UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
| Investment Company Act file number | 811-08690 |
| MassMutual Premier Funds |
| (Exact name of registrant as specified in charter) |
| 1295 State Street, Springfield, MA | 01111 |
| (Address of principal executive offices) | (Zip code) |
| Paul LaPiana |
| 1295 State Street, Springfield, MA 01111 |
| (Name and address of agent for service) |
| Registrant's telephone number, including area code: | (413) 744-1000 |
| Date of fiscal year end: | 9/30/2022 | |
| Date of reporting period: | 3/31/2022 |
Item 1. Reports to Stockholders.
| (a) | The Reports to Stockholders are attached herewith. |
Table of Contents |
|
This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Premier Funds. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.
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MassMutual Premier Funds – President’s Letter to Shareholders (Unaudited) |
To Our Shareholders
“As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to market volatility, how long you have to save and invest, and your specific financial goals.”
March 31, 2022
Welcome to the MassMutual Premier Funds Semiannual Report, covering the six months ending March 31, 2022.
Market Highlights
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● |
For the reporting period from October 1, 2021 through March 31, 2022, the S&P 500® Index* was up nearly 6%, despite rising inflationary pressures, the Russian-Ukraine war, and the Federal Reserve Board (the “Fed”) taking the first steps in rolling back years of accommodative monetary policy. |
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● |
In the fourth quarter of 2021, expectations for strong economic and earnings growth in 2022 bolstered by the possibility for a $2 trillion economic stimulus and social spending plan, allowed investors to look past skyrocketing Omicron variant COVID-19 cases and heightened inflationary pressures. |
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● |
During the first quarter of 2022 investors in both stocks and bonds were challenged by the unexpected invasion of Ukraine by Russia, a stalled economic stimulus plan, and the Fed raising interest rates for the first time since 2018. |
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● |
Foreign stocks in both developed and emerging markets experienced losses in the reporting period, hindered by the unexpected economic impact of the Russian-Ukraine war and the strengthening of the U.S. dollar. |
|
● |
U.S. bond investors experienced negative returns as the rollback of accommodative monetary policy drove yields higher and concerns over increased default risk due to the Russian-Ukraine war drove valuations lower. |
Market Commentary
For the six months beginning on October 1, 2021, global stock investors experienced mixed returns. U.S. stocks rose in the period, despite the Russian-Ukraine war, buoyed by rising expectations for strong economic growth with COVID-19 appearing to have peaked and strong corporate earnings growth and balance sheets.
The broad market S&P 500 Index delivered a gain of 5.92% for the period, while the technology-heavy NASDAQ Composite® Index declined, losing 1.25% for the period. The more economically sensitive Dow Jones Industrial Average was up 3.44% for the period. During this period small-cap stocks significantly underperformed their larger cap peers while value stocks significantly outperformed their growth peers.
The continued economic recovery, Fed interest rate hike in March, and the unexpected invasion of Ukraine by Russia affected sectors differently. The energy, materials, and utilities sectors fared the best for this period as investors anticipated these sectors would benefit the most from higher commodity prices. The communication services and consumer discretionary sectors lagged other sectors, hurt by rising interest rates and rising inflationary pressures. West Texas Intermediate (WTI) crude oil prices ended the period at $100.28 per barrel, up 32% for the period.
Developed international stock markets, as measured by the MSCI EAFE® Index, trailed their domestic peers, falling 3.38% for the six-month period, negatively impacted by the Russian-Ukraine war and a stronger U.S. dollar. European stocks fared better than Japanese stocks, in part due to the Japanese economy’s great sensitivity to energy prices. Emerging-market stock markets, as measured in the MSCI Emerging Markets® Index, were also down, falling 8.20% for the period, with food and energy inflation affecting emerging market economies to a greater degree.
|
* |
Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment. For more information about the Funds and the indexes mentioned, please go to https://www.massmutual.com/funds. |
1
MassMutual Premier Funds – President’s Letter to Shareholders (Unaudited) (Continued) |
The Fed has begun to unwind years of accommodative monetary policy now that the labor market has recovered and inflation pressures are higher. The economic shock of the Russian-Ukraine war and the resulting rise in commodity prices may force the Fed to raise interest rates faster than planned which increases the risk of a policy mistake that leads to a recession. The proposed tax hike in the President’s budget proposal adds to the risk of a recession.
Investors entered the period in the midst of rising inflationary pressures and expectations that the Fed would start rolling back years of accommodative monetary policy. In this environment bond yields rose, with the 10-year U.S. Treasury bond reaching 2.32% by the end of March. The Bloomberg U.S. Aggregate Bond Index ended the period down 5.92%, as bond prices are negatively impacted by rising yields. Investment-grade bond prices fared worse as concerns of defaults increased. The Bloomberg U.S. Corporate Bond Index, which tracks the performance of investment-grade corporate bonds, ended the period down 7.48%. Below investment grade bonds as represented by the Bloomberg U.S. Corporate High Yield Index performed better, ending the period down 4.16%, aided by generally shorter maturities and investor demand for bonds in the energy sector as the sharp rise in oil prices lessened the risk of default.
Review and maintain your strategy
MassMutual is committed to helping people secure their long-term future and protect the ones they love. While the return of volatility and the reality of market sell-offs can test an investor’s mettle, we’d like to remind you as a retirement investor that it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. As described in this report, financial markets can reverse suddenly with little or no notice. Our multi-managed and sub-advised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to market volatility, how long you have to save and invest, and your specific financial goals. Thank you for your confidence in MassMutual.
Sincerely,
Paul LaPiana
President
MassMutual Premier Funds
MML Investment Advisers, LLC
© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved.
www.MassMutual.com
The High Yield Fund and Short-Duration Bond Fund are distributed by ALPS Distributors, Inc. (ADI). MML Distributors, LLC (MMLD) serves as the exclusive wholesale marketing agent for these Funds, as well as the distributor for all other MassMutual Funds. MMLD Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. Investment Advisory services are provided to all Funds by MML Investment Advisers, LLC (MML Advisers). MMLD and MML Advisers are subsidiaries of MassMutual. ADI is not affiliated with MMLD, MML Advisers, or MassMutual.
The information provided is the opinion of MML Advisers as of 4/1/2022 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.
MM202305-301740
2
MassMutual U.S. Government Money Market Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual U.S. Government Money Market Fund, and who is the Fund’s subadviser?
The Fund seeks current income consistent with preservation of capital and liquidity. The Fund normally invests at least 99.5% of its total assets in cash, U.S. Government securities, and/or repurchase agreements fully collateralized by cash or U.S. Government securities. Under normal circumstances, the Fund invests at least 80% of its net assets in U.S. Government securities and repurchase agreements that are fully collateralized by U.S. Government securities. The Fund’s subadviser is Barings LLC (Barings). The Fund seeks to maintain, but does not guarantee, a stable $1.00 share price. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
MassMutual |
|
Discount Notes |
74.0% |
Repurchase Agreement |
20.0% |
U.S. Treasury Bill |
8.9% |
Total Short-Term Investments |
102.9% |
Other Assets & Liabilities |
(2.9)% |
Net Assets |
100.0% |
3
MassMutual Short-Duration Bond Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Short-Duration Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any nationally recognized statistical rating organization, or, if unrated, determined to be of comparable quality by the Fund’s subadviser or sub-subadviser). The Fund’s subadviser is Barings LLC (Barings). In addition, Baring International Investment Limited serves as a sub-subadviser for the Fund.
MassMutual |
|
Corporate Debt |
53.2% |
Non-U.S. Government Agency Obligations |
42.2% |
Purchased Options |
0.2% |
Mutual Funds |
0.1% |
U.S. Government Agency Obligations and Instrumentalities* |
0.0% |
Total Long-Term Investments |
95.7% |
Short-Term Investments and Other Assets and Liabilities |
4.3% |
Net Assets |
100.0% |
|
* |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
4
MassMutual Inflation-Protected and Income Fund– Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Inflation-Protected and Income Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve as high a total rate of real return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in inflation-indexed bonds and other income-producing securities. The Fund’s subadviser is Barings LLC (Barings). In addition, Baring International Investment Limited serves as a sub-subadviser for the Fund.
MassMutual |
|
Non-U.S. Government Agency Obligations |
52.4% |
U.S. Treasury Obligations |
25.8% |
U.S. Government Agency Obligations and Instrumentalities* |
11.0% |
Mutual Funds |
1.6% |
Purchased Options |
0.3% |
Total Long-Term Investments |
91.1% |
Short-Term Investments and Other Assets and Liabilities |
8.9% |
Net Assets |
100.0% |
|
* |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
5
MassMutual Core Bond Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Core Bond Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high total rate of return consistent with prudent investment risk and the preservation of capital by investing primarily in a diversified portfolio of investment grade fixed income securities. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s or the equivalent by any nationally recognized statistical rating organization, or, if unrated, determined to be of comparable quality by the Fund’s subadviser or sub-subadviser). The Fund’s portfolio dollar-weighted average duration generally matches (within 10%) the average duration of the Bloomberg U.S. Aggregate Bond Index. The Fund’s subadviser is Barings LLC (Barings). In addition, Baring International Investment Limited serves as a sub-subadviser for the Fund.
MassMutual |
|
Corporate Debt |
36.2% |
Non-U.S. Government Agency Obligations |
26.5% |
U.S. Government Agency Obligations and Instrumentalities* |
22.5% |
U.S. Treasury Obligations |
12.9% |
Sovereign Debt Obligations |
1.1% |
Mutual Funds |
0.5% |
Purchased Options |
0.4% |
Total Long-Term Investments |
100.1% |
Short-Term Investments and Other Assets and Liabilities |
(0.1)% |
Net Assets |
100.0% |
|
* |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
6
MassMutual Diversified Bond Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Diversified Bond Fund, and who is the Fund’s subadviser?
The Fund seeks a superior total rate of return by investing in fixed income instruments. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in fixed income securities. The Fund’s subadviser is Barings LLC (Barings). In addition, Baring International Investment Limited serves as a sub-subadviser for the Fund.
MassMutual |
|
Corporate Debt |
45.7% |
Non-U.S. Government Agency Obligations |
28.8% |
U.S. Government Agency Obligations and Instrumentalities* |
16.0% |
U.S. Treasury Obligations |
2.8% |
Sovereign Debt Obligations |
1.0% |
Mutual Funds |
1.0% |
Preferred Stock |
0.6% |
Purchased Options |
0.4% |
Warrants |
0.0% |
Total Long-Term Investments |
96.3% |
Short-Term Investments and Other Assets and Liabilities |
3.7% |
Net Assets |
100.0% |
|
* |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
7
MassMutual High Yield Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual High Yield Fund, and who is the Fund’s subadviser?
The Fund seeks to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities. The Fund invests primarily in lower rated U.S. debt securities (“junk” or “high yield” bonds), including securities in default. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s, below BBB- by Standard & Poor’s or the equivalent by any nationally recognized statistical rating organization (using the lower rating) or, if unrated, determined to be of below investment grade quality by the Fund’s subadviser or sub-subadviser). The Fund’s subadviser is Barings LLC (Barings). Effective February 1, 2022, Baring International Investment Limited was added as sub-subadviser for the Fund.
MassMutual |
|
Corporate Debt |
91.9% |
Mutual Funds |
2.7% |
Bank Loans |
2.5% |
Common Stock |
0.8% |
Total Long-Term Investments |
97.9% |
Short-Term Investments and Other Assets and Liabilities |
2.1% |
Net Assets |
100.0% |
8
MassMutual Balanced Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Balanced Fund, and who is the Fund’s subadviser?
The Fund seeks a high total return by investing across different asset classes (U.S. equity securities and fixed income securities) each represented by a different segment of the Fund’s portfolio. Under normal market conditions, the Fund’s subadviser and sub-subadviser expect that 55%-75% of the Fund’s net assets will be invested in U.S. equity securities (the “U.S. Equity Segment”) and 25%-45% of the Fund’s net assets will be invested in fixed income securities (the “Bond Segment”) that meet certain environmental, social, and governance (“ESG”) criteria. The Fund will target a long term strategic allocation of 65% to the U.S. Equity Segment and 35% to the Bond Segment. The Fund’s subadviser is Invesco Advisers, Inc., and its sub-subadviser is Invesco Capital Management LLC (together with Invesco Advisers, Inc., “Invesco”).
MassMutual |
|
Common Stock |
66.3% |
Corporate Debt |
12.5% |
U.S. Treasury Obligations |
12.2% |
U.S. Government Agency Obligations and Instrumentalities* |
8.3% |
Non-U.S. Government Agency Obligations |
3.4% |
Mutual Funds |
3.2% |
Total Long-Term Investments |
105.9% |
Short-Term Investments and Other Assets and Liabilities |
(5.9)% |
Net Assets |
100.0% |
|
* |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
9
MassMutual Disciplined Value Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Disciplined Value Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return by investing primarily in equity securities of U.S. large- and mid-cap companies. The Fund currently invests substantially all of its assets in companies represented in the Russell 1000® Value Index at the time of purchase, although the Fund is actively managed and is not an index fund or a passively managed investment. Constituents of the Russell 1000 Value Index are companies that exhibit certain value characteristics, as defined by the index providers, such as lower price-to-book ratios, lower prices relative to forecasted earnings, and higher dividend yields. The Fund’s subadviser is Wellington Management Company LLP (Wellington Management).
MassMutual |
|
UnitedHealth Group, Inc. |
3.2% |
JPMorgan Chase & Co. |
2.7% |
Pfizer, Inc. |
2.2% |
Walmart, Inc. |
2.0% |
Bristol-Myers Squibb Co. |
2.0% |
The Procter & Gamble Co. |
2.0% |
Thermo Fisher Scientific, Inc. |
1.9% |
Danaher Corp. |
1.8% |
Philip Morris International, Inc. |
1.7% |
Raytheon Technologies Corp. |
1.5% |
21.0% |
|
MassMutual |
|
Consumer, Non-cyclical |
32.2% |
Financial |
26.6% |
Technology |
11.1% |
Industrial |
10.7% |
Consumer, Cyclical |
5.6% |
Energy |
4.5% |
Communications |
4.3% |
Basic Materials |
2.9% |
Utilities |
1.5% |
Mutual Funds |
0.1% |
Total Long-Term Investments |
99.5% |
Short-Term Investments and Other Assets and Liabilities |
0.5% |
Net Assets |
100.0% |
10
MassMutual Main Street Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Main Street Fund, and who is the Fund’s subadviser?
The Fund seeks a high total return by investing primarily in common stocks of U.S. companies of different capitalization ranges. The Fund’s subadviser currently focuses on “large capitalization” issuers, which are considered to be companies with market capitalizations at the time of purchase within the market capitalization range of companies included within the Russell 1000® Index, although it may purchase stocks of companies with any market capitalization. The Fund’s subadviser is Invesco Advisers, Inc. (Invesco Advisers).
MassMutual |
|
Microsoft Corp. |
6.7% |
Amazon.com, Inc. |
5.6% |
Apple, Inc. |
4.4% |
United Parcel Service, Inc. Class B |
3.1% |
Alphabet, Inc. Class A |
2.9% |
Prologis, Inc. |
2.8% |
The Procter & Gamble Co. |
2.7% |
UnitedHealth Group, Inc. |
2.6% |
QUALCOMM, Inc. |
2.5% |
HCA Healthcare, Inc. |
2.4% |
35.7% |
|
MassMutual |
|
Technology |
25.3% |
Consumer, Non-cyclical |
22.4% |
Communications |
14.7% |
Financial |
13.5% |
Industrial |
11.2% |
Consumer, Cyclical |
6.0% |
Energy |
3.7% |
Utilities |
1.8% |
Basic Materials |
0.7% |
Mutual Funds |
0.1% |
Total Long-Term Investments |
99.4% |
Short-Term Investments and Other Assets and Liabilities |
0.6% |
Net Assets |
100.0% |
11
MassMutual Disciplined Growth Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Disciplined Growth Fund, and who is the Fund’s subadviser?
The Fund seeks long-term total return by investing primarily in equity securities of U.S. large- and mid-cap companies. The Fund currently invests substantially all of its assets in companies represented in the Russell 1000® Growth Index at the time of purchase, although the Fund is actively managed and is not an index fund or a passively managed investment. Constituents of the Russell 1000 Growth Index are companies that exhibit certain growth characteristics, as defined by the index providers, such as historical and predicted future earnings per share growth rates and trends, historical sales per share growth trends, and internal growth rate. The Fund’s subadviser is Wellington Management Company LLP (Wellington Management).
MassMutual |
|
Microsoft Corp. |
10.9% |
Amazon.com, Inc. |
5.5% |
Apple, Inc. |
4.9% |
NVIDIA Corp. |
4.2% |
Tesla, Inc. |
3.4% |
Meta Platforms, Inc. Class A |
3.1% |
Alphabet, Inc. Class A |
3.0% |
Visa, Inc. Class A |
2.9% |
Alphabet, Inc. Class C |
2.7% |
Mastercard, Inc. Class A |
2.7% |
43.3% |
|
MassMutual |
|
Technology |
34.7% |
Consumer, Non-cyclical |
19.1% |
Communications |
18.5% |
Consumer, Cyclical |
12.2% |
Financial |
10.4% |
Industrial |
4.2% |
Energy |
0.7% |
Basic Materials |
0.6% |
Mutual Funds |
0.1% |
Total Long-Term Investments |
100.5% |
Short-Term Investments and Other Assets and Liabilities |
(0.5)% |
Net Assets |
100.0% |
12
MassMutual Small Cap Opportunities Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Small Cap Opportunities Fund, and who is the Fund’s subadviser?
The Fund seeks capital appreciation by investing primarily in common stocks of small-capitalization U.S. companies that the Fund’s subadviser believes have favorable business trends or prospects based on fundamental analysis. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of small-cap companies. The Fund’s subadviser is Invesco Advisers, Inc. (Invesco Advisers).
MassMutual |
|
Tenet Healthcare Corp. |
2.3% |
Evoqua Water Technologies Corp. |
1.9% |
Inspire Medical Systems, Inc. |
1.8% |
Stifel Financial Corp. |
1.8% |
National Storage Affiliates Trust |
1.7% |
Ziff Davis, Inc. |
1.7% |
KBR, Inc. |
1.7% |
AutoNation, Inc. |
1.7% |
ASGN, Inc. |
1.7% |
Acadia Healthcare Co., Inc. |
1.7% |
18.0% |
|
MassMutual |
|
Consumer, Non-cyclical |
22.4% |
Financial |
20.2% |
Industrial |
15.8% |
Technology |
14.2% |
Consumer, Cyclical |
11.5% |
Energy |
4.4% |
Utilities |
3.7% |
Basic Materials |
2.8% |
Communications |
2.4% |
Mutual Funds |
1.3% |
Total Long-Term Investments |
98.7% |
Short-Term Investments and Other Assets and Liabilities |
1.3% |
Net Assets |
100.0% |
13
MassMutual Global Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual Global Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital appreciation by investing primarily in common stocks of companies in the U.S. and foreign countries. The Fund can invest without limit in foreign securities, including American Depositary Receipts (ADRs), and can invest in any country, including developing or emerging market countries. However, the Fund currently emphasizes investments in developed markets such as the United States, Western European countries, and Japan. As a fundamental policy, the Fund normally will invest in at least three countries (one of which may be the United States). Typically, the Fund invests in a number of different countries. The Fund’s subadviser is Invesco Advisers, Inc. (Invesco Advisers).
MassMutual |
|
Alphabet, Inc. Class A |
12.1% |
Intuit, Inc. |
5.9% |
S&P Global, Inc. |
5.6% |
LVMH Moet Hennessy Louis Vuitton SE |
5.5% |
Adobe, Inc. |
4.1% |
Meta Platforms, Inc. Class A |
4.1% |
Analog Devices, Inc. |
3.9% |
Airbus SE |
3.4% |
JD.com, Inc. ADR |
3.3% |
DLF Ltd. |
3.1% |
51.0% |
|
MassMutual |
|
Technology |
22.8% |
Industrial |
21.7% |
Communications |
21.7% |
Consumer, Non-cyclical |
17.8% |
Consumer, Cyclical |
9.3% |
Financial |
6.1% |
Mutual Funds |
2.0% |
Basic Materials |
0.1% |
Total Long-Term Investments |
101.5% |
Short-Term Investments and Other Assets and Liabilities |
(1.5)% |
Net Assets |
100.0% |
14
MassMutual International Equity Fund – Portfolio Summaries (Unaudited) |
What is the investment approach of MassMutual International Equity Fund, and are is the Fund’s subadvisers?
The Fund seeks to achieve long-term capital appreciation by investing primarily in common stock of foreign companies. The Fund invests primarily in the common stock of companies that are domiciled or that have their primary operations outside of the United States. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities of foreign companies. The Fund may invest up to 100% of its total assets in such securities. The Fund may invest in emerging markets as well as in developed markets throughout the world. From time to time, the Fund may place greater emphasis on investing in one or more particular regions (such as Asia, Europe, or Latin America). The Fund’s subadvisers are Wellington Management Company LLP (Wellington Management), which managed approximately 74% of the Fund’s portfolio; and Thompson, Siegel & Walmsley LLC (TSW), which was responsible for approximately 26% of the Fund’s portfolio, as of March 31, 2022.
MassMutual |
|
Roche Holding AG |
3.3% |
Astellas Pharma, Inc. |
3.0% |
Novartis AG Registered |
2.9% |
Nestle SA Registered |
2.8% |
Reckitt Benckiser Group PLC |
2.8% |
KDDI Corp. |
2.8% |
National Grid PLC |
2.6% |
Canadian National Railway Co. |
2.6% |
AIA Group Ltd. |
2.5% |
Smith & Nephew PLC |
2.5% |
27.8% |
|
MassMutual |
|
Consumer, Non-cyclical |
39.9% |
Industrial |
15.9% |
Financial |
14.1% |
Consumer, Cyclical |
7.1% |
Utilities |
5.1% |
Energy |
4.3% |
Basic Materials |
4.1% |
Technology |
4.0% |
Communications |
3.8% |
Mutual Funds |
1.7% |
Diversified |
0.4% |
Total Long-Term Investments |
100.4% |
Short-Term Investments and Other Assets and Liabilities |
(0.4)% |
Net Assets |
100.0% |
15
MassMutual Strategic Emerging Markets Fund – Portfolio Summaries (Unaudited) |
MassMutual Select Funds – Portfolio Summaries (Unaudited) (Continued) |
What is the investment approach of MassMutual Strategic Emerging Markets Fund, and who is the Fund’s subadviser?
The Fund seeks long-term capital growth by investing mainly in common stocks of issuers in developing and emerging markets throughout the world and at times may invest up to 100% of its total assets in foreign securities. Under normal market conditions, the Fund will invest at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of issuers whose principal activities are in a developing (or emerging) market, i.e., are in a developing market or are economically tied to a developing market country. The Fund will invest in at least three developing markets. In general, countries may be considered developing or emerging markets if they are included in any one of the MSCI emerging markets indexes, classified as a developing or emerging market, or classified under a similar or corresponding classification, by organizations such as the World Bank and the International Monetary Fund, or have economies, industries, and stock markets with similar characteristics. The Fund’s subadviser is Invesco Advisers, Inc. (Invesco Advisers).
MassMutual |
|
Taiwan Semiconductor Manufacturing Co. Ltd. |
9.9% |
Housing Development Finance Corp. Ltd. |
6.0% |
AIA Group Ltd. |
5.0% |
Grupo Mexico SAB de CV Series B |
4.8% |
Kotak Mahindra Bank Ltd. |
4.5% |
Tata Consultancy Services Ltd. |
4.3% |
Yum China Holdings, Inc. |
3.5% |
Tencent Holdings Ltd. |
3.3% |
NetEase, Inc. ADR ADR |
3.2% |
Cie Financiere Richemont SA Registered |
3.1% |
47.6% |
|
MassMutual |
|
Technology |
23.9% |
Financial |
23.8% |
Consumer, Cyclical |
15.7% |
Consumer, Non-cyclical |
13.4% |
Communications |
9.2% |
Basic Materials |
7.6% |
Industrial |
2.2% |
Energy |
0.0% |
Total Long-Term Investments |
95.8% |
Short-Term Investments and Other Assets and Liabilities |
4.2% |
Net Assets |
100.0% |
16
MassMutual U.S. Government Money Market Fund – Portfolio of Investments |
March 31, 2022 (Unaudited) |
Principal |
Value |
|||||||
Discount Notes — 74.0% |
||||||||
Federal Farm Credit Bank |
||||||||
SOFR + .040% (0.020)% FRN 4/01/22, 8/22/22 (a) |
$ | 2,500,000 | $ | 2,500,200 | ||||
0.112% 7/06/22, 7/06/22 (a) |
5,600,000 | 5,598,358 | ||||||
Federal Home Loan Bank |
||||||||
SOFR + .010% (0.005)% FRN 4/01/22, 7/26/22 (a) |
16,000,000 | 16,000,258 | ||||||
SOFR + .055% 0.000% FRN 4/01/22, 5/13/22 (a) |
15,000,000 | 15,000,000 | ||||||
SOFR + .005% 0.000% FRN 4/01/22, 6/30/22 (a) |
8,000,000 | 8,000,000 | ||||||
SOFR + .005% 0.000% FRN 4/01/22, 6/30/22 (a) |
13,000,000 | 13,000,000 | ||||||
SOFR + .005% 0.000% FRN 4/01/22, 7/25/22 (a) |
8,000,000 | 8,000,000 | ||||||
SOFR + .010% 0.000% FRN 4/01/22, 8/02/22 (a) |
6,000,000 | 6,000,000 | ||||||
SOFR + .010% 0.000% FRN 4/01/22, 9/06/22 (a) |
12,000,000 | 12,000,000 | ||||||
SOFR + .010% 0.000% FRN 4/01/22, 9/08/22 (a) |
20,000,000 | 20,000,000 | ||||||
SOFR + .005% 0.000% FRN 4/01/22, 9/16/22 (a) |
8,000,000 | 8,000,000 | ||||||
0.122% 4/13/22, 4/13/22 (a) |
12,000,000 | 11,999,520 | ||||||
0.122% 6/10/22, 6/10/22 (a) |
6,400,000 | 6,398,507 | ||||||
0.127% 6/10/22, 6/10/22 (a) |
4,500,000 | 4,498,906 | ||||||
0.130% 6/10/22, 6/10/22 (a) |
2,000,000 | 1,999,502 | ||||||
0.132% 4/08/22, 4/08/22 (a) |
3,350,000 | 3,349,915 | ||||||
0.132% 6/08/22, 6/08/22 (a) |
5,000,000 | 4,998,772 | ||||||
0.152% 4/27/22, 4/27/22 (a) |
3,600,000 | 3,599,610 | ||||||
0.162% 4/04/22, 4/04/22 (a) |
5,100,000 | 5,099,932 | ||||||
0.193% 4/20/22, 4/20/22 (a) |
2,000,000 | 1,999,800 | ||||||
0.213% 4/13/22, 4/13/22 (a) |
500,000 | 499,965 | ||||||
| 158,543,245 | ||||||||
Repurchase Agreement — 20.0% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (b) |
7,841,412 | 7,841,412 | ||||||
HSBC Securities (USA) Inc., Tri-Party Repurchase Agreement, dated 3/31/22, 0.290%, due 4/01/22 (c) |
35,000,000 | 35,000,000 | ||||||
| 42,841,412 | ||||||||
Principal |
Value |
|||||||
U.S. Treasury Bill — 8.9% |
||||||||
U.S. Treasury Bill |
||||||||
0.081% 4/21/22 (d) |
$ | 5,000,000 | $ | 4,999,778 | ||||
0.116% 10/06/22 (d) |
3,000,000 | 2,998,209 | ||||||
0.117% 8/11/22 (d) |
3,000,000 | 2,998,735 | ||||||
0.118% 4/05/22 (d) |
8,000,000 | 7,999,897 | ||||||
| 18,996,619 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $220,381,276) |
220,381,276 | |||||||
TOTAL INVESTMENTS — 102.9% (Cost $220,381,276) (e) |
220,381,276 | |||||||
Other Assets/(Liabilities) — (2.9)% |
(6,170,800 | ) | ||||||
NET ASSETS — 100.0% |
$ | 214,210,476 | ||||||
Abbreviation Legend
|
FRN |
Floating Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
The stated maturity dates reflect reset date and final maturity date, respectively. |
|
(b) |
Maturity value of $7,841,412. Collateralized by U.S. Government Agency obligations with a rate of 0.500%, maturity date of 4/15/24, and an aggregate market value, including accrued interest, of $7,998,284. |
|
(c) |
Maturity value of $35,000,282. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 2/15/40, and an aggregate market value, including accrued interest, of $35,700,002. |
|
(d) |
The rate shown represents yield-to-maturity. |
|
(e) |
See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
17
MassMutual Short-Duration Bond Fund – Portfolio of Investments |
March 31, 2022 (Unaudited) |
Principal |
Value |
|||||||
BONDS & NOTES — 95.4% |
||||||||
CORPORATE DEBT — 53.2% |
||||||||
Aerospace & Defense — 0.3% |
||||||||
The Boeing Co. |
||||||||
2.196% 2/04/26 |
$ | 2,850,000 | $ | 2,697,491 | ||||
Agriculture — 2.0% |
||||||||
BAT Capital Corp. |
||||||||
4.700% 4/02/27 |
8,270,000 | 8,494,029 | ||||||
Imperial Brands Finance PLC |
||||||||
3.125% 7/26/24 (a) |
5,320,000 | 5,274,914 | ||||||
Wens Foodstuffs Group Co. Ltd. |
||||||||
2.349% 10/29/25 (a) |
8,225,000 | 6,584,886 | ||||||
| 20,353,829 | ||||||||
Airlines — 0.9% |
||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
||||||||
4.500% 10/20/25 (a) |
8,663,000 | 8,720,299 | ||||||
Auto Manufacturers — 3.1% |
||||||||
Ford Motor Credit Co. LLC |
||||||||
3 mo. USD LIBOR + 1.235% 1.741% FRN 2/15/23 |
2,115,000 | 2,098,667 | ||||||
2.300% 2/10/25 |
5,470,000 | 5,192,220 | ||||||
3.087% 1/09/23 |
3,410,000 | 3,411,023 | ||||||
General Motors Co. |
||||||||
6.125% 10/01/25 |
5,107,000 | 5,489,082 | ||||||
Harley-Davidson Financial Services, Inc. |
||||||||
3.350% 6/08/25 (a) |
3,858,000 | 3,796,894 | ||||||
Hyundai Capital America |
||||||||
1.500% 6/15/26 (a) |
4,960,000 | 4,515,460 | ||||||
Nissan Motor Acceptance Co. LLC |
||||||||
1.850% 9/16/26 (a) |
7,770,000 | 6,966,716 | ||||||
| 31,470,062 | ||||||||
Banks — 9.4% |
||||||||
ABN AMRO Bank NV |
||||||||
4.750% 7/28/25 (a) |
7,765,000 | 7,937,771 | ||||||
Banco Santander SA |
||||||||
1.849% 3/25/26 |
3,400,000 | 3,181,779 | ||||||
The Bank of Nova Scotia |
||||||||
4.500% 12/16/25 |
4,504,000 | 4,659,017 | ||||||
Barclays PLC |
||||||||
5.200% 5/12/26 |
8,740,000 | 9,087,502 | ||||||
BPCE SA |
||||||||
4.625% 7/11/24 (a) |
1,200,000 | 1,222,768 | ||||||
5.700% 10/22/23 (a) |
8,498,000 | 8,795,419 | ||||||
Burgan Bank SAK 5 year CMT + 2.229% |
||||||||
2.750% VRN 12/15/31 (a) |
2,000,000 | 1,732,480 | ||||||
Principal |
Value |
|||||||
Citigroup, Inc. |
||||||||
4.450% 9/29/27 |
$ | 3,565,000 | $ | 3,682,908 | ||||
Credit Suisse AG |
||||||||
6.500% 8/08/23 (a) |
6,260,000 | 6,416,500 | ||||||
Danske Bank A/S 1 year CMT + .730% |
||||||||
1.549% VRN 9/10/27 (a) |
3,820,000 | 3,483,234 | ||||||
Deutsche Bank AG |
||||||||
SOFR + 1.219% 2.311% VRN 11/16/27 |
4,115,000 | 3,776,367 | ||||||
SOFR + 1.318% 2.552% VRN 1/07/28 |
3,670,000 | 3,387,285 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
4.250% 10/21/25 |
5,480,000 | 5,620,051 | ||||||
HSBC Holdings PLC |
||||||||
SOFR + 1.430% 2.999% VRN 3/10/26 |
2,900,000 | 2,846,422 | ||||||
4.250% 3/14/24 |
343,000 | 348,260 | ||||||
4.250% 8/18/25 |
3,668,000 | 3,714,657 | ||||||
4.375% 11/23/26 |
3,264,000 | 3,328,574 | ||||||
Macquarie Group Ltd. SOFR + 1.069% |
||||||||
1.340% VRN 1/12/27 (a) |
4,450,000 | 4,066,051 | ||||||
Morgan Stanley |
||||||||
4.350% 9/08/26 |
5,500,000 | 5,686,647 | ||||||
Natwest Group PLC 1 year CMT + .900% |
||||||||
1.642% VRN 6/14/27 |
2,565,000 | 2,348,031 | ||||||
Santander UK Group Holdings PLC SOFR + 1.220% |
||||||||
2.469% VRN 1/11/28 |
3,170,000 | 2,952,557 | ||||||
Societe Generale SA |
||||||||
1 year CMT + 1.100% 1.488% VRN 12/14/26 (a) |
5,510,000 | 4,988,074 | ||||||
1 year CMT + 1.000% 1.792% VRN 6/09/27 (a) |
245,000 | 221,048 | ||||||
1 year CMT + 1.300% 2.797% VRN 1/19/28 (a) |
1,200,000 | 1,124,700 | ||||||
| 94,608,102 | ||||||||
Beverages — 0.3% |
||||||||
JDE Peet’s NV |
||||||||
1.375% 1/15/27 (a) |
4,029,000 | 3,622,177 | ||||||
Biotechnology — 0.2% |
||||||||
Bio-Rad Laboratories, Inc. |
||||||||
3.300% 3/15/27 |
1,875,000 | 1,847,541 | ||||||
Chemicals — 1.2% |
||||||||
MEGlobal Canada ULC |
||||||||
5.000% 5/18/25 (a) |
6,400,000 | 6,597,568 | ||||||
Syngenta Finance NV |
||||||||
4.441% 4/24/23 (a) |
2,641,000 | 2,676,316 | ||||||
The accompanying notes are an integral part of the financial statements.
18
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
4.892% 4/24/25 (a) |
$ | 765,000 | $ | 779,532 | ||||
Yara International ASA |
||||||||
3.800% 6/06/26 (a) |
2,125,000 | 2,124,343 | ||||||
| 12,177,759 | ||||||||
Commercial Services — 0.5% |
||||||||
Triton Container International Ltd. |
||||||||
2.050% 4/15/26 (a) |
5,500,000 | 5,135,260 | ||||||
Distribution & Wholesale — 0.9% |
||||||||
Li & Fung Ltd. |
||||||||
4.500% 8/18/25 (a) |
9,750,000 | 9,312,079 | ||||||
Diversified Financial Services — 4.7% |
||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust |
||||||||
2.450% 10/29/26 |
4,990,000 | 4,614,409 | ||||||
6.500% 7/15/25 |
2,200,000 | 2,332,061 | ||||||
Aircastle Ltd. |
||||||||
4.125% 5/01/24 |
6,790,000 | 6,783,889 | ||||||
Antares Holdings LP |
||||||||
2.750% 1/15/27 (a) |
2,785,000 | 2,451,205 | ||||||
3.950% 7/15/26 (a) |
4,980,000 | 4,647,944 | ||||||
6.000% 8/15/23 (a) |
3,332,000 | 3,403,013 | ||||||
Avolon Holdings Funding Ltd. |
||||||||
2.875% 2/15/25 (a) |
7,395,000 | 7,108,047 | ||||||
4.250% 4/15/26 (a) |
3,290,000 | 3,248,338 | ||||||
BGC Partners, Inc. |
||||||||
4.375% 12/15/25 |
3,690,000 | 3,719,398 | ||||||
LeasePlan Corp. NV |
||||||||
2.875% 10/24/24 (a) |
2,022,000 | 1,976,995 | ||||||
SPARC EM SPC Panama Metro Line 2 SP |
||||||||
0.000% 12/05/22 (a) |
547,192 | 539,532 | ||||||
Synchrony Financial |
||||||||
3.700% 8/04/26 |
900,000 | 896,310 | ||||||
3.950% 12/01/27 |
5,550,000 | 5,505,591 | ||||||
| 47,226,732 | ||||||||
Electric — 0.8% |
||||||||
Alliant Energy Finance LLC |
||||||||
1.400% 3/15/26 (a) |
1,630,000 | 1,484,079 | ||||||
Pacific Gas and Electric Co. |
||||||||
1.750% 6/16/22 |
6,235,000 | 6,226,046 | ||||||
| 7,710,125 | ||||||||
Entertainment — 0.3% |
||||||||
Magallanes, Inc. Co. |
||||||||
3.638% 3/15/25 (a) |
3,230,000 | 3,250,149 | ||||||
Food — 1.2% |
||||||||
JBS Finance Luxembourg Sarl |
||||||||
2.500% 1/15/27 (a) |
7,525,000 | 6,988,919 | ||||||
Principal |
Value |
|||||||
Smithfield Foods, Inc. |
||||||||
4.250% 2/01/27 (a) |
$ | 4,875,000 | $ | 4,934,179 | ||||
| 11,923,098 | ||||||||
Health Care – Services — 0.9% |
||||||||
HCA, Inc. |
||||||||
5.375% 2/01/25 |
8,370,000 | 8,715,681 | ||||||
Insurance — 2.9% |
||||||||
AmTrust Financial Services, Inc. |
||||||||
6.125% 8/15/23 |
4,810,000 | 4,821,597 | ||||||
Athene Global Funding |
||||||||
1.730% 10/02/26 (a) |
3,935,000 | 3,578,043 | ||||||
CNO Financial Group, Inc. |
||||||||
5.250% 5/30/25 |
3,025,000 | 3,141,435 | ||||||
CNO Global Funding |
||||||||
1.750% 10/07/26 (a) |
6,308,000 | 5,823,751 | ||||||
Corebridge Financial, Inc. |
||||||||
3.650% 4/05/27 |
1,505,000 | 1,502,893 | ||||||
Sammons Financial Group, Inc. |
||||||||
4.450% 5/12/27 (a) |
6,515,000 | 6,705,088 | ||||||
Unum Group |
||||||||
3.875% 11/05/25 |
3,620,000 | 3,650,849 | ||||||
| 29,223,656 | ||||||||
Internet — 1.5% |
||||||||
Expedia Group, Inc. |
||||||||
4.625% 8/01/27 |
1,645,000 | 1,708,873 | ||||||
Netflix, Inc. |
||||||||
5.875% 11/15/28 |
3,457,000 | 3,810,651 | ||||||
Prosus NV |
||||||||
3.257% 1/19/27 (a) |
7,000,000 | 6,404,042 | ||||||
Weibo Corp. |
||||||||
3.500% 7/05/24 |
3,250,000 | 3,175,153 | ||||||
| 15,098,719 | ||||||||
Investment Companies — 3.6% |
||||||||
Ares Capital Corp. |
||||||||
3.875% 1/15/26 |
5,615,000 | 5,514,449 | ||||||
BlackRock TCP Capital Corp. |
||||||||
3.900% 8/23/24 |
2,927,000 | 2,914,559 | ||||||
Blackstone Private Credit Fund |
||||||||
2.625% 12/15/26 (a) |
9,045,000 | 8,151,689 | ||||||
2.700% 1/15/25 (a) |
2,755,000 | 2,633,674 | ||||||
Golub Capital BDC, Inc. |
||||||||
2.500% 8/24/26 |
1,965,000 | 1,807,605 | ||||||
3.375% 4/15/24 |
3,733,000 | 3,677,585 | ||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. |
||||||||
4.750% 9/15/24 |
4,310,000 | 4,320,775 | ||||||
OWL Rock Core, Income Corp. |
||||||||
4.700% 2/08/27 (a) |
4,035,000 | 3,886,197 | ||||||
The accompanying notes are an integral part of the financial statements.
19
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Sixth Street Specialty Lending, Inc. |
||||||||
3.875% 11/01/24 |
$ | 3,590,000 | $ | 3,581,027 | ||||
| 36,487,560 | ||||||||
Iron & Steel — 0.8% |
||||||||
Vale Overseas Ltd. |
||||||||
6.250% 8/10/26 |
7,549,000 | 8,314,846 | ||||||
Lodging — 1.0% |
||||||||
Hyatt Hotels Corp. |
||||||||
1.800% 10/01/24 |
3,025,000 | 2,913,145 | ||||||
Las Vegas Sands Corp. |
||||||||
3.200% 8/08/24 |
7,680,000 | 7,338,222 | ||||||
| 10,251,367 | ||||||||
Machinery – Construction & Mining — 0.6% |
||||||||
The Weir Group PLC |
||||||||
2.200% 5/13/26 (a) |
6,750,000 | 6,311,979 | ||||||
Media — 0.5% |
||||||||
Cable Onda SA |
||||||||
4.500% 1/30/30 (a) |
5,550,000 | 5,414,025 | ||||||
Mining — 1.0% |
||||||||
Alcoa Nederland Holding BV |
||||||||
6.125% 5/15/28 (a) |
3,295,000 | 3,451,513 | ||||||
Freeport-McMoRan, Inc. |
||||||||
4.550% 11/14/24 |
3,125,000 | 3,221,000 | ||||||
Glencore Funding LLC |
||||||||
1.625% 4/27/26 (a) |
3,425,000 | 3,162,795 | ||||||
| 9,835,308 | ||||||||
Multi-National — 1.2% |
||||||||
Africa Finance Corp. |
||||||||
3.125% 6/16/25 (a) |
5,973,000 | 5,790,823 | ||||||
The Eastern & Southern African Trade & Development Bank |
||||||||
4.875% 5/23/24 (a) |
6,000,000 | 6,018,240 | ||||||
| 11,809,063 | ||||||||
Oil & Gas — 2.4% |
||||||||
EQT Corp. |
||||||||
6.625% STEP 2/01/25 |
5,448,000 | 5,754,722 | ||||||
Occidental Petroleum Corp. |
||||||||
5.500% 12/01/25 |
4,780,000 | 5,029,994 | ||||||
Ovintiv Exploration, Inc. |
||||||||
5.375% 1/01/26 |
2,500,000 | 2,652,651 | ||||||
Petroleos Mexicanos |
||||||||
4.625% 9/21/23 |
10,360,000 | 10,483,181 | ||||||
| 23,920,548 | ||||||||
Packaging & Containers — 0.4% |
||||||||
Berry Global, Inc. |
||||||||
1.650% 1/15/27 |
5,010,000 | 4,569,005 | ||||||
Principal |
Value |
|||||||
Pharmaceuticals — 0.8% |
||||||||
Bayer US Finance II LLC |
||||||||
4.250% 12/15/25 (a) |
$ | 2,600,000 | $ | 2,647,011 | ||||
Viatris, Inc. |
||||||||
2.300% 6/22/27 |
5,855,000 | 5,337,317 | ||||||
| 7,984,328 | ||||||||
Pipelines — 2.5% |
||||||||
Energy Transfer LP |
||||||||
4.200% 9/15/23 |
2,833,000 | 2,871,772 | ||||||
4.950% 6/15/28 |
5,275,000 | 5,531,714 | ||||||
EnLink Midstream Partners LP |
||||||||
4.400% 4/01/24 |
7,955,000 | 8,058,867 | ||||||
EQM Midstream Partners LP |
||||||||
4.750% 7/15/23 |
3,555,000 | 3,581,662 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. |
||||||||
4.650% 10/15/25 |
4,245,000 | 4,366,540 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. |
||||||||
4.500% 12/15/26 |
960,000 | 986,125 | ||||||
| 25,396,680 | ||||||||
Private Equity — 0.6% |
||||||||
Hercules Capital, Inc. |
||||||||
2.625% 9/16/26 |
5,488,000 | 5,047,003 | ||||||
3.375% 1/20/27 |
1,390,000 | 1,306,770 | ||||||
| 6,353,773 | ||||||||
Real Estate — 2.0% |
||||||||
Country Garden Holdings Co. Ltd. |
||||||||
4.750% 1/17/23 (a) |
4,000,000 | 3,680,000 | ||||||
8.000% 1/27/24 (a) |
8,433,000 | 7,220,335 | ||||||
MAF Sukuk Ltd. |
||||||||
4.500% 11/03/25 (a) |
4,525,000 | 4,649,935 | ||||||
Shimao Group Holdings Ltd. |
||||||||
6.125% 2/21/24 (a) |
14,600,000 | 4,387,300 | ||||||
| 19,937,570 | ||||||||
Real Estate Investment Trusts (REITS) — 1.7% |
||||||||
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP |
||||||||
3.750% 12/15/27 (a) |
1,925,000 | 1,777,061 | ||||||
Omega Healthcare Investors, Inc. |
||||||||
4.750% 1/15/28 |
5,069,000 | 5,160,405 | ||||||
Service Properties Trust |
||||||||
4.350% 10/01/24 |
8,315,000 | 8,016,492 | ||||||
Vornado Realty LP |
||||||||
2.150% 6/01/26 |
2,350,000 | 2,199,157 | ||||||
| 17,153,115 | ||||||||
The accompanying notes are an integral part of the financial statements.
20
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Retail — 0.8% |
||||||||
Nordstrom, Inc. |
||||||||
2.300% 4/08/24 |
$ | 2,051,000 | $ | 2,022,122 | ||||
4.000% 3/15/27 (b) |
740,000 | 712,805 | ||||||
QVC, Inc. |
||||||||
4.375% 3/15/23 |
5,290,000 | 5,308,039 | ||||||
| 8,042,966 | ||||||||
Telecommunications — 1.6% |
||||||||
Sprint Communications, Inc. |
||||||||
9.250% 4/15/22 |
1,805,000 | 1,807,256 | ||||||
Telecom Italia SpA |
||||||||
5.303% 5/30/24 (a) |
3,610,000 | 3,663,970 | ||||||
Tower Bersama Infrastructure Tbk PT |
||||||||
4.250% 1/21/25 (a) |
10,425,000 | 10,604,398 | ||||||
| 16,075,624 | ||||||||
Toys, Games & Hobbies — 0.6% |
||||||||
Mattel, Inc. |
||||||||
3.375% 4/01/26 (a) |
6,560,000 | 6,422,798 | ||||||
TOTAL CORPORATE DEBT (Cost $575,854,605) |
537,373,314 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 42.2% |
||||||||
Automobile Asset-Backed Securities — 1.0% |
||||||||
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class D |
||||||||
1.490% 9/18/26 |
339,000 | 323,737 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class C |
||||||||
3.150% 3/20/26 (a) |
2,764,000 | 2,667,792 | ||||||
Carmax Auto Owner Trust, Series 2019-2, Class D, ABS |
||||||||
3.410% 10/15/25 |
615,000 | 619,285 | ||||||
Santander Drive Auto Receivables Trust, Series 2020-4, Class D |
||||||||
1.480% 1/15/27 |
401,000 | 390,165 | ||||||
Westlake Automobile Receivables Trust, Series 2021-1A, Class E |
||||||||
2.330% 8/17/26 (a) |
6,774,000 | 6,378,961 | ||||||
| 10,379,940 | ||||||||
Commercial Mortgage-Backed Securities — 7.6% |
||||||||
BAMLL Commercial Mortgage Securities Trust |
||||||||
Series 2018-DSNY, Class C, 1 mo. USD LIBOR + 1.350% 1.747% FRN 9/15/34 (a) |
570,000 | 557,180 | ||||||
Series 2019-BPR, Class CMP, 3.895% VRN 11/05/32 (a) (c) |
2,280,000 | 2,152,003 | ||||||
Principal |
Value |
|||||||
Series 2019-BPR, Class DMP, 3.895% VRN 11/05/32 (a) (c) |
$ | 3,050,000 | $ | 2,860,953 | ||||
BX Commercial Mortgage Trust |
||||||||
Series 2021-SOAR, Class E, 1 mo. USD LIBOR + 1.800% 2.197% FRN 6/15/38 (a) |
5,676,000 | 5,527,163 | ||||||
Series 2021-VOLT, Class E, 1 mo. USD LIBOR + 2.000% 2.397% FRN 9/15/36 (a) |
7,174,000 | 6,902,741 | ||||||
Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% 2.397% FRN 10/15/36 (a) |
5,882,850 | 5,772,837 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class E, 1 mo. USD LIBOR + 2.150% |
||||||||
2.547% FRN 12/15/37 (a) |
2,835,008 | 2,785,521 | ||||||
COMM Mortgage Trust, Series 2020-SBX, Class D, |
||||||||
2.321% VRN 1/10/38 (a) (c) |
6,200,000 | 5,761,832 | ||||||
Credit Suisse Mortgage Capital Certificates |
||||||||
Series 2019-ICE4, Class D, 1 mo. USD LIBOR + 1.600% 1.997% FRN 5/15/36 (a) |
1,780,000 | 1,759,985 | ||||||
Series 2019-ICE4, Class E, 1 mo. USD LIBOR + 2.150% 2.547% FRN 5/15/36 (a) |
4,000,000 | 3,920,290 | ||||||
Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250% |
||||||||
2.647% FRN 7/15/38 (a) |
4,969,416 | 4,894,953 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, |
||||||||
3.958% VRN 4/15/46 (c) |
1,015,000 | 977,461 | ||||||
KINDR Trust, Series 2021-KIND, Class C, 1 mo. USD LIBOR + 1.750% |
||||||||
2.147% FRN 8/15/38 (a) |
4,400,000 | 4,339,882 | ||||||
KKR Industrial Portfolio Trust, Series 2021-KDIP, Class E, 1 mo. USD LIBOR + 1.550% |
||||||||
1.947% FRN 12/15/37 (a) |
5,187,750 | 5,051,580 | ||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% |
||||||||
2.197% FRN 5/15/36 (a) |
1,604,000 | 1,581,038 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class E, 1 mo. USD LIBOR + 1.750% |
||||||||
2.147% FRN 3/15/38 (a) |
2,667,781 | 2,562,800 | ||||||
The accompanying notes are an integral part of the financial statements.
21
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.101% |
||||||||
2.498% FRN 4/15/38 (a) |
$ | 5,910,000 | $ | 5,769,631 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class B |
||||||||
3.769% 2/15/46 |
2,340,000 | 2,319,367 | ||||||
Morgan Stanley Capital I Trust, Series 2012-STAR, Class D, |
||||||||
3.927% VRN 8/05/34 (a) (c) |
2,300,000 | 2,283,981 | ||||||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A3 |
||||||||
2.260% 11/20/50 (a) |
2,507,000 | 2,357,706 | ||||||
One New York Plaza Trust |
||||||||
Series 2020-1NYP, Class C, 1 mo. USD LIBOR + 2.200% 2.597% FRN 1/15/36 (a) |
4,106,000 | 4,045,271 | ||||||
Series 2020-1NYP, Class D, 1 mo. USD LIBOR + 2.750% 3.147% FRN 1/15/36 (a) |
2,760,000 | 2,719,179 | ||||||
| 76,903,354 | ||||||||
Credit Card Asset-Backed Securities — 0.4% |
||||||||
Avant Credit Card Master Trust, Series 2021-1A, Class A |
||||||||
1.370% 4/15/27 (a) |
4,200,000 | 3,993,093 | ||||||
Home Equity Asset-Backed Securities — 0.0% |
||||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .480% |
||||||||
0.937% FRN 10/25/34 (a) |
79,019 | 78,975 | ||||||
Other Asset-Backed Securities — 18.2% |
||||||||
321 Henderson Receivables LLC |
||||||||
Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200% 0.597% FRN 3/15/41 (a) |
40,031 | 39,883 | ||||||
Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200% 0.597% FRN 9/15/41 (a) |
55,080 | 54,043 | ||||||
522 Funding CLO Ltd., Series 2018-3A, Class BR, 3 mo. USD LIBOR + 1.550% |
||||||||
1.804% FRN 10/20/31 (a) |
2,352,000 | 2,328,466 | ||||||
AASET Trust, Series 2020-1A, Class B |
||||||||
4.335% 1/16/40 (a) |
1,273,358 | 590,199 | ||||||
Adams Outdoor Advertising LP, Series 2018-1, Class A |
||||||||
4.810% 11/15/48 (a) |
1,794,802 | 1,817,020 | ||||||
Principal |
Value |
|||||||
AIMCO CLO 10 Ltd., Series 2019-10A, Class AR, 3 mo. USD LIBOR + 1.060% |
||||||||
1.319% FRN 7/22/32 (a) |
$ | 5,000,000 | $ | 4,954,545 | ||||
Apidos CLO XXVI, Series 2017-26A, Class A2R, 3 mo. USD LIBOR + 1.500% |
||||||||
1.741% FRN 7/18/29 (a) |
3,500,000 | 3,468,787 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class M1, 1 mo. USD LIBOR + .900% |
||||||||
1.357% FRN 10/25/34 |
124,032 | 121,060 | ||||||
Ballyrock CLO Ltd., Series 2020-2A, Class A2R, 3 mo. USD LIBOR + 1.550% |
||||||||
1.804% FRN 10/20/31 (a) |
4,700,000 | 4,641,452 | ||||||
Bankers Healthcare Group Trust, Series 2021-B, Class C |
||||||||
2.240% 10/17/34 (a) |
3,736,000 | 3,420,363 | ||||||
Benefit Street Partners CLO XVII Ltd., Series 2019-17A, Class AR, 3 mo. USD LIBOR + 1.080% |
||||||||
1.321% FRN 7/15/32 (a) |
4,000,000 | 3,962,244 | ||||||
BRE Grand Islander Timeshare Issuer LLC |
||||||||
Series 2017-1A, Class A, 2.940% 5/25/29 (a) |
217,196 | 215,141 | ||||||
Series 2017-1A, Class B, 3.240% 5/25/29 (a) |
62,056 | 61,452 | ||||||
Series 2019-A, Class B, 3.780% 9/26/33 (a) |
1,084,649 | 1,073,625 | ||||||
Business Jet Securities LLC, Series 2021-1A, Class A |
||||||||
2.162% 4/15/36 (a) |
3,181,485 | 2,961,297 | ||||||
Canyon Capital CLO Ltd., Series 2017-1A, Class CR, 3 mo. USD LIBOR + 2.000% |
||||||||
2.241% FRN 7/15/30 (a) |
1,540,000 | 1,521,072 | ||||||
Capital Automotive REIT, Series 2020-1A, Class B1 |
||||||||
4.170% 2/15/50 (a) |
3,289,000 | 3,223,854 | ||||||
Castlelake Aircraft Securitization, Series 2019-1A, Class B |
||||||||
5.095% 4/15/39 (a) |
707,996 | 597,051 | ||||||
Castlelake Aircraft Structured Trust, Series 2018-1, Class A |
||||||||
4.125% 6/15/43 (a) |
1,631,435 | 1,471,026 | ||||||
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, 3 mo. USD LIBOR + .980% |
||||||||
1.234% FRN 4/20/31 (a) |
900,000 | 895,107 | ||||||
The accompanying notes are an integral part of the financial statements.
22
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
CF Hippolyta LLC, Series 2020-1, Class B1 |
||||||||
2.280% 7/15/60 (a) |
$ | 590,963 | $ | 553,431 | ||||
CIFC Funding Ltd. |
||||||||
Series 2017-2A, Class BR, 3 mo. USD LIBOR + 1.500% 1.754% FRN 4/20/30 (a) |
1,750,000 | 1,733,433 | ||||||
Series 2017-4A, Class A2R, 3 mo. USD LIBOR + 1.550% 1.809% FRN 10/24/30 (a) |
2,400,000 | 2,384,789 | ||||||
DB Master Finance LLC, Series 2017-1A, Class A2II |
||||||||
4.030% 11/20/47 (a) |
960,000 | 969,242 | ||||||
Diamond Resorts Owner Trust |
||||||||
Series 2021-1A, Class B, 2.050% 11/21/33 (a) |
3,885,444 | 3,779,244 | ||||||
Series 2018-1, Class A, 3.700% 1/21/31 (a) |
142,608 | 143,243 | ||||||
Elara HGV Timeshare Issuer LLC |
||||||||
Series 2017-A, Class A, 2.690% 3/25/30 (a) |
284,880 | 284,999 | ||||||
Series 2016-A, Class A, 2.730% 4/25/28 (a) |
407,925 | 405,429 | ||||||
Series 2017-A, Class B, 2.960% 3/25/30 (a) |
700,329 | 688,084 | ||||||
Series 2016-A, Class B, 3.220% 4/25/28 (a) |
281,277 | 280,602 | ||||||
Series 2019-A, Class C, 3.450% 1/25/34 (a) |
2,349,190 | 2,322,029 | ||||||
FCI Funding LLC, Series 2019-1A, Class A |
||||||||
3.630% 2/18/31 (a) |
111,847 | 112,014 | ||||||
Firstkey Homes Trust, Series 2021, Class E2 |
||||||||
2.489% 8/17/38 (a) |
4,760,000 | 4,258,018 | ||||||
Flatiron CLO Ltd., Series 2017-1A, Class AR, 3 mo. USD LIBOR + .980% |
||||||||
1.486% FRN 5/15/30 (a) |
6,500,000 | 6,464,256 | ||||||
Goodgreen Trust |
||||||||
Series 2019-2A, Class A, 2.760% 4/15/55 (a) |
2,610,726 | 2,491,660 | ||||||
Series 2016-1A, Class A, 3.230% 10/15/52 (a) |
977,925 | 956,493 | ||||||
Series 2019-1A, Class A, 3.860% 10/15/54 (a) |
2,168,375 | 2,141,074 | ||||||
Series 2018-1A, Class A, 3.930% VRN 10/15/53 (a) (c) |
2,994,624 | 2,971,777 | ||||||
Gracie Point International Funding, Series 2021-1A, Class B, 1 mo. USD LIBOR + 1.400% |
||||||||
1.631% FRN 11/01/23 (a) |
1,750,000 | 1,750,925 | ||||||
Principal |
Value |
|||||||
Hero Funding Trust |
||||||||
Series 2017-3A, Class A1, 3.190% 9/20/48 (a) |
$ | 760,508 | $ | 748,411 | ||||
Series 2017-2A, Class A1, 3.280% 9/20/48 (a) |
149,942 | 147,931 | ||||||
Series 2016-4A, Class A1, 3.570% 9/20/47 (a) |
377,113 | 373,952 | ||||||
Series 2015-1A, Class A, 3.840% 9/21/40 (a) |
247,758 | 249,099 | ||||||
Series 2017-2A, Class A2, 4.070% 9/20/48 (a) |
121,828 | 121,551 | ||||||
Series 2018-1A, Class A2, 4.670% 9/20/48 (a) |
977,954 | 988,104 | ||||||
Hilton Grand Vacations Trust |
||||||||
Series 2019-AA, Class C, 2.840% 7/25/33 (a) |
1,192,662 | 1,171,438 | ||||||
Series 2017-AA, Class B, 2.960% 12/26/28 (a) |
246,212 | 244,785 | ||||||
Series 2018-AA, Class A, ABS, 144A, 3.540% 2/25/32 (a) |
149,253 | 149,289 | ||||||
Horizon Aircraft Finance I Ltd., Series 2018-1, Class A |
||||||||
4.458% 12/15/38 (a) |
818,575 | 753,725 | ||||||
Horizon Aircraft Finance II Ltd, Series 2019-1, Class A |
||||||||
3.721% 7/15/39 (a) |
2,689,800 | 2,399,257 | ||||||
Horizon Aircraft Finance III Ltd. |
||||||||
Series 2019-2, Class A, 3.425% 11/15/39 (a) |
2,175,289 | 2,005,318 | ||||||
Series 2019-2, Class B, 4.458% 11/15/39 (a) |
1,757,143 | 1,579,649 | ||||||
Hotwire Funding LLC, Series 2021-1, Class B |
||||||||
2.658% 11/20/51 (a) |
3,753,000 | 3,545,595 | ||||||
Kestrel Aircraft Fundig Limited, Series 2018-1A, Class A |
||||||||
4.250% 12/15/38 (a) |
3,199,494 | 2,912,651 | ||||||
KREF Ltd., Series 2021-FL2, Class AS, 1 mo. USD LIBOR + 1.300% |
||||||||
1.741% FRN 2/15/39 (a) |
18,400,000 | 18,001,408 | ||||||
MACH I, Series 2019-1, Class A |
||||||||
3.474% 10/15/39 (a) |
1,804,601 | 1,674,949 | ||||||
Marlette Funding Trust, Series 2019-2A, Class B |
||||||||
3.530% 7/16/29 (a) |
932 | 932 | ||||||
Mosaic Solar Loans LLC |
||||||||
Series 2018-2GS, Class A, 4.200% 2/22/44 (a) |
735,318 | 730,934 | ||||||
Series 2017-1A, Class A, 4.450% 6/20/42 (a) |
134,978 | 135,263 | ||||||
The accompanying notes are an integral part of the financial statements.
23
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Neuberger Berman Loan Advisers CLO 24 Ltd., Series 2017-24A, Class BR, 3 mo. USD LIBOR + 1.500% |
||||||||
1.748% FRN 4/19/30 (a) |
$ | 500,000 | $ | 494,938 | ||||
Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class BR, 3 mo. USD LIBOR + 1.350% |
||||||||
1.591% FRN 10/18/29 (a) |
6,950,000 | 6,883,315 | ||||||
New Residential Advance Receivables Trust |
||||||||
Series 2020-T3, Class DT3, 2.458% 10/15/52 (a) |
1,552,200 | 1,484,989 | ||||||
Series 2020-T1, Class ET1, 5.467% 8/15/53 (a) |
1,651,000 | 1,614,023 | ||||||
Newark BSL CLO 2 Ltd., Series 2017-1A, Class A2R, 3 mo. USD LIBOR + 1.400% |
||||||||
1.658% FRN 7/25/30 (a) |
1,375,000 | 1,354,554 | ||||||
NP SPE II LP, Series 2017-1A, Class A1 |
||||||||
3.372% 10/21/47 (a) |
580,166 | 573,458 | ||||||
Orange Lake Timeshare Trust |
||||||||
Series 2016-A, Class B, 2.910% 3/08/29 (a) |
342,776 | 343,086 | ||||||
Series 2018-A, Class C, 3.740% 11/08/30 (a) |
273,662 | 271,093 | ||||||
Oxford Finance Funding LLC, Series 2020-1A, Class B |
||||||||
4.037% 2/15/28 (a) |
1,574,297 | 1,570,828 | ||||||
Pioneer Aircraft Finance Ltd., Series 2019-1, Class A |
||||||||
3.967% 6/15/44 (a) |
1,515,268 | 1,402,868 | ||||||
Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II |
||||||||
4.666% 9/05/48 (a) |
8,138,810 | 8,150,287 | ||||||
Rad CLO 1 Ltd., Series 2018-1A, Class BR, 3 mo. USD LIBOR + 1.400% |
||||||||
1.641% FRN 7/15/31 (a) |
2,650,000 | 2,618,142 | ||||||
Residential Asset Mortgage Trust, Series 2005-EFC1, Class M5, 1 mo. USD LIBOR + .650% |
||||||||
1.432% FRN 5/25/35 |
3,248,344 | 3,230,391 | ||||||
Rockford Tower CLO Ltd. |
||||||||
Series 2017-3A, Class A, 3 mo. USD LIBOR + 1.190% 1.444% FRN 10/20/30 (a) |
1,750,000 | 1,743,499 | ||||||
Series 2017-2A, Class BR, 3 mo. USD LIBOR + 1.500% 1.741% FRN 10/15/29 (a) |
2,250,000 | 2,231,629 | ||||||
Principal |
Value |
|||||||
Sierra Receivables Funding LLC |
||||||||
Series 2021-1A, Class C, 1.790% 11/20/37 (a) |
$ | 1,033,279 | $ | 998,768 | ||||
Series 2019-3A, Class C, 3.000% 8/20/36 (a) |
1,716,380 | 1,694,714 | ||||||
Series 2020-2A, Class C, 3.510% 7/20/37 (a) |
358,904 | 356,023 | ||||||
Series 2019-1A, Class C, 3.770% 1/20/36 (a) |
465,103 | 465,809 | ||||||
SoFi Consumer Loan Program Trust, Series 2020-1, Class D |
||||||||
2.940% 1/25/29 (a) |
4,000,000 | 3,994,658 | ||||||
Store Master Funding I-VII, Series 2018-1A, Class A3 |
||||||||
4.400% 10/20/48 (a) |
3,073,875 | 3,030,305 | ||||||
Structured Asset Investment Loan Trust, Series 2004-11, Class M1, 1 mo. USD LIBOR + .930% |
||||||||
1.387% FRN 1/25/35 |
5,408,843 | 5,268,591 | ||||||
TAL Advantage VII LLC, Series 2020-1A, Class B |
||||||||
3.290% 9/20/45 (a) |
2,864,500 | 2,769,079 | ||||||
Terwin Mortgage Trust, Series 2006-5, Class 1A2B, 1 mo. USD LIBOR + .420% |
||||||||
0.877% FRN 7/25/37 (a) |
1,711,956 | 1,699,102 | ||||||
Thrust Engine Leasing, Series 2021-1A, Class A |
||||||||
4.163% 7/15/40 (a) |
4,213,529 | 3,941,154 | ||||||
Trafigura Securitisation Finance PLC, Series 2021-1A, Class B |
||||||||
1.780% 1/15/25 (a) |
7,048,000 | 6,849,951 | ||||||
Treman Park CLO Ltd., Series 2015-1A, Class ARR, 3 mo. USD LIBOR + 1.070% |
||||||||
1.324% FRN 10/20/28 (a) |
1,115,095 | 1,114,671 | ||||||
Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2 |
||||||||
1.645% 9/15/45 (a) |
2,475,000 | 2,326,089 | ||||||
VERDE CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD LIBOR + 1.100% |
||||||||
1.341% FRN 4/15/32 (a) |
2,500,000 | 2,477,265 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class B |
||||||||
2.740% 7/20/33 (a) |
171,380 | 167,652 | ||||||
Welk Resorts LLC, Series 2017-AA, Class B |
||||||||
3.410% 6/15/33 (a) |
664,981 | 664,333 | ||||||
The accompanying notes are an integral part of the financial statements.
24
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, |
||||||||
4.750% STEP 9/15/43 (a) |
$ | 1,510,195 | $ | 1,396,511 | ||||
| 183,224,445 | ||||||||
Student Loans Asset-Backed Securities — 5.4% |
||||||||
Access Group, Inc. |
||||||||
1.955% 9/25/37 (c) |
200,000 | 198,040 | ||||||
Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 7/25/58 (a) |
630,000 | 576,324 | ||||||
Chase Education Loan Trust, Series 2007-A, Class B, 3 mo. USD LIBOR + .220% |
||||||||
1.186% FRN 3/28/68 |
480,658 | 434,301 | ||||||
College Avenue Student Loans LLC |
||||||||
Series 2017-A, Class A1, FRN, 1 mo. USD LIBOR + 1.650% 2.107% FRN 11/26/46 (a) |
536,715 | 542,095 | ||||||
Series 2021-A, Class B, 2.320% 7/25/51 (a) |
9,124,000 | 8,738,965 | ||||||
Series 2019-A, Class B, 3.810% 12/28/48 (a) |
1,696,595 | 1,655,971 | ||||||
College Loan Corp. Trust, Series 2005-2, Class B, 3 mo. USD LIBOR + .490% |
||||||||
0.729% FRN 1/15/37 |
505,787 | 460,088 | ||||||
Commonbond Student Loan Trust |
||||||||
Series 2017-AGS, Class B, 3.470% 5/25/41 (a) |
450,704 | 430,183 | ||||||
Series 2018-AGS, Class C, 3.820% 2/25/44 (a) |
126,649 | 118,826 | ||||||
Series 2018-BGS, Class C, 4.120% 9/25/45 (a) |
102,172 | 97,177 | ||||||
Series 2018-CGS, Class C, 4.350% 2/25/46 (a) |
48,636 | 46,222 | ||||||
Series 2017-AGS, Class C, 5.280% 5/25/41 (a) |
173,375 | 170,088 | ||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B |
||||||||
2.500% 1/25/30 (a) |
154,325 | 151,281 | ||||||
DRB Prime Student Loan Trust |
||||||||
Series 2017-C, Class B, 2.950% 11/25/42 (a) |
689,625 | 684,820 | ||||||
Series 2017-B, Class CFX, 3.610% 8/25/42 (a) |
688,402 | 678,376 | ||||||
EdLinc Student Loan Funding, Series 2017-A, Class A, PRIME - 1.150% |
||||||||
2.100% FRN 12/01/47 (a) |
1,134,040 | 1,120,615 | ||||||
ELFI Graduate Loan Program LLC, Series 2018-A, Class B |
||||||||
4.000% 8/25/42 (a) |
306,669 | 303,624 | ||||||
Principal |
Value |
|||||||
Goal Capital Funding Trust |
||||||||
Series 2010-1, Class A, 3 mo. USD LIBOR + .700% 1.198% FRN 8/25/48 (a) |
$ | 75,799 | $ | 75,413 | ||||
Series 2015-1, Class B, ABS, FRN, 144A, 1 mo. USD LIBOR + 1.500% 1.957% FRN 9/25/43 (a) |
100,000 | 98,994 | ||||||
Higher Education Funding I, Series 2004-1, Class B1, |
||||||||
FRN 1/01/44 (a) (c) |
950,000 | 852,430 | ||||||
Laurel Road Prime Student Loan Trust |
||||||||
Series 2019-A, Class BFX, 3.000% 10/25/48 (a) |
1,210,820 | 1,180,247 | ||||||
Series 2018-B, Class BFX, 3.720% 5/26/43 (a) |
546,147 | 538,064 | ||||||
Navient Student Loan Trust |
||||||||
Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 7/25/52 |
1,100,000 | 1,074,230 | ||||||
Series 2020-BA, Class B, 2.770% 1/15/69 (a) |
6,200,000 | 5,954,992 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750% |
||||||||
2.207% FRN 12/26/40 (a) |
65,686 | 65,651 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .200% 0.458% FRN 1/25/38 |
798,587 | 715,979 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% 1.216% FRN 6/25/41 |
1,316,132 | 1,209,978 | ||||||
Series 2012-4A, Class B, 1 mo. USD LIBOR + 1.000% 1.457% FRN 7/26/49 (a) |
900,000 | 841,740 | ||||||
Series 2018-5A, Class B, 1 mo. USD LIBOR + 1.450% 1.907% FRN 2/25/67 (a) |
1,000,000 | 999,988 | ||||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 6/25/54 (a) |
395,000 | 394,997 | ||||||
Pennsylvania Higher Education Assistance Agency, Series 2006-2, Class B, |
||||||||
1.420% FRN 10/25/42 (c) |
900,000 | 898,111 | ||||||
SLC Student Loan Trust |
||||||||
Series 2005-1, Class B, 3 mo. USD LIBOR + .200% 0.706% FRN 2/15/45 |
466,214 | 432,488 | ||||||
Series 2006-1, Class B, ABS, FRN, 3 mo. USD LIBOR + .210% 1.036% FRN 3/15/55 |
1,648,496 | 1,507,035 | ||||||
The accompanying notes are an integral part of the financial statements.
25
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .230% 1.056% FRN 12/15/39 |
$ | 1,242,193 | $ | 1,120,721 | ||||
Series 2005-3, Class B, 3 mo. USD LIBOR + .250% 1.076% FRN 6/15/55 |
1,018,046 | 935,370 | ||||||
SLM Student Loan Trust |
||||||||
Series 2005-4, Class B, 3 mo. USD LIBOR + .180% 0.438% FRN 7/25/55 |
528,575 | 495,022 | ||||||
Series 2006-7, Class B, 3 mo. USD LIBOR + .200% 0.458% FRN 1/27/42 |
2,796,606 | 2,588,008 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% 0.468% FRN 10/25/40 |
445,628 | 415,875 | ||||||
Series 2005-5, Class B, ABS, FRN, 3 mo. USD LIBOR + .250% 0.508% FRN 10/25/40 |
529,104 | 497,504 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% 0.548% FRN 1/25/44 |
2,562,039 | 2,412,414 | ||||||
Series 2003-14, Class A6, 3 mo. USD LIBOR + .300% 0.558% FRN 7/25/25 |
9,909 | 9,894 | ||||||
Series 2005-9, Class B, 3 mo. USD LIBOR + .300% 0.558% FRN 1/25/41 |
1,401,332 | 1,309,238 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% 0.568% FRN 1/25/55 |
378,136 | 358,667 | ||||||
Series 2004-8, Class B, 3 mo. USD LIBOR + .460% 0.718% FRN 1/25/40 |
819,902 | 774,801 | ||||||
Series 2004-1 Class B, 3 mo. USD LIBOR + .500% 0.758% FRN 7/25/39 |
390,009 | 368,439 | ||||||
Series 2003-4, Class B, 3 mo. USD LIBOR + .650% 1.476% FRN 6/15/38 |
266,340 | 251,245 | ||||||
Series 2003-11, Class B, 3 mo. USD LIBOR + .650% 1.476% FRN 12/15/38 |
980,917 | 933,030 | ||||||
SMB Private Education Loan Trust |
||||||||
Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100% 1.497% FRN 9/15/34 (a) |
102,269 | 102,730 | ||||||
Series 2014-A, Class B, 4.000% 9/15/42 (a) |
1,250,000 | 1,229,458 | ||||||
Series 2015-C, Class C, 4.500% 9/17/46 (a) |
1,710,000 | 1,687,805 | ||||||
SoFi Alternative Trust, Series 2019-C, Class PT, |
||||||||
3.997% VRN 1/25/45 (a) (c) |
2,454,243 | 2,528,658 | ||||||
Principal |
Value |
|||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2016-D, Class A1, 1 mo. USD LIBOR + .950% 1.407% FRN 1/25/39 (a) |
$ | 13,395 | $ | 13,257 | ||||
Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200% 1.657% FRN 6/25/33 (a) |
73,235 | 73,270 | ||||||
Series 2019-A, Class BFX, ABS, 144A, 4.110% 6/15/48 (a) |
870,000 | 846,756 | ||||||
Series 2017-C, Class C, 4.210% VRN 7/25/40 (a) (c) |
2,410,000 | 2,308,484 | ||||||
Wachovia Student Loan Trust, Series 2005-1, Class B, ABS, FRN, 3 mo. USD LIBOR + .300% |
||||||||
0.558% FRN 10/25/40 |
423,286 | 391,650 | ||||||
| 54,899,629 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 9.6% |
||||||||
Angel Oak Mortgage Trust |
||||||||
Series 2020-5, Class A3, 2.041% VRN 5/25/65 (a) (c) |
845,981 | 831,437 | ||||||
Series 2021-1, Class M1, 2.215% VRN 1/25/66 (a) (c) |
2,290,000 | 2,172,601 | ||||||
Series 2021-3, Class M1, 2.479% VRN 5/25/66 (a) (c) |
6,583,000 | 6,015,041 | ||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, |
||||||||
2.507% VRN 8/25/34 (c) |
13,399 | 13,090 | ||||||
Citigroup Mortgage Loan Trust |
||||||||
Series 2019-IMC1, Class A3, 3.030% VRN 7/25/49 (a) (c) |
600,451 | 598,652 | ||||||
Series 2019-IMC1, Class M1, 3.170% VRN 7/25/49 (a) (c) |
4,899,000 | 4,854,860 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2021-NQM4, Class M1, |
||||||||
2.472% VRN 5/25/66 (a) (c) |
7,095,350 | 6,499,632 | ||||||
Credit Suisse Mortgage Trust, Series 2021-NQM2, Class A3, |
||||||||
1.538% VRN 2/25/66 (a) (c) |
5,157,854 | 4,908,694 | ||||||
Deephaven Residential Mortgage Trust, Series 2021-1, Class A3, |
||||||||
1.128% VRN 5/25/65 (a) (c) |
1,516,350 | 1,475,643 | ||||||
Flagstar Mortgage Trust, Series 2021-6INV, Class A18, |
||||||||
2.500% VRN 8/25/51 (a) (c) |
4,528,562 | 4,145,226 | ||||||
FWD Securitization Trust, Series 2020-INV1, Class M1, |
||||||||
2.850% VRN 1/25/50 (a) (c) |
1,804,000 | 1,773,743 | ||||||
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IIA2, |
||||||||
2.294% VRN 2/25/34 (c) |
46,163 | 44,440 | ||||||
The accompanying notes are an integral part of the financial statements.
26
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
MFRA Trust |
||||||||
Series 2021-NQM2, Class A3, 1.472% VRN 11/25/64 (a) (c) |
$ | 3,248,883 | $ | 3,075,201 | ||||
Series 2020-NQM1, Class A3, 2.300% VRN 8/25/49 (a) (c) |
663,402 | 653,173 | ||||||
New Residential Mortgage Loan Trust, Series 2020-NQM1, Class M1, |
||||||||
3.207% VRN 1/26/60 (a) (c) |
2,252,000 | 2,228,274 | ||||||
NewRez Warehouse Securitization Trust, Series 2021-1, Class C, 1 mo. USD LIBOR + 1.050% |
||||||||
1.507% FRN 5/25/55 (a) |
6,739,000 | 6,738,044 | ||||||
NMLT Trust, Series 2021-INV2, Class A3, |
||||||||
1.520% VRN 8/25/56 (a) (c) |
6,793,312 | 6,313,186 | ||||||
Oceanview Trust 2021-EBO1, Series 2021-1, Class M3, |
||||||||
3.090% VRN 12/29/51 (a) (c) |
5,000,000 | 4,871,033 | ||||||
Onslow Bay Financial LLC |
||||||||
Series 2021-NQM3, Class A3, 1.362% VRN 7/25/61 (a) (c) |
6,217,097 | 5,822,524 | ||||||
Series 2021-NQM1, Class M1, 2.219% VRN 2/25/66 (a) (c) |
2,501,000 | 2,318,889 | ||||||
Series 2020-INV1, Class A21, 3.500% VRN 12/25/49 (a) (c) |
1,229,729 | 1,222,559 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% |
||||||||
3.307% FRN 2/25/23 (a) |
1,140,000 | 1,135,084 | ||||||
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, |
||||||||
3.000% VRN 10/25/31 (a) (c) |
230,723 | 227,769 | ||||||
Starwood Mortgage Residential Trust |
||||||||
Series 2021-3, Class M1, 2.491% VRN 6/25/56 (a) (c) |
5,582,000 | 5,105,793 | ||||||
Series 2020-INV1, Class M1, 2.501% 11/25/55 (a) |
2,500,000 | 2,384,020 | ||||||
Series 2020-1, Class M1, 2.878% VRN 2/25/50 (a) (c) |
4,700,000 | 4,647,637 | ||||||
Series 2019-INV1, Class A3, 2.916% VRN 9/27/49 (a) (c) |
3,445,803 | 3,413,818 | ||||||
Toorak Mortgage Corp., Series 2021-INV1, Class M1, |
||||||||
2.585% VRN 7/25/56 (a) (c) |
1,222,000 | 1,071,822 | ||||||
Verus Securitization Trust |
||||||||
Series 2021-5, Class A3, 1.373% VRN 9/25/66 (a) (c) |
2,385,805 | 2,195,412 | ||||||
Principal |
Value |
|||||||
Series 2021-1, Class M1, 1.968% VRN 1/25/66 (a) (c) |
$ | 2,247,000 | $ | 2,083,490 | ||||
Series 2019-INV2, Class A3, 3.219% VRN 7/25/59 (a) (c) |
2,255,913 | 2,237,322 | ||||||
Series 2019-INV3, Class M1, 3.279% VRN 11/25/59 (a) (c) |
2,129,000 | 2,046,222 | ||||||
Series 2020-4, Class M1, 3.291% VRN 5/25/65 (a) (c) |
3,602,000 | 3,470,451 | ||||||
| 96,594,782 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $441,988,904) |
426,074,218 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (d) — 0.0% |
||||||||
Pass-Through Securities — 0.0% |
||||||||
Federal Home Loan Mortgage Corp. Pool #1Q0239, 1 year CMT + 2.189% 2.346% 3/01/37 |
74,565 | 77,303 | ||||||
Federal National Mortgage Association Pool #775539 12 mo. USD LIBOR + 1.641% 1.891% 5/01/34 |
14,697 | 15,170 | ||||||
Government National Mortgage Association Pool #507545 7.500% 8/15/29 |
20,892 | 22,918 | ||||||
| 115,391 | ||||||||
Whole Loans — 0.0% |
||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2020-DNA6, Class M1, 30 day SOFR + .900% |
||||||||
0.999% FRN 12/25/50 (a) |
320,079 | 319,598 | ||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $431,755) |
434,989 | |||||||
TOTAL BONDS & NOTES (Cost $1,018,275,264) |
963,882,521 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $1,842,046) |
2,256,614 | |||||||
The accompanying notes are an integral part of the financial statements.
27
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
MUTUAL FUNDS — 0.1% |
||||||||
Diversified Financial Services — 0.1% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (e) |
$ | 721,020 | $ | 721,020 | ||||
TOTAL MUTUAL FUNDS (Cost $721,020) |
721,020 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $1,020,838,330) |
966,860,155 | |||||||
SHORT-TERM INVESTMENTS — 2.4% |
||||||||
Commercial Paper — 2.3% |
||||||||
Ingredion, Inc. |
||||||||
0.811% 4/01/22 (a) |
4,000,000 | 3,999,941 | ||||||
0.913% 4/11/22 (a) |
6,000,000 | 5,998,863 | ||||||
0.964% 4/08/22 (a) |
4,000,000 | 3,999,502 | ||||||
MUFG Bank Ltd. |
||||||||
0.294% 4/07/22 |
7,000,000 | 6,999,592 | ||||||
Oge Energy Corp. |
||||||||
1.014% 4/04/22 (a) |
2,000,000 | 1,999,878 | ||||||
| 22,997,776 | ||||||||
Repurchase Agreement — 0.1% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (f) |
718,014 | 718,014 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $23,715,270) |
23,715,790 | |||||||
TOTAL INVESTMENTS — 98.1% (Cost $1,044,553,600) (g) |
990,575,945 | |||||||
Other Assets/(Liabilities) — 1.9% |
18,755,795 | |||||||
NET ASSETS — 100.0% |
$ | 1,009,331,740 | ||||||
Abbreviation Legend
|
CLO |
Collateralized Loan Obligation |
|
FRN |
Floating Rate Note |
|
STEP |
Step Up Bond |
|
VRN |
Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $667,803,841 or 66.16% of net assets. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $706,318 or 0.07% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at March 31, 2022. |
|
(d) |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
|
(e) |
Represents investment of security lending cash collateral. (Note 2). |
|
(f) |
Maturity value of $718,014. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 9/15/24, and an aggregate market value, including accrued interest, of $732,432. |
|
(g) |
See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States |
64.0 | % | ||
Cayman Islands |
12.1 | % | ||
United Kingdom |
3.6 | % | ||
Netherlands |
2.7 | % | ||
Bermuda |
2.1 | % | ||
France |
1.6 | % | ||
Ireland |
1.4 | % | ||
Canada |
1.1 | % | ||
Indonesia |
1.1 | % | ||
Mexico |
1.0 | % | ||
Germany |
0.7 | % | ||
Luxembourg |
0.7 | % | ||
China |
0.7 | % | ||
Switzerland |
0.6 | % | ||
Panama |
0.5 | % | ||
Australia |
0.4 | % | ||
Italy |
0.4 | % | ||
Denmark |
0.3 | % | ||
Spain |
0.3 | % | ||
Norway |
0.2 | % | ||
Kuwait |
0.2 | % | ||
Total Long-Term Investments |
95.7 | % | ||
Short-Term Investments and Other Assets and Liabilities |
4.3 | % | ||
Net Assets |
100.0 | % |
The accompanying notes are an integral part of the financial statements.
28
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
(#) Interest Rate Swaptions Purchased
Paid by Fund |
Received by Fund |
||||||||||||||||||||||||||||||||||||||||
Description |
Counterparty |
Expiration |
Rate |
Frequency |
Rate |
Frequency |
Notional |
Value |
Premium |
Unrealized |
|||||||||||||||||||||||||||||||
Call |
|||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 |
Barclays Bank PLC* |
12/13/32 | 3-Month USD LIBOR BBA |
Quarterly | 2.44%## | Semi-Annually | USD | 800,000 | $ | 55,744 | $ | 39,994 | $ | 15,750 | |||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 |
JP Morgan Chase Bank N.A.* |
12/13/32 | 3-Month USD LIBOR BBA |
Quarterly | 2.44%## | Semi-Annually | USD | 1,958,250 | 137,478 | 189,000 | (51,522 | ) | |||||||||||||||||||||||||||||
| 193,222 | 228,994 | (35,772 | ) | ||||||||||||||||||||||||||||||||||||||
Put |
|||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 |
Credit Suisse International* |
1/31/33 | 3.11%## | Semi-Annually | 3-Month USD LIBOR BBA |
Quarterly | USD | 11,880,000 | $ | 554,558 | $ | 569,052 | $ | (14,494 | ) | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 |
JP Morgan Chase Bank N.A.* |
12/13/32 | 2.94%## | Semi-Annually | 3-Month USD LIBOR BBA |
Quarterly | USD | 22,790,000 | 1,159,236 | 803,000 | 356,236 | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 |
JP Morgan Chase Bank N.A.* |
1/31/33 | 3.11%## | Semi-Annually | 3-Month USD LIBOR BBA |
Quarterly | USD | 7,500,000 | 349,598 |
241,000 |
108,598 |
||||||||||||||||||||||||||||||
| 2,063,392 | 1,613,052 | 450,340 | |||||||||||||||||||||||||||||||||||||||
| $ | 2,256,614 | $ | 1,842,046 | $ | 414,568 | ||||||||||||||||||||||||||||||||||||
Futures contracts
|
Expiration |
Number of |
Notional |
Value/ Net |
||||||||||||
Long |
||||||||||||||||
U.S. Treasury Note 2 Year |
6/30/22 | 604 | $ | 128,731,109 | $ | (730,296 | ) | |||||||||
Short |
||||||||||||||||
U.S. Treasury Ultra 10 Year |
6/21/22 | 146 | $ | (20,374,433 | ) | $ | 595,995 | |||||||||
U.S. Treasury Note 5 Year |
6/30/22 | 2,456 | (289,244,847 | ) | 7,572,347 | |||||||||||
|
$ | 8,168,342 | ||||||||||||||
The accompanying notes are an integral part of the financial statements.
29
MassMutual Short-Duration Bond Fund – Portfolio of Investments (Continued) |
Centrally Cleared Interest Rate Swaps
Paid by the Fund |
Received by the Fund |
||||||||||||||||||||||||||||||||
Rate/ Reference |
Frequency |
Rate/ Reference |
Frequency |
Termination |
Notional |
Value |
Upfront |
Unrealized |
|||||||||||||||||||||||||
3-Month USD LIBOR BBA |
Quarterly | Fixed 1.047% |
Semi-Annually | 11/22/24 | USD | 60,500,000 | $ | (2,345,138 | ) | $ | — | $ | (2,345,138 | ) | |||||||||||||||||||
3-Month USD LIBOR BBA |
Quarterly | Fixed 1.143% |
Semi-Annually | 12/14/24 | USD | 129,000,000 | (4,837,874 | ) | — | (4,837,874 | ) | ||||||||||||||||||||||
3-Month USD LIBOR BBA |
Quarterly | Fixed 1.174% |
Semi-Annually | 1/04/25 | USD | 145,000,000 | (5,455,940 | ) | — | (5,455,940 | ) | ||||||||||||||||||||||
12-Month USD SOFR |
Annually | Fixed 1.462% |
Annually | 2/09/25 | USD | 350,000,000 | (8,342,201 | ) | — | (8,342,201 | ) | ||||||||||||||||||||||
| $ | (20,981,153 | ) | $ | — | $ | (20,981,153 | ) | ||||||||||||||||||||||||||
|
* |
Contracts are subject to a master netting agreement or similar agreement. |
|
## |
Exercise Rate. |
Currency Legend
|
USD |
U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
30
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments |
March 31, 2022 (Unaudited) |
Principal |
Value |
|||||||
BONDS & NOTES — 89.2% |
||||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 52.4% |
||||||||
Automobile Asset-Backed Securities — 3.1% |
||||||||
Carvana Auto Receivables Trust |
||||||||
Series 2020-N3, Class B, 0.660% 6/12/28 |
$ | 7,933,000 | $ | 7,804,655 | ||||
Series 2021-P2, 1.880% 5/10/28 (a) |
372,941 | 372,613 | ||||||
Westlake Automobile Receivables Trust, Series 2020-3A, Class D |
||||||||
1.650% 2/17/26 (a) |
2,779,000 | 2,695,106 | ||||||
| 10,872,374 | ||||||||
Commercial Mortgage-Backed Securities — 2.7% |
||||||||
BHMS Mortgage Trust, Series 2018-ATLS, Class B, 1 mo. USD LIBOR + 1.500% |
||||||||
1.897% FRN 7/15/35 (a) |
1,150,000 | 1,129,877 | ||||||
BX Commercial Mortgage Trust, Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% |
||||||||
2.397% FRN 10/15/36 (a) |
2,082,500 | 2,043,556 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D, 1 mo. USD LIBOR + 1.750% |
||||||||
2.147% FRN 12/15/37 (a) |
250,836 | 246,615 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 1 mo. USD LIBOR + 1.600% |
||||||||
1.997% FRN 5/15/36 (a) |
6,000,000 | 5,932,535 | ||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% |
||||||||
2.197% FRN 5/15/36 (a) |
389,000 | 383,431 | ||||||
| 9,736,014 | ||||||||
Home Equity Asset-Backed Securities — 1.1% |
||||||||
ABFC Trust, Series 2005-WF1, Class M1, 1 mo. USD LIBOR + .540% |
||||||||
0.997% FRN 11/25/34 |
64,182 | 64,161 | ||||||
Centex Home Equity Loan Trust, Series 2006-A, Class M1, 1 mo. USD LIBOR + .450% |
||||||||
0.907% FRN 6/25/36 |
614,512 | 611,606 | ||||||
Home Equity Asset Trust, Series 2005-9, Class M1, 1 mo. USD LIBOR + .615% |
||||||||
1.072% FRN 4/25/36 |
2,215,776 | 2,188,771 | ||||||
Principal |
Value |
|||||||
Option One Mortgage Loan Trust Asset-Backed Certificates, Series 2005-5, Class M1, 1 mo. USD LIBOR + .585% |
||||||||
1.042% FRN 12/25/35 |
$ | 974,904 | $ | 973,647 | ||||
| 3,838,185 | ||||||||
Other Asset-Backed Securities — 26.6% |
||||||||
321 Henderson Receivables LLC, Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200% |
||||||||
0.597% FRN 9/15/41 (a) |
59,211 | 58,097 | ||||||
Affirm Asset Securitization Trust |
||||||||
Series 2021-Z1, Class A, 1.070% 8/15/25 (a) |
1,848,839 | 1,821,235 | ||||||
Series 2021-Z2, Class A, 1.170% 11/16/26 (a) |
1,848,985 | 1,809,169 | ||||||
Series 2022-X1, Class A, 1.750% 2/15/27 (a) |
2,857,000 | 2,823,190 | ||||||
Series 2020-Z2, Class A, 1.900% 1/15/25 (a) |
2,280,751 | 2,268,228 | ||||||
Series 2021-A, Class D, 3.490% 8/15/25 (a) |
2,100,000 | 2,073,054 | ||||||
Series 2020-A, Class B, 3.540% 2/18/25 (a) |
1,250,000 | 1,248,987 | ||||||
BHG Securitization Trust, Series 2021-B, Class A |
||||||||
0.900% 10/17/34 (a) |
1,774,056 | 1,713,810 | ||||||
Cascade Funding Mortgage Trust, Series 2021-EBO1, Class A, |
||||||||
0.985% VRN 11/25/50 (a) (b) |
2,727,207 | 2,685,371 | ||||||
Citigroup Mortgage Loan Trust, Series 2006-WFH2, Class M1, 1 mo. USD LIBOR + .405% |
||||||||
0.862% FRN 8/25/36 |
1,267,458 | 1,265,724 | ||||||
Crossroads Asset Trust, Series 2021-A, Class A2 |
||||||||
0.820% 3/20/24 (a) |
468,611 | 464,867 | ||||||
FCI Funding LLC |
||||||||
Series 2021-1A, Class A, 1.130% 4/15/33 (a) |
3,035,097 | 3,004,127 | ||||||
Series 2021-1A, Class B, 1.530% 4/15/33 (a) |
2,023,186 | 2,004,757 | ||||||
First Franklin Mortgage Loan Trust |
||||||||
Series 2006-FF15, Class A5, 1 mo. USD LIBOR + .160% 0.617% FRN 11/25/36 |
638,462 | 625,313 | ||||||
Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .720% 1.177% FRN 10/25/35 |
483,686 | 482,183 | ||||||
FNA VI LLC, Series 21-1A, Class A |
||||||||
1.350% 1/10/32 (a) |
4,237,675 | 4,045,677 | ||||||
The accompanying notes are an integral part of the financial statements.
31
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
FREED ABS Trust, Series 2021-2, Class B |
||||||||
1.030% 6/19/28 (a) |
$ | 2,652,000 | $ | 2,621,762 | ||||
Gracie Point International Funding |
||||||||
Series 2021-1A, Class A, 1 mo. USD LIBOR + .750% 0.981% FRN 11/01/23 (a) |
7,165,865 | 7,163,661 | ||||||
Series 2022-1A, Class C, 3.550% 4/01/24 (a) (c) |
2,300,000 | 2,300,000 | ||||||
Series 2022-1A, Class E, 5.800% 4/01/24 (a) (c) |
1,287,000 | 1,286,935 | ||||||
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class A5, 1 mo. USD LIBOR + .260% |
||||||||
0.717% FRN 3/25/37 |
353,361 | 349,260 | ||||||
KREF Ltd., Series 2021-FL2, Class D, 1 mo. USD LIBOR + 2.200% |
||||||||
2.641% FRN 2/15/39 (a) |
900,000 | 890,464 | ||||||
LCM Ltd., Series 19A, Class AR, 3 mo. USD LIBOR + 1.240% |
||||||||
1.481% FRN 7/15/27 (a) |
457,672 | 457,401 | ||||||
Lendingpoint Asset Securitization, Series 2021-A, Class B |
||||||||
1.110% 2/15/29 (a) |
4,508,050 | 4,441,580 | ||||||
Lendmark Funding Trust, Series 2019-2A, Class A |
||||||||
2.780% 4/20/28 (a) |
3,655,000 | 3,618,839 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-WL1, Class 2A4, 1 mo. USD LIBOR + .680% |
||||||||
1.137% FRN 1/25/46 |
138,254 | 138,198 | ||||||
Marlette Funding Trust |
||||||||
Series 2020-1A, Class B, 2.380% 3/15/30 (a) |
1,170,496 | 1,170,957 | ||||||
Series 2019-4A, Class B, 2.950% 12/17/29 (a) |
1,342,551 | 1,343,331 | ||||||
Series 2019-2A, Class B, 3.530% 7/16/29 (a) |
1,924 | 1,925 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed |
||||||||
Series 2020-T1, Class BT1, 1.823% 8/15/53 (a) |
1,000,000 | 976,915 | ||||||
Series 2020-T1, Class DT1, 3.011% 8/15/53 (a) |
1,510,000 | 1,476,899 | ||||||
NP SPE II LP, Series 2019-1A, Class A1 |
||||||||
2.574% 9/20/49 (a) |
215,751 | 203,530 | ||||||
NRZ Advance Receivables Trust, Series 2020-T3, Class CT3 |
||||||||
1.814% 10/15/52 (a) |
579,000 | 552,365 | ||||||
Principal |
Value |
|||||||
Onemain Financial Issuance Trust, Series 2018-1A, Class A |
||||||||
3.300% 3/14/29 (a) |
$ | 472,937 | $ | 473,033 | ||||
Oportun Funding LLC |
||||||||
3.250% 6/15/29 (a) |
3,700,000 | 3,689,766 | ||||||
Orange Lake Timeshare Trust |
||||||||
Series 2016-A, Class A, 2.610% 3/08/29 (a) |
360,618 | 361,069 | ||||||
Series 2016-A, Class B, 2.910% 3/08/29 (a) |
477,848 | 478,279 | ||||||
Pagaya AI Debt Selection Trust, Series 2021-3, Class A |
||||||||
1.150% 5/15/29 (a) |
5,226,954 | 5,127,437 | ||||||
Pagaya AI Debt Trust 2022-1, Series 2022-1, Class A |
||||||||
2.030% 10/15/29 (a) |
13,600,000 | 13,344,060 | ||||||
RAMP Series Trust, Series 2006-RZ4, Class A3, 1 mo. USD LIBOR + .270% |
||||||||
0.727% FRN 10/25/36 |
792,331 | 791,499 | ||||||
Sierra Receivables Funding LLC |
||||||||
Series 2019-3A, Class C, 3.000% 8/20/36 (a) |
1,006,423 | 993,719 | ||||||
Series 2019-1A, Class C, 3.770% 1/20/36 (a) |
286,217 | 286,652 | ||||||
Series 2018-1A, Class B, 4.036% 4/20/35 |
307,389 | 309,104 | ||||||
Series 2019-3A, Class D, 4.180% 8/20/36 (a) |
252,464 | 248,851 | ||||||
Series 2019-1A, Class D, 4.750% 1/20/36 (a) |
183,656 | 183,573 | ||||||
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C |
||||||||
3.120% 5/20/36 (a) |
874,800 | 862,235 | ||||||
Structured Asset Investment Loan Trust, Series 2005-2, Class M2, 1 mo. USD LIBOR + .735% |
||||||||
1.192% FRN 3/25/35 |
909,195 | 905,459 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
||||||||
Series 2006-BC6, Class A4, 1 mo. USD LIBOR + .170% 0.627% FRN 1/25/37 |
295,248 | 291,423 | ||||||
Series 2006-WF1, Class M4, 1 mo. USD LIBOR + .645% 1.102% FRN 2/25/36 |
512,082 | 510,919 | ||||||
Upstart Securitization Trust |
||||||||
Series 2021-4, Class A, 0.840% 9/20/31 (a) |
7,074,520 | 6,881,077 | ||||||
The accompanying notes are an integral part of the financial statements.
