UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

  Investment Company Act file number   811-08274                                                                                                                                           

                                                     MassMutual Select Funds

                                             (Exact name of registrant as specified in charter)

100 Bright Meadow Blvd., Enfield, CT	06082
(Address of principal executive offices)	(Zip code)
Eric Wietsma
100 Bright Meadow Blvd., Enfield, CT	06082
(Name and address of agent for service)

  Registrant’s telephone number, including area code:   (860) 562-1000                        

  Date of fiscal year end:   9/30/2019                        

  Date of reporting period:     9/30/2019                    

Item 1. Reports to Stockholders.

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	5
Portfolio of Investments
MassMutual Select Total Return Bond Fund	74
MassMutual Select Strategic Bond Fund	86
MassMutual Select Diversified Value Fund	114
MassMutual Select Fundamental Value Fund	119
MM S&P 500® Index Fund	122
MassMutual Select Equity Opportunities Fund	130
MassMutual Select Fundamental Growth Fund	133
MassMutual Select Blue Chip Growth Fund	135
MassMutual Select Growth Opportunities Fund	139
MassMutual Select Mid-Cap Value Fund	141
MassMutual Select Small Cap Value Equity Fund	144
MassMutual Select Small Company Value Fund	147
MM S&P® Mid Cap Index Fund	151
MM Russell 2000® Small Cap Index Fund	158
MassMutual Select Mid Cap Growth Fund	181
MassMutual Select Small Cap Growth Equity Fund	185
MM MSCI EAFE® International Index Fund	190
MassMutual Select Overseas Fund	202
MassMutual Select T. Rowe Price International Equity Fund	205
Statements of Assets and Liabilities	212
Statements of Operations	224
Statements of Changes in Net Assets	236
Financial Highlights	250
Notes to Financial Statements	287
Report of Independent Registered Public Accounting Firm	338
Trustees and Officers (Unaudited)	340
Federal Tax Information (Unaudited)	345
Other Information (Unaudited)	346
Proxy Voting	346
Quarterly Reporting	346
Trustees’ Approval of Investment Advisory Contracts	346
Fund Expenses	350

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Select Funds. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.

Important Notice: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer, bank, or retirement plan recordkeeper). Instead, the reports will be made available on the Fund’s website (http://www.massmutual.com/funds), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you would like to receive shareholder reports and other communications electronically from the Fund and are either a direct investor in the Fund or MassMutual serves as your retirement plan recordkeeper, please call (800) 767-1000 extension 43012 or send your request to enroll to RSProspectusFulfillment@massmutual.com. If you have invested in the Fund through another financial intermediary (such as a broker-dealer, bank, or retirement plan recordkeeper), you can request electronic delivery by contacting that financial intermediary. Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest directly with the MassMutual Funds or MassMutual serves as your retirement plan recordkeeper, you can call (800) 767-1000 extension 43012 or send an email request to RSProspectusFulfillment@massmutual.com to inform the Funds or MassMutual that you wish to continue receiving paper copies of your shareholder reports. If you invest through a financial intermediary other than MassMutual, you can contact that financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held within the fund complex if you invest directly with a Fund.

MassMutual Select Funds – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that’s designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement.”

September 30, 2019

Despite economic slowdowns and political tensions, markets remained strong

I am pleased to present you with the MassMutual Select Funds Annual Report, covering the year ended September 30, 2019 (the “fiscal year” or the “period”). During the first three quarters of 2019, U.S. stocks experienced a good deal of volatility, as the White House led a protracted trade war against China, with tariffs being imposed on both sides. Nevertheless, total returns for domestic equities during the period were positive, although gains were more muted than in the prior fiscal year.

Recently, we have seen indications that the global economy appears to be slowing down. For example, Chinese industrial production dropped to its lowest level since 2002 in August 2019, while the country’s retail sales slowed by more than 2%. The European Union also showed signs of weakness, with the German economy contracting by 0.1% in the second quarter of 2019. Foreign stocks in developed markets trailed their domestic counterparts for the period and lost a bit of traction for the year, but generally outpaced their emerging-market competitors.

U.S. consumer spending, which is key for the U.S.’s consumption-led economy, remained a bright spot, as retail sales continued to post strong gains throughout the year. Nevertheless, the temporary inversion of the U.S. yield curve troubled investors. That is because historically, yield curve inversions, which occur when short-term interest rates are higher than their long-term counterparts, have often signaled an impending recession.

In a turnaround from 2018, bond investors in the United States experienced strong returns during fiscal year 2019, outperforming stocks for the first time in years. This was largely due to the U.S. Federal Reserve’s actions on interest rates, with its Federal Open Market Committee lowering rates twice in 2019 in an effort to stabilize the economy.

In MassMutual’s view, savvy retirement investors maintain a long-term perspective when planning for the future. As a result, they understand that current headlines ordinarily have limited impact on their retirement planning. We also believe that individuals who follow certain investment guidelines, such as the ones below, may help themselves prepare for a stronger financial future.

Suggestions for retirement investors under any market conditions

View time as your ally

Investing for retirement is a decades-long process for most people. The financial markets will be volatile from time to time, but many patient investors who have taken a long-term approach have managed to ride out the downturns and have successfully grown their account balances and reached their retirement goals over time.

Save as much as possible

Of course, you cannot control – or predict the direction of – the investment markets. But you can control how often and how much you contribute to your retirement savings account. Saving as much as possible and increasing your contributions regularly is one way smart retirement investors know they can help themselves reach their retirement income goals, regardless of how markets perform.

(Continued)

1

MassMutual Select Funds – President’s Letter to Shareholders (Unaudited) (Continued)

Continue to invest

Seasoned investors believe that “down” markets offer the potential to be rewarded by amassing larger positions at more favorable prices, as compared to investors who do not continue to invest when the market is down. That is why many financial professionals believe it is important to stay in the market, regardless of near-term results.

Monitor your asset allocation and diversify*

Stocks, bonds, and short-term/money market investments typically behave differently from one another depending upon the economic and market environment. Those broad investment types contain an even greater array of sub-categories (such as small-cap stocks, international stocks, high-yield bonds, etc.). Many financial experts believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.

Choose the investments you feel are right for you – and seek professional guidance

Many financial advisors suggest that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.

If you work with a financial professional, you may wish to consider reaching out to him or her to help ensure:

• you are saving enough for retirement;

• your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as on your investment time horizon; and

• you are taking the right steps to help reduce your longevity risk, which is related to the chance that your retirement savings could “run out” during your lifetime.

Retirement is a moment you plan for

MassMutual believes that retirement planning is not about crunching numbers – it’s about those moments when it all pays off. The more you plan for life’s greatest moments, the more you can relax and enjoy them. That is why our ongoing commitment is to help people financially protect their families today, so they can put themselves on the path to a more secure retirement. When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that is designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement. Thank you for your continued confidence and trust in MassMutual.

Sincerely,

Eric Wietsma

President

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA. All rights reserved. www.massmutual.com Underwriter: MML Distributors, LLC (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 100 Bright Meadow Blvd., Enfield, CT 06082. MMLD is a wholly-owned subsidiary of MassMutual. Investment advisory services provided to the Funds by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of MassMutual. The information provided is the opinion of MML Advisers as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

*Diversification and asset allocation do not ensure a profit or protect against loss in a declining market.

2

MassMutual Select Funds Annual Report – Economic and Market Overview (Unaudited)

September 30, 2019

Market Highlights

• For the reporting period from October 1, 2018 through September 30, 2019, U.S. stocks ended slightly higher, though they hit record levels in late July.

• Global economic optimism faded during the period under the weight of global and domestic political tensions, mixed economic results, and the impact of existing tariffs and rhetoric threatening additional tariffs.

• The Federal Open Market Committee (FOMC), in response to slowing global growth, announced two rate decreases in 2019 after one rate hike in December 2018.

• Foreign stocks in developed markets and emerging markets saw losses over the reporting period, aggravated by a strengthening U.S. dollar.

• U.S. bond investors enjoyed positive returns in a falling yield environment fueled by rate decreases and supportive central bank policy.

Market Environment

U.S. equity investors watched stock markets move mostly sideways for the fiscal year beginning October 1, 2018. U.S. stocks fell sharply in the first quarter of the period, suffering their worst quarterly decline in nearly a decade. They rebounded during the remaining quarters and crossed into record territory in late July 2019, but succumbed to volatility and uncertainty fueled by slowing global economic growth indicators and ongoing trade war acrimony between the U.S. and China. Both the S&P 500^® Index* (S&P 500) and the Dow Jones Industrial Average^SM (Dow) ended the fiscal year only slightly ahead of where they started.

Global economic growth seemed to slow with less synchronized and more restrained economic indicators than in the recent past. The U.S. economy has shown signs that it may be in the late stages of the current business cycle. For example, a tightening labor market typically results in low unemployment rates, but tends to drive up wage growth, putting pressure on corporate earnings. Declining unemployment claims may point to a nearer-term plateau in employment growth. Mixed signals in housing data also tend to be consistent with late cycle trends. As a result, pundits’ speculation about recession has begun to emerge. Consensus still deems the risk of near-term recession to be low, but more possible than in recent years.

Global and domestic political tensions fueled market volatility throughout 2019. The U.S. threatened and imposed tariffs on Chinese goods, which prompted retaliatory responses from China. On-again, off-again trade talks added further turbulence. In Great Britain, negotiations for a Brexit deal broke down threatening a “no-deal” Brexit, which could create serious trade obstacles in Europe. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) At the end of the reporting period, parties were no closer to a deal, despite the looming October 31, 2019 deadline. Domestically, political rancor between the White House and the Democratic-led House of Representatives culminated in a call for the launch of a formal impeachment inquiry at the end of September. There does not appear to be an end in sight for the current political battles.

With these various tensions at play, the FOMC not only halted their previously announced calendar of rate hikes, but tapped the brakes and reduced rates twice during the period. Bond investors enjoyed some of the best returns they have seen in recent years, as bond indexes generally outperformed stock indexes for the period.

The broad market S&P 500 delivered a modest 4.25% return for the fiscal year. The Dow followed a similar pattern to end the period with a 4.21% advance. The technology-heavy NASDAQ Composite Index, which led returns in the last fiscal year, rose just over one-half of one percent for the period. Small- and mid-cap stocks underperformed their larger peers, as small-caps lagged significantly. Growth stocks outperformed their value counterparts during the period, although value investors enjoyed a resurgence toward the end of the fiscal year.

Six of 11 sectors in the S&P 500 delivered positive returns for the reporting period, led by the utilities, real estate, and consumer staples sectors, which all enjoyed double-digit growth and beat the S&P 500. The energy sector was the worst laggard for the fiscal year. The financials, materials, industrials, and health care sectors also ended in negative territory.

3

MassMutual Select Funds Annual Report – Economic and Market Overview (Unaudited) (continued)

Developed international markets, as measured by the MSCI EAFE^® Index, not only trailed their domestic peers during the period, but also ended the fiscal year in negative territory, down 1.34%. Developed international markets struggled to gain traction under the weight of a strengthening U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and trade war rhetoric. Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended down 2.02% for the period.

Bond yields rose during the fiscal year, with the 10-year U.S. Treasury bond crossing the 3.00% threshold for a short period in November 2018 before dropping back to 1.68% at the close of the period. Falling yields generally produce rising bond prices; therefore, bond index returns benefited. The Bloomberg Barclays U.S. Aggregate Bond Index ended the period up 10.30%. High-yield corporate bonds did not fare as well, but ended in positive territory. The Bloomberg Barclays U.S. Corporate High Yield Index advanced 6.36% by the end of the fiscal year.

Review and maintain your strategy

At MassMutual, we help people look out for those they love. We believe planning and saving for retirement continues to be an important and urgent challenge for many of our customers. Investing in stock and bond mutual funds can play an important role in helping build a stable source of retirement income that allows investors the freedom to retire any way they’d like. Maintaining a long-term perspective and setting realistic expectations about the future performance of your investment portfolio is very important. Financial markets can behave unpredictably. Our multi-managed and subadvised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level in changing markets, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.

The information provided is the opinion of MML Investment Advisers, LLC as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

* Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment.

4

MassMutual Select Total Return Bond Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Total Return Bond Fund, and who is the Fund’s subadviser?

The Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in a diversified portfolio of investment grade fixed income securities (rated Baa3 or higher by Moody’s, BBB- or higher by Standard & Poor’s, BBB- or higher by Fitch, or A-2 by S&P, P-2 by Moody’s, or F-2 by Fitch for short-term debt obligations, or, if unrated, determined by the Fund’s subadviser to be of comparable quality). The Fund’s subadviser is Metropolitan West Asset Management, LLC (MetWest).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 10.42%, outperforming the 10.30% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the year ended September 30, 2019, the Fund’s underweight allocation, relative to the benchmark, to the lagging energy and commodity-related sectors helped drive the Fund’s outperformance. Issue selection among investment-grade corporate bonds emphasizing communications and financials (particularly wirelines, real estate investment trusts, and property & casualty insurance) also contributed to relative returns. Issue selection within non-agency MBS supported returns, as the sector continued to benefit from solid demand and generally favorable housing fundamentals (i.e., steady, albeit slowing, home price appreciation). (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.) The Fund’s CMBS selections favoring seasoned issues and single asset/single borrower deals further benefited the Fund on the margin.

The Fund’s allocation to lagging high-yield corporate bonds as well as issue selection among adjustable-rate government guaranteed student loan ABS dragged on performance. Both underperformed amid the lower interest rate environment.

The Fund’s duration profile contributed modestly to the Fund’s performance. The Fund’s duration position shortened from slightly long compared to the benchmark to a neutral stance toward the end of the period. (Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the bond or portfolio when interest rates rise or fall.)

The Fund utilized derivatives to manage duration and yield curve, which had no material impact on performance for the reporting period. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.

Subadviser outlook

Following a prolonged, somewhat underwhelming, expansion, MetWest has increasingly viewed current market conditions as late cycle, with a characteristic slowing pace of growth. Given the tightening posture of the Federal Reserve between late 2016 and early 2019 – nine rate hikes and significant balance sheet reduction – MetWest is not surprised that activity has slowed down somewhat. In particular, it believes a flatter yield curve reduces the incentives for financial intermediaries to expand lending books. (The yield curve is a graph showing the term structure of interest rates by plotting the yields of all bonds of comparable quality with maturities ranging from the shortest – typically one month – to the longest – typically 30 years – available. The resulting curve shows whether short-term interest rates are higher or lower than long-term rates.) MetWest also believes that trade policy uncertainty may lead to deferring of capital investment as business confidence weakens and falling U.S. manufacturing production volume puts downward pressure on potential growth.

MetWest continues to emphasize a cyclically aware philosophy designed to mitigate the effects of a more challenging downturn. The Fund maintains a defensive credit stance, while favoring senior parts of securitized products. MetWest has positioned the Fund to expand the risk budget when it believes long-term expected returns are more favorable.

5

MassMutual Select Total Return Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Total Return Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/19
U.S. Government Agency Obligations and Instrumentalities	35.9	%
Corporate Debt	26.9	%
U.S. Treasury Obligations	23.8	%
Non-U.S. Government Agency Obligations	14.7	%
Mutual Funds	2.1	%
Municipal Obligations	1.5	%
Bank Loans	0.9	%
Sovereign Debt Obligations	0.2	%
Total Long-Term Investments	106.0	%
Short-Term Investments and Other Assets and Liabilities	(6.0	)%
Net Assets	100.0	%

6

MassMutual Select Total Return Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 07/06/2010	Since Inception 04/01/2014
Class I	07/06/2010	10.42%	3.35%	3.62%
Class R5	07/06/2010	10.32%	3.25%	3.49%
Service Class	07/06/2010	10.24%	3.14%	3.39%
Administrative Class	07/06/2010	10.10%	3.05%	3.29%
Class R4	07/06/2010	9.96%	2.89%	3.16%
Class A	04/01/2014	9.89%	2.80%		2.84%
Class A (sales load deducted)*	04/01/2014	5.22%	1.91%		2.03%
Class R3	07/06/2010	9.63%	2.63%	2.90%
Bloomberg Barclays U.S. Aggregate Bond Index		10.30%	3.38%	3.47%	3.48%

* Class A (sales load deducted) returns include the 4.25% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

7

MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Strategic Bond Fund, and who are the Fund’s subadvisers?

The Fund seeks a superior total rate of return by investing in fixed income instruments. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in U.S. dollar-denominated fixed income securities and other debt instruments of domestic and foreign entities, including corporate bonds, securities issued or guaranteed as to principal or interest by the U.S. Government or its agencies or instrumentalities, mortgage-backed securities, and money market instruments. The Fund’s subadvisers are Western Asset Management Company (Western Asset) and its affiliate, Western Asset Management Company Limited (Western Asset Limited). Western Asset Limited manages the non-U.S. dollar denominated investments of the Fund.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 12.20%, outperforming the 10.30% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund had more interest rate exposure (duration) than the benchmark, which was a significant contributor to performance as interest rates fluctuated, but ultimately fell significantly from the beginning to the end of the period.

Over the period, U.S. Treasury (UST) yields traded in a wide range, and multiple sections of the UST yield curve inverted. (The yield curve is a graph showing the term structure of interest rates by plotting the yields of all bonds of comparable quality with maturities ranging from the shortest – typically one month – to the longest – typically 30 years – available. The resulting curve shows whether short-term interest rates are higher or lower than long-term rates.) When a yield curve inverts, the yields of shorter-term securities generally stay higher than those of longer-term issues. The Fund’s yield curve positioning, which was biased towards an environment anticipating a flattening yield curve, detracted from returns.

After a period of dramatic spread widening in late 2018, most spread sectors (i.e., investment-grade corporate bonds and other non-Treasury bonds) saw their spreads (meaning the differences in yields between comparable Treasury and non-Treasury securities) tighten in the first nine months of 2019. As such, both investment-grade and high-yield credit exposures, as well as structured product exposures, contributed positively to performance, as they saw spreads generally tighten. Other contributors to the Fund’s performance included its exposure to non-U.S. developed markets. In particular, the Fund’s short position in the euro currency aided performance, as the euro declined almost 6% relative to the U.S. dollar (USD) over the period.

Emerging-market exposures, in particular the Fund’s local currency-denominated positions, detracted from performance over the period, given the persistent strength of the USD. USD-denominated emerging-market positions also detracted in light of continued concerns over trade tensions and the global growth outlook. The Fund used derivative instruments mainly for hedging purposes during the period, including adjusting duration and term structure exposures. (Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.) The portfolio also used currency futures, forwards, and options to adjust exposure to various foreign currencies. Currency forwards and futures are derivatives that lock in the price at which an investor can buy or sell a currency on a future date. Interest rate swaps were also utilized during the period to help manage the overall interest rate sensitivity of the Fund, and to manage against anticipated changes in interest rates. Single-name credit default swaps, as well as high-yield and investment-grade index swaps (CDX), were used to manage the Fund’s high-yield and investment-grade corporate bond exposures. Overall, the Fund’s use of derivatives had a negative impact on performance during the period.

8

MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Western Asset believes global growth could prove to be resilient. It remains encouraged by the ongoing strength of the consumer globally and the enormous amount of monetary stimulus supplied by both developed-market and emerging-market central banks. Western Asset believes that the combined weight of these two forces could truncate downside growth risks as we move toward 2020. Western Asset’s estimate for U.S. growth in 2019 runs between 2.0% and 2.25%, and it was encouraged by a recent rebound in consumer spending and a tentative improvement in manufacturing data. While Western Asset believes there are many downside risks and some countries might be at the brink of a technical recession, it believes that the market has become too pessimistic and that growth has the potential to recover modestly next year.

9

MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Strategic Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/19
U.S. Government Agency Obligations and Instrumentalities	36.9	%
Corporate Debt	28.9	%
U.S. Treasury Obligations	12.7	%
Non-U.S. Government Agency Obligations	10.8	%
Sovereign Debt Obligations	6.7	%
Bank Loans	3.3	%
Purchased Options	0.3	%
Mutual Funds	0.3	%
Municipal Obligations	0.0	%
Total Long-Term Investments	99.9	%
Short-Term Investments and Other Assets and Liabilities	0.1	%
Net Assets	100.0	%

10

MassMutual Select Strategic Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	12.31%	4.28%		4.42%
Class R5	12/31/2004	12.20%	4.16%	5.13%
Service Class	12/31/2004	12.02%	4.06%	5.05%
Administrative Class	12/31/2004	11.91%	3.94%	4.92%
Class R4	04/01/2014	11.82%	3.80%		3.94%
Class A	12/31/2004	11.72%	3.70%	4.66%
Class A (sales load deducted)*	12/31/2004	6.97%	2.80%	4.21%
Class R3	12/31/2004	11.48%	3.52%	4.43%
Bloomberg Barclays U.S. Aggregate Bond Index		10.30%	3.38%	3.75%	3.48%

* Class A (sales load deducted) returns include the 4.25% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

11

MassMutual Select Diversified Value Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Diversified Value Fund, and who are the Fund’s subadvisers?

The Fund seeks to achieve long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of larger, well-established companies. The Fund invests primarily in stocks of companies that the subadvisers believe are undervalued in the marketplace. While the Fund does not limit its investments to issuers in a particular capitalization range, the subadvisers currently focus on securities of larger size companies. The Fund normally invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in stocks, securities convertible into stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 36% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 64% of the Fund’s portfolio, as of September 30, 2019.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 1.48%, underperforming the 4.00% return of the Russell 1000^® Value Index (the “benchmark”), which measures the performance of the large-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. It is market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Brandywine Global notes that the economic expansion is now in its eleventh year – the longest in U.S. history. Over the past few years, investors have preferred higher-valuation growth-style companies. This continues to be a strong headwind for the Brandywine Global component of the Fund, since Brandywine Global focuses on lower-valuation companies.

Brandywine Global sold many of the Fund component holdings that had risen in price at higher valuations earlier in the year. These included names such as discount retailers Dollar General and Walmart, and consumer products distributor Procter & Gamble. Share prices for these companies continued to rise as investors were willing to continue paying higher multiples for earnings and sales growth. This detracted from the relative performance of the Brandywine Global Fund component, as these former Fund component holdings continued to gain momentum after the sale. In the low interest rate environment in the U.S., many investors have used the higher-yielding utility and real estate investment trust (REIT) sectors as a proxy for bonds, causing share prices of companies in these sectors to increase. This also detracted from the Fund component’s relative performance, due to its underweight allocation to these expensive issues.

During the year, Brandywine Global maintained large overweight allocations in the financials and technology sectors, which provided yield at a much more reasonable valuation level, and lowered the overall risk profile of the Fund component. Brandywine Global believes owning companies like insurance and investment management provider Prudential Financial, Wells Fargo bank, and multinational information technology company IBM – which have dividend yields over 4% and are trading below 11 times earnings – is less risky than owning issuers like Welltower and Ventas, both of which are REITs trading well above 50 times trailing 12-month earnings, or even FirstEnergy, which is a utility with a price-earnings ratio in the low 20s and a much lower dividend yield.

Within the T. Rowe Price component of the Fund, stock selection in the materials sector was the largest detractor from relative performance. Shares of DuPont de Nemours traded lower, as this Fund component holding lagged due to falling commodity chemical input prices and slowing demand in end markets. Stock choices and an underweight allocation in the real estate sector also detracted from relative results for the period. Shares of SL Green Realty, a REIT that primarily invests in office buildings and shopping centers in New York City, fell amid concerns about new market entrants and an increase in office inventory in the Big Apple, which could weigh on future rent prices. The industrials sector was the leading relative outperformer, driven primarily by stock selection. L3Harris Technologies, an American technology company and defense contractor, benefited from cost synergies following the recently completed merger of L3 and Harris, and from a general uptick in defense spending. Fund component holdings in the consumer staples sector also aided relative results, due to favorable stock choices. For example, Tyson Foods benefited, as its strong chicken and prepared foods segment margins drove its solid performance.

12

MassMutual Select Diversified Value Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Brandywine Global notes that many of its concerns from last year continue to persist, including slowing global growth, Brexit uncertainty, and trade tensions – and now, even the risk of recession in the U.S. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) While Brandywine Global cannot forecast the exact timing or outcome of these events or their impact on asset prices, it remains confident in its bottom-up stock selection and investment process. The Brandywine Global Fund component has increased its cyclical bias, and at the end of the reporting period held a larger overweight position in industrial stocks, while maintaining its large overweight position in technology.

T. Rowe Price believes that geopolitical uncertainty could continue to serve as a headwind for U.S. equities. In particular, T. Rowe Price believes that protracted U.S.-China trade tensions and U.S. political risks could result in market choppiness – but that U.S. economic data remain generally favorable, which, in tandem with a resilient economy, buoyed by Federal Reserve stimulus, has the potential to serve as a backbone for equity markets.

13

MassMutual Select Diversified Value Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 9/30/19
JP Morgan Chase & Co.	4.1	%
Wells Fargo & Co.	3.4	%
Johnson & Johnson	3.1	%
Verizon Communications, Inc.	2.8	%
Comcast Corp. Class A	2.4	%
Apple, Inc.	2.3	%
Exxon Mobil Corp.	2.3	%
Bank of America Corp.	1.8	%
Chubb Ltd.	1.8	%
Intel Corp.	1.8	%
	25.8	%

MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 9/30/19
Financial	29.3	%
Consumer, Non-cyclical	17.8	%
Industrial	11.5	%
Technology	11.1	%
Energy	9.0	%
Communications	7.3	%
Consumer, Cyclical	4.9	%
Utilities	4.8	%
Basic Materials	2.7	%
Mutual Funds	1.0	%
Total Long-Term Investments	99.4	%
Short-Term Investments and Other Assets and Liabilities	0.6	%
Net Assets	100.0	%

14

MassMutual Select Diversified Value Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	1.59%	7.93%		8.07%
Class R5	10/15/2004	1.48%	7.82%	11.33%
Service Class	10/15/2004	1.40%	7.71%	11.23%
Administrative Class	10/15/2004	1.29%	7.61%	11.11%
Class R4	04/01/2014	1.18%	7.46%		7.60%
Class A	10/15/2004	1.03%	7.34%	10.82%
Class A (sales load deducted)*	10/15/2004	-4.52%	6.14%	10.19%
Class R3	10/15/2004	0.91%	7.18%	10.56%
Russell 1000 Value Index		4.00%	7.79%	11.46%	7.99%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

15

MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Fundamental Value Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term total return by investing primarily in equity securities of issuers that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities, with a focus on companies with large market capitalizations (which the subadvisers believe are generally above $1 billion). The Fund’s subadvisers are Boston Partners Global Investors, Inc. (Boston Partners), which managed approximately 49% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 51% of the Fund’s portfolio, as of September 30, 2019. Effective February 5, 2019, Boston Partners replaced Wellington Management Company LLP (Wellington Management) as a subadviser of the Fund.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned -0.13%, underperforming the 4.00% return of the Russell 1000^® Value Index (the “benchmark”), which measures the performance of the large-cap value segment of U.S. equity securities. It includes the Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. It is market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the year ended September 30, 2019, within the Barrow Hanley component of the Fund, stock selection within the underperforming health care sector detracted from relative performance, although an underweight allocation to the sector, relative to the benchmark, mitigated some of the negative effect. The Fund component’s stock selection within the financials sector also hindered performance, as did stock selection within and allocation to the consumer staples sector. Fund component holdings that detracted from performance included bank holding company State Street, EOG Resources, a company engaged in hydrocarbon exploration, and health care company UnitedHealth Group. Barrow Hanley eliminated the Fund component’s position in State Street during the period.

Stock selection within the consumer discretionary sector as well as allocation to, and stock selection within, the information technology sector added to the Barrow Hanley Fund component’s relative performance. Stock selection within the materials sector also benefited performance. The top holdings in the Barrow Hanley Fund component were discount retailer Target Corporation; Qualcomm, which designs and markets wireless telecommunications products and services; and discount retailer Dollar General.

Boston Partners became a subadviser of the Fund on February 5, 2019. For the period from February 5, 2019 to September 30, 2019, the Boston Partners Fund component’s underweight allocation to the utilities sector and real estate investment trusts (REITs) along with an overweight stake in the health care sector detracted from relative performance. Fund component holdings in the health care, technology, and consumer services sectors also detracted from relative performance. In health care, insurers Cigna and Anthem underperformed, as investors tried to weigh the possibility of nationalized health care and the potential impact on the for-profit health insurance industry. Fund component holding DXC Technology, an IT services company, detracted from relative returns after the company announced better revenues than feared, but at the expense of lower operating margins. As a result, Boston Partners reduced its position in DXC Technology during the period. In consumer services, broadcaster Fox Corp was a Fund holding that detracted from relative performance, even though the company beat earnings expectations and raised guidance for 2020. Investors appear to be wary of the long-term value of broadcasters in this multimedia world.

During the portion of the year that Wellington Management served as a subadviser of the Fund (October 1, 2018–February 4, 2019), security selection drove the Wellington Management Fund component’s relative underperformance. Weak selection in the consumer staples, consumer discretionary, and industrials sectors detracted from relative results, although this was partially offset by stronger selection in the communication services, information technology, and energy sectors. Sector allocation, which is a byproduct of Wellington Management’s bottom-up stock selection process, also weighed on relative performance. The Fund component’s underweight positions in the real estate and utilities sectors, and an overweight to the energy sector, detracted from

16

MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Unaudited) (Continued)

relative results. Fund component holdings that detracted meaningfully from relative performance included EOG Resources and Qualcomm. Shares of energy company EOG Resources tumbled at the end of 2018 due to lower oil prices, which impacted the company’s cash flow. IT giant Qualcomm’s shares declined during the period after an announcement that the company expected to lose an FTC court case, which may cut the company’s licensing revenue and earnings potential. Wellington Management’s decision not to hold benchmark constituent Procter & Gamble also weighed on relative results. Fund component holdings that were top contributors to relative performance included Eversource Energy and Eli Lilly. Eversource is a U.S.-based public utility holding company that continued to execute well and benefit from an increasing push into offshore wind. Shares of Eli Lilly, a U.S.-based pharmaceutical company, advanced as the company provided data that its mid-stage diabetes drug tirzepatide showed unprecedented efficacy in lowering blood glucose levels and inducing weight loss in diabetics.

Subadviser outlook

Barrow Hanley believes that investor preference trends tend to run in long cycles and that inflection points are often difficult to identify, and usually only in hindsight. For example, coming out of the global financial crisis in 2009, most investors were fearful and a tilt toward growth stocks seemed risky. Few could predict we would see a decade of ever-lower interest rates and U.S. Federal Reserve-engineered liquidity that would spur outperformance in growth companies over value companies for the ensuing decade. Barrow Hanley believes that investors have grown accustomed to ultra-low interest rates and high equity returns propelled by a select group of technology stocks. Timing inflection points in style dominance is very difficult, but Barrow Hanley remains convinced that valuation matters – and it remains committed to the traditional value process.

Going into the next period, Boston Partners has increased its Fund component’s exposure to the finance and technology sectors, and reduced its allocations to the health care and industrials sectors. It initiated a position in bank JPMorgan and increased its stakes in two other banks – Wells Fargo and Bank of America. Boston Partners also added semiconductor capital equipment companies KLA Corp. and Lam Research, on its view that prospects for 2020 appear to be improving. In the health care sector, Boston Partners eliminated Fund component holding Johnson & Johnson from the portfolio, due to uncertainty around opioid litigation. It also sold commodity chemical company Dow due to a weakening earnings outlook. Boston Partners believes that over time, its Fund component will benefit from this focus on companies with low valuation, high quality, and improving business momentum.

17

MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Fundamental Value Fund Largest Holdings (% of Net Assets) on 9/30/19
Comcast Corp. Class A	2.7	%
Berkshire Hathaway, Inc. Class B	2.6	%
JP Morgan Chase & Co.	2.6	%
Wells Fargo & Co.	2.6	%
Medtronic PLC	2.3	%
Chubb Ltd.	2.2	%
United Technologies Corp.	2.0	%
Oracle Corp.	1.9	%
Bank of America Corp.	1.8	%
Verizon Communications, Inc.	1.8	%
	22.5	%

MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 9/30/19
Financial	26.4	%
Consumer, Non-cyclical	15.5	%
Industrial	11.9	%
Energy	10.1	%
Communications	9.4	%
Consumer, Cyclical	8.7	%
Technology	7.2	%
Utilities	4.5	%
Basic Materials	4.5	%
Total Long-Term Investments	98.2	%
Short-Term Investments and Other Assets and Liabilities	1.8	%
Net Assets	100.0	%

18

MassMutual Select Fundamental Value Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 11/15/2010	Since Inception 04/01/2014
Class I	11/15/2010	-0.07%	6.43%		10.04%
Class R5	12/31/2001	-0.13%	6.33%	9.95%
Service Class	12/31/2001	-0.25%	6.23%	9.88%
Administrative Class	12/31/2001	-0.36%	6.12%	9.73%
Class R4	04/01/2014	-0.47%	5.99%			6.24%
Class A	12/31/2001	-0.58%	5.87%	9.46%
Class A (sales load deducted)*	12/31/2001	-6.05%	4.68%	8.85%
Class R3	12/31/2002	-0.77%	5.71%	9.23%
Russell 1000 Value Index		4.00%	7.79%	11.46%	11.37%	7.99%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

19

MM S&P 500^® Index Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MM S&P 500^® Index Fund, and who is the Fund’s subadviser?

The Fund seeks to approximate as closely as practicable (before fees and expenses) the capitalization-weighted total rate of return of that portion of the U.S. market for publicly-traded common stocks composed of larger-capitalized companies. Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included within the S&P 500^® Index* (the “Index”), in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

* The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MML Advisers. Standard & Poor’s^®, S&P^® and S&P 500^® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MML Advisers. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Index.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Service Class shares returned 3.84%, underperforming the 4.25% return of the Index, which measures the performance of 500 widely held stocks in U.S. equity market.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Generally, the Fund’s underperformance versus the Index was mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses and it is not possible to invest directly in the Index.

The top-performing sectors within the Index were utilities, real estate, and consumer staples, returning 27.1%, 24.7%, and 16.9%, respectively. These higher-dividend-paying, more defensive sectors of the market benefited from the low interest rate environment during the year and performed particularly well in those months when investors sought to reduce their risk exposure in the market.

Energy and health care were the worst-performing sectors for the period, with returns of -19.2% and -3.6%, respectively. The energy sector was hit hard in the fourth quarter of 2018, as crude oil prices collapsed, and then continued fluctuating through 2019 on global growth concerns and trade uncertainty. The health care sector was negatively impacted throughout the year from the threat of stricter regulations and political headline risk.

Subadviser outlook

NTI believes that global equity returns could be below long-term historical averages – a consequence of the slow-growth environment. NTI believes that developed-market equities will provide annualized returns in the mid-single-digit range. Valuations, which in its opinion remain elevated, have moved to more reasonable levels over the past few years. NTI estimates that valuations could still move slightly lower in the later stages of this economic expansion, but believes that they should remain within a higher structural range, supported by low interest rates and milder economic cycles. In its view, late-cycle margin pressures will be similarly muted by low inflation and interest rates, allowing for modest earnings growth.

20

MM S&P 500^® Index Fund – Portfolio Manager Report (Unaudited) (Continued)

MM S&P 500 Index Fund Largest Holdings (% of Net Assets) on 9/30/19
Microsoft Corp.	4.3	%
Apple, Inc.	3.9	%
Amazon.com, Inc.	2.9	%
Facebook, Inc. Class A	1.7	%
Berkshire Hathaway, Inc. Class B	1.7	%
JP Morgan Chase & Co.	1.5	%
Alphabet, Inc. Class C	1.5	%
Alphabet, Inc. Class A	1.5	%
Johnson & Johnson	1.4	%
The Procter & Gamble Co.	1.3	%
	21.7	%

MM S&P 500 Index Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	21.7	%
Financial	17.9	%
Technology	17.4	%
Communications	14.9	%
Industrial	9.2	%
Consumer, Cyclical	8.6	%
Energy	4.5	%
Utilities	3.6	%
Basic Materials	2.2	%
Mutual Funds	0.1	%
Total Long-Term Investments	100.1	%
Short-Term Investments and Other Assets and Liabilities	(0.1	)%
Net Assets	100.0	%

21

MM S&P 500^® Index Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 12/07/2011	Since Inception 04/01/2014
Class I	12/07/2011	4.17%	10.71%		13.88%
Class R5	05/01/2001	4.05%	10.60%	13.00%
Service Class	03/01/1998	3.84%	10.42%	12.79%
Administrative Class	03/01/1998	3.77%	10.32%	12.71%
Class R4	03/01/1998	3.61%	10.16%	12.52%
Class A	04/01/2014	3.46%	10.04%			10.26%
Class A (sales load deducted)*	04/01/2014	-2.23%	8.80%			9.13%
Class R3	12/31/2002	3.34%	9.88%	12.22%
S&P 500 Index		4.25%	10.84%	13.24%	14.00%	11.05%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

22

MassMutual Select Equity Opportunities Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Equity Opportunities Fund, and who are the Fund’s subadvisers?

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of U.S. companies that the Fund’s subadvisers believe are financially sound, valued conservatively by the market, and have improving prospects. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 29% of the Fund’s portfolio; and Wellington Management Company LLP (Wellington Management), which managed approximately 71% of the Fund’s portfolio, as of September 30, 2019.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 10.76%, outperforming, by a wide margin, the 3.87% return of the Russell 1000^® Index (the “benchmark”), which measures the performance of the large-cap segment of U.S. equity securities. It is a subset of the Russell 3000^® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Within the Wellington Management component of the Fund, strong stock selection drove relative results, particularly within the consumer discretionary, financials, and health care sectors. The Fund component’s overweight allocation, relative to the benchmark, to consumer staples and real estate and its avoidance of the energy sector also contributed. An underweight stake in the information technology sector and a lack of exposure to the utilities sector partially offset the Fund component’s strong relative returns.

Wellington Management Fund component holdings that were top relative contributors included American Tower and McDonald’s. Shares of wireless and broadcast communications company American Tower rose over the period, with earnings that beat expectations in three out of the prior four quarters. Fast food chain McDonald’s posted strong earnings, as revenue and same-store sales beat consensus expectations. Fund component holdings that were among the top relative detractors were UnitedHealth Group and General Dynamics. Shares of health insurance provider UnitedHealth Group came under pressure amid the overhang of policy proposals in Washington, D.C. for universal government health coverage. Aerospace and defense corporation General Dynamics traded lower at the end of 2018, as concerns of a government shutdown intensified. Shares rebounded slightly after General Dynamics reported strong second-quarter earnings in 2019. Wellington Management’s decision not to hold Procter & Gamble and Mastercard also weighed on the Fund component’s relative results, as both stocks did well during the period.

For the T. Rowe Price component of the Fund, stock selection within the industrials and business services sectors was the leading driver of relative performance. Fund component holding L3Harris Technologies, an American technology company and defense contractor, benefited from cost synergies following the recently completed merger of L3 and Harris, and from a general upturn in defense spending. The consumer staples sector also aided relative results, due mainly to Fund component holdings like Tyson Foods, which benefited as its chicken and prepared foods segment margins drove the company’s strong results. Security selection in the information technology sector also contributed to relative performance, led by Fund component holdings Microsoft and Qualcomm. Stock selection within the materials sector was the largest relative detractor. Fund component holding DuPont de Nemours traded lower because of falling commodity chemical input prices and slowing demand in end markets. Stock choices and an unfavorable underweight in real estate also detracted from relative results, as shares of SL Green Realty Corp fell amid concerns regarding new market entrants and an increase in New York City office supply, which could weigh on future rent prices for this Fund component holding.

23

MassMutual Select Equity Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Wellington Management remains highly cautious in its investment posture. It sees the potential for several risks in the macroeconomic landscape, including slowing global growth and potential headwinds from the trade dispute between the U.S. and China. While the U.S. economy has remained resilient, Wellington Management is beginning to see some cracks, including contraction in the manufacturing sector. Wellington Management believes a long-term outlook characterized by patience and low turnover is the best approach for managing its component of the Fund.

T. Rowe Price notes that U.S. equity markets delivered mixed results in the third quarter of 2019, as investors hoping for a potential U.S.-China trade resolution and a significant accommodative pivot by the Federal Reserve (the Fed) were left disappointed. Looking ahead, T. Rowe Price believes geopolitical uncertainty could continue to serve as a headwind for U.S. equities. In particular, in its view, protracted U.S.-China trade tensions and U.S. political risks could result in market choppiness. However, since U.S. economic data remain generally favorable, T. Rowe Price is optimistic that a resilient economy, buoyed by Fed stimulus, could serve as a backbone for equity markets. It continues to seek to identify attractively valued investment opportunities through bottom-up, fundamental analysis – and continues to maintain a disciplined, longer-term approach while also taking advantage of volatility to selectively add shares of high-quality companies.

24

MassMutual Select Equity Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Equity Opportunities Fund Largest Holdings (% of Net Assets) on 9/30/19
Chubb Ltd.	4.4	%
Microsoft Corp.	3.7	%
Medtronic PLC	3.6	%
NIKE, Inc. Class B	3.5	%
Johnson & Johnson	3.5	%
The Coca-Cola Co.	3.5	%
UnitedHealth Group, Inc.	3.3	%
McDonald’s Corp.	3.3	%
PepsiCo, Inc.	2.8	%
Colgate-Palmolive Co.	2.8	%
	34.4	%

MassMutual Select Equity Opportunities Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	31.7	%
Financial	24.0	%
Industrial	12.1	%
Consumer, Cyclical	11.3	%
Technology	6.7	%
Basic Materials	3.9	%
Energy	2.8	%
Communications	2.7	%
Utilities	2.6	%
Total Long-Term Investments	97.8	%
Short-Term Investments and Other Assets and Liabilities	2.2	%
Net Assets	100.0	%

25

MassMutual Select Equity Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 11/15/2010	Since Inception 04/01/2014
Class I	11/15/2010	10.82%	10.94%		13.68%
Class R5	05/01/2000	10.76%	10.84%	14.29%
Service Class	05/01/2000	10.61%	10.71%	14.17%
Administrative Class	05/01/2000	10.46%	10.60%	14.03%
Class R4	04/01/2014	10.30%	10.44%			10.76%
Class A	05/01/2000	10.19%	10.32%	13.74%
Class A (sales load deducted)*	05/01/2000	4.13%	9.08%	13.10%
Class R3	12/31/2002	10.01%	10.16%	13.49%
Russell 1000 Index		3.87%	10.62%	13.23%	13.03%	10.74%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

26

MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Fundamental Growth Fund, and who is the Fund’s subadviser?

The Fund seeks long-term growth of capital by investing primarily in domestic equity securities that the Fund’s subadviser believes offer the potential for long-term growth. The Fund’s subadviser is Wellington Management Company LLP (Wellington Management).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 4.13%, outperforming the 3.71% return of the Russell 1000^® Growth Index (the “benchmark”), which measures the performance of the large-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. It is market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the year ended September 30, 2019, security selection drove the Fund’s outperformance relative to the benchmark, as strong stock selection within the health care, financials, and real estate sectors supported its relative returns. This was partially offset by weaker selection within the information technology, communication services, and consumer discretionary sectors. Sector allocation, a residual of the Fund’s bottom-up stock selection process, also heightened relative performance. The Fund’s overweight allocation, relative to the benchmark, to the information technology sector and its underweight allocation to the health care sector drove this relative outperformance. However, the Fund’s underweight allocation to the consumer staples sector partially offset some of this positive performance.

An overweight position in Fund holding American Tower Corporation was a top contributor to relative performance. In addition, not owning the technology company NVIDIA also contributed to the Fund’s relative performance. American Tower is a real estate investment trust (REIT) that owns, operates, and develops wireless communications and broadcast towers. Shares of the company’s stock benefited from better-than-expected second quarter 2019 results reported in late July. Wellington Management raised its full-year guidance due to healthy organic trends and better profitability. NVIDIA designs, develops, and markets three-dimensional graphics processors and related software. The price of the company’s stock declined during the period due to a decline in revenues – primarily resulting from lower graphics processing unit (GPU) sales.

Fund holdings Boeing and Biogen were top detractors from benchmark-relative returns. Wellington Management eliminated both positions during the period. Boeing is a U.S.-based multinational corporation that designs, manufactures, and sells airplanes, rotorcraft, rockets, satellites, and missiles worldwide. Shares of Boeing fell during the period as the FAA reported additional issues with the 737 Max, which delayed the return of the aircraft to service. In addition, the international aviation body added pressure to coordinate 737 Max pilot training for all regulators and airlines globally. Biogen is an American multinational biotechnology company that discovers, develops, and delivers worldwide innovative therapies for people living with serious neurological and neurodegenerative disease. Shares of Biogen declined after the company and its partner, Eisai, prematurely discontinued pivotal trials of the use of aducanumab for those with Alzheimer’s disease and mild Alzheimer’s disease dementia, due to the discovery that the trials were unlikely to succeed.

Subadviser outlook

Wellington Management remains true to its investment philosophy for the Fund and continues to endeavor to build a portfolio of holdings with higher growth, better quality, and a more attractive valuation profile. Wellington Management believes it has an attractive portfolio of companies with strong balance sheets, solid growth opportunities, and high returns on capital. Wellington Management continues to favor companies with high return to capital and sustainable competitive advantage in their respective industries, which can reinvest their returns to strengthen their competitive positions. As of the end of the period, the Fund’s largest overweight positions were in the industrials and financials sectors – with its largest underweight stakes being in the health care and consumer staples sectors.

27

MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Fundamental Growth Fund Largest Holdings (% of Net Assets) on 9/30/19
Microsoft Corp.	8.2	%
Apple, Inc.	6.6	%
Alphabet, Inc. Class C	6.2	%
Facebook, Inc. Class A	3.8	%
Amazon.com, Inc.	3.3	%
Visa, Inc. Class A	3.1	%
Mastercard, Inc. Class A	2.6	%
The Home Depot, Inc.	2.4	%
Booking Holdings, Inc.	2.3	%
Lockheed Martin Corp.	2.1	%
	40.6	%

MassMutual Select Fundamental Growth Fund Sector Table (% of Net Assets) on 9/30/19
Technology	26.8	%
Communications	18.9	%
Consumer, Non-cyclical	16.3	%
Financial	12.5	%
Consumer, Cyclical	9.8	%
Industrial	9.6	%
Basic Materials	1.7	%
Total Long-Term Investments	95.6	%
Short-Term Investments and Other Assets and Liabilities	4.4	%
Net Assets	100.0	%

28

MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	4.27%	12.71%		12.51%
Class R5	05/01/2000	4.13%	12.60%	14.47%
Service Class	05/01/2000	3.97%	12.46%	14.33%
Administrative Class	05/01/2000	3.97%	12.37%	14.20%
Class R4	04/01/2014	3.87%	12.21%		12.02%
Class A	05/01/2000	3.67%	12.07%	13.90%
Class A (sales load deducted)*	05/01/2000	-2.04%	10.81%	13.26%
Class R3	12/31/2002	3.54%	11.92%	13.67%
Russell 1000 Growth Index		3.71%	13.39%	14.94%	13.43%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

29

MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Blue Chip Growth Fund, and who are the Fund’s subadvisers?

The Fund seeks growth of capital over the long term by investing, under normal circumstances, at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadvisers currently define blue chip growth companies to mean firms that, in their view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 55% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which managed approximately 45% of the Fund’s portfolio, as of September 30, 2019.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 3.75%, outperforming the 3.71% return of the Russell 1000^® Growth Index (the “benchmark”), which measures the performance of the large-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. It is market-capitalization weighted. The Fund underperformed the 4.25% return of the S&P 500^® Index, which measures the performance of 500 widely held stocks in the U.S. equity market.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Stock selection within the information technology sector was the largest relative contributor to performance within the T. Rowe Price component of the Fund. The Fund component’s underweight holding in technology leader Apple proved beneficial, as Apple’s shares came under pressure due to heightened U.S.-China trade tensions and a Supreme Court ruling that an antitrust case against Apple and its exclusive marketplace for iPhone apps could proceed. The industrials sector also contributed to performance due to beneficial stock selection and an underweight allocation to the sector. Stock selection within the consumer discretionary sector was the greatest detractor from relative performance. Shares of online retail giant Amazon suffered in late 2018 after Amazon reported revenue guidance that fell short of investor expectations. Amazon’s share prices shrank again in the third quarter of 2019, as management reported weaker-than-expected growth and profitability from its cloud computing division, Amazon Web Services. T. Rowe Price subsequently trimmed the Fund component’s position in Amazon. An underweight allocation to the consumer staples sector also detracted from relative performance results.

Within the Loomis Sayles component of the Fund, stock selection in the consumer discretionary, health care, and consumer staples sectors, as well as the Fund’s allocation to the consumer staples sector, contributed the most to relative returns. Stock selection in the energy and financials sectors and the Fund component’s allocation to the energy sector detracted from relative returns. Fund component holding Starbucks, the world’s leading retailer and roaster of specialty coffee, was the largest contributor to the Fund component’s performance. The company reported revenue and operating profits that were generally ahead of expectations, driven by improving same-store sales growth in the U.S. and China, its two largest markets. Another Fund component holding, Procter & Gamble (P&G), the world’s largest consumer products manufacturer, reported its strongest year of organic sales growth in the past decade and exceeded its full-year guidance after raising it multiple times throughout the year. On the downside, two Fund component holdings that were the greatest detractors were Amazon and Schlumberger. Online retailer Amazon incurred higher-than-expected expenses to support the recent rollout of one-day Prime shipping, and provided guidance that reflected higher ongoing investments. Schlumberger, the world’s leading oil field services firm, suffered as stocks in the oil services sector came under pressure on concerns around slowing activity in North America, where record-setting production, coupled with insufficient capacity in the Permian basin, led operators to delay well completions and downwardly revise their 2019 spending outlook. Trade war rhetoric and concerns over global demand growth have contributed further to falling oil prices, impacting expectations for global service activity.

Subadviser outlook

T. Rowe Price notes that, following the end of the fiscal year, signs of economic weakness have emerged, particularly in the manufacturing sector. T. Rowe Price believes that the U.S. economy may avoid falling into a recession in the coming months.

30

MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

Importantly, in its view, no major signs of excess have emerged, as was dramatically the case with the housing bubble on the eve of the “Great Recession” a decade ago. Indeed, T. Rowe Price believes that consumer finances are generally in solid shape and corporate debt levels remain manageable. Nevertheless, T. Rowe Price believes that selectivity will be key for investors in a slowing growth environment. It also believes that earnings gains may be harder to come by, as exporters, in particular, wrestle with trade tensions and weakness in many overseas economies.

The Loomis Sayles investment process is characterized by bottom-up, fundamental research, and a long-term investment time horizon. Loomis Sayles’ view of the coming period provides the rationale for an overweight stake in the consumer staples, consumer discretionary, financials, and energy sectors – and underweight positions in the information technology, industrials, health care, and communication services sectors. It has also decided to hold no positions in the materials or real estate sectors.

31

MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 9/30/19
Amazon.com, Inc.	7.8	%
Facebook, Inc. Class A	5.5	%
Microsoft Corp.	5.2	%
Visa, Inc. Class A	5.1	%
Alibaba Group Holding Ltd. Sponsored ADR	4.3	%
Alphabet, Inc. Class C	3.7	%
Oracle Corp.	2.2	%
The Boeing Co.	2.2	%
Alphabet, Inc. Class A	2.0	%
Autodesk, Inc.	1.8	%
	39.8	%

MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 9/30/19
Communications	28.7	%
Consumer, Non-cyclical	23.2	%
Technology	20.7	%
Financial	11.0	%
Consumer, Cyclical	7.1	%
Industrial	7.0	%
Energy	0.8	%
Basic Materials	0.4	%
Utilities	0.2	%
Mutual Funds	0.0	%
Total Long-Term Investments	99.1	%
Short-Term Investments and Other Assets and Liabilities	0.9	%
Net Assets	100.0	%

32

MassMutual Select Blue Chip Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	3.82%	13.96%		13.81%
Class R5	06/01/2001	3.75%	13.84%	15.65%
Service Class	06/01/2001	3.61%	13.72%	15.55%
Administrative Class	06/01/2001	3.51%	13.61%	15.40%
Class R4	04/01/2014	3.38%	13.45%		13.31%
Class A	06/01/2001	3.27%	13.33%	15.14%
Class A (sales load deducted)*	06/01/2001	-2.41%	12.05%	14.49%
Class R3	12/31/2002	3.10%	13.17%	14.88%
Russell 1000 Growth Index#		3.71%	13.39%	14.94%	13.43%
S&P 500 Index		4.25%	10.84%	13.24%	11.05%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

33

MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Growth Opportunities Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term capital appreciation by investing primarily in equity securities of U.S. companies that the Fund’s subadvisers believe offer the potential for long-term growth. Under normal market conditions, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadvisers are Sands Capital Management, LLC (Sands Capital), which managed approximately 50% of the Fund’s portfolio; and Jackson Square Partners, LLC (Jackson Square), which was responsible for approximately 50% of the Fund’s portfolio, as of September 30, 2019.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 1.56%, underperforming the 3.71% return of the Russell 1000^® Growth Index (the “benchmark”), which measures the performance of the large-cap growth segment of U.S. equity securities. It includes the Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. It is market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund component holdings within the Sands Capital component of the Fund that were the largest individual detractors from relative returns included Align Technology, the market leader for clear aligners in orthodontics; Microsoft, a leading global software business; Netflix, the largest global video streaming service in terms of subscribers; Activision Blizzard, a leading developer and publisher of interactive entertainment; and Amazon, the largest U.S. ecommerce business.

On a relative basis, the largest individual contributors to investment results for the Sands Capital Fund component during the period were ServiceNow, one of the leading providers of information technology service management; Match Group, the leader in online dating applications; CoStar Group, the U.S. market share leader in providing commercial real estate data and analytics; Floor & Decor, an emerging leader in the hard-surface flooring industry; and Edwards Lifesciences, a company that creates artificial heart valves to treat advanced cardiovascular disease.

With respect to the Jackson Square component of the Fund, Fund component holdings that were the largest detractors from performance were Biogen Inc., TripAdvisor Inc., and Liberty Global PLC. Biogen, a biotechnology company focused on neurodegenerative diseases, announced it was discontinuing trials on what looked like a promising, high-profile treatment for Alzheimer’s, a disease which continues to have limited treatment options. The disappointment of ending clinical trials on a potential future blockbuster drug caused a sell-off and left investors struggling to assess the proper valuation for the company’s core business and remaining pipeline opportunities.

The top contributor to the Jackson Square Fund component’s performance was Applied Materials. Applied Materials, the global leader in providing equipment, services, and software to enable the manufacture of advanced semiconductors and flat panel displays, aided results, as some signs of a bottom in the NAND memory market emerged, along with positive commentary from management on expected market share gains in 2020. (NAND is a cost-effective type of memory that remains viable even without a power source.)

Subadviser outlook

Sands Capital believes that its Fund component owns companies that are positioned to deliver strong business results and earnings growth over a 5- to 10-year investment horizon. Sands Capital’s focus on the sustainability of a business’s future earnings growth typically steers toward companies it believes are benefiting from secular trends that could potentially provide growth tailwinds throughout economic cycles. Sands Capital has high conviction in the long-term growth estimates for this Fund component’s holdings.

34

MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

Jackson Square is concerned that the current U.S. president’s unconventional style as a head of state and a recently launched impeachment inquiry process may hamper the administration’s goals of significant policy changes. Jackson Square remains mindful of the potential macroeconomic implications of the president’s existing policy positions, including his ongoing public commentary on global trade negotiations with China, which could have deleterious impacts on global economic conditions. While it believes it is too early to determine the long-term magnitude of these potential outcomes, it plans to closely monitor the domestic political climate with a keen eye on ongoing controversies and challenges, as well as on the effectiveness of potential policy shifts.

35

MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Growth Opportunities Fund Largest Holdings (% of Net Assets) on 9/30/19
Visa, Inc. Class A	6.4	%
Microsoft Corp.	6.4	%
Alphabet, Inc. Class A	4.9	%
Amazon.com, Inc.	4.1	%
Netflix, Inc.	3.8	%
ServiceNow, Inc.	3.5	%
Illumina, Inc.	3.5	%
IQVIA Holdings, Inc.	2.9	%
CoStar Group, Inc.	2.7	%
Ball Corp.	2.7	%
	40.9	%

MassMutual Select Growth Opportunities Fund Sector Table (% of Net Assets) on 9/30/19
Communications	26.0	%
Consumer, Non-cyclical	23.5	%
Technology	23.5	%
Financial	14.5	%
Consumer, Cyclical	7.1	%
Industrial	2.7	%
Mutual Funds	1.9	%
Total Long-Term Investments	99.2	%
Short-Term Investments and Other Assets and Liabilities	0.8	%
Net Assets	100.0	%

36

MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 12/07/2011	Since Inception 04/01/2014
Class I	12/07/2011	1.63%	10.73%		14.59%
Class R5	05/01/2000	1.56%	10.62%	14.96%
Service Class	05/01/2000	1.40%	10.51%	14.84%
Administrative Class	05/01/2000	1.38%	10.41%	14.72%
Class R4	04/01/2014	1.17%	10.25%			10.23%
Class A	05/01/2000	1.06%	10.12%	14.43%
Class A (sales load deducted)*	05/01/2000	-4.50%	8.88%	13.79%
Class R3	12/31/2002	0.95%	9.98%	14.18%
Russell 1000 Growth Index		3.71%	13.39%	14.94%	15.48%	13.43%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

37

MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Mid-Cap Value Fund, and who is the Fund’s subadviser?

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the stocks of mid-cap companies. The Fund’s subadviser is American Century Investment Management, Inc. (American Century).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 2.86%, outperforming the 1.60% return of Russell Midcap^® Value Index (the “benchmark”), which measures the performance of the mid-cap value segment of the U.S. equity universe. It includes Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values. It is market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the year ended September 30, 2019, stock choices in the health care sector contributed to the Fund’s performance relative to the benchmark. The Fund’s investments across the health care providers and services industry contributed to Fund performance and the Fund’s avoidance of pharmaceutical stocks also boosted relative returns. The Fund’s portfolio positioning in the consumer discretionary sector helped to drive performance, as home builder PulteGroup was a key contributor. PulteGroup reported strong margins and improvements in its return on capital over the period. It also demonstrated continued improvement in reducing the large, inefficient land positions on its balance sheet. The Fund’s avoidance of stocks in the textiles, apparel, and luxury goods industry was another additive performance driver. Finally, stock selection in the information technology sector aided returns, led by the Fund’s semiconductor holdings. Within that sector, Applied Materials was a top performer, as it reported solid earnings.

On the downside, the Fund’s underweight position and stock selection in the real estate sector detracted from relative performance. Real estate was a top performer in the benchmark, benefiting from falling interest rates and continued demand for yield among investors. The Fund’s overweight allocation to energy stocks also hindered returns. Energy stocks sold off sharply over the fiscal year, amid signs of slowing global demand as well as a supply imbalance. Exploration and production stocks EQT and Cimarex Energy were top detractors for the Fund. Oil field services company Baker Hughes, a General Electric company, also weighed on the Fund’s performance. Earnings expectations for oil field services companies have been reduced due to constrained spending by exploration and production companies.

Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both. The Fund buys foreign exchange forward hedge contracts to offset the inherent currency risks of holding foreign securities. Exposure to derivatives did not have a material effect on the Fund’s performance for the period.

Subadviser outlook

As of September 30, 2019, the Fund held a key overweight stake in the industrials sector. During the year, American Century was able to identify and leverage select opportunities as many companies within that sector underperformed due to concerns such as tariffs, input cost pressure, and operational execution. While the Fund was overweight in industrials, American Century avoided investing in companies it believes are lower quality. As of period end, the Fund continued to maintain a sizable underweight in real estate stocks. Given the strong performance of real estate investment trusts (REITs) during the year (as investors favored yield), most real estate stocks remained expensive relative to their historical valuation and to other areas of the equity market. Therefore, the Fund held a limited number of higher-quality real estate stocks as of the end of the period.

38

MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Mid-Cap Value Fund Largest Holdings (% of Net Assets) on 9/30/19
Northern Trust Corp.	3.1	%
Zimmer Biomet Holdings, Inc.	3.1	%
iShares Russell Mid-Cap Value ETF	2.6	%
BB&T Corp.	2.3	%
Hubbell, Inc.	2.2	%
Xcel Energy, Inc.	2.1	%
Emerson Electric Co.	2.0	%
Weyerhaeuser Co.	1.9	%
Applied Materials, Inc.	1.7	%
Quest Diagnostics, Inc.	1.6	%
	22.6	%

MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 9/30/19
Financial	27.1	%
Industrial	17.5	%
Consumer, Non-cyclical	17.0	%
Consumer, Cyclical	12.8	%
Utilities	10.2	%
Technology	5.4	%
Energy	3.8	%
Mutual Funds	2.6	%
Basic Materials	0.7	%
Total Long-Term Investments	97.1	%
Short-Term Investments and Other Assets and Liabilities	2.9	%
Net Assets	100.0	%

39

MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 12/07/2011	Since Inception 04/01/2014
Class I	12/07/2011	2.92%	7.27%		11.02%
Class R5	08/29/2006	2.86%	7.15%	11.11%
Service Class	08/29/2006	2.73%	7.05%	10.99%
Administrative Class	08/29/2006	2.62%	6.97%	10.85%
Class R4	04/01/2014	2.48%	6.81%			6.24%
Class A	08/29/2006	2.41%	6.69%	10.60%
Class A (sales load deducted)*	08/29/2006	-3.23%	5.49%	9.98%
Class R3	08/29/2006	2.19%	6.54%	10.36%
Russell Midcap Value Index		1.60%	7.55%	12.29%	12.29%	7.39%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

40

MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Small Cap Value Equity Fund, and who are the Fund’s subadvisers?

The Fund seeks to maximize total return through investment primarily in small capitalization equity securities that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company LLP (Wellington Management), which managed approximately 58% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 42% of the Fund’s portfolio, as of September 30, 2019.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned -8.26%, underperforming the -8.24% return of the Russell 2000 Value Index (the “benchmark”), which measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. It is market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Less-than-favorable security selection in the financials and materials sectors contributed to the Wellington Management component of the Fund’s underperformance of its benchmark. Underweight allocations, relative to the benchmark, to the real estate and utilities sectors also detracted from relative returns. Orion Engineered Carbons and Belden were the top relative detracting Fund component holdings for the period. Orion Engineered Carbons is a specialty and rubber carbon black manufacturer. Its shares declined due to a combination of disappointing earnings guidance and a greater-than-expected cost to install EPA-mandated scrubber technology within its plants. Belden is a provider of signal transmission solutions for customers in enterprise and industrial end-markets. During the period, its shares declined due to its broadcast solutions segment.

Top relative contributing Wellington Management Fund component holdings included Aramark and Keysight Technologies. Aramark, a uniform and food service provider, was the largest contributor. Keysight Technologies is the largest provider of electronic measurement instruments, systems, and software used for the design, development, and manufacturing of electronics and communications networks. Its shares appreciated after the company reported better-than-expected results, improved order trends, and its increased outlook for future revenue growth.

Barrow Hanley notes that, for its component of the Fund, defensive and high-yielding stocks such as those found in the utilities and real estate sectors (which Barrow Hanley traditionally avoids because of their relatively low long-term return potential) outperformed during the year. Similarly, the Fund component’s holdings within the economically sensitive materials and consumer durables sectors substantially underperformed. Barrow Hanley added several new holdings to its Fund component during the year. These included: Adient, the world’s largest provider of seat and interior systems to automotive original equipment manufacturers; Carrizo Oil & Gas Inc.; and, by purchase and through acquisition, Cohu Inc., a semiconductor capital equipment provider. The funds to purchase the aforementioned new holdings came from the sale of Fund component holdings that had appreciated to the point where Barrow Hanley felt it was prudent to eliminate them from the portfolio. These included Materion Corporation, Plexus Corporation, and Trex Company. Whirlpool Corporation, one of last year’s worst performers, was the Fund component holding that was the top contributor for the year. Federal Signal Corporation, a manufacturer of industrial and safety equipment, and Diodes Inc., a semiconductor manufacturing company, were also top-contributing Fund component holdings.

Subadviser outlook

Wellington Management believes the three- to five-year time horizon will continue to find attractively valued investment opportunities created by the inefficiencies frequently found among small- and mid-cap companies. At the end of the period, the

41

MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

Fund component’s largest overweight positions were in the industrials, consumer staples, and energy sectors. Wellington Management also added several Fund component holdings during the period, including Brandywine Realty Trust, Valmont Industries, and Magnolia Oil & Gas. Going into the next reporting period, the Fund component held its largest underweight positions in the real estate, communication services, and utilities sectors.

Barrow Hanley does not try to predict absolute returns. Instead, it strives to provide for the highest level of relative returns possible, regardless of market conditions. Consistent with this objective, Barrow Hanley believes that the market’s desire for safety away from low-visibility small-cap equities always creates opportunities. It also believes that sooner or later, markets tend to normalize, and that when this occurs, those with the discipline to remain apart from the crowd and seek out unpopular opportunities could benefit disproportionately.

42

MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 9/30/19
Federal Signal Corp.	2.0	%
Brooks Automation, Inc.	1.9	%
Whirlpool Corp.	1.8	%
Diodes, Inc.	1.8	%
Simpson Manufacturing Co., Inc.	1.6	%
Alleghany Corp.	1.5	%
MGIC Investment Corp.	1.5	%
Gibraltar Industries, Inc.	1.5	%
PRA Group, Inc.	1.4	%
TriMas Corp.	1.4	%
	16.4	%

MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 9/30/19
Industrial	30.9	%
Financial	23.6	%
Consumer, Non-cyclical	12.0	%
Consumer, Cyclical	9.9	%
Technology	9.7	%
Basic Materials	5.3	%
Energy	3.1	%
Utilities	1.8	%
Mutual Funds	1.7	%
Communications	1.1	%
Total Long-Term Investments	99.1	%
Short-Term Investments and Other Assets and Liabilities	0.9	%
Net Assets	100.0	%

43

MassMutual Select Small Cap Value Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	-8.20%	7.55%		5.95%
Class R5	03/31/2006	-8.26%	7.44%	11.69%
Service Class	03/31/2006	-8.39%	7.33%	11.58%
Administrative Class	03/31/2006	-8.45%	7.24%	11.43%
Class R4	04/01/2014	-8.59%	7.06%		5.48%
Class A	03/31/2006	-8.68%	6.95%	11.16%
Class A (sales load deducted)*	03/31/2006	-13.70%	5.74%	10.53%
Class R3	04/01/2014	-8.84%	6.80%		5.22%
Russell 2000 Value Index		-8.24%	7.17%	10.06%	5.22%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

44

MassMutual Select Small Company Value Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Small Company Value Fund, and who are the Fund’s subadvisers?

The Fund seeks to achieve long-term growth of capital by investing primarily in a diversified portfolio of equity securities of smaller companies that the Fund’s subadvisers consider to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are AllianceBernstein L.P. (AllianceBernstein), which managed approximately 70% of the Fund’s portfolio; and American Century Investment Management, Inc. (American Century), which oversaw approximately 30% of the Fund’s portfolio, as of September 30, 2019. On June 20, 2019, AllianceBernstein and American Century replaced Federated Clover Investment Advisors (Federated Clover), T. Rowe Price Associates, Inc. (T. Rowe Price) and Invesco Advisers, Inc. (Invesco) as subadvisers of the Fund.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned -8.67%, underperforming the -8.24% return of the Russell 2000 Value Index (the “benchmark”), which measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. It is market-capitalization weighted. The Fund outperformed the -8.89% return of the Russell 2000 Index, which measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the portion of the year that Federated Clover served as a subadviser of the Fund (October 1, 2018–June 19, 2019), Fund component holding Dycom Industries, Inc., a construction engineering company, had a negative impact on performance. This also dragged on sector-relative performance in the industrials sector. Stock selection in the consumer discretionary sector had the greatest positive impact on the Fund component’s relative performance for the reporting period, as Fund component holdings homebuilder LGI Homes, Inc. and auto dealership operator Asbury Automotive Group, Inc. stood out as top performers within the sector.

For the portion of the year that T. Rowe Price served as a subadviser of the Fund (October 1, 2018–June 19, 2019), the Fund component’s stock selection in the financials sector detracted the most from relative performance. Within that space, Green Dot, the leading provider of general-purpose reloadable cards in the U.S., was the worst performer, as shares of that Fund component holding plunged following a 20% cut to forward guidance. The health care industry was the Fund component’s largest contributor due to strong stock selection. Atrion Corporation, which develops and manufactures proprietary components for medical devices used mainly in fluid delivery applications, benefited from tax reform more than many of its industry peers and held up well within the generally challenged health care sector.

For the portion of the year that Invesco served as a subadviser of the Fund (October 1, 2018–June 19, 2019), the Fund component’s exposure to smaller capitalization companies and volatility hampered performance. From a sector perspective, underweight allocations, relative to the benchmark, to the utilities and technology sectors hurt results, along with an overweight allocation to the materials sector. Partially offsetting those losses were positive contributions from an overweight allocation to the energy sector and an underweight stake in the communication services sector.

AllianceBerstein became a subadviser of the Fund on June 20, 2019. Within the AllianceBernstein component of the Fund, less-than-favorable security selection in the technology and industrials sectors more than offset positive security selection in the consumer discretionary and real estate segments of the market. Oil services holding QEP Resources was one Fund component holding that detracted following disappointing second quarter 2019 results and market skepticism about the terms of a potential takeover offer by Elliot Management Corp, which already owns 5% of the company. Shares of Fund component holding Molina Healthcare fell in price, as the Medicaid and Medicare provider sold off amid a pullback in managed care stocks. Tower

45

MassMutual Select Small Company Value Fund – Portfolio Manager Report (Unaudited) (Continued)

International, a global manufacturer of metal components for the automotive industry, contributed after the Fund component holding was acquired at a 70% premium by Autokiniton Global Group following a steady decline in revenues and earnings. Independence Realty Trust, an apartment real estate investment trust, was another Fund component holding that notably contributed to returns.

American Century became a subadviser of the Fund on June 20, 2019. For the American Century component of the Fund, stock selection and an underweight allocation in the consumer discretionary sector weighed on relative returns. Specialty retailer Camping World Holdings was one Fund component holding that was a notable detractor, as recreational vehicle dealerships continued to offload excess inventory (a problem that the broader industry faces). Stock selection in the financials sector, especially among insurers, helped drive performance. One Fund component holding, specialty insurer and reinsurer Axis Capital Holdings, was a notable contributor, outperforming amid continued strength in pricing across both primary insurance and reinsurance markets.

Subadviser outlook

AllianceBernstein believes that as we head toward 2020, the economy is vulnerable, interest rates are low, and the pace and impact of disruption have accelerated. AllianceBernstein interprets investors’ willingness to pay high valuations for growth stocks and for stocks with low volatility to mean that they indirectly assume that all value stocks are impaired. While AllianceBernstein believes that some value stocks will see margin compression, many may not. In its assessment, value stocks are at historically cheap valuations versus growth equities, and the discounts are spread broadly across many sectors. AllianceBernstein strives to take advantage of these mispricings by focusing on high-quality value stocks – specifically, those that have strong profitability and free cash flow, attractive business models, and compelling company or niche industry catalysts. Its view is that when choosing Fund component holdings, selectivity continues to be key.

Going into the next period, the American Century Fund component holds a considerable overweight allocation in the financials sector. In American Century’s view, small-cap banks remain attractive, as valuations have been pressured by low interest rates and a relatively flat interest rate curve, while capitalization rates have been high. The American Century Fund component also holds an overweight stake in insurers, which have been benefiting from a stronger insurance contract pricing environment. American Century continues to have no exposure to the utilities sector, based on its view that valuations remain too high. Finally, American Century’s component of the Fund is holding a significantly underweight stake in consumer discretionary, although its portfolio does hold select positions within that sector.

46

MassMutual Select Small Company Value Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 9/30/19
BankUnited, Inc.	1.7	%
Graphic Packaging Holding Co.	1.4	%
Kulicke & Soffa Industries, Inc.	1.4	%
Texas Capital Bancshares, Inc.	1.4	%
Taylor Morrison Home Corp.	1.2	%
Independent Bank Group, Inc.	1.2	%
STAG Industrial, Inc.	1.2	%
Cousins Properties, Inc.	1.2	%
The Hain Celestial Group, Inc.	1.1	%
Independence Realty Trust, Inc.	1.1	%
	12.9	%

MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 9/30/19
Financial	38.7	%
Industrial	13.6	%
Consumer, Cyclical	12.6	%
Technology	9.1	%
Consumer, Non-cyclical	9.1	%
Energy	4.4	%
Communications	3.7	%
Basic Materials	2.5	%
Mutual Funds	2.1	%
Utilities	1.8	%
Total Long-Term Investments	97.6	%
Short-Term Investments and Other Assets and Liabilities	2.4	%
Net Assets	100.0	%

47

MassMutual Select Small Company Value Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 11/15/2010	Since Inception 04/01/2014
Class I	11/15/2010	-8.59%	6.05%		8.73%
Class R5	12/31/2001	-8.67%	5.95%	9.40%
Service Class	12/31/2001	-8.77%	5.86%	9.34%
Administrative Class	12/31/2001	-8.88%	5.73%	9.19%
Class R4	04/01/2014	-8.96%	5.59%			3.97%
Class A	12/31/2001	-9.03%	5.48%	8.92%
Class A (sales load deducted)*	12/31/2001	-14.03%	4.30%	8.31%
Class R3	12/31/2002	-9.30%	5.32%	8.69%
Russell 2000 Value Index#		-8.24%	7.17%	10.06%	9.23%	5.22%
Russell 2000 Index		-8.89%	8.19%	11.19%	10.33%	6.32%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

48

MM S&P^® Mid Cap Index Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MM S&P^® Mid Cap Index Fund, and who is the Fund’s subadviser?

The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the S&P MidCap 400^® Index* (the “Index”). Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

* The S&P MidCap 400 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MML Advisers. Standard & Poor’s^®, S&P^®, and S&P MidCap 400^® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MML Advisers. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P MidCap 400 Index.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned -2.62%, underperforming the -2.49% return of the Index, which measures the performance of mid-sized U.S. companies, reflecting the distinctive risk and return characteristics of this market segment. It comprises stocks in the middle capitalization range, covering approximately 7% of the of U.S. equity market.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Generally, the Fund’s underperformance versus the Index was mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses and it is not possible to invest directly in the Index.

The top-performing sectors within the Index were utilities and real estate, returning 16.0% and 8.3%, respectively. These higher-dividend-paying, more defensive sectors of the market benefited from the low interest rate environment during the year and performed particularly well in those months when investors sought to reduce their risk exposure in the market.

Energy and health care were the worst-performing sectors for this period, with returns of -54.8% and -11.5%, respectively. The energy sector was hit hard in the fourth quarter of 2018 as crude oil prices collapsed, and then continued fluctuating through 2019 on global growth concerns and trade uncertainty. The health care sector was negatively impacted throughout the year from the threat of stricter regulations and political headline risk.

Subadviser outlook

NTI believes that global equity returns could be below long-term historical averages – a consequence of the slow-growth environment. NTI believes that developed-market equities will provide annualized returns in the mid-single-digit range. Valuations, which in its opinion remain elevated, have moved to more reasonable levels over the past few years. NTI estimates that valuations could still move slightly lower in the later stages of this economic expansion, but believes that they should remain within a higher structural range, supported by low interest rates and milder economic cycles. In its view, late-cycle margin pressures will be similarly muted by low inflation and interest rates, allowing for modest earnings growth.

49

MM S&P^® Mid Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

MM S&P Mid Cap Index Fund Largest Holdings (% of Net Assets) on 9/30/19
Steris PLC	0.7	%
Teledyne Technologies, Inc.	0.7	%
Alleghany Corp.	0.7	%
Zebra Technologies Corp. Class A	0.6	%
Old Dominion Freight Line, Inc.	0.6	%
Camden Property Trust	0.6	%
UGI Corp.	0.6	%
West Pharmaceutical Services, Inc.	0.6	%
W.R. Berkley Corp.	0.6	%
Tyler Technologies, Inc.	0.6	%
	6.3	%

MM S&P Mid Cap Index Fund Sector Table (% of Net Assets) on 9/30/19
Financial	27.4	%
Industrial	19.3	%
Consumer, Non-cyclical	15.3	%
Consumer, Cyclical	13.3	%
Technology	8.7	%
Basic Materials	4.6	%
Utilities	4.6	%
Communications	3.8	%
Energy	2.5	%
Mutual Funds	2.3	%
Total Long-Term Investments	101.8	%
Short-Term Investments and Other Assets and Liabilities	(1.8	)%
Net Assets	100.0	%

50

MM S&P^® Mid Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 07/26/2012	Since Inception 04/01/2014
Class I	07/26/2012	-2.62%	8.68%	12.51%
Class R5	07/26/2012	-2.77%	8.56%	12.38%
Service Class	07/26/2012	-2.87%	8.41%	12.23%
Administrative Class	07/26/2012	-3.00%	8.29%	12.11%
Class R4	04/01/2014	-3.13%	8.13%		7.33%
Class A	07/26/2012	-3.24%	8.02%	11.83%
Class A (sales load deducted)*	07/26/2012	-8.56%	6.81%	10.95%
Class R3	04/01/2014	-3.38%	7.88%		7.07%
S&P MidCap 400 Index		-2.49%	8.88%	12.74%	8.08%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

51

MM Russell 2000^® Small Cap Index Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MM Russell 2000^® Small Cap Index Fund, and who is the Fund’s subadviser?

The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the Russell 2000^® Index* (the “Index”). Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

* The Fund is not promoted, sponsored, or endorsed by, nor in any way affiliated with Russell Investment Group (“Russell”). Russell is not responsible for and has not reviewed the Fund nor any associated literature or publications and Russell makes no representation or warranty, express or implied, as to their accuracy, or completeness, or otherwise. The Russell 2000^® Index and Russell^® are trademarks of the Frank Russell Company.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned -8.94%, underperforming the -8.89% return of the Index, which measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Generally, the Fund’s underperformance versus the Index was mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses and it is not possible to invest directly in the Index.

The top-performing sectors within the Index were utilities and real estate, returning 20.1% and 7.1%, respectively. These higher-dividend-paying, more defensive sectors of the market benefited from the low interest rate environment during the period and performed particularly well in those months when investors sought to reduce their risk exposure in the market.

Energy and health care were the worst-performing sectors for this period, with returns of -49.0% and -21.6%, respectively. The energy sector was hit hard in the fourth quarter of 2018 as crude oil prices collapsed, and then continued fluctuating through 2019 on global growth concerns and trade uncertainty. The health care sector was negatively impacted throughout the year from the threat of stricter regulations and political headline risk.

Subadviser outlook

NTI believes that global equity returns could be below long-term historical averages – a consequence of the slow-growth environment. NTI believes that developed-market equities will provide annualized returns in the mid-single-digit range. Valuations, which in its opinion remain elevated, have moved to more reasonable levels over the past few years. NTI estimates that valuations could still move slightly lower in the later stages of this economic expansion, but believes that they should remain within a higher structural range, supported by low interest rates and milder economic cycles. In its view, late-cycle margin pressures will be similarly muted by low inflation and interest rates, allowing for modest earnings growth.

52

MM Russell 2000^® Small Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

MM Russell 2000 Small Cap Index Fund Largest Holdings (% of Net Assets) on 9/30/19
Novocure Ltd.	0.3	%
Haemonetics Corp.	0.3	%
Trex Co., Inc.	0.3	%
Science Applications International Corp.	0.3	%
Portland General Electric Co.	0.3	%
ONE Gas, Inc.	0.3	%
First Industrial Realty Trust, Inc.	0.3	%
Southwest Gas Holdings, Inc.	0.3	%
MAXIMUS, Inc.	0.3	%
Teladoc Health, Inc.	0.2	%
	2.9	%

MM Russell 2000 Small Cap Index Fund Sector Table (% of Net Assets) on 9/30/19
Financial	26.0	%
Consumer, Non-cyclical	22.7	%
Industrial	14.4	%
Consumer, Cyclical	12.2	%
Technology	9.4	%
Mutual Funds	6.1	%
Communications	4.0	%
Utilities	3.9	%
Energy	3.5	%
Basic Materials	3.1	%
Government	0.0	%
Diversified	0.0	%
Total Long-Term Investments	105.3	%
Short-Term Investments and Other Assets and Liabilities	(5.3	)%
Net Assets	100.0	%

53

MM Russell 2000^® Small Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 07/26/2012	Since Inception 04/01/2014
Class I	07/26/2012	-8.94%	8.17%	11.46%
Class R5	07/26/2012	-9.06%	8.05%	11.35%
Service Class	07/26/2012	-9.15%	7.88%	11.17%
Administrative Class	07/26/2012	-9.27%	7.78%	11.07%
Class R4	04/01/2014	-9.38%	7.62%		5.78%
Class A	07/26/2012	-9.45%	7.51%	10.77%
Class A (sales load deducted)*	07/26/2012	-14.43%	6.30%	9.90%
Class R3	04/01/2014	-9.63%	7.36%		5.52%
Russell 2000 Index		-8.89%	8.19%	11.52%	6.32%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

54

MassMutual Select Mid Cap Growth Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Mid Cap Growth, and who are the Fund’s subadvisers?

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the Fund’s subadvisers believe offer the potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the Fund’s subadvisers expect to grow at a faster rate than the average company. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which oversaw approximately 73% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 27% of the Fund’s portfolio, as of September 30, 2019.

Except as noted below, the MassMutual Select Mid Cap Growth Fund has not been available for purchase by new investors since August 15, 2018. Customers who were invested in the Fund on August 15, 2018 will continue to be able to invest. Investment products and programs offered by MassMutual or its affiliates, including, but not limited to, certain separate investment accounts, mutual funds, collective trust funds, qualified and non-qualified retirement plans, and IRA customers, as well as other institutional investors and programs sponsored by financial intermediaries for which investment decisions are made on a centralized basis at the discretion of the firm, may be able to purchase the Fund at the discretion of MML Advisers. Sales of Fund shares may be further restricted or reopened in the future.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 6.54%, outperforming the 5.20% return of the Russell Midcap^® Growth Index (the “benchmark”), which measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values. It is market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Within the T. Rowe Price component of the Fund, holdings in the health care sector contributed to relative performance. Shares of Teleflex, a maker of single-use medical devices used for diagnostic and therapeutic procedures in critical care and surgery, gained ground. Teleflex improved the quality of its medical portfolio through mergers and acquisitions and organic growth, and successfully transitioned from its roots as a diversified industrial company. Security selection in the information technology sector also boosted the Fund component’s relative results, although an unfavorable underweight, relative to the benchmark, partially tempered the gains. The Fund component’s stake in Keysight Technologies, the world’s largest electronic test and measurement equipment maker and an early beneficiary of the shift to 5G networks, contributed to relative results. The energy sector detracted from performance, due to less-than-favorable stock choices and a detrimental overweight position in the poorly performing sector. Fund component holding Concho Resources lost ground over the period, hampered by persistently low oil prices and the failure of experiments to test new spacing techniques for drilling. The real estate sector also detracted, due to a significantly underweight allocation.

Within the Frontier component of the Fund, the largest contributors to relative performance were holdings in the health care, materials, and financials sectors. In the health care sector, Frontier’s patience in oncology-focused TESARO was rewarded when GlaxoSmithKline acquired the company at a substantial premium. Within the materials sector, metal packaging producer Ball Corporation advanced, as the company delivered strong results, capitalizing on its market position in specialty cans and growing aerospace backlog. In the financials sector, payment processing company Global Payments reported better-than-expected results and subsequently announced a merger with Total System Services. Fund component holdings that were the largest detractors from relative performance came from the technology, energy, and consumer discretionary sectors. In the technology sector, IT services company DXC hindered results, as its management lowered top-line expectations, causing the company to lose market confidence in its ability to improve revenue performance. Cloud infrastructure provider Nutanix declined following sales execution missteps and headwinds encountered while transitioning from a hardware-centric sales model to a recurring software model. In the energy sector, economic concerns and global trade fears led to severe corrections in exploration and production

55

MassMutual Select Mid Cap Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

companies Concho Resources and Carrizo Oil & Gas. In the consumer discretionary sector, 2U, a provider of online degree programs for not-for-profit colleges and universities, fell after lowering its sales outlook due to admission policy changes at partner universities.

Subadviser outlook

T. Rowe Price views the Federal Reserve’s (the Fed) interest rate cuts in July and September – following its decision to shelve rate hikes earlier this year – as a continuation of the extraordinary monetary easing that has afforded U.S. companies nearly cost-free financing for many years. As a result, T. Rowe Price believes that many fast-growing companies with flawed business models or uncertain profitability have been rewarded by investors, which may be staving off a market correction that it views to be long overdue. T. Rowe Price believes that the combination of subdued global growth, a submissive Fed, and risk-oblivious investors could portend the market’s continued exuberance in the near term.

Frontier expects that the pattern of increased volatility could continue as investors weigh the positive effects of easing monetary policy against the headwinds from a slowing economy. In its view, ongoing trade tensions, coupled with the upcoming U.S. presidential election, have the potential to add to the uncertainty. In this environment, Frontier continues to focus on owning companies that have multiple levers to grow their earnings and free cash flow without being overly reliant on a strong economy. And while it remains constructive on the economy, Frontier is watching both trade tensions and consumer confidence closely. Frontier believes that elevated market volatility may present opportunities to buy quality companies at reasonable valuations.

56

MassMutual Select Mid Cap Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Mid Cap Growth Fund Largest Holdings (% of Net Assets) on 9/30/19
Teleflex, Inc.	2.2	%
Ball Corp.	2.2	%
Dollar General Corp.	2.0	%
L3 Harris Technologies, Inc.	1.9	%
The Cooper Cos., Inc.	1.8	%
Microchip Technology, Inc.	1.7	%
Global Payments, Inc.	1.7	%
Hologic, Inc.	1.4	%
IAC/InterActiveCorp	1.2	%
Burlington Stores, Inc.	1.2	%
	17.3	%

MassMutual Select Mid Cap Growth Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	27.9	%
Industrial	19.8	%
Consumer, Cyclical	15.6	%
Technology	13.6	%
Financial	8.5	%
Communications	3.2	%
Basic Materials	2.8	%
Energy	2.1	%
Utilities	1.6	%
Mutual Funds	1.0	%
Total Long-Term Investments	96.1	%
Short-Term Investments and Other Assets and Liabilities	3.9	%
Net Assets	100.0	%

57

MassMutual Select Mid Cap Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 11/15/2010	Since Inception 04/01/2014
Class I	11/15/2010	6.66%	12.69%		13.73%
Class R5	06/01/2000	6.54%	12.58%	14.50%
Service Class	06/01/2000	6.48%	12.47%	14.40%
Administrative Class	06/01/2000	6.31%	12.35%	14.25%
Class R4	04/01/2014	6.18%	12.20%			11.19%
Class A	06/01/2000	6.06%	12.07%	13.97%
Class A (sales load deducted)*	06/01/2000	0.23%	10.81%	13.33%
Class R3	12/31/2002	5.91%	11.91%	13.72%
Russell Midcap Growth Index		5.20%	11.12%	14.08%	13.08%	10.77%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

58

MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Small Cap Growth Equity Fund, and who are the Fund’s subadvisers?

The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company LLP (Wellington Management), which managed approximately 62% of the Fund’s portfolio; and Invesco Advisers, Inc. (Invesco), which oversaw approximately 38% of the Fund’s portfolio, as of September 30, 2019. At the close of business on May 24, 2019, Invesco replaced OFI Global Institutional, Inc. (OFI Global) as a subadviser of the Fund. The portfolio management team at OFI Global with responsibility for the Fund became employees of Invesco and there was no change in the Fund’s investment process or philosophies.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned -2.40%, outperforming, by a wide margin, the -9.63% return of the Russell 2000 Growth Index (the “benchmark”), which measures the performance of the small- to mid-cap growth segment of the U.S. equity universe. It includes Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values. It is market-capitalization weighted. The Fund also significantly outperformed the -8.89% return of the Russell 2000 Index, which measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000^® Index and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Within the Wellington Management component of the Fund, strong security selection in the health care and consumer discretionary sectors was a primary driver of the Fund component outperforming the benchmark. This was partially offset by weaker stock selection within the materials and information technology sectors. Sector allocation, a residual of the Fund component’s bottom-up stock selection process, also aided performance. An overweight allocation in the real estate sector, relative to the benchmark, was a relative contributor, as were underweight allocations to the energy and health care sectors. An underweight position in the utilities sector detracted, partially offsetting results.

Wellington Management Fund component holdings that were top contributors to relative performance included Insulet and eHealth. Insulet is a diabetes management company that is enjoying success with Omnipod, a wearable insulin system that provides up to three days of non-stop insulin delivery. Near the end of the period, Insulet’s ACE (Alternate Controller Enabled) pump gained approval for use in third-party devices. Shares of eHealth jumped after the online health insurance exchange operator’s second quarter 2019 results were significantly better than expectations. Wellington Management eliminated positions in both Insulet and eHealth, as their respective stock prices increased substantially during the period. Fund component holdings that were top detractors from relative returns included 2U and Centennial Resource Development. 2U, a provider of cloud-based software for online education courses, traded down after its management meaningfully lowered its full-year guidance. Centennial Resource Development, a Permian basin-focused oil and gas producer, saw its stock price drop early in the period, based on concerns about capital efficiency following its management’s 2019 production and capital spending guidance. Wellington Management eliminated the Fund component’s positions in both 2U and Centennial Resource Development during the period.

With respect to the Invesco component of the Fund, strong stock selection in the information technology, consumer discretionary, and industrials sectors primarily drove the Fund component’s outperformance of the benchmark. Weaker stock selection within the energy sector and underweight exposures to the utilities and real estate sectors detracted from performance. The top-performing Fund component holdings were Roku, Inc., Coupa Software, Inc., and Mercury Systems. Roku, one of the leading platforms for streaming TV in the U.S., posted strong results as consumers continue to cut the cord and plug into Roku. Coupa Software, a software company that enables businesses to manage their spending in a more centralized, efficient manner, benefited, as its software-as-a-service cloud delivery model is superior to that of legacy players in the space. Mercury Systems,

59

MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

which provides modules, components, and subsystems used in high-end defense computing applications, delivered strong results, displaying stable organic growth and providing forward guidance above expectations.

Invesco Fund component holdings that were top detractors during the period included Ligand Pharmaceuticals, Inc., Inogen, Inc., and HealthEquity. Ligand Pharmaceuticals, a biopharma company, underperformed due to a critical research report that questioned the long-term value of Ligand’s portfolio of future milestone payments. Inogen, Inc., a leader in the portable oxygen concentrator segment of the domestic home oxygen therapy market, reported strong revenue growth, but its onboarding of new salespeople hurt profitability. Invesco sold both Ligand Pharmaceuticals and Inogen during the reporting period. HealthEquity, a Health Savings Account provider, was negatively impacted by falling interest rates, as that is a headwind to earnings.

Subadviser outlook

Looking ahead, in Wellington Management’s view, its Fund component maintains a good degree of balance with exposure to strong, secular growers that have the potential to outperform in a more challenging macroeconomic environment, as things progress into the latter stages of this business cycle. Wellington Management continues to seek attractively valued investment opportunities created by the inefficiencies frequently found among small-cap companies. At the end of the period, the Fund component had its largest overweight allocations to the consumer discretionary, real estate, materials, and financials sectors – and its most underweight stakes in the information technology, consumer staples, and industrials sectors.

Looking forward, Invesco expects the growth rate of the U.S. economy to moderate from roughly 3% in 2018 to around 2% in 2019, while potentially remaining stronger than many other economies around the world. It believes that prior interest rate increases by the Federal Reserve, waning benefit from fiscal stimulus, weaker overseas economies, and trade war fallout are the primary reasons for this slowdown. It believes that moderating economic growth and rising cost pressures could combine to materially slow the pace of earnings growth in 2019. While it believes that the recent sharp advance in equity prices may be followed by short-term consolidation, Invesco is optimistic about the prospects for small- and mid-cap growth stocks. It believes that companies with strong secular growth profiles could outperform those in cyclical industries over the near term.

60

MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 9/30/19
Insulet Corp.	2.0	%
Omnicell, Inc.	1.4	%
Haemonetics Corp.	1.3	%
Aerojet Rocketdyne Holdings, Inc.	1.2	%
ITT, Inc.	1.1	%
Amedisys, Inc.	1.1	%
Rexnord Corp.	1.1	%
Chart Industries, Inc.	1.0	%
Hannon Armstrong Sustainable Infrastructure Capital, Inc.	1.0	%
Carpenter Technology Corp.	1.0	%
	12.2	%

MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	26.9	%
Financial	17.3	%
Industrial	15.7	%
Technology	14.8	%
Consumer, Cyclical	13.7	%
Communications	5.2	%
Mutual Funds	3.3	%
Basic Materials	2.3	%
Energy	2.0	%
Utilities	0.3	%
Total Long-Term Investments	101.5	%
Short-Term Investments and Other Assets and Liabilities	(1.5	)%
Net Assets	100.0	%

61

MassMutual Select Small Cap Growth Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 11/15/2010	Since Inception 04/01/2014
Class I	11/15/2010	-2.31%	10.65%		12.31%
Class R5	05/03/1999	-2.40%	10.54%	12.77%
Service Class	05/03/1999	-2.43%	10.44%	12.65%
Administrative Class	05/03/1999	-2.60%	10.32%	12.50%
Class R4	04/01/2014	-2.76%	10.16%			8.58%
Class A	05/03/1999	-2.81%	10.05%	12.22%
Class A (sales load deducted)*	05/03/1999	-8.16%	8.81%	11.58%
Class R3	12/31/2002	-2.94%	9.90%	11.98%
Russell 2000 Growth Index#		-9.63%	9.08%	12.25%	11.35%	7.31%
Russell 2000 Index		-8.89%	8.19%	11.19%	10.33%	6.32%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

62

MM MSCI EAFE^® International Index Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MM MSCI EAFE^® International Index Fund, and who is the Fund’s subadviser?

The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the MSCI EAFE Index* (the “Index”). Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

* The Fund is not sponsored, endorsed, sold, or promoted by MSCI Inc. (“MSCI”), any of its affiliates, any of its information providers, or any other third party involved in, or related to, compiling, computing, or creating any MSCI index (collectively, the “MSCI Parties”). The MSCI indexes are the exclusive property of MSCI. MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by MML Advisers. None of the MSCI Parties makes any representation or warranty, express or implied, to the issuer or owners of the Fund or any other person or entity regarding the advisability of investing in funds generally or in the Fund particularly or the ability of any MSCI index to track corresponding stock market performance.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned -1.15%, outperforming the -1.34% return of the Index, which measures the performance of the large- and mid-cap segments of developed markets, excluding the U.S. and Canada equity securities. It is free float-adjusted market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Generally, the Fund’s performance versus the Index is mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses, and it is not possible to invest directly in the Index. During the period, however, the Fund’s outperformance versus the Index was mainly due to the positive impact from fair value pricing and the dividend tax differential.

The Fund’s top-performing sectors were utilities and consumer staples, returning 14.0% and 7.6%, respectively. Energy and financials were the worst-performing sectors for this period, with returns of -14.4% and -5.7%, respectively.

The top-performing countries within the Index were Switzerland and New Zealand, returning 12.9% and 10.5%, respectively. Austria and Norway were the worst-performing countries, with returns of -15.5% and -12.5%, respectively.

Global equity markets were slightly negative for the year, underperforming stock markets in the U.S., due to mixed results from European and Japanese equity markets. Both suffered from investors’ concerns about slowing economic growth. Uncertainty surrounding unresolved Brexit plans in the United Kingdom and the continued decline of exports in Japan hurt as well. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.)

Trade policies weighed on investors around the globe, as the U.S. increased tariffs on several of its trading partners. Global interest rates remained low and supportive of future economic growth, but central bank intervention has become less effective as geopolitical risks have gained importance.

Subadviser outlook

NTI believes that global equity returns could be below long-term historical averages – a consequence of the slow-growth environment. NTI believes that developed-market equities will provide annualized returns in the mid-single-digit range. Valuations, which in its opinion remain elevated, have moved to more reasonable levels over the past few years. NTI estimates that valuations could still move slightly lower in the later stages of this economic expansion, but believes that they should remain within a higher structural range, supported by low interest rates and milder economic cycles. In its view, late-cycle margin pressures will be similarly muted by low inflation and interest rates, allowing for modest earnings growth.

63

MM MSCI EAFE^® International Index Fund – Portfolio Manager Report (Unaudited) (Continued)

MM MSCI EAFE International Index Fund Largest Holdings (% of Net Assets) on 9/30/19
Nestle SA Registered	2.4	%
Roche Holding AG	1.5	%
Novartis AG Registered	1.3	%
HSBC Holdings PLC	1.1	%
Toyota Motor Corp.	1.1	%
BP PLC	0.9	%
Royal Dutch Shell PLC Class A	0.9	%
Total SA	0.9	%
AstraZeneca PLC	0.8	%
SAP SE	0.8	%
	11.7	%

MM MSCI EAFE International Index Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	26.1	%
Financial	21.9	%
Industrial	12.9	%
Consumer, Cyclical	12.2	%
Basic Materials	6.1	%
Communications	5.7	%
Energy	5.2	%
Technology	4.1	%
Utilities	3.7	%
Mutual Funds	0.6	%
Diversified	0.3	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

64

MM MSCI EAFE^® International Index Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 07/25/2012	Since Inception 04/01/2014
Class I	07/25/2012	-1.15%	3.29%	7.56%
Class R5	07/25/2012	-1.26%	3.18%	7.45%
Service Class	07/25/2012	-1.31%	3.05%	7.30%
Administrative Class	07/25/2012	-1.49%	2.93%	7.18%
Class R4	04/01/2014	-1.56%	2.78%		2.07%
Class A	07/25/2012	-1.66%	2.68%	6.91%
Class A (sales load deducted)*	07/25/2012	-7.07%	1.53%	6.08%
Class R3	04/01/2014	-1.86%	2.53%		1.82%
MSCI EAFE Index		-1.34%	3.27%	7.55%	2.59%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

65

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select Overseas Fund, and who are the Fund’s subadvisers?

The Fund seeks growth of capital over the long-term by investing in foreign equity securities. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in stocks of foreign companies, including companies located in Europe, Latin America, and Asia. The Fund may invest up to 25% of its total assets in equity securities of issuers in emerging markets. The Fund’s subadvisers are Massachusetts Financial Services Company (MFS), which was responsible for approximately 61% of the Fund’s portfolio; and Harris Associates L.P. (Harris), which oversaw approximately 39% of the Fund’s portfolio, as of September 30, 2019.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned -0.14%, outperforming the -1.34% return of the MSCI EAFE Index (the “benchmark”), which measures the performance of the large- and mid-cap segments of developed markets, excluding the U.S. and Canada equity securities. It is free float-adjusted market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Within the MFS component of the Fund, stock selection and an overweight position, relative to the benchmark, in both the health care and consumer staples sectors contributed to relative performance. Within the health care sector, overweight allocations to imaging products and medical-related equipment manufacturer HOYA (Japan), manufacturer of precision instruments and machines Olympus (Japan), and pharmaceutical and diagnostic company Roche Holding (Switzerland) benefited relative performance. Within the consumer staples sector, an overweight stake in global food company Nestle (Switzerland) also aided relative returns.

MFS Fund component holdings within both the communication services and information technology sectors detracted from relative performance. Within communication services, internet search provider Baidu (China), which is not a benchmark constituent, hindered relative performance. Overweight positions in advertising and broadcasting company ProSiebenSat.1 Media (Germany) and advertising and marketing firm WPP Group (United Kingdom) also held back relative returns. Within the information technology sector, an overweight allocation to permanent and temporary staffing services Amadeus (Germany) hurt relative performance. Not owning shares of ASML (Netherlands), a strongly performing lithography systems manufacturer for the semiconductor industry, further weighed on the Fund component’s relative performance.

For the Harris component of the Fund, holdings in Japan provided the best relative performance for the past 12 months, as three of four underlying holdings gained value, led by manufacturer of precision instruments and machines, Olympus, and technology equipment firm OMRON. The U.S. and South Korea produced the next-best results, owing to share price advances for all three combined underlying holdings in these regions. On a sector basis, energy delivered the best relative results due to positive outcomes from both stock selection and a less-than-benchmark weighting, even though the single underlying holding, Cenovus Energy, supplied a negative absolute return.

Harris Fund component holdings in Germany detracted most from relative performance, driven by share price declines from steel materials company thyssenkrupp, auto parts and equipment firm Continental, and automaker BMW. The next-largest negative relative results came from Fund component holdings in Switzerland and France. With respect to sectors, industrials produced the largest negative relative result, as 12 of 15 underlying holdings lost absolute value. The communication services and consumer discretionary sectors were the next-largest detractors.

As of September 30, 2019, the Harris component of the Fund held hedges on the Swiss franc, with approximately 12% of the underlying franc exposure being hedged. Over the past 12 months, hedges contributed slightly to Harris’s performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.

66

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Overall, MFS remains cautious on the equity markets, given the risks around politics, trade wars, Brexit, and Middle East tensions, as well as the potential for slowing earnings growth. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) MFS believes we remain in an economic environment of low growth, low inflation, and low interest rates. It continues to favor holdings such as consumer staples companies, on the basis of strong brands, solid organic growth, stable earnings, and free cash flow; and medical equipment companies, for their above-average growth, less relative pricing pressures, and aging demographic trend. It also has a positive view on multinational companies with exposure to the emerging-market consumer, with their rising wages, growing middle class, and secular spending trends. MFS maintains a long-term investment horizon and remains focused on owning companies with above-average growth and returns that trade at reasonable valuations.

Harris notes that global markets were volatile over the past 12 months, as investors reacted to many of the same issues that influenced markets in the preceding year, and Harris believes that those same issues could influence markets in the coming year. Trade disputes linger, Brexit remains unresolved, and political turmoil persists in both the U.S. and the U.K. Most recently, Harris has observed that recession has become a frequent topic of conversation. The European Central Bank and the U.S. Federal Reserve opted to lower key interest rates in attempts to hedge against economic downturns. Harris also believes that the lingering memory of the Great Recession is causing investors to be much more fearful than they need to be at present. It believes that the noise present today could dissipate, and that trade has the potential to flow more freely over the next several years.

67

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 9/30/19
Nestle SA Registered	2.7	%
Bayer AG Registered	2.2	%
Intesa Sanpaolo SpA	2.1	%
Roche Holding AG	1.9	%
AIA Group Ltd.	1.7	%
Air Liquide SA	1.7	%
Hoya Corp.	1.7	%
Schneider Electric SE	1.6	%
BNP Paribas SA	1.5	%
Glencore PLC	1.5	%
	18.6	%

MassMutual Select Overseas Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	28.8	%
Financial	18.4	%
Industrial	16.1	%
Consumer, Cyclical	13.5	%
Basic Materials	6.8	%
Technology	5.8	%
Communications	5.4	%
Energy	2.2	%
Utilities	0.7	%
Mutual Funds	0.6	%
Total Long-Term Investments	98.3	%
Short-Term Investments and Other Assets and Liabilities	1.7	%
Net Assets	100.0	%

68

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 11/15/2010	Since Inception 04/01/2014
Class I	11/15/2010	0.01%	3.77%		5.19%
Class R5	05/01/2001	-0.14%	3.68%	5.68%
Service Class	05/01/2001	-0.15%	3.58%	5.61%
Administrative Class	05/01/2001	-0.32%	3.45%	5.50%
Class R4	04/01/2014	-0.51%	3.30%			2.37%
Class A	05/01/2001	-0.48%	3.21%	5.26%
Class A (sales load deducted)*	05/01/2001	-5.95%	2.05%	4.66%
Class R3	12/31/2002	-0.72%	3.04%	5.01%
MSCI EAFE Index		-1.34%	3.27%	4.90%	4.61%	2.59%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

69

MassMutual Select T. Rowe Price International Equity Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price International Equity Fund, and who is the Fund’s subadviser?

The Fund seeks long-term capital growth and current income primarily through investments in non-U.S. stocks. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund normally invests in a number of different countries throughout the world and may purchase the stocks of companies of any size. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned -1.17%, outperforming the -1.23% return of the MSCI All Country World Index (ACWI) ex USA (the “benchmark”), which measures the performance of the large- and mid-cap segments of the particular regions, excluding U.S. equity securities, including developed and emerging markets. It is free float-adjusted market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

T. Rowe Price takes a core approach to investing, which provides exposure to both growth and value styles of investing. It also invests with an awareness of the global economic backdrop and its own outlook for certain industries, sectors, and individual countries. For this reporting period, stock selection among emerging-market equities was the top contributor to the Fund’s relative returns. The Fund’s overweight allocation to international developed growth stocks, which outpaced international developed value stocks, also added value.

Stock selection in the international developed-equity strategies negatively impacted relative results, as did the Fund’s overweight allocation, relative to the benchmark, to emerging-market equities, which trailed international developed stocks.

Less-than-favorable stock selection in the consumer discretionary and materials sectors negatively impacted relative performance. Fund holdings in the health care sector also weighed on relative returns, though a favorable overweight to the sector helped to offset this. Stock selection in the information technology sector also positively contributed to relative returns. Regionally, weak stock selection in developed Europe weighed on the Fund’s relative performance, and Fund holdings in the Pacific ex-Japan also detracted.

The Fund’s positioning in the energy sector was the top detractor from relative returns during the period. An underweight allocation to the consumer staples sector also hampered relative performance, as did stock selection within the sector. Regionally, stock selection in developed Europe detracted from relative performance, most notably in the U.K.

Less-than-favorable stock selection within the industrials, communication services, and consumer discretionary sectors negatively impacted relative returns. Regionally, stock selection and underweight allocations to both Australia and Italy were also notable detractors. On the positive side, strong stock selection in the Netherlands lifted relative returns.

In the emerging markets, stock selection and an underweight position in South Korea added value. Fund holdings in Brazil also proved beneficial, as did the Fund’s overweight allocation there. However, stock selection in South Africa weighed on relative results.

At the sector level, stock selection in the financials and consumer discretionary sectors bolstered relative performance. Stock selection and a favorable overweight in the consumer staples sector also lifted relative returns. On the downside, stock selection in the communication services and energy sectors detracted from relative results.

As of September 30, 2019, the Fund held equity options and currency forwards. The estimated return impact from the Fund’s use of derivatives was negligible. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.

70

MassMutual Select T. Rowe Price International Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

T. Rowe Price believes that, with markets sending mixed signals, trends in trade could drive the direction of the global economy. While T. Rowe Price believes that a trade deal between the U.S. and China in the near term seems unlikely, it continues to expect the tenor of negotiations to impact markets as the process unfolds. Against this backdrop of heightened uncertainty, T. Rowe Price has taken a cautious approach and, from a risk perspective, has sought to position the Fund’s portfolio broadly neutral. Despite signs that the current economic cycle is aging, its believes the strong labor environment could continue to support consumer spending and underpin economic growth.

T. Rowe Price’s view is that the dovish shift in monetary policy around the world and a broader easing of financial and liquidity conditions have reduced the near-term likelihood of a global recession. However, it believes that the current cycle of easing measures may leave global central banks ill equipped to respond to a more pronounced downturn. While this step back from tightening policies may help to stabilize global growth, it may not be, in its view, sufficient to ignite a reacceleration in growth.

71

MassMutual Select T. Rowe Price International Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select T. Rowe Price International Equity Fund Largest Holdings (% of Net Assets) on 9/30/19
Samsung Electronics Co. Ltd.	2.2	%
Taiwan Semiconductor Manufacturing Co. Ltd.	1.8	%
Alibaba Group Holding Ltd. Sponsored ADR	1.8	%
Nestle SA Registered	1.6	%
Tencent Holdings Ltd.	1.5	%
Roche Holding AG	1.4	%
Nippon Telegraph & Telephone Corp.	1.4	%
AIA Group Ltd.	1.3	%
HDFC Bank Ltd. ADR	1.2	%
Total SA	1.1	%
	15.3	%

MassMutual Select T. Rowe Price International Equity Fund Sector Table (% of Net Assets) on 9/30/19
Financial	24.8	%
Consumer, Non-cyclical	21.9	%
Communications	10.9	%
Industrial	10.1	%
Consumer, Cyclical	9.7	%
Technology	8.9	%
Basic Materials	5.0	%
Energy	3.8	%
Utilities	1.7	%
Diversified	0.6	%
Mutual Funds	0.1	%
Total Long-Term Investments	97.5	%
Short-Term Investments and Other Assets and Liabilities	2.5	%
Net Assets	100.0	%

72

MassMutual Select T. Rowe Price International Equity Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	-1.17%	-2.54%
MSCI ACWI ex USA		-1.23%	-1.86%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

73

MassMutual Select Total Return Bond Fund – Portfolio of Investments

September 30, 2019

	Principal Amount		Value
BONDS & NOTES — 103.9%
BANK LOANS — 0.9%
Aerospace & Defense — 0.0%
TransDigm, Inc., 2018 Term Loan E, 3 mo. LIBOR + 2.500% 4.544% VRN 5/30/25	$	198,489	$	197,518
Auto Parts & Equipment — 0.0%
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.500% 5.544% VRN 4/30/26		250,000		247,345
Commercial Services — 0.0%
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 1 mo. LIBOR + 1.750% 3.794% VRN 1/15/25		126,810		127,201
Diversified Financial Services — 0.3%
Delos Finance S.A.R.L., 2018 Term Loan B, 3 mo. LIBOR + 1.750% 3.854% VRN 10/06/23		2,750,000		2,757,370
Entertainment — 0.0%
Churchill Downs, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.000% 4.050% VRN 12/27/24		98,744		98,990
Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 1 mo. LIBOR + 2.250% 4.294% VRN 10/15/25		173,688		174,417
				273,407
Environmental Controls — 0.0%
Clean Harbors, Inc., 2017 Term Loan B, 1 mo. LIBOR + 1.750% 3.794% VRN 6/28/24		98,737		99,157
Health Care – Services — 0.1%
Gentiva Health Services, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.750% 5.813% VRN 7/02/25		89,100		89,546
MPH Acquisition Holdings LLC, 2016 Term Loan B, 3 mo. LIBOR + 2.750% 4.854% VRN 6/07/23		603,134		573,604
				663,150
Lodging — 0.0%
Caesars Entertainment Operating Co., Exit Term Loan, 1 mo. LIBOR + 2.000% 4.044% VRN 10/06/24		106,591		106,519
Machinery – Construction & Mining — 0.0%
CommScope, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.250% 5.294% VRN 4/06/26		300,000		298,662

	Principal Amount		Value
Media — 0.1%
CSC Holdings LLC, 2018 Incremental Term Loan, 4.278% 1/15/26	$	427,850	$	427,208
Telenet Financing USD LLC, USD Term Loan AN, 1 mo. LIBOR + 2.250% 4.278% VRN 8/15/26		300,000		299,814
				727,022
Packaging & Containers — 0.1%
Berry Global, Inc., USD Term Loan U, 4.549% 7/01/26		299,250		300,561
Real Estate Investment Trusts (REITS) — 0.0%
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 1 mo. LIBOR + 2.000% 4.044% VRN 3/21/25		148,843		149,071
Retail — 0.1%
1011778 B.C. Unlimited Liability Co., Term Loan B3, 1 mo. LIBOR + 2.250% 4.294% VRN 2/16/24		397,174		398,365
Software — 0.1%
Change Healthcare Holdings LLC, 2017 Term Loan B, 4.544% 3/01/24		202,847		201,782
IQVIA, Inc., 2017 USD Term Loan B2, 3 mo. LIBOR + 2.000% 4.104% VRN 1/17/25		162,922		163,492
SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4, 1 mo. LIBOR + 2.250% 4.294% VRN 4/16/25		34,280		34,366
SS&C Technologies, Inc., 2018 Term Loan B3, 1 mo. LIBOR + 2.250% 4.294% VRN 4/16/25		51,185		51,313
				450,953
Telecommunications — 0.1%
SBA Senior Finance II LLC, 2018 Term Loan B, 1 mo. LIBOR + 2.000% 4.050% VRN 4/11/25		493,750		493,770
Sprint Communications, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% 4.563% VRN 2/02/24		246,835		244,907
				738,677
Transportation — 0.0%
PODS LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.750% 5.053% VRN 12/06/24		128,363		128,042
TOTAL BANK LOANS (Cost $7,658,609)				7,663,020

The accompanying notes are an integral part of the financial statements.

74

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
CORPORATE DEBT — 26.9%
Aerospace & Defense — 0.2%
L3Harris Technologies, Inc. 4.400% 6/15/28 (a)	$	1,295,000	$	1,454,858
Agriculture — 0.4%
BAT Capital Corp. 4.390% 8/15/37		340,000		329,440
4.540% 8/15/47		920,000		881,904
4.758% 9/06/49		870,000		854,214
Reynolds American, Inc. 5.850% 8/15/45		930,000		1,029,116
				3,094,674
Airlines — 0.6%
America West Airlines, Inc. 8.057% 1/02/22		568,061		590,778
Continental Airlines, Inc. 8.048% 5/01/22		655,230		677,341
5.983% 10/19/23		3,165,856		3,340,928
US Airways, Inc. 7.125% 4/22/25		943,799		1,062,434
				5,671,481
Auto Manufacturers — 1.4%
Daimler Finance NA LLC 2.000% 7/06/21 (a)		860,000		854,943
2.200% 10/30/21 (a)		1,305,000		1,301,854
Ford Motor Credit Co. LLC 2.343% 11/02/20		1,270,000		1,262,551
2.425% 6/12/20		570,000		568,575
3 mo. USD LIBOR + .810% 3.099% FRN 4/05/21		2,395,000		2,366,951
3 mo. USD LIBOR + .880% 3.220% FRN 10/12/21		455,000		447,252
3.339% 3/28/22		955,000		956,257
4.250% 9/20/22		435,000		445,360
5.596% 1/07/22		2,326,000		2,443,753
General Motors Co. 4.875% 10/02/23		150,000		160,906
General Motors Financial Co., Inc. 3.450% 4/10/22		1,400,000		1,424,201
				12,232,603
Banks — 4.2%
Bank of America Corp. 3 mo. USD LIBOR + .370% 2.738% VRN 1/23/22		2,180,000		2,192,343
3 mo. USD LIBOR + .790% 3.004% VRN 12/20/23		425,000		434,039
3 mo. USD LIBOR + 1.070% 3.970% VRN 3/05/29		1,000,000		1,083,506
3 mo. USD LIBOR + 1.310% 4.271% VRN 7/23/29		2,000,000		2,224,760

	Principal Amount		Value
Discover Bank 4.200% 8/08/23	$	2,120,000	$	2,253,731
Global Bank Corp. 4.500% 10/20/21 (a)		200,000		205,876
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.201% 3.272% VRN 9/29/25		2,320,000		2,394,748
3.850% 7/08/24		1,150,000		1,217,370
3.850% 1/26/27		4,055,000		4,299,806
JP Morgan Chase & Co. 3 mo. USD LIBOR + 1.337% 3.782% VRN 2/01/28		440,000		470,747
3 mo. USD LIBOR + 1.000% 4.023% VRN 12/05/24		2,130,000		2,271,149
Lloyds Bank PLC 3.300% 5/07/21		1,230,000		1,250,957
Lloyds Banking Group PLC 3 mo. USD LIBOR + 1.249% 2.858% VRN 3/17/23		1,300,000		1,304,070
3 mo. USD LIBOR + .810% 2.907% VRN 11/07/23		910,000		911,758
Morgan Stanley 3 mo. USD LIBOR + .930% 3.208% FRN 7/22/22		3,000,000		3,022,827
5.500% 1/26/20		2,000,000		2,021,486
Santander UK Group Holdings PLC 2.875% 10/16/20		2,000,000		2,006,272
2.875% 8/05/21		1,000,000		1,003,572
Santander UK PLC 3.400% 6/01/21		1,265,000		1,286,946
Wells Fargo & Co. 3.000% 4/22/26		1,345,000		1,379,106
3.000% 10/23/26		1,500,000		1,540,482
3.550% 9/29/25		75,000		79,266
Wells Fargo Bank NA 3 mo. USD LIBOR + .650% 2.082% VRN 9/09/22		1,816,000		1,811,818
				36,666,635
Beverages — 0.4%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. 4.900% 2/01/46		1,885,000		2,249,233
Bacardi Ltd. 4.700% 5/15/28 (a)		460,000		502,398
5.300% 5/15/48 (a)		430,000		492,624
				3,244,255
Biotechnology — 0.5%
Amgen, Inc. 4.400% 5/01/45		1,680,000		1,898,542
Celgene Corp. 3.450% 11/15/27		500,000		529,751
3.875% 8/15/25		676,000		729,674

The accompanying notes are an integral part of the financial statements.

75

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
4.625% 5/15/44	$	160,000	$	190,011
5.000% 8/15/45		500,000		626,954
				3,974,932
Chemicals — 0.2%
International Flavors & Fragrances, Inc. 5.000% 9/26/48		1,265,000		1,443,637
Commercial Services — 0.2%
IHS Markit Ltd. 4.000% 3/01/26 (a)		124,000		130,572
4.750% 2/15/25 (a)		505,000		547,925
4.750% 8/01/28		750,000		833,625
5.000% 11/01/22 (a)		335,000		356,820
				1,868,942
Cosmetics & Personal Care — 0.0%
First Quality Finance Co., Inc. 5.000% 7/01/25 (a)		271,000		280,154
Diversified Financial Services — 1.3%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		250,000		258,094
Air Lease Corp. 4.750% 3/01/20		1,465,000		1,479,056
GE Capital International Funding Co. Unlimited Co. 2.342% 11/15/20		1,725,000		1,720,839
4.418% 11/15/35		5,823,000		6,093,878
Park Aerospace Holdings Ltd. 4.500% 3/15/23 (a)		345,000		357,006
5.250% 8/15/22 (a)		1,245,000		1,312,105
				11,220,978
Electric — 1.9%
AEP Texas, Inc. 3.850% 10/01/25 (a)		2,000,000		2,116,424
Alabama Power Co. 3.950% 6/01/21		2,100,000		2,159,489
Ameren Illinois Co. 3.700% 12/01/47		480,000		521,393
Consolidated Edison Co. of New York, Inc. 4.650% 12/01/48		1,000,000		1,238,431
Duke Energy Carolinas LLC 3.700% 12/01/47		738,000		801,186
Entergy Louisiana LLC 3.780% 4/01/25		1,250,000		1,327,258
FirstEnergy Transmission LLC 5.450% 7/15/44 (a)		600,000		762,026
Metropolitan Edison Co. 4.000% 4/15/25 (a)		985,000		1,046,522
MidAmerican Energy Co. 4.400% 10/15/44		1,905,000		2,284,576

	Principal Amount		Value
NextEra Energy Capital Holdings, Inc. 3 mo. USD LIBOR + .480% 2.767% FRN 5/04/21	$	4,000,000	$	4,006,151
				16,263,456
Entertainment — 0.1%
Churchill Downs, Inc. 5.500% 4/01/27 (a)		544,000		577,238
Environmental Controls — 0.1%
Republic Services, Inc. 3.375% 11/15/27		450,000		478,770
Foods — 1.2%
Conagra Brands, Inc. 5.300% 11/01/38		545,000		629,499
Kraft Heinz Foods Co. 3.000% 6/01/26		630,000		623,313
4.375% 6/01/46		1,000,000		954,739
4.875% 10/01/49 (a)		1,220,000		1,231,894
5.000% 6/04/42		1,705,000		1,757,817
5.200% 7/15/45		1,750,000		1,839,716
The Kroger Co. 5.400% 1/15/49		850,000		1,006,141
Mondelez International Holdings Netherlands BV 2.000% 10/28/21 (a)		1,500,000		1,496,694
Post Holdings, Inc. 5.500% 12/15/29 (a)		500,000		521,250
				10,061,063
Gas — 0.2%
KeySpan Gas East Corp. 5.819% 4/01/41 (a)		1,337,000		1,776,839
Health Care – Products — 0.2%
Becton Dickinson and Co. 3 mo. USD LIBOR + .875% 2.979% FRN 12/29/20		1,312,000		1,312,439
Hill-Rom Holdings, Inc. 5.750% 9/01/23 (a)		400,000		410,680
Teleflex, Inc. 4.625% 11/15/27		226,000		235,887
				1,959,006
Health Care – Services — 1.4%
Aetna, Inc. 3.500% 11/15/24		500,000		520,968
Anthem, Inc. 3.500% 8/15/24		2,000,000		2,096,114
Centene Corp. 5.375% 6/01/26 (a)		253,000		264,701
5.625% 2/15/21		888,000		900,618
CHS/Community Health Systems, Inc. 8.000% 3/15/26 (a)		184,000		183,540
8.625% 1/15/24 (a)		123,000		126,998

The accompanying notes are an integral part of the financial statements.

76

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Cigna Holding Co. 3.050% 10/15/27	$	1,395,000	$	1,409,519
Encompass Health Corp. 4.750% 2/01/30		415,000		419,316
HCA, Inc. 5.125% 6/15/39		650,000		708,942
5.250% 4/15/25		644,000		716,280
5.250% 6/15/49		1,000,000		1,090,843
Molina Healthcare, Inc. 5.375% STEP 11/15/22		460,000		487,618
Providence St. Joseph Health Obligated Group 2.746% 10/01/26		2,000,000		2,012,380
Tenet Healthcare Corp. 4.875% 1/01/26 (a)		354,000		363,293
5.125% 11/01/27 (a)		595,000		614,843
WellCare Health Plans, Inc. 5.250% 4/01/25		255,000		265,519
				12,181,492
Household Products & Wares — 0.1%
Central Garden & Pet Co. 5.125% 2/01/28		22,000		22,440
Spectrum Brands, Inc. 5.750% 7/15/25		500,000		521,745
				544,185
Insurance — 1.2%
Farmers Exchange Capital II 3 mo. USD LIBOR + 3.744% 6.151% VRN 11/01/53 (a)		1,750,000		2,157,888
Farmers Exchange Capital III 3 mo. USD LIBOR + 3.454% 5.454% VRN 10/15/54 (a)		3,290,000		3,790,832
Teachers Insurance & Annuity Association of America 3 mo. USD LIBOR + 2.661% 4.375% VRN 9/15/54 (a)		4,000,000		4,186,660
				10,135,380
Media — 0.8%
CBS Corp. 3.700% 6/01/28		1,020,000		1,063,140
CCO Holdings LLC/CCO Holdings Capital Corp. 5.375% 6/01/29 (a)		329,000		350,385
Charter Communications Operating LLC/Charter Communications Operating Capital 3.750% 2/15/28		2,900,000		2,973,058
4.200% 3/15/28		431,000		453,266
Comcast Corp. 3.150% 2/15/28		750,000		781,700
4.600% 10/15/38		500,000		597,300

	Principal Amount		Value
CSC Holdings LLC 5.375% 2/01/28 (a)	$	50,000	$	52,688
Viacom, Inc. 3.875% 4/01/24		891,000		937,130
				7,208,667
Miscellaneous – Manufacturing — 0.9%
General Electric Co. 2.200% 1/09/20		1,800,000		1,797,849
4.125% 10/09/42		370,000		370,232
4.625% 1/07/21		1,195,000		1,225,396
5.550% 5/04/20		875,000		887,582
5.875% 1/14/38		716,000		860,906
6.750% 3/15/32		890,000		1,119,191
Siemens Financierings NV 1.700% 9/15/21 (a)		1,575,000		1,563,804
				7,824,960
Oil & Gas — 1.1%
Antero Resources Corp. 5.000% 3/01/25 (b)		813,000		661,343
5.125% 12/01/22		392,000		344,470
5.625% 6/01/23		125,000		108,125
Canadian Natural Resources Ltd. 3.850% 6/01/27		375,000		394,764
Diamondback Energy, Inc. 4.750% 11/01/24		35,000		35,831
EQT Corp. 3.900% 10/01/27 (b)		1,895,000		1,642,643
KazMunayGas National Co. JSC 5.375% 4/24/30		200,000		224,750
Matador Resources Co. 5.875% 9/15/26		265,000		265,503
Occidental Petroleum Corp. 3.500% 8/15/29		347,000		351,928
4.500% 7/15/44		400,000		407,956
Parsley Energy LLC/Parsley Finance Corp. 5.625% 10/15/27 (a)		270,000		278,775
Petrobras Global Finance BV 5.093% 1/15/30 (a)		151,000		157,516
Petroleos Mexicanos 6.500% 1/23/29		870,000		884,703
6.625% 6/15/35		2,100,000		2,052,225
7.690% 1/23/50 (a) (b)		850,000		886,125
Range Resources Corp. 4.875% 5/15/25 (b)		403,000		332,475
Transocean Guardian Ltd. 5.875% 1/15/24 (a)		302,600		303,356
Transocean Pontus Ltd. 6.125% 8/01/25 (a)		357,780		363,147
Transocean Poseidon Ltd. 6.875% 2/01/27 (a)		122,000		126,880
				9,822,515

The accompanying notes are an integral part of the financial statements.

77

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Oil & Gas Services — 0.0%
Transocean Proteus Ltd. 6.250% 12/01/24 (a)	$	128,250	$	130,174
USA Compression Partners LP/USA Compression Finance Corp. 6.875% 9/01/27 (a)		217,000		224,052
				354,226
Packaging & Containers — 0.5%
Amcor Finance USA, Inc. 4.500% 5/15/28 (a)		965,000		1,051,640
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 4.125% 8/15/26 (a)		170,000		171,063
Ball Corp. 4.000% 11/15/23		200,000		209,250
Matthews International Corp. 5.250% 12/01/25 (a)		275,000		260,562
OI European Group BV 4.000% 3/15/23 (a)		75,000		75,469
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.750% 10/15/20		600,847		602,109
3 mo. USD LIBOR + 3.500% 5.803% FRN 7/15/21 (a)		665,000		665,831
WRKCo, Inc. 4.900% 3/15/29		850,000		963,379
				3,999,303
Pharmaceuticals — 1.9%
AbbVie, Inc. 4.450% 5/14/46		1,048,000		1,085,537
Allergan Finance LLC 3.250% 10/01/22		1,000,000		1,021,370
Allergan Funding SCS 4.550% 3/15/35		576,000		611,458
AstraZeneca PLC 3.375% 11/16/25		1,200,000		1,261,791
Bausch Health Cos., Inc. 7.000% 3/15/24 (a)		152,000		159,746
Bayer US Finance II LLC 4.375% 12/15/28 (a)		2,535,000		2,737,192
4.875% 6/25/48 (a)		760,000		839,526
Bayer US Finance LLC 3.375% 10/08/24 (a)		760,000		778,751
Cigna Corp. 4.125% 11/15/25		2,000,000		2,147,389
CVS Health Corp. 4.000% 12/05/23		900,000		951,002
5.050% 3/25/48		3,130,000		3,552,327
Novartis Capital Corp. 4.000% 11/20/45		750,000		882,468
				16,028,557

	Principal Amount		Value
Pipelines — 1.4%
Energy Transfer Operating LP 5.500% 6/01/27	$	264,000	$	298,662
5.875% 1/15/24		1,000,000		1,111,659
6.250% 4/15/49		305,000		370,401
Energy Transfer Partners LP 5.950% 10/01/43		750,000		848,828
EQM Midstream Partners LP 5.500% 7/15/28		795,000		795,094
Kinder Morgan Energy Partners LP 3.500% 9/01/23		1,006,000		1,040,853
Kinder Morgan, Inc. 5.550% 6/01/45		1,000,000		1,178,712
Plains All American Pipeline LP/PAA Finance Corp. 4.650% 10/15/25		500,000		534,463
Rockies Express Pipeline LLC 4.950% 7/15/29 (a)		1,000,000		995,177
6.875% 4/15/40 (a)		745,000		810,784
Sunoco Logistics Partners Operations LP 4.250% 4/01/24		650,000		684,346
5.400% 10/01/47		950,000		1,036,552
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.875% 1/15/29 (a)		162,000		176,996
TC PipeLines LP 3.900% 5/25/27		1,500,000		1,563,849
Williams Cos., Inc. 4.000% 9/15/25		1,000,000		1,057,136
				12,503,512
Real Estate Investment Trusts (REITS) — 1.7%
American Campus Communities Operating Partnership LP 3.350% 10/01/20		3,000,000		3,032,307
Boston Properties LP 3.850% 2/01/23		1,000,000		1,049,489
GLP Capital LP/GLP Financing II, Inc. 4.000% 1/15/30		615,000		618,057
5.250% 6/01/25		500,000		550,765
5.300% 1/15/29		620,000		683,370
5.375% 4/15/26		1,680,000		1,847,765
HCP, Inc. 4.000% 12/01/22		167,000		174,860
4.250% 11/15/23		1,206,000		1,287,424
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 5.625% 5/01/24		450,000		493,312
SL Green Operating Partnership LP 3.250% 10/15/22		1,000,000		1,020,170

The accompanying notes are an integral part of the financial statements.

78

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Ventas Realty LP 3.750% 5/01/24	$	1,050,000	$	1,107,344
3.850% 4/01/27		1,000,000		1,063,136
Welltower, Inc. 3.750% 3/15/23		1,300,000		1,361,036
				14,289,035
Retail — 0.2%
Alimentation Couche-Tard, Inc. 2.700% 7/26/22 (a)		425,000		427,844
eG Global Finance PLC 6.750% 2/07/25 (a)		447,000		436,384
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 4.750% 6/01/27 (a)		300,000		312,375
Rite Aid Corp. 6.125% 4/01/23 (a)		811,000		643,407
				1,820,010
Savings & Loans — 0.1%
Nationwide Building Society 3 mo. USD LIBOR + 1.181% 3.622% VRN 4/26/23 (a)		620,000		632,055
3 mo. USD LIBOR + 1.392% 4.363% VRN 8/01/24 (a)		300,000		315,071
				947,126
Semiconductors — 0.2%
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.000% 1/15/22		865,000		873,369
NXP BV/NXP Funding LLC 4.125% 6/01/21 (a)		500,000		513,014
				1,386,383
Software — 0.1%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.750% 3/01/25 (a)		255,000		258,825
IQVIA, Inc. 5.000% 5/15/27 (a)		266,000		278,635
SS&C Technologies, Inc. 5.500% 9/30/27 (a)		408,000		426,370
				963,830
Telecommunications — 2.1%
AT&T, Inc. 4.750% 5/15/46		395,000		438,042
4.800% 6/15/44		3,050,000		3,373,742
4.850% 3/01/39		366,000		414,984
5.250% 3/01/37		1,875,000		2,206,715
Intelsat Jackson Holdings SA 5.500% 8/01/23		378,000		352,636
9.750% 7/15/25 (a)		747,000		780,241

	Principal Amount		Value
Koninklijke KPN NV 8.375% 10/01/30	$	700,000	$	957,094
Level 3 Financing, Inc. 4.625% 9/15/27 (a)		166,000		167,502
5.375% 5/01/25		166,000		171,941
Sprint Corp. 7.625% 3/01/26		76,000		83,885
7.875% 9/15/23		234,000		257,040
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 3.360% STEP 3/20/23 (a)		675,000		677,531
4.738% 9/20/29 (a)		2,685,000		2,854,182
T-Mobile USA, Inc. 4.500% 2/01/26		400,000		411,720
4.750% 2/01/28		175,000		183,138
6.000% 3/01/23		94,000		95,757
6.000% 4/15/24		279,000		289,463
6.500% 1/15/24		301,000		312,230
Verizon Communications, Inc. 4.500% 8/10/33		1,395,000		1,619,791
Vodafone Group PLC 4.875% 6/19/49		1,260,000		1,402,945
5.250% 5/30/48		1,300,000		1,506,875
				18,557,454
Transportation — 0.1%
Union Pacific Corp. 3.950% 9/10/28		850,000		937,644
TOTAL CORPORATE DEBT (Cost $220,263,098)				231,773,800
MUNICIPAL OBLIGATIONS — 1.5%
New York City Water & Sewer System BAB 6.124% 6/15/42		10,000,000		10,280,000
New York State Dormitory Authority 5.051% 9/15/27		600,000		715,614
State of California 7.950% 3/01/36		2,100,000		2,150,043
				13,145,657
TOTAL MUNICIPAL OBLIGATIONS (Cost $13,181,886)				13,145,657
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 14.7%
Commercial MBS — 2.1%
BAMLL Commercial Mortgage Securities Trust, Series 2018-PARK, Class A, 4.227% VRN 8/10/38 (a) (c)		1,280,000		1,443,497

The accompanying notes are an integral part of the financial statements.

79

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
CALI Mortgage Trust, Series 2019-101C, Class A 3.957% 3/10/39 (a)	$	945,000	$	1,060,670
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class A 2.808% 4/10/28 (a)		900,000		901,621
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A 3.251% 5/10/35 (a)		1,310,000		1,354,728
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.871% VRN 11/10/31 (a) (c)		1,220,000		1,249,903
COMM Mortgage Trust Series 2016-787S, Class A, 3.545% 2/10/36 (a)		1,280,000		1,362,077
Series 2014-277P, Class A, 3.732% VRN 8/10/49 (a) (c)		1,340,000		1,426,626
Series 2013-300P, Class A1, 4.353% 8/10/30 (a)		1,240,000		1,341,383
Core Industrial Trust, Series 2015-CALW, Class A 3.040% 2/10/34 (a)		815,857		833,130
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K157, Class A2, 3.990% VRN 5/25/33 (c)		2,635,000		3,035,454
Hudson Yards Mortgage Trust, Series 2019-30HY, Class A 3.228% 7/10/39 (a)		880,000		933,584
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-OSB, Class A 3.397% 6/05/39 (a)		900,000		968,724
One Bryant Park Trust, Series 2019-OBP, Class A 2.516% 9/13/49 (a)		1,085,000		1,082,768
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, 3.961% VRN 1/15/32 (a) (c)		1,320,000		1,406,691
				18,400,856
Home Equity ABS — 1.6%
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W2, Series 2005-W2, Class M1, 1 mo. USD LIBOR + .490% 2.508% FRN 10/25/35		4,500,000		4,466,784
Bear Stearns Asset-Backed Securities Trust, Series 2007-HE4, Class 1A2, 1 mo. USD LIBOR + .190% 2.208% FRN 5/25/35		189,195		187,966

	Principal Amount		Value
Home Equity Asset Trust Series 2006-3, Class 1A1, 1 mo. USD LIBOR + .200% 2.218% FRN 7/25/36	$	1,350,185	$	1,339,604
Series 2003-4, Class M1, 1 mo. USD LIBOR + 1.200% 3.218% FRN 10/25/33		3,431,772		3,437,393
Option One Mortgage Loan Trust, Series 2006-1, Class 1A1, 1 mo. USD LIBOR + .220% 2.238% FRN 1/25/36		2,655,519		2,627,351
Residential Asset Securities Corp., Series 2005-KS11, Class M1, 1 mo. USD LIBOR + .400% 2.418% FRN 12/25/35		1,249,666		1,247,405
				13,306,503
Other ABS — 2.5%
Barings CLO Ltd., Series 2013-IA, Class AR, 3 mo. USD LIBOR + .800% 3.078% FRN 1/20/28 (a)		3,650,000		3,646,759
Countrywide Asset-Backed Certificates Series 2006-22, Class 2A3, 1 mo. USD LIBOR + .160% 2.178% FRN 1/25/34		148,118		146,539
Series 2004-5, Class M1, 1 mo. USD LIBOR + .855% 2.873% FRN 8/25/34		507,509		502,385
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .360% 2.378% FRN 10/25/35		848,332		846,602
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2, 3 mo. USD LIBOR + 1.110% 3.366% FRN 10/29/29 (a)		2,100,000		2,099,966
LCM Ltd., 3 mo. USD LIBOR + 1.240% 3.543% FRN 7/15/27 (a)		1,400,000		1,400,001
Lehman XS Trust, Series 2005-4, Class 1A3, 1 mo. USD LIBOR + .800% 2.818% FRN 10/25/35		389,552		384,766
Madison Park Funding XXX Ltd., Series 2018-30A, Class A, 3 mo. USD LIBOR + .750% 3.053% FRN 4/15/29 (a)		2,075,000		2,058,767
Magnetite VII Ltd., Series 2012-7A, Class A1R2, 3 mo. USD LIBOR + .800% 3.103% FRN 1/15/28 (a)		1,489,000		1,485,194

The accompanying notes are an integral part of the financial statements.

80

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Magnetite XXI Ltd., Series 2019-21A, Class A, 3 mo. USD LIBOR + 1.280% 3.909% FRN 4/20/30 (a)	$	450,000	$	450,877
Morgan Stanley Capital I, Inc. Trust Series 2006-HE1, Class A4, 1 mo. USD LIBOR + .290% 2.308% FRN 1/25/36		4,092,386		4,010,671
Series 2006-NC2, Class A2D, 1 mo. USD LIBOR + .290% 2.308% FRN 2/25/36		4,309,477		4,202,960
Structured Asset Investment Loan Trust, Series 2005-8, Class A4, 1 mo. USD LIBOR + .720% 2.738% FRN 10/25/35		414,845		414,104
				21,649,591
Student Loans ABS — 4.7%
Access Group, Inc., Series 2015-1, Class A 2.845% 7/25/56 (a)		2,428,164		2,403,935
Education Loan Asset-Backed Trust I, Series 2013-1, Class A2, 1 mo. USD LIBOR + .800% 2.818% FRN 4/26/32 (a)		4,100,000		4,069,747
Nelnet Student Loan Trust, Series 2019-4A, Class A, 1 mo. USD LIBOR + .870% 3.039% FRN 9/26/67 (a)		2,100,000		2,101,752
SLC Student Loan Trust Series 2006-2, Class A6, 3 mo. USD LIBOR + .160% 2.279% FRN 9/15/39		7,720,000		7,430,472
Series 2006-1, Class A6, 3 mo. USD LIBOR + .160% 2.279% FRN 3/15/55		7,380,000		6,964,971
SLM Student Loan Trust Series 2006-2, Class A6, 3 mo. USD LIBOR + .170% 2.446% FRN 1/25/41		2,476,808		2,383,713
Series 2014-1, Class A3, 1 mo. USD LIBOR + .600% 2.618% FRN 2/26/29		1,821,431		1,775,222
Series 2012-7, Class A3, 1 mo. USD LIBOR + .650% 2.668% FRN 5/26/26		3,252,250		3,173,307
Series 2008-5, Class B, 3 mo. USD LIBOR + 1.850% 4.126% FRN 7/25/73		3,735,000		3,765,652
Series 2008-9, Class B, 3 mo. USD LIBOR + 2.250% 4.526% FRN 10/25/83		3,630,000		3,656,428

	Principal Amount		Value
Wachovia Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .170% 2.446% FRN 4/25/40 (a)	$	3,188,810	$	3,073,085
				40,798,284
WL Collateral CMO — 3.8%
American Home Mortgage Investment Trust, Series 2006-1, Class 12A1, 1 mo. USD LIBOR + .400% 2.418% FRN 3/25/46		2,896,385		2,655,256
Bear Stearns ALT-A Trust, Series 2005-4, Class 25A1, 3.909% VRN 5/25/35 (c)		1,959,787		1,820,948
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A2, 4.784% VRN 3/25/36 (c)		9,470		9,084
CSMC Trust, Series 2018-RPL9, Class A, 3.850% VRN 9/25/57 (a) (c)		3,495,844		3,702,833
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1, 4.232% VRN 11/25/35 (c)		2,721,150		2,485,832
HarborView Mortgage Loan Trust Series 2006-10, Class 1A1A, 1 mo. USD LIBOR + .200% 2.257% FRN 11/19/36		4,072,522		3,648,125
Series 2007-6, Class 1A1A, 1 mo. LIBOR + .200% 2.257% FRN 8/19/37		3,952,947		3,480,444
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2, 4.080% VRN 8/25/35 (c)		520,298		508,256
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1, 3.928% VRN 4/25/34 (c)		784,676		761,097
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A, 12 mo. MTA + .750% 2.862% FRN 6/26/47 (a)		2,378,199		2,340,406
RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + .185% 2.203% FRN 8/25/36		967,660		980,945
Structured Asset Mortgage Investments II Trust, Series 2006-AR1, Class 3A1, 1 mo. USD LIBOR + .230% 2.248% FRN 2/25/36		3,355,223		3,142,108

The accompanying notes are an integral part of the financial statements.

81

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2005-AR2, Class 2A1A, 1 mo. USD LIBOR + .310% 2.328% FRN 1/25/45	$	1,458,309	$	1,423,385
Series 2005-7, Class 4CB, 7.000% 8/25/35		3,730,270		2,478,842
Wells Fargo Mortgage-Backed Securities Trust Series 2006-2, Class 1A1, 5.000% 3/25/36		664,687		656,259
Series 2005-AR16, Class IIA1, 5.014% VRN 2/25/34 (c)		399,071		398,421
Series 2007-AR3, Class A4, 5.200% VRN 4/25/37 (c)		2,027,843		1,977,624
				32,469,865
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $123,292,891)				126,625,099
SOVEREIGN DEBT OBLIGATIONS — 0.2%
Bahrain Government International Bond 7.000% 10/12/28		200,000		224,239
Colombia Government International Bond 4.500% 1/28/26		200,000		218,400
Oman Government International Bond 5.625% 1/17/28 (a)		200,000		196,787
Qatar Government International Bond 4.500% 4/23/28		200,000		227,881
Republic of South Africa Government International Bond 4.875% 4/14/26		200,000		206,484
Russian Foreign Bond 4.750% 5/27/26		200,000		218,369
				1,292,160
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,179,334)				1,292,160
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 35.9%
Collateralized Mortgage Obligations — 2.7%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series KJ05, Class A1, 1.418% 5/25/21		314,990		313,839
Series S8FX, Class A2, 3.291% 3/25/27		3,955,000		4,210,399

	Principal Amount		Value
Series K155, Class A3, 3.750% 4/25/33	$	2,115,000	$	2,414,842
Federal National Mortgage Association Series 2018-54, Class KA, 3.500% 1/25/47		3,560,353		3,663,544
Series 2018-38, Class PA, 3.500% 6/25/47		4,155,774		4,250,451
Federal National Mortgage Association. REMICS Series 2018-55, Class PA 3.500% 1/25/47		3,694,304		3,801,379
Government National Mortgage Association Series 2018-124, Class NW, 3.500% 9/20/48		1,571,068		1,605,140
3.500% 2/20/49		2,864,551		2,927,232
				23,186,826
Pass-Through Securities — 33.2%
Federal Home Loan Mortgage Corp. Pool #G18619 2.500% 11/01/31		1,041,711		1,054,042
Pool #G16770 2.500% 2/01/32		1,059,117		1,073,640
Pool #G16660 2.500% 7/01/32		1,702,606		1,722,760
Pool #G18596 3.000% 4/01/31		727,324		746,866
Pool #G18691 3.000% 6/01/33		370,264		379,518
Pool #G08710 3.000% 6/01/46		202,060		206,970
Pool #G08715 3.000% 8/01/46		4,193,243		4,295,154
Pool #G08721 3.000% 9/01/46		564,740		578,465
Pool #G08726 3.000% 10/01/46		7,584,319		7,768,647
Pool #G08732 3.000% 11/01/46		5,203,470		5,326,682
Pool #G08741 3.000% 1/01/47		3,215,656		3,291,799
Pool #G08795 3.000% 1/01/48		2,716,437		2,773,968
Pool #G18713 3.500% 11/01/33		3,564,005		3,690,469
Pool #G16756 3.500% 1/01/34		1,072,040		1,119,460
Pool #G07848 3.500% 4/01/44		7,894,468		8,348,539
Pool #G07924 3.500% 1/01/45		3,094,595		3,260,017
Pool #G60138 3.500% 8/01/45		5,070,220		5,358,678
Pool #G08711 3.500% 6/01/46		3,809,271		3,956,947
Pool #G08716 3.500% 8/01/46		5,464,658		5,676,510
Pool #G67703 3.500% 4/01/47		3,833,031		4,031,937
Pool #G67706 3.500% 12/01/47		3,252,711		3,420,486
Pool #G67707 3.500% 1/01/48		3,231,017		3,409,789
Pool #G67708 3.500% 3/01/48		7,750,292		8,108,879
Pool #G67709 3.500% 3/01/48		8,833,170		9,286,026
Pool #G67711 4.000% 3/01/48		1,137,293		1,211,740
Pool #G67713 4.000% 6/01/48		7,623,292		8,086,576
Pool #G67714 4.000% 7/01/48		4,640,535		4,941,402
Pool #G67717 4.000% 11/01/48		4,216,760		4,490,151
Pool #G67718 4.000% 1/01/49		3,827,305		4,053,919
Pool #G08843 4.500% 10/01/48		3,202,797		3,380,201
Pool #G08826 5.000% 6/01/48		946,770		1,015,319
Pool #G08844 5.000% 10/01/48		358,789		384,654

The accompanying notes are an integral part of the financial statements.

82

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Federal National Mortgage Association Pool #AN1609 2.950% 5/01/31	$	2,188,953	$	2,325,994
Pool #MA3029 3.000% 6/01/32		839,578		860,635
Pool #MA1607 3.000% 10/01/33		3,879,934		3,996,308
Pool #AN1282 3.010% 4/01/28		1,900,000		2,018,089
Pool #AN6128 3.270% 7/01/32		1,880,000		2,029,635
Pool #BL2360 3.450% 5/01/34		1,760,000		1,959,283
Pool #AN0877 3.500% 2/01/31		939,952		1,021,120
Pool #AB4262 3.500% 1/01/32		2,916,569		3,034,318
Pool #MA1148 3.500% 8/01/42		6,853,410		7,179,357
Pool #CA0996 3.500% 1/01/48		211,436		221,096
Pool #MA3276 3.500% 2/01/48		869,852		897,903
Pool #MA3305 3.500% 3/01/48		2,914,190		3,008,165
Pool #MA3332 3.500% 4/01/48		119,998		123,867
Pool #AM7122 3.610% 11/01/34		1,813,722		2,036,710
Pool #BL1460 3.740% 2/01/29		4,400,000		4,884,048
Pool #BL0661 3.990% 11/01/33		4,267,940		4,993,600
Pool #MA2995 4.000% 5/01/47		2,532,971		2,652,161
Pool #AS9830 4.000% 6/01/47		2,256,820		2,363,721
Pool #MA3027 4.000% 6/01/47		2,345,938		2,456,328
Pool #AS9972 4.000% 7/01/47		1,936,605		2,028,338
Pool #AL9106 4.500% 2/01/46		764,602		812,252
Pool #CA1710 4.500% 5/01/48		4,348,357		4,601,682
Pool #CA1711 4.500% 5/01/48		79,090		83,697
Pool #CA2208 4.500% 8/01/48		3,550,513		3,745,152
Government National Mortgage Association II Pool #MA4126 3.000% 12/20/46		5,195,632		5,346,837
Pool #MA4836 3.000% 11/20/47		4,373,360		4,493,801
Pool #MA4127 3.500% 12/20/46		3,322,816		3,455,709
Pool #MA4382 3.500% 4/20/47		725,946		754,753
Pool #MA4719 3.500% 9/20/47		7,024,450		7,296,606
Pool #MA4837 3.500% 11/20/47		922,495		957,084
Pool #MA4962 3.500% 1/20/48		5,906,128		6,123,881
Pool #MA5019 3.500% 2/20/48		3,261,395		3,381,640
Pool #MA4838 4.000% 11/20/47		2,016,463		2,108,920
Pool #MA4901 4.000% 12/20/47		1,702,011		1,779,385
Pool #MA5078 4.000% 3/20/48		1,688,987		1,760,490
Pool #MA5466 4.000% 9/20/48		1,188,686		1,235,295
Pool #MA5528 4.000% 10/20/48		4,924,213		5,117,293
Pool #MA4264 4.500% 2/20/47		759,454		805,289
Pool #MA4512 4.500% 6/20/47		5,651,762		5,987,564
Pool #MA3666 5.000% 5/20/46		82,658		90,078
Pool #MA3806 5.000% 7/20/46		514,267		558,346
Pool #MA4072 5.000% 11/20/46		98,904		108,865
Pool #MA4454 5.000% 5/20/47		2,510,859		2,686,840
Government National Mortgage Association II TBA Pool #1581 3.000% 5/01/49 (d)		13,875,000		14,224,585
Uniform Mortgage-Backed Securities TBA Pool #56 2.500% 7/01/49 (d)		3,175,000		3,158,381

	Principal Amount		Value
Pool #6560 2.500% 6/01/34 (d)	$	1,050,000	$	1,058,941
Pool #1817 3.000% 6/01/49 (d)		34,075,000		34,564,828
Pool #29322 5.000% 10/01/48 (d)		3,050,000		3,268,504
				286,107,584
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $303,182,053)				309,294,410
U.S. TREASURY OBLIGATIONS — 23.8%
U.S. Treasury Bonds & Notes — 23.8%
U.S. Treasury Inflation Index 0.125% 7/15/24		1,318,186		1,316,532
0.250% 7/15/29		9,374,854		9,446,457
0.500% 4/15/24		7,735,435		7,828,019
1.000% 2/15/49		9,120,062		10,234,458
U.S. Treasury Note 1.250% 8/31/24 (b)		36,986,000		36,470,940
1.500% 8/31/21		8,542,000		8,517,642
1.500% 9/30/21		2,820,000		2,813,253
1.500% 9/30/24		56,850,000		56,712,315
1.625% 8/15/29		8,511,000		8,474,429
1.750% 6/30/24		5,190,000		5,234,298
1.750% 7/31/24		16,514,000		16,661,401
2.250% 8/15/49		36,844,000		37,898,947
2.875% 5/15/49		2,924,000		3,410,229
				205,018,920
TOTAL U.S. TREASURY OBLIGATIONS (Cost $204,101,581)				205,018,920
TOTAL BONDS & NOTES (Cost $872,859,452)				894,813,066
	Number of Shares
MUTUAL FUNDS — 2.1%
Diversified Financial Services — 2.1%
State Street Navigator Securities Lending Prime Portfolio (e)		18,344,695		18,344,695
TOTAL MUTUAL FUNDS (Cost $18,344,695)				18,344,695
TOTAL LONG-TERM INVESTMENTS (Cost $891,204,147)				913,157,761

The accompanying notes are an integral part of the financial statements.

83

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.4%
Repurchase Agreement — 0.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (f)	$	6,871,579	$	6,871,579
U.S. Treasury Bill — 2.6%
U.S. Treasury Bill 0.000% 10/01/19		21,570,000		21,570,000
0.000% 12/26/19 (g)		1,095,000		1,090,331
				22,660,331
TOTAL SHORT-TERM INVESTMENTS (Cost $29,531,649)				29,531,910
TOTAL INVESTMENTS — 109.4% (Cost $920,735,796) (h)				942,689,671
Other Assets/(Liabilities) — (9.4)%				(81,118,877	)
NET ASSETS — 100.0%			$	861,570,794

Abbreviation Legend

ABS Asset-Backed Security

BAB Build America Bonds

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

MBS Mortgage-Backed Security

MTA Monthly Treasury Average Index

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $95,704,043 or 11.11% of net assets.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $17,972,197 or 2.09% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(c) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2019.

(d) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(e) Represents investment of security lending collateral. (Note 2).

(f) Maturity value of $6,871,761. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.500%, maturity dates ranging from 2/15/23 – 3/31/23, and an aggregate market value, including accrued interest, of $7,010,315.

(g) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(h) See Note 6 for aggregate cost for federal tax purposes.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount			Value/ Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Ultra Bond		12/19/19		22	$	4,244,811		$	(22,873	)
U.S. Treasury Note 2 Year		12/31/19		368		79,487,296			(183,296	)
U.S. Treasury Note 5 Year		12/31/19		360		43,077,238			(183,800	)
								$	(389,969	)
Short
Euro-BOBL		12/06/19		113	$	(16,830,556	)	$	123,307
U.S. Treasury Ultra 10 Year		12/19/19		11		(1,585,727	)		19,258
								$	142,565

The accompanying notes are an integral part of the financial statements.

84

MassMutual Select Total Return Bond Fund – Portfolio of Investments (Continued)

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/ Reference	Frequency	Rate/ Reference	Frequency	Termination Date		Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
3-Month USD LIBOR	Quarterly	Fixed 2.263%	Semi-Annually	4/11/22	USD		45,835,000	$	716,446		$	-	$	716,446
3-Month USD LIBOR	Quarterly	Fixed 2.282%	Semi-Annually	5/08/22	USD		24,765,000		402,143			-		402,143
Fixed 2.337%	Semi-Annually	3-Month USD LIBOR	Quarterly	4/11/25	USD		18,845,000		(800,726	)		-		(800,726	)
Fixed 2.370%	Semi-Annually	3-Month USD LIBOR	Quarterly	5/08/25	USD		10,140,000		(447,879	)		-		(447,879	)
								$	(130,016	)	$	-	$	(130,016	)

Collateral for swap agreements held by CitiBank N.A. amounted to $340,604 in cash at September 30, 2019.

Currency Legend

USD U.S. Dollar

The accompanying notes are an integral part of the financial statements.

85

MassMutual Select Strategic Bond Fund – Portfolio of Investments

September 30, 2019

	Principal Amount		Value
BONDS & NOTES — 99.3%
BANK LOANS — 3.3%
Auto Parts & Equipment — 0.1%
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.500% 5.544% VRN 4/30/26	$	450,000	$	445,221
Building Materials — 0.0%
APi Group DE, Inc., Term Loan B, 0.000% 9/25/26 (a)		270,000		270,675
Commercial Services — 0.3%
Allied Universal Holdco LLC 2019 Delayed Draw Term Loan, 2.125% VRN 7/10/26 (b) (c)		19,820		19,829
2019 Term Loan B, 3 mo. LIBOR + 4.250% 6.507% VRN 7/10/26		200,180		200,274
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 1 mo. LIBOR + 1.750% 3.794% VRN 1/15/25		741,097		743,380
BrightView Landscapes LLC, 2018 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% 4.563% VRN 8/15/25		129,605		129,929
BrightView Landscapes LLC, 2018 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% 4.938% VRN 8/15/25		107,395		107,664
Prime Security Services Borrower LLC, 2019 Term Loan B1, 1 Week LIBOR + 3.250% 5.210% VRN 9/23/26		694,288		686,589
ServiceMaster Co., 2016 Term Loan B, 1 mo. LIBOR + 2.500% 4.544% VRN 11/08/23		32,526		32,508
TKC Holdings, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.750% 5.800% VRN 2/01/23		348,194		341,477
Trans Union LLC, Term Loan B3, 1 mo. LIBOR + 2.000% 4.044% VRN 4/10/23		148,080		148,492
				2,410,142
Computers — 0.0%
Dell International LLC, 2019 Term Loan B, 1 mo. LIBOR + 2.000% 4.050% VRN 9/19/25		169,155		169,896
Western Digital Corp., 2018 Term Loan B4, 3 mo. LIBOR + 1.750% 3.862% VRN 4/29/23		141,413		140,853
				310,749

	Principal Amount		Value
Diversified Financial Services — 0.2%
Citadel Securities LP, Term Loan B, 0.000% 2/27/26 (a)	$	249,373	$	249,997
Edelman Financial Center LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.250% 5.307% VRN 7/21/25		466,973		467,304
Focus Financial Partners LLC, 2018 Incremental Term Loan, 1 mo. LIBOR + 2.500% 4.544% VRN 7/03/24		99,536		99,856
Jane Street Group LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.000% 5.046% VRN 8/25/22		358,116		356,773
LPL Holdings, Inc., 2017 1st Lien Term Loan B, 1 mo. LIBOR + 2.250% 4.304% VRN 9/23/24		69,468		69,773
VFH Parent LLC, 2019 Term Loan B, 0.000% 3/01/26 (a)		50,000		50,062
				1,293,765
Entertainment — 0.2%
PCI Gaming Authority, Term Loan, 1 mo. LIBOR + 3.000% 5.044% VRN 5/29/26		319,200		320,796
Scientific Games International, Inc. 2018 Term Loan B5, 4.794% 8/14/24		139,242		137,937
2018 Term Loan B5, 2 mo. LIBOR + 2.750% 4.896% VRN 8/14/24		576,454		571,053
Stars Group Holdings B.V. (The), 2018 USD Incremental Term Loan, 3 mo. LIBOR + 3.500% 5.604% VRN 7/10/25		27,669		27,773
				1,057,559
Health Care – Products — 0.1%
HC Group Holdings II, Inc., Term Loan B, 1 mo. LIBOR + 4.500% 6.544% VRN 5/21/26		350,000		348,688
Health Care – Services — 0.3%
HCA, Inc., 2018 Term Loan B10, 1 mo. LIBOR + 2.000% 4.044% VRN 3/13/25		164,808		165,200
Jaguar Holding Co. II, 2018 Term Loan, 1 mo. LIBOR + 2.500% 4.544% VRN 8/18/22		176,036		176,096
MPH Acquisition Holdings LLC, 2016 Term Loan B, 3 mo. LIBOR + 2.750% 4.854% VRN 6/07/23		766,755		729,215

The accompanying notes are an integral part of the financial statements.

