<PAGE>
A Message To Our Contract Owners:
We are pleased to forward this combined Semiannual Report of the segment of
Massachusetts Mutual Variable Annuity Separate Account 1 ("Separate Account
1") pertaining to Variable Annuity Fund 4 and Flex-Annuity IV (Qualified) (the
"Segments"), and the MML Series Investment Fund ("MML Trust"). These reports
are for the period ended June 30, 1996.
The Semiannual Report for the Segments begins on page 3. The Segments have net
assets of $386,554,171 as of June 30, 1996. Net asset values per accumulation
unit for the MML Equity, MML Money Market, MML Managed Bond and MML Blend
Divisions of the Segments as of June 30, 1996 are shown in detail in the table
on page 3.
The Semiannual Report for the MML Trust begins on page 10. This report contains
a detailed description of the financial results of the four series of the MML
Trust -- MML Equity Fund, MML Money Market Fund, MML Managed Bond Fund and MML
Blend Fund for the period ended June 30, 1996.
We appreciate the interest and confidence you have shown in Separate Account 1.
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
/s/ Thomas B. Wheeler
------------------------
Thomas B. Wheeler
Chairman and Chief Executive Officer
August 1, 1996
1
<PAGE>
Table of Contents
<TABLE>
<CAPTION>
Massachusetts Mutual Variable Annuity Separate Account 1
<S> <C>
Statement of Assets and Liabilities as of June 30, 1996.......................................................... 3
Statement of Operations For the Six Months Ended June 30, 1996................................................... 4
Statement of Changes in Net Assets For the Six Months Ended June 30, 1996 and 1995............................... 5
Notes to Financial Statements.................................................................................... 6-9
MML Series Investment Fund
To Our Shareholders.............................................................................................. 10-14
Statement of Assets and Liabilities as of June 30, 1996.......................................................... 15
Statement of Operations For the Six Months Ended June 30, 1996................................................... 16
Statement of Changes in Net Assets For the Six Months Ended June 30, 1996 and
For the Year Ended December 31, 1995........................................................................... 17
Financial Highlights............................................................................................. 18-20
Schedule of Investments as of June 30, 1996
MML Equity Fund................................................................................................ 21-23
MML Money Market Fund.......................................................................................... 24
MML Managed Bond Fund.......................................................................................... 25-27
MML Blend Fund................................................................................................. 28-33
Notes to Financial Statements.................................................................................... 34-36
</TABLE>
2
<PAGE>
Massachusetts Mutual Variable Annuity Separate Account 1
Variable Annuity Fund 4 and Flex-Annuity IV (Qualified)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Division Division Division Division
-------- -------- -------- --------
<S> <C> <C> <C> <C>
ASSETS
Investment in the MML Series Investment Fund
Number of shares (Note 2)............................................ 4,237,740 12,416,574 1,277,532 11,226,393
============ =========== =========== ============
Identified cost (Note 3B)............................................ $ 77,475,933 $12,416,574 $15,346,299 $183,432,194
============ =========== =========== ============
Value (Note 3A)...................................................... $119,263,746 $12,416,574 $15,370,051 $240,822,585
Dividends receivable.................................................. -- 49,676 -- --
Receivable for accumulation units sold................................ 18,466 6,646 1,361 22,318
Other assets.......................................................... 1,138 375 126 1,307
------------ ----------- ----------- ------------
Total assets......................................................... 119,283,350 12,473,271 15,371,538 240,846,210
------------ ----------- ----------- ------------
LIABILITIES
Redemptions pending settlement........................................ 109,108 8,155 -- 99,486
Annuitant mortality fluctuation reserve (Note 3D)..................... 8,413 2,599 3,439 9,632
Payable to Massachusetts Mutual Life Insurance Company................ 364,024 39,477 44,212 731,653
------------ ----------- ----------- ------------
Total liabilities.................................................... 481,545 50,231 47,651 840,771
------------ ----------- ----------- ------------
NET ASSETS............................................................ $118,801,805 $12,423,040 $15,323,887 $240,005,439
============ =========== =========== ============
Net assets consist of:
Accumulation units -- value........................................... $118,521,372 $12,336,402 $15,209,231 $239,684,362
Annuity reserves (Note 3E)............................................ 280,433 86,638 114,656 321,077
------------ ----------- ----------- ------------
Net assets........................................................... $118,801,805 $12,423,040 $15,323,887 $240,005,439
============ =========== =========== ============
Contractowners accumulation units (Note 7)............................ 16,385,166 5,775,733 4,623,607 61,329,830
============ =========== =========== ============
<CAPTION>
NET ASSET VALUE PER ACCUMULATION UNIT
Variable Annuity Fund 4 Contracts (Note 5)
<S> <C> <C> <C> <C>
June 30, 1996......................................................... $7.71 $2.39 $3.75 $4.15
June 30, 1995......................................................... 6.33 2.29 3.61 3.61
June 30, 1994......................................................... 5.27 2.20 3.22 3.13
June 30, 1993......................................................... 5.10 2.15 3.30 3.07
June 30, 1992......................................................... 4.60 2.10 2.94 2.76
Flex-Annuity IV Contracts (Note 5)
June 30, 1996......................................................... $7.19 $2.07 $3.22 $3.89
June 30, 1995......................................................... 5.93 2.00 3.12 3.41
June 30, 1994......................................................... 4.97 1.92 2.80 2.97
June 30, 1993......................................................... 4.83 1.89 2.87 2.92
June 30, 1992......................................................... 4.37 1.86 2.57 2.65
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
Massachusetts Mutual Variable Annuity Separate Account 1
Variable Annuity Fund 4 and Flex-Annuity IV (Qualified)
STATEMENT OF OPERATIONS
For The Six Months Ended June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Division Division Division Division
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Investment income
Dividends (Note 3B)................................................... $ 2,071 $ 320,763 $ 251,872 $ 2,291,532
Expenses
Mortality and expense risk fees (Note 4).............................. 699,562 74,651 92,719 1,470,033
----------- ----------- ----------- ------------
Net investment income (loss) (Note 3C)................................ (697,491) 246,112 159,153 821,499
----------- ----------- ----------- ------------
Net realized and unrealized gain (loss) on investments
Net realized gain on investments (Notes 3B, 3C and 6)................. 2,050,518 -- 108,670 4,940,428
Change in net unrealized appreciation/depreciation of investments..... 7,500,284 -- (661,496) 5,874,826
----------- ----------- ----------- ------------
Net gain (loss) on investments........................................ 9,550,802 -- (552,826) 10,815,254
----------- ----------- ----------- ------------
Net increase (decrease) in net assets resulting from operations....... $ 8,853,311 $ 246,112 $ (393,673) $ 11,636,753
=========== =========== =========== ============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
Massachusetts Mutual Variable Annuity Separate Account 1
Variable Annuity Fund 4 and Flex-Annuity IV (Qualified)
STATEMENT OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1996 and 1995
(Unaudited)
<TABLE>
<CAPTION>
1996 1995
--------------------------------------------------- ---------------------------------------
MML MML MML MML
MML Money Managed MML MML Money Managed
Equity Market Bond Blend Equity Market Bond
Division Division Division Division Division Division Division
-------- -------- -------- -------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income (loss).. $ (697,491) $ 246,112 $ 159,153 $ 821,499 $ (583,689) $ 357,648 $ 187,178
Net realized gain on
investments.................. 2,050,518 -- 108,670 4,940,428 1,656,168 -- 57,456
Change in net unrealized
appreciation/depreciation of
investments.................. 7,500,284 -- (661,496) 5,874,826 13,048,059 -- 1,552,606
------------ ----------- ----------- ------------ ------------ ------------ -----------
Net increase (decrease) in
net assets resulting from
operations................... 8,853,311 246,112 (393,673) 11,636,753 14,120,538 357,648 1,797,240
------------ ----------- ----------- ------------ ------------ ------------ -----------
Capital transactions: (Note 7)
Net contract payments (Note 5) 1,870,694 1,026,674 222,243 4,445,233 1,532,594 370,740 253,561
Reimbursement (payment) of
accumulation unit value
fluctuation.................. 1,017 (5,284) 2,014 (31,117) (29,713) (3,852) (3,898)
Net charge (credit) to annuitant
mortality fluctuation reserve
(Note 3D).................... 999 (3,871) 873 (1,415) 263 201 478
Administrative charges and
contingent deferred sales
charges (Note 5)............. (126,096) (14,977) (16,385) (332,976) (137,943) (19,629) (20,624)
Withdrawal of funds............ (5,953,414) (1,961,116) (967,637) (17,116,163) (6,728,286) (2,070,945) (1,682,436)
Annuity benefits............... (11,801) (4,611) (5,779) (15,658) (9,486) (4,534) (5,454)
Divisional transfers........... 1,611,350 (449,708) (361,601) (800,041) 118,243 (292,263) 352,171
------------ ----------- ----------- ------------ ------------ ------------ -----------
Net decrease in net assets
resulting from capital
transactions................. (2,607,251) (1,412,893) (1,126,272) (13,852,137) (5,254,328) (2,020,282) (1,106,202)
------------ ----------- ----------- ------------ ------------ ------------ -----------
Total increase (decrease)...... 6,246,060 (1,166,781) (1,519,945) (2,215,384) 8,866,210 (1,662,634) 691,038
NET ASSETS, at beginning of
the year...................... 112,555,745 13,589,821 16,843,832 242,220,823 93,842,306 17,391,080 16,616,513
------------ ----------- ----------- ------------ ------------ ------------ -----------
NET ASSETS, at end of the
period........................ $118,801,805 $12,423,040 $15,323,887 $240,005,439 $102,708,516 $15,728,446 $17,307,551
============ =========== =========== ============ ============ =========== ===========
<CAPTION>
1995
--------
MML
Blend
Division
--------
<S> <C>
Increase (decrease)
in net assets
Operations:
Net investment income (loss)...................... $ 954,248
Net realized gain on investments.................. 4,239,783
Change in net unrealized
appreciation/depreciation of investments......... 20,781,773
------------
Net increase (decrease) in net assets
resulting from operations........................ 25,975,804
------------
Capital transactions: (Note 7)
Net contract payments (Note 5).................... 4,977,926
Reimbursement (payment) of
accumulation unit value fluctuation.............. (69,130)
Net charge (credit) to annuitant mortality
fluctuation reserve (Note 3D).................... 48
Administrative charges and contingent
deferred sales charges (Note 5).................. (398,656)
Withdrawal of funds................................ (22,202,149)
Annuity benefits................................... (10,159)
Divisional transfers............................... (178,151)
------------
Net decrease in net assets resulting
from capital transactions........................ (17,880,271)
------------
Total increase (decrease).......................... 8,095,533
NET ASSETS, at beginning of the year............... 229,283,925
------------
NET ASSETS, at end of the period................... $237,379,458
============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Massachusetts Mutual Variable Annuity Separate Account 1
Variable Annuity Fund 4 and Flex-Annuity IV (Qualified)
Notes To Financial Statements
(Unaudited)
1. HISTORY
Massachusetts Mutual Variable Annuity Separate Account 1 ("Separate Account
1") is a separate investment account established on April 8, 1981 by
Massachusetts Mutual Life Insurance Company ("MassMutual"). Separate Account
1 operates as a registered unit investment trust pursuant to the Investment
Company Act of 1940 and the rules promulgated thereunder.
MassMutual maintains three segments within Separate Account 1. The segments
are Variable Annuity 4, Flex-Annuity IV (Qualified) and Flex Extra
(Qualified). These notes and the financial statements presented herein, with
the exception of Note 8, describe and consist only of the Variable Annuity
Fund 4, and Flex-Annuity IV (Qualified) segments (the "Segments").
2. INVESTMENT OF THE SEGMENT'S ASSETS
Each segment has four divisions. The MML Equity Division invests in shares of
MML Equity Fund, the MML Money Market Division invests in shares of MML Money
Market Fund, the MML Managed Bond Division invests in shares of MML Managed
Bond Fund and the MML Blend Division invests in shares of MML Blend Fund.
MML Equity Fund, Money Market Fund, MML Managed Bond Fund and MML Blend Fund
are the four series of shares of MML Series Investment Fund (the "MML
Trust"). The MML Trust is a no-load, registered, open-end, diversified
management investment company for which MassMutual acts as investment
manager. Concert Capital Management, Inc. ("Concert Capital"), a wholly-owned
subsidiary of DLB Acquisition Corporation which is a controlled subsidiary of
MassMutal, serves as investment sub-advisor to the MML Equity Fund and the
Equity Sector of the MML Blend Fund.
3. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by the Segments in preparation of the financial statements in
conformity with generally accepted accounting principles.
A. Investment Valuation
The investments in MML Equity Fund, MML Money Market Fund, MML Managed Bond
Fund and MML Blend Fund are each stated at market value which is the net
asset value of each of the respective funds.
B. Accounting For Investments
Investment transactions are accounted for on trade date and identified cost
is the basis followed in determining the cost of investments sold for
financial statement purposes. Dividend income is recorded on the ex-dividend
date.
C. Federal Income Taxes
Operations of the Segments form a part of the total operations of MassMutual,
and the Segments are not taxed separately. MassMutual is taxed as a life
insurance company under the provisions of the 1986 Internal Revenue Code, as
amended. The Segments will not be taxed as a "regulated investment company"
under Subchapter M of the Internal Revenue Code. Under existing federal law,
no taxes are payable on investment income and realized capital gains
attributable to Contracts which depend on the Segment's investment
performance. Accordingly, no provision for federal income tax has been made.
MassMutual may, however, make such a charge in the future if an unanticipated
change of current law results in a company tax liability attributable to the
Segments.
6
<PAGE>
Notes To Financial Statements (Continued)
D. Annuitant Mortality Fluctuation Reserve
The Segments maintain a reserve as required by regulatory authorities to
provide for mortality losses incurred. The reserve is increased quarterly for
mortality gains and its proportionate share of any increases in value. The
reserve is charged quarterly for mortality losses and its proportionate share
of any decreases in value. Tranfers to or from MassMutual are then made
quarterly to adjust the Segments. Net transfers from the Segments to
MassMutual totaled $1,054 for the period ended June 30, 1996 and net
transfers from MassMutual to the Segments totaled $2,951 for the period ended
June 30, 1995. The reserve is subject to a maximum of 3% of the Segment's
annuity reserves. Any mortality losses in excess of this reserve will be
assumed by MassMutual. The reserve is not available to owners of Contracts
except to the extent necessary to cover mortality losses under the Contracts.
E. Annuity Reserves
Annuity reserves are developed by using accepted actuarial methods and are
computed using the 1971 Individual Annuity Mortality Table, as modified.
F. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
4. CHARGES FOR MORTALITY AND EXPENSE RISKS
A. Variable Annuity Fund 4 Contracts
Currently, daily charges for mortality and expense risks assumed by
MassMutual are made which are equivalent on an annual basis to 0.730% of the
value of the Variable Annuity Fund 4 Contracts. Effective on January 1 of any
year after the first Contract year, the daily charge made for the assumption
of mortality and expense risks will be as determined by MassMutual, but in no
event will such charge be at an annual rate of more than 1.2045% of the
value of the Variable Annuity Fund 4 Contracts.
B. Flex-Annuity IV (Qualified) Contracts
Daily charges for mortality and expense risks assumed by MassMutual are made
which are equivalent on an annual basis to 1.25% of the value of the Flex-
Annuity IV Contracts.