32
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Series 2020-3, Class A, 1.702% 11/20/30 (a) |
$ | 980,114 | $ | 976,871 | ||||
| 94,102,837 | ||||||||
Student Loans Asset-Backed Securities — 7.1% |
||||||||
Chase Education Loan Trust, Series 2007-A, Class A4, 3 mo. USD LIBOR + .100% |
||||||||
1.066% FRN 3/28/68 |
1,841,932 | 1,784,778 | ||||||
College Loan Corp. Trust, Series 2005-2, Class B, 3 mo. USD LIBOR + .490% |
||||||||
0.729% FRN 1/15/37 |
255,556 | 232,465 | ||||||
Commonbond Student Loan Trust |
||||||||
Series 2019-AGS, Class A2, 1 mo. USD LIBOR + .900% 1.357% FRN 1/25/47 (a) |
632,607 | 631,592 | ||||||
Series 2021-AGS, Class B, 1.400% 3/25/52 (a) |
214,916 | 201,918 | ||||||
Series 2018-CGS, Class C, 4.350% 2/25/46 (a) |
12,599 | 11,974 | ||||||
DRB Prime Student Loan Trust |
||||||||
Series 2017-C, Class A1, 1 mo. USD LIBOR + .550% 1.007% FRN 11/25/42 (a) |
62,627 | 62,403 | ||||||
Series 2017-A, Class A1, 1 mo. USD LIBOR + .850% 1.307% FRN 5/27/42 (a) |
617,602 | 617,736 | ||||||
EdLinc Student Loan Funding Trust, Series 2017-A, Class A, PRIME - 1.150% |
||||||||
2.100% FRN 12/01/47 (a) |
201,160 | 198,779 | ||||||
Edsouth Indenture, No.10 LLC, Series 2015-2, Class B, 1 mo. USD LIBOR + 1.500% |
||||||||
1.957% FRN 12/25/58 (a) |
750,000 | 748,788 | ||||||
ELFI Graduate Loan Program LLC, Series 2018-A, Class A1, 1 mo. USD LIBOR + .750% |
||||||||
1.207% FRN 8/25/42 (a) |
845,303 | 843,982 | ||||||
Goal Capital Funding Trust, Series 2010-1, Class A, 3 mo. USD LIBOR + .700% |
||||||||
1.198% FRN 8/25/48 (a) |
137,522 | 136,820 | ||||||
JP Morgan Student Loan Trust, Series 2007-A, Class B, 3 mo. USD LIBOR + .350% |
||||||||
0.628% FRN 6/28/39 (a) |
236,667 | 216,365 | ||||||
KeyCorp Student Loan Trust, Series 2005-A, Class 2B, 3 mo. USD LIBOR + .730% |
||||||||
1.696% FRN 9/27/38 |
399,272 | 398,834 | ||||||
Principal |
Value |
|||||||
Laurel Road Prime Student Loan Trust |
||||||||
Series 2019-A, Class A1FX, 2.340% 10/25/48 (a) |
$ | 181,965 | $ | 181,206 | ||||
Series 2018-B, Class A2FX, 3.540% 5/26/43 (a) |
829,239 | 832,970 | ||||||
Navient Private Education Refi Loan Trust |
||||||||
Series 2021-A, Class A, 0.840% 5/15/69 (a) |
6,518,625 | 6,230,575 | ||||||
Series 2020-HA, Class A, 1.310% 1/15/69 (a) |
1,710,970 | 1,657,258 | ||||||
Navient Student Loan Trust, Series 2016-7A, Class A, 1 mo. USD LIBOR + 1.150% |
||||||||
1.607% FRN 3/25/66 (a) |
1,375,898 | 1,379,111 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750% |
||||||||
2.207% FRN 12/26/40 (a) |
34,928 | 34,910 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .200% 0.458% FRN 1/25/38 |
328,830 | 294,815 | ||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .350% 0.608% FRN 10/25/40 |
545,845 | 501,252 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .170% 1.104% FRN 3/23/37 |
523,365 | 480,052 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% 1.216% FRN 6/25/41 |
213,871 | 196,621 | ||||||
Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 6/25/41 (a) |
295,000 | 294,999 | ||||||
SLC Student Loan Trust |
||||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .230% 1.056% FRN 12/15/39 |
263,496 | 237,729 | ||||||
Series 2005-2, Class B, 3 mo. USD LIBOR + .280% 1.106% FRN 3/15/40 |
882,040 | 822,127 | ||||||
SLM Student Loan Trust |
||||||||
Series 2005-5, Class A4, 3 mo. USD LIBOR + .140% 0.398% FRN 10/25/28 |
745,316 | 741,601 | ||||||
Series 2006-4, Class B, 3 mo. USD LIBOR + .200% 0.458% FRN 1/25/70 |
176,208 | 164,703 | ||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% 0.468% FRN 10/25/40 |
230,080 | 214,718 | ||||||
The accompanying notes are an integral part of the financial statements.
33
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Series 2006-2, Class B, 3 mo. USD LIBOR + .220% 0.478% FRN 1/25/41 |
$ | 255,631 | $ | 239,229 | ||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% 0.568% FRN 1/25/55 |
226,882 | 215,200 | ||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .470% 0.728% FRN 10/25/64 |
175,645 | 167,530 | ||||||
Series 2003-11, Class B, 3 mo. USD LIBOR + .650% 1.476% FRN 12/15/38 |
198,835 | 189,128 | ||||||
SMB Private Education Loan Trust, Series 2019-A, Class A2B, 1 mo. USD LIBOR + .870% |
||||||||
1.267% FRN 7/15/36 (a) |
1,178,368 | 1,177,804 | ||||||
SoFi Alternative Trust, Series 2019-C, Class PT, |
||||||||
3.997% VRN 1/25/45 (a) (b) |
620,542 | 639,357 | ||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2016-B, Class A2B, 2.740% 10/25/32 (a) |
915,076 | 915,072 | ||||||
Series 2018-D, Class A2FX, 3.600% 2/25/48 (a) |
1,081,952 | 1,085,897 | ||||||
| 24,980,298 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 11.8% |
||||||||
Angel Oak Mortgage Trust, Series 2022-2, Class A1 |
||||||||
3.353% 1/25/67 (a) |
2,482,124 | 2,448,001 | ||||||
BRAVO Residential Funding Trust, Series 2021-NQM2, Class A3, |
||||||||
1.435% VRN 3/25/60 (a) (b) |
1,442,167 | 1,379,036 | ||||||
CIM Trust, Series 2019-INV3, Class A11, 1 mo. USD LIBOR + 1.000% |
||||||||
1.137% FRN 8/25/49 (a) |
950,261 | 948,164 | ||||||
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A3, |
||||||||
3.030% VRN 7/25/49 (a) (b) |
219,095 | 218,438 | ||||||
COLT Mortgage Loan Trust, Series 2022-1, Class A1, |
||||||||
2.284% VRN 12/27/66 (a) (b) |
9,595,337 | 9,288,628 | ||||||
Deephaven Residential Mortgage Trust, Series 2021-1, Class A3, |
||||||||
1.128% VRN 5/25/65 (a) (b) |
626,418 | 609,602 | ||||||
Lakeview Trust, Series 2022-1 M3 |
||||||||
4.585% 4/25/52 (a) (d) |
1,400,000 | 1,400,000 | ||||||
NewRez Warehouse Securitization Trust 2021-1, Series 2021-1, Class A, 1 mo. USD LIBOR + .750% |
||||||||
1.207% FRN 5/25/55 (a) |
5,333,000 | 5,295,938 | ||||||
Principal |
Value |
|||||||
Oceanview Trust 2021-EBO1 |
||||||||
Series 2021-1, Class A, 1.219% VRN 12/29/51 (a) (b) |
$ | 5,643,791 | $ | 5,574,332 | ||||
Series 2021-1, Class M3, 3.090% VRN 12/29/51 (a) (b) |
2,906,000 | 2,831,045 | ||||||
Onslow Bay Financial LLC |
||||||||
Series 2021-NQM2, Class A2, 1.357% VRN 5/25/61 (a) (b) |
773,404 | 730,639 | ||||||
Series 2020-EXP1, Class 2A2, 1 mo. USD LIBOR + .950% 1.407% FRN 2/25/60 (a) |
475,826 | 475,019 | ||||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-4, Class 1APT, 1 mo. USD LIBOR + .620% |
||||||||
1.077% FRN 11/25/35 |
132,538 | 132,235 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% |
||||||||
3.307% FRN 2/25/23 (a) |
270,000 | 268,836 | ||||||
PSMC Trust, Series 2020-2, Class A2, |
||||||||
3.000% VRN 5/25/50 (a) (b) |
1,047,378 | 1,038,251 | ||||||
STAR Trust, Series 2021-1, Class A3, |
||||||||
1.528% VRN 5/25/65 (a) (b) |
5,426,375 | 5,190,046 | ||||||
Starwood Mortgage Residential Trust |
||||||||
Series 2020-1, Class M1, 2.878% VRN 2/25/50 (a) (b) |
1,000,000 | 988,859 | ||||||
Series 2019-INV1, Class A3, 2.916% VRN 9/27/49 (a) (b) |
1,126,290 | 1,115,835 | ||||||
Verus Securitization Trust |
||||||||
Series 2021-3, Class A3, 1.437% VRN 6/25/66 (a) (b) |
1,200,239 | 1,133,919 | ||||||
Series 2019-INV2, Class A3, 3.219% VRN 7/25/59 (a) (b) |
769,061 | 762,723 | ||||||
| 41,829,546 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $187,362,297) |
185,359,254 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES(e) — 11.0% |
||||||||
Whole Loans — 11.0% |
||||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust, Series 2022-DNA1, Class M1A, SOFR + 1.000% |
||||||||
1.099% FRN 1/25/42 (a) |
750,000 | 739,756 | ||||||
The accompanying notes are an integral part of the financial statements.
34
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
||||||||
Series 2021-DNA1, Class M1, 30-Day SOFR + .650% 0.749% FRN 1/25/51 (a) |
$ | 115,257 | $ | 114,969 | ||||
Series 2021-DNA6, Class M1, 30-Day SOFR + .800% 0.899% FRN 10/25/41 (a) |
8,450,000 | 8,358,969 | ||||||
Series 2021-HQA3, Class M1, 30-Day SOFR + .850% 0.949% FRN 9/25/41 (a) |
9,667,000 | 9,422,860 | ||||||
Series 2020-DNA6, Class M1, 30-Day SOFR + .900% 0.999% FRN 12/25/50 (a) |
162,116 | 161,872 | ||||||
Series 2018-DNA2, Class M2AS, 1 mo. USD LIBOR + .950% 1.407% FRN 12/25/30 (a) |
3,857,788 | 3,834,903 | ||||||
Series 2020-DNA1, Class M2, 1 mo. USD LIBOR + 1.700% 2.157% FRN 1/25/50 (a) |
2,030,441 | 2,028,714 | ||||||
Series 2018-DNA3, Class M2A, 1 mo. USD LIBOR + 2.100% 2.557% FRN 9/25/48 (a) |
1,515,996 | 1,517,993 | ||||||
Series 2018-DNA2, Class M2A, 1 mo. USD LIBOR + 2.150% 2.607% FRN 12/25/30 (a) |
4,653,550 | 4,664,911 | ||||||
Series 2020-DNA5, Class M2, 30-Day SOFR + 2.800% 2.899% FRN 10/25/50 (a) |
885,567 | 888,796 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust |
||||||||
Series 2021-R01, Class 1M1, 30-Day SOFR + .750% 0.849% FRN 10/25/41 (a) |
3,644,956 | 3,618,816 | ||||||
Series 2019-R05, Class 1M2, 1 mo. USD LIBOR + 2.000% 2.457% FRN 7/25/39 (a) |
172,080 | 172,105 | ||||||
Series 2019-R03, Class 1M2, 1 mo. USD LIBOR + 2.150% 2.607% FRN 9/25/31 (a) |
2,284,238 | 2,288,764 | ||||||
Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.300% 2.757% FRN 8/25/31 (a) |
1,239,369 | 1,239,771 | ||||||
| 39,053,199 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $39,493,806) |
39,053,199 | |||||||
Principal |
Value |
|||||||
U.S. TREASURY OBLIGATIONS — 25.8% |
||||||||
U.S. Treasury Bonds & Notes — 25.8% |
||||||||
U.S. Treasury Inflation Index |
||||||||
0.125% 7/15/24 |
$ | 2,485,833 | $ | 2,611,144 | ||||
0.125% 10/15/24 |
3,396,112 | 3,558,024 | ||||||
0.125% 4/15/25 |
1,822,668 | 1,907,856 | ||||||
0.125% 10/15/25 |
2,626,906 | 2,757,840 | ||||||
0.125% 4/15/26 |
1,929,186 | 2,020,257 | ||||||
0.125% 7/15/26 |
2,896,297 | 3,050,050 | ||||||
0.125% 10/15/26 |
4,577,270 | 4,816,951 | ||||||
0.125% 1/15/30 |
3,058,888 | 3,236,009 | ||||||
0.125% 7/15/30 |
2,850,276 | 3,035,915 | ||||||
0.125% 1/15/31 |
3,023,244 | 3,218,535 | ||||||
0.125% 7/15/31 |
3,067,448 | 3,279,732 | ||||||
0.125% 1/15/32 (f) |
5,069,800 | 5,424,554 | ||||||
0.125% 2/15/51 |
3,130,811 | 3,258,816 | ||||||
0.250% 1/15/25 |
2,848,056 | 2,991,571 | ||||||
0.250% 7/15/29 |
2,115,229 | 2,263,019 | ||||||
0.250% 2/15/50 |
1,530,564 | 1,632,661 | ||||||
0.375% 7/15/25 (g) |
1,807,491 | 1,915,058 | ||||||
0.375% 1/15/27 |
3,432,561 | 3,644,817 | ||||||
0.375% 7/15/27 |
3,791,766 | 4,045,390 | ||||||
0.500% 4/15/24 |
1,170,162 | 1,230,704 | ||||||
0.500% 1/15/28 |
1,595,286 | 1,710,446 | ||||||
0.625% 1/15/26 |
2,720,693 | 2,905,775 | ||||||
0.625% 2/15/43 |
978,024 | 1,103,181 | ||||||
0.750% 7/15/28 |
2,653,784 | 2,908,744 | ||||||
0.750% 2/15/42 |
1,554,875 | 1,795,739 | ||||||
0.750% 2/15/45 |
2,255,923 | 2,619,955 | ||||||
0.875% 1/15/29 |
1,920,184 | 2,125,178 | ||||||
0.875% 2/15/47 |
1,106,161 | 1,341,566 | ||||||
1.000% 2/15/46 |
593,120 | 730,573 | ||||||
1.000% 2/15/49 |
452,377 | 573,629 | ||||||
1.375% 2/15/44 |
1,447,212 | 1,877,569 | ||||||
2.000% 1/15/26 |
1,557,754 | 1,748,457 | ||||||
2.125% 2/15/40 |
650,210 | 924,678 | ||||||
2.125% 2/15/41 |
1,039,627 | 1,484,947 | ||||||
2.375% 1/15/25 |
2,013,026 | 2,237,879 | ||||||
2.375% 1/15/27 |
975,632 | 1,133,848 | ||||||
3.625% 4/15/28 |
1,607,465 | 2,040,193 | ||||||
The accompanying notes are an integral part of the financial statements.
35
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
3.875% 4/15/29 |
$ | 1,538,784 | $ | 2,041,023 | ||||
| 91,202,283 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $92,646,775) |
91,202,283 | |||||||
TOTAL BONDS & NOTES (Cost $319,502,878) |
315,614,736 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.3% (Cost $1,137,772) |
1,166,008 | |||||||
Number |
||||||||
MUTUAL FUNDS — 1.6% |
||||||||
Diversified Financial Services — 1.6% |
||||||||
State Street Navigator Securities Lending Prime Portfolio (h) |
5,537,500 | 5,537,500 | ||||||
TOTAL MUTUAL FUNDS (Cost $5,537,500) |
5,537,500 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $326,178,150) |
322,318,244 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 8.1% |
||||||||
Commercial Paper — 5.8% |
||||||||
AT&T, Inc. |
||||||||
0.508% 6/21/22 (a) |
$ | 5,000,000 | 4,985,639 | |||||
HP, Inc. |
||||||||
1.228% 4/25/22 (a) |
3,500,000 | 3,497,958 | ||||||
McCormick & Co., Inc. |
||||||||
0.507% 4/04/22 |
3,000,000 | 2,999,817 | ||||||
Oge Energy Corp. |
||||||||
1.014% 4/04/22 (a) |
2,000,000 | 1,999,878 | ||||||
TransCanada PipeLines Ltd. |
||||||||
0.600% 7/14/22 (a) |
2,000,000 | 1,991,950 | ||||||
Waste Management, Inc. |
||||||||
0.326% 7/25/22 (a) |
5,000,000 | 4,982,360 | ||||||
| 20,457,602 | ||||||||
Principal |
Value |
|||||||
Repurchase Agreement — 2.3% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (i) |
$ | 7,987,879 | $ | 7,987,879 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $28,470,619) |
28,445,481 | |||||||
TOTAL INVESTMENTS — 99.2% (Cost $354,648,769) (j) |
350,763,725 | |||||||
Other Assets/(Liabilities) — 0.8% |
2,772,321 | |||||||
NET ASSETS — 100.0% |
$ | 353,536,046 | ||||||
Abbreviation Legend
|
FRN |
Floating Rate Note |
|
VRN |
Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $217,545,299 or 61.53% of net assets. |
|
(b) |
Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at March 31, 2022. |
|
(c) |
A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
|
(d) |
This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2022, these securities amounted to a value of $1,400,000 or 0.40% of net assets. |
|
(e) |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
|
(f) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $5,424,179 or 1.53% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(g) |
All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2). |
|
(h) |
Represents investment of security lending cash collateral. (Note 2). |
|
(i) |
Maturity value of $7,987,879. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 7/15/24, and an aggregate market value, including accrued interest, of $8,147,688. |
|
(j) |
See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
36
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
(#) Interest Rate Swaptions Purchased
Paid by Fund |
Received by Fund |
||||||||||||||||||||||||||||||||||||||||
Description |
Counterparty |
Expiration |
Rate |
Frequency |
Rate |
Frequency |
Notional |
Value |
Premium |
Unrealized |
|||||||||||||||||||||||||||||||
Call |
|||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 |
Barclays Bank PLC* |
12/13/32 | 3-Month USD LIBOR BBA |
Quarterly | 2.44%## | Semi-Annually | USD | 1,219,750 | $ | 84,992 | $ | 60,978 | $ | 24,014 | |||||||||||||||||||||||||||
Put |
|||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 |
Barclays Bank PLC* |
12/13/32 | 2.94%## | Semi-Annually | 3-Month USD LIBOR BBA |
Quarterly | USD | 14,190,000 | $ | 722,980 | $ | 709,400 | $ | 13,580 | |||||||||||||||||||||||||||
10-Year Interest Rate Swap, 2/02/43 |
Credit Suisse International* |
1/31/33 | 3.11%## | Semi-Annually | 3-Month USD LIBOR BBA |
Quarterly | USD | 7,670,000 | 358,036 | 367,394 | (9,358 | ) | |||||||||||||||||||||||||||||
| 1,081,016 | 1,076,794 | 4,222 | |||||||||||||||||||||||||||||||||||||||
| $ | 1,166,008 | $ | 1,137,772 | $ | 28,236 | ||||||||||||||||||||||||||||||||||||
Futures contracts
|
Expiration |
Number of |
Notional |
Value/ Net |
||||||||||||
Long |
||||||||||||||||
U.S. Treasury Long Bond |
6/21/22 | 24 | $ | 3,681,818 | $ | (80,318 | ) | |||||||||
U.S. Treasury Note 2 Year |
6/30/22 | 34 | 7,244,855 | (39,511 | ) | |||||||||||
U.S. Treasury Note 5 Year |
6/30/22 | 3 | 353,329 | (9,266 | ) | |||||||||||
|
$ | (129,095 | ) | |||||||||||||
Short |
||||||||||||||||
U.S. Treasury Ultra 10 Year |
6/21/22 | 31 | $ | (4,283,259 | ) | $ | 83,728 | |||||||||
U.S. Treasury Ultra Bond |
6/21/22 | 14 | (2,447,891 | ) | (31,859 | ) | ||||||||||
|
$ | 51,869 | ||||||||||||||
The accompanying notes are an integral part of the financial statements.
37
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
OTC Inflation-Rate Swaps
Paid by the Fund |
Received by the Fund |
|||||||||||||||||||||||||||||||||
Rate/ |
Frequency |
Rate/ |
Frequency |
Counterparty |
Termination |
Notional |
Value |
Upfront |
Unrealized |
|||||||||||||||||||||||||
3.630% |
Maturity | U.S. Consumer Price Index |
Maturity | Bank of America N.A. |
12/02/23 | USD | 9,000,000 | $ | 322,460 | $ | — | $ | 322,460 | |||||||||||||||||||||
2.000% |
Maturity | U.S. Consumer Price Index |
Maturity | JP Morgan Chase Bank N.A. |
12/24/23 | USD | 4,500,000 | 468,371 | — | 468,371 | ||||||||||||||||||||||||
4.130% |
Maturity | U.S. Consumer Price Index |
Maturity | JPMorgan Chase Bank N.A. |
3/09/24 | USD | 11,000,000 | 95,394 | — | 95,394 | ||||||||||||||||||||||||
| $ | 886,225 | $ | — | $ | 886,225 | |||||||||||||||||||||||||||||
OTC Total Return Swaps
Paid by the Fund |
Received by the Fund |
|||||||||||||||||||||||||||||||||||
Rate/ |
Frequency |
Rate/ |
Frequency |
Counterparty |
Termination |
No. of |
Value |
Upfront |
Unrealized |
|||||||||||||||||||||||||||
0.20% |
Maturity | Bloomberg Barclays US Treasury Inflation Notes TR Index | Maturity | Barclays Bank PLC* | 5/31/22 | 63,831,378 | $ | (1,733,972 | ) | $ | — | $ | (1,733,972 | ) | ||||||||||||||||||||||
0.20% |
Maturity | Bloomberg Barclays US Treasury Inflation Notes TR Index | Maturity | BNP Paribas SA* | 4/29/22 | 52,375,118 | (967,108 | ) | — | (967,108 | ) | |||||||||||||||||||||||||
0.00% |
Maturity | Bloomberg Barclays US Treasury Inflation Notes TR Index | Maturity | BNP Paribas SA* | 7/29/22 | 4,163,425 | (42,531 | ) | — | (42,531 | ) | |||||||||||||||||||||||||
0.00% |
Maturity | Bloomberg Barclays US Treasury Inflation Notes TR Index | Maturity | BNP Paribas SA* | 8/31/22 | 21,313,733 | (396,377 | ) | — | (396,377 | ) | |||||||||||||||||||||||||
0.20% |
Maturity | Bloomberg Barclays US Treasury Inflation Notes TR Index | Maturity | Goldman Sachs International* | 4/29/22 | 52,091,775 | (961,876 | ) | — | (961,876 | ) | |||||||||||||||||||||||||
0.00% |
Maturity | Bloomberg Barclays US Treasury Inflation Notes TR Index | Maturity | Goldman Sachs International* | 7/29/22 | 2,714,784 | (27,732 | ) | — | (27,732 | ) | |||||||||||||||||||||||||
The accompanying notes are an integral part of the financial statements.
38
MassMutual Inflation-Protected and Income Fund — Portfolio of Investments (Continued) |
Paid by the Fund |
Received by the Fund |
|||||||||||||||||||||||||||||||||||
Rate/ |
Frequency |
Rate/ |
Frequency |
Counterparty |
Termination |
No. of |
Value |
Upfront |
Unrealized |
|||||||||||||||||||||||||||
0.00% |
Maturity | Bloomberg Barclays US Treasury Inflation Notes TR Index | Maturity | Goldman Sachs International* | 8/31/22 | 43,616,088 | $ | (811,141 | ) | $ | — | $ | (811,141 | ) | ||||||||||||||||||||||
| $ | (4,940,737 | ) | $ | — | $ | (4,940,737 | ) | |||||||||||||||||||||||||||||
|
* |
Contracts are subject to a master netting agreement or similar agreement. |
|
## |
Exercise Rate. |
Currency Legend
|
USD |
U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
39
March 31, 2022 (Unaudited) |
Principal |
Value |
|||||||
BONDS & NOTES — 99.2% |
||||||||
CORPORATE DEBT — 36.2% |
||||||||
Aerospace & Defense — 0.3% |
||||||||
The Boeing Co. |
||||||||
5.150% 5/01/30 |
$ | 2,275,000 | $ | 2,426,475 | ||||
5.930% 5/01/60 |
710,000 | 819,323 | ||||||
| 3,245,798 | ||||||||
Agriculture — 1.1% |
||||||||
Altria Group, Inc. |
||||||||
5.800% 2/14/39 |
1,425,000 | 1,537,060 | ||||||
BAT Capital Corp. |
||||||||
4.700% 4/02/27 |
2,855,000 | 2,932,340 | ||||||
4.758% 9/06/49 |
805,000 | 740,145 | ||||||
Imperial Brands Finance PLC |
||||||||
3.875% 7/26/29 (a) |
2,702,000 | 2,644,872 | ||||||
Reynolds American, Inc. |
||||||||
5.850% 8/15/45 |
1,025,000 | 1,049,142 | ||||||
Viterra Finance BV |
||||||||
3.200% 4/21/31 (a) |
1,540,000 | 1,417,362 | ||||||
| 10,320,921 | ||||||||
Airlines — 0.1% |
||||||||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A, |
||||||||
4.100% 4/01/28 |
1,138,164 | 1,112,041 | ||||||
United Airlines Pass-Through Trust, Series 2018-1, Class B, |
||||||||
4.600% 3/01/26 |
370,841 | 338,863 | ||||||
| 1,450,904 | ||||||||
Auto Manufacturers — 0.5% |
||||||||
General Motors Co. |
||||||||
5.150% 4/01/38 |
785,000 | 798,083 | ||||||
6.800% 10/01/27 |
1,995,000 | 2,255,164 | ||||||
General Motors Financial Co., Inc. |
||||||||
3.100% 1/12/32 |
1,815,000 | 1,631,594 | ||||||
| 4,684,841 | ||||||||
Auto Parts & Equipment — 0.1% |
||||||||
Lear Corp. |
||||||||
3.550% 1/15/52 |
1,470,000 | 1,208,664 | ||||||
Banks — 5.9% |
||||||||
ABN AMRO Bank NV |
||||||||
4.750% 7/28/25 (a) |
2,100,000 | 2,146,725 | ||||||
Bank Hapoalim BM 5 year CMT + 2.155% |
||||||||
3.255% VRN 1/21/32 (a) |
2,800,000 | 2,576,000 | ||||||
Bank of America Corp. |
||||||||
5 year CMT + 1.200% 2.482% VRN 9/21/36 |
2,930,000 | 2,519,509 | ||||||
Principal |
Value |
|||||||
SOFR + 2.150% 2.592% VRN 4/29/31 |
$ | 1,730,000 | $ | 1,596,248 | ||||
5 year CMT + 2.000% 3.846% VRN 3/08/37 |
2,225,000 | 2,131,071 | ||||||
4.183% 11/25/27 |
1,380,000 | 1,408,907 | ||||||
3 mo. USD LIBOR + 1.310% 4.271% VRN 7/23/29 |
615,000 | 635,642 | ||||||
6.110% 1/29/37 |
1,275,000 | 1,523,389 | ||||||
7.750% 5/14/38 |
1,055,000 | 1,473,342 | ||||||
The Bank of Nova Scotia 3 mo. USD LIBOR + 2.648% |
||||||||
4.650% VRN (b) |
3,550,000 | 3,426,638 | ||||||
Barclays PLC |
||||||||
4.337% 1/10/28 |
1,600,000 | 1,628,369 | ||||||
5.200% 5/12/26 |
1,035,000 | 1,076,152 | ||||||
BPCE SA SOFR + 1.730% |
||||||||
3.116% VRN 10/19/32 (a) |
2,080,000 | 1,882,838 | ||||||
Citigroup, Inc. |
||||||||
4.450% 9/29/27 |
1,075,000 | 1,110,554 | ||||||
6.000% 10/31/33 |
510,000 | 591,911 | ||||||
6.625% 6/15/32 |
500,000 | 604,328 | ||||||
Deutsche Bank AG SOFR + 1.318% |
||||||||
2.552% VRN 1/07/28 |
2,685,000 | 2,478,163 | ||||||
Discover Bank 5 year USD Swap + 1.730% |
||||||||
4.682% VRN 8/09/28 |
2,175,000 | 2,206,656 | ||||||
First Republic Bank |
||||||||
4.375% 8/01/46 |
1,970,000 | 2,032,917 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
5.950% 1/15/27 |
1,333,000 | 1,465,229 | ||||||
6.750% 10/01/37 |
1,565,000 | 1,972,491 | ||||||
HSBC Holdings PLC |
||||||||
SOFR + 1.285% 2.206% VRN 8/17/29 |
1,355,000 | 1,221,105 | ||||||
4.250% 3/14/24 |
697,000 | 707,689 | ||||||
4.250% 8/18/25 |
1,938,000 | 1,962,651 | ||||||
4.375% 11/23/26 |
2,151,000 | 2,193,555 | ||||||
JP Morgan Chase & Co. |
||||||||
SOFR + 2.515% 2.956% VRN 5/13/31 |
1,350,000 | 1,263,354 | ||||||
5.600% 7/15/41 |
1,225,000 | 1,485,208 | ||||||
Mizrahi Tefahot Bank Ltd. 5 year CMT + 2.250% |
||||||||
3.077% VRN 4/07/31 (a) |
3,585,000 | 3,325,087 | ||||||
Morgan Stanley |
||||||||
SOFR + 1.360% 2.484% VRN 9/16/36 |
1,410,000 | 1,208,009 | ||||||
SOFR + 1.485% 3.217% VRN 4/22/42 |
1,775,000 | 1,634,488 | ||||||
The accompanying notes are an integral part of the financial statements.
40
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
National Australia Bank Ltd. 5 year CMT + 1.700% |
||||||||
3.347% VRN 1/12/37 (a) |
$ | 3,060,000 | $ | 2,824,863 | ||||
Wells Fargo & Co. |
||||||||
5.375% 11/02/43 |
851,000 | 987,968 | ||||||
5.606% 1/15/44 |
620,000 | 741,478 | ||||||
| 56,042,534 | ||||||||
Beverages — 0.7% |
||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
||||||||
4.900% 2/01/46 |
3,425,000 | 3,807,328 | ||||||
Molson Coors Beverage Co. |
||||||||
4.200% 7/15/46 |
2,279,000 | 2,210,015 | ||||||
5.000% 5/01/42 |
350,000 | 370,564 | ||||||
| 6,387,907 | ||||||||
Biotechnology — 0.3% |
||||||||
Amgen, Inc. |
||||||||
3.000% 1/15/52 |
945,000 | 800,987 | ||||||
Bio-Rad Laboratories, Inc. |
||||||||
3.700% 3/15/32 |
1,980,000 | 1,956,920 | ||||||
| 2,757,907 | ||||||||
Chemicals — 0.3% |
||||||||
DuPont de Nemours, Inc. |
||||||||
5.319% 11/15/38 |
1,350,000 | 1,551,794 | ||||||
Syngenta Finance NV |
||||||||
4.441% 4/24/23 (a) |
1,375,000 | 1,393,387 | ||||||
| 2,945,181 | ||||||||
Computers — 0.3% |
||||||||
Apple, Inc. |
||||||||
2.650% 5/11/50 |
955,000 | 831,307 | ||||||
Dell International LLC / EMC Corp. |
||||||||
8.100% 7/15/36 |
450,000 | 591,842 | ||||||
Leidos, Inc. |
||||||||
2.300% 2/15/31 |
1,575,000 | 1,369,620 | ||||||
| 2,792,769 | ||||||||
Diversified Financial Services — 3.3% |
||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
||||||||
3.300% 1/30/32 |
4,560,000 | 4,111,269 | ||||||
Antares Holdings LP |
||||||||
2.750% 1/15/27 (a) |
985,000 | 866,943 | ||||||
3.950% 7/15/26 (a) |
2,725,000 | 2,543,303 | ||||||
6.000% 8/15/23 (a) |
1,310,000 | 1,337,919 | ||||||
8.500% 5/18/25 (a) |
1,185,000 | 1,304,554 | ||||||
Ares Finance Co. III LLC 5 year CMT + 3.237% |
||||||||
4.125% VRN 6/30/51 (a) |
1,875,000 | 1,781,067 | ||||||
Principal |
Value |
|||||||
Ares Finance Co. LLC |
||||||||
4.000% 10/08/24 (a) |
$ | 2,380,000 | $ | 2,394,409 | ||||
Avolon Holdings Funding Ltd. |
||||||||
2.528% 11/18/27 (a) |
2,970,000 | 2,627,963 | ||||||
3.250% 2/15/27 (a) |
1,945,000 | 1,832,058 | ||||||
4.250% 4/15/26 (a) |
3,296,000 | 3,254,262 | ||||||
5.500% 1/15/26 (a) |
205,000 | 211,818 | ||||||
Blue Owl Finance LLC |
||||||||
3.125% 6/10/31 (a) |
3,455,000 | 2,932,402 | ||||||
4.125% 10/07/51 (a) |
1,875,000 | 1,485,514 | ||||||
Brookfield Finance, Inc. |
||||||||
4.350% 4/15/30 |
2,145,000 | 2,231,260 | ||||||
Global Aircraft Leasing Co. Ltd. |
||||||||
6.500% 9/15/24 (a) |
1,852,328 | 1,684,637 | ||||||
Synchrony Financial |
||||||||
2.875% 10/28/31 |
1,060,000 | 939,535 | ||||||
| 31,538,913 | ||||||||
Electric — 0.4% |
||||||||
The Cleveland Electric Illuminating Co. |
||||||||
5.950% 12/15/36 |
589,000 | 679,692 | ||||||
CMS Energy Corp. |
||||||||
4.700% 3/31/43 |
655,000 | 673,771 | ||||||
4.875% 3/01/44 |
700,000 | 773,913 | ||||||
NextEra Energy Capital Holdings, Inc. 5 year CMT + 2.547% |
||||||||
3.800% VRN 3/15/82 |
1,275,000 | 1,173,290 | ||||||
Pacific Gas and Electric Co. |
||||||||
2.500% 2/01/31 |
1,035,000 | 892,291 | ||||||
| 4,192,957 | ||||||||
Food — 1.0% |
||||||||
JBS Finance Luxembourg Sarl |
||||||||
3.625% 1/15/32 (a) |
6,550,000 | 5,993,250 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
||||||||
5.500% 1/15/30 (a) |
928,000 | 948,676 | ||||||
Smithfield Foods, Inc. |
||||||||
2.625% 9/13/31 (a) |
1,415,000 | 1,241,045 | ||||||
3.000% 10/15/30 (a) |
1,208,000 | 1,096,482 | ||||||
| 9,279,453 | ||||||||
Gas — 0.3% |
||||||||
CenterPoint Energy Resources Corp. |
||||||||
6.625% 11/01/37 |
1,500,000 | 1,826,033 | ||||||
NiSource, Inc. |
||||||||
4.800% 2/15/44 |
1,350,000 | 1,397,250 | ||||||
| 3,223,283 | ||||||||
The accompanying notes are an integral part of the financial statements.
41
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Health Care – Services — 0.2% |
||||||||
City of Hope |
||||||||
4.378% 8/15/48 |
$ | 1,275,000 | $ | 1,375,969 | ||||
HCA, Inc. |
||||||||
3.500% 7/15/51 |
1,165,000 | 1,004,598 | ||||||
| 2,380,567 | ||||||||
Insurance — 6.5% |
||||||||
Allianz SE 5 year CMT + 2.973% |
||||||||
3.500% VRN (a) (b) |
4,400,000 | 4,169,000 | ||||||
Allstate Corp. 3 mo. USD LIBOR + 2.938% |
||||||||
5.750% VRN 8/15/53 |
3,220,000 | 3,195,850 | ||||||
American International Group, Inc. 3 mo. USD LIBOR + 2.868% |
||||||||
5.750% VRN 4/01/48 (c) |
2,454,000 | 2,467,988 | ||||||
AmTrust Financial Services, Inc. |
||||||||
6.125% 8/15/23 |
4,330,000 | 4,340,440 | ||||||
Ascot Group Ltd. |
||||||||
4.250% 12/15/30 (a) |
2,215,000 | 2,171,909 | ||||||
Athene Global Funding |
||||||||
2.673% 6/07/31 (a) |
3,080,000 | 2,765,112 | ||||||
AXIS Specialty Finance LLC 5 year CMT + 3.186% |
||||||||
4.900% VRN 1/15/40 |
1,670,000 | 1,628,250 | ||||||
Brighthouse Financial, Inc. |
||||||||
4.700% 6/22/47 |
1,525,000 | 1,480,637 | ||||||
5.625% 5/15/30 |
3,132,000 | 3,433,734 | ||||||
CNO Financial Group, Inc. |
||||||||
5.250% 5/30/29 |
2,801,000 | 2,946,948 | ||||||
Enstar Finance LLC 5 year CMT + 5.468% |
||||||||
5.750% VRN 9/01/40 (c) |
2,700,000 | 2,669,625 | ||||||
Enstar Group Ltd. |
||||||||
4.950% 6/01/29 |
2,050,000 | 2,128,252 | ||||||
Global Atlantic Fin Co. |
||||||||
3.125% 6/15/31 (a) |
2,060,000 | 1,840,548 | ||||||
5 year CMT + 3.796% 4.700% VRN 10/15/51 (a) |
3,580,000 | 3,374,150 | ||||||
Hanwha Life Insurance Co. Ltd. 5 year CMT + 1.850% |
||||||||
3.379% VRN 2/04/32 (a) |
2,585,000 | 2,478,657 | ||||||
Hill City Funding Trust |
||||||||
4.046% 8/15/41 (a) |
4,055,000 | 3,405,779 | ||||||
Liberty Mutual Group, Inc. 5 year CMT + 3.315% |
||||||||
4.125% VRN 12/15/51 (a) |
1,225,000 | 1,154,563 | ||||||
Markel Corp. 5 year CMT + 5.662% |
||||||||
6.000% VRN (b) |
1,755,000 | 1,816,425 | ||||||
MetLife Capital Trust IV |
||||||||
7.875% 12/15/37 (a) |
925,000 | 1,103,063 | ||||||
Principal |
Value |
|||||||
New York Life Insurance Co. |
||||||||
3.750% 5/15/50 (a) |
$ | 695,000 | $ | 673,330 | ||||
Prudential Financial, Inc. |
||||||||
3 mo. USD LIBOR + 3.920% 5.625% VRN 6/15/43 |
1,300,000 | 1,308,125 | ||||||
3 mo. USD LIBOR + 2.665% 5.700% VRN 9/15/48 |
3,380,000 | 3,448,208 | ||||||
3 mo. USD LIBOR + 4.175% 5.875% VRN 9/15/42 |
650,000 | 654,875 | ||||||
Sammons Financial Group, Inc. |
||||||||
3.350% 4/16/31 (a) |
4,980,000 | 4,588,202 | ||||||
Teachers Insurance & Annuity Association of America |
||||||||
4.270% 5/15/47 (a) |
1,025,000 | 1,082,363 | ||||||
USF&G Capital I |
||||||||
8.500% 12/15/45 (a) |
1,015,000 | 1,415,107 | ||||||
| 61,741,140 | ||||||||
Internet — 0.2% |
||||||||
Netflix, Inc. |
||||||||
5.875% 11/15/28 |
1,855,000 | 2,044,767 | ||||||
Investment Companies — 1.6% |
||||||||
Ares Capital Corp. |
||||||||
2.150% 7/15/26 |
2,275,000 | 2,058,699 | ||||||
BlackRock TCP Capital Corp. |
||||||||
3.900% 8/23/24 |
1,649,000 | 1,641,991 | ||||||
Blackstone Private Credit Fund |
||||||||
1.750% 9/15/24 (a) |
370,000 | 347,919 | ||||||
2.625% 12/15/26 (a) |
3,660,000 | 3,298,528 | ||||||
Golub Capital BDC, Inc. |
||||||||
2.500% 8/24/26 |
1,165,000 | 1,071,684 | ||||||
3.375% 4/15/24 |
2,745,000 | 2,704,251 | ||||||
OWL Rock Core, Income Corp. |
||||||||
4.700% 2/08/27 (a) |
2,025,000 | 1,950,322 | ||||||
Sixth Street Specialty Lending, Inc. |
||||||||
3.875% 11/01/24 |
2,705,000 | 2,698,239 | ||||||
| 15,771,633 | ||||||||
Iron & Steel — 0.1% |
||||||||
Vale Overseas Ltd. |
||||||||
6.875% 11/21/36 |
1,100,000 | 1,326,886 | ||||||
Lodging — 0.2% |
||||||||
Las Vegas Sands Corp. |
||||||||
3.200% 8/08/24 |
2,305,000 | 2,202,422 | ||||||
Media — 1.1% |
||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||
3.900% 6/01/52 |
750,000 | 630,098 | ||||||
6.484% 10/23/45 |
1,905,000 | 2,170,598 | ||||||
The accompanying notes are an integral part of the financial statements.
42
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Comcast Corp. |
||||||||
2.937% 11/01/56 (a) |
$ | 1,244,000 | $ | 1,026,574 | ||||
3.450% 2/01/50 |
675,000 | 631,256 | ||||||
3.969% 11/01/47 |
660,000 | 670,157 | ||||||
Discovery Communications LLC |
||||||||
4.000% 9/15/55 |
1,186,000 | 1,022,688 | ||||||
4.650% 5/15/50 (c) |
705,000 | 682,970 | ||||||
Paramount Global |
||||||||
4.200% 5/19/32 |
1,131,000 | 1,132,773 | ||||||
4.950% 1/15/31 |
1,324,000 | 1,408,173 | ||||||
Time Warner Cable, Inc. |
||||||||
6.750% 6/15/39 |
655,000 | 760,028 | ||||||
| 10,135,315 | ||||||||
Metal Fabricate & Hardware — 0.3% |
||||||||
The Timken Co. |
||||||||
4.500% 12/15/28 |
2,730,000 | 2,806,183 | ||||||
Mining — 0.6% |
||||||||
Glencore Finance Canada Ltd. |
||||||||
5.550% STEP 10/25/42 (a) |
857,000 | 948,852 | ||||||
Glencore Funding LLC |
||||||||
2.625% 9/23/31 (a) |
2,995,000 | 2,679,455 | ||||||
3.875% 10/27/27 (a) |
950,000 | 946,017 | ||||||
Teck Resources Ltd. |
||||||||
6.000% 8/15/40 |
1,075,000 | 1,233,804 | ||||||
| 5,808,128 | ||||||||
Miscellaneous - Manufacturing — 0.0% |
||||||||
GE Capital International Funding Co. Unlimited Co. |
||||||||
4.418% 11/15/35 |
427,000 | 458,520 | ||||||
Oil & Gas — 2.3% |
||||||||
BP Capital Markets PLC |
||||||||
5 year CMT + 4.036% 4.375% VRN (b) |
2,675,000 | 2,689,712 | ||||||
5 year CMT + 4.398% 4.875% VRN (b) |
1,540,000 | 1,543,850 | ||||||
Cenovus Energy, Inc. |
||||||||
6.750% 11/15/39 |
1,176,000 | 1,453,170 | ||||||
Devon Energy Corp. |
||||||||
5.600% 7/15/41 |
1,075,000 | 1,241,639 | ||||||
EQT Corp. |
||||||||
3.900% 10/01/27 |
2,770,000 | 2,770,000 | ||||||
Marathon Petroleum Corp. |
||||||||
6.500% 3/01/41 |
1,060,000 | 1,307,165 | ||||||
Occidental Petroleum Corp. |
||||||||
6.600% 3/15/46 |
1,228,000 | 1,442,900 | ||||||
Ovintiv Exploration, Inc. |
||||||||
5.375% 1/01/26 |
1,875,000 | 1,989,488 | ||||||
Principal |
Value |
|||||||
Ovintiv, Inc. |
||||||||
6.500% 8/15/34 |
$ | 1,110,000 | $ | 1,317,702 | ||||
6.500% 2/01/38 |
530,000 | 628,077 | ||||||
Patterson-UTI Energy, Inc. |
||||||||
3.950% 2/01/28 |
1,495,000 | 1,399,387 | ||||||
5.150% 11/15/29 |
1,350,000 | 1,317,064 | ||||||
Petroleos Mexicanos |
||||||||
5.350% 2/12/28 |
1,925,000 | 1,832,658 | ||||||
6.375% 1/23/45 |
640,000 | 511,866 | ||||||
6.500% 3/13/27 |
295,000 | 299,573 | ||||||
6.625% 6/15/38 |
202,000 | 172,407 | ||||||
| 21,916,658 | ||||||||
Oil & Gas Services — 0.7% |
||||||||
Halliburton Co. |
||||||||
5.000% 11/15/45 |
1,300,000 | 1,410,994 | ||||||
NOV, Inc. |
||||||||
3.600% 12/01/29 |
3,570,000 | 3,509,946 | ||||||
3.950% 12/01/42 |
1,778,000 | 1,564,996 | ||||||
| 6,485,936 | ||||||||
Pharmaceuticals — 1.0% |
||||||||
AbbVie, Inc. |
||||||||
4.700% 5/14/45 |
1,465,000 | 1,589,821 | ||||||
Bristol-Myers Squibb Co. |
||||||||
4.350% 11/15/47 |
1,150,000 | 1,260,577 | ||||||
Cigna Corp. |
||||||||
4.800% 7/15/46 |
1,105,000 | 1,221,992 | ||||||
CVS Health Corp. |
||||||||
5.050% 3/25/48 |
370,000 | 419,880 | ||||||
6.125% 9/15/39 |
895,000 | 1,105,609 | ||||||
CVS Pass-Through Trust |
||||||||
5.926% 1/10/34 (a) |
1,659,037 | 1,834,662 | ||||||
Utah Acquisition Sub, Inc. |
||||||||
5.250% 6/15/46 |
1,750,000 | 1,729,203 | ||||||
| 9,161,744 | ||||||||
Pipelines — 2.0% |
||||||||
Energy Transfer LP |
||||||||
6.125% 12/15/45 |
1,235,000 | 1,362,489 | ||||||
3 mo. USD LIBOR + 4.028% 6.250% VRN (b) |
2,635,000 | 2,256,219 | ||||||
EnLink Midstream Partners LP |
||||||||
4.150% 6/01/25 |
2,972,000 | 2,956,902 | ||||||
4.850% 7/15/26 |
996,000 | 998,490 | ||||||
Enterprise Products Operating LLC 3 mo. USD LIBOR + 3.033% |
||||||||
5.250% VRN 8/16/77 |
2,550,000 | 2,397,489 | ||||||
MPLX LP 3 mo. USD LIBOR + 4.652% |
||||||||
6.875% VRN (b) |
3,550,000 | 3,479,000 | ||||||
The accompanying notes are an integral part of the financial statements.
43
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Plains All American Pipeline LP 3 mo. USD LIBOR + 4.110% |
||||||||
6.125% VRN (b) |
$ | 2,590,000 | $ | 2,196,320 | ||||
Plains All American Pipeline LP/PAA Finance Corp. |
||||||||
3.800% 9/15/30 |
1,570,000 | 1,540,183 | ||||||
4.700% 6/15/44 |
1,525,000 | 1,432,310 | ||||||
6.650% 1/15/37 |
475,000 | 538,981 | ||||||
| 19,158,383 | ||||||||
Private Equity — 0.9% |
||||||||
Apollo Management Holdings LP 5 year CMT + 3.266% |
||||||||
4.950% VRN 1/14/50 (a) |
1,970,000 | 1,866,828 | ||||||
Hercules Capital, Inc. |
||||||||
2.625% 9/16/26 |
3,662,000 | 3,367,734 | ||||||
3.375% 1/20/27 |
1,415,000 | 1,330,274 | ||||||
KKR Group Finance Co. VIII LLC |
||||||||
3.500% 8/25/50 (a) |
920,000 | 802,062 | ||||||
KKR Group Finance Co. X LLC |
||||||||
3.250% 12/15/51 (a) |
1,135,000 | 945,398 | ||||||
| 8,312,296 | ||||||||
Real Estate Investment Trusts (REITS) — 2.1% |
||||||||
Broadstone Net Lease LLC |
||||||||
2.600% 9/15/31 |
2,050,000 | 1,825,705 | ||||||
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP |
||||||||
3.750% 12/15/27 (a) |
2,675,000 | 2,469,422 | ||||||
Host Hotels & Resorts LP |
||||||||
2.900% 12/15/31 |
640,000 | 572,716 | ||||||
3.500% 9/15/30 |
2,756,000 | 2,628,081 | ||||||
Invitation Homes Operating Partnership LP |
||||||||
4.150% 4/15/32 (d) |
520,000 | 531,137 | ||||||
Kimco Realty Corp. |
||||||||
4.125% 12/01/46 |
855,000 | 849,777 | ||||||
4.450% 9/01/47 |
1,055,000 | 1,101,370 | ||||||
Omega Healthcare Investors, Inc. |
||||||||
3.375% 2/01/31 |
1,800,000 | 1,649,183 | ||||||
Piedmont Operating Partnership LP |
||||||||
2.750% 4/01/32 |
1,155,000 | 1,029,320 | ||||||
Rexford Industrial Realty LP |
||||||||
2.125% 12/01/30 |
551,000 | 481,759 | ||||||
Service Properties Trust |
||||||||
4.500% 6/15/23 |
953,000 | 944,137 | ||||||
4.950% 10/01/29 |
1,445,000 | 1,246,313 | ||||||
Spirit Realty LP |
||||||||
2.700% 2/15/32 |
715,000 | 643,458 | ||||||
3.200% 1/15/27 (c) |
425,000 | 416,314 | ||||||
3.400% 1/15/30 |
490,000 | 473,917 | ||||||
Principal |
Value |
|||||||
4.000% 7/15/29 |
$ | 2,405,000 | $ | 2,430,673 | ||||
WP Carey, Inc. |
||||||||
2.450% 2/01/32 |
666,000 | 588,477 | ||||||
| 19,881,759 | ||||||||
Software — 0.3% |
||||||||
Electronic Arts, Inc. |
||||||||
2.950% 2/15/51 |
1,150,000 | 958,135 | ||||||
Microsoft Corp. |
||||||||
2.921% 3/17/52 |
1,560,000 | 1,462,964 | ||||||
| 2,421,099 | ||||||||
Telecommunications — 1.4% |
||||||||
AT&T, Inc. |
||||||||
3.500% 9/15/53 |
333,000 | 292,460 | ||||||
3.550% 9/15/55 |
6,775,000 | 5,971,745 | ||||||
British Telecommunications PLC |
||||||||
9.625% STEP 12/15/30 |
725,000 | 989,278 | ||||||
Crown Castle Towers LLC |
||||||||
4.241% 7/15/28 (a) |
1,750,000 | 1,799,145 | ||||||
Verizon Communications, Inc. |
||||||||
2.875% 11/20/50 |
1,000,000 | 835,026 | ||||||
2.987% 10/30/56 |
2,599,000 | 2,137,813 | ||||||
Vodafone Group PLC |
||||||||
5.250% 5/30/48 |
1,245,000 | 1,393,597 | ||||||
| 13,419,064 | ||||||||
Transportation — 0.1% |
||||||||
CSX Corp. |
||||||||
4.750% 11/15/48 |
820,000 | 938,632 | ||||||
TOTAL CORPORATE DEBT (Cost $363,584,877) |
346,443,164 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 26.5% |
||||||||
Commercial Mortgage-Backed Securities — 9.2% |
||||||||
Aventura Mall Trust, Series 2018-AVM, Class C, |
||||||||
4.112% VRN 7/05/40 (a) (e) |
4,140,000 | 4,355,902 | ||||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class C, 1 mo. USD LIBOR + 1.350% |
||||||||
1.747% FRN 9/15/34 (a) |
760,000 | 742,906 | ||||||
BANK, Series 2020-BN30, Class MCDF, |
||||||||
2.918% VRN 12/15/53 (e) |
3,165,000 | 2,691,850 | ||||||
BBCMS Mortgage Trust |
||||||||
Series 2018-CHRS, Class B, 4.267% VRN 8/05/38 (a) (e) |
2,200,000 | 2,145,681 | ||||||
Series 2018-CHRS, Class C, 4.267% VRN 8/05/38 (a) (e) |
1,590,000 | 1,497,135 | ||||||
The accompanying notes are an integral part of the financial statements.
44
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Series 2018-CHRS, Class D, 4.267% VRN 8/05/38 (a) (e) |
$ | 1,220,000 | $ | 1,088,701 | ||||
Benchmark Mortgage Trust |
||||||||
Series 2021-B23, Class 360A, 2.760% VRN 2/15/54 (a) (e) |
3,150,000 | 2,828,959 | ||||||
Series 2021-B23, Class 360B, 2.760% VRN 2/15/54 (a) (e) |
4,800,000 | 4,204,159 | ||||||
Series 2021-B25, Class 300C, 2.994% VRN 4/15/54 (a) (e) |
3,100,000 | 2,751,546 | ||||||
BGME Trust |
||||||||
Series 2021-VR, Class C, 2.995% VRN 1/10/43 (a) (e) |
16,248,000 | 14,886,934 | ||||||
Series 2021-VR, Class D, 2.995% VRN 1/10/43 (a) (e) |
3,790,000 | 3,396,582 | ||||||
BX Commercial Mortgage Trust |
||||||||
Series 2021-SOAR, Class E, 1 mo. USD LIBOR + 1.800% 2.197% FRN 6/15/38 (a) |
2,300,000 | 2,239,689 | ||||||
Series 2021-VOLT, Class E, 1 mo. USD LIBOR + 2.000% 2.397% FRN 9/15/36 (a) |
5,343,000 | 5,140,974 | ||||||
Series 2019-XL, Class F, 1 mo. USD LIBOR + 2.000% 2.397% FRN 10/15/36 (a) |
2,221,900 | 2,180,349 | ||||||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class C |
||||||||
3.502% 8/10/56 |
1,259,000 | 1,175,685 | ||||||
COLEM Mortgage Trust, Series 2022-HLNE |
||||||||
2.543% 4/12/42 (a) (e) |
1,900,000 | 1,649,771 | ||||||
Commercial Mortgage Pass-Through Certificates |
||||||||
Series 2015-CR23, Class B, 4.183% VRN 5/10/48 (e) |
1,200,000 | 1,193,496 | ||||||
Series 2015-CR23, Class C, 4.288% VRN 5/10/48 (e) |
1,050,000 | 1,027,639 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 1 mo. USD LIBOR + 2.150% |
||||||||
2.547% FRN 5/15/36 (a) |
750,000 | 735,054 | ||||||
DROP Mortgage Trust |
||||||||
Series 2021-FILE, Class C, 1 mo. USD LIBOR + 2.250% 2.650% FRN 4/15/26 (a) |
3,365,000 | 3,247,231 | ||||||
Series 2021-FILE, Class D, 1 mo. USD LIBOR + 2.750% 3.150% FRN 4/15/26 (a) |
1,162,000 | 1,109,710 | ||||||
Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250% |
||||||||
2.647% FRN 7/15/38 (a) |
2,385,320 | 2,349,577 | ||||||
Principal |
Value |
|||||||
GS Mortgage Securities Trust, Series 2019-GC39, Class C, |
||||||||
4.005% VRN 5/10/52 (e) |
$ | 1,357,000 | $ | 1,313,030 | ||||
KINDR Trust, Series 2021-KIND, Class C, 1 mo. USD LIBOR + 1.750% |
||||||||
2.147% FRN 8/15/38 (a) |
3,100,000 | 3,057,644 | ||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% |
||||||||
2.197% FRN 5/15/36 (a) |
1,730,000 | 1,705,234 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class E, 1 mo. USD LIBOR + 1.750% |
||||||||
2.147% FRN 3/15/38 (a) |
2,505,591 | 2,406,992 | ||||||
MFT Trust |
||||||||
Series 2020-ABC, Class A, 3.358% 2/10/42 (a) |
1,185,000 | 1,071,845 | ||||||
Series 2020-ABC, Class B, 3.477% VRN 2/10/42 (a) (e) |
1,278,000 | 1,141,690 | ||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.101% |
||||||||
2.498% FRN 4/15/38 (a) |
5,140,000 | 5,017,919 | ||||||
MKT Mortgage Trust |
||||||||
Series 2020-525M, Class D, 2.941% VRN 2/12/40 (a) (e) |
595,000 | 522,943 | ||||||
Series 2020-525M, Class E, 2.941% VRN 2/12/40 (a) (e) |
1,220,000 | 1,043,526 | ||||||
VASA Trust, Series 2021-VASA, Class D, 1 mo. USD LIBOR + 2.100% |
||||||||
2.497% FRN 7/15/39 (a) |
4,879,000 | 4,806,001 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2018-C45, Class B |
||||||||
4.556% 6/16/51 |
390,000 | 397,184 | ||||||
Wells Fargo Commercial Mortgage Trust 2021-FCMT, Series 2021-FCMT, Class B, 1 mo. USD LIBOR + 1.850% |
||||||||
2.247% FRN 5/15/31 (a) |
3,000,000 | 2,940,965 | ||||||
| 88,064,503 | ||||||||
Other Asset-Backed Securities — 11.7% |
||||||||
AASET Trust, Series 2020-1A, Class A |
||||||||
3.351% 1/16/40 (a) |
1,564,112 | 1,376,114 | ||||||
Aaset Trust, Series 2021-2A, Class B |
||||||||
3.538% 1/15/47 (a) |
1,167,925 | 1,075,533 | ||||||
Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class CR2, 3 mo. USD LIBOR + 2.250% |
||||||||
2.491% FRN 7/15/32 (a) |
830,000 | 821,488 | ||||||
The accompanying notes are an integral part of the financial statements.
45
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Apidos CLO XXV, Series 2016-25A, Class A2R, 3 mo. USD LIBOR + 1.700% |
||||||||
1.954% FRN 10/20/31 (a) |
$ | 2,610,000 | $ | 2,587,593 | ||||
522 Funding CLO Ltd., Series 2018-3A, Class CR, 3 mo. USD LIBOR + 2.050% |
||||||||
2.304% FRN 10/20/31 (a) |
1,250,000 | 1,233,410 | ||||||
Ballyrock CLO Ltd., Series 2019-2A, Class CR, 3 mo. USD LIBOR + 3.150% |
||||||||
3.630% FRN 11/20/30 (a) |
800,000 | 783,914 | ||||||
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, 3 mo. USD LIBOR + 1.090% |
||||||||
1.344% FRN 4/20/31 (a) |
1,920,000 | 1,909,194 | ||||||
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A |
||||||||
2.940% 5/25/29 (a) |
294,766 | 291,977 | ||||||
Business Jet Securities LLC, Series 2021-1A, Class C |
||||||||
5.067% 4/15/36 (a) |
1,187,154 | 1,118,516 | ||||||
Canyon Capital CLO Ltd., Series 2019-2A, Class CR, 3 mo. USD LIBOR + 2.150% |
||||||||
2.391% FRN 10/15/34 (a) |
800,000 | 787,743 | ||||||
Capital Automotive REIT |
||||||||
Series 2020-1A, Class A3, 3.250% 2/15/50 (a) |
558,647 | 541,418 | ||||||
Series 2020-1A, Class A6, 3.810% 2/15/50 (a) |
491,049 | 485,841 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2018-4A, Class A2, 3 mo. USD LIBOR + 1.800% |
||||||||
2.054% FRN 1/20/31 (a) |
1,080,000 | 1,068,974 | ||||||
Castlelake Aircraft Securitization Trust, Series 2019-1A, Class A |
||||||||
3.967% 4/15/39 (a) |
698,294 | 632,489 | ||||||
CBAM Ltd., Series 2018-6A, Class B1R, 3 mo. USD LIBOR + 2.100% |
||||||||
2.341% FRN 1/15/31 (a) |
1,200,000 | 1,180,369 | ||||||
Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, 3 mo. USD LIBOR + .980% |
||||||||
1.234% FRN 4/20/31 (a) |
1,000,000 | 994,563 | ||||||
CIFC Funding Ltd., Series 2017-5A, Class A1, 3 mo. USD LIBOR + 1.180% |
||||||||
1.421% FRN 11/16/30 (a) |
2,100,000 | 2,093,713 | ||||||
Clear Creek CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.200% |
||||||||
1.454% FRN 10/20/30 (a) |
2,120,000 | 2,112,472 | ||||||
Principal |
Value |
|||||||
Eaton Vance CLO Ltd. |
||||||||
Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.750% 1.991% FRN 10/15/30 (a) |
$ | 1,700,000 | $ | 1,678,748 | ||||
Series 2020-1A, Class CR, 3 mo. USD LIBOR + 2.050% 2.291% FRN 10/15/34 (a) |
400,000 | 396,485 | ||||||
Elmwood CLO III Ltd., Series 2019-3A, Class BR, 3 mo. USD LIBOR + 1.650% |
||||||||
1.904% FRN 10/20/34 (a) |
1,300,000 | 1,290,906 | ||||||
Elmwood CLO IV Ltd., Series 2020-1A, Class A, 3 mo. USD LIBOR + 1.240% |
||||||||
1.481% FRN 4/15/33 (a) |
1,000,000 | 995,830 | ||||||
FCI Funding LLC, Series 2019-1A, Class A |
||||||||
3.630% 2/18/31 (a) |
61,031 | 61,123 | ||||||
Flexential Issuer |
||||||||
Series 2021-1A, Class B, 3.720% 11/27/51 (a) |
4,000,000 | 3,791,147 | ||||||
Series 2021-1A, Class C, 6.930% 11/27/51 (a) |
4,000,000 | 3,759,995 | ||||||
Goldentree Loan Management US CLO Ltd., Series 2019-5A, Class CR, 3 mo. USD LIBOR + 2.050% |
||||||||
2.304% FRN 10/20/32 (a) |
800,000 | 791,637 | ||||||
Goodgreen Trust |
||||||||
Series 2019-2A, Class A, 2.760% 4/15/55 (a) |
2,765,352 | 2,639,234 | ||||||
Series 2016-1A, Class A, 3.230% 10/15/52 (a) |
1,081,428 | 1,057,728 | ||||||
Series 2017-1A, Class A, 3.740% 10/15/52 (a) |
519,721 | 511,221 | ||||||
Series 2019-1A, Class A, 3.860% 10/15/54 (a) |
1,089,644 | 1,075,925 | ||||||
Series 2018-1A, Class A, 3.930% VRN 10/15/53 (a) (e) |
1,371,198 | 1,360,737 | ||||||
Hero Funding Trust |
||||||||
Series 2016-3A, Class A1, 3.080% 9/20/42 (a) |
485,148 | 478,998 | ||||||
Series 2017-3A, Class A1, 3.190% 9/20/48 (a) |
531,314 | 522,863 | ||||||
Series 2017-2A, Class A1, 3.280% 9/20/48 (a) |
159,313 | 157,177 | ||||||
Series 2016-4A, Class A1, 3.570% 9/20/47 (a) |
509,612 | 505,341 | ||||||
Series 2017-2A, Class A2, 4.070% 9/20/48 (a) |
128,075 | 127,785 | ||||||
Series 2018-1A, Class A2, 4.670% 9/20/48 (a) |
929,979 | 939,631 | ||||||
The accompanying notes are an integral part of the financial statements.
46
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Highbridge Loan Management Ltd., Series 13A-18, Class C, 3 mo. USD LIBOR + 2.150% |
||||||||
2.391% FRN 10/15/30 (a) |
$ | 1,000,000 | $ | 977,225 | ||||
Horizon Aircraft Finance I Ltd., Series 2018-1, Class A |
||||||||
4.458% 12/15/38 (a) |
1,011,181 | 931,072 | ||||||
Horizon Aircraft Finance II Ltd, Series 2019-1, Class A |
||||||||
3.721% 7/15/39 (a) |
1,417,785 | 1,264,641 | ||||||
Horizon Aircraft Finance III Ltd., Series 2019-2, Class A |
||||||||
3.425% 11/15/39 (a) |
3,374,417 | 3,110,749 | ||||||
KREF Ltd. |
||||||||
Series 2021-FL2, Class B, 1 mo. USD LIBOR + 1.650% 2.091% FRN 2/15/39 (a) |
3,500,000 | 3,464,899 | ||||||
Series 2021-FL2, Class C, 1 mo. USD LIBOR + 2.000% 2.441% FRN 2/15/39 (a) |
5,800,000 | 5,740,282 | ||||||
Series 2021-FL2, Class D, 1 mo. USD LIBOR + 2.200% 2.641% FRN 2/15/39 (a) |
3,200,000 | 3,166,095 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 |
||||||||
4.300% 1/15/42 (a) |
1,902,824 | 1,742,075 | ||||||
MACH 1, Series 2019-1, Class A |
||||||||
3.474% 10/15/39 (a) |
1,948,604 | 1,808,606 | ||||||
Madison Park Funding Ltd. |
||||||||
Series 2018-28A, Class B, 3 mo. USD LIBOR + 1.600% 1.841% FRN 7/15/30 (a) |
2,090,000 | 2,069,825 | ||||||
Series 2018-32A, Class CR, 3 mo. USD LIBOR + 2.000% 2.259% FRN 1/22/31 (a) |
1,750,000 | 1,725,950 | ||||||
Series 2018-29A, Class C, 3 mo. USD LIBOR + 2.200% 2.441% FRN 10/18/30 (a) |
680,000 | 675,230 | ||||||
Mariner Finance Issuance Trust |
||||||||
Series 2021-AA, Class B, 2.330% 3/20/36 (a) |
1,771,000 | 1,655,681 | ||||||
Series 2021-AA, Class C, 2.960% 3/20/36 (a) |
835,000 | 751,964 | ||||||
Mosaic Solar Loans LLC |
||||||||
Series 2017-2A, Class A, 3.820% 6/22/43 (a) |
409,315 | 406,454 | ||||||
Series 2018-1A, Class A, 4.010% 6/22/43 (a) |
181,938 | 180,751 | ||||||
Series 2017-1A, Class A, 4.450% 6/20/42 (a) |
183,366 | 183,754 | ||||||
Principal |
Value |
|||||||
New Residential Advance Receivables Trust, Series 2020-T1, Class ET1 |
||||||||
5.467% 8/15/53 (a) |
$ | 2,495,000 | $ | 2,439,120 | ||||
Octagon Investment Partners 39 Ltd., Series 2018-3A, Class C, 3 mo. USD LIBOR + 2.200% |
||||||||
2.454% FRN 10/20/30 (a) |
1,180,000 | 1,174,941 | ||||||
Parallel Ltd., Series 2021-2A, Class A2, 3 mo. USD LIBOR + 1.850% |
||||||||
1.969% FRN 10/20/34 (a) |
550,000 | 538,185 | ||||||
Pioneer Aircraft Finance Ltd., Series 2019-1, Class A |
||||||||
3.967% 6/15/44 (a) |
1,652,010 | 1,529,466 | ||||||
Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2 |
||||||||
3.858% 12/05/49 (a) |
2,917,838 | 2,744,241 | ||||||
Rad CLO 12 Ltd., Series 2021-12A, Class A, 3 mo. USD LIBOR + 1.170% |
||||||||
1.311% FRN 10/30/34 (a) |
2,000,000 | 1,980,362 | ||||||
Rad CLO 15 Ltd., Series 2021-15A, Class C, 3 mo. USD LIBOR + 2.050% |
||||||||
2.297% FRN 1/20/34 (a) |
1,000,000 | 990,631 | ||||||
Regatta XIV Funding Ltd., Series 2018-3A, Class B, 3 mo. USD LIBOR + 1.850% |
||||||||
2.108% FRN 10/25/31 (a) |
1,030,000 | 1,016,569 | ||||||
Sierra Receivables Funding LLC |
||||||||
Series 2021-1A, Class D, 3.170% 11/20/37 (a) |
1,211,138 | 1,177,839 | ||||||
Series 2018-3A, Class D, 5.200% 9/20/35 (a) |
510,008 | 513,478 | ||||||
Steele Creek CLO Ltd., Series 2018-2A, Class C, 3 mo. USD LIBOR + 2.300% |
||||||||
2.788% FRN 8/18/31 (a) |
1,660,000 | 1,610,633 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-GEL1, Class M2, 1 mo. USD LIBOR + 1.200% |
||||||||
1.657% FRN 11/25/35 (a) |
674,186 | 660,211 | ||||||
Structured Receivables Finance LLC, Series 2010-B, Class A |
||||||||
3.730% 8/15/36 (a) |
133,255 | 132,977 | ||||||
Sunnova Helios II Issuer LLC, Series 2018-1A, Class A |
||||||||
4.870% 7/20/48 (a) |
580,360 | 580,479 | ||||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A |
||||||||
4.190% 1/15/71 (a) |
1,760,503 | 1,802,359 | ||||||
The accompanying notes are an integral part of the financial statements.
47
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
THL Credit Wind River CLO Ltd., Series 2018-3A, Class B, 3 mo. USD LIBOR + 1.700% |
||||||||
1.954% FRN 1/20/31 (a) |
$ | 2,440,000 | $ | 2,426,936 | ||||
Thrust Engine Leasing |
||||||||
Series 2021-1A, Class A, 4.163% 7/15/40 (a) |
3,625,595 | 3,391,226 | ||||||
Series 2021-1A, Class B, 6.121% 7/15/40 (a) |
1,646,216 | 1,526,103 | ||||||
Series 2021-1A, Class C, 7.386% 7/15/40 (a) |
1,151,018 | 1,073,349 | ||||||
TICP CLO XIV Ltd., Series 2019-14A, Class A2R, 3 mo. USD LIBOR + 1.650% |
||||||||
1.791% FRN 10/20/32 (a) |
1,100,000 | 1,089,117 | ||||||
Vivint Solar Financing V LLC, Series 2018-1A, Class B |
||||||||
7.370% 4/30/48 (a) |
2,218,603 | 2,227,953 | ||||||
Voya CLO Ltd., Series 2015-3A, Class A3R, 3 mo. USD LIBOR + 1.700% |
||||||||
1.954% FRN 10/20/31 (a) |
1,500,000 | 1,471,713 | ||||||
WAVE LLC |
||||||||
Series 2019-1A, Class A, 3.597% 9/15/44 (a) |
4,395,961 | 3,879,167 | ||||||
Series 2017-1A, Class A, 3.844% 11/15/42 (a) |
378,951 | 357,221 | ||||||
Series 2017-1A, Class C, 6.656% 11/15/42 (a) |
1,962,584 | 1,029,200 | ||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, |
||||||||
4.750% STEP 9/15/43 (a) |
1,050,909 | 971,799 | ||||||
Zaxby’s Funding LLC, Series 2021-1A, Class A2 |
||||||||
3.238% 7/30/51 (a) |
1,088,530 | 1,007,437 | ||||||
| 112,435,797 | ||||||||
Student Loans Asset-Backed Securities — 2.7% |
||||||||
College Avenue Student Loans LLC |
||||||||
Series 2019-A, Class B, 3.810% 12/28/48 (a) |
1,867,746 | 1,823,023 | ||||||
Series 2019-A, Class C, 4.460% 12/28/48 (a) |
1,248,507 | 1,226,047 | ||||||
College Loan Corp. Trust I, Series 2007-1, Class B2, |
||||||||
1.627% FRN 1/25/47 (e) |
245,707 | 202,872 | ||||||
EdLinc Student Loan Funding, Series 2017-A, Class A, PRIME - 1.150% |
||||||||
2.100% FRN 12/01/47 (a) |
917,793 | 906,928 | ||||||
Education Loan Asset-Backed Trust I |
||||||||
Series 2003-1, Class A2, 0.000%FRN 2/01/43 (a) (e) |
1,300,000 | 1,200,424 | ||||||
Principal |
Value |
|||||||
Series 2003-2, Class 2A1, 0.000%FRN 8/01/43 (a) (e) |
$ | 1,950,000 | $ | 1,804,725 | ||||
Series 2013-1, Class B1, 1 mo. USD LIBOR + 1.000% 1.457% FRN 11/25/33 (a) |
867,914 | 861,573 | ||||||
Higher Education Funding I |
||||||||
Series 2004-1, Class B2, 0.000%FRN 1/01/44 (a) (e) |
600,000 | 522,616 | ||||||
Series 2004-1, Class B1, 1.796% FRN 1/01/44 (a) (e) |
600,000 | 538,377 | ||||||
Laurel Road Prime Student Loan Trust |
||||||||
Series 2017-B, Class BFX, 3.020% 8/25/42 (a) |
538,731 | 535,093 | ||||||
Series 2018-B, Class BFX, 3.720% 5/26/43 (a) |
436,918 | 430,451 | ||||||
Navient Student Loan Trust |
||||||||
Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 10/25/58 |
1,200,000 | 1,186,645 | ||||||
Series 2018-EA, Class B, 4.440% 12/15/59 (a) |
730,000 | 707,878 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2014-3A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 10/25/50 (a) |
975,000 | 974,994 | ||||||
Series 2014-5A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 5/26/54 (a) |
1,300,000 | 1,299,992 | ||||||
Series 2015-2A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 5/26/54 (a) |
1,130,000 | 1,129,993 | ||||||
Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 6/25/54 (a) |
1,100,000 | 1,099,992 | ||||||
Series 2019-5, Class B, 3.450% 10/25/67 (a) |
2,850,000 | 2,652,384 | ||||||
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200% |
||||||||
0.706% FRN 2/15/45 |
1,249,332 | 1,158,954 | ||||||
SLM Student Loan Trust |
||||||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% 0.468% FRN 10/25/40 |
1,614,594 | 1,506,794 | ||||||
Series 2005-8, Class B, 3 mo. USD LIBOR + .310% 0.568% FRN 1/25/55 |
1,100,032 | 1,043,396 | ||||||
SoFi Alternative Trust, Series 2019-C, Class PT, |
||||||||
3.997% VRN 1/25/45 (a) (e) |
2,882,429 | 2,969,827 | ||||||
| 25,782,978 | ||||||||
The accompanying notes are an integral part of the financial statements.
48
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 2.9% |
||||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, |
||||||||
2.507% VRN 8/25/34 (e) |
$ | 46,457 | $ | 45,387 | ||||
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class M1, |
||||||||
3.170% VRN 7/25/49 (a) (e) |
1,188,500 | 1,177,792 | ||||||
CSMC, Series 2021-NQM3, Class M1, |
||||||||
2.317% VRN 4/25/66 (a) (e) |
1,670,000 | 1,523,038 | ||||||
Flagstar Mortgage Trust, Series 2021-6INV, Class A18, |
||||||||
2.500% VRN 8/25/51 (a) (e) |
5,061,227 | 4,632,802 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, |
||||||||
3.460% VRN 1/25/47 (a) (e) |
583,306 | 576,134 | ||||||
New Residential Mortgage Loan Trust, Series 2021-INV1, Class A4, |
||||||||
2.500% VRN 6/25/51 (a) (e) |
3,045,967 | 2,797,650 | ||||||
NewRez Warehouse Securitization Trust, Series 2021-1, Class D, 1 mo. USD LIBOR + 1.400% |
||||||||
1.857% FRN 5/25/55 (a) |
3,340,000 | 3,339,526 | ||||||
NMLT Trust, Series 2021-INV1, Class M1, |
||||||||
2.711% VRN 5/25/56 (a) (e) |
3,723,000 | 3,305,070 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% |
||||||||
3.307% FRN 2/25/23 (a) |
1,180,000 | 1,174,911 | ||||||
Sequoia Mortgage Trust, Series 2018-CH2, Class A3, |
||||||||
4.000% VRN 6/25/48 (a) (e) |
265,114 | 266,427 | ||||||
STAR Trust, Series 2021-1, Class M1, |
||||||||
2.363% VRN 5/25/65 (a) (e) |
5,273,000 | 4,932,064 | ||||||
Starwood Mortgage Residential Trust, Series 2021-3, Class M1, |
||||||||
2.491% VRN 6/25/56 (a) (e) |
1,840,000 | 1,683,027 | ||||||
Verus Securitization Trust, Series 2021-R3, Class M1, |
||||||||
2.411% VRN 4/25/64 (a) (e) |
1,491,000 | 1,408,922 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-1, Class A1, |
||||||||
3.980% VRN 11/25/48 (a) (e) |
80,600 | 80,700 | ||||||
| 26,943,450 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $263,854,634) |
253,226,728 | |||||||
Principal |
Value |
|||||||
SOVEREIGN DEBT OBLIGATIONS — 1.1% |
||||||||
Colombia Government International Bond |
||||||||
6.125% 1/18/41 |
$ | 2,980,000 | $ | 2,895,636 | ||||
Mexico Government International Bond |
||||||||
3.500% 2/12/34 |
2,030,000 | 1,886,479 | ||||||
4.500% 4/22/29 |
1,175,000 | 1,238,556 | ||||||
4.750% 3/08/44 |
3,028,000 | 2,982,035 | ||||||
6.750% 9/27/34 |
950,000 | 1,166,600 | ||||||
| 10,169,306 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $10,627,202) |
10,169,306 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES(f) — 22.5% |
||||||||
Collateralized Mortgage Obligations — 0.0% |
||||||||
Federal Home Loan Mortgage Corp. Series 2178, Class PB 7.000% 8/15/29 |
82,809 | 88,683 | ||||||
Pass-Through Securities — 22.5% |
||||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool #RA4245 2.000% 12/01/50 |
4,874,012 | 4,543,912 | ||||||
Pool #RA4255 2.000% 1/01/51 |
10,118,694 | 9,446,038 | ||||||
Pool #SD0905 3.000% 3/01/52 (d) |
3,928,730 | 3,864,170 | ||||||
Pool #RA2483 3.500% 6/01/50 |
6,519,601 | 6,549,698 | ||||||
Pool #Z40047 4.000% 10/01/41 |
84,907 | 87,971 | ||||||
Federal National Mortgage Association |
||||||||
Pool #775539 12 mo. USD LIBOR + 1.641% 1.891% FRN 5/01/34 |
44,146 | 45,569 | ||||||
Pool #FM8596 2.500% 9/01/51 |
2,527,146 | 2,420,619 | ||||||
Pool #MA3029 3.000% 6/01/32 |
2,171,614 | 2,196,819 | ||||||
Pool #MA3090 3.000% 8/01/32 |
729,058 | 737,520 | ||||||
Pool #AS1304 3.500% 12/01/28 |
611,811 | 625,334 | ||||||
Pool #MA1356 3.500% 2/01/43 |
4,251,324 | 4,351,991 | ||||||
Pool #CA6096 3.500% 6/01/50 |
7,905,907 | 7,944,873 | ||||||
Pool #FM4017 3.500% 8/01/50 |
429,486 | 431,335 | ||||||
Pool #CA1909 4.500% 6/01/48 |
2,713,042 | 2,829,785 | ||||||
Pool #AD6437 5.000% 6/01/40 |
249,692 | 268,779 | ||||||
Pool #AD6996 5.000% 7/01/40 |
1,589,126 | 1,706,499 | ||||||
Pool #AL8173 5.000% 2/01/44 |
522,707 | 567,728 | ||||||
Government National Mortgage Association |
||||||||
Pool #781038 6.500% 5/15/29 |
24,521 | 26,345 | ||||||
Pool #781468 6.500% 7/15/32 |
1,754 | 1,923 | ||||||
Pool #781496 6.500% 9/15/32 |
8,366 | 9,110 | ||||||
Pool #345964 7.000% 11/15/23 |
237 | 244 | ||||||
The accompanying notes are an integral part of the financial statements.
49
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Pool #380866 7.000% 3/15/24 |
$ | 218 | $ | 225 | ||||
Pool #781124 7.000% 12/15/29 |
3,280 | 3,551 | ||||||
Pool #781319 7.000% 7/15/31 |
62,153 | 67,994 | ||||||
Pool #581417 7.000% 7/15/32 |
9,398 | 10,150 | ||||||
Pool #565982 7.000% 7/15/32 |
11,710 | 12,940 | ||||||
Pool #357262 7.500% 9/15/23 |
219 | 224 | ||||||
Pool #441009 8.000% 11/15/26 |
484 | 521 | ||||||
Pool #522777 8.000% 12/15/29 |
3,603 | 3,927 | ||||||
Pool #523043 8.000% 3/15/30 |
120 | 133 | ||||||
Pool #529134 8.000% 3/15/30 |
1,276 | 1,416 | ||||||
Pool #477036 8.000% 4/15/30 |
513 | 569 | ||||||
Pool #503157 8.000% 4/15/30 |
10,900 | 12,089 | ||||||
Pool #528714 8.000% 4/15/30 |
1,006 | 1,118 | ||||||
Pool #544640 8.000% 11/15/30 |
8,697 | 9,694 | ||||||
Pool #531298 8.500% 8/15/30 |
666 | 734 | ||||||
Government National Mortgage Association II |
||||||||
Pool #MA6038 3.000% 7/20/49 |
3,408,816 | 3,396,889 | ||||||
Pool #MA6283 3.000% 11/20/49 |
5,998,285 | 5,964,646 | ||||||
Pool #MA6409 3.000% 1/20/50 |
6,197,203 | 6,156,638 | ||||||
Pool #MA4321 3.500% 3/20/47 |
3,730,986 | 3,806,069 | ||||||
Government National Mortgage Association II TBA |
||||||||
3.000% 11/01/51 (d) |
8,450,000 | 8,356,918 | ||||||
3.500% 1/01/52 (d) |
18,830,000 | 18,950,629 | ||||||
Uniform Mortgage Backed Securities TBA |
||||||||
2.500% 1/01/52 (d) |
19,125,000 | 18,224,033 | ||||||
3.000% 2/01/52 (d) |
44,225,000 | 43,295,585 | ||||||
3.500% 3/01/52 (d) |
25,550,000 | 25,516,067 | ||||||
4.000% 2/01/49 (d) |
4,900,000 | 5,002,211 | ||||||
4.000% 2/01/49 (d) |
26,750,000 | 27,207,676 | ||||||
| 214,658,908 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $219,825,347) |
214,747,591 | |||||||
U.S. TREASURY OBLIGATIONS — 12.9% |
||||||||
U.S. Treasury Bonds & Notes — 12.9% |
||||||||
U.S. Treasury Bond |
||||||||
2.250% 8/15/49 (g) |
31,400,000 | 29,887,430 | ||||||
3.500% 2/15/39 |
21,100,000 | 24,161,108 | ||||||
U.S. Treasury Note |
||||||||
0.125% 2/15/24 |
17,600,000 | 16,911,780 | ||||||
0.500% 2/28/26 |
42,500,000 | 39,340,856 | ||||||
1.875% 2/28/27 (c) |
6,200,000 | 6,043,082 | ||||||
Principal |
Value |
|||||||
1.875% 2/15/32 |
$ | 7,500,000 | $ | 7,201,170 | ||||
| 123,545,426 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $129,828,094) |
123,545,426 | |||||||
TOTAL BONDS & NOTES (Cost $987,720,154) |
948,132,215 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.4% (Cost $3,506,056) |
3,677,145 | |||||||
Number of |
||||||||
MUTUAL FUNDS — 0.5% |
||||||||
Diversified Financial Services — 0.5% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (h) |
4,718,730 | 4,718,730 | ||||||
TOTAL MUTUAL FUNDS (Cost $4,718,730) |
4,718,730 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $995,944,940) |
956,528,090 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 18.6% |
||||||||
Commercial Paper — 18.3% |
||||||||
American Electric Power Co., Inc. |
||||||||
1.259% 5/04/22 (a) |
$ | 10,000,000 | 9,990,924 | |||||
AT&T, Inc. |
||||||||
0.508% 6/21/22 (a) |
15,000,000 | 14,956,916 | ||||||
Bell Canada |
||||||||
0.964% 4/29/22 (a) |
6,000,000 | 5,997,477 | ||||||
Cigna Corp. |
||||||||
0.761% 4/19/22 (a) |
2,072,000 | 2,071,191 | ||||||
Dominion Energy, Inc. |
||||||||
1.066% 5/03/22 (a) |
5,000,000 | 4,995,618 | ||||||
Enbridge (us), Inc. |
||||||||
1.116% 4/27/22 |
8,500,000 | 8,493,389 | ||||||
1.117% 4/26/22 |
5,000,000 | 4,996,309 | ||||||
1.423% 5/17/22 |
5,000,000 | 4,992,526 | ||||||
Fortive Corp. |
||||||||
1.015% 4/19/22 (a) |
3,400,000 | 3,398,629 | ||||||
HP, Inc. |
||||||||
1.228% 4/25/22 (a) |
15,000,000 | 14,991,250 | ||||||
The accompanying notes are an integral part of the financial statements.
50
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Intercontinental Exchange, Inc. |
||||||||
1.015% 4/19/22 (a) |
$ | 2,000,000 | $ | 1,999,020 | ||||
1.015% 4/29/22 (a) |
5,000,000 | 4,995,785 | ||||||
Magellan Midstream Partners LP |
||||||||
0.964% 5/02/22 |
5,000,000 | 4,995,773 | ||||||
McCormick & Co., Inc. |
||||||||
0.507% 4/04/22 |
7,000,000 | 6,999,573 | ||||||
OGE Energy Corp. |
||||||||
1.014% 4/01/22 (a) |
5,000,000 | 4,999,927 | ||||||
1.086% 4/13/22 (a) |
8,000,000 | 7,998,070 | ||||||
Sempra Energy |
||||||||
1.017% 6/01/22 (a) |
5,000,000 | 4,990,140 | ||||||
Spire, Inc. |
||||||||
0.964% 4/28/22 (a) |
4,000,000 | 3,997,175 | ||||||
Tampa Electric Co. |
||||||||
1.066% 4/13/22 (a) |
5,000,000 | 4,999,428 | ||||||
1.167% 4/21/22 (a) |
5,000,000 | 4,998,979 | ||||||
1.167% 4/27/22 (a) |
6,000,000 | 5,998,277 | ||||||
Thermo Fisher Scientific, Inc. |
||||||||
0.508% 6/03/22 (a) |
9,000,000 | 8,981,936 | ||||||
TransCanada PipeLines Ltd. |
||||||||
0.549% 6/13/22 (a) |
7,000,000 | 6,982,690 | ||||||
0.600% 7/14/22 (a) |
8,000,000 | 7,967,800 | ||||||
Waste Management, Inc. |
||||||||
0.326% 7/25/22 (a) |
5,000,000 | 4,982,360 | ||||||
0.417% 11/09/22 (a) |
7,000,000 | 6,922,254 | ||||||
Westrock Co. |
||||||||
0.913% 4/28/22 (a) |
7,500,000 | 7,494,750 | ||||||
| 175,188,166 | ||||||||
Repurchase Agreement — 0.3% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (i) |
3,096,549 | 3,096,549 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $178,406,691) |
178,284,715 | |||||||
TOTAL INVESTMENTS — 118.7% (Cost $1,174,351,631) (j) |
1,134,812,805 | |||||||
Other Assets/(Liabilities) — (18.7)% |
(178,484,003 | ) | ||||||
NET ASSETS — 100.0% |
$ | 956,328,802 | ||||||
Abbreviation Legend
|
CLO |
Collateralized Loan Obligation |
|
FRN |
Floating Rate Note |
|
STEP |
Step Up Bond |
|
TBA |
To Be Announced |
|
VRN |
Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $487,878,795 or 51.02% of net assets. |
|
(b) |
Security is perpetual and has no stated maturity date. |
|
(c) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $7,662,968 or 0.80% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $3,114,901 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(d) |
A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
|
(e) |
Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at March 31, 2022. |
|
(f) |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
|
(g) |
All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2). |
|
(h) |
Represents investment of security lending cash collateral. (Note 2). |
|
(i) |
Maturity value of $3,096,549. Collateralized by U.S. Government Agency obligations with a rate of 0.500%, maturity date of 4/15/24, and an aggregate market value, including accrued interest, of $3,158,595. |
|
(j) |
See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States |
84.1 | % | ||
Cayman Islands |
7.5 | % | ||
United Kingdom |
1.9 | % | ||
Canada |
1.0 | % | ||
Mexico |
1.0 | % | ||
Netherlands |
0.7 | % | ||
Germany |
0.7 | % | ||
Luxembourg |
0.6 | % | ||
Israel |
0.6 | % | ||
Ireland |
0.5 | % | ||
Bermuda |
0.4 | % | ||
Colombia |
0.3 | % | ||
Australia |
0.3 | % | ||
Republic of Korea |
0.3 | % | ||
France |
0.2 | % | ||
Total Long-Term Investments |
100.1 | % | ||
Short-Term Investments and Other Assets and Liabilities |
(0.1 | )% | ||
Net Assets |
100.0 | % |
The accompanying notes are an integral part of the financial statements.
51
MassMutual Core Bond Fund — Portfolio of Investments (Continued) |
(#) Interest Rate Swaptions Purchased
Paid by Fund |
Received by Fund |
||||||||||||||||||||||||||||||||||||||||
Description |
Counterparty |
Expiration |
Rate |
Frequency |
Rate |
Frequency |
Notional |
Value |
Premium |
Unrealized |
|||||||||||||||||||||||||||||||
Call |
|||||||||||||||||||||||||||||||||||||||||
10 -Year Interest Rate Swap,12/15/42 |
Barclays Bank PLC* |
12/13/32 | 3-Month USD LIBOR BBA |
Quarterly | 2.44%## | Semi-Annually | USD | 5,551,000 | $ | 386,794 | $ | 277,507 | $ | 109,287 | |||||||||||||||||||||||||||
Put |
|||||||||||||||||||||||||||||||||||||||||
10 -Year Interest Rate Swap,12/15/42 |
Barclays Bank PLC* |
12/13/32 | 2.94%## | Semi-Annually | 3-Month USD LIBOR BBA |
Quarterly | USD | 64,580,000 | $ | 3,290,351 | $ | 3,228,549 | $ | 61,802 | |||||||||||||||||||||||||||
| $ | 3,677,145 | $ | 3,506,056 | $ | 171,089 | ||||||||||||||||||||||||||||||||||||
Futures contracts
|
Expiration |
Number of |
Notional |
Value/ Net |
||||||||||||
Long |
||||||||||||||||
U.S. Treasury Long Bond |
6/21/22 | 87 | $ | 13,327,054 | $ | (271,616 | ) | |||||||||
U.S. Treasury Ultra Bond |
6/21/22 | 160 | 29,481,331 | (1,141,331 | ) | |||||||||||
U.S. Treasury Note 2 Year |
6/30/22 | 381 | 81,781,638 | (1,039,403 | ) | |||||||||||
U.S. Treasury Note 5 Year |
6/30/22 | 323 | 37,867,631 | (823,568 | ) | |||||||||||
|
$ | (3,275,918 | ) | |||||||||||||
Short |
||||||||||||||||
U.S. Treasury Ultra 10 Year |
6/21/22 | 166 | $ | (23,198,044 | ) | $ | 710,231 | |||||||||
|
* |
Contracts are subject to a master netting agreement or similar agreement. |
|
## |
Exercise Rate. |
Currency Legend
|
USD |
U.S. Dollar |
The accompanying notes are an integral part of the financial statements.
52
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 0.6% |
||||||||
PREFERRED STOCK — 0.6% |
||||||||
Financial — 0.6% |
||||||||
Insurance — 0.6% |
||||||||
Equitable Holdings, Inc. |
||||||||
4.300% (a) |
45,600 | $ | 906,527 | |||||
Selective Insurance Group, Inc. |
||||||||
4.600% (a) (b) |
18,825 | 394,384 | ||||||
| 1,300,911 | ||||||||
TOTAL PREFERRED STOCK (Cost $1,610,625) |
1,300,911 | |||||||
TOTAL EQUITIES (Cost $1,610,625) |
1,300,911 | |||||||
Principal |
||||||||
BONDS & NOTES — 94.3% |
||||||||
CORPORATE DEBT — 45.7% |
||||||||
Aerospace & Defense — 0.7% |
||||||||
BAE Systems PLC |
||||||||
3.000% 9/15/50 (c) |
$ | 230,000 | 195,323 | |||||
The Boeing Co. |
||||||||
5.930% 5/01/60 |
140,000 | 161,557 | ||||||
TransDigm, Inc. |
||||||||
5.500% 11/15/27 |
250,000 | 248,125 | ||||||
6.250% 3/15/26 (c) |
500,000 | 514,062 | ||||||
6.375% 6/15/26 |
225,000 | 227,031 | ||||||
| 1,346,098 | ||||||||
Agriculture — 1.0% |
||||||||
Altria Group, Inc. |
||||||||
5.800% 2/14/39 |
300,000 | 323,592 | ||||||
BAT Capital Corp. |
||||||||
4.700% 4/02/27 |
510,000 | 523,815 | ||||||
4.758% 9/06/49 |
165,000 | 151,707 | ||||||
Imperial Brands Finance PLC |
||||||||
3.875% 7/26/29 (c) |
545,000 | 533,477 | ||||||
Reynolds American, Inc. |
||||||||
5.850% 8/15/45 |
150,000 | 153,533 | ||||||
Viterra Finance BV |
||||||||
3.200% 4/21/31 (c) |
280,000 | 257,702 | ||||||
| 1,943,826 | ||||||||
Airlines — 0.2% |
||||||||
Alaska Airlines Pass Through Trust, 2020-1 Class A, |
||||||||
4.800% 2/15/29 (c) |
397,970 | 407,383 | ||||||
Principal |
Value |
|||||||
United Airlines Pass-Through Trust, Series 2018-1, Class B, |
||||||||
4.600% 9/01/27 |
$ | 68,044 | $ | 62,177 | ||||
| 469,560 | ||||||||
Auto Manufacturers — 0.7% |
||||||||
Ford Motor Credit Co. LLC |
||||||||
3.087% 1/09/23 |
310,000 | 310,093 | ||||||
4.140% 2/15/23 |
285,000 | 287,408 | ||||||
General Motors Co. |
||||||||
5.150% 4/01/38 |
230,000 | 233,833 | ||||||
5.200% 4/01/45 |
225,000 | 227,641 | ||||||
6.800% 10/01/27 |
335,000 | 378,687 | ||||||
| 1,437,662 | ||||||||
Auto Parts & Equipment — 0.1% |
||||||||
Lear Corp. |
||||||||
3.550% 1/15/52 |
305,000 | 250,777 | ||||||
Banks — 5.8% |
||||||||
Banco General SA |
||||||||
4.125% 8/07/27 (c) |
260,000 | 265,291 | ||||||
Bank Hapoalim BM 5 year CMT + 2.155% |
||||||||
3.255% VRN 1/21/32 (c) |
600,000 | 552,000 | ||||||
Bank of America Corp. |
||||||||
5 year CMT + 1.200% 2.482% VRN 9/21/36 |
580,000 | 498,742 | ||||||
SOFR + 2.150% 2.592% VRN 4/29/31 |
100,000 | 92,269 | ||||||
5 year CMT + 2.000% 3.846% VRN 3/08/37 |
460,000 | 440,581 | ||||||
3 mo. USD LIBOR + 1.310% 4.271% VRN 7/23/29 |
200,000 | 206,713 | ||||||
6.110% 1/29/37 |
190,000 | 227,015 | ||||||
7.750% 5/14/38 |
125,000 | 174,567 | ||||||
The Bank of Nova Scotia 3 mo. USD LIBOR + 2.648% |
||||||||
4.650% VRN (a) |
575,000 | 555,019 | ||||||
Barclays PLC |
||||||||
5.200% 5/12/26 |
610,000 | 634,254 | ||||||
BPCE SA SOFR + 1.730% |
||||||||
3.116% VRN 10/19/32 (c) |
450,000 | 407,345 | ||||||
Citigroup, Inc. |
||||||||
6.000% 10/31/33 |
85,000 | 98,652 | ||||||
First Republic Bank |
||||||||
4.375% 8/01/46 |
210,000 | 216,707 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
5.150% 5/22/45 |
290,000 | 324,088 | ||||||
5.950% 1/15/27 |
170,000 | 186,863 | ||||||
6.750% 10/01/37 |
165,000 | 207,962 | ||||||
The accompanying notes are an integral part of the financial statements.