86

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Phoenix Guarantor, Inc., Term Loan B, 1 mo. LIBOR + 4.500% 6.567% VRN 3/05/26	$	408,068	$	408,493
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.500% 6.554% VRN 11/17/25		745,594		745,713
				2,224,717
Holding Companies-Diversified — 0.0%
First Eagle Investment Management LLC, 2018 Term Loan B, 3 mo. LIBOR + 2.750% 4.854% VRN 12/26/24		208,649		208,737
Insurance — 0.1%
Asurion LLC 2017 Term Loan B4, 1 mo. LIBOR + 3.000% 5.044% VRN 8/04/22		506,438		508,246
2018 Term Loan B7, 1 mo. LIBOR + 3.000% 5.044% VRN 11/03/24		347,812		348,876
				857,122
Internet — 0.1%
McAfee LLC, 2018 USD Term Loan B, 1 mo. LIBOR + 3.750% 5.794% VRN 9/30/24		407,942		408,684
Investment Companies — 0.1%
RPI Finance Trust, Term Loan B6, 1 mo. LIBOR + 2.000% 4.044% VRN 3/27/23		517,364		519,951
UFC Holdings LLC, 2019 Term Loan, 1 mo. LIBOR + 3.250% 5.300% VRN 4/29/26		427,795		428,569
				948,520
Leisure Time — 0.1%
Alterra Mountain Co., Term Loan B1, 1 mo. LIBOR + 3.000% 5.044% VRN 7/31/24		377,121		377,593
Lodging — 0.3%
Boyd Gaming Corp., Term Loan B3, 1 Week LIBOR + 2.250% 4.166% VRN 9/15/23		99,631		99,869
Caesars Entertainment Operating Co., Exit Term Loan, 1 mo. LIBOR + 2.000% 4.044% VRN 10/06/24		277,154		276,966
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 1 mo. LIBOR + 2.750% 4.794% VRN 12/22/24		822,627		816,868

	Principal Amount		Value
CityCenter Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.250% 4.294% VRN 4/18/24	$	490,363	$	491,128
Four Seasons Hotels Ltd., New 1st Lien Term Loan, 1 mo. LIBOR + 2.000% 4.044% VRN 11/30/23		162,052		162,750
Golden Nugget, Inc. 2017 Incremental Term Loan B, 1 mo. LIBOR + 2.750% 4.794% VRN 10/04/23		137,274		137,031
2017 Incremental Term Loan B, 1 mo. LIBOR + 2.750% 4.807% VRN 10/04/23		110,590		110,394
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.750% 3.768% VRN 6/22/26		246,204		247,600
				2,342,606
Media — 0.3%
Charter Communications Operating LLC, 2017 Term Loan B, 3 mo. LIBOR + 2.000% 4.050% VRN 4/30/25		846,582		851,238
Diamond Sports Group LLC, Term Loan, 1 mo. LIBOR + 3.250% 5.300% VRN 8/24/26		170,000		170,850
Entercom Media Corp., 2017 Term Loan B, 1 mo. LIBOR + 2.750% 4.804% VRN 11/18/24		138,123		138,157
iHeartCommunications, Inc., Exit Term Loan, 1 mo. LIBOR + 4.000% 6.100% VRN 5/01/26		353,264		355,352
Univision Communications, Inc., Term Loan C5, 1 mo. LIBOR + 2.750% 4.794% VRN 3/15/24		414,056		402,065
Ziggo Secured Finance Partnership, USD Term Loan E, 1 mo. LIBOR + 2.500% 4.528% VRN 4/15/25		218,250		217,696
				2,135,358
Other Commerical Service — 0.0%
Atlantic Aviation FBO, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.750% 5.800% VRN 12/06/25		99,250		99,870
Packaging & Containers — 0.1%
Berry Global, Inc., Term Loan Q, 1 mo. LIBOR + 2.250% 4.299% VRN 10/01/22		92,351		92,732
Reynolds Group Holdings, Inc., USD 2017 Term Loan, 1 mo. LIBOR + 2.750% 4.794% VRN 2/05/23		629,537		630,324
				723,056

The accompanying notes are an integral part of the financial statements.

87

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pharmaceuticals — 0.1%
Bausch Health Cos., Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.000% 5.039% VRN 6/02/25	$	336,134	$	337,361
Pipelines — 0.0%
Blackstone CQP Holdco LP, Term Loan B, 3 mo. LIBOR + 3.500% 5.656% VRN 9/30/24		129,675		130,161
Real Estate Investment Trusts (REITS) — 0.0%
MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 1 mo. LIBOR + 2.000% 4.044% VRN 3/21/25		265,714		266,121
Retail — 0.2%
1011778 B.C. Unlimited Liability Co., Term Loan B3, 1 mo. LIBOR + 2.250% 4.294% VRN 2/16/24		162,438		162,925
Academy, Ltd., 2015 Term Loan B, 1 mo. LIBOR + 4.000% 6.100% VRN 7/01/22		244,258		170,108
Albertsons LLC 2019 Term Loan B7, 1 mo. LIBOR + 2.750% 4.794% VRN 11/17/25		138,816		139,603
2019 Term Loan B8, 1 mo. LIBOR + 2.750% 4.794% VRN 8/17/26		274,785		276,404
Michaels Stores, Inc. 2018 Term Loan B, 1 mo. LIBOR + 2.500% 4.544% VRN 1/30/23		111,472		108,741
2018 Term Loan B, 1 mo. LIBOR + 2.500%, 4.546% VRN 1/30/23		40,034		39,053
Party City Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.500% 4.550% VRN 8/19/22		189,057		187,246
				1,084,080
Software — 0.4%
Athenahealth, Inc., 2019 Term Loan B, 3 mo. LIBOR + 4.500% 6.681% VRN 2/11/26		656,700		654,237
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.500% 4.544% VRN 3/01/24		779,027		774,937
DigiCert Holdings, Inc., 2019 Term Loan B, 0.000% 8/13/26 (a)		540,000		537,975

	Principal Amount		Value
DigiCert, Inc., 2017 Term Loan B1, 1 mo. LIBOR + 4.000% 6.044% VRN 10/31/24	$	835,655	$	833,566
MA FinanceCo. LLC, USD Term Loan B3, 1 mo. LIBOR + 2.500% 4.544% VRN 6/21/24		11,469		11,306
Seattle Spinco, Inc., USD Term Loan B3, 1 mo. LIBOR + 2.500% 4.544% VRN 6/21/24		77,452		76,354
				2,888,375
Telecommunications — 0.3%
Altice France S.A., USD Term Loan B12, 1 mo. LIBOR + 3.688% 5.715% VRN 1/31/26		274,351		272,123
Intelsat Jackson Holdings S.A., 2017 Term Loan B3, 1 mo. LIBOR + 3.750% 5.804% VRN 11/27/23		160,000		160,350
Level 3 Financing, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.250% 4.294% VRN 2/22/24		546,000		546,797
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 3 mo. LIBOR + 2.750% 4.807% VRN 9/18/26		440,000		441,786
Sprint Communications, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 2.500% 4.563% VRN 2/02/24		60,133		59,664
Virgin Media Bristol LLC, USD Term Loan K, 1 mo. LIBOR + 2.500% 4.528% VRN 1/15/26		613,954		613,954
				2,094,674
Transportation — 0.0%
Global Medical Response, Inc., 2018 Term Loan B1, 1 mo. LIBOR + 3.250% 5.307% VRN 4/28/22		220,512		205,949
TOTAL BANK LOANS (Cost $23,631,737)				23,469,783
CORPORATE DEBT — 28.9%
Aerospace & Defense — 0.7%
Boeing Capital Corp. 4.700% 10/27/19		150,000		150,229
The Boeing Co. 2.700% 2/01/27		90,000		91,521
2.800% 3/01/27		150,000		153,133
3.100% 5/01/26		80,000		83,800
3.200% 3/01/29		450,000		472,426
3.250% 2/01/35		560,000		580,281
3.750% 2/01/50		170,000		183,606
4.875% 2/15/20		10,000		10,093

The accompanying notes are an integral part of the financial statements.

88

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
L3Harris Technologies, Inc. 5.054% 4/27/45	$	280,000	$	351,316
Lockheed Martin Corp. 3.550% 1/15/26		350,000		375,244
4.500% 5/15/36		60,000		72,052
Northrop Grumman Corp. 2.930% 1/15/25		340,000		350,487
3.250% 1/15/28		730,000		766,133
Raytheon Co. 3.125% 10/15/20		120,000		121,431
United Technologies Corp. 3.950% 8/16/25		350,000		383,444
4.125% 11/16/28		390,000		441,240
4.500% 6/01/42		80,000		95,804
				4,682,240
Agriculture — 1.0%
Altria Group, Inc. 2.850% 8/09/22		160,000		161,910
3.490% 2/14/22		160,000		164,145
3.800% 2/14/24		180,000		188,166
4.400% 2/14/26		620,000		662,996
4.750% 5/05/21		290,000		301,527
4.800% 2/14/29		530,000		580,577
5.800% 2/14/39		1,120,000		1,297,124
5.950% 2/14/49		100,000		117,595
6.200% 2/14/59		140,000		164,153
BAT Capital Corp. 3.557% 8/15/27		500,000		503,640
4.540% 8/15/47		1,110,000		1,064,037
Philip Morris International, Inc. 1.875% 11/01/19		610,000		609,876
2.500% 8/22/22		80,000		80,760
2.500% 11/02/22		350,000		353,122
2.900% 11/15/21		240,000		243,807
4.500% 3/20/42		80,000		88,809
Reynolds American, Inc. 3.250% 6/12/20		65,000		65,411
5.850% 8/15/45		190,000		210,249
				6,857,904
Airlines — 0.0%
Delta Air Lines, Inc., Series 2007-1 Class A, 6.821% 2/10/24		144,215		158,290
Apparel — 0.0%
Hanesbrands, Inc. 4.625% 5/15/24 (d)		30,000		31,575
4.875% 5/15/26 (d)		110,000		116,215
				147,790
Auto Manufacturers — 0.3%
BMW US Capital LLC 1.850% 9/15/21 (d)		60,000		59,727

	Principal Amount		Value
Fiat Chrysler Automobiles NV 4.500% 4/15/20	$	200,000	$	201,420
Ford Motor Co. 4.750% 1/15/43		140,000		121,653
Ford Motor Credit Co. LLC 3.200% 1/15/21		200,000		200,267
8.125% 1/15/20		420,000		426,945
General Motors Co. 5.150% 4/01/38		40,000		40,386
5.950% 4/01/49		110,000		117,854
6.250% 10/02/43		300,000		328,660
General Motors Financial Co., Inc. 2.450% 11/06/20		110,000		109,947
3.450% 4/10/22		30,000		30,519
4.250% 5/15/23		10,000		10,437
4.375% 9/25/21		80,000		82,650
				1,730,465
Banks — 9.6%
Banco Santander SA 3 mo. USD LIBOR + 1.120% 3.460% FRN 4/12/23		200,000		200,184
3.800% 2/23/28		200,000		209,503
3.848% 4/12/23		400,000		416,837
4.379% 4/12/28		600,000		656,340
Bank of America Corp. 3 mo. USD LIBOR + .790% 3.004% VRN 12/20/23		270,000		275,742
3.300% 1/11/23		90,000		92,985
3 mo. USD LIBOR + 1.040% 3.419% VRN 12/20/28		770,000		804,189
3.500% 4/19/26		290,000		307,886
3 mo. USD LIBOR + .780% 3.550% VRN 3/05/24		470,000		488,454
3 mo. USD LIBOR + 1.370% 3.593% VRN 7/21/28		1,920,000		2,027,061
3 mo. USD LIBOR + 1.070% 3.970% VRN 3/05/29		600,000		650,104
3 mo. USD LIBOR + 1.210% 3.974% VRN 2/07/30		310,000		338,772
4.000% 4/01/24		270,000		289,427
4.000% 1/22/25		270,000		286,695
4.125% 1/22/24		290,000		312,124
4.200% 8/26/24		380,000		407,586
3 mo. USD LIBOR + 1.520% 4.330% VRN 3/15/50		250,000		294,575
4.450% 3/03/26		50,000		54,490
5.000% 1/21/44		1,010,000		1,281,348
3 mo. USD LIBOR + 3.705% 6.250% VRN 9/05/24		170,000		184,875
Bank of Montreal 5 year USD Swap + 1.432% 3.803% VRN 12/15/32		90,000		93,342

The accompanying notes are an integral part of the financial statements.

89

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Barclays PLC 3 mo. USD LIBOR + 1.902% 4.972% VRN 5/16/29	$	230,000	$	252,318
3 mo. USD LIBOR + 3.054% 5.088% VRN 6/20/30		1,210,000		1,261,660
BNP Paribas SA 3.375% 1/09/25 (d)		240,000		247,834
5 year USD Swap + 1.483% 4.375% VRN 3/01/33 (d)		220,000		232,035
4.400% 8/14/28 (d)		1,120,000		1,237,168
4.625% 3/13/27 (d)		260,000		281,949
3 mo. USD LIBOR + 2.235% 4.705% VRN 1/10/25 (d)		880,000		951,241
3 mo. USD LIBOR + 2.567% 5.198% VRN 1/10/30 (d)		640,000		749,017
Citigroup, Inc. 3 mo. USD LIBOR + 1.151% 3.520% VRN 10/27/28		1,400,000		1,464,107
3 mo. USD LIBOR + 1.338% 3.980% VRN 3/20/30		710,000		772,028
3 mo. USD LIBOR + 1.192% 4.075% VRN 4/23/29		750,000		816,636
4.125% 7/25/28		360,000		386,356
4.300% 11/20/26		1,070,000		1,152,644
4.400% 6/10/25		340,000		365,973
4.450% 9/29/27		480,000		523,716
4.650% 7/30/45		441,000		531,272
4.650% 7/23/48		70,000		85,667
4.750% 5/18/46		40,000		46,649
5.300% 5/06/44		16,000		19,892
5.500% 9/13/25		170,000		192,726
3 mo. USD LIBOR + 4.068% 5.950% VRN 1/30/23		100,000		104,000
3 mo. USD LIBOR + 3.905% 5.950% VRN 5/15/25		500,000		529,385
3 mo. USD LIBOR + 3.423% 6.300% VRN 5/15/24		80,000		84,986
6.625% 6/15/32		20,000		26,167
8.125% 7/15/39		310,000		508,243
Commonwealth Bank of Australia 5.000% 10/15/19 (d)		70,000		70,076
Cooperatieve Rabobank UA 4.375% 8/04/25		1,380,000		1,490,346
4.625% 12/01/23		250,000		268,370
4.750% 1/15/20 (d)		490,000		493,745
5.250% 8/04/45		295,000		370,159
Credit Agricole SA 5 year USD Swap + 1.644% 4.000% VRN 1/10/33 (d)		790,000		817,010
3 mo. USD LIBOR + 6.982% 8.375% VRN 10/29/49 (d)		480,000		480,768

	Principal Amount		Value
Credit Suisse Group AG 3 mo. USD LIBOR + 1.410% 3.869% VRN 1/12/29 (d)	$	250,000	$	262,959
4.282% 1/09/28 (d)		350,000		375,889
Credit Suisse Group Funding Guernsey Ltd. 4.550% 4/17/26		500,000		549,015
Danske Bank A/S 3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (d)		420,000		421,539
5.000% 1/12/22 (d)		740,000		777,998
5.375% 1/12/24 (d)		610,000		670,043
Goldman Sachs Capital II 3 mo. USD LIBOR + .768% 4.000% VRN 12/29/49		18,000		15,194
The Goldman Sachs Group, Inc. 3.200% 2/23/23		300,000		308,026
3.500% 11/16/26		200,000		207,770
3.625% 2/20/24		1,270,000		1,331,009
3 mo. USD LIBOR + 1.510% 3.691% VRN 6/05/28		2,140,000		2,244,677
3.850% 7/08/24		90,000		95,272
4.000% 3/03/24		100,000		106,562
3 mo. USD LIBOR + 1.301% 4.223% VRN 5/01/29		210,000		229,234
4.250% 10/21/25		260,000		278,227
4.750% 10/21/45		480,000		575,928
5.150% 5/22/45		1,200,000		1,424,161
5.250% 7/27/21		100,000		105,387
6.000% 6/15/20		290,000		297,688
6.250% 2/01/41		770,000		1,063,165
6.750% 10/01/37		80,000		107,991
HSBC Holdings PLC 3.400% 3/08/21		490,000		497,710
3.900% 5/25/26		370,000		391,648
3 mo. USD LIBOR + 1.610% 3.973% VRN 5/22/30		760,000		811,446
4.250% 8/18/25		330,000		348,409
4.300% 3/08/26		500,000		540,033
3 mo. USD LIBOR + 1.535% 4.583% VRN 6/19/29		1,280,000		1,417,693
5 year USD ICE Swap + 3.453% 6.250% VRN 3/23/23		270,000		279,045
5 year USD ICE Swap + 3.606% 6.500% VRN 3/23/28		480,000		502,056
6.500% 9/15/37		300,000		403,025
Intesa Sanpaolo SpA 3.125% 7/14/22 (d)		300,000		301,163
3.375% 1/12/23 (d)		210,000		211,736
5.017% 6/26/24 (d)		900,000		926,136
5.710% 1/15/26 (d)		200,000		212,484

The accompanying notes are an integral part of the financial statements.

90

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
JP Morgan Chase & Co. 3 mo. USD LIBOR + .945% 3.509% VRN 1/23/29	$	780,000	$	824,490
3.625% 5/13/24		80,000		84,726
3.875% 9/10/24		300,000		319,207
3 mo. USD LIBOR + 1.000% 4.023% VRN 12/05/24		940,000		1,002,291
3 mo. USD LIBOR + 1.260% 4.203% VRN 7/23/29		310,000		343,572
4.250% 10/01/27		70,000		76,905
4.350% 8/15/21		40,000		41,610
3 mo. USD LIBOR + 1.330% 4.452% VRN 12/05/29		1,190,000		1,345,202
4.950% 6/01/45		290,000		361,225
Lloyds Banking Group PLC 3 mo. USD LIBOR + 1.205% 3.574% VRN 11/07/28		200,000		204,088
3.900% 3/12/24		580,000		606,929
4.375% 3/22/28		200,000		217,501
4.550% 8/16/28		370,000		407,920
Mitsubishi UFJ Financial Group, Inc. 2.998% 2/22/22		160,000		162,846
Morgan Stanley 3 mo. USD LIBOR + 1.140% 3.772% VRN 1/24/29		1,050,000		1,122,217
3 mo. USD LIBOR + 1.628% 4.431% VRN 1/23/30		160,000		179,706
5.500% 7/24/20		200,000		205,388
Nordea Bank AB 4.875% 5/13/21 (d)		390,000		403,585
Royal Bank of Canada 2.150% 10/26/20		240,000		240,426
3.200% 4/30/21		270,000		275,079
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 1.762% 4.269% VRN 3/22/25		430,000		449,785
3 mo. USD LIBOR + 1.550% 4.519% VRN 6/25/24		200,000		210,327
5.125% 5/28/24		400,000		426,435
6.000% 12/19/23		240,000		263,500
6.100% 6/10/23		790,000		860,643
6.125% 12/15/22		110,000		119,027
Santander Holdings USA, Inc. 4.500% 7/17/25		50,000		53,641
Santander UK PLC 2.375% 3/16/20		140,000		140,105
5.000% 11/07/23 (d)		270,000		286,702
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		230,000		229,312
Svenska Handelsbanken AB 3.350% 5/24/21		250,000		255,240
The Toronto Dominion Bank 3.250% 6/11/21		330,000		336,935

	Principal Amount		Value
UBS Group Funding Switzerland AG 3.491% 5/23/23 (d)	$	500,000	$	513,252
4.125% 9/24/25 (d)		210,000		226,877
4.253% 3/23/28 (d)		1,100,000		1,199,846
5 year USD Swap + 4.344% 7.000% VRN 1/31/24 (d)		1,050,000		1,115,100
UniCredit SpA 6.572% 1/14/22 (d)		640,000		686,510
US Bank NA/Cincinnati OH 3.150% 4/26/21		270,000		274,409
Wachovia Capital Trust III 3 mo. USD LIBOR + .930% 5.570% VRN 3/29/49		630,000		632,363
Wells Fargo & Co. 3.000% 10/23/26		350,000		359,446
3.450% 2/13/23		120,000		123,925
3.750% 1/24/24		270,000		285,698
4.150% 1/24/29		630,000		698,532
4.300% 7/22/27		530,000		580,676
4.400% 6/14/46		180,000		202,117
4.480% 1/16/24		991,000		1,068,376
4.600% 4/01/21		40,000		41,458
4.650% 11/04/44		400,000		462,189
4.750% 12/07/46		890,000		1,050,698
4.900% 11/17/45		880,000		1,046,482
5.375% 11/02/43		110,000		138,000
3 mo. USD LIBOR + 3.990% 5.875% VRN 6/15/25		50,000		55,110
Westpac Banking Corp. 2.300% 5/26/20		50,000		50,091
2.600% 11/23/20		280,000		281,812
				67,926,512
Beverages — 0.7%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. 3.650% 2/01/26		790,000		846,324
4.900% 2/01/46		770,000		918,785
Anheuser-Busch InBev Finance, Inc. 2.650% 2/01/21		93,000		93,881
3.300% 2/01/23		189,000		196,217
Anheuser-Busch InBev Worldwide, Inc. 2.500% 7/15/22		240,000		243,345
4.000% 4/13/28		90,000		99,259
4.150% 1/23/25		320,000		349,503
5.550% 1/23/49		820,000		1,073,147
Diageo Capital PLC 4.828% 7/15/20		200,000		204,392
Diageo Investment Corp. 2.875% 5/11/22		150,000		153,424
Molson Coors Brewing Co. 3.000% 7/15/26		80,000		80,838
3.500% 5/01/22		30,000		30,890
4.200% 7/15/46		80,000		80,842

The accompanying notes are an integral part of the financial statements.

91

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
PepsiCo, Inc. 4.000% 3/05/42	$	50,000	$	57,537
Pernod Ricard SA 4.450% 1/15/22 (d)		250,000		262,273
				4,690,657
Biotechnology — 0.3%
Amgen, Inc. 2.125% 5/01/20		60,000		59,978
3.625% 5/22/24		30,000		31,782
4.663% 6/15/51		34,000		39,808
Celgene Corp. 2.250% 8/15/21		240,000		240,010
3.550% 8/15/22		40,000		41,484
3.625% 5/15/24		40,000		42,240
3.875% 8/15/25		10,000		10,794
5.000% 8/15/45		640,000		802,502
5.250% 8/15/43		70,000		88,327
Gilead Sciences, Inc. 2.550% 9/01/20		80,000		80,386
3.700% 4/01/24		210,000		222,301
4.500% 2/01/45		10,000		11,572
4.750% 3/01/46		200,000		238,049
				1,909,233
Chemicals — 0.2%
Equate Petrochemical BV 4.250% 11/03/26 (d)		430,000		462,577
Nutrien Ltd. 4.875% 3/30/20		50,000		50,609
OCP SA 4.500% 10/22/25 (d)		330,000		346,500
Syngenta Finance NV 3.933% 4/23/21 (d)		400,000		407,327
				1,267,013
Commercial Services — 0.3%
Cintas Corp. No 2 2.900% 4/01/22		160,000		163,498
3.700% 4/01/27		260,000		283,504
DP World PLC 5.625% 9/25/48 (d)		560,000		646,800
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.750% 4/15/26 (d)		210,000		218,673
UBM PLC 5.750% 11/03/20 (d)		110,000		113,411
United Rentals North America, Inc. 4.875% 1/15/28		150,000		156,000
5.500% 7/15/25		70,000		72,835
5.875% 9/15/26		90,000		95,967
6.500% 12/15/26		100,000		108,950
				1,859,638

	Principal Amount		Value
Computers — 0.5%
Apple, Inc. 1.550% 8/04/21	$	210,000	$	208,967
2.000% 11/13/20		270,000		270,567
2.450% 8/04/26		800,000		810,710
Dell International LLC/EMC Corp. 4.420% 6/15/21 (d)		970,000		1,000,175
International Business Machines Corp. 3.000% 5/15/24		990,000		1,026,438
				3,316,857
Diversified Financial Services — 0.5%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		160,000		165,180
Series WI, 5.000% 10/01/21		150,000		157,711
American Express Credit Corp. 2.375% 5/26/20		280,000		280,365
GE Capital International Funding Co. Unlimited Co. 2.342% 11/15/20		215,000		214,481
4.418% 11/15/35		380,000		397,677
ILFC E-Capital Trust II 3 mo. LIBOR + 1.800% 4.020% VRN 12/21/65 (d)		10,000		6,971
International Lease Finance Corp. 5.875% 8/15/22		70,000		76,693
8.625% 1/15/22		180,000		204,302
KKR Group Finance Co. II LLC 5.500% 2/01/43 (d)		20,000		24,218
Park Aerospace Holdings Ltd. 4.500% 3/15/23 (d)		10,000		10,348
5.250% 8/15/22 (d)		230,000		242,397
5.500% 2/15/24 (d)		50,000		54,020
Synchrony Financial 2.700% 2/03/20		200,000		200,227
Visa, Inc. 3.150% 12/14/25		1,020,000		1,087,191
4.300% 12/14/45		260,000		322,646
				3,444,427
Electric — 0.6%
Duke Energy Corp. 3.750% 4/15/24		100,000		106,050
Duke Energy Ohio, Inc. 3.650% 2/01/29		440,000		481,410
Exelon Corp. 5.625% 6/15/35		290,000		362,524
FirstEnergy Corp. 3.900% 7/15/27		710,000		756,567
4.250% 3/15/23		310,000		327,888
4.850% 7/15/47		240,000		286,946
7.375% 11/15/31		1,460,000		2,065,762
				4,387,147

The accompanying notes are an integral part of the financial statements.

92

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Environmental Controls — 0.2%
Republic Services, Inc. 2.500% 8/15/24	$	230,000	$	232,443
Waste Management, Inc. 3.200% 6/15/26		140,000		147,626
3.450% 6/15/29		210,000		226,784
3.500% 5/15/24		90,000		94,836
4.000% 7/15/39		140,000		159,015
4.150% 7/15/49		200,000		233,068
4.600% 3/01/21		30,000		30,873
				1,124,645
Foods — 0.3%
Danone SA 2.077% 11/02/21 (d)		250,000		249,633
2.589% 11/02/23 (d)		310,000		314,252
2.947% 11/02/26 (d)		550,000		562,936
Kraft Heinz Foods Co. 3.000% 6/01/26		470,000		465,011
3.950% 7/15/25		60,000		62,803
4.875% 2/15/25 (d)		29,000		29,855
Lamb Weston Holdings, Inc. 4.625% 11/01/24 (d)		40,000		42,096
Mars, Inc. 2.700% 4/01/25 (d)		240,000		246,260
3.200% 4/01/30 (d)		140,000		148,107
WM Wrigley Jr. Co. 2.900% 10/21/19 (d)		130,000		130,050
3.375% 10/21/20 (d)		10,000		10,143
				2,261,146
Health Care – Products — 0.3%
Abbott Laboratories 3.750% 11/30/26		119,000		129,644
4.750% 11/30/36		140,000		171,180
4.900% 11/30/46		360,000		464,414
Becton Dickinson and Co. 3.363% 6/06/24		750,000		782,316
3.734% 12/15/24		65,000		68,778
4.685% 12/15/44		40,000		46,438
Medtronic, Inc. 3.500% 3/15/25		194,000		208,238
4.625% 3/15/45		28,000		35,945
				1,906,953
Health Care – Services — 0.6%
Aetna, Inc. 2.800% 6/15/23		40,000		40,483
Anthem, Inc. 2.950% 12/01/22		330,000		336,338
3.125% 5/15/22		50,000		51,146
3.350% 12/01/24		120,000		124,770
3.650% 12/01/27		510,000		535,902
3.700% 8/15/21		70,000		71,691

	Principal Amount		Value
Centene Corp. 4.750% 5/15/22	$	140,000	$	142,828
4.750% 1/15/25		80,000		82,120
5.625% 2/15/21		70,000		70,995
CommonSpirit Health 4.350% 11/01/42		20,000		21,437
Fresenius Medical Care US Finance II, Inc. 4.125% 10/15/20 (d)		50,000		50,622
4.750% 10/15/24 (d)		70,000		75,395
5.875% 1/31/22 (d)		50,000		53,354
HCA, Inc. 4.500% 2/15/27		40,000		42,887
4.750% 5/01/23		250,000		267,784
5.000% 3/15/24		50,000		54,597
5.250% 6/15/26		60,000		66,811
5.375% 9/01/26		30,000		32,961
5.500% 6/15/47		130,000		146,157
5.625% 9/01/28		20,000		22,286
5.875% 5/01/23		30,000		33,000
5.875% 2/15/26		10,000		11,178
Humana, Inc. 3.150% 12/01/22		40,000		40,947
3.950% 3/15/27		190,000		201,658
4.625% 12/01/42		70,000		77,900
4.800% 3/15/47		10,000		11,508
4.950% 10/01/44		60,000		69,607
UnitedHealth Group, Inc. 2.700% 7/15/20		250,000		251,400
2.875% 12/15/21		160,000		163,061
3.700% 8/15/49		120,000		127,051
3.750% 7/15/25		50,000		53,761
3.875% 12/15/28		110,000		121,109
3.875% 8/15/59		170,000		180,261
4.250% 6/15/48		200,000		229,622
5.800% 3/15/36		70,000		93,362
				3,955,989
Home Builders — 0.1%
Lennar Corp. 4.500% 4/30/24		120,000		126,420
4.750% 11/29/27		190,000		203,775
5.000% 6/15/27		20,000		21,400
NVR, Inc. 3.950% 9/15/22		100,000		104,290
Toll Brothers Finance Corp. 4.375% 4/15/23		110,000		115,225
				571,110
Housewares — 0.0%
Newell Brands, Inc. 3.850% 4/01/23		113,000		116,322

The accompanying notes are an integral part of the financial statements.

93

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Insurance — 0.3%
Ambac Assurance Corp. 5.100% 6/07/20 (d)	$	4,362	$	6,335
Ambac LSNI LLC 3 mo. USD LIBOR + 5.000% 7.104% FRN 2/12/23 (d)		18,606		18,792
American International Group, Inc. 6.250% 3/15/87		234,000		249,210
Berkshire Hathaway Finance Corp. 4.250% 1/15/49		550,000		651,136
Brighthouse Financial, Inc. 4.700% 6/22/47		70,000		62,448
Chubb INA Holdings, Inc. 2.300% 11/03/20		70,000		70,226
MetLife Capital Trust IV 7.875% 12/15/67 (d)		200,000		263,000
MetLife, Inc. 6.400% 12/15/66		190,000		225,322
Reliance Standard Life Global Funding II 2.500% 1/15/20 (d)		90,000		90,066
Teachers Insurance & Annuity Association of America 4.900% 9/15/44 (d)		200,000		248,636
6.850% 12/16/39 (d)		22,000		32,517
Voya Financial, Inc. 5.700% 7/15/43		160,000		204,834
				2,122,522
Internet — 0.2%
Amazon.com, Inc. 3.150% 8/22/27		470,000		499,288
3.875% 8/22/37		160,000		184,084
4.050% 8/22/47		210,000		252,297
4.950% 12/05/44		180,000		238,275
Netflix, Inc. 5.375% 2/01/21		70,000		72,100
				1,246,044
Iron & Steel — 0.2%
ArcelorMittal 4.550% 3/11/26		220,000		230,187
6.125% 6/01/25 (e)		480,000		540,134
6.250% STEP 2/25/22		50,000		54,027
7.000% STEP 10/15/39		60,000		72,667
Vale Overseas Ltd. 6.875% 11/21/36		174,000		220,458
				1,117,473
Leisure Time — 0.0%
VOC Escrow Ltd. 5.000% 2/15/28 (d)		210,000		216,846

	Principal Amount		Value
Lodging — 0.3%
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.625% 4/01/25	$	20,000	$	20,600
4.875% 4/01/27		270,000		284,378
Las Vegas Sands Corp. 3.200% 8/08/24		1,040,000		1,059,274
Sands China Ltd. 4.600% 8/08/23		200,000		211,678
5.125% 8/08/25		750,000		823,440
				2,399,370
Machinery – Construction & Mining — 0.0%
ABB Finance USA, Inc. 4.375% 5/08/42		20,000		24,244
Machinery – Diversified — 0.0%
John Deere Capital Corp. 1.700% 1/15/20		40,000		39,947
Media — 1.3%
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20		300,000		302,687
4.200% 3/15/28		920,000		967,529
4.908% 7/23/25		340,000		372,965
5.050% 3/30/29		640,000		716,014
5.375% 4/01/38		480,000		536,176
5.750% 4/01/48		470,000		535,797
6.484% 10/23/45		160,000		194,692
6.834% 10/23/55		60,000		75,811
Comcast Corp. 3.150% 3/01/26		130,000		136,121
3.375% 8/15/25		170,000		179,775
3.950% 10/15/25		170,000		185,038
3.999% 11/01/49		55,000		61,084
4.150% 10/15/28		1,460,000		1,637,720
4.200% 8/15/34		160,000		182,857
4.250% 10/15/30		430,000		489,122
4.250% 1/15/33		20,000		23,001
4.700% 10/15/48		20,000		24,489
6.500% 11/15/35		200,000		280,217
DISH DBS Corp. 5.875% 11/15/24		440,000		436,150
7.750% 7/01/26		50,000		50,875
Fox Corp. 5.476% 1/25/39 (d)		90,000		110,311
5.576% 1/25/49 (d)		230,000		291,052

The accompanying notes are an integral part of the financial statements.

94

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Myriad International Holdings BV 4.850% 7/06/27 (d)	$	430,000	$	474,422
NBCUniversal Media LLC 4.375% 4/01/21		170,000		176,000
Time Warner Cable, Inc. 4.125% 2/15/21		140,000		142,521
6.550% 5/01/37		10,000		12,005
6.750% 6/15/39		120,000		146,692
7.300% 7/01/38		210,000		265,586
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		27,664
Viacom, Inc. 3.875% 4/01/24		30,000		31,553
4.250% 9/01/23		50,000		53,021
The Walt Disney Co. 6.200% 12/15/34 (d)		20,000		28,452
6.650% 11/15/37 (d)		120,000		180,344
				9,327,743
Mining — 1.0%
Alcoa Nederland Holding BV 6.750% 9/30/24 (d)		240,000		252,300
Anglo American Capital PLC 3.625% 9/11/24 (d)		560,000		578,521
3.750% 4/10/22 (d)		200,000		205,361
4.750% 4/10/27 (d)		470,000		506,843
Barrick Gold Corp. 5.250% 4/01/42		80,000		97,058
Barrick North America Finance LLC 5.700% 5/30/41		180,000		226,220
5.750% 5/01/43		210,000		274,960
BHP Billiton Finance USA Ltd. 2.875% 2/24/22		20,000		20,401
5.000% 9/30/43		300,000		387,311
5 year USD Swap + 5.093% 6.750% VRN 10/19/75 (d)		500,000		584,375
Freeport-McMoRan, Inc. 3.550% 3/01/22		99,000		99,248
3.875% 3/15/23		10,000		10,075
4.550% 11/14/24		10,000		10,248
5.450% 3/15/43		216,000		194,616
Glencore Funding LLC 2.875% 4/16/20 (d)		80,000		80,270
3.875% 10/27/27 (d)		170,000		173,077
4.000% 3/27/27 (d)		1,470,000		1,510,982
4.125% 5/30/23 (d)		130,000		136,047
4.125% 3/12/24 (d)		510,000		534,966
Southern Copper Corp. 5.250% 11/08/42		870,000		980,163
Teck Resources Ltd. 6.000% 8/15/40		20,000		21,635
				6,884,677

	Principal Amount		Value
Miscellaneous – Manufacturing — 0.5%
3M Co. 2.375% 8/26/29	$	250,000	$	248,665
Eaton Corp. 2.750% 11/02/22		570,000		579,998
4.150% 11/02/42		110,000		121,819
General Electric Co. 5.500% 1/08/20		40,000		40,310
4.375% 9/16/20		60,000		61,037
5.300% 2/11/21		75,000		77,491
4.650% 10/17/21		170,000		176,838
6.750% 3/15/32		210,000		264,079
6.150% 8/07/37		330,000		406,270
5.875% 1/14/38		286,000		343,882
6.875% 1/10/39		1,196,000		1,582,234
				3,902,623
Oil & Gas — 3.6%
Apache Corp. 4.250% 1/15/44		570,000		507,591
4.375% 10/15/28		990,000		1,013,835
4.750% 4/15/43		90,000		86,229
5.100% 9/01/40		460,000		458,428
6.000% 1/15/37		17,000		18,585
BP Capital Markets America, Inc. 3.119% 5/04/26		290,000		302,355
3.410% 2/11/26		270,000		284,959
3.588% 4/14/27		330,000		352,080
BP Capital Markets PLC 3.506% 3/17/25		550,000		583,636
3.535% 11/04/24		110,000		116,577
3.561% 11/01/21		20,000		20,594
Cimarex Energy Co. 3.900% 5/15/27		530,000		539,627
CNOOC Finance USA LLC 3.500% 5/05/25		1,040,000		1,084,012
Concho Resources, Inc. 3.750% 10/01/27		30,000		31,181
4.300% 8/15/28		990,000		1,066,257
ConocoPhillips Holding Co. 6.950% 4/15/29		125,000		170,390
Continental Resources, Inc. 3.800% 6/01/24		110,000		112,096
4.375% 1/15/28		220,000		227,212
4.500% 4/15/23		560,000		581,368
Devon Energy Corp. 4.750% 5/15/42		10,000		10,983
5.000% 6/15/45		600,000		693,795
5.600% 7/15/41		400,000		485,501
5.850% 12/15/25		220,000		261,492
Diamondback Energy, Inc. 5.375% 5/31/25		100,000		104,356
Ecopetrol SA 5.875% 5/28/45		1,300,000		1,516,138
EOG Resources, Inc. 4.150% 1/15/26		120,000		132,715

The accompanying notes are an integral part of the financial statements.

95

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Exxon Mobil Corp. 3.043% 3/01/26	$	210,000	$	220,054
4.114% 3/01/46		520,000		615,561
KazMunayGas National Co. JSC 5.375% 4/24/30 (d)		200,000		224,750
Noble Energy, Inc. 3.850% 1/15/28		240,000		249,064
4.950% 8/15/47		70,000		76,403
5.250% 11/15/43		120,000		133,657
Oasis Petroleum, Inc. 6.875% 3/15/22		20,000		18,650
6.875% 1/15/23		30,000		27,450
Occidental Petroleum Corp. 2.600% 8/13/21		220,000		221,433
2.700% 8/15/22		310,000		312,885
2.900% 8/15/24		240,000		241,796
3.000% 2/15/27		130,000		128,972
3.125% 2/15/22		120,000		121,882
3.400% 4/15/26		170,000		172,645
3.500% 8/15/29		220,000		223,124
4.100% 2/15/47		580,000		565,495
4.200% 3/15/48		120,000		118,907
4.400% 4/15/46		50,000		50,928
4.625% 6/15/45		80,000		82,749
4.850% 3/15/21		311,000		321,614
5.550% 3/15/26		560,000		631,606
6.450% 9/15/36		240,000		296,902
6.600% 3/15/46		630,000		821,789
6.950% 7/01/24		230,000		269,795
7.875% 9/15/31		160,000		216,088
Petrobras Global Finance BV 5.299% 1/27/25		3,391,000		3,701,276
5.999% 1/27/28 (e)		900,000		1,002,150
6.125% 1/17/22		89,000		95,542
6.250% 3/17/24		332,000		372,836
7.375% 1/17/27		260,000		314,031
Petroleos Mexicanos 6.375% 1/23/45		220,000		204,050
6.625% 6/15/35		763,000		745,642
6.875% 8/04/26		160,000		172,000
QEP Resources, Inc. 6.875% 3/01/21		60,000		59,550
Range Resources Corp. 4.875% 5/15/25 (e)		30,000		24,750
5.000% 3/15/23		210,000		183,750
5.875% 7/01/22		10,000		9,575
Shell International Finance BV 2.875% 5/10/26		380,000		395,453
4.000% 5/10/46		310,000		356,876
4.375% 3/25/20		210,000		212,392
4.375% 5/11/45		190,000		229,590
4.550% 8/12/43		100,000		122,961

	Principal Amount		Value
Sinopec Group Overseas Development 2014 Ltd. 4.375% 4/10/24 (d)	$	330,000	$	355,803
WPX Energy, Inc. 8.250% 8/01/23		30,000		33,750
				25,718,168
Oil & Gas Services — 0.1%
Baker Hughes, Inc. 3.200% 8/15/21		55,000		55,821
Halliburton Co. 3.800% 11/15/25		240,000		254,214
4.850% 11/15/35		30,000		33,127
5.000% 11/15/45		500,000		558,348
Schlumberger Holdings Corp. 3.900% 5/17/28 (d)		51,000		53,981
Schlumberger Norge AS 4.200% 1/15/21 (d)		10,000		10,213
				965,704
Packaging & Containers — 0.0%
WestRock RKT LLC 4.000% 3/01/23		30,000		31,483
Pharmaceuticals — 1.8%
AbbVie, Inc. 2.900% 11/06/22		80,000		81,534
3.600% 5/14/25		130,000		135,211
Allergan Funding SCS 3.450% 3/15/22		30,000		30,744
3.800% 3/15/25		180,000		188,483
4.550% 3/15/35		90,000		95,540
Bristol-Myers Squibb Co. 2.600% 5/16/22 (d)		350,000		354,831
2.900% 7/26/24 (d)		700,000		721,660
3.200% 6/15/26 (d)		520,000		545,540
3.400% 7/26/29 (d)		250,000		267,030
Cigna Corp. 3.400% 9/17/21		210,000		214,718
3.750% 7/15/23		570,000		596,891
4.125% 11/15/25		160,000		171,791
4.375% 10/15/28		1,230,000		1,343,992
CVS Health Corp. 2.750% 12/01/22		120,000		121,410
3.350% 3/09/21		101,000		102,615
3.700% 3/09/23		940,000		978,482
3.875% 7/20/25		124,000		131,200
4.100% 3/25/25		310,000		331,224
4.300% 3/25/28		2,840,000		3,070,992
5.050% 3/25/48		560,000		635,560
5.125% 7/20/45		350,000		396,711
CVS Pass-Through Trust 5.298% 1/11/27 (d)		7,477		7,959
5.880% 1/10/28		85,361		94,883
6.036% 12/10/28		75,110		84,491
6.943% 1/10/30		65,341		77,176

The accompanying notes are an integral part of the financial statements.

96

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Eli Lilly & Co. 3.100% 5/15/27	$	100,000	$	105,156
GlaxoSmithKline Capital PLC 2.850% 5/08/22		20,000		20,418
Johnson & Johnson 3.625% 3/03/37		690,000		769,188
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22		40,000		34,300
3.650% 11/10/21		50,000		46,250
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21		160,000		147,600
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		750,000		686,250
2.800% 7/21/23		310,000		250,325
				12,840,155
Pipelines — 1.2%
Blue Racer Midstream LLC/Blue Racer Finance Corp. 6.125% 11/15/22 (d)		150,000		150,795
Cheniere Corpus Christi Holdings LLC 5.125% 6/30/27		150,000		164,156
El Paso Natural Gas Co. LLC 8.375% 6/15/32		289,000		399,376
Energy Transfer LP/Regency Energy Finance Corp. 4.500% 11/01/23		30,000		31,766
5.875% 3/01/22		100,000		106,951
Energy Transfer Operating LP 6.250% 4/15/49		30,000		36,433
Enterprise Products Operating LLC 4.150% 10/16/28		2,600,000		2,879,349
5.700% 2/15/42		40,000		50,264
Kinder Morgan Energy Partners LP 3.500% 3/01/21		110,000		111,663
3.500% 9/01/23		120,000		124,157
MPLX LP 4.000% 3/15/28		210,000		218,941
4.500% 4/15/38		620,000		642,671
4.700% 4/15/48		620,000		647,104
4.800% 2/15/29		320,000		353,266
4.875% 12/01/24		150,000		164,660
5.500% 2/15/49		250,000		289,929
Southern Natural Gas Co. LLC 8.000% 3/01/32		248,000		349,112
Transcontinental Gas Pipe Line Co. LLC 7.850% 2/01/26		60,000		76,104
Williams Cos., Inc. 5.250% 3/15/20		130,000		131,692
7.500% 1/15/31		330,000		433,571
7.750% 6/15/31		580,000		768,922
				8,130,882

	Principal Amount		Value
Real Estate Investment Trusts (REITS) — 0.1%
GLP Capital LP/GLP Financing II, Inc. 5.250% 6/01/25	$	10,000	$	11,015
5.375% 4/15/26		90,000		98,988
WEA Finance LLC/Westfield UK & Europe Finance PLC 3.750% 9/17/24 (d)		220,000		233,131
4.750% 9/17/44 (d)		250,000		292,105
				635,239
Retail — 0.2%
1011778 BC ULC/New Red Finance, Inc. 4.250% 5/15/24 (d)		200,000		205,820
McDonald’s Corp. 3.500% 3/01/27		210,000		224,456
3.700% 1/30/26		350,000		375,683
3.800% 4/01/28		110,000		120,555
QVC, Inc. 5.950% 3/15/43		10,000		10,018
Walmart, Inc. 3.700% 6/26/28		560,000		620,647
				1,557,179
Semiconductors — 0.0%
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.125% 1/15/25		200,000		198,598
Intel Corp. 3.700% 7/29/25		70,000		75,851
				274,449
Software — 0.7%
Microsoft Corp. 1.550% 8/08/21		360,000		358,492
2.400% 2/06/22		540,000		547,540
2.400% 8/08/26		1,620,000		1,649,896
2.700% 2/12/25		100,000		103,675
2.875% 2/06/24		380,000		395,855
3.300% 2/06/27		690,000		744,358
3.750% 2/12/45		400,000		458,163
3.950% 8/08/56		100,000		118,440
4.100% 2/06/37		170,000		201,618
salesforce.com, Inc. 3.250% 4/11/23		270,000		281,662
3.700% 4/11/28		90,000		98,784
				4,958,483
Telecommunications — 1.0%
Altice France SA 7.375% 5/01/26 (d)		530,000		568,271
America Movil SAB de CV 5.000% 3/30/20		100,000		101,292

The accompanying notes are an integral part of the financial statements.

97

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
AT&T, Inc. 3.000% 2/15/22	$	60,000	$	61,226
3.400% 5/15/25		580,000		605,140
4.250% 3/01/27		260,000		282,884
4.350% 6/15/45		390,000		409,834
6.250% 3/29/41		20,000		25,264
Qwest Corp. 6.875% 9/15/33		85,000		85,049
Sprint Corp. 7.250% 9/15/21		280,000		298,788
7.625% 2/15/25		150,000		165,000
7.875% 9/15/23		30,000		32,954
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 3.360% STEP 3/20/23 (d)		100,000		100,375
4.738% 9/20/29 (d)		220,000		233,862
Telefonica Emisiones SA 5.213% 3/08/47		150,000		174,481
Verizon Communications, Inc. 2.625% 8/15/26		300,000		303,935
3.376% 2/15/25		100,000		105,487
3.500% 11/01/24		160,000		169,190
3.875% 2/08/29		130,000		142,657
4.125% 3/16/27		130,000		143,543
4.329% 9/21/28		820,000		929,694
4.400% 11/01/34		270,000		308,865
4.500% 8/10/33		670,000		777,964
4.522% 9/15/48		240,000		283,770
4.862% 8/21/46		130,000		158,780
5.250% 3/16/37		170,000		210,470
5.500% 3/16/47		30,000		39,594
Vodafone Group PLC 4.375% 5/30/28		580,000		640,612
				7,358,981
Transportation — 0.2%
Union Pacific Corp. 3.750% 7/15/25		190,000		204,625
3.950% 9/10/28		620,000		683,929
4.500% 9/10/48		600,000		715,942
				1,604,496
Trucking & Leasing — 0.0%
DAE Funding LLC 5.750% 11/15/23 (d)		60,000		63,051
TOTAL CORPORATE DEBT (Cost $188,608,174)				203,734,097
MUNICIPAL OBLIGATIONS — 0.0%
Northeast Ohio Regional Sewer District 5.000% 11/15/43		50,000		56,634

	Principal Amount		Value
State of California 5.000% 4/01/42	$	70,000	$	75,984
5.000% 11/01/43		50,000		56,638
				189,256
TOTAL MUNICIPAL OBLIGATIONS (Cost $173,256)				189,256
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.8%
Auto Floor Plan ABS — 0.2%
Ford Credit Floorplan Master, Series 2018-4, Class A 4.060% 11/15/30		1,100,000		1,218,097
Automobile ABS — 0.0%
Hertz Vehicle Financing II LP, Series 2015-1A, Class C 4.350% 3/25/21 (d)		250,000		250,547
Commercial MBS — 3.2%
Banc of America Merrill Lynch Trust, Series 2016-GG10, Class AJA, 6.006% VRN 8/10/45 (c) (d)		721,150		510,695
BANK, Series 2017-BNK4, Class XA, 1.591% VRN 5/15/50 (c)		3,700,391		290,769
BBCCRE Trust, Series 2015-GTP, Class E, 4.715% VRN 8/10/33 (c) (d)		1,020,000		972,920
BX Trust Series 2017-APPL, Class A, 1 mo. USD LIBOR + .880% 2.908% FRN 7/15/34 (d)		407,539		407,290
Series 2018-IND, Class G, 1 mo. USD LIBOR + 2.050% 4.078% FRN 11/15/35 (d)		400,492		401,744
Series 2018-IND, Class H, 1 mo. USD LIBOR + 3.000% 5.028% FRN 11/15/35 (d)		1,719,760		1,723,548
CD Mortgage Trust, Series 2017-CD3, Class A4 3.631% 2/10/50		400,000		433,254
CHT Mortgage Trust, Series 2017-CSMO, Class A, 1 mo. USD LIBOR + .930% 2.958% FRN 11/15/36 (d)		460,000		460,010
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class AS 3.571% 2/10/48		390,000		406,312
Credit Suisse Mortgage Trust Series 2017-LSTK, Class A, 2.761% 4/05/33 (d)		430,000		430,292

The accompanying notes are an integral part of the financial statements.

98

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2015-GLPA, Class A, 3.881% 11/15/37 (d)	$	135,087	$	148,358
Series 2014-USA, Class A2, 3.953% 9/15/37 (d)		190,000		203,390
Series 2014-USA, Class E, 4.373% 9/15/37 (d)		140,000		134,312
Series 2014-USA, Class F, 4.373% 9/15/37 (d)		230,000		211,472
Series 2018-PLUM, Class A, 1 mo. USD LIBOR + 3.231% 5.259% FRN 8/15/20 (d)		488,870		488,874
Series 2006-C5, Class AJ, 5.373% 12/15/39		92,328		42,471
Series 2007-C5, Class AM, 5.869% VRN 9/15/40 (c)		29,250		25,183
Series 2017-CHOP, Class G, 1 mo. USD LIBOR + 5.620% 7.648% FRN 7/15/32 (d)		1,700,000		1,708,361
FREMF Mortgage Trust Series 2012-K20, Class X2A, 0.200% 5/25/45 (d)		3,216,816		13,516
Series 2019-KF58, Class B, 1 mo. USD LIBOR + 2.150% 4.239% FRN 1/25/26 (d)		1,498,815		1,503,527
GE Commercial Mortgage Corp., Series 2007-C1, Class AJ, 5.677% VRN 12/10/49 (c)		50,000		10,500
GS Mortgage Securities Corp. II, Series 2018-SRP5, Class A, 1 mo. USD LIBOR + 1.300% 3.328% FRN 9/15/31 (d)		1,350,000		1,348,869
GS Mortgage Securities Trust , Series 2015-GC30, Class AS, 3.777% VRN 5/10/50 (c)		280,000		297,305
GS Mortgage Securities Trust, Series 2006-GG8, Class AJ 5.622% 11/10/39		96,773		64,838
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AJFX 5.438% 1/15/49 (d)		600,000		110,100
JPMBB Commercial Mortgage Securities Trust Series 2014-C19, Class XA, 0.929% VRN 4/15/47 (c)		1,329,265		30,258
Series 2014-C21, Class AS, 3.997% 8/15/47		250,000		265,312
Series 2015-C31, Class B, 4.771% VRN 8/15/48 (c)		160,000		175,120
Series 2013-C17, Class B, 5.055% VRN 1/15/47 (c)		30,000		32,834

	Principal Amount		Value
JPMCC Commercial Mortgage Securities Trust, Series 2019-BOLT, Class A, 1 mo. USD LIBOR + 1.150% 3.178% FRN 7/15/34 (d)	$	960,000	$	960,088
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class XA, 1.045% VRN 10/15/50 (c)		7,903,665		434,905
LSTAR Commercial Mortgage Trust, Series 2015-3, Class A3, 3.127% VRN 4/20/48 (c) (d)		274,745		280,269
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ, 6.193% VRN 9/12/49 (c)		39,695		20,244
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4 3.306% 4/15/48		420,000		441,606
Morgan Stanley Capital I Trust Series 2019-BPR, Class A, 1 mo. USD LIBOR + 1.400% 3.428% FRN 5/15/36 (d)		1,360,000		1,359,144
Series 2006-IQ12, Class AJ, 5.399% 12/15/43		44,263		33,640
Series 2007-IQ13, Class AJ, 5.438% 3/15/44		4,023		4,038
Natixis Commercial Mortgage Securities Trust 3.047% 8/15/24 (d)		1,270,000		1,297,616
4.272% VRN 5/15/39 (c) (d)		1,710,000		1,682,999
Shops at Crystals Trust, Series 2016-CSTL, Class A 3.126% 7/05/36 (d)		320,000		329,272
Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 1 mo. USD LIBOR + .750% 2.792% FRN 11/11/34 (d)		267,326		267,247
UBS Commercial Mortgage Trust Series 2017-C1, Class A4, 3.460% 6/15/50		170,000		181,677
Series 2017-C2, Class A4, 3.487% 8/15/50		570,000		610,583
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A, 4.104% VRN 9/14/22 (c) (d)		177,540		178,445
Wells Fargo Commercial Mortgage Trust Series 2019-C52, Class XA, 1.772% VRN 8/15/52 (c)		5,927,131		715,152
Series 2015-NXSI, Class AS, 3.406% 5/15/48		190,000		198,287
Series 2013-LC12, Class B, 4.420% VRN 7/15/46 (c)		140,000		146,397

The accompanying notes are an integral part of the financial statements.

99

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
WFRBS Commercial Mortgage Trust Series 2014-C24, Class AS, 3.931% 11/15/47	$	190,000	$	201,233
Series 2014-C24, Class B, 4.204% VRN 11/15/47 (c)		190,000		198,112
Series 2014-C24, Class C, 4.290% VRN 11/15/47 (c)		190,000		190,030
				22,582,418
Financial Services — 0.2%
Magnolia Finance XI DAC 1.000% 8/11/24		1,000,000		1,000,000
Home Equity ABS — 0.7%
Asset Backed Securities Corp. Home Equity Loan Trust Series 2007-HE1, Class A4, 1 mo. USD LIBOR + .140% 2.158% FRN 12/25/36		1,784,305		1,710,498
Series 2003-HE6, Class A3B, 1 mo. USD LIBOR + .960% 2.978% FRN 11/25/33		1,249,236		1,169,975
GSAA Home Equity Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .270% 2.288% FRN 3/25/36		439,003		299,307
RBSSP Resecuritization Trust, Series 2010-4, Class 6A2, 5.825% STEP 2/26/36 (d)		1,470,591		1,480,339
				4,660,119
Manufactured Housing ABS — 0.2%
Conseco Finance Corp., Series 1996-4, Class M1, 7.750% VRN 6/15/27 (c)		1,277,017		1,274,249
Other ABS — 2.2%
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I 4.194% 6/07/49 (d)		1,230,000		1,258,447
Community Funding CLO Ltd., Series 2015-1A, Class A, 5.750% STEP 11/01/27 (d)		679,398		707,265
Dividend Solar Loans LLC, Series 2019-1, Class A 3.670% 8/22/39 (d)		1,364,699		1,376,239
Fanniemae Grantor Trust 2.898% 6/25/27		99,830		103,773
HSI Asset Securitization Corp., Series 2005-II, Class 2A4, 1 mo. USD LIBOR + .390% 2.408% FRN 11/25/35		2,322,816		2,177,648
Legacy Mortgage Asset Trust Series 2019-GS5, Class A1, 3.200% STEP 5/25/59 (d)		1,753,330		1,752,967

	Principal Amount		Value
Series 2019-GS1, Class A1, 4.000% STEP 1/25/59 (d)	$	1,466,096	$	1,483,082
PFCA Home Equity Investment Trust, Series 2003-IFC6, Class A, 4.316% VRN 4/22/35 (c) (d)		910,741		918,342
Popular ABS Mortgage Pass-Through Trust, Series 2005-2, Class M2, 5.717% STEP 4/25/35		1,640,006		1,320,781
RAMP Trust, Series 2006-NC3, Class M1, 1 mo. USD LIBOR + .340% 2.358% FRN 3/25/36		1,800,000		1,749,238
SBA Small Business Investment Cos. Series 2019-10A, Class 1, 3.113% 3/10/29		544,106		561,735
Series 2018-10B, Class 1, 3.548% 9/10/28		409,248		434,530
Structured Asset Investment Loan Trust, Series 2004-8, Class A9, 1 mo. USD LIBOR + 1.000% 3.018% FRN 9/25/34		1,292,532		1,291,409
United States Small Business Administration Series 2019-25G, Class 1, 2.690% 7/01/44		270,000		279,677
Series 2019-20D, Class 1, 2.980% 4/01/39		290,000		300,647
				15,715,780
Student Loans ABS — 0.7%
Navient Student Loan Trust Series 2017-2A, Class A, 1 mo. USD LIBOR + 1.050% 3.068% FRN 12/27/66 (d)		1,613,137		1,618,193
Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150% 3.168% FRN 7/26/66 (d)		1,030,000		1,045,133
Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300% 3.318% FRN 3/25/66 (d)		650,000		661,206
SLM Private Credit Student Loan Trust, Series 2005-A, Class A4, 3 mo. USD LIBOR + .310% 2.429% FRN 12/15/38		1,210,000		1,180,469
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 3.500% 10/28/29 (d)		33,119		32,834
SLM Student Loan Trust, Series 2003-7A, Class A5A, 3 mo. USD LIBOR + 1.200% 3.319% FRN 12/15/33 (d)		496,961		492,174
				5,030,009

The accompanying notes are an integral part of the financial statements.

100

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
WL Collateral CMO — 3.3%
BCAP LLC Trust, Series 2011-RR5, Class 11A4, 1 mo. USD LIBOR + .150% 2.295% FRN 5/28/36 (d)	$	933,385	$	923,377
Bear Stearns Asset -Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650% 5.632% FRN 11/25/35		859,318		218,029
Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. USD LIBOR + .350% 2.368% FRN 5/25/37		2,200,821		1,024,615
Credit Suisse Mortgage Trust Series 2015-4R, Class 3A3, 1 mo. USD LIBOR + .310% 2.765% FRN 10/27/36 (d)		880,000		480,803
Series 2018-J1, Class A2, 3.500% VRN 2/25/48 (c) (d)		4,511,273		4,569,691
Series 2015-2R, Class 7A2, 4.102% VRN 8/27/36 (c) (d)		2,450,501		2,178,488
Flagstar Mortgage Trust, Series 2018-2, Class A4, 3.500% VRN 4/25/48 (c) (d)		1,078,254		1,098,218
GMACM Mortgage Loan Trust, Series 2005-AF2, Class A1 6.000% 12/25/35		2,506,166		2,460,966
GSMSC Resecuritization Trust, Series 2014-2R, Class 3B, 1 mo. USD LIBOR + .610% 2.755% FRN 11/26/37 (d)		1,220,000		1,087,765
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.304% VRN 10/25/35 (c)		80,483		66,683
HarborView Mortgage Loan Trust, Series 2006-2, Class 1A, 4.974% VRN 2/25/36 (c)		44,988		28,034
JP Morgan Mortgage Trust Series 2018-3, Class A1, 3.500% VRN 9/25/48 (c) (d)		1,858,932		1,896,330
Series 2018-4, Class A1, 3.500% VRN 10/25/48 (c) (d)		892,455		902,645
Series 2018-5, Class A1, 3.500% VRN 10/25/48 (c) (d)		2,014,420		2,050,107
Morgan Stanley Resecuritization Trust, Series 2015-R3, Class 7A2, 12 mo. MTA + .770% 3.252% FRN 4/26/47 (d)		300,000		293,249
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1, 4.000% VRN 5/25/57 (c) (d)		616,682		647,617
Prime Mortgage Trust Series 2006-DR1, Class 1A1, 5.500% 5/25/35 (d)		15,431		15,078

	Principal Amount		Value
Series 2006-DR1, Class 2A2, 6.000% 5/25/35 (d)	$	735,705	$	620,589
RBSSP Resecuritization Trust, Series 2013-4, Class 1A2, 1 mo. USD LIBOR + 1.500% 3.645% FRN 12/26/37 (d)		2,071,126		1,914,273
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1, 4.571% VRN 8/25/36 (c)		268,601		228,043
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150% 4.596% FRN 3/25/46		306,592		336,725
Towd Point Mortgage Funding Vintage PLC, Series 2016-V1A, Class A1, 3 mo. GBP LIBOR + 1.200% 1.961% FRN 2/20/54 GBP (d) (f)		283,768		349,170
				23,390,495
WL Collateral PAC — 0.0%
Countrywide Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. USD LIBOR + 28.600% 20.527% FRN 7/25/36		64,081		101,916
WL Collateral Support CMO — 0.1%
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1B, 12 mo. MTA + 1.000% 3.446% FRN 2/25/46		949,662		880,502
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $73,690,325)				76,104,132
SOVEREIGN DEBT OBLIGATIONS — 6.7%
Abu Dhabi Government International Bond 2.500% 10/11/22 (d)		870,000		878,700
Argentina POM Politica Monetaria, 79.499% FRN 6/21/20 ARS (c) (f) (k)		3,350,000		27,132
Argentine Bonos del Tesoro 18.200% 10/03/21 ARS (f) (k)		12,970,000		65,416
Argentine Republic Government International Bond 3.750% STEP 12/31/38		110,000		43,176
5.625% 1/26/22		770,000		331,108
6.875% 4/22/21		220,000		107,802
6.875% 1/11/48		1,450,000		609,015
7.125% 7/06/36		220,000		93,502
7.500% 4/22/26		610,000		265,356

The accompanying notes are an integral part of the financial statements.

101

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Brazil Notas do Tesouro Nacional Serie F 10.000% 1/01/21 BRL (f)	$	8,458,000	$	2,153,708
10.000% 1/01/23 BRL (f)		13,781,000		3,691,798
10.000% 1/01/27 BRL (f)		963,000		272,032
Brazilian Government International Bond 4.625% 1/13/28 (e)		420,000		446,254
5.000% 1/27/45		510,000		528,258
5.625% 1/07/41		2,350,000		2,629,086
Colombia Government International Bond 5.625% 2/26/44		520,000		650,005
Ecuador Government International Bond 7.875% 1/23/28 (d)		330,000		312,678
Egypt Government International Bond 5.577% 2/21/23 (d)		370,000		377,598
Indonesia Government International Bond 3.500% 1/11/28		400,000		412,831
3.750% 4/25/22 (d)		1,030,000		1,061,928
4.350% 1/11/48		450,000		496,158
5.125% 1/15/45 (d)		1,360,000		1,621,527
5.125% 1/15/45 (d)		200,000		238,460
Kenya Government International Bond 6.875% 6/24/24 (d)		200,000		210,882
7.250% 2/28/28 (d)		200,000		207,290
Kuwait International Government Bond 3.500% 3/20/27 (d)		530,000		570,948
Mexican Bonos 7.750% 11/13/42 MXN (f)		34,785,600		1,843,968
8.000% 11/07/47 MXN (f)		101,820,000		5,552,270
8.500% 5/31/29 MXN (f)		75,560,000		4,262,397
8.500% 11/18/38 MXN (f)		30,070,000		1,716,111
Mexico Government International Bond 4.750% 3/08/44		1,220,000		1,320,650
Nigeria Government International Bond 6.500% 11/28/27 (d)		200,000		202,136
7.143% 2/23/30 (d)		210,000		214,725
Peruvian Government International Bond 6.550% 3/14/37		750,000		1,095,945
Provincia de Buenos Aires 6.500% 2/15/23 (d)		170,000		59,500
7.875% 6/15/27 (d)		160,000		57,600
9.125% 3/16/24 (d)		160,000		58,320
Qatar Government International Bond 4.000% 3/14/29 (d)		580,000		642,350
4.817% 3/14/49 (d)		1,280,000		1,583,432

	Principal Amount		Value
Republic of Poland Government International Bond 4.000% 1/22/24	$	910,000	$	985,430
Russian Federal Bond — OFZ 6.900% 5/23/29 RUB (f)		155,800,000		2,402,306
7.000% 1/25/23 RUB (f)		30,640,000		478,405
7.000% 8/16/23 RUB (f)		63,590,000		994,193
7.050% 1/19/28 RUB (f)		221,886,000		3,467,689
7.250% 5/10/34 RUB (f)		60,500,000		941,992
7.750% 9/16/26 RUB (f)		8,260,000		134,114
8.150% 2/03/27 RUB (f)		55,120,000		914,921
				47,231,102
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $49,613,186)				47,231,102
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 36.9%
Collateralized Mortgage Obligations — 2.4%
Federal Home Loan Mortgage Corp. Series 3422, Class AI, 0.250% STEP 1/15/38		14,185		111
Series 4793, Class CB, 3.000% 5/15/48		1,008,595		1,015,565
Series 4793, Class CD, 3.000% 6/15/48		711,135		720,181
Series 4813, Class CJ, 3.000% 8/15/48		944,532		951,967
3.000% 10/01/49		1,400,000		1,428,429
Series 353, Class S1, 1 mo. LIBOR + 6.000% 3.973% FRN 12/15/46		441,844		90,303
Series 334, Class S7, 1 mo. LIBOR + 6.100% 4.073% FRN 8/15/44		214,369		40,473
Series 3621, Class SB, 1 mo. LIBOR + 6.230% 4.203% FRN 1/15/40		42,275		8,731
Series 4203, Class PS, 1 mo. LIBOR + 6.250% 4.223% FRN 9/15/42		226,297		32,191
Series 3973, Class SA, 1 mo. LIBOR + 6.490% 4.463% FRN 12/15/41		283,396		58,871
Series R007, Class ZA, 6.000% 5/15/36		116,226		133,989
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K094, Class X1, 1.016% VRN 6/25/29 (c)		999,894		73,921
Series K735, Class X1, 1.103% VRN 5/25/26 (c)		1,099,833		62,007

The accompanying notes are an integral part of the financial statements.

102

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series K007, Class X1, 1.202% VRN 4/25/20 (c)	$	311,356	$	230
Series K736, Class X1, 1.312% VRN 7/25/26 (c)		6,000,000		448,945
Series K712, Class X1, 1.372% VRN 11/25/19 (c)		265,927		8
Series K015, Class X1, 1.739% VRN 7/25/21 (c)		662		15
Series K091, Class A2, 3.505% 3/25/29		770,000		853,181
Federal National Mortgage Association 0.000%10/09/19		1,460,000		1,459,291
Series 2005-88, Class IP, 1.897% FRN 10/25/35 (c)		44,742		2,542
Series 2006-88, Class IP, 2.074% 4/25/36		58,845		2,667
Series 2006-118, Class IP1, 2.279% FRN 12/25/36 (c)		108,886		6,988
Series 2006-118, Class IP2, 2.279% FRN 12/25/36 (c)		90,081		5,462
Series 2006-59, Class IP, 2.299% FRN 7/25/36 (c)		114,559		10,545
Series 409, Class C2, 3.000% 4/25/27		131,136		9,393
Series 409, Class C13, 3.500% 11/25/41		157,345		21,418
Series 2017-85, Class SC, 3.710% 11/25/47		281,158		50,868
Series 2013-124, Class SB, 1 mo. LIBOR + 5.950% 3.932% FRN 12/25/43		500,002		92,697
Series 409, Class C18, 4.000% 4/25/42		165,555		25,888
Series 2016-61, Class BS, 1 mo. LIBOR + 6.100% 4.082% FRN 9/25/46		160,297		28,291
Series 2016-60, Class QS, 1 mo. LIBOR + 6.100% 4.082% FRN 9/25/46		341,691		60,925
Series 2017-76, Class SB, 1 mo. LIBOR + 6.100% 4.082% FRN 10/25/57		1,005,931		164,177
Series 2012-133, Class CS, 1 mo. LIBOR + 6.150% 4.132% FRN 12/25/42		159,265		28,889
Series 2012-134, Class SK, 1 mo. LIBOR + 6.150% 4.132% FRN 12/25/42		308,955		58,534
Series 2013-54, Class BS, 1 mo. LIBOR + 6.150% 4.132% FRN 6/25/43		400,167		75,595
Series 2012-35, Class SC, 1 mo. LIBOR + 6.500% 4.482% FRN 4/25/42		135,429		28,236

	Principal Amount		Value
Series 409, Class C22, 4.500% 11/25/39	$	93,053	$	14,241
Series 2011-87, Class SG, 4.532% FRN 4/25/40 (c)		239,701		26,977
Series 2011-96, Class SA, 1 mo. LIBOR + 6.550% 4.532% FRN 10/25/41		266,593		48,490
Series 2012-74, Class SA, 1 mo. LIBOR + 6.650% 4.632% FRN 3/25/42		71,060		12,164
Series 2011-59, Class NZ, 5.500% 7/25/41		520,035		589,377
Series 2013-9, Class CB, 5.500% 4/25/42		446,256		488,940
Series 2012-46, Class BA, 6.000% 5/25/42		117,161		134,322
Series 2012-28, Class B, 6.500% 6/25/39		23,833		25,704
Series 2013-9, Class BC, 6.500% 7/25/42		127,508		148,982
Series 2012-51, Class B, 7.000% 5/25/42		94,598		111,176
Federal National Mortgage Association ACES Series 2014-M4, Class X2, 0.296% VRN 3/25/24 (c)		4,606,627		31,090
Series 2019-M5, Class A2, 3.273% 1/25/29		620,000		671,942
Series 2019-M6, Class A2, 3.450% 1/01/29		680,000		748,421
Series 2019-M4, Class A2, 3.610% 2/25/31		330,000		369,095
Series 2019-M1, Class A2, 3.673% VRN 9/25/28 (c)		1,580,000		1,747,243
Government National Mortgage Association Series 2012-144, Class IO, 0.403% VRN 1/16/53 (c)		5,874,202		163,873
Series 2012-135, Class IO, 0.574% VRN 1/16/53 (c)		5,135,064		146,990
Series 2014-186, Class IO, 0.756% VRN 8/16/54 (c)		2,636,946		117,413
Series 2017-41, Class IO, 0.792% VRN 7/16/58 (c)		1,907,940		120,879
Series 2017-H18, Class BI, 1.339% VRN 9/20/67 (c)		4,938,612		469,475
Series 2014-22, Class IA, 1.394% FRN 11/20/42 (c)		41,848		1,706
Series 2012-H27, Class AI, 1.766% VRN 10/20/62 (c)		771,667		38,921
Series 2017-H20, Class IB, 1.942% VRN 10/20/67 (c)		98,123		11,000
Series 2017-H15, Class KI, 2.354% VRN 7/20/67 (c)		192,048		25,701

The accompanying notes are an integral part of the financial statements.

103

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2018-H07, Class FD, 1 mo. USD LIBOR + .300% 2.529% FRN 5/20/68	$	523,087	$	521,933
Series 2010-H28, Class FE, 1 mo. USD LIBOR + .400% 2.629% FRN 12/20/60		156,398		156,494
Series 2014-H20, Class FA, 1 mo. USD LIBOR + .430% 2.659% FRN 10/20/64		1,480,802		1,482,239
Series 2011-H08, Class FG, 1 mo. USD LIBOR + .480% 2.709% FRN 3/20/61		144,547		144,920
Series 2011-H09, Class AF, 1 mo. USD LIBOR + .500% 2.729% FRN 3/20/61		100,393		100,680
Series 2012-66, Class CI, 3.500% 2/20/38		113,903		5,476
Series 2013-53, Class OI, 3.500% 4/20/43		884,456		117,723
Series 2014-117, Class SJ, 1 mo. LIBOR + 5.600% 3.556% FRN 8/20/44		153,106		24,451
Series 2014-176, Class IA, 4.000% 11/20/44		101,468		15,540
Series 2015-167, Class OI, 4.000% 4/16/45		110,115		22,827
Series 2010-31, Class GS, 4.015% 3/20/39		7,938		257
Series 2016-135, Class SB, 1 mo. LIBOR + 6.100% 4.073% FRN 10/16/46		157,720		37,108
Series 2016-21, Class ST, 1 mo. LIBOR + 6.150% 4.106% FRN 2/20/46		118,042		26,328
Series 2016-84, Class IG, 4.500% 11/16/45		499,454		95,333
Series 2010-85, Class HS, 1 mo. LIBOR + 6.650% 4.606% FRN 1/20/40		43,775		4,329
				17,071,284
Pass-Through Securities — 33.9%
Federal Home Loan Mortgage Corp. Pool #C91981 3.000% 2/01/38		260,062		266,949
Pool #C91987 3.000% 4/01/38		175,947		180,607
Pool #G67701 3.000% 10/01/46		1,195,547		1,232,822
Pool #Q45638 3.000% 1/01/47		338,413		346,427
Pool #G08747 3.000% 2/01/47		566,540		579,955
Pool #G61587 3.000% 4/01/47		981,826		1,005,075
Pool #G60985 3.000% 5/01/47		2,294,959		2,366,513
Pool #G08778 3.000% 9/01/47		184,116		188,015
Pool #G61637 3.000% 9/01/47		943,636		971,583
Pool #G61739 3.000% 9/01/48		279,275		287,895
Pool #ZT1780 3.000% 3/01/49		2,138,259		2,170,320

	Principal Amount		Value
Pool #ZN4906 3.000% 4/01/49 (g)	$	97,099	$	98,555
Pool #ZT1867 3.000% 4/01/49		1,683,003		1,708,237
Pool #ZN6631 3.000% 6/01/49 (g)		292,656		297,044
Pool #ZN6682 3.000% 6/01/49 (g)		198,860		201,841
Pool #ZN6689 3.000% 6/01/49 (g)		197,627		200,960
Pool #QA0120 3.000% 6/01/49 (g)		99,091		100,700
Pool #QA0241 3.000% 6/01/49 (g)		293,397		298,163
Pool #QA0445 3.000% 6/01/49 (g)		196,386		199,576
Pool #QA0794 3.000% 7/01/49		197,871		200,838
Pool #QA1033 3.000% 7/01/49		5,820,918		5,908,196
Pool #RA1103 3.000% 7/01/49		394,781		403,908
Pool #QA1597 3.000% 8/01/49		497,771		505,234
Pool #QA1627 3.000% 8/01/49		97,940		99,775
Pool #QA2090 3.000% 8/01/49		99,499		101,364
Pool #RA1224 3.000% 8/01/49		3,075,317		3,132,960
Pool #RA1293 3.000% 9/01/49		795,896		819,021
Pool #RA1343 3.000% 9/01/49		199,653		203,708
Pool #RA1352 3.000% 9/01/49		799,121		814,100
Pool #QA2427 3.000% 9/01/49 (g)		500,000		509,372
Pool #RA1341 3.000% 9/01/49		599,354		613,210
Pool #RA1344 3.000% 9/01/49 (g)		1,082,251		1,104,228
Pool #RA1340 3.000% 9/01/49		698,639		712,826
Pool #RA1355 3.000% 9/01/49		998,758		1,017,479
Pool #RA1461 3.000% 10/01/49 (g)		2,231,000		2,276,303
Pool #RA1493 3.000% 10/01/49 (g)		1,700,000		1,739,302
Pool #U90245 3.500% 10/01/42		107,169		112,329
Pool #U99045 3.500% 3/01/43		460,734		482,915
Pool #U99114 3.500% 2/01/44		57,075		59,823
Pool #U99124 3.500% 3/01/45		510,819		535,411
Pool #Q41209 3.500% 6/01/46		345,024		361,311
Pool #Q48752 3.500% 6/01/47		320,426		334,150
Pool #G08800 3.500% 2/01/48		1,200,369		1,239,027
Pool #V84260 3.500% 6/01/48		2,150,070		2,245,517
Pool #ZT0711 3.500% 10/01/48		4,534,216		4,663,429
Pool #ZT1593 3.500% 1/01/49		4,228,452		4,341,023
Pool #V85283 3.500% 3/01/49		767,548		796,344
Pool #ZT1776 3.500% 3/01/49		3,498,779		3,587,551
Pool #G08871 3.500% 4/01/49		812,226		833,307
Pool #G14492 4.000% 10/01/25		214,103		223,409
Pool #U90316 4.000% 10/01/42 (g)		89,593		95,878
Pool #U91254 4.000% 4/01/43		106,356		113,883
Pool #U99054 4.000% 6/01/43		1,175,886		1,259,106
Pool #Q19135 4.000% 6/01/43		49,862		53,734
Pool #Q19236 4.000% 6/01/43		45,876		49,109
Pool #Q19985 4.000% 7/01/43		1,473,066		1,560,930
Pool #Q19615 4.000% 7/01/43		48,591		52,364
Pool #U95137 4.000% 8/01/43		51,814		55,481
Pool #C09071 4.000% 2/01/45		611,455		640,875
Pool #Q40459 4.000% 3/01/46		1,246,504		1,312,908
Pool #G08771 4.000% 7/01/47		1,035,128		1,084,449
Pool #V83342 4.000% 8/01/47		309,673		327,332
Pool #Q55429 4.000% 4/01/48		86,165		90,001
Pool #Q55997 4.000% 5/01/48		595,305		621,624
Pool #Q57230 4.000% 7/01/48		1,684,434		1,754,691

The accompanying notes are an integral part of the financial statements.

104

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pool #G08836 4.000% 9/01/48	$	725,805	$	755,624
Pool #G61727 4.000% 11/01/48		1,718,300		1,787,419
Pool #ZT1952 4.000% 5/01/49		3,237,472		3,358,197
Pool #U99076 4.500% 12/01/43		387,506		420,595
Pool #U92272 4.500% 12/01/43		59,537		64,621
Pool #U99084 4.500% 2/01/44		363,367		394,395
Pool #U99091 4.500% 3/01/44		114,883		124,693
Pool #Q26207 4.500% 5/01/44		34,094		36,270
Pool #G08683 4.500% 12/01/45		37,698		40,022
Pool #Q47940 4.500% 2/01/47		548,659		582,822
Pool #V83157 4.500% 4/01/47		2,634,382		2,800,882
Pool #Q49177 4.500% 6/01/47		524,711		563,450
Pool #G06496 5.000% 6/01/41		71,984		78,905
Pool #Q55401 5.000% 4/01/48		566,466		607,833
Pool #Q56002 5.000% 5/01/48		232,092		249,041
Pool #Q57925 5.000% 8/01/48		479,784		514,372
Pool #G08844 5.000% 10/01/48		152,676		163,683
Pool #Q59125 5.000% 10/01/48		166,960		178,996
Pool #Q59799 5.000% 11/01/48		229,252		245,779
Pool #ZT1596 5.000% 1/01/49		1,426,211		1,525,088
Pool #G06875 5.500% 12/01/38		9,212		10,300
Pool #G07509 6.500% 9/01/39		16,760		19,529
Pool #G06669 6.500% 9/01/39		19,700		22,800
Pool #G07335 7.000% 3/01/39		41,077		48,325
Federal National Mortgage Association Pool #BL3985 2.450% 9/01/31		100,000		101,274
Pool #AP9633 2.500% 10/01/42		100,996		101,181
Pool #BL3561 2.740% 8/01/29		200,000		209,352
Pool #BL3729 2.765% 8/01/31		200,000		209,142
Pool #BL3774 2.765% 8/01/31		100,000		104,449
Pool #BL3775 2.765% 8/01/31		200,000		208,899
Pool #BL3776 2.765% 8/01/31		100,000		104,449
Pool #BL3771 2.770% 8/01/31		400,000		417,997
Pool #AM8674 2.810% 4/01/25		50,000		52,001
Pool #BL3152 2.840% 8/01/31		100,000		105,182
Pool #BL3648 2.850% 8/01/31		310,000		326,472
Pool #BL3413 2.870% 7/01/31		100,000		105,418
Pool #BJ2544 3.000% 12/01/37		168,935		173,369
Pool #AQ7306 3.000% 1/01/43		52,585		54,096
Pool #AR1202 3.000% 1/01/43		55,290		56,949
Pool #BC0884 3.000% 5/01/46		423,669		435,847
Pool #AS7533 3.000% 7/01/46		299,030		307,532
Pool #AS7738 3.000% 8/01/46		672,668		692,003
Pool #BC1509 3.000% 8/01/46		75,261		77,142
Pool #AS7844 3.000% 9/01/46		153,251		157,081
Pool #BC2817 3.000% 9/01/46		224,048		229,648
Pool #BD8104 3.000% 10/01/46		302,727		311,996
Pool #AL9397 3.000% 10/01/46		155,058		158,934
Pool #BE0072 3.000% 11/01/46		1,357,289		1,395,879
Pool #MA2806 3.000% 11/01/46		2,408,353		2,464,032
Pool #AS8359 3.000% 11/01/46		823,688		842,731
Pool #AS8269 3.000% 11/01/46		3,070,227		3,141,207
Pool #BM4579 3.000% 4/01/47		2,261,186		2,326,888
Pool #BM1565 3.000% 4/01/47		1,305,141		1,345,103

	Principal Amount		Value
Pool #890843 3.000% 9/01/47	$	706,122	$	726,197
Pool #MA3237 3.000% 1/01/48		93,675		95,606
Pool #BO1205 3.000% 6/01/49 (g)		197,499		200,460
Pool #BN7652 3.000% 7/01/49		2,480,454		2,537,799
Pool #BN9558 3.000% 7/01/49		98,846		100,328
Pool #CA3809 3.000% 7/01/49		98,973		101,261
Pool #BO3074 3.000% 8/01/49		97,721		99,186
Pool #BO3815 3.000% 8/01/49		396,835		402,785
Pool #CA4017 3.000% 8/01/49		595,535		606,698
Pool #FM1341 3.000% 8/01/49		99,695		101,470
Pool #CA4078 3.000% 9/01/49		199,685		203,053
Pool #CA4110 3.000% 9/01/49		897,174		917,915
Pool #CA4121 3.000% 9/01/49		997,832		1,018,094
Pool #BO5586 3.000% 9/01/49 (g)		100,000		101,906
Pool #CA4133 3.000% 9/01/49		398,994		409,590
Pool #CA4134 3.000% 9/01/49		699,371		713,573
Pool #FM1503 3.000% 9/01/49 (g)		200,000		204,061
Pool #BO3106 3.000% 10/01/49		400,000		405,997
Pool #AN4073 3.070% 1/01/29		120,000		128,929
Pool #AN8048 3.080% 1/01/28		210,000		222,600
Pool #BL2379 3.090% 5/01/29		300,000		323,405
Pool #BL2454 3.160% 5/01/29		189,235		203,965
Pool #BL2040 3.190% 5/01/29		99,490		107,674
Pool #BL2465 3.240% 5/01/29		350,000		381,343
Pool #BL2456 3.260% 5/01/29		188,925		205,568
Pool #BL2457 3.260% 5/01/29		140,000		152,521
Pool #BL2225 3.300% 4/01/29		100,000		109,333
Pool #BL2431 3.310% 5/01/31		100,000		109,395
Pool #BL2201 3.350% 5/01/29		70,000		76,641
Pool #MA1177 3.500% 9/01/42		47,112		49,352
Pool #MA1213 3.500% 10/01/42		292,490		306,401
Pool #AL3026 3.500% 12/01/42		72,133		75,767
Pool #BM4751 3.500% 3/01/43		874,688		918,748
Pool #BM4750 3.500% 2/01/45		187,696		197,150
Pool #AS6328 3.500% 12/01/45		1,302,162		1,353,512
Pool #AS6340 3.500% 12/01/45		206,144		215,948
Pool #AS6541 3.500% 1/01/46		206,162		216,869
Pool #AS6562 3.500% 1/01/46		205,149		214,841
Pool #BM4897 3.500% 12/01/46		1,271,071		1,335,098
Pool #BH4101 3.500% 10/01/47		428,983		443,487
Pool #CA0907 3.500% 12/01/47		87,545		91,545
Pool #CA0858 3.500% 12/01/47		797,975		824,954
Pool #CA1526 3.500% 4/01/48		818,289		855,161
Pool #MA3383 3.500% 6/01/48		2,898,539		2,990,197
Pool #BM5521 3.500% 7/01/48		1,902,579		1,977,012
Pool #890876 3.500% 2/01/49		187,509		195,841
Pool #BN5424 3.500% 4/01/49		2,327,445		2,399,589
Pool #CA3471 3.500% 5/01/49		978,340		1,014,170
Pool #CA3478 3.500% 5/01/49		786,135		810,503
Pool #BO0955 3.500% 6/01/49		97,875		101,061
Pool #CA3637 3.500% 6/01/49		493,214		508,657
Pool #MA3686 3.500% 6/01/49		5,911,542		6,061,532
Pool #CA3634 3.500% 6/01/49		495,727		515,431
Pool #BF0145 3.500% 3/01/57		2,514,448		2,645,035

The accompanying notes are an integral part of the financial statements.

105

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pool #BL1151 3.600% 1/01/29	$	495,124	$	550,177
Pool #BL0405 3.640% 11/01/28		300,000		334,662
Pool #BL1085 3.820% 1/01/29		490,000		555,678
Pool #BL1367 3.830% 1/01/29		1,500,000		1,698,513
Pool #AK8441 4.000% 4/01/42		35,748		38,157
Pool #AO2711 4.000% 5/01/42		43,126		46,031
Pool #AO6086 4.000% 6/01/42		31,737		33,875
Pool #AP0692 4.000% 7/01/42		26,793		28,354
Pool #AP5333 4.000% 7/01/42		159,868		170,638
Pool #AP2530 4.000% 8/01/42		32,676		34,856
Pool #AP2958 4.000% 8/01/42		30,741		32,812
Pool #AP4903 4.000% 9/01/42		44,352		47,312
Pool #AP7399 4.000% 9/01/42		82,908		88,442
Pool #AP9229 4.000% 10/01/42		30,522		32,559
Pool #MA1217 4.000% 10/01/42		230,498		246,530
Pool #AP9766 4.000% 10/01/42		167,072		178,693
Pool #AQ3599 4.000% 11/01/42		26,766		28,553
Pool #MA1253 4.000% 11/01/42		134,920		144,304
Pool #AQ7003 4.000% 12/01/42		59,789		63,779
Pool #AQ4555 4.000% 12/01/42		69,963		74,698
Pool #AQ7082 4.000% 1/01/43		93,249		99,472
Pool #AL3508 4.000% 4/01/43		49,662		53,489
Pool #AQ4078 4.000% 6/01/43		47,559		51,224
Pool #AQ4080 4.000% 6/01/43		42,710		45,708
Pool #AT8394 4.000% 6/01/43		46,874		50,486
Pool #AB9683 4.000% 6/01/43		82,647		88,034
Pool #AT9637 4.000% 7/01/43		148,928		159,333
Pool #AT9653 4.000% 7/01/43		101,299		109,105
Pool #AT9657 4.000% 7/01/43		81,691		86,990
Pool #AS0070 4.000% 8/01/43		52,215		55,879
Pool #MA1547 4.000% 8/01/43		56,250		60,198
Pool #AS4347 4.000% 1/01/45		101,671		108,743
Pool #AS9453 4.000% 4/01/47		1,111,118		1,173,819
Pool #AS9588 4.000% 5/01/47		318,189		336,244
Pool #BH2623 4.000% 8/01/47		2,726,330		2,855,471
Pool #BJ9930 4.000% 4/01/48		3,095,506		3,231,493
Pool #BO0968 4.000% 6/01/49		297,141		309,754
Pool #BF0104 4.000% 2/01/56		145,828		156,928
Pool #BF0183 4.000% 1/01/57		76,931		82,787
Pool #BF0191 4.000% 6/01/57		160,664		172,391
Pool #MA0706 4.500% 4/01/31		27,728		29,620
Pool #MA0734 4.500% 5/01/31		89,787		95,916
Pool #MA0776 4.500% 6/01/31		29,936		32,008
Pool #MA0913 4.500% 11/01/31		21,828		23,339
Pool #MA0939 4.500% 12/01/31		25,970		27,766
Pool #993117 4.500% 1/01/39		6,818		7,386
Pool #AA0856 4.500% 1/01/39		12,387		13,419
Pool #AA3495 4.500% 2/01/39		14,377		15,574
Pool #935520 4.500% 8/01/39		30,535		33,078
Pool #AD5481 4.500% 5/01/40		598,535		647,619
Pool #AD6914 4.500% 6/01/40		65,087		70,425
Pool #AD8685 4.500% 8/01/40		158,560		171,514
Pool #MA1591 4.500% 9/01/43		105,432		114,375
Pool #MA1629 4.500% 10/01/43		108,484		117,685

	Principal Amount		Value
Pool #AL4341 4.500% 10/01/43	$	7,830	$	8,340
Pool #AU6423 4.500% 10/01/43		197,201		210,230
Pool #MA1664 4.500% 11/01/43		55,192		59,874
Pool #MA1711 4.500% 12/01/43		104,255		113,097
Pool #AL4741 4.500% 1/01/44		48,870		53,015
Pool #AW0318 4.500% 2/01/44		313,270		333,086
Pool #AL5562 4.500% 4/01/44		23,580		25,116
Pool #890604 4.500% 10/01/44		461,780		501,092
Pool #AS4271 4.500% 1/01/45		51,912		57,337
Pool #FM1458 4.500% 4/01/49 (g)		500,000		526,043
Pool #BF0148 4.500% 4/01/56		3,218,831		3,537,118
Pool #BF0222 4.500% 9/01/57		829,393		910,110
Pool #915154 5.000% 4/01/37		52,130		57,628
Pool #974965 5.000% 4/01/38		166,067		183,900
Pool #983077 5.000% 5/01/38		48,206		53,394
Pool #310088 5.000% 6/01/38		47,807		52,918
Pool #AE2266 5.000% 3/01/40		93,972		103,717
Pool #BM3904 5.000% 5/01/48		209,525		224,876
Pool #MA3501 5.000% 10/01/48		831,814		891,302
Pool #CA2652 5.000% 11/01/48		1,301,964		1,398,330
Pool #937948 5.500% 6/01/37		8,558		9,622
Pool #995072 5.500% 8/01/38		22,584		25,386
Pool #BF0141 5.500% 9/01/56		738,231		826,307
Pool #481473 6.000% 2/01/29		31		34
Pool #867557 6.000% 2/01/36		2,172		2,421
Pool #AE0469 6.000% 12/01/39		168,388		193,599
Pool #AL4324 6.500% 5/01/40		112,110		130,560
Pool #AE0758 7.000% 2/01/39		61,847		72,642
Government National Mortgage Association I Pool #AB2892 3.000% 9/15/42		213,940		220,759
Pool #AA5649 3.000% 9/15/42		165,400		170,671
Pool #AB9109 3.000% 10/15/42		115,211		118,883
Pool #AB9108 3.000% 10/15/42		1,303,656		1,345,203
Pool #AB9207 3.000% 11/15/42		101,332		104,562
Pool #784571 3.500% 6/15/48		426,919		448,543
Pool #487588 6.000% 4/15/29		1,969		2,162
Pool #595077 6.000% 10/15/32		407		457
Pool #596620 6.000% 10/15/32		223		251
Pool #604706 6.000% 10/15/33		51,402		58,051
Pool #636251 6.000% 3/15/35		5,328		6,062
Pool #782034 6.000% 1/15/36		56,505		64,072
Pool #658029 6.000% 7/15/36		23,429		26,630
Government National Mortgage Association II Pool #MA4836 3.000% 11/20/47		8,402		8,634
Pool #MA5018 3.000% 2/20/48		748,997		769,156
Pool #MA1995 3.500% 6/20/44		156,105		163,909
Pool #MA2678 3.500% 3/20/45		73,569		77,178
Pool #MA3663 3.500% 5/20/46		1,229,365		1,283,526
Pool #MA3937 3.500% 9/20/46		186,883		194,708
Pool #BC4732 3.500% 10/20/47		602,254		631,046
Pool #BD0384 3.500% 10/20/47		413,926		433,714

The accompanying notes are an integral part of the financial statements.

106

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pool #MA4837 3.500% 11/20/47	$	82,366	$	85,454
Pool #MA5019 3.500% 2/20/48		1,264,107		1,310,713
Pool #784674 3.500% 4/20/48		3,114,945		3,286,249
Pool #MA5762 3.500% 2/20/49		474,472		491,669
Pool #MA6154 3.500% 9/20/49 (g)		3,300,000		3,424,246
Pool #MA4511 4.000% 6/20/47		1,221,829		1,280,906
Pool #MA4720 4.000% 9/20/47		1,719,814		1,802,431
Pool #MA4838 4.000% 11/20/47		1,324,684		1,385,422
Pool #MA4901 4.000% 12/20/47		522,547		546,302
Pool MA5020 4.000% 2/20/48		534,229		557,430
Pool #MA5078 4.000% 3/20/48		689,382		718,567
Pool MA5137 4.000% 4/20/48		614,539		640,555
Pool #MA5330 4.000% 7/20/48		1,348,228		1,403,305
Pool #MA5398 4.000% 8/20/48		558,575		580,826
Pool MA5931 4.000% 5/20/49		691,367		720,637
Pool #783298 4.500% 4/20/41		213,954		229,809
Pool #783368 4.500% 7/20/41		29,537		31,633
Pool #MA5265 4.500% 6/20/48		1,147,318		1,207,598
Pool #MA5331 4.500% 7/20/48		285,112		299,914
Pool #BJ1835 4.500% 9/20/48		129,762		135,850
Pool #BJ1853 4.500% 9/20/48		193,325		202,395
PoolMA5467 4.500% 9/20/48		1,404,296		1,475,994
Pool #MA5711 4.500% 1/20/49		3,618,783		3,774,423
Pool #MA5818 4.500% 3/20/49		576,655		603,439
Pool #4747 5.000% 7/20/40		127,779		140,648
Pool #MA5712 5.000% 1/20/49		1,590,848		1,672,271
Government National Mortgage Association II TBA Pool #548 3.000% 5/01/49 (g)		2,800,000		2,872,844
Pool #1635 3.500% 10/01/48 (g)		11,200,000		11,603,375
Pool #1367 4.000% 10/01/48 (g)		600,000		623,906
Pool #1523 4.500% 7/01/48 (g)		600,000		626,953
Uniform Mortgage-Backed Securities TBA Pool #6560 2.500% 6/01/34 (g)		900,000		907,664
Pool #7180 3.000% 8/01/33 (g)		4,000,000		4,088,125
Pool #9768 3.000% 6/01/49 (g)		11,000,000		11,165,000
Pool #6268 3.500% 8/01/33 (g)		7,700,000		7,963,485
Pool #17115 3.500% 9/01/48 (g)		2,200,000		2,256,719
Pool #18388 4.000% 9/01/48 (g)		4,050,000		4,202,508
Pool #21133 4.500% 10/01/48 (g)		2,700,000		2,842,805
Pool #29322 5.000% 10/01/48 (g)		400,000		428,469
				239,241,785
Whole Loans — 0.6%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-HQ1, Class M3, 1 mo. USD LIBOR + 3.800% 5.818% FRN 3/25/25		930,419		960,077
Series 2017-DNA1, Class B1, 1 mo. USD LIBOR + 4.950% 6.968% FRN 7/25/29		1,450,000		1,631,508

	Principal Amount		Value
Federal National Mortgage Association Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.300% 4.318% FRN 8/25/31 (d)	$	1,670,000	$	1,680,813
				4,272,398
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $256,773,546)				260,585,467
U.S. TREASURY OBLIGATIONS — 12.7%
U.S. Treasury Bonds & Notes — 12.7%
U.S. Treasury Bond 2.750% 8/15/47		1,800,000		2,037,024
2.750% 11/15/47		6,050,000		6,851,388
2.875% 8/15/45		6,260,000		7,212,694
3.000% 2/15/48		5,850,000		6,944,818
3.000% 2/15/49		130,000		154,990
3.125% 5/15/48		2,770,000		3,366,307
3.375% 5/15/44		6,000,000		7,474,687
3.750% 11/15/43		29,230,000		38,448,867
U.S. Treasury Inflation Index 0.625% 2/15/43		1,361,398		1,387,146
0.750% 2/15/42		817,488		859,287
1.000% 2/15/46		1,559,189		1,725,618
1.000% 2/15/49		6,290,685		7,059,355
1.375% 2/15/44		2,212,648		2,634,980
2.125% 2/15/40		403,580		534,016
U.S. Treasury Note 1.625% 8/15/29		90,000		89,613
2.125% 5/15/22		80,000		81,048
2.250% 11/15/24		690,000		712,695
2.250% 11/15/25		900,000		933,451
2.250% 8/15/49		10,000		10,286
2.875% 9/30/23		1,020,000		1,071,319
2.875% 5/15/49		110,000		128,292
				89,717,881
TOTAL U.S. TREASURY OBLIGATIONS (Cost $78,921,690)				89,717,881
TOTAL BONDS & NOTES (Cost $671,411,914)				701,031,718
TOTAL PURCHASED OPTIONS (#) — 0.3% (Cost $1,662,862)				2,153,448

The accompanying notes are an integral part of the financial statements.

107

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
MUTUAL FUNDS — 0.3%
Diversified Financial Services — 0.3%
State Street Navigator Securities Lending Prime Portfolio (h)		2,013,985	$	2,013,985
TOTAL MUTUAL FUNDS (Cost $2,013,985)				2,013,985
TOTAL LONG-TERM INVESTMENTS (Cost $675,088,761)				705,199,151
	Principal Amount
SHORT-TERM INVESTMENTS — 8.2%
Discount Notes — 1.4%
Federal Home Loan Bank 0.000%1/23/20	$	3,300,000		3,280,771
1.915% 12/27/19		6,440,000		6,410,897
				9,691,668
Repurchase Agreement — 6.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (i)		47,707,688		47,707,688
TOTAL SHORT-TERM INVESTMENTS (Cost $57,399,201)				57,399,356
TOTAL INVESTMENTS — 108.1% (Cost $732,487,962) (j)				762,598,507
Less Unfunded Loan Commitments — 0.0%				(19,819	)
NET INVESTMENTS — 108.1% (Cost $732,468,143)				762,578,688
Other Assets/(Liabilities) — (8.1)%				(57,038,462	)
NET ASSETS — 100.0%			$	705,540,226

Abbreviation Legend

ABS Asset-Backed Security

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

MBS Mortgage-Backed Security

MTA Monthly Treasury Average Index

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) All or a portion of the security represents unsettled loan commitments at September 30, 2019 where the rate will be determined at time of settlement.

(b) Unfunded or partially unfunded loan commitments.

(c) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2019.

(d) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $90,196,677 or 12.78% of net assets.

(e) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $1,972,839 or 0.28% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(f) The principal amount of the security is in foreign currency. The market value is in U.S. dollars.

(g) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(h) Represents investment of security lending collateral. (Note 2).

(i) Maturity value of $47,708,947. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $48,664,477.

(j) See Note 6 for aggregate cost for federal tax purposes.

(k) The Government of Argentina announced a re-profiling of government debt to extend maturity dates and instituted foreign exchange restrictions. Holders of the impacted security will receive 15% of the outstanding maturity proceeds on the original maturity date; 25% of the original maturity date 90 calendar days later; and 60% of the original maturity date 180 calendar days later.

The accompanying notes are an integral part of the financial statements.

108

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

(#) OTC Options Purchased

Description	Counterparty			Expiration Date		Exercise Price		No. of Contracts		Notional Amount	Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
USD Call EUR Put		Citibank N.A.	*		10/21/19		1.13		13,650,000	USD 13,650,000	$	461,957	$	145,031	$	316,926
USD Call EUR Put		Citibank N.A.	*		11/04/19		1.14		11,138,799	USD 11,138,799		455,410		209,911		245,499
												917,367		354,942		562,425
Put
USD Put AUD Call		Citibank N.A.	*		12/05/19		0.70		7,170,000	USD 7,170,000	$	12,433	$	40,869	$	(28,436	)
											$	929,800	$	395,811	$	533,989

* Contracts are subject to a Master Netting Agreement.

(#) Exchange-Traded Options Purchased

Description	Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
U.S. Treasury Note 5 Year Future		10/25/19		119.50		207		USD 207,000	$	56,602	$	65,765	$	(9,163	)
U.S. Treasury Note 10 Year Future		10/25/19		130.00		231		USD 231,000		194,906		114,321		80,585
U.S. Treasury Note 10 Year Future		10/25/19		131.00		780		USD 780,000		316,875		192,662		124,213
U.S. Treasury Note 10 Year Future		10/25/19		132.00		567		USD 567,000		97,453		125,012		(27,559	)
U.S. Treasury Note 10 Year Future		10/25/19		132.50		265		USD 265,000		28,984		46,005		(17,021	)
U.S. Treasury Bond Future		10/25/19		166.00		468		USD 468,000		219,375		220,185		(810	)
										914,195		763,950		150,245
Put
U.S. Treasury Note 5 Year Future		10/25/19		115.50		47		USD   47,000	$	367	$	1,550	$	(1,183	)
U.S. Treasury Note 5 Year Future		10/25/19		115.75		17		USD   17,000		133		561		(428	)
U.S. Treasury Note 10 Year Future		10/25/19		128.00		495		USD 495,000		38,672		123,544		(84,872	)
U.S. Treasury Note 10 Year Future		10/25/19		129.00		567		USD 567,000		124,031		160,449		(36,418	)
U.S. Treasury Bond Future		10/25/19		158.00		468		USD 468,000		146,250		216,997		(70,747	)
										309,453		503,101		(193,648)
									$	1,223,648	$	1,267,051	$	(43,403	)

The accompanying notes are an integral part of the financial statements.

109

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

Exchange-Traded Options Written

Description	Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
U.S. Treasury Note 10 Year Future		10/25/19		130.50		189		USD 189,000	$	(112,219	)	$	(125,861	)	$	13,642
U.S. Treasury Note 10 Year Future		10/25/19		133.50		157		USD 157,000		(7,359	)		(83,134	)		75,775
U.S. Treasury Bond Future		11/22/19		166.00		234		USD 234,000		(237,656	)		(220,564	)		(17,092)
										(357,234	)		(429,559	)		72,325
Put
U.S. Treasury Note 5 Year Future		10/25/19		116.00		775		USD 775,000	$	(12,109	)	$	(22,878	)	$	10,769
U.S. Treasury Note 10 Year Future		10/25/19		126.00		317		USD 317,000		(4,953	)		(39,077	)		34,124
U.S. Treasury Note 10 Year Future		10/25/19		130.00		190		USD 190,000		(100,938	)		(72,984	)		(27,954	)
U.S. Treasury Note 10 Year Future		10/25/19		130.50		189		USD 189,000		(147,656	)		(159,142	)		11,486
U.S. Treasury Bond Future		11/22/19		158.00		234		USD 234,000		(171,844	)		(217,845	)		46,001
										(437,500	)		(511,926	)		74,426
									$	(794,734	)	$	(941,485	)	$	146,751

Interest Rate Swaptions Written

						Paid by Fund				Received by Fund
Description	Counterparty			Expiration Date		Rate		Frequency		Rate	Frequency		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
10-Year Interest Rate Swap, 12/11/29		Bank of America N.A.	*		12/09/19		1.35%		Semi-Annually	3-Month USD LIBOR BBA		Quarterly		USD 2,760,000	$	(15,632	)	$	(12,006	)	$	(3,626	)
10-Year Interest Rate Swap, 12/11/29		Bank of America N.A.	*		12/09/19		1.35%		Semi-Annually	3-Month USD LIBOR BBA		Quarterly		USD 1,600,000		(9,062	)		(6,400	)		(2,662	)
																(24,694	)		(18,406	)		(6,288	)
Put
10-Year Interest Rate Swap, 12/11/29		Bank of America N.A.	*		12/09/19		3-Month USD LIBOR BBA		Quarterly	1.85%		Semi-Annually		USD 2,760,000	$	(9,062	)	$	(15,180	)	$	6,118
10-Year Interest Rate Swap, 12/11/29		Bank of America N.A.	*		12/09/19		3-Month USD LIBOR BBA		Quarterly	1.85%		Semi-Annually		USD 1,600,000		(5,253	)		(9,360	)		4,107
																(14,315	)		(24,540	)		10,225
															$	(39,009	)	$	(42,946	)	$	3,937

* Contracts are subject to a Master Netting Agreement.

The accompanying notes are an integral part of the financial statements.

110

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

Forward contracts

Counterparty	Settlement Date		Currency Purchased		Currency Sold			Unrealized Appreciation (Depreciation)
Barclays Bank PLC*		10/17/19	INR	476,752,015		USD	6,783,126	$	(65,726	)
Barclays Bank PLC*		10/17/19	IDR	144,534,594,997		USD	10,064,382		101,619
Barclays Bank PLC*		10/17/19	CNH	22,247		USD	3,229		(114	)
Barclays Bank PLC*		10/17/19	USD	4,225,945		CNY	29,115,495		147,707
Barclays Bank PLC*		10/17/19	ZAR	16,890,000		USD	1,186,096		(73,063	)
Barclays Bank PLC*		10/17/19	CAD	30,824,276		USD	23,521,363		(248,955	)
Barclays Bank PLC*		10/17/19	GBP	48,024		USD	60,358		(1,273	)
Barclays Bank PLC*		10/17/19	USD	3,115		JPY	336,000		5
Barclays Bank PLC*		10/17/19	USD	6,835,507		EUR	6,090,000		190,192
Barclays Bank PLC*		10/17/19	EUR	1,500,000		USD	1,664,598		(27,821	)
Barclays Bank PLC*		10/17/19	CNY	15,810,000		USD	2,230,373		(15,850	)
Barclays Bank PLC*		10/17/19	USD	10,173,478		IDR	144,534,594,997		7,476
Barclays Bank PLC*		10/17/19	USD	6,733,786		INR	476,752,015		16,386
Barclays Bank PLC*		10/17/19	USD	7,138,141		MXN	141,148,171		3,533
Barclays Bank PLC*		1/17/20	IDR	144,534,594,997		USD	10,035,731		29,826
Barclays Bank PLC*		1/17/20	INR	476,752,015		USD	6,655,062		(4,852	)
Barclays Bank PLC*		1/17/20	MXN	141,148,171		USD	7,037,949		(3,201	)
Barclays Bank PLC*		1/17/20	USD	2,217,236		CNY	15,810,000		5,789
BNP Paribas SA*		10/17/19	MXN	7,000,000		USD	353,800		29
BNP Paribas SA*		10/17/19	USD	10,376,627		BRL	39,140,638		966,289
BNP Paribas SA*		10/17/19	USD	752,651		EUR	670,000		21,557
Citibank N.A.*		10/17/19	MXN	237,085,479		USD	12,217,878		(233,933	)
Citibank N.A.*		10/17/19	AUD	1,197,575		USD	831,728		(22,988	)
Citibank N.A.*		10/17/19	BRL	56,603,900		USD	14,896,129		(1,287,207	)
Citibank N.A.*		10/17/19	EUR	5,031,918		USD	5,652,339		(161,586	)
Citibank N.A.*		10/17/19	USD	4,992,177		PHP	257,796,000		20,153
Citibank N.A.*		10/17/19	USD	1,287,963		RUB	83,038,027		10,023
Citibank N.A.*		10/17/19	USD	2,207,005		CAD	2,896,804		19,910
Citibank N.A.*		10/17/19	USD	5,326,480		MXN	102,937,308		123,315
Citibank N.A.*		10/17/19	USD	5,804,387		EUR	5,151,344		183,318
Citibank N.A.*		10/17/19	USD	332,558		JPY	35,433,253		4,532
Citibank N.A.*		10/17/19	GBP	1,424,150		USD	1,779,208		(27,067	)
Citibank N.A.*		10/17/19	USD	1,111,989		ZAR	16,890,000		(1,044	)
Citibank N.A.*		10/23/19	EUR	6,163,000		USD	6,964,806		(236,806	)
Citibank N.A.*		1/17/20	ZAR	16,890,000		USD	1,098,965		911
								$	(558,916	)

* Contracts are subject to a Master Netting Agreement.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Long
Euro-BTP		12/06/19		143	$	22,514,005	$	217,040
90 Day Eurodollar		12/16/19		281		68,406,740		466,360
U.S. Treasury Long Bond		12/19/19		563		92,897,689		(1,515,751	)

The accompanying notes are an integral part of the financial statements.

111

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

	Expiration Date		Number of Contracts		Notional Amount			Value/ Net Unrealized Appreciation/ (Depreciation)
Long (Continued)
U.S. Treasury Ultra Bond		12/19/19		183	$	34,690,067		$	428,777
U.S. Treasury Note 2 Year		12/31/19		239		51,612,606			(108,106	)
U.S. Treasury Note 5 Year		12/31/19		232		27,771,261			(128,823	)
90 Day Eurodollar		6/15/20		253		61,540,607			725,856
								$	85,353
Short
Fed Fund 30 day		11/29/19		365	$	(149,559,437	)	$	133,213
Euro-Bund		12/06/19		475		(91,211,809	)		997,983
Euro-Buxl 30 Year Bond		12/06/19		4		(964,078	)		15,821
Japanese Government Bond 10 Year		12/13/19		6		(8,601,667	)		(599	)
U.S. Treasury Note 10 Year		12/19/19		177		(22,864,491	)		(200,822	)
U.S. Treasury Ultra 10 Year		12/19/19		55		(7,917,259	)		84,915
								$	1,030,511

Centrally Cleared Credit Default Swap — Sell Protection††

Reference Obligation/ Index	Rate Received by Fund	Payment Frequency	Termination Date		Credit Rating	Notional Amount	Value		Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
CDX.NA.HY.32†	5.000%	Quarterly		6/20/24	BB**	USD 4,811,400	$	343,159	$	248,932	$	94,227
CDX.NA.IG.33†	1.000%	Quarterly		12/20/24	BBB+**	USD 37,575,000		746,991		745,992		999
							$	1,090,150	$	994,924	$	95,226

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/ Reference	Frequency	Rate/ Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
Fixed 1.498%	Annually	6-Month EURIBOR	Semi-Annually	8/23/47	EUR	600,800	$	(234,161	)	$	(644	)	$	(233,517	)
28 Day-MXN-TIIE-Banxico	Monthly	Fixed 7.450%	Monthly	7/18/29	MXN	88,370,000		217,572			37,242			180,330
28 Day-MXN-TIIE-Banxico	Monthly	Fixed 7.440%	Monthly	7/20/29	MXN	91,920,000		222,891			46,911			175,980
3-Month USD LIBOR	Quarterly	Fixed 2.250%	Semi-Annually	4/26/22	USD	21,695,000		182,671			5,017			177,654
Fixed 2.300%	Semi-Annually	3-Month USD LIBOR	Quarterly	4/26/23	USD	22,149,000		(190,455	)		1,495			(191,950	)
Fixed 2.250%	Semi-Annually	3-Month USD LIBOR	Quarterly	12/31/25	USD	17,856,000		(790,759	)		93,470			(884,229	)
Fixed 2.500%	Semi-Annually	3-Month USD LIBOR	Quarterly	1/31/26	USD	38,324,000		(2,291,036	)		(515,308	)		(1,775,728	)
Fixed 1.850%	Semi-Annually	3-Month USD LIBOR	Quarterly	4/30/26	USD	33,008,000		(701,964	)		46,669			(748,633	)
Fixed 1.550%	Semi-Annually	3-Month USD LIBOR	Quarterly	6/30/26	USD	7,150,000		(26,776	)		8,069			(34,845	)
Fixed 1.250%	Annually	Fed Funds	Annually	6/30/26	USD	24,948,000		(7,742	)		(26,391	)		18,649
3-Month USD LIBOR	Quarterly	Fixed 3.000%	Semi-Annually	2/15/36	USD	11,528,000		2,236,866			6,685			2,230,181
Fixed 3.330%	Semi-Annually	3-Month USD LIBOR	Quarterly	2/15/44	USD	8,486,000		(2,803,811	)		(251	)		(2,803,560	)
Fixed 3.000%	Semi-Annually	3-Month USD LIBOR	Quarterly	5/15/44	USD	8,584,000		(2,273,889	)		6,692			(2,280,581	)
Fixed 2.750%	Semi-Annually	3-Month USD LIBOR	Quarterly	8/15/44	USD	8,135,000		(1,747,530	)		(55,943	)		(1,691,587	)
Fixed 1.850%	Semi-Annually	3-Month USD LIBOR	Quarterly	11/15/44	USD	3,888,000		(106,628	)		10,685			(117,313	)
Fixed 1.810%	Semi-Annually	3-Month USD LIBOR	Quarterly	11/15/44	USD	2,300,000		(43,738	)		3,077			(46,815	)
Fixed 1.656%	Semi-Annually	3-Month USD LIBOR	Quarterly	8/23/49	USD	12,270,000		194,948			(45,785	)		240,733
							$	(8,163,541	)	$	(378,310	)	$	(7,785,231	)

The accompanying notes are an integral part of the financial statements.

112

MassMutual Select Strategic Bond Fund – Portfolio of Investments (Continued)

OTC Interest Rate Swaps

Paid by the Fund

Received by the Fund

Rate/ Reference

Frequency

Rate/ Reference

Frequency

Counterparty

Termination Date

Notional Amount

Value

Upfront Premium Paid/ (Received)

Unrealized Appreciation (Depreciation)

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.*

1/02/20

BRL

42,358,000

$

319,094

$

-

$

319,094

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.*

1/02/20

BRL

8,600,000

64,786

1,942

62,844

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.*

1/02/20

BRL

14,700,000

110,739

12,549

98,190

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.*

1/02/20

BRL

9,600,000

72,319

5,100

67,219

BRL CDI

Maturity

Fixed 8.410%

Maturity

Citibank N.A.*

1/02/20

BRL

4,482,000

33,764

4,369

29,395

BRL CDI

Maturity

Fixed 7.024%

Maturity

Citibank N.A.*

1/04/27

BRL

9,300,000

31,320

-

31,320

BRL CDI

Maturity

Fixed 7.024%

Maturity

Citibank N.A.*

1/04/27

BRL

11,000,000

37,045

5,820

31,225

BRL CDI

Maturity

Fixed 7.024%

Maturity

Citibank N.A.*

1/04/27

BRL

11,846,000

39,894

7,253

32,641

$

708,961

$

37,033

$

671,928

Collateral for swap agreements held by Goldman Sachs International amounted to $3,490,880 in cash at September 30, 2019. A portion of the security collateral received from Citibank N.A., in the amount of $309,886 was related to swap agreements at September 30, 2019.

* Contracts are subject to a Master Netting Agreement.

** Rating is determined by Western Asset Management Company and represents a weighted average of the ratings of all securities included in the underlying index for the credit default swap. Ratings used in the weighted average are from Moody’s Investors Service, Inc., S&P Global Ratings, or Fitch Ratings, whichever is the highest for each constituent. All ratings are as of the report date and do not reflect subsequent changes.

† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

†† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings or Western Asset Management Company’s rating category, as applicable. The reference entity rating represents the creditworthiness of the underlying issuer. As the credit rating declines, the likelihood of payment by the fund increases. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

Currency Legend

ARS Argentinean Peso

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CNH Offshore Chinese Yuan

CNY Chinese Yuan Renminbi

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

INR Indian Rupee

JPY Japanese Yen

MXN Mexican Peso

PHP Philippine Peso

RUB Russian Ruble

USD U.S. Dollar

ZAR South African Rand

The accompanying notes are an integral part of the financial statements.

113

MassMutual Select Diversified Value Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 98.2%
COMMON STOCK — 96.7%
Basic Materials — 2.7%
Chemicals — 2.4%
Celanese Corp. Class A		3,474	$	424,833
CF Industries Holdings, Inc.		28,848		1,419,322
Dow, Inc.		38,121		1,816,466
DuPont de Nemours, Inc.		39,434		2,812,039
Eastman Chemical Co.		3,854		284,541
FMC Corp.		3,603		315,911
LyondellBasell Industries NV Class A		11,575		1,035,615
PPG Industries, Inc.		6,306		747,324
				8,856,051
Forest Products & Paper — 0.1%
International Paper Co.		10,970		458,765
Iron & Steel — 0.2%
Nucor Corp.		7,921		403,258
Reliance Steel & Aluminum Co.		1,805		179,886
				583,144
				9,897,960
Communications — 7.3%
Advertising — 0.2%
The Interpublic Group of Cos., Inc.		9,690		208,916
Omnicom Group, Inc.		6,078		475,908
				684,824
Media — 3.2%
Comcast Corp. Class A		190,067		8,568,221
Fox Corp. Class B		84,369		2,660,998
The Walt Disney Co.		2,651		345,478
				11,574,697
Telecommunications — 3.9%
Cisco Systems, Inc.		55,696		2,751,939
Corning, Inc.		29,176		832,099
Juniper Networks, Inc.		8,601		212,875
Verizon Communications, Inc.		168,830		10,190,579
				13,987,492
				26,247,013
Consumer, Cyclical — 4.9%
Airlines — 0.8%
Alaska Air Group, Inc.		3,378		219,266
Delta Air Lines, Inc.		18,081		1,041,466
JetBlue Airways Corp. (a)		7,654		128,204
Southwest Airlines Co.		14,914		805,505
United Airlines Holdings, Inc. (a)		7,116		629,126
				2,823,567

	Number of Shares		Value
Apparel — 0.1%
Hanesbrands, Inc.		7,334	$	112,357
Ralph Lauren Corp. Class A		1,363		130,125
				242,482
Auto Manufacturers — 0.8%
Ford Motor Co.		108,946		997,945
General Motors Co.		36,079		1,352,241
PACCAR, Inc.		9,678		677,557
				3,027,743
Auto Parts & Equipment — 0.3%
Allison Transmission Holdings, Inc.		3,564		167,686
Aptiv PLC		6,606		577,497
BorgWarner, Inc.		5,724		209,956
Lear Corp.		1,589		187,343
				1,142,482
Distribution & Wholesale — 0.3%
HD Supply Holdings, Inc. (a)		4,351		170,451
LKQ Corp. (a)		8,600		270,470
W.W. Grainger, Inc.		1,508		448,102
				889,023
Entertainment — 0.0%
Cinemark Holdings, Inc.		1,759		67,968
Home Builders — 0.5%
D.R. Horton, Inc.		9,478		499,586
Lennar Corp. Class A		7,958		444,454
NVR, Inc. (a)		100		371,735
PulteGroup, Inc.		7,577		276,939
Toll Brothers, Inc.		3,919		160,875
				1,753,589
Home Furnishing — 0.1%
Leggett & Platt, Inc.		3,113		127,446
Whirlpool Corp.		1,734		274,596
				402,042
Leisure Time — 0.3%
Harley-Davidson, Inc.		4,354		156,613
Norwegian Cruise Line Holdings Ltd. (a)		6,014		311,345
Polaris, Inc.		1,689		148,649
Royal Caribbean Cruises Ltd.		5,314		575,666
				1,192,273
Lodging — 0.6%
Hyatt Hotels Corp. Class A		947		69,765
Las Vegas Sands Corp.		38,377		2,216,656
				2,286,421
Retail — 1.0%
AutoZone, Inc. (a)		677		734,288
Best Buy Co., Inc.		7,344		506,662

The accompanying notes are an integral part of the financial statements.

114

MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
CarMax, Inc. (a)		4,557	$	401,016
Genuine Parts Co.		3,723		370,774
Target Corp.		13,686		1,463,170
Williams-Sonoma, Inc.		2,200		149,556
				3,625,466
Textiles — 0.1%
Mohawk Industries, Inc. (a)		2,000		248,140
				17,701,196
Consumer, Non-cyclical — 17.4%
Agriculture — 1.8%
Archer-Daniels-Midland Co.		14,147		581,017
Philip Morris International, Inc.		78,230		5,940,004
				6,521,021
Beverages — 0.1%
Molson Coors Brewing Co. Class B		4,105		236,038
Biotechnology — 2.4%
Amgen, Inc.		16,889		3,268,190
Bio-Rad Laboratories, Inc. Class A (a)		686		228,260
Corteva, Inc.		37,071		1,037,988
Gilead Sciences, Inc.		65,152		4,129,334
				8,663,772
Commercial Services — 0.3%
AMERCO		541		211,012
H&R Block, Inc.		5,172		122,163
ManpowerGroup, Inc.		1,544		130,066
Nielsen Holdings PLC		8,372		177,905
Quanta Services, Inc.		3,929		148,516
Robert Half International, Inc.		2,997		166,813
United Rentals, Inc. (a)		2,195		273,585
				1,230,060
Foods — 1.5%
Campbell Soup Co.		7,573		355,325
The J.M. Smucker Co.		2,823		310,586
Kellogg Co.		9,521		612,676
Tyson Foods, Inc. Class A		47,227		4,068,134
US Foods Holding Corp. (a)		2,436		100,120
				5,446,841
Health Care – Products — 0.6%
Becton Dickinson and Co.		7,941		2,008,755
Henry Schein, Inc. (a)		3,809		241,872
				2,250,627
Health Care – Services — 2.1%
Anthem, Inc.		19,350		4,645,935
DaVita, Inc. (a)		4,100		233,987
HCA Healthcare, Inc.		8,788		1,058,251
Humana, Inc.		3,500		894,845
Laboratory Corp. of America Holdings (a)		2,697		453,096

	Number of Shares		Value
Quest Diagnostics, Inc.		3,784	$	405,001
				7,691,115
Household Products & Wares — 1.2%
Avery Dennison Corp.		1,985		225,437
Kimberly-Clark Corp.		27,761		3,943,450
				4,168,887
Pharmaceuticals — 7.4%
AmerisourceBergen Corp. Class A		5,753		473,644
Bristol-Myers Squibb Co.		31,567		1,600,763
Cardinal Health, Inc.		8,100		382,239
CVS Health Corp.		53,103		3,349,206
Jazz Pharmaceuticals PLC (a)		1,600		205,024
Johnson & Johnson		86,012		11,128,233
McKesson Corp.		5,118		699,426
Merck & Co., Inc.		60,067		5,056,440
Perrigo Co. PLC		1,900		106,191
Pfizer, Inc.		99,221		3,565,010
				26,566,176
				62,774,537
Energy — 9.0%
Oil & Gas — 8.2%
Chevron Corp.		52,782		6,259,945
ConocoPhillips		29,176		1,662,448
Devon Energy Corp.		10,540		253,592
Exxon Mobil Corp.		117,680		8,309,385
Hess Corp.		12,646		764,830
HollyFrontier Corp.		4,600		246,744
Noble Energy, Inc.		13,300		298,718
Occidental Petroleum Corp.		70,316		3,126,953
Phillips 66		12,442		1,274,061
Total SA		121,430		6,321,635
Valero Energy Corp.		11,500		980,260
				29,498,571
Pipelines — 0.8%
TC Energy Corp.		55,483		2,873,465
				32,372,036
Financial — 29.3%
Banks — 17.5%
Bank of America Corp.		223,884		6,530,696
The Bank of New York Mellon Corp.		25,532		1,154,302
BB&T Corp.		19,686		1,050,642
CIT Group, Inc.		3,384		153,329
Citigroup, Inc.		65,200		4,504,016
Citizens Financial Group, Inc.		12,342		436,536
Comerica, Inc.		3,735		246,473
Commerce Bancshares, Inc.		2,854		173,095
Cullen/Frost Bankers, Inc.		1,669		147,790
Fifth Third Bancorp		90,903		2,488,924
The Goldman Sachs Group, Inc.		9,600		1,989,408
Huntington Bancshares, Inc.		27,391		390,870

The accompanying notes are an integral part of the financial statements.

115

MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
JP Morgan Chase & Co.		126,604	$	14,900,025
KeyCorp		27,120		483,821
M&T Bank Corp.		3,825		604,235
Morgan Stanley		143,894		6,139,957
Northern Trust Corp.		5,533		516,340
The PNC Financial Services Group, Inc.		12,026		1,685,564
Popular, Inc.		2,446		132,280
Prosperity Bancshares, Inc.		1,759		124,238
Regions Financial Corp.		28,735		454,588
Signature Bank		1,428		170,246
State Street Corp.		46,742		2,766,659
SunTrust Banks, Inc.		11,846		815,005
SVB Financial Group (a)		1,100		229,845
US Bancorp		41,754		2,310,666
Webster Financial Corp.		2,346		109,957
Wells Fargo & Co.		242,016		12,207,287
Zions Bancorp NA		4,908		218,504
				63,135,298
Diversified Financial Services — 3.5%
Ally Financial, Inc.		10,998		364,694
American Express Co.		21,932		2,594,117
Ameriprise Financial, Inc.		4,141		609,141
BlackRock, Inc.		3,945		1,758,050
Capital One Financial Corp.		12,085		1,099,493
The Charles Schwab Corp.		31,522		1,318,565
Credit Acceptance Corp. (a)		451		208,051
Discover Financial Services		9,600		778,464
E*TRADE Financial Corp.		6,442		281,451
Franklin Resources, Inc.		12,826		370,158
LPL Financial Holdings, Inc.		2,085		170,761
Nasdaq, Inc.		1,259		125,082
Raymond James Financial, Inc.		3,584		295,537
Santander Consumer USA Holdings, Inc.		9,058		231,069
SEI Investments Co.		3,699		219,184
Synchrony Financial		17,402		593,234
T. Rowe Price Group, Inc.		6,075		694,069
TD Ameritrade Holding Corp.		13,954		651,652
The Western Union Co.		11,775		272,827
				12,635,599
Insurance — 7.6%
Aflac, Inc.		19,686		1,029,972
Alleghany Corp. (a)		451		359,790
The Allstate Corp.		9,239		1,004,095
American Financial Group, Inc.		4,321		466,020
American International Group, Inc.		91,958		5,122,061
Arch Capital Group Ltd. (a)		10,230		429,455
Assurant, Inc.		1,600		201,312
Athene Holding Ltd. Class A (a)		4,025		169,291
AXA Equitable Holdings, Inc.		12,600		279,216
Chubb Ltd.		39,389		6,358,960

	Number of Shares		Value
Cincinnati Financial Corp.		4,141	$	483,130
Everest Re Group Ltd.		1,093		290,836
Fidelity National Financial, Inc.		5,765		256,024
Globe Life, Inc. (a)		6,883		659,116
The Hanover Insurance Group, Inc.		1,000		135,540
The Hartford Financial Services Group, Inc.		8,968		543,550
Lincoln National Corp.		5,404		325,969
Loews Corp.		8,191		421,673
Markel Corp. (a)		346		408,937
MetLife, Inc.		57,241		2,699,486
Old Republic International Corp.		6,400		150,848
Principal Financial Group, Inc.		7,177		410,094
The Progressive Corp.		12,116		935,961
Prudential Financial, Inc.		10,637		956,798
Reinsurance Group of America, Inc. Class A		1,659		265,241
The Travelers Cos., Inc.		15,761		2,343,503
Voya Financial, Inc.		4,457		242,639
W.R. Berkley Corp.		4,682		338,181
				27,287,698
Real Estate — 0.1%
CBRE Group, Inc. Class A (a)		9,376		497,022
The Howard Hughes Corp. (a)		361		46,786
				543,808
Real Estate Investment Trusts (REITS) — 0.6%
SL Green Realty Corp.		24,668		2,016,609
Savings & Loans — 0.0%
New York Community Bancorp, Inc.		11,991		150,487
				105,769,499
Industrial — 11.5%
Aerospace & Defense — 4.3%
The Boeing Co.		12,382		4,710,980
General Dynamics Corp.		8,048		1,470,611
L3 Harris Technologies, Inc.		18,149		3,786,607
Lockheed Martin Corp.		6,622		2,582,977
Northrop Grumman Corp.		4,305		1,613,471
Raytheon Co.		6,532		1,281,513
Spirit AeroSystems Holdings, Inc. Class A		3,013		247,789
				15,693,948
Building Materials — 1.1%
Fortune Brands Home & Security, Inc.		3,884		212,455
Johnson Controls International PLC		70,499		3,094,201
Masco Corp.		8,038		335,024
Owens Corning		3,017		190,674
				3,832,354

The accompanying notes are an integral part of the financial statements.

116

MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Electrical Components & Equipment — 0.4%
Acuity Brands, Inc.		1,147	$	154,604
Emerson Electric Co.		15,798		1,056,255
Hubbell, Inc. Class B		1,508		198,151
				1,409,010
Electronics — 0.2%
Arrow Electronics, Inc. (a)		2,356		175,710
Gentex Corp.		7,093		195,306
Sensata Technologies Holding PLC (a)		4,525		226,522
				597,538
Engineering & Construction — 0.0%
AECOM (a)		4,387		164,776
Environmental Controls — 0.0%
Pentair PLC		4,351		164,468
Hand & Machine Tools — 0.3%
Lincoln Electric Holdings, Inc.		1,600		138,816
Snap-on, Inc.		1,489		233,088
Stanley Black & Decker, Inc.		4,254		614,320
				986,224
Machinery – Construction & Mining — 0.5%
Caterpillar, Inc.		14,460		1,826,443
Oshkosh Corp.		1,769		134,090
				1,960,533
Machinery – Diversified — 0.9%
AGCO Corp.		2,150		162,755
Crane Co.		1,038		83,694
Cummins, Inc.		4,390		714,121
Deere & Co.		8,770		1,479,323
Dover Corp.		3,703		368,671
Rockwell Automation, Inc.		3,000		494,400
				3,302,964
Miscellaneous – Manufacturing — 1.3%
A.O. Smith Corp.		3,000		143,130
Eaton Corp. PLC		11,679		971,109
General Electric Co.		281,355		2,515,314
Parker-Hannifin Corp.		3,613		652,544
Textron, Inc.		6,398		313,246
				4,595,343
Packaging & Containers — 0.2%
Berry Global Group, Inc. (a)		283		11,113
Packaging Corp. of America		2,256		239,362
Sealed Air Corp.		4,290		178,078
Sonoco Products Co.		2,336		135,978
				564,531
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc.		1,193		252,665
Transportation — 2.2%
C.H. Robinson Worldwide, Inc.		3,793		321,570

	Number of Shares		Value
CSX Corp.		22,200	$	1,537,794
J.B. Hunt Transport Services, Inc.		2,426		268,437
Kansas City Southern		1,966		261,498
Knight-Swift Transportation Holdings, Inc.		4,696		170,465
United Parcel Service, Inc. Class B		44,656		5,350,682
				7,910,446
				41,434,800
Technology — 11.1%
Computers — 3.8%
Apple, Inc.		37,774		8,460,243
Cognizant Technology Solutions Corp. Class A		14,370		866,008
Hewlett Packard Enterprise Co.		36,328		551,096
International Business Machines Corp.		24,676		3,588,384
Leidos Holdings, Inc.		3,674		315,523
				13,781,254
Office & Business Equipment — 0.1%
Xerox Holdings Corp.		5,731		171,414
Semiconductors — 4.6%
Applied Materials, Inc.		23,658		1,180,534
Broadcom, Inc.		5,000		1,380,350
Intel Corp.		123,187		6,347,826
Lam Research Corp.		3,509		810,965
Micron Technology, Inc. (a)		28,400		1,216,940
ON Semiconductor Corp. (a)		11,425		219,474
Qorvo, Inc. (a)		3,303		244,885
QUALCOMM, Inc.		64,433		4,914,949
Skyworks Solutions, Inc.		4,805		380,796
				16,696,719
Software — 2.6%
CDK Global, Inc.		3,132		150,618
Microsoft Corp.		27,604		3,837,784
Oracle Corp.		97,228		5,350,457
				9,338,859
				39,988,246
Utilities — 3.5%
Electric — 3.5%
AES Corp.		13,415		219,201
American Electric Power Co., Inc.		11,936		1,118,284
DTE Energy Co.		4,547		604,569
Edison International		28,491		2,148,791
Evergy, Inc.		6,500		432,640
Eversource Energy		7,334		626,837
OGE Energy Corp.		4,105		186,285
Pinnacle West Capital Corp.		2,778		269,661
Public Service Enterprise Group, Inc.		12,693		787,982
The Southern Co.		79,877		4,934,002
Vistra Energy Corp.		13,700		366,201

The accompanying notes are an integral part of the financial statements.

117

MassMutual Select Diversified Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
WEC Energy Group, Inc.		7,831	$	744,728
				12,439,181
TOTAL COMMON STOCK (Cost $328,533,950)				348,624,468
PREFERRED STOCK — 1.5%
Consumer, Non-cyclical — 0.4%
Health Care – Products — 0.4%
Becton Dickinson and Co. Convertible 6.125%		20,457		1,266,493
Utilities — 1.1%
Electric — 1.1%
Sempra Energy Convertible 6.000%		25,592		3,024,975
Sempra Energy Convertible 6.750%		2,159		254,028
The Southern Co. Convertible 6.750%		15,436		825,980
				4,104,983
TOTAL PREFERRED STOCK (Cost $4,797,312)				5,371,476
TOTAL EQUITIES (Cost $333,331,262)				353,995,944
	Principal Amount
BONDS & NOTES — 0.2%
CORPORATE DEBT — 0.2%
Electric — 0.2%
Pacific Gas & Electric Co. 3.950% 12/01/47	$	392,000		379,260
4.000% 12/01/46		210,000		202,125
				581,385
TOTAL CORPORATE DEBT (Cost $462,966)				581,385
TOTAL BONDS & NOTES (Cost $462,966)				581,385
	Number of Shares
MUTUAL FUNDS — 1.0%
Diversified Financial Services — 1.0%
iShares Russell 1000 Value ETF		28,500		3,655,410
TOTAL MUTUAL FUNDS (Cost $3,544,067)				3,655,410
TOTAL LONG-TERM INVESTMENTS (Cost $337,338,295)				358,232,739

	Number of Shares		Value
Mutual Fund — 0.0%
T. Rowe Price Government Reserve Investment Fund		104	$	104
TOTAL MUTUAL FUND (Cost $104)				104
	Principal Amount
Repurchase Agreement — 0.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (b)	$	3,010,510		3,010,510
TOTAL SHORT-TERM INVESTMENTS (Cost $3,010,614)				3,010,614
TOTAL INVESTMENTS — 100.2% (Cost $340,348,909) (c)				361,243,353
Other Assets/(Liabilities) — (0.2)%				(668,316	)
NET ASSETS — 100.0%			$	360,575,037

Abbreviation Legend

ETF Exchange-Traded Fund

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $3,010,590. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $3,073,920.

(c) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

118

MassMutual Select Fundamental Value Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 98.2%
COMMON STOCK — 98.2%
Basic Materials — 4.5%
Chemicals — 3.7%
Air Products & Chemicals, Inc.		17,207	$	3,817,545
DuPont de Nemours, Inc.		122,922		8,765,568
Element Solutions, Inc. (a)		165,671		1,686,531
FMC Corp.		31,624		2,772,792
Linde PLC		34,369		6,657,963
LyondellBasell Industries NV Class A		8,340		746,180
The Mosaic Co.		113,341		2,323,490
				26,770,069
Mining — 0.8%
Barrick Gold Corp.		307,644		5,331,470
				32,101,539
Communications — 9.4%
Internet — 2.3%
Alphabet, Inc. Class A (a)		6,209		7,582,058
Booking Holdings, Inc. (a)		1,490		2,924,289
eBay, Inc.		77,396		3,016,896
Symantec Corp.		107,656		2,543,911
				16,067,154
Media — 3.7%
Altice USA, Inc. Class A (a)		58,317		1,672,532
Comcast Corp. Class A		429,984		19,383,679
Fox Corp. Class A		112,081		3,534,474
Liberty Global PLC Series C (a)		92,665		2,204,500
				26,795,185
Telecommunications — 3.4%
AT&T, Inc.		147,838		5,594,190
Cisco Systems, Inc.		116,648		5,763,578
Verizon Communications, Inc.		216,334		13,057,920
				24,415,688
				67,278,027
Consumer, Cyclical — 8.7%
Airlines — 0.8%
Delta Air Lines, Inc.		52,403		3,018,413
Southwest Airlines Co.		51,908		2,803,551
				5,821,964
Entertainment — 0.4%
SeaWorld Entertainment, Inc. (a)		99,966		2,631,105
Food Services — 0.5%
Aramark		79,292		3,455,545
Home Builders — 0.9%
Lennar Corp. Class A		87,297		4,875,537
Toll Brothers, Inc.		42,237		1,733,829
				6,609,366

	Number of Shares		Value
Home Furnishing — 0.5%
Whirlpool Corp.		19,796	$	3,134,895
Leisure Time — 0.7%
Norwegian Cruise Line Holdings Ltd. (a)		50,242		2,601,028
Royal Caribbean Cruises Ltd.		24,006		2,600,570
				5,201,598
Lodging — 1.2%
Las Vegas Sands Corp.		65,624		3,790,442
MGM Resorts International		98,936		2,742,506
Wyndham Destinations, Inc.		28,835		1,326,987
Wyndham Hotels & Resorts, Inc.		15,670		810,766
				8,670,701
Retail — 3.7%
Advance Auto Parts, Inc.		20,057		3,317,428
AutoZone, Inc. (a)		3,824		4,147,587
Best Buy Co., Inc.		20,121		1,388,148
Dollar General Corp.		24,000		3,814,560
Lowe’s Cos., Inc.		75,346		8,285,046
Target Corp.		52,216		5,582,412
				26,535,181
				62,060,355
Consumer, Non-cyclical — 15.5%
Beverages — 0.4%
Coca-Cola European Partners PLC		51,208		2,839,484
Biotechnology — 1.2%
Biogen, Inc. (a)		10,924		2,543,326
Corteva, Inc. (a)		207,597		5,812,716
				8,356,042
Commercial Services — 0.5%
AMERCO		5,713		2,228,299
Nielsen Holdings PLC		67,725		1,439,156
				3,667,455
Cosmetics & Personal Care — 1.3%
The Procter & Gamble Co.		76,604		9,528,005
Foods — 1.1%
Mondelez International, Inc. Class A		91,640		5,069,525
Tyson Foods, Inc. Class A		31,306		2,696,699
				7,766,224
Health Care – Products — 2.7%
Medtronic PLC		150,758		16,375,334
Zimmer Biomet Holdings, Inc.		20,017		2,747,733
				19,123,067
Health Care – Services — 3.8%
Anthem, Inc.		30,022		7,208,282
Humana, Inc.		6,251		1,598,193
Quest Diagnostics, Inc.		40,207		4,303,355

The accompanying notes are an integral part of the financial statements.

119

MassMutual Select Fundamental Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
UnitedHealth Group, Inc.		51,163	$	11,118,743
Universal Health Services, Inc. Class B		21,293		3,167,334
				27,395,907
Pharmaceuticals — 4.5%
Cigna Corp. (a)		44,563		6,764,218
CVS Health Corp.		194,703		12,279,918
Johnson & Johnson		20,858		2,698,608
McKesson Corp.		23,020		3,145,913
Novo Nordisk A/S Sponsored ADR		24,803		1,282,315
Pfizer, Inc.		177,617		6,381,779
				32,552,751
				111,228,935
Energy — 10.1%
Oil & Gas — 9.7%
BP PLC Sponsored ADR		179,767		6,829,349
Chevron Corp.		47,747		5,662,794
Cimarex Energy Co.		59,113		2,833,877
ConocoPhillips		89,298		5,088,200
EOG Resources, Inc.		61,274		4,547,757
Hess Corp.		49,694		3,005,493
Kosmos Energy Ltd.		391,705		2,444,239
Marathon Petroleum Corp.		88,435		5,372,426
Noble Energy, Inc.		163,670		3,676,028
Parsley Energy, Inc. Class A		112,888		1,896,519
Phillips 66		84,908		8,694,579
Pioneer Natural Resources Co.		14,321		1,801,152
Royal Dutch Shell PLC Class A Sponsored ADR		69,863		4,111,438
Total SA Sponsored ADR		64,229		3,339,908
Valero Energy Corp.		118,751		10,122,335
				69,426,094
Oil & Gas Services — 0.4%
Apergy Corp. (a)		5,374		145,367
Schlumberger Ltd.		86,245		2,946,991
				3,092,358
				72,518,452
Financial — 26.4%
Banks — 11.2%
Bank of America Corp.		454,448		13,256,248
The Bank of New York Mellon Corp.		53,619		2,424,115
BB&T Corp.		44,175		2,357,620
Citigroup, Inc.		113,236		7,822,343
JP Morgan Chase & Co.		156,017		18,361,641
Northern Trust Corp.		77,937		7,273,081
SunTrust Banks, Inc.		34,628		2,382,406
US Bancorp		151,584		8,388,658
Wells Fargo & Co.		362,984		18,308,913
				80,575,025

	Number of Shares		Value
Diversified Financial Services — 2.2%
American Express Co.		58,589	$	6,929,907
The Charles Schwab Corp.		26,046		1,089,504
Discover Financial Services		27,019		2,190,971
E*TRADE Financial Corp.		49,500		2,162,655
Navient Corp.		108,640		1,390,592
SLM Corp.		264,276		2,332,236
				16,095,865
Insurance — 9.1%
The Allstate Corp.		51,061		5,549,310
American International Group, Inc.		171,923		9,576,111
Aon PLC		13,446		2,602,742
Berkshire Hathaway, Inc. Class B (a)		89,479		18,613,422
Chubb Ltd.		98,853		15,958,828
Everest Re Group Ltd.		13,734		3,654,480
Fidelity National Financial, Inc.		44,551		1,978,510
The Travelers Cos., Inc.		26,000		3,865,940
Willis Towers Watson PLC		17,453		3,367,905
				65,167,248
Real Estate Investment Trusts (REITS) — 3.1%
Equity Residential		28,627		2,469,365
Essex Property Trust, Inc.		6,454		2,108,199
HCP, Inc.		186,480		6,644,282
Liberty Property Trust		55,854		2,866,986
MGM Growth Properties LLC Class A		80,566		2,421,008
Simon Property Group, Inc.		35,713		5,558,729
				22,068,569
Savings & Loans — 0.8%
New York Community Bancorp, Inc.		441,890		5,545,720
				189,452,427
Industrial — 11.9%
Aerospace & Defense — 3.0%
General Dynamics Corp.		19,407		3,546,241
Spirit AeroSystems Holdings, Inc. Class A		35,961		2,957,433
United Technologies Corp.		106,875		14,590,575
				21,094,249
Building Materials — 1.7%
CRH PLC Sponsored ADR		94,314		3,240,629
Johnson Controls International PLC		101,372		4,449,217
Owens Corning		75,823		4,792,014
				12,481,860
Engineering & Construction — 0.4%
Jacobs Engineering Group, Inc.		33,920		3,103,680
Hand & Machine Tools — 1.0%
Stanley Black & Decker, Inc.		46,921		6,775,862

The accompanying notes are an integral part of the financial statements.

120

MassMutual Select Fundamental Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Machinery – Diversified — 1.5%
Deere & Co.		11,668	$	1,968,158
Dover Corp.		34,917		3,476,337
Wabtec Corp.		75,665		5,437,287
				10,881,782
Miscellaneous – Manufacturing — 1.8%
Eaton Corp. PLC		53,662		4,461,995
General Electric Co.		927,565		8,292,431
				12,754,426
Transportation — 2.5%
C.H. Robinson Worldwide, Inc.		21,088		1,787,841
J.B. Hunt Transport Services, Inc.		17,830		1,972,889
Kansas City Southern		31,116		4,138,739
Union Pacific Corp.		23,932		3,876,505
United Parcel Service, Inc. Class B		52,885		6,336,681
				18,112,655
				85,204,514
Technology — 7.2%
Computers — 0.7%
International Business Machines Corp.		34,128		4,962,894
Semiconductors — 4.0%
Broadcom, Inc.		10,579		2,920,544
KLA Corp.		19,622		3,128,728
Lam Research Corp.		9,488		2,192,772
Marvell Technology Group Ltd.		130,744		3,264,678
Microchip Technology, Inc.		26,024		2,417,890
NXP Semiconductor NV		37,219		4,061,337
QUALCOMM, Inc.		94,376		7,199,001
Texas Instruments, Inc.		24,293		3,139,627
				28,324,577
Software — 2.5%
Microsoft Corp.		33,731		4,689,621
Oracle Corp.		245,070		13,486,202
				18,175,823
				51,463,294
Utilities — 4.5%
Electric — 4.5%
Dominion Energy, Inc.		111,666		9,049,413
Edison International		114,973		8,671,264
Entergy Corp.		54,385		6,382,623
Exelon Corp.		173,974		8,404,684
				32,507,984
TOTAL COMMON STOCK (Cost $649,849,142)				703,815,527
TOTAL EQUITIES (Cost $649,849,142)				703,815,527
TOTAL LONG-TERM INVESTMENTS (Cost $649,849,142)				703,815,527

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (b)	$	6,487,991	$	6,487,991
TOTAL SHORT-TERM INVESTMENTS (Cost $6,487,991)				6,487,991
TOTAL INVESTMENTS — 99.1% (Cost $656,337,133) (c)				710,303,518
Other Assets/(Liabilities) — 0.9%				6,808,079
NET ASSETS — 100.0%			$	717,111,597

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $6,488,162. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $6,620,361.

(c) See Note 6 for aggregate cost for federal tax purposes.

Country weightings, as a percentage of net assets, is as follows:

United States	83.6	%
Ireland	5.4	%
United Kingdom	2.8	%
Switzerland	2.2	%
Bermuda	1.3	%
Netherlands	1.1	%
Canada	0.7	%
France	0.5	%
Liberia	0.4	%
Denmark	0.2	%
Total Long-Term Investments	98.2	%
Short-Term Investments and Other Assets and Liabilities	1.8	%
Net Assets	100.0	%

The accompanying notes are an integral part of the financial statements.

121

MM S&P 500 Index Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 100.0%
COMMON STOCK — 100.0%
Basic Materials — 2.2%
Chemicals — 1.8%
Air Products & Chemicals, Inc.		29,261	$	6,491,845
Albemarle Corp. (a)		14,094		979,815
Celanese Corp. Class A		16,382		2,003,355
CF Industries Holdings, Inc.		28,521		1,403,233
Dow, Inc. (b)		98,669		4,701,578
DuPont de Nemours, Inc.		99,699		7,109,536
Eastman Chemical Co.		18,430		1,360,687
Ecolab, Inc.		33,314		6,597,504
FMC Corp.		17,254		1,512,831
International Flavors & Fragrances, Inc. (a)		14,222		1,744,897
Linde PLC		72,100		13,967,212
LyondellBasell Industries NV Class A		34,372		3,075,263
The Mosaic Co.		46,340		949,970
PPG Industries, Inc.		31,700		3,756,767
The Sherwin-Williams Co.		10,925		6,007,330
				61,661,823
Forest Products & Paper — 0.1%
International Paper Co.		52,473		2,194,421
Iron & Steel — 0.1%
Nucor Corp.		40,725		2,073,310
Mining — 0.2%
Freeport-McMoRan, Inc.		191,396		1,831,660
Newmont Goldcorp Corp.		108,357		4,108,897
				5,940,557
				71,870,111
Communications — 14.9%
Advertising — 0.1%
The Interpublic Group of Cos., Inc.		51,004		1,099,646
Omnicom Group, Inc.		28,938		2,265,846
				3,365,492
Internet — 9.1%
Alphabet, Inc. Class A (b)		39,864		48,679,525
Alphabet, Inc. Class C (b)		40,217		49,024,523
Amazon.com, Inc. (b)		55,298		95,992,351
Booking Holdings, Inc. (b)		5,659		11,106,410
CDW Corp.		19,305		2,379,148
eBay, Inc.		104,991		4,092,549
Expedia Group, Inc.		18,593		2,499,085
F5 Networks, Inc. (b)		8,200		1,151,444
Facebook, Inc. Class A (b)		320,161		57,014,271
Netflix, Inc. (b)		58,270		15,594,218
Symantec Corp.		75,672		1,788,130
TripAdvisor, Inc. (b)		13,671		528,794

	Number of Shares		Value
Twitter, Inc. (b)		102,861	$	4,237,873
VeriSign, Inc. (b)		13,916		2,624,975
				296,713,296
Media — 2.3%
CBS Corp. Class B		43,575		1,759,123
Charter Communications, Inc. Class A (b)		21,518		8,867,998
Comcast Corp. Class A		603,640		27,212,091
Discovery, Inc. Class A (a) (b)		21,827		581,253
Discovery, Inc. Class C (b)		46,169		1,136,681
DISH Network Corp. Class A (b)		32,017		1,090,819
Fox Corp. Class A		46,493		1,466,157
Fox Corp. Class B (b)		22,068		696,025
News Corp. Class A		49,069		683,040
News Corp. Class B		16,975		242,658
Viacom, Inc. Class B		47,055		1,130,732
The Walt Disney Co.		239,745		31,243,568
				76,110,145
Telecommunications — 3.4%
Arista Networks, Inc. (b)		7,344		1,754,628
AT&T, Inc.		972,294		36,791,605
CenturyLink, Inc.		129,298		1,613,639
Cisco Systems, Inc.		564,894		27,911,413
Corning, Inc.		103,760		2,959,235
Juniper Networks, Inc.		46,497		1,150,801
Motorola Solutions, Inc.		21,829		3,719,880
T-Mobile US, Inc. (b)		42,450		3,343,786
Verizon Communications, Inc.		550,373		33,220,514
				112,465,501
				488,654,434
Consumer, Cyclical — 8.6%
Airlines — 0.4%
Alaska Air Group, Inc.		16,307		1,058,487
American Airlines Group, Inc.		52,207		1,408,023
Delta Air Lines, Inc.		77,131		4,442,746
Southwest Airlines Co.		64,803		3,500,010
United Airlines Holdings, Inc. (b)		29,373		2,596,867
				13,006,133
Apparel — 0.7%
Capri Holdings Ltd. (b)		19,530		647,615
Hanesbrands, Inc.		46,618		714,188
NIKE, Inc. Class B		166,298		15,618,708
PVH Corp.		9,539		841,626
Ralph Lauren Corp. Class A		7,203		687,670
Tapestry, Inc.		38,853		1,012,121
Under Armour, Inc. Class A (b)		26,011		518,659
Under Armour, Inc. Class C (b)		26,502		480,481
VF Corp.		43,302		3,853,445
				24,374,513

The accompanying notes are an integral part of the financial statements.

122

MM S&P 500 Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Auto Manufacturers — 0.4%
Ford Motor Co.		517,968	$	4,744,587
General Motors Co.		167,369		6,272,990
PACCAR, Inc.		45,698		3,199,317
				14,216,894
Auto Parts & Equipment — 0.1%
Aptiv PLC		33,775		2,952,611
BorgWarner, Inc.		28,156		1,032,762
				3,985,373
Distribution & Wholesale — 0.2%
Copart, Inc. (b)		27,165		2,182,164
Fastenal Co.		76,131		2,487,200
LKQ Corp. (b)		41,050		1,291,023
W.W. Grainger, Inc.		5,940		1,765,071
				7,725,458
Home Builders — 0.2%
D.R. Horton, Inc.		45,040		2,374,058
Lennar Corp. Class A		37,994		2,121,965
NVR, Inc. (b)		457		1,698,829
PulteGroup, Inc.		34,460		1,259,513
				7,454,365
Home Furnishing — 0.1%
Leggett & Platt, Inc.		16,797		687,669
Whirlpool Corp.		8,521		1,349,386
				2,037,055
Housewares — 0.0%
Newell Brands, Inc.		49,458		925,854
Leisure Time — 0.2%
Carnival Corp.		53,175		2,324,279
Harley-Davidson, Inc.		21,595		776,772
Norwegian Cruise Line Holdings Ltd. (b)		28,694		1,485,488
Royal Caribbean Cruises Ltd.		22,784		2,468,191
				7,054,730
Lodging — 0.4%
Hilton Worldwide Holdings, Inc.		38,360		3,571,700
Marriott International, Inc. Class A		36,288		4,513,138
MGM Resorts International		70,230		1,946,776
Wynn Resorts Ltd.		12,827		1,394,551
				11,426,165
Retail — 5.8%
Advance Auto Parts, Inc.		9,532		1,576,593
AutoZone, Inc. (b)		3,287		3,565,146
Best Buy Co., Inc.		31,156		2,149,452
CarMax, Inc. (b)		22,280		1,960,640
Chipotle Mexican Grill, Inc. (b)		3,394		2,852,555
Costco Wholesale Corp.		58,545		16,867,400
Darden Restaurants, Inc.		16,204		1,915,637
Dollar General Corp.		34,322		5,455,139

	Number of Shares		Value
Dollar Tree, Inc. (b)		31,546	$	3,601,291
The Gap, Inc.		28,107		487,937
Genuine Parts Co.		19,157		1,907,846
The Home Depot, Inc.		145,776		33,822,947
Kohl’s Corp.		21,319		1,058,702
L Brands, Inc.		31,131		609,856
Lowe’s Cos., Inc.		102,738		11,297,070
Macy’s, Inc.		41,024		637,513
McDonald’s Corp.		101,102		21,707,610
Nordstrom, Inc. (a)		14,650		493,265
O’Reilly Automotive, Inc. (b)		10,158		4,048,065
Ross Stores, Inc.		48,263		5,301,691
Starbucks Corp.		159,320		14,087,074
Target Corp.		67,894		7,258,548
Tiffany & Co.		14,174		1,312,938
The TJX Cos., Inc.		161,093		8,979,324
Tractor Supply Co.		15,650		1,415,386
Ulta Salon Cosmetics & Fragrance, Inc. (b)		7,838		1,964,595
Walgreens Boots Alliance, Inc.		101,005		5,586,587
Walmart, Inc.		189,321		22,468,616
Yum! Brands, Inc.		40,489		4,592,667
				188,982,090
Textiles — 0.0%
Mohawk Industries, Inc. (b)		8,081		1,002,610
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		15,878		1,884,560
				284,075,800
Consumer, Non-cyclical — 21.7%
Agriculture — 0.9%
Altria Group, Inc.		248,385		10,158,946
Archer-Daniels-Midland Co.		74,599		3,063,781
Philip Morris International, Inc.		206,730		15,697,009
				28,919,736
Beverages — 1.9%
Brown-Forman Corp. Class B		24,222		1,520,657
The Coca-Cola Co.		512,325		27,890,973
Constellation Brands, Inc. Class A		22,331		4,628,770
Molson Coors Brewing Co. Class B		24,789		1,425,367
Monster Beverage Corp. (b)		51,976		3,017,727
PepsiCo, Inc.		185,869		25,482,640
				63,966,134
Biotechnology — 1.9%
Alexion Pharmaceuticals, Inc. (b)		29,680		2,906,859
Amgen, Inc.		79,793		15,440,743
Biogen, Inc. (b)		24,523		5,709,445
Celgene Corp. (b)		94,269		9,360,912
Corteva, Inc. (b)		100,498		2,813,944
Gilead Sciences, Inc.		168,863		10,702,537
Illumina, Inc. (b)		19,505		5,933,811

The accompanying notes are an integral part of the financial statements.

