An Educational Guide

How we earn your confidence

2015

Our investment philosophy

Contents 1 | In times like these 2 | Investment philosophy 4 | Portfolio management 6 | Portfolio construction 7 | Sector overview:

Putting it all together 13 | Earning your confidence

Note: Numbers may not add due to rounding.

1

Strength and stability

Our continued financial strength is a critical attribute

supporting the value of our products and services. Our clients

trust us with their long-term financial protection, and effective

investment management is an essential factor supporting that

trust. As recent history has confirmed, investment markets can

be volatile, and it is reassuring for our policyowners and clients

to know that they can depend on MassMutual products to help

provide for their financial security.

Mutuality

As a mutual life insurance company, we do not have

shareholders. We operate for the benefit of our members

and participating policyowners. We are able to take a long-

term view when investing and focus less on short-term

fluctuations in asset values. We are long-term investors

concerned with meeting commitments that stretch far into

the future.

Diversity

Our investment management expertise, which is integral to

the success of our company and our products, is primarily

drawn from our investment subsidiaries: Babson Capital

Management LLC (Babson Capital), which manages fixed

income and equity assets; Cornerstone Real Estate Advisers

LLC (Cornerstone), a manager and adviser of commercial

real estate equity and debt; OppenheimerFunds, Inc., one of

the largest asset management companies in the United States;

and Baring Asset Management Limited, an equity and fixed

income manager whose global investment expertise and reach

complement those of MassMutual’s other investment entities.

You should be confident that the company providing you

with financial services is strong and will be there to help you,

not just now but well into the future. MassMutual offers that

confidence so you can worry less about the future and spend

more time enjoying the present. A key reason you can trust

MassMutual is our approach to investing.

In times like these confidence matters most

* A participating policyowner is typically an owner of an individual participating policy issued by MassMutual who benefits from the company’s mutual status by being eligible to share in any annual dividends, if declared. Dividends are not guaranteed.

Built on more than a century-and-a-half of financial strength and customer service, Massachusetts Mutual Life Insurance Company (MassMutual) is a leading mutual life insurance company headquartered in Springfield, MA. We operate for the benefit of our members and participating policyowners* and offer a range of quality financial products and solutions, including life insurance, disability income insurance, long-term care insurance, annuities and retirement/401(k) plan services.

Ratings are for Massachusetts Mutual Life Insurance Company and its subsidiaries: C.M. Life Insurance Company and MML Bay State Life Insurance Company. Ratings as of 05/01/15. Ratings are subject to change.

We have financial strength ratings that are among the highest in the industry.

A.M. Best Company . . . . . . . . . . . . . . . . . . . . . . . . . A++ (Superior) top category of 15

Fitch Ratings . . . . . . . . . . . . . . . . . . . . . . . . . . . . AA+ (Very Strong) second category of 21

Moody’s Investors Service . . . . . . . . . . . . . . . . . .Aa2 (Excellent) third category of 21

Standard & Poor’s . . . . . . . . . . . . . . . . . . . . . . . AA+ (Very Strong) second category of 21

Rating Massachusetts Mutual Life Insurance Company and subsidiary companies

2

In our pursuit of consistent long-term returns, we use a

two-pronged approach to manage the GIA.

• A top-down process, where we work to identify the

global economic and market factors that will drive

returns across asset classes and seek to optimize the

portfolio allocation across these classes

• A bottom-up approach, where our investment

professionals identify individual investments that

offer the appropriate level of risk/reward relative to

their alternatives

Through the regular application of these two elements,

we seek to position the portfolio to capture evolving

opportunities, while remaining invested across a variety

of asset classes to incorporate a significant level of

risk diversification.

We believe that one cannot consistently predict the level

or direction of markets. As a result, diversification is a

prudent, appropriate response to managing risks through

market fluctuations.

Diversification within and across asset classes increases the

opportunity to capture positive returns across issuers and

sectors while minimizing the impact of underperformance.

Other components of our approach include:

• Through rigorous analysis, our investment

professionals use a relative value approach to security

selection, seeking to buy undervalued securities

and sectors while selling those more fully valued. A

regular assessment of value allows us to capitalize on

market inefficiencies in the valuation of securities,

sectors, and asset classes

• We rely upon experienced teams of specialists

focused on a range of sectors to help manage the

GIA. Our common goal is the success of the overall

enterprise rather than the success of specific sectors,

resulting in a collaborative approach where objective

analysis produces optimal long-term investment

performance

• We regularly assess the risk and return potential of

developing asset classes, to identify opportunities to

enhance the long-term performance of the GIA

• In assessing investment opportunities, we distill the

numerous factors that can impact value down to basic,

understandable concepts to facilitate comparison.