5. CHARGES/DEDUCTIONS FOR ADMINISTRATIVE CHARGES, CONTINGENT DEFERRED SALES
CHARGES AND PREMIUM TAXES
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
For the Six Months Ended Equity Market Bond Blend
June 30, 1996 Division Division Division Division
- ------------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
Gross contract payments......................................................... $1,873,856 $1,041,185 $223,447 $4,454,011
Less deductions for administrative and sales expenses and
premium taxes under Variable Annuity Fund 4 Contracts......................... 2,221 14,070 1,097 6,548
Less deduction for premium taxes under Flex-Annuity IV
Contracts..................................................................... 941 441 107 2,230
---------- ---------- -------- ---------
Net contract payments........................................................... $1,870,694 $1,026,674 $222,243 $4,445,233
========== ========== ======== ==========
Administrative and contingent deferred sales charges
under Flex-Annuity IV Contracts............................................... $ 126,096 $ 14,977 $ 16,385 $ 332,976
========== ========== ======== ==========
<CAPTION>
MML MML
MML Money Managed MML
For the Six Months Ended Equity Market Bond Blend
June 30, 1995 Division Division Division Division
- ------------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
Gross contract payments......................................................... $1,537,341 $ 374,453 $255,316 $4,989,546
Less deductions for administrative and sales expenses and
premium taxes under Variable Annuity Fund 4 Contracts......................... 3,453 3,427 1,551 7,380
Less deduction for premium taxes under Flex-Annuity IV
Contracts..................................................................... 1,294 286 204 4,240
---------- ---------- -------- ----------
Net contract payments........................................................... $1,532,594 $ 370,740 $253,561 $4,977,926
========== ========== ======== ==========
Administrative and contingent deferred sales charges
under Flex-Annuity IV Contracts............................................... $ 137,943 $ 19,629 $ 20,624 $ 398,656
========== ========== ======== ==========
</TABLE>
7
<PAGE>
Notes To Financial Statements (Continued)
6. PURCHASES AND SALES OF INVESTMENTS
<TABLE>
<CAPTION>
For the Six Months Ended Cost of Proceeds
June 30, 1996 Purchases from Sales
------------- --------- ----------
<S> <C> <C>
MML Equity Fund....................................................... $ 6,401,905 $ 5,159,908
MML Money Market Fund................................................. 1,873,190 2,966,591
MML Managed Bond Fund................................................. 698,816 1,358,474
MML Blend Fund........................................................ 11,687,760 16,430,373
<CAPTION>
7. NET DECREASE IN ACCUMULATION UNITS
Variable Annuity Fund 4 Contracts
MML MML
MML Money Managed MML
For the Six Months Ended Equity Market Bond Blend
June 30, 1996 Division Division Division Division
------------- ----------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Units purchased........................................................ 3,362 67,212 3,328 18,291
Units withdrawn........................................................ (65,234) (98,520) (53,356) (360,704)
Units transferred between divisions.................................... 39,371 (56,399) (30,929) (10,353)
----------- --------- ------- ---------
Net decrease........................................................... (22,501) (87,707) (80,957) (352,766)
Units, at beginning of the year........................................ 1,472,479 1,203,525 671,133 3,698,264
----------- --------- ------- ---------
Units, at end of the period............................................ 1,449,978 1,115,818 590,176 3,345,498
=========== ========= ======= =========
<CAPTION>
MML MML
MML Money Managed MML
For the Six Months Ended Equity Market Bond Blend
June 30, 1995 Division Division Division Division
------------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
Units purchased........................................................ 6,679 17,220 5,180 24,681
Units withdrawn........................................................ (63,926) (242,185) (113,058) (190,991)
Units transferred between divisions.................................... (15,999) (1,327) 30,102 132
-------- --------- ------- ---------
Net decrease........................................................... (73,246) (226,292) (77,776) (166,178)
Units, at beginning of the year........................................ 1,636,947 1,641,887 812,837 4,294,517
--------- --------- ------- ---------
Units, at end of the period............................................ 1,563,701 1,415,595 735,061 4,128,339
========= ========= ======= =========
<CAPTION>
Flex-Annuity IV Contracts
MML MML
MML Money Managed MML
For the Six Months Ended Equity Market Bond Blend
June 30, 1996 Division Division Division Division
------------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
Units purchased........................................................ 264,561 422,856 65,069 1,143,659
Units withdrawn........................................................ (798,747) (850,841) (242,762) (4,192,003)
Units transferred between divisions.................................... 188,469 (153,273) (75,449) (199,769)
Units transferred to annuity reserves.................................. (1,327) -- -- (18,318)
---------- -------- --------- ----------
Net decrease........................................................... (347,044) (581,258) (253,142) (3,266,431)
Units, at beginning of the year........................................ 15,282,232 5,241,173 4,286,573 61,250,763
--------- --------- --------- ----------
Units, at end of the period............................................ 14,935,188 4,659,915 4,033,431 57,984,332
========== ========= ========= ==========
<CAPTION>
MML MML
MML Money Managed MML
For the Six Months Ended Equity Market Bond Blend
June 30, 1995 Division Division Division Division
------------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
Units purchased........................................................ 270,822 168,542 79,516 1,515,135
Units withdrawn........................................................ (1,173,461) (782,951) (447,987) (6,855,509)
Units transferred between divisions.................................... 40,877 (149,002) 85,237 (50,674)
Units transferred to annuity reserves.................................. -- -- -- (7,303)
---------- --------- --------- ----------
Net decrease........................................................... (861,762) (763,411) (283,234) (5,398,351)
Units, at beginning of the year........................................ 16,469,073 6,974,443 4,945,453 70,616,166
---------- -------- --------- ----------
Units, at end of the period............................................ 15,607,311 6,211,032 4,662,219 65,217,815
========== ========= ========= ==========
</TABLE>
8
<PAGE>
Notes To Financial Statements (Continued)
8. CONSOLIDATED MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 1
As discussed in Note 1, the financial statements only represent activity of
the Variable Annuity Fund 4 and Flex-Annuity IV (Qualified) segments of the
Massachusetts Mutual Variable Annuity Separate account 1. The combined net
assets as of June 30, 1996 for Massachusetts Mutual Variable Annuity Separate
Account 1, which includes the segments pertaining to the Variable Annuity
Fund 4, Flex-Annuity IV (Qualified) and Flex Extra (Qualified), are as
follows:
<TABLE>
<CAPTION>
MML MML *Oppenheimer *Oppenheimer *Oppenheimer
MML Money Managed MML Capital Global Strategic
Equity Market Bond Blend Appreciation Securities Bond
Division Division Division Division Division Division Division
-------------- ----------- ------------ -------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Total assets................. $1,054,372,378 $75,823,133 $116,045,845 $1,564,044,157 $130,632,445 $82,864,508 $26,441,850
Total liabilities............ 3,682,302 1,029,541 401,709 5,334,438 419,205 261,307 92,977
-------------- ----------- ------------ -------------- ------------ ----------- -----------
Net assets................... $1,050,690,076 $74,793,592 $115,644,136 $1,558,709,719 $130,213,240 $82,603,201 $26,348,873
============== =========== ============ ============== ============ =========== ===========
Net assets consist of:
Accumulation units - value $1,050,150,904 $74,694,798 $115,495,277 $1,557,722,526 $130,210,560 $82,603,201 $26,348,873
Annuity reserves 539,172 98,794 148,859 987,193 2,680 -- --
-------------- ----------- ------------ -------------- ------------ ----------- -----------
Net assets $1,050,690,076 $74,793,592 $115,644,136 $1,558,709,719 $130,213,240 $82,603,201 $26,348,873
============== =========== ============ ============== ============ =========== ===========
</TABLE>
*Offered on the Flex Extra Contracts.
9. DISTRIBUTION AGREEMENT
MML Distributors, Inc. ("MML Distributors"), a wholly-owned subsidiary of
MassMutual, acts as principal underwriter (as defined in the Investment
Company Act of 1940, as amended) in the contracts.
MML Investors Services, Inc. ("MMLISI"), a wholly-owned subsidiary of
MassMutual, acts as co-underwriter of the contracts. Registered
representatives of MMLISI who are licensed and appointed as insurance agents
of MassMutual sell the contracts.
9
<PAGE>
MML Series Investment Fund
Table of Contents
<TABLE>
<CAPTION>
Page
----
<S> <C>
To Our Shareholders................................................. 2-6
Statement of Assets and Liabilities as of June 30, 1996............. 7
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Operations For the Six Months Ended June 30, 1996...... 8
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Changes in Net Assets For the Six Months Ended
June 30, 1996 and For the Year Ended December 31, 1995.............. 9
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Financial Highlights
MML Equity Fund.................................................. 10
MML Money Market Fund............................................ 10
MML Managed Bond Fund............................................ 11
MML Blend Fund................................................... 12
Schedule of Investments as of June 30, 1996
MML Equity Fund.................................................. 13-15
MML Money Market Fund............................................ 16
MML Managed Bond Fund............................................ 17-19
MML Blend Fund................................................... 20-25
Notes to Financial Statements....................................... 26-28
</TABLE>
1
<PAGE>
MML Series Investment Fund
To Our Shareholders
Low Interest Rates Defined Markets Through Year-End
To put the first six months of 1996 in perspective, it's helpful to look back
for a moment. Throughout 1995, concern over how quickly the domestic economic
growth rate was slowing prompted the Federal Reserve to cut interest rates. The
Fed reduced rates in an effort to prolong the period of expansion at a slower,
but more sustainable rate, thus staving off the possibility of a recession.
Lower interest rates strongly benefited both the stock and bond markets during
1995. Stocks did well because lower rates both increased corporate
profitability and encouraged consumer spending, especially on goods that had to
be financed. Bonds reacted favorably to declining rates because as new bonds
are issued at lower current rates, investors are willing to pay more for the
higher income of existing bonds.
Interest Rates Change Direction On Reports Of Faster Growth
In contrast to last year, when slowing growth was a concern, economic data in
early 1996 suggested that growth had again picked up. While growth in and of
itself is good, at this point in the economic cycle, it could create
inflationary pressures, causing prices of goods and services to increase and
consequently investments to lose their relative value.
Beginning with reports of an increase in non-farm payroll for the month of
February, which was especially surprising considering the difficult winter most
of the country suffered, rapid economic growth became a concern. This fact
started the investment community discussing not when the Fed might cut rates
further, but rather how far rates might be increased in order to preempt an
inflationary GDP growth rate.
The Stock Market, While Still Positive, Becomes Volatile
Reacting to both increasing interest rates and persistent concerns over whether
reports of faster growth were accurate, the domestic stock market became
volatile over the first half. Investors alternately focused on the types of
companies that should be able to grow faster than the overall economy, and on
stocks of companies that would benefit from the increased consumer demand that
seemed to be reflected by improving economic statistics.
Smaller company stocks and stocks in traditional growth sectors of the market
performed well at various times, as did cyclical stocks - those of companies
whose prospects are tied to the strength of the economy.
The Bond Market Is Less Resilient
As interest rates climbed over the past six months, the bullish bond market of
1995 dissipated. Bonds with the most exposure to interest rate changes fared
most poorly. Long-term Treasuries reported negative price performance for the
period, and the yield curve steepened dramatically.
Bonds with shorter maturities, and bonds that are influenced by other factors
than interest rates - such as corporate bonds, which were buoyed somewhat by
continued corporate profitability - performed somewhat better.
Value Investing During Volatile Markets
Both the stock and bond markets have been decidedly more volatile during 1996,
and we expect that to continue. Price fluctuations have received a great deal
of attention in the financial press, and caused some discomfort for investors in
both markets. However, it is during times of market volatility that value
investors like us have an advantage. When prices are moving steadily higher,
value strategies tend to underperform because they rely heavily on buying
securities when they're selling at discounted prices. In a market with price
fluctuations, astute value investors have the opportunity to purchase securities
they think will perform well at temporarily reduced prices and then profit as
the securities return to favor in the market.
2
<PAGE>
An Optimistic Outlook Regardless of Market Uncertainty
Regardless of the volatility in the U.S. markets in recent months, we think
there are compelling reasons to believe the economy is in good shape. The
economy grew at a real rate of more than three percent during the first half of
1996, which is well above what had been forecasted. So even with a potentially
slower second half, growth will have continued at an impressive rate. And
though threats of inflation are a large factor in the markets' volatility, the
core rate of inflation, minus increases in the food and energy sectors, is still
quite low at approximately 2.7 percent.
The current debate in the markets concerns how the Federal Reserve will react to
this data, and consequently whether rates will be increased. We expect that if
the Fed does move to tighten money supply, its move will not be a large one. In
any event, we intend to focus more on inherent strengths and long-term value.
It is in an environment like this that we'd expect our portfolio strategies to
perform well.
/s/ Stuart Reese
Stuart H. Reese
President
MML Series Investment Fund
August 1, 1996
3
<PAGE>
MML EQUITY
How has the Fund performed over the past six months?
The Fund's performance has been very good, though it has slightly lagged broad
market indices for the period. In the sixth year of an economic growth cycle,
investors tended to focus more on traditional high growth sectors of the market
than the lower-risk area where we invest. Still, due to good stocks selection,
our performance was sound in an absolute sense and it built a solid foundation
for full year results.
Has the fact that market leadership has moved away from large stocks impacted
the portfolio?
Not greatly. One place where investors reached for higher returns in the first
half was smaller company stocks, in contrast to last year, when large company
stocks were runaway leaders. Still, solid companies with recognized competitive
strengths and sustainable earnings have remained in favor regardless of their
size. Ours is a portfolio of very high quality companies, and we have not been
disadvantaged by the shift in market interest towards smaller companies.
What types of companies performed best for you over the period?
Because of faster than expected economic growth in the first half, many cyclical
(or economically-sensitive) stocks performed very well. As value investors, we
had purchased a number of cyclical names at the end of 1995, when fears about
the economy's weakness made cyclicals one of the few real values within a strong
bull market. This positioning became advantageous this year. Some of our best
performers included machinery manufacturers Parker-Hannifin Corporation, Dover
Corporation and Harsco Corporation, electrical equipment firms such as General
Electric Company, Honeywell Inc. and General Signal Corporation, and retailers
including The May Department Stores Company, Sears Roebuck and Co., Albertson's,
Inc. and American Stores Company.
How are you currently positioning the portfolio?
Recently, we've been working to reduce our total number of portfolio holdings,
anticipating continued selectivity in the market. We are both eliminating
smaller holdings that we believe don't merit being brought up to full position
size, and adding to those we feel confident are positioned for growth, but that
are still selling for reasonable prices. For example, we've recently increased
our insurance holdings, adding strong companies like Marsh & McLennan Companies,
Inc., where we see good cash flows being generated, a healthy dividend and
strong prospects for future dividend growth.
What is your outlook for the portfolio?
We believe the Fund will continue to do well, especially in light of increased
market volatility. While volatility can be uncomfortable for market watchers,
it is precisely this type of environment that creates opportunity for value
investors. Price fluctuations both allow us to buy stocks we want to own at
temporarily reduced prices and to sell stocks when they reach our target sell
price. Our value-oriented investment approach is one that has been very
successful over time, and we expect it to help us continue to provide superior
returns going forward.
MML MONEY MARKET
How has the Fund performed over the past six months?
We're very pleased with the Fund's performance for the period. While we
continued to offer investors a safe and highly liquid income vehicle, we also
benefited from yields that were higher this year than last as a result of
increases in interest rates.