123

MM S&P 500 Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Incyte Corp. (b)		23,676	$	1,757,470
Nektar Therapeutics (b)		23,472		427,542
Regeneron Pharmaceuticals, Inc. (b)		10,725		2,975,115
Vertex Pharmaceuticals, Inc. (b)		34,340		5,817,883
				63,846,261
Commercial Services — 2.1%
Automatic Data Processing, Inc.		57,648		9,305,540
Cintas Corp.		11,184		2,998,430
Equifax, Inc.		15,909		2,237,919
FleetCor Technologies, Inc. (b)		11,497		3,297,110
Gartner, Inc. (b)		11,932		1,706,157
Global Payments, Inc.		39,903		6,344,577
H&R Block, Inc.		27,085		639,748
IHS Markit Ltd. (b)		53,342		3,567,513
MarketAxess Holdings, Inc.		4,957		1,623,418
Moody’s Corp.		21,637		4,431,907
Nielsen Holdings PLC		48,463		1,029,839
PayPal Holdings, Inc. (b)		156,565		16,218,568
Quanta Services, Inc.		18,985		717,633
Robert Half International, Inc.		15,302		851,709
Rollins, Inc.		18,148		618,302
S&P Global, Inc.		32,765		8,026,770
United Rentals, Inc. (b)		10,185		1,269,458
Verisk Analytics, Inc.		21,951		3,471,331
				68,355,929
Cosmetics & Personal Care — 1.7%
Colgate-Palmolive Co.		114,159		8,391,828
Coty, Inc. Class A		41,069		431,635
The Estee Lauder Cos., Inc. Class A		29,464		5,861,863
The Procter & Gamble Co.		333,258		41,450,630
				56,135,956
Foods — 1.4%
Campbell Soup Co.		22,515		1,056,404
Conagra Brands, Inc.		63,653		1,952,874
General Mills, Inc.		80,739		4,450,334
The Hershey Co.		19,876		3,080,581
Hormel Foods Corp.		36,305		1,587,618
The J.M. Smucker Co.		15,221		1,674,614
Kellogg Co.		33,619		2,163,383
The Kraft Heinz Co.		82,395		2,301,704
The Kroger Co.		105,367		2,716,361
Lamb Weston Holdings, Inc.		19,018		1,382,989
McCormick & Co., Inc.		16,586		2,592,392
Mondelez International, Inc. Class A		191,841		10,612,644
Sysco Corp.		68,392		5,430,325
Tyson Foods, Inc. Class A		39,046		3,363,422
				44,365,645
Health Care – Products — 4.1%
Abbott Laboratories		235,459		19,700,855
ABIOMED, Inc. (b)		6,110		1,086,908
Align Technology, Inc. (b)		9,700		1,754,924

	Number of Shares		Value
Baxter International, Inc.		67,935	$	5,942,274
Becton Dickinson and Co.		35,945		9,092,647
Boston Scientific Corp. (b)		184,873		7,522,482
The Cooper Cos., Inc.		6,618		1,965,546
Danaher Corp.		84,938		12,267,595
DENTSPLY SIRONA, Inc.		29,453		1,570,139
Edwards Lifesciences Corp. (b)		27,683		6,087,769
Henry Schein, Inc. (b)		19,741		1,253,554
Hologic, Inc. (b)		35,186		1,776,541
IDEXX Laboratories, Inc. (b)		11,544		3,139,160
Intuitive Surgical, Inc. (b)		15,364		8,295,485
Medtronic PLC		178,567		19,395,948
ResMed, Inc.		19,371		2,617,216
Stryker Corp.		42,675		9,230,602
Teleflex, Inc.		6,066		2,060,923
Thermo Fisher Scientific, Inc.		53,413		15,557,605
Varian Medical Systems, Inc. (b)		12,204		1,453,374
Zimmer Biomet Holdings, Inc.		27,162		3,728,528
				135,500,075
Health Care – Services — 1.8%
Anthem, Inc.		34,105		8,188,611
Centene Corp. (b)		55,547		2,402,963
DaVita, Inc. (b)		12,892		735,746
HCA Healthcare, Inc.		35,360		4,258,051
Humana, Inc.		17,871		4,569,079
IQVIA Holdings, Inc. (b)		24,236		3,620,374
Laboratory Corp. of America Holdings (b)		13,100		2,200,800
Quest Diagnostics, Inc.		17,744		1,899,140
UnitedHealth Group, Inc.		126,073		27,398,184
Universal Health Services, Inc. Class B		10,700		1,591,625
WellCare Health Plans, Inc. (b)		6,659		1,725,813
				58,590,386
Household Products & Wares — 0.4%
Avery Dennison Corp.		11,119		1,262,785
Church & Dwight Co., Inc.		33,095		2,490,068
The Clorox Co.		16,542		2,512,233
Kimberly-Clark Corp.		45,566		6,472,650
				12,737,736
Pharmaceuticals — 5.5%
AbbVie, Inc.		196,373		14,869,364
Allergan PLC		43,646		7,345,185
AmerisourceBergen Corp. Class A		20,544		1,691,387
Bristol-Myers Squibb Co.		218,236		11,066,748
Cardinal Health, Inc.		39,498		1,863,911
Cigna Corp. (b)		50,219		7,622,742
CVS Health Corp.		173,390		10,935,707
Eli Lilly & Co.		113,025		12,639,586
Johnson & Johnson		351,195		45,437,609
McKesson Corp.		24,578		3,358,829

The accompanying notes are an integral part of the financial statements.

124

MM S&P 500 Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Merck & Co., Inc.		340,655	$	28,676,338
Mylan NV (b)		69,946		1,383,532
Perrigo Co. PLC		18,331		1,024,520
Pfizer, Inc.		735,513		26,426,982
Zoetis, Inc.		63,554		7,918,193
				182,260,633
				714,678,491
Energy — 4.5%
Oil & Gas — 3.7%
Apache Corp.		49,361		1,263,642
Cabot Oil & Gas Corp.		54,116		950,818
Chevron Corp.		252,525		29,949,465
Cimarex Energy Co.		13,905		666,606
Concho Resources, Inc.		26,341		1,788,554
ConocoPhillips		147,462		8,402,385
Devon Energy Corp.		53,372		1,284,130
Diamondback Energy, Inc.		21,572		1,939,539
EOG Resources, Inc.		77,531		5,754,351
Exxon Mobil Corp.		563,104		39,760,774
Helmerich & Payne, Inc.		15,283		612,390
Hess Corp.		34,263		2,072,226
HollyFrontier Corp.		20,605		1,105,252
Marathon Oil Corp.		106,289		1,304,166
Marathon Petroleum Corp.		88,163		5,355,902
Noble Energy, Inc.		62,263		1,398,427
Occidental Petroleum Corp.		119,705		5,323,281
Phillips 66		59,568		6,099,763
Pioneer Natural Resources Co.		22,130		2,783,290
Valero Energy Corp.		55,385		4,721,017
				122,535,978
Oil & Gas Services — 0.4%
Baker Hughes a GE Co.		86,389		2,004,225
Halliburton Co.		116,523		2,196,458
National Oilwell Varco, Inc.		51,707		1,096,188
Schlumberger Ltd.		183,924		6,284,683
TechnipFMC PLC		56,076		1,353,675
				12,935,229
Pipelines — 0.4%
Kinder Morgan, Inc.		259,852		5,355,550
ONEOK, Inc.		54,940		4,048,528
The Williams Cos., Inc.		161,694		3,890,358
				13,294,436
				148,765,643
Financial — 17.9%
Banks — 6.3%
Bank of America Corp.		1,114,650		32,514,341
The Bank of New York Mellon Corp.		114,091		5,158,054
BB&T Corp.		101,769		5,431,412
Citigroup, Inc.		300,541		20,761,372

	Number of Shares		Value
Citizens Financial Group, Inc.		58,845	$	2,081,348
Comerica, Inc.		19,879		1,311,815
Fifth Third Bancorp		96,867		2,652,219
First Republic Bank		22,167		2,143,549
The Goldman Sachs Group, Inc.		43,036		8,918,350
Huntington Bancshares, Inc.		139,998		1,997,771
JP Morgan Chase & Co.		425,483		50,075,094
KeyCorp		134,385		2,397,428
M&T Bank Corp.		17,925		2,831,612
Morgan Stanley		166,994		7,125,634
Northern Trust Corp.		28,916		2,698,441
The PNC Financial Services Group, Inc.		59,177		8,294,248
Regions Financial Corp.		132,314		2,093,208
State Street Corp.		50,048		2,962,341
SunTrust Banks, Inc.		59,265		4,077,432
SVB Financial Group (b)		6,880		1,437,576
US Bancorp		190,767		10,557,046
Wells Fargo & Co.		533,602		26,914,885
Zions Bancorp NA		23,515		1,046,888
				205,482,064
Diversified Financial Services — 4.3%
Affiliated Managers Group, Inc.		7,129		594,202
Alliance Data Systems Corp.		5,293		678,192
American Express Co.		90,306		10,681,394
Ameriprise Financial, Inc.		17,618		2,591,608
BlackRock, Inc.		15,612		6,957,332
Capital One Financial Corp.		62,839		5,717,092
Cboe Global Markets, Inc.		15,094		1,734,451
The Charles Schwab Corp.		154,748		6,473,109
CME Group, Inc.		47,767		10,095,078
Discover Financial Services		42,320		3,431,729
E*TRADE Financial Corp.		31,675		1,383,881
Franklin Resources, Inc.		38,674		1,116,131
Intercontinental Exchange, Inc.		74,204		6,846,803
Invesco Ltd.		50,786		860,315
Mastercard, Inc. Class A		118,788		32,259,257
Nasdaq, Inc.		15,037		1,493,926
Raymond James Financial, Inc.		16,609		1,369,578
Synchrony Financial		81,339		2,772,846
T. Rowe Price Group, Inc.		31,189		3,563,343
Visa, Inc. Class A		229,791		39,526,350
The Western Union Co.		57,534		1,333,063
				141,479,680
Insurance — 4.1%
Aflac, Inc.		98,446		5,150,695
The Allstate Corp.		43,655		4,744,425
American International Group, Inc.		116,062		6,464,653
Aon PLC		31,401		6,078,292
Arthur J Gallagher & Co.		24,659		2,208,707
Assurant, Inc.		7,927		997,375

The accompanying notes are an integral part of the financial statements.

125

MM S&P 500 Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Berkshire Hathaway, Inc. Class B (b)		260,935	$	54,279,699
Chubb Ltd.		60,742		9,806,188
Cincinnati Financial Corp.		20,218		2,358,834
Everest Re Group Ltd.		5,432		1,445,401
Globe Life, Inc. (b)		13,294		1,273,033
The Hartford Financial Services Group, Inc.		48,618		2,946,737
Lincoln National Corp.		26,363		1,590,216
Loews Corp.		34,947		1,799,072
Marsh & McLennan Cos., Inc.		67,281		6,731,464
MetLife, Inc.		105,983		4,998,158
Principal Financial Group, Inc.		34,827		1,990,015
The Progressive Corp.		77,434		5,981,777
Prudential Financial, Inc.		53,435		4,806,478
The Travelers Cos., Inc.		34,747		5,166,531
Unum Group		26,897		799,379
Willis Towers Watson PLC		17,096		3,299,015
				134,916,144
Real Estate — 0.1%
CBRE Group, Inc. Class A (b)		44,667		2,367,798
Real Estate Investment Trusts (REITS) — 3.1%
Alexandria Real Estate Equities, Inc.		15,323		2,360,355
American Tower Corp.		59,087		13,065,908
Apartment Investment & Management Co. Class A		19,615		1,022,726
AvalonBay Communities, Inc.		18,505		3,984,682
Boston Properties, Inc.		19,156		2,483,767
Crown Castle International Corp.		55,312		7,688,921
Digital Realty Trust, Inc.		27,484		3,567,698
Duke Realty Corp.		47,650		1,618,671
Equinix, Inc.		11,289		6,511,495
Equity Residential		46,551		4,015,489
Essex Property Trust, Inc.		8,754		2,859,494
Extra Space Storage, Inc.		16,937		1,978,580
Federal Realty Investment Trust		9,359		1,274,134
HCP, Inc.		65,527		2,334,727
Host Hotels & Resorts, Inc.		96,753		1,672,859
Iron Mountain, Inc.		39,193		1,269,461
Kimco Realty Corp.		55,520		1,159,258
The Macerich Co.		14,015		442,734
Mid-America Apartment Communities, Inc.		15,271		1,985,383
Prologis, Inc.		83,812		7,142,459
Public Storage		20,120		4,934,832
Realty Income Corp.		42,785		3,280,754
Regency Centers Corp.		22,404		1,556,854
SBA Communications Corp.		15,010		3,619,661
Simon Property Group, Inc.		40,834		6,355,812
SL Green Realty Corp.		10,925		893,119
UDR, Inc.		39,248		1,902,743

	Number of Shares		Value
Ventas, Inc.		49,456	$	3,611,772
Vornado Realty Trust		21,201		1,349,868
Welltower, Inc.		53,715		4,869,265
Weyerhaeuser Co.		98,102		2,717,425
				103,530,906
Savings & Loans — 0.0%
People’s United Financial, Inc.		53,735		840,147
				588,616,739
Industrial — 9.2%
Aerospace & Defense — 2.6%
Arconic, Inc.		52,573		1,366,898
The Boeing Co.		71,146		27,068,919
General Dynamics Corp.		31,147		5,691,491
L3 Harris Technologies, Inc.		29,723		6,201,407
Lockheed Martin Corp.		33,100		12,910,986
Northrop Grumman Corp.		20,945		7,849,976
Raytheon Co.		36,978		7,254,714
TransDigm Group, Inc.		6,613		3,443,191
United Technologies Corp.		107,720		14,705,934
				86,493,516
Building Materials — 0.4%
Fortune Brands Home & Security, Inc.		19,156		1,047,833
Johnson Controls International PLC		105,598		4,634,696
Martin Marietta Materials, Inc.		8,201		2,247,894
Masco Corp.		38,369		1,599,220
Vulcan Materials Co.		17,414		2,633,694
				12,163,337
Electrical Components & Equipment — 0.2%
AMETEK, Inc.		30,700		2,818,874
Emerson Electric Co.		81,917		5,476,971
				8,295,845
Electronics — 1.3%
Agilent Technologies, Inc.		41,199		3,157,079
Allegion PLC		12,638		1,309,929
Amphenol Corp. Class A		39,516		3,813,294
FLIR Systems, Inc.		17,985		945,831
Fortive Corp.		38,769		2,658,003
Garmin Ltd.		19,272		1,632,146
Honeywell International, Inc.		95,712		16,194,470
Keysight Technologies, Inc. (b)		24,848		2,416,468
Mettler-Toledo International, Inc. (b)		3,248		2,287,891
PerkinElmer, Inc.		14,750		1,256,258
TE Connectivity Ltd.		44,349		4,132,440
Waters Corp. (b)		8,853		1,976,255
				41,780,064
Engineering & Construction — 0.1%
Jacobs Engineering Group, Inc.		18,020		1,648,830

The accompanying notes are an integral part of the financial statements.

126

MM S&P 500 Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Environmental Controls — 0.3%
Pentair PLC		22,967	$	868,152
Republic Services, Inc.		27,845		2,409,985
Waste Management, Inc.		51,822		5,959,530
				9,237,667
Hand & Machine Tools — 0.1%
Snap-on, Inc.		7,543		1,180,781
Stanley Black & Decker, Inc.		20,208		2,918,238
				4,099,019
Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		74,866		9,456,324
Machinery – Diversified — 0.8%
Cummins, Inc.		20,992		3,414,769
Deere & Co.		41,998		7,084,222
Dover Corp.		19,448		1,936,243
Flowserve Corp.		17,108		799,115
IDEX Corp.		10,116		1,657,810
Rockwell Automation, Inc.		15,476		2,550,445
Roper Technologies, Inc.		13,855		4,940,693
Wabtec Corp.		24,019		1,726,005
Xylem, Inc.		24,284		1,933,492
				26,042,794
Miscellaneous – Manufacturing — 1.3%
3M Co.		76,480		12,573,312
A.O. Smith Corp.		17,792		848,856
Eaton Corp. PLC		55,463		4,611,748
General Electric Co.		1,163,972		10,405,910
Illinois Tool Works, Inc.		39,173		6,130,183
Ingersoll-Rand PLC		32,280		3,977,219
Parker-Hannifin Corp.		17,114		3,090,960
Textron, Inc.		30,066		1,472,031
				43,110,219
Packaging & Containers — 0.3%
Amcor PLC (b)		216,091		2,106,887
Ball Corp.		44,231		3,220,459
Packaging Corp. of America		12,535		1,329,963
Sealed Air Corp.		20,960		870,050
WestRock Co.		34,662		1,263,430
				8,790,789
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc.		5,644		1,195,343
Transportation — 1.5%
C.H. Robinson Worldwide, Inc.		18,000		1,526,040
CSX Corp.		106,348		7,366,726
Expeditors International of Washington, Inc.		22,610		1,679,697
FedEx Corp.		31,970		4,653,873
J.B. Hunt Transport Services, Inc.		11,376		1,258,754
Kansas City Southern		13,237		1,760,653
Norfolk Southern Corp.		34,901		6,270,314

	Number of Shares		Value
Union Pacific Corp.		93,769	$	15,188,702
United Parcel Service, Inc. Class B		93,113		11,156,800
				50,861,559
				303,175,306
Technology — 17.4%
Computers — 5.5%
Accenture PLC Class A		84,892		16,328,976
Apple, Inc.		565,326		126,616,064
Cognizant Technology Solutions Corp. Class A		73,481		4,428,333
DXC Technology Co.		35,488		1,046,896
Fortinet, Inc. (b)		18,784		1,441,860
Hewlett Packard Enterprise Co.		173,435		2,631,009
HP, Inc.		196,614		3,719,937
International Business Machines Corp.		118,053		17,167,267
Leidos Holdings, Inc.		17,988		1,544,810
NetApp, Inc.		32,036		1,682,210
Seagate Technology PLC		31,499		1,694,331
Western Digital Corp.		39,372		2,348,146
				180,649,839
Office & Business Equipment — 0.0%
Xerox Holdings Corp. (b)		26,321		787,261
Semiconductors — 4.0%
Advanced Micro Devices, Inc. (b)		144,557		4,190,707
Analog Devices, Inc.		49,077		5,483,373
Applied Materials, Inc.		122,468		6,111,153
Broadcom, Inc.		53,031		14,640,268
Intel Corp.		589,933		30,399,248
IPG Photonics Corp. (b)		4,839		656,168
KLA Corp.		21,389		3,410,476
Lam Research Corp.		19,311		4,462,965
Maxim Integrated Products, Inc.		35,560		2,059,280
Microchip Technology, Inc.		31,379		2,915,423
Micron Technology, Inc. (b)		146,557		6,279,968
NVIDIA Corp.		80,909		14,083,830
Qorvo, Inc. (b)		15,847		1,174,897
QUALCOMM, Inc.		161,498		12,319,067
Skyworks Solutions, Inc.		23,040		1,825,920
Texas Instruments, Inc.		124,144		16,044,371
Xilinx, Inc.		33,846		3,245,831
				129,302,945
Software — 7.9%
Activision Blizzard, Inc.		102,263		5,411,758
Adobe, Inc. (b)		64,555		17,833,319
Akamai Technologies, Inc. (b)		22,039		2,013,924
ANSYS, Inc. (b)		11,349		2,512,215
Autodesk, Inc. (b)		29,315		4,329,825
Broadridge Financial Solutions, Inc.		14,967		1,862,344
Cadence Design Systems, Inc. (b)		37,058		2,448,793
Cerner Corp.		42,028		2,865,049

The accompanying notes are an integral part of the financial statements.

127

MM S&P 500 Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Citrix Systems, Inc.		16,105	$	1,554,455
Electronic Arts, Inc. (b)		39,205		3,835,033
Fidelity National Information Services, Inc.		81,802		10,860,033
Fiserv, Inc. (b)		75,902		7,862,688
Intuit, Inc.		34,557		9,190,088
Jack Henry & Associates, Inc.		10,073		1,470,356
Microsoft Corp.		1,016,172		141,278,393
MSCI, Inc.		11,300		2,460,575
Oracle Corp.		293,070		16,127,642
Paychex, Inc.		42,796		3,542,225
salesforce.com, Inc. (b)		116,715		17,325,174
Synopsys, Inc. (b)		20,251		2,779,450
Take-Two Interactive Software, Inc. (b)		14,938		1,872,329
				259,435,668
				570,175,713
Utilities — 3.6%
Electric — 3.4%
AES Corp.		87,595		1,431,302
Alliant Energy Corp.		31,195		1,682,346
Ameren Corp.		32,405		2,594,020
American Electric Power Co., Inc.		65,702		6,155,620
CenterPoint Energy, Inc.		65,801		1,985,874
CMS Energy Corp.		38,199		2,442,826
Consolidated Edison, Inc.		44,128		4,168,772
Dominion Energy, Inc.		109,419		8,867,316
DTE Energy Co.		24,619		3,273,342
Duke Energy Corp.		97,082		9,306,281
Edison International		47,657		3,594,291
Entergy Corp.		26,504		3,110,510
Evergy, Inc.		31,377		2,088,453
Eversource Energy		43,196		3,691,962
Exelon Corp.		129,726		6,267,063
FirstEnergy Corp.		71,967		3,470,969
NextEra Energy, Inc.		65,059		15,158,097
NRG Energy, Inc.		33,824		1,339,430
Pinnacle West Capital Corp.		15,088		1,464,592
PPL Corp.		95,455		3,005,878
Public Service Enterprise Group, Inc.		67,502		4,190,524
Sempra Energy		36,633		5,407,397
The Southern Co.		138,527		8,556,813
WEC Energy Group, Inc.		42,160		4,009,416
Xcel Energy, Inc.		69,903		4,536,006
				111,799,100
Gas — 0.1%
Atmos Energy Corp.		15,869		1,807,321
NiSource, Inc.		49,459		1,479,813
				3,287,134

	Number of Shares		Value
Water — 0.1%
American Water Works Co., Inc.		24,106	$	2,994,688
				118,080,922
TOTAL COMMON STOCK (Cost $1,935,135,092)				3,288,093,159
TOTAL EQUITIES (Cost $1,935,135,092)				3,288,093,159
MUTUAL FUNDS — 0.1%
Diversified Financial Services — 0.1%
State Street Navigator Securities Lending Prime Portfolio (c)		3,657,861		3,657,861
TOTAL MUTUAL FUNDS (Cost $3,657,861)				3,657,861
TOTAL LONG-TERM INVESTMENTS (Cost $1,938,792,953)				3,291,751,020
	Principal Amount
SHORT-TERM INVESTMENTS — 0.4%
Repurchase Agreement — 0.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (d)	$	6,748,084		6,748,084
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill (e) 2.017% 1/09/20		5,885,000		5,855,550
TOTAL SHORT-TERM INVESTMENTS (Cost $12,600,880)				12,603,634
TOTAL INVESTMENTS — 100.5% (Cost $1,951,393,833) (f)				3,304,354,654
Other Assets/(Liabilities) — (0.5)%				(16,980,013	)
NET ASSETS — 100.0%			$	3,287,374,641

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $3,580,193 or 0.11% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(b) Non-income producing security.

(c) Represents investment of security lending collateral. (Note 2).

The accompanying notes are an integral part of the financial statements.

128

MM S&P 500 Index Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(d) Maturity value of $6,748,262. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $6,884,565.

(e) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(f) See Note 6 for aggregate cost for federal tax purposes.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Long
S&P 500 E Mini Index		12/20/19		101	$	15,156,216	$	(114,791	)

The accompanying notes are an integral part of the financial statements.

129

MassMutual Select Equity Opportunities Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 97.7%
COMMON STOCK — 96.5%
Basic Materials — 3.9%
Chemicals — 3.9%
CF Industries Holdings, Inc.		40,600	$	1,997,521
Dow, Inc.		51,900		2,473,035
DuPont de Nemours, Inc.		55,100		3,929,181
Linde PLC		84,669		16,402,079
				24,801,816
Communications — 2.7%
Media — 1.3%
Comcast Corp. Class A		90,700		4,088,756
Fox Corp. Class B		119,600		3,772,184
The Walt Disney Co.		3,550		462,636
				8,323,576
Telecommunications — 1.4%
Cisco Systems, Inc.		80,000		3,952,800
Verizon Communications, Inc.		77,600		4,683,936
				8,636,736
				16,960,312
Consumer, Cyclical — 11.3%
Apparel — 3.5%
NIKE, Inc. Class B		241,505		22,682,149
Lodging — 0.4%
Las Vegas Sands Corp.		46,300		2,674,288
Retail — 7.4%
Costco Wholesale Corp.		30,957		8,919,021
McDonald’s Corp.		99,082		21,273,896
The TJX Cos., Inc.		300,545		16,752,379
				46,945,296
				72,301,733
Consumer, Non-cyclical — 31.4%
Agriculture — 0.6%
Philip Morris International, Inc.		50,400		3,826,872
Beverages — 9.0%
The Coca-Cola Co.		409,657		22,301,727
Diageo PLC		412,231		16,868,555
PepsiCo, Inc.		131,495		18,027,964
				57,198,246
Biotechnology — 0.7%
Corteva, Inc.		51,400		1,439,200
Gilead Sciences, Inc.		45,100		2,858,438
				4,297,638
Cosmetics & Personal Care — 2.8%
Colgate-Palmolive Co.		243,210		17,878,367
Foods — 0.8%
Tyson Foods, Inc. Class A		57,500		4,953,050

	Number of Shares		Value
Health Care – Products — 8.3%
Baxter International, Inc.		155,111	$	13,567,559
Becton Dickinson and Co.		11,350		2,871,096
Danaher Corp.		96,816		13,983,135
Medtronic PLC		210,797		22,896,770
				53,318,560
Health Care – Services — 4.0%
Anthem, Inc.		18,000		4,321,800
UnitedHealth Group, Inc.		98,065		21,311,486
				25,633,286
Household Products & Wares — 0.9%
Kimberly-Clark Corp.		39,400		5,596,770
Pharmaceuticals — 4.3%
CVS Health Corp.		75,600		4,768,092
Johnson & Johnson		174,827		22,619,117
				27,387,209
				200,089,998
Energy — 2.8%
Oil & Gas — 2.1%
Hess Corp.		7,100		429,408
Occidental Petroleum Corp.		98,100		4,362,507
Total SA		170,800		8,891,833
				13,683,748
Pipelines — 0.7%
TC Energy Corp.		79,900		4,138,021
				17,821,769
Financial — 24.0%
Banks — 7.2%
Fifth Third Bancorp		129,500		3,545,710
JP Morgan Chase & Co.		55,250		6,502,372
Morgan Stanley		138,900		5,926,863
The PNC Financial Services Group, Inc.		125,187		17,546,210
State Street Corp.		66,900		3,959,811
Wells Fargo & Co.		169,000		8,524,360
				46,005,326
Diversified Financial Services — 3.8%
American Express Co.		114,862		13,585,877
Visa, Inc. Class A		62,767		10,796,552
				24,382,429
Insurance — 7.8%
American International Group, Inc.		98,400		5,480,880
Chubb Ltd.		175,332		28,305,598
Marsh & McLennan Cos., Inc.		137,332		13,740,067
MetLife, Inc.		43,100		2,032,596
				49,559,141

The accompanying notes are an integral part of the financial statements.

130

MassMutual Select Equity Opportunities Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 5.2%
American Tower Corp.		62,303	$	13,777,062
Public Storage		68,588		16,822,579
SL Green Realty Corp.		33,850		2,767,238
				33,366,879
				153,313,775
Industrial — 12.1%
Aerospace & Defense — 5.9%
The Boeing Co.		17,500		6,658,225
General Dynamics Corp.		84,187		15,383,490
L3 Harris Technologies, Inc.		25,650		5,351,616
Lockheed Martin Corp.		26,592		10,372,476
				37,765,807
Building Materials — 0.5%
Johnson Controls International PLC		76,500		3,357,585
Miscellaneous – Manufacturing — 0.6%
General Electric Co.		401,000		3,584,940
Transportation — 5.1%
Canadian National Railway Co.		149,445		13,418,860
Union Pacific Corp.		92,253		14,943,141
United Parcel Service, Inc. Class B		36,400		4,361,448
				32,723,449
				77,431,781
Technology — 6.7%
Computers — 1.9%
Accenture PLC Class A		63,168		12,150,365
Semiconductors — 1.1%
QUALCOMM, Inc.		91,800		7,002,504
Software — 3.7%
Microsoft Corp.		171,899		23,899,118
				43,051,987
Utilities — 1.6%
Electric — 1.6%
Edison International		39,033		2,943,869
The Southern Co.		113,800		7,029,426
				9,973,295
TOTAL COMMON STOCK (Cost $514,188,836)				615,746,466
PREFERRED STOCK — 1.2%
Consumer, Non-cyclical — 0.3%
Health Care – Products — 0.3%
Becton Dickinson and Co. Convertible 6.125%		28,422		1,759,606
Utilities — 0.9%
Electric — 0.9%
Sempra Energy Convertible 6.000%		36,700		4,337,940
Sempra Energy Convertible 6.750%		2,750		323,565

	Number of Shares		Value
The Southern Co. Convertible 6.750%		23,301	$	1,246,837
				5,908,342
TOTAL PREFERRED STOCK (Cost $6,540,293)				7,667,948
TOTAL EQUITIES (Cost $520,729,129)				623,414,414
	Principal Amount
BONDS & NOTES — 0.1%
CORPORATE DEBT — 0.1%
Electric — 0.1%
Pacific Gas & Electric Co. 4.000% 12/01/46	$	280,000		269,501
3.950% 12/01/47		507,000		490,522
				760,023
TOTAL CORPORATE DEBT (Cost $604,784)				760,023
TOTAL BONDS & NOTES (Cost $604,784)				760,023
TOTAL LONG-TERM INVESTMENTS (Cost $521,333,913)				624,174,437
	Number of Shares
SHORT-TERM INVESTMENTS — 2.1%
Mutual Fund — 0.0%
T. Rowe Price Government Reserve Investment Fund		1,043		1,043
TOTAL MUTUAL FUND (Cost $1,043)				1,043
	Principal Amount
Repurchase Agreement — 2.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (a)	$	13,412,737		13,412,737
TOTAL SHORT-TERM INVESTMENTS (Cost $13,413,780)				13,413,780
TOTAL INVESTMENTS — 99.9% (Cost $534,747,693) (b)				637,588,217
Other Assets/(Liabilities) — 0.1%				763,050
NET ASSETS — 100.0%			$	638,351,267

The accompanying notes are an integral part of the financial statements.

131

MassMutual Select Equity Opportunities Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Maturity value of $13,413,091. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $13,687,837.

(b) See Note 6 for aggregate cost for federal tax purposes.

Country weightings, as a percentage of net assets, is as follows:

United States	78.0	%
Ireland	8.6	%
Switzerland	4.4	%
Canada	2.8	%
United Kingdom	2.6	%
France	1.4	%
Total Long-Term Investments	97.8	%
Short-Term Investments and Other Assets and Liabilities	2.2	%
Net Assets	100.0	%

The accompanying notes are an integral part of the financial statements.

132

MassMutual Select Fundamental Growth Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 95.6%
COMMON STOCK — 95.6%
Basic Materials — 1.7%
Chemicals — 1.7%
The Sherwin-Williams Co.		4,491	$	2,469,466
Communications — 18.9%
Internet — 16.9%
Alibaba Group Holding Ltd. Sponsored ADR (a)		7,043		1,177,801
Alphabet, Inc. Class C (a)		7,227		8,809,713
Amazon.com, Inc. (a)		2,705		4,695,637
Booking Holdings, Inc. (a)		1,665		3,267,746
Facebook, Inc. Class A (a)		30,124		5,364,482
VeriSign, Inc. (a)		3,642		686,990
				24,002,369
Media — 2.0%
Comcast Corp. Class A		64,225		2,895,263
				26,897,632
Consumer, Cyclical — 9.8%
Airlines — 1.3%
Southwest Airlines Co.		34,338		1,854,596
Apparel — 1.7%
NIKE, Inc. Class B		24,889		2,337,575
Retail — 6.8%
AutoZone, Inc. (a)		465		504,348
The Home Depot, Inc.		14,763		3,425,311
McDonald’s Corp.		8,381		1,799,485
O’Reilly Automotive, Inc. (a)		93		37,061
Ross Stores, Inc.		16,953		1,862,287
The TJX Cos., Inc.		37,578		2,094,598
				9,723,090
				13,915,261
Consumer, Non-cyclical — 16.3%
Beverages — 0.7%
Monster Beverage Corp. (a)		17,042		989,458
Commercial Services — 7.5%
Experian PLC		48,788		1,558,709
FleetCor Technologies, Inc. (a)		5,399		1,548,325
Global Payments, Inc.		10,363		1,647,717
IHS Markit Ltd. (a)		22,093		1,477,580
PayPal Holdings, Inc. (a)		21,880		2,266,549
S&P Global, Inc.		8,802		2,156,314
				10,655,194
Cosmetics & Personal Care — 1.3%
The Procter & Gamble Co.		14,566		1,811,719
Health Care – Products — 5.8%
Baxter International, Inc.		26,057		2,279,206
Danaher Corp.		11,132		1,607,795

	Number of Shares		Value
Edwards Lifesciences Corp. (a)		5,447	$	1,197,850
Teleflex, Inc.		3,385		1,150,054
Thermo Fisher Scientific, Inc.		6,798		1,980,053
				8,214,958
Health Care – Services — 1.0%
ICON PLC (a)		10,097		1,487,692
				23,159,021
Financial — 12.5%
Diversified Financial Services — 8.4%
American Express Co.		17,044		2,015,964
Intercontinental Exchange, Inc.		19,298		1,780,627
Mastercard, Inc. Class A		13,762		3,737,346
Visa, Inc. Class A		25,696		4,419,969
				11,953,906
Insurance — 1.8%
Assurant, Inc.		12,959		1,630,502
Brown & Brown, Inc.		23,689		854,225
				2,484,727
Real Estate Investment Trusts (REITS) — 2.3%
American Tower Corp.		8,502		1,880,047
Public Storage		5,667		1,389,945
				3,269,992
				17,708,625
Industrial — 9.6%
Aerospace & Defense — 4.5%
Aerojet Rocketdyne Holdings, Inc. (a)		26,783		1,352,810
Lockheed Martin Corp.		7,701		3,003,852
Northrop Grumman Corp.		5,642		2,114,565
				6,471,227
Machinery – Diversified — 3.2%
Graco, Inc.		15,596		718,040
Rockwell Automation, Inc.		13,386		2,206,013
Roper Technologies, Inc.		4,411		1,572,962
				4,497,015
Miscellaneous – Manufacturing — 1.9%
Illinois Tool Works, Inc.		17,376		2,719,170
				13,687,412
Technology — 26.8%
Computers — 8.4%
Apple, Inc.		41,653		9,329,022
Check Point Software Technologies Ltd. (a)		5,971		653,825
Fortinet, Inc. (a)		24,294		1,864,807
				11,847,654
Semiconductors — 3.4%
Broadcom, Inc.		3,539		977,012

The accompanying notes are an integral part of the financial statements.

133

MassMutual Select Fundamental Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Lam Research Corp.		1,824	$	421,545
QUALCOMM, Inc.		6,165		470,266
Texas Instruments, Inc.		22,967		2,968,255
				4,837,078
Software — 15.0%
Adobe, Inc. (a)		5,086		1,405,007
Fidelity National Information Services, Inc.		16,152		2,144,339
Guidewire Software, Inc. (a)		5,200		547,976
Intuit, Inc.		5,008		1,331,828
Microsoft Corp.		83,805		11,651,409
Oracle Corp.		30,844		1,697,345
salesforce.com, Inc. (a)		7,254		1,076,784
ServiceNow, Inc. (a)		2,441		619,648
SS&C Technologies Holdings, Inc		16,417		846,625
				21,320,961
				38,005,693
TOTAL COMMON STOCK (Cost $117,695,277)				135,843,110
TOTAL EQUITIES (Cost $117,695,277)				135,843,110
TOTAL LONG-TERM INVESTMENTS (Cost $117,695,277)				135,843,110

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.2%
Repurchase Agreement — 3.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (b)	$	4,604,860	$	4,604,860
TOTAL SHORT-TERM INVESTMENTS (Cost $4,604,860)				4,604,860
TOTAL INVESTMENTS — 98.8% (Cost $122,300,137) (c)				140,447,970
Other Assets/(Liabilities) — 1.2%				1,687,307
NET ASSETS — 100.0%			$	142,135,277

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Maturity value of $4,604,981. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $4,699,796.

(c) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

134

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 99.1%
COMMON STOCK — 99.1%
Basic Materials — 0.4%
Chemicals — 0.4%
Air Products & Chemicals, Inc.		11,806	$	2,619,279
Linde PLC		26,352		5,104,909
The Sherwin-Williams Co.		7,970		4,382,464
				12,106,652
Communications — 28.7%
Internet — 26.6%
Alibaba Group Holding Ltd. Sponsored ADR (a)		821,403		137,363,224
Alphabet, Inc. Class A (a)		52,125		63,651,922
Alphabet, Inc. Class C (a)		97,337		118,653,803
Amazon.com, Inc. (a)		142,967		248,177,845
Booking Holdings, Inc. (a)		16,757		32,887,456
Ctrip.com International Ltd. ADR (a)		75,922		2,223,755
Facebook, Inc. Class A (a)		984,175		175,261,884
IAC/InterActiveCorp (a)		38,573		8,407,757
Match Group, Inc.		18,700		1,335,928
Netflix, Inc. (a)		74,263		19,874,264
Tencent Holdings Ltd.		881,400		37,406,349
				845,244,187
Media — 0.7%
FactSet Research Systems, Inc.		97,941		23,796,725
Telecommunications — 1.4%
Cisco Systems, Inc.		819,989		40,515,656
Motorola Solutions, Inc.		14,214		2,422,208
				42,937,864
				911,978,776
Consumer, Cyclical — 7.1%
Airlines — 0.4%
Delta Air Lines, Inc.		62,490		3,599,424
United Airlines Holdings, Inc. (a)		108,573		9,598,939
				13,198,363
Apparel — 0.3%
NIKE, Inc. Class B		51,000		4,789,920
VF Corp.		51,586		4,590,638
				9,380,558
Auto Manufacturers — 0.1%
Ferrari NV		14,366		2,213,657
Automotive & Parts — 0.4%
Aptiv PLC		156,330		13,666,369
Leisure Time — 0.2%
Norwegian Cruise Line Holdings Ltd. (a)		4,879		252,586

	Number of Shares		Value
Royal Caribbean Cruises Ltd.		39,541	$	4,283,476
				4,536,062
Lodging — 0.5%
Hilton Worldwide Holdings, Inc.		91,754		8,543,215
Marriott International, Inc. Class A		56,584		7,037,352
Wynn Resorts Ltd.		2,675		290,826
				15,871,393
Retail — 5.2%
Dollar General Corp.		141,235		22,447,891
Dollar Tree, Inc. (a)		63,311		7,227,584
McDonald’s Corp.		58,310		12,519,740
Restaurant Brands International, Inc.		69,688		4,957,604
Ross Stores, Inc.		145,984		16,036,342
Starbucks Corp.		519,373		45,922,961
The TJX Cos., Inc.		13,500		752,490
Yum China Holdings, Inc.		431,836		19,618,310
Yum! Brands, Inc.		323,289		36,670,671
				166,153,593
				225,019,995
Consumer, Non-cyclical — 23.2%
Agriculture — 0.0%
Philip Morris International, Inc.		548		41,610
Beverages — 2.8%
The Coca-Cola Co.		707,257		38,503,071
Constellation Brands, Inc. Class A		4,488		930,273
Monster Beverage Corp. (a)		850,301		49,368,476
				88,801,820
Biotechnology — 2.9%
Alexion Pharmaceuticals, Inc. (a)		64,760		6,342,594
Amgen, Inc.		122,845		23,771,736
Exact Sciences Corp. (a)		7,500		677,775
Regeneron Pharmaceuticals, Inc. (a)		123,571		34,278,596
Vertex Pharmaceuticals, Inc. (a)		148,510		25,160,564
				90,231,265
Commercial Services — 3.3%
Ant International Co. Ltd., Class C (Acquired 6/07/18, Cost $3,358,253) (a) (b) (c) (d)		598,619		3,849,120
Automatic Data Processing, Inc.		105,246		16,988,809
Cintas Corp.		10,646		2,854,192
CoStar Group, Inc. (a)		2,808		1,665,706
Equifax, Inc.		4,300		604,881
FleetCor Technologies, Inc. (a)		26,146		7,498,150
Global Payments, Inc.		184,292		29,302,428
IHS Markit Ltd. (a)		38,693		2,587,788
Moody’s Corp.		3,314		678,807
PayPal Holdings, Inc. (a)		271,453		28,119,816
S&P Global, Inc.		37,336		9,146,573
				103,296,270

The accompanying notes are an integral part of the financial statements.

135

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Cosmetics & Personal Care — 2.4%
Colgate-Palmolive Co.		386,698	$	28,426,170
The Procter & Gamble Co.		391,931		48,748,378
				77,174,548
Foods — 1.3%
Danone SA Sponsored ADR		2,410,505		42,256,394
Health Care – Products — 5.2%
Abbott Laboratories		52,823		4,419,701
Alcon, Inc. (a)		51,960		3,028,748
Becton Dickinson and Co.		123,276		31,183,897
Boston Scientific Corp. (a)		11,767		478,799
Danaher Corp.		152,182		21,979,646
Intuitive Surgical, Inc. (a)		46,403		25,054,372
Stryker Corp.		176,973		38,279,260
Teleflex, Inc.		4,500		1,528,875
Thermo Fisher Scientific, Inc.		69,857		20,347,248
Varian Medical Systems, Inc. (a)		161,636		19,249,231
				165,549,777
Health Care – Services — 1.7%
Anthem, Inc.		65,769		15,791,137
Centene Corp. (a)		70,042		3,030,017
HCA Healthcare, Inc.		24,662		2,969,798
UnitedHealth Group, Inc.		116,114		25,233,894
WellCare Health Plans, Inc. (a)		29,445		7,631,261
				54,656,107
Pharmaceuticals — 3.6%
Cigna Corp. (a)		149,933		22,758,330
Elanco Animal Health, Inc. (a)		14,566		387,310
Eli Lilly & Co.		1,103		123,349
Merck & Co., Inc.		210,669		17,734,116
Novartis AG Sponsored ADR		259,793		22,576,012
Novo Nordisk A/S Sponsored ADR		760,393		39,312,318
Roche Holding AG Sponsored ADR		305,467		11,134,272
Zoetis, Inc.		8,754		1,090,661
				115,116,368
				737,124,159
Energy — 0.8%
Oil & Gas — 0.2%
Concho Resources, Inc.		40,546		2,753,073
Pioneer Natural Resources Co.		39,100		4,917,607
				7,670,680
Oil & Gas Services — 0.6%
Schlumberger Ltd.		542,589		18,540,266
				26,210,946
Financial — 11.0%
Banks — 0.3%
Citigroup, Inc.		7,257		501,313
The Goldman Sachs Group, Inc.		8,393		1,739,281
JP Morgan Chase & Co.		2,859		336,476

	Number of Shares		Value
Morgan Stanley		124,407	$	5,308,447
				7,885,517
Diversified Financial Services — 9.6%
American Express Co.		115,142		13,618,996
Ameriprise Financial, Inc.		6,494		955,267
The Charles Schwab Corp.		192,875		8,067,961
Intercontinental Exchange, Inc.		186,780		17,234,191
Mastercard, Inc. Class A		205,695		55,860,591
SEI Investments Co.		552,461		32,736,077
TD Ameritrade Holding Corp.		325,090		15,181,703
Visa, Inc. Class A		941,841		162,006,070
				305,660,856
Insurance — 1.1%
American International Group, Inc.		186,838		10,406,876
Chubb Ltd.		16,731		2,701,053
Marsh & McLennan Cos., Inc.		51,479		5,150,474
The Progressive Corp.		7,496		579,066
Willis Towers Watson PLC		85,412		16,481,954
				35,319,423
Real Estate Investment Trusts (REITS) — 0.0%
American Tower Corp.		2,166		478,968
				349,344,764
Industrial — 7.0%
Aerospace & Defense — 3.3%
The Boeing Co.		182,561		69,458,984
L3 Harris Technologies, Inc.		65,482		13,662,164
Northrop Grumman Corp.		55,850		20,932,022
				104,053,170
Electronics — 0.4%
Agilent Technologies, Inc.		15,961		1,223,091
Fortive Corp.		73,519		5,040,463
Honeywell International, Inc.		49,908		8,444,434
				14,707,988
Machinery – Diversified — 1.7%
Deere & Co.		228,963		38,621,479
Roper Technologies, Inc.		40,770		14,538,582
Xylem, Inc.		1,480		117,837
				53,277,898
Packaging & Containers — 0.0%
Ball Corp.		17,072		1,243,012
Transportation — 1.6%
Canadian Pacific Railway Ltd.		24,493		5,448,713
Expeditors International of Washington, Inc.		532,676		39,572,500
Kansas City Southern		15,356		2,042,502
Norfolk Southern Corp.		1,696		304,703
Union Pacific Corp.		16,732		2,710,249
				50,078,667
				223,360,735

The accompanying notes are an integral part of the financial statements.

136

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Technology — 20.7%
Computers — 0.1%
Apple, Inc.		12,494	$	2,798,281
Semiconductors — 3.9%
Analog Devices, Inc.		34,436		3,847,534
Applied Materials, Inc.		82,600		4,121,740
Broadcom, Inc.		1,273		351,437
KLA Corp.		25,148		4,009,849
Lam Research Corp.		5,635		1,302,305
Marvell Technology Group Ltd.		262,474		6,553,976
Maxim Integrated Products, Inc.		95,480		5,529,247
Microchip Technology, Inc.		16,645		1,546,487
NVIDIA Corp.		244,976		42,642,972
QUALCOMM, Inc.		603,636		46,045,354
Texas Instruments, Inc.		54,434		7,035,050
Xilinx, Inc.		4,351		417,261
				123,403,212
Software — 16.7%
Atlassian Corp. PLC Class A (a)		15,036		1,886,116
Autodesk, Inc. (a)		379,864		56,105,913
Cerner Corp.		449,370		30,633,553
DocuSign, Inc. (a)		33,959		2,102,741
Electronic Arts, Inc. (a)		110,472		10,806,371
Fidelity National Information Services, Inc.		239,067		31,738,535
Fiserv, Inc. (a)		255,069		26,422,598
Intuit, Inc.		134,109		35,664,947
Microsoft Corp.		1,181,468		164,259,496
Oracle Corp.		1,295,117		71,270,289
salesforce.com, Inc. (a)		216,813		32,183,722
ServiceNow, Inc. (a)		125,406		31,834,313
Splunk, Inc. (a)		99,768		11,758,656
Synopsys, Inc. (a)		7,500		1,029,375
Veeva Systems, Inc. Class A (a)		4,300		656,567
VMware, Inc. Class A		46,146		6,924,669
Workday, Inc. Class A (a)		104,765		17,805,859
Zoom Video Communications, Inc. Class A (a) (e)		4,509		343,586
				533,427,306
				659,628,799
Utilities — 0.2%
Electric — 0.2%
NextEra Energy, Inc.		804		187,324
Sempra Energy		43,806		6,466,204
				6,653,528
TOTAL COMMON STOCK (Cost $2,168,519,769)				3,151,428,354
TOTAL EQUITIES (Cost $2,168,519,769)				3,151,428,354

	Number of Shares		Value
MUTUAL FUNDS — 0.0%
Diversified Financial Services — 0.0%
State Street Navigator Securities Lending Prime Portfolio (f)		346,998	$	346,998
TOTAL MUTUAL FUNDS (Cost $346,998)				346,998
TOTAL LONG-TERM INVESTMENTS (Cost $2,168,866,767)				3,151,775,352
SHORT-TERM INVESTMENTS — 0.2%
Mutual Fund — 0.0%
T. Rowe Price Government Reserve Investment Fund	$	1,066		1,066
TOTAL MUTUAL FUND (Cost $1,066)				1,066
	Principal Amount
Repurchase Agreement — 0.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (g)	$	5,959,073		5,959,073
TOTAL SHORT-TERM INVESTMENTS (Cost $5,960,139)				5,960,139
TOTAL INVESTMENTS — 99.3% (Cost $2,174,826,906) (h)				3,157,735,491
Other Assets/(Liabilities) — 0.7%				22,060,101
NET ASSETS — 100.0%			$	3,179,795,592

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Investment was valued using significant unobservable inputs.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $3,849,120 or 0.12% of net assets.

(d) Restricted security. Certain securities are restricted as to resale. At September 30, 2019, these securities amounted to a value of $3,849,120 or 0.12% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

The accompanying notes are an integral part of the financial statements.

137

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(e) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $340,081 or 0.01% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(f) Represents investment of security lending collateral. (Note 2).

(g) Maturity value of $5,959,230. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $6,081,789.

(h) See Note 6 for aggregate cost for federal tax purposes.

Country weightings, as a percentage of net assets, is as follows:

United States	87.2	%
Cayman Islands	5.6	%
France	1.3	%
Switzerland	1.2	%
Denmark	1.2	%
Ireland	0.7	%
Netherlands	0.7	%
United Kingdom	0.5	%
Canada	0.3	%
Bermuda	0.3	%
Liberia	0.1	%
Total Long-Term Investments	99.1	%
Short-Term Investments and Other Assets and Liabilities	0.9	%
Net Assets	100.0	%

The accompanying notes are an integral part of the financial statements.

138

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 97.3%
COMMON STOCK — 97.3%
Communications — 26.0%
Internet — 20.8%
Alibaba Group Holding Ltd. Sponsored ADR (a)		58,100	$	9,716,063
Alphabet, Inc. Class A (a)		18,843		23,009,941
Alphabet, Inc. Class C (a)		1,200		1,462,800
Amazon.com, Inc. (a)		11,030		19,147,087
Facebook, Inc. Class A (a)		56,857		10,125,094
Match Group, Inc. (b)		124,000		8,858,560
Netflix, Inc. (a)		65,948		17,649,004
Palo Alto Networks, Inc. (a)		9,700		1,977,151
TripAdvisor, Inc. (a)		121,848		4,713,081
				96,658,781
Media — 3.9%
Charter Communications, Inc. Class A (a)		24,909		10,265,497
Liberty Global PLC Series C (a)		344,798		8,202,745
				18,468,242
Telecommunications — 1.3%
Arista Networks, Inc. (a)		24,767		5,917,332
				121,044,355
Consumer, Cyclical — 7.1%
Retail — 4.7%
Dollar Tree, Inc. (a)		102,487		11,699,916
Domino’s Pizza, Inc.		19,650		4,806,193
Floor & Decor Holdings, Inc. Class A (a)		106,700		5,457,705
				21,963,814
Toys, Games & Hobbies — 2.4%
Hasbro, Inc.		93,072		11,046,716
				33,010,530
Consumer, Non-cyclical — 23.5%
Beverages — 4.0%
Constellation Brands, Inc. Class A		53,475		11,084,298
Monster Beverage Corp. (a)		129,900		7,541,994
				18,626,292
Biotechnology — 5.4%
Biogen, Inc. (a)		19,563		4,554,658
BioMarin Pharmaceutical, Inc. (a)		41,600		2,803,840
Illumina, Inc. (a)		53,461		16,263,905
Mirati Therapeutics, Inc. (a)		17,650		1,375,112
				24,997,515
Commercial Services — 4.3%
CoStar Group, Inc. (a)		21,525		12,768,630
PayPal Holdings, Inc. (a)		72,097		7,468,528
				20,237,158

	Number of Shares		Value
Health Care – Products — 3.6%
ABIOMED, Inc. (a)		13,200	$	2,348,148
Align Technology, Inc. (a)		20,800		3,763,136
Edwards Lifesciences Corp. (a)		48,800		10,731,608
				16,842,892
Health Care – Services — 4.6%
IQVIA Holdings, Inc. (a)		88,811		13,266,587
UnitedHealth Group, Inc.		37,479		8,144,936
				21,411,523
Pharmaceuticals — 1.6%
Sarepta Therapeutics, Inc. (a)		24,605		1,853,249
Zoetis, Inc.		43,524		5,422,655
				7,275,904
				109,391,284
Financial — 14.5%
Diversified Financial Services — 11.2%
The Charles Schwab Corp.		161,488		6,755,043
CME Group, Inc.		29,675		6,271,514
Mastercard, Inc. Class A		33,645		9,136,973
Visa, Inc. Class A		172,680		29,702,687
				51,866,217
Private Equity — 2.4%
KKR & Co., Inc. Class A		422,218		11,336,553
Real Estate Investment Trusts (REITS) — 0.9%
Crown Castle International Corp.		30,995		4,308,615
				67,511,385
Industrial — 2.7%
Packaging & Containers — 2.7%
Ball Corp.		172,089		12,529,800
Technology — 23.5%
Semiconductors — 2.2%
Applied Materials, Inc.		129,438		6,458,956
Texas Instruments, Inc.		29,700		3,838,428
				10,297,384
Software — 21.3%
Activision Blizzard, Inc.		70,600		3,736,152
Adobe, Inc. (a)		37,450		10,345,563
Atlassian Corp. PLC Class A (a)		24,400		3,060,736
Autodesk, Inc. (a)		44,434		6,562,902
Intuit, Inc.		23,300		6,196,402
Microsoft Corp.		212,974		29,609,775
salesforce.com, Inc. (a)		59,234		8,792,695
ServiceNow, Inc. (a)		64,300		16,322,555
Take-Two Interactive Software, Inc. (a)		58,463		7,327,752
Twilio, Inc. Class A (a)		26,600		2,924,936

The accompanying notes are an integral part of the financial statements.

139

MassMutual Select Growth Opportunities Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Workday, Inc. Class A (a)		23,700	$	4,028,052
				98,907,520
				109,204,904
TOTAL COMMON STOCK (Cost $333,803,504)				452,692,258
TOTAL EQUITIES (Cost $333,803,504)				452,692,258
MUTUAL FUNDS — 1.9%
Diversified Financial Services — 1.9%
State Street Navigator Securities Lending Prime Portfolio (c)		9,026,523		9,026,523
TOTAL MUTUAL FUNDS (Cost $9,026,523)				9,026,523
TOTAL LONG-TERM INVESTMENTS (Cost $342,830,027)				461,718,781
	Principal Amount
SHORT-TERM INVESTMENTS — 2.7%
Repurchase Agreement — 2.7%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (d)	$	12,420,319		12,420,319
TOTAL SHORT-TERM INVESTMENTS (Cost $12,420,319)				12,420,319
TOTAL INVESTMENTS —101.9% (Cost $355,250,346) (e)				474,139,100
Other Assets/(Liabilities) — (1.9)%				(9,009,971	)
NET ASSETS — 100.0%			$	465,129,129

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $8,833,627 or 1.90% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $12,420,647. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.500%, maturity dates ranging from 2/15/23 – 3/31/23, and an aggregate market value, including accrued interest, of $12,673,519.

(e) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

140

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 94.5%
COMMON STOCK — 94.5%
Basic Materials — 0.7%
Forest Products & Paper — 0.7%
Mondi PLC		36,209	$	693,348
Consumer, Cyclical — 12.8%
Airlines — 1.5%
Southwest Airlines Co.		28,275		1,527,133
Auto Manufacturers — 1.7%
Honda Motor Co. Ltd. Sponsored ADR		37,151		968,898
PACCAR, Inc.		10,125		708,851
				1,677,749
Auto Parts & Equipment — 1.3%
Aptiv PLC		5,233		457,469
BorgWarner, Inc.		22,771		835,240
				1,292,709
Food Services — 0.9%
Sodexo SA		8,156		916,197
Home Builders — 1.7%
PulteGroup, Inc.		27,637		1,010,133
Thor Industries, Inc.		11,377		644,393
				1,654,526
Leisure Time — 0.9%
Carnival Corp.		21,088		921,757
Retail — 4.8%
Advance Auto Parts, Inc.		8,584		1,419,793
Genuine Parts Co.		10,720		1,067,605
MSC Industrial Direct Co., Inc. Class A		21,511		1,560,193
Target Corp.		6,998		748,156
				4,795,747
				12,785,818
Consumer, Non-cyclical — 17.0%
Foods — 5.7%
Conagra Brands, Inc.		27,937		857,107
The J.M. Smucker Co.		5,860		644,717
Kellogg Co.		8,552		550,321
Koninklijke Ahold Delhaize NV		40,935		1,024,008
Mondelez International, Inc. Class A		8,109		448,590
Orkla ASA		128,713		1,171,899
Sysco Corp.		12,980		1,030,612
				5,727,254
Health Care – Products — 5.5%
Henry Schein, Inc. (a)		13,410		851,535
Hologic, Inc. (a)		14,478		730,994
Siemens Healthineers AG (b)		22,914		901,467
Zimmer Biomet Holdings, Inc.		22,353		3,068,397
				5,552,393

	Number of Shares		Value
Health Care – Services — 2.6%
Quest Diagnostics, Inc.		14,623	$	1,565,100
Universal Health Services, Inc. Class B		6,622		985,022
				2,550,122
Household Products & Wares — 0.9%
Kimberly-Clark Corp.		6,281		892,216
Pharmaceuticals — 2.3%
Cardinal Health, Inc.		27,625		1,303,624
McKesson Corp.		7,401		1,011,420
				2,315,044
				17,037,029
Energy — 3.8%
Oil & Gas — 2.1%
ConocoPhillips		13,554		772,307
Imperial Oil Ltd.		19,538		508,783
Noble Energy, Inc.		37,636		845,304
				2,126,394
Oil & Gas Services — 1.7%
Baker Hughes a GE Co.		40,247		933,730
Schlumberger Ltd.		22,433		766,536
				1,700,266
				3,826,660
Financial — 27.1%
Banks — 13.3%
BB&T Corp.		43,248		2,308,146
Comerica, Inc.		20,921		1,380,577
Commerce Bancshares, Inc.		18,456		1,119,356
First Hawaiian, Inc.		46,573		1,243,499
M&T Bank Corp.		7,637		1,206,417
Northern Trust Corp.		32,915		3,071,628
Prosperity Bancshares, Inc.		7,822		552,468
State Street Corp.		15,649		926,264
UMB Financial Corp.		12,509		807,831
Westamerica Bancorp.		10,679		664,020
				13,280,206
Diversified Financial Services — 1.5%
Ameriprise Financial, Inc.		10,474		1,540,725
Insurance — 5.9%
Aflac, Inc.		15,937		833,824
Arthur J Gallagher & Co.		2,965		265,575
Brown & Brown, Inc.		13,218		476,641
Chubb Ltd.		8,562		1,382,249
Globe Life, Inc. (a)		3,925		375,858
ProAssurance Corp.		24,346		980,414
Reinsurance Group of America, Inc. Class A		7,758		1,240,349
The Travelers Cos., Inc.		2,449		364,142
				5,919,052

The accompanying notes are an integral part of the financial statements.

141

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 5.4%
Empire State Realty Trust, Inc. Class A		51,453	$	734,234
MGM Growth Properties LLC Class A		32,225		968,361
Piedmont Office Realty Trust, Inc. Class A		42,021		877,399
Welltower, Inc.		10,058		911,758
Weyerhaeuser Co.		70,103		1,941,853
				5,433,605
Savings & Loans — 1.0%
Capitol Federal Financial, Inc.		70,894		976,919
				27,150,507
Industrial — 17.5%
Aerospace & Defense — 0.7%
BAE Systems PLC		104,318		730,965
Building Materials — 1.4%
Johnson Controls International PLC		31,554		1,384,905
Electrical Components & Equipment — 5.0%
Emerson Electric Co.		29,659		1,983,001
Hubbell, Inc. Class B		17,028		2,237,479
Schneider Electric SE		9,328		818,070
				5,038,550
Electronics — 2.2%
nVent Electric PLC		56,218		1,239,045
TE Connectivity Ltd.		10,727		999,542
				2,238,587
Environmental Controls — 0.6%
Republic Services, Inc.		6,779		586,723
Machinery – Diversified — 1.7%
Atlas Copco AB Class B		15,712		426,341
Cummins, Inc.		7,615		1,238,732
				1,665,073
Miscellaneous – Manufacturing — 2.6%
Eaton Corp. PLC		12,226		1,016,592
IMI PLC		76,527		904,251
Textron, Inc.		13,125		642,600
				2,563,443
Packaging & Containers — 2.2%
Graphic Packaging Holding Co.		36,922		544,600
Packaging Corp. of America		9,694		1,028,533
Sonoco Products Co.		10,566		615,047
				2,188,180
Transportation — 1.1%
Heartland Express, Inc.		51,441		1,106,496
				17,502,922

	Number of Shares		Value
Technology — 5.4%
Computers — 0.7%
HP, Inc.		38,372	$	725,998
Semiconductors — 3.7%
Applied Materials, Inc.		33,162		1,654,784
Maxim Integrated Products, Inc.		21,928		1,269,851
Microchip Technology, Inc.		8,562		795,495
				3,720,130
Software — 1.0%
Cerner Corp.		15,016		1,023,641
				5,469,769
Utilities — 10.2%
Electric — 8.2%
Ameren Corp.		13,230		1,059,061
Edison International		15,135		1,141,482
Eversource Energy		9,275		792,734
NorthWestern Corp.		15,518		1,164,626
Pinnacle West Capital Corp.		14,003		1,359,271
WEC Energy Group, Inc.		6,675		634,793
Xcel Energy, Inc.		31,826		2,065,189
				8,217,156
Gas — 2.0%
Atmos Energy Corp.		8,431		960,207
Spire, Inc.		11,682		1,019,138
				1,979,345
				10,196,501
TOTAL COMMON STOCK (Cost $89,189,153)				94,662,554
TOTAL EQUITIES (Cost $89,189,153)				94,662,554
MUTUAL FUNDS — 2.6%
Diversified Financial Services — 2.6%
iShares Russell Mid-Cap Value ETF		29,226		2,621,572
TOTAL MUTUAL FUNDS (Cost $2,501,417)				2,621,572
TOTAL LONG-TERM INVESTMENTS (Cost $91,690,570)				97,284,126

The accompanying notes are an integral part of the financial statements.

142

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 2.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (c)	$	2,061,559	$	2,061,559
TOTAL SHORT-TERM INVESTMENTS (Cost $2,061,559)				2,061,559
TOTAL INVESTMENTS — 99.2% (Cost $93,752,129) (d)				99,345,685
Other Assets/(Liabilities) — 0.8%				845,782
NET ASSETS — 100.0%			$	100,191,467

Abbreviation Legend

ADR American Depositary Receipt

ETF Exchange-Traded Fund

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $901,467 or 0.90% of net assets.

(c) Maturity value of $2,061,614. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $2,103,476.

(d) See Note 6 for aggregate cost for federal tax purposes.

Forward contracts

Counterparty	Settlement Date		Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of America N.A.		12/30/19	USD	634,009	JPY	67,984,752	$	1,112
Bank of America N.A.		12/30/19	JPY	4,020,373	USD	37,634		(207	)
Credit Suisse International		12/31/19	USD	3,147,592	EUR	2,824,573		46,872
Goldman Sachs & Co.		12/30/19	USD	1,046,876	NOK	9,350,842		17,526
Goldman Sachs & Co.		12/30/19	USD	425,332	SEK	4,109,944		5,187
Goldman Sachs & Co.		12/30/19	SEK	486,678	USD	50,061		(309	)
Goldman Sachs & Co.		12/30/19	NOK	230,753	USD	25,446		(44	)
JP Morgan Chase Bank N.A.		12/31/19	USD	2,057,942	GBP	1,638,489		35,613
JP Morgan Chase Bank N.A.		12/31/19	GBP	52,885	USD	66,296		(1,022	)
Morgan Stanley & Co. LLC		12/31/19	USD	457,733	CAD	607,329		(1,405	)
Morgan Stanley & Co. LLC		12/31/19	CAD	16,607	USD	12,530		25
							$	103,348

Currency Legend

CAD Canadian Dollar

EUR Euro

GBP British Pound

JPY Japanese Yen

NOK Norwegian Krone

SEK Swedish Krona

USD U.S. Dollar

The accompanying notes are an integral part of the financial statements.

143

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 97.4%
COMMON STOCK — 97.4%
Basic Materials — 5.3%
Chemicals — 3.3%
Orion Engineered Carbons SA		44,100	$	736,911
PolyOne Corp.		26,846		876,522
Sensient Technologies Corp.		9,230		633,639
Stepan Co.		6,080		590,125
				2,837,197
Forest Products & Paper — 0.8%
Neenah, Inc.		10,250		667,480
Iron & Steel — 1.1%
Allegheny Technologies, Inc. (a)		46,159		934,720
Mining — 0.1%
Ferroglobe PLC		108,835		122,984
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c)		234,800		-
				122,984
				4,562,381
Communications — 1.1%
Telecommunications — 1.1%
Ciena Corp. (a)		24,518		961,841
Consumer, Cyclical — 9.9%
Apparel — 0.5%
Kontoor Brands, Inc. (a)		11,940		419,094
Auto Parts & Equipment — 3.3%
Adient PLC		45,274		1,039,491
American Axle & Manufacturing Holdings, Inc. (a)		98,990		813,698
Cooper Tire & Rubber Co.		14,750		385,270
Gentherm, Inc. (a)		13,150		540,268
				2,778,727
Distribution & Wholesale — 0.1%
ScanSource, Inc. (a)		3,770		115,173
Food Services — 1.2%
Aramark		22,970		1,001,033
Home Builders — 0.8%
TRI Pointe Group, Inc. (a)		47,780		718,611
Home Furnishing — 1.8%
Whirlpool Corp.		9,907		1,568,873
Office Furnishings — 0.7%
Steelcase, Inc. Class A		31,810		585,304
Retail — 0.3%
The Cato Corp. Class A		13,430		236,502
Storage & Warehousing — 1.2%
Mobile Mini, Inc.		28,528		1,051,542
				8,474,859

	Number of Shares		Value
Consumer, Non-cyclical — 12.0%
Agriculture — 1.3%
Darling Ingredients, Inc. (a)		58,695	$	1,122,835
Beverages — 0.8%
C&C Group PLC		142,001		642,236
Commercial Services — 4.4%
AMN Healthcare Services, Inc. (a)		7,380		424,793
BrightView Holdings, Inc. (a)		14,960		256,564
CBIZ, Inc. (a)		8,200		192,700
Forrester Research, Inc.		11,527		370,478
FTI Consulting, Inc. (a)		1,810		191,842
Huron Consulting Group, Inc. (a)		14,220		872,255
ICF International, Inc.		6,580		555,812
Navigant Consulting, Inc.		25,030		699,588
Seacor Marine Holdings Inc. (a)		14,814		186,212
				3,750,244
Foods — 1.6%
Cranswick PLC		16,932		614,195
Post Holdings, Inc. (a)		5,090		538,725
SunOpta, Inc. (a) (d)		117,550		211,590
				1,364,510
Health Care – Products — 0.8%
Invacare Corp.		34,461		258,458
Natus Medical, Inc. (a)		7,700		245,168
Steris PLC		1,210		174,833
				678,459
Health Care – Services — 1.0%
Encompass Health Corp.		14,210		899,209
Household Products & Wares — 2.1%
Acco Brands Corp.		72,120		711,825
Helen of Troy Ltd. (a)		2,590		408,339
Spectrum Brands Holdings, Inc.		12,420		654,782
				1,774,946
				10,232,439
Energy — 3.1%
Oil & Gas — 2.2%
Callon Petroleum Co. (a) (d)		147,115		638,479
Carrizo Oil & Gas, Inc. (a) (d)		44,171		379,208
Kosmos Energy Ltd.		67,950		424,008
Magnolia Oil & Gas Corp. Class A (a) (d)		39,720		440,892
				1,882,587
Oil & Gas Services — 0.9%
Era Group, Inc. (a)		15,060		159,034
Thermon Group Holdings, Inc. (a)		27,840		639,763
				798,797
				2,681,384

The accompanying notes are an integral part of the financial statements.

144

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Financial — 23.6%
Banks — 8.0%
1st Source Corp.		8,730	$	399,223
Atlantic Union Bankshares Corp.		16,850		627,578
First Midwest Bancorp, Inc.		28,670		558,492
Great Western Bancorp, Inc.		17,780		586,740
Hancock Whitney Corp.		17,870		684,332
International Bancshares Corp.		19,110		738,028
Prosperity Bancshares, Inc.		15,526		1,096,601
Synovus Financial Corp.		13,690		489,555
Texas Capital Bancshares, Inc. (a)		21,425		1,170,876
Webster Financial Corp.		11,400		534,318
				6,885,743
Diversified Financial Services — 1.4%
PRA Group, Inc. (a)		36,390		1,229,618
Insurance — 6.5%
Alleghany Corp. (a)		1,628		1,298,753
Assured Guaranty Ltd.		11,450		509,067
Kemper Corp.		7,870		613,467
MGIC Investment Corp.		99,353		1,249,861
Reinsurance Group of America, Inc. Class A		4,280		684,286
White Mountains Insurance Group Ltd.		1,090		1,177,200
				5,532,634
Real Estate — 1.0%
Alexander & Baldwin, Inc.		34,140		836,771
Real Estate Investment Trusts (REITS) — 5.2%
Brandywine Realty Trust		43,010		651,602
Corporate Office Properties Trust		26,700		795,126
DiamondRock Hospitality Co.		33,294		341,264
Physicians Realty Trust		49,750		883,062
PotlatchDeltic Corp.		14,133		580,654
RPT Realty		62,020		840,371
Summit Hotel Properties, Inc.		34,020		394,632
				4,486,711
Savings & Loans — 1.5%
Banc of California, Inc.		43,350		612,969
Northwest Bancshares, Inc.		39,950		654,780
				1,267,749
				20,239,226
Industrial — 30.9%
Aerospace & Defense — 1.5%
Astronics Corp. (a)		13,591		399,304
Barnes Group, Inc.		12,481		643,271
Park Aerospace Corp.		14,447		253,689
				1,296,264
Building Materials — 4.7%
American Woodmark Corp. (a)		9,430		838,421

	Number of Shares		Value
Gibraltar Industries, Inc. (a)		27,132	$	1,246,444
Simpson Manufacturing Co., Inc.		20,165		1,398,846
Tyman PLC		193,344		572,908
				4,056,619
Electrical Components & Equipment — 2.1%
Belden, Inc.		17,860		952,653
Encore Wire Corp.		14,854		835,983
				1,788,636
Electronics — 4.1%
Coherent, Inc. (a)		2,750		422,730
FARO Technologies, Inc. (a)		17,656		853,668
II-VI, Inc. (a)		32,993		1,161,683
Vishay Intertechnology, Inc.		64,854		1,097,978
				3,536,059
Engineering & Construction — 1.4%
Mistras Group, Inc. (a)		4,470		73,308
Primoris Services Corp.		54,968		1,077,923
				1,151,231
Environmental Controls — 0.7%
Clean Harbors, Inc. (a)		8,110		626,092
Hand & Machine Tools — 1.8%
Colfax Corp. (a)		33,501		973,539
Luxfer Holdings PLC		36,372		566,676
				1,540,215
Machinery – Construction & Mining — 1.1%
Terex Corp.		35,432		920,169
Machinery – Diversified — 0.5%
Albany International Corp. Class A		3,020		272,283
SPX FLOW, Inc. (a)		3,670		144,818
				417,101
Metal Fabricate & Hardware — 3.3%
Mueller Industries, Inc.		31,780		911,450
TriMas Corp. (a)		39,080		1,197,802
Valmont Industries, Inc.		5,020		694,969
				2,804,221
Miscellaneous – Manufacturing — 4.1%
Actuant Corp. Class A		43,538		955,224
ESCO Technologies, Inc.		10,260		816,285
Federal Signal Corp.		52,788		1,728,279
				3,499,788
Packaging & Containers — 1.2%
Matthews International Corp. Class A		10,310		364,871
Sealed Air Corp.		16,320		677,443
				1,042,314
Transportation — 3.7%
Air Transport Services Group, Inc. (a)		49,006		1,030,106
Dorian LPG Ltd. (a)		26,637		275,959

The accompanying notes are an integral part of the financial statements.

145

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Forward Air Corp.		9,250	$	589,410
Saia, Inc. (a)		3,940		369,178
Scorpio Tankers, Inc.		15,452		459,852
SEACOR Holdings, Inc. (a)		8,670		408,097
				3,132,602
Trucking & Leasing — 0.7%
GATX Corp.		8,100		627,993
				26,439,304
Technology — 9.7%
Computers — 2.1%
MTS Systems Corp.		14,639		808,805
WNS Holdings Ltd. ADR (a)		17,200		1,010,500
				1,819,305
Semiconductors — 6.3%
Brooks Automation, Inc.		45,055		1,668,387
Cohu, Inc.		41,219		556,663
CTS Corp.		16,050		519,378
Diodes, Inc. (a)		37,993		1,525,419
Photronics, Inc. (a)		63,854		694,731
Rudolph Technologies, Inc. (a)		15,890		418,860
				5,383,438
Software — 1.3%
Allscripts Healthcare Solutions, Inc. (a)		59,950		658,251
CDK Global, Inc.		9,100		437,619
				1,095,870
				8,298,613
Utilities — 1.8%
Gas — 1.8%
New Jersey Resources Corp.		6,510		294,382
Spire, Inc.		4,740		413,518
UGI Corp.		16,505		829,706
				1,537,606
				1,537,606
TOTAL COMMON STOCK (Cost $76,427,770)				83,427,653
TOTAL EQUITIES (Cost $76,427,770)				83,427,653
MUTUAL FUNDS — 1.7%
Diversified Financial Services — 1.7%
State Street Navigator Securities Lending Prime Portfolio (e)		1,461,402		1,461,402
TOTAL MUTUAL FUNDS (Cost $1,461,402)				1,461,402
TOTAL LONG-TERM INVESTMENTS (Cost $77,889,172)				84,889,055

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.8%
Repurchase Agreement — 3.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (f)	$	3,260,308	$	3,260,308
TOTAL SHORT-TERM INVESTMENTS (Cost $3,260,308)				3,260,308
TOTAL INVESTMENTS — 102.9% (Cost $81,149,480) (g)				88,149,363
Other Assets/(Liabilities) — (2.9)%				(2,456,814	)
NET ASSETS — 100.0%			$	85,692,549

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Investment was valued using significant unobservable inputs.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $0 or 0.00% of net assets.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $1,390,426 or 1.62% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(e) Represents investment of security lending collateral. (Note 2).

(f) Maturity value of $3,260,394. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $3,327,963.

(g) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

146

MassMutual Select Small Company Value Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 95.5%
COMMON STOCK — 95.5%
Basic Materials — 2.5%
Chemicals — 1.5%
Innophos Holdings, Inc.		26,882	$	872,590
Minerals Technologies, Inc.		19,826		1,052,562
Orion Engineered Carbons SA		80,686		1,348,263
				3,273,415
Forest Products & Paper — 0.1%
Neenah, Inc.		3,164		206,040
Iron & Steel — 0.9%
Carpenter Technology Corp.		35,387		1,828,092
Mining — 0.0%
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c)		49,975		-
				5,307,547
Communications — 3.7%
Internet — 0.5%
Criteo SA Sponsored ADR (c)		63,081		1,178,984
Media — 0.9%
Entravision Communications Corp. Class A		217,787		692,563
Houghton Mifflin Harcourt Co. (c)		191,792		1,022,251
Townsquare Media, Inc. Class A		19,996		140,572
				1,855,386
Telecommunications — 2.3%
A10 Networks, Inc. (c)		219,973		1,526,613
Casa Systems, Inc. (c)		177,802		1,396,635
Extreme Networks, Inc. (c)		128,524		935,012
LogMeIn, Inc.		12,596		893,812
				4,752,072
				7,786,442
Consumer, Cyclical — 12.6%
Airlines — 1.6%
Hawaiian Holdings, Inc.		58,052		1,524,446
SkyWest, Inc.		32,686		1,876,176
				3,400,622
Apparel — 0.5%
Skechers U.S.A., Inc. Class A (c)		26,724		998,142
Auto Manufacturers — 0.6%
REV Group, Inc.		104,061		1,189,417
Auto Parts & Equipment — 1.2%
Cooper-Standard Holding, Inc. (c)		25,138		1,027,641
Dana, Inc.		100,318		1,448,592
				2,476,233
Home Builders — 1.2%
Taylor Morrison Home Corp. (c)		98,979		2,567,515

	Number of Shares		Value
Leisure Time — 0.9%
Callaway Golf Co.		71,273	$	1,383,409
Camping World Holdings, Inc. Class A (d)		68,291		607,790
				1,991,199
Office Furnishings — 0.6%
Knoll, Inc.		46,979		1,190,918
Retail — 5.7%
Bloomin’ Brands, Inc.		62,672		1,186,381
BMC Stock Holdings, Inc. (c)		23,089		604,470
Citi Trends, Inc.		63,708		1,165,856
El Pollo Loco Holdings, Inc. (c)		119,803		1,313,041
Foundation Building Materials, Inc. (c)		23,204		359,430
GMS, Inc. (c)		7,068		202,993
MarineMax, Inc. (c)		21,277		329,368
MSC Industrial Direct Co., Inc. Class A		5,805		421,037
Papa John’s International, Inc. (d)		29,513		1,545,005
Penske Automotive Group, Inc.		18,368		868,439
Red Robin Gourmet Burgers, Inc. (c)		55,344		1,840,741
Regis Corp. (c)		71,422		1,444,153
Signet Jewelers Ltd.		44,372		743,675
				12,024,589
Textiles — 0.3%
UniFirst Corp.		2,736		533,848
				26,372,483
Consumer, Non-cyclical — 9.1%
Beverages — 0.8%
Cott Corp.		134,762		1,680,482
Commercial Services — 1.6%
The Brink’s Co.		12,604		1,045,502
Cass Information Systems, Inc.		1,099		59,335
EVERTEC, Inc.		14,697		458,840
Korn Ferry		14,501		560,319
Viad Corp.		18,764		1,260,002
				3,383,998
Foods — 3.1%
Fresh Del Monte Produce, Inc.		49,399		1,685,000
The Hain Celestial Group, Inc. (c)		110,834		2,380,160
Nomad Foods Ltd. (c)		101,028		2,071,074
Weis Markets, Inc.		7,944		302,984
				6,439,218
Health Care – Products — 0.3%
Patterson Cos., Inc.		30,776		548,428
Health Care – Services — 2.2%
ICON PLC (c)		10,579		1,558,710
Molina Healthcare, Inc. (c)		12,127		1,330,575

The accompanying notes are an integral part of the financial statements.

147

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
The Providence Service Corp. (c)		17,839	$	1,060,707
WellCare Health Plans, Inc. (c)		2,478		642,223
				4,592,215
Household Products & Wares — 0.7%
Spectrum Brands Holdings, Inc.		26,716		1,408,468
Pharmaceuticals — 0.4%
Premier, Inc. Class A (c)		32,993		954,158
				19,006,967
Energy — 4.4%
Oil & Gas — 1.6%
Callon Petroleum Co. (c) (d)		57,210		248,291
Centennial Resource Development, Inc. Class A (c)		47,676		215,257
Earthstone Energy, Inc. Class A (c)		36,231		117,751
Magnolia Oil & Gas Corp. Class A (c) (d)		44,248		491,153
Oasis Petroleum, Inc. (c)		172,334		596,276
Parsley Energy, Inc. Class A		13,742		230,866
QEP Resources, Inc.		141,329		522,917
SM Energy Co.		71,046		688,436
WPX Energy, Inc. (c)		21,487		227,547
				3,338,494
Oil & Gas Services — 2.8%
C&J Energy Services, Inc. (c)		13,187		141,496
Dril-Quip, Inc. (c)		28,743		1,442,324
Helix Energy Solutions Group, Inc. (c)		129,252		1,041,771
Liberty Oilfield Services, Inc. Class A (d)		8,556		92,661
MRC Global, Inc. (c)		85,124		1,032,554
NCS Multistage Holdings, Inc. (c)		75,648		151,296
Oil States International, Inc. (c)		56,099		746,117
Patterson-UTI Energy, Inc.		87,144		745,081
RPC, Inc. (d)		85,642		480,452
				5,873,752
				9,212,246
Financial — 38.7%
Banks — 17.7%
1st Source Corp.		25,083		1,147,046
Ameris Bancorp		6,520		262,365
Associated Banc-Corp.		81,270		1,645,718
Bank of Marin Bancorp		20,786		862,411
Bank OZK		7,907		215,624
BankUnited, Inc.		103,895		3,492,950
CrossFirst Bankshares, Inc. (c)		36,591		523,434
First Hawaiian, Inc.		44,352		1,184,198
Heritage Financial Corp.		69,562		1,875,392
Hilltop Holdings, Inc.		20,534		490,557
Home BancShares, Inc.		85,569		1,608,269
IBERIABANK Corp.		28,348		2,141,408

	Number of Shares		Value
Independent Bank Group, Inc.		47,908	$	2,520,440
LegacyTexas Financial Group, Inc.		9,668		420,848
Origin Bancorp, Inc.		23,300		786,142
Sandy Spring Bancorp, Inc.		52,899		1,783,225
Signature Bank		9,288		1,107,315
South State Corp.		5,136		386,741
Synovus Financial Corp.		51,338		1,835,847
Texas Capital Bancshares, Inc. (c)		53,613		2,929,950
Towne Bank		13,926		387,212
TriCo Bancshares		41,956		1,523,003
UMB Financial Corp.		16,812		1,085,719
Umpqua Holdings Corp.		109,797		1,807,259
Valley National Bancorp		149,879		1,629,185
Webster Financial Corp.		37,892		1,775,998
Zions Bancorp NA		38,915		1,732,496
				37,160,752
Diversified Financial Services — 0.5%
Ares Management Corp. Class A		14,673		393,383
Deluxe Corp.		14,594		717,441
				1,110,824
Insurance — 6.4%
AMERISAFE, Inc.		8,651		571,917
Axis Capital Holdings Ltd.		22,518		1,502,401
Essent Group Ltd.		36,708		1,749,870
First American Financial Corp.		18,688		1,102,779
The Hanover Insurance Group, Inc.		3,322		450,264
James River Group Holdings Ltd.		11,350		581,574
Kemper Corp.		24,127		1,880,700
ProAssurance Corp.		37,470		1,508,917
ProSight Global, Inc. (c)		11,649		225,524
RenaissanceRe Holdings Ltd.		3,366		651,153
Selective Insurance Group, Inc.		22,162		1,666,361
State Auto Financial Corp.		28,220		914,046
White Mountains Insurance Group Ltd.		445		480,600
				13,286,106
Investment Companies — 0.9%
Compass Diversified Holdings (e)		89,431		1,762,685
Real Estate Investment Trusts (REITS) — 10.9%
Armada Hoffler Properties, Inc.		78,564		1,421,223
Brandywine Realty Trust		60,854		921,938
CareTrust REIT, Inc.		8,042		189,027
City Office REIT, Inc.		140,450		2,021,075
Community Healthcare Trust, Inc.		3,854		171,696
Cousins Properties, Inc.		65,466		2,460,867
Easterly Government Properties, Inc.		58,903		1,254,634
Empire State Realty Trust, Inc. Class A		114,863		1,639,095
Highwoods Properties, Inc.		6,034		271,168
Independence Realty Trust, Inc.		161,200		2,306,772
Kite Realty Group Trust		61,910		999,846

The accompanying notes are an integral part of the financial statements.

148

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Lexington Realty Trust		29,294	$	300,264
National Health Investors, Inc.		4,954		408,160
National Storage Affiliates Trust		64,816		2,162,910
Physicians Realty Trust		25,122		445,916
RLJ Lodging Trust		104,865		1,781,656
Sabra Health Care REIT, Inc.		17,396		399,412
STAG Industrial, Inc.		84,258		2,483,926
Summit Hotel Properties, Inc.		31,929		370,376
Urstadt Biddle Properties, Inc. Class A		8,457		200,431
Weingarten Realty Investors		21,937		639,025
				22,849,417
Savings & Loans — 2.3%
Pacific Premier Bancorp, Inc.		17,099		533,318
Sterling Bancorp		101,328		2,032,640
WSFS Financial Corp.		52,056		2,295,669
				4,861,627
				81,031,411
Industrial — 13.6%
Aerospace & Defense — 0.8%
AAR Corp.		41,510		1,710,627
Building Materials — 1.0%
Gibraltar Industries, Inc. (c)		639		29,356
Masonite International Corp. (c)		27,796		1,612,168
Tecnoglass, Inc.		52,316		425,329
				2,066,853
Electrical Components & Equipment — 1.7%
Belden, Inc.		32,252		1,720,322
EnerSys		23,566		1,553,942
Graham Corp.		8,552		169,843
				3,444,107
Electronics — 1.6%
Advanced Energy Industries, Inc. (c)		3,388		194,505
Avnet, Inc.		6,597		293,468
Coherent, Inc. (c)		4,521		694,968
II-VI, Inc. (c)		12,006		422,731
Tech Data Corp. (c)		3,552		370,260
TTM Technologies, Inc. (c)		110,034		1,341,865
				3,317,797
Engineering & Construction — 1.3%
Dycom Industries, Inc. (c)		8,605		439,285
Primoris Services Corp.		64,929		1,273,258
Tutor Perini Corp. (c)		69,885		1,001,452
				2,713,995
Environmental Controls — 0.2%
CECO Environmental Corp. (c)		43,365		302,904
Charah Solutions, Inc. (c)		88,089		186,749
				489,653

	Number of Shares		Value
Hand & Machine Tools — 1.4%
Colfax Corp. (c)		17,635	$	512,473
Kennametal, Inc.		46,673		1,434,728
Regal Beloit Corp.		13,660		995,131
				2,942,332
Machinery – Construction & Mining — 0.4%
Terex Corp.		32,229		836,987
Machinery – Diversified — 0.5%
Cactus, Inc. Class A (c)		10,071		291,455
DXP Enterprises, Inc. (c)		7,546		261,997
Hurco Cos., Inc.		8,552		275,118
Mueller Water Products, Inc. Class A		25,652		288,328
				1,116,898
Metal Fabricate & Hardware — 0.7%
The Timken Co.		28,174		1,225,851
Valmont Industries, Inc.		1,576		218,181
				1,444,032
Miscellaneous – Manufacturing — 0.9%
EnPro Industries, Inc.		7,511		515,630
Trinseo SA		33,270		1,428,947
				1,944,577
Packaging & Containers — 2.0%
Graphic Packaging Holding Co.		204,235		3,012,466
Silgan Holdings, Inc.		38,661		1,161,183
				4,173,649
Transportation — 1.1%
Air Transport Services Group, Inc. (c)		27,980		588,140
Atlas Air Worldwide Holdings, Inc. (c)		15,698		396,061
Covenant Transportation Group, Inc. Class A (c)		35,964		591,248
Hub Group, Inc. Class A (c)		16,281		757,066
				2,332,515
				28,534,022
Technology — 9.1%
Computers — 3.1%
NCR Corp. (c)		68,236		2,153,528
NetScout Systems, Inc. (c)		62,156		1,433,317
Presidio, Inc.		21,014		355,137
Unisys Corp. (c)		172,065		1,278,443
WNS Holdings Ltd. ADR (c)		22,862		1,343,143
				6,563,568
Semiconductors — 3.3%
Cypress Semiconductor Corp.		18,790		438,559
Kulicke & Soffa Industries, Inc.		124,961		2,934,084
Magnachip Semiconductor Corp. (c) (d)		136,220		1,381,271

The accompanying notes are an integral part of the financial statements.

149

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
MaxLinear, Inc. (c)		61,161	$	1,368,783
Nanometrics, Inc. (c)		23,991		782,586
				6,905,283
Software — 2.7%
CommVault Systems, Inc. (c)		30,578		1,367,142
Donnelley Financial Solutions, Inc. (c)		82,830		1,020,466
InnerWorkings, Inc. (c)		103,559		458,766
Sapiens International Corp. NV		6,197		121,709
Teradata Corp. (c)		42,679		1,323,049
Verint Systems, Inc. (c)		31,255		1,337,089
				5,628,221
				19,097,072
Utilities — 1.8%
Electric — 1.8%
Black Hills Corp.		22,666		1,739,162
PNM Resources, Inc.		38,874		2,024,558
				3,763,720
				3,763,720
TOTAL COMMON STOCK (Cost $198,838,666)				200,111,910
TOTAL EQUITIES (Cost $198,838,666)				200,111,910
MUTUAL FUNDS — 2.1%
Diversified Financial Services — 2.1%
State Street Navigator Securities Lending Prime Portfolio (f)		4,418,710		4,418,710
TOTAL MUTUAL FUNDS (Cost $4,418,710)				4,418,710
TOTAL LONG-TERM INVESTMENTS (Cost $203,257,376)				204,530,620

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.8%
Repurchase Agreement — 3.8%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (g)	$	7,836,031	$	7,836,031
TOTAL SHORT-TERM INVESTMENTS (Cost $7,836,031)				7,836,031
TOTAL INVESTMENTS — 101.4% (Cost $211,093,407) (h)				212,366,651
Other Assets/(Liabilities) — (1.4)%				(2,903,681	)
NET ASSETS — 100.0%			$	209,462,970

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Investment was valued using significant unobservable inputs.

(b) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $0 or 0.00% of net assets.

(c) Non-income producing security.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $4,289,287 or 2.05% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(e) Security is a Master Limited Partnership.

(f) Represents investment of security lending collateral. (Note 2).

(g) Maturity value of $7,836,238. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 3/31/23, and an aggregate market value, including accrued interest, of $7,995,822.

(h) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

150

MM S&P Mid Cap Index Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 99.5%
COMMON STOCK — 99.5%
Basic Materials — 4.6%
Chemicals — 2.6%
Ashland Global Holdings, Inc.		16,134	$	1,243,126
Cabot Corp.		15,396		697,747
The Chemours Co.		43,167		644,915
Ingevity Corp. (a)		11,152		946,136
Minerals Technologies, Inc.		9,339		495,807
NewMarket Corp.		1,968		929,073
Olin Corp.		43,768		819,337
PolyOne Corp.		20,482		668,737
RPM International, Inc.		34,555		2,377,729
Sensient Technologies Corp.		11,280		774,372
Valvoline, Inc.		50,154		1,104,893
Versum Materials, Inc.		29,106		1,540,581
				12,242,453
Forest Products & Paper — 0.1%
Domtar Corp.		16,514		591,366
Iron & Steel — 1.3%
Allegheny Technologies, Inc. (a)		33,575		679,894
Carpenter Technology Corp.		12,730		657,632
Commercial Metals Co.		31,407		545,854
Reliance Steel & Aluminum Co.		17,764		1,770,360
Steel Dynamics, Inc.		58,507		1,743,509
United States Steel Corp. (b)		45,101		520,916
				5,918,165
Mining — 0.6%
Compass Minerals International, Inc.		9,089		513,437
Royal Gold, Inc.		17,465		2,151,863
				2,665,300
				21,417,284
Communications — 3.8%
Internet — 0.8%
Etsy, Inc. (a)		32,088		1,812,972
GrubHub, Inc. (a)		24,332		1,367,702
Yelp, Inc. (a)		17,209		598,013
				3,778,687
Media — 1.9%
AMC Networks, Inc. Class A (a)		11,753		577,777
Cable One, Inc.		1,338		1,678,789
FactSet Research Systems, Inc.		10,192		2,476,350
John Wiley & Sons, Inc. Class A		11,721		515,021
Meredith Corp.		10,727		393,252
The New York Times Co. Class A		38,282		1,090,271
TEGNA, Inc.		57,703		896,128
World Wrestling Entertainment, Inc. Class A (b)		12,667		901,257
				8,528,845

	Number of Shares		Value
Telecommunications — 1.1%
Ciena Corp. (a)		41,320	$	1,620,983
InterDigital, Inc.		8,257		433,245
LogMeIn, Inc.		13,165		934,188
Plantronics, Inc.		8,703		324,796
Telephone & Data Systems, Inc.		25,975		670,155
ViaSat, Inc. (a)		15,349		1,156,087
				5,139,454
				17,446,986
Consumer, Cyclical — 13.3%
Airlines — 0.3%
JetBlue Airways Corp. (a)		78,918		1,321,877
Apparel — 0.8%
Carter’s, Inc.		11,917		1,086,949
Deckers Outdoor Corp. (a)		7,694		1,133,788
Skechers U.S.A., Inc. Class A (a)		35,628		1,330,706
				3,551,443
Auto Parts & Equipment — 0.6%
Adient PLC		23,183		532,282
Dana, Inc.		38,305		553,124
Delphi Technologies PLC		23,607		316,334
The The Goodyear Tire & Rubber Co.		61,888		891,496
Visteon Corp. (a)		7,428		613,107
				2,906,343
Distribution & Wholesale — 1.1%
KAR Auction Services, Inc.		35,569		873,219
Pool Corp.		10,634		2,144,878
Resideo Technologies, Inc. (a)		32,686		469,044
Watsco, Inc.		8,720		1,475,249
				4,962,390
Entertainment — 1.9%
Churchill Downs, Inc.		9,491		1,171,711
Cinemark Holdings, Inc.		28,390		1,096,990
Eldorado Resorts, Inc. (a)		17,396		693,579
International Speedway Corp. Class A		6,319		284,418
Live Nation Entertainment, Inc. (a)		37,036		2,456,968
Marriott Vacations Worldwide Corp.		10,317		1,068,944
Penn National Gaming, Inc. (a)		29,285		545,433
Scientific Games Corp. Class A (a)		14,366		292,348
Six Flags Entertainment Corp.		20,897		1,061,359
				8,671,750
Home Builders — 0.8%
KB Home		22,737		773,058
Thor Industries, Inc.		14,660		830,342
Toll Brothers, Inc.		34,398		1,412,038
TRI Pointe Group, Inc. (a)		37,836		569,054
				3,584,492

The accompanying notes are an integral part of the financial statements.

151

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Home Furnishing — 0.2%
Tempur Sealy International, Inc. (a)		12,261	$	946,549
Housewares — 0.7%
The Scotts Miracle-Gro Co.		10,483		1,067,379
The Toro Co.		28,401		2,081,793
				3,149,172
Leisure Time — 0.5%
Brunswick Corp.		22,833		1,190,056
Polaris, Inc.		15,305		1,346,993
				2,537,049
Lodging — 1.0%
Boyd Gaming Corp.		21,433		513,320
Caesars Entertainment Corp. (a)		148,035		1,726,088
Wyndham Destinations, Inc.		24,568		1,130,619
Wyndham Hotels & Resorts, Inc.		25,683		1,328,839
				4,698,866
Office Furnishings — 0.2%
Herman Miller, Inc.		15,735		725,226
HNI Corp.		11,225		398,488
				1,123,714
Retail — 5.0%
American Eagle Outfitters, Inc.		42,283		685,829
AutoNation, Inc. (a)		15,602		791,021
Bed Bath & Beyond, Inc. (b)		34,000		361,760
Brinker International, Inc. (b)		10,063		429,388
Casey’s General Stores, Inc.		9,792		1,578,079
The Cheesecake Factory, Inc.		10,833		451,519
Cracker Barrel Old Country Store, Inc. (b)		6,406		1,041,936
Dick’s Sporting Goods, Inc.		17,541		715,848
Dillard’s, Inc. Class A (b)		2,717		179,621
Domino’s Pizza, Inc.		10,983		2,686,332
Dunkin’ Brands Group, Inc.		22,032		1,748,460
FirstCash, Inc.		11,442		1,048,888
Five Below, Inc. (a)		14,826		1,869,559
Foot Locker, Inc.		29,215		1,260,919
Jack in the Box, Inc.		6,876		626,541
MSC Industrial Direct Co., Inc. Class A		11,975		868,547
Nu Skin Enterprises, Inc. Class A		14,792		629,104
Ollie’s Bargain Outlet Holdings, Inc. (a)		14,565		854,092
Papa John’s International, Inc. (b)		5,791		303,159
Sally Beauty Holdings, Inc. (a)		32,262		480,381
Texas Roadhouse, Inc.		17,419		914,846
Urban Outfitters, Inc. (a)		18,971		532,895
The Wendy’s Co.		49,015		979,320
Williams-Sonoma, Inc.		20,828		1,415,887
World Fuel Services Corp.		17,407		695,236
				23,149,167

	Number of Shares		Value
Toys, Games & Hobbies — 0.2%
Mattel, Inc. (a) (b)		92,032	$	1,048,245
				61,651,057
Consumer, Non-cyclical — 15.3%
Beverages — 0.2%
The Boston Beer Co., Inc. Class A (a)		2,447		890,904
Biotechnology — 1.0%
Bio-Rad Laboratories, Inc. Class A (a)		5,728		1,905,935
Exelixis, Inc. (a)		80,688		1,426,967
Ligand Pharmaceuticals, Inc. (a) (b)		5,063		503,971
United Therapeutics Corp. (a)		11,678		931,321
				4,768,194
Commercial Services — 3.9%
Aaron’s, Inc.		17,987		1,155,845
Adtalem Global Education, Inc. (a)		14,624		557,028
ASGN, Inc. (a)		14,096		886,075
Avis Budget Group, Inc. (a)		15,565		439,867
The Brink’s Co.		13,319		1,104,811
CoreLogic, Inc. (a)		21,346		987,679
Graham Holdings Co. Class B		1,159		768,939
Green Dot Corp. Class A (a)		12,832		324,008
Healthcare Services Group, Inc.		19,855		482,278
HealthEquity, Inc. (a)		18,727		1,070,154
Insperity, Inc.		10,251		1,010,954
Liveramp Holdings, Inc. (a)		18,015		773,924
ManpowerGroup, Inc.		15,950		1,343,628
Sabre Corp.		72,905		1,632,707
Service Corp. International		48,581		2,322,658
Sotheby’s (a)		8,688		495,042
WEX, Inc. (a)		11,527		2,329,261
WW International, Inc. (a)		12,365		467,644
				18,152,502
Cosmetics & Personal Care — 0.1%
Edgewell Personal Care Co. (a)		14,508		471,365
Foods — 1.9%
Flowers Foods, Inc.		51,338		1,187,448
The Hain Celestial Group, Inc. (a)		21,376		459,050
Ingredion, Inc.		17,784		1,453,664
Lancaster Colony Corp.		5,229		725,001
Pilgrim’s Pride Corp. (a)		13,962		447,412
Post Holdings, Inc. (a)		18,301		1,936,978
Sanderson Farms, Inc.		5,239		792,818
Sprouts Farmers Market, Inc. (a)		31,687		612,826
Tootsie Roll Industries, Inc. (b)		4,508		167,427
TreeHouse Foods, Inc. (a)		14,973		830,253
				8,612,877
Health Care – Products — 4.8%
Avanos Medical, Inc. (a)		12,724		476,641
Bio-Techne Corp.		10,143		1,984,681

The accompanying notes are an integral part of the financial statements.

152

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Cantel Medical Corp.		9,754	$	729,599
Globus Medical, Inc. Class A (a)		20,419		1,043,819
Haemonetics Corp. (a)		13,526		1,706,170
Hill-Rom Holdings, Inc.		17,804		1,873,515
ICU Medical, Inc. (a)		5,120		817,152
Integra LifeSciences Holdings Corp. (a)		18,912		1,136,044
LivaNova PLC (a)		12,890		951,153
Masimo Corp. (a)		13,072		1,944,983
NuVasive, Inc. (a)		13,865		878,764
Patterson Cos., Inc.		22,893		407,953
Penumbra, Inc. (a) (b)		8,527		1,146,796
Repligen Corp. (a)		12,353		947,351
Steris PLC		22,565		3,260,417
West Pharmaceutical Services, Inc.		19,650		2,786,763
				22,091,801
Health Care – Services — 2.7%
Acadia Healthcare Co., Inc. (a)		23,575		732,711
Amedisys, Inc. (a)		8,571		1,122,887
Catalent, Inc. (a)		38,899		1,853,926
Charles River Laboratories International, Inc. (a)		13,008		1,721,869
Chemed Corp.		4,242		1,771,332
Encompass Health Corp.		26,275		1,662,682
MEDNAX, Inc. (a)		22,404		506,778
Molina Healthcare, Inc. (a)		16,705		1,832,873
Syneos Health, Inc. (a)		16,451		875,358
Tenet Healthcare Corp. (a)		27,550		609,406
				12,689,822
Household Products & Wares — 0.2%
Helen of Troy Ltd. (a)		6,687		1,054,272
Spectrum Brands Holdings, Inc. (f)		1,678		88,475
				1,142,747
Pharmaceuticals — 0.5%
PRA Health Sciences, Inc. (a)		16,733		1,660,415
Prestige Consumer Healthcare, Inc. (a)		13,372		463,875
				2,124,290
				70,944,502
Energy — 2.5%
Energy – Alternate Sources — 0.2%
First Solar, Inc. (a)		20,212		1,172,498
Oil & Gas — 1.5%
Chesapeake Energy Corp. (a) (b)		300,215		423,303
CNX Resources Corp. (a)		49,905		362,310
EQT Corp.		68,015		723,680
Matador Resources Co. (a)		29,335		484,908
Murphy Oil Corp.		41,031		907,195
Murphy USA, Inc. (a)		8,000		682,400
Oasis Petroleum, Inc. (a)		77,087		266,721

	Number of Shares		Value
PBF Energy, Inc. Class A		27,133	$	737,746
Southwestern Energy Co. (a)		145,432		280,684
Transocean Ltd. (a)		153,059		684,174
WPX Energy, Inc. (a)		112,468		1,191,036
				6,744,157
Oil & Gas Services — 0.5%
Apergy Corp. (a)		20,602		557,284
Core Laboratories NV (b)		11,805		550,349
NOW, Inc. (a)		29,175		334,637
Oceaneering International, Inc. (a)		26,596		360,376
Patterson-UTI Energy, Inc.		53,893		460,785
				2,263,431
Pipelines — 0.3%
Antero Midstream Corp. (b)		68,810		509,194
Equitrans Midstream Corp.		54,312		790,240
				1,299,434
				11,479,520
Financial — 27.4%
Banks — 6.7%
Associated Banc-Corp.		43,215		875,104
BancorpSouth Bank		24,722		732,018
Bank of Hawaii Corp.		10,833		930,880
Bank OZK		32,197		878,012
Cathay General Bancorp		20,190		701,300
Commerce Bancshares, Inc.		26,331		1,596,975
Cullen/Frost Bankers, Inc.		15,195		1,345,517
East West Bancorp, Inc.		38,772		1,717,212
F.N.B. Corp.		86,549		997,910
First Financial Bankshares, Inc.		36,153		1,204,979
First Horizon National Corp.		83,251		1,348,666
Fulton Financial Corp.		44,277		716,402
Hancock Whitney Corp.		24,160		925,207
Home BancShares, Inc.		41,432		778,714
International Bancshares Corp.		15,380		593,976
PacWest Bancorp		31,500		1,144,710
Pinnacle Financial Partners, Inc.		19,265		1,093,289
Prosperity Bancshares, Inc.		18,401		1,299,663
Signature Bank		14,581		1,738,347
Synovus Financial Corp.		41,108		1,470,022
TCF Financial Corp.		40,875		1,556,111
Texas Capital Bancshares, Inc. (a)		13,386		731,545
Trustmark Corp.		17,153		585,089
UMB Financial Corp.		11,501		742,735
Umpqua Holdings Corp.		58,679		965,856
United Bankshares, Inc.		27,152		1,028,246
Valley National Bancorp		88,403		960,941
Webster Financial Corp.		24,550		1,150,659
Wintrust Financial Corp.		15,099		975,848
				30,785,933

The accompanying notes are an integral part of the financial statements.

153

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Diversified Financial Services — 2.8%
Deluxe Corp.		11,435	$	562,145
Eaton Vance Corp.		30,105		1,352,618
Evercore, Inc. Class A		10,621		850,742
Federated Investors, Inc. Class B		25,604		829,826
Interactive Brokers Group, Inc. Class A		20,502		1,102,598
Janus Henderson Group PLC		42,364		951,495
Jefferies Financial Group, Inc.		67,128		1,235,155
Legg Mason, Inc.		21,715		829,296
LendingTree, Inc. (a) (b)		2,047		635,450
Navient Corp.		53,992		691,098
SEI Investments Co.		33,798		2,002,700
SLM Corp.		113,569		1,002,246
Stifel Financial Corp.		18,530		1,063,251
				13,108,620
Insurance — 5.8%
Alleghany Corp. (a)		3,844		3,066,589
American Financial Group, Inc.		19,889		2,145,029
Brighthouse Financial, Inc. (a)		29,671		1,200,785
Brown & Brown, Inc.		62,198		2,242,860
CNO Financial Group, Inc.		41,464		656,375
First American Financial Corp.		29,864		1,762,275
Genworth Financial, Inc. Class A (a)		135,529		596,328
The Hanover Insurance Group, Inc.		10,539		1,428,456
Kemper Corp.		16,678		1,300,050
Mercury General Corp.		7,224		403,677
Old Republic International Corp.		75,919		1,789,411
Primerica, Inc.		11,155		1,419,251
Reinsurance Group of America, Inc. Class A		16,717		2,672,714
RenaissanceRe Holdings Ltd.		11,765		2,275,939
Selective Insurance Group, Inc.		15,815		1,189,130
W.R. Berkley Corp.		38,553		2,784,683
				26,933,552
Real Estate — 0.5%
Alexander & Baldwin, Inc.		18,205		446,204
Jones Lang LaSalle, Inc.		13,727		1,908,877
				2,355,081
Real Estate Investment Trusts (REITS) — 10.9%
American Campus Communities, Inc.		36,605		1,759,968
Brixmor Property Group, Inc.		79,361		1,610,235
Camden Property Trust		25,800		2,864,058
CoreCivic, Inc.		31,953		552,148
CoreSite Realty Corp.		9,827		1,197,420
Corporate Office Properties Trust		29,814		887,861
Cousins Properties, Inc.		38,901		1,462,289
CyrusOne, Inc.		30,150		2,384,865
Douglas Emmett, Inc.		43,840		1,877,667
EastGroup Properties, Inc.		10,045		1,255,826

	Number of Shares		Value
EPR Properties		20,588	$	1,582,394
First Industrial Realty Trust, Inc.		33,702		1,333,251
The GEO Group, Inc.		32,519		563,879
Healthcare Realty Trust, Inc.		34,433		1,153,505
Highwoods Properties, Inc.		27,631		1,241,737
JBG SMITH Properties		31,441		1,232,802
Kilroy Realty Corp.		24,748		1,927,622
Lamar Advertising Co. Class A		22,900		1,876,197
Liberty Property Trust		42,040		2,157,913
Life Storage, Inc.		12,430		1,310,246
Mack-Cali Realty Corp.		24,088		521,746
Medical Properties Trust, Inc.		119,221		2,331,963
National Retail Properties, Inc.		45,727		2,579,003
Omega Healthcare Investors, Inc.		57,696		2,411,116
Park Hotels & Resorts, Inc.		63,872		1,594,884
Pebblebrook Hotel Trust		34,790		967,858
PotlatchDeltic Corp.		17,887		734,887
PS Business Parks, Inc.		5,337		971,067
Rayonier, Inc.		34,525		973,605
Sabra Health Care REIT, Inc.		50,484		1,159,113
Senior Housing Properties Trust		63,298		585,823
Service Properties Trust		43,825		1,130,247
Spirit Realty Capital, Inc.		24,011		1,149,166
Tanger Factory Outlet Centers, Inc. (b)		24,893		385,344
Taubman Centers, Inc.		16,294		665,284
Uniti Group, Inc.		50,746		394,043
Urban Edge Properties		30,631		606,187
Weingarten Realty Investors		32,102		935,131
				50,328,350
Savings & Loans — 0.7%
New York Community Bancorp, Inc.		124,495		1,562,412
Sterling Bancorp		54,658		1,096,439
Washington Federal, Inc.		21,132		781,673
				3,440,524
				126,952,060
Industrial — 19.3%
Aerospace & Defense — 0.7%
Teledyne Technologies, Inc. (a)		9,690		3,120,083
Building Materials — 1.9%
Eagle Materials, Inc.		11,193		1,007,482
Lennox International, Inc.		9,388		2,281,002
Louisiana-Pacific Corp.		32,962		810,206
MDU Resources Group, Inc.		53,035		1,495,056
Owens Corning		28,974		1,831,157
Trex Co., Inc. (a)		15,562		1,415,053
				8,839,956
Electrical Components & Equipment — 1.8%
Acuity Brands, Inc.		10,628		1,432,548
Belden, Inc.		10,285		548,602

The accompanying notes are an integral part of the financial statements.

154

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Energizer Holdings, Inc.		17,063	$	743,606
EnerSys		11,311		745,847
Hubbell, Inc. Class B		14,495		1,904,643
Littelfuse, Inc.		6,550		1,161,380
Universal Display Corp.		11,294		1,896,263
				8,432,889
Electronics — 3.7%
Arrow Electronics, Inc. (a)		22,145		1,651,574
Avnet, Inc.		27,615		1,228,453
Coherent, Inc. (a)		6,388		981,963
Gentex Corp.		67,859		1,868,498
II-VI, Inc. (a)		23,012		810,253
Jabil, Inc.		37,074		1,326,137
National Instruments Corp.		31,625		1,327,934
nVent Electric PLC		41,446		913,470
SYNNEX Corp.		10,884		1,228,804
Tech Data Corp. (a)		9,485		988,716
Trimble, Inc. (a)		67,074		2,603,142
Vishay Intertechnology, Inc.		35,239		596,596
Woodward, Inc.		14,993		1,616,695
				17,142,235
Engineering & Construction — 1.4%
AECOM (a)		41,988		1,577,069
Dycom Industries, Inc. (a)		8,457		431,730
EMCOR Group, Inc.		14,943		1,286,891
Fluor Corp.		37,246		712,516
Granite Construction, Inc.		12,562		403,617
KBR, Inc.		37,713		925,477
MasTec, Inc. (a)		16,052		1,042,257
				6,379,557
Environmental Controls — 0.8%
Clean Harbors, Inc. (a)		13,688		1,056,714
Stericycle, Inc. (a)		24,271		1,236,122
Tetra Tech, Inc.		14,561		1,263,312
				3,556,148
Hand & Machine Tools — 1.0%
Colfax Corp. (a)		22,242		646,353
Kennametal, Inc.		21,949		674,712
Lincoln Electric Holdings, Inc.		16,457		1,427,809
MSA Safety, Inc.		9,475		1,033,817
Regal Beloit Corp.		11,168		813,589
				4,596,280
Machinery – Construction & Mining — 0.4%
Oshkosh Corp.		18,220		1,381,076
Terex Corp.		17,435		452,787
				1,833,863
Machinery – Diversified — 2.2%
AGCO Corp.		16,855		1,275,923
Cognex Corp.		45,461		2,233,499
Crane Co.		13,572		1,094,310

	Number of Shares		Value
Curtiss-Wright Corp.		11,378	$	1,471,972
Graco, Inc.		44,442		2,046,110
Nordson Corp.		13,629		1,993,378
				10,115,192
Metal Fabricate & Hardware — 0.4%
The Timken Co.		18,223		792,883
Valmont Industries, Inc.		5,753		796,445
Worthington Industries, Inc.		9,873		355,921
				1,945,249
Miscellaneous – Manufacturing — 1.9%
AptarGroup, Inc.		17,012		2,015,071
Axon Enterprise, Inc. (a)		15,781		896,045
Carlisle Cos., Inc.		15,079		2,194,598
Donaldson Co., Inc.		33,974		1,769,366
ITT, Inc.		23,440		1,434,294
Trinity Industries, Inc.		27,228		535,847
				8,845,221
Packaging & Containers — 0.6%
Greif, Inc. Class A		7,054		267,276
Owens-Illinois, Inc.		41,405		425,230
Silgan Holdings, Inc.		20,779		624,097
Sonoco Products Co.		26,687		1,553,450
				2,870,053
Transportation — 2.4%
Genesee & Wyoming, Inc. Class A (a)		15,074		1,665,828
Kirby Corp. (a)		15,951		1,310,534
Knight-Swift Transportation Holdings, Inc.		32,685		1,186,465
Landstar System, Inc.		10,546		1,187,269
Old Dominion Freight Line, Inc.		17,043		2,896,799
Ryder System, Inc.		14,307		740,673
Werner Enterprises, Inc.		11,953		421,941
XPO Logistics, Inc. (a) (b)		24,549		1,756,972
				11,166,481
Trucking & Leasing — 0.1%
GATX Corp.		9,490		735,760
				89,578,967
Technology — 8.7%
Computers — 1.6%
CACI International, Inc. Class A (a)		6,629		1,533,023
Lumentum Holdings, Inc. (a)		20,483		1,097,069
MAXIMUS, Inc.		17,006		1,313,884
NCR Corp. (a)		33,932		1,070,894
NetScout Systems, Inc. (a)		17,774		409,868
Perspecta, Inc.		36,746		959,806
Science Applications International Corp.		13,066		1,141,315
				7,525,859

The accompanying notes are an integral part of the financial statements.

155

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Office & Business Equipment — 0.7%
Zebra Technologies Corp. Class A (a)		14,416	$	2,975,030
Semiconductors — 2.7%
Cirrus Logic, Inc. (a)		15,484		829,633
Cree, Inc. (a)		28,472		1,395,128
Cypress Semiconductor Corp.		98,382		2,296,236
MKS Instruments, Inc.		14,511		1,339,075
Monolithic Power Systems, Inc.		10,727		1,669,443
Semtech Corp. (a)		17,716		861,175
Silicon Laboratories, Inc. (a)		11,544		1,285,424
Synaptics, Inc. (a)		8,758		349,882
Teradyne, Inc.		45,271		2,621,643
				12,647,639
Software — 3.7%
ACI Worldwide, Inc. (a)		31,086		973,769
Allscripts Healthcare Solutions, Inc. (a)		44,579		489,477
Blackbaud, Inc.		13,097		1,183,183
CDK Global, Inc.		32,279		1,552,297
CommVault Systems, Inc. (a)		11,062		494,582
Covetrus, Inc. (a)		26,346		313,254
Fair Isaac Corp. (a)		7,698		2,336,497
j2 Global, Inc.		12,378		1,124,170
Manhattan Associates, Inc. (a)		17,138		1,382,522
Medidata Solutions, Inc. (a)		16,584		1,517,436
PTC, Inc. (a)		27,609		1,882,382
Teradata Corp. (a)		30,387		941,997
Tyler Technologies, Inc. (a)		10,277		2,697,713
				16,889,279
				40,037,807
Utilities — 4.6%
Electric — 2.1%
ALLETE, Inc.		13,765		1,203,199
Black Hills Corp.		16,268		1,248,244
Hawaiian Electric Industries, Inc.		29,046		1,324,788
IDACORP, Inc.		13,428		1,512,933
NorthWestern Corp.		13,446		1,009,122
OGE Energy Corp.		53,341		2,420,614
PNM Resources, Inc.		21,222		1,105,242
				9,824,142
Gas — 1.9%
National Fuel Gas Co.		22,994		1,078,878
New Jersey Resources Corp.		23,980		1,084,376
ONE Gas, Inc.		14,061		1,351,403
Southwest Gas Holdings, Inc.		14,417		1,312,524
Spire, Inc.		13,544		1,181,578
UGI Corp.		55,665		2,798,279
				8,807,038

	Number of Shares		Value
Water — 0.6%
Aqua America, Inc.		57,494	$	2,577,456
				21,208,636
TOTAL COMMON STOCK (Cost $413,328,484)				460,716,819
TOTAL EQUITIES (Cost $413,328,484)				460,716,819
MUTUAL FUNDS — 2.3%
Diversified Financial Services — 2.3%
State Street Navigator Securities Lending Prime Portfolio (c)		10,415,099		10,415,099
TOTAL MUTUAL FUNDS (Cost $10,415,099)				10,415,099
TOTAL LONG-TERM INVESTMENTS (Cost $423,743,583)				471,131,918
	Principal Amount
SHORT-TERM INVESTMENTS — 1.1%
Repurchase Agreement — 0.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (d)	$	4,377,724		4,377,724
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill 0.000% 1/09/20 (e)		905,000		900,471
TOTAL SHORT-TERM INVESTMENTS (Cost $5,277,771)				5,278,195
TOTAL INVESTMENTS — 102.9% (Cost $429,021,354) (g)				476,410,113
Other Assets/(Liabilities) — (2.9)%				(13,362,197	)
NET ASSETS — 100.0%			$	463,047,916

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $10,132,550 or 2.19% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

The accompanying notes are an integral part of the financial statements.

156

MM S&P Mid Cap Index Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(c) Represents investment of security lending collateral. (Note 2).

(d) Maturity value of $4,377,839. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $4,466,076.

(e) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(f) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(g) See Note 6 for aggregate cost for federal tax purposes.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Long
S&P Midcap 400 E mini Index		12/20/19		29	$	5,676,633	$	(56,433	)

The accompanying notes are an integral part of the financial statements.

157

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 99.2%
COMMON STOCK — 99.2%
Basic Materials — 3.1%
Chemicals — 1.9%
AdvanSix, Inc. (a)		4,111	$	105,735
American Vanguard Corp.		4,246		66,662
Amyris, Inc. (a) (b)		5,662		26,951
Balchem Corp.		4,774		473,533
Codexis, Inc. (a)		7,854		107,717
Ferro Corp. (a)		12,045		142,854
GCP Applied Technologies, Inc. (a)		8,049		154,943
H.B. Fuller Co.		7,571		352,506
Hawkins, Inc.		1,455		61,837
Ingevity Corp. (a)		6,232		528,723
Innophos Holdings, Inc.		2,931		95,140
Innospec, Inc.		3,615		322,241
Intrepid Potash, Inc. (a)		14,323		46,836
Koppers Holdings, Inc. (a)		2,807		81,992
Kraton Corp. (a)		4,627		149,406
Kronos Worldwide, Inc.		3,367		41,650
Marrone Bio Innovations, Inc. (a)		7,629		10,757
Materion Corp.		2,998		183,957
Minerals Technologies, Inc.		5,241		278,245
Oil-Dri Corp. of America		759		25,851
OMNOVA Solutions, Inc. (a)		6,538		65,838
Orion Engineered Carbons SA		8,922		149,087
PolyOne Corp.		11,363		371,002
PQ Group Holdings, Inc. (a)		5,655		90,141
Quaker Chemical Corp.		1,950		308,373
Rayonier Advanced Materials, Inc.		7,167		31,033
Rogers Corp. (a)		2,746		375,406
Sensient Technologies Corp.		6,292		431,946
Stepan Co.		3,046		295,645
Tronox Holdings PLC Class A (a)		13,509		112,125
Valhi, Inc.		4,403		8,366
				5,496,498
Forest Products & Paper — 0.2%
Clearwater Paper Corp. (a)		2,385		50,371
Neenah, Inc.		2,470		160,847
P.H. Glatfelter Co.		6,399		98,481
Schweitzer-Mauduit International, Inc.		4,596		172,074
Verso Corp. Class A (a)		5,172		64,029
				545,802
Iron & Steel — 0.5%
AK Steel Holding Corp. (a) (b)		46,429		105,394
Allegheny Technologies, Inc. (a)		18,676		378,189
Carpenter Technology Corp.		6,994		361,310
Cleveland-Cliffs, Inc. (b)		39,859		287,782
Commercial Metals Co.		17,529		304,654
Schnitzer Steel Industries, Inc. Class A		3,823		78,983
				1,516,312

	Number of Shares		Value
Mining — 0.5%
Century Aluminum Co. (a)		7,345	$	48,734
Coeur Mining, Inc. (a)		32,600		156,806
Compass Minerals International, Inc.		5,074		286,630
Contura Energy, Inc. (a)		2,781		77,757
Covia Holdings Corp. (a) (b)		6,313		12,752
Energy Fuels, Inc. (a) (b)		13,473		26,003
Ferroglobe Representation & Warranty Insurance Trust (a) (c) (d)		10,133		-
Gold Resource Corp.		8,777		26,770
Hecla Mining Co.		71,048		125,045
Kaiser Aluminum Corp.		2,363		233,866
Livent Corp. (a)		21,838		146,096
Novagold Resources, Inc. (a)		34,461		209,178
United States Lime & Minerals, Inc.		304		23,256
Uranium Energy Corp. (a) (b)		27,207		26,524
				1,399,417
				8,958,029
Communications — 4.0%
Advertising — 0.1%
Boston Omaha Corp. Class A (a) (b)		1,519		30,122
Clear Channel Outdoor Holdings, Inc. (a)		7,174		18,079
Fluent, Inc. (a)		6,474		17,706
Marchex, Inc. Class B (a)		5,255		16,501
MDC Partners, Inc. Class A (a)		8,133		22,935
National CineMedia, Inc.		9,341		76,596
Quotient Technology, Inc. (a)		11,121		86,966
SharpSpring, Inc. (a) (b)		1,503		14,579
Telaria, Inc. (a)		6,297		43,512
				326,996
Internet — 1.6%
1-800-Flowers.com, Inc. Class A (a)		3,699		54,727
8x8, Inc. (a)		13,939		288,816
Boingo Wireless, Inc. (a)		6,383		70,851
Cardlytics, Inc. (a)		2,041		68,414
Cargurus, Inc. (a)		11,015		340,914
Cars.com, Inc. (a)		9,931		89,180
ChannelAdvisor Corp. (a)		3,937		36,732
Cogent Communications Holdings, Inc.		6,233		343,438
Comscore, Inc. (a)		7,430		14,191
DHI Group, Inc. (a)		7,762		29,884
Endurance International Group Holdings, Inc. (a)		10,757		40,339
ePlus, Inc. (a)		1,970		149,897
Eventbrite, Inc. Class A (a) (b)		5,376		95,209
Everquote, Inc. Class A (a)		1,287		27,465
Groupon, Inc. (a)		66,671		177,345
HealthStream, Inc. (a)		3,835		99,288

The accompanying notes are an integral part of the financial statements.

158

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Lands’ End, Inc. (a) (b)		1,587	$	18,005
Leaf Group Ltd. (a)		2,675		11,235
Limelight Networks, Inc. (a)		17,020		51,571
Liquidity Services, Inc. (a)		3,919		29,001
Livexlive Media, Inc. (a) (b)		4,338		8,698
The Meet Group, Inc. (a)		11,048		36,182
New Media Investment Group, Inc. (b)		8,985		79,158
NIC, Inc.		9,715		200,615
OptimizeRx Corp. (a)		2,042		29,568
Overstock.com, Inc. (a)		4,011		42,477
Perficient, Inc. (a)		4,769		183,988
Q2 Holdings, Inc. (a)		6,403		505,005
QuinStreet, Inc. (a)		6,768		85,209
Realreal, Inc. (a)		2,589		57,890
The Rubicon Project, Inc. (a)		7,270		63,322
Shutterstock, Inc. (a)		2,811		101,533
Stamps.com, Inc. (a)		2,472		184,040
Stitch Fix, Inc. Class A (a) (b)		6,191		119,177
TechTarget, Inc. (a)		3,398		76,540
Travelzoo (a)		808		8,638
TrueCar, Inc. (a)		15,505		52,717
Tucows, Inc. Class A (a) (b)		1,408		76,257
Upwork, Inc. (a)		8,413		111,935
VirnetX Holding Corp. (a) (b)		9,075		49,005
Yelp, Inc. (a)		10,275		357,056
Zix Corp. (a)		7,977		57,753
				4,523,265
Media — 0.9%
Central European Media Enterprises Ltd. Class A (a)		13,217		59,410
Cumulus Media, Inc. Class A (a)		2,154		31,319
The E.W. Scripps Co. Class A		8,051		106,917
Entercom Communications Corp. Class A		18,037		60,244
Entravision Communications Corp. Class A		9,064		28,823
Gannett Co., Inc.		15,617		167,727
Gray Television, Inc. (a)		13,555		221,218
Hemisphere Media Group, Inc. (a)		2,523		30,831
Houghton Mifflin Harcourt Co. (a)		15,343		81,778
Lee Enterprises, Inc. (a)		8,129		16,583
Liberty Latin America Ltd. Class A (a)		6,808		116,213
Liberty Latin America Ltd. Class C (a)		16,895		288,820
Liberty Media Corp-Liberty Braves Class A (a)		1,465		40,771
Liberty Media Corp-Liberty Braves Class C (a)		5,344		148,296
Meredith Corp.		5,927		217,284
MSG Networks, Inc. Class A (a)		8,620		139,816
Saga Communications, Inc. Class A		586		17,433
Scholastic Corp.		4,375		165,200
TEGNA, Inc.		32,239		500,672

	Number of Shares		Value
Tribune Publishing Co.		2,593	$	22,248
Value Line, Inc.		196		4,459
WideOpenWest, Inc. (a)		3,736		23,014
				2,489,076
Telecommunications — 1.4%
A10 Networks, Inc. (a)		8,367		58,067
Acacia Communications, Inc. (a)		5,626		367,940
ADTRAN, Inc.		7,135		80,947
Airgain, Inc. (a)		1,245		14,629
Anterix, Inc. (a)		1,592		57,630
ATN International, Inc.		1,626		94,910
CalAmp Corp. (a)		4,880		56,218
Calix, Inc. (a)		6,920		44,219
Cambium Networks Corp. (a)		636		6,169
Casa Systems, Inc. (a)		4,826		37,908
Cincinnati Bell, Inc. (a)		7,194		36,474
Clearfield, Inc. (a)		1,612		19,102
Consolidated Communications Holdings, Inc.		10,489		49,928
DASAN Zhone Solutions, Inc. (a)		1,173		10,745
Digi International, Inc. (a)		4,156		56,605
Extreme Networks, Inc. (a)		17,245		125,457
Frontier Communications Corp. (a) (b)		15,426		13,374
Gogo, Inc. (a) (b)		8,179		49,319
GTT Communications, Inc. (a) (b)		4,849		45,678
Harmonic, Inc. (a)		12,648		83,224
IDT Corp. Class B (a)		2,530		26,641
Infinera Corp. (a) (b)		25,857		140,921
Inseego Corp. (a) (b)		6,782		32,554
Intelsat SA (a)		9,972		227,362
InterDigital, Inc.		4,629		242,884
Iridium Communications, Inc. (a)		14,705		312,922
KVH Industries, Inc. (a)		2,321		24,719
Loral Space & Communications, Inc. (a)		1,911		79,115
Maxar Technologies, Inc. (a) (b)		8,890		67,564
NeoPhotonics Corp. (a)		5,817		35,425
NETGEAR, Inc. (a)		4,590		147,890
Ooma, Inc. (a)		2,910		30,264
ORBCOMM, Inc. (a)		11,024		52,474
Plantronics, Inc.		4,986		186,077
Preformed Line Products Co.		464		25,330
Ribbon Communications, Inc. (a)		8,856		51,719
RigNet, Inc. (a)		2,087		16,174
Shenandoah Telecommunications Co.		7,130		226,520
Sonim Technologies, Inc. (a) (b)		551		1,614
Spok Holdings, Inc.		2,588		30,901
Tessco Technologies, Inc.		945		13,580
Viavi Solutions, Inc. (a)		34,116		477,794
Vonage Holdings Corp. (a)		33,585		379,510
				4,138,497
				11,477,834

The accompanying notes are an integral part of the financial statements.

159

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Consumer, Cyclical — 12.2%
Airlines — 0.5%
Allegiant Travel Co.		1,934	$	289,442
Hawaiian Holdings, Inc.		6,944		182,349
Mesa Air Group, Inc. (a)		3,166		21,355
SkyWest, Inc.		7,432		426,597
Spirit Airlines, Inc. (a)		10,183		369,643
				1,289,386
Apparel — 0.8%
Centric Brands, Inc. (a) (b)		2,500		6,275
Crocs, Inc. (a)		9,201		255,420
Deckers Outdoor Corp. (a)		4,339		639,395
Delta Apparel, Inc. (a)		936		22,230
Kontoor Brands, Inc. (a)		6,532		229,273
Oxford Industries, Inc.		2,455		176,024
Rocky Brands, Inc.		1,053		34,991
Steven Madden Ltd.		12,455		445,765
Superior Group of Cos, Inc.		1,615		26,034
Unifi, Inc. (a)		2,134		46,777
Vince Holding Corp. (a)		467		8,868
Weyco Group, Inc.		917		20,733
Wolverine World Wide, Inc.		12,446		351,724
				2,263,509
Auto Manufacturers — 0.1%
Blue Bird Corp. (a)		2,197		41,820
Navistar International Corp. (a)		7,380		207,452
REV Group, Inc.		4,052		46,314
Wabash National Corp.		7,937		115,166
				410,752
Auto Parts & Equipment — 1.1%
Adient PLC		13,026		299,077
American Axle & Manufacturing Holdings, Inc. (a)		16,596		136,419
Commercial Vehicle Group, Inc. (a)		4,537		32,712
Cooper Tire & Rubber Co.		7,429		194,045
Cooper-Standard Holding, Inc. (a)		2,480		101,382
Dana, Inc.		21,494		310,373
Dorman Products, Inc. (a)		4,004		318,478
Douglas Dynamics, Inc.		3,302		147,170
Gentherm, Inc. (a)		4,891		200,947
Meritor, Inc. (a)		11,759		217,542
Methode Electronics, Inc.		5,396		181,521
Miller Industries, Inc.		1,632		54,346
Modine Manufacturing Co. (a)		7,403		84,172
Motorcar Parts of America, Inc. (a)		2,728		46,103
Spartan Motors, Inc.		5,125		70,315
Standard Motor Products, Inc.		3,107		150,845
Stoneridge, Inc. (a)		3,915		121,248
Telenav, Inc. (a)		4,917		23,503
Tenneco, Inc. Class A		7,580		94,902
Titan International, Inc.		7,724		20,855

	Number of Shares		Value
Visteon Corp. (a)		4,139	$	341,633
				3,147,588
Distribution & Wholesale — 0.7%
Anixter International, Inc. (a)		4,532		313,252
BlueLinx Holdings, Inc. (a) (b)		1,330		42,999
Core-Mark Holding Co., Inc.		6,687		214,753
EVI Industries, Inc. (b)		690		22,025
Fossil Group, Inc. (a) (b)		6,867		85,906
G-III Apparel Group Ltd. (a)		6,682		172,195
H&E Equipment Services, Inc.		4,714		136,046
ScanSource, Inc. (a)		3,812		116,456
SiteOne Landscape Supply, Inc. (a) (b)		6,059		448,487
Systemax, Inc.		1,830		40,278
Titan Machinery, Inc. (a)		2,817		40,396
Triton International Ltd.		8,207		277,725
Veritiv Corp. (a)		1,970		35,618
				1,946,136
Entertainment — 1.2%
AMC Entertainment Holdings, Inc. Class A (b)		7,720		82,604
Churchill Downs, Inc.		5,211		643,324
Eldorado Resorts, Inc. (a) (b)		9,776		389,769
Empire Resorts, Inc. (a) (b)		479		4,613
Eros International PLC (a) (b)		10,788		20,605
Everi Holdings, Inc. (a)		10,172		86,055
Golden Entertainment, Inc. (a)		2,599		34,541
IMAX Corp. (a)		7,792		171,034
International Speedway Corp. Class A		3,466		156,005
Marriott Vacations Worldwide Corp.		6,357		658,649
Monarch Casino & Resort, Inc. (a)		1,695		70,665
Penn National Gaming, Inc. (a)		16,282		303,252
RCI Hospitality Holdings, Inc.		1,330		27,504
Reading International, Inc. Series A (a)		2,492		29,804
Red Rock Resorts, Inc. Class A		10,302		209,182
Scientific Games Corp. Class A (a)		8,313		169,170
SeaWorld Entertainment, Inc. (a)		6,990		183,977
Twin River Worldwide Holdings, Inc.		2,912		66,481
				3,307,234
Home Builders — 1.3%
Beazer Homes USA, Inc. (a)		4,273		63,668
Cavco Industries, Inc. (a)		1,280		245,875
Century Communities, Inc. (a)		3,861		118,262
Forestar Group, Inc. (a)		1,557		28,462
Green Brick Partners, Inc. (a)		3,608		38,606
Installed Building Products, Inc. (a)		3,371		193,293
KB Home		12,696		431,664
LCI Industries		3,625		332,956
LGI Homes, Inc. (a)		2,980		248,294
M.D.C. Holdings, Inc.		7,371		317,690
M/I Homes, Inc. (a)		3,916		147,437
Meritage Home Corp. (a)		5,379		378,413

The accompanying notes are an integral part of the financial statements.

160

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Skyline Champion Corp. (a)		7,492	$	225,434
Taylor Morrison Home Corp. (a)		15,580		404,145
TRI Pointe Group, Inc. (a)		20,998		315,810
William Lyon Homes Class A (a)		4,752		96,751
Winnebago Industries, Inc.		4,629		177,522
				3,764,282
Home Furnishing — 0.3%
Daktronics, Inc.		5,313		39,237
Ethan Allen Interiors, Inc.		3,594		68,645
Flexsteel Industries, Inc.		1,106		16,391
Hamilton Beach Brands Holding Co. Class A		995		16,089
Hooker Furniture Corp.		1,711		36,684
iRobot Corp. (a) (b)		4,084		251,860
Purple Innovation, Inc. (a) (b)		610		4,593
Sleep Number Corp. (a)		4,272		176,519
Sonos, Inc. (a)		10,456		140,215
Universal Electronics, Inc. (a)		2,001		101,851
				852,084
Housewares — 0.0%
Lifetime Brands, Inc.		1,736		15,364
Tupperware Brands Corp.		7,178		113,915
				129,279
Leisure Time — 0.5%
Acushnet Holdings Corp.		5,246		138,494
Callaway Golf Co.		13,893		269,663
Camping World Holdings, Inc. Class A (b)		4,783		42,569
Clarus Corp.		3,387		39,713
Drive Shack, Inc. (a)		9,103		39,234
Escalade, Inc.		1,627		17,718
Fox Factory Holding Corp. (a)		5,590		347,922
Johnson Outdoors, Inc. Class A		718		42,046
Liberty TripAdvisor Holdings, Inc. Class A (a)		10,674		100,442
Lindblad Expeditions Holdings, Inc. (a)		3,440		57,654
Malibu Boats, Inc. Class A (a)		3,103		95,200
Marine Products Corp.		1,141		16,157
MasterCraft Boat Holdings, Inc. (a)		2,725		40,671
OneSpaWorld Holdings Ltd. (a) (b)		6,691		103,911
Vista Outdoor, Inc. (a)		8,542		52,875
YETI Holdings, Inc. (a) (b)		4,564		127,792
				1,532,061
Lodging — 0.2%
BBX Capital Corp.		9,728		45,430
Bluegreen Vacations Corp. (b)		1,032		9,618
Boyd Gaming Corp.		11,975		286,801
Century Casinos, Inc. (a)		3,932		30,394
The Marcus Corp.		3,340		123,614
Red Lion Hotels Corp. (a)		3,604		23,354

	Number of Shares		Value
The St. Joe Co. (a)		5,024	$	86,061
Target Hospitality Corp. (a) (b)		5,017		34,166
				639,438
Office Furnishings — 0.4%
CompX International, Inc.		300		4,299
Herman Miller, Inc.		8,752		403,380
HNI Corp.		6,329		224,680
Interface, Inc.		8,555		123,534
Kimball International, Inc. Class B		5,300		102,290
Knoll, Inc.		7,234		183,382
Steelcase, Inc. Class A		12,958		238,427
				1,279,992
Retail — 4.8%
Abercrombie & Fitch Co. Class A		9,700		151,320
America’s Car-Mart, Inc. (a)		914		83,814
American Eagle Outfitters, Inc.		24,013		389,491
Asbury Automotive Group, Inc. (a)		2,871		293,789
Ascena Retail Group, Inc. (a)		22,916		6,052
At Home Group, Inc. (a) (b)		7,059		67,908
Barnes & Noble Education, Inc. (a)		5,765		17,987
Bassett Furniture Industries, Inc.		1,472		22,522
Beacon Roofing Supply, Inc. (a)		10,082		338,049
Bed Bath & Beyond, Inc. (b)		18,068		192,243
Big Lots, Inc.		5,772		141,414
Biglari Holdings, Inc. (a)		138		15,042
BJ’s Restaurants, Inc.		3,040		118,074
BJ’s Wholesale Club Holdings, Inc. (a)		16,547		428,071
Bloomin’ Brands, Inc.		12,902		244,235
BMC Stock Holdings, Inc. (a)		9,833		257,428
Boot Barn Holdings, Inc. (a)		4,130		144,137
Brinker International, Inc.		5,561		237,288
The Buckle, Inc. (b)		4,235		87,241
Caleres, Inc.		6,087		142,497
Cannae Holdings, Inc. (a)		10,056		276,238
Carrols Restaurant Group, Inc. (a)		5,182		42,959
The Cato Corp. Class A		3,289		57,919
The Cheesecake Factory, Inc.		6,165		256,957
Chico’s FAS, Inc.		17,524		70,622
The Children’s Place, Inc. (b)		2,267		174,536
Chuy’s Holdings, Inc. (a)		2,434		60,266
Citi Trends, Inc.		1,656		30,305
Conn’s, Inc. (a)		2,985		74,207
The Container Store Group, Inc. (a)		2,380		10,520
Cracker Barrel Old Country Store, Inc. (b)		2,857		464,691
Dave & Buster’s Entertainment, Inc.		5,378		209,473
Del Taco Restaurants, Inc. (a)		4,353		44,509
Denny’s Corp. (a)		8,586		195,460
Designer Brands, Inc.		9,588		164,147
Dillard’s, Inc. Class A (b)		1,527		100,950
Dine Brands Global, Inc.		2,421		183,657
Duluth Holdings, Inc. Class B (a) (b)		1,634		13,856

The accompanying notes are an integral part of the financial statements.

161

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
El Pollo Loco Holdings, Inc. (a)		3,014	$	33,033
Express, Inc. (a)		9,943		34,204
EZCORP, Inc. Class A (a)		7,544		48,696
Fiesta Restaurant Group, Inc. (a)		3,528		36,762
FirstCash, Inc.		6,285		576,146
Foundation Building Materials, Inc. (a)		2,199		34,062
Freshpet, Inc. (a)		5,102		253,927
Gaia, Inc. (a) (b)		1,490		9,737
GameStop Corp. Class A (b)		13,288		73,350
Genesco, Inc. (a)		2,367		94,727
GMS, Inc. (a)		4,731		135,874
GNC Holdings, Inc. Class A (a) (b)		11,837		25,331
Group 1 Automotive, Inc.		2,605		240,468
Guess?, Inc.		7,444		137,937
The Habit Restaurants, Inc. Class A (a)		3,005		26,264
Haverty Furniture Cos., Inc.		2,660		53,918
Hibbett Sports, Inc. (a)		2,635		60,341
Hudson Ltd. Class A (a)		5,934		72,810
J Alexander’s Holdings, Inc. (a)		1,843		21,600
J. Jill, Inc. (b)		2,431		4,619
Jack in the Box, Inc.		3,831		349,081
JC Penney Co., Inc. (a) (b)		46,988		41,768
Kura Sushi USA, Inc.Class A (a)		496		9,731
La-Z-Boy, Inc.		6,618		222,299
Lithia Motors, Inc. Class A		3,284		434,736
The Lovesac Co. (a) (b)		1,294		24,159
Lumber Liquidators Holdings, Inc. (a) (b)		4,263		42,076
MarineMax, Inc. (a)		3,120		48,298
The Michaels Cos., Inc. (a)		12,726		124,588
Movado Group, Inc.		2,348		58,371
National Vision Holdings, Inc. (a)		11,616		279,597
Noodles & Co. (a)		4,337		24,547
Office Depot, Inc.		80,592		141,439
Papa John’s International, Inc. (b)		3,263		170,818
Party City Holdco, Inc. (a) (b)		8,079		46,131
PC Connection, Inc.		1,672		65,041
PetIQ, Inc. (a) (b)		2,873		78,318
PetMed Express, Inc. (b)		2,888		52,042
Potbelly Corp. (a)		3,305		14,410
PriceSmart, Inc.		3,313		235,554
Red Robin Gourmet Burgers, Inc. (a)		1,939		64,491
Regis Corp. (a)		4,251		85,955
RH (a) (b)		2,453		419,046
Rite Aid Corp. (a) (b)		8,099		56,288
RTW RetailWinds, Inc. (a)		4,052		5,551
Rush Enterprises, Inc. Class A		4,066		156,866
Rush Enterprises, Inc. Class B		656		26,194
Ruth’s Hospitality Group, Inc.		4,228		86,315
Sally Beauty Holdings, Inc. (a)		17,955		267,350
Shake Shack, Inc. Class A (a)		4,301		421,670
Shoe Carnival, Inc. (b)		1,390		45,050
Signet Jewelers Ltd.		7,736		129,655

	Number of Shares		Value
Sonic Automotive, Inc. Class A		3,590	$	112,762
Sportsman’s Warehouse Holdings, Inc. (a)		6,474		33,535
Tailored Brands, Inc. (b)		7,610		33,484
Texas Roadhouse, Inc.		9,792		514,276
Tile Shop Holdings, Inc. (b)		5,294		16,888
Tilly’s, Inc. Class A		3,309		31,237
Vera Bradley, Inc. (a)		3,109		31,401
Waitr Holdings, Inc. (a) (b)		7,971		10,243
Wingstop, Inc.		4,356		380,192
Winmark Corp.		363		64,030
World Fuel Services Corp.		9,564		381,986
Zumiez, Inc. (a)		2,984		94,518
				13,715,667
Storage & Warehousing — 0.1%
Mobile Mini, Inc.		6,663		245,598
Textiles — 0.2%
Culp, Inc.		1,656		26,993
UniFirst Corp.		2,246		438,239
				465,232
Toys, Games & Hobbies — 0.0%
Funko, Inc. (a) (b)		2,645		54,421
				35,042,659
Consumer, Non-cyclical — 22.7%
Agriculture — 0.4%
22nd Century Group, Inc. (a) (b)		17,469		39,480
Alico, Inc.		615		20,922
The Andersons, Inc.		4,638		104,030
Cadiz, Inc. (a) (b)		1,943		24,268
Darling Ingredients, Inc. (a)		24,359		465,988
Greenlane Holdings, Inc. Class A (a) (b)		948		3,214
Limoneira Co.		2,278		41,824
Phibro Animal Health Corp. Class A		3,049		65,035
Pyxus International, Inc. (a) (b)		1,206		15,775
Tejon Ranch Co. (a)		3,118		52,912
Turning Point Brands, Inc. (b)		1,257		28,986
Universal Corp.		3,623		198,577
Vector Group Ltd. (b)		16,534		196,924
				1,257,935
Beverages — 0.4%
The Boston Beer Co., Inc. Class A (a)		1,240		451,459
Celsius Holdings, Inc. (a)		3,815		13,257
Coca-Cola Bottling Co. Consolidated		694		210,886
Craft Brew Alliance, Inc. (a)		1,743		14,275
Farmer Brothers Co. (a)		1,631		21,121
MGP Ingredients, Inc. (b)		1,934		96,081
National Beverage Corp. (b)		1,766		78,340
New Age Beverages Corp. (a) (b)		10,993		30,341
Primo Water Corp. (a)		5,240		64,347

The accompanying notes are an integral part of the financial statements.

162

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Youngevity International, Inc. (a) (b)		1,253	$	5,601
				985,708
Biotechnology — 5.3%
Abeona Therapeutics, Inc. (a)		4,990		11,277
ACADIA Pharmaceuticals, Inc. (a)		15,620		562,164
Acceleron Pharma, Inc. (a)		6,680		263,927
Acer Therapeutics, Inc. (a) (b)		762		2,431
Achillion Pharmaceuticals, Inc. (a)		20,007		72,025
Acorda Therapeutics, Inc. (a)		6,817		19,565
ADMA Biologics, Inc. (a) (b)		7,439		33,104
Aduro Biotech, Inc. (a)		9,406		9,970
Adverum Biotechnologies, Inc. (a)		7,974		43,458
Affimed NV (a)		9,149		26,898
Agenus, Inc. (a)		15,891		40,999
AgeX Therapeutics, Inc. (a) (b)		3,231		6,333
Akero Therapeutics, Inc. (a) (b)		702		15,971
Albireo Pharma, Inc. (a)		1,568		31,360
Alder Biopharmaceuticals, Inc. (a)		10,802		203,726
Aldeyra Therapeutics, Inc. (a)		3,425		18,050
Allakos, Inc. (a) (b)		2,887		227,005
Allogene Therapeutics, Inc. (a) (b)		5,779		157,507
AMAG Pharmaceuticals, Inc. (a) (b)		4,915		56,768
Amicus Therapeutics, Inc. (a)		37,908		304,022
AnaptysBio, Inc. (a)		3,621		126,699
Anavex Life Sciences Corp. (a) (b)		6,526		20,622
ANI Pharmaceuticals, Inc. (a)		1,342		97,805
Apellis Pharmaceuticals, Inc. (a)		7,127		171,689
Applied Therapeutics, Inc. (a)		275		3,022
Arcus Biosciences, Inc. (a)		4,793		43,616
Ardelyx, Inc. (a)		6,817		32,040
Arena Pharmaceuticals, Inc. (a)		7,414		339,339
Arqule, Inc. (a)		16,624		119,194
Arrowhead Pharmaceuticals, Inc. (a) (b)		13,852		390,349
Assembly Biosciences, Inc. (a)		3,300		32,439
Atara Biotherapeutics, Inc. (a)		7,622		107,623
Athersys, Inc. (a) (b)		19,450		25,869
Atreca, Inc. Class A (a)		956		11,701
Audentes Therapeutics, Inc. (a)		6,666		187,248
Avid Bioservices, Inc. (a)		8,427		44,663
Avrobio, Inc. (a)		3,053		43,108
BioCryst Pharmaceuticals, Inc. (a)		16,430		47,072
Biohaven Pharmaceutical Holding Co. Ltd. (a)		5,797		241,851
Blueprint Medicines Corp. (a)		7,239		531,849
Bridgebio Pharma, Inc. (a) (b)		3,345		71,817
Calithera Biosciences, Inc. (a)		6,943		21,454
Calyxt, Inc. (a) (b)		1,413		7,969
Cambrex Corp. (a)		5,015		298,393
Cara Therapeutics, Inc. (a) (b)		5,890		107,669
CASI Pharmaceuticals, Inc. (a) (b)		7,416		24,769
CEL-SCI Corp. (a) (b)		4,004		35,796
Cerecor, Inc. (a) (b)		3,257		10,716

	Number of Shares		Value
ChemoCentryx, Inc. (a)		5,915	$	40,104
ChromaDex Corp. (a) (b)		5,646		22,217
Constellation Pharmaceuticals, Inc. (a)		2,162		13,967
Cortexyme, Inc. (a) (b)		439		10,944
Crinetics Pharmaceuticals, Inc. (a) (b)		1,677		25,222
Cue Biopharma, Inc. (a) (b)		3,001		25,298
Cymabay Therapeutics, Inc. (a)		10,321		52,844
CytomX Therapeutics, Inc. (a)		6,704		49,476
Deciphera Pharmaceuticals, Inc. (a)		2,808		95,304
Denali Therapeutics, Inc. (a) (b)		7,063		108,205
Dicerna Pharmaceuticals, Inc. (a)		7,623		109,466
Dynavax Technologies Corp. (a) (b)		12,319		44,040
Editas Medicine, Inc. (a)		7,393		168,117
Eidos Therapeutics, Inc. (a)		1,650		59,351
Eiger BioPharmaceuticals, Inc. (a)		3,386		34,707
ElectroCore, Inc. (a) (b)		1,859		4,071
Emergent BioSolutions, Inc. (a)		6,770		353,936
Enochian Biosciences, Inc. (a) (b)		598		3,289
Enzo Biochem, Inc. (a)		6,574		23,666
Epizyme, Inc. (a)		11,448		118,086
Esperion Therapeutics, Inc. (a) (b)		3,711		136,045
Evelo Biosciences, Inc. (a) (b)		2,028		12,371
Evolus, Inc. (a) (b)		2,233		34,879
EyePoint Pharmaceuticals, Inc. (a) (b)		9,404		17,021
Fate Therapeutics, Inc. (a)		7,712		119,767
FibroGen, Inc. (a)		11,506		425,492
Five Prime Therapeutics, Inc. (a)		4,981		19,301
Forty Seven, Inc. (a)		3,281		21,064
Geron Corp. (a) (b)		26,282		34,955
GlycoMimetics, Inc. (a)		5,093		21,951
Gossamer Bio, Inc. (a)		6,352		106,650
Halozyme Therapeutics, Inc. (a)		21,222		329,153
Homology Medicines, Inc. (a)		3,671		66,445
ImmunoGen, Inc. (a)		21,626		52,335
Immunomedics, Inc. (a)		25,944		344,017
Innoviva, Inc. (a)		9,472		99,835
Inovio Pharmaceuticals, Inc. (a) (b)		14,005		28,710
Insmed, Inc. (a)		13,195		232,760
Intercept Pharmaceuticals, Inc. (a) (b)		3,727		247,324
Intrexon Corp. (a) (b)		10,632		60,815
Iovance Biotherapeutics, Inc. (a)		17,019		309,746
Kaleido Biosciences, Inc. (a)		762		5,738
Karuna Therapeutics, Inc. (a)		673		10,983
Karyopharm Therapeutics, Inc. (a) (b)		8,702		83,713
Kezar Life Sciences, Inc. (a)		2,364		7,754
Kindred Biosciences, Inc. (a)		5,374		36,812
Kiniksa Pharmaceuticals Ltd. Class A (a)		2,118		18,024
Krystal Biotech, Inc. (a)		1,555		53,997
Lexicon Pharmaceuticals, Inc. (a) (b)		6,278		18,897
Ligand Pharmaceuticals, Inc. (a) (b)		2,747		273,436
Lineage Cell Therapeutics, Inc. (a) (b)		15,491		15,181
Liquidia Technologies, Inc. (a)		2,039		7,259

The accompanying notes are an integral part of the financial statements.

163

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Livongo Health, Inc. (a) (b)		2,151	$	37,513
MacroGenics, Inc. (a)		7,006		89,397
Magenta Therapeutics, Inc. (a)		2,779		28,513
Marker Therapeutics, Inc. (a)		4,118		21,043
The Medicines Co. (a) (b)		11,203		560,150
MEI Pharma, Inc. (a)		10,346		17,381
MeiraGTx Holdings PLC (a)		2,533		40,401
Menlo Therapeutics, Inc. (a)		2,349		10,524
Mersana Therapeutics, Inc. (a)		5,455		8,619
Mirati Therapeutics, Inc. (a)		4,037		314,523
Molecular Templates, Inc. (a)		2,583		17,022
Mustang Bio, Inc. (a) (b)		4,232		13,796
Myriad Genetics, Inc. (a)		10,422		298,382
NeoGenomics, Inc. (a)		14,129		270,146
Neon Therapeutics, Inc. (a)		2,248		3,867
NextCure, Inc. (a)		438		13,512
NGM Biopharmaceuticals, Inc. (a) (b)		1,017		14,085
Novavax, Inc. (a) (b)		3,566		17,901
Omeros Corp. (a)		6,853		111,909
Oncocyte Corp. (a) (b)		3,266		6,859
Organogenesis Holdings, Inc. (a)		1,598		10,499
Osmotica Pharmaceuticals PLC (a)		1,438		5,522
Pacific Biosciences of California, Inc. (a)		21,123		108,995
Palatin Technologies, Inc. (a) (b)		30,377		27,607
PDL BioPharma, Inc. (a)		16,660		35,986
Pfenex, Inc. (a)		4,352		36,731
Pieris Pharmaceuticals, Inc. (a)		6,671		22,748
PolarityTE, Inc. (a) (b)		2,133		6,890
Precision BioSciences, Inc. (a)		1,389		11,654
Prevail Therapeutics, Inc. (a)		1,091		13,397
Prothena Corp. PLC (a)		5,962		46,742
PTC Therapeutics, Inc. (a)		8,499		287,436
Puma Biotechnology, Inc. (a)		4,566		49,153
Radius Health, Inc. (a)		6,709		172,757
REGENXBIO, Inc. (a)		4,973		177,039
Replimune Group, Inc. (a)		1,645		22,866
resTORbio, Inc. (a) (b)		2,272		20,084
Retrophin, Inc. (a)		6,197		71,823
Rigel Pharmaceuticals, Inc. (a)		25,038		46,821
Rocket Pharmaceuticals, Inc. (a) (b)		4,404		51,307
Rubius Therapeutics, Inc. (a) (b)		5,167		40,561
Sangamo Therapeutics, Inc. (a)		16,940		153,307
Savara, Inc. (a)		5,071		13,438
Scholar Rock Holding Corp. (a)		2,592		23,198
Solid Biosciences, Inc. (a) (b)		2,906		30,048
Sorrento Therapeutics, Inc. (a) (b)		18,505		39,601
Spark Therapeutics, Inc. (a)		5,098		494,404
Stemline Therapeutics, Inc. (a)		6,632		69,039
Stoke Therapeutics, Inc. (a)		1,353		29,076
Strongbridge Biopharma PLC (a)		5,499		13,143
Syndax Pharmaceuticals, Inc. (a)		3,053		22,806
Synlogic, Inc. (a)		2,381		5,452

	Number of Shares		Value
Synthorx, Inc. (a)		1,412	$	22,973
TCR2 Therapeutics, Inc. (a) (b)		1,731		26,017
Theravance Biopharma, Inc. (a) (b)		6,590		128,373
Tocagen, Inc. (a)		3,129		2,073
Translate Bio, Inc. (a)		4,361		43,218
TransMedics Group, Inc. (a) (b)		1,003		23,821
Twist Bioscience Corp. (a)		3,216		76,798
Tyme Technologies, Inc. (a) (b)		8,972		10,677
Ultragenyx Pharmaceutical, Inc. (a)		8,104		346,689
UNITY Biotechnology, Inc. (a) (b)		4,053		24,723
VBI Vaccines, Inc. (a)		12,751		6,008
Veracyte, Inc. (a)		6,992		167,808
Vericel Corp. (a)		6,477		98,062
Viking Therapeutics, Inc. (a) (b)		9,693		66,688
WaVe Life Sciences Ltd. (a) (b)		3,345		68,673
X4 Pharmaceuticals, Inc. (a)		1,754		22,293
XBiotech, Inc. (a) (b)		2,804		29,330
Y-mAbs Therapeutics, Inc. (a)		3,039		79,196
ZIOPHARM Oncology, Inc. (a) (b)		23,675		101,329
				15,318,103
Commercial Services — 5.1%
Aaron’s, Inc.		10,022		644,014
ABM Industries, Inc.		9,892		359,277
Acacia Research Corp. (a)		6,892		18,471
Adtalem Global Education, Inc. (a)		8,388		319,499
American Public Education, Inc. (a)		2,345		52,387
AMN Healthcare Services, Inc. (a)		6,836		393,480
Arlo Technologies, Inc. (a)		10,972		37,415
ASGN, Inc. (a)		7,581		476,542
Avis Budget Group, Inc. (a)		8,748		247,219
Barrett Business Services, Inc.		1,055		93,705
BG Staffing, Inc.		1,511		28,875
BrightView Holdings, Inc. (a)		4,675		80,176
The Brink’s Co.		7,401		613,913
CAI International, Inc. (a)		2,413		52,531
Cardtronics PLC Class A (a)		5,535		167,378
Care.com, Inc. (a)		3,277		34,245
Career Education Corp. (a)		10,178		161,728
Carriage Services, Inc.		2,425		49,567
Cass Information Systems, Inc.		2,068		111,651
CBIZ, Inc. (a)		7,566		177,801
Chegg, Inc. (a)		17,201		515,170
Cimpress NV (a)		3,216		423,997
Collectors Universe, Inc.		1,218		34,689
Corvel Corp. (a)		1,333		100,908
CRA International, Inc.		1,127		47,300
Cross Country Healthcare, Inc. (a)		5,330		54,899
Emerald Expositions Events, Inc.		3,692		35,923
Ennis, Inc.		3,730		75,383
EVERTEC, Inc.		9,018		281,542
Evo Payments, Inc. Class A (a)		5,254		147,743
Forrester Research, Inc.		1,585		50,942
Franklin Covey Co. (a)		1,436		50,260

The accompanying notes are an integral part of the financial statements.