It pays to be skeptical of opportunities that are

unrealistic or not credible

• Ultimately our objective is to profitably grow the GIA

for the benefit of the policyowners. We believe that

the continual review, refinement and application of

our investment process will support that objective

Investment philosophy

MassMutual and Babson Capital, the primary investment adviser for MassMutual’s General Investment Account (GIA), share the same investment philosophy relative to the investment of policyowner assets. This philosophy provides the framework for GIA portfolio construction and investment decision-making. The following are the keys to our approach.

We seek to generate long-term, stable investment performance to support MassMutual’s financial strength and ability to meet its financial commitment to policyowners.

3

Total GIA assets* – $143 billion as of December 31, 2014

Public Bonds

Private Bonds

Equity

Mortgage Loans

Policy Loans

Real Estate Equities

Partnerships and LLCs

Short Terms and Cash

Other Invested Assets

Other GIA Assets

36%

19%

1%14% 8%

1%

5% 2%

11%

3%

1 Includes Rule 144A registered securities2 Includes unaffiliated preferred and common equity3 Includes $1,986 million of residential mortgage pools

4 Includes $168 million of properties exclusively occupied by the Company5 Schedule BA securities6 Includes common stock of subsidiaries and affiliates, derivatives and

receivables for securities

* Note: The figures presented are consolidated financial information for Massachusetts Mutual Life Insurance Company and its U.S.-domiciled life insurance subsidiaries (C.M. Life Insurance Company and MML Bay State Life Insurance Company) at the end of 2014.

Public Bonds1 – 36%

Private Bonds – 19%

Equity2 – 1%

Mortgage Loans3 – 14%

Policy Loans – 8%

Real Estate Equities4 – 1%

Partnerships and LLCs5 – 5%

Short Terms and Cash – 2%

Other Invested Assets6 – 11%

Other GIA Assets – 3%

4

Overview

The GIA primarily consists of assets that support our

insurance and retirement income products. We organize the

assets into smaller portfolios to better manage the assets

relative to the liabilities. The nature of the product liabilities

serves as the foundation for the investment policies that are

developed for each portfolio. An investment policy provides

the general framework for how a portfolio is constructed

and managed by specifying acceptable levels of exposure

to issuers, asset sectors and asset classes, among other

dimensions of diversification. Put another way, investment

policies integrate the return objectives of the liabilities

and the sensitivity of liabilities to changing economic

conditions, their expected cash flows, risk tolerances, and

other factors to help determine portfolio composition. We

use both quantitative and qualitative approaches to analyze

the liabilities in normal and stressed environments. By

developing a deeper understanding of the liabilities and

their behavior in different environments, we are better able

to develop an appropriate investment policy and strategy.

The asset portfolios are constructed and managed within

these allowable ranges to support the return objectives of

the liabilities.

Asset/liability management (ALM)

ALM is a key component of our approach to managing the

GIA and involves the analysis of cash flows and maturities

of the liabilities and their corresponding assets. The cash

flows can differ based on their sensitivity to various economic

conditions, with the level of interest rates both contributing to

and responding to these conditions. Duration is the sensitivity

of a security’s price to changes in interest rates. We project

liability cash flows under various economic and behavioral

scenarios for the products supported by each portfolio. We

then construct an asset portfolio with a duration profile

similar to that of the liabilities. By closely managing the

duration of the assets relative to that of the liabilities, we strive

to mitigate the impact that changes in interest rates will have

on our ability to meet policyowner needs.

Derivatives are an integral component of our ALM process

and portfolio management process. Derivatives are

instruments whose returns are based on, or “derived” from,

the performance of other securities or market indices. They

include such widely used financial tools as swaps, futures, and

options. Derivatives may offset asset or liability risks, provide

additional return, or both. Some derivatives are particularly

useful for managing interest rate risk and MassMutual uses

derivatives extensively for this purpose. Some derivatives may

be combined with other investments to capture incremental

returns or to mirror the economics of conventional bonds,

while gaining exposure to issuers or security types that would

otherwise be unavailable. An important item to remember

is that most derivatives are collateralized, either directly

with the trade counterparty or indirectly through a clearing

house. Either way, this means that the market value of a

contract is backed by cash or high quality securities held

in trust. Finally, MassMutual does not use derivatives for

speculative purposes.

