Fund’s overweight position, relative to the benchmark, in the telecommunications sector also worked against Fund performance.
The American Funds Insurance Series – Growth-Income Fund (the “Growth-Income Fund”) outperformed the benchmark for the year. Stock selection in the U.S. was the largest contributor to Fund outperformance – particularly in information technology, the sector associated with three of the Growth-Income Fund’s top five holdings for the year. Avoiding shares of diversified technology products and services company International Business Machines (IBM) also contributed to the Growth-Income Fund’s performance, since IBM lagged the benchmark during the period. Another performer driver was Growth-Income Fund holding Yahoo!, an American multinational Internet corporation whose stock price was up over 100% for the year. In the health care sector, Gilead Sciences, one of the Growth-Income Fund’s largest holdings, was also its largest contributor to performance, as its stock price rose due to positive investor sentiment that resulted from the broader approval of its HIV treatment, Stribild, and the promising results in early trials of some of the company’s new cancer-related treatments. Another top performer in health care was Illumina, a genetic sequencing company that advanced strongly for the year. The Growth-Income Fund’s position in information technology company Texas Instruments, a global semiconductor designer and manufacturer, proved beneficial for performance, as did the Fund’s decision not to hold EMC, a computer and peripherals company that underperformed for the year. From a sector allocation standpoint, an overweight position in health care, which outperformed, contributed to full-year results. An underweight position in the weaker utilities sector also contributed. Conversely, the Growth-Income Fund’s 6.5% average cash position during the year hampered relative performance in 2013’s strong equity environment, as the benchmark does not hold cash. Growth-Income Fund holding Edwards Lifesciences, a U.S. health care provider that is the number-one heart valve company in the world, disappointed in terms of revenue and earnings growth. The Growth-Income Fund’s positions in Royal Dutch Shell (energy) and tobacco giant Philip Morris, a large Fund holding in the consumer staples sector – and its lack of exposure to the biotechnology company Celgene Corporation, a performance standout in the health care sector – also detracted from its 2013 performance.
The American Funds Insurance Series – International Fund (the “International Fund”) outperformed the MSCI All Country World Index ex USA (the “index”) for the year. The primary reason for the International Fund’s strong outperformance was stock selection. Some of the International Fund holdings that were major contributors to performance were in Japan and China. For example, SoftBank, a Japanese telecommunications company that acquired a majority share of wireless phone services provider Sprint, is an International Fund holding whose stock price nearly doubled in 2013, despite initial investor uncertainty over SoftBank’s $21.6 billion Sprint acquisition price. Investors eventually embraced SoftBank, in part because the company also owns a substantial position in Alibaba – the Chinese e-commerce giant that is expected to become a publicly traded company in 2014 in what may be one of the largest initial public offerings ever. Another performance standout was International Fund holding Sands China Ltd., an entertainment and gaming company in the consumer discretionary sector, whose stock price nearly doubled in 2013, as gaming continued to be extremely popular with China consumers. International Fund holding Baidu, a Chinese language Internet search provider, also did well, making a big comeback in 2013 and creating an increased presence in the mobile marketplace. NetEase, a Chinese information technology company, was another holding that was a positive contributor for the year. Elsewhere, the stock price of International Fund holding Bayer, a German pharmaceutical company in the health care sector, advanced. Bayer received approval for one of its prostate cancer medicines – and the company has the kind of rich product pipeline that investors tend to favor. On a sector-specific basis, the International Fund’s allocations to the materials, telecommunications, and consumer discretionary sectors contributed the most to performance. In addition, the International Fund’s ability to avoid weakness in emerging markets benefited performance. On the negative side, overweight
22
Table of Contents
MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
allocations to South Korea and India detracted. International Fund holding Samsung Electronics, a South Korean high-tech manufacturer and digital media provider, hampered performance on a relative basis, as investors became frustrated by the corporation’s cash balance and the margin pressures associated with the manufacturing of Samsung’s lower-end smartphones.
Capital Research’s outlook
As active managers, we invest in companies rather than markets. Our expectation is that global economic growth may remain modest in 2014 – but that there is the potential for this to be a period of accelerating growth in the U.S. We also believe that corporate balance sheets will remain healthy this year. We continue to seek attractive investment opportunities in companies across all sectors, including firms that offer products and services designed to satisfy consumer demand in rapidly growing developing countries. Finally, we believe that companies that pay and increase dividends could continue to remain attractive as investors seek alternatives to traditional fixed-income investments.
| MML American Funds Core Allocation Fund Asset Allocation (% of Net Assets) on 12/31/13 |
||||
| Equity Funds |
65.9 | % | ||
| Fixed Income Funds |
34.2 | % | ||
|
|
|
|||
| Total Long-Term Investments |
100.1 | % | ||
| Other Assets & Liabilities |
(0.1 | )% | ||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|
|||
23
Table of Contents
MML American Funds Core Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)
* Benchmark
+ From 9/2/08.
Performance data quoted represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by accessing the website www.massmutual.com.
Investors should note that the Fund is a professionally managed mutual fund, while the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the MSCI ACWI ex USA, and the Custom MML Core Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. The Fund’s return reflects changes in the net asset value per share without the deduction of any product charges (e.g., cost of insurance, mortality and expense risk charges, administrative fees, and CDSL). The inclusion of these charges would have reduced the performance shown here.
24
Table of Contents
MML Conservative Allocation Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
25
Table of Contents
MML Balanced Allocation Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
26
Table of Contents
MML Moderate Allocation Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
27
Table of Contents
MML Growth Allocation Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
28
Table of Contents
MML Aggressive Allocation Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
29
Table of Contents
MML American Funds Growth Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
30
Table of Contents
MML American Funds International Fund – Portfolio of Investments
December 31, 2013
The accompanying notes are an integral part of the financial statements.
31
Table of Contents
MML American Funds Core Allocation Fund – Portfolio of Investments
The accompanying notes are an integral part of the financial statements.
32
December 31, 2013
Table of Contents
THIS PAGE INTENTIONALLY LEFT BLANK
Table of Contents
MML Series Investment Fund – Financial Statements
Statements of Assets and Liabilities
December 31, 2013
| MML Conservative Allocation Fund |
MML Balanced Allocation Fund |
|||||||
| Assets: | ||||||||
| Investments, at value - unaffiliated issuers (Note 2) (a) |
$ | - | $ | - | ||||
| Investments, at value - affiliated issuers (Note 2 & 7) (b) |
468,327,505 | 558,619,363 | ||||||
| Short-term investments, at value (Note 2) (c) |
- | - | ||||||
|
|
|
|
|
|||||
| Total investments |
468,327,505 | 558,619,363 | ||||||
|
|
|
|
|
|||||
| Receivables from: |
||||||||
| Investments sold |
629,046 | 12,747 | ||||||
| Investment adviser |
- | - | ||||||
| Fund shares sold |
102,468 | 296,276 | ||||||
|
|
|
|
|
|||||
| Total assets |
469,059,019 | 558,928,386 | ||||||
|
|
|
|
|
|||||
| Liabilities: | ||||||||
| Payables for: |
||||||||
| Investments purchased |
102,468 | 296,276 | ||||||
| Fund shares repurchased |
626,780 | 10,106 | ||||||
| Investment advisory fees |
- | - | ||||||
| Trustees’ fees and expenses (Note 3) |
53,683 | 63,040 | ||||||
| Affiliates (Note 3): |
||||||||
| Investment management fees |
40,804 | 48,252 | ||||||
| Administration fees |
- | - | ||||||
| Service fees |
203,845 | 239,762 | ||||||
| Due to custodian |
- | - | ||||||
| Accrued expense and other liabilities |
36,786 | 37,411 | ||||||
|
|
|
|
|
|||||
| Total liabilities |
1,064,366 | 694,847 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 467,994,653 | $ | 558,233,539 | ||||
|
|
|
|
|
|||||
| Net assets consist of: | ||||||||
| Paid-in capital |
$ | 388,977,597 | $ | 444,884,065 | ||||
| Undistributed (accumulated) net investment income (loss) |
10,899,637 | 11,182,601 | ||||||
| Accumulated net realized gain (loss) on investments and foreign currency transactions |
29,875,723 | 34,648,061 | ||||||
| Net unrealized appreciation (depreciation) on investments and foreign currency translations |
38,241,696 | 67,518,812 | ||||||
|
|
|
|
|
|||||
| Net assets |
$ | 467,994,653 | $ | 558,233,539 | ||||
|
|
|
|
|
|||||
| (a) Cost of Investments - unaffiliated issuers: |
$ | - | $ | - | ||||
| (b) Cost of investments - affiliated issuers: |
$ | 430,085,809 | $ | 491,100,551 | ||||
| (c) Cost of short-term investments: |
$ | - | $ | - | ||||
The accompanying notes are an integral part of the financial statements.
34
Table of Contents
| MML Moderate Allocation Fund |
MML Growth Allocation Fund |
MML Aggressive Allocation Fund |
MML American Funds Growth Fund |
MML American Funds International Fund |
MML American Funds Core Allocation Fund |
|||||||||||||||||
| $ | - | $ | - | $ | - | $ | 94,291,880 | $ | 48,530,908 | $ | 551,157,897 | |||||||||||
| 1,947,820,594 | 1,656,260,609 | 108,125,110 | - | - | - | |||||||||||||||||
| - | - | - | 65,279 | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,947,820,594 | 1,656,260,609 | 108,125,110 | 94,357,159 | 48,530,908 | 551,157,897 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 52,075 | 42,261 | 64,169 | 2,954,129 | 919,767 | - | |||||||||||||||||
| - | - | - | - | 1,469 | - | |||||||||||||||||
| 1,597,430 | 388,224 | 28,535 | 297 | 876 | 521,695 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,949,470,099 | 1,656,691,094 | 108,217,814 | 97,311,585 | 49,453,020 | 551,679,592 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,597,430 | 388,224 | 28,535 | - | - | 511,995 | |||||||||||||||||
| 43,058 | 34,490 | 63,669 | 2,953,986 | 920,416 | 7,173 | |||||||||||||||||
| - | - | - | 25 | - | - | |||||||||||||||||
| 192,117 | 210,831 | 11,642 | 7,724 | 5,079 | 55,237 | |||||||||||||||||
| 166,816 | 142,325 | 9,250 | 12,386 | 6,289 | 94,143 | |||||||||||||||||
| - | - | - | 20,643 | 10,482 | 117,681 | |||||||||||||||||
| 883,510 | 604,262 | 30,778 | 57,497 | 29,469 | 328,867 | |||||||||||||||||
| - | - | - | 65,279 | - | - | |||||||||||||||||
| 52,410 | 51,408 | 32,619 | 26,954 | 26,218 | 47,830 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 2,935,341 | 1,431,540 | 176,493 | 3,144,494 | 997,953 | 1,162,926 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,946,534,758 | $ | 1,655,259,554 | $ | 108,041,321 | $ | 94,167,091 | $ | 48,455,067 | $ | 550,516,666 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,516,950,787 | $ | 1,141,589,558 | $ | 75,829,156 | $ | 59,600,823 | $ | 35,322,764 | $ | 403,231,702 | |||||||||||
| 32,656,853 | 23,412,665 | 1,115,062 | 438,777 | 415,780 | 7,971,008 | |||||||||||||||||
| 124,679,615 | 133,238,238 | 9,678,429 | 3,716,943 | 1,598,116 | 18,049,653 | |||||||||||||||||
| 272,247,503 | 357,019,093 | 21,418,674 | 30,410,548 | 11,118,407 | 121,264,303 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,946,534,758 | $ | 1,655,259,554 | $ | 108,041,321 | $ | 94,167,091 | $ | 48,455,067 | $ | 550,516,666 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | - | $ | - | $ | - | $ | 63,881,332 | $ | 37,412,501 | $ | 429,893,594 | |||||||||||
| $ | 1,675,573,091 | $ | 1,299,241,516 | $ | 86,706,436 | $ | - | $ | - | $ | - | |||||||||||
| $ | - | $ | - | $ | - | $ | 65,279 | $ | - | $ | - | |||||||||||
35
Table of Contents
MML Series Investment Fund — Financial Statements (Continued)
Statements of Assets and Liabilities
December 31, 2013
| MML Conservative Allocation Fund |
MML Balanced Allocation Fund |
|||||||
| Initial Class shares: | ||||||||
| Net assets |
$ | 141,078,204 | $ | 164,583,101 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
12,379,444 | 14,208,106 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 11.40 | $ | 11.58 | ||||
|
|
|
|
|
|||||
| Service Class shares: | ||||||||
| Net assets |
$ | 326,916,449 | $ | 393,650,438 | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
28,890,577 | 34,181,581 | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | 11.32 | $ | 11.52 | ||||
|
|
|
|
|
|||||
| Service Class I shares: | ||||||||
| Net assets |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| Shares outstanding (a) |
- | - | ||||||
|
|
|
|
|
|||||
| Net asset value, offering price and redemption price per share |
$ | - | $ | - | ||||
|
|
|
|
|
|||||
| (a) | Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
36
Table of Contents
| MML Moderate Allocation Fund |
MML Growth Allocation Fund |
MML Aggressive Allocation Fund |
MML American Funds Growth Fund |
MML American Funds International Fund |
MML American Funds Core Allocation Fund |
|||||||||||||||||
| $ | 465,691,992 | $ | 659,823,335 | $ | 56,721,125 | $ | - | $ | - | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 38,475,772 | 55,938,901 | 4,580,784 | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 12.10 | $ | 11.80 | $ | 12.38 | $ | - | $ | - | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,480,842,766 | $ | 995,436,219 | $ | 51,320,196 | $ | - | $ | - | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 123,180,748 | 84,813,290 | 4,175,653 | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 12.02 | $ | 11.74 | $ | 12.29 | $ | - | $ | - | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | - | $ | - | $ | - | $ | 94,167,091 | $ | 48,455,067 | $ | 550,516,666 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| - | - | - | 6,660,459 | 4,301,086 | 44,840,120 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | - | $ | - | $ | - | $ | 14.14 | $ | 11.27 | $ | 12.28 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
37
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
For the Year Ended December 31, 2013
| MML Conservative Allocation Fund |
MML Balanced Allocation Fund |
|||||||
| Investment income (Note 2): | ||||||||
| Dividends - unaffiliated issuers |
$ | - | $ | - | ||||
| Dividends - affiliated issuers (Note 7) |
10,587,075 | 10,862,485 | ||||||
|
|
|
|
|
|||||
| Total investment income |
10,587,075 | 10,862,485 | ||||||
|
|
|
|
|
|||||
| Expenses (Note 3): | ||||||||
| Investment management fees |
453,529 | 510,704 | ||||||
| Custody fees |
43,786 | 43,798 | ||||||
| Audit fees |
29,190 | 29,243 | ||||||
| Legal fees |
2,738 | 2,945 | ||||||
| Proxy fees |
1,028 | 1,028 | ||||||
| Shareholder reporting fees |
15,871 | 17,377 | ||||||
| Trustees’ fees |
33,745 | 37,644 | ||||||
|
|
|
|
|
|||||
| 579,887 | 642,739 | |||||||
| Administration fees: |
||||||||
| Service Class I |
- | - | ||||||
| Service fees: |
||||||||
| Service Class |
780,255 | 880,915 | ||||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total expenses |
1,360,142 | 1,523,654 | ||||||
| Expenses waived (Note 3): |
||||||||
| Service Class I fees reimbursed by adviser |
- | - | ||||||
|
|
|
|
|
|||||
| Net expenses |
1,360,142 | 1,523,654 | ||||||
|
|
|
|
|
|||||
| Net investment income (loss) |
9,226,933 | 9,338,831 | ||||||
|
|
|
|
|
|||||
| Realized and unrealized gain (loss): | ||||||||
| Net realized gain (loss) on: |
||||||||
| Investment transactions - unaffiliated issuers |
- | - | ||||||
| Investment transactions - affiliated issuers (Note 7) |
24,777,713 | 29,449,822 | ||||||
| Realized gain distributions - affiliated issuers (Note 7) |
7,383,403 | 9,428,734 | ||||||
|
|
|
|
|
|||||
| Net realized gain (loss) |
32,161,116 | 38,878,556 | ||||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investment transactions - unaffiliated issuers |
- | - | ||||||
| Investment transactions - affiliated issuers |
6,509,311 | 19,837,944 | ||||||
|
|
|
|
|
|||||
| Net change in unrealized appreciation (depreciation) |
6,509,311 | 19,837,944 | ||||||
|
|
|
|
|
|||||
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
38,670,427 | 58,716,500 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
$ | 47,897,360 | $ | 68,055,331 | ||||
|
|
|
|
|
|||||
The accompanying notes are an integral part of the financial statements.