164

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
FTI Consulting, Inc. (a)		5,525	$	585,595
GP Strategies Corp. (a)		1,843		23,664
Green Dot Corp. Class A (a)		7,173		181,118
The Hackett Group, Inc.		3,649		60,063
Harsco Corp. (a)		11,751		222,799
Healthcare Services Group, Inc. (b)		11,056		268,550
HealthEquity, Inc. (a)		10,270		586,879
Heidrick & Struggles International, Inc.		2,811		76,740
Herc Holdings, Inc. (a)		3,559		165,529
Hertz Global Holdings, Inc. (a)		14,994		207,517
HMS Holdings Corp. (a)		12,875		443,737
Huron Consulting Group, Inc. (a)		3,311		203,097
I3 Verticals, Inc. Class A (a)		2,141		43,077
ICF International, Inc.		2,683		226,633
Information Services Group, Inc. (a)		4,938		12,271
Insperity, Inc.		5,749		566,966
International Money Express, Inc. (a)		1,966		27,013
K12, Inc. (a)		5,677		149,873
Kelly Services, Inc. Class A		4,895		118,557
Kforce, Inc.		3,200		121,072
Korn Ferry		8,392		324,267
Laureate Education, Inc. Class A (a)		15,537		257,526
Liveramp Holdings, Inc. (a)		9,937		426,894
LSC Communications, Inc.		4,851		6,694
Medifast, Inc.		1,675		173,580
Monro, Inc.		4,845		382,803
National Research Corp. Class A		1,773		102,391
Navigant Consulting, Inc.		5,652		157,973
PRGX Global, Inc. (a)		3,052		15,718
Priority Technology Holdings, Inc. (a)		994		4,791
Quad/Graphics, Inc.		4,811		50,564
R1 RCM, Inc. (a)		15,386		137,397
Rent-A-Center, Inc.		7,196		185,585
Resources Connection, Inc.		4,577		77,763
Rosetta Stone, Inc. (a)		3,061		53,261
RR Donnelley & Sons Co.		10,478		39,502
Seacor Marine Holdings Inc. (a)		2,925		36,767
ShotSpotter, Inc. (a) (b)		1,219		28,074
Sotheby’s (a)		4,711		268,433
SP Plus Corp. (a)		3,360		124,320
Strategic Education, Inc.		3,163		429,788
Team, Inc. (a)		4,457		80,449
Textainer Group Holdings Ltd. (a)		4,092		40,552
TriNet Group, Inc. (a)		6,637		412,755
TrueBlue, Inc. (a)		5,897		124,427
Vectrus, Inc. (a)		1,688		68,617
Viad Corp.		2,963		198,965
Willdan Group, Inc. (a)		1,486		52,129
WW International, Inc. (a)		6,953		262,963
				14,754,328

	Number of Shares		Value
Cosmetics & Personal Care — 0.2%
Edgewell Personal Care Co. (a)		8,035	$	261,057
elf Beauty, Inc. (a)		3,928		68,779
Inter Parfums, Inc.		2,595		181,572
Revlon, Inc. Class A (a) (b)		1,047		24,594
				536,002
Foods — 1.4%
B&G Foods, Inc. (b)		9,546		180,515
Bridgford Foods Corp. (a)		263		7,935
Cal-Maine Foods, Inc.		4,648		185,711
Calavo Growers, Inc. (b)		2,413		229,669
The Chefs’ Warehouse, Inc. (a)		3,622		146,039
Dean Foods Co. (b)		11,490		13,328
Fresh Del Monte Produce, Inc.		4,583		156,326
HF Foods Group, Inc. (a)		1,143		19,488
Hostess Brands, Inc. (a)		17,725		247,884
Ingles Markets, Inc. Class A		2,082		80,906
J&J Snack Foods Corp.		2,244		430,848
John B Sanfilippo & Son, Inc.		1,272		122,875
Lancaster Colony Corp.		2,804		388,775
Landec Corp. (a)		3,627		39,425
Nathan’s Famous, Inc.		425		30,536
Performance Food Group Co. (a)		15,274		702,757
Sanderson Farms, Inc.		2,951		446,575
Seneca Foods Corp. Class A (a)		1,009		31,461
The Simply Good Foods Co. (a)		10,543		305,642
SpartanNash Co.		5,357		63,373
Tootsie Roll Industries, Inc. (b)		2,457		91,253
United Natural Foods, Inc. (a)		7,805		89,914
Village Super Market, Inc. Class A		1,229		32,507
Weis Markets, Inc.		1,429		54,502
				4,098,244
Health Care – Products — 4.3%
Accelerate Diagnostics, Inc. (a) (b)		4,071		75,598
Accuray, Inc. (a)		13,073		36,212
Alphatec Holdings, Inc. (a)		5,640		28,313
AngioDynamics, Inc. (a)		5,381		99,118
Apyx Medical Corp. (a)		5,062		34,270
AtriCure, Inc. (a)		5,459		136,147
Atrion Corp.		211		164,405
Avanos Medical, Inc. (a)		7,036		263,569
Avedro, Inc. (a)		1,148		26,060
AxoGen, Inc. (a)		5,078		63,373
Axonics Modulation Technologies, Inc. (a) (b)		2,260		60,839
BioLife Solutions, Inc. (a) (b)		1,015		16,874
BioSig Technologies, Inc. (a) (b)		2,381		19,643
BioTelemetry, Inc. (a)		4,901		199,618
Cardiovascular Systems, Inc. (a)		5,043		239,643
CareDx, Inc. (a)		6,067		137,175
Celcuity, Inc. (a)		914		15,520
Cerus Corp. (a)		20,495		105,652

The accompanying notes are an integral part of the financial statements.

165

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
ConforMIS, Inc. (a) (b)		9,706	$	18,053
CONMED Corp.		4,044		388,831
Corindus Vascular Robotics, Inc. (a)		13,714		58,696
CryoLife, Inc. (a)		5,427		147,343
Cutera, Inc. (a)		2,060		60,214
CytoSorbents Corp. (a) (b)		4,348		21,870
GenMark Diagnostics, Inc. (a)		8,103		49,104
Genomic Health, Inc. (a)		4,005		271,619
Glaukos Corp. (a)		5,345		334,116
Globus Medical, Inc. Class A (a)		11,271		576,174
Haemonetics Corp. (a)		7,593		957,781
Hanger, Inc. (a)		5,337		108,768
Inogen, Inc. (a)		2,718		130,219
Inspire Medical Systems, Inc. (a)		1,968		120,087
Integer Holdings Corp. (a)		4,825		364,577
Intersect ENT, Inc. (a)		4,599		78,229
Invacare Corp.		4,973		37,297
iRadimed Corp. (a) (b)		671		14,104
iRhythm Technologies, Inc. (a)		3,677		272,502
Lantheus Holdings, Inc. (a)		5,660		141,868
LeMaitre Vascular, Inc.		2,421		82,750
LivaNova PLC (a)		7,197		531,067
Luminex Corp.		6,220		128,443
Meridian Bioscience, Inc.		6,286		59,654
Merit Medical Systems, Inc. (a)		7,911		240,969
Misonix, Inc. (a)		1,117		22,452
NanoString Technologies, Inc. (a)		4,968		107,259
Natus Medical, Inc. (a)		4,974		158,372
Nevro Corp. (a)		4,433		381,105
Novocure Ltd. (a)		12,879		963,092
NuVasive, Inc. (a)		7,699		487,963
OPKO Health, Inc. (a) (b)		52,806		110,365
OraSure Technologies, Inc. (a)		9,159		68,418
Orthofix Medical, Inc. (a)		2,668		141,457
OrthoPediatrics Corp. (a)		1,333		47,002
Patterson Cos., Inc.		12,350		220,077
Pulse Biosciences, Inc. (a)		1,714		26,464
Quanterix Corp. (a)		1,918		42,119
Quidel Corp. (a)		5,257		322,517
Repligen Corp. (a)		7,671		588,289
Rockwell Medical, Inc. (a) (b)		9,121		25,174
RTI Surgical Holdings, Inc. (a)		8,629		24,593
SeaSpine Holdings Corp. (a)		2,409		29,414
Shockwave Medical, Inc. (a) (b)		1,005		30,080
Sientra, Inc. (a)		5,690		36,871
Silk Road Medical, Inc. (a)		1,727		56,179
Soliton, Inc. (a) (b)		779		8,328
STAAR Surgical Co. (a)		6,559		169,091
Surmodics, Inc. (a)		1,952		89,284
Tactile Systems Technology, Inc. (a)		2,678		113,333
Tandem Diabetes Care, Inc. (a)		8,310		490,124
TransEnterix, Inc. (a)		27,972		17,337
Utah Medical Products, Inc.		518		49,645

	Number of Shares		Value
Varex Imaging Corp. (a)		5,548	$	158,340
ViewRay, Inc. (a)		10,550		30,595
Wright Medical Group NV (a)		18,722		386,235
Zynex, Inc. (b)		2,365		22,491
				12,340,429
Health Care – Services — 2.0%
Addus HomeCare Corp. (a)		1,558		123,518
Amedisys, Inc. (a)		4,653		609,590
American Renal Associates Holdings, Inc. (a)		2,789		17,626
Apollo Medical Holdings, Inc. (a) (b)		4,054		71,432
Avalon GloboCare Corp. (a)		3,297		6,165
Brookdale Senior Living, Inc. (a)		27,228		206,388
Castle Biosciences, Inc. (a)		545		9,859
Catasys, Inc. (a) (b)		1,073		16,910
Cellular Biomedicine Group, Inc. (a) (b)		1,837		27,298
Community Health Systems, Inc. (a) (b)		12,813		46,127
The Ensign Group, Inc.		7,512		356,294
Genesis Healthcare, Inc. (a)		12,374		13,735
Invitae Corp. (a)		12,882		248,236
The Joint Corp. (a)		1,984		36,922
LHC Group, Inc. (a)		4,466		507,159
Magellan Health, Inc. (a)		3,255		202,136
Medpace Holdings, Inc. (a)		4,105		344,984
Natera, Inc. (a)		8,316		272,765
National HealthCare Corp.		1,800		147,330
Neuronetics, Inc. (a)		1,937		16,096
Personalis, Inc. (a)		1,311		19,239
The Providence Service Corp. (a)		1,718		102,152
RadNet, Inc. (a)		6,299		90,454
Select Medical Holdings Corp. (a)		16,353		270,969
SI-BONE, Inc. (a)		2,386		42,161
Surgery Partners, Inc. (a) (b)		3,650		26,955
Syneos Health, Inc. (a)		9,238		491,554
Teladoc Health, Inc. (a) (b)		10,591		717,223
Tenet Healthcare Corp. (a)		15,264		337,640
Tivity Health, Inc. (a)		7,002		116,443
Triple-S Management Corp. Class B (a)		3,427		45,922
U.S. Physical Therapy, Inc.		1,870		244,129
Vapotherm, Inc. (a)		2,155		20,408
				5,805,819
Household Products & Wares — 0.5%
Acco Brands Corp.		14,258		140,727
Central Garden & Pet Co. (a)		1,588		46,417
Central Garden & Pet Co. Class A (a)		6,253		173,364
Helen of Troy Ltd. (a)		3,722		586,811
Quanex Building Products Corp.		4,930		89,134
WD-40 Co.		2,040		374,422
				1,410,875

The accompanying notes are an integral part of the financial statements.

166

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Pharmaceuticals — 3.1%
AcelRx Pharmaceuticals, Inc. (a) (b)		11,907	$	26,195
Aclaris Therapeutics, Inc. (a) (b)		4,681		5,055
Adamas Pharmaceuticals, Inc. (a) (b)		3,240		16,573
Aeglea BioTherapeutics, Inc. (a)		3,971		30,537
Aerie Pharmaceuticals, Inc. (a)		6,281		120,721
Aimmune Therapeutics, Inc. (a) (b)		6,581		137,806
Akcea Therapeutics, Inc. (a)		1,798		27,671
Akebia Therapeutics, Inc. (a) (b)		17,640		69,149
Akorn, Inc. (a)		13,658		51,900
Alector, Inc. (a)		4,482		64,630
Amneal Pharmaceuticals, Inc. (a)		13,621		39,501
Amphastar Pharmaceuticals, Inc. (a)		5,284		104,782
Anika Therapeutics, Inc. (a)		1,985		108,957
Antares Pharma, Inc. (a)		24,174		80,862
Arvinas Holding Co. LLC (a)		2,714		58,487
Assertio Therapeutics, Inc. (a)		9,803		12,548
Athenex, Inc. (a)		10,112		123,012
Axcella Health, Inc. (a)		246		1,392
Axsome Therapeutics, Inc. (a) (b)		3,729		75,475
Beyondspring, Inc. (a)		1,771		32,055
BioDelivery Sciences International, Inc. (a)		12,335		51,930
BioSpecifics Technologies Corp. (a)		911		48,757
Bioxcel Therapeutics, Inc. (a)		916		6,449
Catalyst Pharmaceuticals, Inc. (a)		14,306		75,965
cbdMD, Inc. (a) (b)		1,432		5,671
Checkpoint Therapeutics, Inc. (a)		3,501		8,717
Chiasma, Inc. (a)		5,059		25,042
Chimerix, Inc. (a)		7,487		17,594
Clovis Oncology, Inc. (a) (b)		7,454		29,294
Coherus Biosciences, Inc. (a)		9,128		184,933
Collegium Pharmaceutical, Inc. (a)		4,778		54,851
Concert Pharmaceuticals, Inc. (a)		3,170		18,640
Corbus Pharmaceuticals Holdings, Inc. (a) (b)		8,662		42,184
Corcept Therapeutics, Inc. (a)		14,125		199,657
CorMedix, Inc. (a) (b)		3,581		22,847
Cyclerion Therapeutics, Inc. (a)		3,441		41,705
Cytokinetics, Inc. (a)		8,244		93,817
Dermira, Inc. (a) (b)		6,981		44,609
Diplomat Pharmacy, Inc. (a)		8,619		42,233
Dova Pharmaceuticals, Inc. (a) (b)		1,240		34,658
Eagle Pharmaceuticals, Inc. (a)		1,357		76,765
Eloxx Pharmaceuticals, Inc. (a) (b)		3,812		17,230
Enanta Pharmaceuticals, Inc. (a)		2,557		153,625
Endo International PLC (a)		33,159		106,440
Evofem Biosciences, Inc. (a)		2,147		10,821
Flexion Therapeutics, Inc. (a) (b)		4,984		68,306
Fulcrum Therapeutics, Inc. (a)		656		4,356
G1 Therapeutics, Inc. (a)		4,991		113,695
Galectin Therapeutics, Inc. (a) (b)		5,899		21,649
Global Blood Therapeutics, Inc. (a)		8,587		416,641

	Number of Shares		Value
Gritstone Oncology, Inc. (a) (b)		3,786	$	32,692
Harpoon Therapeutics, Inc. (a) (b)		1,064		14,534
Heron Therapeutics, Inc. (a)		10,967		202,889
Heska Corp. (a)		1,040		73,705
Hookipa Pharma, Inc. (a)		314		2,355
Intellia Therapeutics, Inc. (a) (b)		5,713		76,269
Intra-Cellular Therapies, Inc. (a)		6,632		49,541
Ironwood Pharmaceuticals, Inc. (a)		22,862		196,270
Jounce Therapeutics, Inc. (a)		2,327		7,749
Kadmon Holdings, Inc. (a) (b)		19,309		48,659
Kala Pharmaceuticals, Inc. (a) (b)		3,313		12,606
KalVista Pharmaceuticals, Inc. (a)		1,773		20,567
Kodiak Sciences, Inc. (a)		3,462		49,784
Kura Oncology, Inc. (a)		5,074		76,973
La Jolla Pharmaceutical Co. (a) (b)		3,097		27,254
Lannett Co., Inc. (a) (b)		4,714		52,797
Lifevantage Corp. (a)		1,971		27,003
LogicBio Therapeutics, Inc. (a) (b)		1,194		12,907
Madrigal Pharmaceuticals, Inc. (a)		1,150		99,153
Mallinckrodt PLC (a) (b)		12,837		30,937
MannKind Corp. (a) (b)		27,001		33,751
Marinus Pharmaceuticals, Inc. (a) (b)		7,729		11,903
MediciNova, Inc. (a) (b)		6,147		48,899
Millendo Therapeutics, Inc. (a)		1,427		10,146
Minerva Neurosciences, Inc. (a)		4,282		33,185
Mirum Pharmaceuticals, Inc. (a)		388		3,903
Momenta Pharmaceuticals, Inc. (a)		14,663		190,032
Morphic Holding, Inc. (a) (b)		727		13,166
MyoKardia, Inc. (a)		6,590		343,668
Natural Grocers by Vitamin Cottage, Inc. (a)		1,295		12,937
Nature’s Sunshine Products, Inc. (a)		1,372		11,374
Neogen Corp. (a)		7,599		517,568
Ocular Therapeutix, Inc. (a) (b)		6,150		18,696
Odonate Therapeutics, Inc. (a) (b)		1,733		45,110
Optinose, Inc. (a) (b)		3,786		26,502
Option Care Health, Inc. (a)		18,441		59,011
Owens & Minor, Inc.		8,999		52,284
Pacira BioSciences, Inc. (a)		6,036		229,791
Paratek Pharmaceuticals, Inc. (a) (b)		4,705		20,326
PhaseBio Pharmaceuticals, Inc. (a)		2,084		8,690
Portola Pharmaceuticals, Inc. (a) (b)		11,074		297,005
Prestige Consumer Healthcare, Inc. (a)		7,468		259,065
Principia Biopharma, Inc. (a)		2,009		56,734
Progenics Pharmaceuticals, Inc. (a)		12,852		64,967
Protagonist Therapeutics, Inc. (a)		2,518		30,241
Ra Pharmaceuticals, Inc. (a)		5,156		121,939
Reata Pharmaceuticals, Inc. Class A (a)		2,987		239,826
Recro Pharma, Inc. (a)		2,935		32,520
Revance Therapeutics, Inc. (a)		6,551		85,163
Rhythm Pharmaceuticals, Inc. (a)		3,439		74,248
Senseonics Holdings, Inc. (a) (b)		18,105		17,897
Seres Therapeutics, Inc. (a) (b)		5,377		21,562

The accompanying notes are an integral part of the financial statements.

167

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
SIGA Technologies, Inc. (a)		8,022	$	41,073
Spectrum Pharmaceuticals, Inc. (a)		16,617		137,838
Spero Therapeutics, Inc. (a)		1,555		16,483
Supernus Pharmaceuticals, Inc. (a)		7,275		199,917
Sutro Biopharma, Inc. (a)		1,650		14,999
Syros Pharmaceuticals, Inc. (a)		5,171		53,675
TG Therapeutics, Inc. (a) (b)		12,130		68,110
TherapeuticsMD, Inc. (a) (b)		29,403		106,733
Tricida, Inc. (a)		3,214		99,216
Turning Point Therapeutics I (a) (b)		997		37,487
UroGen Pharma Ltd. (a) (b)		2,755		65,652
USANA Health Sciences, Inc. (a)		1,909		130,557
Vanda Pharmaceuticals, Inc. (a)		7,673		101,897
Verrica Pharmaceuticals, Inc. (a)		1,958		28,900
Voyager Therapeutics, Inc. (a)		3,613		62,180
Xencor, Inc. (a)		7,036		237,324
Xeris Pharmaceuticals, Inc. (a)		3,990		39,222
Zogenix, Inc. (a) (b)		6,340		253,854
Zynerba Pharmaceuticals, Inc. (a) (b)		3,386		25,598
				9,053,857
				65,561,300
Diversified — 0.0%
Holding Company – Diversified — 0.0%
GTY Technology Holdings, Inc. (a) (b)		5,841		36,623
Energy — 3.5%
Coal — 0.2%
Advanced Emissions Solutions, Inc. (b)		2,367		35,126
Arch Coal, Inc. Class A (b)		2,416		179,267
CONSOL Energy, Inc. (a)		4,008		62,645
Hallador Energy Co.		3,076		11,135
NACCO Industries, Inc. Class A		556		35,534
Peabody Energy Corp.		10,153		149,452
Ramaco Resources, Inc. (a)		1,416		5,289
SunCoke Energy, Inc. (a)		11,344		63,980
Warrior Met Coal, Inc.		7,628		148,899
				691,327
Energy – Alternate Sources — 0.6%
Clean Energy Fuels Corp. (a)		19,941		41,178
Enphase Energy, Inc. (a)		13,640		303,217
FutureFuel Corp.		3,848		45,945
Green Plains, Inc.		5,375		56,948
Pattern Energy Group, Inc. Class A		13,111		353,079
Plug Power, Inc. (a) (b)		34,949		91,916
Renewable Energy Group, Inc. (a)		5,479		82,212
REX American Resources Corp. (a)		832		63,507
Sunnova Energy International, Inc. (a) (b)		1,992		21,414
SunPower Corp. (a) (b)		9,288		101,889
Sunrun, Inc. (a)		16,748		279,775

	Number of Shares		Value
TerraForm Power, Inc. Class A		10,789	$	196,630
TPI Composites, Inc. (a)		4,318		80,963
Vivint Solar, Inc. (a) (b)		6,518		42,628
				1,761,301
Oil & Gas — 1.6%
Abraxas Petroleum Corp. (a)		23,953		12,156
Altus Midstream Co. Class A (a) (b)		7,653		21,658
Amplify Energy Corp.		1,789		11,038
Berry Petroleum Corp.		9,272		86,786
Bonanza Creek Energy, Inc. (a)		2,825		63,252
Brigham Minerals, Inc. Class A		2,382		47,402
California Resources Corp. (a) (b)		7,102		72,440
Callon Petroleum Co. (a) (b)		34,044		147,751
Carrizo Oil & Gas, Inc. (a) (b)		13,134		112,755
Chaparral Energy, Inc. Class A (a) (b)		4,716		6,319
CNX Resources Corp. (a)		27,629		200,587
Comstock Resources, Inc. (a) (b)		2,279		17,753
CVR Energy, Inc.		4,374		192,587
Delek US Holdings, Inc.		11,133		404,128
Denbury Resources, Inc. (a) (b)		69,318		82,488
Diamond Offshore Drilling, Inc. (a) (b)		9,646		53,632
Earthstone Energy, Inc. Class A (a)		2,818		9,159
Evolution Petroleum Corp.		4,128		24,108
Extraction Oil & Gas, Inc. (a) (b)		12,518		36,803
Falcon Minerals Corp. (b)		5,557		31,953
Goodrich Petroleum Corp. (a)		1,370		14,563
Gulfport Energy Corp. (a)		23,872		64,693
HighPoint Resources Corp. (a)		16,168		25,707
Isramco, Inc. (a)		117		14,355
Jagged Peak Energy, Inc. (a) (b)		9,767		70,908
Laredo Petroleum, Inc. (a)		26,913		64,860
Magnolia Oil & Gas Corp. Class A (a)		14,950		165,945
Mammoth Energy Services, Inc.		1,855		4,600
Matador Resources Co. (a)		16,409		271,241
Montage Resources Corp. (a) (b)		3,248		12,277
Murphy USA, Inc. (a)		4,526		386,068
Nabors Industries Ltd.		51,916		97,083
Noble Corp. PLC (a)		36,856		46,807
Northern Oil and Gas, Inc. (a) (b)		43,103		84,482
Oasis Petroleum, Inc. (a)		47,225		163,399
Pacific Drilling SA (a)		4,536		17,736
Panhandle Oil & Gas, Inc. Class A		2,306		32,238
Par Pacific Holdings, Inc. (a)		5,245		119,901
Parker Drilling Co. (a)		1,416		26,791
PDC Energy, Inc. (a)		9,302		258,130
Penn Virginia Corp. (a)		2,013		58,518
PrimeEnergy Corp. (a)		79		9,085
QEP Resources, Inc.		35,597		131,709
Ring Energy, Inc. (a)		9,144		14,996
Roan Resources, Inc. (a) (b)		5,414		6,659
Rosehill Resources, Inc. (a)		1,588		3,097
SandRidge Energy, Inc. (a)		4,500		21,150
Seadrill Ltd. (a) (b)		8,905		18,701

The accompanying notes are an integral part of the financial statements.

168

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
SilverBow Resources, Inc. (a)		1,011	$	9,797
SM Energy Co.		16,695		161,775
Southwestern Energy Co. (a)		80,899		156,135
SRC Energy, Inc. (a)		35,758		166,632
Talos Energy, Inc. (a)		3,006		61,112
Tellurian, Inc. (a) (b)		13,918		115,728
Trecora Resources (a)		3,148		28,395
Unit Corp. (a)		8,064		27,256
W&T Offshore, Inc. (a)		13,997		61,167
Whiting Petroleum Corp. (a) (b)		13,545		108,766
				4,737,217
Oil & Gas Services — 1.0%
Archrock, Inc.		19,064		190,068
C&J Energy Services, Inc. (a)		9,652		103,566
DMC Global, Inc.		2,093		92,050
Dril-Quip, Inc. (a)		5,351		268,513
Era Group, Inc. (a)		2,846		30,054
Exterran Corp. (a)		4,525		59,097
Flotek Industries, Inc. (a)		7,787		17,131
Forum Energy Technologies, Inc. (a)		12,590		19,515
Frank’s International NV (a)		15,902		75,535
FTS International, Inc. (a)		4,902		10,980
Geospace Technologies Corp. (a)		2,009		30,878
Helix Energy Solutions Group, Inc. (a)		21,125		170,268
Independence Contract Drilling, Inc. (a)		7,216		8,659
Keane Group, Inc. (a)		7,756		47,001
KLX Energy Services Holdings, Inc. (a)		3,163		27,344
Liberty Oilfield Services, Inc. Class A (b)		7,884		85,384
Matrix Service Co. (a)		3,901		66,863
McDermott International, Inc. (a) (b)		26,778		54,092
MRC Global, Inc. (a)		11,854		143,789
National Energy Services Reunited Corp. (a) (b)		3,602		24,061
Natural Gas Services Group, Inc. (a)		1,909		24,454
NCS Multistage Holdings, Inc. (a)		1,963		3,926
Newpark Resources, Inc. (a)		13,184		100,462
Nine Energy Service, Inc. (a)		2,415		14,901
NOW, Inc. (a)		15,987		183,371
Oceaneering International, Inc. (a)		14,637		198,331
Oil States International, Inc. (a)		8,894		118,290
ProPetro Holding Corp. (a)		11,921		108,362
RPC, Inc. (b)		8,487		47,612
Select Energy Services, Inc. Class A (a)		8,663		75,022
Smart Sand, Inc. (a)		3,094		8,756
Solaris Oilfield Infrastructure, Inc. Class A (b)		4,604		61,786
TETRA Technologies, Inc. (a)		17,966		36,112
Thermon Group Holdings, Inc. (a)		4,794		110,166

	Number of Shares		Value
US Silica Holdings, Inc. (b)		10,861	$	103,831
US Well Services, Inc. (a)		3,044		6,666
				2,726,896
Pipelines — 0.1%
NextDecade Corp. (a) (b)		1,732		9,976
SemGroup Corp. Class A		11,762		192,191
				202,167
				10,118,908
Financial — 26.0%
Banks — 9.7%
The The Bank of Princeton		814		23,655
1st Constitution Bancorp		1,081		20,269
1st Source Corp.		2,109		96,445
ACNB Corp.		1,013		34,746
Allegiance Bancshares, Inc. (a)		2,863		91,874
Amalgamated Bank Class A		2,103		33,690
Amerant Bancorp, Inc. (a) (b)		2,867		60,121
American National Bankshares, Inc.		1,585		56,220
Ameris Bancorp		9,066		364,816
Ames National Corp.		1,347		38,538
Arrow Financial Corp.		1,901		63,462
Atlantic Capital Bancshares, Inc. (a)		3,290		57,049
Atlantic Union Bankshares Corp.		12,058		449,100
BancFirst Corp.		2,739		151,795
The Bancorp, Inc. (a)		7,497		74,220
BancorpSouth Bank		14,154		419,100
Bank First Corp. (b)		856		56,650
Bank of Commerce Holdings		2,635		28,695
Bank of Marin Bancorp		1,999		82,939
The Bank of NT Butterfield & Son Ltd.		8,142		241,329
Bank7 Corp.		519		9,757
Bankwell Financial Group, Inc.		1,010		27,775
Banner Corp.		5,045		283,378
Bar Harbor Bankshares		2,259		56,317
Baycom Corp. (a)		1,633		37,085
BCB Bancorp, Inc.		2,007		25,770
Bridge Bancorp, Inc.		2,396		70,826
Bridgewater Bancshares, Inc. (a)		3,247		38,769
Bryn Mawr Bank Corp.		2,921		106,646
Business First Bancshares, Inc.		1,849		45,116
Byline Bancorp, Inc. (a)		3,469		62,026
C&F Financial Corp.		489		25,751
Cadence BanCorp		18,668		327,437
Cambridge Bancorp		637		47,781
Camden National Corp.		2,282		98,856
Capital Bancorp, Inc. /MD (a)		1,205		16,412
Capital City Bank Group, Inc.		1,996		54,790
Capstar Financial Holdings, Inc.		2,221		36,824
Carolina Financial Corp.		3,109		110,494
Carter Bank & Trust (a)		3,381		63,867
Cathay General Bancorp		11,347		394,138

The accompanying notes are an integral part of the financial statements.

169

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
CenterState Bank Corp.		18,459	$	442,739
Central Pacific Financial Corp.		4,153		117,945
Central Valley Community Bancorp		1,741		35,429
Century Bancorp, Inc. Class A		412		36,091
Chemung Financial Corp.		540		22,680
Citizens & Northern Corp.		1,792		47,094
City Holding Co.		2,367		180,484
Civista Bancshares, Inc.		2,276		49,457
CNB Financial Corp.		2,154		61,820
Coastal Financial Corp. (a)		1,123		16,969
Codorus Valley Bancorp, Inc.		1,345		31,285
Colony Bankcorp, Inc.		1,129		17,330
Columbia Banking System, Inc.		10,909		402,542
Community Bank System, Inc.		7,554		466,006
The Community Financial Corp.		742		24,835
Community Trust Bancorp, Inc.		2,314		98,530
ConnectOne Bancorp, Inc.		4,878		108,292
CrossFirst Bankshares, Inc. (a)		994		14,219
Customers Bancorp, Inc. (a)		4,156		86,195
CVB Financial Corp.		19,839		414,040
DNB Financial Corp.		528		23,501
Eagle Bancorp, Inc.		4,975		221,984
Enterprise Bancorp, Inc.		1,300		38,974
Enterprise Financial Services Corp.		3,629		147,882
Equity Bancshares, Inc. Class A (a)		2,176		58,339
Esquire Financial Holdings, Inc. (a)		968		24,006
Evans Bancorp, Inc.		689		25,769
Farmers & Merchants Bancorp, Inc. /Archbold OH		1,457		37,824
Farmers National Banc Corp.		3,795		54,952
FB Financial Corp.		2,496		93,725
Fidelity D&D Bancorp, Inc. (b)		396		24,651
Financial Institutions, Inc.		2,313		69,806
First BanCorp		31,953		318,891
First Bancorp		4,320		155,088
First Bancorp, Inc.		1,535		42,197
The First Bancshares, Inc.		2,482		80,169
First Bank/Hamilton NJ		2,518		27,270
First Busey Corp.		7,722		195,212
First Business Financial Services, Inc.		1,227		29,546
First Choice Bancorp		1,530		32,620
First Commonwealth Financial Corp.		14,428		191,604
First Community Bancshares, Inc.		2,283		73,901
First Financial Bancorp		14,480		354,398
First Financial Bankshares, Inc.		19,305		643,436
First Financial Corp.		1,947		84,636
First Foundation, Inc.		5,714		87,281
First Guaranty Bancshares, Inc.		731		16,184
First Internet Bancorp		1,451		31,066
First Interstate BancSystem, Inc. Class A		5,633		226,672
First Merchants Corp.		8,114		305,370
First Mid Bancshares, Inc.		2,172		75,195
First Midwest Bancorp, Inc.		15,773		307,258

	Number of Shares		Value
First Northwest Bancorp		1,354	$	23,451
The First of Long Island Corp.		3,582		81,490
Flagstar Bancorp, Inc.		4,207		157,131
FNCB Bancorp, Inc.		2,599		20,298
Franklin Financial Network, Inc.		1,953		59,000
Franklin Financial Services Corp.		637		22,645
Fulton Financial Corp.		24,162		390,941
FVCBankcorp, Inc. (a) (b)		1,739		30,537
German American Bancorp Inc.		3,641		116,694
Glacier Bancorp, Inc.		12,897		521,813
Great Southern Bancorp, Inc.		1,625		92,544
Great Western Bancorp, Inc.		8,462		279,246
Guaranty Bancshares, Inc.		1,184		36,219
Hancock Whitney Corp.		13,404		513,315
Hanmi Financial Corp.		4,509		84,679
Harborone Bancorp, Inc. (a)		3,940		39,656
Hawthorn Bancshares, Inc.		860		20,494
Heartland Financial USA, Inc.		5,161		230,903
Heritage Commerce Corp.		6,248		73,445
Heritage Financial Corp.		5,454		147,040
Hilltop Holdings, Inc.		10,628		253,903
Home BancShares, Inc.		23,033		432,905
HomeStreet, Inc. (a)		3,326		90,866
Hope Bancorp, Inc.		17,815		255,467
Horizon Bancorp, Inc.		5,562		96,556
Howard Bancorp, Inc. (a)		1,884		31,444
IBERIABANK Corp.		7,751		585,511
Independent Bank Corp.		4,928		367,875
Independent Bank Corp.		3,188		67,952
Independent Bank Group, Inc.		5,293		278,465
International Bancshares Corp.		8,218		317,379
Investar Holding Corp.		1,413		33,629
Kearny Financial Corp.		12,114		157,967
Lakeland Bancorp, Inc.		7,240		111,713
Lakeland Financial Corp.		3,666		161,231
LCNB Corp.		1,780		31,577
LegacyTexas Financial Group, Inc.		7,116		309,759
Level One Bancorp, Inc.		764		18,428
Live Oak Bancshares, Inc.		3,810		68,961
Luther Burbank Corp.		2,869		32,506
Macatawa Bank Corp.		3,879		40,303
Mackinac Financial Corp.		1,399		21,629
MainStreet Bancshares, Inc. (a)		1,078		22,692
Mercantile Bank Corp.		2,395		78,556
Merchants Bancorp		1,310		21,667
Meta Financial Group, Inc.		5,234		170,681
Metropolitan Bank Holding Corp. (a)		1,017		39,999
Mid Penn Bancorp, Inc.		1,046		26,809
Midland States Bancorp, Inc.		3,258		84,871
MidWestOne Financial Group, Inc.		1,761		53,746
MVB Financial Corp.		1,430		28,385
National Bank Holdings Corp. Class A		4,387		149,992
National Bankshares, Inc.		940		37,647

The accompanying notes are an integral part of the financial statements.

170

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
NBT Bancorp, Inc.		6,354	$	232,493
Nicolet Bankshares, Inc. (a)		1,225		81,548
Northeast Bank (a)		1,081		23,966
Northrim BanCorp, Inc.		954		37,845
Norwood Financial Corp.		883		27,912
Oak Valley Bancorp (b)		958		16,066
OFG Bancorp		7,541		165,148
Ohio Valley Banc Corp.		586		21,383
Old Line Bancshares, Inc.		2,268		65,795
Old National Bancorp		25,454		437,936
Old Second Bancorp, Inc.		4,338		53,010
OP Bancorp		1,973		19,296
Opus Bank		3,271		71,210
Origin Bancorp, Inc.		2,842		95,889
Orrstown Financial Services, Inc.		1,470		32,193
Pacific Mercantile Bancorp (a)		2,956		22,200
Park National Corp.		1,965		186,302
Parke Bancorp, Inc.		1,284		28,530
PCB Bancorp		1,880		30,926
PCSB Financial Corp.		2,401		47,996
Peapack Gladstone Financial Corp.		2,831		79,353
Penns Woods Bancorp, Inc.		699		32,329
People’s Utah Bancorp		2,337		66,114
Peoples Bancorp of North Carolina, Inc.		670		19,906
Peoples Bancorp, Inc.		2,690		85,569
Peoples Financial Services Corp.		1,031		46,694
Pioneer Bancorp, Inc. (a)		1,642		20,509
Ponce de Leon Federal Bank (a)		1,248		17,547
Preferred Bank		2,066		108,217
Premier Financial Bancorp, Inc.		1,873		32,159
Provident Bancorp, Inc. (a)		610		14,658
QCR Holdings, Inc.		2,208		83,860
RBB Bancorp		2,402		47,295
Red River Bancshares, Inc. (a)		101		4,380
Reliant Bancorp, Inc.		1,530		36,689
Renasant Corp.		8,423		294,889
Republic Bancorp, Inc. Class A		1,442		62,655
Republic First Bancorp, Inc. (a)		6,549		27,506
Richmond Mutual Bancorporation, Inc. (a)		1,957		27,378
S&T Bancorp, Inc.		4,977		181,810
Sandy Spring Bancorp, Inc.		5,189		174,921
SB One Bancorp		1,244		28,065
Seacoast Banking Corp. of Florida (a)		7,447		188,484
Select Bancorp, Inc. (a)		2,483		28,803
ServisFirst Bancshares, Inc.		7,062		234,105
Shore Bancshares, Inc.		1,877		28,925
Sierra Bancorp		2,119		56,281
Simmons First National Corp. Class A		13,487		335,826
SmartFinancial, Inc. (a)		1,841		38,348
South Plains Financial, Inc.		518		8,443
South State Corp.		5,028		378,608
Southern First Bancshares, Inc. (a)		1,037		41,324

	Number of Shares		Value
Southern National Bancorp of Virginia, Inc.		2,920	$	44,939
Southside Bancshares, Inc.		4,720		160,999
Spirit of Texas Bancshares, Inc. (a)		2,005		43,208
Sterling Bancorp, Inc.		2,375		23,180
Stock Yards Bancorp, Inc.		2,973		109,079
Summit Financial Group, Inc.		1,641		42,010
Tompkins Financial Corp.		2,149		174,348
Towne Bank		9,831		273,351
TriCo Bancshares		3,948		143,312
TriState Capital Holdings, Inc. (a)		3,641		76,607
Triumph Bancorp, Inc. (a)		3,570		113,847
TrustCo Bank Corp NY		14,113		115,021
Trustmark Corp.		9,513		324,488
UMB Financial Corp.		6,583		425,130
Union Bankshares, Inc.		590		18,620
United Bankshares, Inc.		14,497		549,001
United Community Banks, Inc.		11,640		329,994
United Security Bancshares/Fresno CA		2,065		21,724
Unity Bancorp, Inc.		1,170		25,915
Univest Corp. of Pennsylvania		4,233		107,984
Valley National Bancorp		48,197		523,901
Veritex Holdings, Inc.		7,679		186,331
Walker & Dunlop, Inc.		4,126		230,767
Washington Trust Bancorp, Inc.		2,251		108,746
WesBanco, Inc.		7,806		291,710
West Bancorporation, Inc.		2,384		51,828
Westamerica Bancorp.		3,847		239,206
Western New England Bancorp, Inc.		3,622		34,518
				27,899,587
Diversified Financial Services — 2.3%
Aircastle Ltd.		7,743		173,675
Altisource Portfolio Solutions SA (a) (b)		887		17,935
Ares Management Corp. Class A		9,930		266,223
Artisan Partners Asset Management, Inc. Class A		7,393		208,778
Assetmark Financial Holdings (a)		2,045		53,272
Associated Capital Group, Inc. Class A (b)		293		10,428
B. Riley Financial, Inc.		3,036		71,710
Blucora, Inc. (a)		7,097		153,579
Boston Private Financial Holdings, Inc.		12,236		142,611
Brightsphere Investment Grou (a)		10,335		102,420
CBTX, Inc.		2,639		73,575
Cohen & Steers, Inc.		3,368		185,004
Columbia Financial, Inc. (a)		7,777		122,799
Cowen, Inc. (a)		4,297		66,131
Curo Group Holdings Corp. (a)		2,506		33,280
Deluxe Corp.		6,374		313,346
Diamond Hill Investment Group, Inc.		471		65,059

The accompanying notes are an integral part of the financial statements.

171

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Elevate Credit, Inc. (a)		3,176	$	13,371
Encore Capital Group, Inc. (a) (b)		4,560		151,962
Enova International, Inc. (a)		4,860		100,845
Federal Agricultural Mortgage Corp. Class C		1,327		108,363
Federated Investors, Inc. Class B		14,303		463,560
Focus Financial Partners, Inc. Class A (a)		4,454		106,005
Gain Capital Holdings, Inc.		2,892		15,270
GAMCO Investors, Inc. Class A		830		16,227
Greenhill & Co., Inc.		2,365		31,029
Hamilton Lane, Inc. Class A		3,217		183,240
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		9,386		273,602
Houlihan Lokey, Inc.		6,120		276,012
INTL. FCStone, Inc. (a)		2,344		96,245
Ladenburg Thalmann Financial Services, Inc.		17,230		40,835
LendingClub Corp. (a)		9,781		127,935
Marlin Business Services Corp.		1,272		32,042
MMA Capital Holdings, Inc. (a)		744		22,320
Moelis & Co. Class A		7,067		232,151
Mr Cooper Group, Inc. (a)		11,219		119,146
Nelnet, Inc. Class A		2,642		168,031
Ocwen Financial Corp. (a)		20,444		38,435
On Deck Capital, Inc. (a)		10,102		33,943
Oppenheimer Holdings, Inc. Class A		1,389		41,753
Paysign, Inc. (a) (b)		4,483		45,278
PennyMac Financial Services, Inc. (a)		3,687		112,011
Piper Jaffray Cos.		2,035		153,602
PJT Partners, Inc. Class A		3,351		136,386
PRA Group, Inc. (a)		6,697		226,292
Pzena Investment Management, Inc. Class A		2,521		22,487
Regional Management Corp. (a)		1,319		37,143
Sculptor Capital Management, Inc.		2,501		48,719
Siebert Financial Corp. (a)		1,220		11,224
Silvercrest Asset Management Group, Inc. Class A		1,316		16,187
Stifel Financial Corp.		10,033		575,694
Virtus Investment Partners, Inc.		982		108,580
Waddell & Reed Financial, Inc. Class A (b)		10,699		183,809
Westwood Holdings Group, Inc.		1,213		33,564
WisdomTree Investments, Inc.		19,611		102,467
World Acceptance Corp. (a)		928		118,329
				6,683,919
Insurance — 3.1%
Ambac Financial Group, Inc. (a)		6,660		130,203
American Equity Investment Life Holding Co.		13,329		322,562
AMERISAFE, Inc.		2,820		186,430

	Number of Shares		Value
Argo Group International Holdings Ltd.		4,854	$	340,945
Citizens, Inc. (a) (b)		7,322		50,302
CNO Financial Group, Inc.		23,135		366,227
Crawford & Co. Class A		2,506		27,265
Donegal Group, Inc. Class A		1,556		22,811
eHealth, Inc. (a)		3,324		222,010
Employers Holdings, Inc.		4,664		203,257
Enstar Group Ltd. (a)		1,702		323,244
Essent Group Ltd.		14,292		681,300
FBL Financial Group, Inc. Class A		1,448		86,170
Fednat Holding Co.		1,743		24,385
FGL Holdings		21,551		171,977
Genworth Financial, Inc. Class A (a)		75,209		330,920
Global Indemnity Ltd.		1,259		31,437
Goosehead Insurance, Inc. Class A		1,693		83,550
Greenlight Capital Re Ltd. Class A (a)		4,363		45,811
GWG Holdings, Inc. (a) (b)		276		2,754
Hallmark Financial Services, Inc. (a)		1,915		36,634
HCI Group, Inc.		926		38,929
Health Insurance Innovations, Inc. Class A (a) (b)		1,483		36,971
Heritage Insurance Holdings, Inc.		3,970		59,351
Horace Mann Educators Corp.		6,152		285,022
Independence Holding Co.		762		29,406
Investors Title Co.		208		33,301
James River Group Holdings Ltd.		4,376		224,226
Kinsale Capital Group, Inc.		3,029		312,926
MBIA, Inc. (a)		11,796		108,877
National General Holdings Corp.		10,098		232,456
National Western Life Group, Inc. Class A		336		90,172
NI Holdings, Inc. (a)		1,361		23,327
NMI Holdings, Inc. Class A (a)		9,691		254,486
Palomar Holdings, Inc. (a)		862		33,980
ProAssurance Corp.		7,917		318,818
ProSight Global, Inc. (a)		1,351		26,155
Protective Insurance Corp. Class B		1,324		23,104
Radian Group, Inc.		30,359		693,400
RLI Corp.		5,927		550,678
Safety Insurance Group, Inc.		2,198		222,723
Selective Insurance Group, Inc.		8,684		652,950
State Auto Financial Corp.		2,533		82,044
Stewart Information Services Corp.		3,456		134,058
Third Point Reinsurance Ltd. (a)		10,968		109,570
Tiptree, Inc.		3,606		26,252
Trupanion, Inc. (a) (b)		4,211		107,044
United Fire Group, Inc.		3,159		148,410
United Insurance Holdings Corp.		3,068		42,921
Universal Insurance Holdings, Inc.		4,500		134,955
Watford Holdings Ltd. (a)		3,024		81,497
				8,808,203

The accompanying notes are an integral part of the financial statements.

172

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Investment Companies — 0.0%
Ellington Financial, Inc.		4,514	$	81,568
Medallion Financial Corp. (a)		3,137		20,077
Rafael Holdings, Inc. Class B (a)		1,601		33,557
				135,202
Private Equity — 0.2%
Kennedy-Wilson Holdings, Inc.		18,215		399,273
Safeguard Scientifics, Inc. (a)		2,958		33,544
				432,817
Real Estate — 0.6%
Alexander & Baldwin, Inc.		10,203		250,076
American Realty Investors, Inc. (a)		319		4,906
Consolidated-Tomoka Land Co.		710		46,576
Cushman & Wakefield PLC (a)		15,140		280,544
eXp World Holdings, Inc. (a) (b)		2,421		20,288
FRP Holdings, Inc. (a)		1,055		50,661
Griffin Industrial Realty, Inc.		149		5,655
Legacy Housing Corp. (a)		839		13,592
Marcus & Millichap, Inc. (a)		3,400		120,666
Maui Land & Pineapple Co., Inc. (a)		1,071		11,652
McGrath RentCorp		3,604		250,802
Newmark Group, Inc. Class A		21,207		192,135
RE/MAX Holdings, Inc. Class A		2,666		85,739
Realogy Holdings Corp. (b)		16,968		113,346
Redfin Corp. (a) (b)		13,139		221,261
The RMR Group, Inc. Class A		2,238		101,784
Safehold, Inc.		1,572		47,946
Stratus Properties, Inc. (a)		900		26,433
Transcontinental Realty Investors, Inc. (a)		139		4,316
				1,848,378
Real Estate Investment Trusts (REITS) — 8.6%
Acadia Realty Trust		12,324		352,220
AG Mortgage Investment Trust, Inc.		4,869		73,765
Agree Realty Corp.		6,083		444,972
Alexander’s, Inc.		317		110,446
American Assets Trust, Inc.		7,172		335,219
American Finance Trust, Inc. (b)		15,902		221,992
Anworth Mortgage Asset Corp.		14,534		47,962
Apollo Commercial Real Estate Finance, Inc.		22,881		438,629
Ares Commercial Real Estate Corp.		4,043		61,575
Arlington Asset Investment Corp. Class A (b)		5,488		30,129
Armada Hoffler Properties, Inc.		7,809		141,265
ARMOUR Residential REIT, Inc. (b)		8,673		145,273
Ashford Hospitality Trust, Inc.		13,040		43,162
Blackstone Mortgage Trust, Inc. Class A		18,745		672,008
Bluerock Residential Growth REIT, Inc.		3,396		39,971

	Number of Shares		Value
Braemar Hotels & Resorts, Inc.		4,355	$	40,893
BRT Apartments Corp.		1,412		20,587
Capstead Mortgage Corp.		13,818		101,562
CareTrust REIT, Inc.		14,201		333,795
Catchmark Timber Trust, Inc. Class A		7,354		78,467
CBL & Associates Properties, Inc. (b)		25,002		32,253
Cedar Realty Trust, Inc.		13,009		39,027
Chatham Lodging Trust		6,763		122,748
Cherry Hill Mortgage Investment Corp.		2,289		29,986
CIM Commercial Trust Corp.		203		3,147
City Office REIT, Inc.		5,782		83,203
Clipper Realty, Inc.		2,210		22,520
Colony Credit Real Estate Inc.		12,025		173,882
Community Healthcare Trust, Inc.		2,732		121,711
CoreCivic, Inc.		17,697		305,804
CorEnergy Infrastructure Trust, Inc. (b)		1,893		89,388
CorePoint Lodging Inc.		5,905		59,700
DiamondRock Hospitality Co.		29,793		305,378
Dynex Capital, Inc.		3,499		51,715
Easterly Government Properties, Inc.		11,679		248,763
EastGroup Properties, Inc.		5,507		688,485
Essential Properties Realty Trust, Inc.		11,261		257,990
Exantas Capital Corp.		4,542		51,643
Farmland Partners, Inc. (b)		4,031		26,927
First Industrial Realty Trust, Inc.		18,711		740,207
Four Corners Property Trust, Inc.		10,176		287,777
Franklin Street Properties Corp.		15,403		130,309
Front Yard Residential Corp.		7,250		83,810
The GEO Group, Inc.		17,676		306,502
Getty Realty Corp.		4,966		159,210
Gladstone Commercial Corp.		4,549		106,902
Gladstone Land Corp.		2,710		32,235
Global Medical REIT, Inc.		4,645		52,953
Global Net Lease, Inc.		12,470		243,165
Granite Point Mortgage Trust, Inc.		8,020		150,295
Great Ajax Corp.		2,464		38,192
Healthcare Realty Trust, Inc.		18,981		635,864
Hersha Hospitality Trust		5,203		77,421
Independence Realty Trust, Inc.		13,270		189,894
Industrial Logistics Properties Trust		9,565		203,256
Innovative Industrial Properties, Inc. (b)		1,601		147,884
Invesco Mortgage Capital, Inc.		21,272		325,674
Investors Real Estate Trust		1,714		127,984
iStar, Inc.		8,814		115,023
Jernigan Capital, Inc.		3,159		60,811
Kite Realty Group Trust		12,223		197,401
KKR Real Estate Finance Trust, Inc.		3,762		73,472
Ladder Capital Corp.		15,309		264,386
Lexington Realty Trust		34,089		349,412
LTC Properties, Inc.		5,820		298,100
Mack-Cali Realty Corp.		12,845		278,223
Monmouth Real Estate Investment Corp.		13,681		197,143
National Health Investors, Inc.		6,212		511,807

The accompanying notes are an integral part of the financial statements.

173

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
National Storage Affiliates Trust		8,798	$	293,589
New Senior Investment Group, Inc.		12,414		82,926
New York Mortgage Trust, Inc.		34,735		211,536
NexPoint Residential Trust, Inc.		2,800		130,928
Office Properties, Inc. ome Trust		7,105		217,697
One Liberty Properties, Inc.		2,298		63,264
Orchid Island Capital, Inc. (b)		9,302		53,487
Pebblebrook Hotel Trust		19,286		536,537
Pennsylvania REIT (b)		10,360		59,259
PennyMac Mortgage Investment Trust		12,839		285,411
Physicians Realty Trust		27,551		489,030
Piedmont Office Realty Trust, Inc. Class A		18,522		386,739
PotlatchDeltic Corp.		9,812		403,126
Preferred Apartment Communities, Inc. Class A		6,571		94,951
PS Business Parks, Inc.		2,970		540,392
QTS Realty Trust, Inc. Class A		8,124		417,655
Ready Capital Corp. REIT		4,651		74,044
Redwood Trust, Inc.		14,304		234,729
Retail Opportunity Investments Corp.		16,758		305,498
Retail Value, Inc.		2,183		80,858
Rexford Industrial Realty, Inc.		16,251		715,369
RLJ Lodging Trust		25,584		434,672
RPT Realty		11,635		157,654
Ryman Hospitality Properties, Inc.		6,805		556,717
Sabra Health Care REIT, Inc.		28,014		643,201
Saul Centers, Inc.		1,745		95,120
Senior Housing Properties Trust		35,166		325,461
Seritage Growth Properties Class A (b)		4,994		212,195
STAG Industrial, Inc.		18,986		559,707
Summit Hotel Properties, Inc.		15,286		177,318
Sunstone Hotel Investors, Inc.		33,296		457,487
Tanger Factory Outlet Centers, Inc. (b)		13,607		210,636
Terreno Realty Corp.		9,575		489,187
TPG RE Finance Trust, Inc.		7,313		145,090
UMH Properties, Inc.		5,292		74,511
Uniti Group, Inc.		27,549		213,918
Universal Health Realty Income Trust		1,910		196,348
Urban Edge Properties		17,096		338,330
Urstadt Biddle Properties, Inc. Class A		4,339		102,834
Washington Prime Group, Inc. (b)		27,487		113,796
Washington Real Estate Investment Trust		11,914		325,967
Western Asset Mortgage Capital Corp.		7,650		73,823
Whitestone REIT		5,636		77,551
Xenia Hotels & Resorts, Inc.		16,834		355,534
				24,847,556

	Number of Shares		Value
Savings & Loans — 1.5%
Axos Financial, Inc. (a)		8,604	$	237,901
Banc of California, Inc.		6,667		94,271
BankFinancial Corp.		2,121		25,240
Berkshire Hills Bancorp, Inc.		6,824		199,875
Brookline Bancorp, Inc.		11,556		170,220
Capitol Federal Financial, Inc.		19,623		270,405
Community Bankers Trust Corp.		3,181		27,357
Dime Community Bancshares, Inc.		4,654		99,642
Entegra Financial Corp. (a)		964		28,959
ESSA Bancorp, Inc.		1,369		22,479
First Capital, Inc.		492		28,452
First Defiance Financial Corp.		2,884		83,535
First Financial Northwest, Inc.		1,180		17,440
Flushing Financial Corp.		4,043		81,689
FS Bancorp, Inc.		607		31,867
Greene County Bancorp, Inc.		471		12,905
Hingham Institution for Savings		200		37,800
Home Bancorp Inc.		1,164		45,384
HomeTrust Bancshares, Inc.		2,325		60,613
Investors Bancorp, Inc.		34,274		389,353
Malvern Bancorp, Inc. (a)		1,109		24,209
Meridian Bancorp, Inc.		7,123		133,556
MutualFirst Financial, Inc.		878		27,675
Northfield Bancorp, Inc.		6,452		103,619
Northwest Bancshares, Inc.		14,923		244,588
OceanFirst Financial Corp.		7,529		177,684
Oritani Financial Corp.		5,801		102,649
Pacific Premier Bancorp, Inc.		8,769		273,505
Provident Financial Holdings, Inc.		886		18,385
Provident Financial Services, Inc.		9,188		225,382
Prudential Bancorp, Inc.		1,255		21,348
Riverview Bancorp, Inc.		3,191		23,550
Southern Missouri Bancorp, Inc.		1,163		42,368
Territorial Bancorp, Inc.		1,128		32,238
Timberland Bancorp, Inc.		1,060		29,150
United Community Financial Corp.		6,930		74,705
United Financial Bancorp, Inc.		7,470		101,816
Washington Federal, Inc.		11,742		434,337
Waterstone Financial, Inc.		3,507		60,250
WSFS Financial Corp.		7,803		344,112
				4,460,513
				75,116,175
Government — 0.0%
Multi-National — 0.0%
Banco Latinoamericano de Comercio Exterior SA		4,516		90,049
Industrial — 14.4%
Aerospace & Defense — 1.2%
AAR Corp.		4,930		203,165
Aerojet Rocketdyne Holdings, Inc. (a)		10,837		547,377

The accompanying notes are an integral part of the financial statements.

174

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Aerovironment, Inc. (a)		3,142	$	168,286
Astronics Corp. (a)		3,630		106,649
Barnes Group, Inc.		6,984		359,955
Coda Octopus Group, Inc. (a)		704		5,780
Ducommun, Inc. (a)		1,600		67,840
Kaman Corp.		4,117		244,797
Kratos Defense & Security Solutions, Inc. (a)		13,409		249,340
Mercury Systems, Inc. (a)		8,044		652,932
Moog, Inc. Class A		4,776		387,429
National Presto Industries, Inc.		744		66,283
Park Aerospace Corp.		2,760		48,466
Triumph Group, Inc.		7,385		168,969
Wesco Aircraft Holdings, Inc. (a)		7,917		87,166
				3,364,434
Building Materials — 1.8%
AAON, Inc.		6,104		280,418
American Woodmark Corp. (a)		2,495		221,830
Apogee Enterprises, Inc.		3,901		152,100
Armstrong Flooring, Inc. (a)		2,586		16,525
Boise Cascade Co.		5,731		186,773
Builders FirstSource, Inc. (a)		16,936		348,458
Caesarstone Ltd. (b)		3,372		56,009
Continental Building Products, Inc. (a)		5,134		140,107
Cornerstone Building Brands, Inc. (a)		6,664		40,317
Forterra, Inc. (a) (b)		2,647		19,138
Gibraltar Industries, Inc. (a)		4,767		218,996
Griffon Corp.		5,369		112,588
JELD-WEN Holding, Inc. (a)		9,969		192,302
Louisiana-Pacific Corp.		18,429		452,985
Masonite International Corp. (a)		3,708		215,064
Patrick Industries, Inc. (a)		3,348		143,562
PGT Innovations, Inc. (a)		8,374		144,619
Select Interior Concepts, Inc. Class A (a)		3,068		39,792
Simpson Manufacturing Co., Inc.		6,647		461,102
Summit Materials, Inc. Class A (a)		16,700		370,740
Trex Co., Inc. (a)		8,712		792,182
Universal Forest Products, Inc.		8,845		352,739
US Concrete, Inc. (a)		2,368		130,903
				5,089,249
Electrical Components & Equipment — 0.8%
American Superconductor Corp. (a)		3,194		25,041
Belden, Inc.		5,802		309,479
Encore Wire Corp.		3,007		169,234
Energous Corp. (a) (b)		4,231		14,026
EnerSys		6,326		417,137
Generac Holdings, Inc. (a)		9,071		710,622
Graham Corp.		1,428		28,360
Insteel Industries, Inc.		2,732		56,088
nLight, Inc. (a)		4,885		76,499
Novanta, Inc. (a)		4,996		408,273

	Number of Shares		Value
Powell Industries, Inc.		1,321	$	51,717
Vicor Corp. (a)		2,664		78,641
				2,345,117
Electronics — 2.2%
Advanced Energy Industries, Inc. (a)		5,660		324,941
Akoustis Technologies, Inc. (a) (b)		3,817		29,582
Alarm.com Holdings, Inc. (a)		5,432		253,349
Allied Motion Technologies, Inc.		1,034		36,511
Applied Optoelectronics, Inc. (a) (b)		2,800		31,416
Atkore International Group, Inc. (a)		6,938		210,568
Badger Meter, Inc.		4,260		228,762
Bel Fuse, Inc. Class B		1,473		22,139
Benchmark Electronics, Inc.		5,574		161,981
Brady Corp. Class A		7,096		376,443
Comtech Telecommunications Corp.		3,458		112,385
Digimarc Corp. (a)		1,736		67,860
FARO Technologies, Inc. (a)		2,541		122,857
Fitbit, Inc. Class A (a) (b)		33,284		126,812
Fluidigm Corp. (a)		10,280		47,596
GoPro, Inc. Class A (a) (b)		18,619		96,540
II-VI, Inc. (a)		13,257		466,788
IntriCon Corp. (a)		1,248		24,261
Itron, Inc. (a)		5,089		376,383
KEMET Corp.		8,411		152,912
Kimball Electronics, Inc. (a)		3,630		52,671
Knowles Corp. (a)		12,018		244,446
Mesa Laboratories, Inc. (b)		568		135,053
Napco Security Technologies, Inc. (a)		1,750		44,660
NVE Corp.		712		47,241
OSI Systems, Inc. (a)		2,480		251,869
Plexus Corp. (a)		4,283		267,730
Sanmina Corp. (a)		10,069		323,316
SMART Global Holdings, Inc. (a)		1,954		49,788
Tech Data Corp. (a)		5,396		562,479
Transcat, Inc. (a)		1,036		26,532
TTM Technologies, Inc. (a)		14,612		178,193
Vishay Intertechnology, Inc.		19,716		333,792
Vishay Precision Group, Inc. (a)		1,558		51,009
Watts Water Technologies, Inc. Class A		4,106		384,855
Wrap Technologies, Inc. (a) (b)		1,155		4,712
ZAGG, Inc. (a) (b)		4,283		26,854
				6,255,286
Engineering & Construction — 1.7%
Aegion Corp. (a)		4,519		96,616
Arcosa, Inc.		7,194		246,107
Argan, Inc.		2,166		85,102
Comfort Systems USA, Inc.		5,377		237,825
Concrete Pumping Holdings, Inc. (a) (b)		2,364		9,385
Construction Partners, Inc. Class A (a)		1,827		28,465
Dycom Industries, Inc. (a)		4,491		229,265

The accompanying notes are an integral part of the financial statements.

175

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
EMCOR Group, Inc.		8,294	$	714,279
Exponent, Inc.		7,677		536,622
Granite Construction, Inc.		6,984		224,396
Great Lakes Dredge & Dock Corp. (a)		9,005		94,102
IES Holdings, Inc. (a)		1,207		24,852
Iteris, Inc. (a)		5,927		34,051
KBR, Inc.		21,011		515,610
MasTec, Inc. (a)		8,907		578,331
Mistras Group, Inc. (a)		2,641		43,312
MYR Group, Inc. (a)		2,407		75,315
NV5 Global, Inc. (a)		1,536		104,863
Primoris Services Corp.		6,551		128,465
Sterling Construction Co., Inc. (a)		3,939		51,798
TopBuild Corp. (a)		5,030		485,043
Tutor Perini Corp. (a)		5,911		84,705
VSE Corp.		1,295		44,147
Willscot Corp. (a)		7,624		118,782
				4,791,438
Environmental Controls — 0.8%
Advanced Disposal Services, Inc. (a)		10,817		352,310
AquaVenture Holdings Ltd. (a)		2,068		40,181
Casella Waste Systems, Inc. Class A (a)		6,628		284,606
CECO Environmental Corp. (a)		4,455		31,118
Charah Solutions, Inc. (a)		1,503		3,186
Covanta Holding Corp.		17,517		302,869
Energy Recovery, Inc. (a) (b)		5,519		51,134
Evoqua Water Technologies Corp. (a)		11,047		188,020
Heritage-Crystal Clean, Inc. (a)		2,241		59,386
NRC Group Holdings Corp. (a)		1,540		19,158
Pure Cycle Corp. (a)		2,550		26,214
Tetra Tech, Inc.		8,091		701,975
US Ecology, Inc.		3,285		210,043
				2,270,200
Hand & Machine Tools — 0.5%
Franklin Electric Co., Inc.		6,869		328,407
Kennametal, Inc.		12,213		375,428
Luxfer Holdings PLC		3,833		59,718
Milacron Holdings Corp. (a)		10,135		168,950
MSA Safety, Inc.		5,233		570,973
				1,503,476
Machinery – Construction & Mining — 0.2%
Astec Industries, Inc.		3,340		103,874
Bloom Energy Corp. Class A (a) (b)		8,417		27,355
Hyster-Yale Materials Handling, Inc.		1,501		82,150
SPX Corp. (a)		6,499		260,025
Terex Corp.		9,373		243,417
				716,821
Machinery – Diversified — 1.3%
Alamo Group, Inc.		1,440		169,517
Albany International Corp. Class A		4,540		409,326

	Number of Shares		Value
Altra Industrial Motion Corp.		9,508	$	263,324
Applied Industrial Technologies, Inc.		5,697		323,590
Briggs & Stratton Corp.		6,161		37,336
Cactus, Inc. Class A (a)		6,960		201,422
Chart Industries, Inc. (a)		5,338		332,878
Columbus McKinnon Corp.		3,419		124,554
CSW Industrials, Inc.		2,198		151,728
DXP Enterprises, Inc. (a)		2,430		84,370
Gencor Industries, Inc. (a)		1,308		15,186
The Gorman-Rupp Co.		2,631		91,532
Hurco Cos., Inc.		911		29,307
Ichor Holdings Ltd. (a)		3,282		79,359
Kadant, Inc.		1,623		142,483
Lindsay Corp.		1,606		149,117
The Manitowoc Co., Inc. (a)		5,140		64,250
Mueller Water Products, Inc. Class A		23,369		262,668
NN, Inc.		6,225		44,384
SPX FLOW, Inc. (a)		6,185		244,060
Tennant Co.		2,655		187,708
Twin Disc, Inc. (a)		1,551		16,425
Welbilt, Inc. (a)		19,292		325,263
				3,749,787
Metal Fabricate & Hardware — 0.9%
Advanced Drainage Systems, Inc.		5,429		175,194
AZZ, Inc.		3,837		167,140
CIRCOR International, Inc. (a)		2,882		108,219
The Eastern Co.		764		18,962
Helios Technologies, Inc.		4,320		175,262
Lawson Products, Inc. (a)		635		24,594
LB Foster Co. Class A (a)		1,499		32,483
Mayville Engineering Co., Inc. (a)		958		12,636
Mueller Industries, Inc.		8,264		237,011
Northwest Pipe Co. (a)		1,449		40,789
Olympic Steel, Inc.		1,394		20,074
Omega Flex, Inc.		435		44,479
Park-Ohio Holdings Corp.		1,314		39,236
RBC Bearings, Inc. (a)		3,596		596,612
Rexnord Corp. (a)		15,654		423,441
Ryerson Holding Corp. (a)		2,418		20,626
Synalloy Corp.		1,197		19,092
TimkenSteel Corp. (a)		5,940		37,363
Tredegar Corp.		3,902		76,167
TriMas Corp. (a)		6,723		206,060
Worthington Industries, Inc.		5,731		206,603
				2,682,043
Miscellaneous – Manufacturing — 1.4%
Actuant Corp. Class A		8,241		180,807
American Outdoor Brands Corp. (a)		8,021		46,923
Axon Enterprise, Inc. (a)		8,649		491,090
Chase Corp.		1,079		118,032
EnPro Industries, Inc.		3,040		208,696
ESCO Technologies, Inc.		3,801		302,407

The accompanying notes are an integral part of the financial statements.

176

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Fabrinet (a)		5,422	$	283,571
Federal Signal Corp.		8,893		291,157
Haynes International, Inc.		1,842		66,017
Hillenbrand, Inc.		9,227		284,930
John Bean Technologies Corp.		4,624		459,764
LSB Industries, Inc. (a)		3,299		17,089
Lydall, Inc. (a)		2,537		63,197
Myers Industries, Inc.		5,209		91,939
NL Industries, Inc. (a)		1,160		4,362
Proto Labs, Inc. (a)		4,001		408,502
Raven Industries, Inc.		5,345		178,844
Standex International Corp.		1,853		135,158
Sturm, Ruger & Co., Inc.		2,463		102,855
Trinseo SA		5,969		256,368
				3,991,708
Packaging & Containers — 0.1%
Greif, Inc. Class A		3,829		145,081
Greif, Inc. Class B		877		39,956
Matthews International Corp. Class A		4,590		162,440
UFP Technologies, Inc. (a)		977		37,712
				385,189
Transportation — 1.3%
Air Transport Services Group, Inc. (a)		8,627		181,340
ArcBest Corp.		3,762		114,553
Ardmore Shipping Corp. (a)		4,958		33,169
Atlas Air Worldwide Holdings, Inc. (a)		3,460		87,296
Costamare, Inc.		7,335		44,523
Covenant Transportation Group, Inc. Class A (a)		1,833		30,135
CryoPort, Inc. (a) (b)		4,664		76,280
Daseke, Inc. (a)		6,948		17,370
DHT Holdings, Inc.		13,255		81,518
Diamond S Shipping, Inc. (a)		3,330		36,697
Dorian LPG Ltd. (a)		4,103		42,507
Eagle Bulk Shipping, Inc. (a) (b)		6,534		28,586
Echo Global Logistics, Inc. (a)		3,988		90,328
Forward Air Corp.		4,189		266,923
GasLog Ltd.		6,039		77,601
Genco Shipping & Trading Ltd. (a)		2,299		21,151
Golar LNG Ltd.		13,981		181,613
Heartland Express, Inc.		6,769		145,601
Hub Group, Inc. Class A (a)		4,794		222,921
International Seaways, Inc. (a)		3,763		72,475
Marten Transport Ltd.		5,784		120,192
Matson, Inc.		6,318		236,988
Nordic American Tankers Ltd. (b)		20,731		44,779
Overseas Shipholding Group, Inc. Class A (a)		9,816		17,178
PAM Transportation Services, Inc. (a)		295		17,437
Radiant Logistics, Inc. (a)		5,892		30,462
Roadrunner Transportation Systems, Inc. (a) (b)		541		5,605

	Number of Shares		Value
Safe Bulkers, Inc. (a) (b)		7,470	$	13,072
Saia, Inc. (a)		3,851		360,839
Scorpio Bulkers, Inc.		7,984		48,543
Scorpio Tankers, Inc.		6,402		190,523
SEACOR Holdings, Inc. (a)		2,573		121,111
Ship Finance International Ltd.		12,023		168,803
Teekay Corp. (b)		10,200		40,800
Teekay Tankers Ltd. Class A (a)		28,476		37,019
Tidewater, Inc. (a)		5,700		86,127
Universal Logistics Holdings, Inc.		1,224		28,495
US Xpress Enterprises, Inc. Class A (a)		3,053		14,715
Werner Enterprises, Inc.		6,695		236,333
YRC Worldwide, Inc. (a) (b)		4,881		14,741
				3,686,349
Trucking & Leasing — 0.2%
GATX Corp.		5,284		409,669
General Finance Corp. (a)		1,661		14,683
The Greenbrier Cos., Inc.		4,754		143,190
Willis Lease Finance Corp. (a)		437		24,201
				591,743
				41,422,840
Technology — 9.4%
Computers — 2.5%
3D Systems Corp. (a) (b)		17,052		138,974
Agilysys, Inc. (a)		3,065		78,495
Carbon Black, Inc. (a)		8,499		220,889
Carbonite, Inc. (a)		4,954		76,737
Conduent, Inc. (a)		25,795		160,445
Cubic Corp.		4,648		327,359
Diebold Nixdorf, Inc. (a)		11,322		126,806
Exlservice Holdings, Inc. (a)		4,981		333,528
ForeScout Technologies, Inc. (a)		6,144		232,980
Insight Enterprises, Inc. (a)		5,274		293,709
Inspired Entertainment, Inc. (a) (b)		1,342		9,649
Lumentum Holdings, Inc. (a)		11,345		607,638
MAXIMUS, Inc.		9,436		729,025
Mitek Systems, Inc. (a)		5,511		53,181
MTS Systems Corp.		2,653		146,578
NetScout Systems, Inc. (a)		10,812		249,325
Onespan, Inc. (a)		4,881		70,775
PAR Technology Corp. (a) (b)		1,714		40,742
Parsons Corp. (a)		2,847		93,894
Perspecta, Inc.		20,967		547,658
PlayAGS, Inc. (a)		3,860		39,681
Presidio, Inc.		6,809		115,072
Qualys, Inc. (a)		5,051		381,704
Rapid7, Inc. (a)		7,225		327,943
Rimini Street, Inc. (a)		2,990		13,096
Science Applications International Corp.		8,803		768,942
SecureWorks Corp. Class A (a) (b)		1,168		15,102

The accompanying notes are an integral part of the financial statements.

177

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Startek, Inc. (a)		2,468	$	15,968
Stratasys Ltd. (a)		7,594		161,790
Sykes Enterprises, Inc. (a)		5,669		173,698
Tenable Holdings, Inc. (a)		5,470		122,419
TTEC Holdings, Inc.		2,110		101,027
Unisys Corp. (a)		7,505		55,762
Varonis Systems, Inc. (a)		4,381		261,896
Virtusa Corp. (a)		4,307		155,138
Vocera Communications, Inc. (a)		4,615		113,760
				7,361,385
Office & Business Equipment — 0.0%
AstroNova, Inc.		1,042		16,849
Pitney Bowes, Inc.		25,363		115,909
				132,758
Semiconductors — 2.4%
Adesto Technologies Corp. (a)		4,066		34,805
Alpha & Omega Semiconductor Ltd. (a)		2,980		36,594
Ambarella, Inc. (a)		4,696		295,073
Amkor Technology, Inc. (a)		14,465		131,631
AVX Corp.		6,931		105,351
Axcelis Technologies, Inc. (a)		4,798		81,998
AXT, Inc. (a)		5,730		20,399
Brooks Automation, Inc.		10,534		390,074
Cabot Microelectronics Corp.		4,299		607,062
CEVA, Inc. (a)		3,242		96,806
Cirrus Logic, Inc. (a)		8,635		462,663
Cohu, Inc.		6,007		81,124
CTS Corp.		4,790		155,004
Diodes, Inc. (a)		6,073		243,831
DSP Group, Inc. (a)		3,176		44,734
FormFactor, Inc. (a)		10,994		204,983
GSI Technology, Inc. (a)		2,321		20,332
Impinj, Inc. (a) (b)		2,160		66,593
Inphi Corp. (a)		6,674		407,448
Lattice Semiconductor Corp. (a)		18,515		338,547
MACOM Technology Solutions Holdings, Inc. (a)		6,836		146,940
MaxLinear, Inc. (a)		9,635		215,631
Nanometrics, Inc. (a)		3,482		113,583
Photronics, Inc. (a)		9,640		104,883
Power Integrations, Inc.		4,209		380,620
Rambus, Inc. (a)		16,317		214,161
Rudolph Technologies, Inc. (a)		4,537		119,595
Semtech Corp. (a)		9,780		475,406
Silicon Laboratories, Inc. (a)		6,372		709,522
Synaptics, Inc. (a)		4,981		198,991
Ultra Clean Holdings, Inc. (a)		5,806		84,971
Veeco Instruments, Inc. (a)		7,151		83,524
Xperi Corp.		7,326		151,502
				6,824,381

	Number of Shares		Value
Software — 4.5%
ACI Worldwide, Inc. (a)		17,080	$	535,031
Allscripts Healthcare Solutions, Inc. (a)		24,500		269,010
Altair Engineering, Inc. Class A (a)		5,821		201,523
American Software, Inc. Class A		4,311		64,751
Appfolio, Inc. Class A (a)		2,329		221,581
Appian Corp. (a) (b)		4,605		218,738
Avaya Holdings Corp. (a)		16,370		167,465
Avid Technology, Inc. (a)		4,209		26,054
Bandwidth, Inc. Class A (a)		2,373		154,506
Benefitfocus, Inc. (a)		4,373		104,121
Blackbaud, Inc.		7,245		654,513
Blackline, Inc. (a)		6,357		303,928
Bottomline Technologies de, Inc. (a)		6,333		249,204
Box, Inc. Class A (a)		21,283		352,447
Brightcove, Inc. (a)		5,705		59,788
Castlight Health, Inc. Class B (a)		15,295		21,566
Cision Ltd. (a)		13,554		104,230
Cloudera, Inc. (a) (b)		35,084		310,844
CommVault Systems, Inc. (a)		5,988		267,724
Computer Programs & Systems, Inc.		1,847		41,761
Cornerstone OnDemand, Inc. (a)		8,446		463,010
CSG Systems International, Inc.		4,900		253,232
Daily Journal Corp. (a) (b)		166		41,095
Digital Turbine, Inc. (a)		11,650		75,084
Domo, Inc. Class B (a)		2,613		41,756
Donnelley Financial Solutions, Inc. (a)		4,619		56,906
Ebix, Inc. (b)		3,451		145,287
eGain Corp. (a)		3,098		24,800
Envestnet, Inc. (a)		7,097		402,400
Everbridge, Inc. (a)		4,929		304,169
Evolent Health, Inc. Class A (a)		10,971		78,882
Exela Technologies, Inc. (a)		7,133		8,417
Five9, Inc. (a)		8,868		476,566
Glu Mobile, Inc. (a)		17,273		86,192
Health Catalyst, Inc. (a)		1,204		38,095
Ideanomics, Inc. (a) (b)		7,768		11,691
Immersion Corp. (a)		4,620		35,343
InnerWorkings, Inc. (a)		6,617		29,313
Inovalon Holdings, Inc. Class A (a) (b)		10,555		172,996
Instructure, Inc. (a)		5,055		195,831
Intelligent Systems Corp. (a) (b)		1,022		42,454
j2 Global, Inc.		6,919		628,384
LivePerson, Inc. (a)		9,112		325,298
Majesco (a)		1,144		9,655
ManTech International Corp. Class A		3,987		284,712
MicroStrategy, Inc. Class A (a)		1,224		181,605
MobileIron, Inc. (a)		14,049		91,951
Model N, Inc. (a)		4,794		133,081
Monotype Imaging Holdings, Inc.		6,023		119,316
NextGen Healthcare, Inc. (a)		8,108		127,052
Omnicell, Inc. (a)		6,144		444,027
Pareteum Corp. (a) (b)		16,331		21,067

The accompanying notes are an integral part of the financial statements.

178

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
PDF Solutions, Inc. (a)		4,192	$	54,789
Phreesia, Inc. (a)		1,518		36,796
Phunware, Inc. (a) (b)		4,729		6,810
Progress Software Corp.		6,574		250,206
PROS Holdings, Inc. (a)		4,894		291,682
QAD, Inc. Class A		1,644		75,920
SailPoint Technologies Holding, Inc. (a)		12,672		236,840
Simulations Plus, Inc.		1,786		61,974
SPS Commerce, Inc. (a)		5,186		244,105
SVMK, Inc. (a)		12,723		217,563
Synchronoss Technologies, Inc. (a)		5,766		31,136
Tabula Rasa HealthCare, Inc. (a) (b)		2,879		158,172
TiVo Corp.		18,092		137,771
Upland Software, Inc. (a)		3,390		118,175
Verint Systems, Inc. (a)		9,717		415,693
Verra Mobility Corp. (a)		17,176		246,476
Workiva, Inc. (a)		5,446		238,698
Yext, Inc. (a)		13,836		219,854
Zuora, Inc. Class A (a) (b)		12,875		193,769
				12,914,881
				27,233,405
Utilities — 3.9%
Electric — 2.0%
ALLETE, Inc.		7,694		672,533
Ameresco, Inc. Class A (a)		3,266		52,485
Atlantic Power Corp. (a) (b)		15,793		36,956
Avista Corp.		9,733		471,467
Black Hills Corp.		9,055		694,790
Clearway Energy, Inc. Class A		5,115		88,694
Clearway Energy, Inc. Class C		10,885		198,651
El Paso Electric Co.		6,027		404,291
Genie Energy Ltd. Class B		2,188		16,322
MGE Energy, Inc.		5,174		413,247
NorthWestern Corp.		7,515		564,001
Ormat Technologies, Inc.		5,888		437,420
Otter Tail Corp.		5,846		314,222
PNM Resources, Inc.		11,796		614,336
Portland General Electric Co.		13,330		751,412
Spark Energy, Inc. Class A		1,677		17,692
Unitil Corp.		2,167		137,474
				5,885,993
Gas — 1.3%
Chesapeake Utilities Corp.		2,373		226,194
New Jersey Resources Corp.		13,172		595,638
Northwest Natural Holding Co.		4,490		320,317
ONE Gas, Inc.		7,755		745,333
RGC Resources, Inc.		1,081		31,609
South Jersey Industries, Inc.		13,741		452,216
Southwest Gas Holdings, Inc.		8,057		733,509
Spire, Inc.		7,378		643,657
				3,748,473

	Number of Shares		Value
Water — 0.6%
American States Water Co.		5,441	$	488,928
Artesian Resources Corp. Class A		1,199		44,363
California Water Service Group		7,134		377,603
Connecticut Water Service, Inc.		1,780		124,707
Consolidated Water Co. Ltd.		2,201		36,294
Global Water Resources, Inc.		1,753		20,755
Middlesex Water Co.		2,360		153,306
PICO Holdings, Inc. (a)		2,783		28,080
SJW Group		3,909		266,946
The York Water Co.		1,913		83,522
				1,624,504
				11,258,970
TOTAL COMMON STOCK (Cost $274,101,884)				286,316,792
TOTAL EQUITIES (Cost $274,101,884)				286,316,792
WARRANTS — 0.0%
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
GTx, Inc. CVR (a) (b) (c) (d)		111		-
TOTAL WARRANTS (Cost $228)				-
RIGHTS — 0.0%
Basic Materials — 0.0%
Chemicals — 0.0%
A. Schulman, Inc. CVR (a) (c) (d)		3,820		1,998
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
Tobira Therapeutics Inc. CVR (a) (c) (d)		1,376		10,471
Pharmaceuticals — 0.0%
Omthera Pharmaceuticals Inc. CVR (a) (c) (d)		428		-
				10,471
TOTAL RIGHTS (Cost $1,737)				12,469
MUTUAL FUNDS — 6.1%
Diversified Financial Services — 6.1%
State Street Navigator Securities Lending Prime Portfolio (e)		17,760,100		17,760,100
TOTAL MUTUAL FUNDS (Cost $17,760,100)				17,760,100
TOTAL LONG-TERM INVESTMENTS (Cost $291,863,949)				304,089,361

The accompanying notes are an integral part of the financial statements.

179

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.1%
Repurchase Agreement — 0.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (f)	$	2,570,285	$	2,570,285
U.S. Treasury Bill — 0.2%
U.S. Treasury Bill 0.000% 1/09/20 (g)		535,000		532,323
TOTAL SHORT-TERM INVESTMENTS (Cost $3,102,358)				3,102,608
TOTAL INVESTMENTS — 106.4% (Cost $294,966,307) (h)				307,191,969
Other Assets/(Liabilities) — (6.4)%				(18,603,552	)
NET ASSETS — 100.0%			$	288,588,417

Abbreviation Legend

CVR Contingent Value Rights

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $17,179,419 or 5.95% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(c) Investment was valued using significant unobservable inputs.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $12,469 or 0.00% of net assets.

(e) Represents investment of security lending collateral. (Note 2).

(f) Maturity value of $2,570,353. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $2,621,724.

(g) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(h) See Note 6 for aggregate cost for federal tax purposes.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Long
Russell 2000 E Mini Index		12/20/19		45	$	3,518,961	$	(87,711	)

The accompanying notes are an integral part of the financial statements.

180

MassMutual Select Mid Cap Growth Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 95.1%
COMMON STOCK — 95.0%
Basic Materials — 2.8%
Chemicals — 2.5%
Air Products & Chemicals, Inc.		189,000	$	41,931,541
FMC Corp.		564,947		49,534,553
RPM International, Inc.		806,000		55,460,860
The Sherwin-Williams Co.		92,217		50,707,362
Valvoline, Inc.		849,000		18,703,470
				216,337,786
Mining — 0.3%
Franco-Nevada Corp.		94,000		8,569,040
Kirkland Lake Gold Ltd. (a)		440,000		19,712,000
				28,281,040
				244,618,826
Communications — 3.1%
Internet — 2.5%
Chewy, Inc. Class A (a) (b)		104,000		2,556,320
IAC/InterActiveCorp (b)		486,812		106,110,411
Shopify, Inc. Class A (b)		12,000		3,739,920
Symantec Corp.		1,402,543		33,142,091
Twitter, Inc. (b)		1,349,770		55,610,524
Zendesk, Inc. (b)		150,369		10,958,893
				212,118,159
Telecommunications — 0.6%
Corning, Inc.		1,892,000		53,959,840
				266,077,999
Consumer, Cyclical — 15.6%
Airlines — 0.8%
Alaska Air Group, Inc.		279,000		18,109,890
JetBlue Airways Corp. (b)		1,182,503		19,806,925
United Airlines Holdings, Inc. (b)		375,000		33,153,750
				71,070,565
Apparel — 1.2%
Capri Holdings Ltd. (b)		395,656		13,119,953
Levi Strauss & Co. Class A (a) (b)		566,000		10,776,640
Tapestry, Inc.		1,842,000		47,984,100
Under Armour, Inc. Class A (b)		452,205		9,016,968
VF Corp.		236,000		21,001,640
				101,899,301
Auto Parts & Equipment — 0.2%
Visteon Corp. (b)		264,000		21,790,560
Automotive & Parts — 0.9%
Aptiv PLC		727,000		63,554,340
BorgWarner, Inc.		319,018		11,701,580
				75,255,920

	Number of Shares		Value
Entertainment — 1.3%
Eldorado Resorts, Inc. (a) (b)		584,442	$	23,301,703
Live Nation Entertainment, Inc. (b)		517,579		34,336,191
Vail Resorts, Inc.		237,000		53,931,720
				111,569,614
Leisure Time — 1.0%
Norwegian Cruise Line Holdings Ltd. (b)		1,608,000		83,246,160
Lodging — 1.8%
Hilton Worldwide Holdings, Inc.		481,000		44,785,910
Marriott International, Inc. Class A		287,000		35,694,190
MGM Resorts International		2,594,000		71,905,680
				152,385,780
Retail — 8.4%
Advance Auto Parts, Inc.		80,147		13,256,314
Burlington Stores, Inc. (b)		519,017		103,709,977
CarMax, Inc. (b)		281,000		24,728,000
Carvana Co. (a) (b)		149,932		9,895,512
Casey’s General Stores, Inc.		361,000		58,178,760
Darden Restaurants, Inc.		165,000		19,506,300
Dollar General Corp.		1,108,271		176,148,593
Dollar Tree, Inc. (b)		519,000		59,249,040
Domino’s Pizza, Inc.		51,000		12,474,090
Dunkin’ Brands Group, Inc.		471,000		37,378,560
Floor & Decor Holdings, Inc. Class A (b)		310,171		15,865,247
The Michaels Cos., Inc. (a) (b)		425,000		4,160,750
O’Reilly Automotive, Inc. (b)		199,818		79,629,471
Ross Stores, Inc.		297,044		32,630,283
Tiffany & Co.		189,000		17,507,070
Ulta Salon Cosmetics & Fragrance, Inc. (b)		133,169		33,378,810
Yum! Brands, Inc.		241,352		27,376,557
				725,073,334
				1,342,291,234
Consumer, Non-cyclical — 27.9%
Biotechnology — 2.6%
Alnylam Pharmaceuticals, Inc. (b)		227,000		18,255,340
Argenx SE ADR (b)		96,000		10,940,160
BioMarin Pharmaceutical, Inc. (b)		208,080		14,024,592
Exact Sciences Corp. (b)		465,470		42,064,524
Exelixis, Inc. (b)		985,722		17,432,493
Illumina, Inc. (b)		22,362		6,802,968
Incyte Corp. (b)		501,922		37,257,670
Sage Therapeutics, Inc. (b)		94,000		13,187,260
Seattle Genetics, Inc. (b)		724,539		61,875,631
				221,840,638

The accompanying notes are an integral part of the financial statements.

181

MassMutual Select Mid Cap Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Commercial Services — 10.3%
Booz Allen Hamilton Holding Corp.		259,912	$	18,458,950
Bright Horizons Family Solutions, Inc. (b)		126,721		19,324,952
Cintas Corp.		201,267		53,959,683
Clarivate Analytics Plc (a) (b)		1,199,483		20,235,278
CoreLogic, Inc. (b)		1,163,000		53,812,010
CoStar Group, Inc. (b)		95,000		56,354,000
Equifax, Inc.		155,000		21,803,850
FleetCor Technologies, Inc. (b)		247,000		70,834,660
Gartner, Inc. (b)		188,000		26,882,120
Global Payments, Inc.		895,954		142,456,686
IHS Markit Ltd. (b)		1,511,229		101,070,995
MarketAxess Holdings, Inc.		73,000		23,907,500
Moody’s Corp.		188,283		38,566,007
ServiceMaster Global Holdings, Inc. (b)		753,000		42,092,700
TransUnion		806,000		65,374,660
Verisk Analytics, Inc.		472,000		74,642,080
WeWork Companies, Inc., Class A (Acquired 5/26/15, Cost $240,273) (b) (c) (d) (e)		16,955		288,744
WEX, Inc. (b)		276,298		55,831,537
				885,896,412
Foods — 1.1%
Conagra Brands, Inc.		802,000		24,605,360
The Kroger Co.		471,000		12,142,380
Sprouts Farmers Market, Inc. (b)		1,125,000		21,757,500
TreeHouse Foods, Inc. (b)		661,000		36,652,450
				95,157,690
Health Care – Products — 9.8%
ABIOMED, Inc. (b)		47,624		8,471,833
Alcon, Inc. (b)		784,716		45,741,096
Avantor, Inc. (b)		2,192,000		32,222,400
Bruker Corp.		1,784,000		78,371,120
The Cooper Cos., Inc.		527,107		156,550,779
Edwards Lifesciences Corp. (b)		78,262		17,210,596
Hologic, Inc. (b)		2,417,000		122,034,330
ICU Medical, Inc. (b)		151,000		24,099,600
IDEXX Laboratories, Inc. (b)		147,279		40,049,578
Insulet Corp. (b)		139,621		23,027,692
QIAGEN NV (b)		397,655		13,110,685
ResMed, Inc.		144,372		19,506,101
Steris PLC		193,918		28,019,212
Teleflex, Inc.		563,417		191,420,926
West Pharmaceutical Services, Inc.		285,006		40,419,551
				840,255,499
Health Care – Services — 1.2%
Acadia Healthcare Co., Inc. (b)		944,000		29,339,520
Catalent, Inc. (b)		1,513,000		72,109,580
MEDNAX, Inc. (b)		283,000		6,401,460
				107,850,560

	Number of Shares		Value
Healthcare-Products — 0.1%
Align Technology, Inc. (b)		55,565	$	10,052,820
Household Products — 0.5%
Avery Dennison Corp.		352,287		40,009,235
Pharmaceuticals — 2.3%
Alkermes PLC (b)		1,415,000		27,606,650
Amneal Pharmaceuticals, Inc. (b)		963,000		2,792,700
Ascendis Pharma A/S ADR (b)		80,000		7,705,600
Elanco Animal Health, Inc. (b)		1,557,000		41,400,630
Neurocrine Biosciences, Inc. (b)		246,000		22,167,060
Perrigo Co. PLC		804,000		44,935,560
PRA Health Sciences, Inc. (b)		472,000		46,836,560
Sarepta Therapeutics, Inc. (b)		94,000		7,080,080
				200,524,840
				2,401,587,694
Energy — 2.1%
Oil & Gas — 2.1%
Cabot Oil & Gas Corp.		1,133,000		19,906,810
Concho Resources, Inc.		1,156,758		78,543,868
Continental Resources, Inc. (b)		566,000		17,427,140
Noble Energy, Inc.		938,707		21,083,359
Pioneer Natural Resources Co.		264,000		33,203,280
Venture Global LNG, Inc. Series B (Acquired 3/08/18, Cost $652,320) (b) (c) (d) (e)		216		1,123,200
Venture Global LNG, Inc. Series C (Acquired 10/16/17-3/08/18, Cost $4,872,708) (b) (c) (d) (e)		1,328		6,905,600
				178,193,257
				178,193,257
Financial — 8.5%
Banks — 0.9%
Fifth Third Bancorp		923,000		25,271,740
Texas Capital Bancshares, Inc. (b)		207,974		11,365,779
Webster Financial Corp.		872,513		40,894,685
				77,532,204
Diversified Financial Services — 2.4%
Cboe Global Markets, Inc.		472,000		54,237,520
LPL Financial Holdings, Inc.		271,644		22,247,643
Nasdaq, Inc.		340,799		33,858,381
SLM Corp.		1,415,000		12,487,375
TD Ameritrade Holding Corp.		1,603,000		74,860,100
Tradeweb Markets, Inc. Class A		283,000		10,465,340
				208,156,359
Insurance — 3.8%
Aon PLC		396,860		76,820,190
Assurant, Inc.		378,000		47,559,960
Axis Capital Holdings Ltd.		383,000		25,553,760
Fidelity National Financial, Inc.		1,508,000		66,970,280
The Progressive Corp.		236,000		18,231,000

The accompanying notes are an integral part of the financial statements.

182

MassMutual Select Mid Cap Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Willis Towers Watson PLC		473,000	$	91,274,810
				326,410,000
Private Equity — 0.9%
KKR & Co., Inc. Class A		2,791,242		74,944,848
Real Estate Investment Trusts (REITS) — 0.5%
SBA Communications Corp.		177,393		42,778,322
				729,821,733
Industrial — 19.8%
Aerospace & Defense — 1.9%
L3 Harris Technologies, Inc.		791,934		165,229,110
Building Materials — 0.9%
Martin Marietta Materials, Inc.		142,000		38,922,200
Vulcan Materials Co.		246,870		37,336,619
				76,258,819
Electronics — 5.0%
Agilent Technologies, Inc.		1,329,000		101,841,270
Allegion PLC		141,000		14,614,650
Amphenol Corp. Class A		314,631		30,361,891
FLIR Systems, Inc.		330,000		17,354,700
Fortive Corp.		848,000		58,138,880
Keysight Technologies, Inc. (b)		943,000		91,706,750
National Instruments Corp.		848,000		35,607,520
Sensata Technologies Holding PLC (b)		1,609,000		80,546,540
				430,172,201
Engineering & Construction — 0.8%
Jacobs Engineering Group, Inc.		257,625		23,572,687
KBR, Inc.		1,692,094		41,523,987
				65,096,674
Environmental Controls — 1.2%
Stericycle, Inc. (b)		308,991		15,736,912
Waste Connections, Inc.		976,978		89,881,976
				105,618,888
Hand & Machine Tools — 0.5%
Colfax Corp. (b)		1,556,000		45,217,360
Machinery – Construction & Mining — 0.7%
BWX Technologies, Inc.		1,058,976		60,584,017
Machinery – Diversified — 3.7%
Cognex Corp.		262,000		12,872,060
Gardner Denver Holdings, Inc. (b)		2,310,000		65,349,900
IDEX Corp.		476,000		78,006,880
Rockwell Automation, Inc.		149,608		24,655,398
Roper Technologies, Inc.		234,830		83,740,378
Xylem, Inc.		714,000		56,848,680
				321,473,296
Miscellaneous – Manufacturing — 1.2%
Textron, Inc.		2,075,000		101,592,000

	Number of Shares		Value
Packaging & Containers — 2.7%
Ball Corp.		2,580,585	$	187,892,394
Sealed Air Corp.		954,000		39,600,540
				227,492,934
Transportation — 1.2%
J.B. Hunt Transport Services, Inc.		519,000		57,427,350
Kirby Corp. (b)		208,258		17,110,477
Knight-Swift Transportation Holdings, Inc.		755,336		27,418,697
				101,956,524
				1,700,691,823
Technology — 13.6%
Computers — 0.8%
Genpact Ltd.		766,446		29,699,781
Leidos Holdings, Inc.		407,214		34,971,538
				64,671,319
Semiconductors — 5.7%
Advanced Micro Devices, Inc. (b)		830,939		24,088,922
Entegris, Inc.		586,000		27,577,160
KLA Corp.		155,396		24,777,892
Lam Research Corp.		212,818		49,184,368
Marvell Technology Group Ltd.		3,328,353		83,108,974
Maxim Integrated Products, Inc.		754,000		43,664,140
Microchip Technology, Inc. (a)		1,533,281		142,457,138
Monolithic Power Systems, Inc.		111,439		17,343,251
Skyworks Solutions, Inc.		471,000		37,326,750
Xilinx, Inc.		453,000		43,442,700
				492,971,295
Software — 7.1%
Atlassian Corp. PLC Class A (b)		340,000		42,649,600
Autodesk, Inc. (b)		79,354		11,720,586
Black Knight, Inc. (b)		519,000		31,690,140
Ceridian HCM Holding, Inc. (b)		665,483		32,854,896
DocuSign, Inc. (b)		708,000		43,839,360
Electronic Arts, Inc. (b)		232,031		22,697,272
Fidelity National Information Services, Inc.		691,614		91,818,675
Fiserv, Inc. (b)		758,000		78,521,220
Guidewire Software, Inc. (b)		124,671		13,137,830
InterXion Holding NV (b)		259,532		21,141,477
ServiceNow, Inc. (b)		64,290		16,320,017
Slack Technologies, Inc. Class A (a) (b)		518,733		12,309,534
Splunk, Inc. (b)		501,506		59,107,497
SS&C Technologies Holdings, Inc		880,699		45,417,647
Veeva Systems, Inc. Class A (b)		57,000		8,703,330
Workday, Inc. Class A (b)		487,616		82,875,215
				614,804,296
				1,172,446,910

The accompanying notes are an integral part of the financial statements.

183

MassMutual Select Mid Cap Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Utilities — 1.6%
Electric — 1.3%
Eversource Energy		472,000	$	40,341,840
Sempra Energy		480,000		70,852,800
				111,194,640
Gas — 0.3%
Atmos Energy Corp.		208,000		23,689,119
				134,883,759
TOTAL COMMON STOCK (Cost $6,730,482,426)				8,170,613,235
PREFERRED STOCK — 0.1%
Communications — 0.1%
Internet — 0.1%
Roofoods, Ltd., Series F (Acquired 9/12/17, Cost $5,955,543) (b) (c) (d) (e)		16,844		6,546,421
Roofoods, Ltd., Series G (Acquired 9/12/17, Cost $5,955,543) (b) (c) (d) (e)		630		263,278
				6,809,699
Consumer, Non-cyclical — 0.0%
Commercial Services — 0.0%
Wework Companies, Inc., Series D-1 (Acquired 12/09/14, Cost $1,394,302) (b) (c) (d) (e)		83,736		1,426,024
Wework Companies, Inc., Series D-2 (Acquired 12/09/14, Cost $1,095,513) (b) (c) (d) (e)		65,792		1,120,438
				2,546,462
TOTAL PREFERRED STOCK (Cost $8,708,635)				9,356,161
TOTAL EQUITIES (Cost $6,739,191,061)				8,179,969,396
MUTUAL FUNDS — 1.0%
Diversified Financial Services — 1.0%
State Street Navigator Securities Lending Prime Portfolio (f)		86,789,589		86,789,589
TOTAL MUTUAL FUNDS (Cost $86,789,589)				86,789,589
TOTAL LONG-TERM INVESTMENTS (Cost $6,825,980,650)				8,266,758,985

	Number of Shares		Value
SHORT-TERM INVESTMENTS — 5.1%
Mutual Fund — 1.8%
T. Rowe Price Treasury Reserve Fund		152,415,539	$	152,415,539
TOTAL MUTUAL FUND (Cost $152,415,539)				152,415,539
	Principal Amount
Repurchase Agreement — 3.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (g)	$	288,644,060		288,644,060
TOTAL SHORT-TERM INVESTMENTS (Cost $441,059,599)				441,059,599
TOTAL INVESTMENTS — 101.2% (Cost $7,267,040,249) (h)				8,707,818,584
Other Assets/(Liabilities) — (1.2)%				(103,315,810	)
NET ASSETS — 100.0%			$	8,604,502,774

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $84,895,927 or 0.99% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(b) Non-income producing security.

(c) Investment was valued using significant unobservable inputs.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $17,673,705 or 0.21% of net assets.

(e) Restricted security. Certain securities are restricted as to resale. At September 30, 2019, these securities amounted to a value of $17,673,705 or 0.21% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(f) Represents investment of security lending collateral. (Note 2).

(g) Maturity value of $288,651,677. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.500%, maturity dates ranging from 2/15/23 – 3/31/23, and an aggregate market value, including accrued interest, of $294,419,951.

(h) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

184

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 98.2%
COMMON STOCK — 98.0%
Basic Materials — 2.3%
Chemicals — 1.3%
Ingevity Corp. (a)		34,911	$	2,961,849
Methanex Corp.		33,877		1,201,617
Minerals Technologies, Inc.		22,141		1,175,466
Orion Engineered Carbons SA		70,028		1,170,168
				6,509,100
Iron & Steel — 1.0%
Carpenter Technology Corp.		96,694		4,995,212
				11,504,312
Communications — 5.1%
Advertising — 0.7%
The Trade Desk, Inc. Class A (a)		18,645		3,496,870
Internet — 3.2%
Anaplan, Inc. (a)		46,196		2,171,212
Cardlytics, Inc. (a)		25,164		843,497
DraftKings, Inc. (Acquired 8/22/17, Cost $1,072,661) (a) (b) (c) (d)		281,739		777,600
Etsy, Inc. (a)		49,306		2,785,789
Mimecast Ltd. (a)		61,476		2,192,849
Q2 Holdings, Inc. (a)		30,695		2,420,915
RingCentral, Inc. Class A (a)		28,657		3,601,038
Roku, Inc. (a)		18,628		1,895,585
Veracode, Inc.(Escrow Shares) (Acquired 8/26/14, Cost $57,059) (a) (b) (c) (d)		30,294		16,480
				16,704,965
Media — 0.8%
Cable One, Inc.		2,131		2,673,766
The New York Times Co. Class A		50,388		1,435,050
				4,108,816
Telecommunications — 0.4%
Ciena Corp. (a)		49,489		1,941,454
				26,252,105
Consumer, Cyclical — 13.7%
Airlines — 0.2%
Spirit Airlines, Inc. (a)		33,587		1,219,208
Apparel — 1.5%
Canada Goose Holdings, Inc. (a) (e)		25,232		1,109,451
Carter’s, Inc.		28,034		2,556,981
Deckers Outdoor Corp. (a)		9,665		1,424,234
Skechers U.S.A., Inc. Class A (a)		40,653		1,518,390
Under Armour, Inc. Class C (a)		67,165		1,217,702
				7,826,758

	Number of Shares		Value
Distribution & Wholesale — 1.0%
IAA, Inc. (a)		23,273	$	971,182
Pool Corp.		21,480		4,332,516
				5,303,698
Entertainment — 1.0%
Cinemark Holdings, Inc.		52,311		2,021,297
Marriott Vacations Worldwide Corp.		27,189		2,817,052
				4,838,349
Home Builders — 2.0%
Cavco Industries, Inc. (a)		8,552		1,642,754
Century Communities, Inc. (a)		39,545		1,211,263
LCI Industries		13,582		1,247,507
Skyline Champion Corp. (a)		151,387		4,555,235
TRI Pointe Group, Inc. (a)		40,834		614,143
Winnebago Industries, Inc.		26,845		1,029,506
				10,300,408
Leisure Time — 2.6%
Acushnet Holdings Corp.		156,925		4,142,820
BRP, Inc.		55,247		2,149,664
Lindblad Expeditions Holdings, Inc. (a)		107,693		1,804,935
Planet Fitness, Inc. Class A (a)		65,594		3,795,925
YETI Holdings, Inc. (a) (e)		42,318		1,184,904
				13,078,248
Lodging — 0.4%
Choice Hotels International, Inc.		19,603		1,743,883
Retail — 5.0%
BMC Stock Holdings, Inc. (a)		79,419		2,079,189
Boot Barn Holdings, Inc. (a)		78,872		2,752,633
The Cheesecake Factory, Inc.		48,135		2,006,267
The Children’s Place, Inc. (e)		18,409		1,417,309
FirstCash, Inc.		20,157		1,847,792
Five Below, Inc. (a)		12,197		1,538,042
Floor & Decor Holdings, Inc. Class A (a)		40,997		2,096,997
Freshpet, Inc. (a)		51,181		2,547,278
La-Z-Boy, Inc.		50,738		1,704,289
Nu Skin Enterprises, Inc. Class A		41,093		1,747,685
Ollie’s Bargain Outlet Holdings, Inc. (a)		14,550		853,212
Rush Enterprises, Inc. Class A		45,300		1,747,674
Wingstop, Inc.		35,106		3,064,052
				25,402,419
				69,712,971
Consumer, Non-cyclical — 26.9%
Beverages — 0.3%
The Boston Beer Co., Inc. Class A (a)		1,863		678,281
MGP Ingredients, Inc. (e)		18,807		934,332
				1,612,613

The accompanying notes are an integral part of the financial statements.

185

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Biotechnology — 2.9%
10X Genomics, Inc. (a)		9,803	$	494,071
ACADIA Pharmaceuticals, Inc. (a)		14,964		538,554
Amicus Therapeutics, Inc. (a)		180,672		1,448,989
Apellis Pharmaceuticals, Inc. (a)		36,595		881,574
Arena Pharmaceuticals, Inc. (a)		29,785		1,363,259
Blueprint Medicines Corp. (a)		18,507		1,359,709
CRISPR Therapeutics AG (a) (e)		17,047		698,757
CytomX Therapeutics, Inc. (a)		25,770		190,183
Exact Sciences Corp. (a)		19,969		1,804,599
Iovance Biotherapeutics, Inc. (a)		36,130		657,566
Karyopharm Therapeutics, Inc. (a) (e)		50,406		484,906
Orchard Therapeutics plc (a) (e)		57,186		679,370
Sage Therapeutics, Inc. (a)		5,839		819,153
Sangamo Therapeutics, Inc. (a)		184,219		1,667,182
Ultragenyx Pharmaceutical, Inc. (a)		14,272		610,556
Veracyte, Inc. (a)		32,452		778,848
				14,477,276
Commercial Services — 6.0%
2U, Inc. (a)		10,859		176,784
Avalara, Inc. (a)		14,138		951,346
Bright Horizons Family Solutions, Inc. (a)		27,016		4,119,940
The Brink’s Co.		21,979		1,823,158
Cardtronics PLC Class A (a)		59,120		1,787,789
Chegg, Inc. (a)		48,049		1,439,068
Euronet Worldwide, Inc. (a)		18,143		2,654,321
Grand Canyon Education, Inc. (a)		11,090		1,089,038
HealthEquity, Inc. (a)		16,393		936,778
HMS Holdings Corp. (a)		100,049		3,448,189
Insperity, Inc.		10,189		1,004,839
Liveramp Holdings, Inc. (a)		29,736		1,277,459
Monro, Inc.		3,800		300,238
Paylocity Holding Corp. (a)		24,845		2,424,375
Strategic Education, Inc.		20,722		2,815,705
TriNet Group, Inc. (a)		69,062		4,294,966
				30,543,993
Foods — 1.7%
Nomad Foods Ltd. (a)		53,952		1,106,016
Performance Food Group Co. (a)		62,310		2,866,883
Post Holdings, Inc. (a)		7,636		808,194
Sanderson Farms, Inc.		8,300		1,256,039
The Simply Good Foods Co. (a)		96,343		2,792,984
				8,830,116
Health Care – Products — 10.5%
Adaptive Biotechnologies Corp. (a)		7,171		221,584
Avanos Medical, Inc. (a)		27,658		1,036,069
Bio-Techne Corp.		20,977		4,104,569
CareDx, Inc. (a)		43,487		983,241
Genomic Health, Inc. (a)		37,523		2,544,810

	Number of Shares		Value
Glaukos Corp. (a)		14,218	$	888,767
Globus Medical, Inc. Class A (a)		72,491		3,705,740
Haemonetics Corp. (a)		53,322		6,726,037
Hill-Rom Holdings, Inc.		19,967		2,101,127
Inspire Medical Systems, Inc. (a)		27,081		1,652,482
Insulet Corp. (a)		62,248		10,266,563
iRhythm Technologies, Inc. (a)		36,638		2,715,242
Masimo Corp. (a)		24,099		3,585,690
Novocure Ltd. (a)		19,891		1,487,449
Penumbra, Inc. (a) (e)		21,687		2,916,685
Repligen Corp. (a)		54,423		4,173,700
Tandem Diabetes Care, Inc. (a)		56,252		3,317,743
Wright Medical Group NV (a)		50,174		1,035,090
				53,462,588
Health Care – Services — 2.7%
Acadia Healthcare Co., Inc. (a)		29,300		910,644
Addus HomeCare Corp. (a)		15,132		1,199,665
Amedisys, Inc. (a)		43,688		5,723,565
LHC Group, Inc. (a)		16,782		1,905,764
Medpace Holdings, Inc. (a)		17,617		1,480,533
Molina Healthcare, Inc. (a)		9,431		1,034,769
Teladoc Health, Inc. (a) (e)		25,122		1,701,262
				13,956,202
Pharmaceuticals — 2.8%
Aerie Pharmaceuticals, Inc. (a)		18,961		364,430
Agios Pharmaceuticals, Inc. (a) (e)		19,181		621,464
Ascendis Pharma A/S ADR (a)		6,707		646,018
G1 Therapeutics, Inc. (a)		48,384		1,102,188
Galapagos NV Sponsored ADR (a) (e)		12,968		1,979,695
Global Blood Therapeutics, Inc. (a)		17,131		831,196
Heron Therapeutics, Inc. (a)		26,697		493,895
MyoKardia, Inc. (a)		22,483		1,172,489
Portola Pharmaceuticals, Inc. (a)		18,800		504,216
PRA Health Sciences, Inc. (a)		41,666		4,134,517
Ra Pharmaceuticals, Inc. (a)		27,016		638,928
Reata Pharmaceuticals, Inc. Class A (a)		5,668		455,084
Revance Therapeutics, Inc. (a)		39,806		517,478
Rhythm Pharmaceuticals, Inc. (a)		19,909		429,835
UroGen Pharma Ltd. (a) (e)		13,904		331,332
				14,222,765
				137,105,553
Energy — 2.0%
Energy – Alternate Sources — 0.9%
First Solar, Inc. (a)		39,766		2,306,826
Pattern Energy Group, Inc. Class A		89,236		2,403,125
				4,709,951
Oil & Gas — 1.1%
Delek US Holdings, Inc.		51,831		1,881,465

The accompanying notes are an integral part of the financial statements.

186

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Matador Resources Co. (a)		64,871	$	1,072,318
Viper Energy Partners LP		87,170		2,411,994
				5,365,777
				10,075,728
Financial — 17.3%
Banks — 3.7%
Ameris Bancorp		54,994		2,212,959
Atlantic Union Bankshares Corp.		104,373		3,887,372
BancorpSouth Bank		118,666		3,513,700
CenterState Bank Corp.		41,101		985,808
First Interstate BancSystem, Inc. Class A		48,023		1,932,446
National Bank Holdings Corp. Class A		56,346		1,926,470
Pinnacle Financial Partners, Inc.		18,448		1,046,924
Seacoast Banking Corp. of Florida (a)		67,427		1,706,577
South State Corp.		21,111		1,589,658
				18,801,914
Diversified Financial Services — 3.2%
Air Lease Corp.		44,425		1,857,854
Ares Management Corp. Class A		32,110		860,869
Hamilton Lane, Inc. Class A		50,616		2,883,087
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		171,923		5,011,555
LPL Financial Holdings, Inc.		34,764		2,847,172
PRA Group, Inc. (a)		85,947		2,904,149
				16,364,686
Insurance — 3.2%
Assured Guaranty Ltd.		52,281		2,324,413
eHealth, Inc. (a)		21,095		1,408,935
James River Group Holdings Ltd.		40,977		2,099,662
Kemper Corp.		38,981		3,038,569
Kinsale Capital Group, Inc.		19,886		2,054,423
MGIC Investment Corp.		139,562		1,755,690
NMI Holdings, Inc. Class A (a)		66,658		1,750,439
Primerica, Inc.		15,289		1,945,219
				16,377,350
Private Equity — 0.7%
Kennedy-Wilson Holdings, Inc.		174,312		3,820,919
Real Estate — 0.8%
McGrath RentCorp		60,861		4,235,317
Real Estate Investment Trusts (REITS) — 4.9%
Agree Realty Corp.		27,535		2,014,185
Americold Realty Trust		26,931		998,332
Brandywine Realty Trust		112,772		1,708,496
CoreSite Realty Corp.		13,072		1,592,823
First Industrial Realty Trust, Inc.		50,595		2,001,538
Life Storage, Inc.		17,932		1,890,212
MFA Financial, Inc.		237,570		1,748,515
NexPoint Residential Trust, Inc.		85,009		3,975,021

	Number of Shares		Value
PotlatchDeltic Corp.		57,281	$	2,353,390
PS Business Parks, Inc.		8,650		1,573,867
Redwood Trust, Inc.		99,633		1,634,978
Xenia Hotels & Resorts, Inc.		164,049		3,464,715
				24,956,072
Savings & Loans — 0.8%
Sterling Bancorp		190,653		3,824,499
				88,380,757
Industrial — 15.7%
Aerospace & Defense — 2.6%
Aerojet Rocketdyne Holdings, Inc. (a)		122,959		6,210,659
HEICO Corp.		15,013		1,874,824
Kratos Defense & Security Solutions, Inc. (a)		53,605		996,785
Mercury Systems, Inc. (a)		50,308		4,083,500
				13,165,768
Building Materials — 0.8%
Louisiana-Pacific Corp.		82,300		2,022,934
Trex Co., Inc. (a)		22,437		2,040,196
				4,063,130
Electrical Components & Equipment — 1.0%
EnerSys		49,039		3,233,632
Novanta, Inc. (a)		21,979		1,796,124
				5,029,756
Electronics — 0.9%
Watts Water Technologies, Inc. Class A		17,088		1,601,658
Woodward, Inc.		28,147		3,035,091
				4,636,749
Engineering & Construction — 0.7%
Argan, Inc.		87,135		3,423,534
Environmental Controls — 1.3%
Casella Waste Systems, Inc. Class A (a)		69,656		2,991,028
Clean Harbors, Inc. (a)		44,274		3,417,953
				6,408,981
Machinery – Diversified — 1.8%
Chart Industries, Inc. (a)		84,626		5,277,277
Curtiss-Wright Corp.		15,248		1,972,634
SPX FLOW, Inc. (a)		52,317		2,064,429
				9,314,340
Metal Fabricate & Hardware — 2.6%
Advanced Drainage Systems, Inc.		115,199		3,717,472
RBC Bearings, Inc. (a)		24,780		4,111,250
Rexnord Corp. (a)		206,486		5,585,446
				13,414,168

The accompanying notes are an integral part of the financial statements.

187

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Miscellaneous – Manufacturing — 2.6%
Actuant Corp. Class A		146,124	$	3,205,961
Axon Enterprise, Inc. (a)		15,467		878,216
Hexcel Corp.		8,796		722,415
ITT, Inc.		95,720		5,857,107
John Bean Technologies Corp.		25,435		2,529,002
				13,192,701
Packaging & Containers — 0.6%
Graphic Packaging Holding Co.		214,115		3,158,196
Transportation — 0.5%
CryoPort, Inc. (a) (e)		34,551		565,082
Kirby Corp. (a)		25,269		2,076,101
				2,641,183
Trucking & Leasing — 0.3%
GATX Corp.		22,130		1,715,739
				80,164,245
Technology — 14.7%
Computers — 2.5%
Endava PLC Sponsored ADR (a)		27,869		1,054,842
EPAM Systems, Inc. (a)		5,476		998,384
ForeScout Technologies, Inc. (a)		46,524		1,764,190
Globant SA (a)		19,382		1,775,004
Kornit Digital Ltd. (a) (e)		56,488		1,738,701
Rapid7, Inc. (a)		56,942		2,584,597
Science Applications International Corp.		32,880		2,872,068
				12,787,786
Office & Business Equipment — 0.4%
Zebra Technologies Corp. Class A (a)		10,017		2,067,208
Semiconductors — 4.2%
Cohu, Inc.		100,680		1,359,683
Entegris, Inc.		82,034		3,860,520
Lattice Semiconductor Corp. (a)		231,061		4,224,950
MKS Instruments, Inc.		29,148		2,689,778
Monolithic Power Systems, Inc.		22,597		3,516,771
Silicon Laboratories, Inc. (a)		11,438		1,273,621
Tower Semiconductor Ltd. (a)		229,645		4,418,370
				21,343,693
Software — 7.6%
Alteryx, Inc. Class A (a)		21,563		2,316,513
Bandwidth, Inc. Class A (a)		34,159		2,224,093
Castlight Health, Inc. Class B (a)		188,762		266,154
Cloudera, Inc. (a) (e)		119,627		1,059,895
Cloudflare, Inc. (a)		51,739		960,793
Coupa Software, Inc. (a)		30,389		3,937,503
Envestnet, Inc. (a)		11,600		657,720
Fair Isaac Corp. (a)		3,564		1,081,745
Five9, Inc. (a)		56,847		3,054,958
Guidewire Software, Inc. (a)		16,163		1,703,257

	Number of Shares		Value
HubSpot, Inc. (a)		31,595	$	4,790,118
ManTech International Corp. Class A		39,248		2,802,700
MongoDB, Inc. (a) (e)		19,599		2,361,288
Omnicell, Inc. (a)		95,375		6,892,751
SailPoint Technologies Holding, Inc. (a)		52,245		976,459
SVMK, Inc. (a)		92,500		1,581,750
Zynga, Inc. Class A (a)		325,234		1,892,862
				38,560,559
				74,759,246
Utilities — 0.3%
Electric — 0.3%
Black Hills Corp.		22,599		1,734,021
TOTAL COMMON STOCK (Cost $445,113,235)				499,688,938
PREFERRED STOCK — 0.2%
Communications — 0.1%
Internet — 0.1%
The Honest Company, Inc., Series D (Acquired 8/03/15, Cost $650,636) (a) (b) (c) (d)		14,220		550,172
Technology — 0.1%
Software — 0.1%
MarkLogic Corp., Series F (Acquired 4/27/15, Cost $894,502) (a) (b) (c) (d)		77,018		744,764
TOTAL PREFERRED STOCK (Cost $1,545,139)				1,294,936
TOTAL EQUITIES (Cost $446,658,374)				500,983,874
MUTUAL FUNDS — 3.3%
Diversified Financial Services — 3.3%
State Street Navigator Securities Lending Prime Portfolio (f)		16,878,460		16,878,460
				16,878,460
TOTAL MUTUAL FUNDS (Cost $16,878,460)				16,878,460
TOTAL LONG-TERM INVESTMENTS (Cost $463,536,834)				517,862,334

The accompanying notes are an integral part of the financial statements.

188

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.3%
Repurchase Agreement — 1.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (g)	$	6,519,711	$	6,519,711
TOTAL SHORT-TERM INVESTMENTS (Cost $6,519,711)				6,519,711
TOTAL INVESTMENTS — 102.8% (Cost $470,056,545) (h)				524,382,045
Other Assets/(Liabilities) — (2.8)%				(14,402,119	)
NET ASSETS — 100.0%			$	509,979,926

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Investment was valued using significant unobservable inputs.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $2,089,016 or 0.41% of net assets.

(d) Restricted security. Certain securities are restricted as to resale. At September 30, 2019, these securities amounted to a value of $2,089,016 or 0.41% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(e) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $16,478,411 or 3.23% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(f) Represents investment of security lending collateral. (Note 2).

(g) Maturity value of $6,519,883. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 3/31/23, and an aggregate market value, including accrued interest, of $6,659,746.

(h) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

189

MM MSCI EAFE International Index Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 98.2%
COMMON STOCK — 97.7%
Australia — 6.8%
The AGL Energy Ltd.		10,497	$	135,657
Alumina Ltd.		38,789		62,097
AMP Ltd.		53,650		66,216
APA Group		19,587		151,717
Aristocrat Leisure Ltd.		9,292		192,681
ASX Ltd.		3,228		176,906
Aurizon Holdings Ltd.		32,341		128,927
AusNet Services		29,454		36,057
Australia & New Zealand Banking Group Ltd.		46,320		895,092
Bank of Queensland Ltd.		6,610		44,305
Bendigo & Adelaide Bank Ltd.		8,270		64,170
BHP Group Ltd.		48,212		1,193,610
BlueScope Steel Ltd.		7,966		64,639
Boral Ltd.		20,051		65,802
Brambles Ltd.		26,286		202,511
Caltex Australia Ltd.		3,848		68,626
Challenger Ltd.		8,875		44,326
CIMIC Group Ltd.		1,649		35,081
Coca-Cola Amatil Ltd.		8,486		61,063
Cochlear Ltd.		968		136,213
Coles Group Ltd.		18,631		193,894
Commonwealth Bank of Australia		29,032		1,588,634
Computershare Ltd.		7,899		86,636
Crown Resorts Ltd.		6,282		51,122
CSL Ltd.		7,412		1,171,238
Dexus		18,441		148,573
Flight Centre Travel Group Ltd.		864		27,793
Fortescue Metals Group Ltd.		22,874		137,185
Goodman Group		27,058		258,912
The GPT Group		30,881		128,544
Harvey Norman Holdings Ltd. (a)		9,263		28,351
Incitec Pivot Ltd.		23,451		53,736
Insurance Australia Group Ltd.		38,277		204,306
LendLease Group		9,297		110,376
Macquarie Group Ltd.		5,258		465,899
Magellan Financial Group Ltd.		1,974		68,622
Medibank Pvt. Ltd.		44,277		101,904
Mirvac Group		65,607		135,687
National Australia Bank Ltd.		45,956		924,591
Newcrest Mining Ltd.		12,455		290,382
Orica Ltd.		6,092		92,800
Origin Energy Ltd.		29,620		160,284
QBE Insurance Group Ltd.		21,302		181,032
Ramsay Health Care Ltd.		2,430		106,513
REA Group Ltd.		895		65,642
Rio Tinto Ltd.		6,121		384,969
Santos Ltd.		29,395		154,109

	Number of Shares		Value
Scentre Group		86,667	$	230,110
SEEK Ltd.		5,258		76,319
Sonic Healthcare Ltd.		7,130		135,315
South32 Ltd.		83,707		148,756
Stockland		37,724		115,927
Suncorp Group Ltd.		20,571		189,611
Sydney Airport		17,221		93,485
Tabcorp Holdings Ltd.		32,375		106,055
Telstra Corp. Ltd.		66,113		156,838
TPG Telecom Ltd.		6,332		29,708
Transurban Group		43,506		431,871
Treasury Wine Estates Ltd.		11,718		147,081
Vicinity Centres		55,422		96,200
Washington H Soul Pattinson & Co. Ltd.		1,775		25,212
Wesfarmers Ltd.		18,480		497,178
Westpac Banking Corp.		56,532		1,132,317
Woodside Petroleum Ltd.		15,264		335,059
Woolworths Group Ltd.		20,765		523,163
WorleyParsons Ltd.		5,330		47,148
				15,664,783
Austria — 0.2%
ANDRITZ AG		1,224		50,066
Erste Group Bank AG		4,897		162,119
OMV AG		2,484		133,076
Raiffeisen Bank International AG		2,364		54,949
Verbund AG		1,145		62,632
voestalpine AG		1,860		42,802
				505,644
Belgium — 1.0%
Ageas		2,848		158,048
Anheuser-Busch InBev SA/NV		12,464		1,186,573
Colruyt SA		965		52,877
Groupe Bruxelles Lambert SA		1,354		130,096
KBC Group NV		4,114		267,711
Proximus SADP		2,511		74,603
Solvay SA		1,213		125,776
Telenet Group Holding NV		750		35,402
UCB SA		1,984		144,066
Umicore SA (a)		3,181		120,192
				2,295,344
Bermuda — 0.3%
CK Infrastructure Holdings Ltd.		11,000		73,780
Dairy Farm International Holdings Ltd.		5,700		35,932
Hongkong Land Holdings Ltd.		19,800		111,562
Jardine Matheson Holdings Ltd.		3,500		187,728
Jardine Strategic Holdings Ltd.		3,700		110,769
Kerry Properties Ltd.		11,000		34,043
NWS Holdings Ltd.		26,368		40,879

The accompanying notes are an integral part of the financial statements.

190

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Shangri-La Asia Ltd.		18,000	$	18,404
Yue Yuen Industrial Holdings Ltd.		12,000		32,937
				646,034
Cayman Islands — 0.6%
ASM Pacific Technology Ltd.		5,000		61,424
BeiGene Ltd. ADR (b)		583		71,394
CK Asset Holdings Ltd.		42,745		291,075
CK Hutchison Holdings Ltd.		43,245		380,184
Melco Resorts & Entertainment Ltd. ADR		3,405		66,091
MGM China Holdings Ltd.		16,000		25,156
Sands China Ltd.		40,400		184,459
WH Group Ltd. (c)		158,072		143,043
Wharf Real Estate Investment Co. Ltd.		20,000		109,647
Wynn Macau Ltd.		25,200		49,546
				1,382,019
Denmark — 1.7%
AP Moller — Maersk A/S Class A		60		64,147
AP Moller — Maersk A/S Class B		103		116,780
Carlsberg A/S Class B		1,725		255,227
Chr Hansen Holding A/S		1,743		147,985
Coloplast A/S Class B		1,936		233,393
Danske Bank A/S		10,767		149,894
Demant A/S (b)		1,660		42,562
DSV A/S		3,623		345,101
Genmab A/S (b)		1,086		220,742
H Lundbeck A/S		1,147		38,057
ISS A/S		2,475		61,245
Novo Nordisk A/S Class B		28,996		1,497,209
Novozymes A/S Class B		3,542		148,910
Orsted A/S (c)		3,118		289,596
Pandora A/S		1,605		64,500
Tryg A/S		1,868		53,529
Vestas Wind Systems A/S		3,039		236,092
				3,964,969
Finland — 1.1%
Elisa OYJ		2,410		124,244
Fortum OYJ		7,184		169,947
Kone OYJ Class B		5,542		315,692
Metso OYJ		1,689		63,065
Neste OYJ (a)		7,010		231,620
Nokia OYJ		91,725		464,840
Nokian Renkaat OYJ		2,000		56,467
Nordea Bank Abp		52,784		374,721
Orion OYJ Class B		1,659		61,867
Sampo OYJ Class A		7,184		285,801
Stora Enso OYJ Class R		9,355		112,835
UPM-Kymmene OYJ		8,768		259,469
Wartsila OYJ Abp		7,010		78,635
				2,599,203

	Number of Shares		Value
France — 10.4%
Accor SA		2,933	$	122,382
Aeroports de Paris		476		84,657
Air Liquide SA		7,003		997,809
Alstom SA		3,125		129,577
Amundi SA (c)		936		65,339
Arkema SA		1,157		108,010
Atos SE		1,649		116,384
AXA SA		31,702		810,318
BioMerieux		726		60,088
BNP Paribas SA		18,437		898,929
Bollore SA		14,853		61,594
Bouygues SA		3,636		145,781
Bureau Veritas SA		4,615		111,283
Capgemini SE		2,624		309,517
Carrefour SA		9,594		167,907
Casino Guichard Perrachon SA (a)		921		43,946
Cie de Saint-Gobain		7,895		310,124
Cie Generale des Etablissements Michelin SCA		2,811		314,129
CNP Assurances		2,968		57,390
Covivio		705		74,613
Credit Agricole SA		18,433		224,140
Danone SA		10,093		888,951
Dassault Aviation SA		40		56,571
Dassault Systemes SE		2,170		309,133
Edenred		3,886		186,610
Eiffage SA		1,270		131,752
Electricite de France SA		10,039		112,348
Engie SA		29,665		484,663
EssilorLuxottica SA		4,631		668,055
Eurazeo SE		586		43,620
Eutelsat Communications SA		2,857		53,198
Faurecia SE		1,290		61,330
Gecina SA		746		117,218
Getlink SE		7,234		108,694
Hermes International		518		358,284
ICADE		524		46,862
Iliad SA		440		41,320
Imerys SA		609		24,506
Ingenico Group SA		972		94,894
Ipsen SA		600		56,951
JCDecaux SA		1,295		35,078
Kering SA		1,234		629,972
Klepierre		3,190		108,323
L’Oreal SA		4,138		1,159,503
Legrand SA		4,347		310,493
LVMH Moet Hennessy Louis Vuitton SE		4,551		1,811,615
Natixis SA		16,032		66,581
Orange SA		32,380		508,249
Pernod Ricard SA		3,467		617,196
Peugeot SA		9,604		239,869

The accompanying notes are an integral part of the financial statements.

191

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Publicis Groupe SA		3,420	$	168,145
Remy Cointreau SA		358		47,515
Renault SA		3,142		180,542
Safran SA		5,352		843,697
Sanofi		18,354		1,701,939
Sartorius Stedim Biotech		445		62,263
Schneider Electric SE		8,311		729,119
Schneider Electric SE		620		54,374
SCOR SE		2,489		102,862
SEB SA		387		58,797
Societe BIC SA		410		27,538
Societe Generale SA		12,686		348,043
Sodexo SA		1,472		165,356
Suez		5,478		86,154
Teleperformance		938		203,516
Thales SA		1,723		198,303
Total SA		38,942		2,027,317
Ubisoft Entertainment SA (b)		1,343		97,130
Unibail Rodamco Westfield		11,160		80,292
Unibail Rodamco Westfield		1,295		188,786
Unibail Rodamco Westfield		428		62,394
Valeo SA		3,857		125,284
Veolia Environnement SA		8,709		220,935
Vinci SA		8,342		899,169
Vivendi SA		15,035		412,896
Wendel SA		483		66,693
Worldline SA (b) (c)		1,341		84,703
				23,789,518
Germany — 7.8%
1&1 Drillisch AG		804		25,060
adidas AG		2,954		919,352
Allianz SE Registered		6,962		1,623,510
Axel Springer SE (b)		819		56,235
BASF SE		14,979		1,047,838
Bayer AG Registered		15,283		1,077,557
Bayerische Motoren Werke AG		5,465		384,405
Beiersdorf AG		1,618		190,907
Brenntag AG		2,587		125,196
Carl Zeiss Meditec AG		673		76,683
Commerzbank AG		16,977		98,524
Continental AG		1,815		232,999
Covestro AG (c)		2,809		138,994
Daimler AG Registered		14,852		737,712
Delivery Hero AG (b) (c)		1,842		81,825
Deutsche Bank AG Registered		32,413		242,806
Deutsche Boerse AG		3,131		489,441
Deutsche Lufthansa AG Registered		4,022		63,917
Deutsche Post AG Registered		16,030		535,438
Deutsche Telekom AG Registered		54,060		907,533
Deutsche Wohnen SE		5,785		211,249
E.ON SE		35,514		345,134
Evonik Industries AG		2,957		72,997

	Number of Shares		Value
Fraport AG Frankfurt Airport Services Worldwide		688	$	58,355
Fresenius Medical Care AG & Co. KGaA		3,558		239,125
Fresenius SE & Co. KGaA		6,874		321,360
GEA Group AG		2,370		63,993
Hannover Rueck SE		1,009		170,654
HeidelbergCement AG		2,505		181,104
Henkel AG & Co. KGaA		1,644		150,558
HOCHTIEF AG		407		46,356
HUGO BOSS AG		1,080		57,903
Infineon Technologies AG		20,594		370,198
KION Group AG		1,005		52,793
Knorr-Bremse AG		768		72,190
LANXESS AG		1,411		86,135
Merck KGaA		2,151		242,382
METRO AG		2,772		43,738
MTU Aero Engines AG		836		222,131
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered		2,352		608,516
Puma SE		340		26,311
Puma SE		980		75,839
RWE AG		8,852		276,972
SAP SE		16,045		1,886,321
Siemens AG Registered		12,524		1,342,116
Siemens Healthineers AG (c)		2,536		99,770
Symrise AG		2,117		205,747
Telefonica Deutschland Holding AG		12,902		35,970
thyssenkrupp AG		6,262		86,778
TUI AG		7,433		86,503
Uniper SE		3,386		111,034
United Internet AG Registered		2,076		74,049
Volkswagen AG		556		95,564
Vonovia SE		8,324		422,257
Wirecard AG		1,936		309,400
Zalando SE (b) (c)		2,050		93,561
				17,900,995
Hong Kong — 2.6%
AIA Group Ltd.		197,380		1,852,048
The Bank of East Asia Ltd.		22,863		56,395
BOC Hong Kong Holdings Ltd.		60,500		206,439
CLP Holdings Ltd.		26,999		282,698
Galaxy Entertainment Group Ltd.		36,000		225,864
Hang Lung Properties Ltd.		33,000		75,009
Hang Seng Bank Ltd.		12,300		266,108
Henderson Land Development Co. Ltd.		24,325		113,409
HK Electric Investments & HK Electric Investments Ltd. Class SS		43,706		41,660
HKT Trust & HKT Ltd.		57,840		91,962
Hong Kong & China Gas Co. Ltd.		167,813		325,939

The accompanying notes are an integral part of the financial statements.

192

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Hong Kong Exchanges & Clearing Ltd.		19,681	$	580,927
Hysan Development Co. Ltd.		11,035		44,646
Link REIT		34,223		375,715
MTR Corp. Ltd.		24,028		134,198
New World Development Co. Ltd.		101,890		133,103
PCCW Ltd.		71,136		39,956
Power Assets Holdings Ltd.		23,000		154,589
Sino Land Co. Ltd.		50,341		75,979
SJM Holdings Ltd.		34,000		32,542
Sun Hung Kai Properties Ltd.		25,758		372,383
Swire Pacific Ltd. Class A		8,000		74,552
Swire Properties Ltd.		19,996		63,030
Techtronic Industries Co. Ltd.		21,403		150,205
Vitasoy International Holdings Ltd.		12,000		48,654
The Wharf Holdings Ltd.		21,000		45,972
Wheelock & Co. Ltd.		14,000		79,798
				5,943,780
Ireland — 0.6%
AIB Group PLC		13,857		41,225
Bank of Ireland Group PLC		15,045		59,796
CRH PLC		13,235		454,267
DCC PLC		1,659		144,695
Flutter Entertainment PLC (b)		1,257		117,550
James Hardie Industries PLC		7,352		123,472
Kerry Group PLC Class A		2,618		307,289
Kingspan Group PLC		2,587		126,824
Smurfit Kappa Group PLC		3,496		103,994
				1,479,112
Israel — 0.6%
Azrieli Group Ltd.		718		56,392
Bank Hapoalim B.M. (b)		18,105		142,729
Bank Leumi Le-Israel BM		24,573		174,909
Check Point Software Technologies Ltd. (b)		1,964		215,058
CyberArk Software Ltd. (b)		600		59,892
Elbit Systems Ltd.		390		64,641
Israel Chemicals Ltd.		11,207		55,850
Israel Discount Bank Ltd.		20,201		88,863
Mizrahi Tefahot Bank Ltd.		2,307		57,347
Nice Ltd. (b)		1,047		150,727
Teva Pharmaceutical Industries Ltd. Sponsored ADR (b)		17,907		123,200
Wix.com Ltd. (b)		764		89,189
				1,278,797
Italy — 1.9%
Assicurazioni Generali SpA		17,753		344,282
Atlantia SpA		8,209		198,768
Davide Campari-Milano SpA		9,775		88,387
Enel SpA		132,967		993,514
Eni SpA		41,407		632,397

	Number of Shares		Value
FinecoBank Banca Fineco SpA		10,061	$	106,649
Intesa Sanpaolo SpA		245,775		583,471
Leonardo SpA		6,438		75,799
Mediobanca Banca di Credito Finanziario SpA		10,626		116,158
Moncler SpA		3,010		107,366
Pirelli & C SpA (c)		6,657		39,451
Poste Italiane SpA (c)		8,592		97,799
Prysmian SpA		4,071		87,499
Recordati SpA		1,755		75,331
Snam SpA		31,816		160,861
Telecom Italia SpA (b)		148,473		84,802
Terna Rete Elettrica Nazionale SpA		23,695		152,177
UniCredit SpA		32,796		387,451
				4,332,162
Japan — 24.2%
ABC-Mart, Inc.		500		31,789
Acom Co. Ltd.		6,300		24,820
Advantest Corp.		3,300		145,956
Aeon Co. Ltd.		11,000		202,328
AEON Financial Service Co. Ltd.		1,800		27,235
Aeon Mall Co. Ltd.		1,500		23,753
AGC, Inc.		3,100		96,730
Air Water, Inc.		2,400		43,157
Aisin Seiki Co. Ltd.		2,600		82,233
Ajinomoto Co. Inc.		7,300		138,116
Alfresa Holdings Corp.		3,100		69,556
Alps Electric Co. Ltd.		3,300		61,989
Amada Holdings Co. Ltd.		5,800		62,957
ANA Holdings, Inc.		2,000		67,259
Aozora Bank Ltd.		1,900		47,682
Asahi Group Holdings Ltd.		6,000		297,054
Asahi Intecc Co. Ltd.		3,200		84,680
Asahi Kasei Corp.		20,600		204,257
Astellas Pharma, Inc.		30,600		437,322
Bandai Namco Holdings, Inc.		3,300		205,590
The Bank of Kyoto Ltd.		800		31,493
Benesse Holdings, Inc.		1,100		28,670
Bridgestone Corp.		9,100		353,863
Brother Industries Ltd.		3,600		65,703
Calbee, Inc.		1,300		40,536
Canon, Inc.		16,600		443,144
Casio Computer Co. Ltd.		3,200		49,601
Central Japan Railway Co.		2,300		474,733
Century Tokyo Leasing Corp.		700		32,596
The Chiba Bank Ltd.		9,700		50,189
Chubu Electric Power Co. Inc.		10,900		157,875
Chugai Pharmaceutical Co. Ltd.		3,700		288,434
The Chugoku Electric Power Co., Inc.		4,900		62,934
Coca-Cola Bottlers Japan Holdings, Inc.		2,100		47,353
Concordia Financial Group Ltd.		17,400		67,118

The accompanying notes are an integral part of the financial statements.

193

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Credit Saison Co. Ltd.		2,600	$	35,070
CyberAgent, Inc.		1,700		65,680
Dai Nippon Printing Co. Ltd.		3,900		101,364
Dai-ichi Life Holdings, Inc.		17,700		268,973
Daicel Corp.		3,800		32,331
Daifuku Co. Ltd.		1,700		88,471
Daiichi Sankyo Co. Ltd.		9,200		580,199
Daikin Industries Ltd.		4,100		538,370
Daito Trust Construction Co. Ltd.		1,200		153,851
Daiwa House Industry Co. Ltd.		9,400		306,277
Daiwa House REIT Investment Corp.		29		81,545
Daiwa Securities Group, Inc.		26,700		119,591
Denso Corp.		7,200		318,088
Dentsu, Inc.		3,600		127,451
Disco Corp.		400		76,542
East Japan Railway Co.		5,000		478,315
Eisai Co. Ltd.		4,100		209,403
Electric Power Development Co. Ltd.		2,600		59,547
FamilyMart Co. Ltd.		4,000		97,864
FANUC Corp.		3,200		607,039
Fast Retailing Co. Ltd.		900		536,529
Fuji Electric Co. Ltd.		2,000		61,710
FUJIFILM Holdings Corp.		6,000		264,421
Fujitsu Ltd.		3,200		257,010
Fukuoka Financial Group, Inc.		2,900		55,154
GMO Payment Gateway, Inc.		700		46,778
Hakuhodo DY Holdings, Inc.		3,700		53,801
Hamamatsu Photonics KK		2,200		82,295
Hankyu Hanshin Holdings, Inc.		3,700		143,214
Hikari Tsushin, Inc.		300		65,167
Hino Motors Ltd.		4,200		34,803
Hirose Electric Co. Ltd.		525		64,769
Hisamitsu Pharmaceutical Co., Inc.		800		35,203
Hitachi Chemical Co. Ltd.		1,700		55,606
Hitachi Construction Machinery Co. Ltd.		1,700		41,308
Hitachi High-Technologies Corp.		1,100		63,559
Hitachi Ltd.		15,900		595,442
Hitachi Metals Ltd.		3,500		38,012
Honda Motor Co. Ltd.		26,300		684,698
Hoshizaki Corp.		900		71,012
Hoya Corp.		6,200		506,148
Hulic Co. Ltd.		4,000		41,062
Idemitsu Kosan Co. Ltd.		3,171		89,174
IHI Corp.		2,300		50,313
Iida Group Holdings Co. Ltd.		2,500		40,911
Inpex Corp.		16,700		152,338
Isetan Mitsukoshi Holdings Ltd.		5,800		46,457
Isuzu Motors Ltd.		9,000		99,882
ITOCHU Corp.		21,800		451,905
Itochu Techno-Solutions Corp.		1,700		45,038
J Front Retailing Co. Ltd.		3,600		42,323
Japan Airlines Co. Ltd.		1,600		47,556
Japan Airport Terminal Co. Ltd.		800		34,843

	Number of Shares		Value
Japan Exchange Group, Inc.		8,600	$	136,081
Japan Post Bank Co. Ltd.		7,000		68,041
Japan Post Holdings Co. Ltd.		26,000		240,110
Japan Prime Realty Investment Corp.		14		66,456
Japan Real Estate Investment Corp.		21		140,820
Japan Retail Fund Investment Corp.		45		95,145
Japan Tobacco, Inc.		19,400		425,110
JFE Holdings, Inc.		8,000		96,842
JGC Corp.		3,300		43,514
JSR Corp.		3,000		48,312
JTEKT Corp.		3,300		38,143
JXTG Holdings, Inc.		53,300		241,759
Kajima Corp.		7,500		98,925
Kakaku.com, Inc.		2,300		56,861
Kamigumi Co. Ltd.		1,900		43,043
Kaneka Corp.		800		25,095
The Kansai Electric Power Co., Inc.		11,300		126,378
Kansai Paint Co. Ltd.		2,800		65,445
Kao Corp.		7,900		585,889
Kawasaki Heavy Industries Ltd.		2,300		51,261
KDDI Corp.		28,800		752,836
Keihan Holdings Co. Ltd.		1,500		66,925
Keikyu Corp.		3,500		68,146
Keio Corp.		1,700		106,165
Keisei Electric Railway Co. Ltd.		2,000		82,559
Keyence Corp.		1,500		934,556
Kikkoman Corp.		2,300		110,419
Kintetsu Group Holdings Co. Ltd.		2,800		146,236
Kirin Holdings Co. Ltd.		13,500		286,591
Kobayashi Pharmaceutical Co. Ltd.		800		61,150
Kobe Steel Ltd.		5,200		27,917
Koito Manufacturing Co. Ltd.		1,600		78,885
Komatsu Ltd.		15,200		350,291
Konami Holdings Corp.		1,600		77,515
Konica Minolta, Inc.		7,100		49,647
Kose Corp.		500		84,491
Kubota Corp.		17,200		261,615
Kuraray Co. Ltd.		5,100		63,086
Kurita Water Industries Ltd.		1,800		48,473
Kyocera Corp.		5,300		331,005
Kyowa Kirin Co. Ltd.		4,100		79,619
Kyushu Electric Power Co, Inc.		6,000		56,635
Kyushu Railway Co.		2,600		83,150
Lawson, Inc.		800		40,979
LINE Corp. (b)		1,000		35,807
Lion Corp.		3,700		72,994
LIXIL Group Corp.		4,200		73,853
M3, Inc.		6,900		167,080
Makita Corp.		3,800		120,611
Marubeni Corp.		25,600		170,869
Marui Group Co. Ltd.		3,300		69,972
Maruichi Steel Tube Ltd.		900		23,897
Mazda Motor Corp.		9,700		86,764

The accompanying notes are an integral part of the financial statements.

194

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
McDonald’s Holdings Co. Japan Ltd.		1,100	$	53,222
Mebuki Financial Group Inc.		13,300		32,916
Medipal Holdings Corp.		2,700		60,361
MEIJI Holdings Co. Ltd.		1,800		131,411
Mercari, Inc. (b)		1,200		29,985
MinebeaMitsumi, Inc.		6,200		99,072
MISUMI Group, Inc.		4,800		114,030
Mitsubishi Chemical Holding Corp.		21,200		151,940
Mitsubishi Corp.		22,300		549,128
Mitsubishi Electric Corp.		30,100		402,151
Mitsubishi Estate Co. Ltd.		19,300		373,714
Mitsubishi Gas Chemical Co., Inc.		2,600		34,946
Mitsubishi Heavy Industries Ltd.		5,300		208,479
Mitsubishi Materials Corp.		1,800		48,862
Mitsubishi Motors Corp.		10,600		46,260
Mitsubishi Tanabe Pharma Corp.		4,000		44,043
Mitsubishi UFJ Financial Group, Inc.		200,400		1,021,375
Mitsubishi UFJ Lease & Finance Co. Ltd.		6,400		37,151
Mitsui & Co. Ltd.		27,200		446,926
Mitsui Chemicals, Inc.		2,900		65,363
Mitsui Fudosan Co. Ltd.		14,700		365,848
Mitsui OSK Lines Ltd.		2,000		50,928
Mizuho Financial Group, Inc.		392,100		602,868
MonotaRO Co. Ltd. (a)		2,100		55,346
MS&AD Insurance Group Holdings, Inc.		7,800		253,751
Murata Manufacturing Co. Ltd.		9,300		450,239
Nabtesco Corp.		1,800		56,271
Nagoya Railroad Co. Ltd.		3,200		95,930
NEC Corp.		4,100		173,748
Nexon Co. Ltd. (b)		8,200		99,520
NGK Insulators Ltd.		4,600		65,894
NGK Spark Plug Co. Ltd.		2,600		49,898
NH Foods Ltd.		1,200		48,257
Nidec Corp.		3,600		487,831
Nikon Corp.		5,200		65,335
Nintendo Co. Ltd.		1,800		670,160
Nippon Building Fund, Inc.		22		168,944
Nippon Electric Glass Co. Ltd.		1,300		29,127
Nippon Express Co. Ltd.		1,200		61,223
Nippon Paint Holdings Co. Ltd.		2,400		125,198
Nippon Prologis REIT, Inc.		33		90,371
Nippon Steel Corp.		13,400		187,806
Nippon Telegraph & Telephone Corp.		10,600		506,984
Nippon Yusen KK		2,300		38,715
Nissan Chemical Corp.		2,100		87,793
Nissan Motor Co. Ltd.		38,100		238,575
Nisshin Seifun Group, Inc.		3,200		59,371
Nissin Foods Holdings Co. Ltd.		1,100		79,727
Nitori Holdings Co. Ltd.		1,300		190,199
Nitto Denko Corp.		2,700		130,862
Nomura Holdings, Inc.		54,000		228,353

	Number of Shares		Value
Nomura Real Estate Holdings, Inc.		2,100	$	45,540
Nomura Real Estate Master Fund, Inc.		62		111,949
Nomura Research Institute Ltd.		5,400		107,821
NSK Ltd.		5,700		48,375
NTT Data Corp.		10,100		131,008
NTT DOCOMO, Inc.		22,000		561,762
Obayashi Corp.		9,800		98,092
Obic Co. Ltd.		1,100		125,885
Odakyu Electric Railway Co. Ltd.		4,700		112,935
Oji Holdings Corp.		14,000		65,709
Olympus Corp.		19,000		257,162
Omron Corp.		3,100		171,073
Ono Pharmaceutical Co. Ltd.		6,400		116,395
Oracle Corp.		600		52,307
Oriental Land Co. Ltd.		3,300		502,029
ORIX Corp.		21,800		326,249
Osaka Gas Co. Ltd.		6,300		120,941
Otsuka Corp.		1,700		68,122
Otsuka Holdings Co. Ltd.		6,400		239,388
Pan Pacific International Holding Corp.		7,200		120,219
Panasonic Corp.		36,400		296,498
Park24 Co. Ltd.		1,800		41,776
PeptiDream, Inc. (b)		1,500		71,581
Persol Holdings Co. Ltd.		2,800		53,298
Pigeon Corp.		1,900		78,294
Pola Orbis Holdings, Inc.		1,600		36,013
Rakuten, Inc.		13,900		137,082
Recruit Holdings Co. Ltd.		22,100		675,479
Renesas Electronics Corp. (b)		13,000		84,544
Resona Holdings, Inc.		34,600		149,022
Ricoh Co. Ltd.		11,400		103,200
Rinnai Corp.		600		40,542
Rohm Co. Ltd.		1,500		115,673
Ryohin Keikaku Co. Ltd.		4,000		75,064
Sankyo Co. Ltd.		800		27,594
Santen Pharmaceutical Co. Ltd.		5,700		99,445
SBI Holdings, Inc.		3,642		78,404
Secom Co. Ltd.		3,400		311,242
Sega Sammy Holdings, Inc.		2,800		39,381
Seibu Holdings, Inc.		3,500		61,166
Seiko Epson Corp. (a)		4,100		57,978
Sekisui Chemical Co. Ltd.		6,300		98,203
Sekisui House Ltd.		10,500		207,245
Seven & i Holdings Co. Ltd.		12,200		468,173
Seven Bank Ltd.		10,000		27,470
SG Holdings Co. Ltd.		2,500		61,207
Sharp Corp. (a)		3,600		40,188
Shimadzu Corp.		3,800		96,582
Shimamura Co. Ltd.		400		31,801
Shimano, Inc.		1,200		181,508
Shimizu Corp.		10,100		91,844
Shin-Etsu Chemical Co. Ltd.		5,900		635,707
Shinsei Bank Ltd.		2,500		36,560

The accompanying notes are an integral part of the financial statements.

195

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Shionogi & Co. Ltd.		4,400	$	245,480
Shiseido Co. Ltd.		6,500		519,292
The Shizuoka Bank Ltd.		7,200		53,940
Showa Denko KK		2,300		60,621
SMC Corp.		900		387,227
Softbank Corp. (a)		27,200		368,374
SoftBank Group Corp.		27,000		1,060,482
Sohgo Security Services Co. Ltd.		1,200		63,124
Sompo Holdings, Inc.		5,600		235,462
Sony Corp.		20,800		1,222,219
Sony Financial Holdings, Inc.		2,400		52,274
Stanley Electric Co. Ltd.		2,200		58,633
Subaru Corp.		10,200		288,329
Sumco Corp.		3,800		51,565
Sumitomo Chemical Co. Ltd.		25,000		112,964
Sumitomo Corp.		19,700		309,039
Sumitomo Dainippon Pharma Co. Ltd.		2,600		42,970
Sumitomo Electric Industries Ltd.		12,700		162,200
Sumitomo Heavy Industries Ltd.		1,800		53,722
Sumitomo Metal Mining Co. Ltd.		3,900		121,630
Sumitomo Mitsui Financial Group, Inc.		21,500		738,481
Sumitomo Mitsui Trust Holdings, Inc.		5,500		199,361
Sumitomo Realty & Development Co. Ltd.		5,300		202,564
Sumitomo Rubber Industries Ltd.		3,000		35,782
Sundrug Co. Ltd.		1,200		37,752
Suntory Beverage & Food Ltd.		2,200		94,093
Suzuken Co. Ltd.		1,200		64,756
Suzuki Motor Corp.		6,100		259,113
Sysmex Corp.		2,700		181,483
T&D Holdings, Inc.		9,500		101,438
Taiheiyo Cement Corp.		2,100		56,453
Taisei Corp.		3,200		124,593
Taisho Pharmaceutical Holdings Co. Ltd.		600		43,814
Taiyo Nippon Sanso Corp.		2,100		42,637
Takeda Pharmaceutical Co. Ltd.		24,341		833,978
TDK Corp.		2,100		189,825
Teijin Ltd.		2,800		54,050
Terumo Corp.		10,700		344,710
THK Co. Ltd.		1,900		50,373
Tobu Railway Co. Ltd.		3,100		100,796
Toho Co. Ltd.		1,900		83,480
Toho Gas Co. Ltd.		1,200		46,045
Tohoku Electric Power Co., Inc.		7,200		70,453
Tokio Marine Holdings, Inc.		10,400		558,364
Tokyo Electric Power Co. Holdings, Inc. (b)		25,700		125,823
Tokyo Electron Ltd.		2,500		480,202
Tokyo Gas Co. Ltd.		6,400		161,807
Tokyu Corp.		8,400		158,174
Tokyu Fudosan Holdings Corp.		10,500		67,287

	Number of Shares		Value
Toppan Printing Co. Ltd.		4,800	$	85,447
Toray Industries, Inc.		22,000		164,252
Toshiba Corp.		8,400		257,254
Tosoh Corp.		4,100		54,579
TOTO Ltd.		2,400		90,462
Toyo Seikan Group Holdings Ltd.		2,400		37,475
Toyo Suisan Kaisha Ltd.		1,600		64,120
Toyoda Gosei Co. Ltd.		1,100		22,169
Toyota Industries Corp.		2,500		144,297
Toyota Motor Corp.		37,300		2,501,868
Toyota Tsusho Corp.		3,600		116,747
Trend Micro, Inc.		2,100		100,335
Tsuruha Holdings, Inc.		600		65,605
Unicharm Corp.		6,700		212,361
United Urban Investment Corp.		48		91,932
USS Co. Ltd.		3,700		72,165
Welcia Holdings Co. Ltd.		800		40,411
West Japan Railway Co.		2,600		220,240
Yahoo! Japan Corp.		44,700		126,479
Yakult Honsha Co. Ltd.		2,000		111,933
Yamada Denki Co. Ltd.		11,000		53,236
Yamaha Corp.		2,400		108,575
Yamaha Motor Co. Ltd.		4,800		87,538
Yamato Holdings Co. Ltd.		5,000		75,609
Yamazaki Baking Co. Ltd.		2,000		35,689
Yaskawa Electric Corp.		3,900		144,866
Yokogawa Electric Corp.		3,600		65,906
The Yokohama Rubber Co. Ltd.		1,800		36,247
ZOZO, Inc. (a)		3,400		78,442
				55,559,690
Luxembourg — 0.3%
ArcelorMittal		10,875		153,293
Aroundtown SA		14,985		122,563
Eurofins Scientific SE (a)		185		86,060
Millicom International Cellular SA		1,090		52,880
RTL Group		620		29,841
SES SA Class A		6,082		110,922
Tenaris SA		7,982		84,686
				640,245
Mauritius — 0.0%
Golden Agri-Resources Ltd.		117,500		19,162
Netherlands — 4.9%
ABN AMRO Bank NV (c)		7,127		125,663
Adyen NV (b) (c)		169		111,431
Aegon NV		29,654		123,321
AerCap Holdings NV (b)		2,031		111,197
Airbus SE		9,559		1,243,007
Akzo Nobel NV		3,717		331,599
ASML Holding NV		6,954		1,725,996
CNH Industrial NV		16,556		168,826
EXOR NV		1,695		113,727
Ferrari NV		1,554		239,456

The accompanying notes are an integral part of the financial statements.