How was the Fund positioned in this market and why?
During 1995, when interest rates were declining, we had lengthened the average
maturity of our portfolio in an effort to take advantage of higher rates for as
long as possible. In contrast, during the first half of this year, we kept
average maturity shorter. Shorter-term securities must be replaced with new
issues more often, and since we were able to do so on favorable terms as the
yield curve steepened, the Fund benefited.
What changes are you currently making to the portfolio?
Our assets have grown by approximately 11 percent over the past six months, and
as we've been investing this money, we're working to remain well-diversified
among issuers and securities.
At this time, most of the newly issued securities in our market are extremely
short in maturity. We're looking for ways to extend our average maturity
slightly - its June 30th length was 43 days - but longer-maturity issues are
currently in short supply.
As we always do, we're evaluating and researching all of our investment
opportunities in an effort to capture the most income we can in this environment
without taking on unnecessary risk.
4
<PAGE>
What is your outlook for the Fund?
We believe the outlook remains favorable. U.S. economic growth appears to be
strong. That fact has given rise to the possibility of a tightening of the
money supply, or an increase in interest rates, in an effort to counteract any
upward move in inflation. If the Federal Reserve should increase rates later in
the year, extremely short-term income vehicles like this one are one of the few
types of investments that would benefit. Since the income we pay relates
directly to prevailing interest rates, a higher rate environment would allow us
to pay a higher yield without taking on additional risk.
MML MANAGED BOND
How has the Fund performed over the past six months?
While the general bond market has been weak this year as a result of increasing
interest rates, the Fund's performance has been relatively favorable. Due to
portfolio allocation decisions, it finished the six months ended June 30th
slightly ahead of the Lehman Government/Corporate Index.
What effect did this year's rise in interest rates have on the market?
Bond prices, especially in longer-term maturities, were hurt as interest rates
edged up. Treasuries, which had rallied most on last year's rate declines,
suffered most in the first half of this year. In addition, the yield curve
significantly steepened so that in contrast to last year's market, moving
farther out in maturity made a large difference in the amount of yield available
in the Treasury market.
How was the portfolio positioned in light of these changes?
As always, the portfolio was well-diversified, with a focus on providing a high
rate of total return without taking on undue risk to principal. One of the
moves we made was to increase our allocation to mortgage-backed securities over
the period. Mortgages tend to pay higher income than Treasuries, and because
interest rates had risen, the prepayment risk associated with them in last
year's market had declined. Our focus was on well-seasoned and call-protected
securities, where we felt the income we were buying was fairly reliable.
Additionally, we were consistent in our allocation to corporate bonds over the
period, and they performed well regardless of increasing rates. Corporate
America weathered the economic slowdown at the end of 1995 well, and now that
growth appears to have picked up somewhat, these bonds remain in demand.
How are you currently positioning the portfolio and why?
At this time we're looking for areas of the market where we can add value for
the portfolio. We're holding on to the corporate bonds we own and selectively
adding to our allocation there. In this economic environment, however, we are
conducting a tremendous amount of research into individual corporate credits
before buying. Beyond corporate bonds, we're still building our position in
well-structured mortgage securities. In the Treasury market, we're considering
making investments into the three year maturity range, where the yield curve is
exceptionally steep. We would also consider adding to long bonds if the yield
differential between 10 and 30 year bonds were to increase further. We don't
make bets on the direction of interest rates, so the decisions we're making now
reflect our beliefs about what sectors of the market offer the best potential
value relative to the rest of the market.
What is your outlook for the Fund?
Our outlook is optimistic. This is a Fund that was designed to perform well in
many markets through its diversification over various categories of bonds, its
neutral duration strategy, and its total return focus. While current economic
data suggests the likelihood of the Federal Reserve's increasing interest rates
later this year, we expect our portfolio positioning to help us to continue to
be able to provide a competitive rate of return without undue risk to principal.
MML BLEND
How has the Fund performed over the past six months?
The Fund has performed well, benefiting from the strength in the stock market
and from having avoided some of the difficulties of the fixed income market.
While our performance has lagged that of pure equity investments over the
period, we believe our portfolio diversification will be a plus, allowing us
exposure to the growth potential of stocks, but tempering any dramatic price
swings.
Did your allocation between stocks, bonds and cash change over the period?
Yes. While remaining underweighted in both stocks and bonds, we did slightly
increase our allocation over the last six months, and consequently reduced our
cash position. Though both markets have been volatile, we believe they offer
significant reward
5
<PAGE>
potential over the long term. As of June 30th, our equity holdings represented
55 percent of the portfolio, and our bond position was 19 percent. The remaining
26 percent was invested in money market securities.
Within your allocations, what investment decisions benefited the portfolio over
the period?
Because of faster than expected economic growth in the first half, many cyclical
(or economically-sensitive) stocks performed very well. As value investors, we
had purchased a number of cyclical names at the end of 1995, when fears about
the economy's weakness made cyclicals one of the few real values within a strong
bull market. This positioning became advantageous this year.
On the fixed income side, we benefited from having increased our allocation to
mortgage-backed securities over the period. Mortgages tend to pay higher income
than Treasuries, and because interest rates had risen, the prepayment risk
associated with them in last year's market had declined. Additionally, our
allocation to strong performing corporate bonds helped us over the period.
Where are you currently finding the greatest potential value in the markets?
On the equity side, we've been working to reduce our total number of portfolio
holdings, anticipating continued selectivity in the market. We are both
eliminating smaller holdings that we believe don't merit being brought up to
full position size, and adding to those we feel confident are positioned for
growth, but that are still selling for reasonable prices.
In bonds, we're looking for areas of the market where we can add value for the
portfolio. We're holding on to the corporate bonds we own and selectively adding
to our holdings there. In this economic environment, however, we are conducting
a tremendous amount of research into individual corporate credits before buying.
Beyond corporate bonds, we're still building our position in well-structured
mortgage securities.
What is your outlook for the Fund?
Our outlook is positive. With the increased volatility we've seen in both the
stock and bond markets recently, we believe the potential benefits of a
relatively conservative balanced strategy like ours are compelling. With
exposure to stocks, bonds and money market securities, we're positioned to
capture appreciation and income, but with less price volatility than an
investment in either stocks or bonds.
6
<PAGE>
MML Series Investment Fund
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------- ------ -------- -------
<S> <C> <C> <C> <C>
ASSETS
Investments at value (See Schedule of Investments)
(Notes 2A, 2B and 5)
Equities (Identified cost: $914,035,124;
$659,848,392 respectively).................................. $1,365,957,086 $ -- $ -- $1,101,017,076
Bonds and notes (Identified cost: $160,743,652;
$377,282,273 respectively).................................. -- -- 159,309,502 375,347,298
Short-term investments (Identified cost: $158,535,275;
$121,197,672; $4,514,278; $534,271,816 respectively).......... 158,520,790 121,197,672 4,514,278 534,080,467
-------------- -------------- -------------- --------------
Total investments........................................... 1,524,477,876 121,197,672 163,823,780 2,010,444,841
Cash.......................................................... 2,130,827 4,006 1,573 (587,733)
Interest and dividends receivable............................. 2,658,858 -- 2,190,138 7,714,192
Receivable for investments sold............................... 2,592,785 -- 10,628 3,811,245
Receivable for settlement of investments
purchased on a forward commitment basis (Note 2D)............ -- -- -- 109,550
Prepaid trustees' fees........................................ 440 280 280 280
-------------- -------------- -------------- --------------
Total assets................................................ 1,531,860,786 121,201,958 166,026,399 2,021,492,375
-------------- -------------- -------------- --------------
LIABILITIES
Payable for investments purchased............................. 5,347,640 -- -- 1,886,523
Dividends payable (Note 2C)................................... -- 470,335 -- --
Investment management fee payable (Note 4).................... 1,394,733 143,563 194,445 1,838,742
Accrued liabilities........................................... 10,817 7,240 6,932 4,015
-------------- -------------- -------------- --------------
Total liabilities........................................... 6,753,190 621,138 201,377 3,729,280
-------------- -------------- -------------- --------------
NET ASSETS.................................................... $1,525,107,596 $ 120,580,820 $ 165,825,022 $2,017,763,095
============== ============== =============== ==============
Net assets consist of:
Series shares (par value $.01 per share; an unlimited number
authorized) (Note 6)........................................ $ 541,909 $ 1,205,808 $ 137,831 $ 940,534
Additional paid-in capital.................................... 1,040,001,460 119,375,012 165,610,676 1,536,766,548
Undistributed net investment income (Note 2C)................. 18,599,104 9,946 2,714,866 18,881,505
Undistributed net realized gain (loss) on investments and
forward commitments (Notes 2D and 3)......................... 14,057,646 (9,946) (1,204,201) 22,022,598
Net unrealized appreciation (depreciation) on:
Investments (Note 2A)........................................ 451,907,477 -- (1,434,150) 439,042,360
Forward commitments (Note 2D)................................. -- -- -- 109,550
-------------- -------------- -------------- --------------
NET ASSETS.................................................... $1,525,107,596 $ 120,580,820 $ 165,825,022 $2,017,763,095
============== ============== =============== ==============
Outstanding series shares..................................... 54,190,898 120,580,820 13,783,081 94,053,405
============== ============== =============== ==============
Net asset value per share..................................... $ 28.14 $ 1.00 $ 12.03 $ 21.45
============== ============== =============== ==============
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
MML Series Investment Fund
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------- ------ -------- -------
<S> <C> <C> <C> <C>
Investment income (Note 2B)
Dividends......................................................... $ 16,673,885 $ -- $ -- $ 14,065,376
Interest.......................................................... 4,671,970 3,091,110 5,716,624 27,010,792
-------------- -------------- ------------ --------------
Total income................................................... 21,345,855 3,091,110 5,716,624 41,076,168
-------------- -------------- ------------ --------------
Expenses
Investment management fee (Note 4)................................ 2,701,607 280,866 389,313 3,635,657
Trustees' fees.................................................... 9,181 7,376 7,376 7,093
Audit fees........................................................ 14,156 9,733 12,724 15,197
Other............................................................. 546 488 365 378
-------------- -------------- ------------ --------------
Total expenses................................................. 2,725,490 298,463 409,778 3,658,325
-------------- -------------- ------------ --------------
Net investment income (Note 2C)................................... 18,620,365 2,792,647 5,306,846 37,417,843
-------------- -------------- ------------ --------------
Net realized and unrealized gain (loss) on investments and
forward commitments (Notes 2A, 2B and 2D)
Net realized gain (loss) on:
Investments (Notes 2B and 2C).................................... 14,069,458 (212) (353,181) 25,325,060
Forward commitments (Note 2D).................................... -- -- -- (2,601,828)
-------------- -------------- ------------ --------------
Net realized gain (loss)........................................ 14,069,458 (212) (353,181) 22,723,232
-------------- -------------- ------------ --------------
Change in net unrealized appreciation/depreciation on:
Investments (Note 2A)............................................ 81,554,753 -- (7,864,043) 46,307,305
Forward commitments (Note 2D).................................... -- -- -- (1,278,822)
-------------- -------------- ------------ --------------
Total change in net unrealized appreciation/depreciation........ 81,554,753 -- (7,864,043) 45,028,483
-------------- -------------- ------------ --------------
Net gain (loss)................................................... 95,624,211 (212) (8,217,224) 67,751,715
-------------- -------------- ------------ --------------
Net increase (decrease) in net assets resulting from operations... $ 114,244,576 $ 2,792,435 $ (2,910,378) $ 105,169,558
============== ============== ============ ==============
</TABLE>
8
<PAGE>
MML Series Investment Fund
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six Months Ended June 30, 1996
-------------------------------------------------------
(Unaudited)
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
----- ---- ---- ----
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income......... $ 18,620,365 $ 2,792,647 $ 5,306,846 $ 37,417,843
Net realized gain (loss)
on investments and
forward commitments.......... 14,069,458 (212) (353,181) 22,723,232
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments.................. 81,554,753 -- (7,864,043) 45,028,483
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations................... 114,244,576 2,792,435 (2,910,378) 105,169,558
Dividends to shareholders
from: (Note 2C)
Distribution of net
investment income.......... (25,000) (2,792,435) (2,593,548) (18,540,796)
Distribution of net
realized gains............. -- -- -- --
Net increase in capital
share transactions (Note 6) 161,989,014 11,660,619 12,630,810 107,993,403
-------------- ------------ ------------ --------------
Total increase.............. 276,208,590 11,660,619 7,126,884 194,622,165
NET ASSETS, at beginning
of the year.................. 1,248,899,006 108,920,201 158,698,138 1,823,140,930
-------------- ------------ ------------ --------------
NET ASSETS, at end
of the period/year.......... $1,525,107,596 $120,580,820 $165,825,022 $2,017,763,095
============== ============ ============ ==============
(Overdistributed)
undistributed net
investment income included
in net assets at end
of the period/year.......... $ 18,599,104 $ 9,946 $ 2,714,866 $ 18,881,505
============== ============ ============ ==============
Rate per share of dividends
to shareholders from:
Net investment income....... $ .001 $ .024 $ .193 $ .200
Net realized gains.......... -- -- -- --
<CAPTION>
For the Year Ended December 31, 1995
-----------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
---- ---- ---- ----
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income......... $ 30,576,154 $ 5,460,140 $ 9,299,421 $ 70,293,462
Net realized gain (loss)
on investments and
forward commitments.......... 16,898,835 (841) 1,319,095 35,795,663
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments.................. 237,559,436 -- 13,704,932 243,603,590
-------------- -------------- ------------- ---------------
Net increase (decrease) in
net assets resulting from
operations................... 285,034,425 5,459,299 24,323,448 349,692,715
Dividends to shareholders
from: (Note 2C)
Distribution of net
investment income.......... (30,563,214) (5,459,299) (9,294,583) (70,291,011)
Distribution of net
realized gains............. (16,854,045) -- -- (35,463,987)
Net increase in capital
share transactions (Note 6) 190,498,822 17,134,168 22,459,621 134,942,076
-------------- -------------- ------------- ---------------
Total increase.............. 428,115,988 17,134,168 37,488,486 378,879,793
NET ASSETS, at beginning
of the year.................. 820,783,018 91,786,033 121,209,652 1,444,261,137
-------------- -------------- ------------- ---------------
NET ASSETS, at end