38
Table of Contents
| MML Moderate Allocation Fund |
MML Growth Allocation Fund |
MML Aggressive Allocation Fund |
MML American Funds Growth Fund |
MML American Funds International Fund |
MML American Funds Core Allocation Fund |
|||||||||||||||||
| $ | - | $ | - | $ | - | $ | 1,006,275 | $ | 720,288 | $ | 11,448,813 | |||||||||||
| 31,768,248 | 22,405,782 | 1,084,502 | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 31,768,248 | 22,405,782 | 1,084,502 | 1,006,275 | 720,288 | 11,448,813 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,696,212 | 1,515,151 | 93,640 | 120,602 | 64,494 | 955,292 | |||||||||||||||||
| 45,191 | 45,917 | 47,056 | 1,021 | 1,021 | 5,653 | |||||||||||||||||
| 30,228 | 30,163 | 28,881 | 28,867 | 28,838 | 29,211 | |||||||||||||||||
| 9,439 | 8,874 | 474 | 132 | 78 | 851 | |||||||||||||||||
| 1,028 | 1,028 | 1,028 | 1,028 | 1,028 | 1,028 | |||||||||||||||||
| 46,857 | 44,970 | 4,097 | 6,226 | 4,554 | 24,687 | |||||||||||||||||
| 124,503 | 110,345 | 6,788 | 5,855 | 3,112 | 34,850 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 1,953,458 | 1,756,448 | 181,964 | 163,731 | 103,125 | 1,051,572 | |||||||||||||||||
| - | - | - | 201,004 | 107,490 | 1,194,116 | |||||||||||||||||
| 3,137,328 | 2,264,055 | 107,506 | - | - | - | |||||||||||||||||
| - | - | - | 201,004 | 107,490 | 1,194,116 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 5,090,786 | 4,020,503 | 289,470 | 565,739 | 318,105 | 3,439,804 | |||||||||||||||||
| - | - | - | (2,929 | ) | (17,132 | ) | - | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 5,090,786 | 4,020,503 | 289,470 | 562,810 | 300,973 | 3,439,804 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 26,677,462 | 18,385,279 | 795,032 | 443,465 | 419,315 | 8,009,009 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| - | - | - | 3,811,961 | 1,621,129 | 18,471,200 | |||||||||||||||||
| 101,214,297 | 111,672,364 | 7,944,064 | - | - | - | |||||||||||||||||
| 35,022,167 | 35,941,242 | 2,570,113 | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 136,236,464 | 147,613,606 | 10,514,177 | 3,811,961 | 1,621,129 | 18,471,200 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| - | - | - | 16,661,648 | 6,347,235 | 53,538,913 | |||||||||||||||||
| 108,604,854 | 139,369,197 | 11,179,370 | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 108,604,854 | 139,369,197 | 11,179,370 | 16,661,648 | 6,347,235 | 53,538,913 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 244,841,318 | 286,982,803 | 21,693,547 | 20,473,609 | 7,968,364 | 72,010,113 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 271,518,780 | $ | 305,368,082 | $ | 22,488,579 | $ | 20,917,074 | $ | 8,387,679 | $ | 80,019,122 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
39
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Conservative Allocation Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | 9,226,933 | $ | 8,137,210 | ||||
| Net realized gain (loss) on investment transactions |
32,161,116 | 15,365,217 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
6,509,311 | 16,542,495 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
47,897,360 | 40,044,922 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
(3,213,034 | ) | (2,392,553 | ) | ||||
| Service Class |
(6,655,607 | ) | (4,520,655 | ) | ||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
(9,868,641 | ) | (6,913,208 | ) | ||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Initial Class |
(4,041,372 | ) | (4,249,213 | ) | ||||
| Service Class |
(9,182,941 | ) | (8,942,690 | ) | ||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
(13,224,313 | ) | (13,191,903 | ) | ||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
(7,746,222 | ) | 20,585,781 | |||||
| Service Class |
14,477,597 | 50,933,302 | ||||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
6,731,375 | 71,519,083 | ||||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
31,535,781 | 91,458,894 | ||||||
| Net assets | ||||||||
| Beginning of year |
436,458,872 | 344,999,978 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 467,994,653 | $ | 436,458,872 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at |
$ | 10,899,637 | $ | 9,831,425 | ||||
|
|
|
|
|
|||||
The accompanying notes are an integral part of the financial statements.
40
Table of Contents
| MML Balanced Allocation Fund |
MML Moderate Allocation Fund |
MML Growth Allocation Fund |
||||||||||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||||||||
| $ | 9,338,831 | $ | 8,113,520 | $ | 26,677,462 | $ | 21,897,368 | $ | 18,385,279 | $ | 17,326,397 | |||||||||||
| 38,878,556 | 27,501,646 | 136,236,464 | 84,053,005 | 147,613,606 | 131,695,539 | |||||||||||||||||
| 19,837,944 | 12,286,977 | 108,604,854 | 49,638,152 | 139,369,197 | 29,520,733 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 68,055,331 | 47,902,143 | 271,518,780 | 155,588,525 | 305,368,082 | 178,542,669 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (3,766,986 | ) | (2,533,489 | ) | (7,875,011 | ) | (5,831,328 | ) | (10,639,230 | ) | (7,398,962 | ) | |||||||||||
| (7,836,450 | ) | (4,492,605 | ) | (20,807,092 | ) | (12,161,972 | ) | (13,912,409 | ) | (8,967,612 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (11,603,436 | ) | (7,026,094 | ) | (28,682,103 | ) | (17,993,300 | ) | (24,551,639 | ) | (16,366,574 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (6,913,234 | ) | (3,348,248 | ) | (18,768,313 | ) | (8,320,844 | ) | (47,916,721 | ) | (5,230,349 | ) | |||||||||||
| (15,677,018 | ) | (6,714,308 | ) | (55,055,174 | ) | (19,894,894 | ) | (71,669,369 | ) | (7,698,844 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (22,590,252 | ) | (10,062,556 | ) | (73,823,487 | ) | (28,215,738 | ) | (119,586,090 | ) | (12,929,193 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 4,997,204 | 12,116,176 | 10,884,692 | 10,347,681 | 35,587,720 | (20,128,378 | ) | ||||||||||||||||
| 58,234,913 | 42,319,768 | 295,859,044 | 204,955,868 | 72,437,592 | (6,856,832 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 63,232,117 | 54,435,944 | 306,743,736 | 215,303,549 | 108,025,312 | (26,985,210 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 97,093,760 | 85,249,437 | 475,756,926 | 324,683,036 | 269,255,665 | 122,261,692 | |||||||||||||||||
| 461,139,779 | 375,890,342 | 1,470,777,832 | 1,146,094,796 | 1,386,003,889 | 1,263,742,197 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 558,233,539 | $ | 461,139,779 | $ | 1,946,534,758 | $ | 1,470,777,832 | $ | 1,655,259,554 | $ | 1,386,003,889 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 11,182,601 | $ | 11,558,580 | $ | 32,656,853 | $ | 28,551,696 | $ | 23,412,665 | $ | 24,392,526 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
41
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Statements of Changes in Net Assets
| MML Aggressive Allocation Fund |
||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||
| Increase (Decrease) in Net Assets: | ||||||||
| Operations: | ||||||||
| Net investment income (loss) |
$ | 795,032 | $ | 648,473 | ||||
| Net realized gain (loss) on investment transactions |
10,514,177 | 7,588,934 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
11,179,370 | 2,416,834 | ||||||
|
|
|
|
|
|||||
| Net increase (decrease) in net assets resulting from operations |
22,488,579 | 10,654,241 | ||||||
|
|
|
|
|
|||||
| Distributions to shareholders (Note 2): | ||||||||
| From net investment income: |
||||||||
| Initial Class |
(602,148 | ) | (348,090 | ) | ||||
| Service Class |
(459,342 | ) | (186,793 | ) | ||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net investment income |
(1,061,490 | ) | (534,883 | ) | ||||
|
|
|
|
|
|||||
| From net realized gains: |
||||||||
| Initial Class |
(2,976,552 | ) | - | |||||
| Service Class |
(2,660,137 | ) | - | |||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Total distributions from net realized gains |
(5,636,689 | ) | - | |||||
|
|
|
|
|
|||||
| Net fund share transactions (Note 5): | ||||||||
| Initial Class |
2,622,873 | (517,891 | ) | |||||
| Service Class |
9,757,387 | 1,381,764 | ||||||
| Service Class I |
- | - | ||||||
|
|
|
|
|
|||||
| Increase (decrease) in net assets from fund share transactions |
12,380,260 | 863,873 | ||||||
|
|
|
|
|
|||||
| Total increase (decrease) in net assets |
28,170,660 | 10,983,231 | ||||||
| Net assets | ||||||||
| Beginning of year |
79,870,661 | 68,887,430 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 108,041,321 | $ | 79,870,661 | ||||
|
|
|
|
|
|||||
| Undistributed (accumulated) net investment income (loss) included in net assets at end of year |
$ | 1,115,062 | $ | 1,053,154 | ||||
|
|
|
|
|
|||||
The accompanying notes are an integral part of the financial statements.