196

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Ferrari NV		454	$	70,116
Fiat Chrysler Automobiles NV		11,145		144,328
Fiat Chrysler Automobiles NV		6,112		79,193
Heineken Holding NV		1,907		189,991
Heineken NV		4,266		461,303
ING Groep NV		63,392		664,515
Koninklijke Ahold Delhaize NV		19,488		487,501
Koninklijke DSM NV		2,952		355,099
Koninklijke KPN NV		59,780		186,502
Koninklijke Philips NV		15,105		700,189
Koninklijke Vopak NV		1,054		54,120
NN Group NV		4,944		175,517
NXP Semiconductor NV		4,647		507,081
Prosus NV (b)		7,990		586,531
QIAGEN NV (b)		3,850		126,050
Randstad NV (a)		1,898		93,241
STMicroelectronics NV		11,215		217,296
Unilever NV		23,914		1,436,947
Wolters Kluwer NV		4,676		341,520
				11,171,263
New Zealand — 0.2%
a2 Milk Co. Ltd. (b)		12,155		100,978
Auckland International Airport Ltd.		15,426		88,186
Fisher & Paykel Healthcare Corp. Ltd.		9,581		103,518
Fletcher Building Ltd.		14,358		46,249
Meridian Energy Ltd.		20,728		67,506
Ryman Healthcare Ltd.		6,396		53,132
Spark New Zealand Ltd.		28,912		79,895
				539,464
Norway — 0.6%
Det Norske Oljeselskap ASA		1,763		46,980
DNB ASA		16,001		282,501
Equinor ASA		16,276		308,735
Gjensidige Forsikring ASA		3,473		68,924
Mowi ASA		6,924		159,743
Norsk Hydro ASA		22,731		80,246
Orkla ASA		12,713		115,749
Schibsted ASA Class B		1,499		42,049
Telenor ASA		12,186		244,512
Yara International ASA		2,835		122,307
				1,471,746
Papua New Guinea — 0.0%
Oil Search Ltd.		22,950		113,933
Portugal — 0.2%
Banco Espirito Santo SA (b) (d)		39,664		-
EDP – Energias de Portugal SA		40,995		159,238
Galp Energia SGPS SA		8,363		125,793
Jeronimo Martins SGPS SA		3,859		65,098
				350,129

	Number of Shares		Value
Singapore — 1.2%
Ascendas REIT		43,400	$	98,046
CapitaLand Commercial Trust		40,643		60,824
CapitaLand Ltd.		40,300		103,224
CapitaLand Mall Trust		41,100		78,247
City Developments Ltd.		6,800		48,470
ComfortDelGro Corp. Ltd.		34,800		60,523
DBS Group Holdings, Ltd.		29,063		523,818
Genting Singapore Ltd.		103,000		65,602
Jardine Cycle & Carriage Ltd.		1,777		38,682
Keppel Corp. Ltd.		24,100		103,714
Oversea-Chinese Banking Corp. Ltd.		51,121		402,877
SATS Ltd.		11,200		39,283
Sembcorp Industries Ltd.		16,500		24,896
Singapore Airlines Ltd.		9,500		62,892
Singapore Exchange Ltd.		13,700		84,077
Singapore Press Holdings Ltd.		26,900		40,585
Singapore Technologies Engineering Ltd.		27,000		75,034
Singapore Telecommunications Ltd.		132,700		297,984
Suntec REIT		35,300		48,511
United Overseas Bank Ltd.		20,793		385,196
UOL Group Ltd.		8,269		44,887
Venture Corp. Ltd.		4,400		48,768
Wilmar International Ltd.		31,500		85,208
Yangzijiang Shipbuilding Holdings Ltd.		39,700		27,589
				2,848,937
Spain — 2.9%
ACS Actividades de Construccion y Servicios SA		4,365		174,624
Aena SME SA (c)		1,079		197,750
Amadeus IT Group SA		7,115		510,241
Banco Bilbao Vizcaya Argentaria SA		108,889		568,108
Banco de Sabadell SA		89,824		87,267
Banco Santander SA		275,102		1,121,753
Bankia SA		19,111		36,138
Bankinter SA		11,327		71,613
CaixaBank SA		58,727		154,462
Cellnex Telecom SAU (c)		3,227		133,302
Enagas SA		3,861		89,534
Endesa SA		5,360		141,015
Ferrovial SA		8,022		231,786
Grifols SA		4,745		139,812
Iberdrola SA		98,191		1,020,423
Industria de Diseno Textil SA		18,021		558,223
Mapfre SA		18,733		50,501
Naturgy Energy Group SA		4,761		126,303
Red Electrica Corp. SA		6,894		139,955
Repsol SA		23,759		370,598
Siemens Gamesa Renewable Energy SA		3,998		54,322

The accompanying notes are an integral part of the financial statements.

197

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Telefonica SA		76,015	$	580,447
				6,558,177
Sweden — 2.3%
Alfa Laval AB		4,969		98,169
Assa Abloy AB Class B		16,340		364,004
Atlas Copco AB Class A		11,043		339,965
Atlas Copco AB Class B		6,517		176,837
Boliden AB		4,596		105,755
Electrolux AB Series B		3,676		87,230
Epiroc AB Class A		10,467		113,636
Epiroc AB Class B		6,026		62,365
Essity AB Class B		9,848		287,341
Hennes & Mauritz AB Class B		13,139		254,984
Hexagon AB Class B		4,288		207,197
Husqvarna AB Class B		6,940		52,857
ICA Gruppen AB		1,485		68,619
Industrivarden AB Class C		2,655		58,168
Investor AB Class B		7,278		355,973
Kinnevik AB Class B		3,931		103,459
L E Lundbergforetagen AB Class B		1,182		44,497
Lundin Petroleum AB		3,013		90,133
Sandvik AB		18,625		290,041
Securitas AB Class B		5,061		77,580
Skandinaviska Enskilda Banken AB Class A		26,688		245,486
Skanska AB Class B		5,471		110,880
SKF AB Class B		6,427		106,359
Svenska Handelsbanken AB Class A		24,934		233,783
Swedbank AB Class A		14,629		210,758
Swedish Match AB		2,862		118,394
Tele2 AB Class B (a)		8,232		122,425
Telefonaktiebolaget LM Ericsson Class B		50,275		401,829
Telia Co AB		45,904		205,613
Volvo AB Class B		23,920		336,374
				5,330,711
Switzerland — 9.3%
ABB Ltd. Registered		30,450		598,077
Adecco Group AG Registered		2,630		145,473
Alcon, Inc. (b)		6,747		393,770
Baloise Holding AG Registered		780		139,806
Barry Callebaut AG Registered		36		74,363
Chocoladefabriken Lindt & Spruengli AG		18		132,909
Chocoladefabriken Lindt & Spruengli AG Registered		2		165,520
Cie Financiere Richemont SA Registered		8,511		625,486
Clariant AG		3,190		62,128
Coca-Cola HBC AG		3,273		106,924
Credit Suisse Group AG Registered		42,129		517,257
Dufry AG Registered		686		57,433

	Number of Shares		Value
EMS-Chemie Holding AG Registered		133	$	82,888
Geberit AG Registered		601		286,946
Givaudan SA Registered		149		415,863
Julius Baer Group Ltd.		3,530		156,590
Kuehne & Nagel International AG Registered		900		132,649
LafargeHolcim Ltd. Registered		3,557		175,302
LafargeHolcim Ltd. Registered		4,338		213,490
Lonza Group AG Registered		1,224		414,184
Nestle SA Registered		50,069		5,431,189
Novartis AG Registered		35,099		3,047,130
Pargesa Holding SA		683		52,543
Partners Group Holding AG		300		230,128
Roche Holding AG		11,480		3,347,856
Schindler Holding AG		656		146,817
Schindler Holding AG Registered		334		74,473
SGS SA Registered		89		220,557
Sika AG Registered		2,118		310,008
Sonova Holding AG Registered		911		211,853
Straumann Holding AG Registered		168		137,410
The Swatch Group AG		470		124,986
The Swatch Group AG Registered		907		45,650
Swiss Life Holding AG Registered		574		274,331
Swiss Prime Site AG Registered		1,196		117,108
Swiss Re AG		4,955		517,101
Swisscom AG Registered		433		213,563
Temenos Group AG Registered		1,029		172,440
UBS Group AG Registered		62,899		715,046
Vifor Pharma AG		711		113,663
Zurich Insurance Group AG		2,463		942,480
				21,343,390
United Kingdom — 16.0%
3i Group PLC		16,026		229,799
Admiral Group PLC		2,932		76,372
Anglo American PLC		17,158		395,277
Antofagasta PLC		6,685		74,046
Ashtead Group PLC		7,538		209,754
Associated British Foods PLC		5,903		167,124
AstraZeneca PLC		21,420		1,903,482
Auto Trader Group PLC (c)		15,140		94,922
Aviva PLC		64,533		316,476
BAE Systems PLC		52,317		366,590
Barclays PLC		280,911		519,138
Barratt Developments PLC		15,695		125,088
The Berkeley Group Holdings PLC		2,033		104,459
BHP Group PLC		34,499		737,827
BP PLC		332,988		2,105,349
British American Tobacco PLC		37,402		1,382,812
The British Land Co. PLC		13,857		99,692
BT Group PLC		136,615		300,173
Bunzl PLC		5,382		140,710
Burberry Group PLC		6,844		183,058
Carnival PLC		2,661		110,295

The accompanying notes are an integral part of the financial statements.

198

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Centrica PLC		93,994	$	85,219
Coca-Cola European Partners PLC		3,768		208,936
Compass Group PLC		25,849		665,087
Croda International PLC		2,154		128,782
Diageo PLC		38,884		1,591,139
Direct Line Insurance Group PLC		23,612		87,094
easyJet PLC		2,711		38,326
Evraz PLC		8,396		48,311
Experian PLC		14,990		478,910
Ferguson PLC		3,803		277,849
Fresnillo PLC		3,897		32,788
G4S PLC		24,651		57,403
GlaxoSmithKline PLC		81,704		1,748,922
Glencore PLC		179,155		539,750
GVC Holdings PLC		9,428		86,270
Halma PLC		6,334		153,462
Hargreaves Lansdown PLC		4,641		118,594
HSBC Holdings PLC		330,910		2,538,971
Imperial Brands PLC		15,705		352,797
Informa PLC		20,030		209,787
InterContinental Hotels Group PLC		2,881		179,794
Intertek Group PLC		2,702		181,934
Investec PLC		11,416		58,755
ITV PLC		61,370		94,794
J Sainsbury PLC		29,115		78,683
John Wood Group PLC		11,490		53,527
Johnson Matthey PLC		3,269		122,984
Kingfisher PLC		34,086		86,650
Land Securities Group PLC		11,196		117,893
Legal & General Group PLC		96,311		294,071
Lloyds Banking Group PLC		1,159,901		773,510
London Stock Exchange Group PLC		5,174		464,657
Marks & Spencer Group PLC		30,871		70,011
Meggitt PLC		12,764		99,737
Melrose Industries PLC		78,315		194,011
Merlin Entertainments PLC (c)		11,561		64,327
Micro Focus International PLC		5,662		79,882
Mondi PLC		8,001		153,207
National Grid PLC		55,570		602,528
Next PLC		2,163		164,523
NMC Health PLC		1,512		50,361
Ocado Group PLC (b)		7,512		122,274
Pearson PLC		13,133		119,050
Persimmon PLC		5,232		139,646
Prudential PLC		41,827		759,618
Reckitt Benckiser Group PLC		11,594		904,203
RELX PLC		31,737		752,980
Rentokil Initial PLC		30,679		176,421
Rio Tinto PLC		18,577		964,927
Rolls-Royce Holdings PLC		28,059		273,264
Royal Bank of Scotland Group PLC		78,017		199,335
Royal Dutch Shell PLC Class A		70,961		2,074,136
Royal Dutch Shell PLC Class B		61,030		1,792,881

	Number of Shares		Value
RSA Insurance Group PLC		17,199	$	112,948
The Sage Group PLC		18,280		155,519
Schroders PLC		1,940		73,346
Segro PLC		17,465		174,114
Severn Trent PLC		3,893		103,671
Smith & Nephew PLC		14,507		349,446
Smiths Group PLC		6,641		128,152
Spirax-Sarco Engineering PLC		1,206		116,325
SSE PLC		16,644		255,008
St. James’s Place PLC		9,025		108,653
Standard Chartered PLC		45,072		378,923
Standard Life Aberdeen PLC		38,334		134,704
Taylor Wimpey PLC		51,259		101,784
Tesco PLC		159,327		472,469
Unilever PLC		18,177		1,092,954
United Utilities Group PLC		10,714		108,748
Vodafone Group PLC		437,538		871,352
The Weir Group PLC		4,165		73,091
Whitbread PLC		2,203		116,296
Wm Morrison Supermarkets PLC		37,864		93,249
WPP PLC		20,746		259,704
				36,635,870
TOTAL COMMON STOCK (Cost $212,495,654)				224,365,077
PREFERRED STOCK — 0.5%
Germany — 0.5%
Bayerische Motoren Werke AG 7.110%		893		49,552
Fuchs Petrolub SE 2.980%		1,156		43,383
Henkel AG & Co. KGaA 1.990%		2,928		289,918
Porsche Automobil Holding SE 3.670%		2,552		166,024
Sartorius AG 0.390%		558		101,808
Volkswagen AG 3.150%		3,022		514,045
				1,164,730
Italy — 0.0%
Telecom Italia SpA 5.370%		99,009		54,173
TOTAL PREFERRED STOCK (Cost $1,246,647)				1,218,903
TOTAL EQUITIES (Cost $213,742,301)				225,583,980
MUTUAL FUNDS — 0.6%
United States — 0.6%
State Street Navigator Securities Lending Prime Portfolio (e)		1,267,533		1,267,533
TOTAL MUTUAL FUNDS (Cost $1,267,533)				1,267,533

The accompanying notes are an integral part of the financial statements.

199

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
RIGHTS — 0.0%
Australia — 0.0%
Harvey Norman Holdings Ltd., Expires 10/11/19 (a) (b)		543	$	658
TOTAL RIGHTS (Cost $0)				658
TOTAL LONG-TERM INVESTMENTS (Cost $215,009,834)				226,852,171
	Principal Amount
SHORT-TERM INVESTMENTS — 0.2%
Repurchase Agreement — 0.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (f)	$	500,440		500,440
TOTAL SHORT-TERM INVESTMENTS (Cost $500,440)				500,440
TOTAL INVESTMENTS — 99.0% (Cost $215,510,274) (g)				227,352,611
Other Assets/(Liabilities) — 1.0%				2,327,863
NET ASSETS — 100.0%			$	229,680,474

Abbreviation Legend

ADR American Depositary Receipt

REIT Real Estate Investment Trust

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was

$1,205,016 or 0.52% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(b) Non-income producing security.

(c) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $1,861,476 or 0.81% of net assets.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $0 or 0.00% of net assets.

(e) Represents investment of security lending collateral. (Note 2).

(f) Maturity value of $500,454. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $513,167.

(g) See Note 6 for aggregate cost for federal tax purposes.

Sector weightings, as a percentage of net assets, is as follows:

Consumer, Non-cyclical	26.1	%
Financial	21.9	%
Industrial	12.9	%
Consumer, Cyclical	12.2	%
Basic Materials	6.1	%
Communications	5.7	%
Energy	5.2	%
Technology	4.1	%
Utilities	3.7	%
Mutual Funds	0.6	%
Diversified	0.3	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

Forward contracts

Counterparty	Settlement Date		Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of Montreal*		12/18/19	USD	106,000	CHF	105,059	$	19
Bank of Montreal*		12/18/19	USD	39,268	DKK	264,296		439
Bank of New York Mellon*		12/18/19	SEK	1,343,169	USD	139,439		(2,273	)
Citibank N.A.*		12/18/19	HKD	1,009,827	USD	128,855		86
Citibank N.A.*		12/18/19	JPY	77,846,165	USD	727,213		(3,321	)
Citibank N.A.*		12/18/19	SGD	33,157	USD	24,051		(40	)
Citibank N.A.*		12/18/19	GBP	180,661	USD	222,820		17
Citibank N.A.*		12/18/19	EUR	615,007	USD	677,591		(3,273	)

The accompanying notes are an integral part of the financial statements.

200

MM MSCI EAFE International Index Fund – Portfolio of Investments (Continued)

Counterparty	Settlement Date		Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Citibank N.A.*		12/18/19	USD	33,983	ILS	119,805	$	(623	)
Citibank N.A.*		12/18/19	USD	346,000	JPY	37,237,869		(275	)
Goldman Sachs & Co.*		12/18/19	USD	56,258	NOK	504,037		787
Morgan Stanley & Co. LLC*		12/18/19	USD	219,000	JPY	23,552,392		(14	)
Morgan Stanley & Co. LLC*		12/18/19	AUD	222,395	USD	153,100		(2,628	)
Morgan Stanley & Co. LLC*		12/18/19	USD	58,037	CHF	57,164		371
							$	(10,728	)

* Contracts are subject to a Master Netting Agreement.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount		Value/ Net Unrealized Appreciation/ (Depreciation)
Long
Hang Seng Index		10/30/19		1	$	169,052	$	(2,919	)
Topix Index		12/12/19		7		1,000,894		27,175
SPI 200 Index		12/19/19		4		450,034		968
Euro Stoxx 50 Index		12/20/19		41		1,572,857		15,800
FTSE 100 Index		12/20/19		8		720,070		6,200
							$	47,224

Currency Legend

AUD Australian Dollar

CHF Swiss Franc

DKK Danish Krone

EUR Euro

GBP British Pound

HKD Hong Kong Dollar

ILS Israeli Shekel

JPY Japanese Yen

NOK Norwegian Krone

SEK Swedish Krona

SGD Singapore Dollar

USD U.S. Dollar

The accompanying notes are an integral part of the financial statements.

201

MassMutual Select Overseas Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 97.7%
COMMON STOCK — 97.6%
Australia — 1.1%
Amcor PLC		143,722	$	1,383,281
AMP Ltd.		1,254,938		1,548,867
Brambles Ltd.		134,100		1,033,123
Orica Ltd.		155,177		2,363,823
				6,329,094
Belgium — 0.8%
KBC Group NV		75,190		4,892,846
Brazil — 0.3%
Ambev SA ADR		448,864		2,073,752
Canada — 2.8%
Canadian National Railway Co.		80,727		7,254,128
Cenovus Energy, Inc.		322,517		3,025,917
Open Text Corp.		19,600		799,475
Suncor Energy, Inc.		160,491		5,062,399
				16,141,919
Cayman Islands — 0.7%
Baidu, Inc. Sponsored ADR (a)		41,184		4,232,068
Denmark — 1.6%
Carlsberg A/S Class B		20,487		3,031,208
Novo Nordisk A/S Class B		120,561		6,225,170
				9,256,378
Finland — 0.3%
UPM-Kymmene OYJ		56,007		1,657,402
France — 14.3%
Accor SA		98,721		4,119,207
Air Liquide SA		67,270		9,584,833
BNP Paribas SA		181,001		8,825,026
Bureau Veritas SA		82,761		1,995,644
Danone SA		62,493		5,504,131
Dassault Systemes SE		12,011		1,711,056
Engie SA		249,503		4,076,344
EssilorLuxottica SA		44,286		6,388,575
Hermes International		1,195		826,544
L’Oreal SA		14,685		4,114,861
Legrand SA		44,131		3,152,147
LVMH Moet Hennessy Louis Vuitton SE		19,060		7,587,207
Pernod Ricard SA		37,502		6,676,108
Publicis Groupe SA		93,373		4,590,700
Schneider Electric SE		108,276		9,495,856
Valeo SA		116,830		3,794,909
				82,443,148
Germany — 12.5%
Allianz SE Registered		20,290		4,731,545
Bayer AG Registered		183,638		12,947,748

	Number of Shares		Value
Bayerische Motoren Werke AG		98,485	$	6,927,371
Beiersdorf AG		65,848		7,769,363
Continental AG		57,280		7,353,270
Daimler AG Registered		148,973		7,399,619
Deutsche Boerse AG		23,800		3,720,438
Henkel AG & Co. KGaA		1,700		155,686
Merck KGaA		35,771		4,030,799
MTU Aero Engines AG		8,838		2,348,319
ProSiebenSat.1 Media SE		101,114		1,391,802
SAP SE		73,443		8,634,285
thyssenkrupp AG		320,517		4,441,697
				71,851,942
Hong Kong — 1.7%
AIA Group Ltd.		1,025,600		9,623,368
India — 1.6%
Axis Bank Ltd.		109,830		1,061,374
Housing Development Finance Corp. Ltd.		117,310		3,275,129
Tata Consultancy Services Ltd.		172,162		5,092,940
				9,429,443
Indonesia — 0.3%
Bank Mandiri Persero Tbk PT		3,154,800		1,550,993
Ireland — 2.2%
Linde PLC (a)		18,412		3,570,651
Ryanair Holdings PLC Sponsored ADR (a)		124,820		8,285,552
Willis Towers Watson PLC		3,972		766,477
				12,622,680
Israel — 0.7%
Check Point Software Technologies Ltd. (a)		36,942		4,045,149
Italy — 2.7%
Eni SpA		207,300		3,166,030
Intesa Sanpaolo SpA		5,192,984		12,328,162
				15,494,192
Japan — 10.8%
Daikin Industries Ltd.		45,000		5,908,939
Denso Corp.		39,100		1,727,393
FANUC Corp.		11,500		2,181,547
Hitachi Ltd.		115,200		4,314,147
Hoya Corp.		117,100		9,559,662
Japan Tobacco, Inc.		167,400		3,668,218
Komatsu Ltd.		182,200		4,198,879
Kubota Corp.		292,900		4,455,054
Kyocera Corp.		79,200		4,946,333
Olympus Corp.		627,600		8,494,475
Omron Corp.		8,800		485,627
Shin-Etsu Chemical Co. Ltd.		16,700		1,799,373
Terumo Corp.		208,400		6,713,800

The accompanying notes are an integral part of the financial statements.

202

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Toyota Motor Corp.		54,500	$	3,655,544
				62,108,991
Mexico — 0.3%
Grupo Televisa SAB Sponsored ADR		171,900		1,681,182
Netherlands — 5.3%
Akzo Nobel NV		67,421		6,014,728
ASML Holding NV		8,995		2,232,576
CNH Industrial NV		692,142		7,057,958
EXOR NV		70,300		4,716,843
ING Groep NV		319,406		3,348,216
Prosus NV (a)		22,775		1,671,871
QIAGEN NV (a)		66,555		2,179,022
Randstad NV (b)		64,146		3,151,237
				30,372,451
Portugal — 0.3%
Galp Energia SGPS SA		105,574		1,588,002
Republic of Korea — 1.3%
NAVER Corp.		35,950		4,727,921
Samsung Electronics Co. Ltd.		74,850		3,053,875
				7,781,796
Singapore — 0.7%
DBS Group Holdings, Ltd.		223,400		4,026,457
South Africa — 0.5%
Naspers Ltd.		19,875		3,019,543
Spain — 1.2%
Amadeus IT Group SA		94,060		6,745,363
Sweden — 2.6%
Essity AB Class B		102,926		3,003,129
Hennes & Mauritz AB Class B		268,194		5,204,746
SKF AB Class B		186,700		3,089,650
Volvo AB Class B		267,500		3,761,707
				15,059,232
Switzerland — 11.6%
Alcon, Inc. (a)		14,709		858,451
Cie Financiere Richemont SA Registered		34,320		2,522,229
Credit Suisse Group AG Registered		608,625		7,472,655
Julius Baer Group Ltd.		56,370		2,500,566
Kuehne & Nagel International AG Registered		15,240		2,246,190
LafargeHolcim Ltd. Registered		68,984		3,399,776
Nestle SA Registered		143,580		15,574,710
Novartis AG Registered		73,550		6,385,265
Roche Holding AG		37,613		10,968,896
Sika AG Registered		18,135		2,654,390
The Swatch Group AG		6,380		1,696,612
UBS Group AG Registered		466,476		5,302,976
Zurich Insurance Group AG		14,119		5,402,710
				66,985,426

	Number of Shares		Value
Taiwan — 1.3%
Taiwan Semiconductor Manufacturing Co. Ltd. (c)		277,000	$	2,440,214
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		116,570		5,418,174
				7,858,388
United Kingdom — 17.3%
Ashtead Group PLC		150,390		4,184,786
Barclays PLC		968,166		1,789,220
Compass Group PLC		226,913		5,838,406
Diageo PLC		166,641		6,818,975
Experian PLC		245,903		7,856,259
Ferguson PLC		35,267		2,576,623
G4S PLC		761,200		1,772,556
Glencore PLC		2,923,400		8,807,489
Just Eat PLC (a)		188,241		1,546,151
Liberty Global PLC Series A (a)		141,500		3,502,125
Lloyds Banking Group PLC		10,786,100		7,192,988
Meggitt PLC		86,749		677,854
Prudential PLC		73,239		1,330,090
Reckitt Benckiser Group PLC		82,839		6,460,522
RELX PLC		182,490		4,341,085
RELX PLC		85,370		2,025,456
Rio Tinto PLC		60,199		3,126,858
Rolls-Royce Holdings PLC		770,050		7,499,452
Royal Bank of Scotland Group PLC		1,628,900		4,161,876
Schroders PLC		300		8,943
Schroders PLC		127,600		4,824,210
Smiths Group PLC		210,804		4,067,900
Tesco PLC		916,218		2,716,959
WPP PLC		513,904		6,433,180
				99,559,963
United States — 0.8%
Yum China Holdings, Inc.		99,001		4,497,615
TOTAL COMMON STOCK (Cost $551,158,178)				562,928,783
PREFERRED STOCK — 0.1%
Germany — 0.1%
Henkel AG & Co. KGaA 1.990%		5,500		544,587
TOTAL PREFERRED STOCK (Cost $558,508)				544,587
TOTAL EQUITIES (Cost $551,716,686)				563,473,370

The accompanying notes are an integral part of the financial statements.

203

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
MUTUAL FUNDS — 0.6%
United States — 0.6%
State Street Navigator Securities Lending Prime Portfolio (d)		3,218,312	$	3,218,312
TOTAL MUTUAL FUNDS (Cost $3,218,312)				3,218,312
TOTAL LONG-TERM INVESTMENTS (Cost $554,934,998)				566,691,682
	Principal Amount
SHORT-TERM INVESTMENTS — 2.2%
Repurchase Agreement — 2.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (e)	$	12,526,286		12,526,286
TOTAL SHORT-TERM INVESTMENTS (Cost $12,526,286)				12,526,286
TOTAL INVESTMENTS — 100.5% (Cost $567,461,284) (f)				579,217,968
Other Assets/(Liabilities) — (0.5)%				(2,737,308	)
NET ASSETS — 100.0%			$	576,480,660

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $3,063,121 or 0.53% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $2,440,214 or 0.42% of net assets.

(d) Represents investment of security lending collateral. (Note 2).

(e) Maturity value of $12,526,617. Collateralized by U.S. Government Agency obligations with rates ranging from 2.000% – 2.500%, maturity dates ranging from 2/15/23 – 3/31/23, and an aggregate market value, including accrued interest, of $12,783,843.

(f) See Note 6 for aggregate cost for federal tax purposes.

Sector weightings, as a percentage of net assets, is as follows:

Consumer, Non-cyclical	28.8	%
Financial	18.4	%
Industrial	16.1	%
Consumer, Cyclical	13.5	%
Basic Materials	6.8	%
Technology	5.8	%
Communications	5.4	%
Energy	2.2	%
Utilities	0.7	%
Mutual Funds	0.6	%
Total Long-Term Investments	98.3	%
Short-Term Investments and Other Assets and Liabilities	1.7	%
Net Assets	100.0	%

Forward contracts

Counterparty	Settlement Date		Currency Purchased			Currency Sold			Unrealized Appreciation (Depreciation)
State Street Bank and Trust Co.*		12/18/19		USD	2,225,539		CHF	2,177,000	$	29,433

Currency Legend

CHF Swiss Franc

USD U.S. Dollar

* Contracts are subject to a Master Netting Agreement.

The accompanying notes are an integral part of the financial statements.

204

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 97.4%
COMMON STOCK — 96.2%
Australia — 3.0%
Amcor PLC		775,198	$	7,461,044
Australia & New Zealand Banking Group Ltd.		114,583		2,214,212
BHP Group Ltd.		181,461		4,492,525
Challenger Ltd.		288,158		1,439,189
CSL Ltd.		6,674		1,054,620
Downer EDI Ltd.		288,817		1,522,565
Incitec Pivot Ltd.		545,596		1,250,200
Independence Group NL		356,655		1,552,747
Macquarie Group Ltd.		28,582		2,532,584
Rio Tinto Ltd.		13,166		828,051
Scentre Group		441,094		1,171,152
South32 Ltd.		2,466,711		4,383,608
Suncorp Group Ltd.		193,710		1,785,526
Telstra Corp. Ltd.		174,023		412,831
WorleyParsons Ltd.		288,819		2,554,855
				34,655,709
Austria — 0.5%
BAWAG Group AG (a)		38,341		1,508,049
Erste Group Bank AG		137,459		4,550,690
				6,058,739
Belgium — 0.7%
Anheuser-Busch InBev SA/NV		19,431		1,849,831
Galapagos NV (b)		6,943		1,060,073
KBC Group NV		57,708		3,755,238
Umicore SA		48,357		1,827,136
				8,492,278
Bermuda — 1.0%
Credicorp Ltd.		26,537		5,531,372
Hongkong Land Holdings Ltd.		170,300		959,543
Jardine Matheson Holdings Ltd.		53,500		2,869,557
Liberty Latin America Ltd. Class C (b)		97,225		1,662,062
				11,022,534
Brazil — 1.3%
Ambev SA ADR		170,600		788,172
B3 SA — Brasil Bolsa Balcao		116,200		1,220,185
Banco Bradesco SA Sponsored ADR		226,360		1,842,570
BR Malls Participacoes SA		148,900		516,408
EDP — Energias do Brasil SA		339,500		1,601,511
Lojas Renner SA		234,358		2,846,737
Multiplan Empreendimentos Imobiliarios SA		70,120		486,880
Porto Seguro SA		39,897		565,478
Raia Drogasil SA		144,783		3,338,586

	Number of Shares		Value
Suzano SA		142,300	$	1,152,456
				14,358,983
British Virgin Islands — 0.1%
Mail.ru Group Ltd. GDR (b)		34,825		729,903
Canada — 3.2%
Bombardier, Inc. Class B (b)		583,845		788,831
Canadian Pacific Railway Ltd.		6,479		1,439,821
Element Fleet Management Corp.		269,713		2,157,948
Franco-Nevada Corp.		25,662		2,338,315
Magna International, Inc.		185,470		9,891,115
National Bank of Canada		90,996		4,527,649
Restaurant Brands International, Inc.		41,583		2,958,215
Seven Generations Energy Ltd. Class A (b)		408,860		2,598,484
Sun Life Financial, Inc.		73,654		3,293,402
TC Energy Corp.		48,300		2,500,947
Waste Connections, Inc.		37,604		3,459,568
				35,954,295
Cayman Islands — 5.3%
58.com, Inc. ADR (b)		47,471		2,340,795
AAC Technologies Holdings, Inc.		81,500		435,888
Alibaba Group Holding Ltd. Sponsored ADR (b)		119,203		19,934,318
Baidu, Inc. Sponsored ADR (b)		19,246		1,977,719
China Mengniu Dairy Co. Ltd.		1,392,000		5,195,398
CK Hutchison Holdings Ltd.		438,500		3,855,022
Ctrip.com International Ltd. ADR (b)		52,450		1,536,260
Farfetch Ltd. Class A (b)		80,151		692,505
Hengan International Group Co. Ltd.		145,500		950,123
StoneCo Ltd. Class A (b)		63,051		2,192,914
Sunny Optical Technology Group Co. Ltd.		65,500		977,037
TAL Education Group Sponsored ADR (b)		28,396		972,279
Tencent Holdings Ltd.		409,000		17,357,836
Tencent Music Entertainment Group ADR (b)		56,000		715,120
YY, Inc. ADR (b)		27,381		1,539,634
				60,672,848
Chile — 0.2%
Banco Santander Chile Sponsored ADR		88,060		2,465,680
China — 2.4%
Anhui Conch Cement Co. Ltd. Class H		436,000		2,600,603
BTG Hotels Group Co. Ltd. Class A		347,560		821,775
China Longyuan Power Group Corp. Class H		2,008,000		1,127,977
Gree Electric Appliances, Inc. of Zhuhai Class A		312,800		2,524,053

The accompanying notes are an integral part of the financial statements.

205

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Hangzhou Hikvision Digital Technology Co. Ltd. Class A		243,461	$	1,111,886
Huaneng Renewables Corp. Ltd. (c)		1,798,000		611,225
Kweichow Moutai Co. Ltd. Class A		28,798		4,642,811
Midea Group Co. Ltd.		105,900		762,632
PICC Property & Casualty Co. Ltd. Class H		3,118,000		3,660,499
Ping An Insurance Group Co. of China Ltd. Class H		647,500		7,493,328
Tsingtao Brewery Co. Ltd. Class H		332,000		2,009,761
				27,366,550
Colombia — 0.1%
Grupo Aval Acciones y Valores SA ADR		79,205		590,869
Czech Republic — 0.1%
Komercni banka AS		25,243		853,808
Denmark — 0.4%
Ascendis Pharma A/S ADR (b)		5,500		529,760
Danske Bank A/S		115,396		1,606,502
GN Store Nord A/S		31,066		1,262,427
Novo Nordisk A/S Class B		30,697		1,585,040
				4,983,729
Finland — 0.6%
Nordea Bank Abp		438,156		3,110,527
Sampo OYJ Class A		49,398		1,965,204
Stora Enso OYJ Class R		165,261		1,993,295
				7,069,026
France — 7.0%
Air Liquide SA		38,490		5,484,172
AXA SA		254,902		6,515,415
BNP Paribas SA		175,829		8,572,856
Criteo SA Sponsored ADR (b)		21,338		398,807
Dassault Aviation SA		3,594		5,082,928
Electricite de France SA		161,570		1,808,154
Engie SA		393,861		6,434,844
EssilorLuxottica SA		30,749		4,435,765
Eutelsat Communications SA		146,167		2,721,668
Kering SA		3,528		1,801,086
L’Oreal SA		11,392		3,192,135
Legrand SA		17,906		1,278,973
LVMH Moet Hennessy Louis Vuitton SE		2,217		882,520
Orange SA		116,960		1,835,848
Sanofi		44,860		4,159,801
Schneider Electric SE		24,433		2,142,785
Thales SA		64,511		7,424,692
Total SA		233,151		12,137,820
Ubisoft Entertainment SA (b)		25,936		1,875,782
Unibail Rodamco Westfield		7,179		1,046,563

	Number of Shares		Value
Unibail Rodamco Westfield		58	$	8,455
				79,241,069
Germany — 6.0%
Allianz SE Registered		18,621		4,342,341
BASF SE		55,490		3,881,736
Bayer AG Registered		166,124		11,712,890
Bayerische Motoren Werke AG		20,662		1,453,352
Commerzbank AG		301,762		1,751,236
Covestro AG (a)		30,322		1,500,380
Daimler AG Registered		43,089		2,140,268
Deutsche Wohnen SE		62,390		2,278,275
Fresenius SE & Co. KGaA		52,795		2,468,172
GEA Group AG		52,007		1,404,253
HeidelbergCement AG		14,417		1,042,305
HUGO BOSS AG		11,174		599,081
Infineon Technologies AG		42,317		760,691
Knorr-Bremse AG		28,179		2,648,769
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered		21,889		5,663,180
SAP SE		28,407		3,339,653
Siemens AG Registered		91,884		9,846,615
Siemens Healthineers AG (a)		40,336		1,586,872
Stroeer SE & Co KGaA		16,560		1,261,093
Teamviewer AG (b)		55,651		1,497,617
Telefonica Deutschland Holding AG		988,361		2,755,455
Wirecard AG		9,196		1,469,649
Zalando SE (a) (b)		70,434		3,214,559
				68,618,442
Hong Kong — 1.9%
AIA Group Ltd.		1,596,400		14,979,276
Beijing Enterprises Holdings Ltd.		197,000		908,311
China Overseas Land & Investment Ltd.		454,000		1,436,225
China Resources Beer Holdings Company Ltd.		274,000		1,457,916
CSPC Pharmaceutical Group Ltd.		430,000		869,443
Fosun International Ltd.		1,087,500		1,353,227
Hansoh Pharmaceutical Group Co. Ltd. (a) (b)		188,000		576,535
				21,580,933
Hungary — 0.2%
OTP Bank Nyrt		66,825		2,784,227
India — 1.9%
Axis Bank Ltd. GDR		72,951		3,557,663
HDFC Bank Ltd. ADR		245,392		13,999,613
ICICI Bank Ltd. Sponsored ADR		111,800		1,361,724
Infosys Ltd. Sponsored ADR		192,710		2,191,113
Mahindra & Mahindra Ltd. Sponsored GDR		55,035		426,481
				21,536,594

The accompanying notes are an integral part of the financial statements.

206

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Indonesia — 1.1%
Astra International Tbk PT		3,559,200	$	1,658,993
Bank Central Asia Tbk PT		3,482,000		7,447,851
Bank Negara Indonesia Persero Tbk PT		2,424,400		1,255,961
Sarana Menara Nusantara Tbk PT		34,497,400		1,590,830
				11,953,635
Ireland — 0.6%
DCC PLC		22,031		1,921,508
Linde PLC (b)		18,772		3,640,466
Ryanair Holdings PLC Sponsored ADR (b)		18,002		1,194,973
				6,756,947
Italy — 0.9%
Banca Mediolanum SpA		388,615		2,921,252
Intesa Sanpaolo SpA		628,106		1,491,126
Leonardo SpA		57,015		671,279
Moncler SpA		51,828		1,848,703
Prysmian SpA		127,240		2,734,802
				9,667,162
Japan — 16.4%
Aisin Seiki Co. Ltd.		30,100		952,000
Asahi Kasei Corp.		216,100		2,142,717
Asics Corp.		115,500		1,972,836
Astellas Pharma, Inc.		535,600		7,654,563
Benesse Holdings, Inc.		59,700		1,556,019
Bridgestone Corp.		57,100		2,220,394
Central Japan Railway Co.		8,700		1,795,727
Chugai Pharmaceutical Co. Ltd.		22,800		1,777,378
Coca-Cola Bottlers Japan Holdings, Inc.		89,500		2,018,153
CyberAgent, Inc.		24,300		938,840
Daiichi Sankyo Co. Ltd.		19,100		1,204,543
DeNA Co. Ltd.		43,100		760,547
DIC Corp.		51,500		1,439,485
Disco Corp.		8,100		1,549,983
Electric Power Development Co. Ltd.		64,300		1,472,653
en-japan, Inc.		31,000		1,194,835
Ezaki Glico Co. Ltd.		43,900		1,824,269
Fujitsu General Ltd.		126,100		2,108,127
Fujitsu Ltd.		29,700		2,385,376
Hamamatsu Photonics KK		30,900		1,155,877
Hitachi Ltd.		11,400		426,921
Hitachi Metals Ltd.		149,600		1,624,760
Honda Motor Co. Ltd.		34,700		903,385
Hoshizaki Corp.		13,100		1,033,622
Ibiden Co. Ltd.		51,200		1,030,997
Japan Tobacco, Inc.		96,300		2,110,211
JGC Corp.		102,200		1,347,607
Kansai Paint Co. Ltd.		43,200		1,009,721
Kirin Holdings Co. Ltd.		174,500		3,704,449

	Number of Shares		Value
Kusuri no Aoki Holdings Co. Ltd.		9,700	$	660,800
Mitsubishi Corp.		87,600		2,157,115
Mitsubishi Electric Corp.		660,500		8,824,605
Mitsubishi Estate Co. Ltd.		72,000		1,394,168
Mitsubishi Motors Corp.		341,100		1,488,610
Mitsubishi UFJ Financial Group, Inc.		1,154,100		5,882,083
Mitsubishi UFJ Lease & Finance Co. Ltd.		209,200		1,214,366
Mitsui Fudosan Co. Ltd.		101,200		2,518,626
Mitsui Mining & Smelting Co. Ltd.		53,100		1,265,283
Murata Manufacturing Co. Ltd.		94,400		4,570,170
Nippon Shokubai Co. Ltd.		26,100		1,484,054
Nippon Telegraph & Telephone Corp.		325,500		15,568,242
Omron Corp.		29,500		1,627,953
ORIX Corp.		142,600		2,134,089
Otsuka Holdings Co. Ltd.		87,700		3,280,363
Outsourcing, Inc.		94,800		902,751
Pan Pacific International Holding Corp.		76,400		1,275,654
Panasonic Corp.		190,800		1,554,170
Persol Holdings Co. Ltd.		96,800		1,842,587
Pola Orbis Holdings, Inc.		27,700		623,479
Recruit Holdings Co. Ltd.		66,700		2,038,662
Renesas Electronics Corp. (b)		130,000		845,443
Sega Sammy Holdings, Inc.		88,200		1,240,488
Seven & i Holdings Co. Ltd.		203,100		7,793,923
SMC Corp.		3,300		1,419,833
SoftBank Group Corp.		31,800		1,249,013
Sompo Holdings, Inc.		60,400		2,539,622
Sony Corp.		27,800		1,633,542
Stanley Electric Co. Ltd.		197,000		5,250,339
Sumitomo Corp.		402,600		6,315,685
Sumitomo Mitsui Trust Holdings, Inc.		45,400		1,645,632
Sumitomo Rubber Industries Ltd.		59,500		709,683
Suzuki Motor Corp.		123,700		5,254,468
Takeda Pharmaceutical Co. Ltd.		288,531		9,885,729
Takeda Pharmaceutical Co. Ltd. Sponsored ADR (b)		41,522		714,178
TechnoPro Holdings, Inc.		13,900		824,107
Terumo Corp.		55,900		1,800,871
THK Co. Ltd.		72,800		1,930,082
Tokio Marine Holdings, Inc.		58,700		3,151,537
Tokyo Electron Ltd.		22,100		4,244,986
Tosoh Corp.		24,600		327,476
Toyota Motor Corp.		135,300		9,075,139
Trend Micro, Inc.		19,000		907,793
Welcia Holdings Co. Ltd.		20,600		1,040,577
Yahoo! Japan Corp.		1,041,500		2,946,937
				186,370,908

The accompanying notes are an integral part of the financial statements.

207

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Luxembourg — 0.3%
Globant SA (b)		9,580	$	877,336
Samsonite International SA (a)		496,200		1,057,461
Tenaris SA ADR (d)		62,894		1,332,095
				3,266,892
Mexico — 0.2%
Grupo Aeroportuario del Sureste SAB de CV		4,951		755,028
Wal-Mart de Mexico SAB de CV		619,700		1,836,741
				2,591,769
Netherlands — 4.6%
ABN AMRO Bank NV (a)		209,459		3,693,183
Airbus SE		20,534		2,670,144
Akzo Nobel NV		21,311		1,901,186
ASML Holding NV		42,602		10,573,900
ING Groep NV		236,270		2,476,731
Koninklijke DSM NV		19,077		2,294,790
Koninklijke Philips NV		242,567		11,244,135
NXP Semiconductor NV		103,253		11,266,967
Prosus NV (b)		60,379		4,432,311
X5 Retail Group NV GDR		31,576		1,103,562
Yandex NV Class A (b)		29,200		1,022,292
				52,679,201
Norway — 0.7%
DNB ASA		172,849		3,051,680
Equinor ASA		130,394		2,473,408
Storebrand ASA		278,551		1,762,082
Yara International ASA		18,149		782,982
				8,070,152
Philippines — 0.5%
SM Investments Corp.		202,570		3,790,818
Universal Robina Corp.		460,220		1,385,762
				5,176,580
Poland — 0.1%
Powszechny Zaklad Ubezpieczen SA		125,008		1,165,068
Portugal — 1.0%
Banco Comercial Portugues SA		3,973,696		826,341
Galp Energia SGPS SA		426,794		6,419,667
Jeronimo Martins SGPS SA		220,345		3,717,038
				10,963,046
Republic of Korea — 4.0%
KT Corp.		34,577		793,574
KT Corp. Sponsored ADR		135,969		1,537,809
LG Household & Health Care Ltd.		7,444		8,147,656
NAVER Corp.		64,154		8,437,136
Samsung Electronics Co. Ltd.		600,639		24,506,030
SK Hynix, Inc.		35,718		2,456,227
				45,878,432

	Number of Shares		Value
Russia — 0.7%
Sberbank of Russia PJSC Sponsored ADR		557,797	$	7,904,060
Saudi Arabia — 0.3%
Al Rajhi Bank		179,709		3,031,092
Singapore — 0.7%
DBS Group Holdings, Ltd.		81,000		1,459,906
United Overseas Bank Ltd.		284,400		5,268,587
Wilmar International Ltd.		556,200		1,504,530
				8,233,023
South Africa — 1.6%
Absa Group Ltd.		81,285		822,015
Capitec Bank Holdings Ltd.		10,349		880,067
Clicks Group Ltd.		66,519		944,801
FirstRand Ltd.		1,094,030		4,500,944
Naspers Ltd.		47,462		7,210,745
Sanlam Ltd.		458,369		2,260,559
Shoprite Holdings Ltd.		206,312		1,673,611
				18,292,742
Spain — 0.7%
Amadeus IT Group SA		51,995		3,728,739
Iberdrola SA		335,505		3,486,644
Indra Sistemas SA (b)		84,084		728,664
Tecnicas Reunidas SA (b)		21,298		521,559
				8,465,606
Sweden — 1.5%
Elekta AB		115,169		1,518,236
Essity AB Class B		227,110		6,626,514
Getinge AB Class B		145,521		2,039,452
Hexagon AB Class B		38,535		1,862,022
Svenska Handelsbanken AB Class A		287,316		2,693,891
Telefonaktiebolaget LM Ericsson Class B		225,966		1,806,062
				16,546,177
Switzerland — 6.8%
ABB Ltd. Registered		117,870		2,315,118
Adecco Group AG Registered		22,981		1,271,147
Alcon, Inc. (b)		33,833		1,974,571
dormakaba Holding AG		2,291		1,477,292
GAM Holding Ltd. (b)		53,412		214,236
Julius Baer Group Ltd.		62,324		2,764,685
Lonza Group AG Registered		13,015		4,404,086
Nestle SA Registered		165,841		17,989,452
Novartis AG Registered		138,386		12,014,022
PSP Swiss Property AG Registered		15,215		1,931,515
Roche Holding AG		56,143		16,372,709
UBS Group AG Registered		647,297		7,358,579
Zurich Insurance Group AG		19,337		7,399,405
				77,486,817

The accompanying notes are an integral part of the financial statements.

208

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Taiwan — 3.2%
Catcher Technology Co. Ltd. (c)		115,000	$	871,086
Largan Precision Co. Ltd. (c)		43,000		6,215,056
President Chain Store Corp. (c)		167,000		1,562,148
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR		118,655		5,515,084
Taiwan Semiconductor Manufacturing Co. Ltd. (c)		2,359,000		20,781,457
Uni-President Enterprises Corp. (c)		489,000		1,178,978
				36,123,809
Thailand — 0.6%
Airports of Thailand PCL		337,900		825,831
CP ALL PCL		2,053,400		5,438,136
				6,263,967
Turkey — 0.1%
BIM Birlesik Magazalar AS		124,586		1,085,099
United Arab Emirates — 0.4%
First Abu Dhabi Bank PJSC		1,168,338		4,785,669
United Kingdom — 11.7%
Antofagasta PLC		269,164		2,981,394
ASOS PLC (b)		66,928		2,036,705
AstraZeneca PLC Sponsored ADR		118,653		5,288,364
Aviva PLC		325,772		1,597,617
Barclays PLC Sponsored ADR		45,300		332,502
BHP Group PLC		99,558		2,129,237
BP PLC Sponsored ADR		117,732		4,472,639
British American Tobacco PLC		165,891		6,133,256
Britvic PLC		77,008		931,177
BT Group PLC		957,998		2,104,927
Burberry Group PLC		112,385		3,005,986
Close Brothers Group PLC		22,291		386,357
Cobham PLC (b)		252,059		486,239
Compass Group PLC		79,094		2,035,066
Diageo PLC		74,403		3,044,582
Direct Line Insurance Group PLC		473,234		1,745,549
GlaxoSmithKline PLC Sponsored ADR		213,358		9,106,120
Great Portland Estates PLC		258,809		2,386,607
HomeServe PLC		111,390		1,625,090
HSBC Holdings PLC		277,294		2,127,592
Investec PLC		204,692		1,053,499
Johnson Matthey PLC		52,382		1,970,685
Kingfisher PLC		643,904		1,636,871
LivaNova PLC (b)		18,811		1,388,064
Lloyds Banking Group PLC		7,882,643		5,256,743
London Stock Exchange Group PLC		39,578		3,554,348
Meggitt PLC		664,266		5,190,550
Melrose Industries PLC		817,819		2,025,998
National Grid PLC		165,701		1,796,645
Network International Holdings PLC (a) (b)		336,292		2,211,570

	Number of Shares		Value
Next PLC		26,202	$	1,992,988
Persimmon PLC		64,351		1,717,576
Playtech PLC		130,726		686,216
Prudential PLC		419,525		7,618,975
Reckitt Benckiser Group PLC		6,042		471,209
Rolls-Royce Holdings PLC		253,891		2,472,623
Royal Dutch Shell PLC B Shares Sponsored ADR		56,991		3,413,761
Royal Dutch Shell PLC Class B		173,483		5,096,418
RSA Insurance Group PLC		182,149		1,196,196
Smith & Nephew PLC		76,756		1,848,907
Smiths Group PLC		95,572		1,844,260
St. James’s Place PLC		51,672		622,083
Standard Chartered PLC		176,732		1,485,798
Travis Perkins PLC		59,270		940,648
Unilever PLC		131,216		7,889,808
Vodafone Group PLC		2,131,662		4,245,182
Vodafone Group PLC Sponsored ADR		155,162		3,089,275
The Weir Group PLC		57,160		1,003,098
WPP PLC		402,999		5,044,843
				132,721,843
United States — 1.6%
Autoliv, Inc.		17,827		1,391,013
Booking Holdings, Inc. (b)		1,611		3,161,765
Broadcom, Inc.		8,352		2,305,737
Mastercard, Inc. Class A		13,587		3,689,821
MercadoLibre, Inc. (b)		4,393		2,421,553
Philip Morris International, Inc.		55,662		4,226,416
Southern Copper Corp.		36,275		1,238,066
				18,434,371
TOTAL COMMON STOCK (Cost $1,124,309,346)				1,092,950,283
PREFERRED STOCK — 1.2%
Brazil — 0.8%
Banco Bradesco SA 3.340%		371,932		3,036,362
Itau Unibanco Holding SA 0.550%		783,650		6,606,881
				9,643,243
Germany — 0.1%
Sartorius AG 0.390%		3,070		560,124
Italy — 0.1%
Telecom Italia SpA 5.370%		1,293,929		707,979
Republic of Korea — 0.2%
Samsung Electronics Co. Ltd. 3.760%		55,970		1,839,472

The accompanying notes are an integral part of the financial statements.

209

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
United States — 0.0%
Roofoods Ltd., Series G (Acquired 5/16/19, Cost $550,376) (b) (c) (e) (f)		1,317	$	550,376
TOTAL PREFERRED STOCK (Cost $14,297,930)				13,301,194
TOTAL EQUITIES (Cost $1,138,607,276)				1,106,251,477
MUTUAL FUNDS — 0.1%
United States — 0.1%
State Street Navigator Securities Lending Prime Portfolio (g)		1,354,264		1,354,264
TOTAL MUTUAL FUNDS (Cost $1,354,264)				1,354,264
TOTAL LONG-TERM INVESTMENTS (Cost $1,139,961,540)				1,107,605,741
SHORT-TERM INVESTMENTS — 2.0%
Mutual Fund — 1.9%
T. Rowe Price Government Reserve Investment Fund		21,537,746		21,537,746
TOTAL MUTUAL FUND (Cost $21,537,746)				21,537,746
	Principal Amount
Repurchase Agreement — 0.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (h)	$	1,005,427		1,005,427
TOTAL SHORT-TERM INVESTMENTS (Cost $22,543,173)				22,543,173
TOTAL INVESTMENTS — 99.5% (Cost $1,162,504,713) (i)				1,130,148,914
Other Assets/(Liabilities) — 0.5%				5,791,606
NET ASSETS — 100.0%			$	1,135,940,520

Abbreviation Legend

ADR American Depositary Receipt

GDR Global Depositary Receipt

PJSC Public Joint Stock Company

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $15,348,609 or 1.35% of net assets.

(b) Non-income producing security.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $31,770,326 or 2.80% of net assets.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $1,318,773 or 0.12% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(e) Investment was valued using significant unobservable inputs.

(f) Restricted security. Certain securities are restricted as to resale. At September 30, 2019, these securities amounted to a value of $550,376 or 0.05% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(g) Represents investment of security lending collateral. (Note 2).

(h) Maturity value of $1,005,453. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 3/31/23, and an aggregate market value, including accrued interest, of $1,026,560.

(i) See Note 6 for aggregate cost for federal tax purposes.

Sector weightings, as a percentage of net assets, is as follows:

Financial	24.8	%
Consumer, Non-cyclical	21.9	%
Communications	10.9	%
Industrial	10.1	%
Consumer, Cyclical	9.7	%
Technology	8.9	%
Basic Materials	5.0	%
Energy	3.8	%
Utilities	1.7	%
Diversified	0.6	%
Mutual Funds	0.1	%
Total Long-Term Investments	97.5	%
Short-Term Investments and Other Assets and Liabilities	2.5	%
Net Assets	100.0	%

The accompanying notes are an integral part of the financial statements.

210

MassMutual Select T. Rowe Price International Equity Fund – Portfolio of Investments (Continued)

OTC Options Written

Description	Counterparty	Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
Burberry Group PLC	Goldman Sachs International*		10/18/19		23.00		2	GBP	46,000	$	-		$	(1,133	)	$	1,133
Burberry Group PLC	Goldman Sachs International*		10/18/19		23.00		4	GBP	92,000		(691	)		(1,449	)		758
Zalando SE	Goldman Sachs International*		10/18/19		46.00		34	EUR	156,400		(913	)		(3,911	)		2,998
EssilorLuxottica SA	Goldman Sachs International*		10/18/19		136.00		11	EUR	149,600		(935	)		(3,031	)		2,096
ASML Holding NV	Goldman Sachs International*		10/18/19		235.00		14	EUR	329,000		(4,767	)		(5,570	)		803
Essity AB	Goldman Sachs International*		10/18/19		310.00		38	SEK	1,178,000		(194	)		(1,813	)		1,619
Essity AB	Goldman Sachs International*		10/18/19		310.00		5	SEK	155,000		(26	)		(284	)		258
Essity AB	Goldman Sachs International*		10/18/19		310.00		11	SEK	341,000		(56	)		(567	)		511
Smith & Nephew PLC	JP Morgan Chase Bank N.A.*		10/18/19		20.00		4	GBP	80,000		(690	)		(1,196	)		506
Smith & Nephew PLC	JP Morgan Chase Bank N.A.*		10/18/19		20.00		6	GBP	120,000		(792	)		(2,334	)		1,542
EssilorLuxottica SA	JP Morgan Chase Bank N.A.*		10/18/19		140.00		5	EUR	70,000		(102	)		(1,494	)		1,392
Lonza Group AG Reg	JP Morgan Chase Bank N.A.*		10/18/19		365.00		5	CHF	182,500		(228	)		(3,406	)		3,178
Ubisoft Entertainment SA	JP Morgan Chase Bank N.A.*		11/15/19		74.00		22	EUR	162,800		(2,687	)		(4,420	)		1,733
Hexagon AB	Morgan Stanley & Co. LLC*		10/18/19		525.00		32	SEK	1,680,000		(71	)		(1,751	)		1,680
Thales SA	Morgan Stanley & Co. LLC*		12/20/19		120.00		8	EUR	96,000		(322	)		(1,312	)		990
Thales SA	Morgan Stanley & Co. LLC*		12/20/19		120.00		10	EUR	120,000		(402	)		(1,634	)		1,232
										$	(12,876	)	$	(35,305	)	$	22,429

* Contracts are subject to a Master Netting Agreement.

Forward contracts

Counterparty	Settlement Date		Currency Purchased		Currency Sold			Unrealized Appreciation (Depreciation)
Citibank N.A.*		10/15/19	USD	1,615,419		JPY	173,621,000	$	8,318

* Contracts are subject to a Master Netting Agreement.

Currency Legend

CHF Swiss Franc

EUR Euro

GBP British Pound

JPY Japanese Yen

SEK Swedish Krona

USD U.S. Dollar

The accompanying notes are an integral part of the financial statements.

211

MassMutual Select Funds – Financial Statements

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select Total Return Bond Fund		MassMutual Select Strategic Bond Fund
Assets:
Investments, at value (Note 2) (a)	$	913,157,761	$	705,179,332
Repurchase agreements, at value (Note 2) (b)		6,871,579		47,707,688
Other short-term investments, at value (Note 2) (c)		22,660,331		9,691,668
Total investments (d)		942,689,671		762,578,688
Cash		39,420		-
Foreign currency, at value (e)		-		2,769,204
Receivables from:
Investments sold		3,633,403		4,131,018
Closed swap agreements, at value		-		92,694
Investments sold on a when-issued basis (Note 2)		55,018,751		10,526,074
Open forward contracts (Note 2)		-		1,852,570
Investment adviser (Note 3)		-		3,765
Fund shares sold		1,470,584		908,857
Collateral pledged for open futures and options contracts (Note 2)		-		181,476
Collateral pledged for open swaps agreements (Note 2)		340,604		3,490,880
Variation margin on open derivative instruments (Note 2)		-		2,129,941
Interest and dividends		4,185,642		4,430,114
Interest tax reclaim receivable		2,886		3,838
Foreign taxes withheld		-		-
Open swap agreements, at value (Note 2)		-		708,961
Prepaid expenses		37,443		30,618
Total assets		1,007,418,404		793,838,698
Liabilities:
Payables for:
Investments purchased		14,476,063		19,198,209
Written options outstanding, at value (Note 2) (f)		-		833,743
Open forward contracts (Note 2)		-		2,411,486
Interest and dividends		-		298
Investments purchased on a when-issued basis (Note 2)		111,411,543		60,066,867
Fund shares repurchased		783,673		2,276,831
Securities on loan (Note 2)		18,344,695		2,013,985
Trustees’ fees and expenses (Note 3)		174,343		53,298
Variation margin on open derivative instruments (Note 2)		33,392		-
Affiliates (Note 3):
Investment advisory fees		219,487		227,837
Administration fees		97,307		99,527
Service fees		128,998		88,137
Shareholder service fees		8,649		17,579
Distribution fees		19,727		13,277
Due to custodian		-		761,138
Commitment and Contingent Liabilities (Note 10)		-		-
Accrued expense and other liabilities		149,733		236,260
Total liabilities		145,847,610		88,298,472
Net assets	$	861,570,794	$	705,540,226
Net assets consist of:
Paid-in capital	$	829,110,307	$	656,810,145
Accumulated Gain (Loss)		32,460,487		48,730,081
Net assets	$	861,570,794	$	705,540,226
(a)    Cost of investments:	$	891,204,147	$	675,068,942
(b)    Cost of repurchase agreements:	$	6,871,579	$	47,707,688
(c)    Cost of other short-term investments:	$	22,660,070	$	9,691,513
(d)    Securities on loan with market value of:	$	17,972,197	$	1,972,839
(e)    Cost of foreign currency:	$	-	$	2,828,213
(f)    Premiums on written options:	$	-	$	984,431

The accompanying notes are an integral part of the financial statements.

212

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MM S&P 500 Index Fund		MassMutual Select Equity Opportunities Fund		MassMutual Select Fundamental Growth Fund
$	358,232,739	$	703,815,527	$	3,291,751,020	$	624,174,437	$	135,843,110
	3,010,510		6,487,991		6,748,084		13,412,737		4,604,860
	104		-		5,855,550		1,043		-
	361,243,353		710,303,518		3,304,354,654		637,588,217		140,447,970
	-		10,604,886		25,655		-		-
	-		-		-		51,536		-
	4,957,745		33,116,891		-		509,258		2,314,532
	-		-		-		-		-
	-		-		-		-		-
	-		-		-		-		-
	-		-		-		-		-
	46,933		55,107		5,723,228		63,177		68,699
	-		-		-		-		-
	-		-		-		-		-
	-		-		78,949		-		-
	627,425		849,052		2,886,238		1,288,888		54,744
	-		-		-		-		-
	20,352		326,326		-		35,067		-
	-		-		-		-		-
	42,624		37,545		35,735		33,873		33,230
	366,938,432		755,293,325		3,313,104,459		639,570,016		142,919,175
	5,555,370		4,783,792		410,104		-		422,510
	-		-		-		-		-
	-		-		-		-		-
	-		-		-		-		-
	-		-		-		-		-
	323,813		32,525,233		19,351,205		486,712		158,602
	-		-		3,657,861		-		-
	160,980		213,733		493,276		131,304		18,084
	-		-		-		-		-
	152,687		386,271		267,408		375,482		78,744
	36,356		79,487		456,693		65,520		27,138
	29,064		50,526		555,022		49,664		12,862
	7,698		17,317		82,091		17,534		4,196
	888		1,678		148,483		2,103		1,900
	-		-		-		-		-
	-		-		-		-		-
	96,539		123,691		307,675		90,430		59,862
	6,363,395		38,181,728		25,729,818		1,218,749		783,898
$	360,575,037	$	717,111,597	$	3,287,374,641	$	638,351,267	$	142,135,277
$	318,057,537	$	531,214,260	$	1,787,296,799	$	490,051,676	$	104,755,513
	42,517,500		185,897,337		1,500,077,842		148,299,591		37,379,764
$	360,575,037	$	717,111,597	$	3,287,374,641	$	638,351,267	$	142,135,277
$	337,338,295	$	649,849,142	$	1,938,792,953	$	521,333,913	$	117,695,277
$	3,010,510	$	6,487,991	$	6,748,084	$	13,412,737	$	4,604,860
$	104	$	-	$	5,852,796	$	1,043	$	-
$	-	$	-	$	3,580,193	$	-	$	-
$	-	$	-	$	-	$	51,554	$	-
$	-	$	-	$	-	$	-	$	-

213

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select Total Return Bond Fund		MassMutual Select Strategic Bond Fund
Class I shares:
Net assets	$	479,294,748	$	377,879,108
Shares outstanding (a)		46,527,117		34,203,190
Net asset value, offering price and redemption price per share	$	10.30	$	11.05
Class R5 shares:
Net assets	$	44,973,133	$	79,978,256
Shares outstanding (a)		4,374,016		7,238,605
Net asset value, offering price and redemption price per share	$	10.28	$	11.05
Service Class shares:
Net assets	$	116,388,864	$	36,122,832
Shares outstanding (a)		11,276,793		3,269,419
Net asset value, offering price and redemption price per share	$	10.32	$	11.05
Administrative Class shares:
Net assets	$	21,183,165	$	76,297,288
Shares outstanding (a)		2,066,529		6,934,599
Net asset value, offering price and redemption price per share	$	10.25	$	11.00
Class A shares:
Net assets	$	8,464,258	$	49,917,056
Shares outstanding (a)		827,584		4,551,104
Net asset value, and redemption price per share	$	10.23	$	10.97
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.68	$	11.46
Class R4 shares:
Net assets	$	160,788,144	$	66,656,378
Shares outstanding (a)		15,573,418		6,098,200
Net asset value, offering price and redemption price per share	$	10.32	$	10.93
Class R3 shares:
Net assets	$	30,478,482	$	18,689,308
Shares outstanding (a)		2,977,884		1,726,843
Net asset value, offering price and redemption price per share	$	10.23	$	10.82

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the financial statements.

214

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MM S&P 500 Index Fund		MassMutual Select Equity Opportunities Fund		MassMutual Select Fundamental Growth Fund
$	210,652,476	$	353,302,066	$	1,083,523,000	$	274,970,424	$	67,991,875
	18,345,338		34,186,178		60,479,085		15,000,623		8,470,256
$	11.48	$	10.33	$	17.92	$	18.33	$	8.03
$	74,402,920	$	196,887,226	$	487,312,289	$	180,001,848	$	31,014,347
	6,468,642		18,946,228		27,108,681		9,779,552		3,852,334
$	11.50	$	10.39	$	17.98	$	18.41	$	8.05
$	10,045,854	$	30,115,343	$	395,248,517	$	53,930,965	$	9,805,315
	872,751		2,913,047		21,954,721		2,995,963		1,251,585
$	11.51	$	10.34	$	18.00	$	18.00	$	7.83
$	20,345,881	$	58,982,593	$	476,225,435	$	55,315,885	$	14,315,187
	1,755,550		5,664,149		27,012,173		3,123,421		1,886,556
$	11.59	$	10.41	$	17.63	$	17.71	$	7.59
$	37,170,400	$	66,406,568	$	28,146,891	$	63,914,486	$	14,997,188
	3,243,939		6,474,257		1,630,445		3,807,850		2,097,600
$	11.46	$	10.26	$	17.26	$	16.78	$	7.15
$	12.13	$	10.86	$	18.26	$	17.76	$	7.57
$	6,570,266	$	9,055,383	$	594,415,148	$	6,920,973	$	1,217,079
	581,003		895,922		34,179,652		419,894		172,485
$	11.31	$	10.11	$	17.39	$	16.48	$	7.06
$	1,387,240	$	2,362,418	$	222,503,361	$	3,296,686	$	2,794,286
	121,789		235,066		13,188,221		213,737		429,301
$	11.39	$	10.05	$	16.87	$	15.42	$	6.51

215

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select Blue Chip Growth Fund		MassMutual Select Growth Opportunities Fund
Assets:
Investments, at value (Note 2) (a)	$	3,151,775,352	$	461,718,781
Repurchase agreements, at value (Note 2) (b)		5,959,073		12,420,319
Other short-term investments, at value (Note 2) (c)		1,066		-
Total investments (d)		3,157,735,491		474,139,100
Cash		16,633,176		956
Foreign currency, at value (e)		1		-
Receivables from:
Investments sold		8,407,518		1,059,710
Open forward contracts (Note 2)		-		-
Investment adviser (Note 3)		-		-
Fund shares sold		9,841,483		293,640
Variation margin on open derivative instruments (Note 2)		-		-
Interest and dividends		1,395,965		7,882
Foreign taxes withheld		797,731		17,473
Prepaid expenses		34,713		38,300
Total assets		3,194,846,078		475,557,061
Liabilities:
Payables for:
Investments purchased		7,667,153		-
Open forward contracts (Note 2)		-		-
Fund shares repurchased		4,251,928		787,449
Securities on loan (Note 2)		346,998		9,026,523
Investment advisory fees		-		-
Trustees’ fees and expenses (Note 3)		249,579		114,123
Affiliates (Note 3):
Investment advisory fees		1,678,193		286,813
Administration fees		222,496		61,548
Service fees		234,836		35,180
Shareholder service fees		69,306		14,323
Distribution fees		41,652		651
Commitment and Contingent Liabilities (Note 10)		-		-
Accrued expense and other liabilities		288,345		101,322
Total liabilities		15,050,486		10,427,932
Net assets	$	3,179,795,592	$	465,129,129
Net assets consist of:
Paid-in capital	$	2,053,324,853	$	210,763,619
Accumulated Gain (Loss)		1,126,470,739		254,365,510
Net assets	$	3,179,795,592	$	465,129,129
(a)    Cost of investments:	$	2,168,866,767	$	342,830,027
(b)    Cost of repurchase agreements:	$	5,959,073	$	12,420,319
(c)    Cost of other short-term investments:	$	1,066	$	-
(d)    Securities on loan with market value of:	$	340,081	$	8,833,627
(e)    Cost of foreign currency:	$	1	$	-

The accompanying notes are an integral part of the financial statements.

216

MassMutual Select Mid-Cap Value Fund		MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund		MM S&P Mid Cap Index Fund		MM Russell 2000 Small Cap Index Fund
$	97,284,126	$	84,889,055	$	204,530,620	$	471,131,918	$	304,089,361
	2,061,559		3,260,308		7,836,031		4,377,724		2,570,285
	-		-		-		900,471		532,323
	99,345,685		88,149,363		212,366,651		476,410,113		307,191,969
	-		2		2,928		-		27
	4		40		-		-		13
	403,827		-		2,262,103		-		93,381
	106,335		-		-		-		-
	10,696		-		-		-		-
	888,816		7,062		30,904		3,408,253		1,466,182
	-		-		-		40,381		2,002
	195,821		93,293		249,500		597,300		365,899
	669		-		-		-		-
	41,919		36,423		36,777		37,068		36,598
	100,993,772		88,286,183		214,948,863		480,493,115		309,156,071
	409,096		241,168		657,377		142,154		6,763
	2,987		-		-		-		-
	201,798		717,400		57,632		6,352,679		2,426,691
	-		1,461,402		4,418,710		10,415,099		17,760,100
	-		-		-		-		35,995
	22,150		23,582		75,497		36,753		26,735
	58,955		55,265		150,325		39,688		24,928
	19,641		23,446		30,036		97,240		57,246
	2,634		8,686		11,548		180,530		93,208
	468		1,639		3,861		12,642		9,949
	313		624		282		83,701		37,091
	-		-		-		-		-
	84,263		60,422		80,625		84,713		88,948
	802,305		2,593,634		5,485,893		17,445,199		20,567,654
$	100,191,467	$	85,692,549	$	209,462,970	$	463,047,916	$	288,588,417
$	96,032,318	$	71,407,848	$	198,721,924	$	406,856,492	$	266,173,379
	4,159,149		14,284,701		10,741,046		56,191,424		22,415,038
$	100,191,467	$	85,692,549	$	209,462,970	$	463,047,916	$	288,588,417
$	91,690,570	$	77,889,172	$	203,257,376	$	423,743,583	$	291,863,949
$	2,061,559	$	3,260,308	$	7,836,031	$	4,377,724	$	2,570,285
$	-	$	-	$	-	$	900,047	$	532,073
$	-	$	1,390,426	$	4,289,287	$	10,132,550	$	17,179,419
$	4	$	41	$	-	$	-	$	13

217

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select Blue Chip Growth Fund		MassMutual Select Growth Opportunities Fund
Class I shares:
Net assets	$	1,947,695,148	$	168,427,221
Shares outstanding (a)		85,699,180		16,494,050
Net asset value, offering price and redemption price per share	$	22.73	$	10.21
Class R5 shares:
Net assets	$	456,221,972	$	127,576,941
Shares outstanding (a)		20,110,305		12,694,363
Net asset value, offering price and redemption price per share	$	22.69	$	10.05
Service Class shares:
Net assets	$	114,020,644	$	73,129,391
Shares outstanding (a)		5,073,633		7,568,791
Net asset value, offering price and redemption price per share	$	22.47	$	9.66
Administrative Class shares:
Net assets	$	312,814,852	$	48,666,495
Shares outstanding (a)		14,135,265		5,307,958
Net asset value, offering price and redemption price per share	$	22.13	$	9.17
Class A shares:
Net assets	$	181,456,934	$	36,628,956
Shares outstanding (a)		8,588,744		4,443,994
Net asset value, and redemption price per share	$	21.13	$	8.24
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	22.36	$	8.72
Class R4 shares:
Net assets	$	106,445,088	$	9,774,974
Shares outstanding (a)		5,048,168		1,174,822
Net asset value, offering price and redemption price per share	$	21.09	$	8.32
Class R3 shares:
Net assets	$	61,140,954	$	925,151
Shares outstanding (a)		3,113,067		126,236
Net asset value, offering price and redemption price per share	$	19.64	$	7.33

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the financial statements.

218

MassMutual Select Mid-Cap Value Fund		MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund		MM S&P Mid Cap Index Fund		MM Russell 2000 Small Cap Index Fund
$	93,413,299	$	47,894,233	$	95,422,968	$	81,696,824	$	74,591,837
	7,519,447		4,287,328		10,347,703		5,938,374		6,054,126
$	12.42	$	11.17	$	9.22	$	13.76	$	12.32
$	1,331,947	$	16,680,413	$	78,144,536	$	32,207,047	$	15,612,899
	106,122		1,490,650		8,417,192		2,348,685		1,268,261
$	12.55	$	11.19	$	9.28	$	13.71	$	12.31
$	215,476	$	4,730,278	$	6,846,875	$	21,397,479	$	9,012,973
	17,292		420,742		741,949		1,569,114		738,169
$	12.46	$	11.24	$	9.23	$	13.64	$	12.21
$	889,233	$	3,240,187	$	11,362,682	$	54,062,431	$	50,106,456
	69,985		290,452		1,260,528		3,965,871		4,096,546
$	12.71	$	11.16	$	9.01	$	13.63	$	12.23
$	2,788,352	$	7,990,107	$	16,722,537	$	36,012,540	$	23,469,292
	223,648		725,616		1,936,102		2,648,208		1,932,185
$	12.47	$	11.01	$	8.64	$	13.60	$	12.15
$	13.20	$	11.65	$	9.14	$	14.39	$	12.86
$	1,049,764	$	4,301,078	$	540,904	$	109,915,168	$	60,167,735
	85,292		393,504		63,479		8,125,201		4,973,885
$	12.31	$	10.93	$	8.52	$	13.53	$	12.10
$	503,396	$	856,253	$	422,468	$	127,756,427	$	55,627,225
	41,000		78,853		53,733		9,491,698		4,624,533
$	12.28	$	10.86	$	7.86	$	13.46	$	12.03

219

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select Mid Cap Growth Fund		MassMutual Select Small Cap Growth Equity Fund
Assets:
Investments, at value (Note 2) (a)	$	8,266,758,985	$	517,862,334
Repurchase agreements, at value (Note 2) (b)		288,644,060		6,519,711
Other short-term investments, at value (Note 2) (c)		152,415,539		-
Total investments (d)		8,707,818,584		524,382,045
Cash		64,195		-
Foreign currency, at value (e)		-		12
Receivables from:
Investments sold		13,975,958		4,243,549
Open forward contracts (Note 2)		-		-
Investment adviser (Note 3)		-		-
Fund shares sold		4,846,161		380,889
Variation margin on open derivative instruments (Note 2)		-		-
Interest and dividends		2,460,999		353,367
Foreign taxes withheld		-		-
Prepaid expenses		45,370		39,807
Total assets		8,729,211,267		529,399,669
Liabilities:
Payables for:
Investments purchased		25,779,552		1,273,028
Written options outstanding, at value (Note 2) (f)		-		-
Open forward contracts (Note 2)		-		-
Fund shares repurchased		5,122,935		590,163
Securities on loan (Note 2)		86,789,589		16,878,460
Investment advisory fees		-		-
Trustees’ fees and expenses (Note 3)		513,465		119,669
Affiliates (Note 3):
Investment advisory fees		5,030,283		359,144
Administration fees		460,861		52,061
Service fees		315,133		33,125
Shareholder service fees		82,963		9,674
Distribution fees		21,795		1,798
Commitment and Contingent Liabilities (Note 10)		-		-
Accrued expense and other liabilities		591,917		102,621
Total liabilities		124,708,493		19,419,743
Net assets	$	8,604,502,774	$	509,979,926
Net assets consist of:
Paid-in capital	$	6,738,194,308	$	402,752,984
Accumulated Gain (Loss)		1,866,308,466		107,226,942
Net assets	$	8,604,502,774	$	509,979,926
(a)    Cost of investments:	$	6,825,980,650	$	463,536,834
(b)    Cost of repurchase agreements:	$	288,644,060	$	6,519,711
(c)    Cost of other short-term investments:	$	152,415,539	$	-
(d)    Securities on loan with market value of:	$	84,895,927	$	16,478,411
(e)    Cost of foreign currency:	$	-	$	12
(f)    Premiums on written options:	$	-	$	-

The accompanying notes are an integral part of the financial statements.

220

MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund		MassMutual Select T. Rowe Price International Equity Fund
$	226,852,171	$	566,691,682	$	1,107,605,741
	500,440		12,526,286		1,005,427
	-		-		21,537,746
	227,352,611		579,217,968		1,130,148,914
	66,197		28,054		243,877
	1,264,863		169,376		1,045,702
	-		522,437		747,781
	1,719		29,433		8,318
	-		-		42,781
	2,139,396		1,710,815		2,579,344
	519,683		-		-
	704,325		918,929		3,165,285
	719,385		2,594,039		1,191,424
	36,069		38,496		8,133
	232,804,248		585,229,547		1,139,181,559
	-		3,311,865		796,641
	-		-		12,876
	12,447		-		-
	1,374,179		1,001,693		6,135
	1,267,533		3,218,312		1,354,264
	84,248		-		-
	30,809		116,689		28,407
	19,505		392,000		658,311
	57,067		62,928		18,343
	69,393		31,517		-
	8,412		8,153		-
	26,499		2,285		-
	-		-		-
	173,682		603,445		366,062
	3,123,774		8,748,887		3,241,039
$	229,680,474	$	576,480,660	$	1,135,940,520
$	217,563,033	$	555,784,908	$	1,184,785,442
	12,117,441		20,695,752		(48,844,922	)
$	229,680,474	$	576,480,660	$	1,135,940,520
$	215,009,834	$	554,934,998	$	1,139,961,540
$	500,440	$	12,526,286	$	1,005,427
$	-	$	-	$	21,537,746
$	1,205,016	$	3,063,121	$	1,318,773
$	1,273,625	$	169,480	$	1,081,097
$	-	$	-	$	35,305

221

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select Mid Cap Growth Fund		MassMutual Select Small Cap Growth Equity Fund
Class I shares:
Net assets	$	5,925,776,308	$	269,356,345
Shares outstanding (a)		253,931,652		17,603,833
Net asset value, offering price and redemption price per share	$	23.34	$	15.30
Class R5 shares:
Net assets	$	1,533,487,449	$	128,280,035
Shares outstanding (a)		66,433,166		8,517,376
Net asset value, offering price and redemption price per share	$	23.08	$	15.06
Service Class shares:
Net assets	$	373,475,098	$	34,403,534
Shares outstanding (a)		16,624,717		2,437,216
Net asset value, offering price and redemption price per share	$	22.47	$	14.12
Administrative Class shares:
Net assets	$	290,024,266	$	28,372,010
Shares outstanding (a)		13,562,465		2,165,528
Net asset value, offering price and redemption price per share	$	21.38	$	13.10
Class A shares:
Net assets	$	226,723,033	$	33,997,389
Shares outstanding (a)		11,577,034		2,986,507
Net asset value, and redemption price per share	$	19.58	$	11.38
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	20.72	$	12.04
Class R4 shares:
Net assets	$	222,246,560	$	12,842,881
Shares outstanding (a)		11,260,046		1,118,251
Net asset value, offering price and redemption price per share	$	19.74	$	11.48
Class R3 shares:
Net assets	$	32,770,060	$	2,727,732
Shares outstanding (a)		1,827,584		278,744
Net asset value, offering price and redemption price per share	$	17.93	$	9.79

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the financial statements.

222

MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund		MassMutual Select T. Rowe Price International Equity Fund
$	56,769,833	$	348,466,525	$	1,135,940,520
	4,599,133		41,751,983		120,401,600
$	12.34	$	8.35	$	9.43
$	22,402,347	$	122,168,015	$	-
	1,816,267		14,578,920		-
$	12.33	$	8.38	$	-
$	3,340,055	$	36,488,579	$	-
	272,090		4,382,248		-
$	12.28	$	8.33	$	-
$	40,744,884	$	21,562,749	$	-
	3,322,757		2,566,309		-
$	12.26	$	8.40	$	-
$	23,947,789	$	29,536,924	$	-
	1,960,319		3,599,060		-
$	12.22	$	8.21	$	-
$	12.93	$	8.69	$	-
$	41,622,337	$	14,875,827	$	-
	3,423,322		1,852,061		-
$	12.16	$	8.03	$	-
$	40,853,229	$	3,382,041	$	-
	3,373,342		416,834		-
$	12.11	$	8.11	$	-

223

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select Total Return Bond Fund		MassMutual Select Strategic Bond Fund
Investment income (Note 2):
Dividends (a)	$	-	$	10,510
Interest		29,194,152		25,783,695
Securities lending net income		84,230		10,949
Total investment income		29,278,382		25,805,154
Expenses (Note 3):
Investment advisory fees		2,590,396		2,546,510
Custody fees		135,976		263,356
Audit fees		34,795		52,474
Legal fees		25,755		23,536
Proxy fees		1,365		1,365
Accounting & Administration fees		100,545		183,570
Shareholder reporting fees		53,568		39,180
Trustees’ fees		39,117		30,533
Registration and filing fees		102,306		119,285
Transfer agent fees		3,017		3,017
		3,086,840		3,262,826
Administration fees:
Class R5		50,456		80,120
Service Class		174,544		68,139
Administrative Class		61,580		109,325
Class A		11,253		68,955
Class R4		323,050		129,977
Class R3		60,355		39,117
Distribution fees:
Class R3		75,444		48,896
Distribution and Service fees:
Class A		18,755		114,925
Class R4		403,812		162,471
Class R3		75,444		48,896
Shareholder service fees:
Service Class		58,181		22,713
Administrative Class		61,580		109,325
Class A		11,253		68,955
Total expenses		4,472,547		4,334,640
Expenses waived (Note 3):
Class I fees reimbursed by adviser		-		(23,318	)
Class R5 fees reimbursed by adviser		-		(5,216	)
Service Class fees reimbursed by adviser		-		(2,828	)
Administrative Class fees reimbursed by adviser		-		(4,815	)
Class A fees reimbursed by adviser		-		(3,117	)
Class R4 fees reimbursed by adviser		-		(4,185	)
Class R3 fees reimbursed by adviser		-		(1,276	)
Net expenses:		4,472,547		4,289,885
Net investment income (loss)		24,805,835		21,515,269

The accompanying notes are an integral part of the financial statements.

224

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MM S&P 500 Index Fund		MassMutual Select Equity Opportunities Fund		MassMutual Select Fundamental Growth Fund
$	10,983,361	$	24,170,794	$	63,442,931	$	14,632,801	$	1,442,790
	41,362		135,909		515,562		131,399		26,386
	6,507		2,858		52,925		8,475		5,872
	11,031,230		24,309,561		64,011,418		14,772,675		1,475,048
	1,916,749		5,626,268		3,082,705		4,363,078		876,045
	45,191		73,832		223,580		37,822		33,016
	37,234		37,640		38,606		37,751		38,585
	9,935		23,523		75,714		15,394		3,410
	1,365		1,365		1,365		1,365		1,365
	25,932		48,630		126,089		39,228		25,638
	26,330		48,058		152,349		24,840		17,832
	15,809		43,489		148,029		28,488		6,175
	126,277		106,270		164,462		110,318		101,481
	3,995		3,017		3,017		3,017		3,017
	2,208,817		6,012,092		4,015,916		4,661,301		1,106,564
	114,092		236,724		487,153		172,065		29,979
	14,109		54,335		814,149		72,633		14,081
	23,312		103,851		1,054,792		92,156		18,349
	60,907		105,725		58,007		101,627		23,006
	12,009		17,948		1,518,371		20,060		3,881
	3,748		5,367		581,940		5,675		6,077
	4,685		6,708		581,940		7,094		7,596
	101,511		176,209		72,508		169,377		38,344
	15,011		22,436		1,518,371		25,075		4,851
	4,685		6,708		581,940		7,094		7,596
	4,703		18,111		203,537		24,211		4,694
	23,312		103,851		791,094		92,156		18,349
	60,907		105,726		43,505		101,627		23,006
	2,651,808		6,975,791		12,323,223		5,552,151		1,306,373
	-		-		-		-		(23,067	)
	-		-		-		-		(11,050	)
	-		-		-		-		(3,419	)
	-		-		-		-		(4,444	)
	-		-		-		-		(5,909	)
	-		-		-		-		(898	)
	-		-		-		-		(1,092	)
	2,651,808		6,975,791		12,323,223		5,552,151		1,256,494
	8,379,422		17,333,770		51,688,195		9,220,524		218,554

225

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select Total Return Bond Fund			MassMutual Select Strategic Bond Fund
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	20,294,661		$	5,687,002
Futures contracts		5,488,560			4,599,453
Written options		-			5,868,520
Swap agreements		13,575			(755,179	)
Foreign currency transactions		10,608			(239,311	)
Forward contracts		234,519			881,540
Net realized gain (loss)		26,041,923			16,042,025
Net change in unrealized appreciation (depreciation) on:
Investment transactions		33,362,700			43,201,550
Futures contracts		690,386			1,981,965
Written options		-			(41,675	)
Swap agreements		(130,016	)		(5,891,467	)
Translation of assets and liabilities in foreign currencies		(19	)		(20,281	)
Forward contracts		(467,849	)		645,999
Net change in unrealized appreciation (depreciation)		33,455,202			39,876,091
Net realized gain (loss) and change in unrealized appreciation (depreciation)		59,497,125			55,918,116
Net increase (decrease) in net assets resulting from operations	$	84,302,960		$	77,433,385
(a)    Net of foreign withholding tax of:	$	-		$	-

The accompanying notes are an integral part of the financial statements.

226

MassMutual Select Diversified Value Fund			MassMutual Select Fundamental Value Fund			MM S&P 500 Index Fund			MassMutual Select Equity Opportunities Fund			MassMutual Select Fundamental Growth Fund
$	16,739,708		$	125,029,036		$	145,433,494		$	55,294,534		$	23,132,760
	-			-			(1,028,610	)		-			-
	-			-			-			-			-
	-			-			-			-			-
	(4,863	)		6,126			-			(1,021	)		(1,582	)
	-			-			-			-			-
	16,734,845			125,035,162			144,404,884			55,293,513			23,131,178
	(23,965,875	)		(158,830,094	)		(73,322,751	)		(1,479,857	)		(18,402,166	)
	-			-			(507,974	)		-			-
	-			-			-			-			-
	-			-			-			-			-
	368			(5,418	)		-			(858	)		-
	-			-			-			-			-
	(23,965,507	)		(158,835,512	)		(73,830,725	)		(1,480,715	)		(18,402,166	)
	(7,230,662	)		(33,800,350	)		70,574,159			53,812,798			4,729,012
$	1,148,760		$	(16,466,580	)	$	122,262,354		$	63,033,322		$	4,947,566
$	70,570		$	194,379		$	-		$	137,226		$	-

227

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select Blue Chip Growth Fund		MassMutual Select Growth Opportunities Fund
Investment income (Note 2):
Dividends (a)	$	29,818,642	$	2,772,996
Interest		182,058		190,543
Securities lending net income		62,076		18,515
Total investment income		30,062,776		2,982,054
Expenses (Note 3):
Investment advisory fees		18,793,236		4,151,841
Custody fees		239,282		58,601
Audit fees		37,653		37,691
Legal fees		75,375		14,641
Proxy fees		1,365		1,365
Accounting & Administration fees		125,271		39,004
Shareholder reporting fees		101,738		34,933
Trustees’ fees		140,025		27,258
Registration and filing fees		166,025		100,942
Transfer agent fees		3,017		3,017
		19,682,987		4,469,293
Administration fees:
Class R5		476,993		130,878
Service Class		165,199		106,420
Administrative Class		459,699		71,971
Class A		272,655		62,674
Class R4		219,100		29,994
Class R3		120,859		2,064
Distribution fees:
Class R3		151,073		2,580
Distribution and Service fees:
Class A		454,425		104,456
Class R4		273,876		37,492
Class R3		151,073		2,580
Shareholder service fees:
Service Class		55,066		35,473
Administrative Class		459,699		71,971
Class A		272,656		62,674
Total expenses		23,215,360		5,190,520
Expenses waived (Note 3):
Class I fees reimbursed by adviser		-		-
Class R5 fees reimbursed by adviser		-		-
Service Class fees reimbursed by adviser		-		-
Administrative Class fees reimbursed by adviser		-		-
Class A fees reimbursed by adviser		-		-
Class R4 fees reimbursed by adviser		-		-
Class R3 fees reimbursed by adviser		-		-
Class I advisory fees waived		-		-
Class R5 advisory fees waived		-		-
Service Class advisory fees waived		-		-
Administrative Class advisory fees waived		-		-
Class A advisory fees waived		-		-
Class R4 advisory fees waived		-		-
Class R3 advisory fees waived		-		-
Net expenses:		23,215,360		5,190,520
Net investment income (loss)		6,847,416		(2,208,466	)

The accompanying notes are an integral part of the financial statements.

228

MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund			MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund		MM Russell 2000 Small Cap Index Fund
$	2,309,541		$	1,326,973		$	3,337,948		$	7,450,618	$	4,213,306
	28,227			50,499			76,288			99,569		69,772
	6,603			3,122			74,781			91,518		342,968
	2,344,371			1,380,594			3,489,017			7,641,705		4,626,046
	647,887			768,042			1,740,251			462,341		301,338
	58,333			34,357			54,367			34,647		51,908
	37,591			37,562			36,893			32,852		33,053
	2,520			2,442			4,912			11,099		7,293
	1,365			1,365			1,365			1,365		1,365
	34,409			27,208			33,127			39,576		48,061
	32,523			17,163			22,074			103,770		53,309
	4,019			3,917			9,033			21,216		13,862
	103,662			102,403			104,583			101,961		106,898
	3,017			3,017			3,017			3,017		3,017
	925,326			997,476			2,009,622			811,844		620,104
	1,223			31,035			73,032			21,545		16,960
	370			6,970			10,506			48,964		25,814
	1,280			6,194			18,364			115,905		98,872
	3,445			14,599			26,501			66,732		48,301
	1,907			7,352			1,161			301,292		167,915
	858			2,378			944			334,223		150,427
	1,073			2,973			1,181			334,223		150,427
	5,742			24,331			44,168			83,415		60,376
	2,384			9,190			1,451			301,292		167,915
	1,073			2,973			1,180			334,223		150,427
	123			2,323			3,502			12,241		6,454
	1,280			6,194			18,364			86,929		74,154
	3,445			14,599			26,501			50,049		36,226
	949,529			1,128,587			2,236,477			2,902,877		1,774,372
	(172,844	)		(23,401	)		-			-		(3,853	)
	(2,453	)		(20,225	)		-			-		(1,146	)
	(498	)		(2,521	)		-			-		(824	)
	(1,704	)		(2,433	)		-			-		(2,625	)
	(4,610	)		(5,599	)		-			-		(1,314	)
	(1,910	)		(1,557	)		-			-		(4,109	)
	(864	)		(712	)		-			-		(3,559	)
	-			-			(6,156	)		-		-
	-			-			(4,404	)		-		-
	-			-			(489	)		-		-
	-			-			(851	)		-		-
	-			-			(1,210	)		-		-
	-			-			(39	)		-		-
	-			-			(28	)		-		-
	764,646			1,072,139			2,223,300			2,902,877		1,756,942
	1,579,725			308,455			1,265,717			4,738,828		2,869,104

229

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select Blue Chip Growth Fund			MassMutual Select Growth Opportunities Fund
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	216,007,273		$	162,514,440
Futures contracts		-			-
Foreign currency transactions		712			-
Forward contracts		-			-
Net realized gain (loss)		216,007,985			162,514,440
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(106,607,956	)		(156,877,363	)
Futures contracts		-			-
Translation of assets and liabilities in foreign currencies		(23	)		-
Forward contracts		-			-
Net change in unrealized appreciation (depreciation)		(106,607,979	)		(156,877,363	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		109,400,006			5,637,077
Net increase (decrease) in net assets resulting from operations	$	116,247,422		$	3,428,611
(a)    Net of foreign withholding tax of:	$	441,720		$	-

The accompanying notes are an integral part of the financial statements.

230

MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund			MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund			MM Russell 2000 Small Cap Index Fund
$	(1,409,567	)	$	8,375,115		$	10,145,146		$	11,163,787		$	13,606,028
	-			-			(150,120	)		(509,517	)		495,684
	(1,749	)		(1,550	)		67			-			(46	)
	432,090			-			-			-			-
	(979,226	)		8,373,565			9,995,093			10,654,270			14,101,666
	2,346,408			(20,758,490	)		(30,246,289	)		(31,512,265	)		(47,536,841	)
	-			-			18,664			59,210			(36,468	)
	(38	)		(1	)		-			-			-
	67,747			-			-			-			-
	2,414,117			(20,758,491	)		(30,227,625	)		(31,453,055	)		(47,573,309	)
	1,434,891			(12,384,926	)		(20,232,532	)		(20,798,785	)		(33,471,643	)
$	3,014,616		$	(12,076,471	)	$	(18,966,815	)	$	(16,059,957	)	$	(30,602,539	)
$	28,716		$	5,243		$	9,879		$	3,991		$	1,632

231

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select Mid Cap Growth Fund		MassMutual Select Small Cap Growth Equity Fund
Investment income (Note 2):
Dividends (a)	$	63,510,314	$	4,262,595
Interest		6,846,980		154,104
Securities lending net income		701,544		88,657
Total investment income		71,058,838		4,505,356
Expenses (Note 3):
Investment advisory fees		55,892,983		4,392,896
Custody fees		497,490		79,148
Audit fees		38,137		38,718
Legal fees		208,833		23,829
Proxy fees		1,365		1,365
Accounting & Administration fees		310,832		41,186
Shareholder reporting fees		678,962		31,986
Trustees’ fees		373,342		25,219
Registration and filing fees		434,713		103,805
Transfer agent fees		3,017		3,017
		58,439,674		4,741,169
Administration fees:
Class R5		1,478,064		130,821
Service Class		565,380		44,420
Administrative Class		456,345		43,929
Class A		355,457		55,670
Class R4		427,917		25,213
Class R3		66,174		5,270
Distribution fees:
Class R3		82,718		6,588
Distribution and Service fees:
Class A		592,429		92,783
Class R4		534,896		31,516
Class R3		82,718		6,588
Shareholder service fees:
Service Class		188,460		14,806
Administrative Class		456,345		43,929
Class A		355,457		55,670
Total expenses		64,082,034		5,298,372
Expenses waived (Note 3):
Class I fees reimbursed by adviser		-		-
Net expenses:		64,082,034		5,298,372
Net investment income (loss)		6,976,804		(793,016	)

The accompanying notes are an integral part of the financial statements.

232

MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund		MassMutual Select T. Rowe Price International Equity Fund
$	7,578,192	$	18,143,922	$	33,368,838
	26,201		195,559		482,031
	62,455		134,841		190,975
	7,666,848		18,474,322		34,041,844
	227,691		4,476,722		6,772,373
	34,564		121,587		632,429
	34,495		47,994		41,470
	5,349		13,513		45,873
	1,365		1,872		1,365
	44,978		54,384		54,023
	65,403		31,348		67,072
	9,550		25,146		38,175
	103,562		106,404		118,433
	3,017		3,017		3,017
	529,974		4,881,987		7,774,230
	11,946		119,948		-
	40,994		55,787		-
	72,741		35,912		-
	43,633		48,826		-
	113,752		27,760		-
	104,949		7,707		-
	104,949		9,634		-
	54,541		81,376		-
	113,752		34,700		-
	104,949		9,634		-
	10,248		18,596		-
	54,556		35,912		-
	32,725		48,826		-
	1,393,709		5,416,605		7,774,230
	-		-		(1,198,156	)
	1,393,709		5,416,605		6,576,074
	6,273,139		13,057,717		27,465,770

233

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select Mid Cap Growth Fund			MassMutual Select Small Cap Growth Equity Fund
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	544,145,531		$	64,756,654
Futures contracts		-			-
Written options		-			-
Foreign currency transactions		461			(470	)
Forward contracts		-			-
Net realized gain (loss)		544,145,992			64,756,184
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(8,141,899	)		(84,314,983	)
Futures contracts		-			-
Written options		-			-
Translation of assets and liabilities in foreign currencies		(318	)		6
Forward contracts		-			-
Net change in unrealized appreciation (depreciation)		(8,142,217	)		(84,314,977	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		536,003,775			(19,558,793	)
Net increase (decrease) in net assets resulting from operations	$	542,980,579		$	(20,351,809	)
(a)    Net of foreign withholding tax of:	$	184,044		$	15,288
*    Net of net increase (decrease) in accrued foreign capital gains tax of:	$	-		$	-

The accompanying notes are an integral part of the financial statements.

234

MM MSCI EAFE International Index Fund			MassMutual Select Overseas Fund			MassMutual Select T. Rowe Price International Equity Fund
$	584,705		$	6,686,221		$	(36,180,009	)
	220,977			-			-
	-			-			124,042
	(91,081	)		(32,846	)		(253,997	)
	(174,970	)		190,781			13,027
	539,631			6,844,156			(36,296,937	)
	(10,482,581	)		(25,850,408	)*		14,868,240
	(150,009	)		-			-
	-			-			17,312
	(6,663	)		(63,009	)		(56,522	)
	15,600			(16,175	)		(16,202	)
	(10,623,653	)		(25,929,592	)		14,812,828
	(10,084,022	)		(19,085,436	)		(21,484,109	)
$	(3,810,883	)	$	(6,027,719	)	$	5,981,661
$	671,440		$	1,795,032		$	3,019,460
$	-		$	277,145		$	-

235

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Total Return Bond Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	24,805,835		$	21,030,243
Net realized gain (loss)		26,041,923			(14,960,139	)
Net change in unrealized appreciation (depreciation)		33,455,202			(15,871,819	)
Net increase (decrease) in net assets resulting from operations		84,302,960			(9,801,715	)
Distributions to shareholders (Note 2):
Class I		(12,861,958	)		(10,129,905	)*
Class R5		(1,467,037	)		(1,828,232	)*
Service Class		(3,296,801	)		(4,108,576	)*
Administrative Class		(1,374,011	)		(1,497,295	)*
Class A		(182,951	)		(107,308	)*
Class R4		(4,142,266	)		(4,386,331	)*
Class R3		(680,228	)		(659,012	)*
Total distributions		(24,005,252	)		(22,716,659	)
Net fund share transactions (Note 5):
Class I		19,472,489			78,372,255
Class R5		(10,184,144	)		(14,247,231	)
Service Class		(23,131,382	)		(21,252,012	)
Administrative Class		(35,168,941	)		(7,307,271	)
Class A		3,600,258			(197,896	)
Class R4		(22,621,508	)		(42,464,885	)
Class R3		(5,192,468	)		(850,732	)
Increase (decrease) in net assets from fund share transactions		(73,225,696	)		(7,947,772	)
Total increase (decrease) in net assets		(12,927,988	)		(40,466,146	)
Net assets*
Beginning of year		874,498,782			914,964,928
End of year	$	861,570,794		$	874,498,782

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

236

MassMutual Select Strategic Bond Fund						MassMutual Select Diversified Value Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	21,515,269		$	15,476,366		$	8,379,422		$	6,800,472
	16,042,025			(8,245,976	)		16,734,845			57,294,881
	39,876,091			(22,569,554	)		(23,965,507	)		(35,846,396	)
	77,433,385			(15,339,164	)		1,148,760			28,248,957
	(8,470,181	)		(4,008,676	)*		(28,659,584	)		(45,918,746	)*
	(2,165,273	)		(1,629,063	)*		(20,081,978	)		(15,125,657	)*
	(1,196,330	)		(1,416,176	)*		(1,299,372	)		(3,546,133	)*
	(1,764,483	)		(1,463,320	)*		(2,096,273	)		(1,522,049	)*
	(956,568	)		(981,391	)*		(5,991,866	)		(4,693,995	)*
	(1,563,692	)		(1,306,810	)*		(775,376	)		(437,247	)*
	(414,599	)		(297,064	)*		(334,894	)		(632,593	)*
	(16,531,126	)		(11,102,500	)		(59,239,343	)		(71,876,420	)
	58,765,471			118,010,442			33,417,897			83,112,589
	(5,685,479	)		10,888,997			(45,265,898	)		102,218,131
	(20,483,012	)		(10,892,743	)		(2,224,736	)		4,023,618
	(550,903	)		7,406,356			7,101,576			11,397,212
	612,512			(5,515,503	)		(2,497,800	)		31,912,391
	(6,646,992	)		9,749,260			2,629,146			3,953,468
	(2,567,947	)		4,104,641			(454,914	)		499,958
	23,443,650			133,751,450			(7,294,729	)		237,117,367
	84,345,909			107,309,786			(65,385,312	)		193,489,904
	621,194,317			513,884,531			425,960,349			232,470,445
$	705,540,226		$	621,194,317		$	360,575,037		$	425,960,349

237

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Fundamental Value Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	17,333,770		$	21,697,708
Net realized gain (loss)		125,035,162			184,928,131
Net change in unrealized appreciation (depreciation)		(158,835,512	)		(106,625,065	)
Net increase (decrease) in net assets resulting from operations		(16,466,580	)		100,000,774
Distributions to shareholders (Note 2):
Class I		(73,708,191	)		(95,130,880	)*
Class R5		(32,593,317	)		(56,233,126	)*
Service Class		(5,125,760	)		(9,180,210	)*
Administrative Class		(9,316,716	)		(14,131,875	)*
Class A		(8,857,469	)		(15,605,110	)*
Class R4		(1,053,343	)		(2,626,805	)*
Class R3		(328,097	)		(418,850	)*
Total distributions		(130,982,893	)		(193,326,856	)
Net fund share transactions (Note 5):
Class I		(199,844,345	)		83,284,872
Class R5		(72,882,287	)		(32,460,855	)
Service Class		(13,502,374	)		(6,667,926	)
Administrative Class		(16,077,434	)		413,773
Class A		(8,162,544	)		(15,878,768	)
Class R4		977,854			(5,532,388	)
Class R3		(117,749	)		89,181
Increase (decrease) in net assets from fund share transactions		(309,608,879	)		23,247,889
Total increase (decrease) in net assets		(457,058,352	)		(70,078,193	)
Net assets*
Beginning of year		1,174,169,949			1,244,248,142
End of year	$	717,111,597		$	1,174,169,949

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

238

MM S&P 500 Index Fund						MassMutual Select Equity Opportunities Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	51,688,195		$	52,965,032		$	9,220,524		$	8,952,675
	144,404,884			441,815,801			55,293,513			35,859,278
	(73,830,725	)		46,663,902			(1,480,715	)		56,609,190
	122,262,354			541,444,735			63,033,322			101,421,143
	(124,447,157	)		(88,280,813	)*		(24,257,844	)		(72,717,180	)*
	(71,529,319	)		(145,370,837	)*		(16,380,730	)		(60,455,592	)*
	(60,024,630	)		(99,125,892	)*		(4,548,999	)		(18,832,884	)*
	(82,715,153	)		(115,282,617	)*		(6,378,705	)		(25,182,392	)*
	(4,330,792	)		(6,214,397	)*		(6,773,750	)		(30,515,699	)*
	(91,379,754	)		(131,955,470	)*		(1,011,804	)		(2,813,811	)*
	(35,840,947	)		(44,443,244	)*		(268,342	)		(880,663	)*
	(470,267,752	)		(630,673,270	)		(59,620,174	)		(211,398,221	)
	333,952,990			263,871,503			1,469,995			75,124,542
	11,094,676			(148,996,272	)		(7,926,725	)		11,938,559
	(39,048,606	)		(7,735,990	)		3,076,615			(918,129	)
	(61,649,576	)		54,482,191			(18,911,812	)		6,562,404
	(2,633,381	)		7,865,893			(13,919,302	)		(12,336,256	)
	(12,865,178	)		36,554,500			(2,598,514	)		2,877,730
	237,194			50,991,235			584,920			66,375
	229,088,119			257,033,060			(38,224,823	)		83,315,225
	(118,917,279	)		167,804,525			(34,811,675	)		(26,661,853	)
	3,406,291,920			3,238,487,395			673,162,942			699,824,795
$	3,287,374,641		$	3,406,291,920		$	638,351,267		$	673,162,942

239

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Fundamental Growth Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	218,554		$	646,848
Net realized gain (loss)		23,131,178			22,932,763
Net change in unrealized appreciation (depreciation)		(18,402,166	)		10,685,570
Net increase (decrease) in net assets resulting from operations		4,947,566			34,265,181
Distributions to shareholders (Note 2):
Class I		(12,107,941	)		(5,614,879	)*
Class R5		(5,727,800	)		(1,910,165	)*
Service Class		(1,806,108	)		(643,847	)*
Administrative Class		(2,415,550	)		(830,947	)*
Class A		(3,200,614	)		(1,186,880	)*
Class R4		(540,125	)		(207,679	)*
Class R3		(647,771	)		(188,116	)*
Total distributions		(26,445,909	)		(10,582,513	)
Net fund share transactions (Note 5):
Class I		12,614,277			(22,896,447	)
Class R5		3,117,335			1,842,345
Service Class		1,557,092			(375,602	)
Administrative Class		3,909,630			(407,540	)
Class A		(963,441	)		624,068
Class R4		(969,477	)		(581,666	)
Class R3		18,898			602,655
Increase (decrease) in net assets from fund share transactions		19,284,314			(21,192,187	)
Total increase (decrease) in net assets		(2,214,029	)		2,490,481
Net assets*
Beginning of year		144,349,306			141,858,825
End of year	$	142,135,277		$	144,349,306

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

240

MassMutual Select Blue Chip Growth Fund						MassMutual Select Growth Opportunities Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	6,847,416		$	4,405,229		$	(2,208,466	)	$	(3,244,257	)
	216,007,985			113,969,977			162,514,440			131,239,092
	(106,607,979	)		419,828,015			(156,877,363	)		46,443,132
	116,247,422			538,203,221			3,428,611			174,437,967
	(102,738,297	)		(53,054,734	)*		(76,357,844	)		(45,787,023	)*
	(27,201,261	)		(19,903,474	)*		(30,171,346	)		(20,915,820	)*
	(6,197,046	)		(5,983,959	)*		(13,542,503	)		(9,706,877	)*
	(16,625,240	)		(11,264,967	)*		(11,409,550	)		(9,696,696	)*
	(10,484,536	)		(6,428,862	)*		(11,000,480	)		(9,844,285	)*
	(6,375,294	)		(3,498,721	)*		(3,732,083	)		(1,990,343	)*
	(3,632,300	)		(1,952,233	)*		(234,569	)		(140,948	)*
	(173,253,974	)		(102,086,950	)		(146,448,375	)		(98,081,992	)
	173,871,531			482,449,469			(147,202,085	)		(31,099,887	)
	(35,038,220	)		(19,229,405	)		5,902,924			(47,885,904	)
	(5,799,817	)		(33,890,933	)		15,689,762			(12,819,992	)
	3,638,511			10,132,740			3,378,588			(38,513,636	)
	(11,139,179	)		8,491,498			(2,244,807	)		(31,431,036	)
	978,189			26,283,357			(3,542,464	)		6,324,611
	2,368,031			11,428,820			132,464			(133,486	)
	128,879,046			485,665,546			(127,885,618	)		(155,559,330	)
	71,872,494			921,781,817			(270,905,382	)		(79,203,355	)
	3,107,923,098			2,186,141,281			736,034,511			815,237,866
$	3,179,795,592		$	3,107,923,098		$	465,129,129		$	736,034,511

241

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Mid-Cap Value Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,579,725		$	1,155,959
Net realized gain (loss)		(979,226	)		12,103,421
Net change in unrealized appreciation (depreciation)		2,414,117			(5,799,298	)
Net increase (decrease) in net assets resulting from operations		3,014,616			7,460,082
Distributions to shareholders (Note 2):
Class I		(11,503,586	)		(11,655,504	)*
Class R5		(158,819	)		(1,093,454	)*
Service Class		(31,116	)		(307,031	)*
Administrative Class		(104,376	)		(117,314	)*
Class A		(253,992	)		(304,984	)*
Class R4		(128,818	)		(19,677	)*
Class R3		(48,457	)		(50,014	)*
Total distributions		(12,229,164	)		(13,547,978	)
Net fund share transactions (Note 5):
Class I		11,119,289			14,378,856
Class R5		483,437			(5,821,933	)
Service Class		(15,667	)		(1,551,597	)
Administrative Class		81,246			126,003
Class A		523,247			419,499
Class R4		811,697			181,149
Class R3		153,602			72,362
Increase (decrease) in net assets from fund share transactions		13,156,851			7,804,339
Total increase (decrease) in net assets		3,942,303			1,716,443
Net assets*
Beginning of year		96,249,164			94,532,721
End of year	$	100,191,467		$	96,249,164

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

242

MassMutual Select Small Cap Value Equity Fund						MassMutual Select Small Company Value Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	308,455		$	345,381		$	1,265,717		$	863,999
	8,373,565			31,006,864			9,995,093			32,330,854
	(20,758,491	)		(16,746,720	)		(30,227,625	)		(13,779,790	)
	(12,076,471	)		14,605,525			(18,966,815	)		19,415,063
	(12,834,546	)		(12,580,472	)*		(13,734,961	)		(19,733,950	)*
	(11,337,240	)		(5,022,873	)*		(9,717,111	)		(14,441,452	)*
	(1,323,324	)		(998,169	)*		(1,044,583	)		(1,987,189	)*
	(1,349,612	)		(594,964	)*		(1,890,023	)		(2,620,296	)*
	(3,228,716	)		(1,283,851	)*		(2,762,400	)		(4,202,887	)*
	(841,985	)		(378,288	)*		(91,622	)		(98,976	)*
	(400,490	)		(141,745	)*		(74,193	)		(37,646	)*
	(31,315,913	)		(21,000,362	)		(29,314,893	)		(43,122,396	)
	13,787,316			(54,977,901	)		14,500,126			1,630,942
	(9,187,418	)		(1,770,875	)		19,825,300			(2,681,800	)
	773,912			(3,129,714	)		(3,282	)		(2,971,924	)
	(112,637	)		(4,033,024	)		159,355			971,974
	717,581			1,117,371			323,059			305,564
	2,085,499			887,820			27,392			194,932
	(148,766	)		319,328			114,371			251,454
	7,915,487			(61,586,995	)		34,946,321			(2,298,858	)
	(35,476,897	)		(67,981,832	)		(13,335,387	)		(26,006,191	)
	121,169,446			189,151,278			222,798,357			248,804,548
$	85,692,549		$	121,169,446		$	209,462,970		$	222,798,357

243

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MM S&P Mid Cap Index Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	4,738,828		$	4,676,147
Net realized gain (loss)		10,654,270			26,659,730
Net change in unrealized appreciation (depreciation)		(31,453,055	)		30,377,877
Net increase (decrease) in net assets resulting from operations		(16,059,957	)		61,713,754
Distributions to shareholders (Note 2):
Class I		(4,293,020	)		(3,457,088	)*
Class R5		(1,337,826	)		(1,672,445	)*
Service Class		(1,650,071	)		(1,680,468	)*
Administrative Class		(4,009,925	)		(3,959,269	)*
Class A		(2,022,709	)		(2,196,437	)*
Class R4		(7,946,180	)		(8,202,143	)*
Class R3		(8,491,936	)		(8,882,727	)*
Total distributions		(29,751,667	)		(30,050,577	)
Net fund share transactions (Note 5):
Class I		21,910,360			12,619,908
Class R5		11,985,229			(5,492,991	)
Service Class		(3,368,055	)		(617,138	)
Administrative Class		(5,527,823	)		822,560
Class A		2,455,640			1,553,260
Class R4		(14,693,206	)		(1,938,633	)
Class R3		(11,526,582	)		106,493
Increase (decrease) in net assets from fund share transactions		1,235,563			7,053,459
Total increase (decrease) in net assets		(44,576,061	)		38,716,636
Net assets*
Beginning of year		507,623,977			468,907,341
End of year	$	463,047,916		$	507,623,977

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

244

MM Russell 2000 Small Cap Index Fund						MassMutual Select Mid Cap Growth Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	2,869,104		$	2,561,815		$	6,976,804		$	(1,350,300	)
	14,101,666			21,063,089			544,145,992			610,174,135
	(47,573,309	)		18,347,642			(8,142,217	)		438,257,953
	(30,602,539	)		41,972,546			542,980,579			1,047,081,788
	(4,859,403	)		(5,350,588	)*		(441,755,322	)		(210,263,356	)*
	(1,227,006	)		(1,654,589	)*		(120,458,826	)		(75,022,880	)*
	(1,027,598	)		(1,855,393	)*		(32,706,464	)		(17,313,004	)*
	(3,462,205	)		(5,030,138	)*		(27,875,145	)		(22,936,108	)*
	(1,758,380	)		(2,293,220	)*		(23,553,867	)		(18,966,860	)*
	(4,654,801	)		(6,191,199	)*		(20,553,850	)		(9,838,503	)*
	(4,158,147	)		(5,645,520	)*		(3,485,296	)		(2,328,583	)*
	(21,147,540	)		(28,020,647	)		(670,388,770	)		(356,669,294	)
	16,872,438			15,892,097			545,699,703			1,925,605,566
	(3,473,580	)		4,989,453			44,591,111			219,157,339
	(7,609,543	)		(1,008,958	)		(22,747,183	)		121,488,962
	4,996,603			(1,038,577	)		(36,972,890	)		(32,110,351	)
	(1,326,081	)		4,778,507			(33,908,807	)		(24,433,125	)
	(3,139,704	)		8,397,379			983,439			86,617,204
	(3,829,184	)		9,967,141			(983,218	)		5,378,868
	2,490,949			41,977,042			496,662,155			2,301,704,463
	(49,259,130	)		55,928,941			369,253,964			2,992,116,957
	337,847,547			281,918,606			8,235,248,810			5,243,131,853
$	288,588,417		$	337,847,547		$	8,604,502,774		$	8,235,248,810

245

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Cap Growth Equity Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(793,016	)	$	(1,438,520	)
Net realized gain (loss)		64,756,184			97,427,824
Net change in unrealized appreciation (depreciation)		(84,314,977	)		48,339,950
Net increase (decrease) in net assets resulting from operations		(20,351,809	)		144,329,254
Distributions to shareholders (Note 2):
Class I		(53,822,840	)		(16,698,170	)*
Class R5		(20,516,696	)		(6,280,358	)*
Service Class		(4,720,329	)		(1,941,712	)*
Administrative Class		(5,468,942	)		(1,858,860	)*
Class A		(7,811,191	)		(2,268,715	)*
Class R4		(2,518,076	)		(817,599	)*
Class R3		(568,996	)		(178,364	)*
Total distributions		(95,427,070	)		(30,043,778	)
Net fund share transactions (Note 5):
Class I		(50,423,111	)		11,019,059
Class R5		10,239,283			(1,918,693	)
Service Class		6,209,414			(6,333,063	)
Administrative Class		(156,954	)		(671,139	)
Class A		(102,073	)		1,695,992
Class R4		1,884,803			6,614,519
Class R3		733,765			20,319
Increase (decrease) in net assets from fund share transactions		(31,614,873	)		10,426,994
Total increase (decrease) in net assets		(147,393,752	)		124,712,470
Net assets*
Beginning of year		657,373,678			532,661,208
End of year	$	509,979,926		$	657,373,678

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

246

MM MSCI EAFE International Index Fund						MassMutual Select Overseas Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	6,273,139		$	5,529,296		$	13,057,717		$	9,445,528
	539,631			2,723,673			6,844,156			55,315,164
	(10,623,653	)		(3,773,110	)		(25,929,592	)		(65,390,579	)
	(3,810,883	)		4,479,859			(6,027,719	)		(629,887	)
	(1,978,597	)		(1,825,880	)*		(35,516,273	)		(5,991,661	)*
	(566,304	)		(596,929	)*		(12,169,771	)		(2,868,140	)*
	(1,092,714	)		(1,130,032	)*		(3,746,863	)		(811,229	)*
	(1,509,852	)		(1,866,307	)*		(2,773,420	)		(648,222	)*
	(831,254	)		(767,230	)*		(3,438,284	)		(717,837	)*
	(1,930,293	)		(1,824,319	)*		(1,327,602	)		(181,675	)*
	(1,654,082	)		(1,630,816	)*		(380,242	)		(43,251	)*
	(9,563,096	)		(9,641,513	)		(59,352,455	)		(11,262,015	)
	11,779,930			8,974,020			25,315,923			50,191,124
	10,171,965			(528,107	)		823,626			(16,593,181	)
	(21,714,698	)		2,232,741			1,168,660			(5,309,473	)
	4,231,809			(4,248,399	)		(6,257,211	)		(8,824,112	)
	2,751,176			4,541,211			(7,479,197	)		(7,171,338	)
	(4,117,818	)		4,465,581			3,233,507			5,434,250
	(2,192,418	)		5,580,375			(197,348	)		797,437
	909,946			21,017,422			16,607,960			18,524,707
	(12,464,033	)		15,855,768			(48,772,214	)		6,632,805
	242,144,507			226,288,739			625,252,874			618,620,069
$	229,680,474		$	242,144,507		$	576,480,660		$	625,252,874

247

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select T. Rowe Price International Equity Fund
	Year Ended September 30, 2019			Period Ended September 30, 2018†
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	27,465,770		$	12,863,639
Net realized gain (loss)		(36,296,937	)		(6,388,657	)
Net change in unrealized appreciation (depreciation)		14,812,828			(47,226,520	)
Net increase (decrease) in net assets resulting from operations		5,981,661			(40,751,538	)
Distributions to shareholders (Note 2):
Class I		(14,075,026	)		-	*
Total distributions		(14,075,026	)		-
Net fund share transactions (Note 5):
Class I		334,418,347			850,367,076
Increase (decrease) in net assets from fund share transactions		334,418,347			850,367,076
Total increase (decrease) in net assets		326,324,982			809,615,538
Net assets*
Beginning of year		809,615,538			-
End of year	$	1,135,940,520		$	809,615,538

† Fund commenced operations on February 9, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

248

THIS PAGE INTENTIONALLY LEFT BLANK

249

MassMutual Select Total Return Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers (including interest expense)			Ratio of expenses to average daily net assets after expense waivers (including interest expense)j			Ratio of expenses to average daily net assets after expense waivers (excluding interest expense)j			Net investment income (loss) to average daily  net assets (including interest expense)
Class I
9/30/19	$	9.62	$	0.30	$	0.67		$	0.97		$	(0.29	)	$	-		$	(0.29	)	$	10.30		10.42%		$	479,295		0.36%			N/A			N/A			3.03%
9/30/18		9.99		0.25		(0.34	)		(0.09	)		(0.28	)		-			(0.28	)		9.62		(0.98%	)		426,828		0.34%			N/A			N/A			2.62%
9/30/17		10.43		0.22		(0.18	)		0.04			(0.27	)		(0.21	)		(0.48	)		9.99		0.57%			361,805		0.35%			N/A			N/A			2.18%
9/30/16		10.17		0.21		0.30			0.51			(0.22	)		(0.03	)		(0.25	)		10.43		5.10%			303,783		0.37%			0.34%			0.34%			2.02%
9/30/15i		10.10		0.14		(0.06	)		0.08			(0.00	)d		(0.01	)		(0.01	)		10.17		0.79%	b		534,131		0.39%	a		0.34%	a		0.34%	a		1.81%	a
12/31/14		10.12		0.21		0.23			0.44			(0.31	)		(0.15	)		(0.46	)		10.10		4.39%			459,950		0.41%	p		0.40%	p		0.40%	n		2.07%
Class R5
9/30/19	$	9.60	$	0.29	$	0.67		$	0.96		$	(0.28	)	$	-		$	(0.28	)	$	10.28		10.32%		$	44,973		0.46%			N/A			N/A			2.93%
9/30/18		9.96		0.24		(0.34	)		(0.10	)		(0.26	)		-			(0.26	)		9.60		(1.01%	)		51,708		0.44%			N/A			N/A			2.49%
9/30/17		10.41		0.20		(0.18	)		0.02			(0.26	)		(0.21	)		(0.47	)		9.96		0.36%			68,491		0.45%			N/A			N/A			2.04%
9/30/16		10.15		0.20		0.30			0.50			(0.21	)		(0.03	)		(0.24	)		10.41		5.01%			115,428		0.47%			0.44%			0.44%			1.94%
9/30/15i		10.08		0.13		(0.05	)		0.08			(0.00	)d		(0.01	)		(0.01	)		10.15		0.79%	b		166,482		0.49%	a		0.44%	a		0.44%	a		1.70%	a
12/31/14		10.10		0.21		0.22			0.43			(0.30	)		(0.15	)		(0.45	)		10.08		4.26%			148,821		0.52%	p		0.51%	p		0.51%	n		1.98%
Service Class
9/30/19	$	9.63	$	0.28	$	0.68		$	0.96		$	(0.27	)	$	-		$	(0.27	)	$	10.32		10.24%		$	116,389		0.56%			N/A			N/A			2.83%
9/30/18		10.00		0.23		(0.34	)		(0.11	)		(0.26	)		-			(0.26	)		9.63		(1.17%	)		131,813		0.54%			N/A			N/A			2.41%
9/30/17		10.45		0.19		(0.19	)		-			(0.24	)		(0.21	)		(0.45	)		10.00		0.25%			158,965		0.55%			N/A			N/A			1.95%
9/30/16		10.17		0.19		0.31			0.50			(0.19	)		(0.03	)		(0.22	)		10.45		5.04%			193,887		0.57%			0.54%			0.54%			1.83%
9/30/15i		10.12		0.12		(0.06	)		0.06			(0.00	)d		(0.01	)		(0.01	)		10.17		0.59%	b		209,728		0.59%	a		0.54%	a		0.54%	a		1.54%	a
12/31/14		10.13		0.19		0.23			0.42			(0.28	)		(0.15	)		(0.43	)		10.12		4.23%			316,778		0.62%	p		0.62%	k,p		0.62%	k,n		1.86%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		217	%		243	%		289	%		264	%		264	%		453	%u

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

k Amount waived had no impact on the ratio of expenses to average daily net assets.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

n Amount of interest expense had no impact on the ratio of expenses to average daily net assets.

p Interest expense incurred as a result of entering into reverse repurchase agreements and Treasury roll transactions is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements and Treasury roll transactions is included in interest income in the Statements of Operations.

u Excludes dollar roll transactions. Including these transactions, the portfolio turnover would have been 456%, as of December 31, 2014.

The accompanying notes are an integral part of the financial statements.

250

				Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers (including interest expense)			Ratio of expenses to average daily net assets after expense waivers (including interest expense)j			Ratio of expenses to average daily net assets after expense waivers (excluding interest expense)j			Net investment income (loss) to average daily  net assets (including interest expense)
Administrative Class
9/30/19	$	9.57	$	0.27	$	0.67		$	0.94		$	(0.26	)	$	-		$	(0.26	)	$	10.25		10.10%		$	21,183		0.66%			N/A			N/A			2.77%
9/30/18		9.93		0.22		(0.34	)		(0.12	)		(0.24	)		-			(0.24	)		9.57		(1.21%	)		53,849		0.64%			N/A			N/A			2.30%
9/30/17		10.37		0.18		(0.18	)		-			(0.23	)		(0.21	)		(0.44	)		9.93		0.19%			63,399		0.65%			N/A			N/A			1.86%
9/30/16		10.11		0.17		0.31			0.48			(0.19	)		(0.03	)		(0.22	)		10.37		4.80%			80,444		0.67%			0.64%			0.64%			1.73%
9/30/15i		10.06		0.11		(0.05	)		0.06			(0.00	)d		(0.01	)		(0.01	)		10.11		0.59%	b		89,080		0.69%	a		0.64%	a		0.64%	a		1.49%	a
12/31/14		10.07		0.18		0.23			0.41			(0.27	)		(0.15	)		(0.42	)		10.06		4.14%			86,220		0.72%	p		0.71%	p		0.71%	n		1.74%
Class A
9/30/19	$	9.56	$	0.24	$	0.68		$	0.92		$	(0.25	)	$	-		$	(0.25	)	$	10.23		9.89%		$	8,464		0.91%			N/A			N/A			2.48%
9/30/18		9.93		0.20		(0.35	)		(0.15	)		(0.22	)		-			(0.22	)		9.56		(1.51%	)		4,327		0.89%			N/A			N/A			2.07%
9/30/17		10.38		0.17		(0.19	)		(0.02	)		(0.22	)		(0.21	)		(0.43	)		9.93		(0.01%	)		4,703		0.90%			N/A			N/A			1.68%
9/30/16		10.13		0.15		0.31			0.46			(0.18	)		(0.03	)		(0.21	)		10.38		4.62%			1,943		0.92%			0.89%			0.89%			1.47%
9/30/15i		10.10		0.11		(0.07	)		0.04			(0.00	)d		(0.01	)		(0.01	)		10.13		0.39%	b		1,998		0.94%	a		0.89%	a		0.89%	a		1.45%	a
12/31/14h		10.25		0.11		0.16			0.27			(0.27	)		(0.15	)		(0.42	)		10.10		2.65%	b		119		0.96%	a,p		0.95%	a,p		0.95%	a,n		1.36%	a
Class R4
9/30/19	$	9.63	$	0.25	$	0.69		$	0.94		$	(0.25	)	$	-		$	(0.25	)	$	10.32		9.96%		$	160,788		0.81%			N/A			N/A			2.58%
9/30/18		9.99		0.21		(0.35	)		(0.14	)		(0.22	)		-			(0.22	)		9.63		(1.42%	)		172,390		0.79%			N/A			N/A			2.15%
9/30/17		10.43		0.17		(0.19	)		(0.02	)		(0.21	)		(0.21	)		(0.42	)		9.99		0.02%			221,969		0.80%			N/A			N/A			1.71%
9/30/16		10.16		0.16		0.31			0.47			(0.17	)		(0.03	)		(0.20	)		10.43		4.70%			295,696		0.82%			0.79%			0.79%			1.58%
9/30/15i		10.12		0.10		(0.05	)		0.05			(0.00	)d		(0.01	)		(0.01	)		10.16		0.49%	b		336,956		0.84%	a		0.79%	a		0.79%	a		1.33%	a
12/31/14		10.14		0.17		0.22			0.39			(0.26	)		(0.15	)		(0.41	)		10.12		3.88%			385,955		0.86%	p		0.85%	p		0.85%	n		1.62%
Class R3
9/30/19	$	9.55	$	0.23	$	0.67		$	0.90		$	(0.22	)	$	-		$	(0.22	)	$	10.23		9.63%		$	30,478		1.06%			N/A			N/A			2.33%
9/30/18		9.90		0.18		(0.34	)		(0.16	)		(0.19	)		-			(0.19	)		9.55		(1.61%	)		33,583		1.04%			N/A			N/A			1.91%
9/30/17		10.35		0.14		(0.19	)		(0.05	)		(0.19	)		(0.21	)		(0.40	)		9.90		(0.27%	)		35,633		1.05%			N/A			N/A			1.46%
9/30/16		10.08		0.13		0.32			0.45			(0.15	)		(0.03	)		(0.18	)		10.35		4.49%			46,206		1.07%			1.04%			1.04%			1.33%
9/30/15i		10.06		0.08		(0.05	)		0.03			(0.00	)d		(0.01	)		(0.01	)		10.08		0.29%	b		48,998		1.09%	a		1.04%	a		1.04%	a		1.09%	a
12/31/14		10.08		0.14		0.22			0.36			(0.23	)		(0.15	)		(0.38	)		10.06		3.66%			49,462		1.11%	p		1.10%	p		1.10%	n		1.37%

251

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.12	$	0.35	$	0.86		$	1.21		$	(0.28	)	$	(0.28	)	$	11.05		12.31%		$	377,879		0.49%			0.48%			3.37%
9/30/18		10.65		0.32		(0.60	)		(0.28	)		(0.25	)		(0.25	)		10.12		(2.69%	)		287,070		0.47%			0.47%	n		3.13%
9/30/17		10.67		0.27		(0.01	)aa		0.26			(0.28	)		(0.28	)		10.65		2.64%			178,204		0.50%			0.48%			2.59%
9/30/16		10.22		0.29		0.46			0.75			(0.30	)		(0.30	)		10.67		7.62%			99,498		0.54%			0.48%			2.80%
9/30/15i		10.15		0.20		(0.13	)		0.07			(0.00	)d		(0.00	)d		10.22		0.72%	b		68,561		0.59%	a		0.48%	a		2.61%	a
12/31/14h		10.09		0.25		0.18			0.43			(0.37	)		(0.37	)		10.15		4.32%	b		54,827		0.60%	a		0.48%	a		3.20%	a
Class R5
9/30/19	$	10.12	$	0.34	$	0.86		$	1.20		$	(0.27	)	$	(0.27	)	$	11.05		12.20%		$	79,978		0.59%			0.58%			3.27%
9/30/18		10.65		0.31		(0.60	)		(0.29	)		(0.24	)		(0.24	)		10.12		(2.79%	)		78,583		0.57%			0.57%	n		3.02%
9/30/17		10.67		0.26		(0.01	)aa		0.25			(0.27	)		(0.27	)		10.65		2.55%			71,341		0.60%			0.58%			2.53%
9/30/16		10.22		0.28		0.46			0.74			(0.29	)		(0.29	)		10.67		7.51%			61,789		0.64%			0.58%			2.70%
9/30/15i		10.16		0.19		(0.13	)		0.06			(0.00	)d		(0.00	)d		10.22		0.62%	b		50,846		0.69%	a		0.58%	a		2.51%	a
12/31/14		9.82		0.32		0.38			0.70			(0.36	)		(0.36	)		10.16		7.13%			46,966		0.70%			0.63%			3.11%
Service Class
9/30/19	$	10.12	$	0.33	$	0.86		$	1.19		$	(0.26	)	$	(0.26	)	$	11.05		12.02%		$	36,123		0.69%			0.68%			3.17%
9/30/18		10.64		0.30		(0.59	)		(0.29	)		(0.23	)		(0.23	)		10.12		(2.78%	)		52,794		0.67%			0.67%	n		2.89%
9/30/17		10.67		0.25		(0.02	)aa		0.23			(0.26	)		(0.26	)		10.64		2.30%			66,969		0.70%			0.68%			2.40%
9/30/16		10.22		0.27		0.47			0.74			(0.29	)		(0.29	)		10.67		7.42%			47,296		0.74%			0.68%			2.61%
9/30/15i		10.17		0.19		(0.14	)		0.05			(0.00	)d		(0.00	)d		10.22		0.52%	b		59,568		0.79%	a		0.68%	a		2.41%	a
12/31/14		9.83		0.31		0.38			0.69			(0.35	)		(0.35	)		10.17		7.08%			51,447		0.79%			0.70%			3.02%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		262	%		294	%		224	%		207	%		191	%		308	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

n Expenses incurred during the period fell under the expense cap.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

252

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	10.08	$	0.32	$	0.85		$	1.17		$	(0.25	)	$	(0.25	)	$	11.00		11.91%		$	76,297		0.79%			0.78%			3.07%
9/30/18		10.61		0.29		(0.60	)		(0.31	)		(0.22	)		(0.22	)		10.08		(2.96%	)		70,368		0.77%			0.77%	n		2.81%
9/30/17		10.64		0.24		(0.01	)aa		0.23			(0.26	)		(0.26	)		10.61		2.30%			66,460		0.80%			0.78%			2.33%
9/30/16		10.18		0.26		0.47			0.73			(0.27	)		(0.27	)		10.64		7.39%			42,980		0.84%			0.78%			2.50%
9/30/15i		10.14		0.18		(0.14	)		0.04			(0.00	)d		(0.00	)d		10.18		0.42%	b		36,812		0.89%	a		0.78%	a		2.31%	a
12/31/14		9.81		0.30		0.38			0.68			(0.35	)		(0.35	)		10.14		6.94%			28,065		0.90%			0.80%			2.91%
Class A
9/30/19	$	10.04	$	0.29	$	0.86		$	1.15		$	(0.22	)	$	(0.22	)	$	10.97		11.72%		$	49,917		1.04%			1.03%			2.82%
9/30/18		10.57		0.26		(0.59	)		(0.33	)		(0.20	)		(0.20	)		10.04		(3.23%	)		45,189		1.02%			1.02%	n		2.54%
9/30/17		10.60		0.21		(0.01	)aa		0.20			(0.23	)		(0.23	)		10.57		1.99%			53,329		1.05%			1.03%			2.07%
9/30/16		10.15		0.23		0.47			0.70			(0.25	)		(0.25	)		10.60		7.12%			45,782		1.09%			1.03%			2.25%
9/30/15i		10.13		0.16		(0.14	)		0.02			(0.00	)d		(0.00	)d		10.15		0.22%	b		40,577		1.14%	a		1.03%	a		2.07%	a
12/31/14		9.80		0.27		0.38			0.65			(0.32	)		(0.32	)		10.13		6.66%			32,540		1.15%			1.06%			2.65%
Class R4
9/30/19	$	10.01	$	0.30	$	0.86		$	1.16		$	(0.24	)	$	(0.24	)	$	10.93		11.82%		$	66,656		0.94%			0.93%			2.91%
9/30/18		10.55		0.27		(0.60	)		(0.33	)		(0.21	)		(0.21	)		10.01		(3.17%	)		67,672		0.92%			0.92%	n		2.67%
9/30/17		10.58		0.22		(0.01	)aa		0.21			(0.24	)		(0.24	)		10.55		2.15%			61,286		0.95%			0.93%			2.14%
9/30/16		10.15		0.24		0.47			0.71			(0.28	)		(0.28	)		10.58		7.20%			26,419		0.99%			0.93%			2.36%
9/30/15i		10.12		0.18		(0.15	)		0.03			(0.00	)d		(0.00	)d		10.15		0.32%	b		14,724		1.04%	a		0.93%	a		2.36%	a
12/31/14h		10.06		0.21		0.19			0.40			(0.34	)		(0.34	)		10.12		3.99%	b		104		1.05%	a		0.93%	a		2.75%	a
Class R3
9/30/19	$	9.92	$	0.27	$	0.84		$	1.11		$	(0.21	)	$	(0.21	)	$	10.82		11.48%		$	18,689		1.19%			1.18%			2.67%
9/30/18		10.45		0.24		(0.58	)		(0.34	)		(0.19	)		(0.19	)		9.92		(3.32%	)		19,519		1.17%			1.17%	n		2.42%
9/30/17		10.50		0.19		(0.01	)aa		0.18			(0.23	)		(0.23	)		10.45		1.84%			16,295		1.20%			1.18%			1.90%
9/30/16		10.06		0.22		0.46			0.68			(0.24	)		(0.24	)		10.50		6.95%			5,810		1.24%			1.18%			2.12%
9/30/15i		10.05		0.15		(0.14	)		0.01			(0.00	)d		(0.00	)d		10.06		0.13%	b		2,904		1.29%	a		1.18%	a		1.94%	a
12/31/14		9.75		0.25		0.38			0.63			(0.33	)		(0.33	)		10.05		6.44%			1,978		1.33%			1.24%			2.49%

253

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	13.48	$	0.26	$	(0.33	)	$	(0.07	)	$	(0.26	)	$	(1.67	)	$	(1.93	)	$	11.48		1.59%		$	210,652		0.58%			2.31%
9/30/18		16.69		0.25		1.70			1.95			(0.42	)		(4.74	)		(5.16	)		13.48		13.43%			202,121		0.57%			1.85%
9/30/17		14.90		0.30		2.47			2.77			(0.35	)		(0.63	)		(0.98	)		16.69		19.25%			145,732		0.58%			1.90%
9/30/16		13.64		0.27		1.20			1.47			(0.21	)		-			(0.21	)		14.90		10.89%			251,684		0.57%			1.90%
9/30/15i		14.86		0.18		(1.35	)		(1.17	)		(0.05	)		-			(0.05	)		13.64		(7.91%	)b		75,827		0.58%	a		1.66%	a
12/31/14h		13.89		0.17		1.10			1.27			(0.30	)		-			(0.30	)		14.86		9.20%	b		97,877		0.55%	a		1.56%	a
Class R5
9/30/19	$	13.50	$	0.25	$	(0.33	)	$	(0.08	)	$	(0.25	)	$	(1.67	)	$	(1.92	)	$	11.50		1.48%		$	74,403		0.68%			2.19%
9/30/18		16.71		0.24		1.69			1.93			(0.40	)		(4.74	)		(5.14	)		13.50		13.28%			143,091		0.67%			1.80%
9/30/17		14.90		0.29		2.47			2.76			(0.32	)		(0.63	)		(0.95	)		16.71		19.16%			50,361		0.68%			1.83%
9/30/16		13.64		0.28		1.18			1.46			(0.20	)		-			(0.20	)		14.90		10.78%			46,830		0.67%			2.00%
9/30/15i		14.87		0.17		(1.35	)		(1.18	)		(0.05	)		-			(0.05	)		13.64		(7.98%	)b		207,187		0.68%	a		1.58%	a
12/31/14		13.56		0.29		1.30			1.59			(0.28	)		-			(0.28	)		14.87		11.82%			235,941		0.63%			2.07%
Service Class
9/30/19	$	13.49	$	0.24	$	(0.32	)	$	(0.08	)	$	(0.23	)	$	(1.67	)	$	(1.90	)	$	11.51		1.40%		$	10,046		0.78%			2.08%
9/30/18		16.69		0.22		1.70			1.92			(0.38	)		(4.74	)		(5.12	)		13.49		13.21%			13,564		0.77%			1.64%
9/30/17		14.90		0.27		2.47			2.74			(0.32	)		(0.63	)		(0.95	)		16.69		18.97%			11,721		0.78%			1.71%
9/30/16		13.63		0.25		1.21			1.46			(0.19	)		-			(0.19	)		14.90		10.75%			8,656		0.77%			1.78%
9/30/15i		14.88		0.16		(1.36	)		(1.20	)		(0.05	)		-			(0.05	)		13.63		(8.11%	)b		14,983		0.78%	a		1.49%	a
12/31/14		13.57		0.25		1.33			1.58			(0.27	)		-			(0.27	)		14.88		11.72%			16,147		0.73%			1.76%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		42	%		75	%		71	%		39	%		29	%		49	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

254

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	13.58	$	0.23	$	(0.33	)	$	(0.10	)	$	(0.22	)	$	(1.67	)	$	(1.89	)	$	11.59		1.29%		$	20,346		0.88%			2.01%
9/30/18		16.76		0.21		1.70			1.91			(0.35	)		(4.74	)		(5.09	)		13.58		13.07%			15,165		0.87%			1.61%
9/30/17		14.96		0.26		2.48			2.74			(0.31	)		(0.63	)		(0.94	)		16.76		18.92%			5,176		0.88%			1.63%
9/30/16		13.68		0.24		1.20			1.44			(0.16	)		-			(0.16	)		14.96		10.57%			6,903		0.87%			1.66%
9/30/15i		14.93		0.15		(1.35	)		(1.20	)		(0.05	)		-			(0.05	)		13.68		(8.08%	)b		6,206		0.88%	a		1.38%	a
12/31/14		13.63		0.24		1.32			1.56			(0.26	)		-			(0.26	)		14.93		11.52%			9,579		0.84%			1.69%
Class A
9/30/19	$	13.45	$	0.20	$	(0.32	)	$	(0.12	)	$	(0.20	)	$	(1.67	)	$	(1.87	)	$	11.46		1.03%		$	37,170		1.13%			1.75%
9/30/18		16.64		0.18		1.69			1.87			(0.32	)		(4.74	)		(5.06	)		13.45		12.82%			45,319		1.12%			1.36%
9/30/17		14.85		0.21		2.48			2.69			(0.27	)		(0.63	)		(0.90	)		16.64		18.64%			16,573		1.13%			1.36%
9/30/16		13.58		0.20		1.20			1.40			(0.13	)		-			(0.13	)		14.85		10.33%			19,968		1.12%			1.43%
9/30/15i		14.86		0.13		(1.36	)		(1.23	)		(0.05	)		-			(0.05	)		13.58		(8.32%	)b		20,926		1.13%	a		1.14%	a
12/31/14		13.55		0.21		1.31			1.52			(0.21	)		-			(0.21	)		14.86		11.27%			23,963		1.10%			1.47%
Class R4
9/30/19	$	13.32	$	0.21	$	(0.32	)	$	(0.11	)	$	(0.23	)	$	(1.67	)	$	(1.90	)	$	11.31		1.18%		$	6,570		1.03%			1.88%
9/30/18		16.56		0.19		1.68			1.87			(0.37	)		(4.74	)		(5.11	)		13.32		12.93%			4,523		1.02%			1.44%
9/30/17		14.81		0.23		2.46			2.69			(0.31	)		(0.63	)		(0.94	)		16.56		18.74%			861		1.03%			1.47%
9/30/16		13.57		0.22		1.18			1.40			(0.16	)		-			(0.16	)		14.81		10.38%			711		1.02%			1.57%
9/30/15i		14.83		0.14		(1.35	)		(1.21	)		(0.05	)		-			(0.05	)		13.57		(8.20%	)b		279		1.03%	a		1.26%	a
12/31/14h		13.86		0.12		1.10			1.22			(0.25	)		-			(0.25	)		14.83		8.85%	b		109		1.00%	a		1.13%	a
Class R3
9/30/19	$	13.37	$	0.18	$	(0.31	)	$	(0.13	)	$	(0.18	)	$	(1.67	)	$	(1.85	)	$	11.39		0.91%		$	1,387		1.28%			1.59%
9/30/18		16.59		0.15		1.68			1.83			(0.31	)		(4.74	)		(5.05	)		13.37		12.56%			2,177		1.27%			1.13%
9/30/17		14.83		0.19		2.46			2.65			(0.26	)		(0.63	)		(0.89	)		16.59		18.44%			2,046		1.28%			1.22%
9/30/16		13.62		0.19		1.19			1.38			(0.17	)		-			(0.17	)		14.83		10.17%			1,635		1.27%			1.36%
9/30/15i		14.91		0.12		(1.36	)		(1.24	)		(0.05	)		-			(0.05	)		13.62		(8.36%	)b		247		1.28%	a		1.06%	a
12/31/14		13.61		0.18		1.31			1.49			(0.19	)		-			(0.19	)		14.91		11.02%			194		1.28%			1.26%

255

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class I
9/30/19	$	11.93	$	0.20	$	(0.39	)	$	(0.19	)	$	(0.23	)	$	(1.18	)	$	(1.41	)	$	10.33		(0.07%	)	$	353,302		0.64%			N/A		1.96%
9/30/18		13.01		0.23		0.81			1.04			(0.24	)		(1.88	)		(2.12	)		11.93		8.56%			632,974		0.63%			N/A		1.91%
9/30/17		12.39		0.23		1.60			1.83			(0.25	)		(0.96	)		(1.21	)		13.01		15.49%			594,578		0.64%			N/A		1.82%
9/30/16		12.46		0.25		1.27			1.52			(0.23	)		(1.36	)		(1.59	)		12.39		13.21%			500,270		0.63%			N/A		2.04%
9/30/15i		13.97		0.17		(1.28	)		(1.11	)		-			(0.40	)		(0.40	)		12.46		(8.06%	)b		422,026		0.63%	a		N/A		1.65%	a
12/31/14		13.60		0.23		1.28			1.51			(0.24	)		(0.90	)		(1.14	)		13.97		11.45%			408,068		0.65%			0.62%		1.65%
Class R5
9/30/19	$	11.98	$	0.19	$	(0.38	)	$	(0.19	)	$	(0.22	)	$	(1.18	)	$	(1.40	)	$	10.39		(0.13%	)	$	196,887		0.74%			N/A		1.85%
9/30/18		13.06		0.22		0.80			1.02			(0.22	)		(1.88	)		(2.10	)		11.98		8.39%			309,004		0.73%			N/A		1.80%
9/30/17		12.43		0.21		1.61			1.82			(0.23	)		(0.96	)		(1.19	)		13.06		15.41%			368,686		0.74%			N/A		1.72%
9/30/16		12.49		0.23		1.29			1.52			(0.22	)		(1.36	)		(1.58	)		12.43		13.12%			372,531		0.73%			N/A		1.95%
9/30/15i		14.01		0.16		(1.28	)		(1.12	)		-			(0.40	)		(0.40	)		12.49		(8.10%	)b		423,631		0.73%	a		N/A		1.53%	a
12/31/14		13.64		0.22		1.27			1.49			(0.22	)		(0.90	)		(1.12	)		14.01		11.27%			564,826		0.78%			0.74%		1.53%
Service Class
9/30/19	$	11.93	$	0.18	$	(0.38	)	$	(0.20	)	$	(0.21	)	$	(1.18	)	$	(1.39	)	$	10.34		(0.25%	)	$	30,115		0.84%			N/A		1.75%
9/30/18		13.00		0.20		0.81			1.01			(0.20	)		(1.88	)		(2.08	)		11.93		8.36%			49,551		0.83%			N/A		1.69%
9/30/17		12.38		0.20		1.60			1.80			(0.22	)		(0.96	)		(1.18	)		13.00		15.24%			60,852		0.84%			N/A		1.59%
9/30/16		12.44		0.22		1.29			1.51			(0.21	)		(1.36	)		(1.57	)		12.38		13.06%			124,126		0.83%			N/A		1.86%
9/30/15i		13.97		0.15		(1.28	)		(1.13	)		-			(0.40	)		(0.40	)		12.44		(8.20%	)b		158,634		0.83%	a		N/A		1.44%	a
12/31/14		13.60		0.20		1.28			1.48			(0.21	)		(0.90	)		(1.11	)		13.97		11.22%			208,770		0.86%			0.83%		1.44%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		103	%		46	%		13	%		16	%		15	%		19	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

256

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	12.00	$	0.17	$	(0.38	)	$	(0.21	)	$	(0.20	)	$	(1.18	)	$	(1.38	)	$	10.41		(0.36%	)	$	58,983		0.94%			N/A		1.65%
9/30/18		13.07		0.19		0.81			1.00			(0.19	)		(1.88	)		(2.07	)		12.00		8.21%			85,905		0.93%			N/A		1.60%
9/30/17		12.44		0.19		1.61			1.80			(0.21	)		(0.96	)		(1.17	)		13.07		15.16%			92,380		0.94%			N/A		1.51%
9/30/16		12.49		0.21		1.29			1.50			(0.19	)		(1.36	)		(1.55	)		12.44		12.93%			94,316		0.93%			N/A		1.75%
9/30/15i		14.04		0.14		(1.29	)		(1.15	)		-			(0.40	)		(0.40	)		12.49		(8.30%	)b		102,932		0.93%	a		N/A		1.34%	a
12/31/14		13.65		0.19		1.29			1.48			(0.19	)		(0.90	)		(1.09	)		14.04		11.14%			123,885		0.97%			0.94%		1.33%
Class A
9/30/19	$	11.83	$	0.14	$	(0.37	)	$	(0.23	)	$	(0.16	)	$	(1.18	)	$	(1.34	)	$	10.26		(0.58%	)	$	66,407		1.19%			N/A		1.38%
9/30/18		12.90		0.16		0.80			0.96			(0.15	)		(1.88	)		(2.03	)		11.83		7.94%			84,733		1.18%			N/A		1.34%
9/30/17		12.28		0.16		1.59			1.75			(0.17	)		(0.96	)		(1.13	)		12.90		14.90%			108,447		1.19%			N/A		1.26%
9/30/16		12.35		0.18		1.26			1.44			(0.15	)		(1.36	)		(1.51	)		12.28		12.58%			161,322		1.18%			N/A		1.50%
9/30/15i		13.90		0.11		(1.26	)		(1.15	)		-			(0.40	)		(0.40	)		12.35		(8.39%	)b		170,054		1.18%	a		N/A		1.08%	a
12/31/14		13.53		0.15		1.27			1.42			(0.15	)		(0.90	)		(1.05	)		13.90		10.78%			215,519		1.23%			1.19%		1.08%
Class R4
9/30/19	$	11.67	$	0.15	$	(0.37	)	$	(0.22	)	$	(0.16	)	$	(1.18	)	$	(1.34	)	$	10.11		(0.47%	)	$	9,055		1.09%			N/A		1.48%
9/30/18		12.77		0.17		0.79			0.96			(0.18	)		(1.88	)		(2.06	)		11.67		8.06%			9,172		1.08%			N/A		1.45%
9/30/17		12.21		0.17		1.57			1.74			(0.22	)		(0.96	)		(1.18	)		12.77		14.98%			16,370		1.09%			N/A		1.37%
9/30/16		12.32		0.20		1.26			1.46			(0.21	)		(1.36	)		(1.57	)		12.21		12.78%			6,905		1.08%			N/A		1.66%
9/30/15i		13.86		0.12		(1.26	)		(1.14	)		-			(0.40	)		(0.40	)		12.32		(8.34%	)b		1,846		1.08%	a		N/A		1.25%	a
12/31/14h		13.74		0.12		1.10			1.22			(0.20	)		(0.90	)		(1.10	)		13.86		9.16%	b		109		1.07%	a		N/A		1.11%	a
Class R3
9/30/19	$	11.63	$	0.12	$	(0.37	)	$	(0.25	)	$	(0.15	)	$	(1.18	)	$	(1.33	)	$	10.05		(0.77%	)	$	2,362		1.34%			N/A		1.23%
9/30/18		12.72		0.14		0.79			0.93			(0.14	)		(1.88	)		(2.02	)		11.63		7.84%			2,831		1.33%			N/A		1.21%
9/30/17		12.14		0.14		1.57			1.71			(0.17	)		(0.96	)		(1.13	)		12.72		14.72%			2,936		1.34%			N/A		1.14%
9/30/16		12.25		0.16		1.25			1.41			(0.16	)		(1.36	)		(1.52	)		12.14		12.41%			1,512		1.33%			N/A		1.34%
9/30/15i		13.81		0.10		(1.26	)		(1.16	)		-			(0.40	)		(0.40	)		12.25		(8.51%	)b		896		1.33%	a		N/A		0.95%	a
12/31/14		13.45		0.12		1.27			1.39			(0.13	)		(0.90	)		(1.03	)		13.81		10.63%			977		1.41%			1.37%		0.88%

257

MM S&P 500 Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class I
9/30/19	$	20.48	$	0.32	$	(0.00	)d,aa	$	0.32		$	(0.37	)	$	(2.51	)	$	(2.88	)	$	17.92		4.17%		$	1,083,523		0.12%			N/A		1.86%
9/30/18		21.59		0.37		3.00			3.37			(0.48	)		(4.00	)		(4.48	)		20.48		17.77%			819,557		0.12%			N/A		1.86%
9/30/17		19.40		0.39		3.03			3.42			(0.44	)		(0.79	)		(1.23	)		21.59		18.44%			541,131		0.12%			N/A		1.95%
9/30/16		17.50		0.38		2.24			2.62			(0.36	)		(0.36	)		(0.72	)		19.40		15.30%			1,078,531		0.12%			N/A		2.05%
9/30/15i		18.54		0.27		(1.26	)		(0.99	)		-			(0.05	)		(0.05	)		17.50		(5.35%	)b		860,720		0.12%	a		N/A		1.93%	a
12/31/14		16.99		0.34		1.94			2.28			(0.34	)		(0.39	)		(0.73	)		18.54		13.55%			619,847		0.13%			0.11%		1.90%
Class R5
9/30/19	$	20.53	$	0.31	$	(0.01	)aa	$	0.30		$	(0.34	)	$	(2.51	)	$	(2.85	)	$	17.98		4.05%		$	487,312		0.22%			N/A		1.76%
9/30/18		21.63		0.35		3.01			3.36			(0.46	)		(4.00	)		(4.46	)		20.53		17.65%			532,163		0.22%			N/A		1.75%
9/30/17		19.43		0.38		3.03			3.41			(0.42	)		(0.79	)		(1.21	)		21.63		18.33%			710,184		0.22%			N/A		1.88%
9/30/16		17.52		0.37		2.24			2.61			(0.34	)		(0.36	)		(0.70	)		19.43		15.20%			828,915		0.22%			N/A		1.95%
9/30/15i		18.58		0.25		(1.26	)		(1.01	)		-			(0.05	)		(0.05	)		17.52		(5.44%	)b		872,011		0.22%	a		N/A		1.82%	a
12/31/14p		17.02		0.32		1.95			2.27			(0.32	)		(0.39	)		(0.71	)		18.58		13.46%			1,003,654		0.23%			0.22%		1.79%
Service Class
9/30/19	$	20.55	$	0.28	$	(0.01	)aa	$	0.27		$	(0.31	)	$	(2.51	)	$	(2.82	)	$	18.00		3.84%		$	395,249		0.37%			N/A		1.61%
9/30/18		21.64		0.32		3.02			3.34			(0.43	)		(4.00	)		(4.43	)		20.55		17.48%			481,405		0.37%			N/A		1.59%
9/30/17		19.43		0.35		3.03			3.38			(0.38	)		(0.79	)		(1.17	)		21.64		18.17%			508,135		0.37%			N/A		1.72%
9/30/16		17.52		0.34		2.24			2.58			(0.31	)		(0.36	)		(0.67	)		19.43		15.03%			499,673		0.37%			N/A		1.80%
9/30/15i		18.60		0.23		(1.26	)		(1.03	)		-			(0.05	)		(0.05	)		17.52		(5.54%	)b		636,417		0.37%	a		N/A		1.66%	a
12/31/14		17.05		0.29		1.94			2.23			(0.29	)		(0.39	)		(0.68	)		18.60		13.21%			736,040		0.39%			0.38%		1.63%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		4	%		3	%q		5	%		4	%		2	%		5	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

p Class I shares were renamed Class R5 shares on April 1, 2014.