of the period/year.......... $1,248,899,006 $ 108,920,201 $ 158,698,138 $ 1,823,140,930
============== ============== ============= ===============
(Overdistributed)
undistributed net
investment income included
in net assets at end
of the period/year.......... $ 3,739 $ 9,734 $ (72,567) $ (7,094)
============== ============== ============= ===============
Rate per share of dividends
to shareholders from:
Net investment income....... $ .634 $ .054 $ .782 $ .811
Net realized gains.......... .350 -- -- .399
</TABLE>
See Notes to Financial Statement
9
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS
Selected per share data for each series share outstanding throughout:
MML EQUITY FUND
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, ------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year......... $ 25.924 $ 20.520 $ 20.510 $ 19.862 $ 18.735 $ 15.659 $ 16.764 $ 14.929 $ 13.828 $ 15.591
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income...... .344 .634 .594 .524 .543 .563 .636 .694 .646 .525
Net realized and unrealized
gain (loss) on investments 1.876 5.754 .248 1.365 1.420 3.440 (.722) 2.746 1.660 (.066)
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations................ 2.220 6.388 .842 1.889 1.963 4.003 (.086) 3.440 2.306 .459
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income......... (.001) (.634) (.594) (.524) (.543) (.562) (.665) (.711) (.639) (.988)
Distribution from net
realized gains............ -- (.350) (.238) (.717) (.288) (.365) (.354) (.894) (.566) (1.234)
Distribution in excess of
net realized gains........ -- -- -- -- (.005) -- -- -- -- --
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Total distributions........ (.001) (.984) (.832) (1.241) (.836) (.927) (1.019) (1.605) (1.205) (2.222)
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value:
End of period/year........ $ 28.143 $ 25.924 $ 20.520 $ 20.510 $ 19.862 $ 18.735 $ 15.659 $ 16.764 $ 14.929 $ 13.828
========= ========= ======== ======== ======== ======== ======== ======== ======== ========
Total return............... 8.56%* 31.13% 4.10% 9.52% 10.48% 25.56% (.51%) 23.04% 16.68% 2.10%
Net assets (in millions):
End of period/year........ $1,525.11 $1,248.90 $820.78 $663.09 $490.62 $355.04 $235.45 $226.41 $172.80 $150.41
Ratio of expenses to
average net assets........ .19%* .41% .43% .44% .46% .48% .49% .50% .50% .51%
Ratio of net investment
income to average net
assets.................... 1.31%* 2.89% 3.04% 3.23% 3.09% 3.43% 4.09% 4.30% 4.05% 3.44%
Portfolio turnover rate.... 5.83%* 11.72% 9.99% 11.28% 9.07% 9.37% 13.50% 15.71% 15.97% 15.73%
</TABLE>
MML MONEY MARKET FUND
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, --------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
----------- ---- ---- ---- ---- ---- ---- ---- ---- ----
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Income from investment
operations:
Net investment income........... .024 .054 .038 .027 .034 .059 .078 .088 .072 .063
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income.............. (.024) (.054) (.038) (.027) (.034) (.059) (.078) (.088) (.072) (.063)
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Net asset value:
End of period/year............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
Total return.................... 2.44%* 5.58% 3.84% 2.75% 3.48% 6.01% 8.12% 9.16% 7.39% 6.49%
Net assets (in millions):
End of period/year............. $ 120.58 $108.92 $ 91.79 $ 73.66 $ 84.56 $ 94.41 $ 114.59 $ 70.16 $ 66.35 $ 52.35
Ratio of expenses to
average net assets............. .26%* .54% .55% .54% .53% .52% .54% .54% .55% .57%
Ratio of net investment
income to average net assets... 2.44%* 5.43% 3.81% 2.71% 3.42% 5.91% 7.80% 8.79% 7.20% 6.35%
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
MML Series Investment
FINANCIAL HIGHLIGHTS (Continued)
MML MANAGED BOND FUND
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, -----------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........... $ 12.448 $ 11.141 $ 12.405 $ 12.041 $ 12.219 $ 11.318 $ 11.354 $ 10.919 $ 11.052 $ 12.541
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income........ .396 .782 .792 .785 .870 .903 .943 .918 .906 .969
Net realized and unrealized
gain (loss) on investments
and forward commitments..... (.620) 1.307 (1.264) .618 .001 .916 (.036) .454 (.133) (.673)
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations.................. (.224) 2.089 (.472) 1.403 .871 1.819 .907 1.372 .773 .296
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income........... (.193) (.782) (.792) (.784) (.869) (.902) (.943) (.918) (.906) (1.229)
Distribution from net
realized gains.............. -- -- -- (.255) (.158) (.016) -- (.019) -- (.556)
Distribution in excess of
net realized gains.......... -- -- -- -- (.022) -- -- -- -- --
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total distributions.......... (.193) (.782) (.792) (1.039) (1.049) (.918) (.943) (.937) (.906) (1.785)
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value:
End of period/year.......... $ 12.031 $ 12.448 $ 11.141 $ 12.405 $ 12.041 $ 12.219 $ 11.318 $ 11.354 $ 10.919 $ 11.052
========= ======== ======== ======== ======== ======== ======== ======== ======== ========
Total return (1.78%)* 19.14% (3.76%) 11.81% 7.31% 16.66% 8.38% 12.83% 7.13% 2.60%
Net assets (in millions):
End of period/year.......... $ 165.83 $ 158.70 $121.21 $129.11 $ 88.15 $ 66.98 $ 43.07 $ 40.03 $ 31.35 $ 26.16
Ratio of expenses to average
net assets.................. .25%* .52% .52% .54% .56% .57% .57% .59% .61% .60%
Ratio of net investment
income to
average net assets.......... 3.25%* 6.63% 6.69% 6.37% 7.28% 7.96% 8.40% 8.35% 8.25% 8.24%
Portfolio turnover rate...... 24.02%* 70.00% 32.77% 58.81% 39.51% 61.85% 69.93% 64.77% 74.92% 55.60%
</TABLE>
See Notes to Financial Statements
11
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS (Continued)
MML BLEND FUND
<TABLE>
<CAPTION>
Six Months
Ended
June 30,
1996
----------
(Unaudited)
<S> <C>
Net asset value:
Beginning of year............... $ 20.519
----------
Income from investment
operations:
Net investment income............ .401
Net realized and unrealized
gain (loss) on investments
and forward commitments......... .733
----------
Total from investment
operations...................... 1.134
----------
Less distributions:
Dividends from net
investment income............... (.200)
Distribution from net
realized gains.................. --
Distribution in excess of
net realized gains.............. --
----------
Total distributions.............. (.200)
----------
Net asset value:
End of period/year.............. $ 21.453
==========
Total return..................... 5.55%*
Net assets (in millions):
End of period/year.............. $2,017.76
Ratio of expenses to
average net assets.............. .19%*
Ratio of net investment
income to
average net assets.............. 1.92%*
Portfolio turnover rate.......... 12.06%*
<CAPTION>
Year Ended December 31,
------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........ $ 17.672 $ 18.305 $ 17.846 $ 17.307 $ 14.839 $ 15.428 $ 13.876 $ 13.095 $ 13.774
--------- --------- --------- --------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income..... .811 .707 .655 .707 .736 .792 .823 .734 .624
Net realized and unrealized
gain (loss) on investments
and forward commitments.. 3.246 (.271) 1.057 .880 2.771 (.445) 1.921 1.000 (.148)
--------- --------- --------- --------- -------- -------- -------- -------- --------
Total from investment
operations............... 4.057 .436 1.712 1.587 3.507 .347 2.744 1.734 .476
--------- --------- --------- --------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income........ (.811) (.707) (.655) (.707) (.736) (.811) (.835) (.728) (.747)
Distribution from net
realized gains........... (.399) (.359) (.598) (.326) (.303) (.125) (.357) (.225) (.408)
Distribution in excess of
net realized gains....... -- (.003) -- (.015) -- -- -- -- --
--------- --------- --------- --------- -------- -------- -------- -------- --------
Total distributions....... (1.210) (1.069) (1.253) (1.048) (1.039) (.936) (1.192) (.953) (1.155)
--------- --------- --------- --------- -------- -------- -------- -------- --------
Net asset value:
End of period/year....... $ 20.519 $ 17.672 $ 18.305 $ 17.846 $ 17.307 $ 14.839 $ 15.428 $ 13.876 $ 13.095
========= ========= ========= ========= ======== ======== ======== ======== ========
Total return.............. 23.28% 2.48% 9.70% 9.36% 24.00% 2.37% 19.96% 13.40% 3.12%
Net assets (in millions):
End of period/year....... $1,823.14 $1,444.26 $1,296.54 $1,013.28 $797.04 $574.15 $524.29 $401.22 $346.12
Ratio of expenses to
average net assets....... .38% .39% .40% .41% .42% .44% .45% .46% .48%
Ratio of net investment
income to
average net assets....... 4.19% 3.93% 3.60% 4.07% 4.54% 5.37% 5.57% 5.29% 4.77%
Portfolio turnover rate... 30.78% 26.59% 20.20% 25.43% 26.92% 24.55% 22.39% 25.70% 36.56%
</TABLE>
*Percentages represent results for the period and are not annualized.
Total return information shown in the Financial Highlights tables does not
reflect expenses that apply at the separate account level or to related
insurance products. Inclusion of these charges would reduce the total return
figures for all periods shown.
See Notes to Financial Statements.
12
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ -----------
EQUITIES - 89.56%
<S> <C> <C>
Aerospace & Defense - 2.12%
Boeing Company................................... 202,500 $ 17,642,812
TRW, Inc......................................... 164,000 14,739,500
----------- -------------
366,500 32,382,312
----------- -------------
Agribusiness - .81%
Pioneer Hi-Bred International, Inc............... 235,000 12,425,625
----------- -------------
Apparel, Textiles, Shoes - .90%
VF Corporation................................... 230,000 13,713,750
----------- -------------
Automotive & Parts - 4.02%
Ford Motor Company............................... 595,000 19,263,125
Genuine Parts Company............................ 433,500 19,832,625
Goodyear Tire & Rubber Company................... 461,000 22,243,250
----------- -------------
1,489,500 61,339,000
----------- -------------
Banking, Savings & Loans - 5.65%
The Bank of New York Company, Incorporated....... 435,000 22,293,750
Comerica, Incorporated........................... 338,500 15,105,562
CoreStates Financial Corporation................. 585,500 22,541,750
Norwest Corporation.............................. 391,000 13,636,125
Wachovia Corporation............................. 288,200 12,608,750
----------- -------------
2,038,200 86,185,937
----------- -------------
Beverages - 1.88%
Brown-Forman Corporation (Class B)............... 337,300 13,492,000
Pepsico, Incorporated............................ 430,000 15,211,250
----------- -------------
767,300 28,703,250
----------- -------------
Chemicals - 4.24%
Eastman Chemical Company......................... 210,000 12,783,750
E.I. du Pont de Nemours and Company.............. 166,500 13,174,312
The Lubrizol Corporation......................... 242,000 7,350,750
Nalco Chemical Company........................... 336,400 10,596,600
Rohm & Haas...................................... 330,000 20,707,500
----------- -------------
1,284,900 64,612,912
----------- -------------
Communications - 1.97%
AT&T Corporation................................. 441,000 27,342,000
GTE Corporation.................................. 62,000 2,774,500
----------- -------------
503,000 30,116,500
----------- -------------
Computers & Office Equipment - 6.72%
Hewlett-Packard Company.......................... 320,000 31,880,000
International Business Machines Corporation...... 245,000 24,255,000
Pitney Bowes, Inc................................ 452,000 21,583,000
Xerox Corporation................................ 465,000 24,877,500
----------- -------------
1,482,000 102,595,500
----------- -------------
Containers - 1.01%
Temple-Inland, Inc............................... 330,000 15,427,500
----------- -------------
Cosmetics & Personal Care - 1.82%
Kimberly-Clark Corporation....................... 360,000 27,810,000
----------- -------------
Electric Utilities - 1.28%
Niagara Mohawk Power Corporation................. 200 1,550
NIPSCO Industries, Inc........................... 208,000 8,372,000
SCANA Corporation................................ 394,000 11,081,250
----------- -------------
602,200 19,454,800
----------- -------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ --------------
EQUITIES (Continued)
<S> <C> <C>
Electrical Equipment & Electronics - 7.23%
AMP, Incorporated................................ 674,500 $ 27,064,312
General Electric Company......................... 488,500 42,255,250
General Signal Corporation....................... 248,600 9,415,725
Honeywell Inc.................................... 272,500 14,851,250
Hubbell, Incorporated (Class B).................. 252,072 16,699,770
----------- -------------
1,936,172 110,286,307
----------- -------------
Energy - 7.77%
Amoco Corporation................................ 387,500 28,045,313
Atlantic Richfield Company....................... 107,300 12,715,050
Chevron Corporation.............................. 378,000 22,302,000
Kerr-McGee Corporation........................... 226,000 13,757,750
Mobil Corporation................................ 180,000 20,182,500
Unocal Corporation............................... 432,100 14,583,375
USX Corporation - Marathon Group................. 343,200 6,906,900
----------- -------------
2,054,100 118,492,888
----------- -------------
Financial Services - 1.17%
American Express Company......................... 400,000 17,850,000
----------- -------------
Foods - 1.98%
ConAgra, Inc..................................... 202,300 9,179,363
CPC International, Inc........................... 291,500 20,988,000
----------- -------------
493,800 30,167,363
----------- -------------
Forest Products & Paper - 2.07%
Westvaco Corporation............................. 320,055 9,561,643
Weyerhaeuser Company............................. 519,500 22,078,750
----------- -------------
839,555 31,640,393
----------- -------------
Hardware & Tools - 1.23%
The Stanley Works................................ 631,000 18,772,250
----------- -------------
Healthcare - 7.78%
Becton, Dickinson and Company.................... 268,000 21,507,000
Bristol-Myers Squibb Company..................... 520,000 46,800,000
Pfizer, Incorporated............................. 400,000 28,550,000
Schering-Plough Corp............................. 347,500 21,805,625
----------- -------------
1,535,500 118,662,625
----------- -------------
Household Products - .93%
The Clorox Company............................... 159,500 14,135,688
----------- -------------
Industrial Distribution - 1.25%
W. W. Grainger, Inc.............................. 246,000 19,065,000
----------- -------------
Industrial Transportation - 1.37%
Norfolk Southern Corporation..................... 246,000 20,848,500
----------- -------------
Insurance - 6.69%
Allstate Corporation............................. 192,682 8,791,116
Jefferson-Pilot Corporation...................... 207,000 10,686,375
Marsh & McLennan Companies, Inc.................. 280,500 27,068,250
MBIA, Inc........................................ 268,000 20,870,500
SAFECO Corporation............................... 782,500 27,680,938
Unitrin, Inc..................................... 148,000 6,956,000
----------- -------------
1,878,682 102,053,179
----------- -------------
Machinery & Components - 1.66%
Dover Corporation................................ 325,000 14,990,625
Parker-Hannifin Corporation...................... 242,050 10,256,869
----------- -------------
567,050 25,247,494
----------- -------------
</TABLE>
13
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ -----------
EQUITIES (Continued)
<S> <C> <C>
Miscellaneous - 2.36%
Harsco Corporation............................. 169,500 $ 11,398,875
Minnesota Mining &
Manufacturing Company......................... 356,000 24,564,000
----------- -------------
525,500 35,962,875
----------- -------------
Photography - 1.21%
Eastman Kodak Company.......................... 236,500 18,387,875
----------- -------------
Publishing & Printing - 3.19%
The Dun & Bradstreet Corporation............... 216,000 13,500,000
McGraw-Hill Companies, Inc..................... 466,000 21,319,500
R. R. Donnelley & Sons Company................. 397,000 13,845,375
----------- -------------
1,079,000 48,664,875
----------- -------------
Retail - 1.83%
The May Department Stores Company.............. 363,000 15,881,250
Sears Roebuck and Company...................... 246,000 11,961,750
----------- -------------
609,000 27,843,000
----------- -------------
Retail - Grocery - 1.78%
Albertson's, Inc............................... 492,000 20,356,500
American Stores Company........................ 164,800 6,798,000
----------- -------------
656,800 27,154,500
----------- -------------
Telephone Utilities - 2.90%
Ameritech Corporation.......................... 347,000 20,603,125
Frontier Corporation........................... 423,500 12,969,688
Southern New England
Telecommunications Corporation................ 252,000 10,584,000
----------- -------------
1,022,500 44,156,813
----------- -------------
Tobacco - 2.74%
American Brands, Inc........................... 463,000 21,008,625
UST, Inc....................................... 607,000 20,789,750
----------- -------------
1,070,000 41,798,375
----------- -------------
Total Equities
(Cost $914,035,124)............................ 1,365,957,086
-------------
<CAPTION>
Principal
Amount
------
SHORT-TERM INVESTMENTS - 10.40%
<S> <C> <C>
Commercial Paper
Aristar, Inc.