53
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
HSBC Holdings PLC |
||||||||
SOFR + 1.285% 2.206% VRN 8/17/29 |
$ | 267,000 | $ | 240,616 | ||||
SOFR + 1.430% 2.999% VRN 3/10/26 |
335,000 | 328,811 | ||||||
4.375% 11/23/26 |
298,000 | 303,896 | ||||||
6.500% 9/15/37 |
125,000 | 152,236 | ||||||
7.350% 11/27/32 |
415,000 | 515,513 | ||||||
Huntington Bancshares, Inc. 3 mo. USD LIBOR + 2.880% |
||||||||
5.700% VRN (a) |
510,000 | 489,753 | ||||||
Intesa Sanpaolo SpA 1 year CMT + 2.600% |
||||||||
4.198% VRN 6/01/32 (c) |
560,000 | 496,006 | ||||||
JP Morgan Chase & Co. |
||||||||
SOFR + 2.515% 2.956% VRN 5/13/31 |
235,000 | 219,917 | ||||||
4.950% 6/01/45 (b) |
170,000 | 192,508 | ||||||
Mizrahi Tefahot Bank Ltd. 5 year CMT + 2.250% |
||||||||
3.077% VRN 4/07/31 (c) |
1,225,000 | 1,136,187 | ||||||
Morgan Stanley |
||||||||
SOFR + 1.360% 2.484% VRN 9/16/36 |
280,000 | 239,888 | ||||||
SOFR + 1.485% 3.217% VRN 4/22/42 |
310,000 | 285,460 | ||||||
NBK Tier 1 Financing 2 Ltd. 6 year CMT + 2.832% |
||||||||
4.500% VRN (a) (c) |
685,000 | 666,232 | ||||||
Owl Rock Core, Inc. |
||||||||
5.500% 3/21/25 (c) |
535,000 | 534,204 | ||||||
SVB Financial Group |
||||||||
10 year CMT + 3.064% 4.100% VRN (a) |
210,000 | 178,500 | ||||||
5 year CMT + 3.074% 4.250% VRN (a) |
590,000 | 545,750 | ||||||
Wells Fargo & Co. |
||||||||
5.606% 1/15/44 |
105,000 | 125,573 | ||||||
| 11,739,118 | ||||||||
Beverages — 0.7% |
||||||||
Anheuser-Busch InBev Worldwide, Inc. |
||||||||
4.600% 4/15/48 |
255,000 | 274,072 | ||||||
8.200% 1/15/39 |
250,000 | 369,637 | ||||||
Bacardi Ltd. |
||||||||
5.150% 5/15/38 (b) (c) |
200,000 | 217,573 | ||||||
Molson Coors Beverage Co. |
||||||||
4.200% 7/15/46 |
366,000 | 354,921 | ||||||
5.000% 5/01/42 |
135,000 | 142,932 | ||||||
| 1,359,135 | ||||||||
Principal |
Value |
|||||||
Biotechnology — 0.3% |
||||||||
Amgen, Inc. |
||||||||
3.000% 1/15/52 |
$ | 190,000 | $ | 161,045 | ||||
Bio-Rad Laboratories, Inc. |
||||||||
3.700% 3/15/32 |
410,000 | 405,221 | ||||||
| 566,266 | ||||||||
Building Materials — 0.2% |
||||||||
Standard Industries, Inc. |
||||||||
4.375% 7/15/30 (c) |
200,000 | 184,000 | ||||||
4.750% 1/15/28 (c) |
151,000 | 144,771 | ||||||
| 328,771 | ||||||||
Chemicals — 0.7% |
||||||||
Alpek SAB de CV |
||||||||
3.250% 2/25/31 (c) |
560,000 | 510,300 | ||||||
DuPont de Nemours, Inc. |
||||||||
5.319% 11/15/38 |
270,000 | 310,359 | ||||||
Syngenta Finance NV |
||||||||
4.892% 4/24/25 (c) |
500,000 | 509,498 | ||||||
| 1,330,157 | ||||||||
Commercial Services — 0.0% |
||||||||
ERAC USA Finance LLC |
||||||||
7.000% 10/15/37 (c) |
50,000 | 65,281 | ||||||
Computers — 0.4% |
||||||||
Dell International LLC / EMC Corp. |
||||||||
8.100% 7/15/36 |
100,000 | 131,520 | ||||||
8.350% 7/15/46 |
275,000 | 401,720 | ||||||
Leidos, Inc. |
||||||||
2.300% 2/15/31 |
90,000 | 78,264 | ||||||
5.500% 7/01/33 |
226,000 | 244,374 | ||||||
| 855,878 | ||||||||
Distribution & Wholesale — 0.3% |
||||||||
H&E Equipment Services, Inc. |
||||||||
3.875% 12/15/28 (c) |
600,000 | 561,756 | ||||||
Diversified Financial Services — 5.2% |
||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust |
||||||||
3.400% 10/29/33 |
935,000 | 838,176 | ||||||
Alliance Data Systems Corp. |
||||||||
7.000% 1/15/26 (b) (c) |
200,000 | 203,250 | ||||||
Ally Financial, Inc. |
||||||||
5 year CMT + 3.868% 4.700% VRN (a) |
600,000 | 561,753 | ||||||
7 year CMT + 3.481% 4.700% VRN (a) |
570,000 | 518,700 | ||||||
8.000% 11/01/31 |
376,000 | 472,291 | ||||||
Antares Holdings LP |
||||||||
2.750% 1/15/27 (c) |
645,000 | 567,694 | ||||||
3.750% 7/15/27 (c) |
605,000 | 558,995 | ||||||
The accompanying notes are an integral part of the financial statements.
54
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
6.000% 8/15/23 (c) |
$ | 285,000 | $ | 291,074 | ||||
8.500% 5/18/25 (c) |
330,000 | 363,293 | ||||||
Ares Finance Co. III LLC 5 year CMT + 3.237% |
||||||||
4.125% VRN 6/30/51 (c) |
360,000 | 341,965 | ||||||
Ares Finance Co. LLC |
||||||||
4.000% 10/08/24 (c) |
375,000 | 377,270 | ||||||
Avolon Holdings Funding Ltd. |
||||||||
2.528% 11/18/27 (c) |
375,000 | 331,813 | ||||||
3.250% 2/15/27 (c) |
175,000 | 164,838 | ||||||
4.250% 4/15/26 (c) |
485,000 | 478,858 | ||||||
4.375% 5/01/26 (c) |
480,000 | 474,101 | ||||||
5.500% 1/15/26 (c) |
135,000 | 139,490 | ||||||
BGC Partners, Inc. |
||||||||
4.375% 12/15/25 |
585,000 | 589,661 | ||||||
Blue Owl Finance LLC |
||||||||
3.125% 6/10/31 (c) |
910,000 | 772,355 | ||||||
4.125% 10/07/51 (c) |
375,000 | 297,103 | ||||||
Brookfield Finance, Inc. |
||||||||
4.350% 4/15/30 |
405,000 | 421,287 | ||||||
Coinbase Global, Inc. |
||||||||
3.625% 10/01/31 (c) |
734,000 | 625,735 | ||||||
Global Aircraft Leasing Co. Ltd. |
||||||||
6.500% 9/15/24 (c) |
638,918 | 581,077 | ||||||
Lazard Group LLC |
||||||||
3.625% 3/01/27 |
196,000 | 195,355 | ||||||
OneMain Finance Corp. |
||||||||
4.000% 9/15/30 (b) |
220,000 | 194,150 | ||||||
Synchrony Financial |
||||||||
2.875% 10/28/31 |
215,000 | 190,566 | ||||||
| 10,550,850 | ||||||||
Electric — 1.0% |
||||||||
Berkshire Hathaway Energy Co. |
||||||||
5.950% 5/15/37 |
120,000 | 146,184 | ||||||
The Cleveland Electric Illuminating Co. |
||||||||
5.950% 12/15/36 |
175,000 | 201,946 | ||||||
CMS Energy Corp. |
||||||||
4.700% 3/31/43 |
115,000 | 118,296 | ||||||
4.875% 3/01/44 |
180,000 | 199,006 | ||||||
Elwood Energy LLC |
||||||||
8.159% 7/05/26 |
93,602 | 94,538 | ||||||
Enel Finance International NV |
||||||||
6.000% 10/07/39 (c) |
175,000 | 207,191 | ||||||
NextEra Energy Capital Holdings, Inc. 5 year CMT + 2.547% |
||||||||
3.800% VRN 3/15/82 (b) |
580,000 | 533,732 | ||||||
Pacific Gas and Electric Co. |
||||||||
3.750% 7/01/28 |
320,000 | 306,567 | ||||||
Principal |
Value |
|||||||
4.300% 3/15/45 |
$ | 195,000 | $ | 166,326 | ||||
Virginia Electric & Power Co. |
||||||||
6.000% 1/15/36 |
100,000 | 120,962 | ||||||
| 2,094,748 | ||||||||
Entertainment — 0.0% |
||||||||
Live Nation Entertainment, Inc. |
||||||||
5.625% 3/15/26 (c) |
77,000 | 78,444 | ||||||
Food — 0.6% |
||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
||||||||
5.500% 1/15/30 (c) |
700,000 | 715,596 | ||||||
Smithfield Foods, Inc. |
||||||||
2.625% 9/13/31 (c) |
285,000 | 249,963 | ||||||
3.000% 10/15/30 (c) |
206,000 | 186,983 | ||||||
| 1,152,542 | ||||||||
Gas — 0.2% |
||||||||
NiSource, Inc. |
||||||||
4.800% 2/15/44 |
295,000 | 305,325 | ||||||
Health Care – Services — 0.2% |
||||||||
DaVita, Inc. |
||||||||
4.625% 6/01/30 (c) |
368,000 | 344,669 | ||||||
Home Builders — 0.4% |
||||||||
Mattamy Group Corp. |
||||||||
4.625% 3/01/30 (c) |
35,000 | 32,876 | ||||||
5.250% 12/15/27 (c) |
227,000 | 225,014 | ||||||
Taylor Morrison Communities, Inc. |
||||||||
5.750% 1/15/28 (c) |
500,000 | 515,000 | ||||||
| 772,890 | ||||||||
Insurance — 6.6% |
||||||||
Allianz SE 5 year CMT + 2.973% |
||||||||
3.500% VRN (a) (c) |
1,000,000 | 947,500 | ||||||
Allstate Corp. 3 mo. USD LIBOR + 2.938% |
||||||||
5.750% VRN 8/15/53 |
640,000 | 635,200 | ||||||
American International Group, Inc. 3 mo. USD LIBOR + 2.868% |
||||||||
5.750% VRN 4/01/48 |
485,000 | 487,765 | ||||||
Ascot Group Ltd. |
||||||||
4.250% 12/15/30 (c) |
450,000 | 441,246 | ||||||
AXIS Specialty Finance LLC 5 year CMT + 3.186% |
||||||||
4.900% VRN 1/15/40 |
490,000 | 477,750 | ||||||
Brighthouse Financial, Inc. |
||||||||
3.850% 12/22/51 |
575,000 | 479,303 | ||||||
4.700% 6/22/47 |
500,000 | 485,455 | ||||||
CNO Financial Group, Inc. |
||||||||
5.250% 5/30/29 |
791,000 | 832,216 | ||||||
The accompanying notes are an integral part of the financial statements.
55
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Enstar Finance LLC 5 year CMT + 5.468% |
||||||||
5.750% VRN 9/01/40 |
$ | 1,060,000 | $ | 1,048,075 | ||||
Enstar Group Ltd. |
||||||||
4.950% 6/01/29 |
350,000 | 363,360 | ||||||
Equitable Holdings, Inc. 5 year CMT + 4.736% |
||||||||
4.950% VRN (a) (b) |
505,000 | 496,162 | ||||||
Global Atlantic Fin Co. |
||||||||
3.125% 6/15/31 (c) |
380,000 | 339,518 | ||||||
5 year CMT + 3.796% 4.700% VRN 10/15/51 (c) |
1,170,000 | 1,102,725 | ||||||
Hanwha Life Insurance Co. Ltd. 5 year CMT + 1.850% |
||||||||
3.379% VRN 2/04/32 (c) |
520,000 | 498,608 | ||||||
Hill City Funding Trust |
||||||||
4.046% 8/15/41 (c) |
490,000 | 411,549 | ||||||
Jackson Financial, Inc. |
||||||||
3.125% 11/23/31 (c) |
550,000 | 500,811 | ||||||
Liberty Mutual Group, Inc. 5 year CMT + 3.315% |
||||||||
4.125% VRN 12/15/51 (c) |
265,000 | 249,763 | ||||||
Markel Corp. 5 year CMT + 5.662% |
||||||||
6.000% VRN (a) |
735,000 | 760,725 | ||||||
MetLife Capital Trust IV |
||||||||
7.875% 12/15/67 (c) |
325,000 | 387,563 | ||||||
Prudential Financial, Inc. |
||||||||
5 year CMT + 3.162% 5.125% VRN 3/01/52 |
565,000 | 571,158 | ||||||
3 mo. USD LIBOR + 3.920% 5.625% VRN 6/15/43 |
200,000 | 201,250 | ||||||
3 mo. USD LIBOR + 2.665% 5.700% VRN 9/15/48 |
350,000 | 357,063 | ||||||
Sammons Financial Group, Inc. |
||||||||
3.350% 4/16/31 (c) |
570,000 | 525,156 | ||||||
Unum Group |
||||||||
4.125% 6/15/51 (b) |
460,000 | 401,401 | ||||||
USF&G Capital I |
||||||||
8.500% 12/15/45 (c) |
95,000 | 132,448 | ||||||
XLIT Ltd. |
||||||||
5.500% 3/31/45 |
200,000 | 236,502 | ||||||
| 13,370,272 | ||||||||
Internet — 0.4% |
||||||||
Amazon.com, Inc. |
||||||||
4.050% 8/22/47 |
260,000 | 282,678 | ||||||
Expedia Group, Inc. |
||||||||
2.950% 3/15/31 |
660,000 | 610,550 | ||||||
| 893,228 | ||||||||
Principal |
Value |
|||||||
Investment Companies — 2.3% |
||||||||
Ares Capital Corp. |
||||||||
2.150% 7/15/26 |
$ | 560,000 | $ | 506,756 | ||||
Blackstone Private Credit Fund |
||||||||
1.750% 9/15/24 (c) |
625,000 | 587,702 | ||||||
2.625% 12/15/26 (c) |
330,000 | 297,408 | ||||||
4.000% 1/15/29 (c) |
630,000 | 583,692 | ||||||
Golub Capital BDC, Inc. |
||||||||
2.500% 8/24/26 |
195,000 | 179,381 | ||||||
3.375% 4/15/24 |
562,000 | 553,657 | ||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. |
||||||||
4.750% 9/15/24 |
500,000 | 501,250 | ||||||
6.250% 5/15/26 |
1,000,000 | 1,020,000 | ||||||
OWL Rock Core, Income Corp. |
||||||||
4.700% 2/08/27 (c) |
410,000 | 394,880 | ||||||
| 4,624,726 | ||||||||
Iron & Steel — 0.1% |
||||||||
Vale Overseas Ltd. |
||||||||
6.875% 11/21/36 |
225,000 | 271,409 | ||||||
Leisure Time — 0.2% |
||||||||
Royal Caribbean Cruises Ltd. |
||||||||
5.500% 8/31/26 (c) |
485,000 | 467,404 | ||||||
Lodging — 0.7% |
||||||||
Las Vegas Sands Corp. |
||||||||
3.900% 8/08/29 |
525,000 | 481,481 | ||||||
Travel + Leisure Co. |
||||||||
4.500% 12/01/29 (c) |
917,000 | 850,352 | ||||||
| 1,331,833 | ||||||||
Media — 1.8% |
||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||
5.000% 2/01/28 (c) |
250,000 | 247,375 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||
3.900% 6/01/52 |
150,000 | 126,020 | ||||||
Comcast Corp. |
||||||||
4.600% 8/15/45 |
300,000 | 329,635 | ||||||
CSC Holdings LLC |
||||||||
4.625% 12/01/30 (c) |
250,000 | 209,073 | ||||||
5.000% 11/15/31 (c) |
325,000 | 272,304 | ||||||
5.750% 1/15/30 (c) |
200,000 | 179,343 | ||||||
Discovery Communications LLC |
||||||||
4.000% 9/15/55 |
235,000 | 202,641 | ||||||
4.650% 5/15/50 |
55,000 | 53,281 | ||||||
DISH DBS Corp. |
||||||||
7.375% 7/01/28 (b) |
1,123,000 | 1,064,042 | ||||||
The accompanying notes are an integral part of the financial statements.
56
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Paramount Global |
||||||||
4.200% 5/19/32 |
$ | 180,000 | $ | 180,282 | ||||
4.950% 1/15/31 |
220,000 | 233,986 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. |
||||||||
6.500% 9/15/28 (c) |
231,000 | 219,155 | ||||||
Time Warner Cable, Inc. |
||||||||
4.500% 9/15/42 |
250,000 | 231,447 | ||||||
6.750% 6/15/39 |
115,000 | 133,440 | ||||||
| 3,682,024 | ||||||||
Mining — 1.7% |
||||||||
AngloGold Ashanti Holdings PLC |
||||||||
3.375% 11/01/28 |
585,000 | 549,725 | ||||||
First Quantum Minerals Ltd. |
||||||||
6.875% 3/01/26 (c) |
1,000,000 | 1,027,850 | ||||||
Freeport-McMoRan, Inc. |
||||||||
5.400% 11/14/34 |
350,000 | 388,517 | ||||||
Glencore Finance Canada Ltd. |
||||||||
5.550% STEP 10/25/42 (c) |
149,000 | 164,970 | ||||||
Glencore Funding LLC |
||||||||
3.875% 10/27/27 (c) |
260,000 | 258,910 | ||||||
Novelis Corp. |
||||||||
3.875% 8/15/31 (c) |
533,000 | 487,514 | ||||||
Perenti Finance Pty Ltd. |
||||||||
6.500% 10/07/25 (b) (c) |
325,000 | 323,115 | ||||||
Teck Resources Ltd. |
||||||||
5.200% 3/01/42 |
97,000 | 101,766 | ||||||
6.250% 7/15/41 |
143,000 | 170,996 | ||||||
| 3,473,363 | ||||||||
Oil & Gas — 3.1% |
||||||||
Antero Resources Corp. |
||||||||
7.625% 2/01/29 (c) |
125,000 | 135,116 | ||||||
BP Capital Markets PLC |
||||||||
5 year CMT + 4.036% 4.375% VRN (a) |
530,000 | 532,915 | ||||||
5 year CMT + 4.398% 4.875% VRN (a) |
310,000 | 310,775 | ||||||
Cenovus Energy, Inc. |
||||||||
6.750% 11/15/39 |
175,000 | 216,245 | ||||||
Devon Energy Corp. |
||||||||
5.000% 6/15/45 |
289,000 | 314,960 | ||||||
EQT Corp. |
||||||||
6.625% STEP 2/01/25 |
380,000 | 401,394 | ||||||
Marathon Petroleum Corp. |
||||||||
6.500% 3/01/41 |
175,000 | 215,806 | ||||||
Nabors Industries, Inc. |
||||||||
7.375% 5/15/27 (c) |
564,000 | 586,769 | ||||||
Occidental Petroleum Corp. |
||||||||
5.875% 9/01/25 |
300,000 | 318,658 | ||||||
Principal |
Value |
|||||||
6.375% 9/01/28 |
$ | 300,000 | $ | 337,875 | ||||
6.600% 3/15/46 |
235,000 | 276,125 | ||||||
6.950% 7/01/24 |
177,000 | 189,868 | ||||||
Ovintiv, Inc. |
||||||||
6.500% 8/15/34 |
185,000 | 219,617 | ||||||
6.500% 2/01/38 |
160,000 | 189,608 | ||||||
Patterson-UTI Energy, Inc. |
||||||||
3.950% 2/01/28 |
540,000 | 505,464 | ||||||
5.150% 11/15/29 |
615,000 | 599,996 | ||||||
Petroleos Mexicanos |
||||||||
4.625% 9/21/23 |
575,000 | 581,837 | ||||||
5.350% 2/12/28 |
190,000 | 180,886 | ||||||
6.375% 1/23/45 |
35,000 | 27,993 | ||||||
6.500% 3/13/27 |
65,000 | 66,007 | ||||||
6.625% 6/15/38 |
51,000 | 43,529 | ||||||
| 6,251,443 | ||||||||
Oil & Gas Services — 0.9% |
||||||||
Halliburton Co. |
||||||||
5.000% 11/15/45 |
220,000 | 238,784 | ||||||
NOV, Inc. |
||||||||
3.600% 12/01/29 (b) |
742,000 | 729,518 | ||||||
3.950% 12/01/42 |
314,000 | 276,383 | ||||||
Weatherford International Ltd. |
||||||||
8.625% 4/30/30 (c) |
483,000 | 490,414 | ||||||
| 1,735,099 | ||||||||
Packaging & Containers — 0.0% |
||||||||
Mauser Packaging Solutions Holding Co. |
||||||||
5.500% 4/15/24 (c) |
49,000 | 48,805 | ||||||
Pharmaceuticals — 1.6% |
||||||||
AbbVie, Inc. |
||||||||
4.700% 5/14/45 |
350,000 | 379,821 | ||||||
AdaptHealth LLC |
||||||||
4.625% 8/01/29 (c) |
665,000 | 601,825 | ||||||
Bausch Health Americas, Inc. |
||||||||
9.250% 4/01/26 (c) |
400,000 | 410,322 | ||||||
Bausch Health Cos., Inc. |
||||||||
5.250% 1/30/30 (c) |
250,000 | 196,385 | ||||||
6.125% 4/15/25 (c) |
93,000 | 93,814 | ||||||
6.250% 2/15/29 (c) |
245,000 | 200,900 | ||||||
Bristol-Myers Squibb Co. |
||||||||
4.350% 11/15/47 |
205,000 | 224,711 | ||||||
Cigna Corp. |
||||||||
4.800% 7/15/46 |
185,000 | 204,587 | ||||||
CVS Health Corp. |
||||||||
5.050% 3/25/48 |
115,000 | 130,503 | ||||||
6.125% 9/15/39 |
25,000 | 30,883 | ||||||
The accompanying notes are an integral part of the financial statements.
57
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
CVS Pass-Through Trust |
||||||||
5.926% 1/10/34 (c) |
$ | 172,816 | $ | 191,111 | ||||
7.507% 1/10/32 (c) |
12,577 | 14,656 | ||||||
Par Pharmaceutical, Inc. |
||||||||
7.500% 4/01/27 (c) |
273,000 | 254,750 | ||||||
Utah Acquisition Sub, Inc. |
||||||||
5.250% 6/15/46 |
350,000 | 345,840 | ||||||
| 3,280,108 | ||||||||
Pipelines — 1.9% |
||||||||
Energy Transfer LP |
||||||||
6.125% 12/15/45 |
230,000 | 253,743 | ||||||
3 mo. USD LIBOR + 4.028% 6.250% VRN (a) |
615,000 | 526,594 | ||||||
5 year CMT + 5.134% 6.750% VRN (a) |
270,000 | 262,575 | ||||||
EnLink Midstream Partners LP |
||||||||
4.150% 6/01/25 |
339,000 | 337,278 | ||||||
4.850% 7/15/26 |
154,000 | 154,385 | ||||||
3 mo. USD LIBOR + 4.110% 6.000% VRN (a) |
375,000 | 275,036 | ||||||
EQM Midstream Partners LP |
||||||||
4.750% 7/15/23 |
375,000 | 377,813 | ||||||
MPLX LP 3 mo. USD LIBOR + 4.652% |
||||||||
6.875% VRN (a) |
850,000 | 833,000 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. |
||||||||
3.800% 9/15/30 |
265,000 | 259,967 | ||||||
4.500% 12/15/26 |
80,000 | 82,177 | ||||||
4.700% 6/15/44 |
260,000 | 244,197 | ||||||
6.650% 1/15/37 |
175,000 | 198,572 | ||||||
| 3,805,337 | ||||||||
Private Equity — 0.8% |
||||||||
Apollo Management Holdings LP 5 year CMT + 3.266% |
||||||||
4.950% VRN 1/14/50 (c) |
325,000 | 307,979 | ||||||
Hercules Capital, Inc. |
||||||||
2.625% 9/16/26 |
738,000 | 678,697 | ||||||
3.375% 1/20/27 |
340,000 | 319,642 | ||||||
KKR Group Finance Co. VIII LLC |
||||||||
3.500% 8/25/50 (c) |
160,000 | 139,489 | ||||||
KKR Group Finance Co. X LLC |
||||||||
3.250% 12/15/51 (c) |
230,000 | 191,578 | ||||||
| 1,637,385 | ||||||||
Real Estate Investment Trusts (REITS) — 1.9% |
||||||||
Broadstone Net Lease LLC |
||||||||
2.600% 9/15/31 |
405,000 | 360,688 | ||||||
Host Hotels & Resorts LP |
||||||||
2.900% 12/15/31 |
130,000 | 116,333 | ||||||
Principal |
Value |
|||||||
3.500% 9/15/30 |
$ | 476,000 | $ | 453,907 | ||||
Invitation Homes Operating Partnership LP |
||||||||
4.150% 4/15/32 (d) |
110,000 | 112,356 | ||||||
Iron Mountain, Inc. |
||||||||
5.250% 7/15/30 (c) |
250,000 | 245,000 | ||||||
Kimco Realty Corp. |
||||||||
4.450% 9/01/47 |
250,000 | 260,988 | ||||||
Omega Healthcare Investors, Inc. |
||||||||
3.625% 10/01/29 |
640,000 | 604,779 | ||||||
Piedmont Operating Partnership LP |
||||||||
2.750% 4/01/32 |
235,000 | 209,429 | ||||||
Rexford Industrial Realty LP |
||||||||
2.125% 12/01/30 |
115,000 | 100,548 | ||||||
Service Properties Trust |
||||||||
4.950% 10/01/29 |
590,000 | 508,875 | ||||||
Spirit Realty LP |
||||||||
2.700% 2/15/32 |
120,000 | 107,993 | ||||||
3.200% 1/15/27 |
220,000 | 215,504 | ||||||
3.400% 1/15/30 |
325,000 | 314,333 | ||||||
Ventas Realty LP |
||||||||
5.700% 9/30/43 |
85,000 | 100,568 | ||||||
WP Carey, Inc. |
||||||||
2.450% 2/01/32 |
134,000 | 118,402 | ||||||
| 3,829,703 | ||||||||
Retail — 0.2% |
||||||||
Nordstrom, Inc. |
||||||||
4.250% 8/01/31 (b) |
440,000 | 400,400 | ||||||
Semiconductors — 0.1% |
||||||||
Broadcom, Inc. |
||||||||
3.500% 2/15/41 (c) |
240,000 | 213,764 | ||||||
Telecommunications — 2.3% |
||||||||
Altice France SA |
||||||||
5.125% 7/15/29 (c) |
442,000 | 396,142 | ||||||
AT&T, Inc. |
||||||||
3.500% 9/15/53 |
407,000 | 357,451 | ||||||
3.550% 9/15/55 |
814,000 | 717,491 | ||||||
British Telecommunications PLC |
||||||||
9.625% STEP 12/15/30 |
150,000 | 204,678 | ||||||
Frontier Communications Holdings LLC |
||||||||
6.000% 1/15/30 (b) (c) |
1,138,000 | 1,052,650 | ||||||
Hughes Satellite Systems Corp. |
||||||||
6.625% 8/01/26 |
444,000 | 459,353 | ||||||
Sprint Capital Corp. |
||||||||
6.875% 11/15/28 |
500,000 | 580,015 | ||||||
8.750% 3/15/32 |
141,000 | 189,776 | ||||||
The accompanying notes are an integral part of the financial statements.
58
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Verizon Communications, Inc. |
||||||||
2.875% 11/20/50 |
$ | 160,000 | $ | 133,604 | ||||
2.987% 10/30/56 |
233,000 | 191,655 | ||||||
Vodafone Group PLC |
||||||||
5.250% 5/30/48 |
255,000 | 285,436 | ||||||
| 4,568,251 | ||||||||
Transportation — 0.1% |
||||||||
CSX Corp. |
||||||||
4.750% 11/15/48 |
145,000 | 165,978 | ||||||
Trucking & Leasing — 0.3% |
||||||||
AerCap Global Aviation Trust 3 mo. USD LIBOR + 4.300% |
||||||||
6.500% VRN 6/15/45 (c) |
600,000 | 587,484 | ||||||
TOTAL CORPORATE DEBT (Cost $96,302,743) |
92,191,769 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.8% |
||||||||
Automobile Asset-Backed Securities — 0.2% |
||||||||
OneMain Direct Auto Receivables Trust, Series 2019-1A, Class D |
||||||||
4.680% 4/14/31 (c) |
422,000 | 429,020 | ||||||
Commercial Mortgage-Backed Securities — 11.5% |
||||||||
Aventura Mall Trust, Series 2018-AVM, Class D, |
||||||||
4.112% VRN 7/05/40 (c) (e) |
530,000 | 502,727 | ||||||
BAMLL Commercial Mortgage Securities Trust |
||||||||
Series 2018-DSNY, Class C, 1 mo. USD LIBOR + 1.350% 1.747% FRN 9/15/34 (c) |
150,000 | 146,626 | ||||||
Series 2019-BPR, Class CMP, 3.895% VRN 11/05/32 (c) (e) |
440,000 | 415,299 | ||||||
Series 2019-BPR, Class DMP, 3.895% VRN 11/05/32 (c) (e) |
540,000 | 506,529 | ||||||
BANK |
||||||||
Series 2020-BN30, Class MCDF, 2.918% VRN 12/15/53 (e) |
500,000 | 425,253 | ||||||
Series 2019-BN17, Class C, 4.516% VRN 4/15/52 (e) |
331,000 | 332,012 | ||||||
BBCMS Mortgage Trust |
||||||||
Series 2018-CHRS, Class B, 4.267% VRN 8/05/38 (c) (e) |
400,000 | 390,124 | ||||||
Series 2018-CHRS, Class C, 4.267% VRN 8/05/38 (c) (e) |
280,000 | 263,646 | ||||||
Series 2018-CHRS, Class D, 4.267% VRN 8/05/38 (c) (e) |
270,000 | 240,942 | ||||||
Benchmark Mortgage Trust |
||||||||
Series 2021-B25, Class 300C, 2.994% VRN 4/15/54 (c) (e) |
500,000 | 443,798 | ||||||
Principal |
Value |
|||||||
Series 2020-IG1, Class D, 3.245% VRN 9/15/43 (e) |
$ | 400,000 | $ | 324,545 | ||||
BGME Trust, Series 2021-VR, Class D, |
||||||||
2.995% VRN 1/10/43 (c) (e) |
3,100,000 | 2,778,207 | ||||||
BX Commercial Mortgage Trust |
||||||||
Series 2021-BXMF, Class E, 1 mo. USD LIBOR + 2.427% 2.824% FRN 10/15/26 (c) |
1,500,000 | 1,451,270 | ||||||
Series 2021-VOLT, Class G, 1 mo. USD LIBOR + 2.850% 3.247% FRN 9/15/36 (c) |
2,004,000 | 1,930,734 | ||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class E, 1 mo. USD LIBOR + 2.150% |
||||||||
2.547% FRN 12/15/37 (c) |
572,453 | 562,460 | ||||||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class C |
||||||||
3.502% 8/10/56 |
222,000 | 207,309 | ||||||
Cold Storage Trust, Series 2020-ICE5, Class E, 1 mo. USD LIBOR + 2.766% |
||||||||
3.162% FRN 11/15/37 (c) |
589,794 | 583,166 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, |
||||||||
4.288% VRN 5/10/48 (e) |
110,000 | 107,657 | ||||||
DC Office Trust |
||||||||
Series 2019-MTC, Class D, 3.072% VRN 9/15/45 (c) (e) |
357,000 | 310,463 | ||||||
Series 2019-MTC, Class E, 3.072% VRN 9/15/45 (c) (e) |
622,000 | 536,368 | ||||||
DROP Mortgage Trust, Series 2021-FILE, Class D, 1 mo. USD LIBOR + 2.750% |
||||||||
3.150% FRN 4/15/26 (c) |
998,000 | 953,090 | ||||||
GS Mortgage Securities Corp. II, Series 2018-GS10, Class D |
||||||||
3.000% 7/10/51 (c) |
599,000 | 514,517 | ||||||
Hudson Yards Mortgage Trust, Series 2019-30HY, Class E, |
||||||||
3.443% VRN 7/10/39 (c) (e) |
630,000 | 586,530 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO, Series 2022-OPO, Class C, |
||||||||
3.450% VRN 1/05/39 (c) (e) |
700,000 | 655,017 | ||||||
Jackson Park Trust, Series 2019-LIC, Class D, |
||||||||
3.242% VRN 10/14/39 (c) (e) |
686,000 | 588,595 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class E, |
||||||||
3.783% VRN 6/05/39 (c) (e) |
553,000 | 507,155 | ||||||
The accompanying notes are an integral part of the financial statements.
59
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class C, |
||||||||
4.642% VRN 8/15/47 (e) |
$ | 300,000 | $ | 293,555 | ||||
KINDR Trust, Series 2021-KIND, Class C, 1 mo. USD LIBOR + 1.750% |
||||||||
2.147% FRN 8/15/38 (c) |
900,000 | 887,703 | ||||||
KNDL Mortgage Trust, Series 2019-KNSQ, Class E, 1 mo. USD LIBOR + 1.800% |
||||||||
2.197% FRN 5/15/36 (c) |
263,000 | 259,235 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class E, 1 mo. USD LIBOR + 1.750% |
||||||||
2.147% FRN 3/15/38 (c) |
424,643 | 407,933 | ||||||
Med Trust 2021-MDLN, Series 2021-MDLN, Class F, 1 mo. USD LIBOR + 4.000% |
||||||||
4.397% FRN 11/15/38 (c) |
2,000,000 | 1,947,492 | ||||||
MFT Trust |
||||||||
Series 2020-ABC, Class A, 3.358% 2/10/42 (c) |
205,000 | 185,425 | ||||||
Series 2020-ABC, Class B, 3.477% VRN 2/10/42 (c) (e) |
215,000 | 192,068 | ||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.101% |
||||||||
2.498% FRN 4/15/38 (c) |
1,100,000 | 1,073,874 | ||||||
MKT Mortgage Trust, Series 2020-525M, Class E, |
||||||||
2.941% VRN 2/12/40 (c) (e) |
213,000 | 182,189 | ||||||
VASA Trust, Series 2021-VASA, Class D, 1 mo. USD LIBOR + 2.100% |
||||||||
2.497% FRN 7/15/39 (c) |
864,000 | 851,073 | ||||||
Wells Fargo Commercial Mortgage Trust |
||||||||
Series 2021-FCMT, Class C, 1 mo. USD LIBOR + 2.400% 2.797% FRN 5/15/31 (c) |
461,000 | 451,927 | ||||||
Series 2015-NXS1, Class C, 3.848% VRN 5/15/48 (e) |
140,000 | 133,536 | ||||||
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class C, |
||||||||
4.859% VRN 8/15/45 (e) |
100,000 | 99,823 | ||||||
| 23,229,872 | ||||||||
Home Equity Asset-Backed Securities — 0.0% |
||||||||
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .480% |
||||||||
0.937% FRN 10/25/34 (c) |
24,458 | 24,445 | ||||||
Principal |
Value |
|||||||
Other Asset-Backed Securities — 12.1% |
||||||||
AASET Trust, Series 2019-2, Class C |
||||||||
6.413% 10/16/39 (c) |
$ | 1,220,471 | $ | 659,243 | ||||
AIMCO CLO Series Ltd., Series 2018-AA, Class B, 3 mo. USD LIBOR + 1.400% |
||||||||
1.641% FRN 4/17/31 (c) |
250,000 | 246,442 | ||||||
Anchorage Capital CLO Ltd., Series 2021-19A, Class A, 3 mo. USD LIBOR + 1.210% |
||||||||
1.375% FRN 10/15/34 (c) |
1,000,000 | 991,469 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class M1, 1 mo. USD LIBOR + .900% |
||||||||
1.357% FRN 10/25/34 |
163,723 | 159,799 | ||||||
522 Funding CLO Ltd., Series 2018-3A, Class CR, 3 mo. USD LIBOR + 2.050% |
||||||||
2.304% FRN 10/20/31 (c) |
250,000 | 246,682 | ||||||
Atrium XV, Series 15A, Class B, 3 mo. USD LIBOR + 1.750% |
||||||||
2.009% FRN 1/23/31 (c) |
250,000 | 248,866 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, |
||||||||
4.213% STEP 12/16/41 (c) |
339,178 | 316,663 | ||||||
BRE Grand Islander Timeshare Issuer LLC |
||||||||
Series 2017-1A, Class A, 2.940% 5/25/29 (c) |
50,974 | 50,492 | ||||||
Series 2017-1A, Class B, 3.240% 5/25/29 (c) |
42,109 | 41,700 | ||||||
Business Jet Securities LLC, Series 2021-1A, Class C |
||||||||
5.067% 4/15/36 (c) |
1,390,624 | 1,310,223 | ||||||
Canyon Capital CLO Ltd., Series 2019-2A, Class CR, 3 mo. USD LIBOR + 2.150% |
||||||||
2.391% FRN 10/15/34 (c) |
250,000 | 246,170 | ||||||
Capital Automotive REIT |
||||||||
Series 2020-1A, Class B1, 4.170% 2/15/50 (c) |
242,000 | 237,207 | ||||||
Series 2020-1A, Class B3, 4.950% 2/15/50 (c) |
671,000 | 651,644 | ||||||
Castlelake Aircraft Securitization Trust, Series 2019-1A, Class A |
||||||||
3.967% 4/15/39 (c) |
164,537 | 149,031 | ||||||
CIFC Funding Ltd., Series 2017-5A, Class A1, 3 mo. USD LIBOR + 1.180% |
||||||||
1.421% FRN 11/16/30 (c) |
250,000 | 249,251 | ||||||
The accompanying notes are an integral part of the financial statements.
60
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
DataBank Issuer, Series 2021-1A, Class B |
||||||||
2.650% 2/27/51 (c) |
$ | 300,000 | $ | 282,632 | ||||
Diameter Capital CLO Ltd., Series 2021-2A, Class A1, 3 mo. USD LIBOR + 1.220% |
||||||||
1.343% FRN 10/15/36 (c) |
500,000 | 495,186 | ||||||
Elara HGV Timeshare Issuer LLC |
||||||||
Series 2016-A, Class A, 2.730% 4/25/28 (c) |
60,379 | 60,009 | ||||||
Series 2016-A, Class B, 3.220% 4/25/28 (c) |
36,816 | 36,728 | ||||||
Falcon Aerospace Ltd., Series 2019-1, Class C |
||||||||
6.656% 9/15/39 (c) |
317,548 | 226,528 | ||||||
FCI Funding LLC, Series 2019-1A, Class A |
||||||||
3.630% 2/18/31 (c) |
8,898 | 8,911 | ||||||
Goldentree Loan Management US CLO Ltd., Series 2019-5A, Class CR, 3 mo. USD LIBOR + 2.050% |
||||||||
2.304% FRN 10/20/32 (c) |
250,000 | 247,387 | ||||||
Goodgreen Trust |
||||||||
Series 2016-1A, Class A, 3.230% 10/15/52 (c) |
174,884 | 171,052 | ||||||
Series 2017-1A, Class A, 3.740% 10/15/52 (c) |
95,948 | 94,379 | ||||||
Series 2019-2A, Class B, 3.860% 4/15/55 (c) |
118,735 | 114,776 | ||||||
Series 2021-1A, Class C, 5.740% 10/15/56 (c) |
538,393 | 514,491 | ||||||
Gracie Point International Funding, Series 2021-1A, Class C, 1 mo. USD LIBOR + 2.400% |
||||||||
2.631% FRN 11/01/23 (c) |
610,000 | 609,039 | ||||||
Gulf Stream Meridian 6 Ltd., Series 2021-6A, Class A2, 3 mo. USD LIBOR + 1.750% |
||||||||
1.867% FRN 1/15/37 (c) |
250,000 | 248,820 | ||||||
Harbor Park CLO Ltd., Series 2018-1A, Class B1, 3 mo. USD LIBOR + 1.700% |
||||||||
1.954% FRN 1/20/31 (c) |
280,000 | 278,033 | ||||||
Hero Funding Trust |
||||||||
Series 2016-3A, Class A1, 3.080% 9/20/42 (c) |
65,963 | 65,127 | ||||||
Series 2017-3A, Class A1, 3.190% 9/20/48 (c) |
90,289 | 88,853 | ||||||
Series 2017-2A, Class A1, 3.280% 9/20/48 (c) |
34,362 | 33,901 | ||||||
Series 2016-4A, Class A2, 4.290% 9/20/47 (c) |
68,798 | 68,839 | ||||||
Principal |
Value |
|||||||
Horizon Aircraft Finance I Ltd., Series 2018-1, Class B |
||||||||
5.270% 12/15/38 (c) |
$ | 225,200 | $ | 193,429 | ||||
Horizon Aircraft Finance II Ltd., Series 2019-1, Class B |
||||||||
4.703% 7/15/39 (c) |
273,167 | 234,139 | ||||||
Horizon Aircraft Finance III Ltd., Series 2019-2, Class A |
||||||||
3.425% 11/15/39 (c) |
474,938 | 437,828 | ||||||
ITE Rail Fund Levered LP, Series 2021-2A, Class B |
||||||||
2.980% 2/28/51 (c) |
800,000 | 747,332 | ||||||
J.G. Wentworth XLIII LLC, Series 2019-1A, Class B |
||||||||
4.510% 8/15/73 (c) |
138,000 | 136,603 | ||||||
KDAC Aviation Finance Ltd., Series 2017-1A, Class A |
||||||||
4.212% 12/15/42 (c) |
300,882 | 263,451 | ||||||
Kestrel Aircraft Fundig Limited, Series 2018-1A, Class A |
||||||||
4.250% 12/15/38 (c) |
359,127 | 326,930 | ||||||
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 |
||||||||
4.300% 1/15/42 (c) |
328,797 | 301,020 | ||||||
LoanCore Issuer Ltd., Series 2022-CRE7, Class E, 30 day SOFR + 3.75% |
||||||||
3.800% FRN 1/17/37 (c) |
1,000,000 | 997,655 | ||||||
Lunar Aircraft Ltd. |
||||||||
Series 2020-1A, Class B, 4.335% 2/15/45 (c) |
122,823 | 103,459 | ||||||
Series 2020-1A, Class C, 6.413% 2/15/45 (c) |
216,306 | 164,574 | ||||||
MACH I, Series 2019-1, Class B |
||||||||
4.335% 10/15/39 (c) |
319,562 | 283,359 | ||||||
Madison Park Funding Ltd. |
||||||||
Series 2018-28A, Class B, 3 mo. USD LIBOR + 1.600% 1.841% FRN 7/15/30 (c) |
950,000 | 940,830 | ||||||
Series 2018-32A, Class CR, 3 mo. USD LIBOR + 2.000% 2.259% FRN 1/22/31 (c) |
300,000 | 295,877 | ||||||
Mariner Finance Issuance Trust, Series 2021-AA, Class D |
||||||||
3.830% 3/20/36 (c) |
381,000 | 342,900 | ||||||
Mosaic Solar Loans LLC, Series 2017-1A, Class A |
||||||||
4.450% 6/20/42 (c) |
30,561 | 30,626 | ||||||
Neuberger Berman CLO Ltd., Series 2015-20A, Class BRR, 3 mo. USD LIBOR + 1.650% |
||||||||
1.891% FRN 7/15/34 (c) |
500,000 | 498,316 | ||||||
The accompanying notes are an integral part of the financial statements.
61
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
OHA Credit Funding Ltd., Series 2015-11A, Class CR, 3 mo. USD LIBOR + 2.150% |
||||||||
2.404% FRN 1/20/32 (c) |
$ | 300,000 | $ | 295,279 | ||||
Parallel Ltd., Series 2021-2A, Class A2, 3 mo. USD LIBOR + 1.850% |
||||||||
1.969% FRN 10/20/34 (c) |
250,000 | 244,630 | ||||||
Park Place Securities, Inc., Series 2005-WCW3, Class M1, 1 mo. USD LIBOR + .720% |
||||||||
1.177% FRN 8/25/35 |
8,633 | 8,616 | ||||||
Pioneer Aircraft Finance Ltd., Series 2019-1, Class B |
||||||||
4.948% 6/15/44 (c) |
341,661 | 296,569 | ||||||
Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2 |
||||||||
3.858% 12/05/49 (c) |
497,548 | 467,946 | ||||||
Rad CLO 12 Ltd., Series 2021-12A, Class A, 3 mo. USD LIBOR + 1.170% |
||||||||
1.311% FRN 10/30/34 (c) |
500,000 | 495,090 | ||||||
Rad CLO 15 Ltd., Series 2021-15A, Class C, 3 mo. USD LIBOR + 2.050% |
||||||||
2.297% FRN 1/20/34 (c) |
250,000 | 247,658 | ||||||
Rad CLO 4 Ltd., Series 2019-4A, Class B1, 3 mo. USD LIBOR + 2.100% |
||||||||
2.358% FRN 4/25/32 (c) |
250,000 | 249,995 | ||||||
Renew, Series 2021-1, Class M |
||||||||
3.210% 11/20/56 (c) |
204,741 | 194,545 | ||||||
Rockford Tower CLO Ltd., Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.720% |
||||||||
2.200% FRN 5/20/31 (c) |
250,000 | 247,407 | ||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, 3 mo. USD LIBOR + 1.090% |
||||||||
1.331% FRN 1/15/30 (c) |
500,000 | 497,416 | ||||||
Sierra Receivables Funding LLC, Series 2020-2A, Class C |
||||||||
3.510% 7/20/37 (c) |
67,743 | 67,199 | ||||||
Slam Ltd., Series 2021-1A, Class B |
||||||||
3.422% 6/15/46 (c) |
279,258 | 257,236 | ||||||
Steele Creek CLO Ltd., Series 2018-2A, Class C, 3 mo. USD LIBOR + 2.300% |
||||||||
2.788% FRN 8/18/31 (c) |
490,000 | 475,428 | ||||||
Store Master Funding I-VII and XIV, Series 2019-1, Class A4 |
||||||||
4.490% 11/20/49 (c) |
761,017 | 737,028 | ||||||
Principal |
Value |
|||||||
Sunnova Helios II Issuer LLC, Series 2018-1A, Class A |
||||||||
4.870% 7/20/48 (c) |
$ | 106,703 | $ | 106,725 | ||||
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A |
||||||||
4.190% 1/15/71 (c) |
278,447 | 285,067 | ||||||
THL Credit Wind River CLO Ltd., Series 2018-3A, Class B, 3 mo. USD LIBOR + 1.700% |
||||||||
1.954% FRN 1/20/31 (c) |
490,000 | 487,377 | ||||||
Thrust Engine Leasing |
||||||||
Series 2021-1A, Class B, 6.121% 7/15/40 (c) |
1,151,371 | 1,067,363 | ||||||
Series 2021-1A, Class C, 7.386% 7/15/40 (c) |
383,673 | 357,783 | ||||||
TICP CLO XIV Ltd., Series 2019-14A, Class A2R, 3 mo. USD LIBOR + 1.650% |
||||||||
1.791% FRN 10/20/32 (c) |
250,000 | 247,526 | ||||||
VSE VOI Mortgage LLC, Series 2016-A, Class B |
||||||||
2.740% 7/20/33 (c) |
14,996 | 14,670 | ||||||
Wave USA, Series 2019-1, Class B |
||||||||
4.581% 9/15/44 (c) |
608,521 | 481,786 | ||||||
Willis Engine Structured Trust III, Series 2017-A, Class A, |
||||||||
4.690% STEP 8/15/42 (c) |
338,877 | 317,898 | ||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, |
||||||||
4.750% STEP 9/15/43 (c) |
202,397 | 187,161 | ||||||
Zaxby’s Funding LLC, Series 2021-1A, Class A2 |
||||||||
3.238% 7/30/51 (c) |
217,905 | 201,672 | ||||||
| 24,284,971 | ||||||||
Student Loans Asset-Backed Securities — 2.9% |
||||||||
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500% |
||||||||
1.957% FRN 7/25/58 (c) |
130,000 | 118,924 | ||||||
College Avenue Student Loans LLC |
||||||||
Series 2021-A, Class C, 2.920% 7/25/51 (c) |
576,000 | 554,046 | ||||||
Series 2021-A, Class D, 4.120% 7/25/51 (c) |
284,000 | 273,452 | ||||||
Series 2019-A, Class C, 4.460% 12/28/48 (c) |
186,654 | 183,296 | ||||||
Series 2019-A, Class D, 5.500% 12/28/48 (c) |
131,160 | 129,907 | ||||||
Commonbond Student Loan Trust, Series 2017-AGS, Class C |
||||||||
5.280% 5/25/41 (c) |
38,433 | 37,704 | ||||||
The accompanying notes are an integral part of the financial statements.
62
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B |
||||||||
2.500% 1/25/30 (c) |
$ | 66,203 | $ | 64,897 | ||||
EdLinc Student Loan Funding Trust, Series 2017-A, Class A, PRIME - 1.150% |
||||||||
2.100% FRN 12/01/47 (c) |
150,870 | 149,084 | ||||||
EDvestinU Private Education Loan Issue No 3 LLC, Series 2021-A, Class B |
||||||||
3.500% 11/25/50 (c) |
600,000 | 552,605 | ||||||
Goal Capital Funding Trust, Series 2006-1, Class B, 3 mo. USD LIBOR + .450% |
||||||||
0.948% FRN 8/25/42 |
510,581 | 487,760 | ||||||
Navient Student Loan Trust |
||||||||
Series 2018-1A, Class B, 1 mo. USD LIBOR + 1.200% 1.657% FRN 3/25/67 (c) |
250,000 | 238,043 | ||||||
Series 2018-EA, Class B, 4.440% 12/15/59 (c) |
140,000 | 135,757 | ||||||
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750% |
||||||||
2.207% FRN 12/26/40 (c) |
13,033 | 13,026 | ||||||
Nelnet Student Loan Trust |
||||||||
Series 2005-4, Class A4R2, 1.191% FRN 3/22/32 (e) |
150,000 | 148,042 | ||||||
Series 2006-3, Class B, 3 mo. USD LIBOR + .250% 1.216% FRN 6/25/41 |
102,000 | 93,773 | ||||||
Series 2012-2A, Class B, 1 mo. USD LIBOR + 1.000% 1.457% FRN 11/25/36 (c) |
200,000 | 196,372 | ||||||
Series 2012-1A, Class B, 1 mo. USD LIBOR + 1.000% 1.457% FRN 6/25/42 (c) |
150,000 | 148,106 | ||||||
Series 2012-4A, Class B, 1 mo. USD LIBOR + 1.000% 1.457% FRN 7/26/49 (c) |
350,000 | 327,343 | ||||||
Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 6/25/41 (c) |
100,000 | 100,000 | ||||||
Series 2014-5A, Class B, 1 mo. USD LIBOR + 1.500% 1.957% FRN 5/26/54 (c) |
100,000 | 99,999 | ||||||
SLM Student Loan Trust |
||||||||
Series 2006-7, Class B, 3 mo. USD LIBOR + .200% 0.458% FRN 1/27/42 |
250,016 | 231,367 | ||||||
Principal |
Value |
|||||||
Series 2006-4, Class B, 3 mo. USD LIBOR + .200% 0.458% FRN 1/25/70 |
$ | 137,051 | $ | 128,103 | ||||
Series 2006-5, Class B, 3 mo. USD LIBOR + .210% 0.468% FRN 10/25/40 |
121,095 | 113,010 | ||||||
Series 2005-6, Class B, 3 mo. USD LIBOR + .290% 0.548% FRN 1/25/44 |
268,452 | 252,774 | ||||||
Series 2005-9, Class B, 3 mo. USD LIBOR + .300% 0.558% FRN 1/25/41 |
340,639 | 318,253 | ||||||
Series 2004-3, Class B, 3 mo. USD LIBOR + .470% 0.728% FRN 10/25/64 |
90,750 | 86,557 | ||||||
SMB Private Education Loan Trust, Series 2019-A, Class B |
||||||||
4.000% 11/17/42 (c) |
185,000 | 180,743 | ||||||
SoFi Professional Loan Program LLC |
||||||||
Series 2017-C, Class C, 4.210% VRN 7/25/40 (c) (e) |
180,000 | 172,418 | ||||||
Series 2017-A, Class C, 4.430% VRN 3/26/40 (c) (e) |
170,000 | 164,390 | ||||||
South Carolina Student Loan Corp., Series 2015-A, Class A, 1 mo. USD LIBOR + 1.500% |
||||||||
1.957% FRN 1/25/36 |
59,778 | 59,845 | ||||||
| 5,759,596 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 2.1% |
||||||||
Angel Oak Mortgage Trust I LLC |
||||||||
Series 2019-4, Class M1, 3.459% VRN 7/26/49 (c) (e) |
492,000 | 483,968 | ||||||
Series 2019-2, Class M1, 4.065% VRN 3/25/49 (c) (e) |
260,000 | 256,083 | ||||||
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, |
||||||||
2.507% VRN 8/25/34 (e) |
7,430 | 7,259 | ||||||
JP Morgan Mortgage Trust, Series 2017-1, Class A11, |
||||||||
3.460% VRN 1/25/47 (c) (e) |
92,991 | 91,847 | ||||||
New Residential Mortgage Loan Trust, Series 2021-NQM3, Class B1, |
||||||||
3.398% VRN 11/27/56 (c) (e) |
3,600,000 | 3,249,620 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A, 1 mo. USD LIBOR + 2.850% |
||||||||
3.307% FRN 2/25/23 (c) |
210,000 | 209,094 | ||||||
| 4,297,871 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $61,230,167) |
58,025,775 | |||||||
The accompanying notes are an integral part of the financial statements.
63
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
SOVEREIGN DEBT OBLIGATIONS — 1.0% |
||||||||
Colombia Government International Bond |
||||||||
6.125% 1/18/41 |
$ | 440,000 | $ | 427,544 | ||||
Mexico Government International Bond |
||||||||
3.500% 2/12/34 |
415,000 | 385,659 | ||||||
4.500% 4/22/29 |
300,000 | 316,227 | ||||||
4.750% 3/08/44 |
414,000 | 407,715 | ||||||
6.750% 9/27/34 |
375,000 | 460,500 | ||||||
| 1,997,645 | ||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $2,178,926) |
1,997,645 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (f) — 16.0% |
||||||||
Collateralized Mortgage Obligations — 0.0% |
||||||||
Federal Home Loan Mortgage Corp. Series 2178, Class PB 7.000% 8/15/29 |
4,500 | 4,820 | ||||||
Pass-Through Securities — 16.0% |
||||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool #RA4245 2.000% 12/01/50 |
518,992 | 483,842 | ||||||
Pool #RA4255 2.000% 1/01/51 |
1,069,818 | 998,700 | ||||||
Pool #SD0905 3.000% 3/01/52 (d) |
795,692 | 782,617 | ||||||
Federal National Mortgage Association Pool #FS1075 1.000% 3/01/52 (d) |
800,000 | 787,354 | ||||||
Federal National Mortgage Association |
||||||||
Pool #FM8596 2.500% 9/01/51 |
510,289 | 488,779 | ||||||
Pool #MA3029 3.000% 6/01/32 |
307,541 | 311,110 | ||||||
Pool #MA3090 3.000% 8/01/32 |
123,569 | 125,003 | ||||||
Pool #AR3007 3.000% 2/01/43 |
96,067 | 95,937 | ||||||
Pool #AS1304 3.500% 12/01/28 |
83,760 | 85,611 | ||||||
Pool #MA1356 3.500% 2/01/43 |
563,130 | 576,465 | ||||||
Pool #CA6096 3.500% 6/01/50 |
1,116,866 | 1,122,371 | ||||||
Pool #FM4017 3.500% 8/01/50 |
73,104 | 73,419 | ||||||
Pool #CA1909 4.500% 6/01/48 |
441,408 | 460,401 | ||||||
Pool #AD6437 5.000% 6/01/40 |
32,500 | 34,984 | ||||||
Pool #AD6996 5.000% 7/01/40 |
207,646 | 222,983 | ||||||
Pool #AL8173 5.000% 2/01/44 |
69,072 | 75,021 | ||||||
Government National Mortgage Association |
||||||||
Pool #579140 6.500% 1/15/32 |
475 | 516 | ||||||
Pool #587280 6.500% 9/15/32 |
716 | 769 | ||||||
Pool #550659 6.500% 9/15/35 |
49,231 | 54,613 | ||||||
Pool #538689 6.500% 12/15/35 |
12,000 | 13,381 | ||||||
Pool #780651 7.000% 10/15/27 |
419 | 447 | ||||||
Principal |
Value |
|||||||
Pool #462384 7.000% 11/15/27 |
$ | 288 | $ | 307 | ||||
Pool #482668 7.000% 8/15/28 |
634 | 681 | ||||||
Pool #581417 7.000% 7/15/32 |
572 | 618 | ||||||
Pool #423836 8.000% 8/15/26 |
274 | 293 | ||||||
Pool #444619 8.000% 3/15/27 |
254 | 256 | ||||||
Government National Mortgage Association II |
||||||||
Pool #MA6038 3.000% 7/20/49 |
572,910 | 570,906 | ||||||
Pool #MA6283 3.000% 11/20/49 |
1,004,498 | 998,864 | ||||||
Pool #MA6409 3.000% 1/20/50 |
1,041,804 | 1,034,985 | ||||||
Pool #MA4321 3.500% 3/20/47 |
660,695 | 673,991 | ||||||
Government National Mortgage Association II TBA |
||||||||
3.000% 4/21/52 (d) |
2,900,000 | 2,868,055 | ||||||
3.500% 4/21/52 (d) |
480,000 | 483,075 | ||||||
Uniform Mortgage Backed Securities TBA |
||||||||
3.000% 4/13/52 (d) |
9,500,000 | 9,300,352 | ||||||
3.500% 5/12/52 (d) |
4,750,000 | 4,743,692 | ||||||
4.000% 5/12/52 (d) |
4,600,000 | 4,678,703 | ||||||
| 32,149,101 | ||||||||
Whole Loans — 0.0% |
||||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2019-R04, Class 2M2, 1 mo. USD LIBOR + 2.100% |
||||||||
2.557% FRN 6/25/39 (c) |
2,692 | 2,691 | ||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $32,878,949) |
32,156,612 | |||||||
U.S. TREASURY OBLIGATIONS — 2.8% |
||||||||
U.S. Treasury Bonds & Notes — 2.8% |
||||||||
U.S. Treasury Bond |
||||||||
2.250% 8/15/49 (g) |
5,670,000 | 5,396,871 | ||||||
3.500% 2/15/39 |
200,000 | 229,015 | ||||||
| 5,625,886 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $6,032,182) |
5,625,886 | |||||||
TOTAL BONDS & NOTES (Cost $198,622,967) |
189,997,687 | |||||||
TOTAL PURCHASED OPTIONS (#) — 0.4% (Cost $710,401) |
738,984 | |||||||
The accompanying notes are an integral part of the financial statements.
64
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
| Number of Shares | Value | |||||||
| WARRANTS — 0.0% | ||||||||
| Biotechnology — 0.0% | ||||||||
| Consumer, Non-cyclical — 0.0% | ||||||||
| Hercules LLC, Expires 3/31/29, Strike 0.09 (h) (i) (j) | 150 | $ | 4,163 | |||||
| TOTAL WARRANTS (Cost $0) | 4,163 | |||||||
| MUTUAL FUNDS — 1.0% | ||||||||
| Diversified Financial Services — 1.0% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio (k) | 1,971,923 | 1,971,923 | ||||||
| TOTAL MUTUAL FUNDS (Cost $1,971,922) | 1,971,923 | |||||||
| TOTAL LONG-TERM INVESTMENTS (Cost $202,915,915) | 194,013,668 | |||||||
Principal | ||||||||
| SHORT-TERM INVESTMENTS — 16.0% | ||||||||
| Commercial Paper — 14.4% | ||||||||
| Amphenol Corp. | ||||||||
| 1.014% 4/04/22 (c) | $ | 4,000,000 | 3,999,762 | |||||
| Boston Scientific Corp. | ||||||||
| 0.659% 4/07/22 | 3,000,000 | 2,999,668 | ||||||
| Enterprise Products Operating LLC | ||||||||
| 0.923% 4/11/22 (c) | 2,000,000 | 1,999,612 | ||||||
| Fortive Corp. | ||||||||
| 0.893% 4/06/22 (c) | 2,000,000 | 1,999,812 | ||||||
| 0.933% 4/05/22 (c) | 1,000,000 | 999,923 | ||||||
| Mccormick & Co, Inc. | ||||||||
| 0.608% 4/06/22 (c) | 1,000,000 | 999,906 | ||||||
| MUFG Bank Ltd. | ||||||||
| 0.294% 4/07/22 | 3,000,000 | 2,999,825 | ||||||
| National Grid USA | ||||||||
| 0.761% 4/06/22 (c) | 1,000,000 | 999,906 | ||||||
| National Rural Utilities Cooperative Finance Corp. | ||||||||
| 0.467% 4/25/22 | 2,000,000 | 1,999,457 | ||||||
| Sempra Energy | ||||||||
| 0.700% 4/18/22 (c) | 3,000,000 | 2,998,863 | ||||||
| Sherwin Williams Co. | ||||||||
| 0.822% 4/19/22 (c) | 3,000,000 | 2,999,224 | ||||||
| Principal Amount | Value | |||||||
| Southern Co. Gas Capital | ||||||||
| 0.761% 4/04/22 (c) | $ | 3,000,000 | $ | 2,999,804 | ||||
| Walgreens Boots Alliance, Inc. | ||||||||
| 1.066% 5/13/22 (c) | 1,000,000 | 998,711 | ||||||
| 28,994,473 | ||||||||
| Repurchase Agreement — 1.6% | ||||||||
| Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (l) | 3,270,495 | 3,270,495 | ||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $32,264,349) | 32,264,968 | |||||||
| TOTAL INVESTMENTS — 112.3% (Cost $235,180,264) (m) | 226,278,636 | |||||||
| Other Assets/(Liabilities) — (12.3)% | (24,792,403 | ) | ||||||
| NET ASSETS — 100.0% | $ | 201,486,233 | ||||||
Abbreviation Legend
|
CLO |
Collateralized Loan Obligation |
|
FRN |
Floating Rate Note |
|
STEP |
Step Up Bond |
|
TBA |
To Be Announced |
|
VRN |
Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Security is perpetual and has no stated maturity date. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $4,147,350 or 2.06% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $2,270,924 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $110,755,066 or 54.97% of net assets. |
|
(d) |
A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
|
(e) |
Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at March 31, 2022. |
The accompanying notes are an integral part of the financial statements.
65
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Notes to Portfolio of Investments (Continued)
|
(f) |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
|
(g) |
All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2). |
|
(h) |
Investment was valued using significant unobservable inputs. |
|
(i) |
This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2022, these securities amounted to a value of $4,163 or 0.00% of net assets. |
|
(j) |
Non-income producing security. |
|
(k) |
Represents investment of security lending cash collateral. (Note 2). |
|
(l) |
Maturity value of $3,270,495. Collateralized by U.S. Government Agency obligations with a rate of 0.500%, maturity date of 4/15/24, and an aggregate market value, including accrued interest, of $3,335,961. |
|
(m) |
See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States |
78.7 | % | ||
Cayman Islands |
6.9 | % | ||
United Kingdom |
2.1 | % | ||
Canada |
1.8 | % | ||
Mexico |
1.5 | % | ||
Israel |
0.8 | % | ||
Bermuda |
0.8 | % | ||
Netherlands |
0.7 | % | ||
Germany |
0.5 | % | ||
Ireland |
0.4 | % | ||
France |
0.4 | % | ||
United Arab Emirates |
0.3 | % | ||
South Africa |
0.3 | % | ||
Republic of Korea |
0.2 | % | ||
Italy |
0.2 | % | ||
Liberia |
0.2 | % | ||
Colombia |
0.2 | % | ||
Australia |
0.2 | % | ||
Panama |
0.1 | % | ||
Total Long-Term Investments |
96.3 | % | ||
Short-Term Investments and Other Assets and Liabilities |
3.7 | % | ||
Net Assets |
100.0 | % |
The accompanying notes are an integral part of the financial statements.
66
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
(#) Interest Rate Swaptions Purchased
Paid by Fund |
Received by Fund |
||||||||||||||||||||||||||||||||||||||||
Description |
Counterparty |
Expiration |
Rate |
Frequency |
Rate |
Frequency |
Notional |
Value |
Premium |
Unrealized |
|||||||||||||||||||||||||||||||
Call |
|||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 |
Barclays Bank PLC* |
12/13/32 | 3-Month USD LIBOR BBA |
Quarterly | 2.44%## | Semi- Annually | USD | 800,000 | $ | 55,745 | $ | 39,995 | $ | 15,750 | |||||||||||||||||||||||||||
Put |
|||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/15/42 |
Barclays Bank PLC* |
12/13/32 | 2.94%## | Semi- Annually | 3-Month USD LIBOR BBA |
Quarterly | USD | 13,410,000 | $ | 683,239 | $ | 670,406 | $ | 12,833 | |||||||||||||||||||||||||||
| $ | 738,984 | $ | 710,401 | $ | 28,583 | ||||||||||||||||||||||||||||||||||||
OTC Options Written
Description |
Counterparty |
Expiration |
Exercise |
No. of |
Notional |
Value |
Premiums |
Unrealized |
|||||||||||||||||||||||||
Call |
|||||||||||||||||||||||||||||||||
USD Call RUB Put |
Bank of America N.A.* |
5/06/22 | 81.84 | 263,000 | USD | 263,000 | $ | (26,879 | ) | $ | (5,413 | ) | $ | (21,466 | ) | ||||||||||||||||||
USD Call ZAR Put |
Bank of America N.A.* |
5/31/22 | 18.00 | 391,000 | USD | 391,000 | (138 | ) | (6,178 | ) | 6,040 | ||||||||||||||||||||||
EUR Call PLN Put |
Bank of America N.A.* |
6/01/22 | 4.85 | 168,000 | EUR | 168,000 | (1,706 | ) | (1,739 | ) | 33 | ||||||||||||||||||||||
EUR Call PLN Put |
Bank of America N.A.* |
6/02/22 | 4.85 | 200,000 | EUR | 200,000 | (2,058 | ) | (1,833 | ) | (225 | ) | |||||||||||||||||||||
USD Call BRL Put |
Bank of America N.A.* |
7/15/22 | 6.10 | 300,000 | USD | 300,000 | (664 | ) | (7,612 | ) | 6,948 | ||||||||||||||||||||||
EUR Call PLN Put |
Barclays Bank PLC* |
6/01/22 | 4.85 | 93,000 | EUR | 93,000 | (944 | ) | (960 | ) | 16 | ||||||||||||||||||||||
| $ | (32,389 | ) | $ | (23,735 | ) | $ | (8,654 | ) | |||||||||||||||||||||||||
The accompanying notes are an integral part of the financial statements.
67
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Forward contracts
Counterparty |
Settlement |
Currency Purchased |
Currency Sold |
Unrealized |
||||||||||||||||||||
Bank of America N.A.* |
4/12/22 | USD | 153,000 | MXN | 3,296,416 | $ | (12,501 | ) | ||||||||||||||||
Bank of America N.A.* |
4/19/22 | RUB | 8,632,082 | USD | 111,000 | (6,373 | ) | |||||||||||||||||
Bank of America N.A.* |
4/19/22 | USD | 111,000 | RUB | 8,632,082 | 6,373 | ||||||||||||||||||
Bank of America N.A.* |
5/10/22 | BRL | 1,394,721 | USD | 270,321 | 19,698 | ||||||||||||||||||
Bank of America N.A.* |
5/10/22 | CAD | 196,947 | USD | 155,211 | 2,304 | ||||||||||||||||||
Bank of America N.A.* |
5/17/22 | PLN | 2,246,400 | USD | 518,722 | 13,699 | ||||||||||||||||||
Bank of America N.A.* |
5/17/22 | USD | 500,000 | PLN | 2,246,400 | (32,420 | ) | |||||||||||||||||
Bank of America N.A.* |
5/24/22 | USD | 152,000 | PHP | 7,968,622 | (1,596 | ) | |||||||||||||||||
Barclays Bank PLC* |
4/19/22 | USD | 265,553 | CHF | 243,506 | 1,902 | ||||||||||||||||||
BNP Paribas SA* |
4/26/22 | USD | 534,395 | CNH | 3,413,875 | (2,103 | ) | |||||||||||||||||
BNP Paribas SA* |
5/24/22 | USD | 103,000 | THB | 3,360,272 | 1,894 | ||||||||||||||||||
Citibank N.A.* |
4/12/22 | CLP | 214,180,760 | USD | 247,528 | 24,331 | ||||||||||||||||||
Citibank N.A.* |
4/12/22 | COP | 1,085,970,600 | USD | 286,000 | 1,504 | ||||||||||||||||||
Citibank N.A.* |
4/12/22 | USD | 265,099 | CLP | 214,180,760 | (6,760 | ) | |||||||||||||||||
Citibank N.A.* |
4/19/22 | CHF | 237,941 | USD | 256,401 | 1,224 | ||||||||||||||||||
Citibank N.A.* |
5/10/22 | USD | 53,000 | TND | 161,279 | (1,263 | ) | |||||||||||||||||
Citibank N.A.* |
5/10/22 | UYU | 1,881,181 | USD | 42,408 | 2,856 | ||||||||||||||||||
Citibank N.A.* |
5/10/22 | USD | 115,553 | COP | 459,294,795 | (5,599 | ) | |||||||||||||||||
Citibank N.A.* |
5/17/22 | UYU | 1,930,549 | USD | 43,585 | 2,867 | ||||||||||||||||||
Citibank N.A.* |
5/17/22 | USD | 3,774 | RUB | 289,040 | 375 | ||||||||||||||||||
Citibank N.A.* |
5/17/22 | USD | 208,017 | EUR | 185,857 | 2,121 | ||||||||||||||||||
Citibank N.A.* |
5/24/22 | UYU | 935,077 | USD | 21,204 | 1,295 | ||||||||||||||||||
Citibank N.A.* |
5/24/22 | KRW | 125,080,000 | USD | 104,358 | (1,236 | ) | |||||||||||||||||
Citibank N.A.* |
6/15/22 | EGP | 1,282,411 | USD | 78,000 | (8,566 | ) | |||||||||||||||||
Citibank N.A.* |
6/15/22 | USD | 78,387 | EGP | 1,282,411 | 8,953 | ||||||||||||||||||
Citibank N.A.* |
9/15/22 | EGP | 1,321,966 | USD | 78,000 | (7,917 | ) | |||||||||||||||||
Citibank N.A.* |
12/15/22 | USD | 156,000 | EGP | 2,746,682 | 13,693 | ||||||||||||||||||
Goldman Sachs International* |
4/19/22 | NOK | 923,962 | USD | 105,000 | (69 | ) | |||||||||||||||||
Goldman Sachs International* |
5/17/22 | CZK | 2,319,365 | USD | 108,043 | (3,467 | ) | |||||||||||||||||
Goldman Sachs International* |
5/24/22 | USD | 50,000 | THB | 1,661,250 | 15 | ||||||||||||||||||
HSBC Bank USA* |
4/12/22 | PEN | 844,128 | USD | 212,157 | 17,180 | ||||||||||||||||||
HSBC Bank USA* |
4/12/22 | USD | 408,000 | COP | 1,625,370,000 | (22,307 | ) | |||||||||||||||||
HSBC Bank USA* |
4/12/22 | USD | 20,000 | PEN | 75,670 | (558 | ) | |||||||||||||||||
HSBC Bank USA* |
4/19/22 | USD | 152,001 | RON | 685,900 | (1,240 | ) | |||||||||||||||||
HSBC Bank USA* |
5/17/22 | EUR | 55,820 | USD | 63,196 | (1,358 | ) | |||||||||||||||||
HSBC Bank USA* |
5/17/22 | USD | 102,000 | SEK | 989,299 | (3,313 | ) | |||||||||||||||||
JP Morgan Chase Bank N.A.* |
4/19/22 | RUB | 250,852 | USD | 3,284 | (243 | ) | |||||||||||||||||
JP Morgan Chase Bank N.A.* |
4/19/22 | RON | 642,692 | USD | 146,000 | (2,412 | ) | |||||||||||||||||
JP Morgan Chase Bank N.A.* |
4/19/22 | USD | 253,021 | RON | 1,106,409 | 5,831 | ||||||||||||||||||
JP Morgan Chase Bank N.A.* |
4/19/22 | USD | 78,199 | RUB | 8,882,933 | (29,469 | ) | |||||||||||||||||
JP Morgan Chase Bank N.A.* |
5/17/22 | EUR | 152,557 | USD | 174,000 | (4,994 | ) | |||||||||||||||||
Morgan Stanley & Co. LLC* |
5/10/22 | PEN | 1,151,709 | USD | 305,000 | 7,122 | ||||||||||||||||||
Morgan Stanley & Co. LLC* |
5/10/22 | USD | 155,083 | CAD | 196,947 | (2,432 | ) | |||||||||||||||||
| $ | (22,959 | ) | ||||||||||||||||||||||
The accompanying notes are an integral part of the financial statements.
68
MassMutual Diversified Bond Fund — Portfolio of Investments (Continued) |
Futures contracts
|
Expiration |
Number of |
Notional |
Value/ Net |
||||||||||||
Long |
||||||||||||||||
U.S. Treasury Long Bond |
6/21/22 | 60 | $ | 9,252,201 | $ | (248,451 | ) | |||||||||
U.S. Treasury Ultra Bond |
6/21/22 | 49 | 9,006,898 | (327,773 | ) | |||||||||||
U.S. Treasury Note 2 Year |
6/30/22 | 94 | 20,201,086 | (280,430 | ) | |||||||||||
U.S. Treasury Note 5 Year |
6/30/22 | 49 | 5,748,519 | (128,831 | ) | |||||||||||
|
$ | (985,485 | ) | |||||||||||||
Short |
||||||||||||||||
U.S. Treasury Ultra 10 Year |
6/21/22 | 38 | $ | (5,308,253 | ) | $ | 160,440 | |||||||||
|
* |
Contracts are subject to a master netting agreement or similar agreement. |
|
## |
Exercise Rate. |
Currency Legend
|
BRL |
Brazilian Real |
|
CAD |
Canadian Dollar |
|
CHF |
Swiss Franc |
|
CLP |
Chilean Peso |
|
CNH |
Offshore Chinese Yuan |
|
COP |
Colombian Peso |
|
CZK |
Czech Koruna |
|
EGP |
Egyptian Pound |
|
EUR |
Euro |
|
KRW |
South Korean Won |
|
MXN |
Mexican Peso |
|
NOK |
Norwegian Krone |
|
PEN |
Peruvian New Sol |
|
PHP |
Philippine Peso |
|
PLN |
Polish Zloty |
|
RON |
New Romanian Leu |
|
RUB |
Russian Ruble |
|
SEK |
Swedish Krona |
|
THB |
Thai Baht |
|
TND |
Tunisian Dinar |
|
USD |
U.S. Dollar |
|
UYU |
Uruguayan Peso |
The accompanying notes are an integral part of the financial statements.
69
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 0.8% |
||||||||
COMMON STOCK — 0.8% |
||||||||
Energy — 0.8% |
||||||||
Oil & Gas — 0.8% |
||||||||
Fieldwood Energy LLC (a) (b) (c) |
48,768 | $ | — | |||||
Fieldwood Energy LLC (a) (b) (c) |
11,966 | — | ||||||
Tourmaline Oil Corp. |
84,668 | 3,901,033 | ||||||
| 3,901,033 | ||||||||
TOTAL COMMON STOCK (Cost $2,676,721) |
3,901,033 | |||||||
TOTAL EQUITIES (Cost $2,676,721) |
3,901,033 | |||||||
Principal |
||||||||
BONDS & NOTES — 94.4% |
||||||||
BANK LOANS — 2.5% |
||||||||
Computers — 0.0% |
||||||||
Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, 3 mo. USD LIBOR + 5.000% |
||||||||
5.750% VRN 7/27/28 |
$ | 1,003 | 989 | |||||
SonicWall US Holdings, Inc., 2nd Lien Term Loan, 3 mo. USD LIBOR + 7.500% |
||||||||
7.988% VRN 5/18/26 |
51,897 | 50,578 | ||||||
| 51,567 | ||||||||
Food — 0.3% |
||||||||
Florida Food Products, LLC, Term Loan, 1 mo. USD LIBOR + 5.000% |
||||||||
5.750% VRN 10/18/28 |
1,233,695 | 1,215,190 | ||||||
Media — 0.5% |
||||||||
MSG National Properties, LLC, Term Loan, 3 mo. USD LIBOR + 6.250% |
||||||||
7.000% VRN 11/12/25 |
2,320,687 | 2,309,083 | ||||||
Packaging & Containers — 0.1% |
||||||||
Clydesdale Acquisition Holdings, Inc., Term Loan B, |
||||||||
0.000% VRN3/30/29 (d) |
655,769 | 644,837 | ||||||
Software — 1.6% |
||||||||
Finastra USA, Inc., USD 2nd Lien Term Loan, 3 mo. USD LIBOR + 7.250% |
||||||||
8.250% VRN 6/13/25 |
5,448,495 | 5,350,586 | ||||||
Principal |
Value |
|||||||
Quest Software US Holdings, Inc., 2022 2nd Lien Term Loan, 3 mo. SOFR + 7.500% |
||||||||
8.150% VRN 2/01/30 |
$ | 2,522,327 | $ | 2,441,940 | ||||
| 7,792,526 | ||||||||
TOTAL BANK LOANS (Cost $12,085,667) |
12,013,203 | |||||||
CORPORATE DEBT — 91.9% |
||||||||
Advertising — 1.5% |
||||||||
Stagwell Global LLC |
||||||||
5.625% 8/15/29 (e) |
1,514,000 | 1,434,863 | ||||||
Summer BC Bidco B LLC |
||||||||
5.500% 10/31/26 (e) |
515,000 | 495,729 | ||||||
Terrier Media Buyer, Inc. |
||||||||
8.875% 12/15/27 (e) |
5,314,000 | 5,448,763 | ||||||
| 7,379,355 | ||||||||
Aerospace & Defense — 1.1% |
||||||||
TransDigm, Inc. |
||||||||
8.000% 12/15/25 (e) |
221,000 | 230,116 | ||||||
Triumph Group, Inc. |
||||||||
6.250% 9/15/24 (e) |
1,563,000 | 1,554,794 | ||||||
7.750% 8/15/25 |
3,428,000 | 3,453,299 | ||||||
| 5,238,209 | ||||||||
Airlines — 2.3% |
||||||||
American Airlines, Inc. |
||||||||
11.750% 7/15/25 (e) |
2,318,000 | 2,705,709 | ||||||
American Airlines, Inc. /AAdvantage Loyalty IP Ltd. |
||||||||
5.500% 4/20/26 (e) |
3,925,000 | 3,954,830 | ||||||
5.750% 4/20/29 (e) |
1,488,000 | 1,482,420 | ||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. |
||||||||
6.500% 6/20/27 (e) |
1,287,000 | 1,341,698 | ||||||
United Airlines, Inc. |
||||||||
4.375% 4/15/26 (e) |
758,000 | 746,156 | ||||||
4.625% 4/15/29 (e) |
795,000 | 756,005 | ||||||
| 10,986,818 | ||||||||
Auto Manufacturers — 1.3% |
||||||||
Ford Motor Credit Co. LLC |
||||||||
4.000% 11/13/30 |
1,000,000 | 942,200 | ||||||
4.125% 8/17/27 |
1,560,000 | 1,527,895 | ||||||
4.389% 1/08/26 |
712,000 | 710,156 | ||||||
5.113% 5/03/29 |
322,000 | 325,221 | ||||||
JB Poindexter & Co., Inc. |
||||||||
7.125% 4/15/26 (e) |
2,448,000 | 2,490,277 | ||||||
| 5,995,749 | ||||||||
The accompanying notes are an integral part of the financial statements.
70
MassMutual High Yield Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Auto Parts & Equipment — 0.5% |
||||||||
Adient Global Holdings Ltd. |
||||||||
4.875% 8/15/26 (e) |
$ | 1,734,000 | $ | 1,653,803 | ||||
Clarios Global LP |
||||||||
6.750% 5/15/25 (e) |
482,000 | 499,125 | ||||||
Clarios Global LP/Clarios US Finance Co. |
||||||||
8.500% 5/15/27 (e) |
236,000 | 244,850 | ||||||
| 2,397,778 | ||||||||
Beverages — 0.0% |
||||||||
Triton Water Holdings, Inc. |
||||||||
6.250% 4/01/29 (e) |
164,000 | 140,220 | ||||||
Biotechnology — 0.5% |
||||||||
Emergent BioSolutions, Inc. |
||||||||
3.875% 8/15/28 (e) |
2,529,000 | 2,268,741 | ||||||
Building Materials — 1.0% |
||||||||
Jeld-Wen, Inc. |
||||||||
4.875% 12/15/27 (e) |
474,000 | 453,855 | ||||||
New Enterprise Stone & Lime Co., Inc. |
||||||||
5.250% 7/15/28 (e) |
706,000 | 678,734 | ||||||
9.750% 7/15/28 (e) |
3,764,000 | 3,796,935 | ||||||
| 4,929,524 | ||||||||
Chemicals — 2.7% |
||||||||
ASP Unifrax Holdings, Inc. |
||||||||
7.500% 9/30/29 (e) |
736,000 | 654,496 | ||||||
Consolidated Energy Finance SA |
||||||||
5.625% 10/15/28 (e) |
4,296,000 | 3,973,800 | ||||||
6.500% 5/15/26 (e) |
1,216,000 | 1,241,135 | ||||||
LSF11 A5 HoldCo LLC |
||||||||
6.625% 10/15/29 (e) |
1,603,000 | 1,491,351 | ||||||
Olympus Water US Holding Corp. |
||||||||
4.250% 10/01/28 (e) |
2,503,000 | 2,274,801 | ||||||
6.250% 10/01/29 (e) (f) |
1,772,000 | 1,568,220 | ||||||
PMHC II, Inc. |
||||||||
9.000% 2/15/30 (e) |
2,089,000 | 1,838,153 | ||||||
| 13,041,956 | ||||||||
Coal — 1.5% |
||||||||
Coronado Finance Pty Ltd. |
||||||||
10.750% 5/15/26 (e) |
2,339,000 | 2,505,654 | ||||||
PIC AU Holdings LLC / PIC AU Holdings Corp. |
||||||||
10.000% 12/31/24 (e) |
4,073,000 | 4,179,916 | ||||||
Warrior Met Coal, Inc. |
||||||||
7.875% 12/01/28 (e) |
564,000 | 592,905 | ||||||
| 7,278,475 | ||||||||
Commercial Services — 2.2% |
||||||||
Alta Equipment Group, Inc. |
||||||||
5.625% 4/15/26 (e) |
2,194,000 | 2,085,287 | ||||||
Principal |
Value |
|||||||
Cimpress PLC |
||||||||
7.000% 6/15/26 (e) |
$ | 427,000 | $ | 408,981 | ||||
The Hertz Corp. |
||||||||
5.000% 12/01/29 (e) |
1,347,000 | 1,221,675 | ||||||
PECF USS Intermediate Holding III Corp. |
||||||||
8.000% 11/15/29 (e) |
388,000 | 374,420 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. |
||||||||
6.250% 1/15/28 (e) |
2,865,000 | 2,805,981 | ||||||
PROG Holdings, Inc. |
||||||||
6.000% 11/15/29 (e) |
2,360,000 | 2,188,900 | ||||||
Rent-A-Center, Inc. /TX |
||||||||
6.375% 2/15/29 (e) (f) |
499,000 | 457,022 | ||||||
Sabre GLBL, Inc. |
||||||||
9.250% 4/15/25 (e) |
356,000 | 394,686 | ||||||
WASH Multifamily Acquisition, Inc. |
||||||||
5.750% 4/15/26 (e) |
786,000 | 787,965 | ||||||
| 10,724,917 | ||||||||
Computers — 1.2% |
||||||||
Condor Merger Sub, Inc. |
||||||||
7.375% 2/15/30 (e) |
3,092,000 | 2,960,590 | ||||||
Presidio Holdings, Inc. |
||||||||
8.250% 2/01/28 (e) |
2,787,000 | 2,842,740 | ||||||
| 5,803,330 | ||||||||
Cosmetics & Personal Care — 0.6% |
||||||||
Coty, Inc. /HFC Prestige Products, Inc. /HFC Prestige International US LLC |
||||||||
4.750% 1/15/29 (e) |
3,086,000 | 2,877,695 | ||||||
Distribution & Wholesale — 0.2% |
||||||||
Resideo Funding, Inc. |
||||||||
4.000% 9/01/29 (e) |
1,023,000 | 930,981 | ||||||
Univar Solutions USA, Inc. |
||||||||
5.125% 12/01/27 (e) |
177,000 | 177,000 | ||||||
| 1,107,981 | ||||||||
Diversified Financial Services — 4.7% |
||||||||
Coinbase Global, Inc. |
||||||||
3.375% 10/01/28 (e) (f) |
1,255,000 | 1,118,205 | ||||||
3.625% 10/01/31 (e) |
1,018,000 | 867,845 | ||||||
Global Aircraft Leasing Co. Ltd. |
||||||||
6.500% 9/15/24 (e) |
9,179,749 | 8,348,706 | ||||||
Jefferson Capital Holdings LLC |
||||||||
6.000% 8/15/26 (e) |
2,664,000 | 2,537,460 | ||||||
Midcap Financial Issuer Trust |
||||||||
5.625% 1/15/30 (e) |
723,000 | 638,894 | ||||||
6.500% 5/01/28 (e) |
2,875,000 | 2,703,995 | ||||||
The accompanying notes are an integral part of the financial statements.
71
MassMutual High Yield Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
OneMain Finance Corp. |
||||||||
4.000% 9/15/30 |
$ | 1,207,000 | $ | 1,065,178 | ||||
5.375% 11/15/29 |
2,695,000 | 2,618,381 | ||||||
PRA Group, Inc. |
||||||||
5.000% 10/01/29 (e) |
2,970,000 | 2,814,728 | ||||||
| 22,713,392 | ||||||||
Electric — 1.3% |
||||||||
PG&E Corp. |
||||||||
5.000% 7/01/28 |
3,644,000 | 3,522,290 | ||||||
5.250% 7/01/30 |
583,000 | 565,452 | ||||||
Pike Corp. |
||||||||
5.500% 9/01/28 (e) |
2,213,000 | 2,085,753 | ||||||
| 6,173,495 | ||||||||
Electrical Components & Equipment — 0.3% |
||||||||
Energizer Holdings, Inc. |
||||||||
6.500% 12/31/27 (e) |
1,508,000 | 1,492,920 | ||||||
Electronics — 0.4% |
||||||||
Atkore, Inc. |
||||||||
4.250% 6/01/31 (e) |
2,205,000 | 2,050,650 | ||||||
Engineering & Construction — 0.4% |
||||||||
Arcosa, Inc. Co. |
||||||||
4.375% 4/15/29 (e) |
825,000 | 782,719 | ||||||
Railworks Holdings LP / Railworks Rally, Inc. |
||||||||
8.250% 11/15/28 (e) |
879,000 | 902,570 | ||||||
| 1,685,289 | ||||||||
Entertainment — 1.3% |
||||||||
Caesars Entertainment, Inc. |
||||||||
8.125% 7/01/27 (e) |
2,188,000 | 2,346,269 | ||||||
Caesars Resort Collection LLC/CRC Finco, Inc. |
||||||||
5.750% 7/01/25 (e) |
125,000 | 128,110 | ||||||
CCM Merger, Inc. |
||||||||
6.375% 5/01/26 (e) |
1,164,000 | 1,175,640 | ||||||
Everi Holdings, Inc. |
||||||||
5.000% 7/15/29 (e) |
31,000 | 29,372 | ||||||
Live Nation Entertainment, Inc. |
||||||||
4.750% 10/15/27 (e) |
1,989,000 | 1,944,506 | ||||||
Scientific Games International, Inc. |
||||||||
7.250% 11/15/29 (e) |
708,000 | 742,515 | ||||||
| 6,366,412 | ||||||||
Food — 1.8% |
||||||||
JBS Finance Luxembourg Sarl |
||||||||
3.625% 1/15/32 (e) |
2,474,000 | 2,263,710 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
||||||||
3.750% 12/01/31 (e) |
400,000 | 371,294 | ||||||
5.500% 1/15/30 (e) |
3,870,000 | 3,956,224 | ||||||
Principal |
Value |
|||||||
Simmons Foods, Inc. /Simmons Prepared Foods, Inc. /Simmons Pet Food, Inc. /Simmons Feed |
||||||||
4.625% 3/01/29 (e) |
$ | 1,142,000 | $ | 1,070,625 | ||||
US Foods, Inc. |
||||||||
4.750% 2/15/29 (e) |
1,147,000 | 1,093,951 | ||||||
| 8,755,804 | ||||||||
Forest Products & Paper — 0.7% |
||||||||
Clearwater Paper Corp. |
||||||||
4.750% 8/15/28 (e) |
1,232,000 | 1,144,220 | ||||||
Sylvamo Corp. |
||||||||
7.000% 9/01/29 (e) |
2,127,000 | 2,087,438 | ||||||
| 3,231,658 | ||||||||
Health Care – Products — 0.3% |
||||||||
Mozart Debt Merger Sub, Inc. |
||||||||
5.250% 10/01/29 (e) |
1,754,000 | 1,639,359 | ||||||
Health Care – Services — 4.0% |
||||||||
Centene Corp. |
||||||||
4.625% 12/15/29 |
3,129,000 | 3,166,548 | ||||||
Charles River Laboratories International, Inc. |
||||||||
3.750% 3/15/29 (e) |
280,000 | 264,250 | ||||||
4.250% 5/01/28 (e) |
1,031,000 | 1,003,936 | ||||||
CHS/Community Health Systems, Inc. |
||||||||
4.750% 2/15/31 (e) |
758,000 | 716,310 | ||||||
5.625% 3/15/27 (e) |
556,000 | 567,404 | ||||||
6.000% 1/15/29 (e) |
274,000 | 277,203 | ||||||
6.125% 4/01/30 (e) |
1,361,000 | 1,266,370 | ||||||
6.875% 4/15/29 (e) (f) |
472,000 | 463,740 | ||||||
ModivCare Escrow Issuer, Inc. |
||||||||
5.000% 10/01/29 (e) |
969,000 | 903,311 | ||||||
ModivCare, Inc. |
||||||||
5.875% 11/15/25 (e) |
142,000 | 143,420 | ||||||
Molina Healthcare, Inc. |
||||||||
4.375% 6/15/28 (e) |
920,000 | 905,505 | ||||||
Radiology Partners, Inc. |
||||||||
9.250% 2/01/28 (e) |
4,598,000 | 4,598,000 | ||||||
RP Escrow Issuer LLC |
||||||||
5.250% 12/15/25 (e) |
2,376,000 | 2,320,116 | ||||||
Tenet Healthcare Corp. |
||||||||
4.375% 1/15/30 (e) |
1,178,000 | 1,130,798 | ||||||
4.875% 1/01/26 (e) |
125,000 | 126,510 | ||||||
6.125% 10/01/28 (e) |
1,550,000 | 1,575,188 | ||||||
| 19,428,609 | ||||||||
Home Builders — 1.6% |
||||||||
Ashton Woods USA LLC / Ashton Woods Finance Co. |
||||||||
4.625% 8/01/29 (e) |
1,339,000 | 1,180,770 | ||||||
The accompanying notes are an integral part of the financial statements.
72
MassMutual High Yield Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Empire Communities Corp. |
||||||||
7.000% 12/15/25 (e) |
$ | 880,000 | $ | 869,440 | ||||
M/I Homes, Inc. |
||||||||
4.950% 2/01/28 |
1,544,000 | 1,455,220 | ||||||
Mattamy Group Corp. |
||||||||
4.625% 3/01/30 (e) |
4,544,000 | 4,268,225 | ||||||
5.250% 12/15/27 (e) |
25,000 | 24,781 | ||||||
| 7,798,436 | ||||||||
Insurance — 0.3% |
||||||||
Highlands Holdings Bond Issuer Ltd. / Highlands Holdings Bond Co-Issuer, Inc. |
||||||||
7.625% 10/15/25 (e) |
1,593,066 | 1,599,645 | ||||||
Internet — 2.9% |
||||||||
Acuris Finance Us, Inc. / Acuris Finance SARL |
||||||||
5.000% 5/01/28 (e) |
1,794,000 | 1,648,237 | ||||||
Getty Images, Inc. |
||||||||
9.750% 3/01/27 (e) |
2,165,000 | 2,240,775 | ||||||
ION Trading Technologies Sarl |
||||||||
5.750% 5/15/28 (e) |
1,728,000 | 1,665,360 | ||||||
Millennium Escrow Corp. |
||||||||
6.625% 8/01/26 (e) |
1,956,000 | 1,857,105 | ||||||
Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc. |
||||||||
4.750% 4/30/27 (e) |
908,000 | 862,146 | ||||||
6.000% 2/15/28 (e) (f) |
1,221,000 | 1,071,796 | ||||||
10.750% 6/01/28 (e) |
2,410,000 | 2,512,449 | ||||||
Twitter, Inc. |
||||||||
5.000% 3/01/30 (e) |
1,902,000 | 1,892,490 | ||||||
| 13,750,358 | ||||||||
Investment Companies — 0.8% |
||||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. |
||||||||
5.250% 5/15/27 |
2,581,000 | 2,533,058 | ||||||
6.250% 5/15/26 |
1,500,000 | 1,530,000 | ||||||
| 4,063,058 | ||||||||
Leisure Time — 2.5% |
||||||||
Carnival Corp. |
||||||||
7.625% 3/01/26 (e) |
651,000 | 655,987 | ||||||
5.750% 3/01/27 (e) |
2,737,000 | 2,607,458 | ||||||
6.000% 5/01/29 (e) |
2,557,000 | 2,409,563 | ||||||
CWT Travel Group, Inc. |
||||||||
8.500% 11/19/26 (e) |
696 | 686 | ||||||
NCL Corp. Ltd. |
||||||||
5.875% 3/15/26 (e) |
3,309,000 | 3,143,550 | ||||||
5.875% 2/15/27 (e) |
224,000 | 220,640 | ||||||
NCL Finance Ltd. |
||||||||
6.125% 3/15/28 (e) (f) |
620,000 | 574,954 | ||||||
Principal |
Value |
|||||||
Royal Caribbean Cruises Ltd. |
||||||||
5.500% 8/31/26 (e) |
$ | 2,384,000 | $ | 2,297,508 | ||||
| 11,910,346 | ||||||||
Lodging — 1.1% |
||||||||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc |
||||||||
4.875% 7/01/31 (e) |
1,266,000 | 1,174,215 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp. |
||||||||
5.875% 5/15/25 (e) |
1,698,000 | 1,672,530 | ||||||
Travel & Leisure Co. |
||||||||
6.625% 7/31/26 (e) |
1,201,000 | 1,252,043 | ||||||
Wyndham Hotels & Resorts, Inc. |
||||||||
4.375% 8/15/28 (e) |
968,000 | 929,086 | ||||||
| 5,027,874 | ||||||||
Machinery – Diversified — 0.6% |
||||||||
Clark Equipment Co. |
||||||||
5.875% 6/01/25 (e) |
1,412,000 | 1,426,120 | ||||||
OT Merger Corp. |
||||||||
7.875% 10/15/29 (e) |
1,720,000 | 1,487,800 | ||||||
Welbilt, Inc. |
||||||||
9.500% 2/15/24 |
54,000 | 55,005 | ||||||
| 2,968,925 | ||||||||
Media — 9.1% |
||||||||
Altice Financing SA |
||||||||
5.000% 1/15/28 (e) |
743,000 | 665,988 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||
4.250% 1/15/34 (e) |
3,376,000 | 2,932,039 | ||||||
4.500% 5/01/32 |
215,000 | 196,983 | ||||||
CSC Holdings LLC |
||||||||
4.625% 12/01/30 (e) |
1,843,000 | 1,541,283 | ||||||
5.750% 1/15/30 (e) |
670,000 | 600,797 | ||||||
Cumulus Media New Holdings, Inc. |
||||||||
6.750% 7/01/26 (e) (f) |
1,618,000 | 1,618,388 | ||||||
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. |
||||||||
5.875% 8/15/27 (e) |
3,511,000 | 3,455,877 | ||||||
DISH DBS Corp. |
||||||||
5.250% 12/01/26 (e) |
392,000 | 373,164 | ||||||
5.750% 12/01/28 (e) |
504,000 | 476,910 | ||||||
5.875% 11/15/24 |
981,000 | 978,548 | ||||||
7.375% 7/01/28 |
918,000 | 869,805 | ||||||
DISH Network Corp. |
||||||||
3.375% 8/15/26 |
3,231,000 | 2,906,285 | ||||||
The accompanying notes are an integral part of the financial statements.
73
MassMutual High Yield Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Gray Escrow II, Inc. |
||||||||
5.375% 11/15/31 (e) |
$ | 1,881,000 | $ | 1,798,640 | ||||
iHeartCommunications, Inc. |
||||||||
8.375% 5/01/27 |
2,871,000 | 2,971,485 | ||||||
LCPR Senior Secured Financing DAC |
||||||||
5.125% 7/15/29 (e) |
3,185,000 | 3,040,704 | ||||||
6.750% 10/15/27 (e) |
2,216,000 | 2,276,497 | ||||||
Nexstar Media, Inc. |
||||||||
4.750% 11/01/28 (e) |
646,000 | 629,055 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. |
||||||||
6.500% 9/15/28 (e) |
3,402,000 | 3,227,563 | ||||||
Sinclair Television Group Inc, SERIES 144A, 144A, |
||||||||
5.125% 2/15/27 (e) |
1,350,000 | 1,225,125 | ||||||
Sirius XM Radio, Inc. |
||||||||
3.125% 9/01/26 (e) |
1,566,000 | 1,480,611 | ||||||
3.875% 9/01/31 (e) |
2,314,000 | 2,122,702 | ||||||
Townsquare Media, Inc. |
||||||||
6.875% 2/01/26 (e) |
3,013,000 | 3,102,938 | ||||||
Virgin Media Secured Finance PLC |
||||||||
4.500% 8/15/30 (e) |
250,000 | 233,125 | ||||||
5.500% 5/15/29 (e) |
4,137,000 | 4,097,326 | ||||||
Ziggo BV |
||||||||
4.875% 1/15/30 (e) |
1,284,000 | 1,209,181 | ||||||
| 44,031,019 | ||||||||
Metal Fabricate & Hardware — 0.2% |
||||||||
Park-Ohio Industries, Inc. |
||||||||
6.625% 4/15/27 (f) |
1,117,000 | 935,487 | ||||||
Mining — 2.6% |
||||||||
Compass Minerals International, Inc. |
||||||||
4.875% 7/15/24 (e) |
1,164,000 | 1,150,905 | ||||||
6.750% 12/01/27 (e) |
1,018,000 | 1,030,827 | ||||||
First Quantum Minerals Ltd. |
||||||||
6.500% 3/01/24 (e) |
2,110,000 | 2,123,187 | ||||||
6.875% 3/01/26 (e) |
1,420,000 | 1,459,547 | ||||||
7.500% 4/01/25 (e) |
2,954,000 | 2,998,310 | ||||||
Hecla Mining Co. |
||||||||
7.250% 2/15/28 |
2,871,000 | 3,010,961 | ||||||
Novelis Corp. |
||||||||
3.250% 11/15/26 (e) |
304,000 | 290,405 | ||||||
3.875% 8/15/31 (e) |
313,000 | 286,289 | ||||||
| 12,350,431 | ||||||||
Miscellaneous - Manufacturing — 0.3% |
||||||||
Gates Global LLC / Gates Corp. |
||||||||
6.250% 1/15/26 (e) |
1,298,000 | 1,301,245 | ||||||
Principal |
Value |
|||||||
Oil & Gas — 10.0% |
||||||||
Apache Corp. |
||||||||
4.750% 4/15/43 |
$ | 816,000 | $ | 775,730 | ||||
5.100% 9/01/40 |
607,000 | 611,553 | ||||||
5.350% 7/01/49 |
910,000 | 874,810 | ||||||
Chesapeake Energy Corp. |
||||||||
5.500% 2/01/26 (e) |
633,000 | 648,554 | ||||||
5.875% 2/01/29 (e) |
1,359,000 | 1,403,167 | ||||||
Comstock Resources, Inc. |
||||||||
5.875% 1/15/30 (e) |
733,000 | 722,225 | ||||||
6.750% 3/01/29 (e) |
1,512,000 | 1,559,749 | ||||||
CVR Energy, Inc. |
||||||||
5.250% 2/15/25 (e) |
1,318,000 | 1,279,211 | ||||||
5.750% 2/15/28 (e) (f) |
4,261,000 | 4,041,175 | ||||||
Hilcorp Energy I LP / Hilcorp Finance Co. |
||||||||
5.750% 2/01/29 (e) |
513,000 | 513,308 | ||||||
6.000% 2/01/31 (e) |
1,607,000 | 1,611,017 | ||||||
6.250% 11/01/28 (e) |
2,052,000 | 2,078,368 | ||||||
MEG Energy Corp. |
||||||||
7.125% 2/01/27 (e) |
2,992,000 | 3,132,624 | ||||||
Murphy Oil Corp. |
||||||||
6.375% 7/15/28 |
1,190,000 | 1,239,087 | ||||||
Nabors Industries Ltd. |
||||||||
7.250% 1/15/26 (e) |
2,399,000 | 2,399,000 | ||||||
7.500% 1/15/28 (e) |
909,000 | 886,275 | ||||||
Nabors Industries, Inc. |
||||||||
5.750% 2/01/25 |
387,000 | 377,567 | ||||||
7.375% 5/15/27 (e) |
2,040,000 | 2,122,355 | ||||||
Neptune Energy Bondco PLC |
||||||||
6.625% 5/15/25 (e) |
3,165,000 | 3,169,114 | ||||||
Occidental Petroleum Corp. |
||||||||
6.125% 1/01/31 (f) |
1,607,000 | 1,809,884 | ||||||
6.200% 3/15/40 |
2,664,000 | 2,957,040 | ||||||
6.375% 9/01/28 |
2,015,000 | 2,269,394 | ||||||
6.450% 9/15/36 |
1,040,000 | 1,225,520 | ||||||
6.600% 3/15/46 |
1,639,000 | 1,925,825 | ||||||
Parkland Corp. |
||||||||
4.625% 5/01/30 (e) |
795,000 | 739,350 | ||||||
5.875% 7/15/27 (e) |
1,856,000 | 1,851,360 | ||||||
Range Resources Corp. Co. |
||||||||
8.250% 1/15/29 |
846,000 | 927,140 | ||||||
Rockcliff Energy II LLC |
||||||||
5.500% 10/15/29 (e) |
956,000 | 958,003 | ||||||
Southwestern Energy Co. |
||||||||
4.750% 2/01/32 |
380,000 | 379,525 | ||||||
5.375% 3/15/30 |
366,000 | 371,933 | ||||||
Transocean Guardian Ltd. |
||||||||
5.875% 1/15/24 (e) |
189,802 | 181,736 | ||||||
The accompanying notes are an integral part of the financial statements.