42
Table of Contents
| MML American Funds Growth Fund |
MML American Funds International Fund |
MML American Funds Core Allocation Fund |
||||||||||||||||||||
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||||||||
| $ | 443,465 | $ | 254,810 | $ | 419,315 | $ | 397,403 | $ | 8,009,009 | $ | 6,397,042 | |||||||||||
| 3,811,961 | 1,540,695 | 1,621,129 | 1,019,228 | 18,471,200 | 8,807,009 | |||||||||||||||||
| 16,661,648 | 7,211,388 | 6,347,235 | 4,371,380 | 53,538,913 | 27,684,714 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 20,917,074 | 9,006,893 | 8,387,679 | 5,788,011 | 80,019,122 | 42,888,765 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| - | - | - | - | - | - | |||||||||||||||||
| - | - | - | - | - | - | |||||||||||||||||
| (256,783 | ) | (117,069 | ) | (398,567 | ) | (482,538 | ) | (6,409,712 | ) | (5,998,788 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (256,783 | ) | (117,069 | ) | (398,567 | ) | (482,538 | ) | (6,409,712 | ) | (5,998,788 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| - | - | - | - | - | - | |||||||||||||||||
| - | - | - | - | - | - | |||||||||||||||||
| (1,524,266 | ) | (531,546 | ) | (976,734 | ) | (556,561 | ) | (8,766,423 | ) | (10,223,523 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (1,524,266 | ) | (531,546 | ) | (976,734 | ) | (556,561 | ) | (8,766,423 | ) | (10,223,523 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| - | - | - | - | - | - | |||||||||||||||||
| - | - | - | - | - | - | |||||||||||||||||
| 8,962,236 | 8,431,522 | 2,818,964 | 2,074,021 | 62,676,475 | 40,091,108 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 8,962,236 | 8,431,522 | 2,818,964 | 2,074,021 | 62,676,475 | 40,091,108 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 28,098,261 | 16,789,800 | 9,831,342 | 6,822,933 | 127,519,462 | 66,757,562 | |||||||||||||||||
| 66,068,830 | 49,279,030 | 38,623,725 | 31,800,792 | 422,997,204 | 356,239,642 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 94,167,091 | $ | 66,068,830 | $ | 48,455,067 | $ | 38,623,725 | $ | 550,516,666 | $ | 422,997,204 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 438,777 | $ | 252,098 | $ | 415,780 | $ | 395,034 | $ | 7,971,008 | $ | 6,371,735 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
43
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Conservative Allocation Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio
of expenses to average daily net assetsw |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class | ||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.81 | $ | 0.25 | $ | 0.93 | $ | 1.18 | $ | (0.26 | ) | $ | (0.33 | ) | $ | (0.59 | ) | $ | 11.40 | 11.32% | $ | 141,078 | 0.13% | 2.19% | ||||||||||||||||||||||||
| 12/31/12 |
10.24 | 0.25 | 0.90 | 1.15 | (0.21 | ) | (0.37 | ) | (0.58 | ) | 10.81 | 11.40% | 140,899 | 0.13% | 2.29% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.82 | 0.21 | 0.06 | 0.27 | (0.31 | ) | (0.54 | ) | (0.85 | ) | 10.24 | 2.57% | 113,666 | 0.13% | 2.00% | |||||||||||||||||||||||||||||||||
| 12/31/10 | 9.81 | 0.32 | 0.84 | 1.16 | (0.15 | ) | - | (0.15 | ) | 10.82 | 11.91% | 101,461 | 0.13% | 3.12% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 8.15 | 0.19 | 1.53 | 1.72 | (0.05 | ) | (0.01 | ) | (0.06 | ) | 9.81 | 21.15% | 83,810 | 0.15% | 2.11% | |||||||||||||||||||||||||||||||||
| Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.74 | $ | 0.22 | $ | 0.93 | $ | 1.15 | $ | (0.24 | ) | $ | (0.33 | ) | $ | (0.57 | ) | $ | 11.32 | 11.07% | $ | 326,916 | 0.38% | 1.96% | ||||||||||||||||||||||||
| 12/31/12 |
10.18 | 0.22 | 0.90 | 1.12 | (0.19 | ) | (0.37 | ) | (0.56 | ) | 10.74 | 11.15% | 295,560 | 0.38% | 2.05% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.77 | 0.19 | 0.04 | 0.23 | (0.28 | ) | (0.54 | ) | (0.82 | ) | 10.18 | 2.28% | 231,334 | 0.38% | 1.75% | |||||||||||||||||||||||||||||||||
| 12/31/10 | 9.78 | 0.29 | 0.83 | 1.12 | (0.13 | ) | - | (0.13 | ) | 10.77 | 11.59% | 196,487 | 0.38% | 2.87% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 8.14 | 0.18 | 1.52 | 1.70 | (0.05 | ) | (0.01 | ) | (0.06 | ) | 9.78 | 20.91% | 143,548 | 0.40% | 1.96% | |||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
33 | % | 18 | % | 20 | % | 44 | % | 47 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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. |
| w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
| x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
44
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Balanced Allocation Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assetsw |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.85 | $ | 0.23 | $ | 1.29 | $ | 1.52 | $ | (0.28 | ) | $ | (0.51 | ) | $ | (0.79 | ) | $ | 11.58 | 14.49% | $ | 164,583 | 0.13% | 1.99% | ||||||||||||||||||||||||
| 12/31/12 | 10.06 | 0.22 | 1.01 | 1.23 | (0.19 | ) | (0.25 | ) | (0.44 | ) | 10.85 | 12.40% | 148,872 | 0.13% | 2.08% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.34 | 0.18 | (0.00 | )d | 0.18 | (0.27 | ) | (0.19 | ) | (0.46 | ) | 10.06 | 1.73% | 126,438 | 0.13% | 1.76% | ||||||||||||||||||||||||||||||||
| 12/31/10 | 9.31 | 0.26 | 0.91 | 1.17 | (0.14 | ) | - | (0.14 | ) | 10.34 | 12.73% | 130,142 | 0.13% | 2.71% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 7.59 | 0.15 | 1.63 | 1.78 | (0.05 | ) | (0.01 | ) | (0.06 | ) | 9.31 | 23.50% | 120,940 | 0.14% | 1.83% | |||||||||||||||||||||||||||||||||
| Service Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.80 | $ | 0.20 | $ | 1.28 | $ | 1.48 | $ | (0.25 | ) | $ | (0.51 | ) | $ | (0.76 | ) | $ | 11.52 | 14.23% | $ | 393,650 | 0.38% | 1.75% | ||||||||||||||||||||||||
| 12/31/12 | 10.02 | 0.19 | 1.01 | 1.20 | (0.17 | ) | (0.25 | ) | (0.42 | ) | 10.80 | 12.12% | 312,268 | 0.38% | 1.83% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.30 | 0.16 | 0.00 | d | 0.16 | (0.25 | ) | (0.19 | ) | (0.44 | ) | 10.02 | 1.54% | 249,453 | 0.38% | 1.51% | ||||||||||||||||||||||||||||||||
| 12/31/10 | 9.28 | 0.24 | 0.91 | 1.15 | (0.13 | ) | - | (0.13 | ) | 10.30 | 12.49% | 219,161 | 0.38% | 2.46% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 7.59 | 0.14 | 1.61 | 1.75 | (0.05 | ) | (0.01 | ) | (0.06 | ) | 9.28 | 23.09% | 161,300 | 0.39% | 1.65% | |||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
22 | % | 21 | % | 12 | % | 39 | % | 42 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| d | Amount is less than $0.005 per share. |
| m | Total return 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. |
| w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
| x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
45
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Moderate Allocation Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assetsw |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class | ||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.96 | $ | 0.20 | $ | 1.66 | $ | 1.86 | $ | (0.21 | ) | $ | (0.51 | ) | $ | (0.72 | ) | $ | 12.10 | 17.57% | $ | 465,692 | 0.12% | 1.74% | ||||||||||||||||||||||||
| 12/31/12 |
10.04 | 0.20 | 1.11 | 1.31 | (0.16 | ) | (0.23 | ) | (0.39 | ) | 10.96 | 13.17% | 410,035 | 0.12% | 1.82% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.16 | 0.16 | (0.06 | ) | 0.10 | (0.21 | ) | (0.01 | ) | (0.22 | ) | 10.04 | 1.00% | 365,793 | 0.12% | 1.55% | ||||||||||||||||||||||||||||||||
| 12/31/10 | 9.08 | 0.22 | 0.99 | 1.21 | (0.13 | ) | - | (0.13 | ) | 10.16 | 13.48% | 382,041 | 0.12% | 2.30% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 7.26 | 0.14 | 1.74 | 1.88 | (0.05 | ) | (0.01 | ) | (0.06 | ) | 9.08 | 25.90% | 331,628 | 0.13% | 1.77% | |||||||||||||||||||||||||||||||||
| Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.89 | $ | 0.18 | $ | 1.65 | $ | 1.83 | $ | (0.19 | ) | $ | (0.51 | ) | $ | (0.70 | ) | $ | 12.02 | 17.37% | $ | 1,480,843 | 0.37% | 1.51% | ||||||||||||||||||||||||
| 12/31/12 |
9.99 | 0.17 | 1.10 | 1.27 | (0.14 | ) | (0.23 | ) | (0.37 | ) | 10.89 | 12.82% | 1,060,743 | 0.37% | 1.60% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 10.12 | 0.13 | (0.06 | ) | 0.07 | (0.19 | ) | (0.01 | ) | (0.20 | ) | 9.99 | 0.73% | 780,302 | 0.37% | 1.31% | ||||||||||||||||||||||||||||||||
| 12/31/10 | 9.05 | 0.19 | 0.99 | 1.18 | (0.11 | ) | - | (0.11 | ) | 10.12 | 13.24% | 622,603 | 0.37% | 2.07% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 7.26 | 0.12 | 1.73 | 1.85 | (0.05 | ) | (0.01 | ) | (0.06 | ) | 9.05 | 25.48% | 403,209 | 0.38% | 1.54% | |||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
19 | % | 18 | % | 12 | % | 31 | % | 39 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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. |
| w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
| x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
46
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Growth Allocation Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assetsw |
Net investment income (loss) to average daily net assets |
|||||||||||||||||||||||||||||||||||||
| Initial Class | ||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.66 | $ | 0.16 | $ | 2.13 | $ | 2.29 | $ | (0.21 | ) | $ | (0.94 | ) | $ | (1.15 | ) | $ | 11.80 | 22.64% | $ | 659,823 | 0.12% | 1.36% | ||||||||||||||||||||||||
| 12/31/12 |
9.53 | 0.15 | 1.22 | 1.37 | (0.14 | ) | (0.10 | ) | (0.24 | ) | 10.66 | 14.49% | 559,044 | 0.12% | 1.43% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 9.75 | 0.12 | (0.16 | ) | (0.04 | ) | (0.18 | ) | - | (0.18 | ) | 9.53 | (0.41% | ) | 518,216 | 0.12% | 1.23% | |||||||||||||||||||||||||||||||
| 12/31/10 | 8.59 | 0.15 | 1.11 | 1.26 | (0.10 | ) | - | (0.10 | ) | 9.75 | 14.92% | 538,363 | 0.12% | 1.68% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.66 | 0.12 | 1.85 | 1.97 | (0.03 | ) | (0.01 | ) | (0.04 | ) | 8.59 | 29.61% | 470,601 | 0.12% | 1.57% | |||||||||||||||||||||||||||||||||
| Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.62 | $ | 0.13 | $ | 2.11 | $ | 2.24 | $ | (0.18 | ) | $ | (0.94 | ) | $ | (1.12 | ) | $ | 11.74 | 22.25% | $ | 995,436 | 0.37% | 1.11% | ||||||||||||||||||||||||
| 12/31/12 |
9.49 | 0.12 | 1.23 | 1.35 | (0.12 | ) | (0.10 | ) | (0.22 | ) | 10.62 | 14.28% | 826,960 | 0.37% | 1.18% | |||||||||||||||||||||||||||||||||
| 12/31/11 | 9.71 | 0.10 | (0.16 | ) | (0.06 | ) | (0.16 | ) | - | (0.16 | ) | 9.49 | (0.63% | ) | 745,526 | 0.37% | 0.98% | |||||||||||||||||||||||||||||||
| 12/31/10 | 8.57 | 0.13 | 1.10 | 1.23 | (0.09 | ) | - | (0.09 | ) | 9.71 | 14.54% | 755,101 | 0.37% | 1.45% | ||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.66 | 0.10 | 1.85 | 1.95 | (0.03 | ) | (0.01 | ) | (0.04 | ) | 8.57 | 29.29% | 559,084 | 0.37% | 1.34% | |||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
22 | % | 27 | % | 12 | % | 32 | % | 40 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| m | Total return 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. |
| w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
| x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
47
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML Aggressive Allocation Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waiversw |
Ratio of expenses to average daily net assets after expense waiversw,j |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Initial Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.47 | $ | 0.11 | $ | 2.65 | $ | 2.76 | $ | (0.14 | ) | $ | (0.71 | ) | $ | (0.85 | ) | $ | 12.38 | 27.39% | $ | 56,721 | 0.19% | 0.19% | l | 0.94% | ||||||||||||||||||||||||||
| 12/31/12 |
9.12 | 0.10 | 1.33 | 1.43 | (0.08 | ) | - | (0.08 | ) | 10.47 | 15.73% | 45,399 | 0.20% | 0.20% | k | 0.98% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 9.40 | 0.08 | (0.26 | ) | (0.18 | ) | (0.10 | ) | - | (0.10 | ) | 9.12 | (1.86% | ) | 40,085 | 0.19% | N/A | 0.81% | ||||||||||||||||||||||||||||||||||
| 12/31/10 | 8.20 | 0.09 | 1.21 | 1.30 | (0.10 | ) | - | (0.10 | ) | 9.40 | 16.05% | 41,787 | 0.21% | 0.20% | 1.08% | |||||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.15 | 0.09 | 2.00 | 2.09 | (0.02 | ) | (0.02 | ) | (0.04 | ) | 8.20 | 34.04% | 33,931 | 0.24% | 0.20% | 1.34% | ||||||||||||||||||||||||||||||||||||
| Service Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.40 | $ | 0.08 | $ | 2.64 | $ | 2.72 | $ | (0.12 | ) | $ | (0.71 | ) | $ | (0.83 | ) | $ | 12.29 | 27.15% | $ | 51,320 | 0.44% | 0.44% | l | 0.74% | ||||||||||||||||||||||||||
| 12/31/12 |
9.07 | 0.07 | 1.32 | 1.39 | (0.06 | ) | - | (0.06 | ) | 10.40 | 15.35% | 34,472 | 0.45% | 0.45% | k | 0.72% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 9.35 | 0.05 | (0.24 | ) | (0.19 | ) | (0.09 | ) | - | (0.09 | ) | 9.07 | (2.03% | ) | 28,803 | 0.44% | N/A | 0.59% | ||||||||||||||||||||||||||||||||||
| 12/31/10 | 8.16 | 0.07 | 1.20 | 1.27 | (0.08 | ) | - | (0.08 | ) | 9.35 | 15.83% | 22,669 | 0.46% | 0.45% | 0.86% | |||||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.14 | 0.08 | 1.98 | 2.06 | (0.02 | ) | (0.02 | ) | (0.04 | ) | 8.16 | 33.60% | 15,066 | 0.49% | 0.45% | 1.11% | ||||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
27 | % | 35 | % | 20 | % | 42 | % | 38 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
| l | Expenses incurred during the period fell under the expense cap. |
| m | Total return 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. |
| w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
| x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
48
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML American Funds Growth Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waiversu |
Ratio of expenses to average daily net assets after expense waiversu,j |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Service Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 11.16 | $ | 0.07 | $ | 3.19 | $ | 3.26 | $ | (0.04 | ) | $ | (0.24 | ) | $ | (0.28 | ) | $ | 14.14 | 29.56% | $ | 94,167 | 0.70% | 0.70% | k | 0.55% | ||||||||||||||||||||||||||
| 12/31/12 | 9.61 | 0.05 | 1.62 | 1.67 | (0.02 | ) | (0.10 | ) | (0.12 | ) | 11.16 | 17.41% | 66,069 | 0.74% | 0.70% | 0.44% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 10.32 | 0.03 | (0.51 | ) | (0.48 | ) | (0.03 | ) | (0.20 | ) | (0.23 | ) | 9.61 | (4.74% | ) | 49,279 | 0.77% | 0.70% | 0.26% | |||||||||||||||||||||||||||||||||
| 12/31/10 | 8.80 | 0.04 | 1.55 | 1.59 | (0.02 | ) | (0.05 | ) | (0.07 | ) | 10.32 | 18.16% | 37,761 | 0.81% | 0.70% | 0.43% | ||||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.36 | 0.03 | 2.44 | 2.47 | - | (0.03 | ) | (0.03 | ) | 8.80 | 38.86% | 22,130 | 0.90% | 0.70% | 0.39% | |||||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
8 | % | 6 | % | 3 | % | 10 | % | 9 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| k | Amount waived had no impact on the ratio of expenses to average daily net assets. |
| m | Total return 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. |
| u | Expenses of the Master Fund are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of the Master Fund. |
| x | Amount does not include the portfolio activity of the Master Fund. |
The accompanying notes are an integral part of the financial statements.