5.330% 7/19/96......................... $ 4,000,000 3,989,340
Aristar, Inc.
5.370% 7/25/96......................... 7,425,000 7,398,418
Central & Southwest Corp.
5.450% 7/17/96......................... 5,725,000 5,711,133
Central & Southwest Corp.
5.550% 8/19/96......................... 4,785,000 4,747,711
Central & Southwest Corp.
5.550% 8/2/96.......................... 3,700,000 3,681,747
Comdisco, Inc.
5.500% 7/3/96.......................... 4,865,000 4,863,435
Comdisco, Inc.
5.470% 7/15/96......................... 3,490,000 3,482,576
Comdisco, Inc.
5.450% 7/23/96......................... 5,000,000 4,982,754
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------ -----------
SHORT-TERM INVESTMENTS (Continued)
<S>
Commercial Paper (Continued)
Comdisco, Inc.
5.450% 7/1/96.......................... $ 4,000,000 $ 4,000,000
Comdisco, Inc.
5.510% 8/9/96.......................... 5,420,000 5,386,561
ConAgra, Inc.
5.550% 8/7/96.......................... 4,990,000 4,961,536
Countrywide Home Loans
5.420% 8/22/96......................... 5,080,000 5,036,588
Crown Cork & Seal Company Inc.
5.500% 7/8/96.......................... 3,830,000 3,825,759
Crown Cork & Seal Company Inc.
5.470% 7/10/96......................... 5,055,000 5,048,087
Crown Cork & Seal Company Inc.
5.450% 7/18/96......................... 3,900,000 3,889,356
Crown Cork & Seal Company Inc.
5.600% 8/16/96......................... 3,045,000 3,023,211
Dana Credit Corporation
5.460% 7/29/96......................... 4,000,000 3,982,441
Dana Credit Corporation
5.550% 8/12/96......................... 3,980,000 3,954,229
Dana Credit Corporation
5.630% 8/12/96......................... 260,000 258,292
Dominion Resources, Inc.
5.530% 8/5/96.......................... 7,100,000 7,061,828
Illinois Power Company
5.550% 8/15/96......................... 2,600,000 2,581,045
Illinois Power Company
5.630% 8/1/96.......................... 6,375,000 6,344,094
Kerr-McGee Credit Corporation
5.530% 7/12/96......................... 5,455,000 5,445,783
Mattel, Inc.
5.450% 7/11/96......................... 6,000,000 5,990,192
Mattel, Inc.
5.480% 8/8/96.......................... 3,045,000 3,026,018
Mattel, Inc.
5.470% 7/30/96......................... 4,825,000 4,803,739
ORIX Credit Alliance, Inc.
5.540% 7/9/96.......................... 4,565,000 4,559,223
ORIX Credit Alliance, Inc.
5.570% 8/21/96......................... 4,960,000 4,919,099
Praxair, Inc.
5.470% 7/2/96.......................... 4,400,000 4,399,304
Praxair, Inc.
5.480% 7/11/96......................... 3,795,000 3,788,929
Praxair, Inc.
5.450% 7/16/96......................... 5,000,000 4,988,646
Textron Financial Corporation
5.470% 7/22/96......................... 5,000,000 4,983,538
Textron Financial Corporation
5.450% 7/24/96......................... 4,670,000 4,652,880
Textron Financial Corporation
5.500% 7/31/96......................... 4,220,000 4,200,658
Tyson Foods, Inc.
5.470% 7/26/96......................... 4,570,000 4,552,640
------------ ------------
Total Short-Term Investments
(Cost $158,535,275)......................... $159,130,000 158,520,790
============ ------------
</TABLE>
14
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
-----------
<S> <C> <C>
Total Investments --
(Cost $1,072,570,399) (a) 99.96% $1,524,477,876
Other Assets -- .48 7,382,910
Liabilities -- (.44) (6,753,190)
-------- ---------------
Net Assets -- 100.00% $1,525,107,596
======= ===============
(a) Federal Income Tax Information: At
June 30, 1996 the net unrealized
appreciation on investments based
on cost of $1,072,582,274 for
federal income tax purposes is as
follows:
Aggregate gross unrealized
appreciation for all investments in
which there is an excess of market
value over tax cost................ $ 455,113,614
Aggregate gross unrealized
depreciation for all investments in
which there is an excess of tax cost
over market value.................. (3,218,012)
--------------
Net unrealized appreciation........ $ 451,895,602
==============
</TABLE>
See Notes to Financial Statements
15
<PAGE>
MML Money Market Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------ -----------
SHORT-TERM INVESTMENTS - 100.51%
<S> <C> <C>
Commercial Paper - 91.71%
American Brands, Inc.
5.310% 8/9/96........................... $ 1,120,000 $ 1,113,557
American Brands, Inc.
5.280% 8/27/96.......................... 3,550,000 3,520,322
Anheuser-Busch Companies, Inc.
5.250% 7/8/96........................... 3,530,000 3,526,396
Aristar, Inc.
5.340% 8/12/96.......................... 2,300,000 2,285,671
Baltimore Gas & Electric Company
5.280% 8/2/96........................... 3,995,000 3,976,250
Bellsouth Telecommunications, Inc.
5.330% 8/6/96........................... 1,750,000 1,740,672
Bellsouth Telecommunications, Inc.
5.350% 8/21/96.......................... 3,030,000 3,007,035
Carolina Power & Light Company
5.250% 7/11/96.......................... 2,580,000 2,576,237
Carolina Power & Light Company
5.370% 9/17/96.......................... 1,900,000 1,877,893
Caterpillar Financial Services Corp.
5.280% 11/15/96......................... 2,120,000 2,077,402
Caterpillar Financial Services Corp.
5.280% 7/30/96.......................... 2,575,000 2,564,048
Coca Cola Company
5.300% 8/30/96.......................... 1,450,000 1,437,192
Coca Cola Financial Corporation
5.240% 7/25/96.......................... 2,595,000 2,585,935
Consolidated Natural Gas Company
5.350% 7/10/96.......................... 2,845,000 2,841,195
Dresser Industries, Inc.
5.280% 7/16/96.......................... 1,965,000 1,960,677
Dresser Industries, Inc.
5.350% 7/31/96.......................... 1,135,000 1,129,940
E.I. du Pont de Nemours and Company
5.290% 11/27/96......................... 1,670,000 1,633,436
E.I. du Pont de Nemours and Company
5.360% 9/18/96.......................... 3,170,000 3,132,714
Eli Lilly & Company
5.300% 7/19/96.......................... 2,900,000 2,892,315
Emerson Electric Company
5.270% 7/24/96.......................... 2,800,000 2,790,573
Ford Motor Credit Company
5.350% 7/22/96.......................... 4,000,000 3,987,516
General Electric Company
5.230% 7/31/96.......................... 2,155,000 2,145,608
General Electric Capital Corp.
5.250% 10/22/96......................... 2,250,000 2,212,922
General Motors Acceptance Corporation
5.500% 1/21/97.......................... 1,390,000 1,346,678
Goldman Sachs & Company
5.200% 9/20/96.......................... 2,400,000 2,371,920
Goldman Sachs & Company
5.270% 8/22/96.......................... 1,260,000 1,250,409
Hercules Incorporated
5.420% 7/18/96.......................... 2,295,000 2,289,126
The Home Depot
5.260% 7/3/96........................... 3,765,000 3,763,900
Monsanto Company
5.290% 7/9/96........................... 3,400,000 3,396,003
Motorola Incorporated
5.230% 7/23/96.......................... 3,200,000 3,189,773
<CAPTION>
Market
Principal Value
Amount (Note 2A)
SHORT-TERM INVESTMENTS (Continued)
<S> <C> <C>
Commercial Paper (Continued)
Motorola Incorporated
5.350% 9/20/96.......................... $ 1,500,000 $ 1,481,944
Northern Illinois Gas Company
5.390% 8/9/96........................... 2,430,000 2,415,811
Pepsico Inc.
5.300% 7/18/96.......................... 2,100,000 2,094,744
Pepsico Inc.
5.360% 9/25/96.......................... 1,255,000 1,238,930
Pepsico Inc.
5.380% 9/25/96.......................... 1,445,000 1,426,429
Philip Morris Companies, Inc.
5.280% 8/9/96........................... 415,000 412,626
Pitney Bowes Credit Corporation
5.250% 7/26/96.......................... 3,485,000 3,472,294
Proctor & Gamble Company
5.260% 7/29/96.......................... 4,770,000 4,750,485
Shell Oil Company
5.300% 8/28/96.......................... 2,400,000 2,379,507
Smithkline Beecham Corp.
5.300% 7/12/96.......................... 3,460,000 3,454,397
Southwestern Bell Telecommunications
5.340% 8/23/96.......................... 2,045,000 2,028,923
Unilever Capital Corporation
5.260% 7/15/96.......................... 3,295,000 3,288,260
Walt Disney Company
5.380% 10/21/96......................... 3,470,000 3,411,920
Weyerhaeuser Company
5.290% 7/17/96.......................... 2,975,000 2,968,005
Weyerhaeuser Company
5.350% 8/29/96.......................... 1,150,000 1,139,917
------------ -----------
Total Commercial Paper
(Cost $110,587,507) 111,290,000 110,587,507
------------ -----------
U.S. Treasury Bills - 8.8%
U.S. Treasury Bill
4.900% 9/19/96.......................... 3,950,000 3,906,989
U.S. Treasury Bill
4.915% 7/5/96........................... 2,840,000 2,838,449
U.S. Treasury Bill
4.905% 7/11/96.......................... 3,870,000 3,864,727
------------ -----------
Total U.S. Treasury Bills
(Cost $10,610,165) 10,660,000 10,610,165
------------ -----------
Total Short-Term Investments
(Cost $121,197,672) (a) $121,950,000 121,197,672
============ -----------
Total Investments -
(Cost $121,197,672) (a) 100.51% 121,197,672
Other Assets - .01 4,286
Liabilities - (.52) (621,138)
------ --------------
Net Assets - 100.00% $ 120,580,820
====== ==============
</TABLE>
(a) Federal Income Tax Information: The aggregate cost for investments for the
MML Money Market Fund as of June 30, 1996 is the same for financial
reporting and federal income tax purposes.
June 30, 1996 seven-day average yield for the portfolio: 4.89%
See Notes to Financial Statements.
16
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES-96.07%
Asset Backed Securities-7.97%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02............................ $ 2,241,893 $ 2,232,769
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00........................... 399,810 399,658
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99........................... 733,208 741,222
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98............................ 101,318 100,938
Jet Equipment Trust 1995-A
8.235% 5/1/15............................. 1,967,473 2,060,358
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99............................ 1,098,944 1,101,691
Railcar Trust No. 1992-1
7.750% 6/1/04............................. 1,642,140 1,699,615
World Omni 1996-A Automobile Lease Securitization
Trust
6.300% 6/25/02............................ 1,900,000 1,898,784
World Omni 1995-A Automobile Lease Securitization
Trust
6.050% 11/25/01........................... 3,000,000 2,983,110
------------ --------------
Total Asset Backed Securities
(Cost $13,298,441) 13,084,786 13,218,145
------------ --------------
Corporate Debt-51.55%
American Airlines, Inc.
9.780% 11/26/11........................... 2,000,000 2,231,240
AMR Corporation
9.000% 8/1/12............................. 1,000,000 1,081,200
Analog Devices, Inc.
6.625% 3/1/00............................. 1,000,000 977,010
Associates Corporation of North America
7.875% 9/30/01............................ 2,000,000 2,080,860
Atlantic Richfield Company
7.770% 2/13/02............................ 3,000,000 3,108,780
Bell Atlantic Financial Services, Inc.
6.610% 2/4/00............................. 2,000,000 1,995,080
Champion International Corporation
6.400% 2/15/26............................ 1,500,000 1,386,480
Charles Schwab Corporation
6.250% 1/23/03............................ 2,000,000 1,890,000
CITGO Petroleum Corporation
7.875% 5/15/06............................ 750,000 743,783
Columbia Gas System, Inc.
6.610% 11/28/02........................... 2,000,000 1,948,980
Commercial Credit Company
7.750% 3/1/05............................. 3,000,000 3,081,630
Continental Airlines, Inc. 1996-B 144A
7.820% 4/15/15............................ 1,500,000 1,465,245
Continental Airlines, Inc. 2B 144A
8.560% 7/2/14............................. 1,000,000 1,056,090
Corning Glass Works, Inc.
8.875% 3/15/16............................ 500,000 545,535
Dow Capital
7.125% 1/15/03............................ 4,000,000 3,924,320
English China Clays Delaware, Inc.
7.375% 10/1/02............................ 1,000,000 1,001,750
Equifax, Inc.
6.500% 6/15/03............................ 1,250,000 1,195,000
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
BONDS AND NOTES (Continued)
<S> <C> <C>
Corporate Debt (Continued)
ERAC USA Finance Company 144A
6.950% 1/15/06............................ $ 1,500,000 $ 1,397,475
FBG Finance Ltd. 144A
7.875% 6/1/16............................. 1,250,000 1,245,713
Fletcher Challenge Ltd.
7.750% 6/20/06............................ 1,500,000 1,521,120
Foster Wheeler Corporation
6.750% 11/15/05........................... 2,000,000 1,904,240
General American Transportation Corporation
6.750% 3/1/06............................. 2,000,000 1,902,160
General Electric Capital Corporation
8.750% 5/21/07............................ 1,000,000 1,113,830
General Motors Acceptance Corporation
6.300% 9/10/97............................ 2,500,000 2,506,300
Hercules Incorporated
6.625% 6/1/03............................. 2,000,000 1,942,140
IMCERA Group, Inc.
6.000% 10/15/03........................... 2,000,000 1,805,820
ITT Corporation (New)
7.375% 11/15/15........................... 3,500,000 3,290,525
Leucadia National Corporation
7.750% 8/15/13............................ 2,000,000 1,885,720
Lockheed Corporation
5.650% 4/1/97............................. 2,000,000 1,989,840
McDonnell Douglas Corporation
9.250% 4/1/02............................. 1,400,000 1,540,308
Newmont Mining Corporation
8.625% 4/1/02............................. 2,000,000 2,092,540
Penske Truck Leasing Co., L.P.
7.750% 5/15/99............................ 1,250,000 1,286,688
Polaroid Corporation
7.250% 1/15/97............................ 1,000,000 1,004,970
Polaroid Corporation
8.000% 3/15/99............................ 1,000,000 1,023,590
Ralston Purina Company
7.750% 10/1/15............................ 3,000,000 2,965,230
Rolls-Royce Capital Inc.
7.125% 7/29/03............................ 1,500,000 1,470,930
Service Corporation International
7.000% 6/1/15............................. 2,250,000 2,248,245
Tele-Communications, Inc.