74
MassMutual High Yield Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Transocean Poseidon Ltd. |
||||||||
6.875% 2/01/27 (e) |
$ | 183,750 | $ | 181,913 | ||||
Transocean, Inc. |
||||||||
7.250% 11/01/25 (e) |
1,205,000 | 1,048,350 | ||||||
7.500% 1/15/26 (e) |
1,662,000 | 1,443,306 | ||||||
8.000% 2/01/27 (e) |
481,000 | 406,445 | ||||||
| 48,121,613 | ||||||||
Oil & Gas Services — 0.7% |
||||||||
Weatherford International Ltd. |
||||||||
6.500% 9/15/28 (e) |
964,000 | 992,891 | ||||||
8.625% 4/30/30 (e) |
2,354,000 | 2,390,134 | ||||||
| 3,383,025 | ||||||||
Packaging & Containers — 1.1% |
||||||||
Clydesdale Acquisition Holdings, Inc. |
||||||||
6.625% 4/15/29 (e) (g) |
538,000 | 544,052 | ||||||
8.750% 4/15/30 (e) (g) |
1,799,000 | 1,693,309 | ||||||
Mauser Packaging Solutions Holding Co. |
||||||||
5.500% 4/15/24 (e) |
384,000 | 382,475 | ||||||
Trident TPI Holdings, Inc. |
||||||||
9.250% 8/01/24 (e) |
2,752,000 | 2,765,760 | ||||||
| 5,385,596 | ||||||||
Pharmaceuticals — 4.0% |
||||||||
AdaptHealth LLC |
||||||||
4.625% 8/01/29 (e) |
94,000 | 85,070 | ||||||
5.125% 3/01/30 (e) |
3,300,000 | 3,064,875 | ||||||
Bausch Health Americas, Inc. |
||||||||
8.500% 1/31/27 (e) (f) |
175,000 | 174,872 | ||||||
9.250% 4/01/26 (e) |
1,117,000 | 1,145,824 | ||||||
Bausch Health Cos., Inc. |
||||||||
4.875% 6/01/28 (e) |
1,873,000 | 1,793,397 | ||||||
5.000% 1/30/28 (e) |
569,000 | 468,611 | ||||||
5.000% 2/15/29 (e) |
1,882,000 | 1,478,970 | ||||||
5.250% 1/30/30 (e) |
2,328,000 | 1,828,737 | ||||||
5.250% 2/15/31 (e) |
3,803,000 | 2,975,847 | ||||||
6.125% 4/15/25 (e) |
697,000 | 703,099 | ||||||
6.250% 2/15/29 (e) |
1,515,000 | 1,242,300 | ||||||
9.000% 12/15/25 (e) |
870,000 | 901,385 | ||||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV |
||||||||
4.125% 4/30/28 (e) |
546,000 | 521,235 | ||||||
5.125% 4/30/31 (e) |
1,230,000 | 1,190,948 | ||||||
Par Pharmaceutical, Inc. |
||||||||
7.500% 4/01/27 (e) |
1,650,000 | 1,539,698 | ||||||
| 19,114,868 | ||||||||
Principal |
Value |
|||||||
Pipelines — 7.9% |
||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. |
||||||||
5.375% 6/15/29 (e) |
$ | 5,376,000 | $ | 5,370,517 | ||||
Buckeye Partners LP |
||||||||
5.850% 11/15/43 |
303,000 | 258,289 | ||||||
CQP Holdco LP / BIP-V Chinook Holdco LLC |
||||||||
5.500% 6/15/31 (e) |
2,124,000 | 2,089,883 | ||||||
EnLink Midstream LLC |
||||||||
5.375% 6/01/29 |
786,000 | 786,000 | ||||||
5.625% 1/15/28 (e) |
449,000 | 458,339 | ||||||
EnLink Midstream Partners LP |
||||||||
4.150% 6/01/25 |
67,000 | 66,660 | ||||||
4.850% 7/15/26 |
277,000 | 277,693 | ||||||
5.050% 4/01/45 |
160,000 | 129,600 | ||||||
5.450% 6/01/47 |
706,000 | 596,570 | ||||||
5.600% 4/01/44 |
3,122,000 | 2,692,725 | ||||||
EQM Midstream Partners LP |
||||||||
4.500% 1/15/29 (e) |
1,111,000 | 1,045,129 | ||||||
4.750% 1/15/31 (e) |
1,001,000 | 935,935 | ||||||
6.000% 7/01/25 (e) |
922,000 | 934,470 | ||||||
6.500% 7/01/27 (e) |
763,000 | 796,984 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
||||||||
5.625% 6/15/24 |
666,000 | 661,851 | ||||||
6.250% 5/15/26 |
290,000 | 280,807 | ||||||
6.500% 10/01/25 |
3,856,000 | 3,803,173 | ||||||
8.000% 1/15/27 |
1,908,000 | 1,951,426 | ||||||
Harvest Midstream I LP |
||||||||
7.500% 9/01/28 (e) |
2,775,000 | 2,842,155 | ||||||
ITT Holdings LLC |
||||||||
6.500% 8/01/29 (e) |
4,327,000 | 3,996,936 | ||||||
NGL Energy Operating LLC / NGL Energy Finance Corp. |
||||||||
7.500% 2/01/26 (e) |
3,562,000 | 3,503,904 | ||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. |
||||||||
7.500% 10/01/25 (e) |
1,400,000 | 1,474,214 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
||||||||
5.000% 1/15/28 |
139,000 | 140,873 | ||||||
5.500% 3/01/30 |
128,000 | 133,441 | ||||||
Venture Global Calcasieu Pass LLC |
||||||||
3.875% 8/15/29 (e) |
869,000 | 843,647 | ||||||
4.125% 8/15/31 (e) |
994,000 | 975,263 | ||||||
Western Midstream Operating LP |
||||||||
5.450% 4/01/44 |
929,000 | 942,935 | ||||||
| 37,989,419 | ||||||||
The accompanying notes are an integral part of the financial statements.
75
MassMutual High Yield Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Real Estate — 0.5% |
||||||||
Realogy Group LLC / Realogy Co-Issuer Corp. |
||||||||
5.750% 1/15/29 (e) |
$ | 2,591,000 | $ | 2,448,327 | ||||
Real Estate Investment Trusts (REITS) — 1.7% |
||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. |
||||||||
4.750% 6/15/29 (e) |
2,804,000 | 2,656,748 | ||||||
RHP Hotel Properties LP/RHP Finance Corp. |
||||||||
4.750% 10/15/27 |
1,660,000 | 1,597,750 | ||||||
Service Properties Trust |
||||||||
3.950% 1/15/28 |
359,000 | 305,168 | ||||||
4.375% 2/15/30 |
568,000 | 471,520 | ||||||
4.950% 2/15/27 |
284,000 | 263,566 | ||||||
5.500% 12/15/27 |
949,000 | 915,310 | ||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC |
||||||||
4.750% 4/15/28 (e) |
1,162,000 | 1,099,856 | ||||||
6.500% 2/15/29 (e) |
560,000 | 523,293 | ||||||
7.875% 2/15/25 (e) |
166,000 | 172,476 | ||||||
| 8,005,687 | ||||||||
Retail — 4.6% |
||||||||
Asbury Automotive Group, Inc. |
||||||||
4.625% 11/15/29 (e) |
610,000 | 570,631 | ||||||
Bath & Body Works, Inc. |
||||||||
6.750% 7/01/36 |
658,000 | 672,871 | ||||||
6.875% 11/01/35 |
2,029,000 | 2,099,000 | ||||||
BCPE Ulysses Intermediate, Inc. |
||||||||
7.750% 4/01/27 (e) |
3,207,000 | 2,910,352 | ||||||
Macy’s Retail Holdings LLC |
||||||||
5.875% 4/01/29 (e) (f) |
261,000 | 259,043 | ||||||
5.875% 3/15/30 (e) (f) |
500,000 | 494,733 | ||||||
6.125% 3/15/32 (e) |
553,000 | 546,087 | ||||||
NMG Holding Co., Inc. / Neiman Marcus Group LLC |
||||||||
7.125% 4/01/26 (e) |
3,772,000 | 3,873,844 | ||||||
Nordstrom, Inc. |
||||||||
4.000% 3/15/27 |
442,000 | 425,757 | ||||||
4.375% 4/01/30 |
443,000 | 413,902 | ||||||
5.000% 1/15/44 (f) |
2,262,000 | 2,025,372 | ||||||
Park River Holdings, Inc. |
||||||||
5.625% 2/01/29 (e) |
740,000 | 597,720 | ||||||
Sonic Automotive, Inc. |
||||||||
4.625% 11/15/29 (e) |
807,000 | 721,256 | ||||||
4.875% 11/15/31 (e) |
448,000 | 397,107 | ||||||
Staples, Inc. |
||||||||
7.500% 4/15/26 (e) |
3,138,000 | 3,047,327 | ||||||
Principal |
Value |
|||||||
10.750% 4/15/27 (e) |
$ | 2,722,000 | $ | 2,419,763 | ||||
Superior Plus LP / Superior General Partner, Inc. |
||||||||
4.500% 3/15/29 (e) |
957,000 | 899,226 | ||||||
| 22,373,991 | ||||||||
Software — 1.5% |
||||||||
Avaya Holdings Corp., Convertible, |
||||||||
2.250% 6/15/23 |
1,776,000 | 1,720,056 | ||||||
Boxer Parent Co., Inc. |
||||||||
9.125% 3/01/26 (e) |
158,000 | 163,135 | ||||||
Consensus Cloud Solutions, Inc. |
||||||||
6.000% 10/15/26 (e) |
702,000 | 696,735 | ||||||
6.500% 10/15/28 (e) |
511,000 | 507,765 | ||||||
Open Text Corp. |
||||||||
3.875% 2/15/28 (e) |
302,000 | 289,549 | ||||||
3.875% 12/01/29 (e) |
396,000 | 376,200 | ||||||
Open Text Holdings, Inc. |
||||||||
4.125% 12/01/31 (e) |
504,000 | 471,870 | ||||||
Veritas US, Inc./Veritas Bermuda Ltd. |
||||||||
7.500% 9/01/25 (e) |
2,925,000 | 2,777,083 | ||||||
| 7,002,393 | ||||||||
Telecommunications — 4.6% |
||||||||
Altice France SA |
||||||||
5.125% 7/15/29 (e) |
2,356,000 | 2,111,565 | ||||||
Connect Finco SARL / Connect US Finco LLC |
||||||||
6.750% 10/01/26 (e) |
584,000 | 594,156 | ||||||
Consolidated Communications, Inc. |
||||||||
6.500% 10/01/28 (e) |
2,299,000 | 2,118,299 | ||||||
Frontier Communications Holdings LLC |
||||||||
5.000% 5/01/28 (e) |
3,081,000 | 2,957,760 | ||||||
6.000% 1/15/30 (e) (f) |
819,000 | 757,575 | ||||||
6.750% 5/01/29 (e) |
902,000 | 865,685 | ||||||
Hughes Satellite Systems Corp. |
||||||||
6.625% 8/01/26 |
3,461,000 | 3,580,681 | ||||||
Sprint Capital Corp. |
||||||||
6.875% 11/15/28 |
3,131,000 | 3,632,054 | ||||||
8.750% 3/15/32 |
3,240,000 | 4,360,808 | ||||||
Windstream Escrow LLC / Windstream Escrow Finance Corp. |
||||||||
7.750% 8/15/28 (e) (f) |
1,364,000 | 1,381,050 | ||||||
| 22,359,633 | ||||||||
Transportation — 1.5% |
||||||||
Carriage Purchaser, Inc. |
||||||||
7.875% 10/15/29 (e) |
1,435,000 | 1,324,548 | ||||||
First Student Bidco, Inc./First Transit Parent, Inc. |
||||||||
4.000% 7/31/29 (e) |
2,525,000 | 2,354,613 | ||||||
The accompanying notes are an integral part of the financial statements.
76
MassMutual High Yield Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Seaspan Corp. |
||||||||
5.500% 8/01/29 (e) |
$ | 3,997,000 | $ | 3,737,195 | ||||
| 7,416,356 | ||||||||
TOTAL CORPORATE DEBT (Cost $454,381,461) |
443,046,068 | |||||||
TOTAL BONDS & NOTES (Cost $466,467,128) |
455,059,271 | |||||||
Number of |
||||||||
MUTUAL FUNDS — 2.7% |
||||||||
Diversified Financial Services — 2.7% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (h) |
13,124,605 | 13,124,605 | ||||||
TOTAL MUTUAL FUNDS (Cost $13,124,605) |
13,124,605 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $482,268,454) |
472,084,909 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 1.3% |
||||||||
Commercial Paper — 0.9% |
||||||||
HP, Inc. |
||||||||
1.228% 4/25/22 (e) |
$ | 4,000,000 | 3,997,666 | |||||
Repurchase Agreement — 0.4% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (i) |
2,036,143 | 2,036,143 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,032,916) |
6,033,809 | |||||||
TOTAL INVESTMENTS — 99.2% (Cost $488,301,370) (j) |
478,118,718 | |||||||
Other Assets/(Liabilities) — 0.8% |
3,901,801 | |||||||
NET ASSETS — 100.0% |
$ | 482,020,519 | ||||||
Abbreviation Legend
|
VRN |
Variable Rate Note |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Non-income producing security. |
|
(b) |
This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2022, these securities amounted to a value of $0 or 0.00% of net assets. |
|
(c) |
Investment was valued using significant unobservable inputs. |
|
(d) |
All or a portion of the security represents unsettled loan commitments at March 31, 2022 where the rate will be determined at time of settlement. |
|
(e) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $360,753,411 or 74.84% of net assets. |
|
(f) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $13,001,581 or 2.70% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $146,146 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on the Portfolio of Investments. (Note 2). |
|
(g) |
A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
|
(h) |
Represents investment of security lending cash collateral. (Note 2). |
|
(i) |
Maturity value of $2,036,143. Collateralized by U.S. Government Agency obligations with a rate of 0.375%, maturity date of 9/15/24, and an aggregate market value, including accrued interest, of $2,076,951. |
|
(j) |
See Note 6 for aggregate cost for federal tax purposes. |
Country weightings, as a percentage of net assets, is as follows:
United States |
77.3 | % | ||
Canada |
7.2 | % | ||
Cayman Islands |
2.4 | % | ||
Bermuda |
2.2 | % | ||
Luxembourg |
2.0 | % | ||
United Kingdom |
1.9 | % | ||
Ireland |
1.2 | % | ||
Panama |
1.2 | % | ||
Marshall Islands |
0.8 | % | ||
Australia |
0.5 | % | ||
Liberia |
0.5 | % | ||
France |
0.4 | % | ||
Netherlands |
0.3 | % | ||
Total Long-Term Investments |
97.9 | % | ||
Short-Term Investments and Other Assets and Liabilities |
2.1 | % | ||
Net Assets |
100.0 | % |
The accompanying notes are an integral part of the financial statements.
77
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 66.3% |
||||||||
COMMON STOCK — 66.3% |
||||||||
Basic Materials — 0.9% |
||||||||
Chemicals — 0.7% |
||||||||
Air Products & Chemicals, Inc. |
438 | $ | 109,461 | |||||
Celanese Corp. |
292 | 41,718 | ||||||
Dow, Inc. |
1,198 | 76,337 | ||||||
DuPont de Nemours, Inc. |
1,178 | 86,677 | ||||||
Ecolab, Inc. |
322 | 56,852 | ||||||
International Flavors & Fragrances, Inc. |
240 | 31,519 | ||||||
Linde PLC |
1,454 | 464,451 | ||||||
LyondellBasell Industries NV Class A |
1,288 | 132,432 | ||||||
PPG Industries, Inc. |
480 | 62,914 | ||||||
| 1,062,361 | ||||||||
Forest Products & Paper — 0.1% |
||||||||
International Paper Co. |
1,315 | 60,687 | ||||||
Mining — 0.1% |
||||||||
Newmont Corp. |
1,567 | 124,498 | ||||||
| 1,247,546 | ||||||||
Communications — 5.0% |
||||||||
Advertising — 0.1% |
||||||||
Omnicom Group, Inc. |
1,245 | 105,676 | ||||||
Internet — 0.5% |
||||||||
eBay, Inc. |
4,334 | 248,165 | ||||||
MercadoLibre, Inc. (a) |
48 | 57,095 | ||||||
NortonLifeLock, Inc. |
2,059 | 54,605 | ||||||
Okta, Inc. (a) |
77 | 11,624 | ||||||
Palo Alto Networks, Inc. (a) |
196 | 122,012 | ||||||
Snap, Inc. Class A (a) |
851 | 30,627 | ||||||
VeriSign, Inc. (a) |
674 | 149,938 | ||||||
| 674,066 | ||||||||
Media — 0.9% |
||||||||
Comcast Corp. Class A |
21,086 | 987,247 | ||||||
Liberty Global PLC Class C (a) |
2,761 | 71,537 | ||||||
Paramount Global Class B |
668 | 25,257 | ||||||
The Walt Disney Co. (a) |
1,963 | 269,245 | ||||||
| 1,353,286 | ||||||||
Telecommunications — 3.5% |
||||||||
Arista Networks, Inc. (a) |
901 | 125,221 | ||||||
AT&T, Inc. |
53,378 | 1,261,322 | ||||||
Cisco Systems, Inc. |
28,978 | 1,615,813 | ||||||
Corning, Inc. |
2,293 | 84,635 | ||||||
Lumen Technologies, Inc. |
4,997 | 56,316 | ||||||
Motorola Solutions, Inc. |
1,015 | 245,833 | ||||||
T-Mobile US, Inc. (a) |
1,394 | 178,920 | ||||||
Number of |
Value |
|||||||
Verizon Communications, Inc. |
29,650 | $ | 1,510,371 | |||||
| 5,078,431 | ||||||||
| 7,211,459 | ||||||||
Consumer, Cyclical — 7.9% |
||||||||
Airlines — 0.0% |
||||||||
Delta Air Lines, Inc. (a) |
73 | 2,889 | ||||||
Apparel — 0.3% |
||||||||
NIKE, Inc. Class B |
3,354 | 451,314 | ||||||
VF Corp. |
440 | 25,019 | ||||||
| 476,333 | ||||||||
Auto Manufacturers — 1.3% |
||||||||
Cummins, Inc. |
603 | 123,681 | ||||||
Ford Motor Co. |
21,929 | 370,819 | ||||||
PACCAR, Inc. |
542 | 47,734 | ||||||
Tesla, Inc. (a) |
1,256 | 1,353,466 | ||||||
| 1,895,700 | ||||||||
Auto Parts & Equipment — 0.1% |
||||||||
Aptiv PLC (a) |
507 | 60,693 | ||||||
Distribution & Wholesale — 0.1% |
||||||||
Fastenal Co. |
1,190 | 70,686 | ||||||
W.W. Grainger, Inc. |
134 | 69,116 | ||||||
| 139,802 | ||||||||
Leisure Time — 0.0% |
||||||||
Carnival Corp. (a) |
356 | 7,198 | ||||||
Lodging — 0.1% |
||||||||
Hilton Worldwide Holdings, Inc. (a) |
201 | 30,500 | ||||||
Las Vegas Sands Corp. (a) |
352 | 13,682 | ||||||
Marriott International, Inc. Class A (a) |
322 | 56,592 | ||||||
| 100,774 | ||||||||
Retail — 6.0% |
||||||||
AutoZone, Inc. (a) |
372 | 760,584 | ||||||
Best Buy Co., Inc. |
550 | 49,995 | ||||||
CarMax, Inc. (a) (b) |
200 | 19,296 | ||||||
Chipotle Mexican Grill, Inc. (a) |
54 | 85,430 | ||||||
Costco Wholesale Corp. |
2,893 | 1,665,934 | ||||||
Dollar General Corp. |
1,495 | 332,832 | ||||||
Dollar Tree, Inc. (a) |
590 | 94,488 | ||||||
Genuine Parts Co. |
1,076 | 135,598 | ||||||
The Home Depot, Inc. |
4,916 | 1,471,506 | ||||||
Lowe’s Cos., Inc. |
3,595 | 726,873 | ||||||
Lululemon Athletica, Inc. (a) |
338 | 123,448 | ||||||
McDonald’s Corp. |
4,397 | 1,087,290 | ||||||
O’Reilly Automotive, Inc. (a) |
822 | 563,037 | ||||||
Ross Stores, Inc. |
778 | 70,378 | ||||||
Starbucks Corp. |
3,817 | 347,232 | ||||||
Target Corp. |
3,007 | 638,146 | ||||||
The TJX Cos., Inc. |
1,902 | 115,223 | ||||||
The accompanying notes are an integral part of the financial statements.
78
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Ulta Beauty, Inc. (a) |
131 | $ | 52,167 | |||||
Walgreens Boots Alliance, Inc. |
2,472 | 110,671 | ||||||
Yum! Brands, Inc. |
1,893 | 224,377 | ||||||
| 8,674,505 | ||||||||
| 11,357,894 | ||||||||
Consumer, Non-cyclical — 14.9% |
||||||||
Agriculture — 0.2% |
||||||||
Archer-Daniels-Midland Co. |
2,826 | 255,075 | ||||||
Beverages — 1.9% |
||||||||
Brown-Forman Corp. Class B |
494 | 33,108 | ||||||
The Coca-Cola Co. |
15,953 | 989,086 | ||||||
Constellation Brands, Inc. Class A |
276 | 63,568 | ||||||
Keurig Dr Pepper, Inc. |
2,051 | 77,733 | ||||||
PepsiCo, Inc. |
9,275 | 1,552,450 | ||||||
| 2,715,945 | ||||||||
Biotechnology — 0.7% |
||||||||
Amgen, Inc. |
1,196 | 289,217 | ||||||
Biogen, Inc. (a) |
392 | 82,555 | ||||||
BioMarin Pharmaceutical, Inc. (a) |
186 | 14,341 | ||||||
Gilead Sciences, Inc. |
4,910 | 291,900 | ||||||
Illumina, Inc. (a) |
66 | 23,060 | ||||||
Incyte Corp. (a) |
300 | 23,826 | ||||||
Regeneron Pharmaceuticals, Inc. (a) |
262 | 182,986 | ||||||
Vertex Pharmaceuticals, Inc. (a) |
362 | 94,471 | ||||||
| 1,002,356 | ||||||||
Commercial Services — 1.1% |
||||||||
Automatic Data Processing, Inc. |
2,210 | 502,864 | ||||||
Cintas Corp. |
157 | 66,786 | ||||||
MarketAxess Holdings, Inc. |
26 | 8,845 | ||||||
Moody’s Corp. |
743 | 250,696 | ||||||
PayPal Holdings, Inc. (a) |
1,814 | 209,789 | ||||||
S&P Global, Inc. |
1,218 | 499,599 | ||||||
Verisk Analytics, Inc. |
716 | 153,675 | ||||||
| 1,692,254 | ||||||||
Cosmetics & Personal Care — 1.6% |
||||||||
Colgate-Palmolive Co. |
3,587 | 272,002 | ||||||
The Estee Lauder Cos., Inc. Class A |
409 | 111,379 | ||||||
The Procter & Gamble Co. |
12,503 | 1,910,458 | ||||||
| 2,293,839 | ||||||||
Food — 1.1% |
||||||||
Campbell Soup Co. |
538 | 23,979 | ||||||
Conagra Brands, Inc. |
579 | 19,437 | ||||||
General Mills, Inc. |
2,721 | 184,266 | ||||||
The Hershey Co. |
1,572 | 340,542 | ||||||
Hormel Foods Corp. |
479 | 24,688 | ||||||
The J.M. Smucker Co. |
778 | 105,349 | ||||||
Kellogg Co. |
1,413 | 91,124 | ||||||
Number of |
Value |
|||||||
The Kraft Heinz Co. |
1,973 | $ | 77,717 | |||||
The Kroger Co. |
4,943 | 283,580 | ||||||
McCormick & Co., Inc. |
295 | 29,441 | ||||||
Mondelez International, Inc. Class A |
6,178 | 387,855 | ||||||
Sysco Corp. |
342 | 27,924 | ||||||
| 1,595,902 | ||||||||
Health Care – Products — 2.4% |
||||||||
Abbott Laboratories |
4,364 | 516,523 | ||||||
Align Technology, Inc. (a) |
58 | 25,288 | ||||||
Baxter International, Inc. |
1,313 | 101,810 | ||||||
Boston Scientific Corp. (a) |
2,993 | 132,560 | ||||||
Danaher Corp. |
1,973 | 578,740 | ||||||
Edwards Lifesciences Corp. (a) |
1,660 | 195,415 | ||||||
IDEXX Laboratories, Inc. (a) |
142 | 77,683 | ||||||
Intuitive Surgical, Inc. (a) |
757 | 228,372 | ||||||
Medtronic PLC |
3,463 | 384,220 | ||||||
ResMed, Inc. |
244 | 59,172 | ||||||
Stryker Corp. |
754 | 201,582 | ||||||
Thermo Fisher Scientific, Inc. |
1,438 | 849,355 | ||||||
Waters Corp. (a) |
198 | 61,457 | ||||||
West Pharmaceutical Services, Inc. |
187 | 76,803 | ||||||
Zimmer Biomet Holdings, Inc. |
268 | 34,277 | ||||||
| 3,523,257 | ||||||||
Health Care – Services — 2.2% |
||||||||
Anthem, Inc. |
1,289 | 633,183 | ||||||
Centene Corp. (a) |
768 | 64,658 | ||||||
HCA Healthcare, Inc. |
255 | 63,908 | ||||||
Humana, Inc. |
278 | 120,977 | ||||||
IQVIA Holdings, Inc. (a) |
464 | 107,281 | ||||||
Laboratory Corp. of America Holdings (a) |
307 | 80,944 | ||||||
Quest Diagnostics, Inc. |
693 | 94,844 | ||||||
UnitedHealth Group, Inc. |
3,984 | 2,031,720 | ||||||
| 3,197,515 | ||||||||
Household Products & Wares — 0.2% |
||||||||
Church & Dwight Co., Inc. |
566 | 56,249 | ||||||
The Clorox Co. |
273 | 37,955 | ||||||
Kimberly-Clark Corp. |
1,363 | 167,867 | ||||||
| 262,071 | ||||||||
Pharmaceuticals — 3.5% |
||||||||
AbbVie, Inc. |
2,777 | 450,179 | ||||||
AmerisourceBergen Corp. |
377 | 58,326 | ||||||
Becton Dickinson and Co. |
585 | 155,610 | ||||||
Bristol-Myers Squibb Co. |
4,431 | 323,596 | ||||||
Cardinal Health, Inc. |
586 | 33,226 | ||||||
Cigna Corp. |
612 | 146,641 | ||||||
CVS Health Corp. |
4,969 | 502,912 | ||||||
DexCom, Inc. (a) |
57 | 29,161 | ||||||
The accompanying notes are an integral part of the financial statements.
79
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Eli Lilly & Co. |
2,038 | $ | 583,622 | |||||
Merck & Co., Inc. |
14,795 | 1,213,930 | ||||||
Pfizer, Inc. |
24,076 | 1,246,415 | ||||||
Zoetis, Inc. |
1,479 | 278,925 | ||||||
| 5,022,543 | ||||||||
| 21,560,757 | ||||||||
Energy — 1.8% |
||||||||
Oil & Gas — 1.4% |
||||||||
Chevron Corp. |
4,024 | 655,228 | ||||||
ConocoPhillips |
2,910 | 291,000 | ||||||
Exxon Mobil Corp. |
8,665 | 715,642 | ||||||
Hess Corp. |
398 | 42,602 | ||||||
Marathon Petroleum Corp. |
681 | 58,226 | ||||||
Occidental Petroleum Corp. |
1,339 | 75,975 | ||||||
Pioneer Natural Resources Co. |
350 | 87,510 | ||||||
Valero Energy Corp. |
831 | 84,380 | ||||||
| 2,010,563 | ||||||||
Oil & Gas Services — 0.1% |
||||||||
Baker Hughes Co. |
1,651 | 60,113 | ||||||
Schlumberger NV |
1,669 | 68,946 | ||||||
| 129,059 | ||||||||
Pipelines — 0.3% |
||||||||
Cheniere Energy, Inc. |
239 | 33,137 | ||||||
Kinder Morgan, Inc. |
10,687 | 202,091 | ||||||
ONEOK, Inc. |
681 | 48,099 | ||||||
The Williams Cos., Inc. |
3,699 | 123,584 | ||||||
| 406,911 | ||||||||
| 2,546,533 | ||||||||
Financial — 9.6% |
||||||||
Banks — 2.6% |
||||||||
Bank of America Corp. |
24,122 | 994,309 | ||||||
The Bank of New York Mellon Corp. |
2,418 | 120,005 | ||||||
Fifth Third Bancorp |
1,318 | 56,727 | ||||||
First Republic Bank |
174 | 28,205 | ||||||
The Goldman Sachs Group, Inc. |
1,316 | 434,412 | ||||||
JP Morgan Chase & Co. |
9,323 | 1,270,911 | ||||||
KeyCorp. |
2,651 | 59,329 | ||||||
M&T Bank Corp. |
243 | 41,189 | ||||||
Morgan Stanley |
1,912 | 167,109 | ||||||
Northern Trust Corp. |
376 | 43,785 | ||||||
The PNC Financial Services Group, Inc. |
809 | 149,220 | ||||||
Regions Financial Corp. |
2,197 | 48,905 | ||||||
State Street Corp. |
289 | 25,178 | ||||||
SVB Financial Group (a) |
42 | 23,497 | ||||||
Truist Financial Corp. |
999 | 56,643 | ||||||
Number of |
Value |
|||||||
US Bancorp |
3,896 | $ | 207,073 | |||||
| 3,726,497 | ||||||||
Diversified Financial Services — 2.3% |
||||||||
American Express Co. |
2,287 | 427,669 | ||||||
Ameriprise Financial, Inc. |
185 | 55,567 | ||||||
BlackRock, Inc. |
350 | 267,459 | ||||||
CME Group, Inc. |
510 | 121,309 | ||||||
Discover Financial Services |
1,039 | 114,487 | ||||||
Franklin Resources, Inc. |
604 | 16,864 | ||||||
Intercontinental Exchange, Inc. |
1,563 | 206,503 | ||||||
Nasdaq, Inc. |
574 | 102,287 | ||||||
Synchrony Financial |
3,445 | 119,920 | ||||||
T. Rowe Price Group, Inc. |
898 | 135,769 | ||||||
Visa, Inc. Class A |
8,017 | 1,777,930 | ||||||
| 3,345,764 | ||||||||
Insurance — 2.1% |
||||||||
The Allstate Corp. |
3,142 | 435,198 | ||||||
American International Group, Inc. |
2,058 | 129,181 | ||||||
Aon PLC Class A |
777 | 253,015 | ||||||
Chubb Ltd. |
1,868 | 399,565 | ||||||
The Hartford Financial Services Group, Inc. |
1,707 | 122,580 | ||||||
Marsh & McLennan Cos., Inc. |
3,370 | 574,315 | ||||||
MetLife, Inc. |
5,023 | 353,016 | ||||||
Principal Financial Group, Inc. |
479 | 35,163 | ||||||
The Progressive Corp. |
2,369 | 270,042 | ||||||
Prudential Financial, Inc. |
1,252 | 147,949 | ||||||
The Travelers Cos., Inc. |
1,659 | 303,149 | ||||||
Willis Towers Watson PLC |
358 | 84,567 | ||||||
| 3,107,740 | ||||||||
Private Equity — 0.4% |
||||||||
Blackstone, Inc. |
3,757 | 476,914 | ||||||
KKR & Co., Inc. |
1,262 | 73,789 | ||||||
| 550,703 | ||||||||
Real Estate — 0.1% |
||||||||
CBRE Group, Inc. Class A (a) |
1,244 | 113,851 | ||||||
Real Estate Investment Trusts (REITS) — 2.1% |
||||||||
Alexandria Real Estate Equities, Inc. |
538 | 108,273 | ||||||
American Tower Corp. |
1,725 | 433,354 | ||||||
AvalonBay Communities, Inc. |
598 | 148,525 | ||||||
Boston Properties, Inc. |
403 | 51,906 | ||||||
Crown Castle International Corp. |
1,503 | 277,454 | ||||||
Digital Realty Trust, Inc. |
637 | 90,327 | ||||||
Equinix, Inc. |
286 | 212,103 | ||||||
Equity Residential |
1,527 | 137,308 | ||||||
Essex Property Trust, Inc. |
274 | 94,662 | ||||||
Healthpeak Properties, Inc. |
1,115 | 38,278 | ||||||
Prologis, Inc. |
3,116 | 503,172 | ||||||
The accompanying notes are an integral part of the financial statements.
80
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Public Storage |
1,239 | $ | 483,557 | |||||
SBA Communications Corp. |
535 | 184,093 | ||||||
Simon Property Group, Inc. |
384 | 50,519 | ||||||
Ventas, Inc. |
890 | 54,966 | ||||||
Welltower, Inc. |
865 | 83,161 | ||||||
Weyerhaeuser Co. |
2,003 | 75,914 | ||||||
| 3,027,572 | ||||||||
| 13,872,127 | ||||||||
Industrial — 4.8% |
||||||||
Building Materials — 0.3% |
||||||||
Carrier Global Corp. |
2,180 | 99,996 | ||||||
Johnson Controls International PLC |
5,451 | 357,422 | ||||||
| 457,418 | ||||||||
Electrical Components & Equipment — 0.2% |
||||||||
AMETEK, Inc. |
519 | 69,120 | ||||||
Emerson Electric Co. |
2,373 | 232,673 | ||||||
| 301,793 | ||||||||
Electronics — 0.9% |
||||||||
Agilent Technologies, Inc. |
916 | 121,214 | ||||||
Amphenol Corp. Class A |
2,470 | 186,115 | ||||||
Fortive Corp. |
339 | 20,655 | ||||||
Garmin Ltd. |
960 | 113,866 | ||||||
Honeywell International, Inc. |
2,166 | 421,460 | ||||||
Keysight Technologies, Inc. (a) |
766 | 121,005 | ||||||
Mettler-Toledo International, Inc. (a) |
117 | 160,663 | ||||||
TE Connectivity Ltd. |
1,021 | 133,731 | ||||||
| 1,278,709 | ||||||||
Environmental Controls — 0.9% |
||||||||
Republic Services, Inc. |
2,331 | 308,858 | ||||||
Waste Connections, Inc. |
2,106 | 294,208 | ||||||
Waste Management, Inc. |
4,404 | 698,034 | ||||||
| 1,301,100 | ||||||||
Hand & Machine Tools — 0.0% |
||||||||
Stanley Black & Decker, Inc. |
268 | 37,464 | ||||||
Machinery – Diversified — 0.5% |
||||||||
Deere & Co. |
855 | 355,218 | ||||||
Dover Corp. |
613 | 96,180 | ||||||
Otis Worldwide Corp. |
3,017 | 232,158 | ||||||
Rockwell Automation, Inc. |
418 | 117,053 | ||||||
| 800,609 | ||||||||
Miscellaneous - Manufacturing — 0.7% |
||||||||
3M Co. |
2,210 | 329,025 | ||||||
Eaton Corp. PLC |
1,319 | 200,171 | ||||||
General Electric Co. |
670 | 61,305 | ||||||
Illinois Tool Works, Inc. |
855 | 179,037 | ||||||
Parker-Hannifin Corp. |
274 | 77,750 | ||||||
Number of |
Value |
|||||||
Trane Technologies PLC |
678 | $ | 103,531 | |||||
| 950,819 | ||||||||
Packaging & Containers — 0.1% |
||||||||
Amcor PLC |
4,402 | 49,874 | ||||||
Ball Corp. |
469 | 42,210 | ||||||
| 92,084 | ||||||||
Transportation — 1.2% |
||||||||
CSX Corp. |
9,568 | 358,322 | ||||||
Expeditors International of Washington, Inc. |
727 | 74,997 | ||||||
FedEx Corp. |
445 | 102,969 | ||||||
Union Pacific Corp. |
2,643 | 722,094 | ||||||
United Parcel Service, Inc. Class B |
2,042 | 437,927 | ||||||
| 1,696,309 | ||||||||
| 6,916,305 | ||||||||
Technology — 19.1% |
||||||||
Computers — 6.9% |
||||||||
Accenture PLC Class A |
4,229 | 1,426,145 | ||||||
Apple, Inc. |
40,634 | 7,095,103 | ||||||
Cognizant Technology Solutions Corp. Class A |
2,243 | 201,130 | ||||||
Crowdstrike Holdings, Inc. Class A (a) |
226 | 51,320 | ||||||
Dell Technologies C (a) |
2,116 | 106,202 | ||||||
EPAM Systems, Inc. (a) |
211 | 62,585 | ||||||
Hewlett Packard Enterprise Co. |
7,135 | 119,226 | ||||||
HP, Inc. |
4,696 | 170,465 | ||||||
International Business Machines Corp. |
3,984 | 518,000 | ||||||
NetApp, Inc. |
1,133 | 94,039 | ||||||
Western Digital Corp. (a) |
521 | 25,867 | ||||||
| 9,870,082 | ||||||||
Office & Business Equipment — 0.0% |
||||||||
Zebra Technologies Corp. Class A (a) |
143 | 59,159 | ||||||
Semiconductors — 4.2% |
||||||||
Advanced Micro Devices, Inc. (a) |
2,617 | 286,143 | ||||||
Analog Devices, Inc. |
1,024 | 169,144 | ||||||
Applied Materials, Inc. |
2,639 | 347,820 | ||||||
Broadcom, Inc. |
1,581 | 995,524 | ||||||
Intel Corp. |
21,628 | 1,071,884 | ||||||
KLA Corp. |
443 | 162,165 | ||||||
Lam Research Corp. |
332 | 178,486 | ||||||
Microchip Technology, Inc. |
990 | 74,389 | ||||||
Micron Technology, Inc. |
2,492 | 194,102 | ||||||
NVIDIA Corp. |
5,435 | 1,482,994 | ||||||
Skyworks Solutions, Inc. |
488 | 65,041 | ||||||
Texas Instruments, Inc. |
5,957 | 1,092,990 | ||||||
| 6,120,682 | ||||||||
The accompanying notes are an integral part of the financial statements.
81
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Software — 8.0% |
||||||||
Adobe, Inc. (a) |
2,488 | $ | 1,133,583 | |||||
Akamai Technologies, Inc. (a) |
920 | 109,839 | ||||||
ANSYS, Inc. (a) |
157 | 49,871 | ||||||
Autodesk, Inc. (a) |
364 | 78,023 | ||||||
Cadence Design Systems, Inc. (a) |
1,198 | 197,023 | ||||||
Cerner Corp. |
1,172 | 109,652 | ||||||
Citrix Systems, Inc. |
218 | 21,996 | ||||||
DocuSign, Inc. (a) |
231 | 24,745 | ||||||
Electronic Arts, Inc. |
1,060 | 134,101 | ||||||
Fidelity National Information Services, Inc. |
1,371 | 137,676 | ||||||
HubSpot, Inc. (a) |
70 | 33,246 | ||||||
Intuit, Inc. |
1,355 | 651,538 | ||||||
Microsoft Corp. |
18,334 | 5,652,555 | ||||||
MSCI, Inc. |
304 | 152,875 | ||||||
Oracle Corp. |
14,438 | 1,194,456 | ||||||
Paychex, Inc. |
1,201 | 163,900 | ||||||
Roper Technologies, Inc. |
645 | 304,588 | ||||||
salesforce.com, Inc. (a) |
2,005 | 425,702 | ||||||
ServiceNow, Inc. (a) |
573 | 319,098 | ||||||
Splunk, Inc. (a) |
85 | 12,632 | ||||||
Synopsys, Inc. (a) |
672 | 223,957 | ||||||
Twilio, Inc. Class A (a) |
81 | 13,350 | ||||||
Veeva Systems, Inc. Class A (a) |
173 | 36,756 | ||||||
VMware, Inc. Class A |
1,816 | 206,788 | ||||||
Workday, Inc. Class A (a) |
411 | 98,418 | ||||||
| 11,486,368 | ||||||||
| 27,536,291 | ||||||||
Utilities — 2.3% |
||||||||
Electric — 2.1% |
||||||||
American Electric Power Co., Inc. |
2,123 | 211,812 | ||||||
Avangrid, Inc. (b) |
172 | 8,039 | ||||||
CMS Energy Corp. |
1,533 | 107,218 | ||||||
Consolidated Edison, Inc. |
1,601 | 151,583 | ||||||
Constellation Energy Corp. |
1,923 | 108,169 | ||||||
Dominion Energy, Inc. |
2,830 | 240,465 | ||||||
DTE Energy Co. |
832 | 109,999 | ||||||
Duke Energy Corp. |
4,432 | 494,877 | ||||||
Edison International |
289 | 20,259 | ||||||
Entergy Corp. |
567 | 66,197 | ||||||
Eversource Energy |
1,179 | 103,976 | ||||||
Exelon Corp. |
5,771 | 274,873 | ||||||
NextEra Energy, Inc. |
5,951 | 504,109 | ||||||
Public Service Enterprise Group, Inc. |
1,451 | 101,570 | ||||||
Sempra Energy |
866 | 145,592 | ||||||
WEC Energy Group, Inc. |
3,156 | 315,000 | ||||||
Number of |
Value |
|||||||
Xcel Energy, Inc. |
1,420 | $ | 102,481 | |||||
| 3,066,219 | ||||||||
Water — 0.2% |
||||||||
American Water Works Co., Inc. |
1,180 | 195,326 | ||||||
| 3,261,545 | ||||||||
TOTAL COMMON STOCK (Cost $86,789,324) |
95,510,457 | |||||||
TOTAL EQUITIES (Cost $86,789,324) |
95,510,457 | |||||||
Principal |
||||||||
BONDS & NOTES — 36.4% |
||||||||
CORPORATE DEBT — 12.5% |
||||||||
Agriculture — 0.1% |
||||||||
Archer-Daniels-Midland Co. |
||||||||
2.700% 9/15/51 |
$ | 49,000 | 43,186 | |||||
Bunge Ltd. Finance Corp. |
||||||||
1.630% 8/17/25 |
13,000 | 12,329 | ||||||
3.250% 8/15/26 |
47,000 | 46,830 | ||||||
Cargill, Inc. |
||||||||
3.125% 5/25/51 (c) |
74,000 | 68,385 | ||||||
| 170,730 | ||||||||
Airlines — 0.1% |
||||||||
American Airlines 2021-1 Class A Pass Through Trust |
||||||||
2.875% 1/11/36 |
69,000 | 62,340 | ||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
||||||||
4.500% 10/20/25 (c) |
82,995 | 83,544 | ||||||
| 145,884 | ||||||||
Banks — 3.4% |
||||||||
Australia & New Zealand Banking Group Ltd. 5 year CMT + 1.700% |
||||||||
2.570% VRN 11/25/35 (c) |
225,000 | 196,436 | ||||||
Bank of America Corp. |
||||||||
5 year CMT + 1.200% 2.482% VRN 9/21/36 |
162,000 | 139,304 | ||||||
SOFR + 1.330% 2.972% VRN 2/04/33 |
66,000 | 61,931 | ||||||
SOFR + 1.580% 3.311% VRN 4/22/42 |
135,000 | 125,103 | ||||||
4.183% 11/25/27 |
41,000 | 41,859 | ||||||
3 mo. USD LIBOR + 1.814% 4.244% VRN 4/24/38 |
23,000 | 23,968 | ||||||
3 mo. USD LIBOR + 1.310% 4.271% VRN 7/23/29 |
18,000 | 18,604 | ||||||
4.750% 4/21/45 |
63,000 | 68,043 | ||||||
7.750% 5/14/38 |
20,000 | 27,931 | ||||||
The accompanying notes are an integral part of the financial statements.
82
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
The Bank of New York Mellon Corp. 5 year CMT + 2.630% |
||||||||
3.750% VRN (d) |
$ | 156,000 | $ | 143,130 | ||||
The Bank of Nova Scotia |
||||||||
4.500% 12/16/25 |
36,000 | 37,239 | ||||||
3 mo. USD LIBOR + 2.648% 4.650% VRN (d) |
113,000 | 109,073 | ||||||
Citigroup, Inc. |
||||||||
SOFR + .528% 1.281% VRN 11/03/25 |
55,000 | 52,359 | ||||||
4.450% 9/29/27 |
27,000 | 27,893 | ||||||
5.500% 9/13/25 |
54,000 | 57,729 | ||||||
5.875% 1/30/42 |
18,000 | 22,439 | ||||||
6.000% 10/31/33 |
16,000 | 18,570 | ||||||
6.625% 6/15/32 |
14,000 | 16,921 | ||||||
8.125% 7/15/39 |
14,000 | 21,154 | ||||||
Cooperatieve Rabobank UA 1 year CMT + .550% |
||||||||
1.106% VRN 2/24/27 (c) |
250,000 | 228,890 | ||||||
Credit Suisse Group AG SOFR + 2.044% |
||||||||
2.193% VRN 6/05/26 (c) |
393,000 | 368,990 | ||||||
Fifth Third Bancorp SOFR + .685% |
||||||||
1.707% VRN 11/01/27 |
244,000 | 226,099 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
SOFR + .798% 1.431% VRN 3/09/27 |
227,000 | 209,680 | ||||||
SOFR + 1.090% 1.992% VRN 1/27/32 |
135,000 | 116,965 | ||||||
SOFR + 1.248% 2.383% VRN 7/21/32 |
76,000 | 67,323 | ||||||
SOFR + 1.410% 3.102% VRN 2/24/33 |
66,000 | 62,218 | ||||||
4.250% 10/21/25 |
32,000 | 32,818 | ||||||
5.950% 1/15/27 |
72,000 | 79,142 | ||||||
6.750% 10/01/37 |
32,000 | 40,332 | ||||||
ING Groep NV |
||||||||
4.050% 4/09/29 |
344,000 | 348,716 | ||||||
JP Morgan Chase & Co. |
||||||||
SOFR + 1.180% 2.545% VRN 11/08/32 |
134,000 | 122,460 | ||||||
3 mo. USD LIBOR + 1.160% 3.702% VRN 5/06/30 |
320,000 | 321,562 | ||||||
5.600% 7/15/41 |
41,000 | 49,709 | ||||||
KeyBank NA/Cleveland OH |
||||||||
3.900% 4/13/29 |
356,000 | 361,638 | ||||||
Mizuho Financial Group, Inc. |
||||||||
2.564% 9/13/31 |
200,000 | 174,827 | ||||||
Morgan Stanley |
||||||||
SOFR + 1.360% 2.484% VRN 9/16/36 |
203,000 | 173,919 | ||||||
Principal |
Value |
|||||||
SOFR + 1.485% 3.217% VRN 4/22/42 |
$ | 44,000 | $ | 40,517 | ||||
4.350% 9/08/26 |
122,000 | 126,140 | ||||||
3 mo. USD LIBOR + 1.628% 4.431% VRN 1/23/30 |
154,000 | 161,037 | ||||||
5.000% 11/24/25 |
36,000 | 37,998 | ||||||
SVB Financial Group |
||||||||
1.800% 2/02/31 |
189,000 | 162,762 | ||||||
2.100% 5/15/28 |
87,000 | 79,437 | ||||||
3.125% 6/05/30 |
18,000 | 17,306 | ||||||
3.500% 1/29/25 |
77,000 | 77,498 | ||||||
| 4,897,669 | ||||||||
Biotechnology — 0.4% |
||||||||
Amgen, Inc. |
||||||||
2.200% 2/21/27 |
347,000 | 334,644 | ||||||
Illumina, Inc. |
||||||||
0.550% 3/23/23 |
194,000 | 190,308 | ||||||
| 524,952 | ||||||||
Commercial Services — 0.3% |
||||||||
Element Fleet Management Corp. |
||||||||
1.600% 4/06/24 (c) |
21,000 | 20,267 | ||||||
Moody’s Corp. |
||||||||
4.250% 2/01/29 |
309,000 | 323,334 | ||||||
PayPal Holdings, Inc. |
||||||||
3.250% 6/01/50 (b) |
27,000 | 24,599 | ||||||
Triton Container International Ltd. |
||||||||
3.150% 6/15/31 (c) |
100,000 | 91,442 | ||||||
| 459,642 | ||||||||
Computers — 0.7% |
||||||||
Apple, Inc. |
||||||||
1.650% 5/11/30 |
46,000 | 41,716 | ||||||
2.650% 5/11/50 |
27,000 | 23,503 | ||||||
2.650% 2/08/51 |
90,000 | 77,584 | ||||||
3.000% 6/20/27 |
177,000 | 179,307 | ||||||
Dell International LLC/EMC Corp. |
||||||||
4.000% 7/15/24 |
336,000 | 343,506 | ||||||
Hewlett Packard Enterprise Co. |
||||||||
4.900% STEP 10/15/25 |
319,000 | 334,429 | ||||||
| 1,000,045 | ||||||||
Cosmetics & Personal Care — 0.2% |
||||||||
GSK Consumer Healthcare Co. |
||||||||
3.625% 3/24/32 (c) |
250,000 | 250,143 | ||||||
Diversified Financial Services — 0.5% |
||||||||
Air Lease Corp. |
||||||||
2.200% 1/15/27 |
64,000 | 59,317 | ||||||
Ally Financial, Inc. |
||||||||
2.200% 11/02/28 |
112,000 | 101,162 | ||||||
The accompanying notes are an integral part of the financial statements.
83
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Brookfield Finance I UK PLC |
||||||||
2.340% 1/30/32 |
$ | 141,000 | $ | 125,022 | ||||
Brookfield Finance, Inc. |
||||||||
3.900% 1/25/28 |
99,000 | 99,580 | ||||||
The Charles Schwab Corp. 10 year CMT + 3.079% |
||||||||
4.000% VRN (d) |
93,000 | 83,525 | ||||||
CI Financial Corp. |
||||||||
3.200% 12/17/30 |
65,000 | 59,243 | ||||||
LSEGA Financing PLC |
||||||||
1.375% 4/06/26 (c) |
218,000 | 200,855 | ||||||
| 728,704 | ||||||||
Electric — 0.2% |
||||||||
Entergy Arkansas LLC |
||||||||
2.650% 6/15/51 |
72,000 | 58,669 | ||||||
Entergy Louisiana LLC |
||||||||
4.950% 1/15/45 |
36,000 | 37,238 | ||||||
Nevada Power Co. |
||||||||
6.650% 4/01/36 |
20,000 | 25,577 | ||||||
Xcel Energy, Inc. |
||||||||
6.500% 7/01/36 |
99,000 | 124,544 | ||||||
| 246,028 | ||||||||
Electronics — 0.1% |
||||||||
Vontier Corp. |
||||||||
2.400% 4/01/28 |
219,000 | 192,545 | ||||||
Entertainment — 0.1% |
||||||||
Magallanes, Inc. |
||||||||
5.141% 3/15/52 (c) |
49,000 | 50,144 | ||||||
Magallanes, Inc. Co. |
||||||||
5.391% 3/15/62 (c) |
37,000 | 38,154 | ||||||
| 88,298 | ||||||||
Food — 0.3% |
||||||||
Conagra Brands, Inc. |
||||||||
4.850% 11/01/28 |
170,000 | 180,120 | ||||||
General Mills, Inc. |
||||||||
3.000% 2/01/51 (b) |
112,000 | 96,439 | ||||||
Ingredion, Inc. |
||||||||
3.200% 10/01/26 |
25,000 | 24,835 | ||||||
Mars, Inc. |
||||||||
3.950% 4/01/49 (c) |
67,000 | 69,564 | ||||||
| 370,958 | ||||||||
Health Care – Services — 0.5% |
||||||||
HCA, Inc. |
||||||||
5.000% 3/15/24 |
328,000 | 340,278 | ||||||
Humana, Inc. |
||||||||
4.800% 3/15/47 |
23,000 | 26,009 | ||||||
Kaiser Foundation Hospitals |
||||||||
2.810% 6/01/41 |
110,000 | 96,152 | ||||||
Principal |
Value |
|||||||
3.002% 6/01/51 |
$ | 80,000 | $ | 70,432 | ||||
Mayo Clinic |
||||||||
3.196% 11/15/61 |
106,000 | 95,094 | ||||||
Providence St Joseph Health Obligated Group |
||||||||
2.700% 10/01/51 |
93,000 | 73,406 | ||||||
UnitedHealth Group, Inc. |
||||||||
3.125% 5/15/60 |
36,000 | 31,992 | ||||||
| 733,363 | ||||||||
Insurance — 0.9% |
||||||||
Allstate Corp. 3 mo. USD LIBOR + 2.938% |
||||||||
5.750% VRN 8/15/53 |
158,000 | 156,815 | ||||||
American International Group, Inc. |
||||||||
4.500% 7/16/44 |
23,000 | 24,844 | ||||||
3 mo. USD LIBOR + 2.868% 5.750% VRN 4/01/48 (b) |
104,000 | 104,593 | ||||||
Arch Capital Finance LLC |
||||||||
5.031% 12/15/46 |
27,000 | 29,801 | ||||||
Arch Capital Group Ltd. |
||||||||
3.635% 6/30/50 |
49,000 | 44,861 | ||||||
Athene Global Funding |
||||||||
1.450% 1/08/26 (c) |
117,000 | 108,426 | ||||||
Athene Holding Ltd. |
||||||||
3.950% 5/25/51 |
16,000 | 14,591 | ||||||
Brighthouse Financial, Inc. |
||||||||
3.850% 12/22/51 |
168,000 | 140,040 | ||||||
GA Global Funding Trust |
||||||||
1.625% 1/15/26 (c) |
37,000 | 34,445 | ||||||
Global Atlantic Fin Co. |
||||||||
3.125% 6/15/31 (c) |
72,000 | 64,330 | ||||||
Marsh & McLennan Cos., Inc. |
||||||||
4.375% 3/15/29 (b) |
155,000 | 163,812 | ||||||
New York Life Insurance Co. |
||||||||
3.750% 5/15/50 (c) |
23,000 | 22,283 | ||||||
Prudential Financial, Inc. |
||||||||
5 year CMT + 3.035% 3.700% VRN 10/01/50 |
18,000 | 16,495 | ||||||
3 mo. USD LIBOR + 3.920% 5.625% VRN 6/15/43 (b) |
41,000 | 41,256 | ||||||
3 mo. USD LIBOR + 2.665% 5.700% VRN 9/15/48 |
99,000 | 100,998 | ||||||
3 mo. USD LIBOR + 4.175% 5.875% VRN 9/15/42 |
46,000 | 46,345 | ||||||
Reinsurance Group of America, Inc. |
||||||||
3.150% 6/15/30 |
49,000 | 47,203 | ||||||
3.900% 5/15/29 |
54,000 | 54,535 | ||||||
The accompanying notes are an integral part of the financial statements.
84
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
USF&G Capital I |
||||||||
8.500% 12/15/45 (c) |
$ | 35,000 | $ | 48,797 | ||||
| 1,264,470 | ||||||||
Internet — 0.2% |
||||||||
Alphabet, Inc. |
||||||||
2.250% 8/15/60 |
32,000 | 24,854 | ||||||
Expedia Group, Inc. |
||||||||
2.950% 3/15/31 |
39,000 | 36,078 | ||||||
Prosus NV |
||||||||
3.832% 2/08/51 (c) |
233,000 | 169,716 | ||||||
| 230,648 | ||||||||
Investment Companies — 0.2% |
||||||||
Ares Capital Corp. |
||||||||
3.200% 11/15/31 |
161,000 | 136,460 | ||||||
Blackstone Secured Lending Fund |
||||||||
2.750% 9/16/26 |
158,000 | 146,911 | ||||||
| 283,371 | ||||||||
Media — 0.6% |
||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||
3.500% 6/01/41 |
119,000 | 99,262 | ||||||
3.750% 2/15/28 |
191,000 | 188,767 | ||||||
3.850% 4/01/61 |
80,000 | 64,279 | ||||||
6.484% 10/23/45 |
32,000 | 36,461 | ||||||
Comcast Corp. |
||||||||
2.937% 11/01/56 (c) |
43,000 | 35,484 | ||||||
3.400% 7/15/46 |
41,000 | 38,470 | ||||||
3.750% 4/01/40 |
151,000 | 151,894 | ||||||
3.969% 11/01/47 |
23,000 | 23,354 | ||||||
Discovery Communications LLC |
||||||||
3.950% 3/20/28 |
56,000 | 56,032 | ||||||
FactSet Research Systems, Inc. |
||||||||
3.450% 3/01/32 |
67,000 | 64,730 | ||||||
Time Warner Cable, Inc. |
||||||||
6.750% 6/15/39 |
27,000 | 31,329 | ||||||
The Walt Disney Co. |
||||||||
3.600% 1/13/51 |
58,000 | 57,316 | ||||||
| 847,378 | ||||||||
Mining — 0.0% |
||||||||
Teck Resources Ltd. |
||||||||
6.000% 8/15/40 |
32,000 | 36,727 | ||||||
Oil & Gas — 0.1% |
||||||||
BP Capital Markets America, Inc. |
||||||||
3.379% 2/08/61 |
95,000 | 84,791 | ||||||
Principal |
Value |
|||||||
BP Capital Markets PLC 5 year CMT + 4.036% |
||||||||
4.375% VRN (d) |
$ | 58,000 | $ | 58,319 | ||||
| 143,110 | ||||||||
Packaging & Containers — 0.2% |
||||||||
Berry Global, Inc. |
||||||||
1.570% 1/15/26 |
48,000 | 44,626 | ||||||
Sealed Air Corp. |
||||||||
1.573% 10/15/26 (c) |
44,000 | 40,140 | ||||||
Silgan Holdings, Inc. |
||||||||
1.400% 4/01/26 (c) |
49,000 | 44,744 | ||||||
WRKCo, Inc. |
||||||||
3.000% 6/15/33 |
27,000 | 25,221 | ||||||
4.650% 3/15/26 |
192,000 | 200,034 | ||||||
| 354,765 | ||||||||
Pharmaceuticals — 0.5% |
||||||||
AbbVie, Inc. |
||||||||
4.700% 5/14/45 |
67,000 | 72,708 | ||||||
Becton Dickinson and Co. |
||||||||
4.685% 12/15/44 |
23,000 | 24,723 | ||||||
Bristol-Myers Squibb Co. |
||||||||
2.950% 3/15/32 |
59,000 | 57,721 | ||||||
4.350% 11/15/47 |
27,000 | 29,596 | ||||||
Cigna Corp. |
||||||||
2.400% 3/15/30 |
249,000 | 230,291 | ||||||
3.400% 3/15/51 |
47,000 | 42,324 | ||||||
4.800% 7/15/46 |
27,000 | 29,859 | ||||||
CVS Health Corp. |
||||||||
4.300% 3/25/28 |
10,000 | 10,478 | ||||||
5.050% 3/25/48 |
100,000 | 113,481 | ||||||
6.125% 9/15/39 |
8,000 | 9,883 | ||||||
Merck & Co., Inc. |
||||||||
1.900% 12/10/28 |
40,000 | 37,787 | ||||||
| 658,851 | ||||||||
Pipelines — 0.7% |
||||||||
Enbridge, Inc. |
||||||||
2.500% 8/01/33 |
190,000 | 168,957 | ||||||
Enterprise Products Operating LLC |
||||||||
3 mo. USD LIBOR + 3.033% 5.250% VRN 8/16/77 |
41,000 | 38,548 | ||||||
3 mo. USD LIBOR + 2.570% 5.375% VRN 2/15/78 |
27,000 | 25,089 | ||||||
Kinder Morgan, Inc. |
||||||||
3.250% 8/01/50 |
100,000 | 82,964 | ||||||
MPLX LP |
||||||||
1.750% 3/01/26 |
365,000 | 342,433 | ||||||
4.500% 4/15/38 |
27,000 | 27,546 | ||||||
The accompanying notes are an integral part of the financial statements.
85
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
ONEOK, Inc. |
||||||||
6.350% 1/15/31 |
$ | 200,000 | $ | 231,323 | ||||
Sabine Pass Liquefaction LLC |
||||||||
4.500% 5/15/30 |
100,000 | 104,589 | ||||||
The Williams Cos., Inc. |
||||||||
3.500% 10/15/51 |
45,000 | 39,365 | ||||||
| 1,060,814 | ||||||||
Real Estate — 0.1% |
||||||||
CBRE Services, Inc. |
||||||||
2.500% 4/01/31 |
243,000 | 219,587 | ||||||
Real Estate Investment Trusts (REITS) — 0.8% |
||||||||
Alexandria Real Estate Equities, Inc. |
||||||||
2.950% 3/15/34 |
78,000 | 73,327 | ||||||
American Tower Corp. |
||||||||
1.600% 4/15/26 |
96,000 | 89,089 | ||||||
2.700% 4/15/31 |
119,000 | 107,633 | ||||||
Brixmor Operating Partnership LP |
||||||||
2.250% 4/01/28 |
24,000 | 21,957 | ||||||
Crown Castle International Corp. |
||||||||
2.500% 7/15/31 |
88,000 | 78,512 | ||||||
3.700% 6/15/26 |
243,000 | 244,621 | ||||||
5.200% 2/15/49 |
11,000 | 12,246 | ||||||
Equinix, Inc. |
||||||||
3.900% 4/15/32 (e) |
118,000 | 117,379 | ||||||
Extra Space Storage LP |
||||||||
2.350% 3/15/32 |
65,000 | 57,054 | ||||||
2.550% 6/01/31 |
89,000 | 80,300 | ||||||
Host Hotels & Resorts LP |
||||||||
3.500% 9/15/30 |
84,000 | 80,101 | ||||||
Kimco Realty Corp. |
||||||||
2.250% 12/01/31 |
58,000 | 51,953 | ||||||
Kite Realty Group LP |
||||||||
4.000% 10/01/26 |
110,000 | 110,190 | ||||||
| 1,124,362 | ||||||||
Retail — 0.6% |
||||||||
Advance Auto Parts, Inc. |
||||||||
1.750% 10/01/27 |
13,000 | 11,724 | ||||||
3.900% 4/15/30 |
323,000 | 321,928 | ||||||
Alimentation Couche-Tard, Inc. |
||||||||
3.625% 5/13/51 (c) |
71,000 | 64,347 | ||||||
AutoZone, Inc. |
||||||||
1.650% 1/15/31 |
41,000 | 34,954 | ||||||
The Home Depot, Inc. |
||||||||
2.375% 3/15/51 |
48,000 | 38,463 | ||||||
2.700% 4/15/30 (b) |
97,000 | 93,987 | ||||||
Lowe’s Cos., Inc. |
||||||||
3.000% 10/15/50 |
90,000 | 76,523 | ||||||
Principal |
Value |
|||||||
McDonald’s Corp. |
||||||||
3.300% 7/01/25 |
$ | 182,000 | $ | 184,256 | ||||
Starbucks Corp. |
||||||||
4.450% 8/15/49 |
86,000 | 91,865 | ||||||
| 918,047 | ||||||||
Semiconductors — 0.3% |
||||||||
Microchip Technology, Inc. |
||||||||
0.983% 9/01/24 (c) |
49,000 | 46,433 | ||||||
Micron Technology, Inc. |
||||||||
2.703% 4/15/32 |
75,000 | 67,898 | ||||||
4.185% 2/15/27 |
322,000 | 330,429 | ||||||
Skyworks Solutions, Inc. |
||||||||
1.800% 6/01/26 |
36,000 | 33,478 | ||||||
| 478,238 | ||||||||
Software — 0.2% |
||||||||
Electronic Arts, Inc. |
||||||||
2.950% 2/15/51 |
42,000 | 34,993 | ||||||
Microsoft Corp. |
||||||||
2.921% 3/17/52 |
80,000 | 75,024 | ||||||
Oracle Corp. |
||||||||
3.600% 4/01/40 |
197,000 | 171,052 | ||||||
Workday, Inc. |
||||||||
3.800% 4/01/32 (e) |
50,000 | 50,062 | ||||||
| 331,131 | ||||||||
Telecommunications — 0.2% |
||||||||
Verizon Communications, Inc. |
||||||||
3.550% 3/22/51 |
47,000 | 44,263 | ||||||
3.700% 3/22/61 |
47,000 | 43,507 | ||||||
3.875% 2/08/29 |
180,000 | 187,281 | ||||||
| 275,051 | ||||||||
Transportation — 0.0% |
||||||||
CSX Corp. |
||||||||
4.750% 11/15/48 |
18,000 | 20,604 | ||||||
TOTAL CORPORATE DEBT (Cost $19,663,467) |
18,056,115 | |||||||
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.4% |
||||||||
Automobile Asset-Backed Securities — 0.4% |
||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A |
||||||||
1.660% 2/20/28 (c) |
150,000 | 140,580 | ||||||
Enterprise Fleet Financing LLC, Series 2021-3, Class A3 |
||||||||
1.220% 8/20/27 (c) |
234,000 | 222,492 | ||||||
The accompanying notes are an integral part of the financial statements.
86
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
Hyundai Auto Receivables Trust, Series 2021-C, Class A4 |
||||||||
1.030% 12/15/27 |
$ | 140,000 | $ | 133,036 | ||||
Toyota Auto Receivables Owner Trust, Series 2021-D, Class A4 |
||||||||
1.020% 3/15/27 |
70,000 | 66,532 | ||||||
| 562,640 | ||||||||
Commercial Mortgage-Backed Securities — 1.0% |
||||||||
BANK |
||||||||
Series 2019-BN17, Class B, 4.128% VRN 4/15/52 (f) |
29,000 | 29,400 | ||||||
Series 2019-BN16, Class AS, 4.267% 2/15/52 |
31,333 | 32,002 | ||||||
Series 2019-BN16, Class B, 4.438% VRN 2/15/52 (f) |
24,330 | 25,124 | ||||||
BBCMS Mortgage Trust, Series 2020-C7, Class AS |
||||||||
2.444% 4/15/53 |
57,000 | 52,069 | ||||||
Benchmark Mortgage Trust |
||||||||
Class AS, 3.352% 12/15/62 |
150,000 | 144,734 | ||||||
Class AAB, 3.933% 3/15/52 |
274,000 | 279,232 | ||||||
BX Commercial Mortgage Trust |
||||||||
Class A, 1 mo. USD LIBOR + .700% 1.097% FRN 9/15/36 (c) |
115,000 | 112,018 | ||||||
Class C, 1 mo. USD LIBOR + 1.100% 1.497% FRN 9/15/36 (c) |
100,000 | 95,938 | ||||||
Citigroup Commercial Mortgage Trust, Series 2017-C4, Class C, |
||||||||
4.200% VRN 10/12/50 (f) |
70,000 | 67,507 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-LC17, Class C, |
||||||||
4.558% VRN 10/10/47 (f) |
100,000 | 99,104 | ||||||
GS Mortgage Securities Trust |
||||||||
Series 2020-GC45, Class A5, 2.911% 2/13/53 |
140,000 | 135,163 | ||||||
Series 2017-GS6, Class B, 3.869% 5/10/50 |
79,000 | 78,569 | ||||||
Life Mortgage Trust |
||||||||
Class A, 1 mo. USD LIBOR + .700% 1.097% FRN 3/15/38 (c) |
98,297 | 96,087 | ||||||
Class B, 1 mo. USD LIBOR + .880% 1.277% FRN 3/15/38 (c) |
98,297 | 94,889 | ||||||
Morgan Stanley Capital I Trust, Series 2018-H3, Class B, |
||||||||
4.620% VRN 7/15/51 (f) |
20,000 | 20,646 | ||||||
Wells Fargo Commercial Mortgage Trust |
||||||||
Series 2018-C45, Class AS, 4.405% VRN 6/15/51 (f) |
30,000 | 30,618 | ||||||
Principal |
Value |
|||||||
Series 2018-C45, Class B, 4.556% 6/16/51 |
$ | 10,000 | $ | 10,184 | ||||
| 1,403,284 | ||||||||
Other Asset-Backed Securities — 0.4% |
||||||||
AMSR Trust, Series 2021-SFR3, Class B |
||||||||
1.726% 10/17/38 (c) |
130,000 | 121,319 | ||||||
Dllmt LLC, Series 2021-1A, Class A4 |
||||||||
1.240% 6/20/29 (c) |
150,000 | 143,002 | ||||||
MVW LLC, Series 2021-2A, Class A |
||||||||
1.430% 5/20/39 (c) |
275,586 | 259,162 | ||||||
Progress Residential Trust, Series 2021-SFR10, Class A |
||||||||
2.393% 12/17/40 (c) |
100,000 | 95,128 | ||||||
| 618,611 | ||||||||
Whole Loan Collateral Collateralized Mortgage Obligations — 1.6% |
||||||||
Angel Oak Mortgage Trust |
||||||||
Series 2021-8, Class A1, 1.820% VRN 11/25/66 (c) (f) |
280,467 | 265,366 | ||||||
Series 2022-1, Class A1, 2.881% STEP 12/25/66 (c) |
268,767 | 261,975 | ||||||
Bayview MSR Opportunity Master Fund Trust |
||||||||
Series 2021-5, Class A2, 2.500% VRN 11/25/51 (c) (f) |
143,037 | 132,002 | ||||||
Series 2021-5, Class A1, 3.000% VRN 11/25/51 (c) (f) |
117,305 | 111,582 | ||||||
Flagstar Mortgage Trust, Series 2021-11IN, Class A6, |
||||||||
2.500% VRN 11/25/51 (c) (f) |
255,748 | 245,268 | ||||||
Imperial Fund Mortgage Trust, Series 2021-NQM3, Class A1, |
||||||||
1.595% VRN 11/25/56 (c) (f) |
162,370 | 153,408 | ||||||
JP Morgan Mortgage Trust, Series 2021-LTV2, Class A1, |
||||||||
2.520% VRN 5/25/52 (c) (f) |
270,382 | 249,391 | ||||||
OBX Trust, Series 2022-NQM1, Class A1, |
||||||||
2.305% VRN 11/25/61 (c) (f) |
257,384 | 249,437 | ||||||
Starwood Mortgage Residential Trust |
||||||||
Series 2021-6, Class A1, 1.920% VRN 11/25/66 (c) (f) |
288,290 | 274,170 | ||||||
Series 2022-1, Class A1, 2.447% VRN 12/25/66 (c) (f) |
309,008 | 299,716 | ||||||
| 2,242,315 | ||||||||
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $5,087,813) |
4,826,850 | |||||||
The accompanying notes are an integral part of the financial statements.
87
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (g) — 8.3% |
||||||||
Pass-Through Securities — 8.3% |
||||||||
Federal Home Loan Mortgage Corp. |
||||||||
Pool #RA6233 2.000% 11/01/51 |
$ | 531,247 | $ | 494,105 | ||||
Pool #SD8174 3.000% 10/01/51 |
479,784 | 470,710 | ||||||
Federal National Mortgage Association |
||||||||
Pool #CB1787 2.000% 10/01/51 |
520,548 | 484,317 | ||||||
Pool #CB1782 2.000% 10/01/51 |
787,475 | 732,666 | ||||||
Pool #MA4361 2.500% 6/01/36 |
342,054 | 338,427 | ||||||
Pool #CB2074 2.500% 11/01/51 |
413,633 | 395,518 | ||||||
Pool #BO7245 3.000% 1/01/50 |
323,720 | 319,134 | ||||||
Uniform Mortgage Backed Securities TBA |
||||||||
2.000% 11/01/36 (e) |
3,500,000 | 3,399,375 | ||||||
2.000% 9/01/51 (e) |
3,129,000 | 2,905,814 | ||||||
2.500% 10/01/51 (e) |
2,200,000 | 2,100,656 | ||||||
3.000% 11/01/51 (e) |
350,000 | 342,644 | ||||||
| 11,983,366 | ||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $12,472,247) |
11,983,366 | |||||||
U.S. TREASURY OBLIGATIONS — 12.2% |
||||||||
U.S. Treasury Bonds & Notes — 12.2% |
||||||||
U.S. Treasury Bond |
||||||||
1.875% 11/15/51 |
1,303,600 | 1,143,328 | ||||||
2.250% 8/15/49 |
873,900 | 831,803 | ||||||
2.375% 2/15/42 |
1,423,200 | 1,373,610 | ||||||
U.S. Treasury Note |
||||||||
0.125% 5/15/23 |
1,400,000 | 1,373,574 | ||||||
0.250% 11/15/23 |
2,000,000 | 1,938,826 | ||||||
0.375% 4/30/25 |
1,543,600 | 1,447,004 | ||||||
1.500% 2/29/24 (b) |
2,250,600 | 2,219,456 | ||||||
1.750% 3/15/25 |
2,526,400 | 2,475,478 | ||||||
1.875% 2/28/27 (b) |
2,106,500 | 2,053,186 | ||||||
1.875% 2/28/29 |
2,074,400 | 2,004,389 | ||||||
1.875% 2/15/32 |
802,700 | 770,717 | ||||||
| 17,631,371 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $18,339,657) |
17,631,371 | |||||||
TOTAL BONDS & NOTES (Cost $55,563,184) |
52,497,702 | |||||||
| Number of Shares | Value | |||||||
| MUTUAL FUNDS — 3.2% | ||||||||
| Diversified Financial Services — 3.2% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio (h) | 4,622,123 | $ | 4,622,123 | |||||
| TOTAL MUTUAL FUNDS (Cost $4,622,123) | 4,622,123 | |||||||
| TOTAL LONG-TERM INVESTMENTS (Cost $146,974,631) | 152,630,282 | |||||||
Principal | ||||||||
| SHORT-TERM INVESTMENTS — 3.6% | ||||||||
| Repurchase Agreement — 3.5% | ||||||||
| Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (i) | $ | 5,089,187 | 5,089,187 | |||||
| U.S. Treasury Bill — 0.1% | ||||||||
| U.S. Treasury Bill | ||||||||
| 0.213% 5/26/22 (j) (k) | 16,000 | 15,993 | ||||||
| 0.255% 5/26/22 (j) (k) | 1,000 | 999 | ||||||
| 0.317% 5/26/22 (j) (k) | 1,000 | 999 | ||||||
| 0.374% 5/26/22 (j) (k) | 3,000 | 2,999 | ||||||
| 0.376% 5/26/22 (j) (k) | 1,000 | 1,000 | ||||||
| 0.416% 5/26/22 (j) (k) | 1,000 | 1,000 | ||||||
| 0.419% 5/26/22 (j) (k) | 64,000 | 63,973 | ||||||
| 86,963 | ||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $5,176,137) | 5,176,150 | |||||||
| TOTAL INVESTMENTS — 109.5% (Cost $152,150,768) (l) | 157,806,432 | |||||||
| Other Assets/(Liabilities) — (9.5)% | (13,625,533 | ) | ||||||
| NET ASSETS — 100.0% | $ | 144,180,899 | ||||||
Abbreviation Legend
|
FRN |
Floating Rate Note |
|
STEP |
Step Up Bond |
|
TBA |
To Be Announced |
|
VRN |
Variable Rate Note |
The accompanying notes are an integral part of the financial statements.
88
MassMutual Balanced Fund — Portfolio of Investments (Continued) |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Non-income producing security. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $4,817,108 or 3.34% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $297,255 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $5,968,889 or 4.14% of net assets. |
|
(d) |
Security is perpetual and has no stated maturity date. |
|
(e) |
A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2). |
|
(f) |
Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer |
or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at March 31, 2022.
|
(g) |
May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency. |
|
(h) |
Represents investment of security lending cash collateral. (Note 2). |
|
(i) |
Maturity value of $5,089,187. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 7/15/24, and an aggregate market value, including accrued interest, of $5,191,054. |
|
(j) |
The rate shown represents yield-to-maturity. |
|
(k) |
All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2). |
|
(l) |
See Note 6 for aggregate cost for federal tax purposes. |
Futures contracts
|
Expiration |
Number of |
Notional |
Value/ Net |
||||||||||||
Short |
||||||||||||||||
U.S. Treasury Note 10 Year |
6/21/22 | 17 | $ | (2,156,706 | ) | $ | 67,831 | |||||||||
U.S. Treasury Ultra 10 Year |
6/21/22 | 11 | (1,538,773 | ) | 48,617 | |||||||||||
U.S. Treasury Note 2 Year |
6/30/22 | 9 | (1,930,904 | ) | 23,607 | |||||||||||
U.S. Treasury Note 5 Year |
6/30/22 | 9 | (1,057,694 | ) | 25,506 | |||||||||||
|
$ | 165,561 | ||||||||||||||
The accompanying notes are an integral part of the financial statements.
89
MassMutual Disciplined Value Fund — Portfolio of Investments |
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 99.4% |
||||||||
COMMON STOCK — 99.4% |
||||||||
Basic Materials — 2.9% |
||||||||
Chemicals — 1.4% |
||||||||
Axalta Coating Systems Ltd. (a) |
8,645 | $ | 212,494 | |||||
Diversey Holdings Ltd. (a) |
6,709 | 50,787 | ||||||
LyondellBasell Industries NV Class A |
6,105 | 627,716 | ||||||
RPM International, Inc. |
1,002 | 81,603 | ||||||
Valvoline, Inc. |
4,858 | 153,319 | ||||||
Westlake Corp. |
411 | 50,717 | ||||||
| 1,176,636 | ||||||||
Iron & Steel — 1.5% |
||||||||
Nucor Corp. |
2,654 | 394,517 | ||||||
Reliance Steel & Aluminum Co. |
101 | 18,519 | ||||||
Steel Dynamics, Inc. |
10,814 | 902,212 | ||||||
| 1,315,248 | ||||||||
| 2,491,884 | ||||||||
Communications — 4.3% |
||||||||
Advertising — 1.3% |
||||||||
Omnicom Group, Inc. |
12,775 | 1,084,342 | ||||||
Internet — 1.8% |
||||||||
Alphabet, Inc. Class A (a) |
274 | 762,090 | ||||||
Alphabet, Inc. Class C (a) |
167 | 466,429 | ||||||
F5, Inc. (a) |
924 | 193,070 | ||||||
GoDaddy, Inc. Class A (a) |
1,274 | 106,634 | ||||||
| 1,528,223 | ||||||||
Media — 0.7% |
||||||||
Discovery, Inc. Class A (a) |
2,071 | 51,609 | ||||||
Discovery, Inc. Class C (a) |
7,942 | 198,312 | ||||||
Paramount Global Class B |
9,832 | 371,748 | ||||||
| 621,669 | ||||||||
Telecommunications — 0.5% |
||||||||
Lumen Technologies, Inc. |
42,701 | 481,240 | ||||||
| 3,715,474 | ||||||||
Consumer, Cyclical — 5.6% |
||||||||
Auto Parts & Equipment — 0.8% |
||||||||
BorgWarner, Inc. |
11,463 | 445,911 | ||||||
Lear Corp. |
1,863 | 265,645 | ||||||
| 711,556 | ||||||||
Distribution & Wholesale — 0.1% |
||||||||
Core & Main, Inc. Class A (a) |
2,543 | 61,515 | ||||||
Home Builders — 1.1% |
||||||||
D.R. Horton, Inc. |
6,794 | 506,221 | ||||||
NVR, Inc. (a) |
39 | 174,223 | ||||||
Thor Industries, Inc. (b) |
2,787 | 219,337 | ||||||
| 899,781 | ||||||||
Number of |
Value |
|||||||
Leisure Time — 0.1% |
||||||||
Polaris, Inc. (b) |
915 | $ | 96,368 | |||||
Retail — 3.5% |
||||||||
McDonald’s Corp. |
3,396 | 839,763 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) |
3,417 | 146,794 | ||||||
Qurate Retail, Inc. Class A |
18,378 | 87,479 | ||||||
Walmart, Inc. |
11,576 | 1,723,898 | ||||||
Yum! Brands, Inc. |
2,126 | 251,995 | ||||||
| 3,049,929 | ||||||||
| 4,819,149 | ||||||||
Consumer, Non-cyclical — 32.2% |
||||||||
Agriculture — 3.0% |
||||||||
Altria Group, Inc. |
21,312 | 1,113,552 | ||||||
Philip Morris International, Inc. |
15,307 | 1,437,940 | ||||||
| 2,551,492 | ||||||||
Beverages — 2.4% |
||||||||
The Coca-Cola Co. |
475 | 29,450 | ||||||
Keurig Dr Pepper, Inc. |
14,953 | 566,719 | ||||||
Monster Beverage Corp. (a) |
7,763 | 620,263 | ||||||
PepsiCo, Inc. |
5,363 | 897,659 | ||||||
| 2,114,091 | ||||||||
Biotechnology — 1.2% |
||||||||
Regeneron Pharmaceuticals, Inc. (a) |
757 | 528,704 | ||||||
Vertex Pharmaceuticals, Inc. (a) |
1,867 | 487,231 | ||||||
| 1,015,935 | ||||||||
Commercial Services — 3.7% |
||||||||
Driven Brands Holdings, Inc. (a) |
2,200 | 57,816 | ||||||
Equifax, Inc. |
2,506 | 594,172 | ||||||
Global Payments, Inc. |
4,703 | 643,558 | ||||||
Moody’s Corp. |
1,065 | 359,342 | ||||||
Nielsen Holdings PLC |
4,239 | 115,470 | ||||||
Rollins, Inc. |
1,812 | 63,511 | ||||||
S&P Global, Inc. |
2,116 | 867,941 | ||||||
Verisk Analytics, Inc. |
2,106 | 452,011 | ||||||
WEX, Inc. (a) |
100 | 17,845 | ||||||
| 3,171,666 | ||||||||
Cosmetics & Personal Care — 2.0% |
||||||||
The Procter & Gamble Co. |
11,097 | 1,695,622 | ||||||
Food — 2.0% |
||||||||
Campbell Soup Co. |
4,988 | 222,315 | ||||||
General Mills, Inc. |
7,469 | 505,801 | ||||||
Kellogg Co. |
4,158 | 268,149 | ||||||
Mondelez International, Inc. Class A |
11,497 | 721,782 | ||||||
| 1,718,047 | ||||||||
Health Care – Products — 5.8% |
||||||||
Abbott Laboratories |
9,690 | 1,146,908 | ||||||
The accompanying notes are an integral part of the financial statements.
90
MassMutual Disciplined Value Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Danaher Corp. |
5,245 | $ | 1,538,516 | |||||
Hologic, Inc. (a) |
7,807 | 599,734 | ||||||
Thermo Fisher Scientific, Inc. |
2,833 | 1,673,311 | ||||||
| 4,958,469 | ||||||||
Health Care – Services — 4.9% |
||||||||
Anthem, Inc. |
1,197 | 587,990 | ||||||
Centene Corp. (a) |
2,040 | 171,748 | ||||||
Chemed Corp. |
87 | 44,070 | ||||||
Laboratory Corp. of America Holdings (a) |
1,622 | 427,656 | ||||||
Quest Diagnostics, Inc. |
828 | 113,320 | ||||||
Syneos Health, Inc. (a) |
1,845 | 149,353 | ||||||
UnitedHealth Group, Inc. |
5,411 | 2,759,448 | ||||||
| 4,253,585 | ||||||||
Household Products & Wares — 0.8% |
||||||||
Kimberly-Clark Corp. |
3,276 | 403,472 | ||||||
Reynolds Consumer Products, Inc. |
10,034 | 294,398 | ||||||
| 697,870 | ||||||||
Pharmaceuticals — 6.4% |
||||||||
AmerisourceBergen Corp. |
7,290 | 1,127,836 | ||||||
Bristol-Myers Squibb Co. |
23,258 | 1,698,532 | ||||||
Herbalife Nutrition Ltd. (a) |
1,708 | 51,855 | ||||||
Jazz Pharmaceuticals PLC (a) |
2,710 | 421,865 | ||||||
McKesson Corp. |
1,191 | 364,601 | ||||||
Pfizer, Inc. |
36,361 | 1,882,409 | ||||||
| 5,547,098 | ||||||||
| 27,723,875 | ||||||||
Energy — 4.5% |
||||||||
Energy – Alternate Sources — 0.0% |
||||||||
Shoals Technologies Group, Inc. Class A (a) |
807 | 13,751 | ||||||
Oil & Gas — 4.5% |
||||||||
APA Corp. |
6,902 | 285,260 | ||||||
ConocoPhillips |
9,079 | 907,900 | ||||||
Coterra Energy, Inc. |
8,692 | 234,423 | ||||||
Devon Energy Corp. |
17,693 | 1,046,187 | ||||||
HF Sinclair Corp. |
6,096 | 242,926 | ||||||
Marathon Oil Corp. |
46,604 | 1,170,226 | ||||||
| 3,886,922 | ||||||||
| 3,900,673 | ||||||||
Financial — 26.6% |
||||||||
Banks — 6.1% |
||||||||
The Bank of New York Mellon Corp. |
9,660 | 479,426 | ||||||
Citigroup, Inc. |
22,804 | 1,217,733 | ||||||
JPMorgan Chase & Co. |
17,259 | 2,352,747 | ||||||
KeyCorp. |
34,102 | 763,203 | ||||||
Number of |
Value |
|||||||
US Bancorp |
7,529 | $ | 400,166 | |||||
| 5,213,275 | ||||||||
Diversified Financial Services — 7.2% |
||||||||
Affiliated Managers Group, Inc. |
3,294 | 464,289 | ||||||
American Express Co. |
2,480 | 463,760 | ||||||
Apollo Global Management, Inc. |
4,682 | 290,237 | ||||||
BlackRock, Inc. |
1,537 | 1,174,529 | ||||||
Capital One Financial Corp. |
798 | 104,770 | ||||||
The Charles Schwab Corp. |
5,723 | 482,506 | ||||||
Discover Financial Services |
1,806 | 199,003 | ||||||
Franklin Resources, Inc. |
545 | 15,216 | ||||||
Intercontinental Exchange, Inc. |
8,442 | 1,115,357 | ||||||
SLM Corp. |
8,886 | 163,147 | ||||||
Synchrony Financial |
7,847 | 273,154 | ||||||
T. Rowe Price Group, Inc. |
4,092 | 618,670 | ||||||
Tradeweb Markets, Inc. Class A |
1,715 | 150,697 | ||||||
Virtu Financial, Inc. Class A |
18,613 | 692,776 | ||||||
| 6,208,111 | ||||||||
Insurance — 10.0% |
||||||||
Aflac, Inc. |
17,076 | 1,099,524 | ||||||
The Allstate Corp. |
3,849 | 533,125 | ||||||
American International Group, Inc. |
3,139 | 197,035 | ||||||
Aon PLC Class A |
585 | 190,493 | ||||||
Arthur J Gallagher & Co. |
6,083 | 1,062,092 | ||||||
Brown & Brown, Inc. |
13,700 | 990,099 | ||||||
Fidelity National Financial, Inc. |
13,149 | 642,197 | ||||||
Globe Life, Inc. |
2,638 | 265,383 | ||||||
Lincoln National Corp. |
2,709 | 177,060 | ||||||
Loews Corp. |
8,893 | 576,444 | ||||||
Marsh & McLennan Cos., Inc. |
6,935 | 1,181,863 | ||||||
MetLife, Inc. |
12,845 | 902,747 | ||||||
The Progressive Corp. |
4,442 | 506,344 | ||||||
Reinsurance Group of America, Inc. |
2,394 | 262,047 | ||||||
| 8,586,453 | ||||||||
Private Equity — 0.5% |
||||||||
Ares Management Corp. Class A |
5,459 | 443,434 | ||||||
Real Estate — 1.0% |
||||||||
CBRE Group, Inc. Class A (a) |
9,630 | 881,338 | ||||||
Real Estate Investment Trusts (REITS) — 1.6% |
||||||||
Healthcare Trust of America, Inc. Class A |
16,053 | 503,101 | ||||||
Omega Healthcare Investors, Inc. |
5,951 | 185,433 | ||||||
Realty Income Corp. |
2,474 | 171,448 | ||||||
SBA Communications Corp. |
649 | 223,321 | ||||||
STORE Capital Corp. |
2,679 | 78,307 | ||||||
Vornado Realty Trust |
239 | 10,832 | ||||||
WP Carey, Inc. |
1,826 | 147,614 | ||||||
| 1,320,056 | ||||||||
The accompanying notes are an integral part of the financial statements.
91
MassMutual Disciplined Value Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Savings & Loans — 0.2% |
||||||||
New York Community Bancorp, Inc. |
17,626 | $ | 188,951 | |||||
| 22,841,618 | ||||||||
Industrial — 10.7% |
||||||||
Aerospace & Defense — 3.1% |
||||||||
General Dynamics Corp. |
2,981 | 718,957 | ||||||
Raytheon Technologies Corp. |
13,417 | 1,329,222 | ||||||
TransDigm Group, Inc. (a) |
905 | 589,644 | ||||||
| 2,637,823 | ||||||||
Building Materials — 0.0% |
||||||||
Hayward Holdings, Inc. (a) |
2,546 | 42,315 | ||||||
Electrical Components & Equipment — 1.2% |
||||||||
Emerson Electric Co. |
10,991 | 1,077,668 | ||||||
Electronics — 0.6% |
||||||||
Arrow Electronics, Inc. (a) |
4,315 | 511,888 | ||||||
Engineering & Construction — 0.3% |
||||||||
frontdoor, Inc. (a) |
8,458 | 252,471 | ||||||
Hand & Machine Tools — 0.9% |
||||||||
Stanley Black & Decker, Inc. |
5,439 | 760,318 | ||||||
Machinery – Diversified — 2.2% |
||||||||
Colfax Corp. (a) |
537 | 21,367 | ||||||
Dover Corp. |
2,737 | 429,435 | ||||||
Ingersoll Rand, Inc. |
16,076 | 809,427 | ||||||
Westinghouse Air Brake Technologies Corp. |
6,221 | 598,274 | ||||||
| 1,858,503 | ||||||||
Miscellaneous - Manufacturing — 1.0% |
||||||||
3M Co. |
4,116 | 612,790 | ||||||
Illinois Tool Works, Inc. |
1,168 | 244,579 | ||||||
| 857,369 | ||||||||
Transportation — 1.4% |
||||||||
C.H. Robinson Worldwide, Inc. |
4,555 | 490,619 | ||||||
Expeditors International of Washington, Inc. |
3,521 | 363,226 | ||||||
Knight-Swift Transportation Holdings, Inc. |
5,429 | 273,947 | ||||||
Ryder System, Inc. |
881 | 69,890 | ||||||
| 1,197,682 | ||||||||
| 9,196,037 | ||||||||
Technology — 11.1% |
||||||||
Computers — 3.8% |
||||||||
Accenture PLC Class A |
2,715 | 915,580 | ||||||
Dell Technologies C (a) |
11,237 | 563,985 | ||||||
International Business Machines Corp. |
5,244 | 681,825 | ||||||
Leidos Holdings, Inc. |
1,792 | 193,572 | ||||||
Number of |
Value |
|||||||
Science Applications International Corp. |
9,736 | $ | 897,367 | |||||
| 3,252,329 | ||||||||
Semiconductors — 3.1% |
||||||||
Analog Devices, Inc. |
3,823 | 631,483 | ||||||
Micron Technology, Inc. |
3,609 | 281,105 | ||||||
Skyworks Solutions, Inc. |
4,875 | 649,740 | ||||||
Texas Instruments, Inc. |
5,994 | 1,099,779 | ||||||
| 2,662,107 | ||||||||
Software — 4.2% |
||||||||
Activision Blizzard, Inc. |
7,535 | 603,629 | ||||||
Fidelity National Information Services, Inc. |
10,173 | 1,021,573 | ||||||
Fiserv, Inc. (a) |
10,462 | 1,060,847 | ||||||
Jamf Holding Corp. (a) (b) |
3,704 | 128,936 | ||||||
Oracle Corp. |
4,010 | 331,747 | ||||||
SolarWinds Corp. |
12,124 | 161,370 | ||||||
VMware, Inc. Class A |
3,009 | 342,635 | ||||||
| 3,650,737 | ||||||||
| 9,565,173 | ||||||||
Utilities — 1.5% |
||||||||
Electric — 0.7% |
||||||||
NRG Energy, Inc. |
15,194 | 582,842 | ||||||
Gas — 0.8% |
||||||||
National Fuel Gas Co. |
10,463 | 718,808 | ||||||
| 1,301,650 | ||||||||
TOTAL COMMON STOCK (Cost $76,801,652) |
85,555,533 | |||||||
TOTAL EQUITIES (Cost $76,801,652) |
85,555,533 | |||||||
MUTUAL FUNDS — 0.1% |
||||||||
Diversified Financial Services — 0.1% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (c) |
97,288 | 97,288 | ||||||
TOTAL MUTUAL FUNDS (Cost $97,288) |
97,288 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $76,898,940) |
85,652,821 | |||||||
The accompanying notes are an integral part of the financial statements.
92
MassMutual Disciplined Value Fund — Portfolio of Investments (Continued) |
Principal |
Value |
|||||||
SHORT-TERM INVESTMENTS — 0.6% |
||||||||
Repurchase Agreement — 0.6% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (d) |
$ | 483,095 | $ | 483,095 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $483,095) |
483,095 | |||||||
TOTAL INVESTMENTS — 100.1% (Cost $77,382,035) (e) |
86,135,916 | |||||||
Other Assets/(Liabilities) — (0.1)% |
(102,661 | ) | ||||||
NET ASSETS — 100.0% |
$ | 86,033,255 | ||||||
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Non-income producing security. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $407,280 or 0.47% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $325,020 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Represents investment of security lending cash collateral. (Note 2). |
|
(d) |
Maturity value of $483,095. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 7/15/24, and an aggregate market value, including accrued interest, of $492,814. |
|
(e) |
See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
93
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 99.3% |
||||||||
COMMON STOCK — 99.3% |
||||||||
Basic Materials — 0.7% |
||||||||
Chemicals — 0.7% |
||||||||
Valvoline, Inc. |
26,165 | $ | 825,768 | |||||
Communications — 14.7% |
||||||||
Internet — 10.9% |
||||||||
Airbnb, Inc. Class A (a) |
8,507 | 1,461,162 | ||||||
Alphabet, Inc. Class A (a) |
1,193 | 3,318,151 | ||||||
Amazon.com, Inc. (a) |
1,971 | 6,425,361 | ||||||
Netflix, Inc. (a) |
3,103 | 1,162,353 | ||||||
Snap, Inc. Class A (a) |
7,830 | 281,802 | ||||||
| 12,648,829 | ||||||||
Media — 1.2% |
||||||||
Comcast Corp. Class A |
30,234 | 1,415,556 | ||||||
Telecommunications — 2.6% |
||||||||
Motorola Solutions, Inc. |
5,027 | 1,217,539 | ||||||
Verizon Communications, Inc. |
34,307 | 1,747,599 | ||||||
| 2,965,138 | ||||||||
| 17,029,523 | ||||||||
Consumer, Cyclical — 6.0% |
||||||||
Auto Manufacturers — 1.9% |
||||||||
General Motors Co. (a) |
26,742 | 1,169,695 | ||||||
Tesla, Inc. (a) |
1,005 | 1,082,988 | ||||||
| 2,252,683 | ||||||||
Entertainment — 0.3% |
||||||||
Warner Music Group Corp. Class A |
7,806 | 295,457 | ||||||
Home Builders — 0.7% |
||||||||
D.R. Horton, Inc. |
10,953 | 816,108 | ||||||
Retail — 3.1% |
||||||||
CarMax, Inc. (a) (b) |
10,089 | 973,387 | ||||||
Floor & Decor Holdings, Inc. Class A (a) |
3,539 | 286,659 | ||||||
O’Reilly Automotive, Inc. (a) |
1,377 | 943,190 | ||||||
Target Corp. |
6,355 | 1,348,658 | ||||||
| 3,551,894 | ||||||||
| 6,916,142 | ||||||||
Consumer, Non-cyclical — 22.4% |
||||||||
Beverages — 1.3% |
||||||||
The Coca-Cola Co. |
12,599 | 781,138 | ||||||
Constellation Brands, Inc. Class A |
2,921 | 672,765 | ||||||
| 1,453,903 | ||||||||
Biotechnology — 0.9% |
||||||||
Seagen, Inc. (a) |
6,963 | 1,003,020 | ||||||
Commercial Services — 1.0% |
||||||||
PayPal Holdings, Inc. (a) |
5,938 | 686,730 | ||||||
Number of |
Value |
|||||||
TransUnion |
4,909 | $ | 507,296 | |||||
| 1,194,026 | ||||||||
Cosmetics & Personal Care — 2.8% |
||||||||
Coty, Inc. Class A (a) |
12,486 | 112,249 | ||||||
The Procter & Gamble Co. |
20,600 | 3,147,680 | ||||||
| 3,259,929 | ||||||||
Food — 2.1% |
||||||||
Mondelez International, Inc. Class A |
21,565 | 1,353,851 | ||||||
Sysco Corp. |
12,876 | 1,051,325 | ||||||
| 2,405,176 | ||||||||
Health Care – Products — 2.0% |
||||||||
Avantor, Inc. (a) |
29,297 | 990,825 | ||||||
The Cooper Cos., Inc. |
3,189 | 1,331,694 | ||||||
| 2,322,519 | ||||||||
Health Care – Services — 5.8% |
||||||||
HCA Healthcare, Inc. |
11,209 | 2,809,200 | ||||||
Tenet Healthcare Corp. (a) |
9,895 | 850,574 | ||||||
UnitedHealth Group, Inc. |
5,941 | 3,029,732 | ||||||
| 6,689,506 | ||||||||
Pharmaceuticals — 6.5% |
||||||||
AstraZeneca PLC Sponsored ADR |
31,905 | 2,116,578 | ||||||
Bayer AG Registered |
7,287 | 498,556 | ||||||
CVS Health Corp. |
23,395 | 2,367,808 | ||||||
Eli Lilly & Co. |
9,072 | 2,597,948 | ||||||
| 7,580,890 | ||||||||
| 25,908,969 | ||||||||
Energy — 3.7% |
||||||||
Oil & Gas — 2.3% |
||||||||
APA Corp. |
18,954 | 783,369 | ||||||
Exxon Mobil Corp. |
22,816 | 1,884,373 | ||||||
| 2,667,742 | ||||||||
Oil & Gas Services — 0.3% |
||||||||
Nov, Inc. |
14,874 | 291,679 | ||||||
Pipelines — 1.1% |
||||||||
Cheniere Energy, Inc. |
5,442 | 754,534 | ||||||
Magellan Midstream Partners LP (c) |
10,943 | 536,973 | ||||||
| 1,291,507 | ||||||||
| 4,250,928 | ||||||||
Financial — 13.5% |
||||||||
Banks — 3.9% |
||||||||
First Citizens BancShares, Inc. Class A |
1,777 | 1,182,771 | ||||||
JP Morgan Chase & Co. |
12,590 | 1,716,269 | ||||||
Signature Bank |
2,776 | 814,728 | ||||||
SVB Financial Group (a) |
1,475 | 825,189 | ||||||
| 4,538,957 | ||||||||
The accompanying notes are an integral part of the financial statements.