49
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML American Funds International Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waiversu |
Ratio of expenses to average daily net assets after expense waiversu,j |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Service Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 9.62 | $ | 0.10 | $ | 1.88 | $ | 1.98 | $ | (0.10 | ) | $ | (0.23 | ) | $ | (0.33 | ) | $ | 11.27 | 21.09% | $ | 48,455 | 0.74% | 0.70% | 0.98% | |||||||||||||||||||||||||||
| 12/31/12 | 8.44 | 0.10 | 1.34 | 1.44 | (0.12 | ) | (0.14 | ) | (0.26 | ) | 9.62 | 17.38% | 38,624 | 0.79% | 0.70% | 1.11% | ||||||||||||||||||||||||||||||||||||
| 12/31/11 | 10.22 | 0.14 | (1.60 | ) | (1.46 | ) | (0.13 | ) | (0.19 | ) | (0.32 | ) | 8.44 | (14.36% | ) | 31,801 | 0.81% | 0.70% | 1.49% | |||||||||||||||||||||||||||||||||
| 12/31/10 | 9.79 | 0.17 | 0.47 | 0.64 | (0.08 | ) | (0.13 | ) | (0.21 | ) | 10.22 | 6.82% | 31,337 | 0.83% | 0.70% | 1.78% | ||||||||||||||||||||||||||||||||||||
| 12/31/09 | 6.92 | 0.12 | 2.82 | 2.94 | - | (0.07 | ) | (0.07 | ) | 9.79 | 42.63% | 21,308 | 0.91% | 0.70% | 1.48% | |||||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
8 | % | 10 | % | 6 | % | 9 | % | 12 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| m | Total return 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. |
| u | Expenses of the Master Fund are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of the Master Fund. |
| x | Amount does not include the portfolio activity of the Master Fund. |
The accompanying notes are an integral part of the financial statements.
50
Table of Contents
MML Series Investment Fund – Financial Statements (Continued)
Financial Highlights (For a share outstanding throughout each period)
MML American Funds Core Allocation Fund
| Income (loss) from investment operations |
Less distributions to shareholders | Ratios / Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss)c,j |
Net realized and unrealized gain (loss) on investments |
Total income (loss) from investment operations |
From net investment income |
From net realized gains |
Total distributions |
Net asset value, end of the period |
Total Returnm |
Net assets, end of the period (000’s) |
Ratio of expenses to average daily net assets before expense waiversw |
Ratio of expenses to average daily net assets after expense waiversw,j |
Net investment income (loss) to average daily net assets |
||||||||||||||||||||||||||||||||||||||||
| Service Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/31/13 | $ | 10.72 | $ | 0.19 | $ | 1.73 | $ | 1.92 | $ | (0.15 | ) | $ | (0.21 | ) | $ | (0.36 | ) | $ | 12.28 | 18.30% | $ | 550,517 | 0.72% | 0.72% | l | 1.68% | ||||||||||||||||||||||||||
| 12/31/12 | 10.00 | 0.17 | 0.99 | 1.16 | (0.16 | ) | (0.28 | ) | (0.44 | ) | 10.72 | 11.70% | 422,997 | 0.73% | 0.73% | l | 1.63% | |||||||||||||||||||||||||||||||||||
| 12/31/11 | 10.21 | 0.18 | (0.20 | ) | (0.02 | ) | (0.15 | ) | (0.04 | ) | (0.19 | ) | 10.00 | (0.16% | ) | 356,240 | 0.75% | N/A | 1.77% | |||||||||||||||||||||||||||||||||
| 12/31/10 | 9.56 | 0.18 | 0.67 | 0.85 | (0.13 | ) | (0.07 | ) | (0.20 | ) | 10.21 | 9.17% | 325,337 | 0.76% | 0.75% | 1.89% | ||||||||||||||||||||||||||||||||||||
| 12/31/09 | 7.75 | 0.20 | 1.69 | 1.89 | (0.08 | ) | - | (0.08 | ) | 9.56 | 24.52% | 231,008 | 0.77% | 0.75% | 2.31% | |||||||||||||||||||||||||||||||||||||
| Year ended December 31 | ||||||||||||||||||||
| 2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||
| Portfolio turnover rate for all share classesx |
8 | % | 8 | % | 13 | % | 3 | % | 10 | % | ||||||||||
| c | Per share amount calculated on the average shares method. |
| j | Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund. |
| l | Expenses incurred during the period fell under the expense cap. |
| m | Total return 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. |
| w | Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund. |
| x | Amount does not include the portfolio activity of any underlying fund. |
The accompanying notes are an integral part of the financial statements.
51
Table of Contents
| 1. | The Funds |
MML Series Investment Fund (the “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 December 19. 1984, as restated May 14, 1993, and further amended and restated as of December 15, 2011, as it may be further amended from time to time. The following are eight series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):
MML Conservative Allocation Fund (“Conservative Allocation Fund”)
MML Balanced Allocation Fund (“Balanced Allocation Fund”)
MML Moderate Allocation Fund (“Moderate Allocation Fund”)
MML Growth Allocation Fund (“Growth Allocation Fund”)
MML Aggressive Allocation Fund (“Aggressive Allocation Fund”)
MML American Funds® Growth Fund (“American Funds Growth Fund”)
MML American Funds® International Fund (“American Funds International Fund”)
MML American Funds® Core Allocation Fund (“American Funds Core Allocation Fund”)
The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, and C.M. Life Insurance Company are the record owners of all of the outstanding shares of the Funds.
The Conservative Allocation Fund, Balanced Allocation Fund, Moderate Allocation Fund, Growth Allocation Fund, and Aggressive Allocation Fund (the “Allocation Funds”) invest their investable assets primarily in shares of various funds advised by MassMutual or a control affiliate of MassMutual. The Allocation Funds may also invest in non-affiliated funds. The financial statements of other series of the Trust, the applicable series of the MML Series Investment Fund II (which are advised by MassMutual), Oppenheimer Funds (which are advised by OppenheimerFunds, Inc., a majority-owned, indirect subsidiary of MassMutual), and non-affiliated funds are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its Internet site at www.sec.gov or by calling MassMutual at 1-888-309-3539. The assets of each of the five Allocation Funds listed above are diversified and a shareholder’s interest is limited to the series of the Trust, MML Series Investment Fund II, Oppenheimer Funds, or any non-affiliated funds in which the shares are invested.
American Funds Growth Fund and American Funds International Fund (each a “Feeder Fund,” collectively the “Feeder Funds”) invest all of their assets in Class 1 shares of the Growth and International Funds, respectively, each a series of the American Funds Insurance Series (each a “Master Fund,” collectively the “Master Funds”). Each Master Fund is an open-end investment company and organized as a Massachusetts business trust. Each Feeder Fund has an investment objective that is consistent with its corresponding Master Fund. Each Master Fund intends to comply with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its taxable income and capital gains to shareholders, which includes the applicable Feeder Fund, to qualify as a regulated investment company. The performance of the Feeder Funds is directly affected by the performance of the Master Funds. The financial statements of the Master Funds, including the Summary Investment Portfolios, are provided separately and should be read in conjunction with the Feeder Funds’ financial statements. As of December 31, 2013, the American Funds Growth Fund and American Funds International Fund owned 0.40% and 0.52% of the Growth and International Master Funds, respectively. The American Funds Core Allocation Fund invests all of its investable assets in shares of various series of American Funds Insurance Series, which are managed by Capital Research and Management Company.
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
52
Table of Contents
Notes to Financial Statements (Continued)
| 2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.
The net asset value of each Fund is based upon the net asset values of its corresponding Master Fund or underlying funds. Shares of the Master Funds and underlying funds are valued at their closing net asset values as reported on each business day. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Funds’ investment adviser determines more closely approximates current market value.
Certain underlying funds or Master Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the value of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day.
The Prospectuses and Statements of Additional Information (“SAIs”) for the underlying funds or Master Funds, as applicable, explain the valuation methods for the underlying funds or Master Funds, including the circumstances under which the underlying funds or Master Funds may use fair value pricing and the effects of doing so. Such Prospectuses and SAIs are available on the SEC EDGAR database on its Internet site at www.sec.gov.
Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The Conservative Allocation Fund, Balanced Allocation Fund, Moderate Allocation Fund, Growth Allocation Fund, Aggressive Allocation Fund, American Funds International Fund, and American Funds Core Allocation Fund characterized all investments at Level 1, as of December 31, 2013. The American Funds Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2013. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The Funds had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the year ended December 31, 2013. The Funds recognize transfers between the Levels as of the beginning of the year.
Accounting for Investment Transactions
Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the
53
Table of Contents
Notes to Financial Statements (Continued)
portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and distributions including realized gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.
In addition, each Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and each Fund, except American Funds Growth Fund and American Funds International Fund, may own different proportions of underlying funds at different times, the amount of fees and expenses indirectly incurred by each Fund will vary.
Foreign Securities
Certain underlying funds or Master Funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.
54
Table of Contents
Notes to Financial Statements (Continued)
| 3. | Management Fees and Other Transactions |
Investment Management Fees
Under agreements between MassMutual and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:
| Conservative Allocation Fund |
0.10% | Aggressive Allocation Fund |
0.10% | |||||||
| Balanced Allocation Fund |
0.10% | American Funds Growth Fund | 0.15% | |||||||
| Moderate Allocation Fund |
0.10% | American Funds International Fund |
0.15% | |||||||
| Growth Allocation Fund |
0.10% | American Funds Core Allocation Fund |
|
0.20% |
|
Administration Fees
For the American Funds Growth Fund, American Funds International Fund, and American Funds Core Allocation Fund, under separate administrative and shareholder services agreements between the Funds and MassMutual, MassMutual provides certain administrative and shareholder services and bears some of the class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
| Service Class I | ||||
| American Funds Growth Fund |
0.25% | |||
| American Funds International Fund |
0.25% | |||
| American Funds Core Allocation Fund |
0.25% | |||
Distribution and Service Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Funds. Pursuant to a Distribution and Services Plan adopted by the Funds pursuant to Rule 12b-1 under the 1940 Act, Service Class shares and Service Class I shares of the Funds pay an annual fee of 0.25% of the average daily net asset value of Service Class shares and Service Class I shares. This fee, or a portion thereof, is paid to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Service Class shares or Service Class I shares, as applicable, of each Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Service Class and Service Class I shareholders.
Expense Caps and Waivers
MassMutual agreed to cap the fees and expenses of the Funds (other than extraordinary litigation and legal expenses, Master/Acquired Fund fees and expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:
| Initial Class | Service Class | Service Class I | ||||
| Aggressive Allocation Fund* |
0.20% | 0.45% | None | |||
| American Funds Growth Fund** |
None | None | 0.70% | |||
| American Funds International Fund** |
None | None | 0.70% | |||
| American Funds Core Allocation Fund* |
None | None | 0.75% |
| # | Master/Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles. |
| * | Expense caps in effect through April 30, 2013. |
| ** | Expense caps in effect through April 30, 2014. |
55
Table of Contents
Notes to Financial Statements (Continued)
Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.