8.650% 9/15/04............................ 890,000 907,132
Tele-Communications, Inc.
9.800% 2/12/12............................ 1,115,000 1,204,735
Textron Inc.
9.550% 3/19/01............................ 1,000,000 1,100,400
Thomas & Betts Corporation
8.250% 1/15/04............................ 1,500,000 1,536,495
Time Warner, Inc.
7.750% 6/15/05............................ 3,000,000 2,928,660
United Air Lines, Inc.
10.110% 2/19/06............................ 469,855 511,352
US Air, Inc. 144A
7.500% 10/15/09........................... 1,000,000 969,360
US West Capital Funding Corporation
8.375% 10/18/99........................... 3,000,000 3,146,580
Union Oil of California
8.750% 8/15/01............................ 1,500,000 1,612,110
Valassis Communications, Inc.
9.550% 12/1/03............................ 2,000,000 2,028,020
Westinghouse Electric Corporation
8.375% 6/15/02............................ 500,000 497,905
</TABLE>
17
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
W.R. Grace & Co.
7.750% 10/1/02............................ $ 2,100,000 $ 2,147,817
W.R. Grace & Co.
8.000% 8/15/04............................ 1,000,000 1,041,600
------------ --------------
Total Corporate Debt
(Cost $87,218,449) 85,224,855 85,482,533
------------ --------------
U.S. Government Agency Obligations -- 24.39%
Federal Home Loan Mortgage
Corporation (FHLMC) -- 3.77%
Collateralized Mortgage Obligations -- 3.64%
FHLMC Series 1322 Class G
7.500% 2/15/07............................ 2,000,000 2,039,360
FHLMC Series 1460 Class H
7.000% 5/15/07............................ 2,000,000 1,996,240
FHLMC Series 1080 Class D
7.000% 7/15/20............................ 2,000,000 2,009,360
------------ --------------
6,000,000 6,044,960
Pass-Through Securities -- .13%
FHLMC
9.000% 3/1/17............................. 199,340 209,369
------------ --------------
6,199,340 6,254,329
------------ --------------
Federal National Mortgage
Association (FNMA) -- 6.44%
Collateralized Mortgage Obligations -- 5.99%
FNMA Series 1993-175 Class PL
5.000% 10/25/02........................... 2,000,000 1,978,120
FNMA Series 1993-191 Class PD
5.400% 3/25/04............................ 1,500,000 1,469,520
FNMA Series 1993-221 Class D
6.000% 12/25/08........................... 1,000,000 934,060
FNMA Series 1993-134 Class GA
6.500% 2/25/07............................ 2,000,000 1,956,240
FNMA Series 1993-186 Class G
6.250% 3/25/08............................ 3,700,000 3,584,375
------------ --------------
10,200,000 9,922,315
Pass-Through Securities -- .45%
FNMA
9.000% 5/1/09............................. 715,774 752,228
------------ --------------
10,915,774 10,674,543
------------ --------------
Government National Mortgage
Association (GNMA) -- 11.80%
Collateralized Mortgage Obligations -- .53%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19............................. 845,242 872,179
------------ --------------
Pass-Through Securities - 11.27% GNMA
8.000% 12/15/03 - 4/15/08................. 7,305,497 7,492,737
GNMA
7.500% 3/15/17 - 7/15/17.................. 4,789,555 4,759,045
GNMA - ARMS
6.000% 7/20/25 - 12/20/25................. 6,399,184 6,444,272
------------ --------------
18,494,236 18,696,054
------------ --------------
19,339,478 19,568,233
------------ --------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes -- 2.38%
1994-A Atlanta, GA
5.780% 8/1/98............................. $ 130,000 $ 128,396
1994-A Baxter Springs, KS
5.780% 8/1/98............................. 700,000 691,362
1994-A Boston, MA
5.780% 8/1/98............................. 745,000 735,807
1994-A Detroit, MI
5.780% 8/1/98............................. 385,000 380,249
1994-A Egg Harbor, NJ
5.780% 8/1/98............................. 260,000 256,791
1994-A Kansas City, MO
5.780% 8/1/98............................. 550,000 543,213
1994-A Mayaguez, PR
5.780% 8/1/98............................. 295,000 291,360
1994-A Rochester, NY
5.780% 8/1/98............................. 300,000 296,298
1994-A Sacramento, CA
5.780% 8/1/98............................. 55,000 54,321
1994-A Saginaw, MI
5.780% 8/1/98............................. 315,000 311,113
1994-A Youngstown, OH
5.780% 8/1/98............................. 265,000 261,730
------------ --------------
4,000,000 3,950,640
------------ --------------
Total U.S. Government Agency Obligations
(Cost $40,206,794) 40,454,592 40,447,745
------------ --------------
U.S. Treasury Obligations -- 12.16%
U.S. Treasury Bonds -- 3.62%
U.S. Treasury Bond
8.875% 8/15/17............................ 5,000,000 6,003,100
U.S. Treasury Notes -- 5.84%
U.S. Treasury Note
7.250% 5/15/04............................ 6,200,000 6,423,758
U.S. Treasury Note
6.375% 5/15/99............................ 3,250,000 3,257,118
------------ --------------
9,450,000 9,680,876
------------ --------------
U.S. Treasury Strips -- 2.70%
U.S. Treasury Strip -- Principal Only
0.000% 2/15/15............................ 16,700,000 4,477,103
------------ --------------
Total U.S. Treasury Obligations
(Cost $20,019,968) 31,150,000 20,161,079
------------ --------------
Total Bonds and Notes
(Cost $160,743,652) $169,914,233 159,309,502
============ ==============
</TABLE>
18
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
----------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 2.72%
Commercial Paper
Detroit Edison
5.500% 7/3/96................ $ 1,330,000 $ 1,329,594
Textron Financial Corporation
5.600% 7/2/96................ 2,030,000 2,029,684
Western Resources Inc.
5.530% 7/1/96................ 1,155,000 1,155,000
------------ ------------
Total Short-Term Investments
(Cost $4,514,278) $ 4,515,000 4,514,278
============ ------------
Total Investments
(Cost $165,257,930) (a) 98.79% 163,823,780
Other Assets -- 1.33 2,202,619
Liabilities -- (.12) (201,377)
------- ------------
Net Assets -- 100.00% $165,825,022
======= ============
</TABLE>
(a) Federal Income Tax Information: At
June 30, 1996 the net unrealized
depreciation on investments based on
cost of $165,428,751 for federal income
tax purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value over
tax cost............................... $ 2,136,361
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value........................... (3,741,332)
------------
Net unrealized depreciation......... $ (1,604,971)
============
See Notes to Financial Statements.
19
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ --------------
<S> <C> <C>
EQUITIES -- 54.57%
Aerospace & Defense -- 1.46%
Boeing Company................................ 190,000 $ 16,553,750
TRW, Inc...................................... 143,000 12,852,125
-------------- --------------
333,000 29,405,875
-------------- --------------
Agribusiness -- .52%
Pioneer Hi-Bred International, Inc............ 200,000 10,575,000
-------------- --------------
Apparel, Textiles, Shoes -- .59%
VF Corporation................................ 200,000 11,925,000
Automotive & Parts -- 1.65%
Ford Motor Company............................ 465,600 15,073,800
Genuine Parts Company......................... 397,000 18,162,750
-------------- --------------
862,600 33,236,550
-------------- --------------
Banking, Savings & Loans -- 3.23%
The Bank of New York Company, Incorporated.... 375,000 19,218,750
Comerica, Incorporated........................ 255,000 11,379,375
CoreStates Financial Corporation.............. 374,800 14,429,800
Norwest Corporation........................... 252,000 8,788,500
Wachovia Corporation.......................... 260,000 11,375,000
-------------- --------------
1,516,800 65,191,425
-------------- --------------
Beverages -- 1.24%
Brown-Forman Corporation (Class B)............ 300,000 12,000,000
Pepsico, Incorporated......................... 365,000 12,911,875
-------------- --------------
665,000 24,911,875
-------------- --------------
Chemicals -- 1.95%
Eastman Chemical Company...................... 168,475 10,255,916
E.I. du Pont de Nemours and Company........... 146,000 11,552,250
The Lubrizol Corporation...................... 208,000 6,318,000
Nalco Chemical Company........................ 295,800 9,317,700
Rohm & Haas................................... 30,000 1,882,500
-------------- --------------
848,275 39,326,366
-------------- --------------
Computers & Office Equipment -- 3.99%
Hewlett-Packard Company....................... 268,000 26,699,500
International Business Machines Corporation... 151,000 14,949,000
Pitney Bowes, Inc............................. 371,000 17,715,250
Xerox Corporation............................. 396,000 21,186,000
-------------- --------------
1,186,000 80,549,750
-------------- --------------
Containers -- .34%
Temple-Inland, Inc. 145,000 6,778,750
-------------- --------------
Cosmetic & Personal Care -- .81%
Kimberly-Clark Corporation.................... 211,000 16,299,750
-------------- --------------
Electric Utilities -- .81%
Niagara Mohawk Power Corporation.............. 200 1,550
NIPSCO Industries, Inc........................ 178,000 7,164,500
SCANA Corporation............................. 326,000 9,168,750
------------- --------------
504,200 16,334,800
------------- --------------
Electrical Equipment & Electronics -- 4.63%
AMP, Inc...................................... 530,000 21,266,250
General Electric Company...................... 420,000 36,330,000
General Signal Corporation.................... 217,000 8,218,875
Honeywell Inc................................. 243,000 13,243,500
Hubbell, Incorporated (Class B)............... 215,940 14,306,025
------------- --------------
1,625,940 93,364,650
------------- --------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ --------------
<S> <C> <C>
EQUITIES (Continued)
Energy -- 4.80%
Amoco Corporation............................. 332,000 $ 24,028,500
Atlantic Richfield Company.................... 90,100 10,676,850
Chevron Corporation........................... 324,000 19,116,000
Kerr-McGee Corporation........................ 190,000 11,566,250
Mobil Corporation............................. 150,000 16,818,750
Unocal Corporation............................ 304,200 10,266,750
USX Corporation - Marathon Group.............. 219,900 4,425,488
------------- --------------
1,610,200 96,898,588
------------- --------------
Financial Services -- .77%
American Express Company...................... 346,000 15,440,250
------------- --------------
Foods -- 1.40%
ConAgra, Inc.................................. 170,300 7,727,363
CPC International, Inc........................ 285,000 20,520,000
------------- --------------
455,300 28,247,363
------------- --------------
Forest Products & Paper -- 1.28%
Westvaco Corporation.......................... 275,012 8,215,984
Weyerhaeuser Company.......................... 415,000 17,637,500
------------- --------------
690,012 25,853,484
------------- --------------
Hardware & Tools -- .79%
The Stanley Works 536,000 15,946,000
------------- --------------
Healthcare -- 5.04%
Becton, Dickinson and Company................. 234,000 18,778,500
Bristol-Myers Squibb Company.................. 450,000 40,500,000
Pfizer, Incorporated.......................... 322,000 22,982,750
Schering-Plough Corp.......................... 310,000 19,452,500
------------- --------------
1,316,000 101,713,750
------------- --------------
Household Products -- .62%
The Clorox Company............................ 140,000 12,407,500
------------- --------------
Industrial Distribution -- .80%
W. W. Grainger, Inc. 208,000 16,120,000
------------- --------------
Industrial Transportation -- .88%
Norfolk Southern Corporation.................. 210,000 17,797,500
------------- --------------
Insurance -- 4.08%
Allstate Corporation.......................... 165,501 7,550,983
Jefferson-Pilot Corporation................... 183,000 9,447,375
Marsh & McLennan Companies, Inc............... 186,900 18,035,850
MBIA, Inc..................................... 225,500 17,560,812
SAFECO Corporation............................ 668,000 23,630,500
Unitrin, Inc.................................. 129,500 6,086,500
------------- --------------
1,558,401 82,312,020
------------- --------------
Machinery & Components -- 1.09%
Dover Corporation............................. 286,000 13,191,750
Parker-Hannifin Corporation................... 208,750 8,845,781
------------- --------------
494,750 22,037,531
Miscellaneous -- 1.56%
Harsco Corporation............................ 156,050 10,494,362
Minnesota Mining &
Manufacturing Company........................ 305,000 21,045,000
------------- --------------
461,050 31,539,362
------------- --------------
Photography -- .76%
Eastman Kodak Company......................... 198,500 15,433,375
------------- --------------
</TABLE>
20
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ --------------
<S> <C> <C>
EQUITIES (Continued)
Publishing & Printing - 2.04%
The Dun & Bradstreet Corporation........... 182,000 $ 11,375,000
McGraw-Hill Companies, Inc................. 400,000 18,300,000
R.R. Donnelley & Sons Company.............. 326,500 11,386,687
-------------- --------------
908,500 41,061,687
-------------- --------------
Retail - 1.21%
The May Department Stores Company.......... 312,000 13,650,000
Sears Roebuck and Company.................. 220,000 10,697,500
-------------- --------------
532,000 24,347,500
-------------- --------------
Retail - Grocery - 1.18%
Albertson's, Inc........................... 440,000 18,205,000
American Stores Company.................... 138,200 5,700,750
-------------- --------------
578,200 23,905,750
-------------- --------------
Telephone Utilities - 2.39%
AT&T Company............................... 280,000 17,360,000
Ameritech Corporation...................... 176,000 10,450,000
Frontier Corporation....................... 371,000 11,361,875
Southern New England.......................
Telecommunications Corporation............ 216,000 9,072,000
-------------- --------------
1,043,000 48,243,875
-------------- --------------
Tire & Rubber - .93%
Goodyear Tire & Rubber Company............. 390,000 18,817,500
-------------- --------------
Tobacco - 1.73%
American Brands, Inc....................... 384,000 17,424,000
UST, Inc................................... 513,000 17,570,250
-------------- --------------
897,000 34,994,250
-------------- --------------
Total Equities
(Cost $659,848,392) 1,101,017,076
--------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
------------
<S> <C> <C>
BONDS AND NOTES - 18.60%
Asset Backed Securities - .86%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02........................ $ 1,868,244 1,860,640
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00........................ 799,620 799,317
Ford Credit Auto Loan Master Trust,
Series 1992-1
6.875% 1/15/99......................... 1,500,000 1,507,500
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99......................... 977,611 988,296
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98......................... 101,318 100,938
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99......................... 2,967,149 2,974,567
Railcar Trust No. 1992-1
7.750% 6/1/04.......................... 1,486,137 1,538,151
World Omni 1995-A Automobile Lease
Securitization Trust
6.050% 11/25/01......................... 3,500,000 3,480,295
World Omni 1994-A Automobile Lease
Securitization Trust
6.300% 6/25/02......................... 4,200,000 4,197,312
-------------- --------------
Total Asset Backed Securities
(Cost $17,557,746) 17,400,079 17,447,016
-------------- --------------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt - 5.50%
American Airlines, Inc.
9.780% 11/26/11........................ $ 5,000,000 $ 5,578,100
American General Finance Corporation
7.750% 1/15/97......................... 2,000,000 2,018,280
AMR Corporation
9.000% 8/1/12.......................... 2,000,000 2,162,400
Analog Devices, Inc.
6.625% 3/1/00.......................... 1,500,000 1,465,515
Bell Atlantic Financial Services, Inc.
6.610% 2/4/00.......................... 1,000,000 997,540
Cardinal Distribution, Inc.