Liquidity management

Liquidity management works in conjunction with ALM to

ensure MassMutual has the ability to meet policyowner needs

while not forcing the sale of assets at inopportune times.

Cash flow and liquidity needs are routinely addressed as part

of the investment management process. We also perform

periodic liquidity stress testing to review potential needs

and the sources of these needs. This analysis of possible

demands on portfolio liquidity under adverse scenarios

confirms that the Company continues to have a strong

liquidity position as it maintains a large share of its assets in

Portfolio management

5

• Prepayment risk is the risk of changes in the timing

of cash flows from a security, impacting the duration

management of the portfolio

• Liquidity risk is the risk that you can’t sell a security

at a fair value

Working within these risk parameters, the goal of prudent

portfolio management is to structure the risk/reward profile

of the investment portfolio in an optimal manner relative

to the liabilities. Sophisticated quantitative techniques and

systems are used to measure and monitor exposures to the

investment risks. Various strategies are used to protect our

portfolios from adverse consequences which might arise

from significant changes in the economic environment. Our

value-driven investment approach leads us to consider a

broad range of investments for potential purchase. Riskier

investments may be purchased when we are compensated

for the risks involved. However, there are issuer and overall

quality limits for each portfolio and for the entire GIA.

high quality public bonds and short-term investments that can

be sold quickly and easily to satisfy policyowner and client

needs if necessary. However, such sales are unlikely as the

Company has historically enjoyed strong positive cash flow.

Moreover, MassMutual has a $1 billion commercial paper

program that permits it to borrow on a short-term basis for

various corporate needs. While we do not rely on the ability

to issue commercial paper in liquidity planning, it adds to our

financial flexibility.

Risk management

Portfolio management, ALM and liquidity management

help to monitor and manage the investment risks of a

portfolio. Investment risks exist in different forms,

including but not limited to the following:

• Interest rate risk, or a change in interest rates,

can change the fair value of debt securities

• Credit risk, or the risk of a rating change, can

impact the value of a bond

• Default risk can impact the value of a bond, even in

the event of eventual repayment

Rating distribution of fixed income securities – $79 Billion as of December 31, 2014

AAA, AA, A

BBB

BB

B

Lower Quality

In or Near Default

57.9%

34.2% 3.5%2.7%

1.1%0.7%

NAIC Rating Category

Equivalent Rating Agency Designation

% of Bond Holdings

% of Total GIA Assets

1 AAA,AA,A 57.9% 32.2%

2 BBB 34.2 19.0

3 BB 3.5 1.9

4 B 2.7 1.5

5 Lower Quality 1.1 0.6

6 In or Near Default 0.7 0.4

100.0% 55.5%

6

Reflecting the conservative approach we believe best

helps us provide value to our policyowners, the core of our

GIA is comprised of bond holdings, or debt instruments

issued by governments, corporations, and other entities.

The conditions and expectations related to the debt of

specific issuers determine the relative appeal and expected

performance of a security. Industries and security classes

differ as to their sensitivity to economic cycles, the impact of

future conditions and events, and idiosyncratic risk factors,

leading us to regularly monitor market conditions as we

assess relative value. A by-product of this monitoring is our

ability to regularly invest in attractive opportunities while

limiting or reducing our exposure to fully valued sectors.

This consistent approach translates into holding investments

across vintage, sector and maturity spectrums, allowing us

to harvest the gains from some while providing others with

more time to develop. By always being in the market for

new investment opportunities, we believe we increase our

awareness of and access to the more attractive ones.

Finally, the regular cash flow of a debt security helps

provide the funds we use to pay policyowners benefits and

enables us to be steady buyers in all market environments.

Consistent market participation across asset classes

promotes market intelligence. Other classes in which we

invest can provide returns in the form of price appreciation,

dividends, earnings or other distributions that may fluctuate

in value, unlike the required coupon of a debt security.

Portfolio construction

We employ a disciplined approach to portfolio construction as we manage the GIA. Beginning with the potential universe of securities as defined in the investment policy – asset classes, sectors and securities are viewed through a risk/reward and economic factor framework. The former incorporates relative value and relative risk perspectives, while the latter considers the sensitivities to economic variables. Diversification across these perspectives increases the likelihood of achieving the investment objectives with reduced volatility while limiting the impact of a potential loss from any one security, issuer or event. Prudent portfolio construction dictates that we focus on both the return of and return on principal. Principal losses on investments require that the remaining assets generate higher returns on principal to maintain expected returns.