94
MassMutual Main Street Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Diversified Financial Services — 3.6% |
||||||||
American Express Co. |
9,078 | $ | 1,697,586 | |||||
Intercontinental Exchange, Inc. |
13,967 | 1,845,320 | ||||||
Rocket Cos., Inc. Class A (b) |
53,019 | 589,571 | ||||||
| 4,132,477 | ||||||||
Insurance — 3.2% |
||||||||
The Allstate Corp. |
12,033 | 1,666,691 | ||||||
Equitable Holdings, Inc. |
64,981 | 2,008,563 | ||||||
| 3,675,254 | ||||||||
Real Estate Investment Trusts (REITS) — 2.8% |
||||||||
Prologis, Inc. |
19,819 | 3,200,372 | ||||||
| 15,547,060 | ||||||||
Industrial — 11.2% |
||||||||
Aerospace & Defense — 1.9% |
||||||||
Raytheon Technologies Corp. |
22,446 | 2,223,725 | ||||||
Building Materials — 1.2% |
||||||||
Vulcan Materials Co. |
7,697 | 1,413,939 | ||||||
Environmental Controls — 0.7% |
||||||||
Waste Connections, Inc. |
5,355 | 748,093 | ||||||
Machinery – Diversified — 3.2% |
||||||||
Deere & Co. |
3,762 | 1,562,961 | ||||||
Otis Worldwide Corp. |
20,898 | 1,608,101 | ||||||
Rockwell Automation, Inc. |
2,032 | 569,021 | ||||||
| 3,740,083 | ||||||||
Transportation — 4.2% |
||||||||
Union Pacific Corp. |
4,763 | 1,301,299 | ||||||
United Parcel Service, Inc. Class B |
16,523 | 3,543,523 | ||||||
| 4,844,822 | ||||||||
| 12,970,662 | ||||||||
Technology — 25.3% |
||||||||
Computers — 6.0% |
||||||||
Accenture PLC Class A |
4,644 | 1,566,096 | ||||||
Amdocs Ltd. |
3,436 | 282,474 | ||||||
Apple, Inc. |
28,896 | 5,045,530 | ||||||
| 6,894,100 | ||||||||
Semiconductors — 5.1% |
||||||||
Advanced Micro Devices, Inc. (a) |
12,970 | 1,418,140 | ||||||
Applied Materials, Inc. |
11,419 | 1,505,024 | ||||||
QUALCOMM, Inc. |
19,233 | 2,939,187 | ||||||
| 5,862,351 | ||||||||
Software — 14.2% |
||||||||
Doximity, Inc. Class A (a) |
6,817 | 355,098 | ||||||
Fiserv, Inc. (a) |
15,073 | 1,528,402 | ||||||
Manhattan Associates, Inc. (a) |
2,433 | 337,481 | ||||||
Microsoft Corp. |
25,090 | 7,735,498 | ||||||
salesforce.com, Inc. (a) |
10,461 | 2,221,079 | ||||||
Number of |
Value |
|||||||
ServiceNow, Inc. (a) |
1,120 | $ | 623,717 | |||||
VMware, Inc. Class A |
20,061 | 2,284,346 | ||||||
Workday, Inc. Class A (a) |
4,843 | 1,159,705 | ||||||
Zynga, Inc. Class A (a) |
24,687 | 228,108 | ||||||
| 16,473,434 | ||||||||
| 29,229,885 | ||||||||
Utilities — 1.8% |
||||||||
Electric — 1.8% |
||||||||
FirstEnergy Corp. |
45,318 | 2,078,283 | ||||||
TOTAL COMMON STOCK (Cost $89,900,548) |
114,757,220 | |||||||
TOTAL EQUITIES (Cost $89,900,548) |
114,757,220 | |||||||
MUTUAL FUNDS — 0.1% |
||||||||
Diversified Financial Services — 0.1% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (d) |
166,704 | 166,704 | ||||||
TOTAL MUTUAL FUNDS (Cost $166,704) |
166,704 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $90,067,252) |
114,923,924 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 0.9% |
||||||||
Repurchase Agreement — 0.9% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (e) |
$ | 1,017,664 | 1,017,664 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,017,664) |
1,017,664 | |||||||
TOTAL INVESTMENTS — 100.3% (Cost $91,084,916) (f) |
115,941,588 | |||||||
Other Assets/(Liabilities) — (0.3)% |
(315,349 | ) | ||||||
NET ASSETS — 100.0% |
$ | 115,626,239 | ||||||
Abbreviation Legend
|
ADR |
American Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
95
MassMutual Main Street Fund — Portfolio of Investments (Continued) |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Non-income producing security. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $1,175,277 or 1.02% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $1,034,609 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Security is a Master Limited Partnership. |
|
(d) |
Represents investment of security lending cash collateral. (Note 2). |
|
(e) |
Maturity value of $1,017,664. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 7/15/24, and an aggregate market value, including accrued interest, of $1,038,086. |
|
(f) |
See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
96
MassMutual Disciplined Growth Fund — Portfolio of Investments |
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 100.4% |
||||||||
COMMON STOCK — 100.4% |
||||||||
Basic Materials — 0.6% |
||||||||
Chemicals — 0.2% |
||||||||
LyondellBasell Industries NV Class A |
2,852 | $ | 293,242 | |||||
Olin Corp. |
3,246 | 169,701 | ||||||
| 462,943 | ||||||||
Iron & Steel — 0.4% |
||||||||
Steel Dynamics, Inc. |
10,379 | 865,920 | ||||||
| 1,328,863 | ||||||||
Communications — 18.5% |
||||||||
Advertising — 0.5% |
||||||||
The Trade Desk, Inc. Class A (a) |
15,778 | 1,092,627 | ||||||
Internet — 17.4% |
||||||||
Alphabet, Inc. Class A (a) |
2,339 | 6,505,578 | ||||||
Alphabet, Inc. Class C (a) |
2,106 | 5,882,037 | ||||||
Amazon.com, Inc. (a) |
3,630 | 11,833,618 | ||||||
CDW Corp. |
13,951 | 2,495,694 | ||||||
eBay, Inc. |
2,911 | 166,684 | ||||||
Etsy, Inc. (a) |
4,761 | 591,697 | ||||||
Figs, Inc. Class A (a) |
6,828 | 146,939 | ||||||
GoDaddy, Inc. Class A (a) |
323 | 27,035 | ||||||
Match Group, Inc. (a) |
10,815 | 1,176,023 | ||||||
Meta Platforms, Inc. Class A (a) |
30,199 | 6,715,050 | ||||||
Netflix, Inc. (a) |
4,910 | 1,839,237 | ||||||
Wayfair, Inc. Class A (a) (b) |
498 | 55,168 | ||||||
| 37,434,760 | ||||||||
Media — 0.5% |
||||||||
Charter Communications, Inc. Class A (a) |
1,196 | 652,442 | ||||||
Nexstar Media Group, Inc. Class A |
2,419 | 455,933 | ||||||
| 1,108,375 | ||||||||
Telecommunications — 0.1% |
||||||||
CommScope Holding Co., Inc. (a) |
19,339 | 152,391 | ||||||
| 39,788,153 | ||||||||
Consumer, Cyclical — 12.2% |
||||||||
Apparel — 1.1% |
||||||||
Hanesbrands, Inc. |
8,124 | 120,966 | ||||||
NIKE, Inc. Class B |
16,927 | 2,277,697 | ||||||
| 2,398,663 | ||||||||
Auto Manufacturers — 3.4% |
||||||||
Tesla, Inc. (a) |
6,838 | 7,368,629 | ||||||
Auto Parts & Equipment — 0.4% |
||||||||
Allison Transmission Holdings, Inc. |
19,277 | 756,815 | ||||||
Distribution & Wholesale — 0.2% |
||||||||
Core & Main, Inc. Class A (a) |
22,298 | 539,389 | ||||||
Number of |
Value |
|||||||
Home Builders — 1.5% |
||||||||
D.R. Horton, Inc. |
17,686 | $ | 1,317,784 | |||||
NVR, Inc. (a) |
54 | 241,232 | ||||||
PulteGroup, Inc. |
10,054 | 421,263 | ||||||
Thor Industries, Inc. (b) |
14,910 | 1,173,417 | ||||||
| 3,153,696 | ||||||||
Home Furnishing — 0.3% |
||||||||
Tempur Sealy International, Inc. |
22,751 | 635,208 | ||||||
Leisure Time — 0.5% |
||||||||
Brunswick Corp. |
1,637 | 132,417 | ||||||
Polaris, Inc. (b) |
1,809 | 190,524 | ||||||
YETI Holdings, Inc. (a) |
11,140 | 668,177 | ||||||
| 991,118 | ||||||||
Retail — 4.8% |
||||||||
AutoZone, Inc. (a) |
769 | 1,572,282 | ||||||
Bath & Body Works, Inc. |
5,328 | 254,679 | ||||||
Best Buy Co., Inc. |
3,292 | 299,243 | ||||||
Costco Wholesale Corp. |
5,280 | 3,040,488 | ||||||
Lithia Motors, Inc. |
1,552 | 465,786 | ||||||
Lowe’s Cos., Inc. |
10,059 | 2,033,829 | ||||||
Lululemon Athletica, Inc. (a) |
4,010 | 1,464,572 | ||||||
McDonald’s Corp. |
4,311 | 1,066,024 | ||||||
Williams-Sonoma, Inc. |
1,185 | 171,825 | ||||||
| 10,368,728 | ||||||||
| 26,212,246 | ||||||||
Consumer, Non-cyclical — 19.1% |
||||||||
Agriculture — 1.4% |
||||||||
Altria Group, Inc. |
57,291 | 2,993,455 | ||||||
Beverages — 2.0% |
||||||||
The Coca-Cola Co. |
31,690 | 1,964,780 | ||||||
Monster Beverage Corp. (a) |
28,954 | 2,313,424 | ||||||
| 4,278,204 | ||||||||
Biotechnology — 2.2% |
||||||||
Maravai LifeSciences Holdings, Inc. Class A (a) |
6,710 | 236,662 | ||||||
Moderna, Inc. (a) |
5,611 | 966,551 | ||||||
Novavax, Inc. (a) |
2,220 | 163,503 | ||||||
Regeneron Pharmaceuticals, Inc. (a) |
1,526 | 1,065,789 | ||||||
Vertex Pharmaceuticals, Inc. (a) |
8,656 | 2,258,956 | ||||||
| 4,691,461 | ||||||||
Commercial Services — 5.3% |
||||||||
Automatic Data Processing, Inc. |
860 | 195,684 | ||||||
Block, Inc. (a) |
2,161 | 293,032 | ||||||
Equifax, Inc. |
1,562 | 370,350 | ||||||
Gartner, Inc. (a) |
7,803 | 2,321,080 | ||||||
The accompanying notes are an integral part of the financial statements.
97
MassMutual Disciplined Growth Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
MarketAxess Holdings, Inc. |
829 | $ | 282,026 | |||||
Moody’s Corp. |
3,667 | 1,237,283 | ||||||
PayPal Holdings, Inc. (a) |
13,636 | 1,577,003 | ||||||
S&P Global, Inc. |
6,899 | 2,829,832 | ||||||
Shift4 Payments, Inc. Class A (a) |
2,396 | 148,384 | ||||||
TransUnion |
3,040 | 314,154 | ||||||
United Rentals, Inc. (a) |
1,827 | 648,969 | ||||||
Verisk Analytics, Inc. |
6,018 | 1,291,643 | ||||||
| 11,509,440 | ||||||||
Cosmetics & Personal Care — 0.3% |
||||||||
The Estee Lauder Cos., Inc. Class A |
2,260 | 615,443 | ||||||
Health Care – Products — 4.4% |
||||||||
Align Technology, Inc. (a) |
2,288 | 997,568 | ||||||
Avantor, Inc. (a) |
20,493 | 693,073 | ||||||
Danaher Corp. |
8,099 | 2,375,680 | ||||||
IDEXX Laboratories, Inc. (a) |
1,895 | 1,036,679 | ||||||
Intuitive Surgical, Inc. (a) |
6,405 | 1,932,260 | ||||||
Thermo Fisher Scientific, Inc. |
4,098 | 2,420,484 | ||||||
| 9,455,744 | ||||||||
Health Care – Services — 1.5% |
||||||||
Syneos Health, Inc. (a) |
4,354 | 352,456 | ||||||
UnitedHealth Group, Inc. |
5,489 | 2,799,226 | ||||||
| 3,151,682 | ||||||||
Pharmaceuticals — 2.0% |
||||||||
AbbVie, Inc. |
27,300 | 4,425,603 | ||||||
| 41,121,032 | ||||||||
Energy — 0.7% |
||||||||
Energy – Alternate Sources — 0.4% |
||||||||
Enphase Energy, Inc. (a) |
4,390 | 885,814 | ||||||
Oil & Gas — 0.3% |
||||||||
Texas Pacific Land Corp. |
473 | 639,548 | ||||||
| 1,525,362 | ||||||||
Financial — 10.4% |
||||||||
Diversified Financial Services — 6.4% |
||||||||
Discover Financial Services |
4,830 | 532,218 | ||||||
Mastercard, Inc. Class A |
16,092 | 5,750,959 | ||||||
Rocket Cos., Inc. Class A |
51,330 | 570,789 | ||||||
T. Rowe Price Group, Inc. |
4,805 | 726,468 | ||||||
Visa, Inc. Class A |
28,413 | 6,301,151 | ||||||
| 13,881,585 | ||||||||
Insurance — 1.9% |
||||||||
Aon PLC Class A |
3,528 | 1,148,823 | ||||||
Brown & Brown, Inc. |
36,123 | 2,610,609 | ||||||
Lincoln National Corp. |
4,351 | 284,381 | ||||||
| 4,043,813 | ||||||||
Private Equity — 1.8% |
||||||||
Ares Management Corp. Class A |
21,205 | 1,722,482 | ||||||
Number of |
Value |
|||||||
Blackstone, Inc. |
17,628 | $ | 2,237,699 | |||||
| 3,960,181 | ||||||||
Real Estate — 0.1% |
||||||||
CBRE Group, Inc. Class A (a) |
1,911 | 174,895 | ||||||
Real Estate Investment Trusts (REITS) — 0.2% |
||||||||
Simon Property Group, Inc. |
3,384 | 445,199 | ||||||
| 22,505,673 | ||||||||
Industrial — 4.2% |
||||||||
Aerospace & Defense — 0.7% |
||||||||
Lockheed Martin Corp. |
467 | 206,134 | ||||||
TransDigm Group, Inc. (a) |
1,992 | 1,297,867 | ||||||
| 1,504,001 | ||||||||
Electrical Components & Equipment — 0.6% |
||||||||
Generac Holdings, Inc. (a) |
4,122 | 1,225,306 | ||||||
Electronics — 0.9% |
||||||||
Amphenol Corp. Class A |
25,659 | 1,933,406 | ||||||
Engineering & Construction — 0.5% |
||||||||
frontdoor, Inc. (a) |
33,420 | 997,587 | ||||||
Machinery – Diversified — 0.4% |
||||||||
Graco, Inc. |
6,686 | 466,148 | ||||||
Nordson Corp. |
2,047 | 464,833 | ||||||
| 930,981 | ||||||||
Miscellaneous - Manufacturing — 0.3% |
||||||||
Illinois Tool Works, Inc. |
3,540 | 741,276 | ||||||
Transportation — 0.8% |
||||||||
Expeditors International of Washington, Inc. |
9,279 | 957,222 | ||||||
Landstar System, Inc. |
4,726 | 712,822 | ||||||
| 1,670,044 | ||||||||
| 9,002,601 | ||||||||
Technology — 34.7% |
||||||||
Computers — 7.0% |
||||||||
Accenture PLC Class A |
11,075 | 3,734,822 | ||||||
Apple, Inc. |
60,822 | 10,620,129 | ||||||
EPAM Systems, Inc. (a) |
579 | 171,737 | ||||||
HP, Inc. |
15,655 | 568,277 | ||||||
| 15,094,965 | ||||||||
Office & Business Equipment — 0.6% |
||||||||
Zebra Technologies Corp. Class A (a) |
2,908 | 1,203,040 | ||||||
Semiconductors — 9.6% |
||||||||
Advanced Micro Devices, Inc. (a) |
25,124 | 2,747,058 | ||||||
Applied Materials, Inc. |
13,742 | 1,811,196 | ||||||
KLA Corp. |
5,657 | 2,070,801 | ||||||
Lam Research Corp. |
2,545 | 1,368,218 | ||||||
Micron Technology, Inc. |
9,860 | 767,995 | ||||||
NVIDIA Corp. |
33,521 | 9,146,540 | ||||||
The accompanying notes are an integral part of the financial statements.
98
MassMutual Disciplined Growth Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
QUALCOMM, Inc. |
17,688 | $ | 2,703,080 | |||||
| 20,614,888 | ||||||||
Software — 17.5% |
||||||||
Adobe, Inc. (a) |
9,194 | 4,188,970 | ||||||
Aspen Technology, Inc. (a) |
223 | 36,878 | ||||||
Autodesk, Inc. (a) |
2,746 | 588,605 | ||||||
Datadog, Inc. Class A (a) |
4,820 | 730,085 | ||||||
Dynatrace, Inc. (a) |
11,302 | 532,324 | ||||||
Fiserv, Inc. (a) |
21,496 | 2,179,695 | ||||||
Intuit, Inc. |
5,923 | 2,848,015 | ||||||
Jamf Holding Corp. (a) (b) |
8,865 | 308,591 | ||||||
Microsoft Corp. |
76,062 | 23,450,675 | ||||||
Paycom Software, Inc. (a) |
1,615 | 559,404 | ||||||
Playtika Holding Corp. (a) |
2,928 | 56,598 | ||||||
salesforce.com, Inc. (a) |
3,635 | 771,783 | ||||||
Tyler Technologies, Inc. (a) |
1,848 | 822,157 | ||||||
Zoom Video Communications, Inc. Class A (a) |
5,514 | 646,406 | ||||||
| 37,720,186 | ||||||||
| 74,633,079 | ||||||||
TOTAL COMMON STOCK (Cost $183,806,172) |
216,117,009 | |||||||
TOTAL EQUITIES (Cost $183,806,172) |
216,117,009 | |||||||
MUTUAL FUNDS — 0.1% |
||||||||
Diversified Financial Services — 0.1% |
||||||||
State Street Navigator Securities Lending Prime Portfolio (c) |
192,425 | 192,425 | ||||||
TOTAL MUTUAL FUNDS (Cost $192,425) |
192,425 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $183,998,597) |
216,309,434 | |||||||
Principal |
Value |
|||||||
SHORT-TERM INVESTMENTS — 0.3% |
||||||||
Repurchase Agreement — 0.3% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (d) |
$ | 667,102 | $ | 667,102 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $667,102) |
667,102 | |||||||
TOTAL INVESTMENTS — 100.8% (Cost $184,665,699) (e) |
216,976,536 | |||||||
Other Assets/(Liabilities) — (0.8)% |
(1,674,722 | ) | ||||||
NET ASSETS — 100.0% |
$ | 215,301,814 | ||||||
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Non-income producing security. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $1,793,919 or 0.83% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $1,641,497 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Represents investment of security lending cash collateral. (Note 2). |
|
(d) |
Maturity value of $667,102. Collateralized by U.S. Government Agency obligations with a rate of 0.500%, maturity date of 4/15/24, and an aggregate market value, including accrued interest, of $680,530. |
|
(e) |
See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
99
MassMutual Small Cap Opportunities Fund — Portfolio of Investments |
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 97.4% |
||||||||
COMMON STOCK — 97.4% |
||||||||
Basic Materials — 2.8% |
||||||||
Chemicals — 0.8% |
||||||||
Amyris, Inc. (a) (b) |
180,920 | $ | 788,811 | |||||
NewMarket Corp. |
5,695 | 1,847,344 | ||||||
| 2,636,155 | ||||||||
Mining — 2.0% |
||||||||
Compass Minerals International, Inc. |
57,773 | 3,627,567 | ||||||
Kaiser Aluminum Corp. |
32,346 | 3,045,699 | ||||||
| 6,673,266 | ||||||||
| 9,309,421 | ||||||||
Communications — 2.4% |
||||||||
Internet — 1.5% |
||||||||
Bumble, Inc. (a) |
43,063 | 1,247,966 | ||||||
Q2 Holdings, Inc. (a) (b) |
61,716 | 3,804,791 | ||||||
| 5,052,757 | ||||||||
Telecommunications — 0.9% |
||||||||
EchoStar Corp. Class A (a) |
126,568 | 3,080,665 | ||||||
| 8,133,422 | ||||||||
Consumer, Cyclical — 11.5% |
||||||||
Airlines — 0.5% |
||||||||
Spirit Airlines, Inc. (a) (b) |
81,057 | 1,772,716 | ||||||
Auto Parts & Equipment — 2.9% |
||||||||
Allison Transmission Holdings, Inc. |
54,911 | 2,155,806 | ||||||
Dorman Products, Inc. (a) |
40,720 | 3,869,622 | ||||||
Visteon Corp. (a) |
32,455 | 3,541,814 | ||||||
| 9,567,242 | ||||||||
Entertainment — 0.9% |
||||||||
Cedar Fair LP (a) (c) |
58,867 | 3,225,912 | ||||||
Home Builders — 0.5% |
||||||||
Skyline Champion Corp. (a) |
29,631 | 1,626,149 | ||||||
Lodging — 0.6% |
||||||||
Boyd Gaming Corp. |
28,915 | 1,902,029 | ||||||
Retail — 6.1% |
||||||||
AutoNation, Inc. (a) |
57,073 | 5,683,329 | ||||||
BJ’s Wholesale Club Holdings, Inc. (a) |
77,865 | 5,264,453 | ||||||
Denny’s Corp. (a) |
215,215 | 3,079,727 | ||||||
Suburban Propane Partners LP (c) |
192,505 | 3,099,330 | ||||||
Texas Roadhouse, Inc. |
37,503 | 3,140,126 | ||||||
| 20,266,965 | ||||||||
| 38,361,013 | ||||||||
Consumer, Non-cyclical — 22.4% |
||||||||
Biotechnology — 1.7% |
||||||||
Avid Bioservices, Inc. (a) |
140,762 | 2,867,322 | ||||||
Number of |
Value |
|||||||
Intra-Cellular Therapies, Inc. (a) |
27,303 | $ | 1,670,671 | |||||
Twist Bioscience Corp. (a) |
24,617 | 1,215,587 | ||||||
| 5,753,580 | ||||||||
Commercial Services — 5.5% |
||||||||
ASGN, Inc. (a) |
48,542 | 5,665,337 | ||||||
Korn Ferry |
84,373 | 5,479,183 | ||||||
Monro, Inc. |
80,429 | 3,566,222 | ||||||
Paya Holdings, Inc. (a) |
307,335 | 1,800,983 | ||||||
Payoneer Global, Inc. (a) |
383,268 | 1,709,375 | ||||||
| 18,221,100 | ||||||||
Food — 1.4% |
||||||||
The Simply Good Foods Co. (a) |
120,498 | 4,572,899 | ||||||
Health Care – Products — 4.3% |
||||||||
AtriCure, Inc. (a) |
60,177 | 3,951,824 | ||||||
BioLife Solutions, Inc. (a) |
63,533 | 1,444,105 | ||||||
Inspire Medical Systems, Inc. (a) |
23,329 | 5,988,321 | ||||||
Tandem Diabetes Care, Inc. (a) |
26,393 | 3,069,242 | ||||||
| 14,453,492 | ||||||||
Health Care – Services — 6.9% |
||||||||
Acadia Healthcare Co., Inc. (a) |
85,968 | 5,633,483 | ||||||
Addus HomeCare Corp. (a) |
41,915 | 3,910,250 | ||||||
LHC Group, Inc. (a) |
33,197 | 5,597,014 | ||||||
Tenet Healthcare Corp. (a) |
90,333 | 7,765,025 | ||||||
| 22,905,772 | ||||||||
Household Products & Wares — 0.5% |
||||||||
ACCO Brands Corp. |
222,842 | 1,782,736 | ||||||
Pharmaceuticals — 2.1% |
||||||||
BellRing Brands, Inc. (a) |
143,361 | 3,308,772 | ||||||
Collegium Pharmaceutical, Inc. (a) |
81,561 | 1,660,582 | ||||||
Heska Corp. (a) |
14,766 | 2,041,842 | ||||||
| 7,011,196 | ||||||||
| 74,700,775 | ||||||||
Energy — 4.4% |
||||||||
Oil & Gas — 3.0% |
||||||||
Chesapeake Energy Corp. (b) |
48,767 | 4,242,729 | ||||||
CNX Resources Corp. (a) |
144,370 | 2,991,347 | ||||||
Helmerich & Payne, Inc. |
63,663 | 2,723,503 | ||||||
| 9,957,579 | ||||||||
Oil & Gas Services — 0.8% |
||||||||
Nov, Inc. |
134,846 | 2,644,330 | ||||||
Pipelines — 0.6% |
||||||||
Equitrans Midstream Corp. |
222,954 | 1,881,732 | ||||||
| 14,483,641 | ||||||||
Financial — 20.2% |
||||||||
Banks — 6.7% |
||||||||
The Bank of NT Butterfield & Son Ltd. |
58,277 | 2,090,979 | ||||||
The accompanying notes are an integral part of the financial statements.
100
MassMutual Small Cap Opportunities Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
BankUnited, Inc. |
96,445 | $ | 4,239,722 | |||||
Cathay General Bancorp |
80,735 | 3,612,891 | ||||||
Columbia Banking System, Inc. |
47,026 | 1,517,529 | ||||||
FB Financial Corp. |
44,901 | 1,994,502 | ||||||
Heritage Financial Corp. |
79,937 | 2,003,221 | ||||||
Silvergate Capital Corp. Class A (a) |
16,452 | 2,477,178 | ||||||
Webster Financial Corp. |
81,382 | 4,567,158 | ||||||
| 22,503,180 | ||||||||
Diversified Financial Services — 3.8% |
||||||||
Federated Hermes, Inc. |
94,199 | 3,208,418 | ||||||
Focus Financial Partners, Inc. Class A (a) |
75,933 | 3,473,176 | ||||||
Stifel Financial Corp. |
87,697 | 5,954,626 | ||||||
| 12,636,220 | ||||||||
Insurance — 1.0% |
||||||||
Definity Financial Corp. |
136,295 | 3,481,102 | ||||||
Real Estate Investment Trusts (REITS) — 4.8% |
||||||||
DiamondRock Hospitality Co. (a) |
398,946 | 4,029,354 | ||||||
Four Corners Property Trust, Inc. |
166,951 | 4,514,355 | ||||||
National Storage Affiliates Trust |
92,670 | 5,815,969 | ||||||
Sabra Health Care REIT, Inc. |
107,875 | 1,606,259 | ||||||
| 15,965,937 | ||||||||
Savings & Loans — 3.9% |
||||||||
Berkshire Hills Bancorp, Inc. |
82,992 | 2,404,278 | ||||||
OceanFirst Financial Corp. |
98,477 | 1,979,388 | ||||||
Pacific Premier Bancorp, Inc. |
100,393 | 3,548,893 | ||||||
WSFS Financial Corp. |
106,591 | 4,969,272 | ||||||
| 12,901,831 | ||||||||
| 67,488,270 | ||||||||
Industrial — 15.8% |
||||||||
Aerospace & Defense — 1.2% |
||||||||
Curtiss-Wright Corp. |
27,307 | 4,100,419 | ||||||
Building Materials — 2.2% |
||||||||
Masonite International Corp. (a) |
33,179 | 2,950,940 | ||||||
Summit Materials, Inc. Class A (a) |
137,017 | 4,255,748 | ||||||
| 7,206,688 | ||||||||
Electronics — 1.5% |
||||||||
Atkore, Inc. (a) |
49,876 | 4,909,794 | ||||||
Engineering & Construction — 1.7% |
||||||||
Primoris Services Corp. |
71,497 | 1,703,059 | ||||||
TopBuild Corp. (a) |
21,208 | 3,846,919 | ||||||
| 5,549,978 | ||||||||
Environmental Controls — 1.8% |
||||||||
Evoqua Water Technologies Corp. (a) |
131,790 | 6,191,494 | ||||||
Number of |
Value |
|||||||
Hand & Machine Tools — 1.0% |
||||||||
Regal Rexnord Corp. |
22,791 | $ | 3,390,845 | |||||
Machinery – Construction & Mining — 0.6% |
||||||||
BWX Technologies, Inc. |
37,602 | 2,025,244 | ||||||
Machinery – Diversified — 1.4% |
||||||||
Zurn Water Solutions Corp. |
128,075 | 4,533,855 | ||||||
Metal Fabricate & Hardware — 0.8% |
||||||||
Valmont Industries, Inc. |
11,941 | 2,849,123 | ||||||
Miscellaneous - Manufacturing — 1.1% |
||||||||
EnPro Industries, Inc. |
36,873 | 3,603,598 | ||||||
Packaging & Containers — 0.9% |
||||||||
Silgan Holdings, Inc. |
62,153 | 2,873,333 | ||||||
Transportation — 1.6% |
||||||||
CryoPort, Inc. (a) |
78,240 | 2,731,358 | ||||||
Hub Group, Inc. Class A (a) |
33,241 | 2,566,538 | ||||||
| 5,297,896 | ||||||||
| 52,532,267 | ||||||||
Technology — 14.2% |
||||||||
Computers — 3.2% |
||||||||
CACI International, Inc. Class A (a) |
16,922 | 5,097,922 | ||||||
KBR, Inc. |
103,859 | 5,684,203 | ||||||
| 10,782,125 | ||||||||
Semiconductors — 5.2% |
||||||||
Allegro MicroSystems, Inc. (a) |
84,691 | 2,405,224 | ||||||
Ambarella, Inc. (a) |
20,575 | 2,158,729 | ||||||
Azenta, Inc. |
63,035 | 5,224,341 | ||||||
MKS Instruments, Inc. |
24,234 | 3,635,100 | ||||||
Semtech Corp. (a) |
57,398 | 3,979,977 | ||||||
| 17,403,371 | ||||||||
Software — 5.8% |
||||||||
Bottomline Technologies de, Inc. (a) |
57,022 | 3,232,007 | ||||||
Consensus Cloud Solutions, Inc. (a) |
32,535 | 1,956,330 | ||||||
Envestnet, Inc. (a) |
28,227 | 2,101,218 | ||||||
Olo, Inc. Class A (a) |
63,817 | 845,575 | ||||||
Paycor HCM, Inc. (a) |
144,834 | 4,216,118 | ||||||
Sprout Social, Inc. Class A (a) |
14,458 | 1,158,375 | ||||||
Ziff Davis, Inc. (a) |
59,907 | 5,797,799 | ||||||
| 19,307,422 | ||||||||
| 47,492,918 | ||||||||
Utilities — 3.7% |
||||||||
Electric — 1.5% |
||||||||
Avista Corp. |
107,594 | 4,857,869 | ||||||
Gas — 2.2% |
||||||||
National Fuel Gas Co. |
61,750 | 4,242,225 | ||||||
The accompanying notes are an integral part of the financial statements.
101
MassMutual Small Cap Opportunities Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Northwest Natural Holding Co. |
62,476 | $ | 3,231,259 | |||||
| 7,473,484 | ||||||||
| 12,331,353 | ||||||||
TOTAL COMMON STOCK (Cost $259,360,556) |
324,833,080 | |||||||
TOTAL EQUITIES (Cost $259,360,556) |
324,833,080 | |||||||
MUTUAL FUNDS — 1.3% |
||||||||
Diversified Financial Services — 1.3% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (d) |
4,284,761 | 4,284,761 | ||||||
TOTAL MUTUAL FUNDS (Cost $4,284,761) |
4,284,761 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $263,645,317) |
329,117,841 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 3.2% |
||||||||
Repurchase Agreement — 3.2% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (e) |
$ | 10,889,830 | 10,889,830 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $10,889,830) |
10,889,830 | |||||||
TOTAL INVESTMENTS — 101.9% (Cost $274,535,147) (f) |
340,007,671 | |||||||
Other Assets/(Liabilities) — (1.9)% |
(6,456,769 | ) | ||||||
NET ASSETS — 100.0% |
$ | 333,550,902 | ||||||
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Non-income producing security. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $7,886,127 or 2.36% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $3,766,944 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Security is a Master Limited Partnership. |
|
(d) |
Represents investment of security lending cash collateral. (Note 2). |
|
(e) |
Maturity value of $10,889,830. Collateralized by U.S. Government Agency obligations with a rate of 0.125%, maturity date of 7/15/24, and an aggregate market value, including accrued interest, of $11,107,685. |
|
(f) |
See Note 6 for aggregate cost for federal tax purposes. |
The accompanying notes are an integral part of the financial statements.
102
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 99.5% |
||||||||
COMMON STOCK — 99.5% |
||||||||
Cayman Islands — 4.5% |
||||||||
Farfetch Ltd. Class A (a) |
91,953 | $ | 1,390,329 | |||||
JD.com, Inc. ADR (a) (b) |
161,251 | 9,331,595 | ||||||
Meituan Class B Class B (a) (c) |
62,200 | 1,225,690 | ||||||
StoneCo Ltd. Class A (a) |
47,192 | 552,147 | ||||||
| 12,499,761 | ||||||||
Denmark — 2.2% |
||||||||
Ambu A/S Class B |
29,136 | 427,888 | ||||||
Novo Nordisk A/S Class B |
51,794 | 5,736,013 | ||||||
| 6,163,901 | ||||||||
France — 8.7% |
||||||||
Dassault Systemes SE |
22,326 | 1,100,113 | ||||||
Kering SA |
12,121 | 7,656,810 | ||||||
LVMH Moet Hennessy Louis Vuitton SE |
21,660 | 15,423,425 | ||||||
| 24,180,348 | ||||||||
Germany — 2.1% |
||||||||
SAP SE |
52,881 | 5,900,637 | ||||||
India — 4.6% |
||||||||
DLF Ltd. |
1,761,620 | 8,764,746 | ||||||
ICICI Bank Ltd. Sponsored ADR |
211,892 | 4,013,235 | ||||||
| 12,777,981 | ||||||||
Italy — 0.4% |
||||||||
Brunello Cucinelli SpA (a) |
19,358 | 1,129,930 | ||||||
Japan — 10.6% |
||||||||
FANUC Corp. |
3,300 | 580,333 | ||||||
Keyence Corp. |
16,400 | 7,624,818 | ||||||
Murata Manufacturing Co. Ltd. |
108,430 | 7,167,839 | ||||||
Nidec Corp. |
92,200 | 7,304,615 | ||||||
Omron Corp. |
53,600 | 3,573,658 | ||||||
TDK Corp. |
92,200 | 3,328,966 | ||||||
| 29,580,229 | ||||||||
Netherlands — 4.3% |
||||||||
Airbus SE (a) (b) |
78,349 | 9,470,320 | ||||||
ASML Holding NV |
3,655 | 2,437,883 | ||||||
| 11,908,203 | ||||||||
Sweden — 3.4% |
||||||||
Assa Abloy AB Class B |
160,288 | 4,321,928 | ||||||
Atlas Copco AB Class A |
100,129 | 5,196,545 | ||||||
| 9,518,473 | ||||||||
Switzerland — 0.9% |
||||||||
Lonza Group AG Registered |
2,650 | 1,919,881 | ||||||
Zur Rose Group AG (a) (b) |
4,328 | 632,791 | ||||||
| 2,552,672 | ||||||||
Number of |
Value |
|||||||
United States — 57.8% |
||||||||
Adobe, Inc. (a) |
25,372 | $ | 11,559,991 | |||||
Agilent Technologies, Inc. |
32,195 | 4,260,364 | ||||||
Alphabet, Inc. Class A (a) |
12,113 | 33,690,492 | ||||||
Amazon.com, Inc. (a) |
919 | 2,995,894 | ||||||
Analog Devices, Inc. |
65,715 | 10,854,804 | ||||||
Avantor, Inc. (a) |
131,718 | 4,454,703 | ||||||
Boston Scientific Corp. (a) |
38,293 | 1,695,997 | ||||||
Castle Biosciences, Inc. (a) (b) |
10,186 | 456,944 | ||||||
Charles River Laboratories International, Inc. (a) |
4,719 | 1,340,054 | ||||||
Danaher Corp. |
4,006 | 1,175,080 | ||||||
Datadog, Inc. Class A (a) |
3,451 | 522,723 | ||||||
Dun & Bradstreet Holdings, Inc. (a) |
25,115 | 440,015 | ||||||
Ecolab, Inc. |
2,260 | 399,026 | ||||||
Equifax, Inc. |
26,237 | 6,220,793 | ||||||
Fidelity National Information Services, Inc. |
13,189 | 1,324,439 | ||||||
IDEXX Laboratories, Inc. (a) |
1,599 | 874,749 | ||||||
Illumina, Inc. (a) |
6,909 | 2,414,005 | ||||||
Intuit, Inc. |
34,047 | 16,371,159 | ||||||
Intuitive Surgical, Inc. (a) |
5,552 | 1,674,927 | ||||||
IQVIA Holdings, Inc. (a) |
9,587 | 2,216,610 | ||||||
Lam Research Corp. |
513 | 275,794 | ||||||
Marriott International, Inc. Class A (a) |
6,518 | 1,145,538 | ||||||
Marvell Technology, Inc. |
60,519 | 4,339,817 | ||||||
Meta Platforms, Inc. Class A (a) |
51,338 | 11,415,518 | ||||||
Microsoft Corp. |
12,248 | 3,776,181 | ||||||
NVIDIA Corp. |
6,388 | 1,743,030 | ||||||
Omnicell, Inc. (a) |
8,534 | 1,105,068 | ||||||
Phathom Pharmaceuticals, Inc. (a) (b) |
28,129 | 382,836 | ||||||
Qualtrics International Inc (a) |
39,283 | 1,121,530 | ||||||
S&P Global, Inc. |
38,050 | 15,607,349 | ||||||
Splunk, Inc. (a) |
13,130 | 1,951,249 | ||||||
United Parcel Service, Inc. Class B |
36,446 | 7,816,209 | ||||||
Veracyte, Inc. (a) |
41,501 | 1,144,183 | ||||||
Visa, Inc. Class A |
19,274 | 4,274,395 | ||||||
The Walt Disney Co. (a) |
4,237 | 581,147 | ||||||
| 161,622,613 | ||||||||
TOTAL COMMON STOCK (Cost $145,893,668) |
277,834,748 | |||||||
TOTAL EQUITIES (Cost $145,893,668) |
277,834,748 | |||||||
The accompanying notes are an integral part of the financial statements.
103
MassMutual Global Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
MUTUAL FUNDS — 2.0% |
||||||||
United States — 2.0% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (d) |
5,682,075 | $ | 5,682,075 | |||||
TOTAL MUTUAL FUNDS (Cost $5,682,075) |
5,682,075 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $151,575,743) |
283,516,823 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 0.6% |
||||||||
Repurchase Agreement — 0.6% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (e) |
$ | 1,751,197 | 1,751,197 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,751,197) |
1,751,197 | |||||||
TOTAL INVESTMENTS — 102.1% (Cost $153,326,940) (f) |
285,268,020 | |||||||
Other Assets/(Liabilities) — (2.1)% |
(5,911,846 | ) | ||||||
NET ASSETS — 100.0% |
$ | 279,356,174 | ||||||
Abbreviation Legend
|
ADR |
American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Non-income producing security. |
|
(b) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $17,017,005 or 6.09% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $12,028,760 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(c) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $1,225,690 or 0.44% of net assets. |
|
(d) |
Represents investment of security lending cash collateral. (Note 2). |
|
(e) |
Maturity value of $1,751,197. Collateralized by U.S. Government Agency obligations with a rate of 0.500%, maturity date of 4/15/24, and an aggregate market value, including accrued interest, of $1,786,244. |
|
(f) |
See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Technology |
22.8 | % | ||
Industrial |
21.7 | % | ||
Communications |
21.7 | % | ||
Consumer, Non-cyclical |
17.8 | % | ||
Consumer, Cyclical |
9.3 | % | ||
Financial |
6.1 | % | ||
Mutual Funds |
2.0 | % | ||
Basic Materials |
0.1 | % | ||
Total Long-Term Investments |
101.5 | % | ||
Short-Term Investments and Other Assets and Liabilities |
(1.5 | )% | ||
Net Assets |
100.0 | % |
The accompanying notes are an integral part of the financial statements.
104
MassMutual International Equity Fund — Portfolio of Investments |
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 98.8% |
||||||||
COMMON STOCK — 98.8% |
||||||||
Australia — 1.1% |
||||||||
BHP Group Ltd. (a) |
3,900 | $ | 151,905 | |||||
BHP Group Ltd. Sponsored ADR |
2,100 | 162,225 | ||||||
Lendlease Corp Ltd. |
28,600 | 237,699 | ||||||
Macquarie Group Ltd. |
3,100 | 466,329 | ||||||
Santos Ltd. |
80,500 | 462,891 | ||||||
| 1,481,049 | ||||||||
Austria — 0.1% |
||||||||
ams-OSRAM AG (b) |
6,766 | 103,435 | ||||||
Belgium — 0.7% |
||||||||
Anheuser-Busch InBev SA |
7,200 | 431,851 | ||||||
Groupe Bruxelles Lambert SA |
2,000 | 207,410 | ||||||
KBC Group NV |
3,900 | 280,486 | ||||||
| 919,747 | ||||||||
Canada — 6.5% |
||||||||
The Bank of Nova Scotia |
29,026 | 2,080,334 | ||||||
Canadian National Railway Co. |
25,877 | 3,471,242 | ||||||
Intact Financial Corp. |
20,686 | 3,056,527 | ||||||
TFI International, Inc. |
500 | 53,254 | ||||||
| 8,661,357 | ||||||||
Cayman Islands — 0.7% |
||||||||
CK Asset Holdings Ltd. |
58,000 | 396,414 | ||||||
CK Hutchison Holdings Ltd. |
80,200 | 587,999 | ||||||
| 984,413 | ||||||||
Finland — 1.7% |
||||||||
Kone OYJ Class B |
34,527 | 1,808,368 | ||||||
Nokia OYJ (b) |
69,800 | 384,241 | ||||||
| 2,192,609 | ||||||||
France — 11.7% |
||||||||
Amundi SA (c) |
3,392 | 231,447 | ||||||
AXA SA |
73,167 | 2,136,763 | ||||||
Capgemini SE |
11,490 | 2,555,872 | ||||||
Dassault Aviation SA |
1,400 | 222,576 | ||||||
Engie SA |
47,200 | 618,717 | ||||||
LVMH Moet Hennessy Louis Vuitton SE |
1,610 | 1,146,432 | ||||||
Rexel SA |
8,200 | 174,684 | ||||||
Sanofi |
5,200 | 530,318 | ||||||
Schneider Electric SE |
13,122 | 2,190,802 | ||||||
TotalEnergies SE (a) |
37,102 | 1,882,509 | ||||||
Ubisoft Entertainment SA (b) |
3,400 | 149,680 | ||||||
Veolia Environnement SA |
14,892 | 475,194 | ||||||
Vinci SA |
31,134 | 3,183,066 | ||||||
| 15,498,060 | ||||||||
Number of |
Value |
|||||||
Germany — 4.2% |
||||||||
Allianz SE Registered |
760 | $ | 181,484 | |||||
BASF SE |
7,300 | 416,281 | ||||||
Bayer AG Registered |
2,200 | 150,518 | ||||||
Deutsche Boerse AG |
2,180 | 391,612 | ||||||
Deutsche Post AG Registered |
8,400 | 403,356 | ||||||
Fresenius SE & Co. KGaA |
11,300 | 415,797 | ||||||
HeidelbergCement AG |
7,100 | 406,058 | ||||||
Infineon Technologies AG |
10,100 | 345,050 | ||||||
Merck KGaA |
7,049 | 1,476,264 | ||||||
SAP SE |
4,000 | 446,333 | ||||||
Siemens AG Registered |
3,560 | 493,281 | ||||||
Siemens Energy AG (b) |
13,334 | 304,664 | ||||||
Talanx AG (b) |
3,300 | 146,449 | ||||||
| 5,577,147 | ||||||||
Hong Kong — 2.5% |
||||||||
AIA Group Ltd. |
320,967 | 3,360,343 | ||||||
Ireland — 3.3% |
||||||||
AIB Group PLC |
91,900 | 201,661 | ||||||
DCC PLC |
4,100 | 317,770 | ||||||
Linde PLC |
570 | 182,075 | ||||||
Linde PLC (b) |
9,910 | 3,193,408 | ||||||
Ryanair Holdings PLC Sponsored ADR (b) |
500 | 43,560 | ||||||
Smurfit Kappa Group PLC |
10,400 | 460,957 | ||||||
| 4,399,431 | ||||||||
Israel — 0.3% |
||||||||
Check Point Software Technologies Ltd. (b) |
2,490 | 344,267 | ||||||
Italy — 0.1% |
||||||||
Prysmian SpA |
4,100 | 139,660 | ||||||
Japan — 16.1% |
||||||||
Astellas Pharma, Inc. |
254,720 | 3,993,073 | ||||||
Chugai Pharmaceutical Co. Ltd. |
33,590 | 1,123,361 | ||||||
Denka Co. Ltd. |
8,000 | 222,361 | ||||||
FANUC Corp. |
1,500 | 263,788 | ||||||
Fujitsu Ltd. |
1,900 | 283,256 | ||||||
Hitachi Ltd. |
8,600 | 430,933 | ||||||
Japan Airlines Co. Ltd. (b) |
8,700 | 161,926 | ||||||
Kao Corp. |
57,150 | 2,346,107 | ||||||
KDDI Corp. |
112,250 | 3,686,997 | ||||||
Kirin Holdings Co. Ltd. |
103,120 | 1,542,234 | ||||||
Kyocera Corp. |
6,500 | 365,357 | ||||||
Nintendo Co. Ltd. |
400 | 201,825 | ||||||
Olympus Corp. |
16,100 | 305,874 | ||||||
ORIX Corp. |
28,900 | 576,815 | ||||||
Rakuten Group, Inc. |
44,100 | 347,660 | ||||||
SBI Holdings, Inc. |
7,400 | 187,012 | ||||||
The accompanying notes are an integral part of the financial statements.
105
MassMutual International Equity Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
Sega Sammy Holdings, Inc. |
12,000 | $ | 207,125 | |||||
Seven & i Holdings Co. Ltd. |
12,400 | 589,995 | ||||||
Shiseido Co. Ltd. |
36,850 | 1,867,594 | ||||||
Sony Group Corp. |
8,700 | 897,935 | ||||||
Square Enix Holdings Co. Ltd. |
4,800 | 212,482 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
14,500 | 462,756 | ||||||
Toshiba Corp. |
12,800 | 485,705 | ||||||
Toyota Industries Corp. |
7,400 | 509,342 | ||||||
| 21,271,513 | ||||||||
Luxembourg — 0.3% |
||||||||
ArcelorMittal SA |
10,500 | 337,504 | ||||||
Netherlands — 5.3% |
||||||||
AerCap Holdings NV (b) |
2,910 | 146,315 | ||||||
Airbus SE (b) |
300 | 36,262 | ||||||
ASML Holding NV |
290 | 193,430 | ||||||
CNH Industrial NV |
21,200 | 335,683 | ||||||
EXOR NV |
1,400 | 106,781 | ||||||
Heineken Holding NV |
4,500 | 352,200 | ||||||
Heineken NV |
33,493 | 3,193,186 | ||||||
Koninklijke Philips NV |
77,454 | 2,369,549 | ||||||
NXP Semiconductor NV |
1,300 | 240,604 | ||||||
| 6,974,010 | ||||||||
Norway — 0.4% |
||||||||
DNB Bank ASA |
9,700 | 219,612 | ||||||
Mowi ASA |
12,300 | 331,586 | ||||||
| 551,198 | ||||||||
Republic of Korea — 0.3% |
||||||||
Samsung Electronics Co. Ltd. |
7,200 | 411,319 | ||||||
Singapore — 0.4% |
||||||||
DBS Group Holdings, Ltd. |
19,600 | 515,291 | ||||||
Spain — 3.1% |
||||||||
Iberdrola SA |
195,032 | 2,122,796 | ||||||
Industria de Diseno Textil SA |
87,951 | 1,913,712 | ||||||
| 4,036,508 | ||||||||
Sweden — 2.7% |
||||||||
Assa Abloy AB Class B |
100,950 | 2,721,967 | ||||||
Essity AB Class B |
7,600 | 179,067 | ||||||
Investor AB Class B |
11,000 | 238,876 | ||||||
Lundin Energy AB (a) |
5,041 | 213,711 | ||||||
Volvo AB Class B |
14,200 | 264,851 | ||||||
| 3,618,472 | ||||||||
Switzerland — 10.2% |
||||||||
ABB Ltd. Registered |
13,400 | 433,538 | ||||||
Alcon, Inc. |
1,200 | 94,792 | ||||||
Cie Financiere Richemont SA Registered |
2,600 | 329,806 | ||||||
Number of |
Value |
|||||||
Nestle SA Registered |
29,043 | $ | 3,770,386 | |||||
Novartis AG Registered |
43,785 | 3,840,008 | ||||||
Roche Holding AG |
11,115 | 4,395,708 | ||||||
UBS Group AG Registered |
36,200 | 707,239 | ||||||
| 13,571,477 | ||||||||
United Kingdom — 27.1% |
||||||||
Ashtead Group PLC |
2,600 | 163,899 | ||||||
AstraZeneca PLC |
22,392 | 2,969,429 | ||||||
Aviva PLC |
47,300 | 279,208 | ||||||
BAE Systems PLC |
320,588 | 3,022,010 | ||||||
Barratt Developments PLC |
21,100 | 143,959 | ||||||
BP PLC |
59,400 | 290,290 | ||||||
Bunzl PLC |
6,900 | 268,274 | ||||||
Compass Group PLC |
104,023 | 2,241,806 | ||||||
Diageo PLC |
59,200 | 2,992,157 | ||||||
Entain PLC (b) |
6,200 | 132,981 | ||||||
Experian PLC |
66,205 | 2,553,195 | ||||||
GlaxoSmithKline PLC |
18,000 | 388,151 | ||||||
Glencore PLC |
47,500 | 308,692 | ||||||
Imperial Brands PLC |
7,900 | 166,343 | ||||||
Inchcape PLC |
16,656 | 145,397 | ||||||
Informa PLC (b) |
34,200 | 268,410 | ||||||
Kingfisher PLC |
93,700 | 312,710 | ||||||
Liberty Global PLC Class C (b) |
14,300 | 370,513 | ||||||
Lloyds Banking Group PLC |
719,800 | 440,660 | ||||||
Melrose Industries PLC |
138,021 | 223,414 | ||||||
National Grid PLC |
228,355 | 3,507,462 | ||||||
Persimmon PLC |
10,200 | 286,888 | ||||||
Prudential PLC |
96,791 | 1,429,775 | ||||||
Reckitt Benckiser Group PLC |
49,002 | 3,745,565 | ||||||
Shell PLC |
93,511 | 2,566,293 | ||||||
Smith & Nephew PLC |
207,060 | 3,300,453 | ||||||
Tesco PLC |
108,900 | 393,710 | ||||||
Unilever PLC |
10,700 | 484,386 | ||||||
Unilever PLC |
55,887 | 2,529,692 | ||||||
| 35,925,722 | ||||||||
TOTAL COMMON STOCK (Cost $125,035,958) |
130,874,532 | |||||||
TOTAL EQUITIES (Cost $125,035,958) |
130,874,532 | |||||||
The accompanying notes are an integral part of the financial statements.
106
MassMutual International Equity Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
MUTUAL FUNDS — 1.6% |
||||||||
United States — 1.6% |
||||||||
State Street Navigator Securities Lending Government Money Market Portfolio (d) |
2,191,126 | $ | 2,191,126 | |||||
TOTAL MUTUAL FUNDS (Cost $2,191,126) |
2,191,126 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $127,227,084) |
133,065,658 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 0.5% |
||||||||
Repurchase Agreement — 0.5% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (e) |
$ | 601,920 | 601,920 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $601,920) |
601,920 | |||||||
TOTAL INVESTMENTS — 100.9% (Cost $127,829,004) (f) |
133,667,578 | |||||||
Other Assets/(Liabilities) — (0.9)% |
(1,177,184 | ) | ||||||
NET ASSETS — 100.0% |
$ | 132,490,394 | ||||||
Abbreviation Legend
|
ADR |
American Depositary Receipt |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $2,233,511 or 1.69% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $159,846 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(b) |
Non-income producing security. |
|
(c) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $231,447 or 0.17% of net assets. |
|
(d) |
Represents investment of security lending cash collateral. (Note 2). |
|
(e) |
Maturity value of $601,920. Collateralized by U.S. Government Agency obligations with a rate of 0.500%, maturity date of 4/15/24, and an aggregate market value, including accrued interest, of $613,959. |
|
(f) |
See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Consumer, Non-cyclical |
39.9 | % | ||
Industrial |
15.9 | % | ||
Financial |
14.1 | % | ||
Consumer, Cyclical |
7.1 | % | ||
Utilities |
5.1 | % | ||
Energy |
4.3 | % | ||
Basic Materials |
4.1 | % | ||
Technology |
4.0 | % | ||
Communications |
3.8 | % | ||
Mutual Funds |
1.7 | % | ||
Diversified |
0.4 | % | ||
Total Long-Term Investments |
100.4 | % | ||
Short-Term Investments and Other Assets and Liabilities |
(0.4 | )% | ||
Net Assets |
100.0 | % |
The accompanying notes are an integral part of the financial statements.
107
MassMutual Strategic Emerging Markets Fund — Portfolio of Investments |
March 31, 2022 (Unaudited) |
Number of |
Value |
|||||||
EQUITIES — 95.8% |
||||||||
COMMON STOCK — 94.5% |
||||||||
Bermuda — 0.1% |
||||||||
Credicorp Ltd. |
962 | $ | 165,339 | |||||
Brazil — 4.3% |
||||||||
Ambev SA |
413,163 | 1,336,409 | ||||||
Americanas SA |
218,320 | 1,497,180 | ||||||
Americanas SA (a) (b) (c) |
5,205 | 35,694 | ||||||
Lojas Renner SA |
161,633 | 933,598 | ||||||
Vale SA ADR Sponsored ADR |
109,667 | 2,192,243 | ||||||
| 5,995,124 | ||||||||
Cayman Islands — 19.5% |
||||||||
Alibaba Group Holding Ltd. (c) |
128,100 | 1,753,341 | ||||||
BeiGene Ltd. ADR (c) |
8,782 | 1,656,285 | ||||||
Brii Biosciences Ltd. (c) |
172,000 | 241,945 | ||||||
Grab Holdings, Ltd. (Acquired 6/18/19, Cost $360,959) (a) (c) (d) |
360,959 | 1,263,357 | ||||||
Huazhu Group Ltd. |
2,800 | 9,398 | ||||||
Huazhu Group Ltd. ADR |
108,857 | 3,591,192 | ||||||
JD.com, Inc. Class A (c) |
50 | 1,464 | ||||||
JD.COM, Inc., Class A, Lockup Shares (Acquired 1/20/22, Cost $151,071) (a) (c) (d) |
4,142 | 115,245 | ||||||
Keymed Biosciences, Inc. (a) (c) |
18,000 | 47,019 | ||||||
Keymed Biosciences, Inc. (c) (e) |
15,250 | 41,932 | ||||||
Meituan Class B Class B (c) (e) |
72,000 | 1,418,805 | ||||||
NetEase, Inc. ADR ADR |
49,680 | 4,455,799 | ||||||
New Horizon Health Ltd. (c) (e) |
47,500 | 137,144 | ||||||
NU Holdings Ltd/Cayman Islands Class A (c) |
85,824 | 662,561 | ||||||
OneConnect Financial Technology Co. Ltd. (c) |
1,767 | 2,492 | ||||||
Pagseguro Digital Ltd. Class A (c) |
50,263 | 1,007,773 | ||||||
Tencent Holdings Ltd. |
98,690 | 4,655,739 | ||||||
Wuxi Biologics Cayman, Inc. (c) (e) |
283,000 | 2,295,759 | ||||||
Zai Lab Ltd. ADR (c) |
28,464 | 1,251,847 | ||||||
ZTO Express Cayman, Inc. |
9,370 | 235,673 | ||||||
ZTO Express Cayman, Inc. ADR |
95,801 | 2,395,025 | ||||||
| 27,239,795 | ||||||||
China — 0.1% |
||||||||
Microtech Medical Co., Ltd. (Acquired 10/12/21, Cost $106,879) (a) (c) (d) |
27,000 | 37,143 | ||||||
MicroTech Medical Hangzhou Co. Ltd. (c) (e) |
15,200 | 22,010 | ||||||
Remegen Co. Ltd. Class H (c) (e) |
3,004 | 17,705 | ||||||
| 76,858 | ||||||||
Cyprus — 0.0% |
||||||||
TCS Group Holding PLC (a) (b) |
10,040 | — | ||||||
Number of |
Value |
|||||||
Egypt — 0.4% |
||||||||
Commercial International Bank Egypt SAE (c) |
241,753 | $ | 610,863 | |||||
France — 4.3% |
||||||||
Kering SA |
2,296 | 1,450,378 | ||||||
L’Oreal SA |
195 | 78,052 | ||||||
LVMH Moet Hennessy Louis Vuitton SE |
264 | 187,986 | ||||||
Pernod Ricard SA |
19,337 | 4,241,031 | ||||||
| 5,957,447 | ||||||||
Hong Kong — 5.3% |
||||||||
AIA Group Ltd. |
671,400 | 7,029,177 | ||||||
Hong Kong Exchanges & Clearing Ltd. |
7,100 | 334,602 | ||||||
| 7,363,779 | ||||||||
India — 19.4% |
||||||||
HDFC Bank Ltd. |
21,683 | 418,401 | ||||||
HDFC Life Insurance Co. Ltd. (e) |
38,712 | 273,208 | ||||||
Housing Development Finance Corp. Ltd. |
269,386 | 8,416,103 | ||||||
Infosys Ltd. |
135,499 | 3,390,881 | ||||||
Kotak Mahindra Bank Ltd. |
273,980 | 6,297,213 | ||||||
Macrotech Developers Ltd. (c) (e) |
13,802 | 203,067 | ||||||
Oberoi Realty Ltd. (c) |
71,011 | 876,102 | ||||||
Tata Consultancy Services Ltd. |
122,087 | 6,008,862 | ||||||
Zee Entertainment Enterprises Ltd. |
353,109 | 1,334,470 | ||||||
| 27,218,307 | ||||||||
Indonesia — 1.0% |
||||||||
Bank Central Asia Tbk PT |
2,420,200 | 1,340,886 | ||||||
Italy — 1.5% |
||||||||
Moncler SpA |
4,060 | 226,100 | ||||||
PRADA SpA |
286,600 | 1,811,617 | ||||||
| 2,037,717 | ||||||||
Luxembourg — 0.3% |
||||||||
InPost SA (c) |
64,348 | 404,462 | ||||||
Mexico — 9.8% |
||||||||
America Movil SAB de CV Sponsored ADR |
60,262 | 1,274,541 | ||||||
Fomento Economico Mexicano SAB de CV |
334,754 | 2,779,350 | ||||||
Grupo Mexico SAB de CV Series B |
1,115,696 | 6,661,081 | ||||||
Wal-Mart de Mexico SAB de CV |
746,909 | 3,060,863 | ||||||
| 13,775,835 | ||||||||
Netherlands — 0.0% |
||||||||
Yandex NV Class A (a) (b) (c) |
83,348 | — | ||||||
Philippines — 2.5% |
||||||||
Ayala Land, Inc. |
1,591,500 | 1,075,773 | ||||||
SM Investments Corp. |
103,430 | 1,812,147 | ||||||
The accompanying notes are an integral part of the financial statements.
108
MassMutual Strategic Emerging Markets Fund — Portfolio of Investments (Continued) |
Number of |
Value |
|||||||
SM Prime Holdings, Inc. |
902,857 | $ | 658,903 | |||||
| 3,546,823 | ||||||||
Republic of Korea — 6.6% |
||||||||
LG Chem Ltd. |
4,155 | 1,801,423 | ||||||
NAVER Corp. |
3,748 | 1,048,028 | ||||||
Samsung Biologics Co. Ltd. (c) (e) |
3,993 | 2,715,082 | ||||||
Samsung Electronics Co. Ltd. |
65,025 | 3,714,725 | ||||||
| 9,279,258 | ||||||||
Russia — 0.0% |
||||||||
Novatek PJSC (a) (b) |
28,473 | — | ||||||
Novatek PJSC Sponsored GDR Registered (a) (b) |
172 | — | ||||||
Polyus PJSC (a) (b) (c) |
4,927 | — | ||||||
Polyus PJSC GDR (a) (b) (e) |
4,390 | — | ||||||
Polyus PJSC GDR (a) (b) |
454 | — | ||||||
Sberbank of Russia PJSC (a) (b) |
18,062 | — | ||||||
| — | ||||||||
South Africa — 1.0% |
||||||||
FirstRand Ltd. (f) |
277,878 | 1,467,303 | ||||||
Switzerland — 3.1% |
||||||||
Cie Financiere Richemont SA Registered |
34,287 | 4,349,255 | ||||||
Taiwan — 11.2% |
||||||||
MediaTek, Inc. |
59,000 | 1,839,555 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. |
671,000 | 13,872,545 | ||||||
| 15,712,100 | ||||||||
Turkey — 0.1% |
||||||||
Akbank TAS |
298,924 | 147,833 | ||||||
United Kingdom — 0.5% |
||||||||
Prudential PLC |
46,607 | 670,390 | ||||||
United States — 3.5% |
||||||||
Yum China Holdings, Inc. |
118,591 | 4,926,270 | ||||||
TOTAL COMMON STOCK (Cost $141,299,679) |
132,285,644 | |||||||
PREFERRED STOCK — 1.3% |
||||||||
Brazil — 1.3% |
||||||||
Banco Bradesco SA 3.340% |
392,022 | 1,829,581 | ||||||
TOTAL PREFERRED STOCK (Cost $1,546,749) |
1,829,581 | |||||||
TOTAL EQUITIES (Cost $142,846,428) |
134,115,225 | |||||||
Number of |
Value |
|||||||
WARRANTS — 0.0% |
||||||||
Switzerland — 0.0% |
||||||||
Cie Financiere Richemont SA, Expires 11/22/23, Strike 67.00 (c) |
53,937 | $ | 42,610 | |||||
TOTAL WARRANTS (Cost $0) |
42,610 | |||||||
RIGHTS — 0.0% |
||||||||
Republic of Korea — 0.0% |
||||||||
Samsung Biologics Co. Ltd. (a) (c) |
247 | 40,554 | ||||||
TOTAL RIGHTS (Cost $0) |
40,554 | |||||||
TOTAL LONG-TERM INVESTMENTS (Cost $142,846,428) |
134,198,389 | |||||||
Principal |
||||||||
SHORT-TERM INVESTMENTS — 5.2% |
||||||||
Repurchase Agreement — 5.2% |
||||||||
Fixed Income Clearing Corp., Repurchase Agreement, dated 3/31/22, 0.000%, due 4/01/22 (g) |
$ | 7,187,696 | 7,187,696 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,187,696) |
7,187,696 | |||||||
TOTAL INVESTMENTS — 101.0% (Cost $150,034,124) (h) |
141,386,085 | |||||||
Other Assets/(Liabilities) — (1.0)% |
(1,388,623 | ) | ||||||
NET ASSETS — 100.0% |
$ | 139,997,462 | ||||||
Abbreviation Legend
|
ADR |
American Depositary Receipt |
|
GDR |
Global Depositary Receipt |
The accompanying notes are an integral part of the financial statements.
109
MassMutual Strategic Emerging Markets Fund — Portfolio of Investments (Continued) |
Notes to Portfolio of Investments
Percentages are stated as a percent of net assets.
|
(a) |
This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2022, these securities amounted to a value of $1,539,012 or 1.10% of net assets. |
|
(b) |
Investment was valued using significant unobservable inputs. |
|
(c) |
Non-income producing security. |
|
(d) |
Restricted security. Certain securities are restricted as to resale. At March 31, 2022, these securities amounted to a value of $1,415,745 or 1.01% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities. |
|
(e) |
Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At March 31, 2022, the aggregate market value of these securities amounted to $7,124,712 or 5.09% of net assets. |
|
(f) |
Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2022, was $1,166,478 or 0.83% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. The Fund received $1,255,523 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2). |
|
(g) |
Maturity value of $7,187,696. Collateralized by U.S. Government Agency obligations with a rate of 0.500%, maturity date of 4/15/24, and an aggregate market value, including accrued interest, of $7,331,515. |
|
(h) |
See Note 6 for aggregate cost for federal tax purposes. |
Sector weightings, as a percentage of net assets, is as follows:
Technology |
23.9 | % | ||
Financial |
23.8 | % | ||
Consumer, Cyclical |
15.7 | % | ||
Consumer, Non-cyclical |
13.4 | % | ||
Communications |
9.2 | % | ||
Basic Materials |
7.6 | % | ||
Industrial |
2.2 | % | ||
Energy |
0.0 | % | ||
Total Long-Term Investments |
95.8 | % | ||
Short-Term Investments and Other Assets and Liabilities |
4.2 | % | ||
Net Assets |
100.0 | % |
The accompanying notes are an integral part of the financial statements.
110
[THIS PAGE INTENTIONALLY LEFT BLANK]
MassMutual Premier Funds – Financial Statements |
Statements of Assets and Liabilities |
MassMutual |
MassMutual |
|||||||
Assets: |
||||||||
Investments, at value (Note 2) (a) |
$ | — | $ | 966,860,155 | ||||
Repurchase agreements, at value (Note 2) (b) |
42,841,412 | 718,014 | ||||||
Other short-term investments, at value (Note 2) (c) |
177,539,864 | 22,997,776 | ||||||
Total investments (d) |
220,381,276 | 990,575,945 | ||||||
Cash |
— | 42,881 | ||||||
Foreign currency, at value (e) |
— | — | ||||||
Receivables from: |
||||||||
Investments sold |
||||||||
Regular delivery |
— | 1,269,402 | ||||||
Delayed delivery |
— | — | ||||||
Collateral pledged for open purchased options (Note 2) |
— | — | ||||||
Open forward contracts (Note 2) |
— | — | ||||||
Fund shares sold |
1,203,119 | 647,020 | ||||||
Collateral pledged for open futures contracts (Note 2) |
— | 4,042,000 | ||||||
Collateral pledged for open swap agreements (Note 2) |
— | 15,030,000 | ||||||
Investment adviser (Note 3) |
72,607 | 34,271 | ||||||
Variation margin on open derivative instruments (Note 2) |
— | 369,907 | ||||||
Interest and dividends |
13,970 | 5,686,189 | ||||||
Interest tax reclaim |
— | — | ||||||
Foreign taxes withheld |
— | — | ||||||
Open swap agreements, at value (Note 2) |
— | — | ||||||
Prepaid expenses |
13,717 | 103,764 | ||||||
Total assets |
221,684,689 | 1,017,801,379 | ||||||
Liabilities: |
||||||||
Payables for: |
||||||||
Investments purchased |
||||||||
Regular delivery |
— | 1,502,893 | ||||||
Delayed delivery |
— | — | ||||||
Collateral held for open swap agreements (Note 2) |
— | — | ||||||
Collateral held for open purchased options (Note 2) |
— | 2,239,000 | ||||||
Written options outstanding, at value (Note 2) (f) |
— | — | ||||||
Dividends (Note 2) |
— | 191,588 | ||||||
Open forward contracts (Note 2) |
— | — | ||||||
Interest and dividends |
— | — | ||||||
Fund shares repurchased |
2,969,554 | 3,116,541 | ||||||
Collateral held for securities on loan (Note 2) (g) |
— | 721,020 | ||||||
Open swap agreements, at value (Note 2) |
— | — | ||||||
Trustees’ fees and expenses (Note 3) |
45,740 | — | ||||||
Variation margin on open derivative instruments (Note 2) |
— | — | ||||||
Affiliates (Note 3): |
||||||||
Administration fees |
50,413 | 148,596 | ||||||
Investment advisory fees |
65,815 | 295,382 | ||||||
Service fees |
— | 28,679 | ||||||
Distribution fees |
— | 2,725 | ||||||
Due to custodian |
4,296,524 | — | ||||||
Accrued expense and other liabilities |
46,167 | 223,215 | ||||||
Total liabilities |
7,474,213 | 8,469,639 | ||||||
Net assets |
$ | 214,210,476 | $ | 1,009,331,740 | ||||
Net assets consist of: |
||||||||
Paid-in capital |
$ | 214,256,458 | $ | 1,122,245,523 | ||||
Accumulated Gain (Loss) |
(45,982 | ) | (112,913,783 | ) | ||||
Net assets |
$ | 214,210,476 | $ | 1,009,331,740 | ||||
(a) |
Cost of investments: |
$ | — | $ | 1,020,838,330 | ||||
(b) |
Cost of repurchase agreements: |
$ | 42,841,412 | $ | 718,014 | ||||
(c) |
Cost of other short-term investments: |
$ | 177,539,864 | $ | 22,997,256 | ||||
(d) |
Securities on loan with market value of: |
$ | — | $ | 706,318 | ||||
(e) |
Cost of foreign currency: |
$ | — | $ | — | ||||
(f) |
Premiums on written options: |
$ | — | $ | — | ||||
(g) |
Non-cash collateral is not included. |
The accompanying notes are an integral part of the financial statements.
112
|
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | 322,318,244 | $ | 956,528,091 | $ | 194,013,668 | $ | 472,084,909 | $ | 152,630,282 | ||||||||||
| 7,987,879 | 3,096,549 | 3,270,495 | 2,036,143 | 5,089,187 | |||||||||||||||
| 20,457,602 | 175,188,165 | 28,994,473 | 3,997,666 | 86,963 | |||||||||||||||
| 350,763,725 | 1,134,812,805 | 226,278,636 | 478,118,718 | 157,806,432 | |||||||||||||||
| 1,770,000 | 7,583 | — | 1,375,957 | — | |||||||||||||||
| — | — | 4,143 | 230 | — | |||||||||||||||
| — | 4,376,123 | 921,477 | 13,423,718 | 157,216 | |||||||||||||||
| — | 175,392,649 | 31,048,879 | 119,223 | — | |||||||||||||||
| 470,000 | — | — | — | — | |||||||||||||||
| — | — | 135,237 | — | — | |||||||||||||||
| 16,833,767 | 330,240 | 689,682 | 229,209 | 21,096 | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| 1,870,000 | — | — | — | — | |||||||||||||||
| — | — | — | — | 3 | |||||||||||||||
| — | 266,158 | 91,694 | — | — | |||||||||||||||
| 323,816 | 5,230,136 | 1,407,314 | 7,577,507 | 275,496 | |||||||||||||||
| — | — | 113 | — | — | |||||||||||||||
| — | — | 15,259 | 499,019 | — | |||||||||||||||
| 886,225 | — | — | — | — | |||||||||||||||
| 56,245 | 53,595 | 53,594 | 77,607 | 59,478 | |||||||||||||||
| 372,973,778 | 1,320,469,289 | 260,646,028 | 501,421,188 | 158,319,721 | |||||||||||||||
| 2,999,875 | 20,776,927 | 580,024 | 1,646,458 | — | |||||||||||||||
| 3,587,000 | 329,830,949 | 55,367,469 | 2,226,721 | 9,176,662 | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| — | 3,719,000 | 770,000 | — | — | |||||||||||||||
| — | — | 32,389 | — | — | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| — | — | 158,196 | — | — | |||||||||||||||
| 132,641 | — | — | — | — | |||||||||||||||
| 1,968,877 | 4,406,785 | 73,506 | 1,955,413 | 127,552 | |||||||||||||||
| 5,537,500 | 4,718,730 | 1,971,923 | 13,124,605 | 4,622,123 | |||||||||||||||
| 4,940,737 | — | — | — | — | |||||||||||||||
| 27,851 | 136,183 | 18,046 | 37,413 | 14,808 | |||||||||||||||
| 8,437 | — | — | — | 11,438 | |||||||||||||||
| 45,278 | 94,540 | 51,216 | 64,029 | 38,182 | |||||||||||||||
| 113,186 | 308,778 | 64,179 | 199,262 | 57,993 | |||||||||||||||
| 12,275 | 31,267 | 9,114 | 16,416 | 22,611 | |||||||||||||||
| 1,816 | 181 | 724 | 6,276 | 8,319 | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| 62,259 | 117,147 | 63,009 | 124,076 | 59,134 | |||||||||||||||
| 19,437,732 | 364,140,487 | 59,159,795 | 19,400,669 | 14,138,822 | |||||||||||||||
| $ | 353,536,046 | $ | 956,328,802 | $ | 201,486,233 | $ | 482,020,519 | $ | 144,180,899 | ||||||||||
| $ | 352,867,559 | $ | 1,009,997,864 | $ | 211,927,287 | $ | 522,513,546 | $ | 136,800,006 | ||||||||||
| 668,487 | (53,669,062 | ) | (10,441,054 | ) | (40,493,027 | ) | 7,380,893 | ||||||||||||
| $ | 353,536,046 | $ | 956,328,802 | $ | 201,486,233 | $ | 482,020,519 | $ | 144,180,899 | ||||||||||
| $ | 326,178,150 | $ | 995,944,940 | $ | 202,915,915 | $ | 482,268,454 | $ | 146,974,631 | ||||||||||
| $ | 7,987,879 | $ | 3,096,549 | $ | 3,270,495 | $ | 2,036,143 | $ | 5,089,187 | ||||||||||
| $ | 20,482,740 | $ | 175,310,142 | $ | 28,993,854 | $ | 3,996,773 | $ | 86,950 | ||||||||||
| $ | 5,424,179 | $ | 7,662,968 | $ | 4,147,350 | $ | 13,001,581 | $ | 4,817,108 | ||||||||||
| $ | — | $ | — | $ | 3,948 | $ | 230 | $ | — | ||||||||||
| $ | — | $ | — | $ | 23,735 | $ | — | $ | — |
The accompanying notes are an integral part of the financial statements.
113
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Assets and Liabilities |
MassMutual |
MassMutual |
|||||||
Class I shares: |
||||||||
Net assets |
$ | — | $ | 165,274,105 | ||||
Shares outstanding (a) |
— | 17,883,115 | ||||||
Net asset value, offering price and redemption price per share |
$ | — | $ | 9.24 | ||||
Class R5 shares: |
||||||||
Net assets |
$ | 214,210,476 | $ | 48,031,957 | ||||
Shares outstanding (a) |
214,413,787 | 5,176,348 | ||||||
Net asset value, offering price and redemption price per share |
$ | 1.00 | $ | 9.28 | ||||
Service Class shares: |
||||||||
Net assets |
$ | — | $ | 2,371,332 | ||||
Shares outstanding (a) |
— | 257,279 | ||||||
Net asset value, offering price and redemption price per share |
$ | — | $ | 9.22 | ||||
Administrative Class shares: |
||||||||
Net assets |
$ | — | $ | 12,044,245 | ||||
Shares outstanding (a) |
— | 1,311,241 | ||||||
Net asset value, offering price and redemption price per share |
$ | — | $ | 9.19 | ||||
Class A shares: |
||||||||
Net assets |
$ | — | $ | 8,507,896 | ||||
Shares outstanding (a) |
— | 930,330 | ||||||
Net asset value, and redemption price per share |
— | 9.15 | ||||||
Offering price per share (100/[100-maximum sales charge] of net asset value) |
$ | — | $ | 9.38 | ||||
Class R4 shares: |
||||||||
Net assets |
$ | — | $ | 7,919,398 | ||||
Shares outstanding (a) |
— | 855,277 | ||||||
Net asset value, offering price and redemption price per share |
$ | — | $ | 9.26 | ||||
Class R3 shares: |
||||||||
Net assets |
$ | — | $ | 11,440,549 | ||||
Shares outstanding (a) |
— | 1,246,593 | ||||||
Net asset value, offering price and redemption price per share |
$ | — | $ | 9.18 | ||||
Class Y shares: (b) |
||||||||
Net assets |
$ | — | $ | 652,933,510 | ||||
Shares outstanding (a) |
— | 70,590,946 | ||||||
Net asset value, offering price and redemption price per share |
$ | — | $ | 9.25 | ||||
Class L shares: (b) |
||||||||
Net assets |
$ | — | $ | 99,528,320 | ||||
Shares outstanding (a) |
— | 10,804,625 | ||||||
Net asset value, and redemption price per share |
$ | — | $ | 9.21 | ||||
Offering price per share (100/[100-maximum sales charge] of net asset value) |
$ | — | $ | 9.40 | ||||
Class C shares: (b) |
||||||||
Net assets |
$ | — | $ | 1,280,428 | ||||
Shares outstanding (a) |
— | 137,876 | ||||||
Net asset value, offering price and redemption price per share |
$ | — | $ | 9.29 | ||||
|
(a) |
Authorized unlimited number of shares with no par value. |
|
(b) |
Commenced Operations on December 13, 2021. |
The accompanying notes are an integral part of the financial statements.
114
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | 202,992,731 | $ | 645,519,940 | $ | 102,704,388 | $ | 297,316,680 | $ | 55,076,637 | ||||||||||
| 19,289,704 | 63,195,323 | 10,086,810 | 35,132,548 | 4,874,650 | |||||||||||||||
| $ | 10.52 | $ | 10.21 | $ | 10.18 | $ | 8.46 | $ | 11.30 | ||||||||||
| $ | 84,109,068 | $ | 184,608,071 | $ | 67,713,436 | $ | 39,165,418 | $ | 37,197,110 | ||||||||||
| 7,985,931 | 18,000,241 | 7,302,526 | 4,595,532 | 3,291,551 | |||||||||||||||
| $ | 10.53 | $ | 10.26 | $ | 9.27 | $ | 8.52 | $ | 11.30 | ||||||||||
| $ | 36,619,151 | $ | 42,219,752 | $ | 6,244,789 | $ | 26,612,376 | $ | 9,477,633 | ||||||||||
| 3,489,002 | 4,138,847 | 662,121 | 3,120,430 | 777,459 | |||||||||||||||
| $ | 10.50 | $ | 10.20 | $ | 9.43 | $ | 8.53 | $ | 12.19 | ||||||||||
| $ | 11,146,025 | $ | 44,497,185 | $ | 10,907,398 | $ | 16,346,060 | $ | 7,593,579 | ||||||||||
| 1,048,125 | 4,401,703 | 1,157,829 | 1,952,213 | 668,159 | |||||||||||||||
| $ | 10.63 | $ | 10.11 | $ | 9.42 | $ | 8.37 | $ | 11.36 | ||||||||||
| $ | 11,186,860 | $ | 33,731,697 | $ | 8,018,193 | $ | 11,267,665 | $ | 15,921,790 | ||||||||||
| 1,080,579 | 3,363,228 | 849,127 | 1,346,175 | 1,459,415 | |||||||||||||||
| 10.35 | 10.03 | 9.44 | 8.37 | 10.91 | |||||||||||||||
| $ | 10.81 | $ | 10.48 | $ | 9.86 | $ | 8.86 | $ | 11.54 | ||||||||||
| $ | 4,599,191 | $ | 5,473,079 | $ | 4,472,124 | $ | 35,456,320 | $ | 5,619,479 | ||||||||||
| 448,667 | 549,720 | 481,810 | 4,310,323 | 522,365 | |||||||||||||||
| $ | 10.25 | $ | 9.96 | $ | 9.28 | $ | 8.23 | $ | 10.76 | ||||||||||
| $ | 2,883,020 | $ | 279,078 | $ | 1,425,905 | $ | 28,406,487 | $ | 13,294,671 | ||||||||||
| 280,610 | 26,979 | 152,039 | 3,350,316 | 1,245,471 | |||||||||||||||
| $ | 10.27 | $ | 10.34 | $ | 9.38 | $ | 8.48 | $ | 10.67 | ||||||||||
| $ | — | $ | — | $ | — | $ | 27,355,638 | $ | — | ||||||||||
| — | — | — | 3,221,236 | — | |||||||||||||||
| $ | — | $ | — | $ | — | $ | 8.49 | $ | — | ||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| — | — | — | — | — | |||||||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| $ | — | $ | — | $ | — | $ | 93,875 | $ | — | ||||||||||
| — | — | — | 11,017 | — | |||||||||||||||
| $ | — | $ | — | $ | — | $ | 8.52 | $ | — | ||||||||||
The accompanying notes are an integral part of the financial statements.
115
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Assets and Liabilities |
MassMutual |
MassMutual |
|||||||
Assets: |
||||||||
Investments, at value (Note 2) (a) |
$ | 85,652,821 | $ | 114,923,924 | ||||
Repurchase agreements, at value (Note 2) (b) |
483,095 | 1,017,664 | ||||||
Total investments (c) |
86,135,916 | 115,941,588 | ||||||
Foreign currency, at value (d) |
— | — | ||||||
Receivables from: |
||||||||
Investments sold |
||||||||
Regular delivery |
— | — | ||||||
Fund shares sold |
19,067 | 110,859 | ||||||
Collateral pledged for open futures contracts (Note 2) |
— | — | ||||||
Investment adviser (Note 3) |
— | — | ||||||
Interest and dividends |
109,825 | 39,546 | ||||||
Foreign taxes withheld |
— | 1,807 | ||||||
Prepaid expenses |
57,489 | 60,915 | ||||||
Total assets |
86,322,297 | 116,154,715 | ||||||
Liabilities: |
||||||||
Payables for: |
||||||||
Investments purchased |
||||||||
Regular delivery |
— | — | ||||||
Fund shares repurchased |
47,940 | 216,702 | ||||||
Collateral held for securities on loan (Note 2) (e) |
97,288 | 166,704 | ||||||
Trustees’ fees and expenses (Note 3) |
22,153 | 14,064 | ||||||
Affiliates (Note 3): |
||||||||
Administration fees |
21,321 | 27,229 | ||||||
Investment advisory fees |
32,696 | 53,043 | ||||||
Service fees |
7,907 | 12,156 | ||||||
Distribution fees |
2,734 | 639 | ||||||
Due to custodian |
— | — | ||||||
Accrued expense and other liabilities |
57,003 | 37,939 | ||||||
Total liabilities |
289,042 | 528,476 | ||||||
Net assets |
$ | 86,033,255 | $ | 115,626,239 | ||||
Net assets consist of: |
||||||||
Paid-in capital |
$ | 72,414,589 | $ | 84,178,296 | ||||
Accumulated Gain (Loss) |
13,618,666 | 31,447,943 | ||||||
Net assets |
$ | 86,033,255 | $ | 115,626,239 | ||||
(a) |
Cost of investments: |
$ | 76,898,940 | $ | 90,067,252 | ||||
(b) |
Cost of repurchase agreements: |
$ | 483,095 | $ | 1,017,664 | ||||
(c) |
Securities on loan with market value of: |
$ | 407,280 | $ | 1,175,277 | ||||
(d) |
Cost of foreign currency: |
$ | — | $ | — | ||||
(e) |
Non-cash collateral is not included. |
The accompanying notes are an integral part of the financial statements.
116
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | 216,309,434 | $ | 329,117,841 | $ | 283,516,823 | $ | 133,065,658 | $ | 134,198,389 | ||||||||||
| 667,102 | 10,889,830 | 1,751,197 | 601,920 | 7,187,696 | |||||||||||||||
| 216,976,536 | 340,007,671 | 285,268,020 | 133,667,578 | 141,386,085 | |||||||||||||||
| — | — | 40,486 | 95,254 | 155,982 | |||||||||||||||
| 223,269 | 895,357 | 1,010,910 | 4,103,990 | 603,895 | |||||||||||||||
| 49,586 | 2,581,782 | 139,110 | 37,153 | 3,873 | |||||||||||||||
| — | — | — | 276 | — | |||||||||||||||
| — | — | — | — | 31,654 | |||||||||||||||
| 100,930 | 147,404 | 135,106 | 322,060 | 270,683 | |||||||||||||||
| — | — | 285,411 | 747,802 | 31,802 | |||||||||||||||
| 53,698 | 56,703 | 62,285 | 71,895 | 53,822 | |||||||||||||||
| 217,404,019 | 343,688,917 | 286,941,328 | 139,046,008 | 142,537,796 | |||||||||||||||
| — | 5,218,362 | 847,327 | 2,146,741 | 204,807 | |||||||||||||||
| 1,675,042 | 304,719 | 322,957 | 1,918,720 | 1,582,361 | |||||||||||||||
| 192,425 | 4,284,761 | 5,682,075 | 2,191,126 | — | |||||||||||||||
| 28,154 | 22,266 | 32,611 | 51,981 | 14,621 | |||||||||||||||
| 40,756 | 50,708 | 50,222 | 33,517 | 18,743 | |||||||||||||||
| 80,836 | 160,945 | 174,333 | 99,381 | 114,881 | |||||||||||||||
| 22,979 | 46,022 | 24,996 | 9,542 | 1,242 | |||||||||||||||
| 3,091 | 5,446 | 7,304 | 1,437 | 639 | |||||||||||||||
| — | — | — | 19,099 | — | |||||||||||||||
| 58,922 | 44,786 | 443,329 | 84,070 | 603,040 | |||||||||||||||
| 2,102,205 | 10,138,015 | 7,585,154 | 6,555,614 | 2,540,334 | |||||||||||||||
| $ | 215,301,814 | $ | 333,550,902 | $ | 279,356,174 | $ | 132,490,394 | $ | 139,997,462 | ||||||||||
| $ | 169,805,781 | $ | 263,950,703 | $ | 118,973,887 | $ | 123,255,032 | $ | 156,022,090 | ||||||||||
| 45,496,033 | 69,600,199 | 160,382,287 | 9,235,362 | (16,024,628 | ) | ||||||||||||||
| $ | 215,301,814 | $ | 333,550,902 | $ | 279,356,174 | $ | 132,490,394 | $ | 139,997,462 | ||||||||||
| $ | 183,998,597 | $ | 263,645,317 | $ | 151,575,743 | $ | 127,227,084 | $ | 142,846,428 | ||||||||||
| $ | 667,102 | $ | 10,889,830 | $ | 1,751,197 | $ | 601,920 | $ | 7,187,696 | ||||||||||
| $ | 1,793,919 | $ | 7,886,127 | $ | 17,017,005 | $ | 2,233,511 | $ | 1,166,478 | ||||||||||
| $ | — | $ | — | $ | 40,043 | $ | 95,073 | $ | 156,358 |
The accompanying notes are an integral part of the financial statements.
117
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Assets and Liabilities |
MassMutual |
MassMutual |
|||||||
Class I shares: |
||||||||
Net assets |
$ | 32,478,691 | $ | 27,818,976 | ||||
Shares outstanding (a) |
2,232,663 | 2,398,639 | ||||||
Net asset value, offering price and redemption price per share |
$ | 14.55 | $ | 11.60 | ||||
Class R5 shares: |
||||||||
Net assets |
$ | 24,782,191 | $ | 43,989,506 | ||||
Shares outstanding (a) |
1,697,179 | 3,795,560 | ||||||
Net asset value, offering price and redemption price per share |
$ | 14.60 | $ | 11.59 | ||||
Service Class shares: |
||||||||
Net assets |
$ | 14,694,574 | $ | 135,823 | ||||
Shares outstanding (a) |
1,017,631 | 11,090 | ||||||
Net asset value, offering price and redemption price per share |
$ | 14.44 | $ | 12.25 | ||||
Administrative Class shares: |
||||||||
Net assets |
$ | 1,801,382 | $ | 24,370,247 | ||||
Shares outstanding (a) |
121,075 | 2,104,341 | ||||||
Net asset value, offering price and redemption price per share |
$ | 14.88 | $ | 11.58 | ||||
Class A shares: |
||||||||
Net assets |
$ | 6,322,472 | $ | 10,376,117 | ||||
Shares outstanding (a) |
443,657 | 915,570 | ||||||
Net asset value, and redemption price per share |
$ | 14.25 | $ | 11.33 | ||||
Offering price per share (100/[100-maximum sales charge] of net asset value) |
$ | 15.08 | $ | 11.99 | ||||
Class R4 shares: |
||||||||
Net assets |
$ | 1,444,505 | $ | 7,893,286 | ||||
Shares outstanding (a) |
102,376 | 706,111 | ||||||
Net asset value, offering price and redemption price per share |
$ | 14.11 | $ | 11.18 | ||||
Class R3 shares: |
||||||||
Net assets |
$ | 4,509,440 | $ | 1,042,284 | ||||
Shares outstanding (a) |
312,910 | 91,604 | ||||||
Net asset value, offering price and redemption price per share |
$ | 14.41 | $ | 11.38 | ||||
|
(a) |
Authorized unlimited number of shares with no par value. |
The accompanying notes are an integral part of the financial statements.
118
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | 31,222,065 | $ | 87,970,588 | $ | 81,534,538 | $ | 71,083,547 | $ | 133,462,101 | ||||||||||
| 3,156,002 | 5,107,990 | 5,608,657 | 8,160,721 | 12,932,035 | |||||||||||||||
| $ | 9.89 | $ | 17.22 | $ | 14.54 | $ | 8.71 | $ | 10.32 | ||||||||||
| $ | 97,333,118 | $ | 127,016,470 | $ | 87,761,076 | $ | 40,912,228 | $ | 2,312,694 | ||||||||||
| 9,839,797 | 7,400,922 | 6,041,604 | 4,693,974 | 220,266 | |||||||||||||||
| $ | 9.89 | $ | 17.16 | $ | 14.53 | $ | 8.72 | $ | 10.50 | ||||||||||
| $ | 19,902,536 | $ | 19,963,141 | $ | 7,434,740 | $ | 3,323,687 | $ | 2,021,463 | ||||||||||
| 1,997,698 | 1,167,424 | 518,473 | 382,325 | 195,640 | |||||||||||||||
| $ | 9.96 | $ | 17.10 | $ | 14.34 | $ | 8.69 | $ | 10.33 | ||||||||||
| $ | 33,715,102 | $ | 24,717,032 | $ | 64,686,789 | $ | 2,371,825 | $ | 236,434 | ||||||||||
| 3,307,360 | 1,457,871 | 4,473,455 | 275,444 | 22,813 | |||||||||||||||
| $ | 10.19 | $ | 16.95 | $ | 14.46 | $ | 8.61 | $ | 10.36 | ||||||||||
| $ | 20,125,439 | $ | 50,355,735 | $ | 14,550,723 | $ | 11,588,028 | $ | 621,330 | ||||||||||
| 2,112,159 | 3,076,366 | 1,027,499 | 1,425,417 | 60,132 | |||||||||||||||
| $ | 9.53 | $ | 16.37 | $ | 14.16 | $ | 8.13 | $ | 10.33 | ||||||||||
| $ | 10.08 | $ | 17.32 | $ | 14.98 | $ | 8.60 | $ | 10.93 | ||||||||||
| $ | 8,043,106 | $ | 15,074,760 | $ | 12,525,430 | $ | 1,051,312 | $ | 365,401 | ||||||||||
| 858,505 | 927,187 | 899,266 | 131,387 | 35,699 | |||||||||||||||
| $ | 9.37 | $ | 16.26 | $ | 13.93 | $ | 8.00 | $ | 10.24 | ||||||||||
| $ | 4,960,448 | $ | 8,453,176 | $ | 10,862,878 | $ | 2,159,767 | $ | 978,039 | ||||||||||
| 533,759 | 527,562 | 774,798 | 273,246 | 96,644 | |||||||||||||||
| $ | 9.29 | $ | 16.02 | $ | 14.02 | $ | 7.90 | $ | 10.12 | ||||||||||
The accompanying notes are an integral part of the financial statements.
119
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Operations |
MassMutual |
MassMutual |
|||||||
Investment income (Note 2): |
||||||||
Dividends (a) |
$ | — | $ | — | ||||
Interest |
83,815 | 8,521,303 | ||||||
Securities lending net income |
— | 10,548 | ||||||
Total investment income |
83,815 | 8,531,851 | ||||||
Expenses (Note 3): |
||||||||
Investment advisory fees |
398,439 | 1,496,059 | ||||||
Custody fees |
12,874 | 15,124 | ||||||
Audit fees |
21,248 | 21,845 | ||||||
Legal fees |
2,801 | 3,576 | ||||||
Proxy fees |
446 | 446 | ||||||
Accounting & Administration fees |
31,696 | 29,583 | ||||||
Shareholder reporting fees |
7,608 | 43,457 | ||||||
Trustees’ fees |
5,797 | 23,045 | ||||||
Registration and filing fees |
12,192 | 64,180 | ||||||
Transfer agent fees |
1,467 | 1,217 | ||||||
| 494,568 | 1,698,532 | |||||||
Administration fees: |
||||||||
Class R5 |
113,840 | 30,715 | ||||||
Service Class |
— | 8,650 | ||||||
Administrative Class |
— | 22,298 | ||||||
Class A |
— | 36,801 | ||||||
Class R4 |
— | 10,008 | ||||||
Class R3 |
— | 11,600 | ||||||
Class Y |
— | 264,631 | ||||||
Class L |
— | 17,065 | ||||||
Class C |
— | 196 | ||||||
Distribution and Service fees: |
||||||||
Class A |
— | 30,667 | ||||||
Class R4 |
— | 12,509 | ||||||
Class R3 |
— | 29,000 | ||||||
Class L |
— | 85,324 | ||||||
Class C |
— | 1,958 | ||||||
Total expenses |
608,408 | 2,259,954 | ||||||
Expenses waived (Note 3): |
||||||||
Class R5 fees reimbursed by adviser |
(524,593 | ) | — | |||||
Class Y fees reimbursed by adviser |
— | (146,234 | ) | |||||
Class L fees reimbursed by adviser |
— | (3,120 | ) | |||||
Class C fees reimbursed by adviser |
— | (85 | ) | |||||
Net expenses: |
83,815 | 2,110,515 | ||||||
Net investment income (loss) |
— | 6,421,336 | ||||||
+ |
Effective December 13, 2021, the Barings Active Short Duration Bond Fund reorganized into the MassMutual Short-Duration Bond Fund. Prior to December 13, 2021, information provided reflects MassMutual Short-Duration Bond Fund, which was the accounting and performance survivor of the reorganization. Please reference Note 7 “Acquisition of Barings Active Short Duration Bond Fund and Barings U.S. High Yield Fund” in the Notes to the Financial Statements for additional information. |
++ |
Effective December 13, 2021, the Barings U.S. High Yield Fund reorganized into the MassMutual High Yield Fund. Prior to December 13, 2021, information provided reflects MassMutual High Yield Fund, which was the accounting and performance survivor of the reorganization. Please reference Note 7 “Acquisition of Barings Active Short Duration Bond Fund and Barings U.S. High Yield Fund” in the Notes to the Financial Statements for additional information. |
The accompanying notes are an integral part of the financial statements.