8.000% 3/1/97.......................... 2,000,000 2,023,780
Champion International Corporation
6.400% 2/15/26......................... 3,500,000 3,235,120
Charles Schwab Corporation
6.25% 1/23/03......................... 2,500,000 2,362,500
Chrysler Financial Corp.
6.620% 4/29/97......................... 2,000,000 2,007,700
CITGO Petroleum Corporation
7.875% 5/15/06......................... 1,000,000 991,710
Columbia Gas System, Inc.
6.610% 11/28/02........................ 3,000,000 2,923,470
Commercial Credit Company
7.750% 3/1/05.......................... 2,500,000 2,568,025
Continental Airlines, Inc. 1996-B 144A
7.820% 4/15/15......................... 2,000,000 1,953,660
Continental Airlines, Inc. 2B 144A
8.560% 7/2/14.......................... 1,750,000 1,848,157
Corning Glass Works, Inc.
8.875% 3/15/16......................... 500,000 545,535
Delta Air Lines, Inc.
8.540% 1/2/07.......................... 4,409,887 4,578,522
English China Clays Delaware, Inc.
7.375% 10/1/02......................... 1,000,000 1,001,750
ERAC USA Finance Company 144A
6.950% 1/15/06......................... 1,500,000 1,397,475
FBG Finance Ltd. 144A
7.875% 6/1/16.......................... 4,000,000 3,986,280
Fletcher Challenge Ltd.
7.750% 6/20/06......................... 2,000,000 2,028,160
Ford Motor Credit Company
8.450% 7/15/06......................... 1,500,000 1,507,455
Foster Wheeler Corporation
6.750% 11/15/05........................ 2,000,000 1,904,240
General American Transportation Corporation
6.750% 3/1/06.......................... 3,000,000 2,853,240
General Electric Capital Corporation
8.750% 5/21/07......................... 1,500,000 1,670,745
General Motors Corporation
9.125% 7/15/01......................... 1,500,000 1,630,935
Goldman Sachs Group, L.P. 144A
6.200% 2/15/01......................... 4,000,000 3,829,000
GTE Corporation
9.100% 6/1/03.......................... 1,000,000 1,104,870
ITT Corporation (New)
7.375% 11/15/15........................ 5,000,000 4,700,750
Leucadia National Corporation
7.750% 8/15/13......................... 3,000,000 2,828,580
McDonnell Douglas Corporation
9.250% 4/1/02.......................... 2,200,000 2,420,484
Newmont Mining Corporation
8.625% 4/1/02.......................... 5,000,000 5,231,350
</TABLE>
21
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
North Finance (Bermuda) Limited 144A
7.000% 9/15/05......................... $ 4,000,000 $ 3,840,000
Polaroid Corporation
7.250% 1/15/97......................... 4,500,000 4,522,365
Ralston Purina Company
7.750% 10/1/15......................... 2,000,000 1,976,820
Rolls-Royce Capital Inc.
7.125% 7/29/03......................... 2,000,000 1,961,240
Service Corporation International
7.000% 6/1/15.......................... 4,500,000 4,496,490
TCI Communications, Inc.
7.550% 9/2/03.......................... 3,000,000 2,988,120
Tele-Communications, Inc.
8.650% 9/15/04......................... 715,000 728,764
Tele-Communications, Inc.
9.800% 2/12/12......................... 890,000 961,627
Thomas & Betts Corporation
8.250% 1/15/04......................... 1,000,000 1,024,330
Time Warner, Inc.
7.750% 6/15/05......................... 3,000,000 2,928,660
The Toro Company
11.000% 8/1/17.......................... 2,000,000 2,000,000
US Air, Inc. 144A
7.500% 10/15/09........................ 1,000,000 969,360
Valassis Communications, Inc.
9.550% 12/1/03......................... 2,000,000 2,028,020
W.R. Grace & Co.
8.000% 8/15/04......................... 5,000,000 5,208,000
------------ -------------
Total Corporate Debt
(Cost $111,373,250) 110,464,887 110,989,124
------------ -------------
U.S. Government Agency Obligations - 5.42%
Federal Home Loan Mortgage
Corporation (FHLMC) - 1.25%
Collateralized Mortgage Obligations - 1.22%
FHLMC Series 1322 Class G
7.500% 2/15/07......................... 5,000,000 5,098,400
FHLMC Series 1460 Class H
7.000% 5/15/07......................... 1,789,000 1,785,637
FHLMC Series 1080 Class D
7.000% 7/15/20......................... 5,000,000 5,023,400
FHLMC Series 1490 Class PG
6.300% 5/15/07......................... 5,000,000 4,881,250
FHLMC Series 1625 Class EA
5.750% 3/15/07......................... 5,000,000 4,856,250
FHLMC Series 1625 Class D
5.250% 7/15/04......................... 3,100,000 3,030,250
------------ -------------
24,889,000 24,675,187
Pass-Through Securities - .03%
FHLMC
9.000% 3/1/17.......................... 598,021 628,107
------------ -------------
25,487,021 25,303,294
------------ -------------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Federal National Mortgage
Association (FNMA) - 1.53%
Collateralized Mortgage Obligations - .90%
FNMA Series 1993-134 Class GA
6.500% 2/25/07......................... $ 5,000,000 $ 4,890,600
FNMA Series 1993-71 Class PG
6.250% 7/25/07......................... 8,000,000 7,762,480
FNMA Series 1993-175 Class PL
5.000% 10/25/02........................ 4,130,000 4,084,818
FNMA Series 1993-191 Class PD
5.400% 3/25/04......................... 1,500,000 1,469,520
------------ -------------
18,630,000 18,207,418
Pass-Through Securities - .63%
FNMA
8.000% 5/1/13.......................... 2,985,593 3,060,054
FNMA
6.500% 6/25/08......................... 5,000,000 4,782,800
FNMA
6.250% 3/25/08......................... 5,000,000 4,843,750
------------ -------------
12,985,593 12,686,604
------------ -------------
31,615,593 30,894,022
------------ -------------
Government National Mortgage
Association (GNMA) - 1.61%
Collateralized Mortgage Obligations - .09%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19 1,690,483 1,744,359
Pass-Through Securities - 1.52%
GNMA
8.000% 1/15/04 - 5/15/08............... 8,063,756 8,270,430
GNMA
9.000% 8/15/08 - 9/15/09............... 2,382,796 2,525,763
GNMA
7.5 00% 9/15/16 - 10/15/17.............. 4,592,803 4,563,547
GNMA - ARMS
6.000% 7/20/25 - 12/20/25.............. 15,295,667 15,407,793
------------ -------------
30,335,022 30,767,533
------------ -------------
32,025,505 32,511,892
------------ -------------
</TABLE>
22
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -------------
BONDS AND NOTES (Continued)
Government National Mortgage
Association (GNMA) (Continued)
U.S. Government Guaranteed Notes - 1.03%
<S> <C> <C>
1994-A Abilene, TX
5.780% 8/1/98.......................... $ 70,000 $ 69,136
1994-A Bakersfield, CA
5.780% 8/1/98.......................... 245,000 241,977
1994-A Barberton, OH
5.780% 8/1/98.......................... 75,000 74,074
1994-A Buffalo, NY
5.780% 8/1/98.......................... 375,000 370,373
1991-A Caguas, PR
8.740% 8/1/01.......................... 280,000 301,524
1991-A Council Bluffs, IA
8.740% 8/1/01.......................... 155,000 166,915
1994-A Cumberland, MD
5.780% 8/1/98.......................... 55,000 54,321
1994-A Elizabeth, NJ
5.780% 8/1/98.......................... 75,000 74,075
1994-A Erie, PA
5.780% 8/1/98.......................... 70,000 69,136
1994-A Euclid, OH
5.780% 8/1/98.......................... 105,000 103,704
1994-A Fairfax County, VA
5.780% 8/1/98.......................... 110,000 108,643
1991-A Fairfax County, VA
8.740% 8/1/01.......................... 85,000 91,534
1991-A Fajardo, PR
8.740% 8/1/01.......................... 210,000 226,143
1994-A Fort Myers, FL
5.040% 8/1/96.......................... 120,000 120,000
1994-A Fort Myers, FL
5.780% 8/1/98.......................... 135,000 133,334
1991-A Gasden, AL
8.740% 8/1/01.......................... 100,000 107,687
1994-A Jacksonville, FL
5.040% 8/1/96.......................... 200,000 200,000
1994-A Lawrence, MA
5.040% 8/1/96.......................... 35,000 35,000
1994-A Lawrence, MA
5.780% 8/1/98.......................... 40,000 39,506
1994-A Little Rock, AK
5.040% 8/1/96.......................... 310,000 310,000
1994-A Los Angeles County, CA
5.040% 8/1/96.......................... 145,000 145,000
1994-A Los Angeles County, CA
5.780% 8/1/98.......................... 175,000 172,840
1991-A Lorain, OH
8.740% 8/1/01.......................... 30,000 32,306
1994-A Macon, GA
5.040% 8/1/96.......................... 25,000 25,000
1994-A Mayaguez, PR
5.780% 8/1/98.......................... 65,000 64,198
1991-A Mayaguez, PR
8.740% 8/1/01.......................... 150,000 161,530
1994-A Mobile, AL
5.780% 8/1/98.......................... 205,000 202,470
1994-A Montgomery County, PA
5.040% 8/1/96.......................... 215,000 215,000
1994-A Montgomery County, PA
5.780% 8/1/98.......................... 230,000 227,162
1994-A New Orleans, LA
5.780% 8/1/98.......................... 175,000 172,841
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -------------
BONDS AND NOTES (Continued)
Government National Mortgage
Association (GNMA) (Continued)
U.S. Government Guaranteed Notes (Continued)
<S> <C> <C>
1994-A Ocean Shores, WA
5.780% 8/1/98.......................... $ 110,000 $ 108,643
1994-A Pasadena, CA
5.780% 8/1/98.......................... 140,000 138,272
1994-A Providence, RI
5.040% 8/1/96.......................... 40,000 40,000
1994-A Providence, RI
5.780% 8/1/98.......................... 50,000 49,383
1994-A Reading, PA
5.040% 8/1/96.......................... 15,000 15,000
1994-A Reading, PA
5.780% 8/1/98.......................... 65,000 64,198
1994-A Roanoke, VA
5.780% 8/1/98.......................... 210,000 207,409
1994-A Rochester, NY
5.040% 8/1/96.......................... 155,000 155,000
1994-A Rochester, NY
5.780% 8/1/98.......................... 165,000 162,964
1991-A Rochester, NY
8.650% 8/1/00.......................... 4,295,000 4,571,468
1994-A Sacramento, CA
5.040% 8/1/96.......................... 125,000 125,000
1994-A Sacramento, CA
5.780% 8/1/98.......................... 300,000 296,298
1994-A St. Joseph, MO
5.040% 8/1/96.......................... 70,000 70,000
1994-A Salt Lake City, UT
5.040% 8/1/96.......................... 135,000 135,000
1994-A Schaumburg, IL
5.040% 8/1/96.......................... 60,000 60,000
1994-A Syracuse, NY
5.040% 8/1/96.......................... 50,000 50,000
1994-A Syracuse, NY
5.780% 8/1/98.......................... 50,000 49,383
1994-A Tacoma, WA
5.040% 8/1/96.......................... 130,000 130,000
1994-A Tacoma, WA
5.780% 8/1/98.......................... 155,000 153,087
1994-A Trenton, NJ
5.040% 8/1/96.......................... 120,000 120,000
1994-A Trenton, NJ
5.780% 8/1/98.......................... 130,000 128,396
1994-A Virginia Beach, VA
5.780% 8/1/98.......................... 260,000 256,792
1994-A Waterford Township, MI
5.780% 8/1/98.......................... 55,000 54,321
1994-A Waterford Township, MI
5.040% 8/1/96.......................... 50,000 50,000
1994-A West Palm Beach, FL
5.780% 8/1/98.......................... 105,000 103,704
U.S. Department of Housing
and Urban Development, Series 1995-A
8.240% 8/1/02.......................... 8,475,000 9,114,439
------------ -------------
19,780,000 20,724,186
------------ -------------
Total U.S. Government Agency Obligations
(Cost $107,869,716) 108,908,119 109,433,394
------------ -------------
</TABLE>
23
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Treasury Obligations - 6.82%
U.S. Treasury Bonds - 2.24%
U.S. Treasury Bond
8.750% 5/15/17........................... $ 34,500,000 $ 40,931,145
U.S. Treasury Bond
8.875% 8/15/17........................... 3,500,000 4,202,170
------------ --------------
38,000,000 45,133,315
------------ --------------
U.S. Treasury Notes - 4.41%
U.S. Treasury Note
7.250% 5/15/04........................... 15,400,000 15,955,786
U.S. Treasury Note
6.375% 5/15/99........................... 11,000,000 11,024,090
U.S. Treasury Note
6.375% 1/15/99........................... 22,500,000 22,573,800
U.S. Treasury Note
6.375% 8/15/02........................... 15,000,000 14,880,450
U.S. Treasury Note
6.125% 5/15/98........................... 20,000,000 20,000,000
U.S. Treasury Note
6.125% 3/31/98........................... 4,500,000 4,503,510
------------ --------------
88,400,000 88,937,636
------------ --------------
U.S. Treasury Strips - .17%
U.S. Treasury Strip - Principal only
0.000% 2/15/10........................... 8,750,000 3,406,813
------------ --------------
Total U.S. Treasury Obligations
(Cost $140,481,561)........................... 135,150,000 137,477,764
------------ --------------
Total Bonds and Notes
(Cost $377,282,273)........................... $371,923,085 375,347,298
============ ==============
SHORT-TERM INVESTMENTS - 26.47%
Commercial Paper
Aristar, Inc.
5.350% 7/1/96............................ $ 7,760,000 7,760,000
Baltimore Gas & Electric
5.250% 7/8/96............................ 12,355,000 12,341,319
Bausch & Lomb, Inc.
5.400% 7/15/96........................... 10,000,000 9,977,853
Boston Edison Company
5.470% 7/10/96........................... 3,530,000 3,524,891
Boston Edison Company
5.470% 7/24/96........................... 8,000,000 7,970,672
Carolina Power & Light Company
5.250% 7/11/96........................... 15,945,000 15,918,936
Caterpillar Service Corporation
5.320% 10/11/96.......................... 10,020,000 9,855,756
Caterpillar Service Corporation
5.280% 11/15/96.......................... 13,660,000 13,361,453
Central and South West Corporation
5.500% 7/9/96............................ 2,500,000 2,496,836
Central and South West Corporation
5.550% 7/29/96........................... 8,000,000 7,965,467
Central and South West Corporation
5.550% 8/27/96........................... 12,900,000 12,783,266
Central and South West Corporation
5.570% 8/23/96........................... 5,450,000 5,404,551
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Coca Cola Company
5.230% 7/31/96........................... $ 7,960,000 $ 7,921,937
Comdisco, Inc.
5.470% 7/29/96........................... 6,620,000 6,590,939
Comdisco, Inc.
5.450% 8/2/96............................ 3,730,000 3,711,455
Comdisco, Inc.
5.490% 8/9/96............................ 4,340,000 4,313,224
Comdisco, Inc.
5.520% 8/5/96............................ 7,375,000 7,334,531
Comdisco, Inc.
5.550% 8/9/96............................ 1,185,000 1,177,875
Comdisco, Inc.