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 12% including securities received from subscriptions in-kind.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

258

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	20.19	$	0.26	$	(0.01	)aa	$	0.25		$	(0.30	)	$	(2.51	)	$	(2.81	)	$	17.63		3.77%		$	476,225		0.47%			N/A		1.51%
9/30/18		21.34		0.29		2.97			3.26			(0.41	)		(4.00	)		(4.41	)		20.19		17.34%			606,359		0.47%			N/A		1.50%
9/30/17		19.19		0.32		3.00			3.32			(0.38	)		(0.79	)		(1.17	)		21.34		18.03%			572,199		0.47%			N/A		1.62%
9/30/16		17.30		0.32		2.22			2.54			(0.29	)		(0.36	)		(0.65	)		19.19		14.96%			506,085		0.47%			N/A		1.70%
9/30/15i		18.39		0.22		(1.26	)		(1.04	)		-			(0.05	)		(0.05	)		17.30		(5.66%	)b		493,479		0.47%	a		N/A		1.57%	a
12/31/14		16.86		0.27		1.93			2.20			(0.28	)		(0.39	)		(0.67	)		18.39		13.18%			557,940		0.48%			0.47%		1.54%
Class A
9/30/19	$	19.82	$	0.21	$	(0.02	)aa	$	0.19		$	(0.24	)	$	(2.51	)	$	(2.75	)	$	17.26		3.46%		$	28,147		0.72%			N/A		1.26%
9/30/18		21.03		0.24		2.92			3.16			(0.37	)		(4.00	)		(4.37	)		19.82		17.06%			34,494		0.72%			N/A		1.25%
9/30/17		18.92		0.27		2.96			3.23			(0.33	)		(0.79	)		(1.12	)		21.03		17.80%			27,907		0.72%			N/A		1.37%
9/30/16		17.12		0.27		2.19			2.46			(0.30	)		(0.36	)		(0.66	)		18.92		14.63%			21,320		0.72%			N/A		1.46%
9/30/15i		18.23		0.18		(1.24	)		(1.06	)		-			(0.05	)		(0.05	)		17.12		(5.82%	)b		11,784		0.72%	a		N/A		1.33%	a
12/31/14h		17.01		0.19		1.68			1.87			(0.26	)		(0.39	)		(0.65	)		18.23		11.10%	b		3,314		0.72%	a		N/A		1.43%	a
Class R4
9/30/19	$	19.95	$	0.23	$	(0.02	)aa	$	0.21		$	(0.26	)	$	(2.51	)	$	(2.77	)	$	17.39		3.61%		$	594,415		0.62%			N/A		1.36%
9/30/18		21.13		0.26		2.93			3.19			(0.37	)		(4.00	)		(4.37	)		19.95		17.15%			681,097		0.62%			N/A		1.35%
9/30/17		19.01		0.29		2.97			3.26			(0.35	)		(0.79	)		(1.14	)		21.13		17.88%			670,521		0.62%			N/A		1.47%
9/30/16		17.16		0.29		2.19			2.48			(0.27	)		(0.36	)		(0.63	)		19.01		14.72%			632,838		0.62%			N/A		1.55%
9/30/15i		18.25		0.19		(1.23	)		(1.04	)		-			(0.05	)		(0.05	)		17.16		(5.70%	)b		534,856		0.62%	a		N/A		1.41%	a
12/31/14		16.74		0.24		1.90			2.14			(0.24	)		(0.39	)		(0.63	)		18.25		12.92%			547,665		0.66%			0.63%		1.37%
Class R3
9/30/19	$	19.45	$	0.18	$	(0.02	)aa	$	0.16		$	(0.23	)	$	(2.51	)	$	(2.74	)	$	16.87		3.34%		$	222,503		0.87%			N/A		1.11%
9/30/18		20.72		0.21		2.87			3.08			(0.35	)		(4.00	)		(4.35	)		19.45		16.90%			251,216		0.87%			N/A		1.10%
9/30/17		18.70		0.24		2.91			3.15			(0.34	)		(0.79	)		(1.13	)		20.72		17.54%			208,410		0.87%			N/A		1.21%
9/30/16		16.95		0.24		2.17			2.41			(0.30	)		(0.36	)		(0.66	)		18.70		14.49%			95,197		0.87%			N/A		1.29%
9/30/15i		18.06		0.16		(1.22	)		(1.06	)		-			(0.05	)		(0.05	)		16.95		(5.88%	)b		24,643		0.87%	a		N/A		1.21%	a
12/31/14		16.58		0.19		1.90			2.09			(0.22	)		(0.39	)		(0.61	)		18.06		12.68%			3,736		0.92%			0.89%		1.12%

259

MassMutual Select Equity Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class I
9/30/19	$	18.41	$	0.27	$	1.36		$	1.63		$	(0.28	)	$	(1.43	)	$	(1.71	)	$	18.33		10.82%		$	274,970		0.74%			N/A		1.60%
9/30/18		22.45		0.27		2.75			3.02			(0.51	)		(6.55	)		(7.06	)		18.41		16.23%			268,240		0.74%			N/A		1.50%
9/30/17		18.40		0.41		4.27			4.68			(0.27	)		(0.36	)		(0.63	)		22.45		25.85%			228,919		0.74%			N/A		2.00%
9/30/16		19.31		0.25		2.13			2.38			(0.36	)		(2.93	)		(3.29	)		18.40		13.56%			213,648		0.73%			N/A		1.43%
9/30/15i		22.69		0.28		(3.41	)		(3.13	)		-			(0.25	)		(0.25	)		19.31		(13.85%	)b		216,254		0.73%	a		N/A		1.70%	a
12/31/14		23.34		0.46		2.34			2.80			(0.47	)		(2.98	)		(3.45	)		22.69		12.54%			222,925		0.74%			0.71%		1.94%
Class R5
9/30/19	$	18.47	$	0.26	$	1.37		$	1.63		$	(0.26	)	$	(1.43	)	$	(1.69	)	$	18.41		10.76%		$	180,002		0.84%			N/A		1.50%
9/30/18		22.50		0.25		2.75			3.00			(0.48	)		(6.55	)		(7.03	)		18.47		16.09%			188,418		0.84%			N/A		1.38%
9/30/17		18.44		0.39		4.28			4.67			(0.25	)		(0.36	)		(0.61	)		22.50		25.73%			207,798		0.84%			N/A		1.87%
9/30/16		19.34		0.23		2.14			2.37			(0.34	)		(2.93	)		(3.27	)		18.44		13.44%			203,817		0.83%			N/A		1.32%
9/30/15i		22.74		0.27		(3.42	)		(3.15	)		-			(0.25	)		(0.25	)		19.34		(13.91%	)b		240,748		0.83%	a		N/A		1.62%	a
12/31/14		23.38		0.45		2.33			2.78			(0.44	)		(2.98	)		(3.42	)		22.74		12.44%			336,501		0.84%			0.82%		1.89%
Service Class
9/30/19	$	18.10	$	0.24	$	1.33		$	1.57		$	(0.24	)	$	(1.43	)	$	(1.67	)	$	18.00		10.61%		$	53,931		0.94%			N/A		1.41%
9/30/18		22.17		0.23		2.71			2.94			(0.46	)		(6.55	)		(7.01	)		18.10		16.00%			50,746		0.94%			N/A		1.28%
9/30/17		18.18		0.35		4.23			4.58			(0.23	)		(0.36	)		(0.59	)		22.17		25.59%			61,849		0.94%			N/A		1.74%
9/30/16		19.11		0.21		2.10			2.31			(0.31	)		(2.93	)		(3.24	)		18.18		13.31%			69,632		0.93%			N/A		1.22%
9/30/15i		22.49		0.25		(3.38	)		(3.13	)		-			(0.25	)		(0.25	)		19.11		(14.02%	)b		76,245		0.93%	a		N/A		1.50%	a
12/31/14		23.16		0.44		2.29			2.73			(0.42	)		(2.98	)		(3.40	)		22.49		12.33%			98,642		0.94%			0.92%		1.87%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		33	%		35	%		131	%		36	%		39	%		35	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

260

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	17.84	$	0.21	$	1.31		$	1.52		$	(0.22	)	$	(1.43	)	$	(1.65	)	$	17.71		10.46%		$	55,316		1.04%			N/A		1.29%
9/30/18		21.94		0.21		2.68			2.89			(0.44	)		(6.55	)		(6.99	)		17.84		15.92%			75,215		1.04%			N/A		1.19%
9/30/17		17.99		0.33		4.19			4.52			(0.21	)		(0.36	)		(0.57	)		21.94		25.50%			82,359		1.04%			N/A		1.66%
9/30/16		18.94		0.20		2.07			2.27			(0.29	)		(2.93	)		(3.22	)		17.99		13.19%			89,646		1.03%			N/A		1.12%
9/30/15i		22.31		0.23		(3.35	)		(3.12	)		-			(0.25	)		(0.25	)		18.94		(14.04%	)b		97,736		1.03%	a		N/A		1.42%	a
12/31/14		23.00		0.38		2.30			2.68			(0.39	)		(2.98	)		(3.37	)		22.31		12.20%			111,776		1.05%			1.03%		1.63%
Class A
9/30/19	$	16.98	$	0.16	$	1.24		$	1.40		$	(0.17	)	$	(1.43	)	$	(1.60	)	$	16.78		10.19%		$	63,914		1.29%			N/A		1.04%
9/30/18		21.17		0.16		2.56			2.72			(0.36	)		(6.55	)		(6.91	)		16.98		15.62%			78,457		1.29%			N/A		0.92%
9/30/17		17.37		0.28		4.02			4.30			(0.14	)		(0.36	)		(0.50	)		21.17		25.13%			107,667		1.29%			N/A		1.42%
9/30/16		18.38		0.15		2.01			2.16			(0.24	)		(2.93	)		(3.17	)		17.37		12.93%			146,239		1.28%			N/A		0.87%
9/30/15i		21.69		0.18		(3.24	)		(3.06	)		-			(0.25	)		(0.25	)		18.38		(14.16%	)b		181,803		1.28%	a		N/A		1.16%	a
12/31/14		22.46		0.33		2.21			2.54			(0.33	)		(2.98	)		(3.31	)		21.69		11.86%			227,294		1.30%			1.28%		1.45%
Class R4
9/30/19	$	16.74	$	0.17	$	1.21		$	1.38		$	(0.21	)	$	(1.43	)	$	(1.64	)	$	16.48		10.30%		$	6,921		1.19%			N/A		1.13%
9/30/18		21.00		0.17		2.54			2.71			(0.42	)		(6.55	)		(6.97	)		16.74		15.70%			9,409		1.19%			N/A		1.04%
9/30/17		17.28		0.31		3.99			4.30			(0.22	)		(0.36	)		(0.58	)		21.00		25.27%			8,146		1.19%			N/A		1.58%
9/30/16		18.35		0.16		2.02			2.18			(0.32	)		(2.93	)		(3.25	)		17.28		13.11%			6,065		1.18%			N/A		0.98%
9/30/15i		21.65		0.24		(3.29	)		(3.05	)		-			(0.25	)		(0.25	)		18.35		(14.14%	)b		1,683		1.18%	a		N/A		1.52%	a
12/31/14h		22.25		0.10		2.67			2.77			(0.39	)		(2.98	)		(3.37	)		21.65		13.01%	b		113		1.17%	a		N/A		0.55%	a
Class R3
9/30/19	$	15.77	$	0.13	$	1.12		$	1.25		$	(0.17	)	$	(1.43	)	$	(1.60	)	$	15.42		10.01%		$	3,297		1.44%			N/A		0.92%
9/30/18		20.10		0.12		2.41			2.53			(0.31	)		(6.55	)		(6.86	)		15.77		15.43%			2,679		1.44%			N/A		0.78%
9/30/17		16.55		0.24		3.83			4.07			(0.16	)		(0.36	)		(0.52	)		20.10		25.00%			3,087		1.44%			N/A		1.28%
9/30/16		17.72		0.12		1.93			2.05			(0.29	)		(2.93	)		(3.22	)		16.55		12.76%			3,539		1.43%			N/A		0.74%
9/30/15i		20.95		0.14		(3.12	)		(2.98	)		-			(0.25	)		(0.25	)		17.72		(14.28%	)b		2,317		1.44%	a		N/A		0.94%	a
12/31/14		21.80		0.29		2.13			2.42			(0.29	)		(2.98	)		(3.27	)		20.95		11.67%			721		1.49%			1.47%		1.31%

261

MassMutual Select Fundamental Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Net asset value, beginning of the period		Income (loss) from investment operations								Less distributions to shareholders									Net asset value, end of the period		Total returnl,m			Ratios / Supplemental Data
			Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions								Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	9.81	$	0.02	$	(0.00	)d,aa	$	0.02		$	(0.05	)	$	(1.75	)	$	(1.80	)	$	8.03		4.27%		$	67,992		0.82%			0.78%			0.31%
9/30/18		8.44		0.05		1.95			2.00			(0.07	)		(0.56	)		(0.63	)		9.81		24.98%			64,876		0.78%			0.70%			0.56%
9/30/17		8.01		0.08		1.37			1.45			(0.08	)		(0.94	)		(1.02	)		8.44		20.59%			75,206		0.84%			0.70%			1.09%
9/30/16		8.02		0.07		0.86			0.93			(0.08	)		(0.86	)		(0.94	)		8.01		12.02%			56,680		0.82%			0.70%			0.86%
9/30/15i		8.18		0.05		(0.18	)		(0.13	)		-			(0.03	)		(0.03	)		8.02		(1.60%	)b		75,265		0.81%	a		0.70%	a		0.80%	a
12/31/14h		8.42		0.07		0.78			0.85			(0.09	)		(1.00	)		(1.09	)		8.18		10.42%	b		86,370		0.75%	a		0.70%	a		1.03%	a
Class R5
9/30/19	$	9.83	$	0.02	$	(0.01	)aa	$	0.01		$	(0.04	)	$	(1.75	)	$	(1.79	)	$	8.05		4.13%		$	31,014		0.92%			0.88%			0.21%
9/30/18		8.46		0.04		1.95			1.99			(0.06	)		(0.56	)		(0.62	)		9.83		24.80%			32,604		0.88%			0.80%			0.45%
9/30/17		8.02		0.08		1.38			1.46			(0.08	)		(0.94	)		(1.02	)		8.46		20.56%			26,201		0.94%			0.80%			0.99%
9/30/16		8.03		0.06		0.86			0.92			(0.07	)		(0.86	)		(0.93	)		8.02		11.88%			23,154		0.92%			0.80%			0.76%
9/30/15i		8.20		0.04		(0.18	)		(0.14	)		-			(0.03	)		(0.03	)		8.03		(1.71%	)b		20,054		0.91%	a		0.80%	a		0.71%	a
12/31/14		8.35		0.06		0.86			0.92			(0.07	)		(1.00	)		(1.07	)		8.20		11.38%			21,110		0.87%			0.80%			0.75%
Service Class
9/30/19	$	9.62	$	0.01	$	(0.02	)aa	$	(0.01	)	$	(0.03	)	$	(1.75	)	$	(1.78	)	$	7.83		3.97%		$	9,805		1.02%			0.98%			0.11%
9/30/18		8.29		0.03		1.92			1.95			(0.06	)		(0.56	)		(0.62	)		9.62		24.72%			9,630		0.98%			0.90%			0.35%
9/30/17		7.88		0.07		1.35			1.42			(0.07	)		(0.94	)		(1.01	)		8.29		20.41%			8,668		1.04%			0.90%			0.88%
9/30/16		7.91		0.05		0.84			0.89			(0.06	)		(0.86	)		(0.92	)		7.88		11.69%			6,561		1.02%			0.90%			0.67%
9/30/15i		8.07		0.04		(0.17	)		(0.13	)		-			(0.03	)		(0.03	)		7.91		(1.62%	)b		5,627		1.01%	a		0.90%	a		0.62%	a
12/31/14		8.25		0.06		0.83			0.89			(0.07	)		(1.00	)		(1.07	)		8.07		11.13%			6,829		0.94%			0.90%			0.76%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		123	%		47	%		52	%		49	%		37	%		59	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

262

	Net asset value, beginning of the period		Income (loss) from investment operations									Less distributions to shareholders									Net asset value, end of the period		Total returnl,m			Ratios / Supplemental Data
			Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions								Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	9.38	$	0.00	d	$	(0.02	)aa	$	(0.02	)	$	(0.02	)	$	(1.75	)	$	(1.77	)	$	7.59		3.97%		$	14,315		1.12%			1.09%			0.01%
9/30/18		8.10		0.02			1.87			1.89			(0.05	)		(0.56	)		(0.61	)		9.38		24.56%			12,307		1.08%			1.00%			0.25%
9/30/17		7.72		0.06			1.32			1.38			(0.06	)		(0.94	)		(1.00	)		8.10		20.31%			10,889		1.14%			1.00%			0.77%
9/30/16		7.77		0.04			0.83			0.87			(0.06	)		(0.86	)		(0.92	)		7.72		11.54%			10,205		1.12%			1.00%			0.56%
9/30/15i		7.93		0.03			(0.16	)		(0.13	)		-			(0.03	)		(0.03	)		7.77		(1.65%	)b		10,157		1.11%	a		1.00%	a		0.50%	a
12/31/14		8.13		0.05			0.81			0.86			(0.06	)		(1.00	)		(1.06	)		7.93		10.93%			9,696		1.06%			1.01%			0.64%
Class A
9/30/19	$	8.95	$	(0.02	)	$	(0.03	)aa	$	(0.05	)	$	-		$	(1.75	)	$	(1.75	)	$	7.15		3.67%		$	14,997		1.37%			1.33%			(0.23%	)
9/30/18		7.75		0.00	d		1.79			1.79			(0.03	)		(0.56	)		(0.59	)		8.95		24.31%			18,868		1.33%			1.25%			0.00%	e
9/30/17		7.43		0.04			1.26			1.30			(0.04	)		(0.94	)		(0.98	)		7.75		19.91%			15,687		1.39%			1.25%			0.53%
9/30/16		7.50		0.02			0.80			0.82			(0.03	)		(0.86	)		(0.89	)		7.43		11.30%			16,594		1.37%			1.25%			0.31%
9/30/15i		7.68		0.02			(0.17	)		(0.15	)		-			(0.03	)		(0.03	)		7.50		(1.96%	)b		17,774		1.36%	a		1.25%	a		0.26%	a
12/31/14		7.89		0.03			0.80			0.83			(0.04	)		(1.00	)		(1.04	)		7.68		10.86%			24,193		1.31%			1.26%			0.38%
Class R4
9/30/19	$	8.86	$	(0.01	)	$	(0.03	)aa	$	(0.04	)	$	(0.01	)	$	(1.75	)	$	(1.76	)	$	7.06		3.87%		$	1,217		1.27%			1.22%			(0.08%	)
9/30/18		7.68		0.01			1.77			1.78			(0.04	)		(0.56	)		(0.60	)		8.86		24.48%			2,757		1.23%			1.15%			0.10%
9/30/17		7.39		0.05			1.25			1.30			(0.07	)		(0.94	)		(1.01	)		7.68		20.10%			2,908		1.29%			1.15%			0.63%
9/30/16		7.49		0.03			0.79			0.82			(0.06	)		(0.86	)		(0.92	)		7.39		11.33%			720		1.27%			1.15%			0.42%
9/30/15i		7.66		0.02			(0.16	)		(0.14	)		-			(0.03	)		(0.03	)		7.49		(1.84%	)b		193		1.26%	a		1.15%	a		0.32%	a
12/31/14h		7.95		0.04			0.73			0.77			(0.06	)		(1.00	)		(1.06	)		7.66		10.03%	b		110		1.20%	a		1.15%	a		0.59%	a
Class R3
9/30/19	$	8.34	$	(0.03	)	$	(0.05	)aa	$	(0.08	)	$	-		$	(1.75	)	$	(1.75	)	$	6.51		3.54%		$	2,794		1.52%			1.48%			(0.40%	)
9/30/18		7.27		(0.01	)		1.67			1.66			(0.03	)		(0.56	)		(0.59	)		8.34		24.08%			3,307		1.48%	a		1.40%			(0.15%	)
9/30/17		7.04		0.03			1.19			1.22			(0.05	)		(0.94	)		(0.99	)		7.27		19.93%			2,301		1.54%			1.40%			0.39%
9/30/16		7.19		0.01			0.76			0.77			(0.06	)		(0.86	)		(0.92	)		7.04		11.15%			1,343		1.52%			1.40%			0.20%
9/30/15i		7.38		(0.00	)d		(0.16	)		(0.16	)		-			(0.03	)		(0.03	)		7.19		(2.18%	)b		100		1.51%	a		1.40%	a		(0.06%	)a
12/31/14		7.64		0.02			0.76			0.78			(0.04	)		(1.00	)		(1.04	)		7.38		10.51%			3		1.49%			1.44%			0.24%

263

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	23.37	$	0.07		$	0.59	$	0.66	$	(0.11	)	$	(1.19	)	$	(1.30	)	$	22.73		3.82%		$	1,947,695		0.64%			N/A			0.34%
9/30/18		19.78		0.06			4.45		4.51		(0.11	)		(0.81	)		(0.92	)		23.37		23.49%			1,799,107		0.64%			N/A			0.30%
9/30/17		16.66		0.07			3.81		3.88		(0.10	)		(0.66	)		(0.76	)		19.78		24.41%			1,081,072		0.65%			N/A			0.38%
9/30/16		17.24		0.05			2.33		2.38		(0.10	)		(2.86	)		(2.96	)		16.66		14.57%			511,543		0.66%			N/A			0.34%
9/30/15i		17.24		0.03			0.13		0.16		-			(0.16	)		(0.16	)		17.24		0.87%	b		317,029		0.67%	a		N/A			0.24%	a
12/31/14h		16.75		0.01			1.73		1.74		-			(1.25	)		(1.25	)		17.24		10.55%	b		268,755		0.66%	a		N/A			0.05%	a
Class R5
9/30/19	$	23.32	$	0.05		$	0.59	$	0.64	$	(0.08	)	$	(1.19	)	$	(1.27	)	$	22.69		3.75%		$	456,222		0.74%			N/A			0.24%
9/30/18		19.75		0.04			4.43		4.47		(0.09	)		(0.81	)		(0.90	)		23.32		23.31%			503,294		0.74%			N/A			0.19%
9/30/17		16.63		0.05			3.81		3.86		(0.08	)		(0.66	)		(0.74	)		19.75		24.33%			443,867		0.75%			N/A			0.28%
9/30/16		17.22		0.04			2.31		2.35		(0.08	)		(2.86	)		(2.94	)		16.63		14.38%			367,547		0.76%			N/A			0.23%
9/30/15i		17.23		0.02			0.13		0.15		-			(0.16	)		(0.16	)		17.22		0.81%	b		491,897		0.77%	a		N/A			0.14%	a
12/31/14		16.94		(0.01	)		1.55		1.54		-			(1.25	)		(1.25	)		17.23		9.25%			560,395		0.76%			0.76%	n		(0.05%	)
Service Class
9/30/19	$	23.10	$	0.03		$	0.58	$	0.61	$	(0.05	)	$	(1.19	)	$	(1.24	)	$	22.47		3.61%		$	114,021		0.84%			N/A			0.14%
9/30/18		19.57		0.02			4.39		4.41		(0.07	)		(0.81	)		(0.88	)		23.10		23.21%			122,916		0.84%			N/A			0.09%
9/30/17		16.49		0.03			3.77		3.80		(0.06	)		(0.66	)		(0.72	)		19.57		24.14%			133,658		0.85%			N/A			0.18%
9/30/16		17.09		0.02			2.31		2.33		(0.07	)		(2.86	)		(2.93	)		16.49		14.37%			212,993		0.86%			N/A			0.14%
9/30/15i		17.12		0.01			0.12		0.13		-			(0.16	)		(0.16	)		17.09		0.70%	b		197,891		0.87%	a		N/A			0.04%	a
12/31/14		16.85		(0.02	)		1.54		1.52		-			(1.25	)		(1.25	)		17.12		9.18%			158,076		0.85%			0.85%	n		(0.14%	)

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		25	%		17	%		27	%		30	%		48	%		34	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

n Expenses incurred during the period fell under the expense cap.

The accompanying notes are an integral part of the financial statements.

264

			Income (loss) from investment operations							Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	22.78	$	0.01		$	0.57	$	0.58	$	(0.04	)	$	(1.19	)	$	(1.23	)	$	22.13		3.51%		$	312,815		0.94%			N/A			0.04%
9/30/18		19.31		(0.00	)d		4.33		4.33		(0.05	)		(0.81	)		(0.86	)		22.78		23.08%			315,952		0.94%			N/A			(0.01%	)
9/30/17		16.28		0.01			3.73		3.74		(0.05	)		(0.66	)		(0.71	)		19.31		24.05%			257,730		0.95%			N/A			0.08%
9/30/16		16.90		0.01			2.27		2.28		(0.04	)		(2.86	)		(2.90	)		16.28		14.23%			232,088		0.96%			N/A			0.04%
9/30/15i		16.94		(0.01	)		0.13		0.12		-			(0.16	)		(0.16	)		16.90		0.64%	b		226,193		0.97%	a		N/A			(0.05%	)a
12/31/14		16.71		(0.04	)		1.52		1.48		-			(1.25	)		(1.25	)		16.94		9.01%			262,694		0.96%			0.96%	n		(0.26%	)
Class A
9/30/19	$	21.82	$	(0.04	)	$	0.54	$	0.50	$	-		$	(1.19	)	$	(1.19	)	$	21.13		3.27%		$	181,457		1.19%			N/A			(0.21%	)
9/30/18		18.53		(0.05	)		4.15		4.10		-			(0.81	)		(0.81	)		21.82		22.76%			198,284		1.19%	a		N/A			(0.26%	)
9/30/17		15.65		(0.03	)		3.58		3.55		(0.01	)		(0.66	)		(0.67	)		18.53		23.73%			162,073		1.20%			N/A			(0.16%	)
9/30/16		16.35		(0.03	)		2.20		2.17		(0.01	)		(2.86	)		(2.87	)		15.65		13.93%			161,079		1.21%			N/A			(0.22%	)
9/30/15i		16.42		(0.04	)		0.13		0.09		-			(0.16	)		(0.16	)		16.35		0.48%	b		150,749		1.22%	a		N/A			(0.30%	)a
12/31/14		16.27		(0.08	)		1.48		1.40		-			(1.25	)		(1.25	)		16.42		8.77%			157,200		1.21%			1.20%			(0.50%	)
Class R4
9/30/19	$	21.78	$	(0.02	)	$	0.54	$	0.52	$	(0.02	)	$	(1.19	)	$	(1.21	)	$	21.09		3.38%		$	106,445		1.09%			N/A			(0.11%	)
9/30/18		18.51		(0.03	)		4.15		4.12		(0.04	)		(0.81	)		(0.85	)		21.78		22.92%			107,811		1.09%			N/A			(0.16%	)
9/30/17		15.66		(0.01	)		3.57		3.56		(0.05	)		(0.66	)		(0.71	)		18.51		23.81%			67,035		1.10%			N/A			(0.07%	)
9/30/16		16.38		(0.02	)		2.21		2.19		(0.05	)		(2.86	)		(2.91	)		15.66		14.08%			44,451		1.11%			N/A			(0.11%	)
9/30/15i		16.44		(0.03	)		0.13		0.10		-			(0.16	)		(0.16	)		16.38		0.54%	b		19,816		1.12%	a		N/A			(0.23%	)a
12/31/14h		16.08		(0.06	)		1.67		1.61		-			(1.25	)		(1.25	)		16.44		10.18%	b		776		1.11%	a		N/A			(0.44%	)a
Class R3
9/30/19	$	20.41	$	(0.07	)	$	0.49	$	0.42	$	-		$	(1.19	)	$	(1.19	)	$	19.64		3.10%		$	61,141		1.34%			N/A			(0.36%	)
9/30/18		17.41		(0.08	)		3.90		3.82		(0.01	)		(0.81	)		(0.82	)		20.41		22.57%			60,560		1.34%			N/A			(0.41%	)
9/30/17		14.78		(0.05	)		3.37		3.32		(0.03	)		(0.66	)		(0.69	)		17.41		23.59%			40,705		1.35%			N/A			(0.32%	)
9/30/16		15.65		(0.05	)		2.09		2.04		(0.05	)		(2.86	)		(2.91	)		14.78		13.77%			22,853		1.36%			N/A			(0.36%	)
9/30/15i		15.75		(0.06	)		0.12		0.06		-			(0.16	)		(0.16	)		15.65		0.38%	b		3,937		1.37%	a		N/A			(0.47%	)a
12/31/14		15.68		(0.11	)		1.43		1.32		-			(1.25	)		(1.25	)		15.75		8.52%			900		1.39%			1.39%	n		(0.70%	)

265

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class I
9/30/19	$	13.19	$	(0.03	)	$	(0.29	)aa	$	(0.32	)	$	(2.66	)	$	(2.66	)	$	10.21		1.63%		$	168,427		0.76%			N/A		(0.24%	)
9/30/18		11.97		(0.04	)		2.81			2.77			(1.55	)		(1.55	)		13.19		25.79%			390,266		0.74%			N/A		(0.30%	)
9/30/17		10.82		(0.02	)		1.95			1.93			(0.78	)		(0.78	)		11.97		19.63%			378,731		0.74%			N/A		(0.18%	)
9/30/16		10.98		(0.01	)		1.07			1.06			(1.22	)		(1.22	)		10.82		9.61%			352,915		0.74%			N/A		(0.10%	)
9/30/15i		11.90		0.00	d		(0.64	)		(0.64	)		(0.28	)		(0.28	)		10.98		(5.48%	)b		352,117		0.74%	a		N/A		0.05%	a
12/31/14		11.43		0.01			1.20			1.21			(0.74	)		(0.74	)		11.90		10.75%			312,757		0.75%			0.72%		0.10%
Class R5
9/30/19	$	13.04	$	(0.04	)	$	(0.29	)aa	$	(0.33	)	$	(2.66	)	$	(2.66	)	$	10.05		1.56%		$	127,577		0.86%			N/A		(0.36%	)
9/30/18		11.87		(0.05	)		2.77			2.72			(1.55	)		(1.55	)		13.04		25.58%			153,460		0.84%			N/A		(0.40%	)
9/30/17		10.74		(0.03	)		1.94			1.91			(0.78	)		(0.78	)		11.87		19.59%			185,795		0.84%			N/A		(0.28%	)
9/30/16		10.92		(0.01	)		1.05			1.04			(1.22	)		(1.22	)		10.74		9.47%			192,509		0.84%			N/A		(0.14%	)
9/30/15i		11.85		(0.00	)d		(0.65	)		(0.65	)		(0.28	)		(0.28	)		10.92		(5.58%	)b		220,721		0.84%	a		N/A		(0.03%	)a
12/31/14		11.39		0.00	d		1.20			1.20			(0.74	)		(0.74	)		11.85		10.70%			272,981		0.87%			0.83%		0.04%
Service Class
9/30/19	$	12.67	$	(0.05	)	$	(0.30	)aa	$	(0.35	)	$	(2.66	)	$	(2.66	)	$	9.66		1.40%		$	73,129		0.96%			N/A		(0.47%	)
9/30/18		11.58		(0.06	)		2.70			2.64			(1.55	)		(1.55	)		12.67		25.52%			68,041		0.94%			N/A		(0.50%	)
9/30/17		10.50		(0.04	)		1.90			1.86			(0.78	)		(0.78	)		11.58		19.55%			74,058		0.94%			N/A		(0.38%	)
9/30/16		10.72		(0.03	)		1.03			1.00			(1.22	)		(1.22	)		10.50		9.26%			149,667		0.94%			N/A		(0.31%	)
9/30/15i		11.64		(0.01	)		(0.63	)		(0.64	)		(0.28	)		(0.28	)		10.72		(5.60%	)b		149,543		0.94%	a		N/A		(0.15%	)a
12/31/14		11.22		(0.01	)		1.17			1.16			(0.74	)		(0.74	)		11.64		10.51%			158,891		0.96%			0.93%		(0.08%	)

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		33	%		28	%		19	%		22	%		28	%		25	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

266

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	12.19	$	(0.05	)	$	(0.31	)aa	$	(0.36	)	$	(2.66	)	$	(2.66	)	$	9.17		1.38%		$	48,666		1.06%			N/A		(0.56%	)
9/30/18		11.21		(0.07	)		2.60			2.53			(1.55	)		(1.55	)		12.19		25.36%			56,625		1.04%			N/A		(0.60%	)
9/30/17		10.21		(0.05	)		1.83			1.78			(0.78	)		(0.78	)		11.21		19.31%			89,663		1.04%			N/A		(0.48%	)
9/30/16		10.46		(0.04	)		1.01			0.97			(1.22	)		(1.22	)		10.21		9.21%			90,616		1.04%			N/A		(0.43%	)
9/30/15i		11.37		(0.02	)		(0.61	)		(0.63	)		(0.28	)		(0.28	)		10.46		(5.64%	)b		107,017		1.04%	a		N/A		(0.26%	)a
12/31/14		10.98		(0.02	)		1.15			1.13			(0.74	)		(0.74	)		11.37		10.46%			146,975		1.07%			1.04%		(0.19%	)
Class A
9/30/19	$	11.30	$	(0.07	)	$	(0.33	)aa	$	(0.40	)	$	(2.66	)	$	(2.66	)	$	8.24		1.06%		$	36,629		1.31%			N/A		(0.81%	)
9/30/18		10.52		(0.09	)		2.42			2.33			(1.55	)		(1.55	)		11.30		25.08%			49,746		1.29%			N/A		(0.85%	)
9/30/17		9.65		(0.07	)		1.72			1.65			(0.78	)		(0.78	)		10.52		19.07%			76,756		1.29%			N/A		(0.73%	)
9/30/16		9.97		(0.07	)		0.97			0.90			(1.22	)		(1.22	)		9.65		8.93%			103,902		1.29%			N/A		(0.72%	)
9/30/15i		10.88		(0.04	)		(0.59	)		(0.63	)		(0.28	)		(0.28	)		9.97		(5.90%	)b		140,896		1.29%	a		N/A		(0.49%	)a
12/31/14		10.56		(0.05	)		1.11			1.06			(0.74	)		(0.74	)		10.88		10.21%			178,641		1.33%			1.29%		(0.44%	)
Class R4
9/30/19	$	11.37	$	(0.06	)	$	(0.33	)aa	$	(0.39	)	$	(2.66	)	$	(2.66	)	$	8.32		1.17%		$	9,775		1.21%			N/A		(0.71%	)
9/30/18		10.57		(0.08	)		2.43			2.35			(1.55	)		(1.55	)		11.37		25.17%			16,920		1.19%			N/A		(0.75%	)
9/30/17		9.68		(0.06	)		1.73			1.67			(0.78	)		(0.78	)		10.57		19.22%			9,200		1.19%			N/A		(0.63%	)
9/30/16		9.99		(0.05	)		0.96			0.91			(1.22	)		(1.22	)		9.68		9.02%			6,861		1.19%			N/A		(0.58%	)
9/30/15i		10.88		(0.04	)		(0.57	)		(0.61	)		(0.28	)		(0.28	)		9.99		(5.71%	)b		2,794		1.19%	a		N/A		(0.46%	)a
12/31/14h		10.57		(0.03	)		1.08			1.05			(0.74	)		(0.74	)		10.88		10.11%	b		110		1.18%	a		N/A		(0.40%	)a
Class R3
9/30/19	$	10.41	$	(0.07	)	$	(0.35	)aa	$	(0.42	)	$	(2.66	)	$	(2.66	)	$	7.33		0.95%		$	925		1.46%			N/A		(0.97%	)
9/30/18		9.82		(0.10	)		2.24			2.14			(1.55	)		(1.55	)		10.41		24.93%			976		1.44%			N/A		(1.00%	)
9/30/17		9.08		(0.08	)		1.60			1.52			(0.78	)		(0.78	)		9.82		18.82%			1,035		1.44%			N/A		(0.88%	)
9/30/16		9.46		(0.07	)		0.91			0.84			(1.22	)		(1.22	)		9.08		8.77%			859		1.44%			N/A		(0.81%	)
9/30/15i		10.34		(0.05	)		(0.55	)		(0.60	)		(0.28	)		(0.28	)		9.46		(5.92%	)b		751		1.44%	a		N/A		(0.70%	)a
12/31/14		10.09		(0.07	)		1.06			0.99			(0.74	)		(0.74	)		10.34		9.99%			127		1.45%			1.44%		(0.65%	)

267

MassMutual Select Mid-Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	14.05	$	0.21	$	(0.11	)aa	$	0.10		$	(0.16	)	$	(1.57	)	$	(1.73	)	$	12.42		2.92%		$	93,413		1.00%			0.80%			1.73%
9/30/18		15.20		0.18		0.99			1.17			(0.21	)		(2.11	)		(2.32	)		14.05		8.30%			91,004		0.98%			0.80%			1.28%
9/30/17		13.59		0.21		1.87			2.08			(0.21	)		(0.26	)		(0.47	)		15.20		15.51%			81,793		0.92%			0.80%			1.46%
9/30/16		13.71		0.15		1.93			2.08			(0.20	)		(2.00	)		(2.20	)		13.59		17.08%			106,786		0.94%			0.80%			1.19%
9/30/15i		15.25		0.11		(1.49	)		(1.38	)		-			(0.16	)		(0.16	)		13.71		(9.12%	)b		128,581		0.84%	a		0.80%	a		1.00%	a
12/31/14		14.68		0.21		0.77			0.98			(0.18	)		(0.23	)		(0.41	)		15.25		6.75%			132,365		0.80%			0.79%			1.37%
Class R5
9/30/19	$	14.15	$	0.20	$	(0.10	)aa	$	0.10		$	(0.13	)	$	(1.57	)	$	(1.70	)	$	12.55		2.78%		$	1,332		1.10%			0.90%			1.68%
9/30/18		15.28		0.16		1.02			1.18			(0.20	)		(2.11	)		(2.31	)		14.15		8.26%			949		1.08%			0.90%			1.10%
9/30/17		13.67		0.20		1.87			2.07			(0.20	)		(0.26	)		(0.46	)		15.28		15.32%			7,290		1.02%			0.90%			1.34%
9/30/16		13.75		0.15		1.93			2.08			(0.16	)		(2.00	)		(2.16	)		13.67		17.03%			7,072		1.04%			0.90%			1.12%
9/30/15i		15.32		0.09		(1.50	)		(1.41	)		-			(0.16	)		(0.16	)		13.75		(9.22%	)b		8,406		0.94%	a		0.90%	a		0.83%	a
12/31/14		14.71		0.12		0.85			0.97			(0.13	)		(0.23	)		(0.36	)		15.32		6.59%			18,333		0.88%			0.88%	k		0.79%
Service Class
9/30/19	$	14.09	$	0.18	$	(0.10	)aa	$	0.08		$	(0.14	)	$	(1.57	)	$	(1.71	)	$	12.46		2.73%		$	215		1.20%			1.00%			1.53%
9/30/18		15.24		0.17		0.97			1.14			(0.18	)		(2.11	)		(2.29	)		14.09		8.03%			255		1.18%			1.00%			1.14%
9/30/17		13.62		0.19		1.87			2.06			(0.18	)		(0.26	)		(0.44	)		15.24		15.29%			1,998		1.12%			1.00%			1.29%
9/30/16		13.72		0.12		1.94			2.06			(0.16	)		(2.00	)		(2.16	)		13.62		16.87%			2,158		1.14%			1.00%			0.95%
9/30/15i		15.29		0.08		(1.49	)		(1.41	)		-			(0.16	)		(0.16	)		13.72		(9.30%	)b		2,689		1.04%	a		1.00%	a		0.72%	a
12/31/14		14.71		0.15		0.81			0.96			(0.15	)		(0.23	)		(0.38	)		15.29		6.57%			5,022		0.99%			0.99%	k		0.96%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		54	%		98	%		88	%		96	%		105	%		112	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

k Amount waived had no impact on the ratio of expenses to average daily net assets.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

n Expenses incurred during the period fell under the expense cap.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

268

				Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	14.32	$	0.18	$	(0.10	)aa	$	0.08		$	(0.12	)	$	(1.57	)	$	(1.69	)	$	12.71		2.62%		$	889		1.30%			1.10%			1.44%
9/30/18		15.43		0.14		1.03			1.17			(0.17	)		(2.11	)		(2.28	)		14.32		8.08%			888		1.28%			1.10%			0.97%
9/30/17		13.81		0.17		1.90			2.07			(0.19	)		(0.26	)		(0.45	)		15.43		15.15%			811		1.22%			1.10%			1.14%
9/30/16		13.81		0.13		1.94			2.07			(0.07	)		(2.00	)		(2.07	)		13.81		16.74%			656		1.24%			1.10%			0.97%
9/30/15i		15.40		0.06		(1.49	)		(1.43	)		-			(0.16	)		(0.16	)		13.81		(9.36%	)b		270		1.14%	a		1.10%	a		0.56%	a
12/31/14		14.81		0.10		0.84			0.94			(0.12	)		(0.23	)		(0.35	)		15.40		6.39%			1,147		1.10%			1.10%	k		0.69%
Class A
9/30/19	$	14.07	$	0.14	$	(0.09	)aa	$	0.05		$	(0.08	)	$	(1.57	)	$	(1.65	)	$	12.47		2.41%		$	2,788		1.55%			1.35%			1.18%
9/30/18		15.21		0.10		1.00			1.10			(0.13	)		(2.11	)		(2.24	)		14.07		7.73%			2,464		1.53%			1.35%			0.73%
9/30/17		13.61		0.13		1.87			2.00			(0.14	)		(0.26	)		(0.40	)		15.21		14.83%			2,178		1.47%			1.35%			0.90%
9/30/16		13.67		0.08		1.93			2.01			(0.07	)		(2.00	)		(2.07	)		13.61		16.46%			1,755		1.49%			1.35%			0.62%
9/30/15i		15.27		0.04		(1.48	)		(1.44	)		-			(0.16	)		(0.16	)		13.67		(9.51%	)b		2,287		1.39%	a		1.35%	a		0.36%	a
12/31/14		14.69		0.09		0.81			0.90			(0.09	)		(0.23	)		(0.32	)		15.27		6.18%			5,759		1.35%			1.35%	k		0.58%
Class R4
9/30/19	$	13.97	$	0.16	$	(0.11	)aa	$	0.05		$	(0.14	)	$	(1.57	)	$	(1.71	)	$	12.31		2.48%		$	1,050		1.45%			1.25%			1.36%
9/30/18		15.11		0.13		0.99			1.12			(0.15	)		(2.11	)		(2.26	)		13.97		7.89%			307		1.43%			1.25%			0.90%
9/30/17		13.54		0.14		1.85			1.99			(0.16	)		(0.26	)		(0.42	)		15.11		14.90%			130		1.37%			1.25%			0.98%
9/30/16		13.65		0.10		1.92			2.02			(0.13	)		(2.00	)		(2.13	)		13.54		16.62%			94		1.39%			1.25%			0.75%
9/30/15i		15.24		0.06		(1.49	)		(1.43	)		-			(0.16	)		(0.16	)		13.65		(9.46%	)b		93		1.29%	a		1.25%	a		0.54%	a
12/31/14h		15.01		0.09		0.50			0.59			(0.13	)		(0.23	)		(0.36	)		15.24		3.98%	b		104		1.25%	a		1.25%	a,n		0.79%	a
Class R3
9/30/19	$	13.90	$	0.13	$	(0.11	)aa	$	0.02		$	(0.07	)	$	(1.57	)	$	(1.64	)	$	12.28		2.19%		$	503		1.70%			1.50%			1.06%
9/30/18		15.06		0.08		1.00			1.08			(0.13	)		(2.11	)		(2.24	)		13.90		7.66%			383		1.68%			1.50%			0.57%
9/30/17		13.48		0.12		1.84			1.96			(0.12	)		(0.26	)		(0.38	)		15.06		14.70%			333		1.62%			1.50%			0.80%
9/30/16		13.60		0.07		1.90			1.97			(0.09	)		(2.00	)		(2.09	)		13.48		16.25%			102		1.64%			1.50%			0.52%
9/30/15i		15.21		0.03		(1.48	)		(1.45	)		-			(0.16	)		(0.16	)		13.60		(9.61%	)b		89		1.54%	a		1.50%	a		0.28%	a
12/31/14		14.64		0.06		0.81			0.87			(0.07	)		(0.23	)		(0.30	)		15.21		5.99%			106		1.53%			1.53%	k		0.42%

269

MassMutual Select Small Cap Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	18.11	$	0.05	$	(2.20	)	$	(2.15	)	$	(0.06	)	$	(4.73	)	$	(4.79	)	$	11.17		(8.20%	)	$	47,894		0.97%			0.93%			0.44%
9/30/18		18.07		0.06		2.07			2.13			(0.09	)		(2.00	)		(2.09	)		18.11		12.92%			51,328		0.89%			0.80%			0.32%
9/30/17		16.19		0.09		2.76			2.85			(0.08	)		(0.89	)		(0.97	)		18.07		17.90%			113,321		0.86%			0.80%			0.55%
9/30/16		14.62		0.08		2.08			2.16			(0.09	)		(0.50	)		(0.59	)		16.19		15.20%			122,745		0.87%			0.80%			0.55%
9/30/15i		15.76		0.07		(1.21	)		(1.14	)		(0.00	)d		-			(0.00	)d		14.62		(7.23%	)b		65,868		0.87%	a		0.80%	a		0.62%	a
12/31/14h		15.09		0.09		0.69			0.78			(0.11	)		-			(0.11	)		15.76		5.19%	b		60,528		0.83%	a		0.80%	a		0.80%	a
Class R5
9/30/19	$	18.12	$	0.04	$	(2.20	)	$	(2.16	)	$	(0.04	)	$	(4.73	)	$	(4.77	)	$	11.19		(8.26%	)	$	16,680		1.07%			1.01%			0.31%
9/30/18		18.08		0.04		2.08			2.12			(0.08	)		(2.00	)		(2.08	)		18.12		12.80%			42,389		0.99%			0.90%			0.24%
9/30/17		16.20		0.08		2.75			2.83			(0.06	)		(0.89	)		(0.95	)		18.08		17.76%			43,715		0.96%			0.90%			0.44%
9/30/16		14.62		0.06		2.09			2.15			(0.07	)		(0.50	)		(0.57	)		16.20		15.15%			49,774		0.97%			0.90%			0.43%
9/30/15i		15.77		0.06		(1.21	)		(1.15	)		(0.00	)d		-			(0.00	)d		14.62		(7.29%	)b		93,458		0.97%	a		0.90%	a		0.52%	a
12/31/14		14.93		0.11		0.82			0.93			(0.09	)		-			(0.09	)		15.77		6.27%			97,987		0.90%			0.88%			0.73%
Service Class
9/30/19	$	18.15	$	0.03	$	(2.20	)	$	(2.17	)	$	(0.01	)	$	(4.73	)	$	(4.74	)	$	11.24		(8.39%	)	$	4,730		1.17%			1.12%			0.23%
9/30/18		18.11		0.02		2.08			2.10			(0.06	)		(2.00	)		(2.06	)		18.15		12.66%			5,773		1.09%			1.00%			0.14%
9/30/17		16.22		0.06		2.77			2.83			(0.05	)		(0.89	)		(0.94	)		18.11		17.71%			8,940		1.06%			1.00%			0.34%
9/30/16		14.66		0.06		2.07			2.13			(0.07	)		(0.50	)		(0.57	)		16.22		14.97%			7,326		1.07%			1.00%			0.37%
9/30/15i		15.82		0.05		(1.21	)		(1.16	)		(0.00	)d		-			(0.00	)d		14.66		(7.33%	)b		3,272		1.07%	a		1.00%	a		0.46%	a
12/31/14		14.93		0.10		0.83			0.93			(0.04	)		-			(0.04	)		15.82		6.21%			1,472		1.00%			0.98%			0.66%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		30	%		24	%		21	%		26	%		18	%		22	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

270

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	18.07	$	0.02		$	(2.19	)	$	(2.17	)	$	(0.01	)	$	(4.73	)	$	(4.74	)	$	11.16		(8.45%	)	$	3,240		1.27%			1.22%			0.13%
9/30/18		18.00		(0.00	)d		2.07			2.07			(0.00	)d		(2.00	)		(2.00	)		18.07		12.57%			5,162		1.19%			1.10%			(0.01%	)
9/30/17		16.15		0.04			2.75			2.79			(0.05	)		(0.89	)		(0.94	)		18.00		17.57%			8,977		1.16%			1.10%			0.26%
9/30/16		14.57		0.03			2.08			2.11			(0.03	)		(0.50	)		(0.53	)		16.15		14.89%			4,908		1.17%			1.10%			0.22%
9/30/15i		15.74		0.04			(1.21	)		(1.17	)		(0.00	)d		-			(0.00	)d		14.57		(7.43%	)b		6,020		1.17%	a		1.10%	a		0.34%	a
12/31/14		14.90		0.08			0.82			0.90			(0.06	)		-			(0.06	)		15.74		6.05%			3,790		1.12%			1.10%			0.52%
Class A
9/30/19	$	17.93	$	(0.01	)	$	(2.18	)	$	(2.19	)	$	-		$	(4.73	)	$	(4.73	)	$	11.01		(8.68%	)	$	7,990		1.52%			1.47%			(0.11%	)e
9/30/18		17.92		(0.03	)		2.04			2.01			(0.00	)d		(2.00	)		(2.00	)		17.93		12.26%			11,623		1.44%			1.35%			(0.20%	)
9/30/17		16.08		0.00	d		2.73			2.73			(0.00	)d		(0.89	)		(0.89	)		17.92		17.25%			10,493		1.41%			1.35%			0.01%
9/30/16		14.52		0.00	d		2.07			2.07			(0.01	)		(0.50	)		(0.51	)		16.08		14.59%			8,850		1.42%			1.35%			0.00%	e
9/30/15i		15.71		0.01			(1.20	)		(1.19	)		(0.00	)d		-			(0.00	)d		14.52		(7.57%	)b		6,458		1.42%	a		1.35%	a		0.07%	a
12/31/14		14.87		0.04			0.82			0.86			(0.02	)		-			(0.02	)		15.71		5.82%			6,467		1.37%			1.35%			0.26%
Class R4
9/30/19	$	17.83	$	(0.00	)d	$	(2.17	)	$	(2.17	)	$	-		$	(4.73	)	$	(4.73	)	$	10.93		(8.59%	)	$	4,301		1.42%			1.38%			(0.00%	)e
9/30/18		17.85		(0.01	)		2.03			2.02			(0.04	)		(2.00	)		(2.04	)		17.83		12.37%			3,350		1.34%			1.25%			(0.08%	)
9/30/17		16.01		0.01			2.73			2.74			(0.01	)		(0.89	)		(0.90	)		17.85		17.42%			2,491		1.31%			1.25%			0.07%
9/30/16		14.51		0.02			2.05			2.07			(0.07	)		(0.50	)		(0.57	)		16.01		14.66%			1,748		1.32%			1.25%			0.12%
9/30/15i		15.69		0.02			(1.20	)		(1.18	)		(0.00	)d		-			(0.00	)d		14.51		(7.51%	)b		639		1.32%	a		1.25%	a		0.19%	a
12/31/14h		15.02		0.04			0.69			0.73			(0.06	)		-			(0.06	)		15.69		4.85%	b		105		1.28%	a		1.25%	a		0.35%	a
Class R3
9/30/19	$	17.79	$	(0.03	)	$	(2.17	)	$	(2.20	)	$	-		$	(4.73	)	$	(4.73	)	$	10.86		(8.84%	)	$	856		1.67%			1.61%			(0.27%	)
9/30/18		17.81		(0.06	)		2.04			1.98			-			(2.00	)		(2.00	)		17.79		12.14%			1,544		1.59%			1.50%			(0.34%	)
9/30/17		16.00		(0.03	)		2.73			2.70			-			(0.89	)		(0.89	)		17.81		17.14%			1,214		1.56%			1.50%			(0.18%	)
9/30/16		14.48		(0.02	)		2.05			2.03			(0.01	)		(0.50	)		(0.51	)		16.00		14.37%			440		1.57%			1.50%			(0.12%	)
9/30/15i		15.69		(0.01	)		(1.20	)		(1.21	)		(0.00	)d		-			(0.00	)d		14.48		(7.70%	)b		123		1.57%	a		1.50%	a		(0.07%	)a
12/31/14h		15.02		0.01			0.69			0.70			(0.03	)		-			(0.03	)		15.69		4.66%	b		105		1.53%	a		1.50%	a		0.10%	a

271

MassMutual Select Small Company Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	12.04	$	0.07	$	(1.28	)	$	(1.21	)	$	(0.04	)	$	(1.57	)	$	(1.61	)	$	9.22		(8.59%	)	$	95,423		0.98%			0.98%	k		0.73%
9/30/18		13.45		0.06		0.93			0.99			(0.09	)		(2.31	)		(2.40	)		12.04		8.45%			103,334		0.95%			0.93%			0.47%
9/30/17		11.30		0.09		2.27			2.36			(0.13	)		(0.08	)		(0.21	)		13.45		20.96%			112,070		0.95%			0.93%			0.72%
9/30/16		13.03		0.10		1.26			1.36			(0.09	)		(3.00	)		(3.09	)		11.30		13.23%			125,482		0.94%			0.92%			0.96%
9/30/15i		14.38		0.04		(1.18	)		(1.14	)		-			(0.21	)		(0.21	)		13.03		(7.99%	)b		125,447		0.94%	a		0.92%	a		0.39%	a
12/31/14		16.37		0.08		0.47			0.55			(0.15	)		(2.39	)		(2.54	)		14.38		4.10%			132,465		0.91%			0.89%			0.50%
Class R5
9/30/19	$	12.10	$	0.06	$	(1.28	)	$	(1.22	)	$	(0.03	)	$	(1.57	)	$	(1.60	)	$	9.28		(8.67%	)	$	78,145		1.08%			1.08%	k		0.64%
9/30/18		13.50		0.04		0.95			0.99			(0.08	)		(2.31	)		(2.39	)		12.10		8.35%			74,247		1.05%			1.03%			0.37%
9/30/17		11.35		0.08		2.27			2.35			(0.12	)		(0.08	)		(0.20	)		13.50		20.77%			84,951		1.05%			1.03%			0.63%
9/30/16		13.06		0.09		1.27			1.36			(0.07	)		(3.00	)		(3.07	)		11.35		13.18%			106,993		1.04%			1.02%			0.85%
9/30/15i		14.43		0.03		(1.19	)		(1.16	)		-			(0.21	)		(0.21	)		13.06		(8.11%	)b		128,043		1.04%	a		1.02%	a		0.27%	a
12/31/14		16.41		0.06		0.47			0.53			(0.12	)		(2.39	)		(2.51	)		14.43		4.01%			207,540		1.03%			1.01%			0.38%
Service Class
9/30/19	$	12.03	$	0.05	$	(1.27	)	$	(1.22	)	$	(0.01	)	$	(1.57	)	$	(1.58	)	$	9.23		(8.70%	)	$	6,847		1.18%			1.18%	k		0.52%
9/30/18		13.43		0.03		0.94			0.97			(0.06	)		(2.31	)		(2.37	)		12.03		8.25%			8,664		1.15%			1.13%			0.27%
9/30/17		11.29		0.06		2.26			2.32			(0.10	)		(0.08	)		(0.18	)		13.43		20.65%			12,810		1.15%			1.13%			0.50%
9/30/16		13.00		0.08		1.26			1.34			(0.05	)		(3.00	)		(3.05	)		11.29		13.05%			15,783		1.14%			1.12%			0.77%
9/30/15i		14.38		0.02		(1.19	)		(1.17	)		-			(0.21	)		(0.21	)		13.00		(8.20%	)b		16,672		1.14%	a		1.12%	a		0.17%	a
12/31/14		16.36		0.05		0.47			0.52			(0.11	)		(2.39	)		(2.50	)		14.38		3.92%			37,270		1.12%			1.09%			0.30%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		146	%		65	%		57	%		60	%		86	%		38	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

k Amount waived had no impact on the ratio of expenses to average daily net assets.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

272

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	11.80	$	0.04		$	(1.26	)	$	(1.22	)	$	(0.00	)d	$	(1.57	)	$	(1.57	)	$	9.01		(8.88%	)	$	11,363		1.28%			1.28%	k		0.42%
9/30/18		13.22		0.02			0.92			0.94			(0.05	)		(2.31	)		(2.36	)		11.80		8.14%			14,411		1.25%			1.23%			0.17%
9/30/17		11.12		0.05			2.23			2.28			(0.10	)		(0.08	)		(0.18	)		13.22		20.53%			14,943		1.25%			1.23%			0.41%
9/30/16		12.85		0.07			1.24			1.31			(0.04	)		(3.00	)		(3.04	)		11.12		12.95%			16,447		1.24%			1.22%			0.66%
9/30/15i		14.22		0.01			(1.17	)		(1.16	)		-			(0.21	)		(0.21	)		12.85		(8.23%	)b		18,220		1.24%	a		1.22%	a		0.08%	a
12/31/14		16.21		0.03			0.46			0.49			(0.09	)		(2.39	)		(2.48	)		14.22		3.74%			24,796		1.23%			1.21%			0.16%
Class A
9/30/19	$	11.40	$	0.01		$	(1.20	)	$	(1.19	)	$	-		$	(1.57	)	$	(1.57	)	$	8.64		(9.03%	)	$	16,723		1.53%			1.53%	k		0.17%
9/30/18		12.85		(0.01	)		0.89			0.88			(0.02	)		(2.31	)		(2.33	)		11.40		7.84%			21,061		1.50%			1.48%			(0.08%	)
9/30/17		10.80		0.02			2.17			2.19			(0.06	)		(0.08	)		(0.14	)		12.85		20.31%			23,325		1.50%			1.48%			0.15%
9/30/16		12.56		0.04			1.20			1.24			(0.00	)d		(3.00	)		(3.00	)		10.80		12.59%			26,790		1.49%			1.47%			0.40%
9/30/15i		13.93		(0.02	)		(1.14	)		(1.16	)		-			(0.21	)		(0.21	)		12.56		(8.40%	)b		30,820		1.49%	a		1.47%	a		(0.17%	)a
12/31/14		15.92		(0.01	)		0.45			0.44			(0.04	)		(2.39	)		(2.43	)		13.93		3.51%			43,390		1.48%			1.46%			(0.08%	)
Class R4
9/30/19	$	11.26	$	0.02		$	(1.19	)	$	(1.17	)	$	(0.00	)d	$	(1.57	)	$	(1.57	)	$	8.52		(8.96%	)	$	541		1.43%			1.43%	k		0.27%
9/30/18		12.73		0.00	d		0.88			0.88			(0.04	)		(2.31	)		(2.35	)		11.26		7.95%			663		1.40%			1.38%			0.02%
9/30/17		10.74		0.03			2.15			2.18			(0.11	)		(0.08	)		(0.19	)		12.73		20.33%			525		1.40%			1.38%			0.28%
9/30/16		12.52		0.05			1.21			1.26			(0.04	)		(3.00	)		(3.04	)		10.74		12.80%			184		1.39%			1.37%			0.51%
9/30/15i		13.88		(0.01	)		(1.14	)		(1.15	)		-			(0.21	)		(0.21	)		12.52		(8.36%	)b		92		1.39%	a		1.37%	a		(0.06%	)a
12/31/14h		16.27		(0.01	)		0.11			0.10			(0.10	)		(2.39	)		(2.49	)		13.88		1.34%	b		101		1.35%	a		N/A			(0.05%	)a
Class R3
9/30/19	$	10.57	$	0.00	d	$	(1.14	)	$	(1.14	)	$	-		$	(1.57	)	$	(1.57	)	$	7.86		(9.30%	)	$	422		1.68%			1.68%	k		0.04%
9/30/18		12.09		(0.02	)		0.83			0.81			(0.02	)		(2.31	)		(2.33	)		10.57		7.76%			418		1.65%			1.63%			(0.19%	)
9/30/17		10.19		(0.00	)d		2.05			2.05			(0.07	)		(0.08	)		(0.15	)		12.09		20.14%			180		1.65%			1.63%			(0.03%	)
9/30/16		12.03		0.03			1.13			1.16			-			(3.00	)		(3.00	)		10.19		12.42%			84		1.64%			1.62%			0.28%
9/30/15i		13.36		(0.03	)		(1.09	)		(1.12	)		-			(0.21	)		(0.21	)		12.03		(8.46%	)b		57		1.64%	a		1.62%	a		(0.33%	)a
12/31/14		15.37		(0.04	)		0.44			0.40			(0.02	)		(2.39	)		(2.41	)		13.36		3.34%			80		1.67%			1.65%			(0.27%	)

273

MM S&P Mid Cap Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.27	$	0.20	$	(0.75	)	$	(0.55	)	$	(0.22	)	$	(0.74	)	$	(0.96	)	$	13.76		(2.62%	)	$	81,697		0.18%			0.18%	n		1.48%
9/30/18		14.31		0.21		1.72			1.93			(0.17	)		(0.80	)		(0.97	)		15.27		14.06%			64,388		0.16%			0.16%	n		1.43%
9/30/17		13.56		0.17		2.02			2.19			(0.22	)		(1.22	)		(1.44	)		14.31		17.06%			48,408		0.18%			0.18%	n		1.22%
9/30/16		12.44		0.19		1.61			1.80			(0.16	)		(0.52	)		(0.68	)		13.56		15.15%			73,807		0.20%			0.20%	n		1.49%
9/30/15i		13.11		0.13		(0.75	)		(0.62	)		-			(0.05	)		(0.05	)		12.44		(4.77%	)b		137,654		0.22%	a		0.20%	a		1.26%	a
12/31/14		12.47		0.17		1.00			1.17			(0.15	)		(0.38	)		(0.53	)		13.11		9.55%			144,235		0.20%			0.19%			1.35%
Class R5
9/30/19	$	15.22	$	0.19	$	(0.76	)	$	(0.57	)	$	(0.20	)	$	(0.74	)	$	(0.94	)	$	13.71		(2.77%	)	$	32,207		0.28%			0.28%	n		1.41%
9/30/18		14.26		0.19		1.73			1.92			(0.16	)		(0.80	)		(0.96	)		15.22		13.99%			22,023		0.26%			0.26%	n		1.31%
9/30/17		13.52		0.15		2.02			2.17			(0.21	)		(1.22	)		(1.43	)		14.26		16.94%			25,668		0.28%			0.28%	n		1.13%
9/30/16		12.41		0.18		1.60			1.78			(0.15	)		(0.52	)		(0.67	)		13.52		15.01%			21,499		0.30%			0.30%	n		1.44%
9/30/15i		13.09		0.12		(0.75	)		(0.63	)		-			(0.05	)		(0.05	)		12.41		(4.86%	)b		11,433		0.32%	a		0.30%	a		1.18%	a
12/31/14		12.46		0.15		0.99			1.14			(0.13	)		(0.38	)		(0.51	)		13.09		9.38%			5,628		0.30%			0.29%			1.20%
Service Class
9/30/19	$	15.14	$	0.16	$	(0.74	)	$	(0.58	)	$	(0.18	)	$	(0.74	)	$	(0.92	)	$	13.64		(2.87%	)	$	21,397		0.43%			0.43%	n		1.22%
9/30/18		14.19		0.17		1.72			1.89			(0.14	)		(0.80	)		(0.94	)		15.14		13.82%			27,225		0.41%			0.41%	n		1.18%
9/30/17		13.46		0.13		2.01			2.14			(0.19	)		(1.22	)		(1.41	)		14.19		16.78%			25,968		0.43%			0.43%	n		0.99%
9/30/16		12.36		0.16		1.59			1.75			(0.13	)		(0.52	)		(0.65	)		13.46		14.77%			23,328		0.45%			0.45%	n		1.26%
9/30/15i		13.05		0.10		(0.74	)		(0.64	)		-			(0.05	)		(0.05	)		12.36		(4.95%	)b		16,533		0.47%	a		0.45%	a		1.02%	a
12/31/14		12.43		0.15		0.98			1.13			(0.13	)		(0.38	)		(0.51	)		13.05		9.31%			12,480		0.45%			0.44%			1.16%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		15	%		13	%		33	%		48	%		18	%		12	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

n Expenses incurred during the period fell under the expense cap.

The accompanying notes are an integral part of the financial statements.

274

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	15.13	$	0.15	$	(0.75	)	$	(0.60	)	$	(0.16	)	$	(0.74	)	$	(0.90	)	$	13.63		(3.00%	)	$	54,062		0.53%			0.53%	n		1.12%
9/30/18		14.19		0.16		1.70			1.86			(0.12	)		(0.80	)		(0.92	)		15.13		13.64%			66,044		0.51%			0.51%	n		1.07%
9/30/17		13.45		0.12		2.01			2.13			(0.17	)		(1.22	)		(1.39	)		14.19		16.73%			60,979		0.53%			0.53%	n		0.90%
9/30/16		12.35		0.15		1.59			1.74			(0.12	)		(0.52	)		(0.64	)		13.45		14.69%			62,951		0.55%			0.55%	n		1.17%
9/30/15i		13.05		0.09		(0.74	)		(0.65	)		-			(0.05	)		(0.05	)		12.35		(5.03%	)b		50,069		0.57%	a		0.55%	a		0.92%	a
12/31/14		12.43		0.13		0.98			1.11			(0.11	)		(0.38	)		(0.49	)		13.05		9.15%			42,628		0.55%			0.54%			1.02%
Class A
9/30/19	$	15.09	$	0.12	$	(0.74	)	$	(0.62	)	$	(0.13	)	$	(0.74	)	$	(0.87	)	$	13.60		(3.24%	)	$	36,013		0.78%			0.78%	n		0.88%
9/30/18		14.14		0.12		1.71			1.83			(0.08	)		(0.80	)		(0.88	)		15.09		13.42%			36,885		0.76%			0.76%	n		0.83%
9/30/17		13.42		0.09		1.99			2.08			(0.14	)		(1.22	)		(1.36	)		14.14		16.34%			33,142		0.78%			0.78%	n		0.65%
9/30/16		12.32		0.11		1.61			1.72			(0.10	)		(0.52	)		(0.62	)		13.42		14.49%			42,316		0.80%			0.80%	n		0.91%
9/30/15i		13.04		0.07		(0.74	)		(0.67	)		-			(0.05	)		(0.05	)		12.32		(5.18%	)b		32,378		0.82%	a		0.80%	a		0.67%	a
12/31/14		12.43		0.10		0.97			1.07			(0.08	)		(0.38	)		(0.46	)		13.04		8.83%			28,715		0.81%			0.80%			0.76%
Class R4
9/30/19	$	15.02	$	0.13	$	(0.74	)	$	(0.61	)	$	(0.14	)	$	(0.74	)	$	(0.88	)	$	13.53		(3.13%	)	$	109,915		0.68%			0.68%	n		0.97%
9/30/18		14.10		0.13		1.70			1.83			(0.11	)		(0.80	)		(0.91	)		15.02		13.51%			137,402		0.66%			0.66%	n		0.92%
9/30/17		13.39		0.10		2.00			2.10			(0.17	)		(1.22	)		(1.39	)		14.10		16.52%			130,620		0.68%			0.68%	n		0.76%
9/30/16		12.32		0.13		1.59			1.72			(0.13	)		(0.52	)		(0.65	)		13.39		14.56%			36,917		0.70%			0.70%	n		1.04%
9/30/15i		13.04		0.09		(0.76	)		(0.67	)		-			(0.05	)		(0.05	)		12.32		(5.18%	)b		14,014		0.72%	a		0.70%	a		0.86%	a
12/31/14h		12.77		0.09		0.66			0.75			(0.10	)		(0.38	)		(0.48	)		13.04		6.04%	b		132		0.69%	a		0.69%	a,n		0.89%	a
Class R3
9/30/19	$	14.94	$	0.10	$	(0.74	)	$	(0.64	)	$	(0.10	)	$	(0.74	)	$	(0.84	)	$	13.46		(3.38%	)	$	127,756		0.93%			0.93%	n		0.72%
9/30/18		14.04		0.10		1.69			1.79			(0.09	)		(0.80	)		(0.89	)		14.94		13.20%			153,657		0.91%			0.91%	n		0.67%
9/30/17		13.35		0.07		1.98			2.05			(0.14	)		(1.22	)		(1.36	)		14.04		16.22%			144,122		0.93%			0.93%	n		0.51%
9/30/16		12.31		0.10		1.58			1.68			(0.12	)		(0.52	)		(0.64	)		13.35		14.25%			33,905		0.95%			0.95%	n		0.81%
9/30/15i		13.04		0.06		(0.74	)		(0.68	)		-			(0.05	)		(0.05	)		12.31		(5.26%	)b		8,746		0.97%	a		0.95%	a		0.61%	a
12/31/14h		12.77		0.06		0.66			0.72			(0.07	)		(0.38	)		(0.45	)		13.04		5.84%	b		142		0.95%	a		0.95%	a,n		0.60%	a

275

MM Russell 2000 Small Cap Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	14.72	$	0.17	$	(1.60	)	$	(1.43	)	$	(0.15	)	$	(0.82	)	$	(0.97	)	$	12.32		(8.94%	)	$	74,592		0.21%			0.20%			1.34%
9/30/18		14.16		0.17		1.81			1.98			(0.18	)		(1.24	)		(1.42	)		14.72		15.17%			68,359		0.20%			0.20%	n		1.24%
9/30/17		12.57		0.17		2.34			2.51			(0.19	)		(0.73	)		(0.92	)		14.16		20.64%			49,853		0.22%			0.20%			1.28%
9/30/16		11.28		0.17		1.54			1.71			(0.14	)		(0.28	)		(0.42	)		12.57		15.62%			127,660		0.21%			0.20%			1.48%
9/30/15i		12.24		0.13		(1.08	)		(0.95	)		-			(0.01	)		(0.01	)		11.28		(7.79%	)b		185,516		0.29%	a		0.20%	a		1.40%	a
12/31/14		13.20		0.17		0.40			0.57			(0.16	)		(1.37	)		(1.53	)		12.24		4.94%			97,737		0.27%			0.20%			1.33%
Class R5
9/30/19	$	14.71	$	0.15	$	(1.60	)	$	(1.45	)	$	(0.13	)	$	(0.82	)	$	(0.95	)	$	12.31		(9.06%	)	$	15,613		0.31%			0.30%			1.23%
9/30/18		14.15		0.16		1.81			1.97			(0.17	)		(1.24	)		(1.41	)		14.71		15.07%			22,393		0.30%			0.30%	n		1.13%
9/30/17		12.56		0.15		2.35			2.50			(0.18	)		(0.73	)		(0.91	)		14.15		20.57%			16,566		0.32%			0.30%			1.18%
9/30/16		11.28		0.16		1.53			1.69			(0.13	)		(0.28	)		(0.41	)		12.56		15.42%			15,287		0.31%			0.30%			1.40%
9/30/15i		12.24		0.12		(1.07	)		(0.95	)		-			(0.01	)		(0.01	)		11.28		(7.79%	)b		7,948		0.39%	a		0.30%	a		1.27%	a
12/31/14		13.19		0.15		0.40			0.55			(0.13	)		(1.37	)		(1.50	)		12.24		4.80%			4,343		0.38%			0.30%			1.16%
Service Class
9/30/19	$	14.58	$	0.13	$	(1.58	)	$	(1.45	)	$	(0.10	)	$	(0.82	)	$	(0.92	)	$	12.21		(9.15%	)	$	9,013		0.46%			0.45%			1.06%
9/30/18		14.04		0.14		1.78			1.92			(0.14	)		(1.24	)		(1.38	)		14.58		14.86%			19,285		0.45%			0.45%	n		0.98%
9/30/17		12.48		0.13		2.32			2.45			(0.16	)		(0.73	)		(0.89	)		14.04		20.33%			19,390		0.47%			0.45%			1.03%
9/30/16		11.21		0.14		1.52			1.66			(0.11	)		(0.28	)		(0.39	)		12.48		15.23%			13,347		0.46%			0.45%			1.22%
9/30/15i		12.17		0.10		(1.05	)		(0.95	)		-			(0.01	)		(0.01	)		11.21		(7.84%	)b		8,110		0.54%	a		0.45%	a		1.09%	a
12/31/14		13.16		0.15		0.37			0.52			(0.14	)		(1.37	)		(1.51	)		12.17		4.55%			6,499		0.52%			0.45%			1.14%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		16	%		20	%		38	%		37	%		13	%		33	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

n Expenses incurred during the period fell under the expense cap.

The accompanying notes are an integral part of the financial statements.

276

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	14.61	$	0.12	$	(1.58	)	$	(1.46	)	$	(0.10	)	$	(0.82	)	$	(0.92	)	$	12.23		(9.27%	)	$	50,106		0.56%			0.55%			0.99%
9/30/18		14.06		0.12		1.80			1.92			(0.13	)		(1.24	)		(1.37	)		14.61		14.80%			53,624		0.55%			0.55%	n		0.87%
9/30/17		12.50		0.12		2.32			2.44			(0.15	)		(0.73	)		(0.88	)		14.06		20.16%			52,240		0.57%			0.55%			0.93%
9/30/16		11.23		0.13		1.52			1.65			(0.10	)		(0.28	)		(0.38	)		12.50		15.11%			44,061		0.56%			0.55%			1.14%
9/30/15i		12.20		0.09		(1.05	)		(0.96	)		-			(0.01	)		(0.01	)		11.23		(7.90%	)b		30,993		0.64%	a		0.55%	a		1.00%	a
12/31/14		13.18		0.13		0.39			0.52			(0.13	)		(1.37	)		(1.50	)		12.20		4.52%			25,705		0.62%			0.55%			1.02%
Class A
9/30/19	$	14.51	$	0.09	$	(1.56	)	$	(1.47	)	$	(0.07	)	$	(0.82	)	$	(0.89	)	$	12.15		(9.45%	)	$	23,469		0.81%			0.80%			0.74%
9/30/18		13.97		0.09		1.79			1.88			(0.10	)		(1.24	)		(1.34	)		14.51		14.52%			29,287		0.80%			0.80%	n		0.63%
9/30/17		12.43		0.09		2.30			2.39			(0.12	)		(0.73	)		(0.85	)		13.97		19.85%			23,317		0.82%			0.80%			0.68%
9/30/16		11.16		0.10		1.52			1.62			(0.07	)		(0.28	)		(0.35	)		12.43		14.91%			19,806		0.81%			0.80%			0.89%
9/30/15i		12.16		0.07		(1.06	)		(0.99	)		-			(0.01	)		(0.01	)		11.16		(8.18%	)b		14,478		0.89%	a		0.80%	a		0.73%	a
12/31/14		13.15		0.10		0.38			0.48			(0.10	)		(1.37	)		(1.47	)		12.16		4.24%			15,338		0.88%			0.81%			0.76%
Class R4
9/30/19	$	14.46	$	0.10	$	(1.56	)	$	(1.46	)	$	(0.08	)	$	(0.82	)	$	(0.90	)	$	12.10		(9.38%	)	$	60,168		0.71%			0.70%			0.84%
9/30/18		13.94		0.10		1.78			1.88			(0.12	)		(1.24	)		(1.36	)		14.46		14.60%			74,670		0.70%			0.70%	n		0.73%
9/30/17		12.40		0.10		2.31			2.41			(0.14	)		(0.73	)		(0.87	)		13.94		20.08%			63,118		0.72%			0.70%			0.76%
9/30/16		11.17		0.11		1.51			1.62			(0.11	)		(0.28	)		(0.39	)		12.40		14.93%			29,129		0.71%			0.70%			1.00%
9/30/15i		12.16		0.09		(1.07	)		(0.98	)		-			(0.01	)		(0.01	)		11.17		(8.09%	)b		9,367		0.79%	a		0.70%	a		0.96%	a
12/31/14h		13.27		0.08		0.30			0.38			(0.12	)		(1.37	)		(1.49	)		12.16		3.42%	b		151		0.76%	a		0.70%	a		0.88%	a
Class R3
9/30/19	$	14.38	$	0.07	$	(1.56	)	$	(1.49	)	$	(0.04	)	$	(0.82	)	$	(0.86	)	$	12.03		(9.63%	)	$	55,627		0.96%			0.95%			0.59%
9/30/18		13.87		0.07		1.77			1.84			(0.09	)		(1.24	)		(1.33	)		14.38		14.38%			70,230		0.95%			0.95%	n		0.48%
9/30/17		12.36		0.07		2.29			2.36			(0.12	)		(0.73	)		(0.85	)		13.87		19.73%			57,433		0.97%			0.95%			0.51%
9/30/16		11.16		0.09		1.49			1.58			(0.10	)		(0.28	)		(0.38	)		12.36		14.60%			22,081		0.96%			0.95%			0.75%
9/30/15i		12.16		0.07		(1.06	)		(0.99	)		-			(0.01	)		(0.01	)		11.16		(8.18%	)b		5,873		1.04%	a		0.95%	a		0.71%	a
12/31/14h		13.27		0.06		0.29			0.35			(0.09	)		(1.37	)		(1.46	)		12.16		3.20%	b		138		1.01%	a		0.95%	a		0.61%	a

277

MassMutual Select Mid Cap Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class I
9/30/19	$	24.10	$	0.03		$	1.14	$	1.17	$	(0.01	)	$	(1.92	)	$	(1.93	)	$	23.34		6.66%		$	5,925,776		0.71%			N/A		0.15%
9/30/18		21.92		0.01			3.59		3.60		-			(1.42	)		(1.42	)		24.10		17.21%			5,436,930		0.71%			N/A		0.06%
9/30/17		19.16		(0.00	)d		3.64		3.64		(0.03	)		(0.85	)		(0.88	)		21.92		19.83%			3,055,936		0.72%			N/A		(0.00%	)e
9/30/16		18.74		0.01			1.91		1.92		-			(1.50	)		(1.50	)		19.16		10.74%			1,668,899		0.73%			N/A		0.07%
9/30/15i		18.65		(0.01	)		0.24		0.23		-			(0.14	)		(0.14	)		18.74		1.22%	b		816,703		0.75%	a		N/A		(0.08%	)a
12/31/14		18.42		(0.02	)		2.33		2.31		-			(2.08	)		(2.08	)		18.65		13.00%			441,065		0.77%			0.74%		(0.11%	)
Class R5
9/30/19	$	23.87	$	0.01		$	1.12	$	1.13	$	-		$	(1.92	)	$	(1.92	)	$	23.08		6.54%		$	1,533,487		0.81%			N/A		0.05%
9/30/18		21.75		(0.01	)		3.55		3.54		-			(1.42	)		(1.42	)		23.87		17.06%			1,517,553		0.81%			N/A		(0.04%	)
9/30/17		19.01		(0.02	)		3.62		3.60		(0.01	)		(0.85	)		(0.86	)		21.75		19.76%			1,167,243		0.82%			N/A		(0.11%	)
9/30/16		18.63		(0.00	)d		1.88		1.88		-			(1.50	)		(1.50	)		19.01		10.58%			826,289		0.83%			N/A		(0.03%	)
9/30/15i		18.56		(0.03	)		0.24		0.21		-			(0.14	)		(0.14	)		18.63		1.12%	b		641,170		0.85%	a		N/A		(0.18%	)a
12/31/14		18.36		(0.04	)		2.32		2.28		-			(2.08	)		(2.08	)		18.56		12.88%			668,005		0.87%			0.85%		(0.22%	)
Service Class
9/30/19	$	23.31	$	(0.01	)	$	1.09	$	1.08	$	-		$	(1.92	)	$	(1.92	)	$	22.47		6.48%		$	373,475		0.91%			N/A		(0.05%	)
9/30/18		21.30		(0.03	)		3.46		3.43		-			(1.42	)		(1.42	)		23.31		16.90%			405,725		0.91%			N/A		(0.14%	)
9/30/17		18.64		(0.04	)		3.55		3.51		-			(0.85	)		(0.85	)		21.30		19.65%			252,898		0.92%			N/A		(0.20%	)
9/30/16		18.30		(0.02	)		1.86		1.84		-			(1.50	)		(1.50	)		18.64		10.55%			234,465		0.93%			N/A		(0.13%	)
9/30/15i		18.25		(0.04	)		0.23		0.19		-			(0.14	)		(0.14	)		18.30		1.03%	b		238,436		0.95%	a		N/A		(0.28%	)a
12/31/14		18.10		(0.06	)		2.29		2.23		-			(2.08	)		(2.08	)		18.25		12.79%			243,292		0.97%			0.95%		(0.31%	)

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		37	%		34	%		36	%		36	%		31	%		33	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

278

			Income (loss) from investment operations							Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income		From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	22.32	$	(0.03	)	$	1.01	$	0.98	$	-	$	(1.92	)	$	(1.92	)	$	21.38		6.31%		$	290,024		1.01%			N/A		(0.15%	)
9/30/18		20.46		(0.05	)		3.33		3.28		-		(1.42	)		(1.42	)		22.32		16.85%			337,284		1.01%			N/A		(0.25%	)
9/30/17		17.96		(0.06	)		3.41		3.35		-		(0.85	)		(0.85	)		20.46		19.49%			339,090		1.02%			N/A		(0.30%	)
9/30/16		17.71		(0.04	)		1.79		1.75		-		(1.50	)		(1.50	)		17.96		10.38%			340,187		1.03%			N/A		(0.23%	)
9/30/15i		17.68		(0.05	)		0.22		0.17		-		(0.14	)		(0.14	)		17.71		0.95%	b		364,801		1.05%	a		N/A		(0.38%	)a
12/31/14		17.61		(0.08	)		2.23		2.15		-		(2.08	)		(2.08	)		17.68		12.70%			364,385		1.09%			1.06%		(0.43%	)
Class A
9/30/19	$	20.67	$	(0.07	)	$	0.90	$	0.83	$	-	$	(1.92	)	$	(1.92	)	$	19.58		6.06%		$	226,723		1.26%			N/A		(0.40%	)
9/30/18		19.10		(0.10	)		3.09		2.99		-		(1.42	)		(1.42	)		20.67		16.52%			272,769		1.26%			N/A		(0.50%	)
9/30/17		16.86		(0.10	)		3.19		3.09		-		(0.85	)		(0.85	)		19.10		19.21%			274,719		1.27%			N/A		(0.55%	)
9/30/16		16.75		(0.08	)		1.69		1.61		-		(1.50	)		(1.50	)		16.86		10.12%			297,498		1.28%			N/A		(0.48%	)
9/30/15i		16.76		(0.08	)		0.21		0.13		-		(0.14	)		(0.14	)		16.75		0.76%	b		306,259		1.30%	a		N/A		(0.63%	)a
12/31/14		16.84		(0.12	)		2.12		2.00		-		(2.08	)		(2.08	)		16.76		12.38%			322,121		1.34%			1.31%		(0.68%	)
Class R4
9/30/19	$	20.80	$	(0.06	)	$	0.92	$	0.86	$	-	$	(1.92	)	$	(1.92	)	$	19.74		6.18%		$	222,247		1.16%			N/A		(0.29%	)
9/30/18		19.19		(0.08	)		3.11		3.03		-		(1.42	)		(1.42	)		20.80		16.65%			229,517		1.16%			N/A		(0.39%	)
9/30/17		16.92		(0.08	)		3.20		3.12		-		(0.85	)		(0.85	)		19.19		19.33%			125,717		1.17%			N/A		(0.46%	)
9/30/16		16.79		(0.06	)		1.69		1.63		-		(1.50	)		(1.50	)		16.92		10.22%			54,177		1.18%			N/A		(0.39%	)
9/30/15i		16.78		(0.07	)		0.22		0.15		-		(0.14	)		(0.14	)		16.79		0.88%	b		11,441		1.20%	a		N/A		(0.53%	)a
12/31/14h		17.37		(0.07	)		1.56		1.49		-		(2.08	)		(2.08	)		16.78		9.07%	b		2,860		1.20%	a		N/A		(0.50%	)a
Class R3
9/30/19	$	19.14	$	(0.09	)	$	0.80	$	0.71	$	-	$	(1.92	)	$	(1.92	)	$	17.93		5.91%		$	32,770		1.41%			N/A		(0.54%	)
9/30/18		17.81		(0.12	)		2.87		2.75		-		(1.42	)		(1.42	)		19.14		16.36%			35,471		1.41%			N/A		(0.64%	)
9/30/17		15.80		(0.11	)		2.97		2.86		-		(0.85	)		(0.85	)		17.81		19.04%			27,527		1.42%			N/A		(0.70%	)
9/30/16		15.81		(0.10	)		1.59		1.49		-		(1.50	)		(1.50	)		15.80		9.95%			14,056		1.43%			N/A		(0.63%	)
9/30/15i		15.84		(0.10	)		0.21		0.11		-		(0.14	)		(0.14	)		15.81		0.68%	b		4,788		1.45%	a		N/A		(0.78%	)a
12/31/14		16.05		(0.14	)		2.01		1.87		-		(2.08	)		(2.08	)		15.84		12.18%			2,445		1.51%			1.49%		(0.86%	)

279

MassMutual Select Small Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class I
9/30/19	$	19.08	$	(0.01	)	$	(1.04	)	$	(1.05	)	$	(2.73	)	$	-		$	(2.73	)	$	15.30		(2.31%	)	$	269,356		0.86%			N/A		(0.05%	)
9/30/18		15.74		(0.03	)		4.24			4.21			(0.87	)		-			(0.87	)		19.08		27.96%			385,194		0.85%			N/A		(0.15%	)
9/30/17		13.05		(0.01	)		2.70			2.69			-			-			-			15.74		20.61%			306,490		0.86%			N/A		(0.05%	)
9/30/16		15.17		(0.00	)d		1.05			1.05			(3.17	)		(0.00	)d		(3.17	)		13.05		8.25%			276,267		0.87%			N/A		(0.03%	)
9/30/15i		16.37		(0.01	)		(0.95	)		(0.96	)		(0.24	)		-			(0.24	)		15.17		(5.92%	)b		237,215		0.85%	a		N/A		(0.08%	)a
12/31/14		19.02		(0.03	)		1.03			1.00			(3.65	)		-			(3.65	)		16.37		6.16%			523,725		0.85%			0.84%		(0.19%	)
Class R5
9/30/19	$	18.85	$	(0.02	)	$	(1.04	)	$	(1.06	)	$	(2.73	)	$	-		$	(2.73	)	$	15.06		(2.40%	)	$	128,280		0.96%			N/A		(0.14%	)
9/30/18		15.57		(0.04	)		4.19			4.15			(0.87	)		-			(0.87	)		18.85		27.87%			142,284		0.95%			N/A		(0.25%	)
9/30/17		12.93		(0.02	)		2.66			2.64			-			-			-			15.57		20.42%			119,338		0.96%			N/A		(0.15%	)
9/30/16		15.07		(0.02	)		1.05			1.03			(3.17	)		(0.00	)d		(3.17	)		12.93		8.16%			119,577		0.97%			N/A		(0.15%	)
9/30/15i		16.28		(0.02	)		(0.95	)		(0.97	)		(0.24	)		-			(0.24	)		15.07		(6.07%	)b		168,987		0.95%	a		N/A		(0.18%	)a
12/31/14		18.94		(0.06	)		1.05			0.99			(3.65	)		-			(3.65	)		16.28		6.14%			212,669		0.97%			0.94%		(0.30%	)
Service Class
9/30/19	$	17.89	$	(0.03	)	$	(1.01	)	$	(1.04	)	$	(2.73	)	$	-		$	(2.73	)	$	14.12		(2.43%	)	$	34,404		1.06%			N/A		(0.23%	)
9/30/18		14.84		(0.06	)		3.98			3.92			(0.87	)		-			(0.87	)		17.89		27.69%			33,978		1.05%			N/A		(0.34%	)
9/30/17		12.33		(0.03	)		2.54			2.51			-			-			-			14.84		20.36%			34,017		1.06%			N/A		(0.25%	)
9/30/16		14.53		(0.03	)		1.00			0.97			(3.17	)		(0.00	)d		(3.17	)		12.33		8.02%			36,718		1.07%			N/A		(0.23%	)
9/30/15i		15.71		(0.03	)		(0.91	)		(0.94	)		(0.24	)		-			(0.24	)		14.53		(6.10%	)b		36,194		1.05%	a		N/A		(0.28%	)a
12/31/14		18.43		(0.07	)		1.00			0.93			(3.65	)		-			(3.65	)		15.71		5.98%			39,757		1.08%			1.05%		(0.41%	)

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		71	%		85	%		86	%		85	%		82	%		76	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

280

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	16.87	$	(0.04	)	$	(1.00	)	$	(1.04	)	$	(2.73	)	$	-		$	(2.73	)	$	13.10		(2.60%	)	$	28,372		1.16%			N/A		(0.34%	)
9/30/18		14.05		(0.07	)		3.76			3.69			(0.87	)		-			(0.87	)		16.87		27.60%			35,642		1.15%			N/A		(0.45%	)
9/30/17		11.69		(0.04	)		2.40			2.36			-			-			-			14.05		20.19%			30,295		1.16%			N/A		(0.35%	)
9/30/16		13.95		(0.04	)		0.95			0.91			(3.17	)		(0.00	)d		(3.17	)		11.69		7.92%			29,335		1.17%			N/A		(0.34%	)
9/30/15i		15.10		(0.04	)		(0.87	)		(0.91	)		(0.24	)		-			(0.24	)		13.95		(6.15%	)b		33,350		1.15%	a		N/A		(0.38%	)a
12/31/14		17.87		(0.09	)		0.97			0.88			(3.65	)		-			(3.65	)		15.10		5.88%			30,069		1.18%			1.16%		(0.52%	)
Class A
9/30/19	$	15.14	$	(0.07	)	$	(0.96	)	$	(1.03	)	$	(2.73	)	$	-		$	(2.73	)	$	11.38		(2.87%	)	$	33,997		1.41%			N/A		(0.59%	)
9/30/18		12.72		(0.09	)		3.38			3.29			(0.87	)		-			(0.87	)		15.14		27.33%			43,682		1.40%			N/A		(0.70%	)
9/30/17		10.61		(0.07	)		2.18			2.11			-			-			-			12.72		19.89%			35,240		1.41%			N/A		(0.60%	)
9/30/16		12.97		(0.06	)		0.87			0.81			(3.17	)		(0.00	)d		(3.17	)		10.61		7.70%			40,045		1.42%			N/A		(0.59%	)
9/30/15i		14.09		(0.07	)		(0.81	)		(0.88	)		(0.24	)		-			(0.24	)		12.97		(6.31%	)b		46,014		1.40%	a		N/A		(0.63%	)a
12/31/14		16.96		(0.13	)		0.91			0.78			(3.65	)		-			(3.65	)		14.09		5.60%			56,296		1.43%			1.41%		(0.77%	)
Class R4
9/30/19	$	15.23	$	(0.06	)	$	(0.96	)	$	(1.02	)	$	(2.73	)	$	-		$	(2.73	)	$	11.48		(2.76%	)	$	12,843		1.31%			N/A		(0.49%	)
9/30/18		12.78		(0.08	)		3.40			3.32			(0.87	)		-			(0.87	)		15.23		27.44%			13,972		1.30%			N/A		(0.60%	)
9/30/17		10.65		(0.06	)		2.19			2.13			-			-			-			12.78		20.00%			5,081		1.31%			N/A		(0.50%	)
9/30/16		13.00		(0.05	)		0.87			0.82			(3.17	)		(0.00	)d		(3.17	)		10.65		7.78%			1,781		1.32%			N/A		(0.45%	)
9/30/15i		14.10		(0.06	)		(0.80	)		(0.86	)		(0.24	)		-			(0.24	)		13.00		(6.23%	)b		438		1.30%	a		N/A		(0.54%	)a
12/31/14h		17.12		(0.08	)		0.71			0.63			(3.65	)		-			(3.65	)		14.10		4.67%	b		105		1.29%	a		N/A		(0.62%	)a
Class R3
9/30/19	$	13.51	$	(0.07	)	$	(0.92	)	$	(0.99	)	$	(2.73	)	$	-		$	(2.73	)	$	9.79		(2.94%	)	$	2,728		1.56%			N/A		(0.73%	)
9/30/18		11.46		(0.10	)		3.02			2.92			(0.87	)		-			(0.87	)		13.51		27.10%			2,622		1.55%			N/A		(0.85%	)
9/30/17		9.57		(0.08	)		1.97			1.89			-			-			-			11.46		19.75%			2,199		1.56%			N/A		(0.75%	)
9/30/16		12.02		(0.06	)		0.78			0.72			(3.17	)		(0.00	)d		(3.17	)		9.57		7.52%			1,254		1.57%			N/A		(0.69%	)
9/30/15i		13.09		(0.08	)		(0.75	)		(0.83	)		(0.24	)		-			(0.24	)		12.02		(6.41%	)b		315		1.55%	a		N/A		(0.80%	)a
12/31/14		16.04		(0.16	)		0.86			0.70			(3.65	)		-			(3.65	)		13.09		5.35%			104		1.66%			1.63%		(1.02%	)

281

MM MSCI EAFE International Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)‘s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	13.12	$	0.39	$	(0.61	)	$	(0.22	)	$	(0.34	)	$	(0.22	)	$	(0.56	)	$	12.34		(1.15%	)	$	56,770		0.23%			0.23%	n		3.20%
9/30/18		13.40		0.38		(0.05	)		0.33			(0.43	)		(0.18	)		(0.61	)		13.12		2.49%			46,834		0.32%			0.25%			2.82%
9/30/17		12.10		0.32		1.80			2.12			(0.61	)		(0.21	)		(0.82	)		13.40		18.96%			39,255		0.31%			0.25%			2.72%
9/30/16		11.68		0.34		0.38			0.72			(0.27	)		(0.03	)		(0.30	)		12.10		6.26%			93,913		0.24%			0.24%	n		2.89%
9/30/15i		12.20		0.31		(0.83	)		(0.52	)		-			-			-			11.68		(4.26%	)b		278,051		0.29%	a		0.25%	a		3.22%	a
12/31/14		13.51		0.46		(1.23	)		(0.77	)		(0.40	)		(0.14	)		(0.54	)		12.20		(5.64%	)		213,384		0.26%			0.25%			3.38%
Class R5
9/30/19	$	13.11	$	0.36	$	(0.60	)	$	(0.24	)	$	(0.32	)	$	(0.22	)	$	(0.54	)	$	12.33		(1.26%	)	$	22,402		0.33%			0.33%	n		3.00%
9/30/18		13.39		0.36		(0.04	)		0.32			(0.42	)		(0.18	)		(0.60	)		13.11		2.38%			12,947		0.42%			0.35%			2.69%
9/30/17		12.09		0.26		1.85			2.11			(0.60	)		(0.21	)		(0.81	)		13.39		18.87%			13,724		0.41%			0.35%			2.13%
9/30/16		11.68		0.34		0.36			0.70			(0.26	)		(0.03	)		(0.29	)		12.09		6.11%			32,195		0.34%			0.34%	n		2.96%
9/30/15i		12.21		0.32		(0.85	)		(0.53	)		-			-			-			11.68		(4.34%	)b		16,010		0.39%	a		0.35%	a		3.36%	a
12/31/14		13.50		0.59		(1.37	)		(0.78	)		(0.37	)		(0.14	)		(0.51	)		12.21		(5.68%	)		4,052		0.36%			0.34%			4.35%
Service Class
9/30/19	$	13.05	$	0.32	$	(0.56	)	$	(0.24	)	$	(0.31	)	$	(0.22	)	$	(0.53	)	$	12.28		(1.31%	)	$	3,340		0.48%			0.48%	n		2.66%
9/30/18		13.33		0.31		(0.01	)		0.30			(0.40	)		(0.18	)		(0.58	)		13.05		2.26%			27,218		0.57%			0.50%			2.31%
9/30/17		12.05		0.32		1.75			2.07			(0.58	)		(0.21	)		(0.79	)		13.33		18.58%			25,208		0.56%			0.50%			2.62%
9/30/16		11.64		0.32		0.36			0.68			(0.24	)		(0.03	)		(0.27	)		12.05		5.94%			16,897		0.49%			0.49%	n		2.79%
9/30/15i		12.17		0.29		(0.82	)		(0.53	)		-			-			-			11.64		(4.35%	)b		14,896		0.54%	a		0.50%	a		3.00%	a
12/31/14		13.49		0.35		(1.15	)		(0.80	)		(0.38	)		(0.14	)		(0.52	)		12.17		(5.88%	)		5,988		0.50%			0.50%	k		2.61%

	Year ended September 30												Period ended September 30, 2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		7	%		15	%		35	%		26	%		6	%		28	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

k Amount waived had no impact on the ratio of expenses to average daily net assets.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

n Expenses incurred during the period fell under the expense cap.

The accompanying notes are an integral part of the financial statements.

282

			Income (loss) from investment operations								Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)‘s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	13.03	$	0.33	$	(0.59	)	$	(0.26	)	$	(0.29	)	$	(0.22	)	$	(0.51	)	$	12.26		(1.49%	)	$	40,745		0.58%			0.58%	n		2.78%
9/30/18		13.31		0.31		(0.03	)		0.28			(0.38	)		(0.18	)		(0.56	)		13.03		2.15%			38,753		0.67%			0.60%			2.31%
9/30/17		12.03		0.29		1.77			2.06			(0.57	)		(0.21	)		(0.78	)		13.31		18.48%			43,896		0.66%			0.60%			2.39%
9/30/16		11.62		0.32		0.35			0.67			(0.23	)		(0.03	)		(0.26	)		12.03		5.87%			39,646		0.59%			0.59%	n		2.72%
9/30/15i		12.17		0.28		(0.83	)		(0.55	)		-			-			-			11.62		(4.52%	)b		33,128		0.64%	a		0.60%	a		2.93%	a
12/31/14		13.49		0.32		(1.13	)		(0.81	)		(0.37	)		(0.14	)		(0.51	)		12.17		(5.90%	)		22,634		0.60%			0.60%	k		2.43%
Class A
9/30/19	$	12.98	$	0.31	$	(0.59	)	$	(0.28	)	$	(0.26	)	$	(0.22	)	$	(0.48	)	$	12.22		(1.66%	)	$	23,948		0.83%			0.83%	n		2.59%
9/30/18		13.27		0.28		(0.03	)		0.25			(0.36	)		(0.18	)		(0.54	)		12.98		1.87%			22,344		0.92%			0.85%			2.15%
9/30/17		12.00		0.26		1.76			2.02			(0.54	)		(0.21	)		(0.75	)		13.27		18.16%			18,255		0.91%			0.85%			2.17%
9/30/16		11.59		0.27		0.38			0.65			(0.21	)		(0.03	)		(0.24	)		12.00		5.63%			13,495		0.84%			0.84%	n		2.35%
9/30/15i		12.16		0.25		(0.82	)		(0.57	)		-			-			-			11.59		(4.69%	)b		12,681		0.89%	a		0.85%	a		2.65%	a
12/31/14		13.47		0.34		(1.18	)		(0.84	)		(0.33	)		(0.14	)		(0.47	)		12.16		(6.20%	)		7,253		0.86%			0.86%	k		2.56%
Class R4
9/30/19	$	12.92	$	0.31	$	(0.58	)	$	(0.27	)	$	(0.27	)	$	(0.22	)	$	(0.49	)	$	12.16		(1.56%	)	$	41,622		0.73%			0.73%	n		2.65%
9/30/18		13.21		0.30		(0.04	)		0.26			(0.37	)		(0.18	)		(0.55	)		12.92		1.95%			48,486		0.82%			0.75%			2.25%
9/30/17		11.96		0.29		1.74			2.03			(0.57	)		(0.21	)		(0.78	)		13.21		18.31%			45,031		0.81%			0.75%			2.39%
9/30/16		11.59		0.32		0.33			0.65			(0.25	)		(0.03	)		(0.28	)		11.96		5.66%			25,933		0.74%			0.74%	n		2.74%
9/30/15i		12.15		0.19		(0.75	)		(0.56	)		-			-			-			11.59		(4.69%	)b		6,697		0.79%	a		0.75%	a		2.03%	a
12/31/14h		13.53		0.22		(1.11	)		(0.89	)		(0.35	)		(0.14	)		(0.49	)		12.15		(6.48%	)b		141		0.75%	a		0.75%	a,k		2.22%	a
Class R3
9/30/19	$	12.87	$	0.28	$	(0.58	)	$	(0.30	)	$	(0.24	)	$	(0.22	)	$	(0.46	)	$	12.11		(1.86%	)	$	40,853		0.98%			0.98%	n		2.39%
9/30/18		13.17		0.26		(0.04	)		0.22			(0.34	)		(0.18	)		(0.52	)		12.87		1.69%			45,563		1.07%			1.00%			2.01%
9/30/17		11.93		0.25		1.75			2.00			(0.55	)		(0.21	)		(0.76	)		13.17		18.05%			40,921		1.06%			1.00%			2.06%
9/30/16		11.58		0.28		0.34			0.62			(0.24	)		(0.03	)		(0.27	)		11.93		5.44%			24,798		0.99%			0.99%	n		2.46%
9/30/15i		12.16		0.22		(0.80	)		(0.58	)		-			-			-			11.58		(4.69%	)b		5,031		1.04%	a		1.00%	a		2.32%	a
12/31/14h		13.53		0.21		(1.12	)		(0.91	)		(0.32	)		(0.14	)		(0.46	)		12.16		(6.73%	)b		97		1.00%	a		1.00%	a,k		2.09%	a

283

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class I
9/30/19	$	9.42	$	0.20	$	(0.34	)	$	(0.14	)	$	(0.15	)	$	(0.78	)	$	(0.93	)	$	8.35		0.01%		$	348,467		0.87%			N/A		2.42%
9/30/18		9.61		0.16		(0.16	)		0.00	d		(0.19	)		-			(0.19	)		9.42		(0.02%	)		362,074		0.92%			N/A		1.68%
9/30/17		7.88		0.15		1.76			1.91			(0.18	)		-			(0.18	)		9.61		24.71%			318,534		0.93%			N/A		1.70%
9/30/16		7.68		0.14		0.19			0.33			(0.13	)		-			(0.13	)		7.88		4.28%			328,518		0.92%			N/A		1.88%
9/30/15i		8.29		0.13		(0.53	)		(0.40	)		(0.21	)		-			(0.21	)		7.68		(5.00%	)b		290,692		0.93%	a		N/A		1.95%	a
12/31/14		9.05		0.20		(0.75	)		(0.55	)		(0.21	)		-			(0.21	)		8.29		(6.25%	)		305,063		0.97%			0.90%		2.22%
Class R5
9/30/19	$	9.45	$	0.19	$	(0.34	)	$	(0.15	)	$	(0.14	)	$	(0.78	)	$	(0.92	)	$	8.38		(0.14%	)	$	122,168		0.97%			N/A		2.34%
9/30/18		9.64		0.15		(0.16	)		(0.01	)		(0.18	)		-			(0.18	)		9.45		(0.11%	)		134,803		1.02%			N/A		1.54%
9/30/17		7.90		0.13		1.78			1.91			(0.17	)		-			(0.17	)		9.64		24.64%			154,039		1.03%			N/A		1.52%
9/30/16		7.70		0.13		0.19			0.32			(0.12	)		-			(0.12	)		7.90		4.15%			138,668		1.02%			N/A		1.71%
9/30/15i		8.31		0.12		(0.54	)		(0.42	)		(0.19	)		-			(0.19	)		7.70		(5.13%	)b		161,529		1.03%	a		N/A		1.85%	a
12/31/14		9.06		0.19		(0.76	)		(0.57	)		(0.18	)		-			(0.18	)		8.31		(6.40%	)		164,096		1.13%			1.05%		2.18%
Service Class
9/30/19	$	9.39	$	0.18	$	(0.33	)	$	(0.15	)	$	(0.13	)	$	(0.78	)	$	(0.91	)	$	8.33		(0.15%	)	$	36,489		1.07%			N/A		2.27%
9/30/18		9.58		0.14		(0.16	)		(0.02	)		(0.17	)		-			(0.17	)		9.39		(0.22%	)		39,149		1.12%			N/A		1.45%
9/30/17		7.86		0.11		1.77			1.88			(0.16	)		-			(0.16	)		9.58		24.39%			45,240		1.13%			N/A		1.26%
9/30/16		7.66		0.12		0.19			0.31			(0.11	)		-			(0.11	)		7.86		4.07%			69,873		1.12%			N/A		1.63%
9/30/15i		8.26		0.11		(0.52	)		(0.41	)		(0.19	)		-			(0.19	)		7.66		(5.10%	)b		77,184		1.13%	a		N/A		1.74%	a
12/31/14		9.01		0.17		(0.75	)		(0.58	)		(0.17	)		-			(0.17	)		8.26		(6.52%	)		76,131		1.21%			1.13%		1.95%

	Year ended September 30												Period ended September 30, 2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		27	%		46	%		29	%		38	%		39	%		42	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

284

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	9.46	$	0.17	$	(0.33	)	$	(0.16	)	$	(0.12	)	$	(0.78	)	$	(0.90	)	$	8.40		(0.32%	)	$	21,563		1.17%			N/A		2.03%
9/30/18		9.65		0.13		(0.16	)		(0.03	)		(0.16	)		-			(0.16	)		9.46		(0.33%	)		31,199		1.22%			N/A		1.31%
9/30/17		7.92		0.12		1.76			1.88			(0.15	)		-			(0.15	)		9.65		24.22%			40,543		1.23%			N/A		1.40%
9/30/16		7.72		0.12		0.18			0.30			(0.10	)		-			(0.10	)		7.92		3.93%			37,189		1.22%			N/A		1.54%
9/30/15i		8.32		0.11		(0.52	)		(0.41	)		(0.19	)		-			(0.19	)		7.72		(5.08%	)b		35,607		1.23%	a		N/A		1.70%	a
12/31/14		9.09		0.17		(0.76	)		(0.59	)		(0.18	)		-			(0.18	)		8.32		(6.59%	)		29,655		1.29%			1.22%		1.90%
Class A
9/30/19	$	9.25	$	0.15	$	(0.32	)	$	(0.17	)	$	(0.09	)	$	(0.78	)	$	(0.87	)	$	8.21		(0.48%	)	$	29,537		1.42%			N/A		1.86%
9/30/18		9.44		0.11		(0.16	)		(0.05	)		(0.14	)		-			(0.14	)		9.25		(0.60%	)		41,179		1.47%			N/A		1.11%
9/30/17		7.75		0.09		1.73			1.82			(0.13	)		-			(0.13	)		9.44		23.89%			49,218		1.48%			N/A		1.09%
9/30/16		7.55		0.10		0.18			0.28			(0.08	)		-			(0.08	)		7.75		3.73%			58,816		1.47%			N/A		1.31%
9/30/15i		8.14		0.09		(0.52	)		(0.43	)		(0.16	)		-			(0.16	)		7.55		(5.39%	)b		58,523		1.48%	a		N/A		1.40%	a
12/31/14		8.89		0.15		(0.75	)		(0.60	)		(0.15	)		-			(0.15	)		8.14		(6.80%	)		60,890		1.55%			1.47%		1.72%
Class R4
9/30/19	$	9.10	$	0.17	$	(0.34	)	$	(0.17	)	$	(0.12	)	$	(0.78	)	$	(0.90	)	$	8.03		(0.51%	)	$	14,876		1.32%			N/A		2.14%
9/30/18		9.30		0.12		(0.16	)		(0.04	)		(0.16	)		-			(0.16	)		9.10		(0.48%	)		12,903		1.37%			N/A		1.23%
9/30/17		7.64		0.10		1.70			1.80			(0.14	)		-			(0.14	)		9.30		24.05%			7,779		1.38%			N/A		1.26%
9/30/16		7.47		0.12		0.16			0.28			(0.11	)		-			(0.11	)		7.64		3.79%			6,660		1.37%			N/A		1.57%
9/30/15i		8.09		0.08		(0.49	)		(0.41	)		(0.21	)		-			(0.21	)		7.47		(5.24%	)b		3,422		1.38%	a		N/A		1.28%	a
12/31/14h		8.80		0.11		(0.61	)		(0.50	)		(0.21	)		-			(0.21	)		8.09		(5.81%	)b		94		1.37%	a		N/A		1.63%	a
Class R3
9/30/19	$	9.17	$	0.15	$	(0.34	)	$	(0.19	)	$	(0.09	)	$	(0.78	)	$	(0.87	)	$	8.11		(0.72%	)	$	3,382		1.57%			N/A		1.86%
9/30/18		9.37		0.10		(0.17	)		(0.07	)		(0.13	)		-			(0.13	)		9.17		(0.75%	)		3,947		1.62%			N/A		1.08%
9/30/17		7.70		0.08		1.72			1.80			(0.13	)		-			(0.13	)		9.37		23.73%			3,267		1.63%			N/A		1.00%
9/30/16		7.52		0.09		0.18			0.27			(0.09	)		-			(0.09	)		7.70		3.63%			1,918		1.62%			N/A		1.25%
9/30/15i		8.15		0.10		(0.55	)		(0.45	)		(0.18	)		-			(0.18	)		7.52		(5.60%	)b		1,257		1.63%	a		N/A		1.51%	a
12/31/14		8.76		0.17		(0.78	)		(0.61	)		-			-			-			8.15		(6.96%	)		182		1.82%			1.69%		2.02%

285

MassMutual Select T. Rowe Price International Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains		Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	9.70	$	0.26	$	(0.39	)	$	(0.13	)	$	(0.14	)	$	-	$	(0.14	)	$	9.43		(1.17%	)	$	1,135,941		0.79%			0.67%			2.80%
9/30/18g		10.00		0.19		(0.49	)		(0.30	)		-			-		-			9.70		(3.00%	)b		809,616		0.89%	a		0.67%	a		3.03%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		26	%		24	%q

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

q Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

The accompanying notes are an integral part of the financial statements.

286

Notes to Financial Statements

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 19 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual Select Total Return Bond Fund (“Total Return Bond Fund”)

MassMutual Select Strategic Bond Fund (“Strategic Bond Fund”)

MassMutual Select Diversified Value Fund (“Diversified Value Fund”)

MassMutual Select Fundamental Value Fund (“Fundamental Value Fund”)

MM S&P 500^® Index Fund (“S&P 500 Index Fund”)

MassMutual Select Equity Opportunities Fund (“Equity Opportunities Fund”)

MassMutual Select Fundamental Growth Fund (“Fundamental Growth Fund”)

MassMutual Select Blue Chip Growth Fund (“Blue Chip Growth Fund”)

MassMutual Select Growth Opportunities Fund (“Growth Opportunities Fund”)

MassMutual Select Mid-Cap Value Fund (“Mid-Cap Value Fund”)

MassMutual Select Small Cap Value Equity Fund (“Small Cap Value Equity Fund”)

MassMutual Select Small Company Value Fund (“Small Company Value Fund”)

MM S&P^® Mid Cap Index Fund (“S&P Mid Cap Index Fund”)

MM Russell 2000^® Small Cap Index Fund (“Russell 2000 Small Cap Index Fund”)

MassMutual Select Mid Cap Growth Fund (“Mid Cap Growth Fund”)

MassMutual Select Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)

MM MSCI EAFE^® International Index Fund (“MSCI EAFE International Index Fund”)

MassMutual Select Overseas Fund (“Overseas Fund”)

MassMutual Select T. Rowe Price International Equity Fund (“MM Select T. Rowe Price International Equity Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

New Disclosure Requirements

Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the Securities and Exchange Commission (“SEC”), the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.

287

Notes to Financial Statements (Continued)

The following is a summary of the previously disclosed amounts, as reported at September 30, 2018:

	Total Return Bond Fund			Strategic Bond Fund			Diversified Value Fund			Fundamental Value Fund			S&P 500 Index Fund			Equity Opportunities Fund			Fundamental Growth Fund
Distributions to shareholders
From net investment income:
Class I	$	(10,129,905	)	$	(4,008,676	)	$	(3,740,981	)	$	(10,584,244	)	$	(9,519,915	)	$	(5,222,510	)	$	(648,468	)
Class R5		(1,828,232	)		(1,629,063	)		(1,186,392	)		(5,920,618	)		(15,025,637	)		(4,149,326	)		(198,633	)
Service Class		(4,108,576	)		(1,416,176	)		(265,749	)		(898,933	)		(9,540,710	)		(1,226,292	)		(59,988	)
Administrative Class		(1,497,295	)		(1,463,320	)		(105,918	)		(1,318,304	)		(10,684,609	)		(1,573,641	)		(67,496	)
Class A		(107,308	)		(981,391	)		(295,492	)		(1,142,928	)		(523,449	)		(1,600,242	)		(59,160	)
Class R4		(4,386,331	)		(1,306,810	)		(31,688	)		(231,123	)		(11,210,226	)		(167,751	)		(14,802	)
Class R3		(659,012	)		(297,064	)		(38,914	)		(29,866	)		(3,589,039	)		(39,794	)		(8,673	)
Total distributions from net investment income		(22,716,659	)		(11,102,500	)		(5,665,134	)		(20,126,016	)		(60,093,585	)		(13,979,556	)		(1,057,220	)
From net realized gains:
Class I		-			-			(42,177,765	)		(84,546,636	)		(78,760,898	)		(67,494,670	)		(4,966,411	)
Class R5		-			-			(13,939,265	)		(50,312,508	)		(130,345,200	)		(56,306,266	)		(1,711,532	)
Service Class		-			-			(3,280,384	)		(8,281,277	)		(89,585,182	)		(17,606,592	)		(583,859	)
Administrative Class		-			-			(1,416,131	)		(12,813,571	)		(104,598,008	)		(23,608,751	)		(763,451	)
Class A		-			-			(4,398,503	)		(14,462,182	)		(5,690,948	)		(28,915,457	)		(1,127,720	)
Class R4		-			-			(405,559	)		(2,395,682	)		(120,745,244	)		(2,646,060	)		(192,877	)
Class R3		-			-			(593,679	)		(388,984	)		(40,854,205	)		(840,869	)		(179,443	)
Total distributions from net realized gains		-			-			(66,211,286	)		(173,200,840	)		(570,579,685	)		(197,418,665	)		(9,525,293	)
Accumulated undistributed (distributions in excess of) net investment income at end of year	$	16,964,101		$	12,241,682		$	5,489,992		$	15,301,770		$	37,909,528		$	6,505,964		$	244,985
	Blue Chip Growth Fund			Growth Opportunities Fund			Mid-Cap Value Fund			Small Cap Value Equity Fund			Small Company Value Fund			S&P Mid Cap Index Fund			Russell 2000 Small Cap Index Fund
Distributions to shareholders
From net investment income:
Class I	$	(6,513,541	)	$	-		$	(1,070,292	)	$	(562,600	)	$	(760,738	)	$	(614,247	)	$	(674,658	)
Class R5		(2,074,950	)		-			(93,558	)		(183,081	)		(468,064	)		(275,081	)		(195,033	)
Service Class		(507,815	)		-			(24,534	)		(28,080	)		(50,922	)		(244,777	)		(193,776	)
Administrative Class		(713,806	)		-			(8,550	)		(1,310	)		(56,712	)		(527,517	)		(482,561	)
Class A		(31,371	)		-			(17,922	)		(2,593	)		(32,516	)		(201,352	)		(165,930	)
Class R4		(176,175	)		-			(1,271	)		(7,406	)		(1,693	)		(1,017,937	)		(545,507	)
Class R3		(16,966	)		-			(2,931	)		-			(331	)		(874,480	)		(399,479	)
Total distributions from net investment income		(10,034,624	)		-			(1,219,058	)		(785,070	)		(1,370,976	)		(3,755,391	)		(2,656,944	)
From net realized gains:
Class I		(46,541,193	)		(45,787,023	)		(10,585,212	)		(12,017,872	)		(18,973,212	)		(2,842,841	)		(4,675,930	)
Class R5		(17,828,524	)		(20,915,820	)		(999,896	)		(4,839,792	)		(13,973,388	)		(1,397,364	)		(1,459,556	)
Service Class		(5,476,144	)		(9,706,877	)		(282,497	)		(970,089	)		(1,936,267	)		(1,435,691	)		(1,661,617	)
Administrative Class		(10,551,161	)		(9,696,696	)		(108,764	)		(593,654	)		(2,563,584	)		(3,431,752	)		(4,547,577	)
Class A		(6,397,491	)		(9,844,285	)		(287,062	)		(1,281,258	)		(4,170,371	)		(1,995,085	)		(2,127,290	)
Class R4		(3,322,546	)		(1,990,343	)		(18,406	)		(370,882	)		(97,283	)		(7,184,206	)		(5,645,692	)
Class R3		(1,935,267	)		(140,948	)		(47,083	)		(141,745	)		(37,315	)		(8,008,247	)		(5,246,041	)
Total distributions from net realized gains		(92,052,326	)		(98,081,992	)		(12,328,920	)		(20,215,292	)		(41,751,420	)		(26,295,186	)		(25,363,703	)
Accumulated undistributed (distributions in excess of) net investment income at end of year	$	(270,290	)	$	(189,804	)	$	775,069		$	239,262		$	380,185		$	3,250,849		$	1,438,932

288

Notes to Financial Statements (Continued)

	Mid Cap Growth Fund			Small Cap Growth Equity Fund			MSCI EAFE International Index Fund			Overseas Fund			MM Select T. Rowe Price International Equity Fund
Distributions to shareholders
From net investment income:
Class I	$	-		$	-		$	(1,285,257	)	$	(5,991,661	)	$	-
Class R5		-			-			(415,998	)		(2,868,140	)		-
Service Class		-			-			(777,927	)		(811,229	)		-
Administrative Class		-			-			(1,269,039	)		(648,222	)		-
Class A		-			-			(509,699	)		(717,837	)		-
Class R4		-			-			(1,221,950	)		(181,675	)		-
Class R3		-			-			(1,066,650	)		(43,251	)		-
Total distributions from net investment income		-			-			(6,546,520	)		(11,262,015	)		-
From net realized gains:
Class I		(210,263,356	)		(16,698,170	)		(540,623	)		-			-
Class R5		(75,022,880	)		(6,280,358	)		(180,931	)		-			-
Service Class		(17,313,004	)		(1,941,712	)		(352,105	)		-			-
Administrative Class		(22,936,108	)		(1,858,860	)		(597,268	)		-			-
Class A		(18,966,860	)		(2,268,715	)		(257,531	)		-			-
Class R4		(9,838,503	)		(817,599	)		(602,369	)		-			-
Class R3		(2,328,583	)		(178,364	)		(564,166	)		-			-
Total distributions from net realized gains		(356,669,294	)		(30,043,778	)		(3,094,993	)		-			-
Accumulated undistributed (distributions in excess of) net investment income at end of year	$	(4,008,823	)	$	(149,416	)	$	4,311,036		$	7,504,454		$	12,634,553

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields,

289

Notes to Financial Statements (Continued)

bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee¹ in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:

Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.

Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.

Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

¹  The voting members of the Valuation Committee consist of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO, Secretary, and Assistant Secretaries) of the Trust, as well as such other members as the Trustees may from time to time designate. The non-voting members of the Valuation Committee consist of the CCO, Secretary, and Assistant Secretaries. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

290

Notes to Financial Statements (Continued)

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Levels.

In certain cases, the inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest Level input that is significant to the overall fair value measurement.

The Fundamental Value Fund and Growth Opportunities Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 2019. For each Fund noted in the preceding sentence, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

291

Notes to Financial Statements (Continued)

The following is the aggregate value by input level, as of September 30, 2019, for the remaining Funds’ investments:

	Level 1			Level 2			Level 3		Total
Total Return Bond Fund
Asset Investments
Bank Loans	$	-		$	7,663,020		$	-	$	7,663,020
Corporate Debt		-			231,773,800			-		231,773,800
Municipal Obligations		-			13,145,657			-		13,145,657
Non-U.S. Government Agency Obligations		-			126,625,099			-		126,625,099
Sovereign Debt Obligations		-			1,292,160			-		1,292,160
U.S. Government Agency Obligations and Instrumentalities		-			309,294,410			-		309,294,410
U.S. Treasury Obligations		-			205,018,920			-		205,018,920
Mutual Funds		18,344,695			-			-		18,344,695
Short-Term Investments		-			29,531,910			-		29,531,910
Total Investments	$	18,344,695		$	924,344,976		$	-	$	942,689,671
Asset Derivatives
Futures Contracts	$	142,565		$	-		$	-	$	142,565
Swap Agreements		-			1,118,589			-		1,118,589
Total	$	142,565		$	1,118,589		$	-	$	1,261,154
Liability Derivatives
Futures Contracts	$	(389,969	)	$	-		$	-	$	(389,969	)
Swap Agreements		-			(1,248,605	)		-		(1,248,605	)
Total	$	(389,969	)	$	(1,248,605	)	$	-	$	(1,638,574	)
Strategic Bond Fund
Asset Investments
Bank Loans (Less Unfunded Loan Commitments)	$	-		$	23,449,954		$	-	$	23,449,954
Corporate Debt		-			203,734,097			-		203,734,097
Municipal Obligations		-			189,256			-		189,256
Non-U.S. Government Agency Obligations		-			76,104,132			-		76,104,132
Sovereign Debt Obligations		-			47,231,102			-		47,231,102
U.S. Government Agency Obligations and Instrumentalities		-			260,585,467			-		260,585,467
U.S. Treasury Obligations		-			89,717,881			-		89,717,881
Purchased Options		1,223,648			929,800			-		2,153,448
Mutual Funds		2,013,985			-			-		2,013,985
Short-Term Investments		-			57,399,356			-		57,399,356
Unfunded Loan Commitments***		-			10			-		10
Total Investments	$	3,237,633		$	759,341,055		$	-	$	762,578,688
Asset Derivatives
Forward Contracts	$	-		$	1,852,570		$	-	$	1,852,570
Futures Contracts		3,069,965			-			-		3,069,965
Swap Agreements		-			4,854,059			-		4,854,059
Total	$	3,069,965		$	6,706,629		$	-	$	9,776,594
Liability Derivatives
Forward Contracts	$	-		$	(2,411,486	)	$	-	$	(2,411,486	)
Futures Contracts		(1,954,101	)		-			-		(1,954,101	)
Swap Agreements		-			(11,218,489	)		-		(11,218,489	)
Written Options		(794,734	)		(39,009	)		-		(833,743	)
Total	$	(2,748,835	)	$	(13,668,984	)	$	-	$	(16,417,819	)

292

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3			Total
Diversified Value Fund
Asset Investments
Common Stock	$	342,302,833		$	6,321,635	*	$	-		$	348,624,468
Preferred Stock		5,371,476			-			-			5,371,476
Corporate Debt		-			581,385			-			581,385
Mutual Funds		3,655,410			-			-			3,655,410
Short-Term Investments		104			3,010,510			-			3,010,614
Total Investments	$	351,329,823		$	9,913,530		$	-		$	361,243,353
S&P 500 Index Fund
Asset Investments
Common Stock	$	3,288,093,159		$	-		$	-		$	3,288,093,159
Mutual Funds		3,657,861			-			-			3,657,861
Short-Term Investments		-			12,603,634			-			12,603,634
Total Investments	$	3,291,751,020		$	12,603,634		$	-		$	3,304,354,654
Liability Derivatives
Futures Contracts	$	(114,791	)	$	-		$	-		$	(114,791	)
Equity Opportunities Fund
Asset Investments
Common Stock	$	589,986,078		$	25,760,388	*	$	-		$	615,746,466
Preferred Stock		7,667,948			-			-			7,667,948
Corporate Debt		-			760,023			-			760,023
Short-Term Investments		1,043			13,412,737			-			13,413,780
Total Investments	$	597,655,069		$	39,933,148		$	-		$	637,588,217
Fundamental Growth Fund
Asset Investments
Common Stock	$	134,284,401		$	1,558,709	*	$	-		$	135,843,110
Short-Term Investments		-			4,604,860			-			4,604,860
Total Investments	$	134,284,401		$	6,163,569		$	-		$	140,447,970
Blue Chip Growth Fund
Asset Investments
Common Stock	$	3,056,782,219		$	90,797,015	*	$	3,849,120	**	$	3,151,428,354
Mutual Funds		346,998			-			-			346,998
Short-Term Investments		1,066			5,959,073			-			5,960,139
Total Investments	$	3,057,130,283		$	96,756,088		$	3,849,120		$	3,157,735,491
Mid-Cap Value Fund
Asset Investments
Common Stock	$	87,076,008		$	7,586,546	*	$	-		$	94,662,554
Mutual Funds		2,621,572			-			-			2,621,572
Short-Term Investments		-			2,061,559			-			2,061,559
Total Investments	$	89,697,580		$	9,648,105		$	-		$	99,345,685
Asset Derivatives
Forward Contracts	$	-		$	106,335		$	-		$	106,335
Liability Derivatives
Forward Contracts	$	-		$	(2,987	)	$	-		$	(2,987	)

293

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3			Total
Small Cap Value Equity Fund
Asset Investments
Common Stock	$	81,598,314		$	1,829,339	*	$	-	+**	$	83,427,653
Mutual Funds		1,461,402			-			-			1,461,402
Short-Term Investments		-			3,260,308			-			3,260,308
Total Investments	$	83,059,716		$	5,089,647		$	-		$	88,149,363
Small Company Value Fund
Asset Investments
Common Stock	$	200,111,910		$	-		$	-	+**	$	200,111,910
Mutual Funds		4,418,710			-			-			4,418,710
Short-Term Investments		-			7,836,031			-			7,836,031
Total Investments	$	204,530,620		$	7,836,031		$	-		$	212,366,651
S&P Mid Cap Index Fund
Asset Investments
Common Stock	$	460,716,819		$	-		$	-		$	460,716,819
Mutual Funds		10,415,099			-			-			10,415,099
Short-Term Investments		-			5,278,195			-			5,278,195
Total Investments	$	471,131,918		$	5,278,195		$	-		$	476,410,113
Liability Derivatives
Futures Contracts	$	(56,433	)	$	-		$	-		$	(56,433	)
Russell 2000 Small Cap Index Fund
Asset Investments
Common Stock	$	286,316,792		$	-		$	-	+**	$	286,316,792
Warrants		-			-			-	+**		-
Rights		-			-			12,469	**		12,469
Mutual Funds		17,760,100			-			-			17,760,100
Short-Term Investments		-			3,102,608			-			3,102,608
Total Investments	$	304,076,892		$	3,102,608		$	12,469		$	307,191,969
Liability Derivatives
Futures Contracts	$	(87,711	)	$	-		$	-		$	(87,711	)
Mid Cap Growth Fund
Asset Investments
Common Stock	$	8,162,295,691		$	-		$	8,317,544	**	$	8,170,613,235
Preferred Stock		-			-			9,356,161	**		9,356,161
Mutual Funds		86,789,589			-			-			86,789,589
Short-Term Investments		152,415,539			288,644,060			-			441,059,599
Total Investments	$	8,401,500,819		$	288,644,060		$	17,673,705		$	8,707,818,584
Small Cap Growth Equity Fund
Asset Investments
Common Stock	$	498,894,858		$	-		$	794,080	**	$	499,688,938
Preferred Stock		-			-			1,294,936	**		1,294,936
Mutual Funds		16,878,460			-			-			16,878,460
Short-Term Investments		-			6,519,711			-			6,519,711
Total Investments	$	515,773,318		$	6,519,711		$	2,089,016		$	524,382,045

294

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3		Total
MSCI EAFE International Index Fund
Asset Investments
Common Stock*
Australia	$	-		$	15,664,783		$	-	$	15,664,783
Austria		-			505,644			-		505,644
Belgium		-			2,295,344			-		2,295,344
Bermuda		-			646,034			-		646,034
Cayman Islands		137,485			1,244,534			-		1,382,019
Denmark		-			3,964,969			-		3,964,969
Finland		-			2,599,203			-		2,599,203
France		188,786			23,600,732			-		23,789,518
Germany		75,839			17,825,156			-		17,900,995
Hong Kong		-			5,943,780			-		5,943,780
Ireland		-			1,479,112			-		1,479,112
Israel		487,339			791,458			-		1,278,797
Italy		-			4,332,162			-		4,332,162
Japan		-			55,559,690			-		55,559,690
Luxembourg		-			640,245			-		640,245
Mauritius		-			19,162			-		19,162
Netherlands		1,588,593			9,582,670			-		11,171,263
New Zealand		-			539,464			-		539,464
Norway		-			1,471,746			-		1,471,746
Papua New Guinea		-			113,933			-		113,933
Portugal		-			350,129			-		350,129
Singapore		-			2,848,937			-		2,848,937
Spain		-			6,558,177			-		6,558,177
Sweden		-			5,330,711			-		5,330,711
Switzerland		-			21,343,390			-		21,343,390
United Kingdom		208,936			36,426,934			-		36,635,870
Preferred Stock*
Germany		-			1,164,730			-		1,164,730
Italy		-			54,173			-		54,173
Mutual Funds		1,267,533			-			-		1,267,533
Rights		658			-			-		658
Short-Term Investments		-			500,440			-		500,440
Total Investments	$	3,955,169		$	223,397,442		$	-	$	227,352,611
Asset Derivatives
Forward Contracts	$	-		$	1,719		$	-	$	1,719
Futures Contracts		50,143			-			-		50,143
Total	$	50,143		$	1,719		$	-	$	51,862
Liability Derivatives
Forward Contracts	$	-		$	(12,447	)	$	-	$	(12,447	)
Futures Contracts		(2,919	)		-			-		(2,919	)
Total	$	(2,919	)	$	(12,447	)	$	-	$	(15,366	)

295

Notes to Financial Statements (Continued)

	Level 1		Level 2		Level 3		Total
Overseas Fund
Asset Investments
Common Stock*
Australia	$	-	$	6,329,094	$	-	$	6,329,094
Belgium		-		4,892,846		-		4,892,846
Brazil		2,073,752		-		-		2,073,752
Canada		16,141,919		-		-		16,141,919
Cayman Islands		4,232,068		-		-		4,232,068
Denmark		-		9,256,378		-		9,256,378
Finland		-		1,657,402		-		1,657,402
France		-		82,443,148		-		82,443,148
Germany		-		71,851,942		-		71,851,942
Hong Kong		-		9,623,368		-		9,623,368
India		-		9,429,443		-		9,429,443
Indonesia		-		1,550,993		-		1,550,993
Ireland		9,052,029		3,570,651		-		12,622,680
Israel		4,045,149		-		-		4,045,149
Italy		-		15,494,192		-		15,494,192
Japan		-		62,108,991		-		62,108,991
Mexico		1,681,182		-		-		1,681,182
Netherlands		1,671,871		28,700,580		-		30,372,451
Portugal		-		1,588,002		-		1,588,002
Republic of Korea		-		7,781,796		-		7,781,796
Singapore		-		4,026,457		-		4,026,457
South Africa		-		3,019,543		-		3,019,543
Spain		-		6,745,363		-		6,745,363
Sweden		-		15,059,232		-		15,059,232
Switzerland		-		66,985,426		-		66,985,426
Taiwan		5,418,174		2,440,214		-		7,858,388
United Kingdom		3,502,125		96,057,838		-		99,559,963
United States		4,497,615		-		-		4,497,615
Preferred Stock*
Germany		-		544,587		-		544,587
Mutual Funds		3,218,312		-		-		3,218,312
Short-Term Investments		-		12,526,286		-		12,526,286
Total Investments	$	55,534,196	$	523,683,772	$	-	$	579,217,968
Asset Derivatives
Forward Contracts	$	-	$	29,433	$	-	$	29,433
MM Select T. Rowe Price International Equity Fund
Asset Investments
Common Stock*
Australia	$	-	$	34,655,709	$	-	$	34,655,709
Austria		-		6,058,739		-		6,058,739
Belgium		-		8,492,278		-		8,492,278
Bermuda		7,193,434		3,829,100		-		11,022,534
Brazil		14,358,983		-		-		14,358,983
British Virgin Islands		-		729,903		-		729,903
Canada		35,954,295		-		-		35,954,295
Cayman Islands		31,901,544		28,771,304		-		60,672,848
Chile		2,465,680		-		-		2,465,680
China		-		27,366,550		-		27,366,550

296

Notes to Financial Statements (Continued)

	Level 1		Level 2			Level 3			Total
MM Select T. Rowe Price International Equity Fund (Continued)
Asset Investments (Continued)
Common Stock* (Continued)
Colombia	$	590,869	$	-		$	-		$	590,869
Czech Republic		-		853,808			-			853,808
Denmark		529,760		4,453,969			-			4,983,729
Finland		-		7,069,026			-			7,069,026
France		407,262		78,833,807			-			79,241,069
Germany		1,497,617		67,120,825			-			68,618,442
Hong Kong		-		21,580,933			-			21,580,933
Hungary		-		2,784,227			-			2,784,227
India		17,552,450		3,984,144			-			21,536,594
Indonesia		-		11,953,635			-			11,953,635
Ireland		1,194,973		5,561,974			-			6,756,947
Italy		-		9,667,162			-			9,667,162
Japan		714,178		185,656,730			-			186,370,908
Luxembourg		2,209,431		1,057,461			-			3,266,892
Mexico		2,591,769		-			-			2,591,769
Netherlands		16,721,570		35,957,631			-			52,679,201
Norway		-		8,070,152			-			8,070,152
Philippines		-		5,176,580			-			5,176,580
Poland		-		1,165,068			-			1,165,068
Portugal		-		10,963,046			-			10,963,046
Republic of Korea		1,537,809		44,340,623			-			45,878,432
Russia		-		7,904,060			-			7,904,060
Saudi Arabia		-		3,031,092			-			3,031,092
Singapore		-		8,233,023			-			8,233,023
South Africa		-		18,292,742			-			18,292,742
Spain		-		8,465,606			-			8,465,606
Sweden		-		16,546,177			-			16,546,177
Switzerland		-		77,486,817			-			77,486,817
Taiwan		5,515,084		30,608,725			-			36,123,809
Thailand		6,263,967		-			-			6,263,967
Turkey		-		1,085,099			-			1,085,099
United Arab Emirates		-		4,785,669			-			4,785,669
United Kingdom		27,090,725		105,631,118			-			132,721,843
United States		17,043,358		1,391,013			-			18,434,371
Preferred Stock*
Brazil		9,643,243		-			-			9,643,243
Germany		-		560,124			-			560,124
Italy		-		707,979			-			707,979
Republic of Korea		-		1,839,472			-			1,839,472
United States		-		-			550,376	**		550,376
Mutual Funds		1,354,264		-			-			1,354,264
Short-Term Investments		21,537,746		1,005,427			-			22,543,173
Total Investments	$	225,870,011	$	903,728,527		$	550,376		$	1,130,148,914
Asset Derivatives
Forward Contracts	$	-	$	8,318		$	-		$	8,318
Liability Derivatives
Written Options	$	-	$	(12,876	)	$	-		$	(12,876	)

297

Notes to Financial Statements (Continued)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable.

** None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2019 is not presented.

*** Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment.

+ Represents a security at $0 value as of September 30, 2019.

The Funds, with the exception of the Strategic Bond Fund, had no Level 3 transfers during the year ended September 30, 2019. The Strategic Bond Fund had Level 3 transfers during the year ended September 30, 2019; however, none of the transfers individually or collectively had a material impact on the Strategic Bond Fund.

The following tables show Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of September 30, 2019.

	Total Return Bond Fund	Strategic Bond Fund	MSCI EAFE International Index Fund
Statements of Assets and Liabilities location:
Receivables from:
Investments sold on a when-issued basis	X	X
Collateral pledged for open futures and options contracts		X
Collateral pledged for open futures contracts			X
Collateral pledged for open swap agreements	X	X
Payables for:
Investments purchased on a when-issued basis	X	X
Due to custodian		X
Securities on loan	X	X	X

	S&P 500 Index Fund	Blue Chip Growth Fund	Growth Opportunities Fund	Small Cap Value Equity Fund	Small Company Value Fund
Statements of Assets and Liabilities location:
Payables for:
Securities on loan	X	X	X	X	X

	S&P Mid Cap Index Fund	Russell 2000 Small Cap Index Fund	Mid Cap Growth Fund	Small Cap Growth Equity Fund	Overseas Fund	MM Select T. Rowe Price International Equity Fund
Statements of Assets and Liabilities locations
Payables for:
Securities on loan	X	X	X	X	X	X

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than the derivatives’ original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price.

298

Notes to Financial Statements (Continued)

At September 30, 2019, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk		Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
Total Return Bond Fund
Asset Derivatives
Futures Contracts^^	$	-	$	-	$	-		$	142,565		$	142,565
Swap Agreements^^,^^^		-		-		-			1,118,589			1,118,589
Total Value	$	-	$	-	$	-		$	1,261,154		$	1,261,154
Liability Derivatives
Futures Contracts^^	$	-	$	-	$	-		$	(389,969	)	$	(389,969	)
Swap Agreements^^,^^^		-		-		-			(1,248,605	)		(1,248,605	)
Total Value	$	-	$	-	$	-		$	(1,638,574	)	$	(1,638,574	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-	$	234,519		$	-		$	234,519
Futures Contracts		-		-		-			5,488,560			5,488,560
Swap Agreements		-		-		-			13,575			13,575
Total Realized Gain (Loss)	$	-	$	-	$	234,519		$	5,502,135		$	5,736,654
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-	$	(467,849	)	$	-		$	(467,849	)
Futures Contracts		-		-		-			690,386			690,386
Swap Agreements		-		-		-			(130,016	)		(130,016	)
Total Change in Appreciation (Depreciation)	$	-	$	-	$	(467,849	)	$	560,370		$	92,521
Strategic Bond Fund
Asset Derivatives
Purchased Options*	$	-	$	-	$	929,800		$	-		$	929,800
Purchased Options*,^^^		-		-		-			1,223,648			1,223,648
Forward Contracts*		-		-		1,852,570			-			1,852,570
Futures Contracts^^		-		-		-			3,069,965			3,069,965
Swap Agreements*		-		-		-			708,961			708,961
Swap Agreements^^,^^^		1,090,150		-		-			3,054,948			4,145,098
Total Value	$	1,090,150	$	-	$	2,782,370		$	8,057,522		$	11,930,042
Liability Derivatives
Forward Contracts^	$	-	$	-	$	(2,411,486	)	$	-		$	(2,411,486	)
Futures Contracts^^		-		-		-			(1,954,101	)		(1,954,101	)
Swap Agreements^^,^^^		-		-		-			(11,218,489	)		(11,218,489	)
Written Options^		-		-		-			(39,009	)		(39,009	)
Written Options^,^^^		-		-		-			(794,734	)		(794,734	)
Total Value	$	-	$	-	$	(2,411,486	)	$	(14,006,333	)	$	(16,417,819	)
Realized Gain (Loss)#
Purchased Options	$	-	$	-	$	(569,650	)	$	(2,009,448	)	$	(2,579,098	)
Forward Contracts		-		-		881,540			-			881,540
Futures Contracts		-		-		31,896			4,567,557			4,599,453
Swap Agreements		2,010,416		-		-			(2,765,595	)		(755,179	)
Written Options		-		-		190,273			5,678,247			5,868,520
Total Realized Gain (Loss)	$	2,010,416	$	-	$	534,059		$	5,470,761		$	8,015,236

299

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Strategic Bond Fund (Continued)
Change in Appreciation (Depreciation)##
Purchased Options	$	-	$	-		$	586,993		$	263,506		$	850,499
Forward Contracts		-		-			645,999			-			645,999
Futures Contracts		-		-			(649	)		1,982,614			1,981,965
Swap Agreements		103,406		-			-			(5,994,873	)		(5,891,467	)
Written Options		-		-			(6,512	)		(35,163	)		(41,675	)
Total Change in Appreciation (Depreciation)	$	103,406	$	-		$	1,225,831		$	(3,783,916	)	$	(2,454,679	)
S&P 500 Index Fund
Liability Derivatives
Futures Contracts^^	$	-	$	(114,791	)	$	-		$	-		$	(114,791	)
Realized Gain (Loss)#
Futures Contracts	$	-	$	(1,028,610	)	$	-		$	-		$	(1,028,610	)
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	(507,974	)	$	-		$	-		$	(507,974	)
Mid-Cap Value Fund
Asset Derivatives
Forward Contracts*,^^^	$	-	$	-		$	106,335		$	-		$	106,335
Liability Derivatives
Forward Contracts^,^^^	$	-	$	-		$	(2,987	)	$	-		$	(2,987	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	432,090		$	-		$	432,090
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	67,747		$	-		$	67,747
Small Company Value Fund
Realized Gain (Loss)#
Futures Contracts	$	-	$	(150,120	)	$	-		$	-		$	(150,120	)
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	18,664		$	-		$	-		$	18,664
S&P Mid Cap Index Fund
Liability Derivatives
Futures Contracts^^	$	-	$	(56,433	)	$	-		$	-		$	(56,433	)
Realized Gain (Loss)#
Futures Contracts	$	-	$	(509,517	)	$	-		$	-		$	(509,517	)
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	59,210		$	-		$	-		$	59,210
Russell 2000 Small Cap Index Fund
Liability Derivatives
Futures Contracts^^	$	-	$	(87,711	)	$	-		$	-		$	(87,711	)
Realized Gain (Loss)#
Futures Contracts	$	-	$	495,684		$	-		$	-		$	495,684
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	(36,468	)	$	-		$	-		$	(36,468	)

300

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
MSCI EAFE International Index Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	1,719		$	-	$	1,719
Futures Contracts^^		-		50,143			-			-		50,143
Total Value	$	-	$	50,143		$	1,719		$	-	$	51,862
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(12,447	)	$	-	$	(12,447	)
Futures Contracts^^		-		(2,919	)		-			-		(2,919	)
Total Value	$	-	$	(2,919	)	$	(12,447	)	$	-	$	(15,366	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(174,970	)	$	-	$	(174,970	)
Futures Contracts		-		220,977			-			-		220,977
Total Realized Gain (Loss)	$	-	$	220,977		$	(174,970	)	$	-	$	46,007
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	15,600		$	-	$	15,600
Futures Contracts		-		(150,009	)		-			-		(150,009	)
Total Change in Appreciation (Depreciation)	$	-	$	(150,009	)	$	15,600		$	-	$	(134,409	)
Overseas Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	29,433		$	-	$	29,433
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	190,781		$	-	$	190,781
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(16,175	)	$	-	$	(16,175	)
MM Select T. Rowe Price International Equity Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	8,318		$	-	$	8,318
Liability Derivatives
Written Options^	$	-	$	(12,876	)	$	-		$	-	$	(12,876	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	13,027		$	-	$	13,027
Written Options		-		124,042			-			-		124,042
Total Realized Gain (Loss)	$	-	$	124,042		$	13,027		$	-	$	137,069
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(16,202	)	$	-	$	(16,202	)
Written Options		-		17,312			-			-		17,312
Total Change in Appreciation (Depreciation)	$	-	$	17,312		$	(16,202	)	$	-	$	1,110

* Statements of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts or open swap agreements, at value, as applicable.

^ Statements of Assets and Liabilities location: Payables for: open forward contracts or written options outstanding, at value, as applicable.

301

Notes to Financial Statements (Continued)

^^ Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities.

^^^ Represents exchange-traded purchased and written options, forward contracts, or centrally cleared swaps, which are not subject to a master netting agreement.

# Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

## Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

For the year ended September 30, 2019, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:

	Number of Contracts, Notional Amounts, or Shares/Units†
Fund Name	Futures Contracts		Forward Contracts		Swap Agreements		Purchased Options		Purchased Swaptions		Written Options		Written Swaptions
Total Return Bond Fund		1,243	$	6,279,864	$	80,545,909		-	$	-		-	$	-
Strategic Bond Fund		4,448		114,978,484		990,727,733		24,375,990		6,270,000		4,407,182		7,086,667
S&P 500 Index Fund		289		-		-		-		-		-		-
Mid-Cap Value Fund		-		6,674,028		-		-		-		-		-
Small Company Value Fund		20		-		-		-		-		-		-
S&P Mid Cap Index Fund		44		-		-		-		-		-		-
Russell 2000 Small Cap Index Fund		72		-		-		-		-		-		-
MSCI EAFE International Index Fund		89		6,047,963		-		-		-		-		-
Overseas Fund		-		4,210,140		-		-		-		-		-
MM Select T. Rowe Price International Equity Fund		-		1,387,015		-		-		-		175		-

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, purchased swaptions and written swaptions, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended September 30, 2019.

The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of the Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on a Fund’s derivatives exposure as of September 30, 2019. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.

The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of September 30, 2019.

Counterparty	Derivative Assets Subject to an MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***		Net Amount*
Strategic Bond Fund
Barclays Bank PLC	$	502,533	$	(440,855	)	$	-	$	61,678
BNP Paribas SA		987,875		-			-		987,875
Citibank N.A.		2,000,923		(1,970,631	)		-		30,292
	$	3,491,331	$	(2,411,486	)	$	-	$	1,079,845

302

Notes to Financial Statements (Continued)

Counterparty	Derivative Assets Subject to an MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***		Net Amount*
MSCI EAFE International Index Fund
Bank of Montreal	$	458	$	-		$	-	$	458
Citibank N.A.		103		(103	)		-		-
Goldman Sachs & Co.		787		-			-		787
Morgan Stanley & Co. LLC		371		(371	)		-		-
	$	1,719	$	(474	)	$	-	$	1,245
Overseas Fund
State Street Bank and Trust Co.	$	29,433	$	-		$	-	$	29,433
MM Select T. Rowe Price International Equity Fund
Citibank N.A.	$	8,318	$	-		$	-	$	8,318

The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of September 30, 2019.

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty†			Financial Instruments Available for Offset		Collateral Pledged***		Net Amount**
Strategic Bond Fund
Bank of America N.A.	$	(39,009	)	$	-	$	-	$	(39,009	)
Barclays Bank PLC		(440,855	)		440,855		-		-
Citibank N.A.		(1,970,631	)		1,970,631		-		-
	$	(2,450,495	)	$	2,411,486	$	-	$	(39,009	)
MSCI EAFE International Index Fund
Bank of New York Mellon	$	(2,273	)	$	-	$	-	$	(2,273	)
Citibank N.A.		(7,532	)		103		-		(7,429	)
Morgan Stanley & Co. LLC		(2,642	)		371		-		(2,271	)
	$	(12,447	)	$	474	$	-	$	(11,973	)
MM Select T. Rowe Price International Equity Fund
Goldman Sachs International	$	(7,582	)	$	-	$	-	$	(7,582	)
JP Morgan Chase Bank N.A.		(4,499	)		-		-		(4,499	)
Morgan Stanley & Co. LLC		(795	)		-		-		(795	)
	$	(12,876	)	$	-	$	-	$	(12,876	)

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.

303

Notes to Financial Statements (Continued)

Further details regarding the derivatives and other investments held by the Fund(s) during the year ended September 30, 2019, are discussed below.

Foreign Currency Exchange Transactions

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may enter into foreign currency exchange transactions, including foreign currency futures contracts and foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Futures contracts are exchange-traded and typically have minimal exposure to counterparty risk. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies or currency futures contracts. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency or currency futures contract, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. For example, futures contracts are exchange-traded and typically have minimal exposure to counterparty risk and forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of futures contracts and options, respectively, see “Futures Contracts” and “Options, Rights, and Warrants” below.

A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

Futures Contracts

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts and related options (see “Foreign Currency Exchange Transactions,” above, for a discussion of the use of futures contracts in connection with currency risk).

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a

304

Notes to Financial Statements (Continued)

specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the

305

Notes to Financial Statements (Continued)

buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment and stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

306

Notes to Financial Statements (Continued)

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

A Fund’s current exposure to a counterparty is the fair value of the transaction.

Options, Rights, and Warrants

A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.

Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

307

Notes to Financial Statements (Continued)

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

Hybrid Instruments

A hybrid instrument may be a debt security, preferred stock, warrant, convertible security, certificate of deposit, or other evidence of indebtedness on which a portion of or all interest payments, and/or the principal or stated amount payable at maturity, redemption, or retirement, is determined by reference to one or more underlying assets, indexes, economic factors, or other benchmarks. Because hybrid instruments may be designed to provide indirect exposures to virtually any type of derivative instrument, a Fund may invest in a hybrid instrument for any purpose it might engage in derivatives transactions. Hybrid instruments may take a number of forms, including, for example, debt instruments with interest or principal payments or redemption terms determined by reference to the value of an index, security, or other measure at a future time, preferred stock with dividend rates determined by reference to the value of a currency, or convertible securities where the conversion terms relate to a particular commodity. The risks of investing in a hybrid instrument may, depending on the nature of the instrument, reflect a combination of the risks of investing in securities, options, futures, currencies or other types of investments, and will depend upon

308

Notes to Financial Statements (Continued)

the terms of the instrument. Such risks generally depend upon factors unrelated to the operations or credit quality of the issuer of the hybrid instrument, and may not be foreseen by the purchaser, such as financial or market developments, economic and political events, the supply and demand of the underlying assets, and interest rate movements. Hybrid instruments may be highly volatile and their use by a Fund may not be successful. The terms of a hybrid instrument may create investment leverage. Hybrid instruments are typically privately issued, presenting credit risk of the issuer, and may be highly illiquid and difficult to value.

Inflation-Linked Securities

Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.

Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.

The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.

Bank Loans

A Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

309

Notes to Financial Statements (Continued)

The Strategic Bond Fund entered into certain loan agreements which are unfunded. The Strategic Bond Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the Strategic Bond Fund’s Portfolio of Investments. At September 30, 2019, the Strategic Bond Fund had sufficient cash and/or securities to cover these commitments.

Repurchase Agreements

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Dollar Roll Transactions

A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.

Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.

A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.

310

Notes to Financial Statements (Continued)

Securities Lending

Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).

Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At September 30, 2019, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.

Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement.

The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Funds in securities lending transactions during the year ended September 30, 2019, is reflected as securities lending income on the Statement of Operations.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on the ex-dividend date. Non-cash dividends received in the form of stock are recorded as dividend income at market value. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

311

Notes to Financial Statements (Continued)

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets or another alternative method.

Foreign Securities

Each of the MSCI EAFE International Index Fund, Overseas Fund, and MM Select T. Rowe Price International Equity Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Advisory Fees and Other Transactions

Investment Advisory Fees and Investment Subadvisers

MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the annual rates shown in the following table.

MML Advisers has also entered into investment subadvisory agreements for each Fund with the unaffiliated investment subadviser(s) shown in the following table. MML Advisers pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets under management which include (1) the average daily net assets of the specified Fund which it manages, and, if applicable, (2) the average daily net assets of other Funds or accounts of MML Advisers or its affiliates for which the subadviser provides subadvisory services.

312

Notes to Financial Statements (Continued)

The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees.

Fund	Investment Advisory Fee	Investment Subadviser(s)
Total Return Bond Fund	0.30% on the first $2 billion; and	Metropolitan West Asset Management, LLC
	0.27% on any excess over $2 billion
Strategic Bond Fund	0.45% on the first $200 million; and	Western Asset Management Company; and
	0.35% on any excess over $200 million	Western Asset Management Company Limited
Diversified Value Fund	0.50% on the first $400 million; and	Brandywine Global Investment Management,
	0.475% on any excess over $400 million	LLC; and T. Rowe Price Associates, Inc.
Fundamental Value Fund*	0.60% on the first $1.25 billion;	Barrow, Hanley, Mewhinney & Strauss, LLC; and
	0.575% on the next $250 million; and	Boston Partners Global Investors, Inc.
	0.55% on any excess over $1.5 billion
S&P 500 Index Fund	0.10% on the first $2.5 billion;	Northern Trust Investments, Inc.
	0.08% on the next $2.5 billion; and
	0.05% on any excess over $5 billion
Equity Opportunities Fund	0.69% on the first $1 billion; and	T. Rowe Price Associates, Inc.; and
	0.64% on any excess over $1 billion	Wellington Management Company LLP
Fundamental Growth Fund	0.65% on the first $300 million; and	Wellington Management Company LLP
	0.60% on any excess over $300 million
Blue Chip Growth Fund	0.65% on the first $750 million; and	Loomis, Sayles & Company, L.P.; and
	0.60% on any excess over $750 million	T. Rowe Price Associates, Inc.
Growth Opportunities Fund	0.71% on the first $500 million; and	Jackson Square Partners LLC; and
	0.68% on any excess over $500 million	Sands Capital Management, LLC
Mid-Cap Value Fund	0.70% on the first $300 million; and	American Century Investment Management, Inc.
	0.65% on any excess over $300 million
Small Cap Value Equity Fund	0.75% on the first $300 million; and	Barrow, Hanley, Mewhinney & Strauss, LLC;
	0.70% on any excess over $300 million	and Wellington Management Company LLP
Small Company Value Fund**	0.85% on the first $750 million; and	AllianceBernstein L.P.; and
	0.80% on any excess over $750 million	American Century Investment Management, Inc.
S&P Mid Cap Index Fund	0.10% on the first $500 million; and	Northern Trust Investments, Inc.
	0.08% on any excess over $500 million
Russell 2000 Small Cap Index Fund	0.10% on the first $500 million; and	Northern Trust Investments, Inc.
	0.08% on any excess over $500 million
Mid Cap Growth Fund	0.72% on the first $2 billion; and	Frontier Capital Management Company LLC;
	0.67% on any excess over $2 billion	and T. Rowe Price Associates, Inc.
Small Cap Growth Equity Fund***	0.80% on the first $1 billion; and	Invesco Advisers, Inc.; and Wellington Management Company LLP
	0.78% on any excess over $1 billion
MSCI EAFE International Index Fund	0.10% on the first $1 billion; and	Northern Trust Investments, Inc.
	0.09% on any excess over $1 billion
Overseas Fund	0.80% on the first $750 million;	Harris Associates L.P.; and
	0.775% on the next $500 million; and	Massachusetts Financial Services Company
	0.75% on any excess over $1.25 billion
MM Select T. Rowe Price International Equity Fund	0.69%	T. Rowe Price Associates, Inc.

* Effective February 5, 2019, Boston Partners Global Investors, Inc. replaced Wellington Management Company LLP as a subadviser of the Fund.

** Effective June 20, 2019, AllianceBernstein L.P. and American Century Investment Management, Inc. replaced Federated Clover Investment Advisors, T. Rowe Price Associates, Inc., and Invesco Advisers, Inc. as subadvisers of the Fund.

*** Effective at the close of business on May 24, 2019, Invesco Advisers, Inc. replaced OFI Global Institutional, Inc. as a subadviser of the Fund.

313

Notes to Financial Statements (Continued)

Prior to the close of business on May 24, 2019, MML Advisers had entered into an investment subadvisory agreement with OFI Global Institutional, Inc. (“OFI Global Institutional”), a wholly-owned subsidiary of OppenheimerFunds, Inc., a wholly-owned subsidiary of Oppenheimer Acquisition Corp., itself an indirect majority-owned subsidiary of MassMutual Holding LLC, on behalf of the Small Cap Growth Equity Fund. This agreement provided that OFI Global Institutional manage the investment and reinvestment of the assets of the Small Cap Growth Equity Fund. OFI Global Institutional received a subadvisory fee from MML Advisers, based upon the Small Cap Growth Equity Fund’s average daily net assets, at the following annual rate:

Small Cap Growth Equity Fund	0.55% of the first $50 million;
	0.45% of the next $50 million; and
	0.40% of any excess over $100 million

Administration Fees

Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
Total Return Bond Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Strategic Bond Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Diversified Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Fundamental Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
S&P 500 Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Equity Opportunities Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Fundamental Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Blue Chip Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Growth Opportunities Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Mid-Cap Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Small Cap Value Equity Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Small Company Value Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
S&P Mid Cap Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Russell 2000 Small Cap Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Mid Cap Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
Small Cap Growth Equity Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MSCI EAFE International Index Fund		None		0.10%		0.20%		0.20%		0.20%		0.25%		0.25%
Overseas Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM Select T. Rowe Price International Equity Fund		None		N/A		N/A		N/A		N/A		N/A		N/A

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.

314

Notes to Financial Statements (Continued)

The Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of each Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Funds’ investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Funds separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Funds’ investors.

Expense Caps and Waivers

MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
Strategic Bond Fund*		0.48%		0.58%		0.68%		0.78%		1.03%		0.93%		1.18%
Mid-Cap Value Fund*		0.80%		0.90%		1.00%		1.10%		1.35%		1.25%		1.50%
Russell 2000 Small Cap Index Fund*		0.20%		0.30%		0.45%		0.55%		0.80%		0.70%		0.95%
MSCI EAFE International Index Fund*		0.25%		0.35%		0.50%		0.60%		0.85%		0.75%		1.00%

# Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps in effect through January 31, 2020.