120
|
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | — | $ | — | $ | 35,334 | $ | 92,241 | $ | 882,835 | ||||||||||
| 3,835,487 | 13,968,870 | 3,451,898 | 15,633,205 | 545,466 | |||||||||||||||
| 774 | 5,308 | 8,976 | 42,421 | 4,789 | |||||||||||||||
| 3,836,261 | 13,974,178 | 3,496,208 | 15,767,867 | 1,433,090 | |||||||||||||||
| 694,009 | 2,021,663 | 402,392 | 1,248,724 | 363,597 | |||||||||||||||
| 21,934 | 42,578 | 20,204 | 38,803 | 27,186 | |||||||||||||||
| 27,373 | 27,780 | 27,831 | 21,478 | 26,605 | |||||||||||||||
| 3,772 | 12,521 | 6,516 | 5,168 | 1,557 | |||||||||||||||
| 446 | 446 | 446 | 446 | 446 | |||||||||||||||
| 24,728 | 42,032 | 39,183 | 28,820 | 21,771 | |||||||||||||||
| 16,893 | 31,456 | 13,654 | 47,311 | 13,088 | |||||||||||||||
| 6,895 | 23,247 | 4,209 | 14,109 | 2,895 | |||||||||||||||
| 48,731 | 50,268 | 49,314 | 59,578 | 48,927 | |||||||||||||||
| 1,468 | 1,468 | 1,467 | 1,217 | 1,469 | |||||||||||||||
| 846,249 | 2,253,459 | 565,216 | 1,465,654 | 507,541 | |||||||||||||||
| 45,227 | 129,098 | 36,895 | 21,879 | 19,625 | |||||||||||||||
| 51,897 | 48,763 | 8,682 | 28,113 | 9,959 | |||||||||||||||
| 19,333 | 73,631 | 17,305 | 30,420 | 11,621 | |||||||||||||||
| 18,790 | 73,757 | 13,707 | 18,512 | 28,993 | |||||||||||||||
| 5,056 | 6,810 | 4,656 | 37,739 | 5,837 | |||||||||||||||
| 2,960 | 311 | 1,674 | 31,780 | 13,461 | |||||||||||||||
| — | — | — | 4,960 | — | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| 15,659 | 61,464 | 11,422 | 15,426 | 24,161 | |||||||||||||||
| 6,320 | 8,512 | 5,820 | 47,174 | 7,296 | |||||||||||||||
| 7,399 | 778 | 4,186 | 79,449 | 33,652 | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| — | — | — | 292 | — | |||||||||||||||
| 1,018,890 | 2,656,583 | 669,563 | 1,781,398 | 662,146 | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| — | — | — | — | — | |||||||||||||||
| 1,018,890 | 2,656,583 | 669,563 | 1,781,398 | 662,146 | |||||||||||||||
| 2,817,371 | 11,317,595 | 2,826,645 | 13,986,469 | 770,944 | |||||||||||||||
The accompanying notes are an integral part of the financial statements.
121
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Operations |
MassMutual |
MassMutual |
|||||||
Realized and unrealized gain (loss): |
||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions |
$ | 606 | $ | (15,378,900 | ) | |||
Futures contracts |
— | 3,745,930 | ||||||
Written options |
— | — | ||||||
Swap agreements |
— | 825,605 | ||||||
Foreign currency transactions |
— | — | ||||||
Forward contracts |
— | — | ||||||
Net realized gain (loss) |
606 | (10,807,365 | ) | |||||
Net change in unrealized appreciation (depreciation) on: |
||||||||
Investment transactions |
— | (50,621,705 | ) | |||||
Futures contracts |
— | 6,832,278 | ||||||
Written options |
— | — | ||||||
Swap agreements |
— | (20,981,153 | ) | |||||
Translation of assets and liabilities in foreign currencies |
— | — | ||||||
Forward contracts |
— | — | ||||||
Net change in unrealized appreciation (depreciation) |
— | (64,770,580 | ) | |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) |
606 | (75,577,945 | ) | |||||
Net increase (decrease) in net assets resulting from operations |
$ | 606 | $ | (69,156,609 | ) | |||
(a) |
Net of foreign withholding tax of: |
$ | — | $ | — |
The accompanying notes are an integral part of the financial statements.
122
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | (386,176 | ) | $ | (4,700,973 | ) | $ | 205,378 | $ | 7,819,359 | $ | 1,737,058 | ||||||||
| 95,384 | (6,945,292 | ) | (1,599,602 | ) | — | 224,922 | |||||||||||||
| — | — | 26,911 | — | — | |||||||||||||||
| 7,774,633 | — | — | — | — | |||||||||||||||
| — | — | 2,356 | 981 | 2 | |||||||||||||||
| — | — | (69,671 | ) | — | — | ||||||||||||||
| 7,483,841 | (11,646,265 | ) | (1,434,628 | ) | 7,820,340 | 1,961,982 | |||||||||||||
| (5,854,484 | ) | (64,698,837 | ) | (15,013,568 | ) | (36,133,447 | ) | 52,290 | |||||||||||
| (190,084 | ) | 233,882 | (271,972 | ) | — | 112,075 | |||||||||||||
| — | — | (37,643 | ) | — | — | ||||||||||||||
| (8,750,728 | ) | — | — | — | — | ||||||||||||||
| — | — | (2,649 | ) | 11,816 | — | ||||||||||||||
| — | — | (19,430 | ) | — | — | ||||||||||||||
| (14,795,296 | ) | (64,464,955 | ) | (15,345,262 | ) | (36,121,631 | ) | 164,365 | |||||||||||
| (7,311,455 | ) | (76,111,220 | ) | (16,779,890 | ) | (28,301,291 | ) | 2,126,347 | |||||||||||
| $ | (4,494,084 | ) | $ | (64,793,625 | ) | $ | (13,953,245 | ) | $ | (14,314,822 | ) | $ | 2,897,291 | ||||||
| $ | — | $ | — | $ | — | $ | 16,278 | $ | 119 |
The accompanying notes are an integral part of the financial statements.
123
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Operations |
MassMutual |
MassMutual |
|||||||
Investment income (Note 2): |
||||||||
Dividends (a) |
$ | 941,303 | $ | 935,046 | ||||
Securities lending net income |
299 | 7,007 | ||||||
Non cash income |
6,379 | — | ||||||
Total investment income |
947,981 | 942,053 | ||||||
Expenses (Note 3): |
||||||||
Investment advisory fees |
214,766 | 331,704 | ||||||
Custody fees |
10,615 | 11,783 | ||||||
Audit fees |
25,547 | 24,395 | ||||||
Legal fees |
927 | 1,169 | ||||||
Proxy fees |
446 | 446 | ||||||
Accounting & Administration fees |
14,836 | 14,201 | ||||||
Shareholder reporting fees |
24,174 | 9,474 | ||||||
Trustees’ fees |
1,947 | 2,303 | ||||||
Registration and filing fees |
49,242 | 48,858 | ||||||
Transfer agent fees |
1,466 | 1,468 | ||||||
| 343,966 | 445,801 | |||||||
Administration fees: |
||||||||
Class R5 |
14,935 | 23,441 | ||||||
Service Class |
16,436 | 150 | ||||||
Administrative Class |
2,616 | 37,829 | ||||||
Class A |
10,003 | 16,183 | ||||||
Class R4 |
2,378 | 8,425 | ||||||
Class R3 |
4,631 | 1,088 | ||||||
Distribution and Service fees: |
||||||||
Class A |
8,336 | 13,486 | ||||||
Class R4 |
2,972 | 10,531 | ||||||
Class R3 |
11,577 | 2,719 | ||||||
Total expenses |
417,850 | 559,653 | ||||||
Expenses waived (Note 3): |
||||||||
Class I fees reimbursed by adviser |
— | — | ||||||
Class R5 fees reimbursed by adviser |
— | — | ||||||
Service Class fees reimbursed by adviser |
— | — | ||||||
Administrative Class fees reimbursed by adviser |
— | — | ||||||
Class A fees reimbursed by adviser |
— | — | ||||||
Class R4 fees reimbursed by adviser |
— | — | ||||||
Class R3 fees reimbursed by adviser |
— | — | ||||||
Class I advisory fees waived |
— | — | ||||||
Class R5 advisory fees waived |
— | — | ||||||
Service Class advisory fees waived |
— | — | ||||||
Administrative Class advisory fees waived |
— | — | ||||||
Class A advisory fees waived |
— | — | ||||||
Class R4 advisory fees waived |
— | — | ||||||
Class R3 advisory fees waived |
— | — | ||||||
Net expenses: |
417,850 | 559,653 | ||||||
Net investment income (loss) |
530,131 | 382,400 | ||||||
The accompanying notes are an integral part of the financial statements.
124
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | 821,270 | $ | 1,693,304 | $ | 808,985 | $ | 1,390,163 | $ | 883,345 | ||||||||||
| 997 | 5,431 | 4,803 | 9,286 | 6,572 | |||||||||||||||
| — | — | — | 42,313 | 151,071 | |||||||||||||||
| 822,267 | 1,698,735 | 813,788 | 1,441,762 | 1,040,988 | |||||||||||||||
| 551,241 | 1,000,283 | 1,260,938 | 648,209 | 782,341 | |||||||||||||||
| 10,464 | 12,607 | 29,052 | 47,827 | 100,206 | |||||||||||||||
| 25,562 | 24,830 | 30,942 | 30,944 | 40,672 | |||||||||||||||
| 2,465 | 3,183 | 3,419 | 1,469 | 1,688 | |||||||||||||||
| 446 | 446 | 446 | 446 | 446 | |||||||||||||||
| 14,873 | 14,105 | 19,095 | 20,763 | 18,411 | |||||||||||||||
| 26,686 | 13,591 | 13,220 | 13,254 | 10,502 | |||||||||||||||
| 4,852 | 6,190 | 6,731 | 3,547 | 3,375 | |||||||||||||||
| 48,926 | 50,637 | 49,486 | 49,382 | 47,458 | |||||||||||||||
| 1,469 | 1,468 | 1,468 | 1,468 | 1,468 | |||||||||||||||
| 686,984 | 1,127,340 | 1,414,797 | 817,309 | 1,006,567 | |||||||||||||||
| 51,950 | 67,464 | 53,699 | 23,134 | 1,335 | |||||||||||||||
| 25,560 | 22,675 | 7,831 | 3,433 | 2,256 | |||||||||||||||
| 54,857 | 39,224 | 121,268 | 3,714 | 1,237 | |||||||||||||||
| 40,098 | 80,853 | 26,204 | 18,782 | 918 | |||||||||||||||
| 10,863 | 15,371 | 14,608 | 1,368 | 419 | |||||||||||||||
| 5,258 | 9,316 | 12,842 | 2,325 | 1,082 | |||||||||||||||
| 33,415 | 67,377 | 21,836 | 15,652 | 765 | |||||||||||||||
| 13,578 | 19,214 | 18,260 | 1,710 | 523 | |||||||||||||||
| 13,145 | 23,290 | 32,105 | 5,812 | 2,704 | |||||||||||||||
| 935,708 | 1,472,124 | 1,723,450 | 893,239 | 1,017,806 | |||||||||||||||
| — | — | — | — | (101,461 | ) | ||||||||||||||
| — | — | — | — | (1,836 | ) | ||||||||||||||
| — | — | — | — | (1,561 | ) | ||||||||||||||
| — | — | — | — | (567 | ) | ||||||||||||||
| — | — | — | — | (420 | ) | ||||||||||||||
| — | — | — | — | (284 | ) | ||||||||||||||
| — | — | — | — | (747 | ) | ||||||||||||||
| — | — | — | (21,953 | ) | — | ||||||||||||||
| — | — | — | (11,564 | ) | — | ||||||||||||||
| — | — | — | (859 | ) | — | ||||||||||||||
| — | — | — | (619 | ) | — | ||||||||||||||
| — | — | — | (3,131 | ) | — | ||||||||||||||
| — | — | — | (341 | ) | — | ||||||||||||||
| — | — | — | (581 | ) | — | ||||||||||||||
| 935,708 | 1,472,124 | 1,723,450 | 854,191 | 910,930 | |||||||||||||||
| (113,441 | ) | 226,611 | (909,662 | ) | 587,571 | 130,058 | |||||||||||||
The accompanying notes are an integral part of the financial statements.
125
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Operations |
MassMutual |
MassMutual |
|||||||
Realized and unrealized gain (loss): |
||||||||
Net realized gain (loss) on: |
||||||||
Investment transactions |
$ | 4,788,134 | $ | 9,199,184 | ||||
Foreign currency transactions |
— | 109 | ||||||
Net realized gain (loss) |
4,788,134 | 9,199,293 | ||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||
Investment transactions |
672,434 | (5,630,081 | ) | |||||
Translation of assets and liabilities in foreign currencies |
— | (79 | ) | |||||
Net change in unrealized appreciation (depreciation) |
672,434 | (5,630,160 | ) | |||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) |
5,460,568 | 3,569,133 | ||||||
Net increase (decrease) in net assets resulting from operations |
$ | 5,990,699 | $ | 3,951,533 | ||||
(a) |
Net of foreign withholding tax of: |
$ | — | $ | 232 | ||||
* |
Net of net increase (decrease) in accrued foreign capital gains tax of: |
$ | — | $ | — |
The accompanying notes are an integral part of the financial statements.
126
MassMutual |
MassMutual |
MassMutual |
MassMutual |
MassMutual |
|||||||||||||||
| $ | 18,035,546 | $ | 6,595,686 | $ | 36,952,317 | $ | 4,879,395 | $ | (1,893,172 | ) | |||||||||
| — | 5,244 | (1,792 | ) | (24,050 | ) | (41,031 | ) | ||||||||||||
| 18,035,546 | 6,600,930 | 36,950,525 | 4,855,345 | (1,934,203 | ) | ||||||||||||||
| (20,552,115 | ) | (11,246,449 | ) | (80,876,211 | )* | (7,833,056 | ) | (30,166,490 | )* | ||||||||||
| — | — | (14,342 | ) | (21,426 | ) | (796 | ) | ||||||||||||
| (20,552,115 | ) | (11,246,449 | ) | (80,890,553 | ) | (7,854,482 | ) | (30,167,286 | ) | ||||||||||
| (2,516,569 | ) | (4,645,519 | ) | (43,940,028 | ) | (2,999,137 | ) | (32,101,489 | ) | ||||||||||
| $ | (2,630,010 | ) | $ | (4,418,908 | ) | $ | (44,849,690 | ) | $ | (2,411,566 | ) | $ | (31,971,431 | ) | |||||
| $ | — | $ | 2,801 | $ | 60,965 | $ | 142,036 | $ | 116,087 | ||||||||||
| $ | — | $ | — | $ | 133,409 | $ | — | $ | 344,578 |
The accompanying notes are an integral part of the financial statements.
127
MassMutual Premier Funds – Financial Statements (Continued) |
MassMutual |
||||||||
Six Months |
Year |
|||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net investment income (loss) |
$ | — | $ | (24 | ) | |||
Net realized gain (loss) |
606 | 2,160 | ||||||
Net change in unrealized appreciation (depreciation) |
— | — | ||||||
Net increase (decrease) in net assets resulting from operations |
606 | 2,136 | ||||||
Distributions to shareholders (Note 2): |
||||||||
Class I |
— | — | ||||||
Class R5 |
— | — | ||||||
Service Class |
— | — | ||||||
Administrative Class |
— | — | ||||||
Class A |
— | — | ||||||
Class R4 |
— | — | ||||||
Class R3 |
— | — | ||||||
Class Y (a) |
— | — | ||||||
Class L (a) |
— | — | ||||||
Class C (a) |
— | — | ||||||
Total distributions |
— | — | ||||||
Net fund share transactions (Note 5): |
||||||||
Class I |
— | — | ||||||
Class R5 |
(21,367,995 | ) | (42,415,521 | ) | ||||
Service Class |
— | — | ||||||
Administrative Class |
— | — | ||||||
Class A |
— | — | ||||||
Class R4 |
— | — | ||||||
Class R3 |
— | — | ||||||
Class Y (a) |
— | — | ||||||
Class L (a) |
— | — | ||||||
Class C (a) |
— | — | ||||||
Increase (decrease) in net assets from fund share transactions |
(21,367,995 | ) | (42,415,521 | ) | ||||
Total increase (decrease) in net assets |
(21,367,389 | ) | (42,413,385 | ) | ||||
Net assets |
||||||||
Beginning of period |
235,577,865 | 277,991,250 | ||||||
End of period |
$ | 214,210,476 | $ | 235,577,865 | ||||
|
(a) |
Class Y Commenced Operations on December 13, 2021 |
The accompanying notes are an integral part of the financial statements.
128
|
MassMutual |
MassMutual |
||||||||||||||
Six Months |
Year |
Six Months |
Year |
||||||||||||
| $ | 6,421,336 | $ | 9,112,520 | $ | 2,817,371 | $ | 6,092,415 | ||||||||
| (10,807,365 | ) | 4,369,016 | 7,483,841 | 20,097,312 | |||||||||||
| (64,770,580 | ) | 4,648,167 | (14,795,296 | ) | (4,625,721 | ) | |||||||||
| (69,156,609 | ) | 18,129,703 | (4,494,084 | ) | 21,564,006 | ||||||||||
| (5,745,115 | ) | (7,873,751 | ) | (13,578,868 | ) | (9,795,008 | ) | ||||||||
| (1,710,619 | ) | (4,984,608 | ) | (6,527,752 | ) | (4,785,258 | ) | ||||||||
| (337,391 | ) | (1,102,450 | ) | (3,706,567 | ) | (2,728,473 | ) | ||||||||
| (368,902 | ) | (1,110,963 | ) | (804,115 | ) | (731,102 | ) | ||||||||
| (435,537 | ) | (1,786,717 | ) | (821,349 | ) | (1,177,744 | ) | ||||||||
| (200,569 | ) | (429,664 | ) | (342,973 | ) | (251,270 | ) | ||||||||
| (235,555 | ) | (286,518 | ) | (193,469 | ) | (150,543 | ) | ||||||||
| (7,573,756 | ) | — | — | — | |||||||||||
| (903,397 | ) | — | — | — | |||||||||||
| (9,534 | ) | — | — | — | |||||||||||
| (17,520,375 | ) | (17,574,671 | ) | (25,975,093 | ) | (19,619,398 | ) | ||||||||
| (29,920,345 | ) | 20,984,515 | 31,546,309 | 9,538,688 | |||||||||||
| (13,699,410 | ) | (43,188,428 | ) | (1,651,758 | ) | 6,543,433 | |||||||||
| (13,320,306 | ) | (22,341,386 | ) | (15,051,027 | ) | 758,594 | |||||||||
| (3,669,031 | ) | (10,748,987 | ) | (1,965,704 | ) | (1,287,500 | ) | ||||||||
| (26,110,329 | ) | (5,748,981 | ) | (1,067,405 | ) | (8,627,870 | ) | ||||||||
| (2,990,802 | ) | 184,725 | (211,875 | ) | 851,299 | ||||||||||
| 768,520 | 3,871,255 | 181,985 | (323,906 | ) | |||||||||||
| 705,510,681 | — | — | — | ||||||||||||
| 106,528,841 | — | — | — | ||||||||||||
| 1,363,535 | — | — | — | ||||||||||||
| 724,461,354 | (56,987,287 | ) | 11,780,525 | 7,452,738 | |||||||||||
| 637,784,370 | (56,432,255 | ) | (18,688,652 | ) | 9,397,346 | ||||||||||
| 371,547,370 | 427,979,625 | 372,224,698 | 362,827,352 | ||||||||||||
| $ | 1,009,331,740 | $ | 371,547,370 | $ | 353,536,046 | $ | 372,224,698 | ||||||||
The accompanying notes are an integral part of the financial statements.
129
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Changes in Net Assets |
MassMutual |
||||||||
Six Months |
Year |
|||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net investment income (loss) |
$ | 11,317,595 | $ | 29,502,553 | ||||
Net realized gain (loss) |
(11,646,265 | ) | 13,634,319 | |||||
Net change in unrealized appreciation (depreciation) |
(64,464,955 | ) | (2,276,905 | ) | ||||
Net increase (decrease) in net assets resulting from operations |
(64,793,625 | ) | 40,859,967 | |||||
Distributions to shareholders (Note 2): |
||||||||
Class I |
(25,515,199 | ) | (46,632,100 | ) | ||||
Class R5 |
(10,426,152 | ) | (20,107,290 | ) | ||||
Service Class |
(1,734,027 | ) | (3,177,296 | ) | ||||
Administrative Class |
(1,712,376 | ) | (4,484,059 | ) | ||||
Class A |
(1,693,205 | ) | (3,188,483 | ) | ||||
Class R4 |
(221,532 | ) | (599,635 | ) | ||||
Class R3 |
(7,500 | ) | (45,768 | ) | ||||
Class Y (a) |
— | — | ||||||
Class C (a) |
— | — | ||||||
Total distributions |
(41,309,991 | ) | (78,234,631 | ) | ||||
Net fund share transactions (Note 5): |
||||||||
Class I |
32,910,441 | (85,408,525 | ) | |||||
Class R5 |
(97,090,734 | ) | 48,682 | |||||
Service Class |
(11,214,655 | ) | (24,582,773 | ) | ||||
Administrative Class |
(5,940,323 | ) | (18,924,313 | ) | ||||
Class A |
(18,890,225 | ) | 388,482 | |||||
Class R4 |
(2,465,685 | ) | (1,559,456 | ) | ||||
Class R3 |
(45,517 | ) | (494,140 | ) | ||||
Class Y (a) |
— | — | ||||||
Class C (a) |
— | — | ||||||
Increase (decrease) in net assets from fund share transactions |
(102,736,698 | ) | (130,532,043 | ) | ||||
Total increase (decrease) in net assets |
(208,840,314 | ) | (167,906,707 | ) | ||||
Net assets |
||||||||
Beginning of period |
1,165,169,116 | 1,333,075,823 | ||||||
End of period |
$ | 956,328,802 | $ | 1,165,169,116 | ||||
|
(a) |
Class Y Commenced Operations on December 13, 2021 |
The accompanying notes are an integral part of the financial statements.
130
MassMutual |
MassMutual |
||||||||||||||
Six Months |
Year |
Six Months |
Year |
||||||||||||
| $ | 2,826,645 | $ | 6,230,125 | $ | 13,986,469 | $ | 30,984,747 | ||||||||
| (1,434,628 | ) | 2,360,487 | 7,820,340 | 7,858,390 | |||||||||||
| (15,345,262 | ) | 4,074,119 | (36,121,631 | ) | 38,379,827 | ||||||||||
| (13,953,245 | ) | 12,664,731 | (14,314,822 | ) | 77,222,964 | ||||||||||
| (4,290,758 | ) | (6,953,342 | ) | (24,514,577 | ) | (20,884,324 | ) | ||||||||
| (3,344,900 | ) | (5,506,098 | ) | (3,127,665 | ) | (2,613,072 | ) | ||||||||
| (343,585 | ) | (846,408 | ) | (1,990,355 | ) | (1,719,188 | ) | ||||||||
| (445,350 | ) | (993,842 | ) | (1,488,415 | ) | (1,271,060 | ) | ||||||||
| (296,362 | ) | (900,019 | ) | (807,880 | ) | (1,209,194 | ) | ||||||||
| (171,228 | ) | (453,530 | ) | (2,556,951 | ) | (2,023,612 | ) | ||||||||
| (27,352 | ) | (226,697 | ) | (2,054,451 | ) | (1,607,669 | ) | ||||||||
| — | — | (526,101 | ) | — | |||||||||||
| — | — | (1,305 | ) | — | |||||||||||
| (8,919,535 | ) | (15,879,936 | ) | (37,067,700 | ) | (31,328,119 | ) | ||||||||
| 2,753,379 | 15,252,132 | (21,207,585 | ) | (53,596,204 | ) | ||||||||||
| (4,460,950 | ) | 3,162,707 | (3,118,050 | ) | (6,507,926 | ) | |||||||||
| (4,830,122 | ) | (25,402 | ) | 231,234 | (7,438,407 | ) | |||||||||
| (505,591 | ) | (4,291,888 | ) | (4,865,871 | ) | (2,270,950 | ) | ||||||||
| (425,720 | ) | (5,128,099 | ) | (1,025,228 | ) | (12,822,571 | ) | ||||||||
| (301,866 | ) | (848,001 | ) | (58,644 | ) | (4,285,383 | ) | ||||||||
| (1,723,189 | ) | (569,909 | ) | (1,968,119 | ) | (4,435,045 | ) | ||||||||
| — | — | 28,646,490 | — | ||||||||||||
| — | — | 97,944 | — | ||||||||||||
| (9,494,059 | ) | 7,551,540 | (3,267,829 | ) | (91,356,486 | ) | |||||||||
| (32,366,839 | ) | 4,336,335 | (54,650,351 | ) | (45,461,641 | ) | |||||||||
| 233,853,072 | 229,516,737 | 536,670,870 | 582,132,511 | ||||||||||||
| $ | 201,486,233 | $ | 233,853,072 | $ | 482,020,519 | $ | 536,670,870 | ||||||||
The accompanying notes are an integral part of the financial statements.
131
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Changes in Net Assets |
MassMutual |
||||||||
Six Months |
Year |
|||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net investment income (loss) |
$ | 770,944 | $ | 1,538,040 | ||||
Net realized gain (loss) |
1,961,982 | 34,273,373 | ||||||
Net change in unrealized appreciation (depreciation) |
164,365 | (8,654,500 | ) | |||||
Net increase (decrease) in net assets resulting from operations |
2,897,291 | 27,156,913 | ||||||
Distributions to shareholders (Note 2): |
||||||||
Class I |
(13,083,127 | ) | (1,547,830 | ) | ||||
Class R5 |
(9,442,345 | ) | (1,408,864 | ) | ||||
Service Class |
(2,211,487 | ) | (269,648 | ) | ||||
Administrative Class |
(1,821,814 | ) | (195,297 | ) | ||||
Class A |
(4,696,408 | ) | (806,699 | ) | ||||
Class R4 |
(1,404,186 | ) | (96,702 | ) | ||||
Class R3 |
(3,309,059 | ) | (201,693 | ) | ||||
Total distributions |
(35,968,426 | ) | (4,526,733 | ) | ||||
Net fund share transactions (Note 5): |
||||||||
Class I |
12,424,914 | 4,470,229 | ||||||
Class R5 |
6,032,350 | (8,596,195 | ) | |||||
Service Class |
1,178,896 | 299,183 | ||||||
Administrative Class |
1,889,336 | 589,285 | ||||||
Class A |
(736,378 | ) | (9,669,596 | ) | ||||
Class R4 |
927,156 | 2,102,933 | ||||||
Class R3 |
4,067,702 | 3,378,738 | ||||||
Increase (decrease) in net assets from fund share transactions |
25,783,976 | (7,425,423 | ) | |||||
Total increase (decrease) in net assets |
(7,287,159 | ) | 15,204,757 | |||||
Net assets |
||||||||
Beginning of period |
151,468,058 | 136,263,301 | ||||||
End of period |
$ | 144,180,899 | $ | 151,468,058 | ||||
The accompanying notes are an integral part of the financial statements.
132
MassMutual |
MassMutual |
||||||||||||||
Six Months |
Year |
Six Months |
Year |
||||||||||||
| $ | 530,131 | $ | 1,270,497 | $ | 382,400 | $ | 788,514 | ||||||||
| 4,788,134 | 16,505,330 | 9,199,293 | 22,083,519 | ||||||||||||
| 672,434 | 11,731,401 | (5,630,160 | ) | 6,724,955 | |||||||||||
| 5,990,699 | 29,507,228 | 3,951,533 | 29,596,988 | ||||||||||||
| (5,421,119 | ) | (527,416 | ) | (5,755,032 | ) | (1,017,015 | ) | ||||||||
| (5,073,685 | ) | (675,986 | ) | (9,637,008 | ) | (1,482,317 | ) | ||||||||
| (2,728,368 | ) | (236,749 | ) | (32,408 | ) | (3,852 | ) | ||||||||
| (272,646 | ) | (82,862 | ) | (5,132,204 | ) | (656,288 | ) | ||||||||
| (1,100,034 | ) | (96,647 | ) | (2,187,355 | ) | (323,920 | ) | ||||||||
| (465,386 | ) | (50,170 | ) | (1,737,533 | ) | (207,357 | ) | ||||||||
| (745,764 | ) | (63,371 | ) | (210,582 | ) | (33,250 | ) | ||||||||
| (15,807,002 | ) | (1,733,201 | ) | (24,692,122 | ) | (3,723,999 | ) | ||||||||
| 3,903,944 | 3,278,085 | 4,616,838 | (8,549,909 | ) | |||||||||||
| (7,689,217 | ) | (7,634,620 | ) | 4,686,852 | (8,291,185 | ) | |||||||||
| 388,879 | 436,690 | 2,185 | (56,793 | ) | |||||||||||
| 319,530 | (3,541,997 | ) | 4,381,675 | (1,778,664 | ) | ||||||||||
| 231,229 | (662,378 | ) | 1,631,833 | (3,959,621 | ) | ||||||||||
| (979,934 | ) | (858,803 | ) | 1,105,850 | 207,757 | ||||||||||
| 102,593 | (381,326 | ) | (68,718 | ) | (234,641 | ) | |||||||||
| (3,722,976 | ) | (9,364,349 | ) | 16,356,515 | (22,663,056 | ) | |||||||||
| (13,539,279 | ) | 18,409,678 | (4,384,074 | ) | 3,209,933 | ||||||||||
| 99,572,534 | 81,162,856 | 120,010,313 | 116,800,380 | ||||||||||||
| $ | 86,033,255 | $ | 99,572,534 | $ | 115,626,239 | $ | 120,010,313 | ||||||||
The accompanying notes are an integral part of the financial statements.
133
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Changes in Net Assets |
MassMutual |
||||||||
Six Months |
Year |
|||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net investment income (loss) |
$ | (113,441 | ) | $ | 76,831 | |||
Net realized gain (loss) |
18,035,546 | 93,484,305 | ||||||
Net change in unrealized appreciation (depreciation) |
(20,552,115 | ) | (32,540,319 | ) | ||||
Net increase (decrease) in net assets resulting from operations |
(2,630,010 | ) | 61,020,817 | |||||
Distributions to shareholders (Note 2): |
||||||||
Class I |
(14,211,876 | ) | (1,624,765 | ) | ||||
Class R5 |
(39,812,555 | ) | (4,826,119 | ) | ||||
Service Class |
(10,037,758 | ) | (1,123,937 | ) | ||||
Administrative Class |
(14,282,484 | ) | (1,558,139 | ) | ||||
Class A |
(11,937,715 | ) | (1,133,688 | ) | ||||
Class R4 |
(4,483,496 | ) | (1,039,743 | ) | ||||
Class R3 |
(2,151,233 | ) | (248,888 | ) | ||||
Total distributions |
(96,917,117 | ) | (11,555,279 | ) | ||||
Net fund share transactions (Note 5): |
||||||||
Class I |
14,259,761 | (10,738,871 | ) | |||||
Class R5 |
29,143,688 | (12,382,678 | ) | |||||
Service Class |
5,014,204 | (5,172,127 | ) | |||||
Administrative Class |
12,143,150 | (7,796,715 | ) | |||||
Class A |
6,143,260 | (6,616,967 | ) | |||||
Class R4 |
(269,160 | ) | (20,840,548 | ) | ||||
Class R3 |
2,159,285 | (2,151,560 | ) | |||||
Increase (decrease) in net assets from fund share transactions |
68,594,188 | (65,699,466 | ) | |||||
Total increase (decrease) in net assets |
(30,952,939 | ) | (16,233,928 | ) | ||||
Net assets |
||||||||
Beginning of period |
246,254,753 | 262,488,681 | ||||||
End of period |
$ | 215,301,814 | $ | 246,254,753 | ||||
The accompanying notes are an integral part of the financial statements.
134
MassMutual |
MassMutual |
||||||||||||||
Six Months |
Year |
Six Months |
Year |
||||||||||||
| $ | 226,611 | $ | 504,184 | $ | (909,662 | ) | $ | (1,711,008 | ) | ||||||
| 6,600,930 | 32,725,919 | 36,950,525 | 35,327,407 | ||||||||||||
| (11,246,449 | ) | 76,358,450 | (80,890,553 | ) | 60,583,247 | ||||||||||
| (4,418,908 | ) | 109,588,553 | (44,849,690 | ) | 94,199,646 | ||||||||||
| (8,099,573 | ) | (3,764,337 | ) | (10,688,280 | ) | (4,141,170 | ) | ||||||||
| (12,813,268 | ) | (8,238,297 | ) | (12,739,313 | ) | (6,060,786 | ) | ||||||||
| (2,089,184 | ) | (1,528,937 | ) | (859,154 | ) | (336,406 | ) | ||||||||
| (2,480,508 | ) | (1,730,097 | ) | (9,271,798 | ) | (4,196,349 | ) | ||||||||
| (5,263,635 | ) | (3,793,992 | ) | (2,023,520 | ) | (1,270,495 | ) | ||||||||
| (1,502,600 | ) | (881,116 | ) | (1,722,056 | ) | (507,173 | ) | ||||||||
| (937,828 | ) | (478,467 | ) | (1,492,945 | ) | (540,776 | ) | ||||||||
| (33,186,596 | ) | (20,415,243 | ) | (38,797,066 | ) | (17,053,155 | ) | ||||||||
| 12,144,425 | 27,209,426 | 5,273,564 | 4,382,095 | ||||||||||||
| 4,319,191 | 9,323,960 | (12,281,780 | ) | (11,981,787 | ) | ||||||||||
| (2,425,550 | ) | 833,952 | 1,537,339 | 178,731 | |||||||||||
| 1,228,493 | 681,127 | (3,183,114 | ) | (11,341,827 | ) | ||||||||||
| 1,202,359 | (3,111,884 | ) | (472,679 | ) | (8,962,168 | ) | |||||||||
| 1,090,962 | 2,320,602 | 247,904 | 4,831,165 | ||||||||||||
| (171,807 | ) | 1,388,860 | 663,057 | 1,689,495 | |||||||||||
| 17,388,073 | 38,646,043 | (8,215,709 | ) | (21,204,296 | ) | ||||||||||
| (20,217,431 | ) | 127,819,353 | (91,862,465 | ) | 55,942,195 | ||||||||||
| 353,768,333 | 225,948,980 | 371,218,639 | 315,276,444 | ||||||||||||
| $ | 333,550,902 | $ | 353,768,333 | $ | 279,356,174 | $ | 371,218,639 | ||||||||
The accompanying notes are an integral part of the financial statements.
135
MassMutual Premier Funds – Financial Statements (Continued) |
Statements of Changes in Net Assets |
MassMutual |
||||||||
Six Months |
Year |
|||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net investment income (loss) |
$ | 587,571 | $ | 2,160,396 | ||||
Net realized gain (loss) |
4,855,345 | 15,303,576 | ||||||
Net change in unrealized appreciation (depreciation) |
(7,854,482 | ) | 13,893,738 | |||||
Net increase (decrease) in net assets resulting from operations |
(2,411,566 | ) | 31,357,710 | |||||
Distributions to shareholders (Note 2): |
||||||||
Class I |
(10,922,947 | ) | (36,392,504 | ) | ||||
Class R5 |
(5,465,065 | ) | (21,915,668 | ) | ||||
Service Class |
(410,850 | ) | (1,504,920 | ) | ||||
Administrative Class |
(292,378 | ) | (1,216,848 | ) | ||||
Class A |
(1,478,546 | ) | (7,088,870 | ) | ||||
Class R4 |
(176,442 | ) | (756,235 | ) | ||||
Class R3 |
(290,312 | ) | (861,510 | ) | ||||
Total distributions |
(19,036,540 | ) | (69,736,555 | ) | ||||
Net fund share transactions (Note 5): |
||||||||
Class I |
(6,540,712 | ) | 13,818,712 | |||||
Class R5 |
(3,616,845 | ) | 1,150,924 | |||||
Service Class |
322,662 | (284,454 | ) | |||||
Administrative Class |
269,357 | (491,326 | ) | |||||
Class A |
(537,937 | ) | (940,117 | ) | ||||
Class R4 |
(406,825 | ) | 129,679 | |||||
Class R3 |
215,784 | 338,450 | ||||||
Increase (decrease) in net assets from fund share transactions |
(10,294,516 | ) | 13,721,868 | |||||
Total increase (decrease) in net assets |
(31,742,622 | ) | (24,656,977 | ) | ||||
Net assets |
||||||||
Beginning of period |
164,233,016 | 188,889,993 | ||||||
End of period |
$ | 132,490,394 | $ | 164,233,016 | ||||
The accompanying notes are an integral part of the financial statements.
136
MassMutual |
|||||||
Six Months |
Year |
||||||
| $ | 130,058 | $ | 434,711 | ||||
| (1,934,203 | ) | 22,083,910 | |||||
| (30,167,286 | ) | 5,667,502 | |||||
| (31,971,431 | ) | 28,186,123 | |||||
| (21,234,316 | ) | (2,772,142 | ) | ||||
| (372,025 | ) | (51,087 | ) | ||||
| (315,974 | ) | (38,555 | ) | ||||
| (142,830 | ) | (16,503 | ) | ||||
| (77,403 | ) | (34,506 | ) | ||||
| (57,377 | ) | (21,224 | ) | ||||
| (149,473 | ) | (17,356 | ) | ||||
| (22,349,398 | ) | (2,951,373 | ) | ||||
| 28,065,814 | (35,988,590 | ) | |||||
| 547,527 | (919,812 | ) | |||||
| 603,843 | (579,986 | ) | |||||
| (512,454 | ) | (99,310 | ) | ||||
| 180,866 | (1,809,172 | ) | |||||
| 67,115 | (960,985 | ) | |||||
| 235,568 | 2,130 | ||||||
| 29,188,279 | (40,355,725 | ) | |||||
| (25,132,550 | ) | (15,120,975 | ) | ||||
| 165,130,012 | 180,250,987 | ||||||
| $ | 139,997,462 | $ | 165,130,012 | ||||
The accompanying notes are an integral part of the financial statements.
137
[THIS PAGE INTENTIONALLY LEFT BLANK]
MassMutual U.S. Government Money Market Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Class R5 |
|||||||||||||
3/31/22r |
$ 1.00 |
$ — |
$ 0.00d |
$ 0.00d |
$ — |
$ — |
$ — |
$ 1.00 |
0.00%b |
$ 214,210 |
0.53%a |
0.07%a |
0.00%a |
9/30/21 |
1.00 |
(0.00)d |
0.00d |
0.00d |
— |
— |
— |
1.00 |
0.00%e |
235,578 |
0.51% |
0.07% |
0.00%e |
9/30/20 |
1.00 |
0.01 |
0.00d |
0.01 |
(0.01) |
— |
(0.01) |
1.00 |
0.56% |
277,991 |
0.51% |
0.40% |
0.59% |
9/30/19 |
1.00 |
0.02 |
0.00d |
0.02 |
(0.02) |
(0.00)d |
(0.02) |
1.00 |
1.85% |
333,574 |
0.52% |
N/A |
1.83% |
9/30/18 |
1.00 |
0.01 |
0.00d |
0.01 |
(0.01) |
(0.00)d |
(0.01) |
1.00 |
1.08% |
339,551 |
0.50% |
N/A |
1.04% |
9/30/17 |
1.00 |
0.00d |
0.00d |
0.00d |
(0.00)d |
— |
(0.00)d |
1.00 |
0.23% |
352,317 |
0.52% |
0.51% |
0.22% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
d |
Amount is less than $0.005 per share. |
|
e |
Amount is less than 0.005%. |
|
j |
Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
139
MassMutual Short-Duration Bond Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Class I |
|||||||||||||
3/31/22r |
$ 10.10 |
$ 0.07j |
$ (0.65) |
$ (0.58) |
$ (0.28) |
$ — |
$ (0.28) |
$ 9.24 |
(5.83%)b |
$ 165,274 |
0.39%a |
0.39%a,k |
1.47%a |
9/30/21 |
10.09 |
0.24 |
0.22 |
0.46 |
(0.45) |
— |
(0.45) |
10.10 |
4.69% |
211,826 |
0.44% |
N/A |
2.41% |
9/30/20 |
10.31 |
0.34 |
(0.21) |
0.13 |
(0.35) |
— |
(0.35) |
10.09 |
1.26% |
189,805 |
0.42% |
N/A |
3.41% |
9/30/19 |
10.30 |
0.32 |
0.08 |
0.40 |
(0.39) |
— |
(0.39) |
10.31 |
4.05% |
204,282 |
0.43% |
N/A |
3.13% |
9/30/18 |
10.40 |
0.27 |
(0.10) |
0.17 |
(0.27) |
— |
(0.27) |
10.30 |
1.65% |
163,465 |
0.39% |
N/A |
2.64% |
9/30/17 |
10.39 |
0.23 |
0.03 |
0.26 |
(0.25) |
— |
(0.25) |
10.40 |
2.57% |
299,768 |
0.40% |
N/A |
2.20% |
Class R5 |
|||||||||||||
3/31/22r |
$ 10.13 |
$ 0.07 |
$ (0.65) |
$ (0.58) |
$ (0.27) |
$ — |
$ (0.27) |
$ 9.28 |
(5.85%)b |
$ 48,032 |
0.49%a |
N/A |
1.37%a |
9/30/21 |
10.12 |
0.24 |
0.21 |
0.45 |
(0.44) |
— |
(0.44) |
10.13 |
4.56% |
66,938 |
0.54% |
N/A |
2.34% |
9/30/20 |
10.34 |
0.33 |
(0.21) |
0.12 |
(0.34) |
— |
(0.34) |
10.12 |
1.15% |
110,813 |
0.52% |
N/A |
3.31% |
9/30/19 |
10.33 |
0.31 |
0.08 |
0.39 |
(0.38) |
— |
(0.38) |
10.34 |
3.92% |
158,895 |
0.53% |
N/A |
3.03% |
9/30/18 |
10.42 |
0.26 |
(0.09) |
0.17 |
(0.26) |
— |
(0.26) |
10.33 |
1.63% |
135,411 |
0.49% |
N/A |
2.55% |
9/30/17 |
10.42 |
0.22 |
0.02 |
0.24 |
(0.24) |
— |
(0.24) |
10.42 |
2.36% |
155,172 |
0.50% |
N/A |
2.09% |
Service Class |
|||||||||||||
3/31/22r |
$ 10.06 |
$ 0.06 |
$ (0.64) |
$ (0.58) |
$ (0.26) |
$ — |
$ (0.26) |
$ 9.22 |
(5.92%)b |
$ 2,371 |
0.62%a |
N/A |
1.26%a |
9/30/21 |
10.04 |
0.23 |
0.21 |
0.44 |
(0.42) |
— |
(0.42) |
10.06 |
4.51% |
16,282 |
0.64% |
N/A |
2.25% |
9/30/20 |
10.26 |
0.32 |
(0.22) |
0.10 |
(0.32) |
— |
(0.32) |
10.04 |
1.00% |
38,559 |
0.62% |
N/A |
3.19% |
9/30/19 |
10.25 |
0.30 |
0.08 |
0.38 |
(0.37) |
— |
(0.37) |
10.26 |
3.82% |
51,201 |
0.63% |
N/A |
2.92% |
9/30/18 |
10.35 |
0.25 |
(0.10) |
0.15 |
(0.25) |
— |
(0.25) |
10.25 |
1.50% |
72,408 |
0.59% |
N/A |
2.45% |
9/30/17 |
10.35 |
0.21 |
0.02 |
0.23 |
(0.23) |
— |
(0.23) |
10.35 |
2.24% |
75,544 |
0.60% |
N/A |
2.00% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
14% |
72% |
37% |
55% |
68% |
72% |
|
(a) |
Commenced Operations on December 13, 2021. |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
j |
Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund. |
|
k |
Amount waived had no impact on the ratio of expenses to average daily net assets. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
140
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Administrative Class |
|||||||||||||
3/31/22r |
$ 10.01 |
$ 0.06 |
$ (0.64) |
$ (0.58) |
$ (0.24) |
$ — |
$ (0.24) |
$ 9.19 |
(6.02%)b |
$ 12,044 |
0.69%a |
N/A |
1.17%a |
9/30/21 |
10.00 |
0.21 |
0.22 |
0.43 |
(0.42) |
— |
(0.42) |
10.01 |
4.40% |
16,920 |
0.74% |
N/A |
2.16% |
9/30/20 |
10.22 |
0.31 |
(0.21) |
0.10 |
(0.32) |
— |
(0.32) |
10.00 |
0.94% |
27,628 |
0.72% |
N/A |
3.12% |
9/30/19 |
10.21 |
0.29 |
0.08 |
0.37 |
(0.36) |
— |
(0.36) |
10.22 |
3.76% |
31,270 |
0.73% |
N/A |
2.83% |
9/30/18 |
10.31 |
0.24 |
(0.10) |
0.14 |
(0.24) |
— |
(0.24) |
10.21 |
1.35% |
34,342 |
0.69% |
N/A |
2.37% |
9/30/17 |
10.30 |
0.19 |
0.04 |
0.23 |
(0.22) |
— |
(0.22) |
10.31 |
2.24% |
28,771 |
0.70% |
N/A |
1.89% |
Class A |
|||||||||||||
3/31/22r |
$ 9.93 |
$ 0.04 |
$ (0.63) |
$ (0.59) |
$ (0.19) |
$ — |
$ (0.19) |
$ 9.15 |
(6.14%)b |
$ 8,508 |
0.94%a |
N/A |
0.91%a |
9/30/21 |
9.92 |
0.19 |
0.21 |
0.40 |
(0.39) |
— |
(0.39) |
9.93 |
4.15% |
36,186 |
0.99% |
N/A |
1.90% |
9/30/20 |
10.14 |
0.28 |
(0.21) |
0.07 |
(0.29) |
— |
(0.29) |
9.92 |
0.71% |
41,913 |
0.97% |
N/A |
2.87% |
9/30/19 |
10.14 |
0.26 |
0.08 |
0.34 |
(0.34) |
— |
(0.34) |
10.14 |
3.44% |
55,315 |
0.98% |
N/A |
2.58% |
9/30/18 |
10.24 |
0.21 |
(0.10) |
0.11 |
(0.21) |
— |
(0.21) |
10.14 |
1.10% |
53,188 |
0.94% |
N/A |
2.11% |
9/30/17 |
10.23 |
0.16 |
0.04 |
0.20 |
(0.19) |
— |
(0.19) |
10.24 |
2.00% |
50,893 |
0.95% |
N/A |
1.62% |
Class R4 |
|||||||||||||
3/31/22r |
$ 10.07 |
$ 0.05 |
$ (0.64) |
$ (0.59) |
$ (0.22) |
$ — |
$ (0.22) |
$ 9.26 |
(5.98%)b |
$ 7,919 |
0.84%a |
N/A |
1.02%a |
9/30/21 |
10.05 |
0.20 |
0.22 |
0.42 |
(0.40) |
— |
(0.40) |
10.07 |
4.30% |
11,743 |
0.89% |
N/A |
1.97% |
9/30/20 |
10.27 |
0.29 |
(0.21) |
0.08 |
(0.30) |
— |
(0.30) |
10.05 |
0.79% |
11,525 |
0.87% |
N/A |
2.96% |
9/30/19 |
10.26 |
0.27 |
0.08 |
0.35 |
(0.34) |
— |
(0.34) |
10.27 |
3.57% |
12,494 |
0.88% |
N/A |
2.67% |
9/30/18 |
10.36 |
0.23 |
(0.11) |
0.12 |
(0.22) |
— |
(0.22) |
10.26 |
1.21% |
13,691 |
0.84% |
N/A |
2.21% |
9/30/17 |
10.36 |
0.18 |
0.03 |
0.21 |
(0.21) |
— |
(0.21) |
10.36 |
2.05% |
13,693 |
0.85% |
N/A |
1.75% |
Class R3 |
|||||||||||||
3/31/22r |
$ 9.99 |
$ 0.04 |
$ (0.65) |
$ (0.61) |
$ (0.20) |
$ — |
$ (0.20) |
$ 9.18 |
(6.16%)b |
$ 11,441 |
1.09%a |
N/A |
0.78%a |
9/30/21 |
9.98 |
0.17 |
0.22 |
0.39 |
(0.38) |
— |
(0.38) |
9.99 |
4.04% |
11,652 |
1.14% |
N/A |
1.70% |
9/30/20 |
10.20 |
0.27 |
(0.22) |
0.05 |
(0.27) |
— |
(0.27) |
9.98 |
0.53% |
7,737 |
1.12% |
N/A |
2.72% |
9/30/19 |
10.20 |
0.24 |
0.09 |
0.33 |
(0.33) |
— |
(0.33) |
10.20 |
3.29% |
7,040 |
1.13% |
N/A |
2.43% |
9/30/18 |
10.30 |
0.20 |
(0.10) |
0.10 |
(0.20) |
— |
(0.20) |
10.20 |
0.97% |
7,980 |
1.09% |
N/A |
1.97% |
9/30/17 |
10.31 |
0.15 |
0.03 |
0.18 |
(0.19) |
— |
(0.19) |
10.30 |
1.79% |
6,689 |
1.10% |
N/A |
1.50% |
Class Y |
|||||||||||||
3/31/22(a),r |
$ 9.86 |
$ 0.00d,j |
$ (0.52) |
$ (0.52) |
$ (0.09) |
$ — |
$ (0.09) |
$ 9.25 |
(5.32%)b |
$ 652,934 |
0.46%a |
0.40%a |
1.39%a |
Class L |
|||||||||||||
3/31/22(a),r |
$ 9.90 |
$ 0.00d,j |
$ (0.55) |
$ (0.55) |
$ (0.14) |
$ — |
$ (0.14) |
$ 9.21 |
(4.87%)b |
$ 99,528 |
0.66%a |
0.65%a |
1.20%a |
Class C |
|||||||||||||
3/31/22(a),r |
$ 9.82 |
$ 0.00d,j |
$ (0.46) |
$ (0.46) |
$ (0.07) |
$ — |
$ (0.07) |
$ 9.29 |
(5.44%)b |
$ 1,280 |
0.91%a |
0.89%a |
0.97%a |
The accompanying notes are an integral part of the financial statements.
141
MassMutual Inflation-Protected and Income Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Ratio of |
Net |
|
Class I |
||||||||||||||
3/31/22r |
$ 11.46 |
$ 0.09 |
$ (0.22) |
$ (0.13) |
$ (0.20) |
$ (0.61) |
$ (0.81) |
$ 10.52 |
(1.30%)b |
$ 202,993 |
0.46% |
0.46%a,n |
0.46%a,n |
1.64%a |
9/30/21 |
11.40 |
0.19 |
0.48 |
0.67 |
(0.12) |
(0.49) |
(0.61) |
11.46 |
6.12% |
187,579 |
0.47% |
0.47%n |
0.47%n |
1.73% |
9/30/20 |
10.59 |
0.20 |
0.83 |
1.03 |
(0.22) |
— |
(0.22) |
11.40 |
9.93% |
176,809 |
0.47% |
0.47%n |
0.47%n |
1.86% |
9/30/19 |
10.24 |
0.25 |
0.42 |
0.67 |
(0.32) |
— |
(0.32) |
10.59 |
6.80% |
154,260 |
0.50% |
0.49% |
0.46% |
2.40% |
9/30/18 |
10.46 |
0.34 |
(0.26) |
0.08 |
(0.30) |
— |
(0.30) |
10.24 |
0.74% |
133,153 |
1.74% |
1.71% |
0.45% |
3.33% |
9/30/17 |
10.79 |
0.23 |
(0.27) |
(0.04) |
(0.29) |
— |
(0.29) |
10.46 |
(0.32%) |
98,194 |
1.26% |
1.23% |
0.45% |
2.24% |
Class R5 |
||||||||||||||
3/31/22r |
$ 11.47 |
$ 0.08 |
$ (0.22) |
$ (0.14) |
$ (0.19) |
$ (0.61) |
$ (0.80) |
$ 10.53 |
(1.39%)b |
$ 84,109 |
0.56% |
0.56%a,n |
0.56%a,n |
1.52%a |
9/30/21 |
11.41 |
0.18 |
0.48 |
0.66 |
(0.11) |
(0.49) |
(0.60) |
11.47 |
6.01% |
93,318 |
0.57% |
0.57%n |
0.57%n |
1.63% |
9/30/20 |
10.59 |
0.19 |
0.84 |
1.03 |
(0.21) |
— |
(0.21) |
11.41 |
9.92% |
86,369 |
0.57% |
0.57%n |
0.57%n |
1.75% |
9/30/19 |
10.24 |
0.24 |
0.42 |
0.66 |
(0.31) |
— |
(0.31) |
10.59 |
6.68% |
73,365 |
0.60% |
0.59% |
0.56% |
2.30% |
9/30/18 |
10.46 |
0.34 |
(0.27) |
0.07 |
(0.29) |
— |
(0.29) |
10.24 |
0.63% |
60,121 |
1.84% |
1.81% |
0.55% |
3.29% |
9/30/17 |
10.80 |
0.22 |
(0.28) |
(0.06) |
(0.28) |
— |
(0.28) |
10.46 |
(0.51%) |
60,155 |
1.36% |
1.33% |
0.55% |
2.07% |
Service Class |
||||||||||||||
3/31/22r |
$ 11.42 |
$ 0.08 |
$ (0.21) |
$ (0.13) |
$ (0.18) |
$ (0.61) |
$ (0.79) |
$ 10.50 |
(1.33%)b |
$ 36,619 |
0.66% |
0.66%a,n |
0.66%a,n |
1.38%a |
9/30/21 |
11.37 |
0.17 |
0.47 |
0.64 |
(0.10) |
(0.49) |
(0.59) |
11.42 |
5.84% |
55,836 |
0.67% |
0.67%n |
0.67%n |
1.53% |
9/30/20 |
10.55 |
0.18 |
0.84 |
1.02 |
(0.20) |
— |
(0.20) |
11.37 |
9.82% |
54,729 |
0.67% |
0.67%n |
0.67%n |
1.66% |
9/30/19 |
10.20 |
0.22 |
0.43 |
0.65 |
(0.30) |
— |
(0.30) |
10.55 |
6.60% |
50,873 |
0.71% |
0.70% |
0.67% |
2.17% |
9/30/18 |
10.42 |
0.32 |
(0.27) |
0.05 |
(0.27) |
— |
(0.27) |
10.20 |
0.51% |
50,449 |
1.94% |
1.91% |
0.65% |
3.16% |
9/30/17 |
10.76 |
0.21 |
(0.29) |
(0.08) |
(0.26) |
— |
(0.26) |
10.42 |
(0.63%) |
57,719 |
1.46% |
1.43% |
0.65% |
2.00% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
36% |
100% |
110% |
42% |
62% |
25% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
d |
Amount is less than $0.005 per share. |
|
j |
Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
n |
Expenses incurred during the period fell under the expense cap. |
|
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. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
142
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Ratio of |
Net |
|
Administrative Class |
||||||||||||||
3/31/22r |
$ 11.55 |
$ 0.07 |
$ (0.22) |
$ (0.15) |
$ (0.16) |
$ (0.61) |
$ (0.77) |
$ 10.63 |
(1.47%)b |
$ 11,146 |
0.76% |
0.76%a,n |
0.76%a,n |
1.30%a |
9/30/21 |
11.49 |
0.16 |
0.48 |
0.64 |
(0.09) |
(0.49) |
(0.58) |
11.55 |
5.74% |
14,073 |
0.77% |
0.77%n |
0.77%n |
1.42% |
9/30/20 |
10.66 |
0.17 |
0.85 |
1.02 |
(0.19) |
— |
(0.19) |
11.49 |
9.70% |
15,288 |
0.77% |
0.77%n |
0.77%n |
1.56% |
9/30/19 |
10.30 |
0.21 |
0.44 |
0.65 |
(0.29) |
— |
(0.29) |
10.66 |
6.53% |
16,168 |
0.80% |
0.79% |
0.76% |
2.03% |
9/30/18 |
10.53 |
0.31 |
(0.28) |
0.03 |
(0.26) |
— |
(0.26) |
10.30 |
0.31% |
14,744 |
2.04% |
2.01% |
0.75% |
3.02% |
9/30/17 |
10.86 |
0.20 |
(0.27) |
(0.07) |
(0.26) |
— |
(0.26) |
10.53 |
(0.58%) |
14,519 |
1.56% |
1.53% |
0.75% |
1.94% |
Class A |
||||||||||||||
3/31/22r |
$ 11.23 |
$ 0.06 |
$ (0.22) |
$ (0.16) |
$ (0.11) |
$ (0.61) |
$ (0.72) |
$ 10.35 |
(1.59%)b |
$ 11,187 |
1.01% |
1.01%a,n |
1.01%a,n |
1.06%a |
9/30/21 |
11.19 |
0.12 |
0.48 |
0.60 |
(0.07) |
(0.49) |
(0.56) |
11.23 |
5.54% |
13,244 |
1.02% |
1.02%n |
1.02%n |
1.12% |
9/30/20 |
10.39 |
0.14 |
0.82 |
0.96 |
(0.16) |
— |
(0.16) |
11.19 |
9.42% |
22,018 |
1.02% |
1.02%n |
1.02%n |
1.30% |
9/30/19 |
10.05 |
0.18 |
0.42 |
0.60 |
(0.26) |
— |
(0.26) |
10.39 |
6.16% |
16,136 |
1.06% |
1.05% |
1.02% |
1.78% |
9/30/18 |
10.27 |
0.28 |
(0.26) |
0.02 |
(0.24) |
— |
(0.24) |
10.05 |
0.16% |
20,582 |
2.29% |
2.26% |
1.00% |
2.80% |
9/30/17 |
10.60 |
0.17 |
(0.27) |
(0.10) |
(0.23) |
— |
(0.23) |
10.27 |
(0.92%) |
22,180 |
1.81% |
1.78% |
1.00% |
1.67% |
Class R4 |
||||||||||||||
3/31/22r |
$ 11.16 |
$ 0.06 |
$ (0.21) |
$ (0.15) |
$ (0.15) |
$ (0.61) |
$ (0.76) |
$ 10.25 |
(1.50%)b |
$ 4,599 |
0.91% |
0.91%a,n |
0.91%a,n |
1.18%a |
9/30/21 |
11.12 |
0.14 |
0.47 |
0.61 |
(0.08) |
(0.49) |
(0.57) |
11.16 |
5.65% |
5,234 |
0.92% |
0.92%n |
0.92%n |
1.31% |
9/30/20 |
10.33 |
0.15 |
0.82 |
0.97 |
(0.18) |
— |
(0.18) |
11.12 |
9.51% |
4,358 |
0.92% |
0.92%n |
0.92%n |
1.40% |
9/30/19 |
10.00 |
0.19 |
0.42 |
0.61 |
(0.28) |
— |
(0.28) |
10.33 |
6.27% |
6,949 |
0.96% |
0.95% |
0.92% |
1.95% |
9/30/18 |
10.22 |
0.29 |
(0.26) |
0.03 |
(0.25) |
— |
(0.25) |
10.00 |
0.31% |
6,840 |
2.19% |
2.16% |
0.90% |
2.87% |
9/30/17 |
10.57 |
0.18 |
(0.28) |
(0.10) |
(0.25) |
— |
(0.25) |
10.22 |
(0.84%) |
6,231 |
1.71% |
1.68% |
0.90% |
1.78% |
Class R3 |
||||||||||||||
3/31/22r |
$ 11.17 |
$ 0.05 |
$ (0.22) |
$ (0.17) |
$ (0.12) |
$ (0.61) |
$ (0.73) |
$ 10.27 |
(1.69%)b |
$ 2,883 |
1.16% |
1.16%a,n |
1.16%a,n |
0.93%a |
9/30/21 |
11.12 |
0.11 |
0.47 |
0.58 |
(0.04) |
(0.49) |
(0.53) |
11.17 |
5.40% |
2,940 |
1.17% |
1.17%n |
1.17%n |
1.02% |
9/30/20 |
10.33 |
0.12 |
0.82 |
0.94 |
(0.15) |
— |
(0.15) |
11.12 |
9.20% |
3,256 |
1.17% |
1.17%n |
1.17%n |
1.16% |
9/30/19 |
9.99 |
0.17 |
0.41 |
0.58 |
(0.24) |
— |
(0.24) |
10.33 |
6.03% |
4,297 |
1.21% |
1.20% |
1.17% |
1.68% |
9/30/18 |
10.22 |
0.27 |
(0.27) |
0.00d |
(0.23) |
— |
(0.23) |
9.99 |
0.03% |
4,569 |
2.44% |
2.41% |
1.15% |
2.69% |
9/30/17 |
10.57 |
0.16 |
(0.27) |
(0.11) |
(0.24) |
— |
(0.24) |
10.22 |
(1.00%) |
4,686 |
1.97% |
1.94% |
1.16% |
1.54% |
The accompanying notes are an integral part of the financial statements.
143
MassMutual Core Bond Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Class I |
||||||||||||
3/31/22r |
$ 11.33 |
$ 0.12 |
$ (0.81) |
$ (0.69) |
$ (0.26) |
$ (0.17) |
$ (0.43) |
$ 10.21 |
(6.28%)b |
$ 645,520 |
0.42%a |
2.21%a |
9/30/21 |
11.64 |
0.27 |
0.11 |
0.38 |
(0.43) |
(0.26) |
(0.69) |
11.33 |
3.31% |
679,036 |
0.42% |
2.39% |
9/30/20 |
11.33 |
0.37 |
0.32 |
0.69 |
(0.38) |
— |
(0.38) |
11.64 |
6.28% |
786,360 |
0.42% |
3.27% |
9/30/19 |
10.66 |
0.37 |
0.66 |
1.03 |
(0.36) |
— |
(0.36) |
11.33 |
9.98% |
847,736 |
0.43% |
3.42% |
9/30/18 |
11.04 |
0.34 |
(0.39) |
(0.05) |
(0.33) |
— |
(0.33) |
10.66 |
(0.46%) |
695,501 |
0.42% |
3.19% |
9/30/17 |
11.26 |
0.29 |
(0.15) |
0.14 |
(0.36) |
— |
(0.36) |
11.04 |
1.41% |
546,975 |
0.42% |
2.70% |
Class R5 |
||||||||||||
3/31/22r |
$ 11.37 |
$ 0.11 |
$ (0.80) |
$ (0.69) |
$ (0.25) |
$ (0.17) |
$ (0.42) |
$ 10.26 |
(6.28%)b |
$ 184,608 |
0.52%a |
2.09%a |
9/30/21 |
11.68 |
0.26 |
0.11 |
0.37 |
(0.42) |
(0.26) |
(0.68) |
11.37 |
3.19% |
306,648 |
0.52% |
2.29% |
9/30/20 |
11.37 |
0.36 |
0.32 |
0.68 |
(0.37) |
— |
(0.37) |
11.68 |
6.16% |
316,359 |
0.52% |
3.17% |
9/30/19 |
10.69 |
0.36 |
0.67 |
1.03 |
(0.35) |
— |
(0.35) |
11.37 |
9.92% |
317,805 |
0.53% |
3.32% |
9/30/18 |
11.07 |
0.33 |
(0.39) |
(0.06) |
(0.32) |
— |
(0.32) |
10.69 |
(0.57%) |
294,370 |
0.52% |
3.07% |
9/30/17 |
11.29 |
0.28 |
(0.15) |
0.13 |
(0.35) |
— |
(0.35) |
11.07 |
1.30% |
358,319 |
0.52% |
2.58% |
Service Class |
||||||||||||
3/31/22r |
$ 11.30 |
$ 0.11 |
$ (0.80) |
$ (0.69) |
$ (0.24) |
$ (0.17) |
$ (0.41) |
$ 10.20 |
(6.35%)b |
$ 42,220 |
0.62%a |
2.00%a |
9/30/21 |
11.60 |
0.25 |
0.10 |
0.35 |
(0.39) |
(0.26) |
(0.65) |
11.30 |
3.11% |
58,047 |
0.62% |
2.19% |
9/30/20 |
11.29 |
0.35 |
0.31 |
0.66 |
(0.35) |
— |
(0.35) |
11.60 |
6.06% |
83,876 |
0.62% |
3.08% |
9/30/19 |
10.63 |
0.35 |
0.64 |
0.99 |
(0.33) |
— |
(0.33) |
11.29 |
9.67% |
86,988 |
0.63% |
3.22% |
9/30/18 |
11.01 |
0.32 |
(0.39) |
(0.07) |
(0.31) |
— |
(0.31) |
10.63 |
(0.66%) |
101,502 |
0.62% |
2.98% |
9/30/17 |
11.22 |
0.27 |
(0.15) |
0.12 |
(0.33) |
— |
(0.33) |
11.01 |
1.24% |
100,903 |
0.62% |
2.51% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
132% |
256% |
231% |
261% |
140% |
213% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
144
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Administrative Class |
||||||||||||
3/31/22r |
$ 11.19 |
$ 0.10 |
$ (0.79) |
$ (0.69) |
$ (0.22) |
$ (0.17) |
$ (0.39) |
$ 10.11 |
(6.38%)b |
$ 44,497 |
0.72%a |
1.91%a |
9/30/21 |
11.51 |
0.24 |
0.10 |
0.34 |
(0.40) |
(0.26) |
(0.66) |
11.19 |
2.97% |
55,178 |
0.72% |
2.11% |
9/30/20 |
11.21 |
0.33 |
0.32 |
0.65 |
(0.35) |
— |
(0.35) |
11.51 |
5.94% |
76,597 |
0.72% |
2.97% |
9/30/19 |
10.55 |
0.33 |
0.66 |
0.99 |
(0.33) |
— |
(0.33) |
11.21 |
9.65% |
67,239 |
0.73% |
3.13% |
9/30/18 |
10.92 |
0.31 |
(0.38) |
(0.07) |
(0.30) |
— |
(0.30) |
10.55 |
(0.70%) |
69,478 |
0.72% |
2.88% |
9/30/17 |
11.14 |
0.26 |
(0.15) |
0.11 |
(0.33) |
— |
(0.33) |
10.92 |
1.11% |
71,425 |
0.72% |
2.38% |
Class A |
||||||||||||
3/31/22r |
$ 11.09 |
$ 0.09 |
$ (0.78) |
$ (0.69) |
$ (0.20) |
$ (0.17) |
$ (0.37) |
$ 10.03 |
(6.46%)b |
$ 33,732 |
0.97%a |
1.64%a |
9/30/21 |
11.40 |
0.21 |
0.09 |
0.30 |
(0.35) |
(0.26) |
(0.61) |
11.09 |
2.70% |
57,351 |
0.97% |
1.83% |
9/30/20 |
11.10 |
0.30 |
0.32 |
0.62 |
(0.32) |
— |
(0.32) |
11.40 |
5.70% |
58,572 |
0.97% |
2.72% |
9/30/19 |
10.45 |
0.30 |
0.65 |
0.95 |
(0.30) |
— |
(0.30) |
11.10 |
9.32% |
97,070 |
0.98% |
2.87% |
9/30/18 |
10.82 |
0.28 |
(0.38) |
(0.10) |
(0.27) |
— |
(0.27) |
10.45 |
(1.00%) |
106,562 |
0.97% |
2.63% |
9/30/17 |
11.03 |
0.23 |
(0.15) |
0.08 |
(0.29) |
— |
(0.29) |
10.82 |
0.87% |
114,317 |
0.97% |
2.13% |
Class R4 |
||||||||||||
3/31/22r |
$ 11.01 |
$ 0.09 |
$ (0.77) |
$ (0.68) |
$ (0.20) |
$ (0.17) |
$ (0.37) |
$ 9.96 |
(6.39%)b |
$ 5,473 |
0.87%a |
1.75%a |
9/30/21 |
11.33 |
0.21 |
0.10 |
0.31 |
(0.37) |
(0.26) |
(0.63) |
11.01 |
2.82% |
8,557 |
0.87% |
1.95% |
9/30/20 |
11.04 |
0.31 |
0.31 |
0.62 |
(0.33) |
— |
(0.33) |
11.33 |
5.80% |
10,444 |
0.87% |
2.80% |
9/30/19 |
10.39 |
0.31 |
0.64 |
0.95 |
(0.30) |
— |
(0.30) |
11.04 |
9.47% |
14,011 |
0.88% |
2.98% |
9/30/18 |
10.78 |
0.29 |
(0.39) |
(0.10) |
(0.29) |
— |
(0.29) |
10.39 |
(0.97%) |
10,624 |
0.87% |
2.72% |
9/30/17 |
11.00 |
0.24 |
(0.14) |
0.10 |
(0.32) |
— |
(0.32) |
10.78 |
1.03% |
14,811 |
0.87% |
2.23% |
Class R3 |
||||||||||||
3/31/22r |
$ 11.34 |
$ 0.08 |
$ (0.81) |
$ (0.73) |
$ (0.10) |
$ (0.17) |
$ (0.27) |
$ 10.34 |
(6.57%)b |
$ 279 |
1.12%a |
1.51%a |
9/30/21 |
11.63 |
0.19 |
0.10 |
0.29 |
(0.32) |
(0.26) |
(0.58) |
11.34 |
2.54% |
352 |
1.12% |
1.70% |
9/30/20 |
11.34 |
0.29 |
0.32 |
0.61 |
(0.32) |
— |
(0.32) |
11.63 |
5.54% |
867 |
1.12% |
2.57% |
9/30/19 |
10.67 |
0.29 |
0.67 |
0.96 |
(0.29) |
— |
(0.29) |
11.34 |
9.24% |
1,225 |
1.13% |
2.72% |
9/30/18 |
11.02 |
0.27 |
(0.39) |
(0.12) |
(0.23) |
— |
(0.23) |
10.67 |
(1.13%) |
803 |
1.12% |
2.49% |
9/30/17 |
11.25 |
0.22 |
(0.16) |
0.06 |
(0.29) |
— |
(0.29) |
11.02 |
0.64% |
828 |
1.12% |
1.99% |
The accompanying notes are an integral part of the financial statements.
145
MassMutual Diversified Bond Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Class I |
|||||||||||||
3/31/22r |
$ 11.33 |
$ 0.15 |
$ (0.86) |
$ (0.71) |
$ (0.30) |
$ (0.14) |
$ (0.44) |
$ 10.18 |
(6.53%)b |
$ 102,704 |
0.52%a |
N/A |
2.68%a |
9/30/21 |
11.51 |
0.32 |
0.33 |
0.65 |
(0.46) |
(0.37) |
(0.83) |
11.33 |
5.89% |
111,411 |
0.52% |
N/A |
2.85% |
9/30/20 |
11.28 |
0.39 |
0.20 |
0.59 |
(0.36) |
(0.00)d |
(0.36) |
11.51 |
5.43% |
97,183 |
0.51% |
N/A |
3.54% |
9/30/19 |
10.59 |
0.38 |
0.64 |
1.02 |
(0.33) |
— |
(0.33) |
11.28 |
9.98% |
60,965 |
0.55% |
0.55%n |
3.54% |
9/30/18 |
10.97 |
0.35 |
(0.41) |
(0.06) |
(0.32) |
— |
(0.32) |
10.59 |
(0.55%) |
21,746 |
0.50% |
0.50%n |
3.33% |
9/30/17 |
11.01 |
0.31 |
(0.09) |
0.22 |
(0.26) |
— |
(0.26) |
10.97 |
2.16% |
27,548 |
0.51% |
0.51%n |
2.87% |
Class R5 |
|||||||||||||
3/31/22r |
$ 10.35 |
$ 0.13 |
$ (0.78) |
$ (0.65) |
$ (0.29) |
$ (0.14) |
$ (0.43) |
$ 9.27 |
(6.56%)b |
$ 67,713 |
0.62%a |
N/A |
2.59%a |
9/30/21 |
10.58 |
0.28 |
0.31 |
0.59 |
(0.45) |
(0.37) |
(0.82) |
10.35 |
5.79% |
80,079 |
0.62% |
N/A |
2.75% |
9/30/20 |
10.40 |
0.35 |
0.18 |
0.53 |
(0.35) |
(0.00)d |
(0.35) |
10.58 |
5.30% |
78,289 |
0.61% |
N/A |
3.46% |
9/30/19 |
9.78 |
0.34 |
0.60 |
0.94 |
(0.32) |
— |
(0.32) |
10.40 |
9.99% |
109,659 |
0.65% |
0.65%n |
3.46% |
9/30/18 |
10.16 |
0.32 |
(0.39) |
(0.07) |
(0.31) |
— |
(0.31) |
9.78 |
(0.69%) |
98,402 |
0.60% |
0.60%n |
3.24% |
9/30/17 |
10.22 |
0.28 |
(0.09) |
0.19 |
(0.25) |
— |
(0.25) |
10.16 |
2.02% |
88,740 |
0.61% |
0.61%n |
2.76% |
Service Class |
|||||||||||||
3/31/22r |
$ 10.51 |
$ 0.13 |
$ (0.80) |
$ (0.67) |
$ (0.27) |
$ (0.14) |
$ (0.41) |
$ 9.43 |
(6.62%)b |
$ 6,245 |
0.72%a |
N/A |
2.47%a |
9/30/21 |
10.73 |
0.28 |
0.31 |
0.59 |
(0.44) |
(0.37) |
(0.81) |
10.51 |
5.71% |
11,853 |
0.72% |
N/A |
2.66% |
9/30/20 |
10.54 |
0.35 |
0.18 |
0.53 |
(0.34) |
(0.00)d |
(0.34) |
10.73 |
5.20% |
12,067 |
0.71% |
N/A |
3.36% |
9/30/19 |
9.91 |
0.33 |
0.61 |
0.94 |
(0.31) |
— |
(0.31) |
10.54 |
9.80% |
12,976 |
0.75% |
0.75%n |
3.35% |
9/30/18 |
10.28 |
0.31 |
(0.38) |
(0.07) |
(0.30) |
— |
(0.30) |
9.91 |
(0.69%) |
18,946 |
0.70% |
0.70%n |
3.14% |
9/30/17 |
10.34 |
0.27 |
(0.09) |
0.18 |
(0.24) |
— |
(0.24) |
10.28 |
1.89% |
16,047 |
0.71% |
0.71%n |
2.65% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
119% |
192% |
186% |
236% |
142% |
207% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
d |
Amount is less than $0.005 per share. |
|
j |
Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
n |
Expenses incurred during the period fell under the expense cap. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
146
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Administrative Class |
|||||||||||||
3/31/22r |
$ 10.49 |
$ 0.12 |
$ (0.79) |
$ (0.67) |
$ (0.26) |
$ (0.14) |
$ (0.40) |
$ 9.42 |
(6.61%)b |
$ 10,907 |
0.82%a |
N/A |
2.39%a |
9/30/21 |
10.71 |
0.27 |
0.30 |
0.57 |
(0.42) |
(0.37) |
(0.79) |
10.49 |
5.52% |
12,621 |
0.82% |
N/A |
2.57% |
9/30/20 |
10.52 |
0.34 |
0.18 |
0.52 |
(0.33) |
(0.00)d |
(0.33) |
10.71 |
5.10% |
17,108 |
0.81% |
N/A |
3.25% |
9/30/19 |
9.88 |
0.32 |
0.62 |
0.94 |
(0.30) |
— |
(0.30) |
10.52 |
9.79% |
21,870 |
0.85% |
0.85%n |
3.25% |
9/30/18 |
10.25 |
0.30 |
(0.38) |
(0.08) |
(0.29) |
— |
(0.29) |
9.88 |
(0.83%) |
27,039 |
0.80% |
0.80%n |
3.03% |
9/30/17 |
10.31 |
0.26 |
(0.09) |
0.17 |
(0.23) |
— |
(0.23) |
10.25 |
1.78% |
26,601 |
0.81% |
0.81%n |
2.54% |
Class A |
|||||||||||||
3/31/22r |
$ 10.49 |
$ 0.11 |
$ (0.79) |
$ (0.68) |
$ (0.23) |
$ (0.14) |
$ (0.37) |
$ 9.44 |
(6.75%)b |
$ 8,018 |
1.07%a |
N/A |
2.14%a |
9/30/21 |
10.69 |
0.24 |
0.30 |
0.54 |
(0.37) |
(0.37) |
(0.74) |
10.49 |
5.23% |
9,381 |
1.07% |
N/A |
2.33% |
9/30/20 |
10.48 |
0.31 |
0.20 |
0.51 |
(0.30) |
(0.00)d |
(0.30) |
10.69 |
4.96% |
14,756 |
1.06% |
N/A |
2.99% |
9/30/19 |
9.85 |
0.30 |
0.60 |
0.90 |
(0.27) |
— |
(0.27) |
10.48 |
9.45% |
28,973 |
1.10% |
1.10%n |
3.01% |
9/30/18 |
10.23 |
0.28 |
(0.40) |
(0.12) |
(0.26) |
— |
(0.26) |
9.85 |
(1.17%) |
32,456 |
1.05% |
1.05%n |
2.78% |
9/30/17 |
10.28 |
0.23 |
(0.07) |
0.16 |
(0.21) |
— |
(0.21) |
10.23 |
1.63% |
34,137 |
1.06% |
1.06%n |
2.30% |
Class R4 |
|||||||||||||
3/31/22r |
$ 10.33 |
$ 0.11 |
$ (0.78) |
$ (0.67) |
$ (0.24) |
$ (0.14) |
$ (0.38) |
$ 9.28 |
(6.70%)b |
$ 4,472 |
0.97%a |
N/A |
2.23%a |
9/30/21 |
10.57 |
0.25 |
0.29 |
0.54 |
(0.41) |
(0.37) |
(0.78) |
10.33 |
5.35% |
5,253 |
0.97% |
N/A |
2.42% |
9/30/20 |
10.38 |
0.32 |
0.19 |
0.51 |
(0.32) |
(0.00)d |
(0.32) |
10.57 |
5.05% |
6,233 |
0.96% |
N/A |
3.10% |
9/30/19 |
9.78 |
0.31 |
0.59 |
0.90 |
(0.30) |
— |
(0.30) |
10.38 |
9.49% |
6,925 |
1.00% |
1.00%n |
3.12% |
9/30/18 |
10.16 |
0.28 |
(0.38) |
(0.10) |
(0.28) |
— |
(0.28) |
9.78 |
(1.01%) |
4,730 |
0.95% |
0.95%n |
2.87% |
9/30/17 |
10.22 |
0.24 |
(0.07) |
0.17 |
(0.23) |
— |
(0.23) |
10.16 |
1.77% |
5,032 |
0.96% |
0.96%n |
2.41% |
Class R3 |
|||||||||||||
3/31/22r |
$ 10.30 |
$ 0.10 |
$ (0.78) |
$ (0.68) |
$ (0.10) |
$ (0.14) |
$ (0.24) |
$ 9.38 |
(6.71%)b |
$ 1,426 |
1.22%a |
N/A |
1.91%a |
9/30/21 |
10.53 |
0.22 |
0.30 |
0.52 |
(0.38) |
(0.37) |
(0.75) |
10.30 |
5.14% |
3,255 |
1.22% |
N/A |
2.16% |
9/30/20 |
10.34 |
0.29 |
0.17 |
0.46 |
(0.27) |
(0.00)d |
(0.27) |
10.53 |
4.61% |
3,881 |
1.21% |
N/A |
2.85% |
9/30/19 |
9.72 |
0.28 |
0.60 |
0.88 |
(0.26) |
— |
(0.26) |
10.34 |
9.35% |
3,553 |
1.25% |
1.25%n |
2.85% |
9/30/18 |
10.10 |
0.26 |
(0.38) |
(0.12) |
(0.26) |
— |
(0.26) |
9.72 |
(1.24%) |
4,530 |
1.20% |
1.20%n |
2.64% |
9/30/17 |
10.19 |
0.22 |
(0.09) |
0.13 |
(0.22) |
— |
(0.22) |
10.10 |
1.41% |
3,869 |
1.21% |
1.21%n |
2.18% |
The accompanying notes are an integral part of the financial statements.
147
MassMutual High Yield Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Class I |
|||||||||||||
3/31/22r |
$ 9.34 |
$ 0.24 |
$ (0.47) |
$ (0.23) |
$ (0.65) |
$ — |
$ (0.65) |
$ 8.46 |
(2.58%)b |
$ 297,317 |
0.55%a |
N/A |
5.35%a |
9/30/21 |
8.63 |
0.49 |
0.70 |
1.19 |
(0.48) |
— |
(0.48) |
9.34 |
14.20% |
351,942 |
0.54% |
N/A |
5.50% |
9/30/20 |
9.21 |
0.50 |
(0.52) |
(0.02) |
(0.56) |
— |
(0.56) |
8.63 |
(0.28%) |
375,807 |
0.53% |
N/A |
5.79% |
9/30/19 |
9.27 |
0.56 |
(0.10) |
0.46 |
(0.52) |
— |
(0.52) |
9.21 |
5.45% |
326,836 |
0.54% |
0.54%n |
6.31% |
9/30/18 |
9.62 |
0.58 |
(0.33) |
0.25 |
(0.60) |
— |
(0.60) |
9.27 |
2.78% |
382,927 |
0.54% |
0.54%n |
6.32% |
9/30/17 |
9.29 |
0.62 |
0.28 |
0.90 |
(0.57) |
— |
(0.57) |
9.62 |
10.22% |
242,645 |
0.54% |
0.54%n |
6.63% |
Class R5 |
|||||||||||||
3/31/22r |
$ 9.40 |
$ 0.23 |
$ (0.47) |
$ (0.24) |
$ (0.64) |
$ — |
$ (0.64) |
$ 8.52 |
(2.67%)b |
$ 39,165 |
0.65%a |
N/A |
5.24%a |
9/30/21 |
8.68 |
0.49 |
0.70 |
1.19 |
(0.47) |
— |
(0.47) |
9.40 |
14.13% |
46,518 |
0.64% |
N/A |
5.39% |
9/30/20 |
9.25 |
0.49 |
(0.51) |
(0.02) |
(0.55) |
— |
(0.55) |
8.68 |
(0.28%) |
49,116 |
0.63% |
N/A |
5.69% |
9/30/19 |
9.31 |
0.56 |
(0.11) |
0.45 |
(0.51) |
— |
(0.51) |
9.25 |
5.29% |
41,369 |
0.64% |
0.64%n |
6.23% |
9/30/18 |
9.66 |
0.57 |
(0.33) |
0.24 |
(0.59) |
— |
(0.59) |
9.31 |
2.65% |
43,613 |
0.64% |
0.64%n |
6.20% |
9/30/17 |
9.33 |
0.61 |
0.28 |
0.89 |
(0.56) |
— |
(0.56) |
9.66 |
10.08% |
55,628 |
0.64% |
0.64%n |
6.54% |
Service Class |
|||||||||||||
3/31/22r |
$ 9.39 |
$ 0.23 |
$ (0.46) |
$ (0.23) |
$ (0.63) |
$ — |
$ (0.63) |
$ 8.53 |
(2.59%)b |
$ 26,612 |
0.75%a |
N/A |
5.15%a |
9/30/21 |
8.67 |
0.48 |
0.70 |
1.18 |
(0.46) |
— |
(0.46) |
9.39 |
14.00% |
29,097 |
0.74% |
N/A |
5.31% |
9/30/20 |
9.25 |
0.48 |
(0.52) |
(0.04) |
(0.54) |
— |
(0.54) |
8.67 |
(0.48%) |
33,897 |
0.73% |
N/A |
5.58% |
9/30/19 |
9.31 |
0.55 |
(0.11) |
0.44 |
(0.50) |
— |
(0.50) |
9.25 |
5.20% |
49,174 |
0.74% |
0.74%n |
6.13% |
9/30/18 |
9.66 |
0.56 |
(0.33) |
0.23 |
(0.58) |
— |
(0.58) |
9.31 |
2.55% |
45,296 |
0.74% |
0.74%n |
6.11% |
9/30/17 |
9.33 |
0.60 |
0.28 |
0.88 |
(0.55) |
— |
(0.55) |
9.66 |
9.93% |
49,581 |
0.74% |
0.74%n |
6.45% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
26% |
68% |
79% |
54% |
38% |
70% |
|
(a) |
Commenced Operations on December 13, 2021. |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
j |
Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
n |
Expenses incurred during the period fell under the expense cap. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
148
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Administrative Class |
|||||||||||||
3/31/22r |
$ 9.22 |
$ 0.22 |
$ (0.45) |
$ (0.23) |
$ (0.62) |
$ — |
$ (0.62) |
$ 8.37 |
(2.69%)b |
$ 16,346 |
0.85%a |
N/A |
5.03%a |
9/30/21 |
8.53 |
0.46 |
0.68 |
1.14 |
(0.45) |
— |
(0.45) |
9.22 |
13.79% |
23,211 |
0.84% |
N/A |
5.20% |
9/30/20 |
9.10 |
0.47 |
(0.51) |
(0.04) |
(0.53) |
— |
(0.53) |
8.53 |
(0.55%) |
23,549 |
0.83% |
N/A |
5.49% |
9/30/19 |
9.16 |
0.53 |
(0.10) |
0.43 |
(0.49) |
— |
(0.49) |
9.10 |
5.13% |
25,980 |
0.84% |
0.84%n |
6.03% |
9/30/18 |
9.51 |
0.55 |
(0.33) |
0.22 |
(0.57) |
— |
(0.57) |
9.16 |
2.49% |
31,250 |
0.84% |
0.84%n |
6.01% |
9/30/17 |
9.20 |
0.58 |
0.28 |
0.86 |
(0.55) |
— |
(0.55) |
9.51 |
9.79% |
32,889 |
0.84% |
0.84%n |
6.34% |
Class A |
|||||||||||||
3/31/22r |
$ 9.19 |
$ 0.21 |
$ (0.46) |
$ (0.25) |
$ (0.57) |
$ — |
$ (0.57) |
$ 8.37 |
(2.85%)b |
$ 11,268 |
1.10%a |
N/A |
4.80%a |
9/30/21 |
8.49 |
0.44 |
0.69 |
1.13 |
(0.43) |
— |
(0.43) |
9.19 |
13.65% |
13,444 |
1.09% |
N/A |
4.97% |
9/30/20 |
9.07 |
0.44 |
(0.50) |
(0.06) |
(0.52) |
— |
(0.52) |
8.49 |
(0.81%) |
24,556 |
1.08% |
N/A |
5.24% |
9/30/19 |
9.13 |
0.51 |
(0.10) |
0.41 |
(0.47) |
— |
(0.47) |
9.07 |
4.89% |
31,392 |
1.09% |
1.09%n |
5.77% |
9/30/18 |
9.49 |
0.52 |
(0.33) |
0.19 |
(0.55) |
— |
(0.55) |
9.13 |
2.10% |
27,393 |
1.09% |
1.09%n |
5.76% |
9/30/17 |
9.17 |
0.56 |
0.28 |
0.84 |
(0.52) |
— |
(0.52) |
9.49 |
9.63% |
29,357 |
1.09% |
1.09%n |
6.09% |
Class R4 |
|||||||||||||
3/31/22r |
$ 9.06 |
$ 0.21 |
$ (0.44) |
$ (0.23) |
$ (0.60) |
$ — |
$ (0.60) |
$ 8.23 |
(2.82%)b |
$ 35,456 |
1.00%a |
N/A |
4.90%a |
9/30/21 |
8.38 |
0.44 |
0.68 |
1.12 |
(0.44) |
— |
(0.44) |
9.06 |
13.73% |
39,125 |
0.99% |
N/A |
5.05% |
9/30/20 |
8.97 |
0.45 |
(0.51) |
(0.06) |
(0.53) |
— |
(0.53) |
8.38 |
(0.75%) |
40,160 |
0.98% |
N/A |
5.34% |
9/30/19 |
9.04 |
0.51 |
(0.10) |
0.41 |
(0.48) |
— |
(0.48) |
8.97 |
4.97% |
47,055 |
0.99% |
0.99%n |
5.88% |
9/30/18 |
9.40 |
0.53 |
(0.33) |
0.20 |
(0.56) |
— |
(0.56) |
9.04 |
2.30% |
35,011 |
0.99% |
0.99%n |
5.87% |
9/30/17 |
9.11 |
0.56 |
0.28 |
0.84 |
(0.55) |
— |
(0.55) |
9.40 |
9.66% |
30,611 |
0.99% |
0.99%n |
6.18% |
Class R3 |
|||||||||||||
3/31/22r |
$ 9.31 |
$ 0.21 |
$ (0.47) |
$ (0.26) |
$ (0.57) |
$ — |
$ (0.57) |
$ 8.48 |
(2.90%)b |
$ 28,406 |
1.25%a |
N/A |
4.65%a |
9/30/21 |
8.60 |
0.43 |
0.69 |
1.12 |
(0.41) |
— |
(0.41) |
9.31 |
13.41% |
33,334 |
1.24% |
N/A |
4.79% |
9/30/20 |
9.17 |
0.44 |
(0.52) |
(0.08) |
(0.49) |
— |
(0.49) |
8.60 |
(0.96%) |
35,047 |
1.23% |
N/A |
5.09% |
9/30/19 |
9.23 |
0.50 |
(0.10) |
0.40 |
(0.46) |
— |
(0.46) |
9.17 |
4.71% |
42,509 |
1.24% |
1.24%n |
5.63% |
9/30/18 |
9.60 |
0.51 |
(0.33) |
0.18 |
(0.55) |
— |
(0.55) |
9.23 |
2.04% |
44,944 |
1.24% |
1.24%n |
5.62% |
9/30/17 |
9.29 |
0.55 |
0.29 |
0.84 |
(0.53) |
— |
(0.53) |
9.60 |
9.43% |
36,626 |
1.24% |
1.24%n |
5.93% |
Class Y |
|||||||||||||
3/31/22(a),r |
$ 8.86 |
$ 0.02 |
$ (0.24) |
$ (0.22) |
$ (0.15) |
$ — |
$ (0.15) |
$ 8.49 |
(2.45%)b |
$ 27,356 |
0.60%a |
N/A |
5.35%a |
Class C |
|||||||||||||
3/31/22(a),r |
$ 8.89 |
$ 0.01 |
$ (0.25) |
$ (0.24) |
$ (0.13) |
$ — |
$ (0.13) |
$ 8.52 |
(2.39%)b |
$ 94 |
1.56%a |
N/A |
4.36%a |
The accompanying notes are an integral part of the financial statements.
149
MassMutual Balanced Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Class I |
|||||||||||||
3/31/22r |
$ 14.34 |
$ 0.08 |
$ 0.36 |
$ 0.44 |
$ (0.22) |
$ (3.26) |
$ (3.48) |
$ 11.30 |
1.96%b |
$ 55,077 |
0.67%a |
N/A |
1.22%a |
9/30/21 |
12.40 |
0.16 |
2.21 |
2.37 |
(0.21) |
(0.22) |
(0.43) |
14.34 |
19.60% |
54,692 |
0.69% |
N/A |
1.21% |
9/30/20 |
12.07 |
0.21 |
0.90 |
1.11 |
(0.27) |
(0.51) |
(0.78) |
12.40 |
9.49% |
42,455 |
0.71% |
N/A |
1.75% |
9/30/19 |
12.86 |
0.24 |
(0.09)aa |
0.15 |
(0.22) |
(0.72) |
(0.94) |
12.07 |
1.91% |
31,567 |
0.76% |
0.74% |
2.06% |
9/30/18 |
12.53 |
0.22 |
1.02 |
1.24 |
(0.24) |
(0.67) |
(0.91) |
12.86 |
10.21% |
11,637 |
0.70% |
0.60% |
1.79% |
9/30/17 |
11.32 |
0.21 |
1.28 |
1.49 |
(0.22) |
(0.06) |
(0.28) |
12.53 |
13.39% |
8,270 |
0.68% |
0.60% |
1.76% |
Class R5 |
|||||||||||||
3/31/22r |
$ 14.34 |
$ 0.07 |
$ 0.35 |
$ 0.42 |
$ (0.20) |
$ (3.26) |
$ (3.46) |
$ 11.30 |
1.86%b |
$ 37,197 |
0.77%a |
N/A |
1.12%a |
9/30/21 |
12.39 |
0.15 |
2.22 |
2.37 |
(0.20) |
(0.22) |
(0.42) |
14.34 |
19.58% |
39,742 |
0.79% |
N/A |
1.10% |
9/30/20 |
12.07 |
0.20 |
0.89 |
1.09 |
(0.26) |
(0.51) |
(0.77) |
12.39 |
9.29% |
42,199 |
0.81% |
N/A |
1.66% |
9/30/19 |
12.85 |
0.23 |
(0.09)aa |
0.14 |
(0.20) |
(0.72) |
(0.92) |
12.07 |
1.88% |
45,321 |
0.86% |
0.83% |
1.94% |
9/30/18 |
12.53 |
0.21 |
1.01 |
1.22 |
(0.23) |
(0.67) |
(0.90) |
12.85 |
10.01% |
45,211 |
0.80% |
0.70% |
1.67% |
9/30/17 |
11.32 |
0.20 |
1.28 |
1.48 |
(0.21) |
(0.06) |
(0.27) |
12.53 |
13.27% |
49,381 |
0.78% |
0.70% |
1.66% |
Service Class |
|||||||||||||
3/31/22r |
$ 15.20 |
$ 0.07 |
$ 0.37 |
$ 0.44 |
$ (0.19) |
$ (3.26) |
$ (3.45) |
$ 12.19 |
1.83%b |
$ 9,478 |
0.87%a |
N/A |
1.02%a |
9/30/21 |
13.12 |
0.14 |
2.35 |
2.49 |
(0.19) |
(0.22) |
(0.41) |
15.20 |
19.40% |
10,330 |
0.89% |
N/A |
1.00% |
9/30/20 |
12.73 |
0.19 |
0.95 |
1.14 |
(0.24) |
(0.51) |
(0.75) |
13.12 |
9.22% |
8,637 |
0.91% |
N/A |
1.56% |
9/30/19 |
13.50 |
0.23 |
(0.09)aa |
0.14 |
(0.19) |
(0.72) |
(0.91) |
12.73 |
1.73% |
6,045 |
0.96% |
0.92% |
1.84% |
9/30/18 |
13.11 |
0.21 |
1.06 |
1.27 |
(0.21) |
(0.67) |
(0.88) |
13.50 |
9.94% |
7,243 |
0.90% |
0.80% |
1.58% |
9/30/17 |
11.83 |
0.19 |
1.34 |
1.53 |
(0.19) |
(0.06) |
(0.25) |
13.11 |
13.11% |
6,978 |
0.88% |
0.80% |
1.54% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
102% |
343% |
113% |
161% |
77% |
108% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
j |
Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
|
aa |
The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund. |
The accompanying notes are an integral part of the financial statements.
150
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Administrative Class |
|||||||||||||
3/31/22r |
$ 14.39 |
$ 0.06 |
$ 0.35 |
$ 0.41 |
$ (0.18) |
$ (3.26) |
$ (3.44) |
$ 11.36 |
1.72%b |
$ 7,594 |
0.97%a |
N/A |
0.92%a |
9/30/21 |
12.44 |
0.12 |
2.23 |
2.35 |
(0.18) |
(0.22) |
(0.40) |
14.39 |
19.30% |
7,411 |
0.99% |
N/A |
0.90% |
9/30/20 |
12.11 |
0.17 |
0.90 |
1.07 |
(0.23) |
(0.51) |
(0.74) |
12.44 |
9.13% |
5,849 |
1.01% |
N/A |
1.44% |
9/30/19 |
12.89 |
0.20 |
(0.09)aa |
0.11 |
(0.17) |
(0.72) |
(0.89) |
12.11 |
1.62% |
6,981 |
1.06% |
1.02% |
1.73% |
9/30/18 |
12.55 |
0.18 |
1.02 |
1.20 |
(0.19) |
(0.67) |
(0.86) |
12.89 |
9.88% |
8,129 |
1.00% |
0.90% |
1.47% |
9/30/17 |
11.35 |
0.17 |
1.28 |
1.45 |
(0.19) |
(0.06) |
(0.25) |
12.55 |
13.01% |
9,413 |
0.98% |
0.90% |
1.46% |
Class A |
|||||||||||||
3/31/22r |
$ 13.91 |
$ 0.04 |
$ 0.34 |
$ 0.38 |
$ (0.12) |
$ (3.26) |
$ (3.38) |
$ 10.91 |
1.62%b |
$ 15,922 |
1.22%a |
N/A |
0.67%a |
9/30/21 |
12.03 |
0.09 |
2.16 |
2.25 |
(0.15) |
(0.22) |
(0.37) |
13.91 |
19.07% |
20,919 |
1.24% |
N/A |
0.67% |
9/30/20 |
11.74 |
0.14 |
0.86 |
1.00 |
(0.20) |
(0.51) |
(0.71) |
12.03 |
8.80% |
26,626 |
1.26% |
N/A |
1.21% |
9/30/19 |
12.51 |
0.17 |
(0.08)aa |
0.09 |
(0.14) |
(0.72) |
(0.86) |
11.74 |
1.44% |
26,981 |
1.31% |
1.27% |
1.49% |
9/30/18 |
12.22 |
0.15 |
0.98 |
1.13 |
(0.17) |
(0.67) |
(0.84) |
12.51 |
9.48% |
30,517 |
1.25% |
1.15% |
1.22% |
9/30/17 |
11.05 |
0.14 |
1.25 |
1.39 |
(0.16) |
(0.06) |
(0.22) |
12.22 |
12.78% |
32,637 |
1.23% |
1.15% |
1.21% |
Class R4 |
|||||||||||||
3/31/22r |
$ 13.77 |
$ 0.05 |
$ 0.35 |
$ 0.40 |
$ (0.15) |
$ (3.26) |
$ (3.41) |
$ 10.76 |
1.72%b |
$ 5,619 |
1.12%a |
N/A |
0.77%a |
9/30/21 |
11.92 |
0.10 |
2.13 |
2.23 |
(0.16) |
(0.22) |
(0.38) |
13.77 |
19.12% |
5,984 |
1.14% |
N/A |
0.76% |
9/30/20 |
11.64 |
0.15 |
0.86 |
1.01 |
(0.22) |
(0.51) |
(0.73) |
11.92 |
8.94% |
2,994 |
1.16% |
N/A |
1.31% |
9/30/19 |
12.42 |
0.18 |
(0.08)aa |
0.10 |
(0.16) |
(0.72) |
(0.88) |
11.64 |
1.52% |
2,853 |
1.21% |
1.17% |
1.59% |
9/30/18 |
12.15 |
0.16 |
0.97 |
1.13 |
(0.19) |
(0.67) |
(0.86) |
12.42 |
9.58% |
3,499 |
1.15% |
1.05% |
1.34% |
9/30/17 |
10.99 |
0.15 |
1.24 |
1.39 |
(0.17) |
(0.06) |
(0.23) |
12.15 |
12.88% |
2,822 |
1.13% |
1.05% |
1.32% |
Class R3 |
|||||||||||||
3/31/22r |
$ 13.69 |
$ 0.03 |
$ 0.34 |
$ 0.37 |
$ (0.13) |
$ (3.26) |
$ (3.39) |
$ 10.67 |
1.52%b |
$ 13,295 |
1.37%a |
N/A |
0.52%a |
9/30/21 |
11.85 |
0.07 |
2.11 |
2.18 |
(0.12) |
(0.22) |
(0.34) |
13.69 |
18.81% |
12,390 |
1.39% |
N/A |
0.50% |
9/30/20 |
11.57 |
0.12 |
0.85 |
0.97 |
(0.18) |
(0.51) |
(0.69) |
11.85 |
8.66% |
7,503 |
1.41% |
N/A |
1.06% |
9/30/19 |
12.36 |
0.15 |
(0.08)aa |
0.07 |
(0.14) |
(0.72) |
(0.86) |
11.57 |
1.27% |
7,236 |
1.46% |
1.42% |
1.35% |
9/30/18 |
12.09 |
0.13 |
0.97 |
1.10 |
(0.16) |
(0.67) |
(0.83) |
12.36 |
9.32% |
8,002 |
1.40% |
1.30% |
1.08% |
9/30/17 |
10.95 |
0.12 |
1.24 |
1.36 |
(0.16) |
(0.06) |
(0.22) |
12.09 |
12.58% |
7,251 |
1.38% |
1.30% |
1.08% |
The accompanying notes are an integral part of the financial statements.