Deferred Compensation
Trustees of the Funds who are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.
| 4. | Purchases and Sales of Investments |
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2013, were as follows:
| Purchases | Sales | |||||||||||||||
| Long-Term
U.S. Government Securities |
Other Long-Term Securities |
Long-Term
U.S. Government Securities |
Other Long-Term Securities |
|||||||||||||
| Conservative Allocation Fund |
$ | - | $ | 149,811,073 | $ | - | $ | 149,519,473 | ||||||||
| Balanced Allocation Fund |
- | 158,259,506 | - | 110,378,878 | ||||||||||||
| Moderate Allocation Fund |
- | 587,275,176 | - | 321,001,108 | ||||||||||||
| Growth Allocation Fund |
- | 344,955,975 | - | 326,587,092 | ||||||||||||
| Aggressive Allocation Fund |
- | 34,620,493 | - | 25,553,743 | ||||||||||||
| American Funds Growth Fund |
- | 14,366,636 | - | 6,709,784 | ||||||||||||
| American Funds International Fund |
- | 5,448,550 | - | 3,574,043 | ||||||||||||
| American Funds Core Allocation Fund |
- | 95,620,175 | - | 39,980,475 | ||||||||||||
| 5. | Capital Share Transactions |
Changes in shares outstanding for each Fund were as follows:
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Conservative Allocation Fund Initial Class |
||||||||||||||||
| Sold |
1,877,823 | $ | 21,025,436 | 2,979,839 | $ | 31,948,401 | ||||||||||
| Issued as reinvestment of dividends |
677,349 | 7,254,406 | 634,968 | 6,641,766 | ||||||||||||
| Redeemed |
(3,212,722 | ) | (36,026,064 | ) | (1,679,318 | ) | (18,004,386 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
(657,550 | ) | $ | (7,746,222 | ) | 1,935,489 | $ | 20,585,781 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Conservative Allocation Fund Service Class |
||||||||||||||||
| Sold |
4,864,126 | $ | 54,092,874 | 5,625,441 | $ | 60,005,784 | ||||||||||
| Issued as reinvestment of dividends |
1,488,585 | 15,838,548 | 1,293,309 | 13,463,345 | ||||||||||||
| Redeemed |
(4,982,866 | ) | (55,453,825 | ) | (2,116,789 | ) | (22,535,827 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
1,369,845 | $ | 14,477,597 | 4,801,961 | $ | 50,933,302 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
56
Table of Contents
Notes to Financial Statements (Continued)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Balanced Allocation Fund Initial Class |
||||||||||||||||
| Sold |
1,423,956 | $ | 16,210,783 | 2,319,860 | $ | 24,707,815 | ||||||||||
| Issued as reinvestment of dividends |
992,586 | 10,680,220 | 561,771 | 5,881,737 | ||||||||||||
| Redeemed |
(1,925,556 | ) | (21,893,799 | ) | (1,732,319 | ) | (18,473,376 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
490,986 | $ | 4,997,204 | 1,149,312 | $ | 12,116,176 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Balanced Allocation Fund Service Class |
||||||||||||||||
| Sold |
4,950,833 | $ | 55,901,363 | 4,659,402 | $ | 49,389,515 | ||||||||||
| Issued as reinvestment of dividends |
2,195,468 | 23,513,468 | 1,074,488 | 11,206,913 | ||||||||||||
| Redeemed |
(1,881,103 | ) | (21,179,918 | ) | (1,721,202 | ) | (18,276,660 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
5,265,198 | $ | 58,234,913 | 4,012,688 | $ | 42,319,768 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Moderate Allocation Fund Initial Class |
||||||||||||||||
| Sold |
2,873,269 | $ | 33,309,584 | 3,497,176 | $ | 37,444,715 | ||||||||||
| Issued as reinvestment of dividends |
2,398,139 | 26,643,324 | 1,343,986 | 14,152,172 | ||||||||||||
| Redeemed |
(4,218,325 | ) | (49,068,216 | ) | (3,851,795 | ) | (41,249,206 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
1,053,083 | $ | 10,884,692 | 989,367 | $ | 10,347,681 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Moderate Allocation Fund Service Class |
||||||||||||||||
| Sold |
21,048,925 | $ | 244,351,216 | 18,187,217 | $ | 193,806,084 | ||||||||||
| Issued as reinvestment of dividends |
6,865,364 | 75,862,266 | 3,058,861 | 32,056,866 | ||||||||||||
| Redeemed |
(2,102,713 | ) | (24,354,438 | ) | (1,981,538 | ) | (20,907,082 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
25,811,576 | $ | 295,859,044 | 19,264,540 | $ | 204,955,868 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Growth Allocation Fund Initial Class |
||||||||||||||||
| Sold |
2,205,422 | $ | 25,220,688 | 1,874,036 | $ | 19,279,430 | ||||||||||
| Issued as reinvestment of dividends |
5,503,379 | 58,555,951 | 1,239,383 | 12,629,311 | ||||||||||||
| Redeemed |
(4,194,509 | ) | (48,188,919 | ) | (5,059,502 | ) | (52,037,119 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
3,514,292 | $ | 35,587,720 | (1,946,083 | ) | $ | (20,128,378 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Growth Allocation Fund Service Class |
||||||||||||||||
| Sold |
3,508,324 | $ | 39,764,971 | 1,777,143 | $ | 18,216,236 | ||||||||||
| Issued as reinvestment of dividends |
8,073,752 | 85,581,778 | 1,642,015 | 16,666,456 | ||||||||||||
| Redeemed |
(4,655,264 | ) | (52,909,157 | ) | (4,078,032 | ) | (41,739,524 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
6,926,812 | $ | 72,437,592 | (658,874 | ) | $ | (6,856,832 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Aggressive Allocation Fund Initial Class |
||||||||||||||||
| Sold |
483,643 | $ | 5,615,320 | 499,229 | $ | 4,990,949 | ||||||||||
| Issued as reinvestment of dividends |
325,632 | 3,578,700 | 34,984 | 348,090 | ||||||||||||
| Redeemed |
(564,756 | ) | (6,571,147 | ) | (591,254 | ) | (5,856,930 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
244,519 | $ | 2,622,873 | (57,041 | ) | $ | (517,891 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Aggressive Allocation Fund Service Class |
||||||||||||||||
| Sold |
1,000,300 | $ | 11,507,602 | 456,872 | $ | 4,565,027 | ||||||||||
| Issued as reinvestment of dividends |
285,667 | 3,119,478 | 18,868 | 186,793 | ||||||||||||
| Redeemed |
(423,630 | ) | (4,869,693 | ) | (337,631 | ) | (3,370,056 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
862,337 | $ | 9,757,387 | 138,109 | $ | 1,381,764 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| American Funds Growth Fund Service Class I |
||||||||||||||||
| Sold |
1,330,363 | $ | 16,761,260 | 1,253,317 | $ | 13,396,343 | ||||||||||
| Issued as reinvestment of dividends |
144,448 | 1,781,049 | 61,133 | 648,615 | ||||||||||||
| Redeemed |
(735,381 | ) | (9,580,073 | ) | (521,024 | ) | (5,613,436 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
739,430 | $ | 8,962,236 | 793,426 | $ | 8,431,522 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
57
Table of Contents
Notes to Financial Statements (Continued)
| Year Ended December 31, 2013 | Year Ended December 31, 2012 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| American Funds International Fund Service Class I |
||||||||||||||||
| Sold |
591,916 | $ | 6,139,893 | 655,019 | $ | 5,851,223 | ||||||||||
| Issued as reinvestment of dividends |
140,051 | 1,375,301 | 117,945 | 1,039,099 | ||||||||||||
| Redeemed |
(447,249 | ) | (4,696,230 | ) | (526,695 | ) | (4,816,301 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
284,718 | $ | 2,818,964 | 246,269 | $ | 2,074,021 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| American Funds Core Allocation Fund Service Class I |
||||||||||||||||
| Sold |
5,785,592 | $ | 67,466,530 | 4,424,765 | $ | 46,822,170 | ||||||||||
| Issued as reinvestment of dividends |
1,353,803 | 15,176,135 | 1,553,861 | 16,222,311 | ||||||||||||
| Redeemed |
(1,740,422 | ) | (19,966,190 | ) | (2,175,338 | ) | (22,953,373 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) |
5,398,973 | $ | 62,676,475 | 3,803,288 | $ | 40,091,108 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 6. | Federal Income Tax Information |
At December 31, 2013, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:
| Federal Income Tax Cost |
Tax Basis Unrealized Appreciation |
Tax Basis Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| Conservative Allocation Fund |
$ | 430,481,621 | $ | 43,938,093 | $ | (6,092,209 | ) | $ | 37,845,884 | |||||||
| Balanced Allocation Fund |
491,673,924 | 71,397,213 | (4,451,774 | ) | 66,945,439 | |||||||||||
| Moderate Allocation Fund |
1,677,510,781 | 283,511,588 | (13,201,775 | ) | 270,309,813 | |||||||||||
| Growth Allocation Fund |
1,304,923,070 | 358,714,248 | (7,376,709 | ) | 351,337,539 | |||||||||||
| Aggressive Allocation Fund |
86,950,492 | 21,547,323 | (372,705 | ) | 21,174,618 | |||||||||||
| American Funds Growth Fund |
63,985,564 | 30,371,595 | - | 30,371,595 | ||||||||||||
| American Funds International Fund |
37,433,677 | 11,097,231 | - | 11,097,231 | ||||||||||||
| American Funds Core Allocation Fund |
430,188,220 | 121,084,734 | (115,057 | ) | 120,969,677 | |||||||||||
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.
At December 31, 2013, for federal income tax purposes, there were no unused capital losses.
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
58
Table of Contents
Notes to Financial Statements (Continued)
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2013, was as follows:
| Ordinary Income |
Long Term Capital Gain |
Return of Capital |
||||||||||
| Conservative Allocation Fund |
$ | 9,991,892 | $ | 13,101,062 | $ | - | ||||||
| Balanced Allocation Fund |
11,799,523 | 22,394,165 | - | |||||||||
| Moderate Allocation Fund |
29,064,823 | 73,440,767 | - | |||||||||
| Growth Allocation Fund |
25,806,493 | 118,331,236 | - | |||||||||
| Aggressive Allocation Fund |
1,061,490 | 5,636,689 | - | |||||||||
| American Funds Growth Fund |
256,783 | 1,524,266 | - | |||||||||
| American Funds International Fund |
398,567 | 976,734 | - | |||||||||
| American Funds Core Allocation Fund |
6,409,712 | 8,766,423 | - | |||||||||
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2012, was as follows:
| Ordinary Income |
Long Term Capital Gain |
Return of Capital |
||||||||||
| Conservative Allocation Fund |
$ | 7,133,928 | $ | 12,971,183 | $ | - | ||||||
| Balanced Allocation Fund |
7,120,778 | 9,967,872 | - | |||||||||
| Moderate Allocation Fund |
18,247,700 | 27,961,338 | - | |||||||||
| Growth Allocation Fund |
16,366,574 | 12,929,193 | - | |||||||||
| Aggressive Allocation Fund |
534,883 | - | - | |||||||||
| American Funds Growth Fund |
117,069 | 531,546 | - | |||||||||
| American Funds International Fund |
482,538 | 556,561 | - | |||||||||
| American Funds Core Allocation Fund |
5,998,788 | 10,223,523 | - | |||||||||
The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2013:
| Amount | ||||
| Conservative Allocation Fund |
$ | 26,944 | ||
| Balanced Allocation Fund |
38,327 | |||
| Moderate Allocation Fund |
138,833 | |||
| Growth Allocation Fund |
159,212 | |||
| Aggressive Allocation Fund |
10,764 | |||
| American Funds International Fund |
80,062 | |||
| American Funds Core Allocation Fund |
86,759 | |||
Capital accounts within financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2013, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses and deferred Trustee compensation.
59
Table of Contents
Notes to Financial Statements (Continued)
At December 31, 2013, the components of distributable earnings on a tax basis were as follows:
| Undistributed Ordinary Income |
Undistributed Long Term Capital Gain (Capital Loss Carryover) |
Other Temporary Differences |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Conservative Allocation Fund |
$ | 11,108,984 | $ | 30,113,388 | $ | (51,200 | ) | $ | 37,845,884 | |||||||
| Balanced Allocation Fund |
11,335,964 | 35,128,275 | (60,204 | ) | 66,945,439 | |||||||||||
| Moderate Allocation Fund |
33,338,445 | 126,118,310 | (182,597 | ) | 270,309,813 | |||||||||||
| Growth Allocation Fund |
23,848,551 | 138,686,375 | (202,471 | ) | 351,337,541 | |||||||||||
| Aggressive Allocation Fund |
1,151,799 | 9,896,866 | (11,118 | ) | 21,174,618 | |||||||||||
| American Funds Growth Fund |
446,044 | 3,755,896 | (7,267 | ) | 30,371,595 | |||||||||||
| American Funds International Fund |
420,618 | 1,619,293 | (4,839 | ) | 11,097,231 | |||||||||||
| American Funds Core Allocation Fund |
8,023,583 | 18,344,278 | (52,574 | ) | 120,969,677 | |||||||||||
During the year ended December 31, 2013, the following amounts were reclassified due to permanent differences between book and tax accounting:
| Paid-in Capital |
Accumulated Net Realized Gain (Loss) on Investments |
Undistributed Net Investment Income (Loss) |
||||||||||
| Conservative Allocation Fund |
$ | 23 | $ | (1,709,943 | ) | $ | 1,709,920 | |||||
| Balanced Allocation Fund |
27 | (1,888,653 | ) | 1,888,626 | ||||||||
| Moderate Allocation Fund |
81 | (6,109,879 | ) | 6,109,798 | ||||||||
| Growth Allocation Fund |
88 | (5,186,587 | ) | 5,186,499 | ||||||||
| Aggressive Allocation Fund |
5 | (328,371 | ) | 328,366 | ||||||||
| American Funds Growth Fund |
3 | - | (3 | ) | ||||||||
| American Funds International Fund |
2 | - | (2 | ) | ||||||||
| American Funds Core Allocation Fund |
24 | - | (24 | ) | ||||||||
The Funds did not have any unrecognized tax benefits at December 31, 2013, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2013, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.