MML Advisers has agreed to cap the fees and expenses of the Fund noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses), based upon the average daily net assets of the applicable class of shares of the Fund, as follows:

	Class I
MM Select T. Rowe Price International Equity Fund**		0.67%

# Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

** Expense cap in effect through January 31, 2020.

Prior to February 1, 2019, MML Advisers agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
Fundamental Growth Fund		0.70%		0.80%		0.90%		1.00%		1.25%		1.15%		1.40%
Small Cap Value Equity Fund		0.80%		0.90%		1.00%		1.10%		1.35%		1.25%		1.50%
S&P Mid Cap Index Fund		0.20%		0.30%		0.45%		0.55%		0.80%		0.70%		0.95%

# Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

MML Advisers voluntarily waived 0.02% of the advisory fee of the Small Company Value Fund through January 31, 2019.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

315

Notes to Financial Statements (Continued)

Rebated Brokerage Commissions

The Funds listed below have entered into agreements with certain brokers whereby the brokers will rebate to the Funds, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Funds and are included with realized gain or loss on investment transactions presented in the Statements of Operations. For the year ended September 30, 2019, brokerage commissions rebated under these agreements were as follows:

	Rebated Commissions
Diversified Value Fund	$	1,253
Fundamental Value Fund		2,640
Equity Opportunities Fund		242
Fundamental Growth Fund		21
Blue Chip Growth Fund		3,463
Growth Opportunities Fund		20,161
Small Cap Value Equity Fund		360
Small Company Value Fund		21,195
Mid Cap Growth Fund		129,884
Small Cap Growth Equity Fund		3,623

Deferred Compensation

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at September 30, 2019:

	Total % Ownership by Related Party
Total Return Bond Fund		76.7%
Strategic Bond Fund		73.1%
Diversified Value Fund		68.4%
Fundamental Value Fund		90.8%
S&P 500 Index Fund		70.3%
Equity Opportunities Fund		81.9%
Fundamental Growth Fund		86.3%
Blue Chip Growth Fund		55.1%
Growth Opportunities Fund		57.3%
Mid-Cap Value Fund		78.0%
Small Cap Value Equity Fund		77.6%
Small Company Value Fund		61.6%
S&P Mid Cap Index Fund		67.7%
Russell 2000 Small Cap Index Fund		59.0%
Mid Cap Growth Fund		19.4%
Small Cap Growth Equity Fund		78.4%

316

Notes to Financial Statements (Continued)

	Total % Ownership by Related Party
MSCI EAFE International Index Fund		65.0%
Overseas Fund		87.1%
MM Select T. Rowe Price International Equity Fund		100.0%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended September 30, 2019, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
Total Return Bond Fund	$	1,723,618,264	$	148,851,863	$	1,703,738,439	$	176,918,948
Strategic Bond Fund		1,687,873,416		121,431,117		1,657,558,254		84,347,187
Diversified Value Fund		-		158,206,390		-		206,244,523
Fundamental Value Fund		-		950,302,364		-		1,365,151,250
S&P 500 Index Fund		-		131,507,876		-		242,973,357
Equity Opportunities Fund		-		206,881,557		-		291,351,662
Fundamental Growth Fund		-		164,179,438		-		176,396,839
Blue Chip Growth Fund		-		762,674,624		-		795,907,931
Growth Opportunities Fund		-		187,678,614		-		467,270,613
Mid-Cap Value Fund		-		52,116,441		-		48,725,616
Small Cap Value Equity Fund		-		29,388,861		-		48,383,062
Small Company Value Fund		-		295,648,113		-		291,695,893
S&P Mid Cap Index Fund		-		70,371,269		-		88,973,570
Russell 2000 Small Cap Index Fund		-		48,979,890		-		62,151,792
Mid Cap Growth Fund		-		2,897,211,094		-		3,081,747,996
Small Cap Growth Equity Fund		-		382,526,055		-		513,109,081
MSCI EAFE International Index Fund		-		15,867,538		-		17,775,755
Overseas Fund		-		149,872,069		-		191,842,604
MM Select T. Rowe Price International Equity Fund		-		576,185,374		-		247,055,560

The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.

	Purchases		Sales
Mid-Cap Value Fund	$	5,408	$	489
Small Company Value Fund		3,054		492
Mid Cap Growth Fund		-		542,880
Small Cap Growth Equity Fund		-		182,026

317

Notes to Financial Statements (Continued)

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Total Return Bond Fund Class I
Sold		13,670,678		$	133,137,029			16,464,129		$	158,921,697
Issued as reinvestment of dividends		1,368,293			12,861,958			1,038,964			10,129,905
Redeemed		(12,888,794	)		(126,526,498	)		(9,358,437	)		(90,679,347	)
Net increase (decrease)		2,150,177		$	19,472,489			8,144,656		$	78,372,255
Total Return Bond Fund Class R5
Sold		589,795		$	5,786,794			993,560		$	9,610,412
Issued as reinvestment of dividends		156,234			1,467,037			187,704			1,828,232
Redeemed		(1,758,884	)		(17,437,975	)		(2,668,454	)		(25,685,875	)
Net increase (decrease)		(1,012,855	)	$	(10,184,144	)		(1,487,190	)	$	(14,247,231	)
Total Return Bond Fund Service Class
Sold		1,146,933		$	11,383,394			2,385,440		$	23,091,004
Issued as reinvestment of dividends		349,608			3,296,801			420,100			4,108,576
Redeemed		(3,905,740	)		(37,811,577	)		(5,017,986	)		(48,451,592	)
Net increase (decrease)		(2,409,199	)	$	(23,131,382	)		(2,212,446	)	$	(21,252,012	)
Total Return Bond Fund Administrative Class
Sold		928,035		$	8,928,665			627,297		$	6,049,087
Issued as reinvestment of dividends		146,483			1,374,011			153,884			1,497,295
Redeemed		(4,635,251	)		(45,471,617	)		(1,536,059	)		(14,853,653	)
Net increase (decrease)		(3,560,733	)	$	(35,168,941	)		(754,878	)	$	(7,307,271	)
Total Return Bond Fund Class A
Sold		469,048		$	4,513,313			88,951		$	854,695
Issued as reinvestment of dividends		19,525			182,951			11,017			107,308
Redeemed		(113,567	)		(1,096,006	)		(121,019	)		(1,159,899	)
Net increase (decrease)		375,006		$	3,600,258			(21,051	)	$	(197,896	)
Total Return Bond Fund Class R4
Sold		1,538,264		$	15,178,209			1,775,651		$	17,273,767
Issued as reinvestment of dividends		438,335			4,142,266			447,585			4,386,331
Redeemed		(4,296,874	)		(41,941,983	)		(6,541,738	)		(64,124,983	)
Net increase (decrease)		(2,320,275	)	$	(22,621,508	)		(4,318,502	)	$	(42,464,885	)
Total Return Bond Fund Class R3
Sold		544,404		$	5,281,932			759,608		$	7,297,974
Issued as reinvestment of dividends		72,442			680,228			67,660			659,012
Redeemed		(1,155,413	)		(11,154,628	)		(908,471	)		(8,807,718	)
Net increase (decrease)		(538,567	)	$	(5,192,468	)		(81,203	)	$	(850,732	)
Strategic Bond Fund Class I
Sold		15,122,892		$	156,124,408			16,421,511		$	167,644,684
Issued as reinvestment of dividends		857,306			8,470,181			384,341			4,008,676
Redeemed		(10,143,378	)		(105,829,118	)		(5,179,325	)		(53,642,918	)
Net increase (decrease)		5,836,820		$	58,765,471			11,626,527		$	118,010,442

318

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Strategic Bond Fund Class R5
Sold		1,372,654		$	14,063,551			2,229,769		$	22,834,781
Issued as reinvestment of dividends		218,936			2,165,273			156,041			1,629,063
Redeemed		(2,117,406	)		(21,914,303	)		(1,322,404	)		(13,574,847	)
Net increase (decrease)		(525,816	)	$	(5,685,479	)		1,063,406		$	10,888,997
Strategic Bond Fund Service Class
Sold		935,636		$	9,773,940			873,326		$	9,015,749
Issued as reinvestment of dividends		120,964			1,196,330			135,519			1,416,176
Redeemed		(3,005,889	)		(31,453,282	)		(2,081,940	)		(21,324,668	)
Net increase (decrease)		(1,949,289	)	$	(20,483,012	)		(1,073,095	)	$	(10,892,743	)
Strategic Bond Fund Administrative Class
Sold		1,663,582		$	17,174,712			2,382,354		$	24,512,698
Issued as reinvestment of dividends		178,954			1,764,483			140,569			1,463,320
Redeemed		(1,889,873	)		(19,490,098	)		(1,806,927	)		(18,569,662	)
Net increase (decrease)		(47,337	)	$	(550,903	)		715,996		$	7,406,356
Strategic Bond Fund Class A
Sold		1,516,195		$	15,841,245			1,250,124		$	12,757,953
Issued as reinvestment of dividends		97,113			956,568			94,365			981,391
Redeemed		(1,561,785	)		(16,185,301	)		(1,890,492	)		(19,254,847	)
Net increase (decrease)		51,523		$	612,512			(546,003	)	$	(5,515,503	)
Strategic Bond Fund Class R4
Sold		1,495,702		$	15,315,402			2,184,945		$	22,326,155
Issued as reinvestment of dividends		159,397			1,563,692			126,140			1,306,810
Redeemed		(2,314,903	)		(23,526,086	)		(1,364,712	)		(13,883,705	)
Net increase (decrease)		(659,804	)	$	(6,646,992	)		946,373		$	9,749,260
Strategic Bond Fund Class R3
Sold		605,558		$	6,250,400			857,654		$	8,626,950
Issued as reinvestment of dividends		42,610			414,599			28,897			297,064
Redeemed		(889,108	)		(9,232,946	)		(477,861	)		(4,819,373	)
Net increase (decrease)		(240,940	)	$	(2,567,947	)		408,690		$	4,104,641
Diversified Value Fund Class I
Sold		3,808,671		$	42,123,866			2,978,893		$	40,348,340
Issued - merger		-			-			5,418,748			74,399,424
Issued as reinvestment of dividends		2,860,238			28,659,584			3,601,470			45,918,746
Redeemed		(3,315,480	)		(37,365,553	)		(5,736,300	)		(77,553,921	)
Net increase (decrease)		3,353,429		$	33,417,897			6,262,811		$	83,112,589
Diversified Value Fund Class R5
Sold		436,167		$	5,156,305			1,455,012		$	18,090,739
Issued - merger		-			-			6,568,499			90,382,610
Issued as reinvestment of dividends		2,000,197			20,081,978			1,183,541			15,125,657
Redeemed		(6,566,005	)		(70,504,181	)		(1,623,012	)		(21,380,875	)
Net increase (decrease)		(4,129,641	)	$	(45,265,898	)		7,584,040		$	102,218,131

319

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Diversified Value Fund Service Class
Sold		179,187		$	2,004,575			77,424		$	1,022,332
Issued - merger		-			-			193,597			2,663,899
Issued as reinvestment of dividends		129,162			1,299,372			277,475			3,546,133
Redeemed		(440,982	)		(5,528,683	)		(245,299	)		(3,208,746	)
Net increase (decrease)		(132,633	)	$	(2,224,736	)		303,197		$	4,023,618
Diversified Value Fund Administrative Class
Sold		641,755		$	7,342,582			56,671		$	758,347
Issued - merger		-			-			1,023,209			14,181,678
Issued as reinvestment of dividends		206,937			2,096,273			118,263			1,522,049
Redeemed		(209,911	)		(2,337,279	)		(390,268	)		(5,064,862	)
Net increase (decrease)		638,781		$	7,101,576			807,875		$	11,397,212
Diversified Value Fund Class A
Sold		555,732		$	6,224,083			637,714		$	8,349,272
Issued - merger		-			-			1,848,961			25,423,223
Issued as reinvestment of dividends		596,709			5,990,960			367,573			4,693,903
Redeemed		(1,278,614	)		(14,712,843	)		(480,332	)		(6,554,007	)
Net increase (decrease)		(126,173	)	$	(2,497,800	)		2,373,916		$	31,912,391
Diversified Value Fund Class R4
Sold		261,772		$	2,953,952			262,671		$	3,618,135
Issued - merger		-			-			46,275			629,800
Issued as reinvestment of dividends		76,842			760,735			34,592			437,247
Redeemed		(97,110	)		(1,085,541	)		(56,014	)		(731,714	)
Net increase (decrease)		241,504		$	2,629,146			287,524		$	3,953,468
Diversified Value Fund Class R3
Sold		47,374		$	542,182			40,814		$	541,390
Issued - merger		-			-			4,375			59,898
Issued as reinvestment of dividends		33,523			334,894			49,733			632,593
Redeemed		(121,907	)		(1,331,990	)		(55,507	)		(733,923	)
Net increase (decrease)		(41,010	)	$	(454,914	)		39,415		$	499,958
Fundamental Value Fund Class I
Sold		6,322,314		$	61,866,915			5,606,887		$	67,060,465
Issued as reinvestment of dividends		8,037,971			73,708,191			8,265,063			95,130,880
Redeemed		(33,222,488	)		(335,419,451	)		(6,514,169	)		(78,906,473	)
Net increase (decrease)		(18,862,203	)	$	(199,844,345	)		7,357,781		$	83,284,872
Fundamental Value Fund Class R5
Sold		701,718		$	7,064,621			783,574		$	9,340,361
Issued as reinvestment of dividends		3,531,237			32,593,317			4,860,253			56,233,125
Redeemed		(11,072,213	)		(112,540,225	)		(8,091,738	)		(98,034,341	)
Net increase (decrease)		(6,839,258	)	$	(72,882,287	)		(2,447,911	)	$	(32,460,855	)
Fundamental Value Fund Service Class
Sold		310,891		$	3,089,946			417,734		$	4,942,265
Issued as reinvestment of dividends		557,701			5,125,269			796,138			9,179,471
Redeemed		(2,110,307	)		(21,717,589	)		(1,740,182	)		(20,789,662	)
Net increase (decrease)		(1,241,715	)	$	(13,502,374	)		(526,310	)	$	(6,667,926	)

320

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Fundamental Value Fund Administrative Class
Sold		307,371		$	3,094,452			827,419		$	9,700,664
Issued as reinvestment of dividends		1,006,125			9,316,716			1,217,216			14,131,875
Redeemed		(2,807,615	)		(28,488,602	)		(1,954,590	)		(23,418,766	)
Net increase (decrease)		(1,494,119	)	$	(16,077,434	)		90,045		$	413,773
Fundamental Value Fund Class A
Sold		388,142		$	3,865,775			501,718		$	5,985,449
Issued as reinvestment of dividends		968,469			8,851,803			1,360,952			15,596,515
Redeemed		(2,046,669	)		(20,880,122	)		(3,108,042	)		(37,460,732	)
Net increase (decrease)		(690,058	)	$	(8,162,544	)		(1,245,372	)	$	(15,878,768	)
Fundamental Value Fund Class R4
Sold		169,685		$	1,603,882			118,405		$	1,408,688
Issued as reinvestment of dividends		117,038			1,053,343			232,461			2,626,805
Redeemed		(176,872	)		(1,679,371	)		(846,777	)		(9,567,881	)
Net increase (decrease)		109,851		$	977,854			(495,911	)	$	(5,532,388	)
Fundamental Value Fund Class R3
Sold		34,557		$	331,846			51,534		$	584,178
Issued as reinvestment of dividends		36,577			328,097			37,132			418,850
Redeemed		(79,587	)		(777,692	)		(75,973	)		(913,847	)
Net increase (decrease)		(8,453	)	$	(117,749	)		12,693		$	89,181
S&P 500 Index Fund Class I
Sold		25,054,216		$	421,941,279			27,456,543		$	529,732,828
Issued as reinvestment of dividends		3,843,029			58,029,729			4,759,073			88,280,813
Redeemed		(8,426,764	)		(146,018,018	)		(17,266,754	)		(354,142,138	)
Net increase (decrease)		20,470,481		$	333,952,990			14,948,862		$	263,871,503
S&P 500 Index Fund Class R5
Sold		5,890,459		$	106,248,343			3,783,520		$	76,056,876
Issued as reinvestment of dividends		4,718,293			71,529,319			7,811,437			145,370,837
Redeemed		(9,419,098	)		(166,682,986	)		(18,510,683	)		(370,423,985	)
Net increase (decrease)		1,189,654		$	11,094,676			(6,915,726	)	$	(148,996,272	)
S&P 500 Index Fund Service Class
Sold		2,897,796		$	49,815,312			2,637,626		$	52,355,227
Issued as reinvestment of dividends		3,948,989			60,024,630			5,315,061			99,125,892
Redeemed		(8,317,098	)		(148,888,548	)		(8,008,339	)		(159,217,109	)
Net increase (decrease)		(1,470,313	)	$	(39,048,606	)		(55,652	)	$	(7,735,990	)
S&P 500 Index Fund Administrative Class
Sold		2,565,659		$	44,080,037			4,283,359		$	82,202,563
Issued as reinvestment of dividends		5,551,353			82,715,153			6,285,857			115,282,617
Redeemed		(11,132,277	)		(188,444,766	)		(7,357,871	)		(143,002,989	)
Net increase (decrease)		(3,015,265	)	$	(61,649,576	)		3,211,345		$	54,482,191
S&P 500 Index Fund Class A
Sold		412,369		$	7,070,716			536,323		$	10,434,116
Issued as reinvestment of dividends		296,224			4,330,792			344,670			6,214,397
Redeemed		(818,742	)		(14,034,889	)		(467,711	)		(8,782,620	)
Net increase (decrease)		(110,149	)	$	(2,633,381	)		413,282		$	7,865,893

321

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
S&P 500 Index Fund Class R4
Sold		4,443,603		$	74,660,223			4,053,970		$	78,426,842
Issued as reinvestment of dividends		6,212,016			91,378,752			7,274,260			131,955,069
Redeemed		(10,609,716	)		(178,904,153	)		(8,932,776	)		(173,827,411	)
Net increase (decrease)		45,903		$	(12,865,178	)		2,395,454		$	36,554,500
S&P 500 Index Fund Class R3
Sold		2,230,813		$	36,601,220			2,270,496		$	42,459,000
Issued as reinvestment of dividends		2,506,360			35,840,947			2,508,084			44,443,244
Redeemed		(4,464,002	)		(72,204,973	)		(1,920,655	)		(35,911,009	)
Net increase (decrease)		273,171		$	237,194			2,857,925		$	50,991,235
Equity Opportunities Fund Class I
Sold		3,035,315		$	50,661,376			3,703,927		$	67,677,014
Issued as reinvestment of dividends		1,601,178			24,257,844			4,300,247			72,717,180
Redeemed		(4,206,249	)		(73,449,225	)		(3,631,483	)		(65,269,652	)
Net increase (decrease)		430,244		$	1,469,995			4,372,691		$	75,124,542
Equity Opportunities Fund Class R5
Sold		938,398		$	16,186,702			639,369		$	11,825,124
Issued as reinvestment of dividends		1,076,263			16,380,730			3,560,400			60,455,592
Redeemed		(2,434,422	)		(40,494,157	)		(3,236,335	)		(60,342,157	)
Net increase (decrease)		(419,761	)	$	(7,926,725	)		963,434		$	11,938,559
Equity Opportunities Fund Service Class
Sold		1,048,495		$	18,294,492			256,349		$	4,550,225
Issued as reinvestment of dividends		305,302			4,548,999			1,131,104			18,832,884
Redeemed		(1,161,106	)		(19,766,876	)		(1,373,643	)		(24,301,238	)
Net increase (decrease)		192,691		$	3,076,615			13,810		$	(918,129	)
Equity Opportunities Fund Administrative Class
Sold		445,737		$	7,528,781			281,193		$	5,080,877
Issued as reinvestment of dividends		434,813			6,378,705			1,533,641			25,182,392
Redeemed		(1,974,322	)		(32,819,298	)		(1,351,668	)		(23,700,865	)
Net increase (decrease)		(1,093,772	)	$	(18,911,812	)		463,166		$	6,562,404
Equity Opportunities Fund Class A
Sold		382,332		$	6,088,708			264,236		$	4,406,871
Issued as reinvestment of dividends		486,232			6,773,205			1,948,484			30,513,250
Redeemed		(1,681,151	)		(26,781,215	)		(2,677,299	)		(47,256,377	)
Net increase (decrease)		(812,587	)	$	(13,919,302	)		(464,579	)	$	(12,336,256	)
Equity Opportunities Fund Class R4
Sold		196,151		$	2,995,598			173,853		$	3,497,047
Issued as reinvestment of dividends		74,016			1,011,804			182,360			2,813,811
Redeemed		(412,404	)		(6,605,916	)		(182,060	)		(3,433,128	)
Net increase (decrease)		(142,237	)	$	(2,598,514	)		174,153		$	2,877,730
Equity Opportunities Fund Class R3
Sold		89,507		$	1,310,598			23,035		$	366,651
Issued as reinvestment of dividends		20,932			268,342			60,485			880,663
Redeemed		(66,589	)		(994,020	)		(67,207	)		(1,180,939	)
Net increase (decrease)		43,850		$	584,920			16,313		$	66,375

322

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Fundamental Growth Fund Class I
Sold		2,372,970		$	18,436,450			1,762,116		$	15,925,272
Issued as reinvestment of dividends		1,840,112			12,107,941			673,247			5,614,879
Redeemed		(2,356,329	)		(17,930,114	)		(4,734,232	)		(44,436,598	)
Net increase (decrease)		1,856,753		$	12,614,277			(2,298,869	)	$	(22,896,447	)
Fundamental Growth Fund Class R5
Sold		472,267		$	3,770,788			498,766		$	4,470,011
Issued as reinvestment of dividends		867,849			5,727,800			228,489			1,910,165
Redeemed		(804,346	)		(6,381,253	)		(509,472	)		(4,537,831	)
Net increase (decrease)		535,770		$	3,117,335			217,783		$	1,842,345
Fundamental Growth Fund Service Class
Sold		172,913		$	1,335,468			125,639		$	1,111,513
Issued as reinvestment of dividends		280,888			1,806,108			78,613			643,847
Redeemed		(203,230	)		(1,584,484	)		(249,087	)		(2,130,962	)
Net increase (decrease)		250,571		$	1,557,092			(44,835	)	$	(375,602	)
Fundamental Growth Fund Administrative Class
Sold		438,322		$	3,304,256			218,561		$	1,850,591
Issued as reinvestment of dividends		387,729			2,415,549			103,998			830,947
Redeemed		(251,462	)		(1,810,175	)		(355,685	)		(3,089,078	)
Net increase (decrease)		574,589		$	3,909,630			(33,126	)	$	(407,540	)
Fundamental Growth Fund Class A
Sold		213,865		$	1,490,234			383,245		$	3,132,181
Issued as reinvestment of dividends		544,322			3,200,614			155,351			1,186,880
Redeemed		(768,837	)		(5,654,289	)		(454,656	)		(3,694,993	)
Net increase (decrease)		(10,650	)	$	(963,441	)		83,940		$	624,068
Fundamental Growth Fund Class R4
Sold		33,222		$	236,631			124,590		$	1,007,251
Issued as reinvestment of dividends		93,125			540,125			27,471			207,679
Redeemed		(264,950	)		(1,746,233	)		(219,393	)		(1,796,596	)
Net increase (decrease)		(138,603	)	$	(969,477	)		(67,332	)	$	(581,666	)
Fundamental Growth Fund Class R3
Sold		149,242		$	902,211			86,901		$	674,934
Issued as reinvestment of dividends		120,853			647,771			26,383			188,116
Redeemed		(237,264	)		(1,531,084	)		(33,468	)		(260,395	)
Net increase (decrease)		32,831		$	18,898			79,816		$	602,655
Blue Chip Growth Fund Class I
Sold		20,120,565		$	437,855,749			27,922,938		$	606,060,634
Issued as reinvestment of dividends		5,344,396			102,719,292			2,609,677			53,054,734
Redeemed		(16,761,416	)		(366,703,510	)		(8,189,323	)		(176,665,899	)
Net increase (decrease)		8,703,545		$	173,871,531			22,343,292		$	482,449,469
Blue Chip Growth Fund Class R5
Sold		3,464,828		$	75,999,367			3,699,329		$	79,403,173
Issued as reinvestment of dividends		1,416,732			27,201,261			979,984			19,903,474
Redeemed		(6,350,192	)		(138,238,848	)		(5,577,312	)		(118,536,052	)
Net increase (decrease)		(1,468,632	)	$	(35,038,220	)		(897,999	)	$	(19,229,405	)

323

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Blue Chip Growth Fund Service Class
Sold		860,467		$	19,184,637			1,387,212		$	29,669,612
Issued as reinvestment of dividends		325,475			6,197,046			297,266			5,983,959
Redeemed		(1,432,997	)		(31,181,500	)		(3,194,111	)		(69,544,504	)
Net increase (decrease)		(247,055	)	$	(5,799,817	)		(1,509,633	)	$	(33,890,933	)
Blue Chip Growth Fund Administrative Class
Sold		2,195,385		$	47,310,357			2,979,186		$	62,549,323
Issued as reinvestment of dividends		886,207			16,625,240			566,933			11,264,966
Redeemed		(2,815,023	)		(60,297,086	)		(3,025,323	)		(63,681,549	)
Net increase (decrease)		266,569		$	3,638,511			520,796		$	10,132,740
Blue Chip Growth Fund Class A
Sold		1,653,800		$	34,076,522			2,446,448		$	50,653,746
Issued as reinvestment of dividends		584,097			10,484,536			337,118			6,428,841
Redeemed		(2,735,931	)		(55,700,237	)		(2,445,100	)		(48,591,089	)
Net increase (decrease)		(498,034	)	$	(11,139,179	)		338,466		$	8,491,498
Blue Chip Growth Fund Class R4
Sold		1,131,356		$	22,931,648			2,014,709		$	40,412,074
Issued as reinvestment of dividends		356,162			6,375,294			183,950			3,498,721
Redeemed		(1,388,803	)		(28,328,753	)		(870,234	)		(17,627,438	)
Net increase (decrease)		98,715		$	978,189			1,328,425		$	26,283,357
Blue Chip Growth Fund Class R3
Sold		961,661		$	18,198,359			1,116,021		$	20,979,169
Issued as reinvestment of dividends		217,503			3,632,300			109,308			1,952,233
Redeemed		(1,033,239	)		(19,462,628	)		(596,870	)		(11,502,582	)
Net increase (decrease)		145,925		$	2,368,031			628,459		$	11,428,820
Growth Opportunities Fund Class I
Sold		4,727,649		$	46,549,167			4,491,570		$	54,645,374
Issued as reinvestment of dividends		8,972,720			76,357,844			4,173,840			45,787,023
Redeemed		(26,787,530	)		(270,109,096	)		(10,712,581	)		(131,532,284	)
Net increase (decrease)		(13,087,161	)	$	(147,202,085	)		(2,047,171	)	$	(31,099,887	)
Growth Opportunities Fund Class R5
Sold		1,719,230		$	17,847,569			2,837,783		$	34,012,454
Issued as reinvestment of dividends		3,600,399			30,171,346			1,927,725			20,915,820
Redeemed		(4,390,156	)		(42,115,991	)		(8,656,231	)		(102,814,178	)
Net increase (decrease)		929,473		$	5,902,924			(3,890,723	)	$	(47,885,904	)
Growth Opportunities Fund Service Class
Sold		2,094,944		$	17,966,463			799,010		$	9,349,867
Issued as reinvestment of dividends		1,678,129			13,542,503			920,083			9,706,876
Redeemed		(1,574,323	)		(15,819,204	)		(2,744,118	)		(31,876,735	)
Net increase (decrease)		2,198,750		$	15,689,762			(1,025,025	)	$	(12,819,992	)
Growth Opportunities Fund Administrative Class
Sold		973,514		$	9,031,349			765,213		$	8,588,092
Issued as reinvestment of dividends		1,489,497			11,409,550			954,399			9,696,696
Redeemed		(1,798,663	)		(17,062,311	)		(5,073,783	)		(56,798,424	)
Net increase (decrease)		664,348		$	3,378,588			(3,354,171	)	$	(38,513,636	)

324

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Growth Opportunities Fund Class A
Sold		282,511		$	2,394,294			668,341		$	6,930,642
Issued as reinvestment of dividends		1,594,182			10,999,852			1,042,788			9,843,919
Redeemed		(1,834,271	)		(15,638,953	)		(4,604,697	)		(48,205,597	)
Net increase (decrease)		42,422		$	(2,244,807	)		(2,893,568	)	$	(31,431,036	)
Growth Opportunities Fund Class R4
Sold		485,721		$	4,221,113			976,355		$	10,349,052
Issued as reinvestment of dividends		536,219			3,732,083			209,731			1,990,343
Redeemed		(1,334,831	)		(11,495,660	)		(568,761	)		(6,014,784	)
Net increase (decrease)		(312,891	)	$	(3,542,464	)		617,325		$	6,324,611
Growth Opportunities Fund Class R3
Sold		52,441		$	355,497			24,659		$	233,639
Issued as reinvestment of dividends		38,203			234,569			16,201			140,948
Redeemed		(58,142	)		(457,602	)		(52,547	)		(508,073	)
Net increase (decrease)		32,502		$	132,464			(11,687	)	$	(133,486	)
Mid-Cap Value Fund Class I
Sold		1,945,607		$	23,014,843			1,662,015		$	23,443,883
Issued as reinvestment of dividends		1,090,387			11,503,586			862,732			11,655,504
Redeemed		(1,991,844	)		(23,399,140	)		(1,432,343	)		(20,720,531	)
Net increase (decrease)		1,044,150		$	11,119,289			1,092,404		$	14,378,856
Mid-Cap Value Fund Class R5
Sold		45,600		$	583,696			125,775		$	1,765,699
Issued as reinvestment of dividends		14,885			158,819			80,283			1,093,454
Redeemed		(21,440	)		(259,078	)		(615,912	)		(8,681,086	)
Net increase (decrease)		39,045		$	483,437			(409,854	)	$	(5,821,933	)
Mid-Cap Value Fund Service Class
Sold		1,014		$	11,944			30,572		$	435,835
Issued as reinvestment of dividends		2,935			31,115			22,609			307,031
Redeemed		(4,756	)		(58,726	)		(166,214	)		(2,294,463	)
Net increase (decrease)		(807	)	$	(15,667	)		(113,033	)	$	(1,551,597	)
Mid-Cap Value Fund Administrative Class
Sold		5,515		$	66,815			10,871		$	152,547
Issued as reinvestment of dividends		9,647			104,376			8,501			117,314
Redeemed		(7,203	)		(89,945	)		(9,886	)		(143,858	)
Net increase (decrease)		7,959		$	81,246			9,486		$	126,003
Mid-Cap Value Fund Class A
Sold		101,575		$	1,218,321			52,077		$	720,703
Issued as reinvestment of dividends		23,871			253,992			22,442			304,984
Redeemed		(76,895	)		(949,066	)		(42,655	)		(606,188	)
Net increase (decrease)		48,551		$	523,247			31,864		$	419,499
Mid-Cap Value Fund Class R4
Sold		62,837		$	818,137			14,612		$	199,287
Issued as reinvestment of dividends		9,964			104,519			320			4,319
Redeemed		(9,445	)		(110,959	)		(1,592	)		(22,457	)
Net increase (decrease)		63,356		$	811,697			13,340		$	181,149

325

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Mid-Cap Value Fund Class R3
Sold		11,335		$	135,286			6,751		$	92,870
Issued as reinvestment of dividends		4,619			48,457			3,721			50,014
Redeemed		(2,480	)		(30,141	)		(5,036	)		(70,522	)
Net increase (decrease)		13,474		$	153,602			5,436		$	72,362
Small Cap Value Equity Fund Class I
Sold		2,378,615		$	27,063,398			1,073,053		$	18,964,284
Issued as reinvestment of dividends		1,308,313			12,834,546			760,149			12,580,472
Redeemed		(2,233,910	)		(26,110,628	)		(5,268,661	)		(86,522,657	)
Net increase (decrease)		1,453,018		$	13,787,316			(3,435,459	)	$	(54,977,901	)
Small Cap Value Equity Fund Class R5
Sold		467,994		$	5,342,829			377,439		$	6,540,149
Issued as reinvestment of dividends		1,153,330			11,337,239			303,131			5,022,873
Redeemed		(2,470,021	)		(25,867,486	)		(758,609	)		(13,333,897	)
Net increase (decrease)		(848,697	)	$	(9,187,418	)		(78,039	)	$	(1,770,875	)
Small Cap Value Equity Fund Service Class
Sold		51,953		$	616,718			70,253		$	1,232,101
Issued as reinvestment of dividends		133,804			1,323,324			60,094			998,169
Redeemed		(83,070	)		(1,166,130	)		(305,988	)		(5,359,984	)
Net increase (decrease)		102,687		$	773,912			(175,641	)	$	(3,129,714	)
Small Cap Value Equity Fund Administrative Class
Sold		36,730		$	413,940			27,568		$	478,320
Issued as reinvestment of dividends		137,435			1,349,611			35,949			594,964
Redeemed		(169,471	)		(1,876,188	)		(276,558	)		(5,106,308	)
Net increase (decrease)		4,694		$	(112,637	)		(213,041	)	$	(4,033,024	)
Small Cap Value Equity Fund Class A
Sold		187,524		$	2,414,070			163,252		$	2,904,455
Issued as reinvestment of dividends		332,515			3,228,716			77,999			1,283,851
Redeemed		(442,523	)		(4,925,205	)		(178,603	)		(3,070,935	)
Net increase (decrease)		77,516		$	717,581			62,648		$	1,117,371
Small Cap Value Equity Fund Class R4
Sold		229,789		$	2,518,800			112,167		$	1,980,617
Issued as reinvestment of dividends		87,434			841,985			23,137			378,288
Redeemed		(111,623	)		(1,275,286	)		(87,003	)		(1,471,085	)
Net increase (decrease)		205,600		$	2,085,499			48,301		$	887,820
Small Cap Value Equity Fund Class R3
Sold		21,902		$	245,409			22,608		$	391,957
Issued as reinvestment of dividends		41,761			400,490			8,675			141,745
Redeemed		(71,603	)		(794,665	)		(12,654	)		(214,374	)
Net increase (decrease)		(7,940	)	$	(148,766	)		18,629		$	319,328
Small Company Value Fund Class I
Sold		1,398,393		$	12,943,322			1,251,950		$	14,908,407
Issued as reinvestment of dividends		1,652,823			13,734,961			1,734,091			19,733,950
Redeemed		(1,285,919	)		(12,178,157	)		(2,737,609	)		(33,011,415	)
Net increase (decrease)		1,765,297		$	14,500,126			248,432		$	1,630,942

326

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Small Company Value Fund Class R5
Sold		1,884,740		$	17,378,409			295,412		$	3,551,757
Issued as reinvestment of dividends		1,160,945			9,717,110			1,261,263			14,441,452
Redeemed		(762,859	)		(7,270,219	)		(1,714,042	)		(20,675,009	)
Net increase (decrease)		2,282,826		$	19,825,300			(157,367	)	$	(2,681,800	)
Small Company Value Fund Service Class
Sold		96,178		$	900,268			113,719		$	1,346,727
Issued as reinvestment of dividends		125,400			1,044,582			174,467			1,987,189
Redeemed		(199,547	)		(1,948,132	)		(521,843	)		(6,305,840	)
Net increase (decrease)		22,031		$	(3,282	)		(233,657	)	$	(2,971,924	)
Small Company Value Fund Administrative Class
Sold		125,580		$	1,148,139			110,180		$	1,289,026
Issued as reinvestment of dividends		232,190			1,890,022			234,373			2,620,296
Redeemed		(318,316	)		(2,878,806	)		(253,709	)		(2,937,348	)
Net increase (decrease)		39,454		$	159,355			90,844		$	971,974
Small Company Value Fund Class A
Sold		202,547		$	1,774,108			136,050		$	1,563,495
Issued as reinvestment of dividends		353,245			2,762,377			388,430			4,202,821
Redeemed		(466,722	)		(4,213,426	)		(492,967	)		(5,460,752	)
Net increase (decrease)		89,070		$	323,059			31,513		$	305,564
Small Company Value Fund Class R4
Sold		3,894		$	33,662			16,687		$	189,084
Issued as reinvestment of dividends		10,400			80,185			7,658			81,786
Redeemed		(9,695	)		(86,455	)		(6,679	)		(75,938	)
Net increase (decrease)		4,599		$	27,392			17,666		$	194,932
Small Company Value Fund Class R3
Sold		23,453		$	194,684			40,078		$	414,584
Issued as reinvestment of dividends		10,406			74,193			3,750			37,646
Redeemed		(19,683	)		(154,506	)		(19,182	)		(200,776	)
Net increase (decrease)		14,176		$	114,371			24,646		$	251,454
S&P Mid Cap Index Fund Class I
Sold		2,474,940		$	32,652,821			1,710,520		$	25,510,991
Issued as reinvestment of dividends		361,061			4,293,020			245,010			3,457,088
Redeemed		(1,114,159	)		(15,035,481	)		(1,121,485	)		(16,348,171	)
Net increase (decrease)		1,721,842		$	21,910,360			834,045		$	12,619,908
S&P Mid Cap Index Fund Class R5
Sold		1,495,280		$	19,691,738			520,837		$	7,617,125
Issued as reinvestment of dividends		112,801			1,337,826			118,866			1,672,445
Redeemed		(706,857	)		(9,044,335	)		(992,110	)		(14,782,561	)
Net increase (decrease)		901,224		$	11,985,229			(352,407	)	$	(5,492,991	)
S&P Mid Cap Index Fund Service Class
Sold		315,675		$	4,111,233			506,916		$	7,295,262
Issued as reinvestment of dividends		139,718			1,650,071			119,862			1,680,468
Redeemed		(684,608	)		(9,129,359	)		(657,849	)		(9,592,868	)
Net increase (decrease)		(229,215	)	$	(3,368,055	)		(31,071	)	$	(617,138	)

327

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
S&P Mid Cap Index Fund Administrative Class
Sold		768,706		$	10,364,039			750,740		$	10,902,591
Issued as reinvestment of dividends		339,249			4,009,925			282,401			3,959,269
Redeemed		(1,507,027	)		(19,901,787	)		(965,946	)		(14,039,300	)
Net increase (decrease)		(399,072	)	$	(5,527,823	)		67,195		$	822,560
S&P Mid Cap Index Fund Class A
Sold		783,216		$	10,436,417			675,460		$	9,825,989
Issued as reinvestment of dividends		171,271			2,022,709			156,776			2,196,437
Redeemed		(751,098	)		(10,003,486	)		(730,629	)		(10,469,166	)
Net increase (decrease)		203,389		$	2,455,640			101,607		$	1,553,260
S&P Mid Cap Index Fund Class R4
Sold		1,042,070		$	13,729,082			1,298,679		$	18,792,675
Issued as reinvestment of dividends		676,847			7,946,180			588,811			8,202,143
Redeemed		(2,743,741	)		(36,368,468	)		(2,001,785	)		(28,933,451	)
Net increase (decrease)		(1,024,824	)	$	(14,693,206	)		(114,295	)	$	(1,938,633	)
S&P Mid Cap Index Fund Class R3
Sold		1,206,282		$	15,693,928			1,253,294		$	18,025,878
Issued as reinvestment of dividends		725,807			8,491,936			639,505			8,882,727
Redeemed		(2,726,508	)		(35,712,446	)		(1,872,554	)		(26,802,112	)
Net increase (decrease)		(794,419	)	$	(11,526,582	)		20,245		$	106,493
Russell 2000 Small Cap Index Fund Class I
Sold		2,071,938		$	25,558,462			1,693,358		$	24,058,494
Issued as reinvestment of dividends		440,962			4,859,403			406,889			5,350,588
Redeemed		(1,102,532	)		(13,545,427	)		(977,194	)		(13,516,985	)
Net increase (decrease)		1,410,368		$	16,872,438			1,123,053		$	15,892,097
Russell 2000 Small Cap Index Fund Class R5
Sold		473,631		$	5,760,788			552,029		$	7,861,714
Issued as reinvestment of dividends		111,344			1,227,006			125,824			1,654,589
Redeemed		(839,484	)		(10,461,374	)		(326,142	)		(4,526,850	)
Net increase (decrease)		(254,509	)	$	(3,473,580	)		351,711		$	4,989,453
Russell 2000 Small Cap Index Fund Service Class
Sold		333,113		$	3,925,612			458,534		$	6,330,665
Issued as reinvestment of dividends		93,930			1,027,598			142,175			1,855,393
Redeemed		(1,011,383	)		(12,562,753	)		(659,438	)		(9,195,016	)
Net increase (decrease)		(584,340	)	$	(7,609,543	)		(58,729	)	$	(1,008,958	)
Russell 2000 Small Cap Index Fund Administrative Class
Sold		1,372,351		$	16,841,132			814,282		$	11,264,602
Issued as reinvestment of dividends		315,607			3,462,205			384,273			5,030,138
Redeemed		(1,262,009	)		(15,306,734	)		(1,242,969	)		(17,333,317	)
Net increase (decrease)		425,949		$	4,996,603			(44,414	)	$	(1,038,577	)
Russell 2000 Small Cap Index Fund Class A
Sold		492,327		$	6,014,638			565,101		$	7,913,589
Issued as reinvestment of dividends		161,024			1,758,380			175,995			2,293,220
Redeemed		(739,494	)		(9,099,099	)		(391,362	)		(5,428,302	)
Net increase (decrease)		(86,143	)	$	(1,326,081	)		349,734		$	4,778,507

328

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Russell 2000 Small Cap Index Fund Class R4
Sold		1,189,568		$	14,159,392			1,437,265		$	19,759,601
Issued as reinvestment of dividends		428,619			4,654,800			477,348			6,191,199
Redeemed		(1,809,012	)		(21,953,896	)		(1,278,286	)		(17,553,421	)
Net increase (decrease)		(190,825	)	$	(3,139,704	)		636,327		$	8,397,379
Russell 2000 Small Cap Index Fund Class R3
Sold		810,412		$	9,735,585			1,078,966		$	14,915,556
Issued as reinvestment of dividends		384,302			4,158,146			436,960			5,645,520
Redeemed		(1,455,406	)		(17,722,915	)		(770,173	)		(10,593,935	)
Net increase (decrease)		(260,692	)	$	(3,829,184	)		745,753		$	9,967,141
Mid Cap Growth Fund Class I
Sold		48,309,809		$	1,057,593,667			106,045,996		$	2,386,925,707
Issued as reinvestment of dividends		22,611,204			430,517,322			9,620,907			206,368,454
Redeemed		(42,622,650	)		(942,411,286	)		(29,422,303	)		(667,688,595	)
Net increase (decrease)		28,298,363		$	545,699,703			86,244,600		$	1,925,605,566
Mid Cap Growth Fund Class R5
Sold		11,799,308		$	259,087,615			19,294,876		$	433,882,970
Issued as reinvestment of dividends		6,342,925			119,564,131			3,523,301			74,905,380
Redeemed		(15,282,524	)		(334,060,635	)		(12,903,655	)		(289,631,011	)
Net increase (decrease)		2,859,709		$	44,591,111			9,914,522		$	219,157,339
Mid Cap Growth Fund Service Class
Sold		2,704,076		$	58,013,252			8,574,105		$	188,578,981
Issued as reinvestment of dividends		1,781,398			32,706,464			833,157			17,313,004
Redeemed		(5,264,743	)		(113,466,899	)		(3,878,551	)		(84,403,023	)
Net increase (decrease)		(779,269	)	$	(22,747,183	)		5,528,711		$	121,488,962
Mid Cap Growth Fund Administrative Class
Sold		1,297,301		$	26,753,541			1,986,778		$	41,170,330
Issued as reinvestment of dividends		1,593,776			27,875,145			1,151,989			22,936,108
Redeemed		(4,441,398	)		(91,601,576	)		(4,595,679	)		(96,216,789	)
Net increase (decrease)		(1,550,321	)	$	(36,972,890	)		(1,456,912	)	$	(32,110,351	)
Mid Cap Growth Fund Class A
Sold		1,272,860		$	24,177,566			1,453,738		$	28,270,597
Issued as reinvestment of dividends		1,467,530			23,553,860			1,026,344			18,966,835
Redeemed		(4,358,596	)		(81,640,233	)		(3,667,719	)		(71,670,557	)
Net increase (decrease)		(1,618,206	)	$	(33,908,807	)		(1,187,637	)	$	(24,433,125	)
Mid Cap Growth Fund Class R4
Sold		2,749,878		$	52,170,375			6,240,281		$	121,634,163
Issued as reinvestment of dividends		1,271,897			20,553,850			529,521			9,838,503
Redeemed		(3,797,243	)		(71,740,786	)		(2,285,592	)		(44,855,462	)
Net increase (decrease)		224,532		$	983,439			4,484,210		$	86,617,204
Mid Cap Growth Fund Class R3
Sold		428,551		$	7,314,380			754,458		$	13,620,552
Issued as reinvestment of dividends		236,934			3,485,296			135,936			2,328,583
Redeemed		(691,174	)		(11,782,894	)		(582,682	)		(10,570,267	)
Net increase (decrease)		(25,689	)	$	(983,218	)		307,712		$	5,378,868

329

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Small Cap Growth Equity Fund Class I
Sold		2,812,583		$	42,624,811			2,924,362		$	51,116,072
Issued as reinvestment of dividends		4,305,827			53,822,840			1,069,025			16,698,170
Redeemed		(9,706,385	)		(146,870,762	)		(3,278,606	)		(56,795,183	)
Net increase (decrease)		(2,587,975	)	$	(50,423,111	)		714,781		$	11,019,059
Small Cap Growth Equity Fund Class R5
Sold		1,093,405		$	16,831,930			1,228,567		$	21,315,910
Issued as reinvestment of dividends		1,666,669			20,516,696			406,496			6,280,358
Redeemed		(1,791,360	)		(27,109,343	)		(1,749,607	)		(29,514,961	)
Net increase (decrease)		968,714		$	10,239,283			(114,544	)	$	(1,918,693	)
Small Cap Growth Equity Fund Service Class
Sold		728,699		$	10,098,422			646,662		$	10,375,604
Issued as reinvestment of dividends		408,687			4,720,329			132,269			1,941,712
Redeemed		(598,963	)		(8,609,337	)		(1,172,346	)		(18,650,379	)
Net increase (decrease)		538,423		$	6,209,414			(393,415	)	$	(6,333,063	)
Small Cap Growth Equity Fund Administrative Class
Sold		453,290		$	5,939,526			381,883		$	5,886,187
Issued as reinvestment of dividends		509,687			5,468,942			134,214			1,858,860
Redeemed		(910,471	)		(11,565,422	)		(559,398	)		(8,416,186	)
Net increase (decrease)		52,506		$	(156,954	)		(43,301	)	$	(671,139	)
Small Cap Growth Equity Fund Class A
Sold		905,145		$	10,671,629			683,664		$	9,487,262
Issued as reinvestment of dividends		836,159			7,809,728			182,225			2,268,704
Redeemed		(1,640,833	)		(18,583,430	)		(749,897	)		(10,059,974	)
Net increase (decrease)		100,471		$	(102,073	)		115,992		$	1,695,992
Small Cap Growth Equity Fund Class R4
Sold		239,275		$	2,797,544			757,946		$	10,009,304
Issued as reinvestment of dividends		267,596			2,518,076			65,303			817,599
Redeemed		(306,010	)		(3,430,817	)		(303,412	)		(4,212,384	)
Net increase (decrease)		200,861		$	1,884,803			519,837		$	6,614,519
Small Cap Growth Equity Fund Class R3
Sold		102,157		$	1,049,741			75,692		$	933,710
Issued as reinvestment of dividends		70,771			568,996			16,040			178,364
Redeemed		(88,254	)		(884,972	)		(89,552	)		(1,091,755	)
Net increase (decrease)		84,674		$	733,765			2,180		$	20,319
MSCI EAFE International Index Fund Class I
Sold		1,858,350		$	21,930,444			1,818,207		$	24,467,405
Issued as reinvestment of dividends		179,709			1,978,597			139,700			1,825,880
Redeemed		(1,008,871	)		(12,129,111	)		(1,317,110	)		(17,319,265	)
Net increase (decrease)		1,029,188		$	11,779,930			640,797		$	8,974,020
MSCI EAFE International Index Fund Class R5
Sold		1,246,275		$	14,886,208			386,722		$	5,132,620
Issued as reinvestment of dividends		51,435			566,304			45,672			596,929
Redeemed		(469,118	)		(5,280,547	)		(469,624	)		(6,257,656	)
Net increase (decrease)		828,592		$	10,171,965			(37,230	)	$	(528,107	)

330

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MSCI EAFE International Index Fund Service Class
Sold		234,420		$	2,766,171			1,339,076		$	17,542,339
Issued as reinvestment of dividends		99,609			1,092,714			86,725			1,130,032
Redeemed		(2,147,939	)		(25,573,583	)		(1,230,367	)		(16,439,630	)
Net increase (decrease)		(1,813,910	)	$	(21,714,698	)		195,434		$	2,232,741
MSCI EAFE International Index Fund Administrative Class
Sold		926,255		$	11,150,706			788,028		$	10,421,313
Issued as reinvestment of dividends		137,635			1,509,852			143,341			1,866,307
Redeemed		(715,819	)		(8,428,749	)		(1,254,108	)		(16,536,019	)
Net increase (decrease)		348,071		$	4,231,809			(322,739	)	$	(4,248,399	)
MSCI EAFE International Index Fund Class A
Sold		533,883		$	6,317,776			493,666		$	6,494,986
Issued as reinvestment of dividends		75,914			831,254			59,018			767,230
Redeemed		(370,733	)		(4,397,854	)		(206,788	)		(2,721,005	)
Net increase (decrease)		239,064		$	2,751,176			345,896		$	4,541,211
MSCI EAFE International Index Fund Class R4
Sold		923,407		$	10,969,746			1,090,490		$	14,317,114
Issued as reinvestment of dividends		177,254			1,930,293			141,092			1,824,319
Redeemed		(1,429,114	)		(17,017,857	)		(888,262	)		(11,675,852	)
Net increase (decrease)		(328,453	)	$	(4,117,818	)		343,320		$	4,465,581
MSCI EAFE International Index Fund Class R3
Sold		591,425		$	6,917,634			929,017		$	12,097,047
Issued as reinvestment of dividends		152,169			1,654,082			126,420			1,630,816
Redeemed		(910,821	)		(10,764,134	)		(623,004	)		(8,147,488	)
Net increase (decrease)		(167,227	)	$	(2,192,418	)		432,433		$	5,580,375
Overseas Fund Class I
Sold		14,609,132		$	120,038,774			16,382,807		$	157,236,666
Issued as reinvestment of dividends		4,898,796			35,516,273			626,088			5,991,661
Redeemed		(16,203,816	)		(130,239,124	)		(11,717,665	)		(113,037,203	)
Net increase (decrease)		3,304,112		$	25,315,923			5,291,230		$	50,191,124
Overseas Fund Class R5
Sold		1,459,284		$	12,060,545			1,228,420		$	12,000,606
Issued as reinvestment of dividends		1,669,379			12,169,771			298,765			2,868,140
Redeemed		(2,820,212	)		(23,406,690	)		(3,242,082	)		(31,461,927	)
Net increase (decrease)		308,451		$	823,626			(1,714,897	)	$	(16,593,181	)
Overseas Fund Service Class
Sold		649,470		$	5,243,843			447,238		$	4,351,186
Issued as reinvestment of dividends		516,809			3,746,863			84,945			811,229
Redeemed		(952,999	)		(7,822,046	)		(1,085,548	)		(10,471,888	)
Net increase (decrease)		213,280		$	1,168,660			(553,365	)	$	(5,309,473	)
Overseas Fund Administrative Class
Sold		427,042		$	3,527,754			364,866		$	3,567,637
Issued as reinvestment of dividends		378,883			2,773,420			67,313			648,222
Redeemed		(1,537,146	)		(12,558,385	)		(1,335,957	)		(13,039,971	)
Net increase (decrease)		(731,221	)	$	(6,257,211	)		(903,778	)	$	(8,824,112	)

331

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Overseas Fund Class A
Sold		351,246		$	2,818,127			686,351		$	6,517,882
Issued as reinvestment of dividends		480,193			3,438,187			76,040			717,822
Redeemed		(1,682,419	)		(13,735,511	)		(1,525,836	)		(14,407,042	)
Net increase (decrease)		(850,980	)	$	(7,479,197	)		(763,445	)	$	(7,171,338	)
Overseas Fund Class R4
Sold		650,327		$	5,086,326			806,851		$	7,554,391
Issued as reinvestment of dividends		189,387			1,327,602			19,598			181,675
Redeemed		(405,833	)		(3,180,421	)		(245,040	)		(2,301,816	)
Net increase (decrease)		433,881		$	3,233,507			581,409		$	5,434,250
Overseas Fund Class R3
Sold		127,320		$	987,475			183,133		$	1,755,399
Issued as reinvestment of dividends		53,631			380,242			4,616			43,251
Redeemed		(194,368	)		(1,565,065	)		(106,215	)		(1,001,213	)
Net increase (decrease)		(13,417	)	$	(197,348	)		81,534		$	797,437
MM Select T. Rowe Price International Equity Fund Class I*
Sold		46,463,148		$	421,225,038			88,866,991		$	903,964,611
Issued as reinvestment of dividends		-	**		3			-			-
Redeemed		(9,486,051	)		(86,806,694	)		(5,442,488	)		(53,597,535	)
Net increase (decrease)		36,977,097		$	334,418,347			83,424,503		$	850,367,076

* Fund commenced operations on February 9, 2018.

** Less than 0.5 shares

Purchases of Class A shares are subject to a front-end sales charge of up to 5.50% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. The Distributor retained $45 for the Fundamental Value Fund during the year ended September 30, 2019.

Redemptions of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the year ended September 30, 2019, were waived for any redemptions subject to such a charge.

6. Federal Income Tax Information

At September 30, 2019, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Total Return Bond Fund	$	921,594,478	$	23,957,217	$	(2,862,024	)	$	21,095,193
Strategic Bond Fund		733,142,805		38,093,780		(8,657,897	)		29,435,883
Diversified Value Fund		342,194,841		35,358,728		(16,310,216	)		19,048,512
Fundamental Value Fund		661,043,394		70,445,169		(21,185,045	)		49,260,124
S&P 500 Index Fund		1,985,003,539		1,409,717,349		(90,481,025	)		1,319,236,324
Equity Opportunities Fund		536,529,581		109,983,417		(8,924,781	)		101,058,636

332

Notes to Financial Statements (Continued)

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Fundamental Growth Fund	$	122,517,435	$	18,619,529	$	(688,994	)	$	17,930,535
Blue Chip Growth Fund		2,187,389,479		1,016,496,817		(46,150,805	)		970,346,012
Growth Opportunities Fund		358,416,034		129,362,513		(13,639,447	)		115,723,066
Mid-Cap Value Fund		94,878,235		7,877,064		(3,306,271	)		4,570,793
Small Cap Value Equity Fund		81,963,831		11,538,805		(5,353,274	)		6,185,531
Small Company Value Fund		211,749,351		9,437,999		(8,820,699	)		617,300
S&P Mid Cap Index Fund		432,681,286		83,622,253		(39,949,859	)		43,672,394
Russell 2000 Small Cap Index Fund		301,128,693		46,968,316		(40,992,751	)		5,975,565
Mid Cap Growth Fund		7,281,475,779		1,731,282,176		(304,939,371	)		1,426,342,805
Small Cap Growth Equity Fund		472,847,963		72,809,852		(21,275,770	)		51,534,082
MSCI EAFE International Index Fund		222,028,139		25,246,376		(19,921,904	)		5,324,472
Overseas Fund		582,013,968		54,495,005		(57,261,532	)		(2,766,527	)
MM Select T. Rowe Price International Equity Fund		1,181,737,786		66,878,762		(118,459,722	)		(51,580,960	)

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At September 30, 2019, for federal income tax purposes, there were no unused capital losses.

At September 30, 2019, the following Fund(s) had post-enactment accumulated capital loss carryforwards:

	Short Term Capital Loss Carryforward		Long Term Capital Loss Carryforward
Total Return Bond Fund	$	457,470	$	6,655,359
Mid-Cap Value Fund		159,993		1,196,526
MM Select T. Rowe Price International Equity Fund		1,215,088		-

Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.

The following Fund(s) elected to defer to the fiscal year beginning October 1, 2019, post-October capital losses:

	Post-October Loss		Post October Currency Loss
MM Select T. Rowe Price International Equity Fund	$	21,850,103	$	-

The following Fund(s) elected to defer to the fiscal year beginning October 1, 2019, late year ordinary losses:

	Amount
Small Cap Growth Equity Fund	$	928,429

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

333

Notes to Financial Statements (Continued)

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2019, was as follows:

	Ordinary Income		Long Term Capital Gain
Total Return Bond Fund	$	24,005,252	$	-
Strategic Bond Fund		16,531,126		-
Diversified Value Fund		8,107,115		51,132,228
Fundamental Value Fund		38,539,562		92,443,331
S&P 500 Index Fund		53,817,372		416,450,380
Equity Opportunities Fund		21,454,090		38,166,084
Fundamental Growth Fund		728,938		25,716,971
Blue Chip Growth Fund		6,807,061		166,446,913
Growth Opportunities Fund		-		146,448,375
Mid-Cap Value Fund		4,989,486		7,239,678
Small Cap Value Equity Fund		1,437,014		29,878,899
Small Company Value Fund		7,448,487		21,866,406
S&P Mid Cap Index Fund		8,683,329		21,068,338
Russell 2000 Small Cap Index Fund		5,201,838		15,945,702
Mid Cap Growth Fund		72,958,205		597,430,565
Small Cap Growth Equity Fund		13,279,054		82,148,016
MSCI EAFE International Index Fund		5,501,001		4,062,095
Overseas Fund		13,288,318		46,064,137
MM Select T. Rowe Price International Equity Fund		14,075,026		-

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2018, was as follows:

	Ordinary Income		Long Term Capital Gain
Total Return Bond Fund	$	22,716,659	$	-
Strategic Bond Fund		11,102,500		-
Diversified Value Fund		7,580,026		64,296,394
Fundamental Value Fund		25,437,490		167,889,366
S&P 500 Index Fund		63,804,724		566,868,546
Equity Opportunities Fund		75,822,779		135,575,442
Fundamental Growth Fund		1,662,079		8,920,434
Blue Chip Growth Fund		7,490,870		94,596,080
Growth Opportunities Fund		-		98,081,992
Mid-Cap Value Fund		7,730,200		5,817,778
Small Cap Value Equity Fund		1,238,240		19,762,122
Small Company Value Fund		9,149,989		33,972,407
S&P Mid Cap Index Fund		7,711,969		22,338,608
Russell 2000 Small Cap Index Fund		7,956,792		20,063,855
Mid Cap Growth Fund		28,672,714		327,996,580
Small Cap Growth Equity Fund		-		30,043,778
MSCI EAFE International Index Fund		7,487,741		2,153,772
Overseas Fund		11,262,015		-
MM Select T. Rowe Price International Equity Fund		-		-

334

Notes to Financial Statements (Continued)

The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2019:

	Amount
MSCI EAFE International Index Fund	$	481,661
Overseas Fund		1,251,642
MM Select T. Rowe Price International Equity Fund		2,478,875

Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2019, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.

At September 30, 2019, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
Total Return Bond Fund	$	18,777,287	$	(7,112,829	)	$	(169,053	)	$	20,965,082
Strategic Bond Fund		24,960,304		1,361,362			(49,051	)		22,457,466
Diversified Value Fund		6,266,053		17,362,489			(158,798	)		19,047,756
Fundamental Value Fund		12,850,274		124,000,005			(208,257	)		49,255,315
S&P 500 Index Fund		49,203,009		132,111,320			(472,811	)		1,319,236,324
Equity Opportunities Fund		7,054,263		40,312,043			(127,251	)		101,060,536
Fundamental Growth Fund		-		19,466,434			(17,205	)		17,930,535
Blue Chip Growth Fund		-		156,354,368			(229,666	)		970,346,037
Growth Opportunities Fund		1,881,376		136,871,830			(110,762	)		115,723,066
Mid-Cap Value Fund		966,442		(1,356,519	)		(21,567	)		4,570,793
Small Cap Value Equity Fund		140,090		7,982,062			(22,982	)		6,185,531
Small Company Value Fund		1,174,409		9,023,566			(74,229	)		617,300
S&P Mid Cap Index Fund		3,153,159		9,408,006			(42,135	)		43,672,394
Russell 2000 Small Cap Index Fund		3,825,107		12,639,262			(24,896	)		5,975,565
Mid Cap Growth Fund		31,135		440,394,322			(459,796	)		1,426,342,805
Small Cap Growth Equity Fund		-		56,737,648			(1,044,794	)		51,534,088
MSCI EAFE International Index Fund		5,822,193		1,002,580			(29,383	)		5,322,051
Overseas Fund		14,570,120		9,297,639			(101,813	)		(3,070,194	)
MM Select T. Rowe Price International Equity Fund		25,888,746		(1,215,088	)		(21,871,815	)		(51,646,765	)

During the year ended September 30, 2019, the following amounts were reclassified due to permanent differences between book and tax accounting:

	Paid-in Capital		Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
Total Return Bond Fund	$	356	$	(843,906	)	$	843,550
Strategic Bond Fund		94		(184,575	)		184,481
Diversified Value Fund		27,498		18,501			(45,999	)
Fundamental Value Fund		441		408,459			(408,900	)
S&P 500 Index Fund		978		(10,912,661	)		10,911,683
Equity Opportunities Fund		267		1,022			(1,289	)

335

Notes to Financial Statements (Continued)

	Paid-in Capital			Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
Fundamental Growth Fund	$	35		$	(71,153	)	$	71,118
Blue Chip Growth Fund		442			(3,968,409	)		3,967,967
Growth Opportunities Fund		233			(2,287,741	)		2,287,508
Mid-Cap Value Fund		(158	)		356,347			(356,189	)
Small Cap Value Equity Fund		50			161,713			(161,763	)
Small Company Value Fund		115,102			(147,876	)		32,774
S&P Mid Cap Index Fund		62			907			(969	)
Russell 2000 Small Cap Index Fund		48			(572,291	)		572,243
Mid Cap Growth Fund		845			1,282,409			(1,283,254	)
Small Cap Growth Equity Fund		(118,756	)		221,118			(102,362	)
MSCI EAFE International Index Fund		57			227,707			(227,764	)
Overseas Fund		238			(495,648	)		495,410
MM Select T. Rowe Price International Equity Fund		19			180,643			(180,662	)

The Funds did not have any unrecognized tax benefits at September 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended September 30, 2019, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

8. Acquisition of MassMutual Select Large Cap Value Fund

Effective January 29, 2018, the MassMutual Select Large Cap Value Fund (“Large Cap Value Fund”) reorganized into the Diversified Value Fund. Under the terms of the Agreement and Plan of Reorganization, the Large Cap Value Fund’s assets and liabilities were transferred to the Diversified Value Fund in return for shares of the Diversified Value Fund. The acquisition was accomplished by a tax-free exchange of 8,731,749 Class I shares, 10,580,265 Class R5 shares, 309,967 Service Class shares, 1,663,638 Administrative Class shares, 2,986,826 Class A shares, 74,728 Class R4 shares, and 7,207 Class R3 shares of the Large Cap Value Fund, valued at $207,740,451 in total, for 5,418,748 Class I shares, 6,568,499 Class R5 shares, 193,597 Service Class shares, 1,023,209 Administrative Class shares, 1,848,961 Class A shares, 46,275 Class R4 shares, and 4,375 Class R3 shares of the Diversified Value Fund. The investment portfolio of the Large Cap Value Fund, with a value of $200,826,438 in investments and a cost basis of $150,926,113 at January 26, 2018, was the principal asset acquired by the Diversified Value Fund. For financial reporting purposes, assets received and shares issued by the Diversified Value Fund were recorded at fair value; however, the cost basis of the investments received from the Large Cap Value Fund was carried forward to align ongoing reporting of the Diversified Value Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for federal income tax purposes. Immediately prior to the acquisition, the Diversified Value Fund’s net assets were $268,324,843.

336

Notes to Financial Statements (Continued)

9. New Accounting Pronouncements

In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.

In August 2018, FASB issued Accounting Standards Update 2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy, and the valuation processes for Level 3 fair value measurements. ASU 2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The amendment is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has evaluated the impact of ASU 2018-13 and has early adopted the disclosure requirements and the impact, if any, is reflected within the Funds’ financial statements.

10. Legal Proceedings

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds. On April 5, 2012, the adversary proceeding was transferred to the Southern District of New York for consolidated pretrial proceedings. The action is now being prosecuted by the litigation trustee (“Trustee”) for the Tribune Litigation Trust.

The potential amounts sought to be recovered from the Diversified Value Fund and S&P 500 Index Fund, are approximately $1,621,800 and $1,186,430, respectively, plus interest and the Official Committee’s court costs.

In addition, on June 2, 2011, the Diversified Value Fund and S&P 500 Index Fund, were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds. On December 20, 2011, this action was transferred to the Southern District of New York for consolidated pretrial proceedings.

The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Trustee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset values depending on the net assets of each applicable Fund at the time of such judgment or settlement.

337

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of MassMutual Select Funds and Shareholders of MassMutual Select Total Return Bond Fund, MassMutual Select Strategic Bond Fund, MassMutual Select Diversified Value Fund, MassMutual Select Fundamental Value Fund, MM S&P 500^® Index Fund, MassMutual Select Equity Opportunities Fund, MassMutual Select Fundamental Growth Fund, MassMutual Select Blue Chip Growth Fund, MassMutual Select Growth Opportunities Fund, MassMutual Select Mid-Cap Value Fund, MassMutual Select Small Cap Value Equity Fund, MassMutual Select Small Company Value Fund, MM S&P^® Mid Cap Index Fund, MM Russell 2000^® Small Cap Index Fund, MassMutual Select Mid Cap Growth Fund, MassMutual Select Small Cap Growth Equity Fund, MM MSCI EAFE^® International Index Fund, MassMutual Select Overseas Fund, and MassMutual Select T. Rowe Price International Equity Fund (collectively, the “Funds”):

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments as of September 30, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended, the period from January 1, 2015 through September 30, 2015, and the year ended December 31, 2014 except for the MassMutual Select T. Rowe Price International Equity Fund; the related statement of operations for the year ended September 30, 2019 and the related statement of changes in net asset and financial highlights for the year then ended and the period February 9, 2018 (commencement of operations) to September 30, 2018, for the MassMutual Select T. Rowe Price International Equity Fund; and the related notes.

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds, except MassMutual Select T. Rowe Price International Equity Fund, as of September 30, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended, the period from January 1, 2015 through September 30, 2015, and the year ended December 31, 2014, in conformity with accounting principles generally accepted in the United States of America. Also, in our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of MassMutual Select T. Rowe Price International Equity Fund as of September 30, 2019, and the results of its operations for the year then ended, and the changes in net assets and financial highlights for the year then ended and for the period February 9, 2018 (commencement of operations) through September 30, 2018, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included

338

Report of Independent Registered Public Accounting Firm (Continued)

examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

November 26, 2019

We have served as the auditor of one or more MassMutual investment companies since 1995.

339

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.

Independent Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Allan W. Blair Age: 71	Trustee	Since 2003	Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company).	109	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 61	Trustee	Since 2012	Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC).	109	Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 65	Trustee	Since 2012	Retired.	109	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
R. Alan Hunter, Jr. Age: 72	Chairperson Trustee	Since 2016 Since 2003	Retired.	109	Director (since 2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

340

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
C. Ann Merrifield Age: 68	Trustee	Since 2012	Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company).	109	Director (since 2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 67	Trustee	Since 2009	Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company).	111^	Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Teresa Hassara^^ Age: 57	Trustee	Since 2017	Director (since 2017), MML Advisers; Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF.	109	Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company).

341

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^^ Age: 74	Trustee	Since 2003	Retired.	111^	Director (since 2018), Jefferies Financial Group Inc. (holding company); Director (since 2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technologies, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Principal Officers who are not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Joseph Fallon Age: 44	Vice President Assistant Vice President	Since 2017 2015- 2017	Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (since 2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company).	109
Andrew M. Goldberg Age: 53	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 2001- 2008	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (since 2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	109
Renee Hitchcock Age: 48	Chief Financial Officer and Treasurer Assistant Treasurer	Since 2016 2007- 2016	Head of Mutual Fund Administration (since 2018), Assistant Vice President (since 2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company).	109

342

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Jill Nareau Robert Age: 47	Vice President and Assistant Secretary Assistant Secretary	Since 2017 2008- 2017	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (since 2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company).	109
Douglas Steele Age: 44	Vice President	Since 2016	Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company).	109
Philip S. Wellman Age: 55	Vice President and Chief Compliance Officer	Since 2007	Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds & RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (since 2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	109
Eric H. Wietsma Age: 53	President Vice President	Since 2008 2006- 2008	President (2013-2018, since 2019), Vice President (2018-2019), Director (since 2013), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (since 2010-2018), MassMutual; President (since 2019), Vice President (2006-2019), MML Series Investment Fund (open-end investment company); President (since 2019), Vice President (2006-2019), MML Series Investment Fund II (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	109

* The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees.

^ Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers.

^^ Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

^^^ Mr. Joyal is an Interested Person through his position as a director of Jefferies Financial Group, Inc., which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion.

343

Trustees and Officers (Unaudited) (Continued)

# The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees.

344

Federal Tax Information (Unaudited)

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2019, qualified for the dividends received deduction, as follows:

	Dividends Received Deductions
Diversified Value Fund		99.23%
Fundamental Value Fund		91.18%
S&P 500 Index Fund		98.87%
Equity Opportunities Fund		67.27%
Fundamental Growth Fund		100.00%
Blue Chip Growth Fund		100.00%
Mid-Cap Value Fund		36.72%
Small Cap Value Equity Fund		95.67%
Small Company Value Fund		26.18%
S&P Mid Cap Index Fund		67.36%
Russell 2000 Small Cap Index Fund		41.86%
Mid Cap Growth Fund		60.16%
Small Cap Growth Equity Fund		16.03%
Overseas Fund		79.74%
MM Select T. Rowe Price International Equity Fund		0.83%

For the year ended September 30, 2019, the following Fund(s) earned the following foreign sources of income:

	Amount
MSCI EAFE International Index Fund	$	6,788,917
Overseas Fund		16,167,947
MM Select T. Rowe Price International Equity Fund		32,496,431

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2019:

	Qualified Dividend Income
Diversified Value Fund	$	10,831,221
Fundamental Value Fund		23,010,284
S&P 500 Index Fund		62,400,376
Equity Opportunities Fund		13,695,866
Fundamental Growth Fund		1,362,749
Blue Chip Growth Fund		30,113,879
Growth Opportunities Fund		2,654,430
Mid-Cap Value Fund		2,181,242
Small Cap Value Equity Fund		1,146,066
Small Company Value Fund		2,476,974
S&P Mid Cap Index Fund		5,799,845
Russell 2000 Small Cap Index Fund		2,893,380
Mid Cap Growth Fund		62,291,532
Small Cap Growth Equity Fund		3,051,953
MSCI EAFE International Index Fund		6,241,644
Overseas Fund		15,573,903
MM Select T. Rowe Price International Equity Fund		29,258,826

345

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

For periods ending on or after March 31, 2019, the Funds filed their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT will be available on the SEC’s EDGAR database on its website at http://www.sec.gov. For periods ending prior to March 31, 2019, this information was filed on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov.

Trustees’ Approval of Investment Advisory Contracts

At their meeting in March 2019, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadvisers (the “Independent Trustees”), reviewed and approved a new subadvisory agreement with Invesco Advisers, Inc. (“Invesco Advisers”) for the Small Cap Growth Equity Fund (the “Fund” and the “New Subadvisory Agreement”) due to the expected purchase of the Oppenheimer organization by the Invesco organization. The Trustees discussed with MML Advisers and considered information about, among other things: the nature of the transaction, the familiarity of MML Advisers and the Fund’s Compliance Team with Invesco Advisers, and the general familiarity of the Trustees with Invesco Advisers. The Trustees also considered that the appointment of Invesco Advisers would not result in any change in the investment strategy or portfolio management team of the Fund, or in the fees or expenses of the Fund. In their deliberations, the Trustees were advised by independent counsel.

Prior to the vote being taken to approve the New Subadvisory Agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of such contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

The New Subadvisory Agreement became effective at the close of business on May 24, 2019.

At their meetings in May and June 2019, the Contract Committee (the “Committee”) and the Trustees, including the Independent Trustees, re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the Total Return Bond Fund, Strategic Bond Fund, Diversified Value Fund, Fundamental Value Fund, S&P 500 Index Fund, Equity Opportunities Fund, Fundamental Growth Fund, Blue Chip Growth Fund, Growth Opportunities Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Small Company Value Fund, S&P Mid Cap Index Fund, Russell 2000 Small Cap Index Fund, Mid Cap Growth Fund, Small Cap Growth Equity Fund, MSCI EAFE International Index Fund, Overseas Fund, and MM Select T. Rowe Price International Equity Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadvisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third-Party Report provided detailed comparative advisory fee, total expense, and performance information, as applicable, for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and each of the subadvisers.

346

Other Information (Unaudited) (Continued)

The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s net advisory fee and total net expense ratio against peer funds; and (ii) as applicable, the Fund’s relative performance (over various time periods against funds in its “category” and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s expenses and performance, as applicable, and a recommendation as to the action to be taken by the Committee. The Committee noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (ii) a wide range of information about the subadvisers and their personnel with responsibility for providing services to the Funds and the fees payable to each subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.

The Committee reviewed the expense and performance information, as applicable, for each Fund. (References to any one- or three-year period below are to periods ended December 31, 2018. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)

The Committee considered that the total net expense ratios for all of the Funds other than the Overseas Fund and Russell 2000 Small Cap Index Fund were within the top sixty percent of their peer groups, and in most cases in the top forty percent. Of those Funds, all had net advisory fees at or below the medians of their peers, or in the top sixty percent of their peer groups, except the Strategic Bond Fund, Fundamental Growth Fund, Small Company Value Fund, and Equity Opportunities Fund, the levels of whose net advisory fees the Committee did not consider to be inconsistent with the advisory agreements’ continuation, in light of the Funds’ generally acceptable total net expense ratios and long-term relative performance records. As to the Overseas Fund, the Committee considered MML Advisers’ statement that, although the Fund’s total net expense ratio was at the 75^th comparative percentile and the Fund’s net advisory fee was at the 92^nd comparative percentile, the Fund’s total net expense ratio was only three basis points above the peer group median.

The Committee considered that the large majority of the Funds with sufficiently long performance histories achieved one- and three-year investment performance above the medians of their performance categories, or in the top sixty percent of their performance categories, except those Funds referred to below. The Committee considered that the Growth Opportunities Fund, Total Return Bond Fund, and MSCI EAFE International Index Fund all experienced three-year investment performance outside the top sixty percent of their performance categories, but experienced improved performance for the one-year period, in each case above the median of its performance category.

The Committee considered that each of the Strategic Bond Fund and Overseas Fund had achieved favorable three-year relative performance, but had experienced less favorable one-year performance. The Committee took into account factors cited by MML Advisers as to the recent underperformance and MML Advisers’ continued confidence in the longer-term performance of the subadvisers in question.

As to the S&P Mid Cap Index Fund and Russell 2000 Small Cap Index Fund, the Committee considered MML Advisers’ statement that each Fund’s performance tracked that of its underlying index at an appropriate level and well within MML Advisers’ expectations. They also considered MML Advisers’ statement that, although the Russell 2000 Small Cap Index Fund’s total net expense ratio was above the peer median (67^th comparative percentile), the peer group included much larger competitor index funds that had been able to achieve significantly greater economies of scale.

347

Other Information (Unaudited) (Continued)

As to the Fundamental Value Fund, the Committee considered MML Advisers’ statements that one of the subadvisers for the Fund had been changed recently, and that MML Advisers expects performance to improve as a result.

The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting and during the course of the year, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of MML Advisers’ revenues from the Funds (including advisory fees and administrative and shareholder services fees, as applicable) and the expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and any so-called “fallout benefits” to MML Advisers (which were not considered to be substantial in any event), such as any reputational value derived from serving as investment adviser to the Funds, and benefits accruing to subadvisers due to so-called “soft-dollar arrangements.”

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund and the subadvisory process; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the advisory agreements and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadvisers generally appear well suited to the Funds, given their investment objectives and policies; (iv) either the relative or absolute performance of a Fund, as applicable, (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MML Advisers has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contracts for each of the Funds; and (v) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.

Also at their meeting in June 2019, the Trustees, including the Independent Trustees, reviewed and approved proposals to make changes to the existing subadvisory agreements between MML Advisers and American Century Investment Management, Inc. (“American Century”) for the Mid-Cap Value Fund and between MML Advisers and Frontier Capital Management Company, LLC (“Frontier”) for the Mid Cap Growth Fund in order to lower the subadvisory fees paid on behalf of each Fund. In arriving at their decision, the Trustees discussed the fees payable to American Century and Frontier by MML Advisers on behalf of the Mid-Cap Value Fund and Mid Cap Growth Fund, respectively, and the effect of such fees on the profitability to MML Advisers. The Trustees concluded that they were satisfied that MML Advisers’ projected levels of profitability due to the amended subadvisory agreements are not excessive and the subadvisory fee amounts under the amended subadvisory agreements are fair and reasonable. In their deliberations, the Trustees were advised by independent counsel.

Prior to the votes being taken to approve the amendments to the subadvisory agreements discussed above, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

The amended subadvisory agreements became effective on June 20, 2019 and July 1, 2019, respectively.

In addition, at their meeting in June 2019, the Trustees, including the Independent Trustees, approved new subadvisory agreement with AllianceBernstein L.P. (“AllianceBernstein”) and American Century for the Small Company Value Fund (the “Funds” and the “New Subadvisory Agreements”). In preparation for the meeting, the Trustees requested, and MML Advisers provided in advance, certain materials relevant to the consideration of the New Subadvisory Agreements. In all of their deliberations, the Trustees were advised by independent counsel.

348

Other Information (Unaudited) (Continued)

In reviewing the New Subadvisory Agreements, the Independent Trustees discussed with MML Advisers and considered a wide range of information about, among other things: (i) AllianceBernstein and American Century and their personnel with responsibility for providing services to the Fund; (ii) the terms of the New Subadvisory Agreements; (iii) the scope and quality of services that AllianceBernstein and American Century will provide under the New Subadvisory Agreements; (iv) the historical investment performance track record of AllianceBernstein and American Century and the complementary nature of their investment approaches; and (v) the fees payable to AllianceBernstein and American Century by MML Advisers for the Fund, the effect of such fees on the profitability to MML Advisers, and any information provided by AllianceBernstein and American Century regarding the fees paid to AllianceBernstein and American Century by other funds with similar investment objectives as the Fund. The Trustees also noted the fact that the Fund’s advisory fees and total expenses were not expected to change as a result of the New Subadvisory Agreements.

Prior to the votes being taken to approve the New Subadvisory Agreements, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

Based on the foregoing, and following their review, the Trustees concluded, with respect to the New Subadvisory Agreements, that (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the New Subadvisory Agreements; (ii) MML Adviser’s projected levels of profitability due to the New Subadvisory Agreements are not excessive and the subadvisory fee amounts under the New Subadvisory Agreements are fair and reasonable; (iii) the investment processes, research capabilities, and philosophy of each of AllianceBernstein and American Century appear well suited to the Fund given its investment objectives and policies; and (iv) the terms of the New Subadvisory Agreements are fair and reasonable with respect to the Fund, and are in the best interests of the Fund’s shareholders. After carefully considering the information summarized above, the Trustees, including a majority of the Independent Trustees voting separately, unanimously voted to approve the New Subadvisory Agreements.

The New Subadvisory Agreements became effective on June 20, 2019.

At their meeting in September 2019, the Trustees, including the Independent Trustees, reviewed and approved a proposal to make changes to the existing subadvisory agreement between MML Advisers and Massachusetts Financial Services Company (“MFS”) for the Overseas Fund in order to lower the subadvisory fee paid on behalf of the Fund. In arriving at their decision, the Trustees discussed the fees payable to MFS by MML Advisers on behalf of the Overseas Fund and the effect of such fees on the profitability to MML Advisers. The Trustees concluded that they were satisfied that MML Advisers’ projected level of profitability due to the amended subadvisory agreement are not excessive and the subadvisory fee amount under the amended subadvisory agreement is fair and reasonable. In their deliberations, the Trustees were advised by independent counsel.

Prior to the vote being taken to approve the amendment to the subadvisory agreement discussed above, the Independent Trustees met separately in executive session to discuss the appropriateness of such contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

The amended subadvisory agreement became effective on October 1, 2019.

349

Other Information (Unaudited) (Continued)

Fund Expenses September 30, 2019

Expense Examples:

The following information is in regards to expenses for the six months ended September 30, 2019:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended September 30, 2019.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Total Return Bond Fund
Class I	$	1,000		0.37	%	$	1,054.20	$	1.93	$	1,023.50	$	1.90
Class R5		1,000		0.47	%		1,054.40		2.45		1,023.00		2.41
Service Class		1,000		0.57	%		1,053.10		2.97		1,022.50		2.92
Administrative Class		1,000		0.68	%		1,052.40		3.54		1,021.90		3.48
Class A		1,000		0.92	%		1,051.40		4.78		1,020.70		4.71
Class R4		1,000		0.82	%		1,052.00		4.26		1,021.20		4.20
Class R3		1,000		1.07	%		1,050.30		5.56		1,019.90		5.48

350

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Strategic Bond Fund
Class I	$	1,000		0.50	%	$	1,065.60	$	2.62	$	1,022.80	$	2.56
Class R5		1,000		0.61	%		1,065.60		3.19		1,022.30		3.13
Service Class		1,000		0.71	%		1,064.50		3.71		1,021.70		3.64
Administrative Class		1,000		0.81	%		1,063.80		4.24		1,021.20		4.15
Class A		1,000		1.05	%		1,063.00		5.49		1,020.00		5.38
Class R4		1,000		0.96	%		1,063.20		5.02		1,020.50		4.92
Class R3		1,000		1.21	%		1,061.80		6.32		1,019.20		6.19
Diversified Value Fund
Class I		1,000		0.57	%		1,050.30		2.96		1,022.50		2.92
Class R5		1,000		0.67	%		1,050.20		3.48		1,021.90		3.43
Service Class		1,000		0.77	%		1,050.20		4.00		1,021.40		3.94
Administrative Class		1,000		0.87	%		1,049.80		4.52		1,020.90		4.46
Class A		1,000		1.12	%		1,048.50		5.81		1,019.70		5.73
Class R4		1,000		1.02	%		1,049.20		5.30		1,020.20		5.22
Class R3		1,000		1.27	%		1,046.90		6.59		1,018.90		6.50
Fundamental Value Fund
Class I		1,000		0.65	%		1,048.70		3.37		1,022.00		3.33
Class R5		1,000		0.75	%		1,048.40		3.89		1,021.50		3.84
Service Class		1,000		0.85	%		1,047.60		4.41		1,021.00		4.35
Administrative Class		1,000		0.95	%		1,047.30		4.93		1,020.50		4.86
Class A		1,000		1.20	%		1,045.90		6.22		1,019.30		6.14
Class R4		1,000		1.10	%		1,046.60		5.71		1,019.80		5.63
Class R3		1,000		1.35	%		1,044.70		7.00		1,018.50		6.91
S&P 500 Index Fund
Class I		1,000		0.13	%		1,060.40		0.68		1,024.70		0.67
Class R5		1,000		0.23	%		1,060.10		1.20		1,024.20		1.18
Service Class		1,000		0.38	%		1,058.80		1.98		1,023.40		1.95
Administrative Class		1,000		0.48	%		1,058.20		2.50		1,022.90		2.46
Class A		1,000		0.73	%		1,057.00		3.81		1,021.60		3.74
Class R4		1,000		0.63	%		1,057.80		3.29		1,022.10		3.23
Class R3		1,000		0.88	%		1,056.40		4.59		1,020.90		4.51
Equity Opportunities Fund
Class I		1,000		0.73	%		1,089.80		3.87		1,021.60		3.74
Class R5		1,000		0.83	%		1,089.30		4.39		1,021.10		4.25
Service Class		1,000		0.93	%		1,088.30		4.92		1,020.60		4.76
Administrative Class		1,000		1.03	%		1,087.80		5.45		1,020.10		5.27
Class A		1,000		1.28	%		1,086.10		6.77		1,018.90		6.55
Class R4		1,000		1.18	%		1,087.10		6.24		1,019.40		6.04
Class R3		1,000		1.43	%		1,085.90		7.56		1,018.10		7.31
Fundamental Growth Fund
Class I		1,000		0.83	%		1,051.00		4.31		1,021.10		4.25
Class R5		1,000		0.93	%		1,050.90		4.83		1,020.60		4.76
Service Class		1,000		1.03	%		1,049.60		5.35		1,020.10		5.27
Administrative Class		1,000		1.13	%		1,049.80		5.87		1,019.60		5.78
Class A		1,000		1.38	%		1,048.40		7.16		1,018.30		7.06
Class R4		1,000		1.28	%		1,049.00		6.65		1,018.90		6.55
Class R3		1,000		1.53	%		1,048.30		7.94		1,017.60		7.82

351

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Blue Chip Growth Fund
Class I	$	1,000		0.65	%	$	1,029.40	$	3.34	$	1,022.00	$	3.33
Class R5		1,000		0.74	%		1,028.60		3.80		1,021.60		3.79
Service Class		1,000		0.85	%		1,027.90		4.37		1,021.00		4.35
Administrative Class		1,000		0.95	%		1,027.40		4.88		1,020.50		4.86
Class A		1,000		1.20	%		1,026.20		6.16		1,019.30		6.14
Class R4		1,000		1.10	%		1,026.80		5.65		1,019.80		5.63
Class R3		1,000		1.35	%		1,025.60		6.93		1,018.50		6.91
Growth Opportunities Fund
Class I		1,000		0.76	%		1,032.40		3.91		1,021.50		3.89
Class R5		1,000		0.87	%		1,031.80		4.48		1,020.90		4.46
Service Class		1,000		0.97	%		1,030.90		4.99		1,020.40		4.97
Administrative Class		1,000		1.07	%		1,031.50		5.51		1,019.90		5.48
Class A		1,000		1.32	%		1,028.70		6.79		1,018.70		6.75
Class R4		1,000		1.22	%		1,029.70		6.28		1,019.20		6.24
Class R3		1,000		1.47	%		1,029.50		7.56		1,017.90		7.52
Mid-Cap Value Fund
Class I		1,000		0.80	%		1,067.00		4.19		1,021.30		4.10
Class R5		1,000		0.90	%		1,066.30		4.71		1,020.80		4.61
Service Class		1,000		1.00	%		1,065.90		5.24		1,020.30		5.12
Administrative Class		1,000		1.10	%		1,065.40		5.76		1,019.80		5.63
Class A		1,000		1.35	%		1,064.00		7.06		1,018.50		6.91
Class R4		1,000		1.25	%		1,064.90		6.54		1,019.00		6.40
Class R3		1,000		1.50	%		1,063.20		7.84		1,017.70		7.67
Small Cap Value Equity Fund
Class I		1,000		0.99	%		1,033.30		5.10		1,020.30		5.07
Class R5		1,000		1.10	%		1,032.30		5.67		1,019.80		5.63
Service Class		1,000		1.19	%		1,032.10		6.13		1,019.30		6.09
Administrative Class		1,000		1.30	%		1,031.40		6.69		1,018.80		6.65
Class A		1,000		1.55	%		1,029.90		7.97		1,017.50		7.92
Class R4		1,000		1.43	%		1,031.10		7.36		1,018.10		7.31
Class R3		1,000		1.70	%		1,029.40		8.74		1,016.70		8.69
Small Company Value Fund
Class I		1,000		0.99	%		1,015.40		5.06		1,020.30		5.07
Class R5		1,000		1.09	%		1,014.20		5.56		1,019.80		5.58
Service Class		1,000		1.19	%		1,014.30		6.07		1,019.30		6.09
Administrative Class		1,000		1.29	%		1,013.50		6.58		1,018.80		6.60
Class A		1,000		1.54	%		1,012.90		7.86		1,017.50		7.87
Class R4		1,000		1.44	%		1,013.10		7.35		1,018.00		7.36
Class R3		1,000		1.69	%		1,011.60		8.62		1,016.80		8.64
S&P Mid Cap Index Fund
Class I		1,000		0.19	%		1,029.20		0.98		1,024.40		0.97
Class R5		1,000		0.29	%		1,028.50		1.49		1,023.90		1.49
Service Class		1,000		0.44	%		1,027.90		2.26		1,023.10		2.26
Administrative Class		1,000		0.54	%		1,027.10		2.77		1,022.60		2.77
Class A		1,000		0.79	%		1,025.60		4.06		1,021.30		4.05
Class R4		1,000		0.69	%		1,026.60		3.54		1,021.80		3.54
Class R3		1,000		0.94	%		1,025.10		4.82		1,020.60		4.81

352

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Russell 2000 Small Cap Index Fund
Class I	$	1,000		0.20	%	$	996.00	$	1.01	$	1,024.30	$	1.03
Class R5		1,000		0.30	%		996.00		1.52		1,023.80		1.54
Service Class		1,000		0.45	%		995.10		2.28		1,023.10		2.31
Administrative Class		1,000		0.55	%		994.30		2.78		1,022.60		2.82
Class A		1,000		0.80	%		993.50		4.04		1,021.30		4.10
Class R4		1,000		0.70	%		994.20		3.54		1,021.80		3.59
Class R3		1,000		0.95	%		992.60		4.80		1,020.50		4.86
Mid Cap Growth Fund
Class I		1,000		0.72	%		1,053.20		3.75		1,021.70		3.69
Class R5		1,000		0.82	%		1,052.40		4.27		1,021.20		4.20
Service Class		1,000		0.92	%		1,052.00		4.78		1,020.70		4.71
Administrative Class		1,000		1.02	%		1,051.10		5.30		1,020.20		5.22
Class A		1,000		1.27	%		1,049.90		6.60		1,018.90		6.50
Class R4		1,000		1.17	%		1,050.60		6.08		1,019.40		5.99
Class R3		1,000		1.42	%		1,049.20		7.37		1,018.10		7.26
Small Cap Growth Equity Fund
Class I		1,000		0.87	%		1,030.30		4.48		1,020.90		4.46
Class R5		1,000		0.97	%		1,029.40		4.99		1,020.40		4.97
Service Class		1,000		1.07	%		1,029.20		5.50		1,019.90		5.48
Administrative Class		1,000		1.17	%		1,028.30		6.01		1,019.40		5.99
Class A		1,000		1.42	%		1,027.10		7.29		1,018.10		7.26
Class R4		1,000		1.32	%		1,027.80		6.78		1,018.70		6.75
Class R3		1,000		1.56	%		1,027.30		8.01		1,017.40		7.98
MSCI EAFE International Index Fund
Class I		1,000		0.22	%		1,025.80		1.13		1,024.20		1.13
Class R5		1,000		0.32	%		1,024.90		1.64		1,023.70		1.64
Service Class		1,000		0.47	%		1,025.90		2.41		1,023.00		2.41
Administrative Class		1,000		0.57	%		1,024.20		2.92		1,022.50		2.92
Class A		1,000		0.81	%		1,023.50		4.15		1,021.20		4.15
Class R4		1,000		0.72	%		1,023.60		3.69		1,021.70		3.69
Class R3		1,000		0.97	%		1,021.90		4.97		1,020.40		4.97
Overseas Fund
Class I		1,000		0.82	%		1,043.80		4.25		1,021.20		4.20
Class R5		1,000		0.92	%		1,042.30		4.76		1,020.70		4.71
Service Class		1,000		1.02	%		1,042.60		5.28		1,020.20		5.22
Administrative Class		1,000		1.12	%		1,040.90		5.79		1,019.70		5.73
Class A		1,000		1.37	%		1,040.60		7.08		1,018.40		7.01
Class R4		1,000		1.27	%		1,040.20		6.57		1,018.90		6.50
Class R3		1,000		1.52	%		1,038.40		7.85		1,017.60		7.77
MM Select T. Rowe Price International Equity Fund
Class I		1,000		0.67	%		1,017.30		3.43		1,021.90		3.43

* Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2019, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise.

353

Underwriter:

MML Distributors, LLC

100 Bright Meadow Blvd.

Enfield, Connecticut 06082-1981

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC RS-45698-01

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	5
Consolidated Portfolio of Investments	8
Consolidated Statement of Assets and Liabilities	29
Consolidated Statement of Operations	31
Consolidated Statements of Changes in Net Assets	33
Consolidated Financial Highlights	34
Notes to Consolidated Financial Statements	36
Report of Independent Registered Public Accounting Firm	58
Trustees and Officers (Unaudited)	59
Federal Tax Information (Unaudited)	63
Other Information (Unaudited)	64
Proxy Voting	64
Quarterly Reporting	64
Trustees’ Approval of Investment Advisory Contracts	64
Fund Expenses	66

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for MassMutual Select BlackRock Global Allocation Fund. Investors should consider the Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.

Important Notice: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer, bank, or retirement plan recordkeeper). Instead, the reports will be made available on the Fund’s website (http://www.massmutual.com/funds), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you would like to receive shareholder reports and other communications electronically from the Fund and are either a direct investor in the Fund or MassMutual serves as your retirement plan recordkeeper, please call (800) 767-1000 extension 43012 or send your request to enroll to RSProspectusFulfillment@massmutual.com. If you have invested in the Fund through another financial intermediary (such as a broker-dealer, bank, or retirement plan recordkeeper), you can request electronic delivery by contacting that financial intermediary. Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest directly with the MassMutual Funds or MassMutual serves as your retirement plan recordkeeper, you can call (800) 767-1000 extension 43012 or send an email request to RSProspectusFulfillment@massmutual.com to inform the Funds or MassMutual that you wish to continue receiving paper copies of your shareholder reports. If you invest through a financial intermediary other than MassMutual, you can contact that financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held within the fund complex if you invest directly with a Fund.

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that’s designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement.”

September 30, 2019

Despite economic slowdowns and political tensions, markets remained strong

I am pleased to present you with MassMutual Select BlackRock Global Allocation Fund Annual Report, covering the year ended September 30, 2019 (the “fiscal year” or the “period”). During the first three quarters of 2019, U.S. stocks experienced a good deal of volatility, as the White House led a protracted trade war against China, with tariffs being imposed on both sides. Nevertheless, total returns for domestic equities during the period were positive, although gains were more muted than in the prior fiscal year.

Recently, we have seen indications that the global economy appears to be slowing down. For example, Chinese industrial production dropped to its lowest level since 2002 in August 2019, while the country’s retail sales slowed by more than 2%. The European Union also showed signs of weakness, with the German economy contracting by 0.1% in the second quarter of 2019. Foreign stocks in developed markets trailed their domestic counterparts for the period and lost a bit of traction for the year, but generally outpaced their emerging-market competitors.

U.S. consumer spending, which is key for the U.S.’s consumption-led economy, remained a bright spot, as retail sales continued to post strong gains throughout the year. Nevertheless, the temporary inversion of the U.S. yield curve troubled investors. That is because historically, yield curve inversions, which occur when short-term interest rates are higher than their long-term counterparts, have often signaled an impending recession.

In a turnaround from 2018, bond investors in the United States experienced strong returns during fiscal year 2019, outperforming stocks for the first time in years. This was largely due to the U.S. Federal Reserve’s actions on interest rates, with its Federal Open Market Committee lowering rates twice in 2019 in an effort to stabilize the economy.

In MassMutual’s view, savvy retirement investors maintain a long-term perspective when planning for the future. As a result, they understand that current headlines ordinarily have limited impact on their retirement planning. We also believe that individuals who follow certain investment guidelines, such as the ones below, may help themselves prepare for a stronger financial future.

Suggestions for retirement investors under any market conditions

View time as your ally

Investing for retirement is a decades-long process for most people. The financial markets will be volatile from time to time, but many patient investors who have taken a long-term approach have managed to ride out the downturns and have successfully grown their account balances and reached their retirement goals over time.

Save as much as possible

Of course, you cannot control – or predict the direction of – the investment markets. But you can control how often and how much you contribute to your retirement savings account. Saving as much

(Continued)

1

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholders (Unaudited) (Continued)

as possible and increasing your contributions regularly is one way smart retirement investors know they can help themselves reach their retirement income goals, regardless of how markets perform.

Continue to invest

Seasoned investors believe that “down” markets offer the potential to be rewarded by amassing larger positions at more favorable prices, as compared to investors who do not continue to invest when the market is down. That is why many financial professionals believe it is important to stay in the market, regardless of near-term results.

Monitor your asset allocation and diversify*

Stocks, bonds, and short-term/money market investments typically behave differently from one another depending upon the economic and market environment. Those broad investment types contain an even greater array of sub-categories (such as small-cap stocks, international stocks, high-yield bonds, etc.). Many financial experts believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.

Choose the investments you feel are right for you – and seek professional guidance

Many financial advisors suggest that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.

If you work with a financial professional, you may wish to consider reaching out to him or her to help ensure:

• you are saving enough for retirement;

• your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as on your investment time horizon; and

• you are taking the right steps to help reduce your longevity risk, which is related to the chance that your retirement savings could “run out” during your lifetime.

Retirement is a moment you plan for

MassMutual believes that retirement planning is not about crunching numbers – it’s about those moments when it all pays off. The more you plan for life’s greatest moments, the more you can relax and enjoy them. That is why our ongoing commitment is to help people financially protect their families today, so they can put themselves on the path to a more secure retirement. When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that is designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement. Thank you for your continued confidence and trust in MassMutual.

Sincerely,

Eric Wietsma

President

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA. All rights reserved. www.massmutual.com

Underwriter: MML Distributors, LLC (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 100 Bright Meadow Blvd., Enfield, CT 06082. MMLD is a wholly-owned subsidiary of MassMutual. Investment advisory services provided to the Funds by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of MassMutual. The information provided is the opinion of MML Advisers as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

* Diversification and asset allocation do not ensure a profit or protect against loss in a declining market.

2

MassMutual Select BlackRock Global Allocation Fund – Economic and Market Overview (Unaudited)

September 30, 2019

Market Highlights

• For the reporting period from October 1, 2018 through September 30, 2019, U.S. stocks ended slightly higher, though they hit record levels in late July.

• Global economic optimism faded during the period under the weight of global and domestic political tensions, mixed economic results, and the impact of existing tariffs and rhetoric threatening additional tariffs.

• The Federal Open Market Committee (FOMC), in response to slowing global growth, announced two rate decreases in 2019 after one rate hike in December 2018.

• Foreign stocks in developed markets and emerging markets saw losses over the reporting period, aggravated by a strengthening U.S. dollar.

• U.S. bond investors enjoyed positive returns in a falling yield environment fueled by rate decreases and supportive central bank policy.

Market Environment

U.S. equity investors watched stock markets move mostly sideways for the fiscal year beginning October 1, 2018. U.S. stocks fell sharply in the first quarter of the period, suffering their worst quarterly decline in nearly a decade. They rebounded during the remaining quarters and crossed into record territory in late July 2019, but succumbed to volatility and uncertainty fueled by slowing global economic growth indicators and ongoing trade war acrimony between the U.S. and China. Both the S&P 500^® Index* (S&P 500) and the Dow Jones Industrial Average^SM (Dow) ended the fiscal year only slightly ahead of where they started.

Global economic growth seemed to slow with less synchronized and more restrained economic indicators than in the recent past. The U.S. economy has shown signs that it may be in the late stages of the current business cycle. For example, a tightening labor market typically results in low unemployment rates, but tends to drive up wage growth, putting pressure on corporate earnings. Declining unemployment claims may point to a nearer-term plateau in employment growth. Mixed signals in housing data also tend to be consistent with late cycle trends. As a result, pundits’ speculation about recession has begun to emerge. Consensus still deems the risk of near-term recession to be low, but more possible than in recent years.

Global and domestic political tensions fueled market volatility throughout 2019. The U.S. threatened and imposed tariffs on Chinese goods, which prompted retaliatory responses from China. On-again, off-again trade talks added further turbulence. In Great Britain, negotiations for a Brexit deal broke down threatening a “no-deal” Brexit, which could create serious trade obstacles in Europe. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) At the end of the reporting period, parties were no closer to a deal, despite the looming October 31, 2019 deadline. Domestically, political rancor between the White House and the Democratic-led House of Representatives culminated in a call for the launch of a formal impeachment inquiry at the end of September. There does not appear to be an end in sight for the current political battles.

With these various tensions at play, the FOMC not only halted their previously announced calendar of rate hikes, but tapped the brakes and reduced rates twice during the period. Bond investors enjoyed some of the best returns they have seen in recent years, as bond indexes generally outperformed stock indexes for the period.

The broad market S&P 500 delivered a modest 4.25% return for the fiscal year. The Dow followed a similar pattern to end the period with a 4.21% advance. The technology-heavy NASDAQ Composite Index, which led returns in the last fiscal year, rose just over one-half of one percent for the period. Small- and mid-cap stocks underperformed their larger peers, as small-caps lagged significantly. Growth stocks outperformed their value counterparts during the period, although value investors enjoyed a resurgence toward the end of the fiscal year.

Six of 11 sectors in the S&P 500 delivered positive returns for the reporting period, led by the utilities, real estate, and consumer staples sectors, which all enjoyed double-digit growth and beat the S&P 500. The energy sector was the worst laggard for the fiscal year. The financials, materials, industrials, and health care sectors also ended in negative territory.

3

MassMutual Select BlackRock Global Allocation Fund – Economic and Market Overview (Unaudited) (Continued)

Developed international markets, as measured by the MSCI EAFE^® Index, not only trailed their domestic peers during the period, but also ended the fiscal year in negative territory, down 1.34%. Developed international markets struggled to gain traction under the weight of a strengthening U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and trade war rhetoric. Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended down 2.02% for the period.

Bond yields rose during the fiscal year, with the 10-year U.S. Treasury bond crossing the 3.00% threshold for a short period in November 2018 before dropping back to 1.68% at the close of the period. Falling yields generally produce rising bond prices; therefore, bond index returns benefited. The Bloomberg Barclays U.S. Aggregate Bond Index ended the period up 10.30%. High-yield corporate bonds did not fare as well, but ended in positive territory. The Bloomberg Barclays U.S. Corporate High Yield Index advanced 6.36% by the end of the fiscal year.

Review and maintain your strategy

At MassMutual, we help people look out for those they love. We believe planning and saving for retirement continues to be an important and urgent challenge for many of our customers. Investing in stock and bond mutual funds can play an important role in helping build a stable source of retirement income that allows investors the freedom to retire any way they’d like. Maintaining a long-term perspective and setting realistic expectations about the future performance of your investment portfolio is very important. Financial markets can behave unpredictably. Our multi-managed and subadvised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level in changing markets, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.

The information provided is the opinion of MML Investment Advisers, LLC as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

* Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment.

4

MassMutual Select BlackRock Global Allocation Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select BlackRock Global Allocation Fund, and who is the Fund’s subadviser?

The Fund seeks long-term total return by investing in both equity and debt securities, including money market securities and other short-term debt obligations, of issuers located around the world, including emerging markets, without limitation on the percentage of assets the Fund can invest in a particular type of security. The Fund seeks to reduce volatility by allocating its assets broadly across markets, industries, and issuers and without geographic or market capitalization limits. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class R5 shares returned 2.89%, outperforming the 1.99% return of the FTSE World Index (the “benchmark”), which measures the performance of the large- and mid-capitalization universe for developed and advanced emerging market segments. It is part of the FTSE Global Equity Index Series. The Fund underperformed the 8.13% return of the FTSE World Government Bond Index, which measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. The Fund underperformed the 5.00% return of the Custom Global Allocation Index, which comprises the S&P 500^® Index, which measures the performance of 500 widely held stocks in the U.S. equity market; the FTSE World ex U.S. Index, an unmanaged, market-capitalization-weighted index representing the performance of the large- and mid-cap stocks from the Developed and Advanced Emerging segments of the FTSE Global Equity Index Series excluding the United States; the ICE BofAML Current 5-Year U.S. Treasury Index, an unmanaged index designed to track the total return of the current coupon five-year U.S. Treasury bond; and the FTSE Non-U.S. Dollar World Government Bond Index, which measures the performance of fixed-rate, local currency, investment-grade sovereign bonds of all WGBI countries except the United States and is stated in U.S. dollar terms. The weightings of the component indexes are 36%, 24%, 24%, and 16%, respectively.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund is managed as a highly diversified portfolio invested across multiple asset classes, regions, sectors, currencies, and individual securities. The performance of any individual security is not intended to have a significant impact on the overall return of the Fund. Given the diversified composition of the Fund, the commentary below reflects the general themes affecting Fund performance over the period.

Within equities, stock selection within the communication services and materials sectors helped drive the Fund’s performance. Within fixed income, security selection in U.S. Treasuries, notably an overweight to duration, relative to the benchmark, contributed to results. Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the fund when interest rates rise or fall. An underweight allocation to developed-market, non-U.S. government bonds positively impacted performance. Currency management, notably an underweight allocation to the euro, added to returns.

Fund holdings in the industrials, real estate, and health care sectors weighed on the Fund’s performance. Security selection in and an underweight allocation to the information technology sector also detracted. An overweight allocation to the energy sector, partially offset by positive security selection within that sector, negatively impacted performance. From a regional perspective, an overweight stake in Chinese equities hampered the Fund’s returns. Within fixed income, exposure to select emerging-market sovereign bonds weighed on the Fund’s full-year results.

The Fund may use derivatives, including options, futures, indexed securities, inverse securities, swaps and forward contracts both to seek to increase the return of the Fund and to hedge (or protect) the value of its assets against adverse movements in currency exchange rates, interest rates, and movements in the securities markets. During the period, the Fund’s use of derivatives detracted from the Fund’s performance.

5

MassMutual Select BlackRock Global Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Despite the continued risks stemming from the U.S./China trade uncertainty, BlackRock believes that the recent pivot by the world’s central banks toward greater monetary accommodation, coupled with the economic strength of the U.S. consumer, has helped create a more supportive backdrop for risk assets.

Although U.S employment and consumer spending data remains resilient, Fund management is mindful that the manufacturing segment of the global economy may prove fragile. In a period of moderate economic growth, they emphasize high-quality companies that they believe can potentially deliver high profitability and earnings consistency. In their view, stocks with these characteristics tend to perform well during periods of decelerating economic growth. Fund management remains focused on what they perceive as opportunities in high-quality stocks, tied to secular growth themes, along with U.S. Treasuries, and those assets that they believe provide high-quality potential in a yield-starved world.

While the Fund maintains an underweight allocation to fixed income, Fund management continues to look for ways to add diversification and yield to the Fund, with a focus on U.S. duration. As the pace of global growth has slowed, BlackRock believes duration may continue to serve as an effective partial hedge against episodic volatility in the stock market. In addition, Fund managers believe that the investment-grade credit space continues to have attractive investment opportunities. They have calibrated the Fund’s overall risk profile to ensure that the risks taken are consistent with the Fund’s mission to provide a core investment holding suitable for a broad range of investors with the objective to provide investment returns that are competitive with global equity markets, but with less volatility, over a full market cycle.

MassMutual Select BlackRock Global Allocation Fund Largest Holdings (% of Net Assets) on 9/30/19
U.S. Treasury Note 1.500% 9/15/22	5.3	%
U.S. Treasury Inflation Index 0.500% 4/15/24	3.7	%
U.S. Treasury Note 2.375% 5/15/29	3.5	%
U.S. Treasury Note 2.250% 8/15/49	2.2	%
U.S. Treasury Note 1.875% 7/31/26	2.1	%
U.S. Treasury Note 1.500% 8/31/21	2.1	%
U.S. Treasury Note 1.625% 8/15/29	2.0	%
Microsoft Corp.	1.8	%
Alphabet, Inc. Class C	1.7	%
Apple, Inc.	1.6	%
	26.0	%

MassMutual Select BlackRock Global Allocation Fund Portfolio Characteristics (% of Net Assets) on 9/30/19
Equities	56.6	%
Bonds & Notes	35.4	%
Mutual Funds	0.7	%
Purchased Options	0.4	%
Total Long-Term Investments	93.1	%
Short-Term Investments and Other Assets and Liabilities	6.9	%
Net Assets	100.0	%

6

MassMutual Select BlackRock Global Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 12/01/2009	Since Inception 04/01/2014
Class I	04/01/2014	2.99%	3.75%		3.81%
Class R5	12/01/2009	2.89%	3.65%	5.02%
Service Class	12/01/2009	2.74%	3.54%	4.92%
Administrative Class	12/01/2009	2.71%	3.44%	4.82%
Class R4	04/01/2014	2.57%	3.28%		3.33%
Class A	12/01/2009	2.42%	3.18%	4.53%
Class A (sales load deducted)*	12/01/2009	-3.21%	2.01%	3.93%
Class R3	04/01/2014	2.31%	3.03%		3.08%
FTSE World Index#		1.99%	7.41%	9.02%	7.26%
FTSE World Government Bond Index		8.13%	1.80%	1.39%	1.34%
Custom Global Allocation Index		5.00%	5.68%	6.89%	5.52%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

7

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 56.6%
COMMON STOCK — 55.8%
Argentina — 0.0%
YPF SA Sponsored ADR		1,134	$	10,490
Australia — 0.2%
The AGL Energy Ltd.		5,260		67,977
Newcrest Mining Ltd.		33,533		781,804
Quintis Group (Acquired 7/20/16-12/04/18, Cost $355,478) (a) (b) (c) (d)		578,796		476,603
Rio Tinto Ltd.		208		13,082
South32 Ltd.		8,129		14,446
Woolworths Group Ltd.		25		630
				1,354,542
Bermuda — 0.2%
Brilliance China Automotive Holdings Ltd.		106,000		114,628
CK Infrastructure Holdings Ltd.		28,500		191,158
Hongkong Land Holdings Ltd.		11,700		65,923
Jardine Matheson Holdings Ltd.		5,700		305,728
Kunlun Energy Co. Ltd		14,000		12,070
Marvell Technology Group Ltd.		15,406		384,688
				1,074,195
Brazil — 0.6%
Ambev SA		1,517		7,028
Azul SA ADR (b)		59,585		2,134,335
B3 SA — Brasil Bolsa Balcao		122		1,281
Banco do Brasil SA		2,524		27,634
Banco Santander Brasil SA		1,296		14,139
Engie Brasil Energia SA		963		10,288
JBS SA		2,306		18,199
Notre Dame Intermedica Participacoes SA		87,179		1,138,271
Petrobras Distribuidora SA		6,818		45,175
				3,396,350
Canada — 0.9%
Barrick Gold Corp.		14,054		243,135
Canadian National Railway Co.		400		35,916
Canadian Pacific Railway Ltd.		127		28,223
Enbridge, Inc.		66,094		2,319,788
Fairfax Financial Holdings Ltd.		83		36,587
Imperial Oil Ltd.		432		11,250
Magna International, Inc.		490		26,119
Nutrien Ltd.		214		10,661
Rogers Communications, Inc. Class B		402		19,580
TC Energy Corp. (e)		33,890		1,754,805
Thomson Reuters Corp.		1,007		67,306
Wheaton Precious Metals Corp.		27,622		724,300
				5,277,670

	Number of Shares		Value
Cayman Islands — 1.3%
Agile Group Holdings Ltd.		14,000	$	17,103
Alibaba Group Holding Ltd. Sponsored ADR (b)		17,891		2,991,912
ANTA Sports Products Ltd.		10,000		82,815
Baidu, Inc. Sponsored ADR (b)		9		925
China Hongqiao Group Ltd.		9,000		5,734
China Mengniu Dairy Co. Ltd.		20,000		74,646
Country Garden Services Holdings Co.Ltd.		3,344		9,694
Dali Foods Group Co. Ltd. (f)		20,000		12,278
Hengan International Group Co. Ltd.		13,500		88,156
Huazhu Group Ltd. ADR		2,647		87,404
JD.com, Inc. ADR (b)		2,312		65,221
Kingdee International Software Group Co. Ltd.		96,000		101,930
Kingsoft Corp. Ltd. (b)		39,000		83,401
Li Ning Co. Ltd.		29,500		84,835
TAL Education Group Sponsored ADR (b)		2,454		84,025
Tencent Holdings Ltd.		77,900		3,306,052
Tingyi Cayman Islands Holding Corp.		8,000		11,301
Vipshop Holdings Ltd. ADR (b)		229		2,043
Want Want China Holdings Ltd.		269,000		214,184
Wharf Real Estate Investment Co. Ltd.		22,000		120,612
Wuxi Biologics Cayman, Inc. (b) (f)		8,500		86,863
				7,531,134
Chile — 0.0%
Cia Cervecerias Unidas SA ADR		5,784		128,347
China — 0.5%
Agricultural Bank of China Ltd. Class H		27,000		10,553
Aier Eye Hospital Group Co. Ltd. Class A		17,899		89,208
Air China Ltd. Class H		4,000		3,542
Anhui Conch Cement Co. Ltd. Class A		2,700		15,710
Anhui Conch Cement Co. Ltd. Class H		6,000		35,788
Asymchem Laboratories Tianjin Co. Ltd. Class A		5,479		90,714
Autobio Diagnostics Co. Ltd. Class A		7,094		88,021
Bank of China Ltd. Class H		5,000		1,970
Beijing Capital International Airport Co. Ltd. Class H		30,000		25,667
CGN Power Co. Ltd. Class H (f)		40,000		10,127
China CITIC Bank Class H		39,000		20,853
China Longyuan Power Group Corp. Class H		14,000		7,864
China Petroleum & Chemical Corp. Class H		70,000		41,784
China Shenhua Energy Co. Ltd.		14,000		28,024
Daqin Railway Co. Ltd. Class A		2,000		2,128

The accompanying notes are an integral part of the consolidated financial statements.

8

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Foshan Haitian Flavouring & Food Co. Ltd. Class A		5,700	$	87,951
GF Securities Co. Ltd. Class H (b)		800		843
Glodon Co. Ltd. Class A		17,000		84,876
Great Wall Motor Co. Ltd. Class A		48,600		52,711
Gree Electric Appliances, Inc. of Zhuhai Class A		7,300		58,905
Guangzhou Automobile Group Co. Ltd. Class A		35,400		61,094
Guotai Junan Securities Co. Ltd. Class H (f)		3,600		5,621
Haier Smart Home Co. Ltd. Class A		25,900		55,768
Haitong Securities Co. Ltd. Class H		11,200		11,825
Han’s Laser Technology Industry Group Co. Ltd. Class A		19,599		98,522
Hangzhou Hikvision Digital Technology Co. Ltd. Class A		19,400		88,600
Hangzhou Robam Appliances Co. Ltd. Class A		15,900		58,877
Hangzhou Tigermed Consulting Co. Ltd. Class A		9,999		87,004
Hundsun Technologies, Inc. Class A		8,099		84,505
Industrial & Commercial Bank of China Ltd. Class H		58,000		38,729
Inner Mongolia Yili Industrial Group Co. Ltd. Class A		21,299		85,552
Inspur Electronic Information Industry Co. Ltd. Class A		23,900		86,689
Jiangsu Hengrui Medicine Co. Ltd. Class A		8,000		90,733
Laobaixing Pharmacy Chain JSC. Class A		8,200		87,197
Sany Heavy Industry Co. Ltd.		6,800		13,666
Shanghai International Airport Co. Ltd. Class A		7,000		78,516
Shanghai Jahwa United Co. Ltd. Class A		17,600		84,974
Shanxi Lu’an Environmental Energy Development Co. Ltd. Class A		1,400		1,425
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. Class A		3,300		85,554
Sinopec Engineering Group Co. Ltd. Class H		25,000		15,705
Sinopec Shanghai Petrochemical Co. Ltd. Class H		88,000		25,698
Tsingtao Brewery Co. Ltd.		2,000		13,628
Tsingtao Brewery Co. Ltd. Class H		6,000		36,321
Venustech Group, Inc. Class A		20,399		91,493
Weichai Power Co. Ltd. Class H		8,000		11,599
Wuhan Raycus Fiber Laser Technologies Co. Ltd. Class A		6,599		92,346
WuXi AppTec Co. Ltd. Class A		7,300		88,673
Yanzhou Coal Mining Co. Ltd. Class H		14,000		14,172
Yifeng Pharmacy Chain Co. Ltd. Class A		8,000		88,533
Yonyou Network Technology Co. Ltd. Class A		18,499		80,505

	Number of Shares		Value
Zhejiang Expressway Co. Ltd. Class H		14,000	$	12,078
Zijin Mining Group Co. Ltd. Class H		62,000		21,350
Zoomlion Heavy Industry Science and Technology Co. Ltd. Class A		800		640
				2,554,831
Czech Republic — 0.0%
CEZ AS		7,834		173,095
Denmark — 0.1%
AP Moller — Maersk A/S Class A		58		62,009
AP Moller — Maersk A/S Class B		28		31,746
Carlsberg A/S Class B		366		54,152
Novo Nordisk A/S Class B		10,569		545,731
				693,638
Finland — 0.0%
Fortum OYJ		97		2,295
France — 2.2%
Cie de Saint-Gobain		7,401		290,719
Danone SA		53,748		4,733,907
Dassault Aviation SA		589		833,012
Dassault Systemes SE		20		2,849
Eiffage SA		1,911		198,250
Electricite de France SA		490		5,484
Engie SA		824		13,462
EssilorLuxottica SA		4,521		652,187
Kering SA		76		38,799
Orange SA		991		15,555
Publicis Groupe SA		1,395		68,585
Renault SA		311		17,870
Safran SA		16,186		2,551,584
Sanofi		9,444		875,728
Sodexo SA		18,166		2,040,662
Total SA Sponsored ADR		573		29,796
Vivendi SA		1,174		32,241
				12,400,690
Germany — 1.6%
adidas AG		204		63,489
Allianz SE		80		18,656
Bayer AG		13,811		973,771
Deutsche Boerse AG		16		2,501
Fresenius SE & Co. KGaA		26,219		1,225,741
HeidelbergCement AG		72		5,205
Knorr-Bremse AG		17,803		1,673,446
Muenchener Rueckversicherungs AG Registered		27		6,986
SAP SE		116		13,637
Siemens AG		43,875		4,701,801
Vonovia SE		4,721		239,485
Wirecard AG		70		11,187
				8,935,905

The accompanying notes are an integral part of the consolidated financial statements.

9

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Hong Kong — 0.7%
Beijing Enterprises Holdings Ltd.		5,000	$	23,054
China Mobile Ltd.		6,500		53,945
China Resources Beer Holdings Co. Ltd.		2,000		10,642
China Resources Cement Holdings Ltd.		46,000		46,196
China Resources Pharmaceutical Group Ltd. (f)		8,000		7,527
China Resources Power Holdings Co. Ltd.		12,000		14,595
China Taiping Insurance Holdings Co. Ltd.		1,000		2,248
China Unicom Hong Kong Ltd.		4,000		4,229
CITIC Ltd.		12,000		15,105
CLP Holdings Ltd.		19,500		204,178
CNOOC Ltd.		31,000		47,628
Fosun International Ltd.		51,500		64,084
Hang Lung Properties Ltd.		108,000		245,485
HKT Trust & HKT Ltd.		124,000		197,152
Hysan Development Co. Ltd.		21,000		84,962
I-CABLE Communications Ltd. (b)		22,228		212
Lenovo Group Ltd.		152,000		101,128
Link REIT		16,000		175,655
Power Assets Holdings Ltd.		11,500		77,295
Sino Land Co. Ltd.		34,000		51,316
Sun Art Retail Group Ltd.		13,500		13,739
Sun Hung Kai Properties Ltd.		176,250		2,548,046
Swire Pacific Ltd. Class A		15,000		139,786
				4,128,207
India — 0.8%
Coal India Ltd.		38,223		107,892
Hero MotoCorp Ltd.		5,322		202,083
Hindustan Petroleum Corp. Ltd.		2,628		11,214
Housing Development Finance Corp. Ltd.		50,454		1,408,604
Oil & Natural Gas Corp. Ltd.		63,467		118,306
Reliance Industries Ltd.		134,511		2,530,930
Vedanta Ltd.		15,303		33,231
Wipro Ltd.		1,470		4,976
				4,417,236
Indonesia — 0.1%
Bank Central Asia Tbk PT		114,600		245,125
Ireland — 0.1%
Accenture PLC Class A		2,896		557,046
Eaton Corp. PLC		190		15,798
Medtronic PLC		1,521		165,211
Willis Towers Watson PLC		14		2,702
				740,757
Italy — 0.8%
Enel SpA		266,132		1,988,508

	Number of Shares		Value
RAI Way SpA (f)		109,994	$	638,060
Snam SpA		31,154		157,515
UniCredit SpA		167,259		1,975,995
				4,760,078
Japan — 5.4%
Aeon Co. Ltd.		500		9,197
AGC, Inc.		800		24,963
Ajinomoto Co., Inc.		113,200		2,141,741
Alfresa Holdings Corp.		5,800		130,136
Alps Alpine Co. Ltd.		2,460		46,210
Astellas Pharma, Inc.		126,250		1,804,310
Canon Marketing Japan, Inc.		5,300		113,073
Daikin Industries Ltd.		7,600		997,954
Daiwa House Industry Co. Ltd.		300		9,775
Denso Corp.		22,270		983,863
Dowa Holdings Co. Ltd.		2,700		92,645
East Japan Railway Co.		22,953		2,195,752
FUJIFILM Holdings Corp.		600		26,442
GS Yuasa Corp.		4,800		83,528
Hitachi Ltd.		1,900		71,153
Hoya Corp.		22,420		1,830,296
Japan Airlines Co. Ltd.		78,900		2,345,086
Japan Aviation Electronics Industry Ltd.		9,100		130,051
Japan Post Holdings Co. Ltd.		900		8,312
Kamigumi Co. Ltd.		5,100		115,538
KDDI Corp.		9,200		240,489
Keyence Corp.		300		186,911
Kinden Corp.		20,300		302,565
Koito Manufacturing Co. Ltd.		8,800		433,866
Kuraray Co. Ltd.		4,400		54,427
Kyowa Kirin Co. Ltd.		400		7,768
Kyudenko Corp.		2,800		93,816
Mabuchi Motor Co. Ltd.		4,500		168,967
Maeda Road Construction Co. Ltd.		5,400		117,954
Medipal Holdings Corp.		6,700		149,785
MEIJI Holdings Co. Ltd.		100		7,301
Mitsubishi Estate Co. Ltd.		15,800		305,942
Mitsubishi Heavy Industries Ltd.		1,600		62,937
Mitsubishi Motors Corp.		1,800		7,855
Mitsubishi UFJ Financial Group, Inc.		2,900		14,780
Murata Manufacturing Co. Ltd.		57,610		2,789,062
Nippo Corp.		5,000		93,005
Nippon Telegraph & Telephone Corp.		4,940		236,274
Nippon Television Holdings, Inc.		8,400		108,208
NTT Data Corp.		300		3,891
Okumura Corp.		6,246		167,581
Olympus Corp.		56,800		768,780
Ono Pharmaceutical Co. Ltd.		700		12,731
Otsuka Holdings Co. Ltd.		1,300		48,626
Seino Holdings Co. Ltd.		7,100		88,853
Seven & i Holdings Co. Ltd.		2,700		103,612

The accompanying notes are an integral part of the consolidated financial statements.

10

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Shin-Etsu Chemical Co. Ltd.		17,388	$	1,873,503
Shionogi & Co. Ltd.		200		11,158
Sompo Holdings, Inc.		800		33,637
Sony Corp.		400		23,504
Stanley Electric Co. Ltd.		3,300		87,950
Subaru Corp.		66,030		1,866,508
Suzuken Co. Ltd.		2,700		145,702
Suzuki Motor Corp.		49,637		2,108,456
Toagosei Co. Ltd.		18,500		209,735
Toda Corp.		25,900		149,941
Tokyo Gas Co. Ltd.		72,097		1,822,778
Tokyo Steel Manufacturing Co. Ltd.		24,900		191,776
Toyota Industries Corp.		23,421		1,351,833
TV Asahi Holdings Corp.		8,300		130,961
Yahoo! Japan Corp.		13,700		38,764
Yamato Holdings Co. Ltd.		1,600		24,195
Yamato Kogyo Co. Ltd.		4,000		99,814
ZOZO, Inc. (e)		54,600		1,259,685
				31,165,911
Liberia — 0.0%
Royal Caribbean Cruises Ltd.		304		32,932
Malaysia — 0.0%
Malaysia Airports Holdings Bhd		44,100		91,273
Mexico — 0.0%
America Movil SAB de C.V. Class L		70,020		52,017
Netherlands — 1.4%
ABN AMRO Bank NV (f)		102,550		1,808,162
Adyen NV (b) (f)		545		359,349
Aegon NV		2,318		9,640
ASML Holding NV		15		3,723
Fiat Chrysler Automobiles NV		3,382		43,821
ING Groep NV		190,994		2,002,120
Koninklijke DSM NV		27		3,248
Koninklijke Philips NV		81,985		3,800,395
NXP Semiconductor NV		524		57,179
Schlumberger Ltd.		3,626		123,900
				8,211,537
Panama — 0.0%
Carnival Corp.		202		8,829
Portugal — 0.0%
Jeronimo Martins SGPS SA		10,936		184,481
Republic of Korea — 0.5%
Hana Financial Group, Inc.		1,206		35,596
Hyundai Mobis Co. Ltd.		29		6,125
Industrial Bank Of Korea		1,126		12,428
KB Financial Group, Inc.		715		25,577
Kia Motors Corp.		141		5,391
KT&G Corp.		14,947		1,319,500
LG Chem Ltd.		710		177,107
LG Electronics, Inc.		1,248		70,060
LG Uplus Corp.		2,660		30,411

	Number of Shares		Value
NCSoft Corp.		486	$	211,356
POSCO		1,016		192,433
S-Oil Corp.		1,306		109,008
Samsung SDI Co. Ltd.		13		2,425
Shinhan Financial Group Co. Ltd.		1,628		56,743
SK Telecom Co. Ltd.		783		157,549
Woongjin Coway Co. Ltd.		1,904		134,775
				2,546,484
Singapore — 0.5%
CapitaLand Ltd.		852,600		2,183,837
ComfortDelGro Corp. Ltd.		103,900		180,698
Genting Singapore Ltd.		29,800		18,980
Singapore Telecommunications Ltd.		73,500		165,048
United Overseas Bank Ltd.		13,300		246,386
				2,794,949
South Africa — 0.0%
Aspen Pharmacare Holdings Ltd.		2,241		12,723
Discovery Ltd.		179		1,350
Kumba Iron Ore Ltd. (e)		143		3,537
MultiChoice Group (b)		12		93
Old Mutual Ltd. (e)		18,823		24,020
				41,723
Spain — 0.6%
CaixaBank SA		4,916		12,930
Cellnex Telecom SA (f)		77,517		3,202,088
Repsol SA		2,039		31,805
Telefonica SA		5,813		44,388
				3,291,211
Sweden — 0.0%
Assa Abloy AB Class B		1,024		22,812
Atlas Copco AB Class B		827		22,440
Sandvik AB		999		15,557
Telefonaktiebolaget LM Ericsson Class B		5,268		42,105
Telia Co. AB		206		923
				103,837
Switzerland — 1.1%
Chubb Ltd.		10,369		1,673,971
Cie Financiere Richemont SA		1,958		143,896
Nestle SA		34,699		3,763,943
Novartis AG Registered		8		695
Roche Holding AG		2,987		871,084
				6,453,589
Taiwan — 1.3%
Cathay Financial Holding Co. Ltd. (c)		138,000		182,120
Chunghwa Telecom Co. Ltd. (c)		327,000		1,170,290
Far EasTone Telecommunications Co. Ltd. (c)		201,000		469,436
Formosa Chemicals & Fibre Corp. (c)		47,000		131,583
Formosa Petrochemical Corp. (c)		36,000		114,217

The accompanying notes are an integral part of the consolidated financial statements.

11

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Formosa Plastics Corp. (c)		48,000	$	146,443
Fubon Financial Holding Co. Ltd. (c)		167,000		240,177
Globalwafers Co. Ltd. (c)		2,000		20,374
Hon Hai Precision Industry Co. Ltd. (c)		95,080		225,081
MediaTek, Inc. (c)		3,000		35,764
Nan Ya Plastics Corp. (c)		61,000		137,242
Taiwan Mobile Co. Ltd. (c)		153,000		552,026
Taiwan Semiconductor Manufacturing Co. Ltd. (c)		458,000		4,034,721
Uni-President Enterprises Corp. (c)		99,000		238,689
				7,698,163
Thailand — 0.2%
Advanced Info Service PCL		37,800		271,897
Intouch Holdings PCL		113,800		243,711
PTT Global Chemical PCL		103,900		182,594
The Siam Cement PCL		14,100		188,092
Thai Beverage PCL		95,600		61,299
Thai Oil PCL		57,700		131,586
				1,079,179
Turkey — 0.0%
Eregli Demir ve Celik Fabrikalari TAS		21,838		26,521
Tupras Turkiye Petrol Rafineriileri AS		191		4,849
Turkcell Iletisim Hizmetleri AS		1,308		3,012
				34,382
United Kingdom — 2.0%
AstraZeneca PLC		9,969		885,892
Berkeley Group Holdings PLC		4,478		230,088
Coca-Cola European Partners PLC		330		18,298
Diageo PLC		1,111		45,462
Ferguson PLC		19,304		1,410,359
GlaxoSmithKline PLC		546		11,687
Glencore PLC		3,605		10,861
HSBC Holdings PLC		223,208		1,712,606
NMC Health PLC		27,615		919,787
RELX PLC		1,542		36,585
Rio Tinto PLC		68		3,532
Rolls-Royce Holdings PLC		5,432		52,902
Royal Dutch Shell PLC Class A		1,128		32,971
Royal Dutch Shell PLC Class A		53,382		1,560,492
Royal Dutch Shell PLC Class A Sponsored ADR		19,454		1,144,868
Royal Dutch Shell PLC Class B		561		16,481
Vodafone Group PLC		1,738,706		3,462,614
				11,555,485
United States — 32.7%
Abbott Laboratories		3,565		298,284
AbbVie, Inc.		22,933		1,736,487
Adobe, Inc. (b)		3,442		950,852

	Number of Shares		Value
The AES Corp.		2,532	$	41,373
Agilent Technologies, Inc.		28,299		2,168,552
Air Products & Chemicals, Inc.		17,557		3,895,196
Alexion Pharmaceuticals, Inc. (b)		38		3,722
The Allstate Corp.		7		761
Ally Financial, Inc.		1,010		33,492
Alphabet, Inc. Class A (b)		77		94,028
Alphabet, Inc. Class C (b)		7,801		9,509,419
Altria Group, Inc.		28,319		1,158,247
Amazon.com, Inc. (b)		3,337		5,792,732
American Tower Corp.		1,451		320,860
Ameriprise Financial, Inc.		846		124,447
Amgen, Inc.		551		106,624
Anthem, Inc.		17,020		4,086,502
Apple, Inc.		41,213		9,230,476
Applied Materials, Inc.		17,935		894,956
Autodesk, Inc. (b)		13,068		1,930,144
AutoZone, Inc. (b)		18		19,523
Bank of America Corp.		110,630		3,227,077
Baxter International, Inc.		2,719		237,831
Becton Dickinson and Co.		11,432		2,891,839
Berkshire Hathaway, Inc. Class B (b)		2,902		603,674
Biogen, Inc. (b)		111		25,843
The Boeing Co.		86		32,720
Booking Holdings, Inc. (b)		21		41,215
Bristol-Myers Squibb Co.		1,595		80,882
C.H. Robinson Worldwide, Inc.		3,486		295,543
Capital One Financial Corp.		435		39,576
Cardinal Health, Inc.		790		37,280
Caterpillar, Inc.		40		5,052
Centene Corp. (b)		822		35,560
CenterPoint Energy, Inc.		1,026		30,965
Cerner Corp.		14		954
The Charles Schwab Corp.		31,080		1,300,076
Charter Communications, Inc. Class A (b)		8,803		3,627,892
Chevron Corp.		782		92,745
Cisco Systems, Inc.		17,586		868,924
Citigroup, Inc.		21,614		1,493,095
Citrix Systems, Inc.		10,628		1,025,815
Colgate-Palmolive Co.		41,754		3,069,337
Comcast Corp. Class A (m)		119,519		5,387,917
ConocoPhillips		641		36,524
Corning, Inc.		11,590		330,547
Costco Wholesale Corp.		254		73,180
CSX Corp.		1,620		112,217
Cummins, Inc.		185		30,094
CVS Health Corp.		14,198		895,468
DaVita, Inc. (b)		13,202		753,438
Dell Technologies Class C (b)		233		12,083
Delta Air Lines, Inc.		900		51,840
Devon Energy Corp.		1,849		44,487
Discover Financial Services		709		57,493

The accompanying notes are an integral part of the consolidated financial statements.

12

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Dollar General Corp.		10	$	1,589
Dollar Tree, Inc. (b)		18,492		2,111,047
Dover Corp.		11,654		1,160,272
Dropbox, Inc. (b)		73,700		1,486,529
DuPont de Nemours, Inc.		12,096		862,566
DXC Technology Co.		1,356		40,002
eBay, Inc.		1,787		69,657
Edwards Lifesciences Corp. (b)		366		80,487
Emerson Electric Co.		55,160		3,687,998
Equinix, Inc.		2,246		1,295,493
Exelon Corp.		6,583		318,025
Expedia Group, Inc.		763		102,555
Exxon Mobil Corp.		2,614		184,575
Facebook, Inc. Class A (b)		15,996		2,848,568
Fieldwood Energy LLC (b)		4,052		100,287
Fieldwood Energy LLC (b)		1,094		27,076
Fifth Third Bancorp		2,061		56,430
FleetCor Technologies, Inc. (b)		11,775		3,376,834
Ford Motor Co.		3,426		31,382
Fortune Brands Home & Security, Inc.		2,659		145,447
General Electric Co.		4,449		39,774
General Motors Co.		768		28,785
Gilead Sciences, Inc.		29,083		1,843,281
Global Payments, Inc.		1,612		256,308
The Goldman Sachs Group, Inc.		233		48,285
The Hartford Financial Services Group, Inc.		5,552		336,507
HCA Healthcare, Inc.		15,423		1,857,238
Hewlett Packard Enterprise Co.		1,755		26,623
The Home Depot, Inc.		8,001		1,856,392
Honeywell International, Inc.		507		85,784
HP, Inc.		1,346		25,466
Huntsman Corp.		1,303		30,308
Incyte Corp. (b)		75		5,567
Intel Corp.		2,708		139,543
International Business Machines Corp.		381		55,405
Intuit, Inc.		3,891		1,034,773
Intuitive Surgical, Inc. (b)		82		44,274
Jawbone Health Hub, Inc. (Acquired 1/24/17, Cost $0) (a) (b) (c) (d)		19,705		-
Johnson & Johnson		28,973		3,748,527
JP Morgan Chase & Co.		56,535		6,653,604
KLA Corp.		519		82,755
The Kraft Heinz Co.		358		10,001
The Kroger Co.		2,738		70,586
L3 Harris Technologies, Inc.		343		71,564
LafargeHolcim Ltd.		1,228		60,520
Lear Corp.		205		24,170
Liberty Broadband Corp. Class C (b)		13,128		1,374,108
Liberty Media Corp-Liberty SiriusXM Class A (b)		12,521		520,498
Liberty Media Corp-Liberty SiriusXM Class C (b)		20,981		880,363

	Number of Shares		Value
Lockheed Martin Corp.		213	$	83,083
Lookout, Inc. (Acquired 3/04/15, Cost $42,391) (a) (b) (c) (d)		3,711		2,078
Lowe’s Cos., Inc.		18,596		2,044,816
Macy’s, Inc.		15,477		240,513
Marathon Petroleum Corp.		13,569		824,317
Marsh & McLennan Cos., Inc.		35,912		3,592,996
Masco Corp.		7,128		297,095
Mastercard, Inc. Class A		3,384		918,993
McDonald’s Corp.		6,942		1,490,517
McKesson Corp.		703		96,072
Merck & Co., Inc.		30,809		2,593,502
MetLife, Inc.		981		46,264
Micron Technology, Inc. (b)		887		38,008
Microsoft Corp.		75,244		10,461,173
Mondelez International Inc. Class A		4,351		240,697
Monster Beverage Corp. (b)		569		33,036
Morgan Stanley		69,069		2,947,174
Motorola Solutions, Inc.		2,894		493,167
Newmont Mining Corp.		43,142		1,635,945
NextEra Energy, Inc.		15,680		3,653,283
NIKE, Inc. Class B		511		47,993
Norfolk Southern Corp.		229		41,142
Northrop Grumman Corp.		109		40,852
Omnicom Group, Inc.		1,982		155,191
ONEOK, Inc.		52,246		3,850,008
Oracle Corp.		28,974		1,594,439
Packaging Corporation of America		332		35,225
PayPal Holdings, Inc. (b)		6,055		627,237
Peloton Interactive, Inc. Class A (b)		4,245		106,549
PepsiCo, Inc.		3,021		414,179
Pfizer, Inc.		88,777		3,189,758
Philip Morris International, Inc.		17,797		1,351,326
Phillips 66		477		48,845
The Procter & Gamble Co.		1,609		200,127
The Progressive Corp.		666		51,448
Prudential Financial, Inc.		596		53,610
QUALCOMM, Inc.		9,133		696,665
Raytheon Co.		25,112		4,926,723
Regeneron Pharmaceuticals, Inc. (b)		41		11,373
Regions Financial Corp.		63,008		996,787
Reinsurance Group of America, Inc. Class A		414		66,190
Rockwell Automation, Inc.		206		33,949
Ross Stores, Inc.		605		66,459
Salesforce.com, Inc. (b)		6,686		992,470
Sempra Energy		9,919		1,464,144
ServiceNow, Inc. (b)		88		22,339
Southern Copper Corp.		105		3,584
Stanley Black & Decker, Inc.		139		20,073
Starbucks Corp.		891		78,782
Stryker Corp.		1,401		303,036
SunTrust Banks, Inc.		34,464		2,371,123

The accompanying notes are an integral part of the consolidated financial statements.

13

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Synchrony Financial		405	$	13,806
Sysco Corp.		513		40,732
Target Corp.		12,540		1,340,651
Texas Instruments, Inc.		11,936		1,542,609
Thermo Fisher Scientific, Inc.		663		193,112
The TJX Cos., Inc.		33,947		1,892,206
The Travelers Cos., Inc.		1,949		289,797
U.S. Bancorp		7,252		401,326
Uber Technologies, Inc. (b)		730		22,243
Uber Technologies, Inc., Lockup Shares (Acquired 3/20/14, Cost $1,009,279) (b) (c) (d)		65,060		1,962,004
Union Pacific Corp.		459		74,349
United Airlines Holdings, Inc. (b)		489		43,232
United Technologies Corp.		23,749		3,242,213
UnitedHealth Group, Inc.		18,902		4,107,783
Valero Energy Corp.		502		42,790
VeriSign, Inc. (b)		415		78,281
Verizon Communications, Inc.		24,931		1,504,835
Visa, Inc. Class A		5,650		971,856
Vistra Energy Corp.		11,365		303,786
VMware, Inc. Class A		546		81,933
Walmart, Inc.		13,734		1,629,951
The Walt Disney Co.		548		71,415
Wells Fargo & Co.		4,576		230,813
Western Digital Corp.		627		37,394
Weyerhaeuser Co.		12,574		348,300
The Williams Cos., Inc.		90,844		2,185,707
Wyndham Destinations, Inc.		976		44,916
Xcel Energy, Inc.		526		34,132
Xilinx, Inc.		8,810		844,879
Yum China Holdings, Inc.		4,882		221,789
Yum! Brands, Inc.		620		70,327
Zoetis, Inc.		472		58,806
				187,966,016
TOTAL COMMON STOCK (Cost $287,309,001)				321,136,583
PREFERRED STOCK — 0.8%
Brazil — 0.1%
Banco Bradesco SA		128		1,045
Itau Unibanco Holding SA 3.000%		37,544		316,530
				317,575
Germany — 0.2%
Henkel AG & Co. KGaA, 1.880%		17,035		1,686,735
United States — 0.5%
Citigroup Capital XIII, 7.542%, 3 mo. USD LIBOR + 6.370%, VRN		18,250		500,598
GMAC Capital Trust I, Series 2, 7.542%, 3 mo. USD LIBOR + 5.785%, VRN		20,709		542,783
Grand Rounds, Inc., Series C (Acquired 3/31/15, Cost $336,853) (a) (b) (c) (d)		121,323		326,359

	Number of Shares		Value
Grand Rounds, Inc., Series D (Acquired 5/01/18, Cost $185,458) (a) (b) (c) (d)		76,520	$	203,543
Lookout, Inc., Series F (Acquired 9/19/14-10/22/14, Cost $628,910) (a) (b) (c) (d)		55,056		395,302
Palantir Technologies, Inc., Series I (Acquired 3/27/14, Cost $656,474) (a) (b) (c) (d)		107,092		652,190
Wells Fargo & Co. Series L, 7.500%		171		260,346
				2,881,121
TOTAL PREFERRED STOCK (Cost $5,007,018)				4,885,431
TOTAL EQUITIES (Cost $292,316,019)				326,022,014
	Principal Amount
BONDS & NOTES — 35.4%
BANK LOANS — 0.1%
United States — 0.1%
Fieldwood Energy LLC Exit 1st Lien TL, 3 mo. LIBOR + 5.250% 7.506% VRN 4/11/22	$	130,182		112,534
Exit 2nd Lien TL, 3 mo. LIBOR + 7.250% 9.506% VRN 4/11/23		175,746		130,052
Hilton Worldwide Finance, LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.750% 3.768% VRN 6/22/26		515,275		518,197
				760,783
TOTAL BANK LOANS (Cost $821,204)				760,783
CORPORATE DEBT — 7.0%
Australia — 0.4%
Quintis (Australia) Pty Limited First Lien Note, (Acquired 7/20/16-4/01/19, Cost $965,848), 7.500% 10/01/26 (a) (c) (d) (f)		966,589		966,589
Quintis (Australia) Pty Limited Second Lien Note, (Acquired 7/20/16, Cost $1,077,000), 12.000% 10/01/28 (a) (c) (d) (e) (f)		1,095,355		1,095,355
				2,061,944

The accompanying notes are an integral part of the consolidated financial statements.

14

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Cayman Islands — 0.1%
Baidu, Inc. 4.375% 5/14/24	$	320,000	$	340,985
France — 0.1%
Danone SA 2.589% 11/02/23 (f)		490,000		496,721
India — 0.0%
REI Agro Ltd., Convertible 5.500% 11/13/14 (f) (g)		618,000		6
Japan — 0.2%
Mitsubishi UFJ Financial Group, Inc. 3.777% 3/02/25		164,000		175,169
Sumitomo Mitsui Financial Group, Inc. 3.936% 10/16/23		1,091,000		1,159,050
				1,334,219
Luxembourg — 0.1%
Allergan Funding SCS 3.450% 3/15/22		378,000		387,367
Intelsat Jackson Holdings SA 8.000% 2/15/24 (f)		117,000		121,534
				508,901
Netherlands — 0.2%
Bio City Development Co. B.V., (Acquired 7/05/11, Cost $1,400,000), 8.000% 7/06/20 (a) (c) (d) (f) (g)		1,400,000		168,000
ING Groep NV 4.100% 10/02/23		590,000		626,287
5 year USD Swap + 4.445% 6.000% VRN 12/29/49 (e)		280,000		282,548
NXP BV/NXP Funding LLC 4.625% 6/01/23 (f)		272,000		289,533
				1,366,368
Singapore — 0.1%
CapitaLand Ltd. 1.950% 10/17/23 SGD (f) (h)		500,000		362,815
United Kingdom — 0.4%
HSBC Holdings PLC 3 mo. USD LIBOR + 1.055% 3.262% VRN 3/13/23		412,000		419,412
3 mo. USD LIBOR + 1.211% 3.803% VRN 3/11/25		230,000		239,667
5 year USD ICE Swap + 3.705% 6.375% VRN 12/29/49		705,000		739,813
Lloyds Bank PLC 5 Year UK Gilt + 13.400% 13.000% VRN 12/31/99 GBP (h) (i)		365,000		792,107
UBS Group Funding Switzerland AG 4.125% 9/24/25 (f)		220,000		237,681
				2,428,680

	Principal Amount		Value
United States — 5.4%
AbbVie, Inc. 3.600% 5/14/25	$	167,000	$	173,694
Allergan Sales LLC 5.000% 12/15/21 (f)		190,000		199,612
American Express Co. 3.700% 8/03/23		839,000		883,940
3 mo. USD LIBOR + 3.285% 4.900% VRN 12/29/49		260,000		260,182
Aon Corp. 4.500% 12/15/28		93,000		104,965
Apple, Inc. 3.200% 5/11/27		662,000		702,025
3.350% 2/09/27		684,000		731,280
AvalonBay Communities, Inc. 3.500% 11/15/24		79,000		83,962
Bank of America Corp. 3.300% 1/11/23		392,000		405,002
4.000% 1/22/25		209,000		221,923
4.125% 1/22/24		867,000		933,143
Becton Dickinson and Co. 2.894% 6/06/22		539,000		547,197
3.125% 11/08/21		380,000		386,309
3.363% 6/06/24		176,000		183,584
BP Capital Markets America, Inc. 3.790% 2/06/24		325,000		345,400
Broadcom, Inc. Co. 3.125% 4/15/21 (f)		663,000		669,360
Capital One Financial Corp. 3.200% 1/30/23		281,000		288,381
3.300% 10/30/24		367,000		379,849
Cigna Corp. 3.400% 9/17/21		531,000		542,929
3.750% 7/15/23		452,000		473,324
Citigroup, Inc. 3 mo. USD LIBOR + .897% 3.352% VRN 4/24/25		674,000		698,338
3 mo. USD LIBOR + 4.059% 5.875% VRN 12/29/49		881,000		888,709
3 mo. USD LIBOR + 4.095% 5.950% VRN 12/29/49		357,000		364,526
Comcast Corp. 3.700% 4/15/24		776,000		827,460
CVS Health Corp. 3.700% 3/09/23		1,204,000		1,253,289
Energy Transfer Operating LP 4.050% 3/15/25		122,000		127,651
Energy Transfer Operating LP 5.875% 1/15/24		155,000		172,307
Enterprise Products Operating LLC 3.350% 3/15/23		538,000		556,565
3.750% 2/15/25		121,000		128,921
3.900% 2/15/24		124,000		131,997

The accompanying notes are an integral part of the consolidated financial statements.

15

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Fiserv, Inc. 2.750% 7/01/24	$	1,383,000	$	1,407,032
Gilead Sciences, Inc. 3.250% 9/01/22		392,000		404,977
3.700% 4/01/24		434,000		459,422
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.053% 2.908% VRN 6/05/23		392,000		397,069
3.625% 2/20/24		457,000		478,954
3 mo. USD LIBOR + 3.922% 5.375% VRN 12/29/49		416,000		420,855
The Home Depot, Inc. 2.950% 6/15/29		298,000		312,732
Hughes Satellite Systems Corp. 7.625% 6/15/21		70,000		75,425
iHeartCommunications, Inc. 6.375% 5/01/26		330,510		356,951
8.375% 5/01/27		117,060		126,460
International Business Machines Corp. 3.000% 5/15/24		845,000		876,101
JP Morgan Chase & Co. 3 mo. USD LIBOR + 1.000% 4.023% VRN 12/05/24		522,000		556,591
SOFR + 3.380% 5.000% VRN 12/31/99 (i)		470,000		480,514
Kinder Morgan Energy Partners LP 4.150% 2/01/24		101,000		107,377
4.300% 5/01/24		97,000		103,677
Marsh & McLennan Cos., Inc. 3.875% 3/15/24		224,000		238,541
4.375% 3/15/29		93,000		105,183
McDonald’s Corp. 3.350% 4/01/23		243,000		253,609
Morgan Stanley SOFR + 1.152% 2.720% VRN 7/22/25		345,000		348,456
3.875% 4/29/24		532,000		565,957
3 mo. USD LIBOR + 3.610% 5.913% VRN 12/31/49		294,000		296,411
MPLX LP 4.125% 3/01/27		273,000		287,900
NBCUniversal Enterprise, Inc. 5.250% 12/31/49 (f)		300,000		309,000
Nextera Energy Capital Co. Guar 2.900% 4/01/22		363,000		369,536
Occidental Petroleum Corp. 2.700% 8/15/22		125,000		126,163
ONEOK Partners LP 4.900% 3/15/25		476,000		523,434
ONEOK, Inc. 2.750% 9/01/24		315,000		316,595
PayPal Holdings, Inc. 2.400% 10/01/24		100,000		100,542
2.650% 10/01/26		145,000		145,999

	Principal Amount		Value
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920% 5.625% VRN 6/15/43	$	148,000	$	159,087
3 mo. USD LIBOR + 4.175% 5.875% VRN 9/15/42		224,000		241,394
QUALCOMM, Inc. 2.600% 1/30/23		197,000		200,196
2.900% 5/20/24		510,000		524,252
Starbucks Corp. 3.100% 3/01/23		393,000		405,713
SunTrust Banks, Inc. 4.000% 5/01/25		159,000		171,861
TransDigm, Inc. 6.250% 3/15/26 (f)		1,008,000		1,082,340
UnitedHealth Group, Inc. 3.700% 12/15/25		91,000		97,973
USB Capital IX 3 mo. USD LIBOR + 1.020% 3.500% VRN 10/29/49		110,000		93,775
Verizon Communications, Inc. 3.500% 11/01/24		436,000		461,042
Vistra Operations Co. LLC 5.625% 2/15/27 (f)		349,000		367,514
Walgreen Co. 3.100% 9/15/22		400,000		409,640
Wells Fargo & Co. 3.069% 1/24/23		78,000		79,431
3 mo. USD LIBOR + 1.170% 3.196% VRN 6/17/27		1,329,000		1,373,225
3.750% 1/24/24		251,000		265,593
Wells Fargo Bank NA 3.550% 8/14/23		641,000		673,031
The Williams Cos., Inc. 3.700% 1/15/23		320,000		330,922
4.550% 6/24/24		184,000		198,040
				31,352,316
TOTAL CORPORATE DEBT (Cost $40,668,439)				40,252,955
SOVEREIGN DEBT OBLIGATIONS — 3.8%
Argentina — 0.2%
Argentine Republic Government International Bond 3.375% 1/15/23 EUR (h)		315,000		130,467
5.250% 1/15/28 EUR (h)		100,000		41,965
5.875% 1/11/28		919,000		372,204
6.875% 1/26/27		936,000		392,194
7.820% 12/31/33 EUR (h)		347,154		173,007
				1,109,837

The accompanying notes are an integral part of the consolidated financial statements.

16

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Australia — 0.3%
Australia Government International Bond 3.000% 3/21/47 AUD (f) (h)	$	1,653,000	$	1,454,224
Canada — 0.2%
Canadian Government International Bond 0.750% 3/01/21 CAD (h)		1,308,000		974,842
Indonesia — 0.2%
Indonesia Treasury Bond 8.250% 5/15/29 IDR (h)		18,329,000,000		1,378,168
Italy — 1.4%
Italy Buoni Poliennali Del Tesoro 3.000% 8/01/29 EUR (f) (h)		3,876,000		5,091,630
3.850% 9/01/49 EUR (f) (h)		1,779,000		2,797,758
				7,889,388
Mexico — 0.2%
Mexican Bonos 8.000% 9/05/24 MXN (h)		13,000,000		694,665
United Mexican States 10.000% 12/05/24 MXN (h)		12,300,000		712,757
				1,407,422
South Africa — 0.2%
Republic of South Africa Government Bond 8.000% 1/31/30 ZAR (h)		21,086,256		1,299,338
Spain — 1.1%
Spain Government Bond 0.600% 10/31/29 EUR (f) (h)		3,730,000		4,249,585
2.700% 10/31/48 EUR (f) (h)		1,347,000		2,073,222
				6,322,807
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $22,668,083)				21,836,026
U.S. TREASURY OBLIGATIONS — 24.5%
United States — 24.5%
U.S. Treasury Inflation Index 0.500% 4/15/24		21,020,221		21,271,807
0.625% 4/15/23		2,555,424		2,575,548
U.S. Treasury Note 1.500% 8/31/21		12,087,200		12,052,732
2.250% 8/15/49 (j)		12,104,200		12,450,777
U.S. Treasury Note 1.500% 11/30/19 (k)		5,200,000		5,195,633
1.500% 9/15/22		30,363,200		30,306,269
1.625% 8/15/29		11,678,900		11,628,717
1.875% 6/30/26		6,616,400		6,725,855
1.875% 7/31/26		11,874,300		12,071,433

	Principal Amount		Value
2.375% 5/15/29 (l)	$	19,067,000	$	20,252,357
3.000% 10/31/25 (m)		5,864,500		6,335,951
				140,867,079
TOTAL U.S. TREASURY OBLIGATIONS (Cost $139,863,972)				140,867,079
TOTAL BONDS & NOTES (Cost $204,021,698)				203,716,843
	Number of Shares
MUTUAL FUNDS — 0.7%
Diversified Financial Services — 0.7%
United States — 0.7%
SPDR Gold Shares (k)		6,181		858,355
State Street Navigator Securities Lending Prime Portfolio (n)		3,349,066		3,349,066
				4,207,421
TOTAL MUTUAL FUNDS (Cost $4,207,813)				4,207,421
TOTAL PURCHASED OPTIONS (#) — 0.4% (Cost $3,461,717)				2,097,225
TOTAL LONG-TERM INVESTMENTS (Cost $504,007,247)				536,043,503
	Principal Amount
SHORT-TERM INVESTMENTS — 7.1%
Repurchase Agreement — 0.4%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (o)	$	2,256,234		2,256,234
Sovereign Debt Obligations — 2.9%
Japan Treasury Discount Bill 0.000%10/21/19 JPY (h)		558,750,000		5,168,017
0.000%10/28/19 JPY (h)		406,250,000		3,757,673
0.000%11/05/19 JPY (h)		406,250,000		3,757,852
0.000%11/18/19 JPY (h)		450,350,000		4,166,122
U.S. Treasury Bill — 3.8%
U.S. Treasury Bill 0.000% 10/29/19		2,000,000		1,997,095
0.000% 11/12/19		1,000,000		997,980
0.000% 12/05/19		2,000,000		1,993,554
0.000% 12/12/19		3,000,000		2,989,340
0.000% 12/19/19		2,025,000		2,017,333

The accompanying notes are an integral part of the consolidated financial statements.