7

Government debt

U.S. government and agency debt have appeal for their

typically lower relative credit risk, high level of liquidity

and extensive range of maturities. As a result, these issues

are important components of our liquidity management and

ALM processes.

Corporate debt

Corporate debt provides an opportunity to invest in a

range of companies, industries, ratings and maturities that

provide yields greater than those earned by government

debt. While investing in corporate debt introduces default

risk, diversification serves to reduce the potential adverse

impact. We reduce the risk further by limiting exposure to

individual issues, issuers, and industry sectors. We have

included several tables that we believe distinguish our

approach to managing the bond portfolio. In the table below

you will note the low absolute level of exposure in the top 10

corporate bond obligors, while in other tables you will see

a high level of industry diversification and limited exposure

to lower-rated issues. The largest long-term corporate bond

issuer represents only 0.1% of GIA assets, while the ten

largest long-term corporate bond issuers combined are less

than 1.2% of GIA assets. Bond issuance has been at record

levels in recent years, offering investors the opportunity

to purchase bonds from high quality companies who issue

debt infrequently, and we continued to capitalize on these

opportunities. Our average exposure across issuers remains

relatively small as we maintain broad diversification.

Sector overview: Putting it all together

* Rating reflects weighted average for issuers with multiple ratings

GIA’s 10 largest long-term corporate bond obligors – December 31, 2014

Rank Exposure NameStatement Value

($ Millions) NAIC Rating*% of Cash &

Invested Assets% of Total

GIA Assets1 General Electric Capital Corporation $170 1 0.1% 0.1%

2 Wal-Mart Stores, Inc. 164 1 0.1 0.1

3 Oracle Corporation 163 1 0.1 0.1

4 Verizon Communications, Inc. 160 2 0.1 0.1

5 Viacom, Inc. 156 2 0.1 0.1

6 ClearBridge Energy MLP Fund Inc. 156 1 0.1 0.1

7 Republic Services, Inc. 147 2 0.1 0.1

8 Costco Wholesale Corporation 147 1 0.1 0.1

9 Arqiva Group Parent Limited 143 2 0.1 0.1

10 Deere & Company 127 1 0.1 0.1

Our general approach to security selection begins with analyzing issuers and then determining the appropriate way to invest in them. The issuer provides diversification, while the security provides a method to assess relative value.

8

Within corporate bonds, some issues may be secured by

specific assets like a mortgage on a manufacturing facility

while others may be secured by general assets. The security

interest or type of lien can vary from senior to subordinate

to unsecured, depending upon the financial strength of the

issuer, the nature of the debt issue, and other factors. The

multiple facets of an issue offer different combinations of

risk and return and provide the GIA the opportunity to assess

the value of an issue on a stand-alone basis and as part of the

larger portfolio. As we consider investments across industry

sectors, credit ratings and asset classes, these characteristics

will differ in importance.

For example, for lower credit rated issues we prefer stronger

security interests like those provided by leveraged loans

which are typically secured by the assets of the issuer.

We have teams in the U.S. and Europe whose specialty is

investing in leveraged loans of domestic and international

borrowers. Through this active, global network we are able

* Holding company debt

Diversification of long-term bonds – December 31, 2014

Statement Value ($ Millions) % GIA Long-term Bonds % Total GIA AssetsSectorU.S. Treasury $7,369 9.3% 5.2%

U.S. Agency 1,997 2.5 1.4

Municipal / Sovereign 4,638 5.9 3.3

Mortgage-Backed Securities - Residential 2,399 3.0 1.7

Mortgage-Backed Securities - Commercial 2,925 3.7 2.1

Asset-Backed Securities 9,366 11.8 6.6

Investment Funds 1,233 1.6 0.9

Other * 2,068 2.6 1.5

Corporate Credit (by Industry) - Banks 1,269 1.6 0.9

Capital Goods/Construction 5,845 7.4 4.1

Conglomerates 147 0.2 0.1

Consumer Goods/Cyclical 1,566 2.0 1.1

Consumer Staple/Services 6,708 8.5 4.7

Financial/Interest Rate Sensitive 1,327 1.7 0.9

Healthcare 2,879 3.6 2.0

Insurance Companies 477 0.6 0.3

Leasing Companies 2,951 3.7 2.1

Media 1,643 2.1 1.2

Natural Resources 5,386 6.8 3.8

Real Estate/Reits 2,682 3.4 1.9

Retail 1,268 1.6 0.9

Technology 2,351 3.0 1.6

Telecommunications 1,078 1.4 0.8

Transportation 2,106 2.7 1.5

Utilities 7,492 9.5 5.3

Total $79,169 100.0% 55.5%

9

to provide the GIA portfolio with access to issuers and

attractive investment opportunities that we might not

otherwise see.