151
MassMutual Disciplined Value Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Class I |
||||||||||||
3/31/22r |
$ 16.30 |
$ 0.10 |
$ 0.93 |
$ 1.03 |
$ (0.22) |
$ (2.56) |
$ (2.78) |
$ 14.55 |
6.33%b |
$ 32,479 |
0.72%a |
1.27%a |
9/30/21 |
12.08 |
0.22 |
4.28 |
4.50 |
(0.28) |
— |
(0.28) |
16.30 |
37.75% |
31,848 |
0.74% |
1.46% |
9/30/20 |
13.98 |
0.28 |
(1.16) |
(0.88) |
(0.31) |
(0.71) |
(1.02) |
12.08 |
(7.26%) |
20,650 |
0.72% |
2.20% |
9/30/19 |
17.06 |
0.28 |
(0.76) |
(0.48) |
(0.40) |
(2.20) |
(2.60) |
13.98 |
(1.20%) |
16,781 |
0.64% |
2.03% |
9/30/18 |
17.67 |
0.29 |
1.28 |
1.57 |
(0.36) |
(1.82) |
(2.18) |
17.06 |
9.34% |
19,546 |
0.57% |
1.74% |
9/30/17 |
16.05 |
0.31 |
2.40 |
2.71 |
(0.53) |
(0.56) |
(1.09) |
17.67 |
17.36% |
79,531 |
0.57% |
1.87% |
Class R5 |
||||||||||||
3/31/22r |
$ 16.34 |
$ 0.09 |
$ 0.93 |
$ 1.02 |
$ (0.20) |
$ (2.56) |
$ (2.76) |
$ 14.60 |
6.24%b |
$ 24,782 |
0.82%a |
1.15%a |
9/30/21 |
12.11 |
0.21 |
4.28 |
4.49 |
(0.26) |
— |
(0.26) |
16.34 |
37.57% |
35,564 |
0.84% |
1.39% |
9/30/20 |
14.01 |
0.27 |
(1.17) |
(0.90) |
(0.29) |
(0.71) |
(1.00) |
12.11 |
(7.34%) |
32,418 |
0.82% |
2.10% |
9/30/19 |
17.09 |
0.27 |
(0.76) |
(0.49) |
(0.39) |
(2.20) |
(2.59) |
14.01 |
(1.32%) |
53,709 |
0.74% |
1.92% |
9/30/18 |
17.69 |
0.28 |
1.28 |
1.56 |
(0.34) |
(1.82) |
(2.16) |
17.09 |
9.27% |
59,987 |
0.67% |
1.65% |
9/30/17 |
16.06 |
0.30 |
2.40 |
2.70 |
(0.51) |
(0.56) |
(1.07) |
17.69 |
17.31% |
46,583 |
0.67% |
1.78% |
Service Class |
||||||||||||
3/31/22r |
$ 16.19 |
$ 0.08 |
$ 0.91 |
$ 0.99 |
$ (0.18) |
$ (2.56) |
$ (2.74) |
$ 14.44 |
6.16%b |
$ 14,695 |
0.92%a |
1.08%a |
9/30/21 |
12.00 |
0.19 |
4.25 |
4.44 |
(0.25) |
— |
(0.25) |
16.19 |
37.48% |
16,120 |
0.94% |
1.27% |
9/30/20 |
13.88 |
0.25 |
(1.16) |
(0.91) |
(0.26) |
(0.71) |
(0.97) |
12.00 |
(7.46%) |
11,618 |
0.92% |
1.98% |
9/30/19 |
16.95 |
0.25 |
(0.76) |
(0.51) |
(0.36) |
(2.20) |
(2.56) |
13.88 |
(1.43%) |
20,401 |
0.84% |
1.82% |
9/30/18 |
17.57 |
0.26 |
1.26 |
1.52 |
(0.32) |
(1.82) |
(2.14) |
16.95 |
9.10% |
50,102 |
0.77% |
1.55% |
9/30/17 |
15.95 |
0.28 |
2.39 |
2.67 |
(0.49) |
(0.56) |
(1.05) |
17.57 |
17.19% |
49,413 |
0.77% |
1.65% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
14% |
189% |
57% |
53% |
80% |
102% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
152
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Administrative Class |
||||||||||||
3/31/22r |
$ 16.57 |
$ 0.08 |
$ 0.94 |
$ 1.02 |
$ (0.15) |
$ (2.56) |
$ (2.71) |
$ 14.88 |
6.17%b |
$ 1,801 |
1.02%a |
0.99%a |
9/30/21 |
12.28 |
0.18 |
4.35 |
4.53 |
(0.24) |
— |
(0.24) |
16.57 |
37.32% |
1,652 |
1.04% |
1.23% |
9/30/20 |
14.20 |
0.24 |
(1.20) |
(0.96) |
(0.25) |
(0.71) |
(0.96) |
12.28 |
(7.62%) |
4,214 |
1.02% |
1.88% |
9/30/19 |
17.27 |
0.25 |
(0.76) |
(0.51) |
(0.36) |
(2.20) |
(2.56) |
14.20 |
(1.46%) |
5,731 |
0.94% |
1.72% |
9/30/18 |
17.86 |
0.25 |
1.29 |
1.54 |
(0.31) |
(1.82) |
(2.13) |
17.27 |
9.02% |
9,147 |
0.87% |
1.46% |
9/30/17 |
16.21 |
0.27 |
2.41 |
2.68 |
(0.47) |
(0.56) |
(1.03) |
17.86 |
17.01% |
5,970 |
0.87% |
1.57% |
Class A |
||||||||||||
3/31/22r |
$ 15.98 |
$ 0.06 |
$ 0.89 |
$ 0.95 |
$ (0.12) |
$ (2.56) |
$ (2.68) |
$ 14.25 |
5.98%b |
$ 6,322 |
1.27%a |
0.73%a |
9/30/21 |
11.85 |
0.14 |
4.20 |
4.34 |
(0.21) |
— |
(0.21) |
15.98 |
37.00% |
6,784 |
1.29% |
0.93% |
9/30/20 |
13.73 |
0.21 |
(1.15) |
(0.94) |
(0.23) |
(0.71) |
(0.94) |
11.85 |
(7.77%) |
5,569 |
1.27% |
1.66% |
9/30/19 |
16.78 |
0.20 |
(0.74) |
(0.54) |
(0.31) |
(2.20) |
(2.51) |
13.73 |
(1.75%) |
6,012 |
1.19% |
1.48% |
9/30/18 |
17.39 |
0.20 |
1.25 |
1.45 |
(0.24) |
(1.82) |
(2.06) |
16.78 |
8.74% |
8,886 |
1.12% |
1.20% |
9/30/17 |
15.82 |
0.22 |
2.36 |
2.58 |
(0.45) |
(0.56) |
(1.01) |
17.39 |
16.74% |
9,120 |
1.12% |
1.32% |
Class R4 |
||||||||||||
3/31/22r |
$ 15.85 |
$ 0.06 |
$ 0.90 |
$ 0.96 |
$ (0.14) |
$ (2.56) |
$ (2.70) |
$ 14.11 |
6.06%b |
$ 1,445 |
1.17%a |
0.77%a |
9/30/21 |
11.76 |
0.15 |
4.16 |
4.31 |
(0.22) |
— |
(0.22) |
15.85 |
37.08% |
2,731 |
1.19% |
1.06% |
9/30/20 |
13.63 |
0.21 |
(1.13) |
(0.92) |
(0.24) |
(0.71) |
(0.95) |
11.76 |
(7.70%) |
2,707 |
1.17% |
1.73% |
9/30/19 |
16.67 |
0.22 |
(0.75) |
(0.53) |
(0.31) |
(2.20) |
(2.51) |
13.63 |
(1.65%) |
4,039 |
1.09% |
1.58% |
9/30/18 |
17.32 |
0.22 |
1.24 |
1.46 |
(0.29) |
(1.82) |
(2.11) |
16.67 |
8.84% |
6,428 |
1.02% |
1.30% |
9/30/17 |
15.77 |
0.24 |
2.36 |
2.60 |
(0.49) |
(0.56) |
(1.05) |
17.32 |
16.94% |
10,139 |
1.02% |
1.43% |
Class R3 |
||||||||||||
3/31/22r |
$ 16.12 |
$ 0.04 |
$ 0.91 |
$ 0.95 |
$ (0.10) |
$ (2.56) |
$ (2.66) |
$ 14.41 |
5.89%b |
$ 4,509 |
1.42%a |
0.58%a |
9/30/21 |
11.95 |
0.12 |
4.24 |
4.36 |
(0.19) |
— |
(0.19) |
16.12 |
36.87% |
4,873 |
1.44% |
0.79% |
9/30/20 |
13.85 |
0.19 |
(1.17) |
(0.98) |
(0.21) |
(0.71) |
(0.92) |
11.95 |
(7.98%) |
3,988 |
1.42% |
1.50% |
9/30/19 |
16.90 |
0.18 |
(0.74) |
(0.56) |
(0.29) |
(2.20) |
(2.49) |
13.85 |
(1.85%) |
4,346 |
1.34% |
1.33% |
9/30/18 |
17.56 |
0.18 |
1.25 |
1.43 |
(0.27) |
(1.82) |
(2.09) |
16.90 |
8.53% |
4,196 |
1.27% |
1.05% |
9/30/17 |
15.92 |
0.20 |
2.38 |
2.58 |
(0.38) |
(0.56) |
(0.94) |
17.56 |
16.62% |
3,820 |
1.27% |
1.18% |
The accompanying notes are an integral part of the financial statements.
153
MassMutual Main Street Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Class I |
||||||||||||
3/31/22r |
$ 14.00 |
$ 0.05 |
$ 0.54 |
$ 0.59 |
$ (0.11) |
$ (2.88) |
$ (2.99) |
$ 11.60 |
3.15%b |
$ 27,819 |
0.74%a |
0.82%a |
9/30/21 |
11.28 |
0.11 |
3.00 |
3.11 |
(0.12) |
(0.27) |
(0.39) |
14.00 |
28.21% |
27,948 |
0.75% |
0.84% |
9/30/20 |
11.07 |
0.11 |
1.19 |
1.30 |
(0.13) |
(0.96) |
(1.09) |
11.28 |
12.22% |
30,273 |
0.74% |
1.03% |
9/30/19 |
12.04 |
0.14 |
0.30 |
0.44 |
(0.13) |
(1.28) |
(1.41) |
11.07 |
5.60% |
24,639 |
0.73% |
1.29% |
9/30/18 |
11.94 |
0.14 |
0.89 |
1.03 |
(0.14) |
(0.79) |
(0.93) |
12.04 |
9.11% |
24,123 |
0.71% |
1.17% |
9/30/17 |
10.42 |
0.16 |
1.81 |
1.97 |
(0.15) |
(0.30) |
(0.45) |
11.94 |
19.50% |
8,516 |
0.71% |
1.40% |
Class R5 |
||||||||||||
3/31/22r |
$ 13.99 |
$ 0.05 |
$ 0.53 |
$ 0.58 |
$ (0.10) |
$ (2.88) |
$ (2.98) |
$ 11.59 |
3.05%b |
$ 43,990 |
0.84%a |
0.73%a |
9/30/21 |
11.27 |
0.10 |
2.99 |
3.09 |
(0.10) |
(0.27) |
(0.37) |
13.99 |
28.11% |
47,342 |
0.85% |
0.74% |
9/30/20 |
11.06 |
0.10 |
1.18 |
1.28 |
(0.11) |
(0.96) |
(1.07) |
11.27 |
12.10% |
45,358 |
0.84% |
0.93% |
9/30/19 |
12.03 |
0.13 |
0.29 |
0.42 |
(0.11) |
(1.28) |
(1.39) |
11.06 |
5.47% |
48,226 |
0.83% |
1.19% |
9/30/18 |
11.93 |
0.12 |
0.90 |
1.02 |
(0.13) |
(0.79) |
(0.92) |
12.03 |
9.00% |
67,695 |
0.81% |
1.04% |
9/30/17 |
10.41 |
0.15 |
1.81 |
1.96 |
(0.14) |
(0.30) |
(0.44) |
11.93 |
19.40% |
78,580 |
0.81% |
1.36% |
Service Class |
||||||||||||
3/31/22r |
$ 14.62 |
$ 0.04 |
$ 0.56 |
$ 0.60 |
$ (0.09) |
$ (2.88) |
$ (2.97) |
$ 12.25 |
3.03%b |
$ 136 |
0.94%a |
0.64%a |
9/30/21 |
11.75 |
0.08 |
3.14 |
3.22 |
(0.08) |
(0.27) |
(0.35) |
14.62 |
28.00% |
160 |
0.95% |
0.62% |
9/30/20 |
11.50 |
0.09 |
1.22 |
1.31 |
(0.10) |
(0.96) |
(1.06) |
11.75 |
11.88% |
182 |
0.94% |
0.82% |
9/30/19 |
12.44 |
0.12 |
0.32 |
0.44 |
(0.10) |
(1.28) |
(1.38) |
11.50 |
5.38% |
652 |
0.93% |
1.08% |
9/30/18 |
12.30 |
0.11 |
0.93 |
1.04 |
(0.11) |
(0.79) |
(0.90) |
12.44 |
8.94% |
738 |
0.91% |
0.95% |
9/30/17 |
10.71 |
0.15 |
1.85 |
2.00 |
(0.11) |
(0.30) |
(0.41) |
12.30 |
19.21% |
1,133 |
0.91% |
1.28% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
20% |
46% |
38% |
55% |
64% |
35% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
154
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Administrative Class |
||||||||||||
3/31/22r |
$ 13.97 |
$ 0.03 |
$ 0.53 |
$ 0.56 |
$ (0.07) |
$ (2.88) |
$ (2.95) |
$ 11.58 |
2.93%b |
$ 24,370 |
1.04%a |
0.52%a |
9/30/21 |
11.25 |
0.07 |
3.00 |
3.07 |
(0.08) |
(0.27) |
(0.35) |
13.97 |
27.91% |
24,389 |
1.05% |
0.53% |
9/30/20 |
11.05 |
0.08 |
1.17 |
1.25 |
(0.09) |
(0.96) |
(1.05) |
11.25 |
11.79% |
21,264 |
1.04% |
0.73% |
9/30/19 |
12.01 |
0.10 |
0.31 |
0.41 |
(0.09) |
(1.28) |
(1.37) |
11.05 |
5.30% |
24,458 |
1.03% |
0.98% |
9/30/18 |
11.91 |
0.10 |
0.89 |
0.99 |
(0.10) |
(0.79) |
(0.89) |
12.01 |
8.79% |
28,295 |
1.01% |
0.84% |
9/30/17 |
10.40 |
0.13 |
1.80 |
1.93 |
(0.12) |
(0.30) |
(0.42) |
11.91 |
19.07% |
30,996 |
1.01% |
1.17% |
Class A |
||||||||||||
3/31/22r |
$ 13.70 |
$ 0.02 |
$ 0.52 |
$ 0.54 |
$ (0.03) |
$ (2.88) |
$ (2.91) |
$ 11.33 |
2.83%b |
$ 10,376 |
1.29%a |
0.27%a |
9/30/21 |
11.04 |
0.04 |
2.94 |
2.98 |
(0.05) |
(0.27) |
(0.32) |
13.70 |
27.56% |
10,628 |
1.30% |
0.31% |
9/30/20 |
10.86 |
0.05 |
1.15 |
1.20 |
(0.06) |
(0.96) |
(1.02) |
11.04 |
11.53% |
12,086 |
1.29% |
0.48% |
9/30/19 |
11.83 |
0.08 |
0.29 |
0.37 |
(0.06) |
(1.28) |
(1.34) |
10.86 |
5.01% |
12,843 |
1.28% |
0.74% |
9/30/18 |
11.75 |
0.07 |
0.88 |
0.95 |
(0.08) |
(0.79) |
(0.87) |
11.83 |
8.49% |
14,495 |
1.26% |
0.60% |
9/30/17 |
10.26 |
0.10 |
1.79 |
1.89 |
(0.10) |
(0.30) |
(0.40) |
11.75 |
18.88% |
13,096 |
1.26% |
0.90% |
Class R4 |
||||||||||||
3/31/22r |
$ 13.56 |
$ 0.02 |
$ 0.53 |
$ 0.55 |
$ (0.05) |
$ (2.88) |
$ (2.93) |
$ 11.18 |
2.94%b |
$ 7,893 |
1.19%a |
0.38%a |
9/30/21 |
10.94 |
0.05 |
2.91 |
2.96 |
(0.07) |
(0.27) |
(0.34) |
13.56 |
27.64% |
8,266 |
1.20% |
0.38% |
9/30/20 |
10.77 |
0.06 |
1.15 |
1.21 |
(0.08) |
(0.96) |
(1.04) |
10.94 |
11.68% |
6,418 |
1.19% |
0.58% |
9/30/19 |
11.75 |
0.09 |
0.29 |
0.38 |
(0.08) |
(1.28) |
(1.36) |
10.77 |
5.08% |
6,379 |
1.18% |
0.83% |
9/30/18 |
11.67 |
0.08 |
0.87 |
0.95 |
(0.08) |
(0.79) |
(0.87) |
11.75 |
8.63% |
6,394 |
1.16% |
0.70% |
9/30/17 |
10.22 |
0.11 |
1.78 |
1.89 |
(0.14) |
(0.30) |
(0.44) |
11.67 |
19.02% |
5,268 |
1.16% |
0.99% |
Class R3 |
||||||||||||
3/31/22r |
$ 13.73 |
$ 0.01 |
$ 0.52 |
$ 0.53 |
$ — |
$ (2.88) |
$ (2.88) |
$ 11.38 |
2.75%b |
$ 1,042 |
1.44%a |
0.13%a |
9/30/21 |
11.07 |
0.02 |
2.95 |
2.97 |
(0.04) |
(0.27) |
(0.31) |
13.73 |
27.36% |
1,277 |
1.45% |
0.14% |
9/30/20 |
10.88 |
0.03 |
1.16 |
1.19 |
(0.04) |
(0.96) |
(1.00) |
11.07 |
11.41% |
1,219 |
1.44% |
0.33% |
9/30/19 |
11.85 |
0.06 |
0.30 |
0.36 |
(0.05) |
(1.28) |
(1.33) |
10.88 |
4.87% |
1,239 |
1.43% |
0.61% |
9/30/18 |
11.76 |
0.05 |
0.88 |
0.93 |
(0.05) |
(0.79) |
(0.84) |
11.85 |
8.34% |
1,813 |
1.41% |
0.45% |
9/30/17 |
10.30 |
0.08 |
1.79 |
1.87 |
(0.11) |
(0.30) |
(0.41) |
11.76 |
18.69% |
1,144 |
1.41% |
0.74% |
The accompanying notes are an integral part of the financial statements.
155
MassMutual Disciplined Growth Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Class I |
||||||||||||
3/31/22r |
$ 15.56 |
$ 0.01bb |
$ 0.48aa |
$ 0.49 |
$ — |
$ (6.16) |
$ (6.16) |
$ 9.89 |
(0.86%)b |
$ 31,222 |
0.56%a |
0.11%a |
9/30/21 |
12.85 |
0.04 |
3.27 |
3.31 |
(0.06) |
(0.54) |
(0.60) |
15.56 |
26.75% |
31,388 |
0.57% |
0.26% |
9/30/20 |
11.00 |
0.09 |
3.18 |
3.27 |
(0.11) |
(1.31) |
(1.42) |
12.85 |
32.63% |
35,702 |
0.56% |
0.77% |
9/30/19 |
14.37 |
0.10 |
(0.47) |
(0.37) |
(0.15) |
(2.85) |
(3.00) |
11.00 |
0.99% |
28,367 |
0.55% |
0.89% |
9/30/18 |
13.13 |
0.10 |
2.81 |
2.91 |
(0.12) |
(1.55) |
(1.67) |
14.37 |
23.95% |
30,279 |
0.52% |
0.78% |
9/30/17 |
11.69 |
0.13 |
2.30 |
2.43 |
(0.17) |
(0.82) |
(0.99) |
13.13 |
22.32% |
113,313 |
0.53% |
1.09% |
Class R5 |
||||||||||||
3/31/22r |
$ 15.57 |
$ 0.00d,bb |
$ 0.48aa |
$ 0.48 |
$ — |
$ (6.16) |
$ (6.16) |
$ 9.89 |
(0.92%)b |
$ 97,333 |
0.66%a |
0.02%a |
9/30/21 |
12.85 |
0.02 |
3.29 |
3.31 |
(0.05) |
(0.54) |
(0.59) |
15.57 |
26.72% |
108,948 |
0.67% |
0.15% |
9/30/20 |
11.00 |
0.07 |
3.19 |
3.26 |
(0.10) |
(1.31) |
(1.41) |
12.85 |
32.48% |
101,466 |
0.66% |
0.67% |
9/30/19 |
14.37 |
0.09 |
(0.48) |
(0.39) |
(0.13) |
(2.85) |
(2.98) |
11.00 |
0.85% |
100,651 |
0.65% |
0.79% |
9/30/18 |
13.14 |
0.09 |
2.80 |
2.89 |
(0.11) |
(1.55) |
(1.66) |
14.37 |
23.72% |
112,178 |
0.62% |
0.69% |
9/30/17 |
11.69 |
0.12 |
2.31 |
2.43 |
(0.16) |
(0.82) |
(0.98) |
13.14 |
22.27% |
87,103 |
0.63% |
1.00% |
Service Class |
||||||||||||
3/31/22r |
$ 15.65 |
$ (0.01) |
$ 0.48aa |
$ 0.47 |
$ — |
$ (6.16) |
$ (6.16) |
$ 9.96 |
(0.99%)b |
$ 19,903 |
0.76%a |
(0.09%)a |
9/30/21 |
12.92 |
0.01 |
3.30 |
3.31 |
(0.04) |
(0.54) |
(0.58) |
15.65 |
26.53% |
25,505 |
0.77% |
0.05% |
9/30/20 |
11.04 |
0.06 |
3.20 |
3.26 |
(0.07) |
(1.31) |
(1.38) |
12.92 |
32.33% |
25,668 |
0.76% |
0.57% |
9/30/19 |
14.40 |
0.08 |
(0.47) |
(0.39) |
(0.12) |
(2.85) |
(2.97) |
11.04 |
0.79% |
31,895 |
0.75% |
0.71% |
9/30/18 |
13.17 |
0.08 |
2.80 |
2.88 |
(0.10) |
(1.55) |
(1.65) |
14.40 |
23.54% |
74,294 |
0.72% |
0.59% |
9/30/17 |
11.71 |
0.11 |
2.31 |
2.42 |
(0.14) |
(0.82) |
(0.96) |
13.17 |
22.15% |
73,755 |
0.73% |
0.89% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
15% |
110% |
50% |
49% |
73% |
105% |
|
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. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
|
aa |
The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund. |
|
bb |
The amount shown for a share outstanding does not correspond with the aggregate net investment income (loss) as shown on the Statement of Operations for the period due to the timing of class-specific expenses. See Note 3 for each fund’s expense structure. |
The accompanying notes are an integral part of the financial statements.
156
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Administrative Class |
||||||||||||
3/31/22r |
$ 15.89 |
$ (0.01) |
$ 0.47aa |
$ 0.46 |
$ — |
$ (6.16) |
$ (6.16) |
$ 10.19 |
(1.05%)b |
$ 33,715 |
0.86%a |
(0.19%)a |
9/30/21 |
13.10 |
(0.01) |
3.36 |
3.35 |
(0.02) |
(0.54) |
(0.56) |
15.89 |
26.46% |
36,207 |
0.87% |
(0.05%) |
9/30/20 |
11.19 |
0.05 |
3.25 |
3.30 |
(0.08) |
(1.31) |
(1.39) |
13.10 |
32.19% |
36,957 |
0.86% |
0.47% |
9/30/19 |
14.55 |
0.07 |
(0.47) |
(0.40) |
(0.11) |
(2.85) |
(2.96) |
11.19 |
0.66% |
37,316 |
0.85% |
0.60% |
9/30/18 |
13.28 |
0.07 |
2.83 |
2.90 |
(0.08) |
(1.55) |
(1.63) |
14.55 |
23.51% |
42,622 |
0.82% |
0.49% |
9/30/17 |
11.81 |
0.09 |
2.34 |
2.43 |
(0.14) |
(0.82) |
(0.96) |
13.28 |
21.95% |
41,678 |
0.83% |
0.78% |
Class A |
||||||||||||
3/31/22r |
$ 15.23 |
$ (0.03) |
$ 0.49aa |
$ 0.46 |
$ — |
$ (6.16) |
$ (6.16) |
$ 9.53 |
(1.11%)b |
$ 20,125 |
1.11%a |
(0.45%)a |
9/30/21 |
12.59 |
(0.04) |
3.22 |
3.18 |
— |
(0.54) |
(0.54) |
15.23 |
26.12% |
26,591 |
1.12% |
(0.30%) |
9/30/20 |
10.80 |
0.02 |
3.13 |
3.15 |
(0.05) |
(1.31) |
(1.36) |
12.59 |
31.87% |
27,988 |
1.11% |
0.22% |
9/30/19 |
14.15 |
0.04 |
(0.47) |
(0.43) |
(0.07) |
(2.85) |
(2.92) |
10.80 |
0.42% |
29,210 |
1.10% |
0.35% |
9/30/18 |
12.95 |
0.03 |
2.77 |
2.80 |
(0.05) |
(1.55) |
(1.60) |
14.15 |
23.22% |
39,399 |
1.07% |
0.24% |
9/30/17 |
11.53 |
0.07 |
2.28 |
2.35 |
(0.11) |
(0.82) |
(0.93) |
12.95 |
21.73% |
36,625 |
1.08% |
0.55% |
Class R4 |
||||||||||||
3/31/22r |
$ 15.06 |
$ (0.02) |
$ 0.49aa |
$ 0.47 |
$ — |
$ (6.16) |
$ (6.16) |
$ 9.37 |
(1.05%)b |
$ 8,043 |
1.01%a |
(0.36%)a |
9/30/21 |
12.45 |
(0.03) |
3.18 |
3.15 |
— |
(0.54) |
(0.54) |
15.06 |
26.20% |
12,613 |
1.02% |
(0.22%) |
9/30/20 |
10.70 |
0.03 |
3.09 |
3.12 |
(0.06) |
(1.31) |
(1.37) |
12.45 |
31.97% |
28,832 |
1.01% |
0.31% |
9/30/19 |
14.05 |
0.05 |
(0.46) |
(0.41) |
(0.09) |
(2.85) |
(2.94) |
10.70 |
0.59% |
24,049 |
1.00% |
0.45% |
9/30/18 |
12.89 |
0.04 |
2.74 |
2.78 |
(0.07) |
(1.55) |
(1.62) |
14.05 |
23.26% |
31,265 |
0.97% |
0.34% |
9/30/17 |
11.50 |
0.07 |
2.27 |
2.34 |
(0.13) |
(0.82) |
(0.95) |
12.89 |
21.80% |
26,809 |
0.98% |
0.61% |
Class R3 |
||||||||||||
3/31/22r |
$ 15.00 |
$ (0.03) |
$ 0.48aa |
$ 0.45 |
$ — |
$ (6.16) |
$ (6.16) |
$ 9.29 |
(1.22%)b |
$ 4,960 |
1.26%a |
(0.58%)a |
9/30/21 |
12.43 |
(0.06) |
3.17 |
3.11 |
— |
(0.54) |
(0.54) |
15.00 |
25.88% |
5,002 |
1.27% |
(0.46%) |
9/30/20 |
10.66 |
0.01 |
3.09 |
3.10 |
(0.02) |
(1.31) |
(1.33) |
12.43 |
31.78% |
5,875 |
1.26% |
0.05% |
9/30/19 |
14.02 |
0.02 |
(0.47) |
(0.45) |
(0.06) |
(2.85) |
(2.91) |
10.66 |
0.23% |
6,015 |
1.25% |
0.20% |
9/30/18 |
12.86 |
0.01 |
2.74 |
2.75 |
(0.04) |
(1.55) |
(1.59) |
14.02 |
23.01% |
7,119 |
1.22% |
0.10% |
9/30/17 |
11.45 |
0.04 |
2.27 |
2.31 |
(0.08) |
(0.82) |
(0.90) |
12.86 |
21.52% |
4,310 |
1.23% |
0.38% |
The accompanying notes are an integral part of the financial statements.
157
MassMutual Small Cap Opportunities Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Class I |
||||||||||||
3/31/22r |
$ 19.21 |
$ 0.03 |
$ (0.21) |
$ (0.18) |
$ — |
$ (1.81) |
$ (1.81) |
$ 17.22 |
(1.25%)b |
$ 87,971 |
0.65%a |
0.33%a |
9/30/21 |
13.96 |
0.06 |
6.51 |
6.57 |
(0.11) |
(1.21) |
(1.32) |
19.21 |
48.95% |
85,183 |
0.66% |
0.35% |
9/30/20 |
13.72 |
0.10 |
0.27 |
0.37 |
(0.06) |
(0.07) |
(0.13) |
13.96 |
2.62% |
39,988 |
0.69% |
0.77% |
9/30/19 |
16.47 |
0.11 |
(1.43) |
(1.32) |
(0.07) |
(1.36) |
(1.43) |
13.72 |
(7.01%) |
35,326 |
0.70% |
0.82% |
9/30/18 |
16.41 |
0.11 |
1.96 |
2.07 |
(0.07) |
(1.94) |
(2.01) |
16.47 |
13.93% |
40,439 |
0.69% |
0.73% |
9/30/17 |
13.81 |
0.11 |
3.01 |
3.12 |
(0.18) |
(0.34) |
(0.52) |
16.41 |
23.05% |
15,105 |
0.70% |
0.75% |
Class R5 |
||||||||||||
3/31/22r |
$ 19.16 |
$ 0.02 |
$ (0.21) |
$ (0.19) |
$ — |
$ (1.81) |
$ (1.81) |
$ 17.16 |
(1.31%)b |
$ 127,016 |
0.75%a |
0.23%a |
9/30/21 |
13.93 |
0.05 |
6.48 |
6.53 |
(0.09) |
(1.21) |
(1.30) |
19.16 |
48.78% |
137,127 |
0.76% |
0.26% |
9/30/20 |
13.69 |
0.09 |
0.27 |
0.36 |
(0.05) |
(0.07) |
(0.12) |
13.93 |
2.56% |
92,440 |
0.79% |
0.68% |
9/30/19 |
16.44 |
0.10 |
(1.43) |
(1.33) |
(0.06) |
(1.36) |
(1.42) |
13.69 |
(7.14%) |
61,826 |
0.80% |
0.71% |
9/30/18 |
16.38 |
0.10 |
1.96 |
2.06 |
(0.06) |
(1.94) |
(2.00) |
16.44 |
13.82% |
77,025 |
0.79% |
0.62% |
9/30/17 |
13.78 |
0.10 |
3.00 |
3.10 |
(0.16) |
(0.34) |
(0.50) |
16.38 |
22.99% |
64,889 |
0.80% |
0.63% |
Service Class |
||||||||||||
3/31/22r |
$ 19.11 |
$ 0.01 |
$ (0.21) |
$ (0.20) |
$ — |
$ (1.81) |
$ (1.81) |
$ 17.10 |
(1.36%)b |
$ 19,963 |
0.84%a |
0.12%a |
9/30/21 |
13.89 |
0.03 |
6.48 |
6.51 |
(0.08) |
(1.21) |
(1.29) |
19.11 |
48.72% |
24,560 |
0.86% |
0.17% |
9/30/20 |
13.66 |
0.08 |
0.25 |
0.33 |
(0.03) |
(0.07) |
(0.10) |
13.89 |
2.37% |
17,146 |
0.89% |
0.58% |
9/30/19 |
16.39 |
0.08 |
(1.41) |
(1.33) |
(0.04) |
(1.36) |
(1.40) |
13.66 |
(7.16%) |
17,073 |
0.90% |
0.61% |
9/30/18 |
16.34 |
0.08 |
1.95 |
2.03 |
(0.04) |
(1.94) |
(1.98) |
16.39 |
13.68% |
18,192 |
0.89% |
0.52% |
9/30/17 |
13.75 |
0.08 |
3.00 |
3.08 |
(0.15) |
(0.34) |
(0.49) |
16.34 |
22.87% |
14,726 |
0.90% |
0.54% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
15% |
40% |
47% |
34% |
57% |
62% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
d |
Amount is less than $0.005 per share. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
|
bb |
The amount shown for a share outstanding does not correspond with the aggregate net investment income (loss) as shown on the Statement of Operations for the period due to the timing of class-specific expenses. See Note 3 for each fund’s expense structure. |
The accompanying notes are an integral part of the financial statements.
158
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Administrative Class |
||||||||||||
3/31/22r |
$ 18.97 |
$ 0.00d |
$ (0.21) |
$ (0.21) |
$ — |
$ (1.81) |
$ (1.81) |
$ 16.95 |
(1.43%)b |
$ 24,717 |
0.95%a |
0.03%a |
9/30/21 |
13.80 |
0.01 |
6.44 |
6.45 |
(0.07) |
(1.21) |
(1.28) |
18.97 |
48.54% |
26,314 |
0.96% |
0.07% |
9/30/20 |
13.57 |
0.06 |
0.26 |
0.32 |
(0.02) |
(0.07) |
(0.09) |
13.80 |
2.27% |
18,422 |
0.99% |
0.48% |
9/30/19 |
16.29 |
0.07 |
(1.41) |
(1.34) |
(0.02) |
(1.36) |
(1.38) |
13.57 |
(7.28%) |
20,377 |
1.00% |
0.51% |
9/30/18 |
16.25 |
0.07 |
1.94 |
2.01 |
(0.03) |
(1.94) |
(1.97) |
16.29 |
13.59% |
26,503 |
0.99% |
0.42% |
9/30/17 |
13.68 |
0.07 |
2.98 |
3.05 |
(0.14) |
(0.34) |
(0.48) |
16.25 |
22.75% |
23,967 |
1.00% |
0.44% |
Class A |
||||||||||||
3/31/22r |
$ 18.40 |
$ (0.02)bb |
$ (0.20) |
$ (0.22) |
$ — |
$ (1.81) |
$ (1.81) |
$ 16.37 |
(1.53%)b |
$ 50,356 |
1.20%a |
(0.22%)a |
9/30/21 |
13.42 |
(0.03) |
6.25 |
6.22 |
(0.03) |
(1.21) |
(1.24) |
18.40 |
48.15% |
55,207 |
1.21% |
(0.18%) |
9/30/20 |
13.21 |
0.03 |
0.25 |
0.28 |
— |
(0.07) |
(0.07) |
13.42 |
2.07% |
42,491 |
1.24% |
0.22% |
9/30/19 |
15.92 |
0.03 |
(1.38) |
(1.35) |
— |
(1.36) |
(1.36) |
13.21 |
(7.54%) |
50,524 |
1.25% |
0.26% |
9/30/18 |
15.93 |
0.03 |
1.90 |
1.93 |
— |
(1.94) |
(1.94) |
15.92 |
13.34% |
69,157 |
1.24% |
0.17% |
9/30/17 |
13.42 |
0.03 |
2.92 |
2.95 |
(0.10) |
(0.34) |
(0.44) |
15.93 |
22.42% |
73,462 |
1.25% |
0.19% |
Class R4 |
||||||||||||
3/31/22r |
$ 18.28 |
$ (0.01)bb |
$ (0.20) |
$ (0.21) |
$ — |
$ (1.81) |
$ (1.81) |
$ 16.26 |
(1.48%)b |
$ 15,075 |
1.10%a |
(0.12%)a |
9/30/21 |
13.34 |
(0.02) |
6.22 |
6.20 |
(0.05) |
(1.21) |
(1.26) |
18.28 |
48.31% |
15,682 |
1.11% |
(0.09%) |
9/30/20 |
13.12 |
0.04 |
0.25 |
0.29 |
— |
(0.07) |
(0.07) |
13.34 |
2.16% |
9,413 |
1.14% |
0.32% |
9/30/19 |
15.81 |
0.05 |
(1.38) |
(1.33) |
(0.00)d |
(1.36) |
(1.36) |
13.12 |
(7.43%) |
10,591 |
1.15% |
0.36% |
9/30/18 |
15.83 |
0.04 |
1.89 |
1.93 |
(0.01) |
(1.94) |
(1.95) |
15.81 |
13.42% |
11,773 |
1.14% |
0.26% |
9/30/17 |
13.36 |
0.04 |
2.91 |
2.95 |
(0.14) |
(0.34) |
(0.48) |
15.83 |
22.50% |
9,717 |
1.15% |
0.29% |
Class R3 |
||||||||||||
3/31/22r |
$ 18.06 |
$ (0.03)bb |
$ (0.20) |
$ (0.23) |
$ — |
$ (1.81) |
$ (1.81) |
$ 16.02 |
(1.62%)b |
$ 8,453 |
1.35%a |
(0.38%)a |
9/30/21 |
13.18 |
(0.06) |
6.15 |
6.09 |
— |
(1.21) |
(1.21) |
18.06 |
48.00% |
9,695 |
1.36% |
(0.34%) |
9/30/20 |
13.00 |
0.01 |
0.24 |
0.25 |
— |
(0.07) |
(0.07) |
13.18 |
1.87% |
6,048 |
1.39% |
0.07% |
9/30/19 |
15.71 |
0.01 |
(1.36) |
(1.35) |
— |
(1.36) |
(1.36) |
13.00 |
(7.66%) |
8,551 |
1.40% |
0.11% |
9/30/18 |
15.77 |
0.00d |
1.88 |
1.88 |
— |
(1.94) |
(1.94) |
15.71 |
13.14% |
10,564 |
1.39% |
0.02% |
9/30/17 |
13.32 |
0.01 |
2.89 |
2.90 |
(0.11) |
(0.34) |
(0.45) |
15.77 |
22.19% |
9,008 |
1.40% |
0.04% |
The accompanying notes are an integral part of the financial statements.
159
MassMutual Global Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Class I |
||||||||||||
3/31/22r |
$ 18.79 |
$ (0.03) |
$ (2.18) |
$ (2.21) |
$ — |
$ (2.04) |
$ (2.04) |
$ 14.54 |
(13.57%)b |
$ 81,535 |
0.84%a |
(0.36%)a |
9/30/21 |
15.04 |
(0.05) |
4.64 |
4.59 |
— |
(0.84) |
(0.84) |
18.79 |
31.36% |
99,959 |
0.84% |
(0.29%) |
9/30/20 |
12.35 |
0.00d |
2.81 |
2.81 |
(0.09) |
(0.03) |
(0.12) |
15.04 |
22.90% |
75,893 |
0.85% |
0.00%e |
9/30/19 |
16.08 |
0.10 |
(0.83) |
(0.73) |
(0.11) |
(2.89) |
(3.00) |
12.35 |
(1.93%) |
70,159 |
0.84% |
0.79% |
9/30/18 |
16.46 |
0.13 |
1.52 |
1.65 |
(0.16) |
(1.87) |
(2.03) |
16.08 |
10.39% |
50,503 |
0.86% |
0.79% |
9/30/17 |
13.47 |
0.12 |
3.43 |
3.55 |
(0.18) |
(0.38) |
(0.56) |
16.46 |
27.53% |
34,308 |
0.86% |
0.78% |
Class R5 |
||||||||||||
3/31/22r |
$ 18.78 |
$ (0.04) |
$ (2.17) |
$ (2.21) |
$ — |
$ (2.04) |
$ (2.04) |
$ 14.53 |
(13.62%)b |
$ 87,761 |
0.94%a |
(0.46%)a |
9/30/21 |
15.05 |
(0.07) |
4.64 |
4.57 |
— |
(0.84) |
(0.84) |
18.78 |
31.20% |
126,049 |
0.94% |
(0.39%) |
9/30/20 |
12.36 |
(0.01) |
2.81 |
2.80 |
(0.08) |
(0.03) |
(0.11) |
15.05 |
22.77% |
111,038 |
0.95% |
(0.09%) |
9/30/19 |
16.09 |
0.08 |
(0.83) |
(0.75) |
(0.09) |
(2.89) |
(2.98) |
12.36 |
(2.07%) |
98,379 |
0.94% |
0.66% |
9/30/18 |
16.47 |
0.11 |
1.53 |
1.64 |
(0.15) |
(1.87) |
(2.02) |
16.09 |
10.28% |
101,536 |
0.96% |
0.65% |
9/30/17 |
13.46 |
0.08 |
3.48 |
3.56 |
(0.17) |
(0.38) |
(0.55) |
16.47 |
27.55% |
120,521 |
0.96% |
0.54% |
Service Class |
||||||||||||
3/31/22r |
$ 18.58 |
$ (0.05) |
$ (2.15) |
$ (2.20) |
$ — |
$ (2.04) |
$ (2.04) |
$ 14.34 |
(13.68%)b |
$ 7,435 |
1.04%a |
(0.55%)a |
9/30/21 |
14.91 |
(0.08) |
4.59 |
4.51 |
— |
(0.84) |
(0.84) |
18.58 |
31.09% |
7,892 |
1.04% |
(0.49%) |
9/30/20 |
12.23 |
(0.03) |
2.80 |
2.77 |
(0.06) |
(0.03) |
(0.09) |
14.91 |
22.75% |
6,166 |
1.05% |
(0.19%) |
9/30/19 |
15.94 |
0.06 |
(0.82) |
(0.76) |
(0.06) |
(2.89) |
(2.95) |
12.23 |
(2.23%) |
6,361 |
1.04% |
0.43% |
9/30/18 |
16.33 |
0.10 |
1.51 |
1.61 |
(0.13) |
(1.87) |
(2.00) |
15.94 |
10.17% |
16,104 |
1.06% |
0.60% |
9/30/17 |
13.35 |
0.07 |
3.44 |
3.51 |
(0.15) |
(0.38) |
(0.53) |
16.33 |
27.37% |
19,086 |
1.06% |
0.46% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
6% |
10% |
12% |
32% |
42% |
30% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
d |
Amount is less than $0.005 per share. |
|
e |
Amount is less than 0.005%. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
160
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Net |
|
Administrative Class |
||||||||||||
3/31/22r |
$ 18.73 |
$ (0.06) |
$ (2.17) |
$ (2.23) |
$ — |
$ (2.04) |
$ (2.04) |
$ 14.46 |
(13.73%)b |
$ 64,687 |
1.14%a |
(0.66%)a |
9/30/21 |
15.03 |
(0.10) |
4.64 |
4.54 |
— |
(0.84) |
(0.84) |
18.73 |
31.03% |
88,387 |
1.14% |
(0.59%) |
9/30/20 |
12.34 |
(0.04) |
2.81 |
2.77 |
(0.05) |
(0.03) |
(0.08) |
15.03 |
22.56% |
80,607 |
1.15% |
(0.29%) |
9/30/19 |
16.06 |
0.06 |
(0.83) |
(0.77) |
(0.06) |
(2.89) |
(2.95) |
12.34 |
(2.30%) |
77,097 |
1.14% |
0.45% |
9/30/18 |
16.44 |
0.07 |
1.53 |
1.60 |
(0.11) |
(1.87) |
(1.98) |
16.06 |
10.07% |
90,239 |
1.16% |
0.46% |
9/30/17 |
13.44 |
0.05 |
3.47 |
3.52 |
(0.14) |
(0.38) |
(0.52) |
16.44 |
27.24% |
103,200 |
1.16% |
0.36% |
Class A |
||||||||||||
3/31/22r |
$ 18.40 |
$ (0.08) |
$ (2.12) |
$ (2.20) |
$ — |
$ (2.04) |
$ (2.04) |
$ 14.16 |
(13.82%)b |
$ 14,551 |
1.39%a |
(0.91%)a |
9/30/21 |
14.82 |
(0.14) |
4.56 |
4.42 |
— |
(0.84) |
(0.84) |
18.40 |
30.65% |
19,415 |
1.39% |
(0.84%) |
9/30/20 |
12.17 |
(0.07) |
2.77 |
2.70 |
(0.02) |
(0.03) |
(0.05) |
14.82 |
22.22% |
22,903 |
1.40% |
(0.55%) |
9/30/19 |
15.87 |
0.03 |
(0.82) |
(0.79) |
(0.02) |
(2.89) |
(2.91) |
12.17 |
(2.48%) |
24,676 |
1.39% |
0.20% |
9/30/18 |
16.27 |
0.03 |
1.51 |
1.54 |
(0.07) |
(1.87) |
(1.94) |
15.87 |
9.74% |
31,725 |
1.41% |
0.21% |
9/30/17 |
13.29 |
0.02 |
3.44 |
3.46 |
(0.10) |
(0.38) |
(0.48) |
16.27 |
26.99% |
30,769 |
1.41% |
0.12% |
Class R4 |
||||||||||||
3/31/22r |
$ 18.12 |
$ (0.07) |
$ (2.08) |
$ (2.15) |
$ — |
$ (2.04) |
$ (2.04) |
$ 13.93 |
(13.76%)b |
$ 12,525 |
1.29%a |
(0.81%)a |
9/30/21 |
14.59 |
(0.12) |
4.49 |
4.37 |
— |
(0.84) |
(0.84) |
18.12 |
30.79% |
15,975 |
1.29% |
(0.72%) |
9/30/20 |
11.98 |
(0.06) |
2.73 |
2.67 |
(0.03) |
(0.03) |
(0.06) |
14.59 |
22.36% |
8,878 |
1.30% |
(0.45%) |
9/30/19 |
15.71 |
0.04 |
(0.82) |
(0.78) |
(0.06) |
(2.89) |
(2.95) |
11.98 |
(2.45%) |
7,531 |
1.29% |
0.32% |
9/30/18 |
16.13 |
0.04 |
1.51 |
1.55 |
(0.10) |
(1.87) |
(1.97) |
15.71 |
9.90% |
7,790 |
1.31% |
0.27% |
9/30/17 |
13.21 |
0.03 |
3.41 |
3.44 |
(0.14) |
(0.38) |
(0.52) |
16.13 |
27.05% |
5,560 |
1.31% |
0.20% |
Class R3 |
||||||||||||
3/31/22r |
$ 18.25 |
$ (0.09) |
$ (2.10) |
$ (2.19) |
$ — |
$ (2.04) |
$ (2.04) |
$ 14.02 |
(13.88%)b |
$ 10,863 |
1.54%a |
(1.06%)a |
9/30/21 |
14.72 |
(0.17) |
4.54 |
4.37 |
— |
(0.84) |
(0.84) |
18.25 |
30.51% |
13,541 |
1.54% |
(0.98%) |
9/30/20 |
12.10 |
(0.09) |
2.75 |
2.66 |
(0.01) |
(0.03) |
(0.04) |
14.72 |
21.99% |
9,792 |
1.55% |
(0.69%) |
9/30/19 |
15.80 |
0.01 |
(0.82) |
(0.81) |
— |
(2.89) |
(2.89) |
12.10 |
(2.69%) |
10,226 |
1.54% |
0.06% |
9/30/18 |
16.21 |
0.01 |
1.51 |
1.52 |
(0.06) |
(1.87) |
(1.93) |
15.80 |
9.64% |
11,029 |
1.56% |
0.06% |
9/30/17 |
13.27 |
(0.00)d |
3.42 |
3.42 |
(0.10) |
(0.38) |
(0.48) |
16.21 |
26.73% |
10,696 |
1.56% |
(0.03%) |
The accompanying notes are an integral part of the financial statements.
161
MassMutual International Equity Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Class I |
|||||||||||||
3/31/22r |
$ 10.08 |
$ 0.04 |
$ (0.18) |
$ (0.14) |
$ (0.21) |
$ (1.02) |
$ (1.23) |
$ 8.71 |
(1.64%)b |
$ 71,084 |
1.05%a |
1.00%a |
0.85%a |
9/30/21 |
13.08 |
0.14 |
1.84 |
1.98 |
(0.04) |
(4.94) |
(4.98) |
10.08 |
17.97% |
89,913 |
1.02% |
1.00% |
1.31% |
9/30/20 |
12.01 |
0.03 |
1.54 |
1.57 |
(0.13) |
(0.37) |
(0.50) |
13.08 |
13.17% |
96,308 |
1.02% |
1.00% |
0.26% |
9/30/19 |
12.99 |
0.09 |
(0.49) |
(0.40) |
(0.12) |
(0.46) |
(0.58) |
12.01 |
(2.49%) |
149,979 |
0.93% |
0.92% |
0.81% |
9/30/18 |
13.44 |
0.14 |
(0.42) |
(0.28) |
(0.17) |
— |
(0.17) |
12.99 |
(2.14%) |
293,575 |
0.96% |
0.94% |
1.01% |
9/30/17 |
11.97 |
0.18 |
1.61 |
1.79 |
(0.15) |
(0.17) |
(0.32) |
13.44 |
15.60% |
246,510 |
0.96% |
0.94% |
1.46% |
Class R5 |
|||||||||||||
3/31/22r |
$ 10.08 |
$ 0.04 |
$ (0.19) |
$ (0.15) |
$ (0.19) |
$ (1.02) |
$ (1.21) |
$ 8.72 |
(1.66%)b |
$ 40,912 |
1.15%a |
1.10%a |
0.74%a |
9/30/21 |
13.08 |
0.14 |
1.83 |
1.97 |
(0.03) |
(4.94) |
(4.97) |
10.08 |
17.79% |
50,688 |
1.12% |
1.10% |
1.27% |
9/30/20 |
12.00 |
0.02 |
1.55 |
1.57 |
(0.12) |
(0.37) |
(0.49) |
13.08 |
13.14% |
61,444 |
1.12% |
1.10% |
0.20% |
9/30/19 |
12.98 |
0.10 |
(0.51) |
(0.41) |
(0.11) |
(0.46) |
(0.57) |
12.00 |
(2.63%) |
94,827 |
1.03% |
1.02% |
0.89% |
9/30/18 |
13.44 |
0.12 |
(0.42) |
(0.30) |
(0.16) |
— |
(0.16) |
12.98 |
(2.32%) |
147,654 |
1.06% |
1.04% |
0.85% |
9/30/17 |
11.97 |
0.17 |
1.61 |
1.78 |
(0.14) |
(0.17) |
(0.31) |
13.44 |
15.47% |
195,316 |
1.06% |
1.04% |
1.38% |
Service Class |
|||||||||||||
3/31/22r |
$ 10.05 |
$ 0.03 |
$ (0.19) |
$ (0.16) |
$ (0.18) |
$ (1.02) |
$ (1.20) |
$ 8.69 |
(1.78%)b |
$ 3,324 |
1.25%a |
1.20%a |
0.70%a |
9/30/21 |
13.04 |
0.12 |
1.84 |
1.96 |
(0.01) |
(4.94) |
(4.95) |
10.05 |
17.72% |
3,469 |
1.22% |
1.20% |
1.16% |
9/30/20 |
11.97 |
0.00d |
1.54 |
1.54 |
(0.10) |
(0.37) |
(0.47) |
13.04 |
12.94% |
4,524 |
1.22% |
1.20% |
0.00%e |
9/30/19 |
12.94 |
0.07 |
(0.49) |
(0.42) |
(0.09) |
(0.46) |
(0.55) |
11.97 |
(2.74%) |
9,393 |
1.13% |
1.12% |
0.60% |
9/30/18 |
13.39 |
0.11 |
(0.41) |
(0.30) |
(0.15) |
— |
(0.15) |
12.94 |
(2.33%) |
23,069 |
1.16% |
1.14% |
0.79% |
9/30/17 |
11.93 |
0.15 |
1.61 |
1.76 |
(0.13) |
(0.17) |
(0.30) |
13.39 |
15.33% |
21,422 |
1.16% |
1.14% |
1.25% |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
7% |
30% |
106% |
52% |
70% |
44% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
d |
Amount is less than $0.005 per share. |
|
e |
Amount is less than 0.005%. |
|
j |
Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
The accompanying notes are an integral part of the financial statements.
162
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Administrative Class |
|||||||||||||
3/31/22r |
$ 9.96 |
$ 0.03 |
$ (0.19) |
$ (0.16) |
$ (0.17) |
$ (1.02) |
$ (1.19) |
$ 8.61 |
(1.81%)b |
$ 2,372 |
1.35%a |
1.30%a |
0.59%a |
9/30/21 |
12.97 |
0.11 |
1.82 |
1.93 |
— |
(4.94) |
(4.94) |
9.96 |
17.59% |
2,436 |
1.32% |
1.30% |
1.03% |
9/30/20 |
11.91 |
(0.00)d |
1.52 |
1.52 |
(0.09) |
(0.37) |
(0.46) |
12.97 |
12.81% |
3,565 |
1.32% |
1.30% |
(0.02%) |
9/30/19 |
12.87 |
0.08 |
(0.51) |
(0.43) |
(0.07) |
(0.46) |
(0.53) |
11.91 |
(2.77%) |
5,465 |
1.23% |
1.22% |
0.65% |
9/30/18 |
13.32 |
0.08 |
(0.40) |
(0.32) |
(0.13) |
— |
(0.13) |
12.87 |
(2.49%) |
11,908 |
1.26% |
1.24% |
0.58% |
9/30/17 |
11.87 |
0.15 |
1.58 |
1.73 |
(0.11) |
(0.17) |
(0.28) |
13.32 |
15.19% |
17,968 |
1.26% |
1.24% |
1.22% |
Class A |
|||||||||||||
3/31/22r |
$ 9.45 |
$ 0.01 |
$ (0.17) |
$ (0.16) |
$ (0.14) |
$ (1.02) |
$ (1.16) |
$ 8.13 |
(1.94%)b |
$ 11,588 |
1.60%a |
1.55%a |
0.32%a |
9/30/21 |
12.56 |
0.08 |
1.75 |
1.83 |
— |
(4.94) |
(4.94) |
9.45 |
17.30% |
13,793 |
1.57% |
1.55% |
0.82% |
9/30/20 |
11.54 |
(0.03) |
1.48 |
1.45 |
(0.06) |
(0.37) |
(0.43) |
12.56 |
12.61% |
18,670 |
1.57% |
1.55% |
(0.22%) |
9/30/19 |
12.49 |
0.05 |
(0.50) |
(0.45) |
(0.04) |
(0.46) |
(0.50) |
11.54 |
(3.09%) |
22,004 |
1.48% |
1.47% |
0.46% |
9/30/18 |
12.93 |
0.05 |
(0.39) |
(0.34) |
(0.10) |
— |
(0.10) |
12.49 |
(2.70%) |
30,719 |
1.51% |
1.49% |
0.41% |
9/30/17 |
11.52 |
0.10 |
1.56 |
1.66 |
(0.08) |
(0.17) |
(0.25) |
12.93 |
14.95% |
39,746 |
1.51% |
1.49% |
0.90% |
Class R4 |
|||||||||||||
3/31/22r |
$ 9.33 |
$ 0.01 |
$ (0.17) |
$ (0.16) |
$ (0.15) |
$ (1.02) |
$ (1.17) |
$ 8.00 |
(1.91%)b |
$ 1,051 |
1.49%a |
1.44%a |
0.32%a |
9/30/21 |
12.45 |
0.09 |
1.73 |
1.82 |
— |
(4.94) |
(4.94) |
9.33 |
17.41% |
1,639 |
1.47% |
1.45% |
0.88% |
9/30/20 |
11.43 |
(0.04) |
1.48 |
1.44 |
(0.05) |
(0.37) |
(0.42) |
12.45 |
12.70% |
1,951 |
1.47% |
1.45% |
(0.31%) |
9/30/19 |
12.38 |
0.05 |
(0.48) |
(0.43) |
(0.06) |
(0.46) |
(0.52) |
11.43 |
(2.95%) |
4,895 |
1.38% |
1.37% |
0.48% |
9/30/18 |
12.84 |
0.07 |
(0.40) |
(0.33) |
(0.13) |
— |
(0.13) |
12.38 |
(2.63%) |
10,673 |
1.41% |
1.39% |
0.54% |
9/30/17 |
11.47 |
0.13 |
1.53 |
1.66 |
(0.12) |
(0.17) |
(0.29) |
12.84 |
15.10% |
10,932 |
1.41% |
1.39% |
1.10% |
Class R3 |
|||||||||||||
3/31/22r |
$ 9.22 |
$ 0.01 |
$ (0.17) |
$ (0.16) |
$ (0.14) |
$ (1.02) |
$ (1.16) |
$ 7.90 |
(2.00%)b |
$ 2,160 |
1.75%a |
1.70%a |
0.23%a |
9/30/21 |
12.38 |
0.07 |
1.71 |
1.78 |
— |
(4.94) |
(4.94) |
9.22 |
17.07% |
2,294 |
1.72% |
1.70% |
0.74% |
9/30/20 |
11.38 |
(0.06) |
1.47 |
1.41 |
(0.04) |
(0.37) |
(0.41) |
12.38 |
12.42% |
2,427 |
1.72% |
1.70% |
(0.49%) |
9/30/19 |
12.34 |
0.02 |
(0.48) |
(0.46) |
(0.04) |
(0.46) |
(0.50) |
11.38 |
(3.24%) |
5,415 |
1.63% |
1.62% |
0.21% |
9/30/18 |
12.79 |
0.03 |
(0.39) |
(0.36) |
(0.09) |
— |
(0.09) |
12.34 |
(2.88%) |
9,024 |
1.66% |
1.64% |
0.25% |
9/30/17 |
11.43 |
0.09 |
1.54 |
1.63 |
(0.10) |
(0.17) |
(0.27) |
12.79 |
14.77% |
9,045 |
1.66% |
1.64% |
0.77% |
The accompanying notes are an integral part of the financial statements.
163
MassMutual Strategic Emerging Markets Fund – Financial Statements (Continued) |
Financial Highlights (For a share outstanding throughout each period) |
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Class I |
|||||||||||||
3/31/22r |
$ 14.93 |
$ 0.01 |
$ (2.59) |
$ (2.58) |
$ (0.20) |
$ (1.83) |
$ (2.03) |
$ 10.32 |
(19.24%)b |
$ 133,462 |
1.29%a |
1.15%a |
0.18%a |
9/30/21 |
13.23 |
0.04 |
1.88 |
1.92 |
— |
(0.22) |
(0.22) |
14.93 |
14.53% |
156,998 |
1.22% |
1.15% |
0.25% |
9/30/20 |
13.02 |
0.02 |
1.33 |
1.35 |
(0.08) |
(1.06) |
(1.14) |
13.23 |
10.33% |
169,366 |
1.27% |
1.15% |
0.12% |
9/30/19 |
12.75 |
0.07 |
0.28 |
0.35 |
(0.08) |
— |
(0.08) |
13.02 |
2.85% |
141,988 |
1.21% |
1.10% |
0.55% |
9/30/18 |
12.88 |
0.08 |
(0.04) |
0.04 |
(0.17) |
— |
(0.17) |
12.75 |
0.31% |
216,085 |
1.27% |
1.05% |
0.62% |
9/30/17 |
10.79 |
0.07 |
2.14 |
2.21 |
(0.12) |
— |
(0.12) |
12.88 |
20.85% |
236,991 |
1.28% |
1.05% |
0.65% |
Class R5 |
|||||||||||||
3/31/22r |
$ 15.14 |
$ 0.01 |
$ (2.64) |
$ (2.63) |
$ (0.18) |
$ (1.83) |
$ (2.01) |
$ 10.50 |
(19.27%)b |
$ 2,313 |
1.39%a |
1.25%a |
0.08%a |
9/30/21 |
13.43 |
0.03 |
1.90 |
1.93 |
— |
(0.22) |
(0.22) |
15.14 |
14.38% |
2,703 |
1.32% |
1.25% |
0.16% |
9/30/20 |
13.20 |
0.00d |
1.35 |
1.35 |
(0.06) |
(1.06) |
(1.12) |
13.43 |
10.23% |
3,165 |
1.37% |
1.25% |
0.02% |
9/30/19 |
12.92 |
0.06 |
0.29 |
0.35 |
(0.07) |
— |
(0.07) |
13.20 |
2.78% |
4,295 |
1.31% |
1.22% |
0.45% |
9/30/18 |
13.05 |
0.07 |
(0.04) |
0.03 |
(0.16) |
— |
(0.16) |
12.92 |
0.21% |
4,047 |
1.37% |
1.15% |
0.53% |
9/30/17 |
10.94 |
0.06 |
2.16 |
2.22 |
(0.11) |
— |
(0.11) |
13.05 |
20.59% |
3,887 |
1.38% |
1.15% |
0.54% |
Service Class |
|||||||||||||
3/31/22r |
$ 14.93 |
$ (0.00)d,bb |
$ (2.60) |
$ (2.60) |
$ (0.17) |
$ (1.83) |
$ (2.00) |
$ 10.33 |
(19.31%)b |
$ 2,021 |
1.49%a |
1.35%a |
(0.02%)a |
9/30/21 |
13.25 |
0.01 |
1.89 |
1.90 |
— |
(0.22) |
(0.22) |
14.93 |
14.35% |
2,216 |
1.42% |
1.35% |
0.05% |
9/30/20 |
13.05 |
(0.01) |
1.33 |
1.32 |
(0.06) |
(1.06) |
(1.12) |
13.25 |
10.12% |
2,473 |
1.47% |
1.35% |
(0.05%) |
9/30/19 |
12.73 |
0.05 |
0.29 |
0.34 |
(0.02) |
— |
(0.02) |
13.05 |
2.71% |
419 |
1.41% |
1.31% |
0.42% |
9/30/18 |
12.85 |
0.05 |
(0.03) |
0.02 |
(0.14) |
— |
(0.14) |
12.73 |
0.10% |
230 |
1.47% |
1.25% |
0.41% |
9/30/17 |
10.78 |
(0.02) |
2.19 |
2.17 |
(0.10) |
— |
(0.10) |
12.85 |
20.41% |
434 |
1.48% |
1.25% |
(0.20%) |
Year ended September 30 |
||||||
Six months ended |
2021 |
2020 |
2019 |
2018 |
2017 |
|
Portfolio turnover rate |
23% |
48% |
71% |
32% |
38% |
51% |
|
a |
Annualized. |
|
b |
Percentage represents the results for the period and is not annualized. |
|
c |
Per share amount calculated on the average shares method. |
|
d |
Amount is less than $0.005 per share. |
|
j |
Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund. |
|
l |
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. |
|
m |
Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges. |
|
r |
Unaudited. |
|
bb |
The amount shown for a share outstanding does not correspond with the aggregate net investment income (loss) as shown on Statement of Operations for the period due to the timing of class-specific expenses. See Note 3 for each fund’s expense structure. |
The accompanying notes are an integral part of the financial statements.
164
Income (loss) from investment |
Less distributions to shareholders |
Ratios / Supplemental Data |
|||||||||||
Net |
Net |
Net |
Total |
From net |
From net |
Total |
Net |
Total |
Net |
Ratio of |
Ratio of |
Net |
|
Administrative Class |
|||||||||||||
3/31/22r |
$ 14.96 |
$ (0.01)bb |
$ (2.60) |
$ (2.61) |
$ (0.16) |
$ (1.83) |
$ (1.99) |
$ 10.36 |
(19.35%)b |
$ 236 |
1.59%a |
1.45%a |
(0.20%)a |
9/30/21 |
13.29 |
(0.01) |
1.90 |
1.89 |
— |
(0.22) |
(0.22) |
14.96 |
14.23% |
1,017 |
1.52% |
1.45% |
(0.03%) |
9/30/20 |
13.08 |
(0.02) |
1.33 |
1.31 |
(0.04) |
(1.06) |
(1.10) |
13.29 |
9.96% |
989 |
1.57% |
1.45% |
(0.16%) |
9/30/19 |
12.78 |
0.03 |
0.30 |
0.33 |
(0.03) |
— |
(0.03) |
13.08 |
2.61% |
927 |
1.51% |
1.41% |
0.24% |
9/30/18 |
12.91 |
0.04 |
(0.03) |
0.01 |
(0.14) |
— |
(0.14) |
12.78 |
0.02% |
879 |
1.57% |
1.35% |
0.33% |
9/30/17 |
10.84 |
0.05 |
2.13 |
2.18 |
(0.11) |
— |
(0.11) |
12.91 |
20.35% |
1,565 |
1.58% |
1.35% |
0.41% |
Class A |
|||||||||||||
3/31/22r |
$ 14.77 |
$ (0.02)bb |
$ (2.59) |
$ (2.61) |
$ (0.00)d |
$ (1.83) |
$ (1.83) |
$ 10.33 |
(19.46%)b |
$ 621 |
1.84%a |
1.70%a |
(0.36%)a |
9/30/21 |
13.17 |
(0.06) |
1.88 |
1.82 |
— |
(0.22) |
(0.22) |
14.77 |
13.83% |
635 |
1.77% |
1.70% |
(0.36%) |
9/30/20 |
12.98 |
(0.05) |
1.32 |
1.27 |
(0.02) |
(1.06) |
(1.08) |
13.17 |
9.75% |
2,029 |
1.82% |
1.70% |
(0.42%) |
9/30/19 |
12.73 |
0.01 |
0.28 |
0.29 |
(0.04) |
— |
(0.04) |
12.98 |
2.32% |
885 |
1.76% |
1.68% |
0.09% |
9/30/18 |
12.88 |
0.04 |
(0.07) |
(0.03) |
(0.12) |
— |
(0.12) |
12.73 |
(0.23%) |
386 |
1.82% |
1.60% |
0.30% |
9/30/17 |
10.74 |
0.02 |
2.14 |
2.16 |
(0.02) |
— |
(0.02) |
12.88 |
20.18% |
118 |
1.83% |
1.60% |
0.14% |
Class R4 |
|||||||||||||
3/31/22r |
$ 14.71 |
$ (0.02)bb |
$ (2.56) |
$ (2.58) |
$ (0.06) |
$ (1.83) |
$ (1.89) |
$ 10.24 |
(19.45%)b |
$ 365 |
1.74%a |
1.60%a |
(0.27%)a |
9/30/21 |
13.10 |
(0.05) |
1.88 |
1.83 |
— |
(0.22) |
(0.22) |
14.71 |
13.98% |
443 |
1.67% |
1.60% |
(0.32%) |
9/30/20 |
12.90 |
(0.04) |
1.32 |
1.28 |
(0.02) |
(1.06) |
(1.08) |
13.10 |
9.84% |
1,237 |
1.72% |
1.60% |
(0.30%) |
9/30/19 |
12.63 |
0.01 |
0.29 |
0.30 |
(0.03) |
— |
(0.03) |
12.90 |
2.38% |
1,337 |
1.66% |
1.57% |
0.05% |
9/30/18 |
12.76 |
0.03 |
(0.04) |
(0.01) |
(0.12) |
— |
(0.12) |
12.63 |
(0.10%) |
1,295 |
1.72% |
1.50% |
0.22% |
9/30/17 |
10.72 |
0.03 |
2.11 |
2.14 |
(0.10) |
— |
(0.10) |
12.76 |
20.23% |
1,019 |
1.73% |
1.50% |
0.24% |
Class R3 |
|||||||||||||
3/31/22r |
$ 14.62 |
$ (0.03)bb |
$ (2.55) |
$ (2.58) |
$ (0.09) |
$ (1.83) |
$ (1.92) |
$ 10.12 |
(19.48%)b |
$ 978 |
1.99%a |
1.85%a |
(0.52%)a |
9/30/21 |
13.05 |
(0.06) |
1.85 |
1.79 |
— |
(0.22) |
(0.22) |
14.62 |
13.72% |
1,120 |
1.92% |
1.85% |
(0.42%) |
9/30/20 |
12.87 |
(0.07) |
1.31 |
1.24 |
(0.00)d |
(1.06) |
(1.06) |
13.05 |
9.57% |
992 |
1.97% |
1.85% |
(0.58%) |
9/30/19 |
12.60 |
(0.02) |
0.29 |
0.27 |
— |
— |
— |
12.87 |
2.14% |
750 |
1.91% |
1.81% |
(0.15%) |
9/30/18 |
12.73 |
(0.01) |
(0.04) |
(0.05) |
(0.08) |
— |
(0.08) |
12.60 |
(0.39%) |
761 |
1.97% |
1.75% |
(0.09%) |
9/30/17 |
10.70 |
(0.01) |
2.12 |
2.11 |
(0.08) |
— |
(0.08) |
12.73 |
19.88% |
821 |
1.98% |
1.75% |
(0.07%) |
The accompanying notes are an integral part of the financial statements.
165
|
1. |
The Funds |
MassMutual Premier Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated August 1, 1994, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The Trust consists of the following series (each individually referred to as a “Fund” or collectively as the “Funds”):
MassMutual U.S. Government Money Market Fund (“U.S. Government Money Market Fund”)
MassMutual Short-Duration Bond Fund (“Short-Duration Bond Fund”)
MassMutual Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)
MassMutual Core Bond Fund (“Core Bond Fund”)
MassMutual Diversified Bond Fund (“Diversified Bond Fund”)
MassMutual High Yield Fund (“High Yield Fund”)
MassMutual Balanced Fund (“Balanced Fund”)
MassMutual Disciplined Value Fund (“Disciplined Value Fund”)
MassMutual Main Street Fund (“Main Street Fund”)
MassMutual Disciplined Growth Fund (“Disciplined Growth Fund”)
MassMutual Small Cap Opportunities Fund (“Small Cap Opportunities Fund”)
MassMutual Global Fund (“Global Fund”)
MassMutual International Equity Fund (“International Equity Fund”)
MassMutual Strategic Emerging Markets Fund (“Strategic Emerging Markets Fund”)
Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.
|
2. |
Significant Accounting Policies |
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.
Investment Valuation
The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.
166
Notes to Financial Statements (Unaudited) (Continued) |
Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (with the exception of debt securities held by the U.S. Government Money Market Fund) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. The U.S. Government Money Market Fund’s debt securities are typically valued at amortized cost, but may be valued using a vendor quote if the Fund’s investment adviser determines it more closely approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the U.S. Government Money Market Fund must adhere to certain conditions. It is the intention of the U.S. Government Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured.
Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral.
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 Trustees, and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.
The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by
|
1 |
The voting members of the Valuation Committee consist of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO, Secretary, and Assistant Secretaries) of the Trust, as well as such other members as the Trustees may from time to time designate. The non-voting members of the Valuation Committee consist of the CCO, Secretary, and Assistant Secretaries. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general. |
167
Notes to Financial Statements (Unaudited) (Continued) |
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.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:
Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.
Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.
Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indexes or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.
Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
168
Notes to Financial Statements (Unaudited) (Continued) |
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, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)
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 Levels.
In certain cases, the inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest Level input that is significant to the overall fair value measurement.
The U.S. Government Money Market Fund characterized all investments at Level 2, as of March 31, 2022. The Disciplined Value Fund, Disciplined Growth Fund, and Small Cap Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of March 31, 2022. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.
The following is the aggregate value by input level, as of March 31, 2022, for the remaining Funds’ investments:
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Short-Duration Bond Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Corporate Debt |
$ | — | $ | 537,373,314 | $ | — | $ | 537,373,314 | ||||||||
Non-U.S. Government Agency Obligations |
— | 426,074,218 | — | 426,074,218 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
— | 434,989 | — | 434,989 | ||||||||||||
Purchased Options |
— | 2,256,614 | — | 2,256,614 | ||||||||||||
Mutual Funds |
721,020 | — | — | 721,020 | ||||||||||||
Short-Term Investments |
— | 23,715,790 | — | 23,715,790 | ||||||||||||
Total Investments |
$ | 721,020 | $ | 989,854,925 | $ | — | $ | 990,575,945 | ||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 8,168,342 | $ | — | $ | — | $ | 8,168,342 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
$ | (730,296 | ) | $ | — | $ | — | $ | (730,296 | ) | ||||||
Swap Agreements |
— | (20,981,153 | ) | — | (20,981,153 | ) | ||||||||||
Total |
$ | (730,296 | ) | $ | (20,981,153 | ) | $ | — | $ | (21,711,449 | ) | |||||
169
Notes to Financial Statements (Unaudited) (Continued) |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Inflation-Protected and Income Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Non-U.S. Government Agency Obligations |
$ | — | $ | 185,359,254 | $ | — | $ | 185,359,254 | ||||||||
U.S. Government Agency Obligations and Instrumentalities |
— | 39,053,199 | — | 39,053,199 | ||||||||||||
U.S. Treasury Obligations |
— | 91,202,283 | — | 91,202,283 | ||||||||||||
Purchased Options |
— | 1,166,008 | — | 1,166,008 | ||||||||||||
Mutual Funds |
— | 5,537,500 | — | 5,537,500 | ||||||||||||
Short-Term Investments |
— | 28,445,481 | — | 28,445,481 | ||||||||||||
Total Investments |
$ | — | $ | 350,763,725 | $ | — | $ | 350,763,725 | ||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
83,728 | — | — | 83,728 | ||||||||||||
Swap Agreements |
— | 886,225 | — | 886,225 | ||||||||||||
Total |
$ | 83,728 | $ | 886,225 | $ | — | $ | 969,953 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
(160,954 | ) | — | — | (160,954 | ) | ||||||||||
Swap Agreements |
— | (4,940,737 | ) | — | (4,940,737 | ) | ||||||||||
Total |
$ | (160,954 | ) | $ | (4,940,737 | ) | $ | — | $ | (5,101,691 | ) | |||||
Core Bond Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Corporate Debt |
$ | — | $ | 346,443,164 | $ | — | $ | 346,443,164 | ||||||||
Non-U.S. Government Agency Obligations |
— | 253,226,728 | — | 253,226,728 | ||||||||||||
Sovereign Debt Obligations |
— | 10,169,306 | — | 10,169,306 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
— | 214,747,591 | — | 214,747,591 | ||||||||||||
U.S. Treasury Obligations |
— | 123,545,426 | — | 123,545,426 | ||||||||||||
Purchased Options |
— | 3,677,145 | — | 3,677,145 | ||||||||||||
Mutual Funds |
4,718,730 | — | — | 4,718,730 | ||||||||||||
Short-Term Investments |
— | 178,284,715 | — | 178,284,715 | ||||||||||||
Total Investments |
$ | 4,718,730 | $ | 1,130,094,075 | $ | — | $ | 1,134,812,805 | ||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 710,231 | $ | — | $ | — | $ | 710,231 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts |
$ | (3,275,918 | ) | $ | — | $ | — | $ | (3,275,918 | ) | ||||||
Diversified Bond Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Preferred Stock |
$ | 1,300,911 | $ | — | $ | — | $ | 1,300,911 | ||||||||
Corporate Debt |
— | 92,191,769 | — | 92,191,769 | ||||||||||||
Non-U.S. Government Agency Obligations |
— | 58,025,775 | — | 58,025,775 | ||||||||||||
Sovereign Debt Obligations |
— | 1,997,645 | — | 1,997,645 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
— | 32,156,612 | — | 32,156,612 | ||||||||||||
U.S. Treasury Obligations |
— | 5,625,886 | — | 5,625,886 | ||||||||||||
Purchased Options |
— | 738,984 | — | 738,984 | ||||||||||||
Warrants |
— | — | 4,163 | ** | 4,163 | |||||||||||
Mutual Funds |
1,971,923 | — | — | 1,971,923 | ||||||||||||
Short-Term Investments |
— | 32,264,968 | — | 32,264,968 | ||||||||||||
Total Investments |
$ | 3,272,834 | $ | 223,001,639 | $ | 4,163 | $ | 226,278,636 | ||||||||
Asset Derivatives |
||||||||||||||||
Forward Contracts |
— | 135,237 | — | 135,237 | ||||||||||||
Futures Contracts |
160,440 | — | — | 160,440 | ||||||||||||
Total |
$ | 160,440 | $ | 135,237 | $ | — | $ | 295,677 | ||||||||
170
Notes to Financial Statements (Unaudited) (Continued) |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Diversified Bond Fund (Continued) |
||||||||||||||||
Liability Derivatives |
||||||||||||||||
Forward Contracts |
$ | — | $ | (158,196 | ) | $ | — | $ | (158,196 | ) | ||||||
Futures Contracts |
(985,485 | ) | — | — | (985,485 | ) | ||||||||||
Written Options |
— | (32,389 | ) | — | (32,389 | ) | ||||||||||
Total |
$ | (985,485 | ) | $ | (190,585 | ) | $ | — | $ | (1,176,070 | ) | |||||
High Yield Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | 3,901,033 | $ | — | $ | — | +** | $ | 3,901,033 | |||||||
Bank Loans |
— | 12,013,203 | — | 12,013,203 | ||||||||||||
Corporate Debt |
— | 443,046,068 | — | 443,046,068 | ||||||||||||
Mutual Funds |
13,124,605 | — | — | 13,124,605 | ||||||||||||
Short-Term Investments |
— | 6,033,809 | — | 6,033,809 | ||||||||||||
Total Investments |
$ | 17,025,638 | $ | 461,093,080 | $ | — | $ | 478,118,718 | ||||||||
Balanced Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | 95,510,457 | $ | — | $ | — | $ | 95,510,457 | ||||||||
Corporate Debt |
— | 18,056,115 | — | 18,056,115 | ||||||||||||
Non-U.S. Government Agency Obligations |
— | 4,826,850 | — | 4,826,850 | ||||||||||||
U.S. Government Agency Obligations and Instrumentalities |
— | 11,983,366 | — | 11,983,366 | ||||||||||||
U.S. Treasury Obligations |
— | 17,631,371 | — | 17,631,371 | ||||||||||||
Mutual Funds |
4,622,123 | — | — | 4,622,123 | ||||||||||||
Short-Term Investments |
— | 5,176,150 | — | 5,176,150 | ||||||||||||
Total Investments |
$ | 100,132,580 | $ | 57,673,852 | $ | — | $ | 157,806,432 | ||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts |
$ | 165,561 | $ | — | $ | — | $ | 165,561 | ||||||||
Main Street Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock |
$ | 114,258,664 | $ | 498,556 | * | $ | — | $ | 114,757,220 | |||||||
Mutual Funds |
166,704 | — | — | 166,704 | ||||||||||||
Short-Term Investments |
— | 1,017,664 | — | 1,017,664 | ||||||||||||
Total Investments |
$ | 114,425,368 | $ | 1,516,220 | $ | — | $ | 115,941,588 | ||||||||
Global Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock* |
||||||||||||||||
Cayman Islands |
$ | 11,274,071 | $ | 1,225,690 | $ | — | $ | 12,499,761 | ||||||||
Denmark |
— | 6,163,901 | — | 6,163,901 | ||||||||||||
France |
— | 24,180,348 | — | 24,180,348 | ||||||||||||
Germany |
— | 5,900,637 | — | 5,900,637 | ||||||||||||
India |
4,013,235 | 8,764,746 | — | 12,777,981 | ||||||||||||
Italy |
— | 1,129,930 | — | 1,129,930 | ||||||||||||
Japan |
— | 29,580,229 | — | 29,580,229 | ||||||||||||
Netherlands |
— | 11,908,203 | — | 11,908,203 | ||||||||||||
Sweden |
— | 9,518,473 | — | 9,518,473 | ||||||||||||
Switzerland |
— | 2,552,672 | — | 2,552,672 | ||||||||||||
United States |
161,622,613 | — | — | 161,622,613 | ||||||||||||
Mutual Funds |
5,682,075 | — | — | 5,682,075 | ||||||||||||
Short-Term Investments |
— | 1,751,197 | — | 1,751,197 | ||||||||||||
Total Investments |
$ | 182,591,994 | $ | 102,676,026 | $ | — | $ | 285,268,020 | ||||||||
171
Notes to Financial Statements (Unaudited) (Continued) |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
International Equity Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock* |
||||||||||||||||
Australia |
$ | 162,225 | $ | 1,318,824 | $ | — | $ | 1,481,049 | ||||||||
Austria |
— | 103,435 | — | 103,435 | ||||||||||||
Belgium |
— | 919,747 | — | 919,747 | ||||||||||||
Canada |
8,661,357 | — | — | 8,661,357 | ||||||||||||
Cayman Islands |
— | 984,413 | — | 984,413 | ||||||||||||
Finland |
— | 2,192,609 | — | 2,192,609 | ||||||||||||
France |
— | 15,498,060 | — | 15,498,060 | ||||||||||||
Germany |
— | 5,577,147 | — | 5,577,147 | ||||||||||||
Hong Kong |
— | 3,360,343 | — | 3,360,343 | ||||||||||||
Ireland |
225,635 | 4,173,796 | — | 4,399,431 | ||||||||||||
Israel |
344,267 | — | — | 344,267 | ||||||||||||
Italy |
— | 139,660 | — | 139,660 | ||||||||||||
Japan |
— | 21,271,513 | — | 21,271,513 | ||||||||||||
Luxembourg |
— | 337,504 | — | 337,504 | ||||||||||||
Netherlands |
386,919 | 6,587,091 | — | 6,974,010 | ||||||||||||
Norway |
— | 551,198 | — | 551,198 | ||||||||||||
Republic of Korea |
— | 411,319 | — | 411,319 | ||||||||||||
Singapore |
— | 515,291 | — | 515,291 | ||||||||||||
Spain |
— | 4,036,508 | — | 4,036,508 | ||||||||||||
Sweden |
— | 3,618,472 | — | 3,618,472 | ||||||||||||
Switzerland |
— | 13,571,477 | — | 13,571,477 | ||||||||||||
United Kingdom |
370,513 | 35,555,209 | — | 35,925,722 | ||||||||||||
Mutual Funds |
2,191,126 | — | — | 2,191,126 | ||||||||||||
Short-Term Investments |
— | 601,920 | — | 601,920 | ||||||||||||
Total Investments |
$ | 12,342,042 | $ | 121,325,536 | $ | — | $ | 133,667,578 | ||||||||
Strategic Emerging Markets Fund |
||||||||||||||||
Asset Investments |
||||||||||||||||
Common Stock* |
||||||||||||||||
Bermuda |
$ | 165,339 | $ | — | $ | — | $ | 165,339 | ||||||||
Brazil |
5,959,430 | — | 35,695 | ** | 5,995,125 | |||||||||||
Cayman Islands |
15,022,975 | 12,216,820 | — | 27,239,795 | ||||||||||||
China |
— | 76,858 | — | 76,858 | ||||||||||||
Cyprus |
— | — | — | +,** | — | |||||||||||
Egypt |
— | 610,863 | — | 610,863 | ||||||||||||
France |
— | 5,957,447 | — | 5,957,447 | ||||||||||||
Hong Kong |
— | 7,363,779 | — | 7,363,779 | ||||||||||||
India |
— | 27,218,307 | — | 27,218,307 | ||||||||||||
Indonesia |
— | 1,340,886 | — | 1,340,886 | ||||||||||||
Italy |
— | 2,037,717 | — | 2,037,717 | ||||||||||||
Luxembourg |
— | 404,462 | — | 404,462 | ||||||||||||
Mexico |
13,775,835 | — | — | 13,775,835 | ||||||||||||
Netherlands |
— | — | — | +,** | — | |||||||||||
Philippines |
— | 3,546,823 | — | 3,546,823 | ||||||||||||
Republic of Korea |
— | 9,279,258 | — | 9,279,258 | ||||||||||||
Russia |
— | — | — | +,** | — | |||||||||||
South Africa |
— | 1,467,303 | — | 1,467,303 | ||||||||||||
Switzerland |
— | 4,349,254 | — | 4,349,254 | ||||||||||||
Taiwan |
— | 15,712,100 | — | 15,712,100 | ||||||||||||
Turkey |
— | 147,833 | — | 147,833 | ||||||||||||
United Kingdom |
— | 670,390 | — | 670,390 | ||||||||||||
United States |
4,926,270 | — | — | 4,926,270 | ||||||||||||
172
Notes to Financial Statements (Unaudited) (Continued) |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
Strategic Emerging Markets Fund (Continued) |
||||||||||||||||
Asset Investments (Continued) |
||||||||||||||||
Preferred Stock* |
||||||||||||||||
Brazil |
$ | 1,829,581 | $ | — | $ | — | $ | 1,829,581 | ||||||||
Warrants |
42,610 | — | — | 42,610 | ||||||||||||
Rights |
— | 40,554 | — | 40,554 | ||||||||||||
Short-Term Investments |
— | 7,187,696 | — | 7,187,696 | ||||||||||||
Total Investments |
$ | 41,722,040 | $ | 99,628,350 | $ | 35,695 | $ | 141,386,085 | ||||||||
|
* |
Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their respective foreign markets, as applicable. |
|
** |
None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at March 31, 2022 in relation to net assets were not significant. |
|
+ |
Represents a security at $0 value as of March 31, 2022. |
For certain Fund(s) the Statement of Assets and Liabilities shows receivables from investments sold on a delayed delivery basis, collateral pledged for open purchased options, collateral pledged for open futures contracts, and collateral pledged for open swap agreements, as well as, any applicable liabilities for investments purchased on a delayed delivery basis, amounts due to custodian, collateral held for open purchased options, collateral held for open swap agreements, and collateral held for securities on loan. These amounts approximate fair value and would be categorized at Level 2 for each applicable Fund as of March 31, 2022.
The Funds, with the exception of the Strategic Emerging Markets Fund, had no Level 3 transfers during the period ended March 31, 2022. The following table shows the Level 3 transfers for the Strategic Emerging Markets Fund for the period ended March 31, 2022.
Transfers In * |
Transfers Out * |
|||||||||||
Level 3 - |
Level 1 - |
Level 2 - |
||||||||||
Strategic Emerging Markets Fund |
$ | 16,750,547 | $ | (6,093,568 | ) | $ | (10,656,979 | ) | ||||
|
* |
Level 3 transfers occurred as inputs were less observable. |
Derivative Instruments
Derivatives are financial instruments whose values are based on the values of one or more underlying indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than the derivatives’ original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price.
173
Notes to Financial Statements (Unaudited) (Continued) |
At March 31, 2022, and during the period then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:
Equity |
Foreign |
Interest/ |
Total |
|||||||||||||
Short-Duration Bond Fund |
||||||||||||||||
Asset Derivatives |
||||||||||||||||
Purchased Options* |
$ | — | $ | — | $ | 2,256,614 | $ | 2,256,614 | ||||||||
Futures Contracts^^ |
— | — | 8,168,342 | 8,168,342 | ||||||||||||
Total Value |
$ | — | $ | — | $ | 10,424,956 | $ | 10,424,956 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts^^ |
$ | — | $ | — | $ | (730,296 | ) | $ | (730,296 | ) | ||||||
Swap Agreements^^,^^^ |
— | — | (20,981,153 | ) | (20,981,153 | ) | ||||||||||
Total Value |
$ | — | $ | — | $ | (21,711,449 | ) | $ | (21,711,449 | ) | ||||||
Realized Gain (Loss)# |
||||||||||||||||
Futures Contracts |
$ | — | $ | — | $ | 3,745,930 | $ | 3,745,930 | ||||||||
Swap Agreements |
— | — | 825,605 | 825,605 | ||||||||||||
Total Realized Gain (Loss) |
$ | — | $ | — | $ | 4,571,535 | $ | 4,571,535 | ||||||||
Change in Appreciation (Depreciation)## |
||||||||||||||||
Purchased Options |
$ | — | $ | — | $ | 558,880 | $ | 558,880 | ||||||||
Futures Contracts |
— | — | 6,832,278 | 6,832,278 | ||||||||||||
Swap Agreements |
— | — | (20,981,153 | ) | (20,981,153 | ) | ||||||||||
Total Change in Appreciation (Depreciation) |
$ | — | $ | — | $ | (13,589,995 | ) | $ | (13,589,995 | ) | ||||||
Inflation-Protected and Income Fund |
||||||||||||||||
Asset Derivatives |
||||||||||||||||
Purchased Options* |
$ | — | $ | — | $ | 1,166,008 | $ | 1,166,008 | ||||||||
Futures Contracts^^ |
— | — | 83,728 | 83,728 | ||||||||||||
Swap Agreements* |
— | — | 886,225 | 886,225 | ||||||||||||
Total Value |
$ | — | $ | — | $ | 2,135,961 | $ | 2,135,961 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts^^ |
$ | — | $ | — | $ | (160,954 | ) | $ | (160,954 | ) | ||||||
Swap Agreements^ |
— | — | (4,940,737 | ) | (4,940,737 | ) | ||||||||||
Total Value |
$ | — | $ | — | $ | (5,101,691 | ) | $ | (5,101,691 | ) | ||||||
Realized Gain (Loss)# |
||||||||||||||||
Futures Contracts |
$ | — | $ | — | $ | 95,384 | $ | 95,384 | ||||||||
Swap Agreements |
— | — | 7,774,633 | 7,774,633 | ||||||||||||
Total Realized Gain (Loss) |
$ | — | $ | — | $ | 7,870,017 | $ | 7,870,017 | ||||||||
Change in Appreciation (Depreciation)## |
||||||||||||||||
Purchased Options |
$ | — | $ | — | $ | 278,134 | $ | 278,134 | ||||||||
Futures Contracts |
— | — | (190,084 | ) | (190,084 | ) | ||||||||||
Swap Agreements |
(4,263,676 | ) | — | (4,487,052 | ) | (8,750,728 | ) | |||||||||
Total Change in Appreciation (Depreciation) |
$ | (4,263,676 | ) | $ | — | $ | (4,399,002 | ) | $ | (8,662,678 | ) | |||||
174
Notes to Financial Statements (Unaudited) (Continued) |
Equity |
Foreign |
Interest/ |
Total |
|||||||||||||
Core Bond Fund |
||||||||||||||||
Asset Derivatives |
||||||||||||||||
Purchased Options* |
$ | — | $ | — | $ | 3,677,145 | $ | 3,677,145 | ||||||||
Futures Contracts^^ |
— | — | 710,231 | 710,231 | ||||||||||||
Total Value |
$ | — | $ | — | $ | 4,387,376 | $ | 4,387,376 | ||||||||
Liability Derivatives |
||||||||||||||||
Futures Contracts^^ |
$ | — | $ | — | $ | (3,275,918 | ) | $ | (3,275,918 | ) | ||||||
Realized Gain (Loss)# |
||||||||||||||||
Futures Contracts |
$ | — | $ | — | $ | (6,945,292 | ) | $ | (6,945,292 | ) | ||||||
Change in Appreciation (Depreciation)## |
||||||||||||||||
Purchased Options |
$ | — | $ | — | $ | 819,006 | $ | 819,006 | ||||||||
Futures Contracts |
— | — | 233,882 | 233,882 | ||||||||||||
Total Change in Appreciation (Depreciation) |
$ | — | $ | — | $ | 1,052,888 | $ | 1,052,888 | ||||||||
Diversified Bond Fund |
||||||||||||||||
Asset Derivatives |
||||||||||||||||
Purchased Options* |
$ | — | $ | — | $ | 738,984 | $ | 738,984 | ||||||||
Forward Contracts* |
— | 135,237 | — | 135,237 | ||||||||||||
Futures Contracts^^ |
— | — | 160,440 | 160,440 | ||||||||||||
Total Value |
$ | — | $ | 135,237 | $ | 899,424 | $ | 1,034,661 | ||||||||
Liability Derivatives |
||||||||||||||||
Forward Contracts^ |
$ | — | $ | (158,196 | ) | $ | — | $ | (158,196 | ) | ||||||
Futures Contracts^^ |
— | — | (985,485 | ) | (985,485 | ) | ||||||||||
Written Options^ |
— | (32,389 | ) | — | (32,389 | ) | ||||||||||
Total Value |
$ | — | $ | (190,585 | ) | $ | (985,485 | ) | $ | (1,176,070 | ) | |||||
Realized Gain (Loss)# |
||||||||||||||||
Purchased Options |
$ | — | $ | 8,412 | $ | — | $ | 8,412 | ||||||||
Forward Contracts |
— | (69,671 | ) | — | (69,671 | ) | ||||||||||
Futures Contracts |
— | — | (1,599,602 | ) | (1,599,602 | ) | ||||||||||
Written Options |
— | 26,911 | — | 26,911 | ||||||||||||
Total Realized Gain (Loss) |
$ | — | $ | (34,348 | ) | $ | (1,599,602 | ) | $ | (1,633,950 | ) | |||||
Change in Appreciation (Depreciation)## |
||||||||||||||||
Purchased Options |
$ | — | $ | 1,427 | $ | 172,929 | $ | 174,356 | ||||||||
Forward Contracts |
— | (19,430 | ) | — | (19,430 | ) | ||||||||||
Futures Contracts |
— | — | (271,972 | ) | (271,972 | ) | ||||||||||
Written Options |
— | (37,643 | ) | — | (37,643 | ) | ||||||||||
Total Change in Appreciation (Depreciation) |
$ | — | $ | (55,646 | ) | $ | (99,043 | ) | $ | (154,689 | ) | |||||
175
Notes to Financial Statements (Unaudited) (Continued) |
Equity |
Foreign |
Interest/ |
Total |
|||||||||||||
Balanced Fund |
||||||||||||||||
Asset Derivatives |
||||||||||||||||
Futures Contracts^^ |
$ | — | $ | — | $ | 165,561 | $ | 165,561 | ||||||||
Realized Gain (Loss)# |
||||||||||||||||
Futures Contracts |
$ | — | $ | — | $ | 224,922 | $ | 224,922 | ||||||||
Change in Appreciation (Depreciation)## |
||||||||||||||||
Futures Contracts |
$ | — | $ | — | $ | 112,075 | $ | 112,075 | ||||||||
|
* |
Statements of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts or open swap agreements, at value, as applicable. |
|
^ |
Statements of Assets and Liabilities location: Payables for: open forward 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” in each applicable/the Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Consolidated Statements/Statement of Assets and Liabilities. |
|
^^^ |
Represents centrally cleared swaps which are not subject to a master netting agreement or similar agreement. |
|
# |
Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable. |
|
## |
Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable. |
For the period ended March 31, 2022, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:
Number of Contracts, Notional Amounts, or Shares/Units† |
||||||||||||||||||||||||
Fund Name |
Futures |
Forward |
Swap |
Purchased |
Purchased |
Written |
||||||||||||||||||
Short-Duration Bond Fund |
4,282 | $ | — | $ | 419,700,000 | — | $ | 34,178,833 | — | |||||||||||||||
Inflation-Protected and Income Fund |
122 | — | 313,651,102 | — | 23,079,750 | — | ||||||||||||||||||
Core Bond Fund |
1,050 | — | — | — | 70,131,000 | — | ||||||||||||||||||
Diversified Bond Fund |
294 | 7,049,320 | — | 265,000 | 14,210,000 | 1,012,083 | ||||||||||||||||||
Balanced Fund |
41 | — | — | — | — | — | ||||||||||||||||||
|
† |
Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, purchased swaptions, and written swaptions, or shares/units outstanding for purchased options written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended March 31, 2022. |
The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of the Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on a Fund’s derivatives exposure as of March 31, 2022. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.
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Notes to Financial Statements (Unaudited) (Continued) |
The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”) or similar agreement and net of the related collateral received by the Fund(s) as of March 31, 2022.
Counterparty |
Derivative |
Financial |
Collateral |
Net Amount* |
||||||||||||
Short-Duration Bond Fund |
||||||||||||||||
Barclays Bank PLC |
$ | 55,744 | $ | — | $ | (55,744 | ) | $ | — | |||||||
Credit Suisse International |
554,558 | — | (554,558 | ) | — | |||||||||||
JP Morgan Chase Bank N.A. |
1,646,312 | — | (1,500,000 | ) | 146,312 | |||||||||||
| $ | 2,256,614 | $ | — | $ | (2,110,302 | ) | $ | 146,312 | ||||||||
Inflation-Protected and Income Fund |
||||||||||||||||
Bank of America N.A. |
$ | 322,460 | $ | — | $ | (290,000 | ) | $ | 32,460 | |||||||
Barclays Bank PLC |
807,972 | (807,972 | ) | — | — | |||||||||||
Credit Suisse International |
358,036 | — | (300,000 | ) | 58,036 | |||||||||||
JP Morgan Chase Bank N.A. |
563,765 | — | (563,765 | ) | — | |||||||||||
| $ | 2,052,233 | $ | (807,972 | ) | $ | (1,153,765 | ) | $ | 90,496 | |||||||
Core Bond Fund |
||||||||||||||||
Barclays Bank PLC |
$ | 3,677,145 | $ | — | $ | (3,677,145 | ) | $ | — | |||||||
Diversified Bond Fund |
||||||||||||||||
Bank of America N.A. |
$ | 42,074 | $ | (42,074 | ) | $ | — | $ | — | |||||||
Barclays Bank PLC |
740,886 | (944 | ) | (739,942 | ) | — | ||||||||||
BNP Paribas SA |
1,894 | (1,894 | ) | — | — | |||||||||||
Citibank N.A. |
59,219 | (31,341 | ) | — | 27,878 | |||||||||||
Goldman Sachs International |
15 | (15 | ) | — | — | |||||||||||
HSBC Bank USA |
17,180 | (17,180 | ) | — | — | |||||||||||
JP Morgan Chase Bank N.A. |
5,831 | (5,831 | ) | — | — | |||||||||||
Morgan Stanley & Co. LLC |
7,122 | (2,432 | ) | — | 4,690 | |||||||||||
| $ | 874,221 | $ | (101,711 | ) | $ | (739,942 | ) | $ | 32,568 | |||||||
The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA or similar agreement and net of the related collateral pledged by the Fund(s) as of March 31, 2022.
Counterparty |
Derivative |
Financial |
Collateral |
Net |
||||||||||||
Inflation-Protected and Income Fund |
||||||||||||||||
Barclays Bank PLC |
$ | (1,733,972 | ) | $ | 807,972 | $ | 770,000 | $ | (156,000 | ) | ||||||
BNP Paribas SA |
(1,406,016 | ) | — | 1,220,000 | (186,016 | ) | ||||||||||
Goldman Sachs International |
(1,800,749 | ) | — | 1,540,000 | (260,749 | ) | ||||||||||
| $ | (4,940,737 | ) | $ | 807,972 | $ | 3,530,000 | $ | (602,765 | ) | |||||||
177
Notes to Financial Statements (Unaudited) (Continued) |
Counterparty |
Derivative |
Financial |
Collateral |
Net |
||||||||||||
Diversified Bond Fund |
||||||||||||||||
Bank of America N.A. |
$ | (84,335 | ) | $ | 42,074 | $ | — | $ | (42,261 | ) | ||||||
Barclays Bank PLC |
(944 | ) | 944 | — | — | |||||||||||
BNP Paribas SA |
(2,103 | ) | 1,894 | — | (209 | ) | ||||||||||
Citibank N.A. |
(31,341 | ) | 31,341 | — | — | |||||||||||
Goldman Sachs International |
(3,536 | ) | 15 | — | (3,521 | ) | ||||||||||
HSBC Bank USA |
(28,776 | ) | 17,180 | — | (11,596 | ) | ||||||||||
JP Morgan Chase Bank N.A. |
(37,118 | ) | 5,831 | — | (31,287 | ) | ||||||||||
Morgan Stanley & Co. LLC |
(2,432 | ) | 2,432 | — | — | |||||||||||
| $ | (190,585 | ) | $ | 101,711 | $ | — | $ | (88,874 | ) | |||||||
|
* |
Represents the net amount receivable from the counterparty in the event of default. |
|
** |
Represents the net amount payable to the counterparty in the event of default. |
|
*** |
The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0. |
|
† |
The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within an MNA or similar agreement. |
Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. The Fund(s) and counterparties may not be permitted to sell, re-pledge, or use the collateral they receive. In the event that cash collateral is restricted for use, the balance will be reflected as restricted cash within the Statement of Assets and Liabilities.