| 7. | Investment in Affiliated Issuers |
A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended December 31, 2013, was as follows:
| Number of Shares Held as of 12/31/12 |
Purchases | Sales | Number of Shares Held as of 12/31/13 |
Value as of 12/31/13 |
Dividend Income |
Realized Gains Distributions |
Net Realized Gain (Loss) |
|||||||||||||||||||||||||
| Conservative Allocation Fund |
|
|||||||||||||||||||||||||||||||
| MML Blue Chip Growth Fund, Initial Class |
1,328,169 | 343,796 | 471,897 | 1,200,068 | $ | 20,821,174 | $ | 42,815 | $ | 1,682,761 | $ | 2,699,862 | ||||||||||||||||||||
| MML Equity Fund, Initial Class |
215,910 | 5,727 | 221,637 | - | - | - | - | 981,180 | ||||||||||||||||||||||||
| MML Equity Income Fund, Initial Class |
2,047,205 | 322,902 | 608,223 | 1,761,884 | 23,732,579 | 421,340 | - | 1,965,698 | ||||||||||||||||||||||||
| MML Focused Equity Fund, Class II |
573,050 | 83,212 | 190,545 | 465,717 | 7,283,820 | - | 89,596 | 539,808 | ||||||||||||||||||||||||
60
Table of Contents
Notes to Financial Statements (Continued)
| Number of Shares Held as of 12/31/12 |
Purchases | Sales | Number of Shares Held as of 12/31/13 |
Value as of 12/31/13 |
Dividend Income |
Realized Gains Distributions |
Net Realized Gain (Loss) |
|||||||||||||||||||||||||
| Conservative Allocation Fund (Continued) |
|
|||||||||||||||||||||||||||||||
| MML Foreign Fund, Initial Class |
1,143,392 | 629,790 | 540,848 | 1,232,334 | $ | 13,826,784 | $ | 257,426 | $ | - | $ | 857,812 | ||||||||||||||||||||
| MML Fundamental Growth Fund, Class II |
1,136,095 | 202,086 | 332,270 | 1,005,911 | 14,545,471 | - | 11,197 | 560,105 | ||||||||||||||||||||||||
| MML Fundamental Value Fund, Class II |
1,297,551 | 330,011 | 393,094 | 1,234,468 | 19,084,872 | 276,969 | 573,196 | 1,337,545 | ||||||||||||||||||||||||
| MML Global Fund, Class I |
1,074,322 | 160,451 | 464,511 | 770,262 | 9,582,055 | 116,054 | - | 1,904,640 | ||||||||||||||||||||||||
| MML High Yield Fund, Class II |
1,734,005 | 945,740 | 664,046 | 2,015,699 | 22,233,156 | 1,366,137 | 538,846 | 845,920 | ||||||||||||||||||||||||
| MML Income & Growth Fund, Initial Class |
1,037,984 | 398,244 | 311,596 | 1,124,632 | 13,045,728 | 218,253 | - | 792,090 | ||||||||||||||||||||||||
| MML Inflation-Protected and Income Fund, Initial Class |
996,499 | 225,750 | 575,218 | 647,031 | 6,696,772 | 123,842 | 162,815 | 497,000 | ||||||||||||||||||||||||
| MML Large Cap Growth Fund, Initial Class |
1,005,431 | 217,585 | 293,906 | 929,110 | 13,592,882 | 47,908 | 649,106 | 1,228,071 | ||||||||||||||||||||||||
| MML Managed Bond Fund, Initial Class |
8,562,962 | 2,980,951 | 1,864,853 | 9,679,060 | 120,395,915 | 3,687,122 | 1,326,348 | 402,454 | ||||||||||||||||||||||||
| MML Mid Cap Growth Fund, Initial Class |
818,543 | 190,434 | 488,242 | 520,735 | 8,638,990 | 31,620 | 689,124 | 2,748,177 | ||||||||||||||||||||||||
| MML Mid Cap Value Fund, Initial Class |
1,183,681 | 210,884 | 587,453 | 807,112 | 11,017,081 | 246,337 | 523,249 | 2,491,867 | ||||||||||||||||||||||||
| MML PIMCO Total Return Fund, Class II |
5,253,197 | 2,056,442 | 1,219,881 | 6,089,758 | 62,968,097 | 1,221,955 | 534,910 | 589,341 | ||||||||||||||||||||||||
| MML Short-Duration Bond Fund, Class II |
3,159,118 | 1,223,906 | 1,140,802 | 3,242,222 | 32,227,686 | 657,999 | 161,930 | 34,221 | ||||||||||||||||||||||||
| MML Small Cap Growth Equity Fund, Initial Class |
252,717 | 66,873 | 102,833 | 216,757 | 4,943,592 | - | 263,398 | 389,104 | ||||||||||||||||||||||||
| MML Small Company Value Fund, Class II |
343,864 | 68,529 | 150,100 | 262,293 | 6,263,545 | 78,550 | 176,927 | 782,857 | ||||||||||||||||||||||||
| MML Small/Mid Cap Value Fund, Initial Class |
- | 309,760 | - | 309,760 | 4,274,708 | - | - | - | ||||||||||||||||||||||||
| Oppenheimer Discovery Mid Cap Growth Fund/VA, Non-Service Shares* |
- | 46,584 | - | 46,584 | 3,471,015 | - | - | - | ||||||||||||||||||||||||
| Oppenheimer Global Fund/VA, Non-Service Shares* |
256,904 | 45,056 | 135,596 | 166,364 | 6,797,694 | 110,141 | - | 1,503,747 | ||||||||||||||||||||||||
| Oppenheimer Global Strategic Income Fund/VA, Non-Service Shares* |
5,672,492 | 1,822,677 | 1,466,346 | 6,028,823 | 32,435,066 | 1,549,497 | - | 408,429 | ||||||||||||||||||||||||
| Oppenheimer International Growth Fund/VA, Non-Service Shares* |
3,432,563 | 2,387,811 | 1,754,684 | 4,065,690 | 10,448,823 | 133,110 | - | 1,217,785 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 468,327,505 | $ | 10,587,075 | $ | 7,383,403 | $ | 24,777,713 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Balanced Allocation Fund |
|
|||||||||||||||||||||||||||||||
| MML Blue Chip Growth Fund, Initial Class |
1,734,143 | 455,396 | 425,364 | 1,764,175 | $ | 30,608,439 | $ | 60,959 | $ | 2,395,814 | $ | 2,716,504 | ||||||||||||||||||||
| MML Equity Fund, Initial Class |
286,759 | 6,783 | 293,542 | - | - | - | - | 1,356,849 | ||||||||||||||||||||||||
| MML Equity Income Fund, Initial Class |
2,381,784 | 363,256 | 444,553 | 2,300,487 | 30,987,557 | 531,484 | - | 2,201,080 | ||||||||||||||||||||||||
| MML Focused Equity Fund, Class II |
908,339 | 117,181 | 196,102 | 829,418 | 12,972,092 | - | 156,917 | 592,336 | ||||||||||||||||||||||||
| MML Foreign Fund, Initial Class |
1,472,428 | 686,623 | 471,850 | 1,687,201 | 18,930,397 | 344,011 | - | 736,425 | ||||||||||||||||||||||||
| MML Fundamental Growth Fund, Class II |
1,500,939 | 259,205 | 267,886 | 1,492,258 | 21,578,057 | - | 16,039 | 478,123 | ||||||||||||||||||||||||
| MML Fundamental Value Fund, Class II |
1,555,416 | 353,815 | 275,925 | 1,633,306 | 25,250,909 | 358,055 | 741,005 | 1,260,508 | ||||||||||||||||||||||||
| MML Global Fund, Class I |
1,382,303 | 189,110 | 464,437 | 1,106,976 | 13,770,787 | 162,355 | - | 2,263,090 | ||||||||||||||||||||||||
| MML High Yield Fund, Class II |
1,583,240 | 838,838 | 408,504 | 2,013,574 | 22,209,722 | 1,307,517 | 501,635 | 559,855 | ||||||||||||||||||||||||
| MML Income & Growth Fund, Initial Class |
1,158,342 | 484,496 | 146,896 | 1,495,942 | 17,352,927 | 267,924 | - | 366,068 | ||||||||||||||||||||||||
| MML Inflation-Protected and Income Fund, Initial Class |
828,180 | 246,463 | 308,236 | 766,407 | 7,932,317 | 140,161 | 179,130 | 314,964 | ||||||||||||||||||||||||
| MML Large Cap Growth Fund, Initial Class |
1,351,817 | 281,629 | 219,708 | 1,413,738 | 20,682,984 | 69,978 | 948,129 | 798,077 | ||||||||||||||||||||||||
| MML Managed Bond Fund, Initial Class |
7,811,503 | 2,683,999 | 838,237 | 9,657,265 | 120,124,811 | 3,492,901 | 1,222,749 | 497,451 | ||||||||||||||||||||||||
| MML Mid Cap Growth Fund, Initial Class |
1,208,795 | 257,211 | 484,327 | 981,679 | 16,286,053 | 50,683 | 1,104,577 | 4,350,276 | ||||||||||||||||||||||||
| MML Mid Cap Value Fund, Initial Class |
1,564,594 | 262,899 | 555,657 | 1,271,836 | 17,360,564 | 352,640 | 749,049 | 3,530,655 | ||||||||||||||||||||||||
| MML PIMCO Total Return Fund, Class II |
4,576,444 | 1,954,123 | 441,310 | 6,089,257 | 62,962,919 | 1,173,866 | 513,860 | 228,629 | ||||||||||||||||||||||||
| MML Short-Duration Bond Fund, Class II |
2,666,755 | 1,082,998 | 898,918 | 2,850,835 | 28,337,288 | 579,965 | 143,545 | 20,525 | ||||||||||||||||||||||||
| MML Small Cap Growth Equity Fund, Initial Class |
411,132 | 91,636 | 158,038 | 344,730 | 7,862,294 | - | 452,349 | 939,130 | ||||||||||||||||||||||||
| MML Small Company Value Fund, Class II |
554,875 | 97,332 | 292,482 | 359,725 | 8,590,235 | 134,939 | 303,936 | 2,341,964 | ||||||||||||||||||||||||
| MML Small/Mid Cap Value Fund, Initial Class |
- | 488,772 | - | 488,772 | 6,745,055 | - | - | - | ||||||||||||||||||||||||
| Oppenheimer Discovery Mid Cap Growth Fund/VA, Non-Service Shares* |
- | 81,709 | - | 81,709 | 6,088,171 | - | - | - | ||||||||||||||||||||||||
| Oppenheimer Global Fund/VA, Non-Service Shares* |
347,918 | 58,993 | 112,140 | 294,771 | 12,044,336 | 157,667 | - | 2,034,248 | ||||||||||||||||||||||||
61
Table of Contents
Notes to Financial Statements (Continued)
| Number of Shares Held as of 12/31/12 |
Purchases | Sales | Number of Shares Held as of 12/31/13 |
Value as of 12/31/13 |
Dividend Income |
Realized Gains Distributions |
Net Realized Gain (Loss) |
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| Balanced Allocation Fund (Continued) |
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| Oppenheimer Global Strategic Income Fund/VA, Non-Service Shares* |
4,968,204 | 1,734,598 | 572,115 | 6,130,687 | $ | 32,983,095 | $ | 1,478,780 | $ | - | $ | 490,032 | ||||||||||||||||||||
| Oppenheimer International Growth Fund/VA, Non-Service Shares* |
4,819,525 | 3,230,556 | 1,451,500 | 6,598,581 | 16,958,354 | 198,600 | - | 1,373,033 | ||||||||||||||||||||||||
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| $ | 558,619,363 | $ | 10,862,485 | $ | 9,428,734 | $ | 29,449,822 | |||||||||||||||||||||||||
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| Moderate Allocation Fund |
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| MML Blue Chip Growth Fund, Initial Class |
6,918,911 | 2,085,868 | 1,140,683 | 7,864,096 | $ | 136,442,073 | $ | 253,318 | $ | 9,955,939 | $ | 8,646,995 | ||||||||||||||||||||
| MML Equity Fund, Initial Class |
1,071,634 | 25,745 | 1,097,379 | - | - | - | - | 5,141,870 | ||||||||||||||||||||||||
| MML Equity Income Fund, Initial Class |
7,955,580 | 1,357,114 | 1,080,472 | 8,232,222 | 110,888,024 | 1,862,042 | - | 5,895,412 | ||||||||||||||||||||||||
| MML Focused Equity Fund, Class II |
4,192,188 | 577,060 | 804,103 | 3,965,145 | 62,014,861 | - | 758,707 | 2,528,438 | ||||||||||||||||||||||||
| MML Foreign Fund, Initial Class |
5,088,664 | 2,994,365 | 1,871,306 | 6,211,723 | 69,695,529 | 1,312,854 | - | 4,066,058 | ||||||||||||||||||||||||
| MML Fundamental Growth Fund, Class II |
6,076,542 | 1,072,877 | 738,560 | 6,410,859 | 92,701,022 | - | 68,124 | 1,551,127 | ||||||||||||||||||||||||
| MML Fundamental Value Fund, Class II |
5,554,412 | 1,161,600 | 753,261 | 5,962,751 | 92,184,134 | 1,333,705 | 2,760,139 | 3,599,725 | ||||||||||||||||||||||||
| MML Global Fund, Class I |
4,778,673 | 817,861 | 1,034,820 | 4,561,714 | 56,747,728 | 590,884 | - | 5,016,287 | ||||||||||||||||||||||||
| MML High Yield Fund, Class II |
4,586,960 | 1,982,647 | 1,450,571 | 5,119,036 | 56,462,970 | 3,202,581 | 1,214,403 | 1,997,666 | ||||||||||||||||||||||||
| MML Income & Growth Fund, Initial Class |
4,710,783 | 1,917,425 | 482,368 | 6,145,840 | 71,291,741 | 1,136,898 | - | 1,437,115 | ||||||||||||||||||||||||
| MML Inflation-Protected and Income Fund, Initial Class |
1,999,327 | 718,752 | 541,807 | 2,176,272 | 22,524,415 | 384,155 | 482,192 | 480,085 | ||||||||||||||||||||||||
| MML Large Cap Growth Fund, Initial Class |
5,249,301 | 1,246,212 | 601,288 | 5,894,225 | 86,232,509 | 285,475 | 3,867,890 | 2,257,278 | ||||||||||||||||||||||||
| MML Managed Bond Fund, Initial Class |
18,881,613 | 8,960,775 | 1,067,057 | 26,775,331 | 333,053,064 | 9,308,338 | 3,201,391 | 602,852 | ||||||||||||||||||||||||
| MML Mid Cap Growth Fund, Initial Class |