European leveraged loans are a part of our international bond

portfolio which totaled $18.3 billion or 12.8% of GIA assets.

Our international bond exposure has grown as we capitalize

on global opportunities. The holdings by region are shown in

the table below.

Structured securities

Another method of diversifying portfolio holdings is

through structured securities. Through structured securities,

investors gain exposure to a diversified pool of individual

assets, providing exposure to a range of borrowers, asset

types, regions and industries. This diversification across

multiple dimensions serves to reduce the aggregate credit

risk of these securities. Some of the primary risks of these

structured securities are related to the timing of cash flows.

If interest rates decline, borrowers may prepay or refinance

their higher coupon loans early. If interest rates rise, they

may retain their lower coupon loans longer. Either way,

the timing of expected cash flows can change, affecting

the value of the securities. For taking on this risk, investors

are rewarded with higher yields. Because investors have

different risk and return objectives, the structure of these

securities evolved from single-class securities into multiple

class securities offering access to different levels or periods

of cash flows in the pool. For example, a class may receive

all principal received in the early years until its class is paid

off, while other classes may receive principal in the latter

years, thus earning interest for a longer period of time.

There are numerous variations on these different classes,

but the key is that investors can select the class offering the

combination of features important to them.

Residential Mortgage-Backed Securities (RMBS) are one

of the earlier examples of a structured security, but are by

no means the only type. Due to market evolution, similar

products exist for a number of other collateral types,

including corporate bonds, leveraged loans, commercial

mortgage loans and other types of lending to businesses and

consumers. Of special note, securities backed by leveraged

loans are referred to as Collateralized Loan Obligations

(CLOs). Because we manage and invest in CLOs, we

have developed specialized analytic systems to help us

look through these structured securities at the underlying

collateral to facilitate evaluation and analysis. Purchase of

these securities for our portfolios arises naturally from the

consistent application of our value investment philosophy,

which seeks the most attractive risk/reward available from

the array of suitable investments.

GIA international bond diversification – By geographic region – December 31, 2014

RegionStatement Value

($ Millions)% of Total

GIA AssetsWestern Europe $5,099 3.6%

United Kingdom 4,970 3.5%

Australia/New Zealand 3,426 2.4%

Canada 1,933 1.4%

Asia 891 0.6%

Latin America 839 0.6%

Middle East/Africa 483 0.3%

Caribbean 351 0.2%

Eastern Europe 285 0.2%

$18,277 12.8%

10

In addition to our securitized exposure we invest in

residential mortgage loan pools. These are similar to

publicly traded mortgage pass-through securities, but

they are whole loans and not securitized. As a result,

they typically have higher yields than RMBS while also

providing more stable cash flows than the typical RMBS due

to the underlying loan characteristics. A great majority of the

$2.0 billion of loans underlying these pools have government

support from either the Federal Housing Administration or

Department of Veterans Affairs in addition to being secured

by homes.

Commercial real estate

Investing in commercial real estate offers another source

of attractive returns that are less correlated with other

asset sectors, while helping to diversify risks across a

wider variety of sources. Our affiliated asset manager,

Cornerstone, handles the vast majority of our real estate

investment management. Consistent with other members

of the investment management organization their goal is to

generate value for the policyowners.

Commercial mortgage loans (CMLs) are one of the three

primary methods we have for investing in the sector. CMLs

are secured by properties such as offices, warehouses,

apartments, shopping malls, and hotels. As shown in the

tables above, our year-end 2014 holdings of $18.3 billion or

12.8% of GIA assets are diversified geographically and by

property type and are typically secured against properties

with stabilized cash flows. The direct investments in CMLs

enable extensive up-front due diligence and offer the ability

to structure loan terms and covenants that can help mitigate

potential risks associated with future property performance.

