Omega Investments

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 that is run for
the benefit of its members and participating policyowners.1 MassMutual
offers a wide range of protection, accumulation, wealth management, and
retirement products and services.

Strength and stability
Our continued financial strength supports
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 in 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. The
company has been continually guided by one
consistent purpose: We help people secure their
future and protect the ones they love.

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 drawn primarily from our
investment subsidiary: Barings, a public and
private fixed income, real estate, and equity
manager with global investment expertise
and reach.
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.

Investment philosophy
MassMutual and Barings, the primary investment adviser for MassMutual’s
General Investment Account (GIA), share the same 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.

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 alternatives.
Through the regular application of this approach,
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 on 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 can produce 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. The continual review,
refinement, and application of our
investment process support
that objective.
Asset Class Statement Value
($ Millions)
% of Total
Invested Assets
Public Bonds3 $55,550 23.7%
Private Bonds 69,889 29.8
Equity4 1,867 0.8
Mortgage Loans5 24,419 10.4
Policy Loans 17,294 7.3
Real Estate Equity6 355 0.2
Partnerships & LLCs7 12,342 5.2
Short-Terms & Cash 5,255 2.2
Other Invested Assets8 47,882 20.4
$234,852 100.0%

Overview
The GIA consists primarily of assets that support
our insurance and retirement 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, asset
classes, and other dimensions of diversification.
Put another way, investment policies integrate
the liabilities’ return objectives, sensitivities
to changing economic conditions, 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. These cash flows
can differ based on their sensitivity to various
economic 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 asset portfolios with duration profiles
similar to those 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 and portfolio management processes.
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 might otherwise be unavailable. It is
important to remember that most derivatives
are collateralized, either directly with the
trade counterparty or indirectly through a
clearinghouse. 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
sales 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 both 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. The GIA maintains
a large share of its assets in 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 $1.5 billion commercial
paper program which permits it to borrow on
a short-term basis for various corporate needs
and $6 billion of secured borrowing capacity

with Federal Home Loan Bank of Boston (FHLB
Boston). While our liquidity planning does not
rely on the ability to issue commercial paper
or borrow from FHLB Boston, they add to our
financial flexibility.

Risk management
Portfolio, ALM, and liquidity analysis 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 ability of the borrower
to repay the interest and principle of the
loan, can impact the value of a bond.
• Default risk can impact the value
of a bond, even in the event of
eventual repayment.

Prepayment risk, or the risk of changes in
the timing of cash flows from a security,
can impact 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 employed to protect our portfolios
from adverse consequences that 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.

Portfolio construction
We employ a disciplined approach to portfolio construction.

Beginning with the potential universe of
securities as defined in the investment policy,
potential and current investments are viewed
through risk/reward and economic frameworks.
The former incorporates relative value and
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 portfolio returns.
Reflecting the conservative approach that 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
value 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 opportunities, we believe we
increase our awareness of and access to
attractive opportunities.
Finally, the regular cash flow of a debt
security helps provide the funds we use to
pay policyowner benefits and enables us to be
steady asset buyers in all market environments.
Consistent market participation across asset
classes promotes market intelligence. Other
asset classes in which we invest can provide
returns in the form of price appreciation,
dividends, earnings, or other distributions
that may, unlike the required coupon of a debt
security, fluctuate in value.

Sector overview: Putting it all together
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.

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,
credit 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 provide insight
into how we manage the bond portfolio. In the
table below, you will note the low absolute level
of exposure in the top 10 long-term 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 obligor
represents less than 0.2% of Total Invested
Assets, while the 10 largest long-term corporate
bond obligors combined are 1.0% of Total
Invested Assets. Our average exposure across
obligors remains relatively small as we maintain
broad diversification.

Products exist for a number of collateral
types, including corporate bonds, leveraged
loans, commercial mortgage loans, residential
mortgage loans, and other types of lending to
businesses and consumers. Securities backed by
leveraged loans are referred to as collateralized
loan obligations (CLOs). We manage and invest
in CLOs, and have developed specialized
analytic systems to help us look through these
structured securities to the underlying collateral
to facilitate evaluation and analysis. Purchase
of these instruments for our portfolios arises
naturally from the consistent application of
our value-driven investment philosophy, which
seeks the most attractive risk/reward available
from the array of suitable investments. 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 residential mortgage-backed
securities (RMBS) while providing more stable
cash flows than the typical RMBS. A majority
of the $4.3 billion of loans underlying these
pools have government support from either the
Federal Housing Administration or Department
of Veterans Affairs.
Commercial real estate
Investing in commercial real estate provides
another source of potentially attractive returns
that are less correlated with other asset classes
and helps to diversify risks across a wider
variety of sources. Our affiliated asset manager,
Barings, handles the vast majority of our real
estate investment management. Consistent with
other members of the investment management
organization, its 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 all major
property types including office, apartment,
retail, industrial, and hotel. As shown in the
charts on page 13, our year-end 2022 holdings
of $20.2 billion, or 8.7% of Total Invested
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. Using our network of regional
offices, we rely on 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 borrowers’
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 toward the highest quality
issues where we underwrite the underlying
loans as part of our analysis. We participate
when conditions are favorable or when the
opportunities would complement our CML
portfolio. At year-end 2022, our CMBS holdings
were $1.9 billion of which over 82.2% 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. As a result of our ability
to direct control of the underlying real estate
in distressed situations, we emphasize CMLs
over CMBS, but both play a part in constructing
a diversified portfolio best able to generate
attractive long-term returns for the GIA.
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 real estate equity.
Equity investments provide another means
for investing in diverse issuers. 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 returns on 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 to
have in the current environment. Many of
the characteristics of equity investments
align with the GIA’s long-term 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
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 in which we are investing. 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 2022, we also had real estate equity
investments, directly and through funds and
partnerships, of $1.1 billion or 0.5% of Total
Invested Assets. Similar to mortgage loans, real
estate equity provides a source of return that
is less correlated with other asset classes and
helps to diversify our returns across a larger
group of investments, minimizing the impact of
any one event.
Why are issuer and asset sector
diversification so important?
Diversification is a key component of our
strategy to generate competitive long-term
returns for the GIA and reduce idiosyncratic
risk, while ensuring that we are able to meet our
obligations to policyowners. A well-diversified
GIA results from the approach our investment
professionals take 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.

Earning your confidence
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