4,782,203 | 953,898 | 1,607,523 | 4,128,578 | 68,493,103 | 205,309 | 4,474,469 | 14,205,971 | ||||||||||||||||||||||||
| MML Mid Cap Value Fund, Initial Class |
5,999,051 | 1,096,879 | 1,754,960 | 5,340,970 | 72,904,235 | 1,411,585 | 2,998,371 | 11,183,080 | ||||||||||||||||||||||||
| MML PIMCO Total Return Fund, Class II |
11,678,662 | 6,267,718 | 610,747 | 17,335,633 | 179,250,449 | 3,231,505 | 1,414,592 | 311,829 | ||||||||||||||||||||||||
| MML Short-Duration Bond Fund, Class II |
7,321,417 | 3,049,587 | 1,542,536 | 8,828,468 | 87,754,976 | 1,570,110 | 323,321 | 161,433 | ||||||||||||||||||||||||
| MML Small Cap Growth Equity Fund, Initial Class |
1,971,100 | 491,039 | 1,030,738 | 1,431,401 | 32,646,106 | - | 2,263,519 | 7,432,236 | ||||||||||||||||||||||||
| MML Small Company Value Fund, Class II |
2,167,001 | 439,474 | 968,940 | 1,637,535 | 39,104,334 | 550,130 | 1,239,110 | 8,332,628 | ||||||||||||||||||||||||
| MML Small/Mid Cap Value Fund, Initial Class |
- | 2,028,805 | - | 2,028,805 | 27,997,513 | - | - | - | ||||||||||||||||||||||||
| MML Strategic Emerging Markets Fund, Class II |
1,404,551 | 2,543,646 | 114,507 | 3,833,690 | 39,141,976 | - | - | 24,811 | ||||||||||||||||||||||||
| Oppenheimer Discovery Mid Cap Growth Fund/VA, Non-Service Shares* |
- | 341,296 | - | 341,296 | 25,430,025 | - | - | - | ||||||||||||||||||||||||
| Oppenheimer Global Fund/VA, Non-Service Shares* |
1,347,189 | 256,089 | 689,723 | 913,555 | 37,327,841 | 633,078 | - | 12,450,515 | ||||||||||||||||||||||||
| Oppenheimer Global Strategic Income Fund/VA, Non-Service Shares* |
12,563,439 | 4,735,292 | 900,162 | 16,398,569 | 88,224,299 | 3,846,143 | - | 934,015 | ||||||||||||||||||||||||
| Oppenheimer International Growth Fund/VA, Non-Service Shares* |
15,271,227 | 11,984,385 | 4,178,699 | 23,076,913 | 59,307,667 | 650,138 | - | 2,956,871 | ||||||||||||||||||||||||
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| $ | 1,947,820,594 | $ | 31,768,248 | $ | 35,022,167 | $ | 101,214,297 | |||||||||||||||||||||||||
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| Growth Allocation Fund |
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| MML Blue Chip Growth Fund, Initial Class |
8,270,941 | 1,344,897 | 1,167,184 | 8,448,654 | $ | 146,584,147 | $ | 282,067 | $ | 11,085,857 | $ | 9,623,253 | ||||||||||||||||||||
| MML Equity Fund, Initial Class |
1,171,340 | 8,089 | 1,179,429 | - | - | - | - | 6,159,508 | ||||||||||||||||||||||||
| MML Equity Income Fund, Initial Class |
8,492,060 | 538,554 | 1,025,207 | 8,005,407 | 107,832,835 | 1,868,327 | - | 5,338,476 | ||||||||||||||||||||||||
| MML Focused Equity Fund, Class II |
5,783,858 | 297,416 | 1,086,125 | 4,995,149 | 78,124,137 | - | 975,266 | 3,371,403 | ||||||||||||||||||||||||
| MML Foreign Fund, Initial Class |
5,963,094 | 2,148,728 | 1,995,599 | 6,116,223 | 68,624,023 | 1,343,714 | - | 4,719,917 | ||||||||||||||||||||||||
| MML Fundamental Growth Fund, Class II |
7,235,526 | 663,948 | 965,446 | 6,934,028 | 100,266,050 | - | 75,768 | 1,936,196 | ||||||||||||||||||||||||
| MML Fundamental Value Fund, Class II |
6,072,947 | 665,426 | 898,124 | 5,840,249 | 90,290,253 | 1,357,034 | 2,808,420 | 4,319,723 | ||||||||||||||||||||||||
| MML Global Fund, Class I |
5,219,942 | 308,621 | 826,025 | 4,702,538 | 58,499,573 | 602,604 | - | 3,847,361 | ||||||||||||||||||||||||
| MML High Yield Fund, Class II |
3,179,981 | 632,060 | 1,308,699 | 2,503,342 | 27,611,867 | 1,686,719 | 647,434 | 1,712,204 | ||||||||||||||||||||||||
| MML Income & Growth Fund, Initial Class |
4,292,548 | 1,006,788 | 486,681 | 4,812,655 | 55,826,798 | 927,422 | - | 1,088,689 | ||||||||||||||||||||||||
| MML Inflation-Protected and Income Fund, Initial Class |
1,715,109 | 389,140 | 646,738 | 1,457,511 | 15,085,236 | 265,423 | 349,782 | 825,468 | ||||||||||||||||||||||||
| MML Large Cap Growth Fund, Initial Class |
6,701,305 | 867,920 | 645,586 | 6,923,639 | 101,292,832 | 340,068 | 4,607,558 | 2,332,342 | ||||||||||||||||||||||||
62
Table of Contents
Notes to Financial Statements (Continued)
| Number of Shares Held as of 12/31/12 |
Purchases | Sales | Number of Shares Held as of 12/31/13 |
Value as of 12/31/13 |
Dividend Income |
Realized Gains Distributions |
Net Realized Gain (Loss) |
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| Growth Allocation Fund (Continued) |
|
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| MML Managed Bond Fund, Initial Class |
11,187,058 | 4,176,885 | 853,408 | 14,510,535 | $ | 180,493,689 | $ | 5,241,112 | $ | 1,869,868 | $ | 135,190 | ||||||||||||||||||||
| MML Mid Cap Growth Fund, Initial Class |
5,774,607 | 629,999 | 1,588,332 | 4,816,274 | 79,901,990 | 232,256 | 5,061,741 | 13,915,538 | ||||||||||||||||||||||||
| MML Mid Cap Value Fund, Initial Class |
6,924,717 | 573,388 | 1,622,064 | 5,876,041 | 80,207,960 | 1,507,809 | 3,202,761 | 8,748,657 | ||||||||||||||||||||||||
| MML PIMCO Total Return Fund, Class II |
6,671,442 | 2,723,298 | 431,475 | 8,963,265 | 92,680,155 | 1,708,199 | 747,764 | 228,230 | ||||||||||||||||||||||||
| MML Short-Duration Bond Fund, Class II |
3,273,556 | 1,588,661 | 218,187 | 4,644,030 | 46,161,660 | 844,726 | 174,246 | 7,787 | ||||||||||||||||||||||||
| MML Small Cap Growth Equity Fund, Initial Class |
2,683,877 | 331,701 | 1,394,610 | 1,620,968 | 36,969,580 | - | 2,858,096 | 12,756,648 | ||||||||||||||||||||||||
| MML Small Company Value Fund, Class II |
2,788,574 | 241,709 | 1,331,338 | 1,698,945 | 40,570,800 | 655,605 | 1,476,681 | 12,036,079 | ||||||||||||||||||||||||
| MML Small/Mid Cap Value Fund, Initial Class |
- | 2,127,480 | - | 2,127,480 | 29,359,223 | - | - | - | ||||||||||||||||||||||||
| MML Strategic Emerging Markets Fund, Class II |
2,653,796 | 2,362,060 | 281,765 | 4,734,091 | 48,335,065 | - | - | 59,707 | ||||||||||||||||||||||||
| Oppenheimer Discovery Mid Cap Growth Fund/VA, Non-Service Shares* |
- | 365,914 | - | 365,914 | 27,264,282 | - | - | - | ||||||||||||||||||||||||
| Oppenheimer Global Fund/VA, Non-Service Shares* |
1,491,976 | 129,926 | 688,691 | 933,211 | 38,131,006 | 665,561 | - | 13,516,332 | ||||||||||||||||||||||||
| Oppenheimer Global Strategic Income Fund/VA, Non-Service Shares* |
7,505,308 | 2,184,441 | 962,494 | 8,727,255 | 46,952,633 | 2,150,286 | - | 1,111,933 | ||||||||||||||||||||||||
| Oppenheimer International Growth Fund/VA, Non-Service Shares* |
17,879,589 | 8,805,260 | 3,651,847 | 23,033,002 | 59,194,815 | 726,850 | - | 3,881,723 | ||||||||||||||||||||||||
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| $ | 1,656,260,609 | $ | 22,405,782 | $ | 35,941,242 | $ | 111,672,364 | |||||||||||||||||||||||||
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| Aggressive Allocation Fund |
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| MML Blue Chip Growth Fund, Initial Class |
568,446 | 177,645 | 104,480 | 641,611 | $ | 11,131,957 | $ | 21,019 | $ | 826,087 | $ | 626,477 | ||||||||||||||||||||
| MML Equity Fund, Initial Class |
67,091 | 2,400 | 69,491 | - | - | - | - | 207,098 | ||||||||||||||||||||||||
| MML Equity Income Fund, Initial Class |
584,899 | 119,437 | 96,876 | 607,460 | 8,182,485 | 138,222 | - | 369,967 | ||||||||||||||||||||||||
| MML Focused Equity Fund, Class II |
404,507 | 76,735 | 78,839 | 402,403 | 6,293,587 | - | 76,235 | 235,912 | ||||||||||||||||||||||||
| MML Foreign Fund, Initial Class |
385,468 | 203,225 | 130,532 | 458,161 | 5,140,567 | 94,530 | - | 242,828 | ||||||||||||||||||||||||
| MML Fundamental Growth Fund, Class II |
488,343 | 120,273 | 74,161 | 534,455 | 7,728,218 | - | 5,661 | 137,290 | ||||||||||||||||||||||||
| MML Fundamental Value Fund, Class II |
417,553 | 102,499 | 69,945 | 450,107 | 6,958,652 | 102,938 | 213,034 | 283,558 | ||||||||||||||||||||||||
| MML Global Fund, Class I |
340,893 | 71,805 | 61,036 | 351,662 | 4,374,671 | 43,185 | - | 283,206 | ||||||||||||||||||||||||
| MML High Yield Fund, Class II |
96,467 | 15,519 | 47,467 | 64,519 | 711,650 | 44,598 | 17,013 | 33,854 | ||||||||||||||||||||||||
| MML Income & Growth Fund, Initial Class |
282,496 | 98,710 | 40,956 | 340,250 | 3,946,896 | 62,269 | - | 97,103 | ||||||||||||||||||||||||
| MML Inflation-Protected and Income Fund, Initial Class |
31,669 | 20,808 | 5,343 | 47,134 | 487,835 | 8,254 | 10,551 | 2,361 | ||||||||||||||||||||||||
| MML Large Cap Growth Fund, Initial Class |
452,979 | 133,433 | 64,009 | 522,403 | 7,642,755 | 25,008 | 338,829 | 234,113 | ||||||||||||||||||||||||
| MML Managed Bond Fund, Initial Class |
262,637 | 188,909 | 41,382 | 410,164 | 5,101,945 | 135,029 | 45,246 | 540 | ||||||||||||||||||||||||
| MML Mid Cap Growth Fund, Initial Class |
424,972 | 97,844 | 139,709 | 383,107 | 6,355,748 | 18,541 | 404,090 | 1,233,920 | ||||||||||||||||||||||||
| MML Mid Cap Value Fund, Initial Class |
513,508 | 176,964 | 211,262 | 479,210 | 6,541,218 | 120,370 | 255,680 | 1,192,712 | ||||||||||||||||||||||||
| MML PIMCO Total Return Fund, Class II |
168,148 | 167,285 | 27,833 | 307,600 | 3,180,579 | 54,250 | 23,748 | 19,019 | ||||||||||||||||||||||||
| MML Short-Duration Bond Fund, Class II |
18,580 | 63,140 | 8,211 | 73,509 | 730,680 | 11,639 | 2,186 | (1,597 | ) | |||||||||||||||||||||||
| MML Small Cap Growth Equity Fund, Initial Class |
202,990 | 54,229 | 119,751 | 137,468 | 3,135,245 | - | 234,433 | 841,321 | ||||||||||||||||||||||||
| MML Small Company Value Fund, Class II |
204,069 | 48,723 | 113,530 | 139,262 | 3,325,587 | 52,088 | 117,320 | 819,372 | ||||||||||||||||||||||||
| MML Small/Mid Cap Value Fund, Initial Class |
- | 180,002 | - | 180,002 | 2,484,031 | - | - | - | ||||||||||||||||||||||||
| MML Strategic Emerging Markets Fund, Class II |
229,855 | 207,733 | 33,117 | 404,471 | 4,129,647 | - | - | (7,123 | ) | |||||||||||||||||||||||
| Oppenheimer Discovery Mid Cap Growth Fund/VA, Non-Service Shares* |
- | 33,228 | - | 33,228 | 2,475,837 | - | - | - | ||||||||||||||||||||||||
| Oppenheimer Global Fund/VA, Non-Service Shares* |
98,206 | 22,243 | 62,307 | 58,142 | 2,375,684 | 46,957 | - | 884,986 | ||||||||||||||||||||||||
| Oppenheimer Global Strategic Income Fund/VA, Non-Service Shares* |
180,449 | 77,441 | 30,802 | 227,088 | 1,221,734 | 55,050 | - | 299 | ||||||||||||||||||||||||
| Oppenheimer International Growth Fund/VA, Non-Service Shares* |
1,224,292 | 818,262 | 304,071 | 1,738,483 | 4,467,902 | 50,555 | - | 206,848 | ||||||||||||||||||||||||
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| $ | 108,125,110 | $ | 1,084,502 | $ | 2,570,113 | $ | 7,944,064 | |||||||||||||||||||||||||
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| * | Fund advised by OFI Global Asset Management, Inc. |
63
Table of Contents
Notes to Financial Statements (Continued)
| 8. | Indemnifications |
Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
| 9. | New Accounting Pronouncements |
On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.
| 10. | Subsequent Events |
In preparation of these financial statements management has evaluated the events and transactions subsequent to December 31, 2013, through the date when the financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.