Commercial mortgage loan diversification – December 31, 2014

Property TypeStatement Value

($ Millions) # Loans % Total Commercial

Mortgage Loans % Total GIA Assets Apartments $ 4,440 133 24.2 % 3.1 %

Hotels 1,858 35 10.1 1.3

Industrial 1,925 61 10.5 1.4

Office & Medical Office 6,509 93 35.5 4.6

Shopping Centers & Retail 2,131 50 11.6 1.5

Miscellaneous 1,457 27 8.0 1.0

$18,319 399 100.0 % 12.8 %

RegionStatement Value

($ Millions) # Loans % Total Commercial

Mortgage Loans % Total GIA Assets Northeast $3,606 50 19.7 % 2.5 %

Mid-Atlantic 2,420 48 13.2 1.7

Southeast 814 37 4.4 0.6

Midwest 2,533 60 13.8 1.8

Southwest 1,930 76 10.5 1.4

West 5,908 109 32.2 4.1

Canada 404 14 2.2 0.3

United Kingdom 704 5 3.8 0.5

$18,319 399 100.0 % 12.8 %

11

Utilizing our network of regional offices, we rely upon

commercial real estate professionals from both the debt

and equity disciplines to proactively monitor, identify and

assess local market trends. This same level of diligence and

surveillance is continued through the life of the loan with

a dedicated team of asset managers that closely monitors

the ongoing performance of the borrower in relation to the

markets and the borrower’s business plans.

We use a similar approach when investing in Commercial

Mortgage-Backed Securities (CMBS). We are opportunistic

participants in this sector, with a bias towards the highest

quality issues where we underwrite the underlying loans as

part of our analysis. Our approach has been to participate

* Schedule A real estate excludes Home Office properties of $168 million and includes $1,693 million of Schedule BA assets

** Statement value is net of reserves, depreciation and debt

Real estate equity diversification – December 31, 2014*

Property TypeStatement Value

($ Millions) ** # of Properties % of Total Real Estate % of Total GIA AssetsOffice $1,024 51 44.0% 0.7%

Hotel 253 17 10.9 0.2

Apartment 314 29 13.5 0.2

Retail 235 14 10.1 0.2

Ind./ Other 283 23 12.2 0.2

Land 217 11 9.3 0.2

$2,326 145 100.0 % 1.6%

RegionStatement Value

($ Millions) ** # of Properties % of Total Real Estate % of Total GIA AssetsNortheast $547 27 23.5% 0.4%

Mid-Atlantic 463 27 19.9 0.3

Southeast 257 22 11.0 0.2

Midwest 79 6 3.4 0.1

Southwest 173 21 7.4 0.1

West 378 30 16.3 0.3

Other 429 12 18.4 0.3

$2,326 145 100.0 % 1.6%

when conditions are favorable or when the opportunities

would complement our CML portfolio. At year-end 2014,

our CMBS holdings were $2.9 billion of which over 59%

were rated AAA by the major rating agencies and over 96%

were considered investment grade by the NAIC.

Overall, we have assembled a portfolio of CMLs and

CMBS to well-qualified borrowers whose loans are backed

predominantly by priority secured liens against properties

with stabilized cash flows. The fact that we can take direct

control of the underlying real estate in distressed situations

results in our emphasizing CMLs over CMBS, but both

play a part in constructing a diversified portfolio best able to

generate attractive long-term returns for the GIA.

12

Equity investments

While the investment strategy of the GIA is focused

predominately on high quality fixed income assets, the GIA

does have an appetite for equity assets, including equity

real estate. Equity investments provide another means for

investing in various issuers. Some benefits of equity investing

include the opportunity to capitalize on changing prospects for

companies and industries, to enjoy returns that are not highly

correlated with other asset classes, and to invest in issuers

or industries that don’t have much debt outstanding. While

not guaranteed, equity investments can provide some level

of inflation protection in their underlying value, an attractive

feature in the current environment. Many of the characteristics

of equity investments align with the long-term GIA goals, thus

we opportunistically seek value in our equity investing.

We invest in the public and private equity markets both held

directly and through limited partnerships. Publicly listed

shares are readily available and are fairly liquid, however the

Highest return is blue, second highest is green and third highest is red

* These asset classes are components of the larger Investment grade bond sector

Source: FactSet Research Systems Inc.