5.550% 8/22/96........................... 7,135,000 7,074,026
ConAgra, Inc.
5.460% 8/26/96........................... 8,545,000 8,469,302
ConAgra, Inc.
5.530% 8/30/96........................... 11,560,000 11,446,307
ConAgra, Inc.
5.540% 7/19/96........................... 525,000 523,546
ConAgra, Inc.
5.560% 7/23/96........................... 8,175,000 8,147,223
Countrywide Home Loans
5.350% 8/19/96........................... 12,350,000 12,253,757
Crown Cork & Seal Company, Inc.
5.470% 7/23/96........................... 1,620,000 1,614,412
Crown Cork & Seal Company, Inc.
5.440% 8/28/96........................... 16,185,000 16,033,486
Crown Cork & Seal Company, Inc.
5.580% 9/4/96............................ 9,000,000 8,904,460
Dana Corporation
5.570% 7/25/96........................... 7,600,000 7,571,779
Dana Credit Corporation
5.500% 7/9/96............................ 8,000,000 7,989,876
Dana Credit Corporation
5.520% 7/16/96........................... 1,365,000 1,361,819
Dana Credit Corporation
5.500% 7/16/96........................... 11,135,000 11,109,050
Dana Credit Corporation
5.500% 7/12/96........................... 7,095,000 7,082,654
Dana Credit Corporation
5.550% 8/12/96........................... 8,890,000 8,832,437
Dominion Resources, Inc.
5.490% 7/22/96........................... 13,265,000 13,221,327
Dominion Resources, Inc.
5.480% 8/13/96........................... 8,675,000 8,615,991
Dominion Resources, Inc.
5.530% 8/16/96........................... 10,000,000 9,927,232
E.I. du Pont de Nemours and Company
5.360% 9/18/96........................... 10,580,000 10,444,564
Illinois Power Company
5.500% 7/17/96........................... 10,000,000 9,974,727
Illinois Power Company
5.450% 8/6/96............................ 7,400,000 7,357,707
Kerr-McGee Credit Corporation
5.550% 8/14/96........................... 14,650,000 14,546,330
Lockheed Martin Corporation
5.450% 7/30/96........................... 11,835,000 11,781,191
Mattel, Inc.
5.480% 8/1/96............................ 11,450,000 11,392,496
</TABLE>
24
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Mattel, Inc.
5.480% 8/8/96............................ $ 11,430,000 $ 11,358,747
Mattel, Inc.
5.500% 7/25/96........................... 2,525,000 2,515,183
Monsanto Company
5.280% 7/18/96........................... 10,460,000 10,431,452
ORIX Credit Alliance, Inc.
5.530% 7/23/96........................... 2,945,000 2,934,842
ORIX Credit Alliance, Inc.
5.570% 8/21/96........................... 13,000,000 12,892,799
ORIX Credit Alliance, Inc.
5.660% 10/22/96.......................... 7,558,000 7,421,133
Pepsico, Inc.
5.380% 9/25/96........................... 10,105,000 9,964,602
Pitney Bowes Credit Corporation
5.260% 7/26/96........................... 10,445,000 10,402,014
Praxair, Inc.
5.470% 7/3/96............................ 9,800,000 9,796,848
Praxair, Inc.
5.470% 9/23/96........................... 8,240,000 8,128,087
Praxair, Inc.
5.450% 8/20/96........................... 8,000,000 7,936,384
Proctor & Gamble Company
5.350% 9/5/96............................ 14,785,000 14,625,741
Public Service Electric and Gas Company
5.520% 8/2/96............................ 5,445,000 5,418,283
Shell Oil Company
5.310% 8/29/96........................... 11,040,000 10,939,039
Texas Utilities Electric Company
5.550% 7/12/96........................... 7,900,000 7,886,603
Textron Financial Corporation
5.470% 7/10/96........................... 1,600,000 1,597,812
Textron Financial Corporation
5.520% 8/15/96........................... 8,840,000 8,774,974
Textron Financial Corporation
5.530% 8/29/96........................... 4,000,000 3,961,284
Textron Inc.
5.470% 7/19/96........................... 6,755,000 6,735,868
Textron Inc.
5.450% 7/10/96........................... 6,945,000 6,935,538
Tyson Foods, Inc.
5.430% 8/7/96............................ 6,495,000 6,456,212
VF Corporation
5.470% 8/12/96........................... 5,845,000 5,806,165
Weyerhaeuser Company
5.270% 7/2/96............................ 5,075,000 5,074,197
------------ --------------
Total Short-Term Investments
(Cost $534,271,816) $537,598,000 534,080,467
============ --------------
Total Investments -
(Cost $1,571,402,481) (a) 99.64% 2,010,444,841
Other Assets - .55 11,047,534
Liabilities - (.19) (3,729,280)
------- --------------
Net Assets - 100.00% $2,017,763,095
======= ==============
</TABLE>
Table of Open Forward Commitment Contracts
<TABLE>
<CAPTION>
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
--------- --------- --------- ------------
<S> <C> <C> <C>
United States of America
6.875% due 5/15/06 $26,200,000 November 1996 $ 109,550
-------------
Total Forward Commitment
Contracts $ 109,550
=============
</TABLE>
(a) Federal Income Tax Information: At
June 30, 1996 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$1,598,207,304 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value
over tax cost..................................... $ 446,508,647
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value...................................... (7,973,384)
-------------
Net unrealized appreciation................... $ 438,535,263
=============
See Notes to Financial Statements.
25
<PAGE>
MML Series Investment Fund
Notes To Financial Statements
(Unaudited)
1. HISTORY
MML Series Investment Fund (the ``MML Trust'') is registered under the
Investment Company Act of 1940 as a no-load, registered open end, diversified
management investment company. MML Equity Fund, MML Money Market Fund, MML
Managed Bond Fund and MML Blend Fund (the ``Funds'') are the four series of
shares of the MML Trust. The MML Trust is organized under the laws of the
Commonwealth of Massachusetts pursuant to an Agreement and Declaration of Trust.
The MML Trust was established by Massachusetts Mutual Life Insurance Company
("MassMutual") for the purpose of providing vehicles for the investment of
assets of various separate investment accounts established by MassMutual and by
life insurance companies which are subsidiaries of MassMutual. Shares of the MML
Trust are not offered to the general public. MassMutual at June 30, 1996, was
the beneficial owner of 1.1% of MML Blend Fund's shares.
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 generally accepted accounting principles.
A. Investment Valuation
Equity securities are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which provides the last reported
sale price for securities listed on a national securities exchange, or on the
NASDAQ national market system. If securities are unlisted, or there is no
reported sale price, the bid price of the prior trade date will be used. Long-
term bonds are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which determines valuations
taking into account appropriate factors such as institutional-size, trading in
similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, trading characteristics and other market data.
For MML Equity Fund, MML Managed Bond Fund, and MML Blend Fund, short-term
securities with more than sixty days to maturity from the date of purchase are
valued at market and short-term securities having a maturity from the date of
purchase of sixty days or less are valued at amortized cost. MML Money Market
Fund's portfolio securities are valued at amortized cost in accordance with a
rule of the Securities and Exchange Commission pursuant to which MML Money
Market Fund must adhere to certain conditions. It is the intention of MML
Money Market Fund to maintain a per share net asset value of $1.00.
B. Accounting For Investments
Investment transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Premiums and discounts on short-term securities are amortized in
determining interest income.
The cost basis of long-term bonds is not adjusted for amortization of premium
or accrual of discount since MML Managed Bond Fund and MML Blend Fund do not
generally intend to hold such investments until maturity; however, the MML
Trust has elected to accrue for financial reporting purposes, certain
discounts which are required to be accrued for federal income tax purposes.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
C. Federal Income Tax
The MML Trust has established a policy for each of the Funds to comply with
the provisions of the Internal Revenue Code applicable to regulated investment
companies. As a result, the Funds will not be subject to federal income tax on
any net investment income and any net capital gains to the extent they are
distributed or are deemed to have been distributed to shareholders.
Distributions are determined in accordance with income tax regulations which
may differ from generally accepted accounting principles. These differences
are primarily due to the deferral of wash sale losses, and paydowns on certain
mortgage-backed securities. As a result, net investment income (loss) and net
realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. Accordingly, the
Funds may periodically make reclassifications among certain of their capital
accounts without impacting the net asset value of the Funds.
26
<PAGE>
Notes To Financial Statements (Continued)
D. Forward Commitments
Each Fund may purchase or sell securities on a ``when issued'' or delayed
delivery or on a forward commitment basis. The Funds use forward commitments
to manage interest rate exposure or as a temporary substitute for purchasing
or selling particular debt securities. Forward commitments are not used for
purposes of trading. Settlement for securities purchased on a forward
commitment basis can take place a month or more after the date of the
transaction. The Fund generally does not take delivery on these forward
commitments, but such commitments are instead settled with offsetting
transactions. When a forward commitment contract is closed, the Funds record
a realized gain or loss. Forward commitments involve a risk of loss if the
value of the security to be purchased declines prior to the settlement date.
The Funds could also be exposed to loss if they can not close out their
forward commitments because of an illiquid secondary market, or the inability
of counterparties to perform. The Fund monitors exposure to ensure
counterparties are credit worthy and concentration of exposure is minimized.
The Funds instruct the custodian to segregate liquid high quality assets in a
separate account with a current market value at least equal to the amount of
its forward purchase commitments. The price of the underlying security and
the date when the securities will be delivered and paid for are fixed at the
time the transaction is negotiated. The value of the forward commitment is
determined by management using a commonly accepted pricing model and
fluctuates based upon changes in the value of the underlying security and
market repo rates. Such rates equate the counterparty's cost to purchase and
finance the underlying security to the earnings received on the security and
forward delivery proceeds. The Funds record on a daily basis the unrealized
appreciation/depreciation based upon changes in the value of the forward
commitment. At June 30, 1996, the cost (value) of forward commitments to
purchase securities amounted to $26,188,176 ($26,297,726) for the MML Blend
Fund.
E. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
3. CAPITAL LOSS CARRYFORWARD
The accumulated net realized loss on investments for the MML Money Market Fund
results in a capital loss carryforward of $9,734 which is available for federal
income tax purposes to offset future capital gains. Of the total carryforward,
$485 expires December 31, 1997, $1,639 expires December 31, 1998, $1,204 expires
December 31, 2000, $201 expires December 31, 2001, $5,364 expires December 31,
2002 and $841 expires December 31, 2003.
The accumulated net realized loss on investments for the MML Managed Bond Fund
results in a capital loss carryforward of $840,829 which is available for
federal income tax purposes to offset future capital gains. This carryforward
expires December 31, 2002.
4. INVESTMENT MANAGEMENT FEE
MassMutual provides all investment advisory, management and administrative
services needed by the Funds. For acting as such, MassMutual receives a
quarterly fee from each Fund at the annual rate of .50% of the first
$100,000,000 of the average daily net asset value of each Fund, .45% of the next
$200,000,000, .40% of the next $200,000,000, and .35% of any excess over
$500,000,000.
MassMutual has entered into an investment sub-advisory agreement with Concert
Capital Management, Inc. (``Concert''), a wholly-owned subsidiary of Babson
Acquisition Corporation which is a controlled subsidiary of MassMutual. The
agreement provides that Concert manage the assets of MML Equity Fund and the
assets of the Equity Sector of MML Blend Fund. MassMutual pays Concert a
quarterly fee equal to an annual rate of .13% of the average daily net asset
value of MML Equity Fund and the Equity Sector of MML Blend Fund.
MassMutual has agreed, at least through April 30, 1997, to bear the expenses of
the Funds to the extent that the aggregate expenses (excluding each Fund's
management fee, interest, taxes, brokerage commissions and extraordinary
expenses) incurred during each Fund's fiscal year exceed .11% of the average
daily net asset value of each Fund for such year. For the period ended June 30,
1996, MassMutual was not required to reimburse the Funds for any expenses.
27
<PAGE>
Notes To Financial Statements (Continued)
5. PURCHASES AND SALES OF INVESTMENTS AND FORWARD COMMITMENTS
<TABLE>
<CAPTION>
Proceeds
For the Six Months Acquisition from Sales
Ended June 30, 1996 Cost and Maturities
------------------- ----------- --------------
Investments
-----------
<S> <C> <C>
MML EQUITY FUND
Equities................................................ $ 188,494,689 $ 73,326,389
Short-term investments.................................. 616,310,817 608,686,076
MML MONEY MARKET FUND
Short-term investments.................................. 307,772,864 299,203,351
MML MANAGED BOND FUND
Bonds and notes......................................... 27,115,781 15,838,564
U.S. Government investments - long-term................. 25,311,866 21,500,472
Short-term investments.................................. 255,604,483 253,827,117
MML BLEND FUND
Equities................................................ 94,685,193 88,142,812
Bonds and notes......................................... 73,112,216 24,755,983
U.S. Government investments - long-term................. 196,089,735 162,087,556
Short-term investments.................................. 1,351,327,320 1,415,125,736
<CAPTION>
Cost
Forward Commitments of Contracts
------------------- ------------
<S> <C>
MML MANAGED BOND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened....................................... $ 1,579,688
Contracts closed....................................... 1,579,688
Outstanding at June 30, 1996 --
MML BLEND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened....................................... 80,489,254
Contracts closed....................................... 107,406,914
Outstanding at June 30, 1996.......................... 26,188,176
<CAPTION>
6. NET INCREASE FROM CAPITAL SHARE TRANSACTIONS
MML MML
MML Money Managed MML
For the Six Months Equity Market Bond Blend
Ended June 30, 1996 Fund Fund Fund Fund
------------------- -------- --------- --------- --------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends 1,828,658 3,268,135 416,352 3,474,840
Sales of shares 5,050,175 49,324,064 1,317,783 3,841,746
Redemptions of shares (863,510) (40,931,580) (699,744) (2,114,653)
------------ ----------- ------------ ------------
Net increase 6,015,323 11,660,619 1,034,391 5,201,933
============ ============ ============ ============
Amount
Reinvestment of dividends $ 47,407,259 $ 3,268,135 $ 5,049,837 $ 72,037,801
Sales of shares 138,127,563 49,324,064 16,033,962 80,550,561
Redemptions of shares (23,545,808) (40,931,580) (8,452,989) (44,594,959)
------------ ------------ ------------ ------------
Net increase $161,989,014 $ 11,660,619 $ 12,630,810 $107,993,403
============ ============ ============ ============
<CAPTION>
MML MML
MML Money Managed MML
For the Year Ended Equity Market Bond Blend
December 31, 1995 Fund Fund Fund Fund
----------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends 1,621,795 5,376,748 763,489 5,184,192
Sales of shares 8,464,024 92,327,266 2,219,273 6,885,480
Redemptions of shares (1,909,273) (80,569,846) (1,113,390) (4,944,135)
------------ ------------ ------------ ------------
Net increase 8,176,546 17,134,168 1,869,372 7,125,537
============ ============ =========== ============
Amount
Reinvestment of dividends $ 33,282,252 $ 5,376,748 $ 8,979,443 $ 96,495,329
Sales of shares 203,078,940 92,327,266 26,776,179 135,128,246
Redemptions of shares (45,862,370) (80,569,846) (13,296,001) (96,681,499)
------------ ------------ ------------ ------------
Net increase $190,498,822 $ 17,134,168 $ 22,459,621 $134,942,076
============ ============ ============ ============
</TABLE>
28