Further details regarding the derivatives and other investments held by the Fund(s) during the period ended March 31, 2022, are discussed below.
Foreign Currency Exchange Transactions
A Fund may enter into foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.
A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. For example, futures contracts are exchange-traded and typically have minimal exposure to counterparty risk and forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.
Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally
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Notes to Financial Statements (Unaudited) (Continued) |
be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.
Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.
Futures Contracts
A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.
Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.
When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Swap Agreements
Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).
179
Notes to Financial Statements (Unaudited) (Continued) |
Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.
Total Return Swaps. A Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).
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 total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.
Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.
Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.
180
Notes to Financial Statements (Unaudited) (Continued) |
During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.
During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.
A Fund’s current exposure to a counterparty is the fair value of the transaction.
Options, Rights, and Warrants
A Fund may purchase and sell put and call options on portfolio 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 in the case of an American-style option or only on the expiration date in the case of a European-style option.
Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price.
Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.
When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.
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Notes to Financial Statements (Unaudited) (Continued) |
Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.
When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.
OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.
Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.
When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.
Hybrid Instruments
A hybrid instrument may be a debt security, preferred stock, warrant, convertible security, certificate of deposit, or other evidence of indebtedness on which a portion of or all interest payments, and/or the principal or stated amount payable at maturity, redemption, or retirement, is determined by reference to one or more underlying assets, indexes, economic factors, or other benchmarks. Because hybrid instruments may be designed to provide indirect exposures to virtually any type of derivative instrument, a Fund may invest in a hybrid instrument for any purpose it might engage in derivatives transactions. Hybrid instruments may take a number of forms, including, for example, debt instruments with interest or principal payments or redemption terms determined by reference to the value of an index, security, or other measure at a future time, preferred stock
182
Notes to Financial Statements (Unaudited) (Continued) |
with dividend rates determined by reference to the value of a currency, or convertible securities where the conversion terms relate to a particular commodity. The risks of investing in a hybrid instrument may, depending on the nature of the instrument, reflect a combination of the risks of investing in securities, options, futures, currencies or other types of investments, and will depend upon the terms of the instrument. Such risks generally depend upon factors unrelated to the operations or credit quality of the issuer of the hybrid instrument, and may not be foreseen by the purchaser, such as financial or market developments, economic and political events, the supply and demand of the underlying assets, and interest rate movements. Hybrid instruments may be highly volatile and their use by a Fund may not be successful. The terms of a hybrid instrument may create investment leverage. Hybrid instruments are typically privately issued, presenting credit risk of the issuer, and may be highly illiquid and difficult to value.
Inflation-Linked Securities
Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.
Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.
The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.
Bank Loans
A Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.
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Notes to Financial Statements (Unaudited) (Continued) |
Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.
At March 31, 2022, 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.
When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions
A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.
These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.
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.
184
Notes to Financial Statements (Unaudited) (Continued) |
A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.
Securities Lending
Each Fund, other than the U.S. Government Money Market Fund, may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).
Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) and/or securities (U.S. Treasury and Agency obligations) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At March 31, 2022, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan, and all of the Funds’ cash collateral was invested in the State Street Navigator Securities Lending Government Money Market Portfolio.
Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement.
The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Funds in securities lending transactions during the period ended March 31, 2022, is reflected as securities lending income on the Statement of Operations.
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 and realized capital 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 gains are recorded as a reduction of cost of investments and/or as a realized gain.
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
185
Notes to Financial Statements (Unaudited) (Continued) |
and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.
Allocation of Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets or another alternative method.
Foreign Securities
The Global Fund invests a significant amount of its assets in foreign securities and each of the International Equity Fund and Strategic Emerging Markets Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.
Federal Income Tax
It is each Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.
Dividends and Distributions to Shareholders
Dividends from net investment income are either declared daily and paid monthly or declared and paid annually depending on the requirements of each Fund. Dividends from net investment income may also be distributed at other times throughout the year as required to satisfy tax or regulatory requirements. 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.
186
Notes to Financial Statements (Unaudited) (Continued) |
3. Advisory Fees and Other Transactions
Investment Advisory Fees and Investment Subadvisers
MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
Fund |
Investment Advisory Fee |
U.S. Government Money Market Fund |
0.35% on the first $1 billion; and |
0.33% on any excess over $1 billion |
|
Short-Duration Bond Fund |
0.35% on the first $500 million; and |
0.30% on any excess over $500 million |
|
Inflation-Protected and Income Fund |
0.38% on the first $350 million; and |
0.33% on any excess over $350 million |
|
Core Bond Fund |
0.38% on the first $1.5 billion; |
0.33% on the next $500 million; and |
|
0.28% on any excess over $2 billion |
|
Diversified Bond Fund |
0.40% on the first $150 million; and |
0.30% on any excess over $150 million |
|
High Yield Fund |
0.48% on the first $250 million; and |
0.455% on any excess over $250 million |
|
Balanced Fund |
0.48% on the first $300 million; and |
0.43% on any excess over $300 million |
|
Disciplined Value Fund |
0.45% on the first $400 million; and |
0.40% on any excess over $400 million |
|
Main Street Fund |
0.55% on the first $300 million; and |
0.50% on any excess over $300 million |
|
Disciplined Growth Fund |
0.45% on the first $400 million; and |
0.40% on any excess over $400 million |
|
Small Cap Opportunities Fund |
0.58% on the first $300 million; and |
0.53% on any excess over $300 million |
|
Global Fund |
0.75% on the first $400 million; and |
0.70% on any excess over $400 million |
|
International Equity Fund |
0.83% on the first $500 million; |
0.78% on the next $500 million; and |
|
0.73% on any excess over $1 billion |
|
Strategic Emerging Markets Fund |
1.00% on the first $350 million; and |
0.95% on any excess over $350 million |
187
Notes to Financial Statements (Unaudited) (Continued) |
MML Advisers has entered into investment subadvisory agreements with Barings LLC (“Barings”), a wholly-owned subsidiary of MM Asset Management Holding LLC, itself a wholly-owned subsidiary of MassMutual Holding LLC, a controlled subsidiary of MassMutual, on behalf of certain Funds. These agreements provide that Barings manage the investment and reinvestment of assets of these Funds. Barings receives a subadvisory fee from MML Advisers, based upon each Fund’s average daily net assets, at the following annual rates:
U.S. Government Money Market Fund |
0.05% |
Short-Duration Bond Fund* |
0.08% |
Inflation-Protected and Income Fund* |
0.08% |
Core Bond Fund* |
0.10% |
Diversified Bond Fund* |
0.10% |
High Yield Fund* |
0.20% |
|
* |
Baring International Investment Limited (“BIIL”) serves as a sub-subadviser of the Fund. BIIL does not receive a fee from Barings under the applicable sub-subadvisory agreements with Barings. |
MML Advisers has also entered into investment subadvisory agreements for certain Funds with the unaffiliated investment subadviser(s) shown in the following table. MML Advisers pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets 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 other Funds or accounts of MML Advisers or its affiliates for which the subadviser provides subadvisory services.
Balanced Fund* |
Invesco Advisers, Inc. |
Disciplined Value Fund |
Wellington Management Company LLP |
Main Street Fund |
Invesco Advisers, Inc. |
Disciplined Growth Fund |
Wellington Management Company LLP |
Small Cap Opportunities Fund |
Invesco Advisers, Inc. |
Global Fund |
Invesco Advisers, Inc. |
International Equity Fund |
Thompson, Siegel & Walmsley LLC; and |
Wellington Management Company LLP |
|
Strategic Emerging Markets Fund |
Invesco Advisers, Inc. |
|
* |
Invesco Capital Management LLC serves as a sub-subadviser of the Fund. |
The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees previously disclosed above.
188
Notes to Financial Statements (Unaudited) (Continued) |
Administration Fees
Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:
Class |
Class |
Service |
Administrative |
Class |
Class |
Class |
Class |
Class |
Class |
|
U.S. Government Money Market Fund |
N/A |
0.10% |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
N/A |
Short-Duration Bond Fund * |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
0.10% |
0.05% |
0.05% |
Inflation-Protected and Income Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Core Bond Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Diversified Bond Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
High Yield Fund ** |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
0.05% |
N/A |
None |
Balanced Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Disciplined Value Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Main Street Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Disciplined Growth Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Small Cap Opportunities Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Global Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
International Equity Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
Strategic Emerging Markets Fund |
None |
0.10% |
0.20% |
0.30% |
0.30% |
0.20% |
0.20% |
N/A |
N/A |
N/A |
|
* |
Effective 12/10/2021, Class Y, Class L, and Class C were added to the Short-Duration Bond Fund. |
|
** |
Effective 12/10/2021, Class Y and Class C were added to the High Yield Fund. |
Distribution and Service Fees
MML Distributors, LLC acted as distributor to each Fund through December 10, 2021. Effective December 10, 2021, MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund except the Short-Duration Bond Fund and High Yield Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of each Fund except the Short-Duration Bond Fund and High Yield Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.
Effective December 10, 2021, ALPS Distributors, Inc. (the “ALPS Distributor”) acts as distributor to the Short-Duration Bond Fund and High Yield Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class R4 shares and Class A shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; Class L shares of the Short-Duration Bond Fund pay an annual fee of 0.25% of the average daily net assets of the class; Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class; Class C shares of the Short-Duration Bond Fund pay an annual fee of 0.50% of the average daily net assets of the class; and Class C shares of the High Yield Fund pay an annual fee of 1.00% of the average daily net assets of the class, to the ALPS Distributor. Such payments compensate the ALPS Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to the Short-Duration Bond and High Yield Funds’ shareholders.
189
Notes to Financial Statements (Unaudited) (Continued) |
Expense Caps and Waivers
MML Advisers agreed to cap the fees and expenses of the Fund noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses#, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) through January 31, 2023, based upon the average daily net assets of the applicable class of shares of the Fund, as follows:
Class I |
Class R5 |
Service |
Administrative Class |
Class A |
Class R4 |
Class R3 |
|
Strategic Emerging Markets Fund |
1.15% |
1.25% |
1.35% |
1.45% |
1.70% |
1.60% |
1.85% |
|
# |
Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles. |
Effective December 10, 2021, MML Advisers agreed to cap the Fees and Expenses of the Fund noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) through January 31, 2023, based upon the average daily net assets of the applicable class of shares of the Fund, as follows:
Class I |
Class Y |
Class L |
Class C |
|
Short-Duration Bond Fund |
0.40% |
0.40% |
0.65% |
0.90% |
|
# |
Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles. |
MML Advisers has agreed to waive 0.05% of the advisory fee of the International Equity Fund through January 31, 2023.
For the U.S. Government Money Market Fund, MML Advisers has agreed to voluntarily waive some or all of its fees in an attempt to allow the Fund to avoid a negative yield. There is no guarantee that the Fund will be able to avoid a negative yield. Payments made to intermediaries will be unaffected. MML Advisers may amend or discontinue this waiver at any time without advance notice.
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 period ended March 31, 2022, brokerage commissions rebated under these agreements were as follows:
Rebated |
||||
Main Street Fund |
$ | 327 | ||
Small Cap Opportunities Fund |
4,638 | |||
Global Fund |
422 | |||
International Equity Fund |
492 | |||
Strategic Emerging Markets Fund |
411 | |||
190
Notes to Financial Statements (Unaudited) (Continued) |
Deferred Compensation
Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.
Other
Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.
The following table shows beneficial ownership of Funds’ shares by related parties at March 31, 2022:
Total % Ownership |
|
U.S. Government Money Market Fund |
91.6% |
Short-Duration Bond Fund |
83.5% |
Inflation-Protected and Income Fund |
74.5% |
Core Bond Fund |
88.8% |
Diversified Bond Fund |
85.2% |
High Yield Fund |
76.7% |
Balanced Fund |
89.8% |
Disciplined Value Fund |
96.9% |
Main Street Fund |
70.9% |
Disciplined Growth Fund |
96.6% |
Small Cap Opportunities Fund |
79.8% |
Global Fund |
92.9% |
International Equity Fund |
91.5% |
Strategic Emerging Markets Fund |
96.3% |
4. Purchases and Sales of Investments
Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended March 31, 2022, were as follows:
Purchases |
Sales |
|||||||||||||||
Long-Term U.S. |
Other Long- |
Long-Term U.S. |
Other Long- |
|||||||||||||
Short-Duration Bond Fund |
$ | 2,288,000 | $ | 118,657,390 | $ | 23,957,053 | $ | 537,661,470 | ||||||||
Inflation-Protected and Income Fund |
49,109,882 | 70,673,308 | 42,488,640 | 81,313,475 | ||||||||||||
Core Bond Fund |
1,301,571,812 | 102,330,635 | 1,324,651,626 | 211,515,137 | ||||||||||||
Diversified Bond Fund |
216,066,131 | 34,865,311 | 218,319,897 | 52,577,380 | ||||||||||||
High Yield Fund |
— | 132,293,250 | — | 217,711,895 | ||||||||||||
Balanced Fund |
134,491,199 | 25,725,628 | 143,559,929 | 31,801,972 | ||||||||||||
Disciplined Value Fund |
— | 12,804,397 | — | 31,353,794 | ||||||||||||
Main Street Fund |
— | 23,898,649 | — | 31,444,129 | ||||||||||||
Disciplined Growth Fund |
— | 36,419,959 | — | 63,139,407 | ||||||||||||
Small Cap Opportunities Fund |
— | 51,807,574 | — | 71,902,483 | ||||||||||||
Global Fund |
— | 18,543,075 | — | 67,432,043 | ||||||||||||
International Equity Fund |
— | 10,938,669 | — | 35,294,324 | ||||||||||||
Strategic Emerging Markets Fund |
— | 41,879,688 | — | 34,928,661 | ||||||||||||
191
Notes to Financial Statements (Unaudited) (Continued) |
The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.
Purchases |
Sales |
Realized |
||||||||||
Main Street Fund |
$ | 152,336 | $ | — | $ | — | ||||||
5. Capital Share Transactions
Changes in shares outstanding for each Fund were as follows:
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
U.S. Government Money Market Fund Class R5 |
||||||||||||||||
Sold |
485,929,788 | $ | 485,929,788 | 1,368,358,165 | $ | 1,368,358,165 | ||||||||||
Issued as reinvestment of dividends |
— | — | — | — | ||||||||||||
Redeemed |
(507,297,783 | ) | (507,297,783 | ) | (1,410,773,686 | ) | (1,410,773,686 | ) | ||||||||
Net increase (decrease) |
(21,367,995 | ) | $ | (21,367,995 | ) | (42,415,521 | ) | $ | (42,415,521 | ) | ||||||
Short-Duration Bond Fund Class I |
||||||||||||||||
Sold |
5,167,494 | $ | 50,568,836 | 11,314,327 | $ | 113,134,595 | ||||||||||
Issued as reinvestment of dividends |
567,675 | 5,538,392 | 801,172 | 7,859,494 | ||||||||||||
Redeemed |
(8,821,553 | ) | (86,027,573 | ) | (9,964,157 | ) | (100,009,574 | ) | ||||||||
Net increase (decrease) |
(3,086,384 | ) | $ | (29,920,345 | ) | 2,151,342 | $ | 20,984,515 | ||||||||
Short-Duration Bond Fund Class R5 |
||||||||||||||||
Sold |
1,074,147 | $ | 10,674,906 | 9,461,236 | $ | 95,545,701 | ||||||||||
Issued as reinvestment of dividends |
174,541 | 1,710,174 | 506,052 | 4,984,608 | ||||||||||||
Redeemed |
(2,677,430 | ) | (26,084,490 | ) | (14,315,626 | ) | (143,718,737 | ) | ||||||||
Net increase (decrease) |
(1,428,742 | ) | $ | (13,699,410 | ) | (4,348,338 | ) | $ | (43,188,428 | ) | ||||||
Short-Duration Bond Fund Service Class |
||||||||||||||||
Sold |
217,051 | $ | 2,173,585 | 1,168,072 | $ | 11,645,542 | ||||||||||
Issued as reinvestment of dividends |
34,388 | 337,256 | 112,610 | 1,102,450 | ||||||||||||
Redeemed |
(1,612,387 | ) | (15,831,147 | ) | (3,501,666 | ) | (35,089,378 | ) | ||||||||
Net increase (decrease) |
(1,360,948 | ) | $ | (13,320,306 | ) | (2,220,984 | ) | $ | (22,341,386 | ) | ||||||
Short-Duration Bond Fund Administrative Class |
||||||||||||||||
Sold |
137,277 | $ | 1,339,162 | 908,251 | $ | 8,959,333 | ||||||||||
Issued as reinvestment of dividends |
38,065 | 369,071 | 114,062 | 1,110,963 | ||||||||||||
Redeemed |
(554,093 | ) | (5,377,264 | ) | (2,095,558 | ) | (20,819,283 | ) | ||||||||
Net increase (decrease) |
(378,751 | ) | $ | (3,669,031 | ) | (1,073,245 | ) | $ | (10,748,987 | ) | ||||||
Short-Duration Bond Fund Class A |
||||||||||||||||
Sold |
58,160 | $ | 556,373 | 1,269,827 | $ | 12,555,970 | ||||||||||
Issued as reinvestment of dividends |
45,085 | 435,976 | 184,578 | 1,786,717 | ||||||||||||
Redeemed |
(2,817,484 | ) | (27,102,678 | ) | (2,036,583 | ) | (20,091,668 | ) | ||||||||
Net increase (decrease) |
(2,714,239 | ) | $ | (26,110,329 | ) | (582,178 | ) | $ | (5,748,981 | ) | ||||||
192
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Short-Duration Bond Fund Class R4 |
||||||||||||||||
Sold |
262,888 | $ | 2,587,473 | 289,584 | $ | 2,897,293 | ||||||||||
Issued as reinvestment of dividends |
20,608 | 200,777 | 43,799 | 429,664 | ||||||||||||
Redeemed |
(594,586 | ) | (5,779,052 | ) | (313,688 | ) | (3,142,232 | ) | ||||||||
Net increase (decrease) |
(311,090 | ) | $ | (2,990,802 | ) | 19,695 | $ | 184,725 | ||||||||
Short-Duration Bond Fund Class R3 |
||||||||||||||||
Sold |
466,298 | $ | 4,547,932 | 746,864 | $ | 7,411,939 | ||||||||||
Issued as reinvestment of dividends |
24,403 | 235,924 | 29,386 | 286,518 | ||||||||||||
Redeemed |
(410,908 | ) | (4,015,336 | ) | (384,832 | ) | (3,827,202 | ) | ||||||||
Net increase (decrease) |
79,793 | $ | 768,520 | 391,418 | $ | 3,871,255 | ||||||||||
Short-Duration Bond Fund Class Y(a) |
||||||||||||||||
Sold |
6,376,097 | $ | 61,894,553 | — | $ | — | ||||||||||
Issued - merger |
105,963,965 | 1,044,804,693 | — | — | ||||||||||||
Issued as reinvestment of dividends |
711,235 | 6,805,522 | — | — | ||||||||||||
Redeemed |
(42,460,351 | ) | (407,994,087 | ) | — | — | ||||||||||
Net increase (decrease) |
70,590,946 | $ | 705,510,681 | — | $ | — | ||||||||||
Short-Duration Bond Fund Class L(a) |
||||||||||||||||
Sold |
83,823 | $ | 808,862 | — | $ | — | ||||||||||
Issued - merger |
12,595,489 | 123,687,701 | — | — | ||||||||||||
Issued as reinvestment of dividends |
93,142 | 885,751 | — | — | ||||||||||||
Redeemed |
(1,967,829 | ) | (18,853,473 | ) | — | — | ||||||||||
Net increase (decrease) |
10,804,625 | $ | 106,528,841 | — | $ | — | ||||||||||
Short-Duration Bond Fund Class C(a) |
||||||||||||||||
Sold |
11,100 | $ | 107,941 | — | $ | — | ||||||||||
Issued - merger |
129,438 | 1,281,438 | — | — | ||||||||||||
Issued as reinvestment of dividends |
998 | 9,556 | — | — | ||||||||||||
Redeemed |
(3,660 | ) | (35,400 | ) | — | — | ||||||||||
Net increase (decrease) |
137,876 | $ | 1,363,535 | — | $ | — | ||||||||||
Inflation-Protected and Income Fund Class I |
||||||||||||||||
Sold |
4,838,320 | $ | 52,446,185 | 5,851,897 | $ | 65,454,841 | ||||||||||
Issued as reinvestment of dividends |
1,259,144 | 13,548,394 | 895,339 | 9,795,008 | ||||||||||||
Redeemed |
(3,171,082 | ) | (34,448,270 | ) | (5,887,606 | ) | (65,711,161 | ) | ||||||||
Net increase (decrease) |
2,926,382 | $ | 31,546,309 | 859,630 | $ | 9,538,688 | ||||||||||
Inflation-Protected and Income Fund Class R5 |
||||||||||||||||
Sold |
921,601 | $ | 10,171,458 | 3,809,440 | $ | 43,055,817 | ||||||||||
Issued as reinvestment of dividends |
606,105 | 6,527,752 | 437,010 | 4,785,258 | ||||||||||||
Redeemed |
(1,679,980 | ) | (18,350,968 | ) | (3,679,591 | ) | (41,297,642 | ) | ||||||||
Net increase (decrease) |
(152,274 | ) | $ | (1,651,758 | ) | 566,859 | $ | 6,543,433 | ||||||||
Inflation-Protected and Income Fund Service Class |
||||||||||||||||
Sold |
420,877 | $ | 4,598,928 | 1,738,766 | $ | 19,359,727 | ||||||||||
Issued as reinvestment of dividends |
345,118 | 3,706,567 | 249,860 | 2,728,473 | ||||||||||||
Redeemed |
(2,165,050 | ) | (23,356,522 | ) | (1,915,535 | ) | (21,329,606 | ) | ||||||||
Net increase (decrease) |
(1,399,055 | ) | $ | (15,051,027 | ) | 73,091 | $ | 758,594 | ||||||||
Inflation-Protected and Income Fund Administrative Class |
||||||||||||||||
Sold |
143,866 | $ | 1,605,562 | 403,849 | $ | 4,518,081 | ||||||||||
Issued as reinvestment of dividends |
73,908 | 804,115 | 66,163 | 731,102 | ||||||||||||
Redeemed |
(387,963 | ) | (4,375,381 | ) | (582,687 | ) | (6,536,683 | ) | ||||||||
Net increase (decrease) |
(170,189 | ) | $ | (1,965,704 | ) | (112,675 | ) | $ | (1,287,500 | ) | ||||||
193
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Inflation-Protected and Income Fund Class A |
||||||||||||||||
Sold |
119,184 | $ | 1,318,268 | 802,187 | $ | 8,812,023 | ||||||||||
Issued as reinvestment of dividends |
77,312 | 819,512 | 109,424 | 1,177,400 | ||||||||||||
Redeemed |
(295,233 | ) | (3,205,185 | ) | (1,700,291 | ) | (18,617,293 | ) | ||||||||
Net increase (decrease) |
(98,737 | ) | $ | (1,067,405 | ) | (788,680 | ) | $ | (8,627,870 | ) | ||||||
Inflation-Protected and Income Fund Class R4 |
||||||||||||||||
Sold |
103,453 | $ | 1,097,102 | 245,284 | $ | 2,688,088 | ||||||||||
Issued as reinvestment of dividends |
32,695 | 342,973 | 23,505 | 251,270 | ||||||||||||
Redeemed |
(156,445 | ) | (1,651,950 | ) | (191,655 | ) | (2,088,059 | ) | ||||||||
Net increase (decrease) |
(20,297 | ) | $ | (211,875 | ) | 77,134 | $ | 851,299 | ||||||||
Inflation-Protected and Income Fund Class R3 |
||||||||||||||||
Sold |
37,543 | $ | 407,880 | 83,435 | $ | 907,659 | ||||||||||
Issued as reinvestment of dividends |
18,391 | 193,469 | 14,043 | 150,543 | ||||||||||||
Redeemed |
(38,528 | ) | (419,364 | ) | (126,997 | ) | (1,382,108 | ) | ||||||||
Net increase (decrease) |
17,406 | $ | 181,985 | (29,519 | ) | $ | (323,906 | ) | ||||||||
Core Bond Fund Class I |
||||||||||||||||
Sold |
8,657,615 | $ | 91,579,854 | 16,653,807 | $ | 188,190,430 | ||||||||||
Issued as reinvestment of dividends |
2,182,908 | 23,771,867 | 4,167,301 | 46,632,100 | ||||||||||||
Redeemed |
(7,578,419 | ) | (82,441,280 | ) | (28,439,937 | ) | (320,231,055 | ) | ||||||||
Net increase (decrease) |
3,262,104 | $ | 32,910,441 | (7,618,829 | ) | $ | (85,408,525 | ) | ||||||||
Core Bond Fund Class R5 |
||||||||||||||||
Sold |
783,812 | $ | 8,538,238 | 10,236,824 | $ | 117,437,456 | ||||||||||
Issued as reinvestment of dividends |
953,902 | 10,426,152 | 1,788,905 | 20,107,290 | ||||||||||||
Redeemed |
(10,716,861 | ) | (116,055,124 | ) | (12,140,353 | ) | (137,496,064 | ) | ||||||||
Net increase (decrease) |
(8,979,147 | ) | $ | (97,090,734 | ) | (114,624 | ) | $ | 48,682 | |||||||
Core Bond Fund Service Class |
||||||||||||||||
Sold |
232,605 | $ | 2,545,043 | 1,069,398 | $ | 12,063,952 | ||||||||||
Issued as reinvestment of dividends |
159,377 | 1,734,027 | 284,195 | 3,177,296 | ||||||||||||
Redeemed |
(1,390,246 | ) | (15,493,725 | ) | (3,444,936 | ) | (39,824,021 | ) | ||||||||
Net increase (decrease) |
(998,264 | ) | $ | (11,214,655 | ) | (2,091,343 | ) | $ | (24,582,773 | ) | ||||||
Core Bond Fund Administrative Class |
||||||||||||||||
Sold |
161,949 | $ | 1,724,046 | 2,297,149 | $ | 25,464,680 | ||||||||||
Issued as reinvestment of dividends |
158,847 | 1,712,376 | 404,698 | 4,484,059 | ||||||||||||
Redeemed |
(850,385 | ) | (9,376,745 | ) | (4,427,609 | ) | (48,873,052 | ) | ||||||||
Net increase (decrease) |
(529,589 | ) | $ | (5,940,323 | ) | (1,725,762 | ) | $ | (18,924,313 | ) | ||||||
Core Bond Fund Class A |
||||||||||||||||
Sold |
111,294 | $ | 1,193,470 | 731,994 | $ | 8,141,366 | ||||||||||
Issued as reinvestment of dividends |
157,953 | 1,691,678 | 289,572 | 3,188,192 | ||||||||||||
Redeemed |
(2,075,174 | ) | (21,775,373 | ) | (989,634 | ) | (10,941,076 | ) | ||||||||
Net increase (decrease) |
(1,805,927 | ) | $ | (18,890,225 | ) | 31,932 | $ | 388,482 | ||||||||
Core Bond Fund Class R4 |
||||||||||||||||
Sold |
133,351 | $ | 1,396,007 | 291,135 | $ | 3,207,885 | ||||||||||
Issued as reinvestment of dividends |
20,840 | 221,532 | 54,912 | 599,635 | ||||||||||||
Redeemed |
(381,481 | ) | (4,083,224 | ) | (490,668 | ) | (5,366,976 | ) | ||||||||
Net increase (decrease) |
(227,290 | ) | $ | (2,465,685 | ) | (144,621 | ) | $ | (1,559,456 | ) | ||||||
194
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Core Bond Fund Class R3 |
||||||||||||||||
Sold |
1,444 | $ | 15,922 | 16,348 | $ | 185,825 | ||||||||||
Issued as reinvestment of dividends |
679 | 7,500 | 4,061 | 45,768 | ||||||||||||
Redeemed |
(6,201 | ) | (68,939 | ) | (63,921 | ) | (725,733 | ) | ||||||||
Net increase (decrease) |
(4,078 | ) | $ | (45,517 | ) | (43,512 | ) | $ | (494,140 | ) | ||||||
Diversified Bond Fund Class I |
||||||||||||||||
Sold |
1,071,161 | $ | 11,806,049 | 2,703,078 | $ | 30,083,341 | ||||||||||
Issued as reinvestment of dividends |
394,734 | 4,290,758 | 630,975 | 6,953,342 | ||||||||||||
Redeemed |
(1,216,379 | ) | (13,343,428 | ) | (1,941,314 | ) | (21,784,551 | ) | ||||||||
Net increase (decrease) |
249,516 | $ | 2,753,379 | 1,392,739 | $ | 15,252,132 | ||||||||||
Diversified Bond Fund Class R5 |
||||||||||||||||
Sold |
1,688,554 | $ | 16,583,441 | 2,025,031 | $ | 20,776,714 | ||||||||||
Issued as reinvestment of dividends |
337,528 | 3,344,900 | 546,240 | 5,506,098 | ||||||||||||
Redeemed |
(2,461,171 | ) | (24,389,291 | ) | (2,232,048 | ) | (23,120,105 | ) | ||||||||
Net increase (decrease) |
(435,089 | ) | $ | (4,460,950 | ) | 339,223 | $ | 3,162,707 | ||||||||
Diversified Bond Fund Service Class |
||||||||||||||||
Sold |
68,892 | $ | 696,589 | 236,456 | $ | 2,444,587 | ||||||||||
Issued as reinvestment of dividends |
34,086 | 343,585 | 82,657 | 846,408 | ||||||||||||
Redeemed |
(569,001 | ) | (5,870,296 | ) | (315,320 | ) | (3,316,397 | ) | ||||||||
Net increase (decrease) |
(466,023 | ) | $ | (4,830,122 | ) | 3,793 | $ | (25,402 | ) | |||||||
Diversified Bond Fund Administrative Class |
||||||||||||||||
Sold |
66,561 | $ | 666,474 | 268,813 | $ | 2,789,223 | ||||||||||
Issued as reinvestment of dividends |
44,225 | 445,350 | 97,055 | 993,842 | ||||||||||||
Redeemed |
(155,990 | ) | (1,617,415 | ) | (760,386 | ) | (8,074,953 | ) | ||||||||
Net increase (decrease) |
(45,204 | ) | $ | (505,591 | ) | (394,518 | ) | $ | (4,291,888 | ) | ||||||
Diversified Bond Fund Class A |
||||||||||||||||
Sold |
155,185 | $ | 1,569,244 | 112,929 | $ | 1,178,645 | ||||||||||
Issued as reinvestment of dividends |
29,304 | 295,969 | 87,721 | 900,019 | ||||||||||||
Redeemed |
(229,502 | ) | (2,290,933 | ) | (687,447 | ) | (7,206,763 | ) | ||||||||
Net increase (decrease) |
(45,013 | ) | $ | (425,720 | ) | (486,797 | ) | $ | (5,128,099 | ) | ||||||
Diversified Bond Fund Class R4 |
||||||||||||||||
Sold |
101,122 | $ | 980,028 | 96,925 | $ | 997,128 | ||||||||||
Issued as reinvestment of dividends |
17,243 | 171,228 | 44,948 | 453,530 | ||||||||||||
Redeemed |
(145,060 | ) | (1,453,122 | ) | (223,278 | ) | (2,298,659 | ) | ||||||||
Net increase (decrease) |
(26,695 | ) | $ | (301,866 | ) | (81,405 | ) | $ | (848,001 | ) | ||||||
Diversified Bond Fund Class R3 |
||||||||||||||||
Sold |
74,211 | $ | 725,780 | 104,551 | $ | 1,067,685 | ||||||||||
Issued as reinvestment of dividends |
2,724 | 27,352 | 22,490 | 226,697 | ||||||||||||
Redeemed |
(240,870 | ) | (2,476,321 | ) | (179,500 | ) | (1,864,291 | ) | ||||||||
Net increase (decrease) |
(163,935 | ) | $ | (1,723,189 | ) | (52,459 | ) | $ | (569,909 | ) | ||||||
High Yield Fund Class I |
||||||||||||||||
Sold |
5,063,627 | $ | 44,987,170 | 7,404,898 | $ | 66,535,958 | ||||||||||
Issued - merger |
1,375,342 | 12,144,268 | — | — | ||||||||||||
Issued as reinvestment of dividends |
2,783,837 | 24,443,396 | 2,408,156 | 20,878,712 | ||||||||||||
Redeemed |
(11,772,257 | ) | (102,782,419 | ) | (15,685,768 | ) | (141,010,874 | ) | ||||||||
Net increase (decrease) |
(2,549,451 | ) | $ | (21,207,585 | ) | (5,872,714 | ) | $ | (53,596,204 | ) | ||||||
195
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
High Yield Fund Class R5 |
||||||||||||||||
Sold |
435,359 | $ | 3,886,236 | 1,146,409 | $ | 10,403,455 | ||||||||||
Issued as reinvestment of dividends |
353,697 | 3,127,639 | 299,321 | 2,613,072 | ||||||||||||
Redeemed |
(1,144,560 | ) | (10,131,925 | ) | (2,154,177 | ) | (19,524,453 | ) | ||||||||
Net increase (decrease) |
(355,504 | ) | $ | (3,118,050 | ) | (708,447 | ) | $ | (6,507,926 | ) | ||||||
High Yield Fund Service Class |
||||||||||||||||
Sold |
286,336 | $ | 2,563,260 | 698,534 | $ | 6,339,574 | ||||||||||
Issued as reinvestment of dividends |
224,838 | 1,990,161 | 196,929 | 1,719,188 | ||||||||||||
Redeemed |
(488,513 | ) | (4,322,187 | ) | (1,705,873 | ) | (15,497,169 | ) | ||||||||
Net increase (decrease) |
22,661 | $ | 231,234 | (810,410 | ) | $ | (7,438,407 | ) | ||||||||
High Yield Fund Administrative Class |
||||||||||||||||
Sold |
301,143 | $ | 2,690,247 | 834,873 | $ | 7,437,069 | ||||||||||
Issued as reinvestment of dividends |
171,141 | 1,488,606 | 148,142 | 1,271,060 | ||||||||||||
Redeemed |
(1,036,646 | ) | (9,044,724 | ) | (1,228,296 | ) | (10,979,079 | ) | ||||||||
Net increase (decrease) |
(564,362 | ) | $ | (4,865,871 | ) | (245,281 | ) | $ | (2,270,950 | ) | ||||||
High Yield Fund Class A |
||||||||||||||||
Sold |
100,762 | $ | 877,277 | 403,114 | $ | 3,549,679 | ||||||||||
Issued as reinvestment of dividends |
92,514 | 804,134 | 141,016 | 1,207,095 | ||||||||||||
Redeemed |
(310,381 | ) | (2,706,639 | ) | (1,973,127 | ) | (17,579,345 | ) | ||||||||
Net increase (decrease) |
(117,105 | ) | $ | (1,025,228 | ) | (1,428,997 | ) | $ | (12,822,571 | ) | ||||||
High Yield Fund Class R4 |
||||||||||||||||
Sold |
519,300 | $ | 4,432,430 | 1,020,482 | $ | 8,864,340 | ||||||||||
Issued as reinvestment of dividends |
299,655 | 2,556,844 | 239,764 | 2,023,612 | ||||||||||||
Redeemed |
(826,509 | ) | (7,047,918 | ) | (1,733,360 | ) | (15,173,335 | ) | ||||||||
Net increase (decrease) |
(7,554 | ) | $ | (58,644 | ) | (473,114 | ) | $ | (4,285,383 | ) | ||||||
High Yield Fund Class R3 |
||||||||||||||||
Sold |
335,941 | $ | 2,989,951 | 665,488 | $ | 5,949,785 | ||||||||||
Issued as reinvestment of dividends |
233,402 | 2,054,494 | 185,002 | 1,607,669 | ||||||||||||
Redeemed |
(800,557 | ) | (7,012,564 | ) | (1,345,596 | ) | (11,992,499 | ) | ||||||||
Net increase (decrease) |
(231,214 | ) | $ | (1,968,119 | ) | (495,106 | ) | $ | (4,435,045 | ) | ||||||
High Yield Fund Class Y(a) |
||||||||||||||||
Sold |
301,267 | $ | 2,627,575 | — | $ | — | ||||||||||
Issued - merger |
4,511,139 | 39,968,695 | — | — | ||||||||||||
Issued as reinvestment of dividends |
52,626 | 454,792 | — | — | ||||||||||||
Redeemed |
(1,643,796 | ) | (14,404,572 | ) | — | — | ||||||||||
Net increase (decrease) |
3,221,236 | $ | 28,646,490 | — | $ | — | ||||||||||
High Yield Fund Class C(a) |
||||||||||||||||
Sold |
— | $ | — | — | $ | — | ||||||||||
Issued - merger |
11,017 | 97,944 | — | — | ||||||||||||
Issued as reinvestment of dividends |
— | — | — | — | ||||||||||||
Redeemed |
— | — | — | — | ||||||||||||
Net increase (decrease) |
11,017 | $ | 97,944 | — | $ | — | ||||||||||
Balanced Fund Class I |
||||||||||||||||
Sold |
398,424 | $ | 4,841,563 | 1,406,473 | $ | 18,789,282 | ||||||||||
Issued as reinvestment of dividends |
1,105,928 | 13,083,127 | 121,303 | 1,547,830 | ||||||||||||
Redeemed |
(443,081 | ) | (5,499,776 | ) | (1,138,785 | ) | (15,866,883 | ) | ||||||||
Net increase (decrease) |
1,061,271 | $ | 12,424,914 | 388,991 | $ | 4,470,229 | ||||||||||
196
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Balanced Fund Class R5 |
||||||||||||||||
Sold |
105,529 | $ | 1,268,062 | 201,850 | $ | 2,720,179 | ||||||||||
Issued as reinvestment of dividends |
798,169 | 9,442,345 | 110,326 | 1,408,864 | ||||||||||||
Redeemed |
(383,965 | ) | (4,678,057 | ) | (945,182 | ) | (12,725,238 | ) | ||||||||
Net increase (decrease) |
519,733 | $ | 6,032,350 | (633,006 | ) | $ | (8,596,195 | ) | ||||||||
Balanced Fund Service Class |
||||||||||||||||
Sold |
35,037 | $ | 456,819 | 66,513 | $ | 1,002,028 | ||||||||||
Issued as reinvestment of dividends |
173,178 | 2,211,487 | 19,900 | 269,648 | ||||||||||||
Redeemed |
(110,329 | ) | (1,489,410 | ) | (65,078 | ) | (972,493 | ) | ||||||||
Net increase (decrease) |
97,886 | $ | 1,178,896 | 21,335 | $ | 299,183 | ||||||||||
Balanced Fund Administrative Class |
||||||||||||||||
Sold |
23,354 | $ | 332,006 | 80,825 | $ | 1,102,359 | ||||||||||
Issued as reinvestment of dividends |
152,965 | 1,821,814 | 15,210 | 195,297 | ||||||||||||
Redeemed |
(23,243 | ) | (264,484 | ) | (51,126 | ) | (708,371 | ) | ||||||||
Net increase (decrease) |
153,076 | $ | 1,889,336 | 44,909 | $ | 589,285 | ||||||||||
Balanced Fund Class A |
||||||||||||||||
Sold |
46,521 | $ | 580,939 | 120,375 | $ | 1,567,683 | ||||||||||
Issued as reinvestment of dividends |
410,371 | 4,694,644 | 64,884 | 806,506 | ||||||||||||
Redeemed |
(501,869 | ) | (6,011,961 | ) | (893,475 | ) | (12,043,785 | ) | ||||||||
Net increase (decrease) |
(44,977 | ) | $ | (736,378 | ) | (708,216 | ) | $ | (9,669,596 | ) | ||||||
Balanced Fund Class R4 |
||||||||||||||||
Sold |
52,513 | $ | 587,912 | 546,980 | $ | 6,991,241 | ||||||||||
Issued as reinvestment of dividends |
124,485 | 1,404,186 | 7,862 | 96,702 | ||||||||||||
Redeemed |
(89,155 | ) | (1,064,942 | ) | (371,485 | ) | (4,985,010 | ) | ||||||||
Net increase (decrease) |
87,843 | $ | 927,156 | 183,357 | $ | 2,102,933 | ||||||||||
Balanced Fund Class R3 |
||||||||||||||||
Sold |
146,473 | $ | 1,914,088 | 488,069 | $ | 6,203,935 | ||||||||||
Issued as reinvestment of dividends |
295,452 | 3,309,059 | 16,465 | 201,693 | ||||||||||||
Redeemed |
(101,579 | ) | (1,155,445 | ) | (232,545 | ) | (3,026,890 | ) | ||||||||
Net increase (decrease) |
340,346 | $ | 4,067,702 | 271,989 | $ | 3,378,738 | ||||||||||
Disciplined Value Fund Class I |
||||||||||||||||
Sold |
292,109 | $ | 4,768,819 | 392,553 | $ | 5,437,291 | ||||||||||
Issued as reinvestment of dividends |
372,842 | 5,421,119 | 39,626 | 527,416 | ||||||||||||
Redeemed |
(385,867 | ) | (6,285,994 | ) | (188,241 | ) | (2,686,622 | ) | ||||||||
Net increase (decrease) |
279,084 | $ | 3,903,944 | 243,938 | $ | 3,278,085 | ||||||||||
Disciplined Value Fund Class R5 |
||||||||||||||||
Sold |
57,345 | $ | 889,051 | 179,709 | $ | 2,702,284 | ||||||||||
Issued as reinvestment of dividends |
347,513 | 5,073,685 | 50,636 | 675,986 | ||||||||||||
Redeemed |
(883,862 | ) | (13,651,953 | ) | (732,062 | ) | (11,012,890 | ) | ||||||||
Net increase (decrease) |
(479,004 | ) | $ | (7,689,217 | ) | (501,717 | ) | $ | (7,634,620 | ) | ||||||
Disciplined Value Fund Service Class |
||||||||||||||||
Sold |
162,302 | $ | 2,341,774 | 137,085 | $ | 2,044,539 | ||||||||||
Issued as reinvestment of dividends |
188,945 | 2,728,368 | 17,881 | 236,749 | ||||||||||||
Redeemed |
(329,472 | ) | (4,681,263 | ) | (127,639 | ) | (1,844,598 | ) | ||||||||
Net increase (decrease) |
21,775 | $ | 388,879 | 27,327 | $ | 436,690 | ||||||||||
Disciplined Value Fund Administrative Class |
||||||||||||||||
Sold |
8,165 | $ | 125,550 | 29,152 | $ | 434,407 | ||||||||||
Issued as reinvestment of dividends |
18,323 | 272,646 | 6,106 | 82,862 | ||||||||||||
Redeemed |
(5,101 | ) | (78,666 | ) | (278,629 | ) | (4,059,266 | ) | ||||||||
Net increase (decrease) |
21,387 | $ | 319,530 | (243,371 | ) | $ | (3,541,997 | ) | ||||||||
197
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Disciplined Value Fund Class A |
||||||||||||||||
Sold |
39,131 | $ | 567,603 | 71,172 | $ | 1,036,315 | ||||||||||
Issued as reinvestment of dividends |
77,138 | 1,099,990 | 7,378 | 96,647 | ||||||||||||
Redeemed |
(97,224 | ) | (1,436,364 | ) | (124,043 | ) | (1,795,340 | ) | ||||||||
Net increase (decrease) |
19,045 | $ | 231,229 | (45,493 | ) | $ | (662,378 | ) | ||||||||
Disciplined Value Fund Class R4 |
||||||||||||||||
Sold |
6,248 | $ | 98,823 | 37,896 | $ | 581,902 | ||||||||||
Issued as reinvestment of dividends |
32,959 | 465,386 | 3,862 | 50,170 | ||||||||||||
Redeemed |
(109,097 | ) | (1,544,143 | ) | (99,745 | ) | (1,490,875 | ) | ||||||||
Net increase (decrease) |
(69,890 | ) | $ | (979,934 | ) | (57,987 | ) | $ | (858,803 | ) | ||||||
Disciplined Value Fund Class R3 |
||||||||||||||||
Sold |
21,750 | $ | 317,450 | 74,425 | $ | 1,142,069 | ||||||||||
Issued as reinvestment of dividends |
51,681 | 745,764 | 4,790 | 63,371 | ||||||||||||
Redeemed |
(62,870 | ) | (960,621 | ) | (110,516 | ) | (1,586,766 | ) | ||||||||
Net increase (decrease) |
10,561 | $ | 102,593 | (31,301 | ) | $ | (381,326 | ) | ||||||||
Main Street Fund Class I |
||||||||||||||||
Sold |
235,442 | $ | 2,908,266 | 479,639 | $ | 6,194,516 | ||||||||||
Issued as reinvestment of dividends |
470,567 | 5,755,032 | 86,188 | 1,017,015 | ||||||||||||
Redeemed |
(303,576 | ) | (4,046,460 | ) | (1,253,441 | ) | (15,761,440 | ) | ||||||||
Net increase (decrease) |
402,433 | $ | 4,616,838 | (687,614 | ) | $ | (8,549,909 | ) | ||||||||
Main Street Fund Class R5 |
||||||||||||||||
Sold |
167,644 | $ | 2,268,037 | 459,010 | $ | 5,868,428 | ||||||||||
Issued as reinvestment of dividends |
788,626 | 9,637,008 | 125,727 | 1,482,317 | ||||||||||||
Redeemed |
(545,555 | ) | (7,218,193 | ) | (1,224,918 | ) | (15,641,930 | ) | ||||||||
Net increase (decrease) |
410,715 | $ | 4,686,852 | (640,181 | ) | $ | (8,291,185 | ) | ||||||||
Main Street Fund Service Class |
||||||||||||||||
Sold |
29 | $ | 371 | 4,528 | $ | 56,415 | ||||||||||
Issued as reinvestment of dividends |
204 | 2,635 | 24 | 297 | ||||||||||||
Redeemed |
(65 | ) | (821 | ) | (9,095 | ) | (113,505 | ) | ||||||||
Net increase (decrease) |
168 | $ | 2,185 | (4,543 | ) | $ | (56,793 | ) | ||||||||
Main Street Fund Administrative Class |
||||||||||||||||
Sold |
65,940 | $ | 834,888 | 146,525 | $ | 1,944,962 | ||||||||||
Issued as reinvestment of dividends |
419,984 | 5,132,204 | 55,665 | 656,288 | ||||||||||||
Redeemed |
(128,013 | ) | (1,585,417 | ) | (345,355 | ) | (4,379,914 | ) | ||||||||
Net increase (decrease) |
357,911 | $ | 4,381,675 | (143,165 | ) | $ | (1,778,664 | ) | ||||||||
Main Street Fund Class A |
||||||||||||||||
Sold |
54,458 | $ | 637,392 | 66,238 | $ | 833,409 | ||||||||||
Issued as reinvestment of dividends |
182,736 | 2,187,353 | 27,948 | 323,920 | ||||||||||||
Redeemed |
(97,292 | ) | (1,192,912 | ) | (412,780 | ) | (5,116,950 | ) | ||||||||
Net increase (decrease) |
139,902 | $ | 1,631,833 | (318,594 | ) | $ | (3,959,621 | ) | ||||||||
Main Street Fund Class R4 |
||||||||||||||||
Sold |
27,847 | $ | 345,828 | 109,189 | $ | 1,272,793 | ||||||||||
Issued as reinvestment of dividends |
147,249 | 1,737,533 | 18,078 | 207,357 | ||||||||||||
Redeemed |
(78,421 | ) | (977,511 | ) | (104,309 | ) | (1,272,393 | ) | ||||||||
Net increase (decrease) |
96,675 | $ | 1,105,850 | 22,958 | $ | 207,757 | ||||||||||
Main Street Fund Class R3 |
||||||||||||||||
Sold |
1,670 | $ | 20,859 | 4,781 | $ | 60,525 | ||||||||||
Issued as reinvestment of dividends |
17,519 | 210,582 | 2,859 | 33,250 | ||||||||||||
Redeemed |
(20,657 | ) | (300,159 | ) | (24,726 | ) | (328,416 | ) | ||||||||
Net increase (decrease) |
(1,468 | ) | $ | (68,718 | ) | (17,086 | ) | $ | (234,641 | ) | ||||||
198
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Disciplined Growth Fund Class I |
||||||||||||||||
Sold |
644,777 | $ | 8,884,946 | 639,324 | $ | 9,007,085 | ||||||||||
Issued as reinvestment of dividends |
1,290,815 | 14,211,876 | 124,790 | 1,624,765 | ||||||||||||
Redeemed |
(796,575 | ) | (8,837,061 | ) | (1,526,392 | ) | (21,370,721 | ) | ||||||||
Net increase (decrease) |
1,139,017 | $ | 14,259,761 | (762,278 | ) | $ | (10,738,871 | ) | ||||||||
Disciplined Growth Fund Class R5 |
||||||||||||||||
Sold |
926,157 | $ | 10,143,506 | 1,274,661 | $ | 18,226,325 | ||||||||||
Issued as reinvestment of dividends |
3,616,036 | 39,812,555 | 370,101 | 4,826,119 | ||||||||||||
Redeemed |
(1,700,716 | ) | (20,812,373 | ) | (2,541,615 | ) | (35,435,122 | ) | ||||||||
Net increase (decrease) |
2,841,477 | $ | 29,143,688 | (896,853 | ) | $ | (12,382,678 | ) | ||||||||
Disciplined Growth Fund Service Class |
||||||||||||||||
Sold |
119,417 | $ | 1,301,285 | 154,566 | $ | 2,147,853 | ||||||||||
Issued as reinvestment of dividends |
905,118 | 10,037,758 | 85,731 | 1,123,937 | ||||||||||||
Redeemed |
(656,851 | ) | (6,324,839 | ) | (597,590 | ) | (8,443,917 | ) | ||||||||
Net increase (decrease) |
367,684 | $ | 5,014,204 | (357,293 | ) | $ | (5,172,127 | ) | ||||||||
Disciplined Growth Fund Administrative Class |
||||||||||||||||
Sold |
134,727 | $ | 1,895,813 | 292,361 | $ | 4,323,669 | ||||||||||
Issued as reinvestment of dividends |
1,258,369 | 14,282,484 | 116,977 | 1,558,139 | ||||||||||||
Redeemed |
(364,810 | ) | (4,035,147 | ) | (951,357 | ) | (13,678,523 | ) | ||||||||
Net increase (decrease) |
1,028,286 | $ | 12,143,150 | (542,019 | ) | $ | (7,796,715 | ) | ||||||||
Disciplined Growth Fund Class A |
||||||||||||||||
Sold |
444,844 | $ | 6,764,894 | 135,936 | $ | 1,926,946 | ||||||||||
Issued as reinvestment of dividends |
1,124,079 | 11,937,715 | 88,569 | 1,133,688 | ||||||||||||
Redeemed |
(1,203,094 | ) | (12,559,349 | ) | (701,696 | ) | (9,677,601 | ) | ||||||||
Net increase (decrease) |
365,829 | $ | 6,143,260 | (477,191 | ) | $ | (6,616,967 | ) | ||||||||
Disciplined Growth Fund Class R4 |
||||||||||||||||
Sold |
43,760 | $ | 503,303 | 115,803 | $ | 1,556,859 | ||||||||||
Issued as reinvestment of dividends |
429,454 | 4,483,496 | 82,193 | 1,039,743 | ||||||||||||
Redeemed |
(452,265 | ) | (5,255,959 | ) | (1,676,574 | ) | (23,437,150 | ) | ||||||||
Net increase (decrease) |
20,949 | $ | (269,160 | ) | (1,478,578 | ) | $ | (20,840,548 | ) | |||||||
Disciplined Growth Fund Class R3 |
||||||||||||||||
Sold |
58,353 | $ | 659,344 | 80,112 | $ | 1,127,584 | ||||||||||
Issued as reinvestment of dividends |
207,648 | 2,151,233 | 19,722 | 248,888 | ||||||||||||
Redeemed |
(65,726 | ) | (651,292 | ) | (239,158 | ) | (3,528,032 | ) | ||||||||
Net increase (decrease) |
200,275 | $ | 2,159,285 | (139,324 | ) | $ | (2,151,560 | ) | ||||||||
Small Cap Opportunities Fund Class I |
||||||||||||||||
Sold |
940,104 | $ | 16,880,308 | 2,152,649 | $ | 38,139,924 | ||||||||||
Issued as reinvestment of dividends |
441,840 | 7,864,749 | 230,205 | 3,678,677 | ||||||||||||
Redeemed |
(707,425 | ) | (12,600,632 | ) | (813,878 | ) | (14,609,175 | ) | ||||||||
Net increase (decrease) |
674,519 | $ | 12,144,425 | 1,568,976 | $ | 27,209,426 | ||||||||||
Small Cap Opportunities Fund Class R5 |
||||||||||||||||
Sold |
473,662 | $ | 8,620,515 | 1,782,293 | $ | 32,569,439 | ||||||||||
Issued as reinvestment of dividends |
722,281 | 12,813,268 | 516,508 | 8,238,297 | ||||||||||||
Redeemed |
(951,150 | ) | (17,114,592 | ) | (1,780,475 | ) | (31,483,776 | ) | ||||||||
Net increase (decrease) |
244,793 | $ | 4,319,191 | 518,326 | $ | 9,323,960 | ||||||||||
Small Cap Opportunities Fund Service Class |
||||||||||||||||
Sold |
148,027 | $ | 2,777,787 | 265,393 | $ | 4,861,794 | ||||||||||
Issued as reinvestment of dividends |
118,166 | 2,089,184 | 96,039 | 1,528,937 | ||||||||||||
Redeemed |
(384,109 | ) | (7,292,521 | ) | (310,359 | ) | (5,556,779 | ) | ||||||||
Net increase (decrease) |
(117,916 | ) | $ | (2,425,550 | ) | 51,073 | $ | 833,952 | ||||||||
199
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Small Cap Opportunities Fund Administrative Class |
||||||||||||||||
Sold |
74,827 | $ | 1,342,981 | 439,053 | $ | 7,704,558 | ||||||||||
Issued as reinvestment of dividends |
141,420 | 2,480,508 | 109,361 | 1,730,097 | ||||||||||||
Redeemed |
(145,600 | ) | (2,594,996 | ) | (496,159 | ) | (8,753,528 | ) | ||||||||
Net increase (decrease) |
70,647 | $ | 1,228,493 | 52,255 | $ | 681,127 | ||||||||||
Small Cap Opportunities Fund Class A |
||||||||||||||||
Sold |
177,133 | $ | 3,166,211 | 686,520 | $ | 12,099,261 | ||||||||||
Issued as reinvestment of dividends |
310,701 | 5,263,274 | 246,828 | 3,793,745 | ||||||||||||
Redeemed |
(412,334 | ) | (7,227,126 | ) | (1,099,614 | ) | (19,004,890 | ) | ||||||||
Net increase (decrease) |
75,500 | $ | 1,202,359 | (166,266 | ) | $ | (3,111,884 | ) | ||||||||
Small Cap Opportunities Fund Class R4 |
||||||||||||||||
Sold |
122,690 | $ | 2,036,998 | 271,003 | $ | 4,374,138 | ||||||||||
Issued as reinvestment of dividends |
89,334 | 1,502,600 | 57,740 | 881,116 | ||||||||||||
Redeemed |
(142,860 | ) | (2,448,636 | ) | (176,521 | ) | (2,934,652 | ) | ||||||||
Net increase (decrease) |
69,164 | $ | 1,090,962 | 152,222 | $ | 2,320,602 | ||||||||||
Small Cap Opportunities Fund Class R3 |
||||||||||||||||
Sold |
81,055 | $ | 1,330,515 | 326,200 | $ | 5,702,286 | ||||||||||
Issued as reinvestment of dividends |
56,530 | 937,828 | 31,666 | 478,467 | ||||||||||||
Redeemed |
(146,900 | ) | (2,440,150 | ) | (279,793 | ) | (4,791,893 | ) | ||||||||
Net increase (decrease) |
(9,315 | ) | $ | (171,807 | ) | 78,073 | $ | 1,388,860 | ||||||||
Global Fund Class I |
||||||||||||||||
Sold |
568,928 | $ | 10,000,433 | 1,313,419 | $ | 22,920,566 | ||||||||||
Issued as reinvestment of dividends |
613,916 | 10,688,280 | 254,998 | 4,141,170 | ||||||||||||
Redeemed |
(894,172 | ) | (15,415,149 | ) | (1,295,254 | ) | (22,679,641 | ) | ||||||||
Net increase (decrease) |
288,672 | $ | 5,273,564 | 273,163 | $ | 4,382,095 | ||||||||||
Global Fund Class R5 |
||||||||||||||||
Sold |
240,892 | $ | 4,011,960 | 401,475 | $ | 6,972,197 | ||||||||||
Issued as reinvestment of dividends |
732,144 | 12,739,313 | 372,971 | 6,060,786 | ||||||||||||
Redeemed |
(1,641,557 | ) | (29,033,053 | ) | (1,442,933 | ) | (25,014,770 | ) | ||||||||
Net increase (decrease) |
(668,521 | ) | $ | (12,281,780 | ) | (668,487 | ) | $ | (11,981,787 | ) | ||||||
Global Fund Service Class |
||||||||||||||||
Sold |
67,274 | $ | 1,071,326 | 74,171 | $ | 1,259,308 | ||||||||||
Issued as reinvestment of dividends |
49,980 | 859,154 | 20,921 | 336,406 | ||||||||||||
Redeemed |
(23,564 | ) | (393,141 | ) | (83,980 | ) | (1,416,983 | ) | ||||||||
Net increase (decrease) |
93,690 | $ | 1,537,339 | 11,112 | $ | 178,731 | ||||||||||
Global Fund Administrative Class |
||||||||||||||||
Sold |
147,838 | $ | 2,565,143 | 442,561 | $ | 7,686,685 | ||||||||||
Issued as reinvestment of dividends |
534,705 | 9,271,798 | 258,714 | 4,196,349 | ||||||||||||
Redeemed |
(929,112 | ) | (15,020,055 | ) | (1,343,322 | ) | (23,224,861 | ) | ||||||||
Net increase (decrease) |
(246,569 | ) | $ | (3,183,114 | ) | (642,047 | ) | $ | (11,341,827 | ) | ||||||
Global Fund Class A |
||||||||||||||||
Sold |
26,665 | $ | 421,149 | 169,535 | $ | 2,824,043 | ||||||||||
Issued as reinvestment of dividends |
119,045 | 2,022,576 | 79,531 | 1,270,108 | ||||||||||||
Redeemed |
(173,256 | ) | (2,916,404 | ) | (739,313 | ) | (13,056,319 | ) | ||||||||
Net increase (decrease) |
(27,546 | ) | $ | (472,679 | ) | (490,247 | ) | $ | (8,962,168 | ) | ||||||
Global Fund Class R4 |
||||||||||||||||
Sold |
85,652 | $ | 1,280,211 | 400,107 | $ | 7,058,217 | ||||||||||
Issued as reinvestment of dividends |
103,055 | 1,722,056 | 32,263 | 507,173 | ||||||||||||
Redeemed |
(170,969 | ) | (2,754,363 | ) | (159,210 | ) | (2,734,225 | ) | ||||||||
Net increase (decrease) |
17,738 | $ | 247,904 | 273,160 | $ | 4,831,165 | ||||||||||
200
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Global Fund Class R3 |
||||||||||||||||
Sold |
72,446 | $ | 1,150,995 | 395,700 | $ | 7,355,077 | ||||||||||
Issued as reinvestment of dividends |
88,707 | 1,492,945 | 34,097 | 540,776 | ||||||||||||
Redeemed |
(128,306 | ) | (1,980,883 | ) | (352,878 | ) | (6,206,358 | ) | ||||||||
Net increase (decrease) |
32,847 | $ | 663,057 | 76,919 | $ | 1,689,495 | ||||||||||
International Equity Fund Class I |
||||||||||||||||
Sold |
927,730 | $ | 8,985,161 | 4,384,179 | $ | 45,420,608 | ||||||||||
Issued as reinvestment of dividends |
1,228,678 | 10,922,947 | 3,875,666 | 36,392,504 | ||||||||||||
Redeemed |
(2,913,124 | ) | (26,448,820 | ) | (6,703,534 | ) | (67,994,400 | ) | ||||||||
Net increase (decrease) |
(756,716 | ) | $ | (6,540,712 | ) | 1,556,311 | $ | 13,818,712 | ||||||||
International Equity Fund Class R5 |
||||||||||||||||
Sold |
95,367 | $ | 892,941 | 358,016 | $ | 3,796,054 | ||||||||||
Issued as reinvestment of dividends |
614,052 | 5,465,065 | 2,331,454 | 21,915,668 | ||||||||||||
Redeemed |
(1,043,536 | ) | (9,974,851 | ) | (2,360,681 | ) | (24,560,798 | ) | ||||||||
Net increase (decrease) |
(334,117 | ) | $ | (3,616,845 | ) | 328,789 | $ | 1,150,924 | ||||||||
International Equity Fund Service Class |
||||||||||||||||
Sold |
12,639 | $ | 119,780 | 27,728 | $ | 298,533 | ||||||||||
Issued as reinvestment of dividends |
46,267 | 410,850 | 160,439 | 1,504,920 | ||||||||||||
Redeemed |
(21,734 | ) | (207,968 | ) | (189,874 | ) | (2,087,907 | ) | ||||||||
Net increase (decrease) |
37,172 | $ | 322,662 | (1,707 | ) | $ | (284,454 | ) | ||||||||
International Equity Fund Administrative Class |
||||||||||||||||
Sold |
20,581 | $ | 194,312 | 24,694 | $ | 274,716 | ||||||||||
Issued as reinvestment of dividends |
33,225 | 292,378 | 130,844 | 1,216,848 | ||||||||||||
Redeemed |
(22,973 | ) | (217,333 | ) | (185,817 | ) | (1,982,890 | ) | ||||||||
Net increase (decrease) |
30,833 | $ | 269,357 | (30,279 | ) | $ | (491,326 | ) | ||||||||
International Equity Fund Class A |
||||||||||||||||
Sold |
64,949 | $ | 553,174 | 186,950 | $ | 1,995,323 | ||||||||||
Issued as reinvestment of dividends |
177,714 | 1,476,804 | 801,741 | 7,087,390 | ||||||||||||
Redeemed |
(277,132 | ) | (2,567,915 | ) | (1,015,711 | ) | (10,022,830 | ) | ||||||||
Net increase (decrease) |
(34,469 | ) | $ | (537,937 | ) | (27,020 | ) | $ | (940,117 | ) | ||||||
International Equity Fund Class R4 |
||||||||||||||||
Sold |
3,390 | $ | 29,880 | 15,293 | $ | 149,199 | ||||||||||
Issued as reinvestment of dividends |
21,570 | 176,442 | 86,724 | 756,235 | ||||||||||||
Redeemed |
(69,295 | ) | (613,147 | ) | (83,038 | ) | (775,755 | ) | ||||||||
Net increase (decrease) |
(44,335 | ) | $ | (406,825 | ) | 18,979 | $ | 129,679 | ||||||||
International Equity Fund Class R3 |
||||||||||||||||
Sold |
61,578 | $ | 508,022 | 28,888 | $ | 274,012 | ||||||||||
Issued as reinvestment of dividends |
35,930 | 290,312 | 99,712 | 861,510 | ||||||||||||
Redeemed |
(72,993 | ) | (582,550 | ) | (75,969 | ) | (797,072 | ) | ||||||||
Net increase (decrease) |
24,515 | $ | 215,784 | 52,631 | $ | 338,450 | ||||||||||
Strategic Emerging Markets Fund Class I |
||||||||||||||||
Sold |
1,873,392 | $ | 22,012,720 | 2,622,168 | $ | 41,148,451 | ||||||||||
Issued as reinvestment of dividends |
1,756,354 | 21,234,316 | 183,464 | 2,772,142 | ||||||||||||
Redeemed |
(1,212,077 | ) | (15,181,222 | ) | (5,090,734 | ) | (79,909,183 | ) | ||||||||
Net increase (decrease) |
2,417,669 | $ | 28,065,814 | (2,285,102 | ) | $ | (35,988,590 | ) | ||||||||
Strategic Emerging Markets Fund Class R5 |
||||||||||||||||
Sold |
26,910 | $ | 359,560 | 14,440 | $ | 232,990 | ||||||||||
Issued as reinvestment of dividends |
29,044 | 357,246 | 3,223 | 49,442 | ||||||||||||
Redeemed |
(14,177 | ) | (169,279 | ) | (74,842 | ) | (1,202,244 | ) | ||||||||
Net increase (decrease) |
41,777 | $ | 547,527 | (57,179 | ) | $ | (919,812 | ) | ||||||||
201
Notes to Financial Statements (Unaudited) (Continued) |
Six Months Ended March 31, 2022 |
Year Ended September 30, 2021 |
|||||||||||||||
Shares |
Amount |
Shares |
Amount |
|||||||||||||
Strategic Emerging Markets Fund Service Class |
||||||||||||||||
Sold |
25,748 | $ | 342,374 | 14,307 | $ | 224,109 | ||||||||||
Issued as reinvestment of dividends |
26,092 | 315,974 | 2,548 | 38,555 | ||||||||||||
Redeemed |
(4,628 | ) | (54,505 | ) | (54,988 | ) | (842,650 | ) | ||||||||
Net increase (decrease) |
47,212 | $ | 603,843 | (38,133 | ) | $ | (579,986 | ) | ||||||||
Strategic Emerging Markets Fund Administrative Class |
||||||||||||||||
Sold |
16,112 | $ | 205,361 | 12,632 | $ | 196,725 | ||||||||||
Issued as reinvestment of dividends |
11,756 | 142,830 | 1,087 | 16,503 | ||||||||||||
Redeemed |
(73,019 | ) | (860,645 | ) | (20,157 | ) | (312,538 | ) | ||||||||
Net increase (decrease) |
(45,151 | ) | $ | (512,454 | ) | (6,438 | ) | $ | (99,310 | ) | ||||||
Strategic Emerging Markets Fund Class A |
||||||||||||||||
Sold |
17,011 | $ | 191,837 | 38,039 | $ | 591,287 | ||||||||||
Issued as reinvestment of dividends |
6,386 | 77,403 | 2,297 | 34,506 | ||||||||||||
Redeemed |
(6,242 | ) | (88,374 | ) | (151,455 | ) | (2,434,965 | ) | ||||||||
Net increase (decrease) |
17,155 | $ | 180,866 | (111,119 | ) | $ | (1,809,172 | ) | ||||||||
Strategic Emerging Markets Fund Class R4 |
||||||||||||||||
Sold |
1,416 | $ | 17,203 | 11,717 | $ | 181,454 | ||||||||||
Issued as reinvestment of dividends |
4,781 | 57,377 | 1,420 | 21,224 | ||||||||||||
Redeemed |
(576 | ) | (7,465 | ) | (77,503 | ) | (1,163,663 | ) | ||||||||
Net increase (decrease) |
5,621 | $ | 67,115 | (64,366 | ) | $ | (960,985 | ) | ||||||||
Strategic Emerging Markets Fund Class R3 |
||||||||||||||||
Sold |
15,667 | $ | 184,935 | 17,182 | $ | 256,630 | ||||||||||
Issued as reinvestment of dividends |
12,582 | 149,473 | 1,166 | 17,356 | ||||||||||||
Redeemed |
(8,197 | ) | (98,840 | ) | (17,804 | ) | (271,856 | ) | ||||||||
Net increase (decrease) |
20,052 | $ | 235,568 | 544 | $ | 2,130 | ||||||||||
|
(a) |
Commenced Operations on December 13, 2021 |
Unless waived, purchases of Class A and Class L shares are subject to a front-end sales charge of up to 5.50% and 2.00%, respectively, of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor or ALPS Distributor, as applicable. The Distributor and/or ALPS Distributor, as applicable, retained the following amounts during the period ended March 31, 2022:
Front-End |
||||
Inflation-Protected and Income Fund |
$ | 113 | ||
Main Street Fund |
209 | |||
Disciplined Growth Fund |
6 | |||
Small Cap Opportunities Fund |
100 | |||
Global Fund |
174 | |||
Unless waived, redemptions of Class A and Class L shares made within 18 months of purchase from initial investments of $1 million or more, or $250,000 or more, respectively, are subject to a contingent deferred sales charge of 1.00% and 0.50% of the amount redeemed, and redemptions of Class C shares made within 12 months of purchase are subject to a contingent
202
Notes to Financial Statements (Unaudited) (Continued) |
deferred sales charge of 0.50% or 1.00% of the amount redeemed. The Distributor or ALPS Distributor, as applicable, receives all contingent deferred sales charges. For the period ended March 31 2022, no amounts have been retained by the Distributor or ALPS Distributor.
With respect to Class A, Class L, and Class C shares, the Distributor and ALPS Distributor, as applicable, may pay an up-front concession or commission to financial intermediaries through which sales are made as described in the Funds’ Prospectus.
|
6. |
Federal Income Tax Information |
At March 31, 2022, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:
Federal Income |
Tax Basis |
Tax Basis |
Net Unrealized |
|||||||||||||
Short-Duration Bond Fund |
$ | 1,044,553,600 | $ | 5,176,880 | $ | (59,154,535 | ) | $ | (53,977,655 | ) | ||||||
Inflation-Protected and Income Fund |
354,648,769 | 2,526,239 | (6,411,283 | ) | (3,885,044 | ) | ||||||||||
Core Bond Fund |
1,174,351,631 | 7,563,116 | (47,101,942 | ) | (39,538,826 | ) | ||||||||||
Diversified Bond Fund |
235,180,264 | 1,722,143 | (10,623,771 | ) | (8,901,628 | ) | ||||||||||
High Yield Fund |
488,301,370 | 9,562,204 | (19,744,856 | ) | (10,182,652 | ) | ||||||||||
Balanced Fund |
152,150,768 | 11,863,300 | (6,207,636 | ) | 5,655,664 | |||||||||||
Disciplined Value Fund |
77,382,035 | 12,470,778 | (3,716,897 | ) | 8,753,881 | |||||||||||
Main Street Fund |
91,084,916 | 28,420,619 | (3,563,947 | ) | 24,856,672 | |||||||||||
Disciplined Growth Fund |
184,665,699 | 43,234,001 | (10,923,164 | ) | 32,310,837 | |||||||||||
Small Cap Opportunities Fund |
274,535,147 | 79,612,330 | (14,139,806 | ) | 65,472,524 | |||||||||||
Global Fund |
153,326,940 | 137,508,358 | (5,567,278 | ) | 131,941,080 | |||||||||||
International Equity Fund |
127,829,004 | 15,889,735 | (10,051,161 | ) | 5,838,574 | |||||||||||
Strategic Emerging Markets Fund |
150,034,124 | 18,548,568 | (27,196,607 | ) | (8,648,039 | ) | ||||||||||
Note: The aggregate cost for investments for the U.S. Government Money Market Fund at March 31, 2022, is the same for financial reporting and federal income tax purposes.
Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss.
At September 30, 2021, the following Fund(s) had post-enactment accumulated capital loss carryforwards:
Short Term |
Long Term |
|||||||
Short-Duration Bond Fund |
$ | 5,110,040 | $ | 20,171,195 | ||||
High Yield Fund |
4,104,723 | 34,238,555 | ||||||
Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.
203
Notes to Financial Statements (Unaudited) (Continued) |
The following Fund(s) elected to defer to the fiscal year beginning October 1, 2021, late year ordinary losses:
Amount |
||||
Global Fund |
$ | 1,204,241 | ||
Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.
The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2021, was as follows:
Ordinary |
Long Term |
|||||||
Short-Duration Bond Fund |
$ | 17,574,671 | $ | — | ||||
Inflation-Protected and Income Fund |
19,482,741 | 136,657 | ||||||
Core Bond Fund |
73,365,061 | 4,869,570 | ||||||
Diversified Bond Fund |
12,237,128 | 3,642,808 | ||||||
High Yield Fund |
31,328,119 | — | ||||||
Balanced Fund |
2,378,437 | 2,148,296 | ||||||
Disciplined Value Fund |
1,733,201 | — | ||||||
Main Street Fund |
1,282,705 | 2,441,294 | ||||||
Disciplined Growth Fund |
959,344 | 10,595,935 | ||||||
Small Cap Opportunities Fund |
1,308,592 | 19,106,651 | ||||||
Global Fund |
— | 17,053,155 | ||||||
International Equity Fund |
12,178,079 | 57,558,476 | ||||||
Strategic Emerging Markets Fund |
— | 2,951,373 | ||||||
The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2021:
Amount |
||||
International Equity Fund |
$ | 234,172 | ||
Strategic Emerging Markets Fund |
728,726 | |||
Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2021, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.
204
Notes to Financial Statements (Unaudited) (Continued) |
At September 30, 2021, the components of distributable earnings on a tax basis were as follows:
Undistributed |
Undistributed |
Other |
Unrealized |
Total |
||||||||||||||||
U.S. Government Money Market Fund |
$ | — | $ | — | $ | (46,588 | ) | $ | — | $ | (46,588 | ) | ||||||||
Short-Duration Bond Fund |
4,472,907 | (25,281,235 | ) | (50,166 | ) | 1,491,036 | (19,367,458 | ) | ||||||||||||
Inflation-Protected and Income Fund |
22,789,998 | 2,361,296 | (27,191 | ) | 6,013,561 | 31,137,664 | ||||||||||||||
Core Bond Fund |
18,196,328 | 13,741,842 | (136,447 | ) | 20,632,831 | 52,434,554 | ||||||||||||||
Diversified Bond Fund |
4,797,349 | 2,174,895 | (17,797 | ) | 5,477,279 | 12,431,726 | ||||||||||||||
High Yield Fund |
23,323,746 | (38,343,278 | ) | (29,154 | ) | 24,585,144 | 9,536,458 | |||||||||||||
Balanced Fund |
18,210,697 | 17,283,247 | (14,769 | ) | 4,972,853 | 40,452,028 | ||||||||||||||
Disciplined Value Fund |
15,478,583 | 39,992 | (23,105 | ) | 7,939,499 | 23,434,969 | ||||||||||||||
Main Street Fund |
3,993,147 | 17,649,767 | (14,255 | ) | 30,559,873 | 52,188,532 | ||||||||||||||
Disciplined Growth Fund |
26,997,593 | 65,233,421 | (28,413 | ) | 52,840,559 | 145,043,160 | ||||||||||||||
Small Cap Opportunities Fund |
6,404,865 | 24,446,937 | (21,647 | ) | 76,375,548 | 107,205,703 | ||||||||||||||
Global Fund |
— | 33,880,055 | (1,236,790 | ) | 211,385,778 | 244,029,043 | ||||||||||||||
International Equity Fund |
13,648,809 | 4,709,410 | (54,539 | ) | 12,379,788 | 30,683,468 | ||||||||||||||
Strategic Emerging Markets Fund |
541,453 | 19,473,622 | (14,233 | ) | 18,295,359 | 38,296,201 | ||||||||||||||
The Funds did not have any unrecognized tax benefits at March 31, 2022, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the period ended March 31, 2022, 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. Acquisition of Barings Active Short Duration Bond Fund and Barings U.S. High Yield Fund
Effective December 13, 2021, the Barings Active Short Duration Bond Fund and Barings U.S. High Yield Fund merged into the Short-Duration Bond Fund and the High Yield Fund, respectively, pursuant to the terms of an Agreement and Plan of Reorganization.
The Barings Active Shor Duration Bond Fund’s assets and liabilities were transferred to the Short-Duration Bond Fund in return for shares of the Short-Duration Bond Fund. The acquisition was accomplished by a tax-free exchange of the Short-Duration Bond Fund in the following amounts:
Shares of |
Value of Shares |
Shares Issued |
||||||||||
Share Class |
||||||||||||
Class A |
4,392,646 | $ | — | — | ||||||||
Class Y |
106,455,197 | 1,044,804,693 | 105,963,965 | |||||||||
Class L |
8,198,861 | 123,687,701 | 12,595,489 | |||||||||
Class C |
130,547 | 1,281,438 | 129,438 | |||||||||
| 119,177,251 | $ | 1,169,773,832 | 118,688,892 | |||||||||
205
Notes to Financial Statements (Unaudited) (Continued) |
The investment portfolio of the Barings Active Short Duration Bond Fund, with a value of $1,112,388,771 in investments at December 10, 2021, was the principal asset acquired by the Short-Duration Bond Fund.
The Barings U.S. High Yield Fund’s assets and liabilities were transferred to the High Yield Fund in return for shares of the High Yield Fund. The acquisition was accomplished by a tax-free exchange of the High Yield Fund in the following amounts:
Shares of the |
Value of Shares |
Shares |
||||||||||
Share Class |
||||||||||||
Class I |
1,240,000 | $ | 12,144,268 | 1,375,342 | ||||||||
Class Y |
4,081,196 | 39,968,695 | 4,511,139 | |||||||||
Class C |
10,000 | 97,944 | 11,017 | |||||||||
| 5,331,196 | $ | 52,210,907 | 5,897,498 | |||||||||
The investment portfolio of the Barings U.S. High Yield, with a value of $49,712,194 in investments at December 10, 2021, was the principal asset acquired by the High Yield Fund.
For financial reporting purposes, assets received and shares issued by the Short-Duration Bond Fund and High Yield Fund were recorded at fair value; however, the cost basis of the investments received from the Barings Active Short Duration Bond Fund and Barings U.S. High Yield Fund were carried forward to align ongoing reporting of the Short-Duration Bond Fund’s and High Yield Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for federal income tax purposes. Immediately prior to the acquisition, the Short-Duration Bond Fund’s and High Yield Fund’s net assets were $ 338,900,558 and $525,616,144, respectively.
Assuming the acquisition had been completed on October 1, 2021, the beginning of the annual reporting period of the Short-Duration Bond Fund and High Yield Fund, the Short-Duration Bond Fund’s and High Yield Fund’s pro forma results of operations for the six month period ended March 31, 2022, would have been as follows:
Short-Duration |
High Yield |
|||||||
Net investment income |
$ | 19,461,036 | * | $ | 15,142,967 | ** | ||
Net realized and unrealized gain (loss) on investments |
(88,136,279 | )*** | (28,896,320 | )**** | ||||
Net increase (decrease) in net assets resulting from operations |
(68,675,243 | ) | (13,753,353 | ) | ||||
|
* |
$6,421,336 as reported, plus $9,429,210 of the Barings Active Short Duration Bond Fund premerger, plus 3,610,490 of pro-forma eliminated expenses. |
|
** |
$13,986,469 as reported, plus $1,209,392 of the Barings U.S. High Yield Bond Fund premerger, minus $52,894 of pro-forma eliminated expenses. |
|
*** |
$(82,447,286) as reported, minus $5,688,993 of the Barings Active Short Duration Bond Fund premerger. |
|
**** |
$(26,948,255) as reported, minus 1,948,065 of the High Yield Fund premerger. |
Because both the acquired and surviving funds continuously sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisitions were completed, it is also not practicable to separate the amounts of revenue and earnings of the Barings Active Short Duration Bond Fund and Barings U.S. High Yield Fund that have been included in the Short-Duration Bond Fund’s and High Yield Fund’s Statements of Operations since December 13, 2021.
206
Notes to Financial Statements (Unaudited) (Continued) |
See Note 5, Capital Share Transactions, for the changes in shares outstanding for the Short-Duration Bond Fund and High Yield Fund during the period.
8. Line of Credit
The Trust (the “Borrower”) on behalf of the Short-Duration Bond Fund and High Yield Fund has entered into a Credit Agreement (the “Credit Agreement”) with State Street Bank and Trust Company (the “Bank”). The Credit Agreement provides for a revolving credit facility of $150,000,000 (the “Facility Amount”) to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. Per the Credit Agreement, outstanding principal on the loan shall bear interest at a variable rate per annum equal to the higher of (a) the Federal Funds Rate as in effect on the day of the borrowing plus 1.25% and (b) the Overnight Bank Funding Rate as in effect on the day of the borrowing plus 1.25%. In addition, the Borrower shall pay to the Bank a commitment fee at the rate of 0.25% per annum on the daily unused portion of the Facility Amount.
For the period ended March 31, 2022, the Short-Duration Bond Fund and High Yield Fund did not utilize the Facility Amount.
9. 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.
10. New Accounting Pronouncements
In January 2021, FASB issued Accounting Standards Update 2021-01 — Reference Rate Reform (Topic 848) — Scope (“ASU 2021-01”) as an update to Accounting Standards Update 2020-04 — Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) in order to make certain clarifications. ASU 2020-04 and ASU 2021-01 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates. The temporary relief provided by ASU 2020-04 and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not believe the impact of adopting ASU 2020-04 and ASU 2021-01 will have a material impact on the financial statements.
11. Coronavirus (COVID-19) Pandemic
The global pandemic outbreak of the novel coronavirus known as COVID-19 and efforts to contain its spread have produced, and will likely continue to produce, substantial market volatility, severe market dislocations and liquidity constraints in many markets, exchange trading suspensions and closures, higher default rates, and global business disruption, and they may result in future significant adverse effects, such as declines in global financial markets and a substantial economic downturn or recession throughout the world. Such factors may have a significant adverse effect on a Fund’s performance and have the potential to impair the ability of a Fund’s investment adviser, subadviser, or other service providers to serve the Fund and could lead to disruptions that negatively impact the Fund.
12. Russian-Ukraine War
In February 2022, Russia commenced a large-scale military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the regional and the global financial markets and economies. One or more of the Funds hold positions in securities or other instruments that are economically tied to Russia. Investments in Russia are subject to political, economic, legal, market, and currency risks, as well as the risks related to the economic sanctions on Russia, Russian individuals, and Russian corporate and banking entities imposed by the United
207
Notes to Financial Statements (Unaudited) (Continued) |
States and/or other countries. Such sanctions — which affect companies in many sectors, including energy, financial services, and defense, among others — could adversely affect the global energy and financial markets and, thus, could affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. Such sanctions may also result in a decline in the value and liquidity of Russian securities and a weakening of the ruble, and will impair a Fund’s ability to buy, sell, receive, or deliver Russian securities. In addition, certain transactions have been or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet shareholder redemptions.
208
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”) EDGAR database on its website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.
The U.S. Government Money Market Fund files its complete schedule of portfolio holdings with the SEC monthly on Form N-MFP. The U.S. Government Money Market Fund’s reports on Form N-MFP are available on the SEC’s EDGAR database on its website at http://www.sec.gov. In addition, the U.S. Government Money Market Fund makes portfolio holdings information available to shareholders at http://www.massmutual.com/funds.
The Funds, except for the U.S. Government Money Market Fund, file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s EDGAR database on its website at http://www.sec.gov. In addition, the Funds make the complete schedule of portfolio holdings from their filings on Form N-PORT available to shareholders at http://www.massmutual.com/fund.
Liquidity Risk Management Program
In 2016, the SEC adopted Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of fund shareholders. Pursuant to the Liquidity Rule, the Funds have established and maintain a Liquidity Risk Management Program (the “Program”) that incorporates the requirements of the Liquidity Rule. The Program is administered by MML Advisers, which has established a Liquidity Risk Management Program Committee (the “Committee”) to oversee the required management, assessments, reviews, and reports for the Program.
The Program’s principal objectives include supporting each Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner. The Program alsoincludes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence a Fund’s liquidity and the periodic classification of the Fund’s investments into groupings that reflect MML Advisers’ assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on March 22, 2022, the Trustees received a report prepared by the Committee regarding the operation and effectiveness of the Program for the period January 1, 2021 through December 31, 2021. In the report, the Committee concluded that the Program proved to be adequately designed to address the Funds’ liquidity risks and operated effectively.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Trustees’ Approval of Investment Advisory Contracts
At their meeting in December 2021, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadvisers (the “Independent Trustees”), reviewed and approved a proposal to make changes to the existing subadvisory agreement with Barings for the High Yield Fund (the “Fund” and the “Amended Subadvisory Agreement”) intended to permit Barings to delegate to its advisory affiliates. The Trustees considered, among
209
Other Information (Unaudited) (Continued) |
other things, that any such delegation by Barings would be subject to the consent of MML Advisers and the Board. At the same time, the Trustees, including the Independent Trustees, approved a sub-subadvisory agreement between Barings and BIIL (the “New Sub-Subadvisory Agreement”) for the Fund. The Trustees considered, among other things, that the New Sub-Subadvisory Agreement would not result in any changes in the fees payable by the Fund or MML Advisers and that the services provided would continue to be subject to the supervision of Barings. The Trustees concluded that the Amended Subadvisory Agreement and New Sub-Subadvisory Agreement are in the best interests of the Fund and its shareholders. In their deliberations, the Trustees were advised by independent counsel.
Prior to the votes being taken to approve the Amended Subadvisory Agreement and New Sub-Subadvisory Agreement discussed above, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.
The Amended Subadvisory Agreement and New Sub-Subadvisory Agreement became effective on February 1, 2022.
210
Other Information (Unaudited) (Continued) |
Fund Expenses March 31, 2022 (Unaudited)
Expense Examples:
The following information is in regards to expenses for the six months ended March 31, 2022:
As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended March 31, 2022.
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 |
Annualized |
Ending |
Operating |
Ending Value |
Operating |
|
U.S. Government Money Market Fund |
||||||
Class R5 |
$1,000 |
0.07% |
$1,000.00 |
$0.35 |
$1,024.60 |
$0.35 |
Short-Duration Bond Fund |
||||||
Class I |
1,000 |
0.39% |
941.70 |
1.89 |
1,023.00 |
1.97 |
Class R5 |
1,000 |
0.49% |
941.50 |
2.37 |
1,022.50 |
2.47 |
Service Class |
1,000 |
0.62% |
940.80 |
3.00 |
1,021.80 |
3.13 |
Administrative Class |
1,000 |
0.69% |
939.80 |
3.34 |
1,021.50 |
3.48 |
Class A |
1,000 |
0.94% |
938.60 |
4.54 |
1,020.20 |
4.73 |
Class R4 |
1,000 |
0.84% |
940.20 |
4.06 |
1,020.70 |
4.23 |
Class R3 |
1,000 |
1.09% |
938.40 |
5.27 |
1,019.50 |
5.49 |
Class Y** |
1,000 |
0.00% |
946.80 |
1.15 |
1,014.00 |
1.19 |
Class L** |
1,000 |
0.65% |
951.30 |
1.16 |
1,014.00 |
1.19 |
Class C** |
1,000 |
0.89% |
945.60 |
1.15 |
1,014.00 |
1.19 |
211
Other Information (Unaudited) (Continued) |
Beginning Value |
Annualized Expense |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|
Inflation-Protected and Income Fund |
||||||
Class I |
$1,000 |
0.46% |
$987.00 |
$2.28 |
$1,022.60 |
$2.32 |
Class R5 |
1,000 |
0.56% |
986.10 |
2.77 |
1,022.10 |
2.82 |
Service Class |
1,000 |
0.66% |
986.70 |
3.27 |
1,021.60 |
3.33 |
Administrative Class |
1,000 |
0.76% |
985.30 |
3.76 |
1,021.10 |
3.83 |
Class A |
1,000 |
1.01% |
984.10 |
5.00 |
1,019.90 |
5.09 |
Class R4 |
1,000 |
0.91% |
985.00 |
4.50 |
1,020.40 |
4.58 |
Class R3 |
1,000 |
1.16% |
983.10 |
5.74 |
1,019.10 |
5.84 |
Core Bond Fund |
||||||
Class I |
1,000 |
0.42% |
937.20 |
2.03 |
1,022.80 |
2.12 |
Class R5 |
1,000 |
0.52% |
937.20 |
2.51 |
1,022.30 |
2.62 |
Service Class |
1,000 |
0.62% |
936.50 |
2.99 |
1,021.80 |
3.13 |
Administrative Class |
1,000 |
0.72% |
936.20 |
3.48 |
1,021.30 |
3.63 |
Class A |
1,000 |
0.97% |
935.40 |
4.68 |
1,020.10 |
4.89 |
Class R4 |
1,000 |
0.87% |
936.10 |
4.20 |
1,020.60 |
4.38 |
Class R3 |
1,000 |
1.12% |
934.30 |
5.40 |
1,019.30 |
5.64 |
Diversified Bond Fund |
||||||
Class I |
1,000 |
0.52% |
934.70 |
2.51 |
1,022.30 |
2.62 |
Class R5 |
1,000 |
0.62% |
934.40 |
2.99 |
1,021.80 |
3.13 |
Service Class |
1,000 |
0.72% |
933.80 |
3.47 |
1,021.30 |
3.63 |
Administrative Class |
1,000 |
0.82% |
933.90 |
3.95 |
1,020.80 |
4.13 |
Class A |
1,000 |
1.07% |
932.50 |
5.16 |
1,019.60 |
5.39 |
Class R4 |
1,000 |
0.97% |
933.00 |
4.67 |
1,020.10 |
4.89 |
Class R3 |
1,000 |
1.22% |
932.90 |
5.88 |
1,018.80 |
6.14 |
High Yield Fund |
||||||
Class I |
1,000 |
0.55% |
974.20 |
2.71 |
1,022.20 |
2.77 |
Class R5 |
1,000 |
0.65% |
973.30 |
3.20 |
1,021.70 |
3.28 |
Service Class |
1,000 |
0.75% |
974.10 |
3.69 |
1,021.20 |
3.78 |
Administrative Class |
1,000 |
0.85% |
973.10 |
4.18 |
1,020.70 |
4.28 |
Class A |
1,000 |
1.10% |
971.50 |
5.41 |
1,019.40 |
5.54 |
Class R4 |
1,000 |
1.00% |
971.80 |
4.92 |
1,019.90 |
5.04 |
Class R3 |
1,000 |
1.25% |
971.00 |
6.14 |
1,018.70 |
6.29 |
Class Y** |
1,000 |
0.00% |
975.50 |
1.65 |
1,013.50 |
1.68 |
Class C** |
1,000 |
1.56% |
976.10 |
1.65 |
1,013.50 |
1.68 |
Balanced Fund |
||||||
Class I |
1,000 |
0.67% |
1,019.60 |
3.37 |
1,021.60 |
3.38 |
Class R5 |
1,000 |
0.77% |
1,018.60 |
3.88 |
1,021.10 |
3.88 |
Service Class |
1,000 |
0.87% |
1,018.30 |
4.38 |
1,020.60 |
4.38 |
Administrative Class |
1,000 |
0.97% |
1,017.20 |
4.88 |
1,020.10 |
4.89 |
Class A |
1,000 |
1.22% |
1,016.20 |
6.13 |
1,018.80 |
6.14 |
Class R4 |
1,000 |
1.12% |
1,017.20 |
5.63 |
1,019.30 |
5.64 |
Class R3 |
1,000 |
1.37% |
1,015.20 |
6.88 |
1,018.10 |
6.89 |
Disciplined Value Fund |
||||||
Class I |
1,000 |
0.72% |
1,063.30 |
3.70 |
1,021.30 |
3.63 |
Class R5 |
1,000 |
0.82% |
1,062.40 |
4.22 |
1,020.80 |
4.13 |
Service Class |
1,000 |
0.92% |
1,061.60 |
4.73 |
1,020.30 |
4.63 |
Administrative Class |
1,000 |
1.02% |
1,061.70 |
5.24 |
1,019.80 |
5.14 |
Class A |
1,000 |
1.27% |
1,059.80 |
6.52 |
1,018.60 |
6.39 |
Class R4 |
1,000 |
1.17% |
1,060.60 |
6.01 |
1,019.10 |
5.89 |
Class R3 |
1,000 |
1.42% |
1,058.90 |
7.29 |
1,017.90 |
7.14 |
212
Other Information (Unaudited) (Continued) |
Beginning Value |
Annualized Expense |
Ending Value (Based on Actual Returns and Expenses) |
Operating Expenses Incurred* |
Ending Value (Based on Hypothetical Returns and Expenses) |
Operating Expenses Incurred* |
|
Main Street Fund |
||||||
Class I |
$1,000 |
0.74% |
$1,031.50 |
$3.75 |
$1,021.20 |
$3.73 |
Class R5 |
1,000 |
0.84% |
1,030.50 |
4.25 |
1,020.70 |
4.23 |
Service Class |
1,000 |
0.94% |
1,030.30 |
4.76 |
1,020.20 |
4.73 |
Administrative Class |
1,000 |
1.04% |
1,029.30 |
5.26 |
1,019.70 |
5.24 |
Class A |
1,000 |
1.29% |
1,028.30 |
6.52 |
1,018.50 |
6.49 |
Class R4 |
1,000 |
1.19% |
1,029.40 |
6.02 |
1,019.00 |
5.99 |
Class R3 |
1,000 |
1.44% |
1,027.50 |
7.28 |
1,017.80 |
7.24 |
Disciplined Growth Fund |
||||||
Class I |
1,000 |
0.56% |
991.40 |
2.78 |
1,022.10 |
2.82 |
Class R5 |
1,000 |
0.66% |
990.80 |
3.28 |
1,021.60 |
3.33 |
Service Class |
1,000 |
0.76% |
990.10 |
3.77 |
1,021.10 |
3.83 |
Administrative Class |
1,000 |
0.86% |
989.50 |
4.27 |
1,020.60 |
4.33 |
Class A |
1,000 |
1.11% |
988.90 |
5.50 |
1,019.40 |
5.59 |
Class R4 |
1,000 |
1.01% |
989.50 |
5.01 |
1,019.90 |
5.09 |
Class R3 |
1,000 |
1.26% |
987.80 |
6.24 |
1,018.60 |
6.34 |
Small Cap Opportunities Fund |
||||||
Class I |
1,000 |
0.65% |
987.50 |
3.22 |
1,021.70 |
3.28 |
Class R5 |
1,000 |
0.75% |
986.90 |
3.72 |
1,021.20 |
3.78 |
Service Class |
1,000 |
0.84% |
986.40 |
4.16 |
1,020.70 |
4.23 |
Administrative Class |
1,000 |
0.95% |
985.70 |
4.70 |
1,020.20 |
4.78 |
Class A |
1,000 |
1.20% |
984.70 |
5.94 |
1,018.90 |
6.04 |
Class R4 |
1,000 |
1.10% |
985.20 |
5.44 |
1,019.40 |
5.54 |
Class R3 |
1,000 |
1.35% |
983.80 |
6.68 |
1,018.20 |
6.79 |
Global Fund |
||||||
Class I |
1,000 |
0.84% |
864.30 |
3.90 |
1,020.70 |
4.23 |
Class R5 |
1,000 |
0.94% |
863.80 |
4.37 |
1,020.20 |
4.73 |
Service Class |
1,000 |
1.04% |
863.20 |
4.83 |
1,019.70 |
5.24 |
Administrative Class |
1,000 |
1.14% |
862.70 |
5.29 |
1,019.20 |
5.74 |
Class A |
1,000 |
1.39% |
861.80 |
6.45 |
1,018.00 |
6.99 |
Class R4 |
1,000 |
1.29% |
862.40 |
5.99 |
1,018.50 |
6.49 |
Class R3 |
1,000 |
1.54% |
861.20 |
7.15 |
1,017.30 |
7.75 |
International Equity Fund |
||||||
Class I |
1,000 |
1.00% |
983.60 |
4.95 |
1,019.90 |
5.04 |
Class R5 |
1,000 |
1.10% |
983.40 |
5.44 |
1,019.40 |
5.54 |
Service Class |
1,000 |
1.20% |
982.20 |
5.93 |
1,018.90 |
6.04 |
Administrative Class |
1,000 |
1.30% |
981.90 |
6.42 |
1,018.40 |
6.54 |
Class A |
1,000 |
1.55% |
980.60 |
7.65 |
1,017.20 |
7.80 |
Class R4 |
1,000 |
1.44% |
980.90 |
7.11 |
1,017.80 |
7.24 |
Class R3 |
1,000 |
1.70% |
980.00 |
8.39 |
1,016.50 |
8.55 |
Strategic Emerging Markets Fund |
||||||
Class I |
1,000 |
1.15% |
807.60 |
5.18 |
1,019.20 |
5.79 |
Class R5 |
1,000 |
1.25% |
807.30 |
5.63 |
1,018.70 |
6.29 |
Service Class |
1,000 |
1.35% |
806.90 |
6.08 |
1,018.20 |
6.79 |
Administrative Class |
1,000 |
1.45% |
806.50 |
6.53 |
1,017.70 |
7.29 |
Class A |
1,000 |
1.70% |
805.40 |
7.65 |
1,016.50 |
8.55 |
Class R4 |
1,000 |
1.60% |
805.50 |
7.20 |
1,017.00 |
8.05 |
Class R3 |
1,000 |
1.85% |
805.20 |
8.33 |
1,015.70 |
9.30 |
|
* |
Expenses are calculated using the annualized expense ratio for the six months ended March 31, 2022, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 365 days in the year, unless stated otherwise. |
|
** |
Commenced Operations on December 13, 2021. |
213
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Underwriter:
MML Distributors, LLC
1295 State Street
Springfield, Massachusetts 01111-0001
Underwriter: (MassMutual High Yield Fund and
MassMutual Short-Duration Bond Fund)
ALPS Distributors, Inc.
1290 Broadway
Suite 1000
Denver, Colorado 80203
© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com. Investment Adviser: MML Investment Advisers, LLC |
MM202305-301321 |
| (b) | Not applicable to this filing. |
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Investments.
| (a) | Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR. |
| (b) | Not applicable to this filing. |
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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to this filing.
Item 13. Exhibits.
(a)(1) Code of Ethics (Item 2) is not applicable to this filing.
(a)(3) Not applicable to this filing.
(a)(4) Not applicable to this filing.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | MassMutual Premier Funds | |
| By (Signature and Title) | /s/ Paul LaPiana | |
| Paul LaPiana, President and Principal Executive Officer | ||
| Date | 5/23/2022 |
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/ Paul LaPiana | |
| Paul LaPiana, President and Principal Executive Officer | ||
| Date | 5/23/2022 | |
| By (Signature and Title) | /s/ Renee Hitchcock | |
| Renée Hitchcock, Treasurer and Principal Financial Officer | ||
| Date | 5/23/2022 | |