Asset class return history

typical investor is far removed from the senior management

of the enterprise. Conversely, private equity is less liquid,

requiring a longer-term focus, and is typically available in

a limited partnership or similar structure, thus limiting the

total number of company owners. Private equity increases

opportunities for us to be closer to the senior management of

the enterprise. As a result, private equity makes up the larger

portion of the equity portfolio and has provided significant

benefits for many years, both directly through ownership

and indirectly through attractive lending opportunities that

arise from these relationships.

At year-end 2014, we also had equity real estate

investments, directly and through funds and partnerships,

of $2.3 billion or 1.6% of GIA assets. Similar to mortgage

loans, equity real estate provides a source of return that is

less correlated with other classes and helps to diversify our

returns across a larger group of investments, minimizing the

impact of any one event.

Annualized Total Return

Asset Class 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 5 Yrs 10 YrsInvestment grade bonds 2.43 4.33 6.97 5.24 5.93 6.54 7.84 4.21 -2.02 5.97 4.10 4.74

Investment grade credit * 1.95 4.27 5.11 -3.08 16.04 8.47 8.35 9.37 -2.01 7.53 5.76 5.55

RMBS * 2.62 5.23 6.90 8.34 5.89 5.37 6.23 2.59 -1.41 6.08 3.45 4.74

High yield bonds 2.74 11.87 1.87 -26.16 58.21 15.12 4.98 15.81 7.44 2.45 7.93 7.82

Developing nation bonds 10.25 9.86 6.16 -12.03 29.82 12.24 7.35 17.44 -5.25 7.43 6.61 7.83

Bank loans 5.69 7.35 1.32 -28.75 44.87 9.97 1.82 9.44 6.15 2.06 5.84 4.71

Large cap equity 4.91 15.79 5.49 -37.00 26.46 15.06 2.11 16.00 32.39 13.69 13.98 7.81

Small cap equity 4.55 18.37 -1.57 -33.79 27.17 26.85 -4.18 16.35 38.82 4.89 12.92 8.27

International equity 14.02 26.86 11.63 -43.06 32.46 8.21 -11.73 17.90 23.29 -4.48 5.81 4.91

Equity real estate 8.29 34.35 -17.83 -37.34 27.45 27.58 7.28 20.14 3.21 30.43 14.06 8.74

Gold 21.39 -14.77 9.14 -15.82 17.27 30.97 -0.68 -20.41 -48.51 -17.15 -17.36 -6.39

3 month Treasury bill 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05 0.03 0.07 1.41

13

Investing in businesses that benefit our policyowners

MassMutual’s business structure is built to support our

mutuality. Our strategic investments in retirement, asset

management and international insurance businesses have

the potential to provide us with diverse sources of growth

and earnings that can help us grow capital and enhance our

dividend-paying ability. In addition, they allow us to offer a

broad spectrum of products and services to meet the financial

needs of our clients through various life stages.

Why are issuer and asset sector diversification so important?

We believe that diversification is a key component of our

strategy to generate competitive long-term returns for the

GIA while ensuring that we’re able to meet our obligations

to policyowners. A well-diversified GIA is a result of the

approach our investment professionals use to assess the

relative value of asset sectors and issuers as they make

investment decisions. While past returns may not be

replicated in the future, we believe it is prudent to review

past asset behavior as part of a framework for assessing

potential future outcomes.

The table on the preceding page features many of the asset

sectors in which we invest and their total returns for the past

10 years. Over relatively short time periods, an investor can

earn significant returns from certain asset classes; however,

these classes frequently experience reversals. This volatility

supports our approach of regularly participating in many of

these classes as buyers and sellers while focusing the core

of our portfolio on the more stable (primarily debt) asset

classes. Conversely, the more stable classes may not provide

enough return to grow our portfolio adequately. By investing

in a broad combination of these asset classes, we believe the

GIA is best able to deliver on the expectations placed upon it.

Earning your confidence

MassMutual operates in an extremely competitive financial services marketplace. Our primary objective continues to be maintaining the financial strength to fulfill our commitments to our policyowners and clients over the long-term. In support of that goal, we will continue to pursue the same value-driven investment philosophy that has served you so well. We think you will agree that doing business with MassMutual is a good decision.

We welcome your comments and questions. Please direct any inquiries to your MassMutual representative or your financial adviser, or feel free to submit them via our website at www.massmutual.com, which you can also explore for additional financial and investment information.

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© 2015 Massachusetts Mutual Life Insurance Company, Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. MassMutual Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) and its affiliated companies and sales representatives.