64
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of MML Series Investment Fund and Shareholders of MML Conservative Allocation Fund, MML Balanced Allocation Fund, MML Moderate Allocation Fund, MML Growth Allocation Fund, MML Aggressive Allocation Fund, MML American Funds Growth Fund, MML American Funds International Fund, and MML American Funds Core Allocation Fund (collectively, the “Funds”):
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the Funds’ respective transfer agents; where replies were not received from transfer agents, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 24, 2014
65
Table of Contents
Trustees and Officers (Unaudited)
The following table lists the Trust’s Trustees and Officers as of December 31, 2013; 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, 100 Bright Meadow Blvd., Enfield, Connecticut 06082, Attention: Retirement Services Marketing.
Disinterested Trustees
| Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
| Richard H. Ayers Age: 71 |
Chairman
Trustee |
Since 2010
Since 1999 |
Retired. | 92 | Director (2008-2011), Celera Corporation; Director (1996-2008), Applera Corporation; Chairman (since 2010), Trustee (since 1996), MassMutual Select Funds (open-end investment company); Chairman and Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairman and Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| Allan W. Blair Age: 65 |
Trustee | Since 2003 |
President and Chief Executive Officer (since 1996), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (since 1984), Westover Metropolitan Development Corporation. | 92 | Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| Nabil N. El-Hage Age: 55 |
Trustee | Since 2012 |
Consultant (since 2010); Chairman (since 2011), Academy of Executive Education, LLC; Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Professor of Management Practice (2005-2009), Harvard Business School. | 92 | Director (2007-2010), Virtual Radiologic Corporation; Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company). | |||||
| Maria D. Furman Age: 59 |
Trustee | Since 2012 |
Retired. | 92 | Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
66
Table of Contents
Trustees and Officers (Unaudited) (Continued)
| Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
| R. Alan Hunter, Jr. Age: 67 |
Trustee | Since 2003 |
Retired. | 92 | Director (since 2007), Actuant Corporation; Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| F. William Marshall, Jr. Age: 71 |
Trustee | Since 1996 |
Retired; Consultant (1999-2009). | 131*** | Trustee (since 2000), Denver Board – Oppenheimer Funds; Trustee (since 1996), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| C. Ann Merrifield Age: 62 |
Trustee | Since 2012 |
President and Chief Executive Officer (since 2012), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), President, Biosurgery (2003-2009), Genzyme Corporation. | 92 | Trustee (since 2012), MassMutual Select Funds (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company). | |||||
| Susan B. Sweeney Age: 61 |
Trustee | Since 2009 |
Senior Vice President and Chief Investment Officer (since 2010), Selective Insurance Group (property and casualty company); Senior Managing Director (2008-2010), Ironwood Capital (private equity firm). | 94^ | Trustee (since 2012), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2012), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2009), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
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Trustees and Officers (Unaudited) (Continued)
Interested Trustees
| Name, Address*, and Age |
Position(s) |
Term of |
Principal Occupation(s) |
Number of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | |||||
| Robert E. Joyal^^ Age: 68 |
Trustee |
Since 2003 |
Retired. | 94^ | Director (since 2013), Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (since 2006), Jefferies Group, Inc. (investment bank); Director (2007-2011), Scottish Re Group Ltd.; Director (2003-2010), Alabama Aircraft Industries, Inc.; Trustee (since 2003), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2003), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2003), MassMutual Select Funds (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company). | |||||
| Elaine A. Sarsynski^^^ Age: 58 |
Trustee | Since 2008 |
Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2006), MassMutual International LLC. | 92 | Director (since 2012), Horizon Technology Finance Management LLC; Trustee (since 2008), MassMutual Select Funds (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MassMutual Premier Funds (open-end investment company). | |||||
Principal Officers who are Not Trustees
| Name, Address*, and Age |
Position(s) Held |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
| Richard J. Byrne Age: 51 |
President | Since 2007 |
Vice President (since 2007), MassMutual; President (since 2007), MML Series Investment Fund II (open-end investment company). | 37 | ||||
| Michael C. Eldredge Age: 49 |
Vice President | Since 2009 |
Vice President (since 2008), MassMutual; Vice President (2005-2008), ING; Vice President (since 2009), MassMutual Select Funds (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company); Vice President (since 2009), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| Andrew M. Goldberg Age: 47 |
Vice President, Secretary, and
Assistant Secretary |
Since 2008
(2001- |
Assistant Vice President and Counsel (since 2004), MassMutual; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MassMutual Select Funds (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company). | 92 | ||||
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Trustees and Officers (Unaudited) (Continued)
| Name, Address*, and Age |
Position(s) Held |
Term of Office# and Length of Time Served |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer | ||||
| Nicholas H. Palmerino Age: 48 |
Chief Financial Officer and Treasurer | Since 2006 |
Assistant Vice President (since 2006), MassMutual; Chief Financial Officer and Treasurer (since 2006), MassMutual Select Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| Philip S. Wellman Age: 49 |
Vice President and Chief Compliance Officer | Since 2007 |
Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (since 2008), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2007-2008), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Select Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| Eric H. Wietsma Age: 47 |
Vice President | Since 2006 |
Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; President (since 2008), Vice President (2006-2008), MassMutual Select Funds (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company); President (since 2008) Vice President (2006-2008), MassMutual Premier Funds (open-end investment company). | 92 | ||||
| * | The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, CT 06082. |
| ** | Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-two years. |
| The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. |
| *** | Denver Board – Oppenheimer Funds is deemed to be part of the Fund Complex because it is managed by OppenheimerFunds, Inc., an indirect subsidiary of MassMutual. |
| ^ | Babson Capital Participation Investors and Babson Capital Corporate Investors are deemed to be a part of the Fund Complex because they are managed by Babson Capital Management LLC, an indirect subsidiary of MassMutual. |
| ^^ | Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, through his position as a director of Jefferies Group, Inc., a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MassMutual or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MassMutual has brokerage placement discretion. |
| ^^^ | Ms. Sarsynski is an Interested Person through her employment with MassMutual. |
| # | The President, Treasurer, and Secretary are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each other officer shall hold office at the pleasure of the Trustees. |
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Federal Tax Information (Unaudited)
For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2013, qualified for the dividends received deduction, as follows:
| Dividends Received Deductions |
||||
| Conservative Allocation Fund |
25.29% | |||
| Balanced Allocation Fund |
30.12% | |||
| Moderate Allocation Fund |
46.65% | |||
| Growth Allocation Fund |
42.91% | |||
| Aggressive Allocation Fund |
100.00% | |||
| American Funds Growth Fund |
100.00% | |||
| American Funds Core Allocation Fund |
70.89% | |||
For the year ended December 31, 2013, the following Fund(s) earned the following foreign sources of income:
| Foreign Sources of Income |
||||
| Conservative Allocation Fund |
$ | 483,001 | ||
| Balanced Allocation Fund |
677,910 | |||
| Moderate Allocation Fund |
2,461,690 | |||
| Growth Allocation Fund |
2,742,093 | |||
| Aggressive Allocation Fund |
187,939 | |||
| American Funds International Fund |
675,765 | |||
| American Funds Core Allocation Fund |
748,602 | |||
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A description of the policies and procedures that each Fund’s investment adviser uses to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
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Other Information (Unaudited) (Continued)
Fund Expenses December 31, 2013
Expense Examples:
The following information is in regards to expenses for the six months ended December 31, 2013:
As a shareholder of the Funds, you incur ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2013.
Actual Expenses:
The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning Value |
Annualized Expense Ratio |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|||||||||||||||||||
| Conservative Allocation Fund | ||||||||||||||||||||||||
| Initial Class |
$ | 1,000 | 0.13 | % | $ | 1,076.30 | $ | 0.69 | $ | 1,024.80 | $ | 0.67 | ||||||||||||
| Service Class |
1,000 | 0.38 | % | 1,074.60 | 2.01 | 1,023.50 | 1.96 | |||||||||||||||||
| Balanced Allocation Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.13 | % | 1,091.50 | 0.69 | 1,024.80 | 0.67 | |||||||||||||||||
| Service Class |
1,000 | 0.38 | % | 1,090.80 | 2.02 | 1,023.50 | 1.96 | |||||||||||||||||
| Moderate Allocation Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.12 | % | 1,108.00 | 0.64 | 1,024.90 | 0.62 | |||||||||||||||||
| Service Class |
1,000 | 0.37 | % | 1,106.60 | 1.99 | 1,023.60 | 1.91 | |||||||||||||||||
| Growth Allocation Fund | ||||||||||||||||||||||||
| Initial Class |
1,000 | 0.12 | % | 1,133.90 | 0.65 | 1,024.90 | 0.62 | |||||||||||||||||
| Service Class |
1,000 | 0.37 | % | 1,132.90 | 2.01 | 1,023.60 | 1.91 | |||||||||||||||||
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Other Information (Unaudited) (Continued)
| Beginning Value |
Annualized Expense Ratio |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|||||||||||||||||||
| Aggressive Allocation Fund | ||||||||||||||||||||||||
| Initial Class |
$ | 1,000 | 0.19 | % | $ | 1,156.80 | $ | 1.04 | $ | 1,024.50 | $ | 0.98 | ||||||||||||
| Service Class |
1,000 | 0.44 | % | 1,155.90 | 2.42 | 1,023.20 | 2.27 | |||||||||||||||||
| American Funds Growth Fund | ||||||||||||||||||||||||
| Service Class I** |
1,000 | 1.05 | % | 1,178.40 | 5.83 | 1,020.10 | 5.40 | |||||||||||||||||
| American Funds International Fund | ||||||||||||||||||||||||
| Service Class I** |
1,000 | 1.24 | % | 1,175.50 | 6.87 | 1,019.20 | 6.38 | |||||||||||||||||
| American Funds Core Allocation Fund | ||||||||||||||||||||||||
| Service Class I |
1,000 | 0.72 | % | 1,113.40 | 3.88 | 1,021.80 | 3.71 | |||||||||||||||||
| * | Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2013, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise. |
| ** | The annualized expense ratio reflects the expenses of both the Feeder Fund and the Master Fund in which it invests. |
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Distributor
MML Distributors, LLC
1295 State Street
Springfield, MA 01111-0001
© 2014 Massachusetts Mutual Life Insurance Company, Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. MassMutual Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) and its affiliated companies and sales representatives.
L4540b 114 CRN201503-180218
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Item 2. Code of Ethics.
As of December 31, 2013, 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, 2013, there were no amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under Item 12(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that R. Alan Hunter, Jr. and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Mr. Hunter and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services.
References below to Deloitte & Touche LLP include its affiliates where applicable.
| (a) | AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for 2013 and 2012 were $778,697 and $905,546, respectively. |
| (b) | AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2013 and 2012. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for 2013 and 2012. |
| (c) | TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form 1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses for 2013 and 2012 were $123,000 and $133,070, respectively. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for 2013 and 2012. |
| (d) | ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2013 and 2012. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for 2013 and 2012. |
| (e) | (1) AUDIT COMMITTEE PRE-APPOVAL POLICY: All services to be performed for the Registrant by Deloitte & Touche LLP must be pre-approved by the audit committee. All services performed during 2013 and 2012 were pre-approved by the committee. |
(2) Not applicable.
| (f) | Not applicable. |
| (g) | The aggregate non-audit fees billed by Deloitte & Touche LLP for services rendered to the Registrant, the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant, for the fiscal years 2013 and 2012 were $706,057 and $4,715,550, respectively. |
| (h) | The audit committee considers whether the provision of non-audit services by Deloitte & Touche LLP to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining Deloitte & Touche LLP’s independence. |
| * | Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this filing.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this filing.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable to this filing.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this
Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and
forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934
(17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics (Item 2) is attached.
(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by
Rule 30a-2(a)
under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.
(a)(3) Not applicable to this filing.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MML Series Investment Fund
| By (Signature and Title) | /s/ Richard J. Byrne | |
| Richard J. Byrne, President and Principal Executive Officer |
Date 2/24/14
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title) | /s/ Richard J. Byrne | |
| Richard J. Byrne, President and Principal Executive Officer | ||
|
Date 2/24/14
| ||
| By (Signature and Title) | /s/ Nicholas H. Palmerino | |
| Nicholas H. Palmerino, Treasurer and Principal Financial Officer | ||
Date 2/24/14