17

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
0.000% 1/02/20	$	2,025,000	$	2,015,528
0.000% 1/16/20		10,000,000		9,946,817
TOTAL SHORT-TERM INVESTMENTS (Cost $41,307,549)				41,063,545
TOTAL INVESTMENTS —100.2% (Cost $545,314,796) (p)				577,107,048
Other Assets/(Liabilities) — (0.2)%				(1,423,344	)
NET ASSETS — 100.0%			$	575,683,704

Abbreviation Legend

ADR American Depositary Receipt

CDOR Canadian Dollar Offered Rate

ETF Exchange-Traded Fund

REIT Real Estate Investment Trust

SOFR Secured Overnight Financing Rate

VRN Variable Rate Note

Notes to Consolidated Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Investment was valued using significant unobservable inputs.

(b) Non-income producing security.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $13,946,186 or 2.42% of net assets.

(d) Restricted security. Certain securities are restricted as to resale. At September 30, 2019, these securities amounted to a value of $6,248,023 or 1.09% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(e) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $3,189,731 or 0.55% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(f) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $28,162,554 or 4.89% of net assets.

(g) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At September 30, 2019, these securities amounted to a value of $168,006 or 0.03% of net assets.

(h) The principal amount of the security is in foreign currency. The market value is in U.S. dollars.

(i) Security is perpetual and has no stated maturity date.

(j) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(k) All or a portion of this security is held by a wholly owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly owned subsidiary.

(l) All or a portion of these securities are pledged/held as collateral for open futures contracts, open purchased and written options. (Note 2).

(m) All or a portion of these securities are pledged/held as collateral for open purchased and written options. (Note 2).

(n) Represents investment of security lending collateral. (Note 2).

(o) Maturity value of $2,256,294. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 3/31/23, and an aggregate market value, including accrued interest, of $2,305,892.

(p) See Note 6 for aggregate cost for federal tax purposes.

(#) OTC Options Purchased

Description	Counterparty		Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
Alibaba Group Holding Ltd.		Bank of America N.A.*		1/17/20		162.50		3,521	USD	572,163	$	51,319	$	45,834	$	5,485
NASDAQ 100 Index		Bank of America N.A.*		10/18/19		7,900.00		147	USD	1,161,300		8,291		16,098		(7,807	)
Emerson Electric Co.		Bank of America N.A.*		12/20/19		65.00		18,857	USD	1,225,705		75,519		63,541		11,978
Johnson & Johnson		Bank of America N.A.*		1/17/20		155.00		7,302	USD	1,131,810		603		28,405		(27,802	)
DJ Euro STOXX Banks Index		Barclays Bank PLC*		3/19/21		110.00		7,316	EUR	804,760		13,884		32,785		(18,901	)
Fedex Corp.		Citibank N.A.*		10/18/19		170.00		3,783	USD	643,110		114		35,776		(35,662	)
Alibaba Group Holding Ltd.		Citibank N.A.*		11/22/19		167.00		4,105	USD	685,535		36,514		47,786		(11,272	)

The accompanying notes are an integral part of the consolidated financial statements.

18

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Description	Counterparty		Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call (Continued)
Halliburton Co.		Citibank N.A.*		1/17/20		50.00		19,539	USD	976,950	$	2	$	83,707	$	(83,705	)
Qualcomm, Inc.		Citibank N.A.*		1/17/20		71.00		10,307	USD	731,797		87,014		52,252		34,762
JP Morgan Chase & Co.		Citibank N.A.*		1/17/20		114.50		7,207	USD	825,202		50,140		59,090		(8,950	)
Euro STOXX 50 Index		Credit Suisse International*		10/18/19		3,600.00		402	EUR	1,447,200		11,956		14,292		(2,336	)
Euro STOXX 50 Index		Credit Suisse International*		11/15/19		3,600.00		2,119	EUR	7,628,400		118,602		89,801		28,801
Taiwan Semiconductor Manufacturing Co. Ltd		Credit Suisse International*		1/17/20		46.00		29,133	USD	1,340,118		87,245		62,345		24,900
Fedex Corp.		Credit Suisse International*		1/17/20		162.00		8,213	USD	1,330,506		27,681		112,780		(85,099	)
Euro STOXX 50 Index		Credit Suisse International*		3/20/20		3,600.00		160	EUR	576,000		20,047		14,291		5,756
Euro STOXX 50 Index		Credit Suisse International*		3/20/20		3,900.00		354	EUR	1,380,600		6,242		7,398		(1,156	)
DAX 30 Index		Credit Suisse International*		3/20/20		14,000.00		78	EUR	1,092,000		2,368		7,485		(5,117	)
USD Call JPY Put		Deutsche Bank AG*		12/20/19		109.50		4,040,000	USD	4,040,000		16,483		15,166		1,317
SPDR S&P 500 Trust		Goldman Sachs International*		11/15/19		325.00		506,401	USD	164,580,325		16,023		91,152		(75,129	)
Euro STOXX 50 Index		Goldman Sachs International*		12/20/19		3,750.00		299	EUR	1,121,250		5,926		7,515		(1,589	)
Euro STOXX 50 Index		Goldman Sachs International*		12/20/19		3,850.00		1,617	EUR	6,225,450		8,149		15,897		(7,748	)
Euro STOXX 50 Index		Goldman Sachs International*		12/20/19		3,850.00		1,623	EUR	6,248,550		8,179		17,635		(9,456	)
DAX 30 Index		Goldman Sachs International*		12/20/19		13,300.00		74	EUR	984,200		2,553		7,508		(4,955	)
DAX 30 Index		Goldman Sachs International*		12/20/19		13,700.00		255	EUR	3,493,500		1,277		15,818		(14,541	)
Euro STOXX 50 Index		Goldman Sachs International*		3/20/20		3,800.00		217	EUR	824,600		8,514		7,531		983
DAX 30 Index		Goldman Sachs International*		3/20/20		13,600.00		61	EUR	829,600		5,416		7,388		(1,972	)
SPDR Gold Shares (k)		JP Morgan Chase Bank N.A.*		10/18/19		143.00		10,100	USD	1,444,300		6,123		16,867		(10,744	)
CVS Health Corp.		JP Morgan Chase Bank N.A.*		1/17/20		78.50		7,193	USD	564,651		1,704		38,989		(37,285	)
Alphabet, Inc. Class C		JP Morgan Chase Bank N.A.*		1/17/20		1,315.00		1,129	USD	1,484,635		30,115		53,131		(23,016	)

The accompanying notes are an integral part of the consolidated financial statements.

19

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Description	Counterparty		Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call (Continued)
Qualcomm, Inc.		Morgan Stanley & Co. LLC*		10/18/19		70.00		9,823	USD	687,610	$	67,010	$	42,600	$	24,410
DAX 30 Index		Morgan Stanley & Co. LLC*		12/20/19		13,700.00		255	EUR	3,493,500		1,277		17,846		(16,569	)
SPDR Gold Shares (k)		Morgan Stanley & Co. LLC*		12/31/19		147.50		5,056	USD	745,760		8,734		18,184		(9,450	)
SPDR Gold Shares (k)		Morgan Stanley & Co. LLC*		1/17/20		147.50		10,099	USD	1,489,603		20,802		28,661		(7,859	)
Sumitomo Mitsui Financial Group, Inc.		Morgan Stanley & Co. LLC*		3/13/20		4,756.33		20,764	JPY	98,760,538		1,202		64,856		(63,654	)
Sumitomo Mitsui Financial Group, Inc.		Morgan Stanley & Co. LLC*		9/11/20		4,816.24		16,632	JPY	80,103,704		3,766		47,025		(43,259	)
Sumitomo Mitsui Financial Group, Inc.		Morgan Stanley & Co. LLC*		12/11/20		4,894.87		16,772	JPY	82,096,743		4,229		57,838		(53,609	)
Kroger Co.		Nomura International PLC*		10/18/19		26.00		29,934	USD	778,284		14,908		30,461		(15,553	)
Lowe’s Cos., Inc.		Nomura International PLC*		11/15/19		112.00		9,751	USD	1,092,112		24,666		34,031		(9,365	)
BP PLC		Nomura International PLC*		1/17/20		45.00		48,952	USD	2,202,840		3,260		83,708		(80,448	)
Agilent Technologies, Inc.		Nomura International PLC*		1/17/20		71.00		8,002	USD	568,142		64,728		39,865		24,863
Lowe’s Cos., Inc.		Nomura International PLC*		1/17/20		98.00		6,558	USD	642,684		94,579		42,210		52,369
SPDR Gold Shares (k)		Societe Generale*		10/18/19		136.00		14,612	USD	1,987,232		53,372		38,622		14,750
S&P 500 Index		Societe Generale*		10/18/19		3,050.00		1,214	USD	3,702,700		6,598		26,101		(19,503	)
SPDR Gold Shares (k)		Societe Generale*		11/15/19		138.00		19,682	USD	2,716,116		63,202		71,839		(8,637	)
SPDR Gold Shares (k)		Societe Generale*		11/15/19		145.00		15,131	USD	2,193,995		16,600		29,640		(13,040	)
SPDR Gold Shares (k)		Societe Generale*		11/15/19		147.50		15,129	USD	2,231,528		10,913		25,868		(14,955	)
SPDR Gold Shares (k)		Societe Generale*		12/20/19		146.00		34,365	USD	5,017,290		60,740		98,432		(37,692	)
SPDR Gold Shares (k)		Societe Generale*		1/17/20		147.50		20,177	USD	2,976,108		41,561		67,779		(26,218	)
GBP Call USD Put		UBS AG*		10/08/19		1.34		9,301,000	GBP	9,301,000		91		209,850		(209,759	)
Facebook, Inc.		UBS AG*		12/20/19		195.00		9,532	USD	1,858,740		38,556		134,634		(96,078	)
Schlumberger Ltd.		UBS AG*		1/17/20		70.00		16,475	USD	1,153,250		15		62,038		(62,023	)
DJ Euro STOXX Banks Index		UBS AG*		6/18/21		110.00		9,298	EUR	1,022,780		16,728		39,929		(23,201	)
												1,325,540		2,380,280		(1,054,740	)

The accompanying notes are an integral part of the consolidated financial statements.

20

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Description	Counterparty		Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Put
EUR Put USD Call		Bank of America N.A.*		7/23/20		1.12		819,000	EUR	819,000	$	20,256	$	11,418	$	8,838
USD Put JPY Call		BNP Paribas SA*		12/17/19		106.00		12,539,000	USD	12,539,000		92,726		104,074		(11,348	)
GBP Put USD Call		Morgan Stanley & Co. LLC*		10/08/19		1.25		74,400	GBP	74,400		1,562		1,248		314
EUR Put USD Call		Morgan Stanley & Co. LLC*		3/17/20		1.08		7,840,000	EUR	7,840,000		70,489		46,994		23,495
USD Put JPY Call		UBS AG*		3/11/20		102.00		6,871,000	USD	6,871,000		40,910		48,269		(7,359	)
												225,943		212,003		13,940
											$	1,551,483	$	2,592,283	$	(1,040,800	)

* Contracts are subject to a Master Netting Agreement.

(#) Exchange-Traded Options Purchased

Description	Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
SPDR S&P 500 ETF Trust		10/18/19		303.00		76		USD   2,302,800	$	7,676	$	16,500	$	(8,824	)
SPDR S&P 500 ETF Trust		10/28/19		300.00		837		USD 25,110,000		254,448		268,930		(14,482	)
SPDR S&P 500 ETF Trust		11/15/19		305.00		68		USD   2,074,000		16,456		25,583		(9,127	)
SPDR S&P 500 ETF Trust		12/20/19		305.00		51		USD   1,555,500		23,868		27,093		(3,225	)
iShares Russell 2000 ETF		12/31/19		162.00		59		USD      955,800		7,611		19,897		(12,286	)
SPDR S&P 500 ETF Trust		1/17/20		307.00		118		USD   3,622,600		58,292		43,560		14,732
									$	368,351	$	401,563	$	(33,212	)

(#) Interest Rate Swaptions Purchased

Paid by Fund

Received by Fund

Description

Counterparty

Expiration Date

Rate

Frequency

Rate

Frequency

Notional Amount

Value

Premiums Paid (Received)

Unrealized Appreciation/ (Depreciation)

Call

10-Year Interest Rate Swap, 8/17/30

Bank of America N.A.*

8/13/20

3-Month USD LIBOR BBA

Quarterly

1.08%

Semi-Annually

USD   3,353,261

$

31,064

$

30,167

$

897

5-Year Interest Rate Swap, 10/11/24

Goldman Sachs International*

10/09/19

3-Month USD LIBOR BBA

Quarterly

1.45%

Semi-Annually

USD 29,521,997

38,073

168,275

(130,202

)

69,137

198,442

(129,305

)

The accompanying notes are an integral part of the consolidated financial statements.

21

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

					Paid by Fund			Received by Fund
Description	Counterparty		Expiration Date		Rate		Frequency	Rate	Frequency	Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Put
10-Year Interest Rate Swap, 8/17/30		Bank of America N.A.*		8/13/20		2.08%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly		USD   3,353,261	$	23,985	$	28,858	$	(4,873	)
5-Year Interest Rate Swap, 11/08/24		Citibank N.A.*		11/06/19		1.56%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly		USD   8,181,222		27,381		40,906		(13,525	)
5-Year Interest Rate Swap, 12/02/24		Morgan Stanley & Co. LLC*		11/27/19		1.53%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly		USD   5,803,760		27,990		17,411		10,579
5-Year Interest Rate Swap, 12/02/24		Morgan Stanley & Co. LLC*		11/27/19		1.53%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly		USD   2,310,756		11,144		6,932		4,212
													90,500		94,107		(3,607	)
												$	159,637	$	292,549	$	(132,912	)

* Contracts are subject to a Master Netting Agreement.

(#) Interest Rate Caps Purchased

Description	Counterparty		Expiration Date		Exercise Price	Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
2Y-10Y CMS Index Cap		Goldman Sachs International*		2/27/20	0.50%		USD 45,250,000	$	2,640	$	58,825	$	(56,185	)
2Y-10Y CMS Index Cap		Goldman Sachs International*		8/27/20	0.50%		USD 45,685,000		15,114		116,497		(101,383	)
								$	17,754	$	175,322	$	(157,568	)

* Contracts are subject to a Master Netting Agreement.

OTC Options Written

Description	Counterparty	Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
Alibaba Group Holding Ltd.	Bank of America N.A.*		1/17/20		202.50		3,521	USD	713,003	$	(6,592	)	$	(10,547	)	$	3,955
Emerson Electric Co.	Bank of America N.A.*		12/20/19		75.00		18,857	USD	1,414,275		(6,401	)		(10,838	)		4,437
Alibaba Group Holding Ltd.	Citibank N.A.*		11/22/19		195.00		4,105	USD	800,475		(4,401	)		(14,957	)		10,556
Comcast Corp.	Citibank N.A.*		1/17/20		37.50		17,704	USD	663,900		(140,909	)		(53,112	)		(87,797	)
Qualcomm, Inc.	Citibank N.A.*		1/17/20		86.00		10,307	USD	886,402		(17,429	)		(15,409	)		(2,020	)
JP Morgan Chase & Co.	Citibank N.A.*		1/17/20		125.50		7,207	USD	904,479		(12,989	)		(32,071	)		19,082
Taiwan Semiconductor Manufacturing Co. Ltd	Credit Suisse International*		1/17/20		51.00		29,133	USD	1,485,783		(28,574	)		(20,393	)		(8,181	)
Fedex Corp.	Credit Suisse International*		1/17/20		190.00		8,213	USD	1,560,470		(3,024	)		(35,908	)		32,884

The accompanying notes are an integral part of the consolidated financial statements.

22

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Description	Counterparty	Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call (Continued)
USD Call BRL Put	Deutsche Bank AG*		10/10/19		3.82		1,181,000	USD	1,181,000	$	(94,591	)	$	(23,791	)	$	(70,800	)
SPDR S&P 500 Trust	Goldman Sachs International*		11/15/19		330.00		506,401	USD	167,112,330		(5,477	)		(40,512	)		35,035
SPDR Gold Shares (k)	JP Morgan Chase Bank N.A.*		10/18/19		153.00		10,100	USD	1,545,300		(415	)		(2,626	)		2,211
Sumitomo Mitsui Financial Group, Inc.	Morgan Stanley & Co. LLC*		3/13/20		5,679.90		20,764	JPY	117,937,342		(75	)		(25,416	)		25,341
GBP Call USD Put	Morgan Stanley & Co. LLC*		10/08/19		1.34		74,400	GBP	74,400		(1	)		(45	)		44
Qualcomm, Inc.	Morgan Stanley & Co. LLC*		10/18/19		85.00		9,823	USD	834,955		(855	)		(8,581	)		7,726
USD Call ZAR Put	Morgan Stanley & Co. LLC*		12/12/19		15.50		2,016,000	USD	2,016,000		(44,348	)		(20,690	)		(23,658	)
USD Call MXN Put	Morgan Stanley & Co. LLC*		3/05/20		21.50		2,360,000	USD	2,360,000		(24,620	)		(30,715	)		6,095
EUR Call USD Put	Morgan Stanley & Co. LLC*		3/17/20		1.15		7,840,000	EUR	7,840,000		(29,224	)		(45,648	)		16,424
Kroger Co.	Nomura International PLC*		10/18/19		28.50		29,934	USD	853,119		(588	)		(8,313	)		7,725
Lowe’s Cos., Inc.	Nomura International PLC*		11/15/19		125.00		9,751	USD	1,218,875		(989	)		(5,725	)		4,736
Agilent Technologies, Inc.	Nomura International PLC*		1/17/20		81.00		8,002	USD	648,162		(19,404	)		(13,711	)		(5,693	)
Lowe’s Cos., Inc.	Nomura International PLC*		1/17/20		115.00		6,558	USD	754,170		(26,578	)		(11,031	)		(15,547	)
SPDR Gold Shares (k)	Societe Generale*		11/15/19		155.00		15,001	USD	2,325,155		(2,728	)		(19,563	)		16,835
Facebook, Inc.	UBS AG*		12/20/19		225.00		9,532	USD	2,144,700		(4,240	)		(44,225	)		39,985
DJ Euro STOXX Banks Index	UBS AG*		6/18/21		135.00		9,298	EUR	1,255,230		(4,129	)		(10,297	)		6,168
											(478,581	)		(504,124	)		25,543
Put
Johnson & Johnson	Bank of America N.A.*		1/17/20		109.00		7,302	USD	795,918	$	(7,037	)	$	(20,081	)	$	13,044
Alibaba Group Holding Ltd.	Bank of America N.A.*		1/17/20		135.00		2,348	USD	316,980		(4,916	)		(16,938	)		12,022
Topix Banks Index	Bank of America N.A.*		12/13/19		156.59		398,406	JPY	62,386,396		(55,895	)		(30,676	)		(25,219	)
Emerson Electric Co.	Bank of America N.A.*		12/20/19		55.00		9,429	USD	518,595		(5,082	)		(15,479	)		10,397
DJ Euro STOXX Banks Index	Barclays Bank PLC*		3/19/21		110.23		6,214	EUR	684,969		(205,518	)		(98,552	)		(106,966	)
USD Put JPY Call	BNP Paribas SA*		12/17/19		102.00		12,539,000	USD	12,539,000		(25,691	)		(31,097	)		5,406
Topix Banks Index	BNP Paribas SA*		3/13/20		155.80		538,108	JPY	83,836,365		(81,314	)		(47,412	)		(33,902	)
Bank of America Corp.	Citibank N.A.*		10/11/19		28.50		8,932	USD	254,562		(2,452	)		(4,801	)		2,349
Alibaba Group Holding Ltd.	Citibank N.A.*		11/22/19		140.00		2,668	USD	373,520		(3,637	)		(13,998	)		10,361
Qualcomm, Inc.	Citibank N.A.*		1/17/20		57.00		5,154	USD	293,778		(3,495	)		(18,154	)		14,659
Euro STOXX 50 Index	Credit Suisse International*		11/15/19		3,325.00		1,413	EUR	4,698,225		(32,818	)		(55,682	)		22,864
Taiwan Semiconductor Manufacturing Co. Ltd	Credit Suisse International*		1/17/20		39.00		14,567	USD	568,113		(9,485	)		(19,374	)		9,889
Fedex Corp.	Credit Suisse International*		1/17/20		130.00		4,637	USD	602,810		(17,642	)		(22,605	)		4,963

The accompanying notes are an integral part of the consolidated financial statements.

23

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Description	Counterparty	Expiration Date		Exercise Price		No. of Contracts		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Put (Continued)
CVS Health Corp.	JP Morgan Chase Bank N.A.*		1/17/20		56.00		7,193	USD	402,808	$	(9,068	)	$	(20,500	)	$	11,432
Citigroup, Inc.	JP Morgan Chase Bank N.A.*		10/11/19		67.00		5,075	USD	340,025		(2,302	)		(5,075	)		2,773
Sumitomo Mitsui Financial Group, Inc.	Morgan Stanley & Co. LLC*		3/13/20		3,832.77		20,764	JPY	79,583,734		(52,823	)		(46,100	)		(6,723	)
Sumitomo Mitsui Financial Group, Inc.	Morgan Stanley & Co. LLC*		9/11/20		3,820.96		11,088	JPY	42,366,804		(41,114	)		(28,576	)		(12,538	)
Sumitomo Mitsui Financial Group, Inc.	Morgan Stanley & Co. LLC*		12/11/20		3,786.60		11,181	JPY	42,337,938		(47,454	)		(34,357	)		(13,097	)
USD Put ZAR Call	Morgan Stanley & Co. LLC*		12/12/19		14.00		2,016,000	USD	2,016,000		(4,371	)		(24,803	)		20,432
Topix Banks Index	Morgan Stanley & Co. LLC*		12/13/19		156.59		753,213	JPY	117,943,816		(105,658	)		(64,202	)		(41,456	)
SPDR Gold Shares (k)	Morgan Stanley & Co. LLC*		12/31/19		136.00		2,022	USD	274,992		(4,169	)		(1,985	)		(2,184	)
SPDR Gold Shares (k)	Morgan Stanley & Co. LLC*		1/17/20		134.00		5,050	USD	676,700		(8,004	)		(5,032	)		(2,972	)
Topix Banks Index	Morgan Stanley & Co. LLC*		4/10/20		157.82		477,857	JPY	75,413,576		(84,291	)		(45,286	)		(39,005	)
BP PLC	Nomura International PLC*		1/17/20		36.00		48,952	USD	1,762,272		(52,324	)		(55,805	)		3,481
Kroger Co.	Nomura International PLC*		1/17/20		21.00		9,400	USD	197,400		(3,135	)		(12,292	)		9,157
Agilent Technologies, Inc.	Nomura International PLC*		1/17/20		61.00		6,967	USD	424,987		(4,223	)		(23,370	)		19,147
S&P 500 Index	Societe Generale*		10/18/19		2,875.00		605	USD	1,739,375		(7,706	)		(6,051	)		(1,655	)
SPDR Gold Shares (k)	Societe Generale*		12/20/19		134.00		16,425	USD	2,200,950		(19,948	)		(13,576	)		(6,372	)
SPDR Gold Shares (k)	Societe Generale*		1/17/20		133.00		10,088	USD	1,341,704		(13,116	)		(8,156	)		(4,960	)
GBP Put USD Call	UBS AG*		10/08/19		1.25		9,301,000	GBP	9,301,000		(195,259	)		(120,192	)		(75,067	)
USD Put JPY Call	UBS AG*		3/11/20		99.00		6,871,000	USD	6,871,000		(21,567	)		(25,080	)		3,513
DJ Euro STOXX Banks Index	UBS AG*		6/18/21		106.38		6,318	EUR	672,108		(208,423	)		(101,970	)		(106,453	)
											(1,339,937	)		(1,037,257	)		(302,680	)
										$	(1,818,518	)	$	(1,541,381	)	$	(277,137	)

* Contracts are subject to a Master Netting Agreement.

Exchange-Traded Options Written

Description	Expiration Date		Exercise Price		No. of Contracts		Notional Amount			Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Put
Invesco QQQ Trust Series 1		10/18/19		178.00		101		USD	1,797,800	$	(7,070	)	$	(12,224	)	$	5,154
Wells Fargo & Co.		11/15/19		45.00		116		USD	522,000		(3,364	)		(11,804	)		8,440
Agilent Technologies, Inc.		11/15/19		70.00		54		USD	378,000		(3,024	)		(3,821	)		797
Merck & Co., Inc.		11/15/19		75.00		61		USD	457,500		(2,928	)		(4,072	)		1,144
Microsoft Corp.		11/15/19		130.00		11		USD	143,000		(2,145	)		(2,879	)		734
Fleetcor Technologies, Inc.		11/15/19		270.00		10		USD	270,000		(6,700	)		(6,377	)		(323	)

The accompanying notes are an integral part of the consolidated financial statements.

24

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Description	Expiration Date		Exercise Price		No. of Contracts		Notional Amount			Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Put (Continued)
Bank Of America Corp.		12/20/19		27.00		108		USD	291,600	$	(6,912	)	$	(6,670	)	$	(242	)
Emerson Electric Co.		12/20/19		60.00		44		USD	264,000		(4,268	)		(6,337	)		2,069
Citigroup, Inc.		12/20/19		62.50		51		USD	318,750		(6,477	)		(6,880	)		403
JP Morgan Chase & Co.		12/20/19		105.00		41		USD	430,500		(5,371	)		(5,568	)		197
Microsoft Corp.		12/20/19		125.00		27		USD	337,500		(5,670	)		(6,368	)		698
Apple, Inc.		12/20/19		200.00		17		USD	340,000		(6,086	)		(7,357	)		1,271
SPDR S&P 500 ETF Trust		12/20/19		280.00		51		USD	1,428,000		(22,287	)		(26,099	)		3,812
Amazon.com, Inc.		12/20/19		1,630.00		3		USD	489,000		(13,740	)		(9,587	)		(4,153	)
iShares Russell 2000 ETF		12/31/19		140.00		59		USD	826,000		(14,041	)		(10,783	)		(3,258	)
										$	(110,083	)	$	(126,826	)	$	16,743

Interest Rate Swaptions Written

					Paid by Fund				Received by Fund
Description	Counterparty		Expiration Date		Rate		Frequency		Rate	Frequency		Notional Amount		Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
2-Year Interest Rate Swap, 8/17/22		Bank of America N.A.*		8/13/20		0.88%		Semi-Annually	3-Month USD LIBOR BBA		Quarterly	USD	16,561,103	$	(27,767	)	$	(36,184	)	$	8,417
5-Year Interest Rate Swap, 10/11/24		Goldman Sachs International*		10/09/19		1.20%		Semi-Annually	3-Month USD LIBOR BBA		Quarterly	USD	29,521,997		(776	)		(64,258	)		63,482
5-Year Interest Rate Swap, 12/31/24		Goldman Sachs International*		12/27/19		1.55%		Semi-Annually	3-Month USD LIBOR BBA		Quarterly	USD	3,603,157		(32,450	)		(26,946	)		(5,504	)
															(60,993	)		(127,388	)		66,395
Put
2-Year Interest Rate Swap, 8/17/22		Bank of America N.A.*		8/13/20		3-Month USD LIBOR BBA		Quarterly	1.88%		Semi-Annually	USD	16,561,103	$	(26,792	)	$	(31,674	)	$	4,882
5-Year Interest Rate Swap, 11/08/24		Citibank N.A.*		11/06/19		3-Month USD LIBOR BBA		Quarterly	1.66%		Semi-Annually	USD	8,181,222		(14,039	)		(26,180	)		12,141
5-Year Interest Rate Swap, 11/08/24		Citibank N.A.*		11/06/19		3-Month USD LIBOR BBA		Quarterly	1.76%		Semi-Annually	USD	8,181,222		(6,368	)		(17,181	)		10,813
															(47,199	)		(75,035	)		27,836
														$	(108,192	)	$	(202,423	)	$	94,231

* Contracts are subject to a Master Netting Agreement.

The accompanying notes are an integral part of the consolidated financial statements.

25

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Forward contracts

Counterparty	Settlement Date		Currency Purchased		Currency Sold			Unrealized Appreciation (Depreciation)
Bank of America N.A.*		10/08/19	USD	2,914,296		GBP	2,324,000	$	56,106
Bank of America N.A.*		11/01/19	EUR	2,771,625		USD	3,102,210		(74,447	)
Bank of America N.A.*		12/05/19	USD	1,418,914		SGD	1,973,000		(9,637	)
BNP Paribas SA*		10/08/19	USD	2,900,650		GBP	2,363,000		(5,505	)
BNP Paribas SA*		11/08/19	CHF	164,834		USD	170,000		(4,319	)
BNP Paribas SA*		12/03/19	USD	559,000		ZAR	8,637,668		(6,780	)
BNP Paribas SA*		12/06/19	CHF	1,377,358		USD	1,421,000		(33,328	)
BNP Paribas SA*		12/18/19	USD	2,495,000		JPY	268,277,370		289
Citibank N.A.*		11/01/19	EUR	1,248,000		USD	1,393,629		(30,296	)
Credit Suisse International*		12/06/19	USD	1,564,000		BRL	6,540,648		(3,819	)
Deutsche Bank AG*		10/24/19	USD	2,294,891		JPY	245,753,000		18,774
Deutsche Bank AG*		11/01/19	EUR	3,516,000		USD	3,975,067		(134,139	)
Deutsche Bank AG*		12/06/19	USD	1,000,000		CLP	718,500,000		13,309
Goldman Sachs International*		10/03/19	JPY	304,300,000		USD	2,827,523		(13,006	)
Goldman Sachs International*		10/24/19	JPY	589,307,000		USD	5,488,134		(30,086	)
Goldman Sachs International*		11/01/19	USD	3,922,805		EUR	3,494,625		105,227
Goldman Sachs International*		12/06/19	NZD	1,799,000		USD	1,147,611		(19,384	)
Goldman Sachs International*		12/10/19	EUR	3,598,000		USD	3,974,814		(32,759	)
Goldman Sachs International*		12/18/19	USD	387,000		JPY	41,629,319		(111	)
JP Morgan Chase Bank N.A.*		11/22/19	GBP	2,059,000		USD	2,495,457		41,250
JP Morgan Chase Bank N.A.*		11/22/19	JPY	456,455,000		USD	4,338,700		(103,157	)
JP Morgan Chase Bank N.A.*		11/22/19	USD	1,366,857		INR	98,821,000		(20,176	)
JP Morgan Chase Bank N.A.*		12/06/19	NOK	8,698,000		USD	995,583		(38,582	)
Morgan Stanley & Co. LLC*		10/08/19	GBP	2,314,000		USD	2,889,716		(43,824	)
Morgan Stanley & Co. LLC*		11/01/19	EUR	1,260,000		USD	1,417,585		(41,143	)
Morgan Stanley & Co. LLC*		11/15/19	JPY	302,170,341		USD	2,852,000		(49,360	)
Morgan Stanley & Co. LLC*		12/03/19	EUR	2,805,000		USD	3,112,987		(41,759	)
Morgan Stanley & Co. LLC*		12/05/19	JPY	150,371,725		USD	1,423,000		(26,381	)
Morgan Stanley & Co. LLC*		12/05/19	EUR	2,027,000		USD	2,258,930		(39,131	)
Morgan Stanley & Co. LLC*		12/06/19	USD	409,000		CLP	293,858,082		5,455
Morgan Stanley & Co. LLC*		12/10/19	JPY	270,301,302		USD	2,558,000		(46,336	)
Morgan Stanley & Co. LLC*		12/13/19	EUR	1,822,000		USD	2,009,379		(12,595	)
Morgan Stanley & Co. LLC*		12/18/19	EUR	3,527,400		USD	3,915,590		(48,011	)
Morgan Stanley & Co. LLC*		12/19/19	ZAR	22,586,000		USD	1,512,540		(36,186	)
State Street Bank and Trust Co.*		10/31/19	ZAR	12,176,000		USD	865,785		(64,856	)
State Street Bank and Trust Co.*		10/31/19	USD	863,103		AUD	1,229,000		32,744
State Street Bank and Trust Co.*		12/05/19	GBP	1,067,000		USD	1,299,767		15,466
UBS AG*		11/01/19	EUR	1,255,000		USD	1,410,921		(39,941	)
UBS AG*		11/01/19	USD	7,327,641		EUR	6,556,000		165,774
UBS AG*		11/08/19	CHF	1,214,855		USD	1,254,000		(32,898	)
UBS AG*		11/22/19	EUR	1,015,000		USD	1,130,396		(19,944	)
UBS AG*		12/05/19	NZD	902,000		USD	571,480		(5,810	)
UBS AG*		12/06/19	EUR	1,284,000		USD	1,414,270		(8,011	)
UBS AG*		12/16/19	NZD	897,000		USD	576,668		(14,008	)
								$	(675,331	)

* Contracts are subject to a Master Netting Agreement.

The accompanying notes are an integral part of the consolidated financial statements.

26

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount			Value/ Net Unrealized Appreciation/ (Depreciation)
Long
Euro-BTP		12/06/19		9	$	1,408,790		$	21,835
Mini MSCI Emerging Market Index		12/20/19		25		1,283,368			(30,993	)
Nasdaq 100 E Mini Index		12/20/19		4		630,441			(8,801	)
U.S. Treasury Note 2 Year		12/31/19		148		31,854,150			39,850
U.S. Treasury Note 5 Year		12/31/19		164		19,587,708			(47,364	)
								$	(25,473	)
Short
Euro-Bund		12/06/19		10	$	(1,899,513	)	$	275
Yen Denom Nikkei		12/12/19		90		(8,823,326	)		(276,558	)
U.S. Treasury Note 10 Year		12/19/19		96		(12,449,989	)		(60,011	)
Euro Stoxx 50 Index		12/20/19		2		(76,670	)		(825	)
S&P 500 E Mini Index		12/20/19		27		(4,002,248	)		(18,727	)
								$	(355,846	)

Centrally Cleared Credit Default Swap — Sell Protection††

Reference Obligation/Index

Rate Received by Fund

Payment Frequency

Termination Date

Credit Rating

Notional Amount

Value

Upfront Premium Paid/ (Received)

Unrealized Appreciation (Depreciation)

CDX.NA.HY.32.V2†

5.000%

Quarterly

6/20/24

BB

USD

174,078

$

12,416

$

13,447

$

(1,031

)

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/ Reference	Frequency	Rate/ Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
3-Month CDOR	Quarterly	Fixed 1.905%	Semi-Annually	7/09/21	CAD	1,420,000	$	543		$	11	$	532
3-Month CDOR	Quarterly	Fixed 1.908%	Semi-Annually	7/09/21	CAD	18,033,107		7,487			139		7,348
Fixed 1.550%	Semi-Annually	3-Month USD LIBOR BBA	Quarterly	9/27/24	USD	5,381,182		(10,873	)		70		(10,943	)
3-Month USD LIBOR BBA	Quarterly	Fixed 1.280%	Semi-Annually	11/29/24	USD	1,155,000		(11,629	)		14		(11,643	)
3-Month USD LIBOR BBA	Quarterly	Fixed 1.280%	Semi-Annually	11/29/24	USD	2,902,000		(28,896	)		35		(28,931	)
							$	(43,368	)	$	269	$	(43,637	)

OTC Total Return Swaps

Paid by the Fund				Received by the Fund
Rate/ Reference		Frequency		Rate/ Reference	Frequency	No. of Contracts	Counterparty	Termination Date	Value		Upfront Premium Received (Paid)/ Received		Unrealized Appreciation (Depreciation)
USD	157,788		Maturity	S&P 500 Dividend Index Future December 2021	Maturity	3,250	BNP Paribas SA*	12/17/21	$	34,450	$	—	$	34,450
USD	131,931		Maturity	S&P 500 Dividend Index Future December 2020	Maturity	2,750	Goldman Sachs International*	12/18/20		30,044		—		30,044
									$	64,494	$	—	$	64,494

The accompanying notes are an integral part of the consolidated financial statements.

27

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

OTC Total Return Swaps (a)

Reference Entity	Counterparty	Termination Date		Notional Amount		Net Value of Reference Entities		Unrealized Appreciation/ (Depreciation)		Gross Notional Amount Asset %
Equity Securities Short	J.P. Morgan Chase Bank N.A.*		10/10/2019	USD	1,108,097	$	1,093,320	$	14,777		0.2%
Equity Securities Short	Citigroup Global Markets Inc.*		10/22/2019	USD	808,534		793,826		14,708		0.1%
						$	1,887,146	$	29,485

A portion of the cash collateral received from Goldman Sachs International in the amount of $140,000 was related to swap agreements at September 30, 2019.

(a) The Fund receives or pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specific benchmark, plus or minus a spread in a range of (225) – 17.5 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest:

1 month USD LIBOR

1 week USD LIBOR

Federal Funds Rate

* Contracts are subject to a Master Netting Agreement.

† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

†† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the creditworthiness of the underlying issuer. As the credit rating declines, the likelihood of payment by the fund increases. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

Currency Legend

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CHF Swiss Franc

CLP Chilean Peso

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

INR Indian Rupee

JPY Japanese Yen

MXN Mexican Peso

NOK Norwegian Krone

NZD New Zealand Dollar

SGD Singapore Dollar

USD U.S. Dollar

ZAR South African Rand

The accompanying notes are an integral part of the consolidated financial statements.

28

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements

Consolidated Statement of Assets and Liabilities

September 30, 2019

Assets:
Investments, at value (Note 2) (a)	$	536,043,503
Repurchase agreements, at value (Note 2) (b)		2,256,234
Other short-term investments, at value (Note 2) (c)		38,807,311
Total investments (d)		577,107,048
Cash		616,197
Foreign currency, at value (e)		128,040
Receivables from:
Investments sold		4,258,530
Collateral pledged for equities sold short		363,957
Open forward contracts (Note 2)		454,394
Investment adviser (Note 3)		25,502
Fund shares sold		6,921,495
Variation margin on open derivative instruments (Note 2)		240,167
Interest and dividends		1,718,602
Interest tax reclaim receivable		99,151
Foreign taxes withheld		232,810
Open swap agreements, at value (Note 2)		93,979
Prepaid expenses		26,963
Total assets		592,286,835
Liabilities:
Payables for:
Investments purchased		6,896,271
Collateral held for open derivative instruments (Note 2)		1,090,000
Written options outstanding, at value (Note 2) (f)		2,036,793
Open forward contracts (Note 2)		1,129,725
Interest and dividends		10,651
Fund shares repurchased		947,834
Securities on loan (Note 2)		3,349,066
Trustees’ fees and expenses (Note 3)		79,332
Affiliates (Note 3):
Investment advisory fees		379,730
Administration fees		91,337
Service fees		13,998
Shareholder service fees		1,432
Distribution fees		7,579
Accrued expense and other liabilities		569,383
Total liabilities		16,603,131
Net assets	$	575,683,704
Net assets consist of:
Paid-in capital	$	526,104,773
Accumulated Gain (Loss)		49,578,931
Net assets	$	575,683,704
(a)    Cost of investments:	$	504,007,247
(b)    Cost of repurchase agreements:	$	2,256,234
(c)    Cost of other short-term investments:	$	39,051,315
(d)    Securities on loan with market value of:	$	3,189,731
(e)    Cost of foreign currency:	$	128,118
(f)    Premiums on written options:	$	1,870,630

The accompanying notes are an integral part of the consolidated financial statements.

29

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statement of Assets and Liabilities

September 30, 2019

Class I shares:
Net assets	$	539,537,581
Shares outstanding (a)		49,063,924
Net asset value, offering price and redemption price per share	$	11.00
Class R5 shares:
Net assets	$	4,637,225
Shares outstanding (a)		415,668
Net asset value, offering price and redemption price per share	$	11.16
Service Class shares:
Net assets	$	3,965,001
Shares outstanding (a)		361,114
Net asset value, offering price and redemption price per share	$	10.98
Administrative Class shares:
Net assets	$	7,466,023
Shares outstanding (a)		658,559
Net asset value, offering price and redemption price per share	$	11.34
Class A shares:
Net assets	$	2,523,406
Shares outstanding (a)		230,555
Net asset value, and redemption price per share	$	10.94
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	11.58
Class R4 shares:
Net assets	$	7,021,370
Shares outstanding (a)		648,450
Net asset value, offering price and redemption price per share	$	10.83
Class R3 shares:
Net assets	$	10,533,098
Shares outstanding (a)		977,231
Net asset value, offering price and redemption price per share	$	10.78

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the consolidated financial statements.

30

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statement of Operations

For the Year Ended September 30, 2019

Investment income (Note 2):
Dividends (a)	$	7,488,405
Interest (b)		5,942,809
Securities lending net income		75,925
Total investment income		13,507,139
Expenses (Note 3):
Investment advisory fees		4,375,857
Custody fees		344,764
Dividend expense on short sales		30,544
Audit fees		161,950
Legal fees		48,498
Proxy fees		1,365
Accounting & Administration fees		99,210
Shareholder reporting fees		28,694
Trustees’ fees		25,623
Registration and filing fees		101,937
Transfer agent fees		3,017
		5,221,459
Administration fees:
Class R5		4,809
Service Class		6,041
Administrative Class		11,622
Class A		4,141
Class R4		17,704
Class R3		25,460
Distribution fees:
Class R3		31,825
Distribution and Service fees:
Class A		6,902
Class R4		22,130
Class R3		31,825
Shareholder service fees:
Service Class		2,014
Administrative Class		11,622
Class A		4,141
Total expenses		5,401,695
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(702,628	)
Class R5 fees reimbursed by adviser		(6,499	)
Service Class fees reimbursed by adviser		(5,501	)
Administrative Class fees reimbursed by adviser		(10,662	)
Class A fees reimbursed by adviser		(3,851	)
Class R4 fees reimbursed by adviser		(12,410	)
Class R3 fees reimbursed by adviser		(17,410	)
Net expenses:		4,642,734
Net investment income (loss)		8,864,405

The accompanying notes are an integral part of the consolidated financial statements.

31

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statement of Operations

For the Year Ended September 30, 2019

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions	$	12,939,028
Futures contracts		(255,137	)
Written options		993,045
Equities sold short		318,263
Swap agreements		(231,630	)
Foreign currency transactions		49,424
Forward contracts		(365,999	)
Net realized gain (loss)		13,446,994
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(5,616,136	)*
Futures contracts		(129,029	)
Written options		219,540
Equities sold short		(163,357	)
Swap agreements		28,331
Translation of assets and liabilities in foreign currencies		(30,209	)
Forward contracts		(696,164	)
Net change in unrealized appreciation (depreciation)		(6,387,024	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		7,059,970
Net increase (decrease) in net assets resulting from operations	$	15,924,375
(a)    Net of foreign withholding tax of:	$	569,452
(b)    Net of foreign withholding tax of:	$	20,228
*    Net of net increase (decrease) in accrued foreign capital gains tax of:	$	(20,817	)

The accompanying notes are an integral part of the consolidated financial statements.

32

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statements of Changes in Net Assets

	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	8,864,405		$	8,831,409
Net realized gain (loss)		13,446,994			17,060,599
Net change in unrealized appreciation (depreciation)		(6,387,024	)		(10,649,912	)
Net increase (decrease) in net assets resulting from operations		15,924,375			15,242,096
Distributions to shareholders (Note 2):
Class I		(22,186,688	)		(13,565,956	)*
Class R5		(198,646	)		(177,850	)*
Service Class		(174,343	)		(248,833	)*
Administrative Class		(304,003	)		(210,845	)*
Class A		(106,693	)		(67,977	)*
Class R4		(353,100	)		(232,877	)*
Class R3		(473,178	)		(261,470	)*
Total distributions		(23,796,651	)		(14,765,808	)
Net fund share transactions (Note 5):
Class I		9,288,362			(8,551,985	)
Class R5		(1,733,214	)		(1,093,416	)
Service Class		(530,569	)		(6,434,964	)
Administrative Class		(1,077,760	)		(1,235,167	)
Class A		(1,231,204	)		(45,709	)
Class R4		(2,214,510	)		(1,185,994	)
Class R3		(3,322,506	)		79,137
Increase (decrease) in net assets from fund share transactions		(821,401	)		(18,468,098	)
Total increase (decrease) in net assets		(8,693,677	)		(17,991,810	)
Net assets*
Beginning of year		584,377,381			602,369,191
End of year	$	575,683,704		$	584,377,381

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the consolidated financial statements.

33

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain  (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end  of the period		Total returnl,m			Net assets, end  of the period (000’s)		Ratio of expenses to average daily  net assets before expense waivers (including short sale dividend and loan expense)y			Ratio of expenses to  average daily net assets after expense waivers (including short sale dividend and  loan expense)j,y			Ratio of expenses to average daily  net assets after expense waivers (excluding short sale dividend and loan expense)j			Net investment income (loss) to average daily net assets (including short  sale dividend and loan expense)
Class I
9/30/19	$	11.18	$	0.17	$	0.11		$	0.28		$	(0.12	)	$	(0.34	)	$	(0.46	)	$	11.00		2.99%		$	539,538		0.93%			0.80%			0.79%			1.61%
9/30/18		11.17		0.17		0.12			0.29			(0.25	)		(0.03	)		(0.28	)		11.18		2.61%			537,404		0.97%			0.79%			0.79%	z		1.51%
9/30/17		10.16		0.14		0.97			1.11			(0.10	)		-			(0.10	)		11.17		10.99%			545,487		1.00%			0.81%			0.79%			1.33%
9/30/16		10.11		0.14		0.53			0.67			(0.08	)		(0.54	)		(0.62	)		10.16		6.91%			519,733		0.97%			0.80%			0.79%			1.39%
9/30/15i		10.73		0.11		(0.48	)		(0.37	)		(0.07	)		(0.18	)		(0.25	)		10.11		(3.53%	)b		590,934		0.96%	a		0.79%	a		0.79%	a,z		1.39%	a
12/31/14h		11.80		0.13		0.06			0.19			(0.28	)		(0.98	)		(1.26	)		10.73		1.57%	b		611,549		0.96%	a		0.79%	a		0.79%	a,z		1.40%	a
Class R5
9/30/19	$	11.33	$	0.16	$	0.12		$	0.28		$	(0.11	)	$	(0.34	)	$	(0.45	)	$	11.16		2.89%		$	4,637		1.03%			0.90%			0.89%			1.50%
9/30/18		11.31		0.16		0.13			0.29			(0.24	)		(0.03	)		(0.27	)		11.33		2.57%			6,466		1.06%			0.89%			0.89%	z		1.41%
9/30/17		10.29		0.13		0.98			1.11			(0.09	)		-			(0.09	)		11.31		10.83%			7,554		1.10%			0.91%			0.89%			1.23%
9/30/16		10.23		0.13		0.54			0.67			(0.07	)		(0.54	)		(0.61	)		10.29		6.81%			7,390		1.07%			0.90%			0.89%			1.33%
9/30/15i		10.87		0.10		(0.49	)		(0.39	)		(0.07	)		(0.18	)		(0.25	)		10.23		(3.67%	)b		7,340		1.06%	a		0.89%	a		0.89%	a,z		1.26%	a
12/31/14		11.74		0.25		(0.02	)		0.23			(0.12	)		(0.98	)		(1.10	)		10.87		1.89%			12,994		1.01%			0.88%			0.88%	z		2.12%
Service Class
9/30/19	$	11.16	$	0.15	$	0.11		$	0.26		$	(0.10	)	$	(0.34	)	$	(0.44	)	$	10.98		2.74%		$	3,965		1.13%			1.00%			0.99%			1.40%
9/30/18		11.14		0.13		0.15			0.28			(0.23	)		(0.03	)		(0.26	)		11.16		2.50%			4,587		1.16%			0.99%			0.99%	z		1.20%
9/30/17		10.14		0.12		0.95			1.07			(0.07	)		-			(0.07	)		11.14		10.66%			11,011		1.20%			1.01%			0.99%			1.12%
9/30/16		10.08		0.12		0.54			0.66			(0.06	)		(0.54	)		(0.60	)		10.14		6.79%			11,890		1.17%			1.00%			0.99%			1.23%
9/30/15i		10.72		0.10		(0.49	)		(0.39	)		(0.07	)		(0.18	)		(0.25	)		10.08		(3.72%	)b		15,267		1.16%	a		0.99%	a		0.99%	a,z		1.21%	a
12/31/14		11.74		0.19		0.03			0.22			(0.26	)		(0.98	)		(1.24	)		10.72		1.80%			11,605		1.14%			0.99%			0.99%	z		1.61%
Administrative Class
9/30/19	$	11.50	$	0.14	$	0.13		$	0.27		$	(0.09	)	$	(0.34	)	$	(0.43	)	$	11.34		2.71%		$	7,466		1.23%			1.10%			1.09%			1.31%
9/30/18		11.48		0.14		0.13			0.27			(0.22	)		(0.03	)		(0.25	)		11.50		2.32%			8,687		1.26%			1.09%			1.09%	z		1.19%
9/30/17		10.44		0.11		0.99			1.10			(0.06	)		-			(0.06	)		11.48		10.59%			9,916		1.30%			1.11%			1.09%			1.03%
9/30/16		10.36		0.11		0.55			0.66			(0.04	)		(0.54	)		(0.58	)		10.44		6.61%			9,991		1.27%			1.10%			1.09%			1.11%
9/30/15i		11.02		0.09		(0.50	)		(0.41	)		(0.07	)		(0.18	)		(0.25	)		10.36		(3.80%	)b		14,055		1.26%	a		1.09%	a		1.09%	a,z		1.09%	a
12/31/14		12.03		0.18		0.03			0.21			(0.24	)		(0.98	)		(1.22	)		11.02		1.70%			16,936		1.25%			1.10%			1.10%	z		1.50%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31 2014
	2019			2018			2017			2016
Portfolio turnover rate		174	%		145	%		153	%		171	%		90	%		94	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

y Short sale dividend and loan expense incurred as a result of entering into short sales is included in the Fund’s net expenses in the Consolidated Statement of Operations.

z Amount of short sale dividend and loan expense had no impact on the ratio of expenses to average daily net assets.

The accompanying notes are an integral part of the consolidated financial statements.

34

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain  (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end  of the period		Total returnl,m			Net assets, end  of the period (000’s)		Ratio of expenses to average daily  net assets before expense waivers (including short sale dividend and loan expense)y			Ratio of expenses to  average daily net assets after expense waivers (including short sale dividend and  loan expense)j,y			Ratio of expenses to average daily  net assets after expense waivers (excluding short sale dividend and loan expense)j			Net investment income (loss) to average daily net assets (including short  sale dividend and loan expense)
Class A
9/30/19	$	11.10	$	0.11	$	0.12		$	0.23		$	(0.05	)	$	(0.34	)	$	(0.39	)	$	10.94		2.42%		$	2,523		1.49%			1.35%			1.34%			1.04%
9/30/18		11.08		0.11		0.11			0.22			(0.17	)		(0.03	)		(0.20	)		11.10		2.00%			3,836		1.52%			1.34%			1.34%	z		0.96%
9/30/17		10.07		0.08		0.97			1.05			(0.04	)		-			(0.04	)		11.08		10.42%			3,873		1.55%			1.36%			1.34%			0.77%
9/30/16		10.01		0.09		0.52			0.61			(0.01	)		(0.54	)		(0.55	)		10.07		6.26%			5,748		1.52%			1.35%			1.34%			0.87%
9/30/15i		10.67		0.07		(0.48	)		(0.41	)		(0.07	)		(0.18	)		(0.25	)		10.01		(3.93%	)b		6,922		1.51%	a		1.34%	a		1.34%	a,z		0.85%	a
12/31/14		11.69		0.15		0.03			0.18			(0.22	)		(0.98	)		(1.20	)		10.67		1.42%			8,694		1.50%			1.35%			1.35%	z		1.26%
Class R4
9/30/19	$	11.00	$	0.12	$	0.12		$	0.24		$	(0.07	)	$	(0.34	)	$	(0.41	)	$	10.83		2.57%		$	7,021		1.39%			1.25%			1.24%			1.17%
9/30/18		11.00		0.12		0.11			0.23			(0.20	)		(0.03	)		(0.23	)		11.00		2.10%			9,324		1.41%			1.24%			1.24%	z		1.05%
9/30/17		10.01		0.08		0.97			1.05			(0.06	)		-			(0.06	)		11.00		10.53%			10,527		1.45%			1.26%			1.24%			0.82%
9/30/16		9.99		0.11		0.51			0.62			(0.06	)		(0.54	)		(0.60	)		10.01		6.46%			16,392		1.42%			1.25%			1.24%			1.10%
9/30/15i		10.65		0.08		(0.49	)		(0.41	)		(0.07	)		(0.18	)		(0.25	)		9.99		(3.84%	)b		2,642		1.41%	a		1.24%	a		1.24%	a,z		0.93%	a
12/31/14h		11.73		0.11		0.03			0.14			(0.24	)		(0.98	)		(1.22	)		10.65		1.15%	b		101		1.41%	a		1.24%	a		1.24%	a,z		1.20%	a
Class R3
9/30/19	$	10.95	$	0.10	$	0.11		$	0.21		$	(0.04	)	$	(0.34	)	$	(0.38	)	$	10.78		2.31%		$	10,533		1.63%			1.50%			1.49%			0.92%
9/30/18		10.95		0.09		0.12			0.21			(0.18	)		(0.03	)		(0.21	)		10.95		1.88%			14,074		1.67%			1.49%			1.49%	z		0.82%
9/30/17		9.98		0.07		0.95			1.02			(0.05	)		-			(0.05	)		10.95		10.23%			14,001		1.70%			1.51%			1.49%			0.64%
9/30/16		9.98		0.08		0.52			0.60			(0.06	)		(0.54	)		(0.60	)		9.98		6.16%			10,403		1.67%			1.50%			1.49%			0.83%
9/30/15i		10.65		0.06		(0.48	)		(0.42	)		(0.07	)		(0.18	)		(0.25	)		9.98		(4.03%	)b		2,587		1.66%	a		1.49%	a		1.49%	a,z		0.73%	a
12/31/14h		11.73		0.08		0.04			0.12			(0.22	)		(0.98	)		(1.20	)		10.65		0.97%	b		101		1.66%	a		1.49%	a		1.49%	a,z		0.95%	a

35

Notes to Consolidated Financial Statements

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The MassMutual Select BlackRock Global Allocation Fund (the “Fund”) is a series of the Trust.

Each share class of the Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Fund’s Prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by the Fund in the preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the consolidated financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates.

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

Basis of Consolidation

The accompanying consolidated financial statements for the Fund include the accounts of MassMutual Select Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related investments consistent with the Fund’s investment objectives and policies as stated in its Prospectus and Statement of Additional Information. The Subsidiary allows the Fund to hold these commodity-related investments and still satisfy regulated investment company tax requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions have been eliminated. As of September 30, 2019, the Fund’s net assets were $575,683,704, of which $6,242,907 or 1.08%, represents the Subsidiary’s net assets.

New Disclosure Requirements

Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the Securities and Exchange Commission (“SEC”), the presentation of certain disclosures within the Consolidated Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Consolidated Statements of Assets and Liabilities. Adjustments to the Consolidated Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.

The following is a summary of the previously disclosed amounts, as reported at September 30, 2018:

Distributions to shareholders
From net investment income:
Class I	$	(12,090,103	)
Class R5		(157,710	)
Service Class		(219,365	)
Administrative Class		(184,721	)
Class A		(57,693	)
Class R4		(202,063	)
Class R3		(222,866	)
Total distributions from net investment income		(13,134,521	)

36

Notes to Consolidated Financial Statements (Continued)

From net realized gains:
Class I	$	(1,475,853	)
Class R5		(20,140	)
Service Class		(29,468	)
Administrative Class		(26,124	)
Class A		(10,284	)
Class R4		(30,814	)
Class R3		(38,604	)
Total distributions from net realized gains		(1,631,287	)
Accumulated undistributed (distributions in excess of) net investment income at end of year	$	4,003,912

Investment Valuation

The net asset value of the Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. The Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, the Fund’s net asset value generally is not calculated and the Fund does not anticipate accepting buy or sell orders. However, the value of the Fund’s assets may still be affected on such days to the extent that the Fund holds foreign securities that trade on days that foreign securities markets are open.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Fund’s

37

Notes to Consolidated Financial Statements (Continued)

Valuation Committee¹ in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. The Fund’s Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Fund’s Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Fund may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Fund does not price its shares. As a result, the values of the Fund’s portfolio securities may change on days when the prices of the Fund’s shares are not calculated. The prices of the Fund’s shares will reflect any such changes when the prices of the Fund’s shares are next calculated, which is the next business day. The Fund may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Fund values its securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Fund’s investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Fund calculates its net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Fund’s subadviser utilizes one or a combination of, but not limited to, the following inputs:

Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.

Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.

Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date the Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.

¹  The voting members of the Valuation Committee consist of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO, Secretary, and Assistant Secretaries) of the Trust, as well as such other members as the Trustees may from time to time designate. The non-voting members of the Valuation Committee consist of the CCO, Secretary, and Assistant Secretaries. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Fund’s pricing procedures in general.

38

Notes to Consolidated Financial Statements (Continued)

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Fund can access at the measurement date

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Fund’s own assumptions in determining the fair value of investments)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Levels.

In certain cases, the inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest Level input that is significant to the overall fair value measurement.

The following is the aggregate value by input level, as of September 30, 2019, for the Fund’s investments:

	Level 1		Level 2		Level 3			Total
Asset Investments
Common Stock*
Argentina	$	10,490	$	-	$	-		$	10,490
Australia		-		877,939		476,603	**		1,354,542
Bermuda		384,688		689,507		-			1,074,195
Brazil		3,396,350		-		-			3,396,350
Canada		5,277,670		-		-			5,277,670
Cayman Islands		3,231,530		4,299,604		-			7,531,134
Chile		128,347		-		-			128,347
China		-		2,554,831		-			2,554,831
Czech Republic		-		173,095		-			173,095
Denmark		-		693,638		-			693,638
Finland		-		2,295		-			2,295

39

Notes to Consolidated Financial Statements (Continued)

	Level 1			Level 2			Level 3			Total
Asset Investments (Continued)
Common Stock* (Continued)
France	$	29,796		$	12,370,894		$	-		$	12,400,690
Germany		-			8,935,905			-			8,935,905
Hong Kong		-			4,128,207			-			4,128,207
India		-			4,417,236			-			4,417,236
Indonesia		-			245,125			-			245,125
Ireland		740,757			-			-			740,757
Italy		-			4,760,078			-			4,760,078
Japan		-			31,165,911			-			31,165,911
Liberia		32,932			-			-			32,932
Malaysia		-			91,273			-			91,273
Mexico		52,017			-			-			52,017
Netherlands		181,079			8,030,458			-			8,211,537
Panama		8,829			-			-			8,829
Portugal		-			184,481			-			184,481
Republic of Korea		-			2,546,484			-			2,546,484
Singapore		-			2,794,949			-			2,794,949
South Africa		-			41,723			-			41,723
Spain		-			3,291,211			-			3,291,211
Sweden		-			103,837			-			103,837
Switzerland		1,673,971			4,779,618			-			6,453,589
Taiwan		-			7,698,163			-			7,698,163
Thailand		1,017,880			61,299			-			1,079,179
Turkey		-			34,382			-			34,382
United Kingdom		1,163,166			10,392,319			-			11,555,485
United States		185,814,051			2,149,887			2,078	**		187,966,016
Preferred Stock*
Brazil		317,575			-			-			317,575
Germany		-			1,686,735			-			1,686,735
United States		1,303,727			-			1,577,394	**		2,881,121
Bank Loans		-			760,783			-			760,783
Corporate Debt		-			38,023,011			2,229,944	**		40,252,955
Sovereign Debt Obligations		-			21,836,026			-			21,836,026
U.S. Treasury Obligations		-			140,867,079			-			140,867,079
Mutual Funds		4,207,421			-			-			4,207,421
Purchased Options		368,351			1,728,874			-			2,097,225
Short-Term Investments		-			41,063,545			-			41,063,545
Total Investments	$	209,340,627		$	363,480,402		$	4,286,019		$	577,107,048
Asset Derivatives
Forward Contracts	$	-		$	454,394		$	-		$	454,394
Futures Contracts		61,960			-			-			61,960
Swap Agreements		-			114,425			-			114,425
Total	$	61,960		$	568,819		$	-		$	630,779
Liability Derivatives
Forward Contracts	$	-		$	(1,129,725	)	$	-		$	(1,129,725	)
Futures Contracts		(443,279	)		-			-			(443,279	)
Swap Agreements		-			(51,398	)		-			(51,398	)
Written Options		(110,083	)		(1,926,710	)		-			(2,036,793	)
Total	$	(553,362	)	$	(3,107,833	)	$	-		$	(3,661,195	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets, as applicable.

** None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2019 is not presented.

40

Notes to Consolidated Financial Statements (Continued)

The assets and liabilities shown in the Consolidated Statement of Assets and Liabilities related to: collateral pledged/held for open derivative instruments, and securities on loan, approximate fair value, which would be categorized at Level 2, as of September 30, 2019.

The Fund had Level 3 transfers during the year ended September 30, 2019; however, none of the transfers individually or collectively had a material impact on the Fund.

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than the derivatives’ original cost and can sometimes be unlimited. The Fund may not be able to close out a derivative transaction at a favorable time or price.

At September 30, 2019, and during the year then ended, the Fund had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Asset Derivatives
Forward Contracts*	$	-		$	-		$	454,394		$	-		$	454,394
Futures Contracts^^		-			22,110			-			39,850			61,960
Swap Agreements*		-			93,979			-			-			93,979
Swap Agreements^^,^^^		12,416			-			-			8,030			20,446
Purchased Options*,^^^		-			368,351			-			-			368,351
Purchased Options*		-			1,308,966			242,517			177,391			1,728,874
Total Value	$	12,416		$	1,793,406		$	696,911		$	225,271		$	2,728,004
Liability Derivatives
Forward Contracts^	$	-		$	-		$	(1,129,725	)	$	-		$	(1,129,725	)
Futures Contracts^^		-			(335,904	)		-			(107,375	)		(443,279	)
Swap Agreements^^,^^^		-			-			-			(51,398	)		(51,398	)
Written Options^,^^^		-			(110,083	)		-			-			(110,083	)
Written Options^		-			(1,378,846	)		(439,672	)		(108,192	)		(1,926,710	)
Total Value	$	-		$	(1,824,833	)	$	(1,569,397	)	$	(266,965	)	$	(3,661,195	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-		$	(365,999	)	$	-		$	(365,999	)
Futures Contracts		-			(124,597	)		-			(130,540	)		(255,137	)
Swap Agreements		(271	)		149,737			280,334			(661,430	)		(231,630	)
Purchased Options		-			(1,557,720	)		(301,596	)		1,110,577			(748,739	)
Written Options		-			1,159,908			127,821			(294,684	)		993,045
Total Realized Gain (Loss)	$	(271	)	$	(372,672	)	$	(259,440	)	$	23,923		$	(608,460	)

41

Notes to Consolidated Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(696,164	)	$	-		$	(696,164	)
Futures Contracts		-		(61,504	)		-			(67,525	)		(129,029	)
Swap Agreements		41		(204,936	)		(390,914	)		624,140			28,331
Purchased Options		-		471,638			(194,502	)		(252,766	)		24,370
Written Options		-		269,806			(117,611	)		67,345			219,540
Total Change in Appreciation (Depreciation)	$	41	$	475,004		$	(1,399,191	)	$	371,194		$	(552,952	)

* Consolidated Statement of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts or open swap agreements, at value, as applicable.

^ Consolidated Statement of Assets and Liabilities location: Payables for: open forward contracts or written options outstanding, at value, as applicable.

^^ Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” in the Fund’s Consolidated Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Consolidated Statement of Assets and Liabilities.

^^^ Represents centrally cleared swaps or exchange-traded purchased and written options, which are not subject to a master netting agreement.

# Consolidated Statement of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or forward contracts, as applicable.

## Consolidated Statement of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or forward contracts, as applicable.

For the year ended September 30, 2019, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:

Number of Contracts, Notional Amounts, or Shares/Units†
Futures Contracts	Forward Contracts	Swap Agreements	Purchased Options	Purchased Swaptions	Written Options	Written Swaptions
348	$61,320,259	$39,488,700	73,062,921	$30,166,965	14,616,598	$46,335,356

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, purchased swaptions and written swaptions, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended September 30, 2019.

The Consolidated Portfolio of Investments included in the Fund’s financial statements show the assets or liabilities of the Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on the Fund’s derivatives exposure as of September 30, 2019. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.

42

Notes to Consolidated Financial Statements (Continued)

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund as of September 30, 2019.

Counterparty	Derivative Assets Subject to an MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***			Net Amount*
Bank of America N.A.	$	267,143	$	(224,566	)	$	(42,577	)	$	-
Barclays Bank PLC		13,884		(13,884	)		-			-
BNP Paribas SA		127,465		(127,465	)		-			-
Citibank N.A.		201,165		(201,165	)		-			-
Citigroup Global Markets Inc.		14,708		-			-			14,708
Credit Suisse International		274,141		(95,362	)		(110,000	)		68,779
Deutsche Bank AG		48,566		(48,566	)		-			-
Goldman Sachs International		247,135		(134,049	)		(113,086	)		-
JP Morgan Chase Bank N.A.		93,969		(93,969	)		-			-
Morgan Stanley & Co. LLC		223,660		(223,660	)		-			-
Nomura International PLC		202,141		(107,241	)		(94,900	)		-
Societe Generale		252,986		(43,498	)		(209,488	)		-
State Street Bank and Trust Co.		48,210		(48,210	)		-			-
UBS AG		262,074		(262,074	)		-			-
	$	2,277,247	$	(1,623,709	)	$	(570,051	)	$	83,487

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund as of September 30, 2019.

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty†			Financial Instruments Available for Offset		Collateral Pledged***		Net Amount**
Bank of America N.A.	$	(224,566	)	$	224,566	$	-	$	-
Barclays Bank PLC		(205,518	)		13,884		-		(191,634	)
BNP Paribas SA		(156,937	)		127,465		-		(29,472	)
Citibank N.A.		(236,015	)		201,165		-		(34,850	)
Credit Suisse International		(95,362	)		95,362		-		-
Deutsche Bank AG		(228,730	)		48,566		-		(180,164	)
Goldman Sachs International		(134,049	)		134,049		-		-
JP Morgan Chase Bank N.A.		(173,700	)		93,969		-		(79,731	)
Morgan Stanley & Co. LLC		(831,733	)		223,660		-		(608,073	)
Nomura International PLC		(107,241	)		107,241		-		-
Societe Generale		(43,498	)		43,498		-		-
State Street Bank and Trust Co.		(64,856	)		48,210		-		(16,646	)
UBS AG		(554,230	)		262,074		-		(292,156	)
	$	(3,056,435	)	$	1,623,709	$	-	$	(1,432,726	)

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Consolidated Statement of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

43

Notes to Consolidated Financial Statements (Continued)

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.

Further details regarding the derivatives and other investments held by the Fund during the year ended September 30, 2019, are discussed below.

Foreign Currency Exchange Transactions

The Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

Forward Foreign Currency Contracts and Foreign Currency Options. The Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and the Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. The Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If the Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. For example, futures contracts are exchange-traded and typically have minimal exposure to counterparty risk and forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. The Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce the Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever the Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If the Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that the Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Fund as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Foreign Currency Swaps. The Fund may also enter into currency swaps, as an alternative to the transactions described above. Currency swaps involve the individually negotiated exchange by the Fund with another party of a series of payments in specified currencies in amounts determined pursuant to the terms of the swap agreement. For a description of risks associated with swap transactions and the accounting treatment, see “Swap Agreements” below.

The Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

44

Notes to Consolidated Financial Statements (Continued)

Futures Contracts

The Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. The Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. The Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When the Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When the Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. The Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Total Return Swaps. The Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. The Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. The

45

Notes to Consolidated Financial Statements (Continued)

Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of the Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. The Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions). The Fund may also enter into contracts for difference, which are similar to total return swaps.

Credit Default Swaps. The Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When the Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If the Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment and stream of continuing payments under the swap. When the Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When the Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.

Whenever the Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and the Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. The Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. The Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, the Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when the Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. The Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, the Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on the Fund’s Consolidated Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by

46

Notes to Consolidated Financial Statements (Continued)

the Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Fund’s Consolidated Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on the Fund’s Consolidated Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, the Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by the Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Consolidated Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Consolidated Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded in the accompanying Consolidated Statement of Operations as realized gains and losses, respectively.

The Fund’s current exposure to a counterparty is the fair value of the transaction.

Options, Rights, and Warrants

The Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. The Fund may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio of debt securities or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.

Writing put and call options. The Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When the Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. The Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security the Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security the Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. The Fund may not be able to close out a call option that it has previously written. The Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. The Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. The Fund may not be able to close out a put option that it has previously written.

47

Notes to Consolidated Financial Statements (Continued)

When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. The Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. The Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. The Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. The Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When the Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by the Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by the Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by the Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between the Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result the Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. The Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When the Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights

48

Notes to Consolidated Financial Statements (Continued)

that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

Hybrid Instruments

A hybrid instrument may be a debt security, preferred stock, warrant, convertible security, certificate of deposit, or other evidence of indebtedness on which a portion of or all interest payments, and/or the principal or stated amount payable at maturity, redemption, or retirement, is determined by reference to one or more underlying assets, indexes, economic factors, or other benchmarks. Because hybrid instruments may be designed to provide indirect exposures to virtually any type of derivative instrument, the Fund may invest in a hybrid instrument for any purpose it might engage in derivatives transactions. Hybrid instruments may take a number of forms, including, for example, debt instruments with interest or principal payments or redemption terms determined by reference to the value of an index, security, or other measure at a future time, preferred stock with dividend rates determined by reference to the value of a currency, or convertible securities where the conversion terms relate to a particular commodity. The risks of investing in a hybrid instrument may, depending on the nature of the instrument, reflect a combination of the risks of investing in securities, options, futures, currencies or other types of investments, and will depend upon the terms of the instrument. Such risks generally depend upon factors unrelated to the operations or credit quality of the issuer of the hybrid instrument, and may not be foreseen by the purchaser, such as financial or market developments, economic and political events, the supply and demand of the underlying assets, and interest rate movements. Hybrid instruments may be highly volatile and their use by the Fund may not be successful. The terms of a hybrid instrument may create investment leverage. Hybrid instruments are typically privately issued, presenting credit risk of the issuer, and may be highly illiquid and difficult to value.

Inflation-Linked Securities

Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.

Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.

The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If the Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.

Bank Loans

The Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. The Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by the Fund. The Fund may also invest in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending

49

Notes to Consolidated Financial Statements (Continued)

institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

At September 30, 2019, the Fund had no unfunded loan commitments.

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own in anticipation that the market price of that security will decline. When the Fund makes a short sale on a security, it must borrow the security sold short and deliver it to a broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon the conclusion of the sale. The Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any accrued interest and dividends on such borrowed securities. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss, which could be unlimited, in cases where the Fund is unable for whatever reason to close out its short position; conversely, if the price declines, the Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely impacted by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

Repurchase Agreements

The Fund may enter into repurchase agreements with certain banks and broker-dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to the Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, the Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although the Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in the Fund’s portfolio and increase the volatility of the Fund. If the Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

50

Notes to Consolidated Financial Statements (Continued)

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Fund records on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Fund records a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Securities Lending

The Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Fund’s securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between the Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by the Fund to approved borrowers (each, a “Borrower”).

The Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of the Fund and any additional collateral is delivered to the Fund the next business day. The Fund bears the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Fund may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Fund in the event of default by a Borrower with respect to a loan. The Fund receives compensation for lending its securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At September 30, 2019, the Fund’s collateral was equal to or greater than 100% of the market value of securities on loan.

Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement.

The Fund employs the Agent to implement its securities lending program and the Agent receives a fee from the Fund for its services. In addition, the Fund may be required to pay a rebate to the Borrower. Accordingly, the Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Fund in securities lending transactions during the year ended September 30, 2019, is reflected as securities lending income on the Consolidated Statement of Operations.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income, dividend expense, and realized capital gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund determines the classification of distributions received as return of capital distributions or capital gain distributions.

51

Notes to Consolidated Financial Statements (Continued)

Foreign Currency Translation

The books and records of the Fund are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Fund and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Fund, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets or another alternative method.

Foreign Securities

The Fund invests a significant amount of its assets in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of the Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is the Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Fund would not be subject to federal income taxes on its ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to its shareholders. Therefore, the Fund has not made any provision for federal income tax.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of the Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

52

Notes to Consolidated Financial Statements (Continued)

3. Advisory Fee and Other Transactions

Investment Advisory Fee and Investment Subadviser

MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to the Fund. Under an investment advisory agreement between MML Advisers and the Trust on behalf of the Fund, MML Advisers is responsible for providing investment management services for the Fund. In return for these services, MML Advisers receives an advisory fee, based upon the Fund’s average daily net assets, computed and accrued daily and payable monthly, at the annual rate of 0.78% on the first $750 million; and 0.73% on any excess over $750 million.

MML Advisers has also entered into an investment subadvisory agreement with the unaffiliated investment subadviser, BlackRock Investment Management, LLC (“BlackRock”). MML Advisers pays a subadvisory fee to this subadviser based upon the average daily net assets of the Fund.

The Fund’s subadvisory fee is paid monthly by MML Advisers out of the advisory fee previously disclosed above.

BlackRock provides investment advisory services to the Subsidiary pursuant to an investment advisory agreement. The Subsidiary pays an advisory fee to BlackRock based upon the Subsidiary’s average daily net assets. The rate of this fee is equal to the subadvisory fee rate that MML Advisers pays BlackRock in respect to the Fund. The amount of the fee payable by MML Advisers to BlackRock in respect to the Fund for any period is reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock for that period. Under the Fund’s investment advisory agreement, the amount of the advisory fee payable by the Fund to MML Advisers in respect to any period is also reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock in respect to that period.

Administration Fees

Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of the Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Fund, at the following annual rates:

Class I	Class R5	Service Class	Administrative Class	Class A	Class R4	Class R3
None	0.10%	0.15%	0.15%	0.15%	0.20%	0.20%

The Subsidiary also pays certain other expenses, including administrative, accounting services, custodian, and transfer agent fees. In respect to certain (but not all) of these fees, the Fund has entered into offsetting arrangements with its service providers which result in a reduction of certain of the Fund’s expenses with respect to those assets held by the Subsidiary. Certain of these reductions are reflected within expenses waived on the Consolidated Statement of Operations.

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to the Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of the Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of the Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to the Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.

The Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of the Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Fund’s investors and are

53

Notes to Consolidated Financial Statements (Continued)

calculated and paid based on the average daily net assets attributable to the relevant share classes of the Fund separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Fund’s investors.

Expense Caps and Waivers

MML Advisers has agreed to cap the fees and expenses of the Fund (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) through January 31, 2020 based upon the average daily net assets of the applicable class of shares of the Fund, as follows:

Class I	Class R5	Service Class	Administrative Class	Class A	Class R4	Class R3
0.79%	0.89%	0.99%	1.09%	1.34%	1.24%	1.49%

# Acquired Fund Fees and Expenses are borne indirectly by the Fund through investments in other pooled investment vehicles.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Rebated Brokerage Commissions

The Fund has entered into agreements with certain brokers whereby the brokers will rebate to the Fund, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Fund and are included with realized gain or loss on investment transactions presented in the Consolidated Statement of Operations. For the year ended September 30, 2019, there were no brokerage commissions rebated under these agreements.

Deferred Compensation

Trustees of the Fund who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Fund’s books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Consolidated Statement of Assets and Liabilities.

Other

Certain officers and trustees of the Fund may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Fund.

The beneficial ownership of the Fund’s shares by affiliated parties at September 30, 2019, was 10.8%.

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended September 30, 2019, were as follows:

Purchases				Sales
Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
$	639,275,763	$	266,460,795	$	638,137,678	$	304,775,888

54

Notes to Consolidated Financial Statements (Continued)

5. Capital Share Transactions

Changes in shares outstanding for the Fund were as follows:

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Class I
Sold		4,360,626		$	46,772,835			3,486,339		$	39,120,975
Issued as reinvestment of dividends		2,227,579			22,186,688			1,215,587			13,565,956
Redeemed		(5,607,359	)		(59,671,161	)		(5,468,456	)		(61,238,916	)
Net increase (decrease)		980,846		$	9,288,362			(766,530	)	$	(8,551,985	)
Class R5
Sold		40,046		$	438,605			82,149		$	941,063
Issued as reinvestment of dividends		19,648			198,646			15,725			177,850
Redeemed		(214,977	)		(2,370,465	)		(194,710	)		(2,212,329	)
Net increase (decrease)		(155,283	)	$	(1,733,214	)		(96,836	)	$	(1,093,416	)
Service Class
Sold		25,804		$	275,095			40,328		$	452,177
Issued as reinvestment of dividends		17,504			174,343			22,317			248,833
Redeemed		(93,389	)		(980,007	)		(639,465	)		(7,135,974	)
Net increase (decrease)		(50,081	)	$	(530,569	)		(576,820	)	$	(6,434,964	)
Administrative Class
Sold		63,887		$	710,622			56,259		$	654,444
Issued as reinvestment of dividends		29,544			304,003			18,318			210,845
Redeemed		(190,258	)		(2,092,385	)		(182,820	)		(2,100,456	)
Net increase (decrease)		(96,827	)	$	(1,077,760	)		(108,243	)	$	(1,235,167	)
Class A
Sold		17,297		$	183,645			52,888		$	590,160
Issued as reinvestment of dividends		10,723			106,693			6,108			67,977
Redeemed		(142,930	)		(1,521,542	)		(63,093	)		(703,846	)
Net increase (decrease)		(114,910	)	$	(1,231,204	)		(4,097	)	$	(45,709	)
Class R4
Sold		220,393		$	2,250,615			242,517		$	2,682,705
Issued as reinvestment of dividends		35,884			353,100			21,132			232,877
Redeemed		(455,247	)		(4,818,225	)		(373,475	)		(4,101,576	)
Net increase (decrease)		(198,970	)	$	(2,214,510	)		(109,826	)	$	(1,185,994	)
Class R3
Sold		242,153		$	2,515,546			210,188		$	2,319,532
Issued as reinvestment of dividends		48,234			473,178			23,792			261,470
Redeemed		(598,251	)		(6,311,230	)		(227,480	)		(2,501,865	)
Net increase (decrease)		(307,864	)	$	(3,322,506	)		6,500		$	79,137

Purchases of Class A shares are subject to a front-end sales charge of up to 5.50% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the year ended September 30, 2019, no amounts have been retained by the Distributor.

55

Notes to Consolidated Financial Statements (Continued)

Redemptions of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. There were no contingent deferred sales charges imposed during the year ended September 30, 2019.

6. Federal Income Tax Information

At September 30, 2019, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund, as computed on a federal income tax basis, were as follows:

Federal Income Tax Cost	Tax Basis Unrealized Appreciation	Tax Basis Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
$547,253,491	$46,005,064	$(16,151,507)	$29,853,557

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the consolidated financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2019, was as follows:

Ordinary Income	Long Term Capital Gain
$6,177,358	$17,619,293

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2018, was as follows:

Ordinary Income	Long Term Capital Gain
$14,741,688	$24,120

Capital accounts within the consolidated financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2019, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.

At September 30, 2019, the components of distributable earnings on a tax basis were as follows:

Undistributed Ordinary Income	Undistributed Long Term Capital Gain (Capital Loss Carryover)	Other Temporary Differences	Unrealized Appreciation (Depreciation)
$15,342,244	$4,701,707	$(74,510)	$29,609,490

56

Notes to Consolidated Financial Statements (Continued)

During the year ended September 30, 2019, the following amounts were reclassified due to permanent differences between book and tax accounting:

Paid-in Capital	Accumulated Net Realized Gain (Loss) on Investments	Undistributed Net Investment Income (Loss)
$(335,362)	$1,213,139	$(877,777)

The Fund did not have any unrecognized tax benefits at September 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Consolidated Statement of Operations. During the year ended September 30, 2019, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.

7. Indemnifications

Under the Fund’s organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Fund, and shareholders are indemnified against personal liability for obligations of the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

8. New Accounting Pronouncements

In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is currently evaluating the implication, if any, of these changes and its impact on the Fund’s financial statements.

In August 2018, FASB issued Accounting Standards Update 2018-13 — Fair Value Measurement (Topic 820) Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy, and the valuation processes for Level 3 fair value measurements. ASU 2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The amendment is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has evaluated the impact of ASU 2018-13 and has early adopted the disclosure requirements and the impact, if any, is reflected within the Fund’s financial statements.

57

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of MassMutual Select Funds and Shareholders of MassMutual Select BlackRock Global Allocation Fund:

Opinion on the Consolidated Financial Statements and Consolidated Financial Highlights

We have audited the accompanying consolidated statement of assets and liabilities of MassMutual Select BlackRock Global Allocation Fund and subsidiary (the “Fund”), including the consolidated portfolio of investments, as of September 30, 2019, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the four years in the period then ended, the period from January 1, 2015 through September 30, 2015, and the year ended December 31, 2014, and the related notes. In our opinion, the consolidated financial statements and consolidated financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2019, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the four years in the period then ended, the period from January 1, 2015 through September 30, 2015, and the year ended December 31, 2014, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These consolidated financial statements and consolidated financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements and consolidated financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements and consolidated financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements and consolidated financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements and consolidated financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements and consolidated financial highlights. Our procedures included confirmation of securities owned as of September 30, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

November 26, 2019

We have served as the auditor of one or more MassMutual investment companies since 1995.

58

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.

Independent Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Allan W. Blair Age: 71	Trustee	Since 2003	Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company).	109	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 61	Trustee	Since 2012	Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC).	109	Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 65	Trustee	Since 2012	Retired.	109	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
R. Alan Hunter, Jr. Age: 72	Chairperson Trustee	Since 2016 Since 2003	Retired.	109	Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

59

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
C. Ann Merrifield Age: 68	Trustee	Since 2012	Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company).	109	Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 67	Trustee	Since 2009	Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company).	111^	Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Teresa Hassara^^ Age: 57	Trustee	Since 2017	Director (since 2017), MML Advisers; Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF.	109	Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company).

60

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^^ Age: 74	Trustee	Since 2003	Retired.	111^	Director (since 2018), Jefferies Financial Group Inc. (holding company); Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technologies, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Principal Officers who are not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Joseph Fallon Age: 44	Vice President Assistant Vice President	Since 2017 2015- 2017	Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company).	109
Andrew M. Goldberg Age: 53	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 2001- 2008	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	109
Renee Hitchcock Age: 48	Chief Financial Officer and Treasurer Assistant Treasurer	Since 2016 2007- 2016	Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company).	109
Jill Nareau Robert Age: 47	Vice President and Assistant Secretary Assistant Secretary	Since 2017 2008- 2017	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company).	109

61

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Douglas Steele Age: 44	Vice President	Since 2016	Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company).	109
Philip S. Wellman Age: 55	Vice President and Chief Compliance Officer	Since 2007	Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds & RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	109
Eric H. Wietsma Age: 53	President Vice President	Since 2008 2006- 2008	President (2013-2018, since 2019), Vice President (2018-2019), Director (since 2013), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2019), Vice President (2006-2019), MML Series Investment Fund (open-end investment company); President (since 2019), Vice President (2006-2019), MML Series Investment Fund II (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	109

* The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees.

^ Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers.

^^ Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

^^^ Mr. Joyal is an Interested Person through his position as a director of Jefferies Financial Group Inc., which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion.

# The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees.

62

Federal Tax Information (Unaudited)

For corporate shareholders, 40.16% of the ordinary dividends paid during the Fund’s year ended September 30, 2019, qualified for the dividends received deduction.

Under Section 854(b)(2) of the Code, the Fund hereby designates $7,202,746 as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2019.

63

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that the Fund’s investment adviser and subadviser use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

For periods ending on or after March 31, 2019, the Fund filed its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Forms N-PORT will be available on the SEC’s EDGAR database on its website at http://www.sec.gov. For periods ending prior to March 31, 2019, this information was filed on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in May and June 2019, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadviser (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreement (collectively, the “Contracts”) for the Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadviser provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Fund; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to the Fund prepared by an independent third-party vendor (the “Third-Party”). The Third-Party Report provided detailed comparative advisory fee, total expense, and performance information for the Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and the subadviser.

The Committee considered the nature, scope, and quality of services MML Advisers provides to the Fund, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Fund; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Fund; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Fund and the needs of the Fund for administrative and shareholder services.

The Committee then reviewed and considered the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s net advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against funds in its “category” and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding the Fund’s expenses and performance and a recommendation as to the action to be taken by the Committee. The Committee noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Fund; and (ii) a wide range of information about the subadviser and its personnel with responsibility for providing services to the Fund and the fee payable to the subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning the Fund.

64

Other Information (Unaudited) (Continued)

The Committee reviewed the expense and performance information for the Fund. (References to the one- and three-year period below are to periods ended December 31, 2018. The comparative expense information is that of the Fund’s “peer group” and the comparative performance information is that of the Fund’s “performance category.”)

The Committee considered that the total net expense ratio for the Fund was within the top forty percent of its peer group and that the Fund had a net advisory fee below the median of its peers.

The Committee considered that the Fund experienced three-year investment performance outside the top sixty percent of its performance category, but experienced improved performance for the one-year period that was above the median of its performance category.

The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting and during the course of the year, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the Fund, including: (i) a description of MML Advisers’ revenues from the Fund (including advisory fee and administrative and shareholder services fees, as applicable) and the expense allocation methodology employed by MML Advisers; and (ii) profitability information for the Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Fund and any so-called “fallout benefits” to MML Advisers (which were not considered to be substantial in any event), such as any reputational value derived from serving as investment adviser to the Fund, and benefits accruing to the subadviser due to so-called “soft-dollar arrangements.”

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

The Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of the Fund and the subadvisory process; (ii) MML Advisers’ level of profitability from its relationship with the Fund was not excessive and the advisory fee payable under the advisory agreement and the Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadviser generally appear well suited to the Fund, given its investment objective and policies; (iv) the relative performance of the Fund (taking into account the investment strategy and risk profile of the Fund) is sufficient to warrant continuation of the Contracts for the Fund; and (v) the terms of the Contracts are fair and reasonable with respect to the Fund and are in the best interests of the Fund’s shareholders.

The Committee also considered the information presented and discussed regarding the existing advisory agreement for the Subsidiary.

65

Other Information (Unaudited) (Continued)

Fund Expenses September 30, 2019

Expense Examples:

The following information is in regards to expenses for the six months ended September 30, 2019:

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended September 30, 2019.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred
Class I	$	1,000		0.79	%	$	1,034.80	$	4.07	$	1,021.30	$	4.05
Class R5		1,000		0.89	%		1,034.30		4.59		1,020.80		4.56
Service Class		1,000		0.99	%		1,033.90		5.10		1,020.30		5.07
Administrative Class		1,000		1.09	%		1,033.70		5.62		1,019.80		5.58
Class A		1,000		1.34	%		1,031.10		6.90		1,018.60		6.85
Class R4		1,000		1.24	%		1,032.40		6.39		1,019.10		6.34
Class R3		1,000		1.49	%		1,031.60		7.67		1,017.80		7.62

* Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2019, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise.

66

Underwriter:

MML Distributors, LLC

100 Bright Meadow Blvd.

Enfield, Connecticut 06082-1981

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC RS-45697-01

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	5
Portfolio of Investments
MassMutual RetireSMARTSM Conservative Fund	28
MassMutual RetireSMARTSM Moderate Fund	29
MassMutual RetireSMARTSM Moderate Growth Fund	30
MassMutual RetireSMARTSM Growth Fund	31
MassMutual RetireSMARTSM by JPMorgan In Retirement Fund	32
MassMutual RetireSMARTSM by JPMorgan 2020 Fund	33
MassMutual RetireSMARTSM by JPMorgan 2025 Fund	34
MassMutual RetireSMARTSM by JPMorgan 2030 Fund	35
MassMutual RetireSMARTSM by JPMorgan 2035 Fund	36
MassMutual RetireSMARTSM by JPMorgan 2040 Fund	37
MassMutual RetireSMARTSM by JPMorgan 2045 Fund	38
MassMutual RetireSMARTSM by JPMorgan 2050 Fund	39
MassMutual RetireSMARTSM by JPMorgan 2055 Fund	40
MassMutual RetireSMARTSM by JPMorgan 2060 Fund	41
Statements of Assets and Liabilities	42
Statements of Operations	50
Statements of Changes in Net Assets	56
Financial Highlights	66
Notes to Financial Statements	93
Report of Independent Registered Public Accounting Firm	128
Trustees and Officers (Unaudited)	130
Federal Tax Information (Unaudited)	134
Other Information (Unaudited)
Proxy Voting	136
Quarterly Reporting	136
Trustees’ Approval of Investment Advisory Contracts	136
Fund Expenses	138

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual RetireSMART^SM Funds and the MassMutual RetireSMART^SM by JPMorgan Funds Series of the MassMutual Select Funds. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.

Important Notice: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer, bank, or retirement plan recordkeeper). Instead, the reports will be made available on the Fund’s website (http://www.massmutual.com/funds), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you would like to receive shareholder reports and other communications electronically from the Fund and are either a direct investor in the Fund or MassMutual serves as your retirement plan recordkeeper, please call (800) 767-1000 extension 43012 or send your request to enroll to RSProspectusFulfillment@massmutual.com. If you have invested in the Fund through another financial intermediary (such as a broker-dealer, bank, or retirement plan recordkeeper), you can request electronic delivery by contacting that financial intermediary. Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest directly with the MassMutual Funds or MassMutual serves as your retirement plan recordkeeper, you can call (800) 767-1000 extension 43012 or send an email request to RSProspectusFulfillment@massmutual.com to inform the Funds or MassMutual that you wish to continue receiving paper copies of your shareholder reports. If you invest through a financial intermediary other than MassMutual, you can contact that financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held within the fund complex if you invest directly with a Fund.

MassMutual RetireSMART^SM and MassMutual RetireSMART^SM by JPMorgan Funds – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that’s designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement.”

September 30, 2019

Despite economic slowdowns and political tensions, markets remained strong

I am pleased to present you with MassMutual RetireSMART^SM and MassMutual RetireSMART^SM by JPMorgan Funds Annual Report, covering the year ended September 30, 2019 (the “fiscal year” or the “period”). During the first three quarters of 2019, U.S. stocks experienced a good deal of volatility, as the White House led a protracted trade war against China, with tariffs being imposed on both sides. Nevertheless, total returns for domestic equities during the period were positive, although gains were more muted than in the prior fiscal year.

Recently, we have seen indications that the global economy appears to be slowing down. For example, Chinese industrial production dropped to its lowest level since 2002 in August 2019, while the country’s retail sales slowed by more than 2%. The European Union also showed signs of weakness, with the German economy contracting by 0.1% in the second quarter of 2019. Foreign stocks in developed markets trailed their domestic counterparts for the period and lost a bit of traction for the year, but generally outpaced their emerging-market competitors.

U.S. consumer spending, which is key for the U.S.’s consumption-led economy, remained a bright spot, as retail sales continued to post strong gains throughout the year. Nevertheless, the temporary inversion of the U.S. yield curve troubled investors. That is because historically, yield curve inversions, which occur when short-term interest rates are higher than their long-term counterparts, have often signaled an impending recession.

In a turnaround from 2018, bond investors in the United States experienced strong returns during fiscal year 2019, outperforming stocks for the first time in years. This was largely due to the U.S. Federal Reserve’s actions on interest rates, with its Federal Open Market Committee lowering rates twice in 2019 in an effort to stabilize the economy.

In MassMutual’s view, savvy retirement investors maintain a long-term perspective when planning for the future. As a result, they understand that current headlines ordinarily have limited impact on their retirement planning. We also believe that individuals who follow certain investment guidelines, such as the ones below, may help themselves prepare for a stronger financial future.

Suggestions for retirement investors under any market conditions

View time as your ally

Investing for retirement is a decades-long process for most people. The financial markets will be volatile from time to time, but many patient investors who have taken a long-term approach have managed to ride out the downturns and have successfully grown their account balances and reached their retirement goals over time.

Save as much as possible

Of course, you cannot control – or predict the direction of – the investment markets. But you can control how often and how much you contribute to your retirement savings account. Saving as much as possible and increasing your contributions regularly is one way smart retirement investors know they can help themselves reach their retirement income goals, regardless of how markets perform.

(Continued)

1

MassMutual RetireSMART^SM and MassMutual RetireSMART^SM by JPMorgan Funds – President’s Letter to Shareholders (Unaudited) (Continued)

Continue to invest

Seasoned investors believe that “down” markets offer the potential to be rewarded by amassing larger positions at more favorable prices, as compared to investors who do not continue to invest when the market is down. That is why many financial professionals believe it is important to stay in the market, regardless of near-term results.

Monitor your asset allocation and diversify*

Stocks, bonds, and short-term/money market investments typically behave differently from one another depending upon the economic and market environment. Those broad investment types contain an even greater array of sub-categories (such as small-cap stocks, international stocks, high-yield bonds, etc.). Many financial experts believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.

Choose the investments you feel are right for you – and seek professional guidance

Many financial advisors suggest that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.

If you work with a financial professional, you may wish to consider reaching out to him or her to help ensure:

• you are saving enough for retirement;

• your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as on your investment time horizon; and

• you are taking the right steps to help reduce your longevity risk, which is related to the chance that your retirement savings could “run out” during your lifetime.

Retirement is a moment you plan for

MassMutual believes that retirement planning is not about crunching numbers – it’s about those moments when it all pays off. The more you plan for life’s greatest moments, the more you can relax and enjoy them. That is why our ongoing commitment is to help people financially protect their families today, so they can put themselves on the path to a more secure retirement. When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that is designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement. Thank you for your continued confidence and trust in MassMutual.

Sincerely,

Eric Wietsma

President

* Diversification and asset allocation do not ensure a profit or protect against loss in a declining market.

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA. All rights reserved. www.massmutual.com Underwriter: MML Distributors, LLC (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 100 Bright Meadow Blvd., Enfield, CT 06082. MMLD is a wholly-owned subsidiary of MassMutual. Investment advisory services provided to the Funds by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of MassMutual. The information provided is the opinion of MML Advisers as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual RetireSMART^SM and MassMutual RetireSMART^SM by JPMorgan Funds – Economic and Market Overview (Unaudited)

September 30, 2019

Market Highlights

• For the reporting period from October 1, 2018 through September 30, 2019, U.S. stocks ended slightly higher, though they hit record levels in late July.

• Global economic optimism faded during the period under the weight of global and domestic political tensions, mixed economic results, and the impact of existing tariffs and rhetoric threatening additional tariffs.

• The Federal Open Market Committee (FOMC), in response to slowing global growth, announced two rate decreases in 2019 after one rate hike in December 2018.

• Foreign stocks in developed markets and emerging markets saw losses over the reporting period, aggravated by a strengthening U.S. dollar.

• U.S. bond investors enjoyed positive returns in a falling yield environment fueled by rate decreases and supportive central bank policy.

Market Environment

U.S. equity investors watched stock markets move mostly sideways for the fiscal year beginning October 1, 2018. U.S. stocks fell sharply in the first quarter of the period, suffering their worst quarterly decline in nearly a decade. They rebounded during the remaining quarters and crossed into record territory in late July 2019, but succumbed to volatility and uncertainty fueled by slowing global economic growth indicators and ongoing trade war acrimony between the U.S. and China. Both the S&P 500^® Index* (S&P 500) and the Dow Jones Industrial Average^SM (Dow) ended the fiscal year only slightly ahead of where they started.

Global economic growth seemed to slow with less synchronized and more restrained economic indicators than in the recent past. The U.S. economy has shown signs that it may be in the late stages of the current business cycle. For example, a tightening labor market typically results in low unemployment rates, but tends to drive up wage growth, putting pressure on corporate earnings. Declining unemployment claims may point to a nearer-term plateau in employment growth. Mixed signals in housing data also tend to be consistent with late cycle trends. As a result, pundits’ speculation about recession has begun to emerge. Consensus still deems the risk of near-term recession to be low, but more possible than in recent years.

Global and domestic political tensions fueled market volatility throughout 2019. The U.S. threatened and imposed tariffs on Chinese goods, which prompted retaliatory responses from China. On-again, off-again trade talks added further turbulence. In Great Britain, negotiations for a Brexit deal broke down threatening a “no-deal” Brexit, which could create serious trade obstacles in Europe. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) At the end of the reporting period, parties were no closer to a deal, despite the looming October 31, 2019 deadline. Domestically, political rancor between the White House and the Democratic-led House of Representatives culminated in a call for the launch of a formal impeachment inquiry at the end of September. There does not appear to be an end in sight for the current political battles.

With these various tensions at play, the FOMC not only halted their previously announced calendar of rate hikes, but tapped the brakes and reduced rates twice during the period. Bond investors enjoyed some of the best returns they have seen in recent years, as bond indexes generally outperformed stock indexes for the period.

The broad market S&P 500 delivered a modest 4.25% return for the fiscal year. The Dow followed a similar pattern to end the period with a 4.21% advance. The technology-heavy NASDAQ Composite Index, which led returns in the last fiscal year, rose just over one-half of one percent for the period. Small- and mid-cap stocks underperformed their larger peers, as small-caps lagged significantly. Growth stocks outperformed their value counterparts during the period, although value investors enjoyed a resurgence toward the end of the fiscal year.

3

MassMutual RetireSMART^SM and MassMutual RetireSMART^SM by JPMorgan Funds – Economic and Market Overview (Unaudited) (Continued)

Six of 11 sectors in the S&P 500 delivered positive returns for the reporting period, led by the utilities, real estate, and consumer staples sectors, which all enjoyed double-digit growth and beat the S&P 500. The energy sector was the worst laggard for the fiscal year. The financials, materials, industrials, and health care sectors also ended in negative territory.

Developed international markets, as measured by the MSCI EAFE^® Index, not only trailed their domestic peers during the period, but also ended the fiscal year in negative territory, down 1.34%. Developed international markets struggled to gain traction under the weight of a strengthening U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and trade war rhetoric. Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended down 2.02% for the period.

Bond yields rose during the fiscal year, with the 10-year U.S. Treasury bond crossing the 3.00% threshold for a short period in November 2018 before dropping back to 1.68% at the close of the period. Falling yields generally produce rising bond prices; therefore, bond index returns benefited. The Bloomberg Barclays U.S. Aggregate Bond Index ended the period up 10.30%. High-yield corporate bonds did not fare as well, but ended in positive territory. The Bloomberg Barclays U.S. Corporate High Yield Index advanced 6.36% by the end of the fiscal year.

Review and maintain your strategy

At MassMutual, we help people look out for those they love. We believe planning and saving for retirement continues to be an important and urgent challenge for many of our customers. Investing in stock and bond mutual funds can play an important role in helping build a stable source of retirement income that allows investors the freedom to retire any way they’d like. Maintaining a long-term perspective and setting realistic expectations about the future performance of your investment portfolio is very important. Financial markets can behave unpredictably. Our multi-managed and subadvised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level in changing markets, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.

The information provided is the opinion of MML Investment Advisers, LLC as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

* Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment.

4

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited)

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (risk-based) Series, and who is the Series’ investment adviser?

The MassMutual (“MM”) RetireSMART (risk-based) Series (the “Series”) comprises four Funds – each of which has a “fund of funds” structure. The four Funds are MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, and MM RetireSMART Growth Fund. All Funds in the Series seek to achieve as high a total return over time as is considered consistent with prudent investment risk, preservation of capital, and recognition of the Funds’ stated asset allocation.

Each Fund seeks to achieve its investment objective by investing in a combination of U.S. domestic and international mutual funds (“Underlying Funds”) using an asset allocation strategy. Underlying Funds will include a combination of MassMutual Select Funds and MassMutual Premier Funds (advised by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual)), and may also include Barings Funds (advised by Barings LLC (Barings), a wholly-owned, indirect subsidiary of MassMutual) and other, non-affiliated mutual funds. The Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments. Underlying Funds may also invest some or all of their assets in commodities or commodities-related investments. The Series’ investment adviser is MML Advisers.

Each Fund’s assets are allocated among its Underlying Funds according to an asset allocation strategy, as follows:

• MM RetireSMART Conservative Fund: The Fund has a conservative asset allocation strategy (relative to the other risk-based MM RetireSMART Funds), with approximately 30% of its assets invested in equity and similar funds and approximately 70% invested in fixed income funds, including money market funds.

• MM RetireSMART Moderate Fund: The Fund has a moderate asset allocation strategy (relative to the other risk-based MM RetireSMART Funds), with approximately 60% of its assets invested in equity and similar funds and approximately 40% invested in fixed income funds, including money market funds.

• MM RetireSMART Moderate Growth Fund: The Fund has an asset allocation strategy that emphasizes the potential for moderate growth (relative to the other risk-based MM RetireSMART Funds), with approximately 85% of its assets invested in equity and similar funds and approximately 15% invested in fixed income funds, including money market funds.

• MM RetireSMART Growth Fund: The Fund has an asset allocation strategy that emphasizes the potential for growth (relative to the other risk-based MM RetireSMART Funds), with approximately 97% of its assets invested in equity and similar funds and approximately 3% invested in fixed income funds, including money market funds.

How did each Fund perform during the 12 months ended September 30, 2019?

The return of each Fund’s Class R5 shares is shown below in comparison to the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category; the Bloomberg Barclays U.S. Aggregate Bond Index, which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS); and the S&P 500^® Index, which measures the performance of 500 widely held stocks in the U.S. equity market.

	Fund’s Class R5 Shares Return	Lipper Balanced Fund Index Return	Bloomberg Barclays U.S. Aggregate Bond Index Return	S&P 500® Index Return
MM RetireSMART Conservative Fund	6.83%	4.94%	10.30%*	4.25%
MM RetireSMART Moderate Fund	4.76%	4.94%	10.30%	4.25%*

5

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited) (Continued)

	Fund’s Class R5 Shares Return	Lipper Balanced Fund Index Return	Bloomberg Barclays U.S. Aggregate Bond Index Return	S&P 500® Index Return
MM RetireSMART Moderate Growth Fund	3.12%	4.94%	10.30%	4.25%*
MM RetireSMART Growth Fund	2.21%	4.94%	10.30%	4.25%*

* Benchmark return

For the year ended September 30, 2019, all of the MM RetireSMART (risk-based) Funds underperformed the Bloomberg Barclays U.S. Aggregate Bond Index. Two of the Funds, MM RetireSMART Moderate Growth Fund and MM RetireSMART Growth Fund, underperformed the S&P 500 Index. The other two Funds, MM RetireSMART Conservative Fund and MM RetireSMART Moderate Fund, outperformed the S&P 500 Index. Finally, only one Fund outperformed the Lipper Balanced Fund Index – MM RetireSMART Conservative Fund.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Discussion of factors that contributed to the Funds’ performance

The Series’ allocation to fixed income (bonds) versus equities (stocks) was the major performance driver, as generally speaking, bonds across the globe outpaced stocks. Allocations within markets made a difference, as U.S. stocks outperformed international developed- and emerging-market stocks by a wide margin. U.S. real estate investment trusts (REITs) outperformed U.S. stocks and longer-duration bonds outperformed shorter-duration bonds. Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the fund when interest rates rise or fall. Overall, the allocations between stocks and bonds was key to the Funds’ outperformance, as double-digit returns in various bond markets were significantly ahead of the low single-digit to negative returns for the stock markets.

Concerns over the global trade war, tightening monetary policy by the Federal Reserve (the Fed), and a slowdown in global economic growth drove stock market volatility higher in the first three months of the period. In contrast, a reversal by the Fed to loosen monetary policy, along with strong employment figures and solid corporate earnings, drove double-digit gains in global stock prices for the last nine months of the period. Throughout the fiscal year, the Funds maintained a neutral position relative to overall risk, which had little impact on performance. The decision to reduce the U.S. stock allocation and increase the emerging-market stock allocation dragged on the Funds’ results. The Funds’ position in domestic REITs contributed to performance, as did a position in long-term U.S. Treasuries. Those Series Funds with higher bond allocations – such as the MM RetireSMART Conservative and MM RetireSMART Moderate Funds – outperformed their counterparts with higher stock allocations, such as the MM RetireSMART Moderate Growth and MM RetireSMART Growth Funds.

The full-year returns of underlying actively managed funds generally contributed to results. Outperformance by the MassMutual Select Strategic Bond, MassMutual Select Equity Opportunities, MassMutual Select Mid-Cap Value, MassMutual Select Small Cap Growth Equity, MassMutual Select Overseas, and MassMutual Premier Strategic Emerging Markets Funds proved key. The MassMutual Premier Short-Duration Bond, MassMutual Select Fundamental Value, MassMutual Select Growth Opportunities, and MassMutual Premier International Equity Funds were the major detractors.

There were some changes to the underlying Funds during the year. The MassMutual Select Fundamental Value Fund changed subadvisers from Wellington Management Company LLP and Barrow, Hanley, Mewhinney & Strauss, LLC (“Barrow Hanley”) to Boston Partners Global Investors, Inc. and Barrow Hanley. All MassMutual Premier Funds subadvised by OppenheimerFunds, Inc. or OFI Global Institutional, Inc. are now subadvised by Invesco Advisers, Inc. (“Invesco”) due to the acquisition of the Oppenheimer organization by the Invesco organization in May 2019.

6

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited) (Continued)

Outlook

Fund management expects strong U.S. consumption – fueled by low unemployment and high wage growth, plus accommodative monetary policy – could keep U.S. economic growth in positive territory, despite the negative impact the global trade war is having on the global economy. They expect market volatility to remain elevated until the trade dispute has stabilized and is on the path to being resolved, especially in the more export-sensitive economies of China and the European Union. Also, with stock valuations above their long-term averages and increasing investor expectations for a recession in the next few years, Fund management believes the Fed runs the risk of moving too slowly as it shifts the federal funds rate lower and restarts its bond purchasing program. The federal funds rate is the interest rate that banks and financial institutions charge each other for borrowing funds overnight.

Fund management believes that renewed volatility and divergence in market performance may create opportunities for managers of active funds to outperform their benchmarks. Fund management continues to maintain a balanced position between risks and opportunities, with an eye toward opportunities outside the United States and away from the risk of corporate debt and longer-maturity bonds. Looking ahead to 2020, Fund management will closely monitor how trends unfold as they manage the positioning of each MM RetireSMART Fund within the Series.

7

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited)

MassMutual RetireSMART Conservative Fund Asset Allocation (% of Net Assets) on 9/30/19
Fixed Income Funds	78.1	%
Equity Funds	22.0	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	62.0	%
Fixed Income Funds	38.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Growth Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	78.9	%
Fixed Income Funds	21.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Growth Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	94.9	%
Fixed Income Funds	5.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

8

MassMutual RetireSMART^SM by JPMorgan (target date) Funds – Portfolio Manager Report (Unaudited)

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM by JPMorgan (target date) Series, and who are the Series’ investment adviser and subadviser?

The MassMutual (“MM”) RetireSMART by JPMorgan (target date) Series (the “Series”) comprises 10 Funds – each of which has a “fund of funds” structure.

The 10 Funds are MM RetireSMART by JPMorgan In Retirement Fund, MM RetireSMART by JPMorgan 2020 Fund, MM RetireSMART by JPMorgan 2025 Fund, MM RetireSMART by JPMorgan 2030 Fund, MM RetireSMART by JPMorgan 2035 Fund, MM RetireSMART by JPMorgan 2040 Fund, MM RetireSMART by JPMorgan 2045 Fund, MM RetireSMART by JPMorgan 2050 Fund, MM RetireSMART by JPMorgan 2055 Fund, and MM RetireSMART by JPMorgan 2060 Fund.

MM RetireSMART by JPMorgan In Retirement Fund seeks current income and some capital appreciation.

MM RetireSMART by JPMorgan 2020/2025/2030/2035/2040/2045/2050/2055/2060 Funds each seeks total return through the Fund’s asset allocation, which is designed to become more conservative over time. As each Fund approaches and passes the target retirement date, the Fund’s objective will shift to seeking current income and some capital appreciation.

Each Fund seeks to achieve its investment objective by investing in a combination of U.S. domestic and international mutual funds (“Underlying Funds”) using an asset allocation strategy designed for investors expecting to retire at age 65 around the year specified in the Fund’s name and likely to stop making new investments in the Fund at or around that time (or designed for investors who are retired or expect to retire soon for the MM RetireSMART by JPMorgan In Retirement Fund). Underlying Funds will include a combination of MassMutual Select Funds and MassMutual Premier Funds (advised by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual)) and J.P. Morgan Funds (advised by J.P. Morgan Investment Management Inc. (J.P. Morgan) or its affiliates), and may also include Barings Funds (advised by Barings LLC (Barings), a wholly-owned, indirect subsidiary of MassMutual) and other, non-affiliated mutual funds. The Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments. Underlying Funds may also invest some or all of their assets in commodities or commodities-related investments.

Non-affiliated Underlying Funds in which the Funds may invest are typically passively managed funds that seek to track the performance of a particular market index, which may be broad-based or relate to a particular sector, market, region, or industry. Each Fund is advised by MML Advisers and subadvised by J.P. Morgan. J.P. Morgan has responsibility for determining each Fund’s strategic asset allocation and tactical asset allocation. MML Advisers has overall responsibility for each Fund and for implementing those allocations through the selection of, and allocations to, Underlying Funds. Most of the Funds’ assets will typically be invested in mutual funds advised by MML Advisers, J.P. Morgan, or their affiliates, including typically a 15% to 35% allocation to mutual funds advised or subadvised by J.P. Morgan or its affiliates.

Each Fund’s assets are allocated to the Underlying Funds according to an asset allocation strategy, as follows:

• MM RetireSMART by JPMorgan In Retirement Fund: Assets are allocated among Underlying Funds according to an asset allocation strategy that emphasizes fixed income and money market funds, but also includes smaller allocations to equity and certain other funds. The Fund is designed for use as part of an overall investment strategy by an investor who is already in retirement or expects to retire soon.

• MM RetireSMART by JPMorgan 2020/2025/2030/2035/2040/2045/2050/2055/2060 Funds: For each Fund, assets are allocated among Underlying Funds according to an asset allocation strategy that generally becomes increasingly conservative until it reaches its most conservative strategic target allocations by the end of its target retirement year. It is intended that each Fund’s strategic target allocations will approximate those of the MM RetireSMART by JPMorgan In Retirement Fund by the end of its target retirement year.

9

MassMutual RetireSMART^SM by JPMorgan (target date) Funds – Portfolio Manager Report (Unaudited) (Continued)

How did each Fund perform during the 12 months ended September 30, 2019?

The return of a representative class of each Fund is shown below in comparison to the return of each Fund’s respective S&P Target Date Index. For the year ended September 30, 2019, each of the Funds outperformed its respective S&P Target Date Index.

	Fund’s Service Class Shares Return	S&P Target Date Index* Return
MM RetireSMART by JPMorgan In Retirement Fund	5.89%	5.66%
MM RetireSMART by JPMorgan 2020 Fund	5.42%	4.57%
MM RetireSMART by JPMorgan 2025 Fund	5.14%	3.96%
MM RetireSMART by JPMorgan 2030 Fund	4.48%	3.23%
MM RetireSMART by JPMorgan 2035 Fund	3.55%	2.52%
MM RetireSMART by JPMorgan 2040 Fund	3.08%	2.09%
MM RetireSMART by JPMorgan 2045 Fund	2.92%	1.83%
MM RetireSMART by JPMorgan 2050 Fund	2.92%	1.59%
MM RetireSMART by JPMorgan 2055 Fund	2.99%	1.57%
	Fund’s Class I Shares Return
MM RetireSMART by JPMorgan 2060 Fund	3.15%	1.56%

* The S&P Target Date Index for each Fund in the Series is as follows: MM RetireSMART by JPMorgan In Retirement Fund: S&P Target Date Retirement Income Index; MM RetireSMART by JPMorgan 2020 Fund: S&P Target Date 2020 Index; MM RetireSMART by JPMorgan 2025 Fund: S&P Target Date 2025 Index; MM RetireSMART by JPMorgan 2030 Fund: S&P Target Date 2030 Index; MM RetireSMART by JPMorgan 2035 Fund: S&P Target Date 2035 Index; MM RetireSMART by JPMorgan 2040 Fund: S&P Target Date 2040 Index; MM RetireSMART by JPMorgan 2045 Fund: S&P Target Date 2045 Index; MM RetireSMART by JPMorgan 2050 Fund: S&P Target Date 2050 Index; MM RetireSMART by JPMorgan 2055 Fund: S&P Target Date 2055 Index; and MM RetireSMART by JPMorgan 2060 Fund: S&P Target Date 2060+ Index.

S&P Target Date^® Index Series:

The S&P Target Date Index Series consists of 12 multi-asset class indexes: the S&P Target Date Retirement Income Index and 11 date-specific indexes, corresponding to a specific target retirement date. Each index provides varying levels of exposure to equities and fixed income. Each target date allocation is created and retired according to a pre-determined schedule related to the respective target date.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Discussion of factors that contributed to the Funds’ performance

Fund management moderated the risk positioning in Funds across the Series at the end of 2018. At the time, they still viewed U.S. recession risk as low in absolute terms. Fund management reduced the overall allocation to stocks to the point of being underweight, relative to the benchmark, in most of the Funds. Given the lack of a clear near-term catalyst to change market sentiment, they introduced an overweight to cash.

10

MassMutual RetireSMART^SM by JPMorgan (target date) Funds – Portfolio Manager Report (Unaudited) (Continued)

Throughout the first few months of 2019, Fund management further reduced the Funds’ underweight allocations to equities, by reducing their already underweight stakes in emerging-market equities and international developed-market equities. For participants closer to retirement, the Funds continued to hold underweight allocations to emerging-market debt; however, Fund management sought to bring the total extended credit allocation to neutral.

Through the second quarter of 2019, Fund management maintained its bias to underweight allocations to total equities, relative to the benchmark. However, Fund management continues to favor U.S. large-cap equities over other equity asset classes and markets, noting the S&P 500^® Index’s more resilient earnings data and the risks that trade disputes hold for Europe, Japan, and emerging markets. The Funds retained their overweight allocations to cash and added risk through U.S. high-yield bonds, given the environment of low growth (but no recession).

During the third quarter of 2019, Fund management further reduced the Funds’ underweight positioning in higher beta markets, such as U.S. small-cap and international developed-market equities. For participants closer to retirement, Fund management also further reduced the underweight to emerging-market equities. They also added an overweight allocation to real estate investment trusts (REITs), given the more defensive qualities of the asset class.

The strategic asset allocation (i.e., glide path) added value over the past year. Relative to the S&P Target Date Indexes, the Funds’ more diversified glide path helped; the inclusion of extended asset classes, particularly emerging-market debt and REITs, added value. Less exposure to U.S. large-cap equities and more exposure to both emerging markets and international developed-market equities detracted.

Tactical asset allocation detracted value over the past year. The Funds’ overweight position in U.S. large-cap equities in the fourth quarter of 2018 was the largest detractor, followed by the positioning in emerging-market equities and a defensive overweight position to cash throughout the year. On the other hand, the Funds’ recent overweight allocation to REITs added value.

Outlook

Fund management continues to believe the global economy could see below-trend growth through the end of 2019. Year-to-date, while financial conditions have been supportive of global risk assets, geopolitical tensions and the late market cycle environment, including declining corporate profit and rising volatility, led them to remain cautious. Fund management believes that, despite signs of strength in the U.S. labor market, recession risk in the United States remains elevated due to ebbing consumer and business confidence, trade war escalation, and continued sluggish capital expenditure activity. Fund management sees few catalysts to stimulate an earnings rebound and acknowledges the potential risk for 2020 earnings estimates reductions, which could limit equity market upside.

Going into the next reporting period, Fund management maintained the Series’ underweight equity positioning and continued to express a preference for U.S. large-cap equities and REITs over all other markets. They continue to favor the carry from high yield, but acknowledge its vulnerability to slowing gross domestic product. Therefore, they plan to shift the Series’ portfolios that are closer to retirement with an already significant high-yield allocation to neutral and maintain the proceeds in cash.

11

MassMutual RetireSMART^SM by JPMorgan (target-date) Funds – Portfolio Manager Report (Unaudited)

MassMutual RetireSMART by JPMorgan In Retirement Fund Asset Allocation (% of Net Assets) on 9/30/19
Fixed Income Funds	69.5	%
Equity Funds	30.7	%
Total Long-Term Investments	100.2	%
Other Assets & Liabilities	(0.2	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2020 Fund Asset Allocation (% of Net Assets) on 9/30/19
Fixed Income Funds	63.1	%
Equity Funds	37.0	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2025 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	51.5	%
Fixed Income Funds	48.6	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2030 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	63.9	%
Fixed Income Funds	36.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2035 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	73.8	%
Fixed Income Funds	26.3	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2040 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	82.9	%
Fixed Income Funds	17.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2045 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	88.4	%
Fixed Income Funds	11.7	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2050 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	88.4	%
Fixed Income Funds	11.7	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

12

MassMutual RetireSMART^SM by JPMorgan (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

MassMutual RetireSMART by JPMorgan 2055 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	88.4	%
Fixed Income Funds	11.7	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART by JPMorgan 2060 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	88.7	%
Fixed Income Funds	11.7	%
Total Long-Term Investments	100.4	%
Other Assets & Liabilities	(0.4	)%
Net Assets	100.0	%

13

MassMutual RetireSMART^SM Conservative Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 06/20/2011	Since Inception 04/01/2014
Class I	04/01/2014	6.95%	4.20%		4.10%
Class R5	06/20/2011	6.83%	4.11%	4.73%
Service Class	06/20/2011	6.62%	3.98%	4.64%
Administrative Class	06/20/2011	6.57%	3.89%	4.55%
Class R4	04/01/2014	6.42%	3.73%		3.63%
Class A	06/20/2011	6.34%	3.62%	4.29%
Class A (sales load deducted)*	06/20/2011	0.49%	2.46%	3.58%
Class R3	04/01/2014	6.15%	3.46%		3.37%
Bloomberg Barclays U.S. Aggregate Bond Index#		10.30%	3.38%	3.31%	3.48%
S&P 500 Index		4.25%	10.84%	13.17%	11.05%
Lipper Balanced Fund Index		4.94%	6.18%	7.19%+	6.16%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

+ As of 7/01/2011

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

14

MassMutual RetireSMART^SM Moderate Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 06/20/2011	Since Inception 04/01/2014
Class I	04/01/2014	4.69%	5.35%		5.10%
Class R5	06/20/2011	4.76%	5.27%	6.41%
Service Class	06/20/2011	4.53%	5.16%	6.33%
Administrative Class	06/20/2011	4.50%	5.06%	6.22%
Class R4	04/01/2014	4.29%	4.87%		4.62%
Class A	06/20/2011	4.24%	4.80%	5.96%
Class A (sales load deducted)*	06/20/2011	-1.49%	3.62%	5.24%
Class R3	04/01/2014	3.95%	4.64%		4.38%
S&P 500 Index#		4.25%	10.84%	13.17%	11.05%
Bloomberg Barclays U.S. Aggregate Bond Index		10.30%	3.38%	3.31%	3.48%
Lipper Balanced Fund Index		4.94%	6.18%	7.19%+	6.16%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

+ As of 7/01/2011

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

15

MassMutual RetireSMART^SM Moderate Growth Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 06/20/2011	Since Inception 04/01/2014
Class I	04/01/2014	3.17%	6.35%		5.93%
Class R5	06/20/2011	3.12%	6.27%	7.76%
Service Class	06/20/2011	2.90%	6.15%	7.67%
Administrative Class	06/20/2011	2.88%	6.06%	7.57%
Class R4	04/01/2014	2.75%	5.91%		5.48%
Class A	06/20/2011	2.67%	5.79%	7.31%
Class A (sales load deducted)*	06/20/2011	-2.98%	4.60%	6.58%
Class R3	04/01/2014	2.45%	5.63%		5.21%
S&P 500 Index#		4.25%	10.84%	13.17%	11.05%
Bloomberg Barclays U.S. Aggregate Bond Index		10.30%	3.38%	3.31%	3.48%
Lipper Balanced Fund Index		4.94%	6.18%	7.19%+	6.16%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

+ As of 7/01/2011

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

16

MassMutual RetireSMART^SM Growth Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 06/20/2011	Since Inception 04/01/2014
Class I	04/01/2014	2.28%	6.78%		6.29%
Class R5	06/20/2011	2.21%	6.67%	8.39%
Service Class	06/20/2011	2.01%	6.57%	8.31%
Administrative Class	06/20/2011	1.88%	6.44%	8.19%
Class R4	04/01/2014	1.73%	6.28%		5.80%
Class A	06/20/2011	1.66%	6.18%	7.93%
Class A (sales load deducted)*	06/20/2011	-3.93%	4.99%	7.19%
Class R3	04/01/2014	1.58%	6.03%		5.56%
S&P 500 Index#		4.25%	10.84%	13.17%	11.05%
Bloomberg Barclays U.S. Aggregate Bond Index		10.30%	3.38%	3.31%	3.48%
Lipper Balanced Fund Index		4.94%	6.18%	7.19%+	6.16%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

# Benchmark

+ As of 7/01/2011

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

17

MassMutual RetireSMART^SM by JPMorgan In Retirement Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	6.08%	4.16%		4.04%
Class R5	04/01/2014	6.02%	4.05%		3.92%
Service Class	12/31/2003	5.89%	3.95%	5.42%
Administrative Class	12/31/2003	5.79%	3.86%	5.35%
Class R4	04/01/2014	5.55%	3.69%		3.57%
Class A	12/31/2003	5.47%	3.59%	5.03%
Class A (sales load deducted)*	12/31/2003	-0.33%	2.43%	4.44%
Class R3	12/31/2003	5.35%	3.43%	4.81%
S&P Target Date Retirement Income Index		5.66%	4.36%	5.38%	4.30%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

18

MassMutual RetireSMART^SM by JPMorgan 2020 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	5.63%	5.46%		5.17%
Class R5	04/01/2014	5.64%	5.36%		5.08%
Service Class	12/31/2003	5.42%	5.23%	7.58%
Administrative Class	12/31/2003	5.38%	5.14%	7.49%
Class R4	04/01/2014	5.21%	4.98%		4.69%
Class A	12/31/2003	5.05%	4.88%	7.17%
Class A (sales load deducted)*	12/31/2003	-0.73%	3.70%	6.57%
Class R3	12/31/2003	4.93%	4.72%	6.94%
S&P Target Date 2020 Index		4.57%	5.70%	7.49%	5.54%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

19

MassMutual RetireSMART^SM by JPMorgan 2025 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 04/01/2010	Since Inception 04/01/2014
Class I	04/01/2014	5.30%	6.08%		5.70%
Class R5	04/01/2014	5.26%	6.01%		5.63%
Service Class	04/01/2010	5.14%	5.88%	7.68%
Administrative Class	04/01/2010	5.07%	5.79%	7.59%
Class R4	04/01/2014	4.88%	5.62%		5.24%
Class A	04/01/2010	4.74%	5.50%	7.27%
Class A (sales load deducted)*	04/01/2010	-1.02%	4.31%	6.63%
Class R3	04/01/2014	4.59%	5.36%		4.98%
S&P Target Date 2025 Index		3.96%	6.10%	7.55%	5.90%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

20

MassMutual RetireSMART^SM by JPMorgan 2030 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	4.77%	6.39%		5.98%
Class R5	04/01/2014	4.56%	6.27%		5.84%
Service Class	12/31/2003	4.48%	6.17%	8.50%
Administrative Class	12/31/2003	4.38%	6.07%	8.40%
Class R4	04/01/2014	4.23%	5.90%		5.47%
Class A	12/31/2003	4.13%	5.80%	8.09%
Class A (sales load deducted)*	12/31/2003	-1.60%	4.61%	7.48%
Class R3	12/31/2003	3.92%	5.64%	7.86%
S&P Target Date 2030 Index		3.23%	6.48%	8.51%	6.24%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

21

MassMutual RetireSMART^SM by JPMorgan 2035 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 04/01/2010	Since Inception 04/01/2014
Class I	04/01/2014	3.77%	6.50%		6.05%
Class R5	04/01/2014	3.68%	6.38%		5.93%
Service Class	04/01/2010	3.55%	6.26%	8.08%
Administrative Class	04/01/2010	3.44%	6.17%	7.99%
Class R4	04/01/2014	3.37%	6.00%		5.58%
Class A	04/01/2010	3.21%	5.90%	7.67%
Class A (sales load deducted)*	04/01/2010	-2.46%	4.71%	7.03%
Class R3	04/01/2014	2.99%	5.73%		5.29%
S&P Target Date 2035 Index		2.52%	6.82%	8.37%	6.56%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

22

MassMutual RetireSMART^SM by JPMorgan 2040 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	3.22%	6.50%		6.05%
Class R5	04/01/2014	3.14%	6.41%		5.97%
Service Class	12/31/2003	3.08%	6.30%	8.68%
Administrative Class	12/31/2003	2.99%	6.20%	8.57%
Class R4	04/01/2014	2.84%	6.02%		5.59%
Class A	12/31/2003	2.68%	5.91%	8.25%
Class A (sales load deducted)*	12/31/2003	-2.97%	4.72%	7.64%
Class R3	12/31/2003	2.48%	5.76%	8.02%
S&P Target Date 2040 Index		2.09%	7.06%	9.19%	6.77%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

23

MassMutual RetireSMART^SM by JPMorgan 2045 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 04/01/2010	Since Inception 04/01/2014
Class I	04/01/2014	3.08%	6.60%		6.13%
Class R5	04/01/2014	3.02%	6.49%		6.04%
Service Class	04/01/2010	2.92%	6.39%	8.38%
Administrative Class	04/01/2010	2.80%	6.28%	8.29%
Class R4	04/01/2014	2.68%	6.12%		5.66%
Class A	04/01/2010	2.54%	6.01%	7.97%
Class A (sales load deducted)*	04/01/2010	-3.10%	4.82%	7.33%
Class R3	04/01/2014	2.41%	5.86%		5.41%
S&P Target Date 2045 Index		1.83%	7.21%	8.83%	6.90%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

24

MassMutual RetireSMART^SM by JPMorgan 2050 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	10 Years	Since Inception 04/01/2014
Class I	04/01/2014	3.10%	6.86%		6.37%
Class R5	04/01/2014	3.03%	6.75%		6.27%
Service Class	12/17/2007	2.92%	6.64%	9.07%
Administrative Class	12/17/2007	2.84%	6.55%	9.00%
Class R4	04/01/2014	2.66%	6.40%		5.91%
Class A	12/17/2007	2.54%	6.25%	8.67%
Class A (sales load deducted)*	12/17/2007	-3.10%	5.06%	8.05%
Class R3	12/17/2007	2.44%	6.11%	8.44%
S&P Target Date 2050 Index		1.59%	7.34%	9.54%	7.03%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

25

MassMutual RetireSMART^SM by JPMorgan 2055 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	5 Years	Since Inception 09/17/2013	Since Inception 04/01/2014
Class I	04/01/2014	3.15%	6.91%		6.42%
Class R5	04/01/2014	3.02%	6.76%		6.29%
Service Class	09/17/2013	2.99%	6.71%	7.13%
Administrative Class	09/17/2013	2.79%	6.58%	7.02%
Class R4	04/01/2014	2.75%	6.43%		5.95%
Class A	09/17/2013	2.55%	6.32%	6.75%
Class A (sales load deducted)*	09/17/2013	-3.09%	5.13%	5.76%
Class R3	04/01/2014	2.44%	6.17%		5.68%
S&P Target Date 2055 Index		1.57%	7.41%	8.00%	7.09%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

26

MassMutual RetireSMART^SM by JPMorgan 2060 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 11/23/2015
Class I	11/23/2015	3.15%	8.54%
Class R5	11/23/2015	2.96%	8.42%
Service Class	11/23/2015	2.79%	8.31%
Administrative Class	11/23/2015	2.81%	8.22%
Class R4	11/23/2015	2.60%	8.05%
Class A	11/23/2015	2.50%	7.95%
Class A (sales load deducted)*	11/23/2015	-3.14%	6.38%
Class R3	11/23/2015	2.49%	7.81%
S&P Target Date 2060+ Index		1.56%	8.73%

* Class A (sales load deducted) returns include the 5.50% maximum sales charge.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

27

MassMutual RetireSMART Conservative Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 22.0%
DFA Commodity Strategy Portfolio		405,505	$	2,165,396
Invesco Oppenheimer Real Estate Fund, Class R6		25,353		709,633
MassMutual Premier International Equity Fund, Class I (a)		150,278		1,804,835
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		88,125		1,148,262
MassMutual Select Blue Chip Growth Fund, Class I (a)		123,345		2,803,622
MassMutual Select Diversified Value Fund, Class I (a)		251,474		2,886,926
MassMutual Select Equity Opportunities Fund, Class I (a)		113,514		2,080,705
MassMutual Select Fundamental Growth Fund, Class I (a)		191,859		1,540,624
MassMutual Select Fundamental Value Fund, Class I (a)		251,999		2,603,154
MassMutual Select Growth Opportunities Fund, Class I (a)		98,623		1,006,943
MassMutual Select Mid Cap Growth Fund, Class I (a)		63,990		1,493,536
MassMutual Select Mid-Cap Value Fund, Class I (a)		123,297		1,531,351
MassMutual Select Overseas Fund, Class I (a)		440,287		3,676,398
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		35,042		536,142
MassMutual Select Small Cap Value Equity Fund, Class I (a)		98,559		1,100,902
MM Select Equity Asset Fund, Class I (a)		1,634,320		12,911,126
Vanguard Developed Markets Index Fund, Institutional Shares		277,848		3,667,596
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		33,194		1,115,656
Vanguard Mid-Cap Index Fund, Admiral Shares		9,732		2,020,535
Vanguard Small-Cap Index Fund, Admiral Shares		14,953		1,103,402
				47,906,744
Fixed Income Funds — 78.1%
Barings Global Floating Rate Fund, Class Y (a)		206,902		1,920,054
Invesco Oppenheimer International Bond Fund, Class R6		1,591,321		8,593,133
MassMutual Premier Core Bond Fund, Class I (a)		3,497,217		39,623,464

	Number of Shares		Value
MassMutual Premier High Yield Fund, Class I (a)		316,114	$	2,911,409
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		808,081		8,557,578
MassMutual Premier Short-Duration Bond Fund, Class I (a)		2,816,015		29,033,110
MassMutual Select Strategic Bond Fund, Class I (a)		2,741,297		30,291,336
MassMutual Select Total Return Bond Fund, Class I (a)		3,161,166		32,560,013
Vanguard Long-Term Treasury Index Fund, Admiral Shares		85,104		2,505,469
Vanguard Total Bond Market Index Fund, Institutional Shares		1,252,378		13,926,445
				169,922,011
TOTAL MUTUAL FUNDS (Cost $209,818,483)				217,828,755
TOTAL LONG-TERM INVESTMENTS (Cost $209,818,483)				217,828,755
TOTAL INVESTMENTS — 100.1% (Cost $209,818,483) (b)				217,828,755
Other Assets/(Liabilities) — (0.1)%				(230,994	)
NET ASSETS — 100.0%			$	217,597,761

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

28

MassMutual RetireSMART Moderate Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 62.0%
DFA Commodity Strategy Portfolio		421,452	$	2,250,553
Invesco Oppenheimer Real Estate Fund, Class R6		84,494		2,364,997
MassMutual Premier International Equity Fund, Class I (a)		504,354		6,057,293
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		294,776		3,840,937
MassMutual Select Blue Chip Growth Fund, Class I (a)		406,813		9,246,862
MassMutual Select Diversified Value Fund, Class I (a)		825,095		9,472,092
MassMutual Select Equity Opportunities Fund, Class I (a)		373,511		6,846,462
MassMutual Select Fundamental Growth Fund, Class I (a)		633,140		5,084,112
MassMutual Select Fundamental Value Fund, Class I (a)		833,331		8,608,314
MassMutual Select Growth Opportunities Fund, Class I (a)		328,510		3,354,084
MassMutual Select Mid Cap Growth Fund, Class I (a)		215,352		5,026,322
MassMutual Select Mid-Cap Value Fund, Class I (a)		414,947		5,153,644
MassMutual Select Overseas Fund, Class I (a)		1,482,694		12,380,491
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		137,970		2,110,938
MassMutual Select Small Cap Value Equity Fund, Class I (a)		391,221		4,369,938
MM Select Equity Asset Fund, Class I (a)		5,429,484		42,892,922
Vanguard Developed Markets Index Fund, Institutional Shares		938,971		12,394,421
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		148,372		3,792,376
Vanguard Mid-Cap Index Fund, Institutional Shares		148,374		6,804,426
Vanguard Small-Cap Index Fund, Admiral Shares		58,330		4,304,172
				156,355,356
Fixed Income Funds — 38.1%
Barings Global Floating Rate Fund, Class Y (a)		179,992		1,670,324
Invesco Oppenheimer International Bond Fund, Class R6		1,090,531		5,888,866
MassMutual Premier Core Bond Fund, Class I (a)		1,903,679		21,568,682

	Number of Shares		Value
MassMutual Premier High Yield Fund, Class I (a)		268,883	$	2,476,411
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		461,646		4,888,833
MassMutual Premier Short-Duration Bond Fund, Class I (a)		1,587,686		16,369,039
MassMutual Select Strategic Bond Fund, Class I (a)		1,493,598		16,504,260
MassMutual Select Total Return Bond Fund, Class I (a)		1,722,796		17,744,803
Vanguard Long-Term Treasury Index Fund, Admiral Shares		52,846		1,555,772
Vanguard Total Bond Market Index Fund, Institutional Shares		682,909		7,593,951
				96,260,941
TOTAL MUTUAL FUNDS (Cost $252,910,259)				252,616,297
TOTAL LONG-TERM INVESTMENTS (Cost $252,910,259)				252,616,297
TOTAL INVESTMENTS — 100.1% (Cost $252,910,259) (b)				252,616,297
Other Assets/(Liabilities) — (0.1)%				(239,974	)
NET ASSETS — 100.0%			$	252,376,323

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

29

MassMutual RetireSMART Moderate Growth Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 78.9%
DFA Commodity Strategy Portfolio		362,517	$	1,935,842
Invesco Oppenheimer Real Estate Fund, Class R6		97,183		2,720,149
MassMutual Premier International Equity Fund, Class I (a)		578,566		6,948,583
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		403,224		5,254,005
MassMutual Select Blue Chip Growth Fund, Class I (a)		451,834		10,270,191
MassMutual Select Diversified Value Fund, Class I (a)		919,327		10,553,869
MassMutual Select Equity Opportunities Fund, Class I (a)		416,128		7,627,632
MassMutual Select Fundamental Growth Fund, Class I (a)		703,188		5,646,603
MassMutual Select Fundamental Value Fund, Class I (a)		922,670		9,531,186
MassMutual Select Growth Opportunities Fund, Class I (a)		366,581		3,742,788
MassMutual Select Mid Cap Growth Fund, Class I (a)		248,674		5,804,049
MassMutual Select Mid-Cap Value Fund, Class I (a)		479,304		5,952,960
MassMutual Select Overseas Fund, Class I (a)		1,693,792		14,143,166
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		183,355		2,805,331
MassMutual Select Small Cap Value Equity Fund, Class I (a)		516,263		5,766,657
MM Select Equity Asset Fund, Class I (a)		6,028,192		47,622,719
Vanguard Developed Markets Index Fund, Institutional Shares		1,097,311		14,484,501
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		208,814		5,337,290
Vanguard Mid-Cap Index Fund, Institutional Shares		173,414		7,952,751
Vanguard Small-Cap Index Fund, Admiral Shares		77,513		5,719,661
				179,819,933
Fixed Income Funds — 21.2%
Barings Global Floating Rate Fund, Class Y (a)		142,458		1,322,010
Invesco Oppenheimer International Bond Fund, Class R6		647,487		3,496,428
MassMutual Premier Core Bond Fund, Class I (a)		895,698		10,148,255

	Number of Shares		Value
MassMutual Premier High Yield Fund, Class I (a)		213,274	$	1,964,256
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		234,846		2,487,022
MassMutual Premier Short-Duration Bond Fund, Class I (a)		793,840		8,184,488
MassMutual Select Strategic Bond Fund, Class I (a)		701,253		7,748,845
MassMutual Select Total Return Bond Fund, Class I (a)		810,705		8,350,261
Vanguard Long-Term Treasury Index Fund, Admiral Shares		30,279		891,426
Vanguard Total Bond Market Index Fund, Admiral Shares		325,707		3,621,862
				48,214,853
TOTAL MUTUAL FUNDS (Cost $231,564,920)				228,034,786
TOTAL LONG-TERM INVESTMENTS (Cost $231,564,920)				228,034,786
TOTAL INVESTMENTS — 100.1% (Cost $231,564,920) (b)				228,034,786
Other Assets/(Liabilities) — (0.1)%				(218,824	)
NET ASSETS — 100.0%			$	227,815,962

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

30

MassMutual RetireSMART Growth Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 94.9%
DFA Commodity Strategy Portfolio		183,859	$	981,807
Invesco Oppenheimer Real Estate Fund, Class R6		62,005		1,735,528
MassMutual Premier International Equity Fund, Class I (a)		372,311		4,471,451
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		257,674		3,357,492
MassMutual Select Blue Chip Growth Fund, Class I (a)		286,761		6,518,078
MassMutual Select Diversified Value Fund, Class I (a)		586,431		6,732,231
MassMutual Select Equity Opportunities Fund, Class I (a)		265,036		4,858,103
MassMutual Select Fundamental Growth Fund, Class I (a)		449,736		3,611,384
MassMutual Select Fundamental Value Fund, Class I (a)		586,409		6,057,607
MassMutual Select Growth Opportunities Fund, Class I (a)		233,896		2,388,082
MassMutual Select Mid Cap Growth Fund, Class I (a)		159,015		3,711,403
MassMutual Select Mid-Cap Value Fund, Class I (a)		306,410		3,805,616
MassMutual Select Overseas Fund, Class I (a)		1,083,110		9,043,973
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		116,438		1,781,497
MassMutual Select Small Cap Value Equity Fund, Class I (a)		328,555		3,669,959
MM Select Equity Asset Fund, Class I (a)		3,822,644		30,198,888
Vanguard Developed Markets Index Fund, Institutional Shares		688,559		9,088,977
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		99,622		3,348,283
Vanguard Mid-Cap Index Fund, Admiral Shares		23,998		4,982,137
Vanguard Small-Cap Index Fund, Admiral Shares		48,861		3,605,472
				113,947,968
Fixed Income Funds — 5.2%
Barings Global Floating Rate Fund, Class Y (a)		62,409		579,152
Invesco Oppenheimer International Bond Fund, Class R6		133,567		721,264
MassMutual Premier Core Bond Fund, Class I (a)		73,021		827,329

	Number of Shares		Value
MassMutual Premier High Yield Fund, Class I (a)		94,545	$	870,755
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		33,940		359,426
MassMutual Premier Short-Duration Bond Fund, Class I (a)		103,094		1,062,896
MassMutual Select Strategic Bond Fund, Class I (a)		57,446		634,781
MassMutual Select Total Return Bond Fund, Class I (a)		66,147		681,319
Vanguard Long-Term Treasury Index Fund, Admiral Shares		6,903		203,231
Vanguard Total Bond Market Index Fund, Admiral Shares		25,888		287,873
				6,228,026
TOTAL MUTUAL FUNDS (Cost $124,534,008)				120,175,994
TOTAL LONG-TERM INVESTMENTS (Cost $124,534,008)				120,175,994
TOTAL INVESTMENTS — 100.1% (Cost $124,534,008) (b)				120,175,994
Other Assets/(Liabilities) — (0.1)%				(123,409	)
NET ASSETS — 100.0%			$	120,052,585

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

31

MassMutual RetireSMART by JPMorgan In Retirement Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.2%
Equity Funds — 30.7%
JPMorgan International Research Enhanced Equity Fund, Class R6		237,134	$	4,171,194
JPMorgan Realty Income Fund, Class R6		200,651		3,120,130
MassMutual Premier International Equity Fund, Class I (a)		246,935		2,965,695
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		153,164		1,995,732
MassMutual Select Blue Chip Growth Fund, Class I (a)		147,728		3,357,849
MassMutual Select Diversified Value Fund, Class I (a)		295,703		3,394,665
MassMutual Select Equity Opportunities Fund, Class I (a)		135,932		2,491,630
MassMutual Select Fundamental Growth Fund, Class I (a)		231,256		1,856,987
MassMutual Select Fundamental Value Fund, Class I (a)		297,986		3,078,200
MassMutual Select Growth Opportunities Fund, Class I (a)		119,589		1,221,007
MassMutual Select Mid Cap Growth Fund, Class I (a)		59,890		1,397,837
MassMutual Select Mid-Cap Value Fund, Class I (a)		113,331		1,407,573
MassMutual Select Overseas Fund, Class I (a)		832,082		6,947,886
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		22,008		336,720
MassMutual Select Small Cap Value Equity Fund, Class I (a)		40,719		454,832
MM Select Equity Asset Fund, Class I (a)		1,955,614		15,449,348
Vanguard Developed Markets Index Fund, Admiral Shares		188,840		2,488,908
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		58,937		1,980,872
Vanguard Mid-Cap Index Fund, Admiral Shares		5,797		1,203,456
Vanguard Real Estate Index Fund, Admiral Shares		23,287		3,077,816
Vanguard Small-Cap Index Fund, Admiral Shares		4,604		339,700
				62,738,037
Fixed Income Funds — 69.5%
Barings Global Floating Rate Fund, Class Y (a)		549,056		5,095,239
JPMorgan Emerging Markets Debt Fund, Class R6		468,784		3,844,031

	Number of Shares		Value
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		465,292	$	3,838,661
JPMorgan U.S. Government Money Market Fund, Class IM		13,307,650		13,307,650
MassMutual Premier Core Bond Fund, Class I (a)		3,921,508		44,430,683
MassMutual Premier High Yield Fund, Class I (a)		1,670,739		15,387,506
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		1,458,684		15,447,465
MassMutual Select Strategic Bond Fund, Class I (a)		1,353,248		14,953,395
MassMutual Select Total Return Bond Fund, Class I (a)		1,451,685		14,952,351
Vanguard Total Bond Market Index Fund, Admiral Shares		995,042		11,064,870
				142,321,851
TOTAL MUTUAL FUNDS (Cost $198,952,200)				205,059,888
TOTAL LONG-TERM INVESTMENTS (Cost $198,952,200)				205,059,888
TOTAL INVESTMENTS — 100.2% (Cost $198,952,200) (b)				205,059,888
Other Assets/(Liabilities) — (0.2)%				(473,157	)
NET ASSETS — 100.0%			$	204,586,731

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

32

MassMutual RetireSMART by JPMorgan 2020 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 37.0%
JPMorgan International Research Enhanced Equity Fund, Class R6		561,755	$	9,881,275
JPMorgan Realty Income Fund, Class R6		434,635		6,758,572
MassMutual Premier International Equity Fund, Class I (a)		542,252		6,512,446
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		388,300		5,059,555
MassMutual Select Blue Chip Growth Fund, Class I (a)		336,567		7,650,161
MassMutual Select Diversified Value Fund, Class I (a)		674,143		7,739,162
MassMutual Select Equity Opportunities Fund, Class I (a)		309,183		5,667,327
MassMutual Select Fundamental Growth Fund, Class I (a)		527,154		4,233,045
MassMutual Select Fundamental Value Fund, Class I (a)		678,924		7,013,285
MassMutual Select Growth Opportunities Fund, Class I (a)		272,582		2,783,062
MassMutual Select Mid Cap Growth Fund, Class I (a)		137,332		3,205,322
MassMutual Select Mid-Cap Value Fund, Class I (a)		259,871		3,227,604
MassMutual Select Overseas Fund, Class I (a)		2,031,351		16,961,780
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		61,786		945,332
MassMutual Select Small Cap Value Equity Fund, Class I (a)		113,901		1,272,273
MM Select Equity Asset Fund, Class I (a)		4,454,210		35,188,262
Vanguard Developed Markets Index Fund, Institutional Shares		449,669		5,935,635
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		197,700		5,053,221
Vanguard Mid-Cap Index Fund, Admiral Shares		13,375		2,776,793
Vanguard Real Estate Index Fund, Institutional Shares		328,299		6,717,001
Vanguard Small-Cap Index Fund, Admiral Shares		12,992		958,680
				145,539,793
Fixed Income Funds — 63.1%
Barings Global Floating Rate Fund, Class Y (a)		808,973		7,507,267
JPMorgan Emerging Markets Debt Fund, Class R6		848,123		6,954,610

	Number of Shares		Value
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		841,796	$	6,944,817
JPMorgan U.S. Government Money Market Fund, Class IM		17,723,174		17,723,174
MassMutual Premier Core Bond Fund, Class I (a)		7,310,113		82,823,586
MassMutual Premier High Yield Fund, Class I (a)		2,983,124		27,474,575
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		2,128,609		22,541,975
MassMutual Select Strategic Bond Fund, Class I (a)		2,522,615		27,874,900
MassMutual Select Total Return Bond Fund, Class I (a)		2,706,109		27,872,918
Vanguard Total Bond Market Index Fund, Institutional Shares		1,866,962		20,760,612
				248,478,434
TOTAL MUTUAL FUNDS (Cost $382,846,252)				394,018,227
TOTAL LONG-TERM INVESTMENTS (Cost $382,846,252)				394,018,227
TOTAL INVESTMENTS — 100.1% (Cost $382,846,252) (b)				394,018,227
Other Assets/(Liabilities) — (0.1)%				(390,591	)
NET ASSETS — 100.0%			$	393,627,636

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

33

MassMutual RetireSMART by JPMorgan 2025 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 51.5%
JPMorgan International Research Enhanced Equity Fund, Class R6		584,868	$	10,287,835
JPMorgan Realty Income Fund, Class R6		398,687		6,199,581
MassMutual Premier International Equity Fund, Class I (a)		565,396		6,790,410
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		437,173		5,696,363
MassMutual Select Blue Chip Growth Fund, Class I (a)		332,455		7,556,711
MassMutual Select Diversified Value Fund, Class I (a)		663,105		7,612,441
MassMutual Select Equity Opportunities Fund, Class I (a)		304,820		5,587,349
MassMutual Select Fundamental Growth Fund, Class I (a)		518,513		4,163,663
MassMutual Select Fundamental Value Fund, Class I (a)		670,648		6,927,796
MassMutual Select Growth Opportunities Fund, Class I (a)		268,113		2,737,431
MassMutual Select Mid Cap Growth Fund, Class I (a)		136,692		3,190,387
MassMutual Select Mid-Cap Value Fund, Class I (a)		258,694		3,212,984
MassMutual Select Overseas Fund, Class I (a)		2,113,059		17,644,043
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		76,552		1,171,238
MassMutual Select Small Cap Value Equity Fund, Class I (a)		140,550		1,569,946
MM Select Equity Asset Fund, Class I (a)		4,396,474		34,732,147
Vanguard Developed Markets Index Fund, Institutional Shares		468,539		6,184,708
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		223,729		5,718,515
Vanguard Mid-Cap Index Fund, Admiral Shares		13,351		2,771,850
Vanguard Real Estate Index Fund, Admiral Shares		46,709		6,173,488
Vanguard Small-Cap Index Fund, Admiral Shares		16,136		1,190,680
				147,119,566
Fixed Income Funds — 48.6%
Barings Global Floating Rate Fund, Class Y (a)		185,774		1,723,985
JPMorgan Emerging Markets Debt Fund, Class R6		530,255		4,348,088

	Number of Shares		Value
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		526,305	$	4,342,018
JPMorgan U.S. Government Money Market Fund, Class IM		4,289,415		4,289,415
MassMutual Premier Core Bond Fund, Class I (a)		4,702,601		53,280,466
MassMutual Premier High Yield Fund, Class I (a)		1,767,945		16,282,776
MassMutual Premier Inflation-Protected and Income Fund, Class I (a)		488,419		5,172,360
MassMutual Select Strategic Bond Fund, Class I (a)		1,624,587		17,951,685
MassMutual Select Total Return Bond Fund, Class I (a)		1,742,765		17,950,485
Vanguard Total Bond Market Index Fund, Institutional Shares		1,202,147		13,367,878
				138,709,156
TOTAL MUTUAL FUNDS (Cost $280,243,745)				285,828,722
TOTAL LONG-TERM INVESTMENTS (Cost $280,243,745)				285,828,722
TOTAL INVESTMENTS — 100.1% (Cost $280,243,745) (b)				285,828,722
Other Assets/(Liabilities) — (0.1)%				(291,146	)
NET ASSETS — 100.0%			$	285,537,576

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

34

MassMutual RetireSMART by JPMorgan 2030 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 63.9%
JPMorgan International Research Enhanced Equity Fund, Class R6		1,166,300	$	20,515,225
JPMorgan Realty Income Fund, Class R6		848,227		13,189,925
MassMutual Premier International Equity Fund, Class I (a)		1,297,848		15,587,156
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		1,032,025		13,447,282
MassMutual Select Blue Chip Growth Fund, Class I (a)		735,995		16,729,165
MassMutual Select Diversified Value Fund, Class I (a)		1,469,324		16,867,843
MassMutual Select Equity Opportunities Fund, Class I (a)		675,390		12,379,896
MassMutual Select Fundamental Growth Fund, Class I (a)		1,148,933		9,225,932
MassMutual Select Fundamental Value Fund, Class I (a)		1,484,717		15,337,124
MassMutual Select Growth Opportunities Fund, Class I (a)		594,105		6,065,808
MassMutual Select Mid Cap Growth Fund, Class I (a)		304,672		7,111,044
MassMutual Select Mid-Cap Value Fund, Class I (a)		576,606		7,161,450
MassMutual Select Overseas Fund, Class I (a)		5,125,437		42,797,396
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		186,626		2,855,374
MassMutual Select Small Cap Value Equity Fund, Class I (a)		343,930		3,841,699
MM Select Equity Asset Fund, Class I (a)		9,732,704		76,888,363
Vanguard Developed Markets Index Fund, Institutional Shares		1,063,809		14,042,279
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		526,845		13,466,160
Vanguard Mid-Cap Index Fund, Institutional Shares		134,539		6,169,964
Vanguard Real Estate Index Fund, Institutional Shares		640,782		13,110,404
Vanguard Small-Cap Index Fund, Admiral Shares		39,333		2,902,371
				329,691,860
Fixed Income Funds — 36.2%
JPMorgan Emerging Markets Debt Fund, Class R6		783,233		6,422,507
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		777,155		6,411,531

	Number of Shares		Value
JPMorgan U.S. Government Money Market Fund, Class IM		7,766,873	$	7,766,873
MassMutual Premier Core Bond Fund, Class I (a)		6,595,742		74,729,760
MassMutual Premier High Yield Fund, Class I (a)		2,458,407		22,641,929
MassMutual Select Strategic Bond Fund, Class I (a)		2,278,229		25,174,427
MassMutual Select Total Return Bond Fund, Class I (a)		2,443,961		25,172,799
Vanguard Total Bond Market Index Fund, Institutional Shares		1,682,859		18,713,393
				187,033,219
TOTAL MUTUAL FUNDS (Cost $515,920,719)				516,725,079
TOTAL LONG-TERM INVESTMENTS (Cost $515,920,719)				516,725,079
TOTAL INVESTMENTS — 100.1% (Cost $515,920,719) (b)				516,725,079
Other Assets/(Liabilities) — (0.1)%				(457,299	)
NET ASSETS — 100.0%			$	516,267,780

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

35

MassMutual RetireSMART by JPMorgan 2035 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 73.8%
JPMorgan International Research Enhanced Equity Fund, Class R6		500,158	$	8,797,779
JPMorgan Realty Income Fund, Class R6		412,943		6,421,256
MassMutual Premier International Equity Fund, Class I (a)		623,977		7,493,965
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		469,881		6,122,550
MassMutual Select Blue Chip Growth Fund, Class I (a)		376,062		8,547,889
MassMutual Select Diversified Value Fund, Class I (a)		750,417		8,614,786
MassMutual Select Equity Opportunities Fund, Class I (a)		344,641		6,317,271
MassMutual Select Fundamental Growth Fund, Class I (a)		586,891		4,712,734
MassMutual Select Fundamental Value Fund, Class I (a)		758,468		7,834,972
MassMutual Select Growth Opportunities Fund, Class I (a)		302,442		3,087,930
MassMutual Select Mid Cap Growth Fund, Class I (a)		152,519		3,559,790
MassMutual Select Mid-Cap Value Fund, Class I (a)		288,690		3,585,527
MassMutual Select Overseas Fund, Class I (a)		2,598,389		21,696,551
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		88,002		1,346,434
MassMutual Select Small Cap Value Equity Fund, Class I (a)		161,277		1,801,465
MM Select Equity Asset Fund, Class I (a)		4,977,542		39,322,579
Vanguard Developed Markets Index Fund, Institutional Shares		513,434		6,777,329
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		240,584		6,149,330
Vanguard Mid-Cap Index Fund, Admiral Shares		14,894		3,092,182
Vanguard Real Estate Index Fund, Admiral Shares		48,379		6,394,288
Vanguard Small-Cap Index Fund, Admiral Shares		18,636		1,375,122
				163,051,729
Fixed Income Funds — 26.3%
JPMorgan Emerging Markets Debt Fund, Class R6		243,755		1,998,793
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		241,942		1,996,023

	Number of Shares		Value
JPMorgan U.S. Government Money Market Fund, Class IM		3,334,712	$	3,334,712
MassMutual Premier Core Bond Fund, Class I (a)		1,909,514		21,634,798
MassMutual Premier High Yield Fund, Class I (a)		1,005,900		9,264,340
MassMutual Select Strategic Bond Fund, Class I (a)		658,149		7,272,546
MassMutual Select Total Return Bond Fund, Class I (a)		706,027		7,272,081
Vanguard Total Bond Market Index Fund, Admiral Shares		488,037		5,426,976
				58,200,269
TOTAL MUTUAL FUNDS (Cost $223,560,139)				221,251,998
TOTAL LONG-TERM INVESTMENTS (Cost $223,560,139)				221,251,998
TOTAL INVESTMENTS — 100.1% (Cost $223,560,139) (b)				221,251,998
Other Assets/(Liabilities) — (0.1)%				(240,097	)
NET ASSETS — 100.0%			$	221,011,901

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

36

MassMutual RetireSMART by JPMorgan 2040 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 82.9%
JPMorgan International Research Enhanced Equity Fund, Class R6		760,097	$	13,370,103
JPMorgan Realty Income Fund, Class R6		688,478		10,705,827
MassMutual Premier International Equity Fund, Class I (a)		1,059,524		12,724,881
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		827,022		10,776,094
MassMutual Select Blue Chip Growth Fund, Class I (a)		633,529		14,400,104
MassMutual Select Diversified Value Fund, Class I (a)		1,263,949		14,510,134
MassMutual Select Equity Opportunities Fund, Class I (a)		580,865		10,647,249
MassMutual Select Fundamental Growth Fund, Class I (a)		988,679		7,939,093
MassMutual Select Fundamental Value Fund, Class I (a)		1,277,389		13,195,425
MassMutual Select Growth Opportunities Fund, Class I (a)		510,087		5,207,984
MassMutual Select Mid Cap Growth Fund, Class I (a)		259,064		6,046,547
MassMutual Select Mid-Cap Value Fund, Class I (a)		490,326		6,089,849
MassMutual Select Overseas Fund, Class I (a)		4,696,940		39,219,449
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		157,203		2,405,199
MassMutual Select Small Cap Value Equity Fund, Class I (a)		288,652		3,224,238
MM Select Equity Asset Fund, Class I (a)		8,389,401		66,276,267
Vanguard Developed Markets Index Fund, Institutional Shares		878,079		11,590,642
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		421,204		10,765,972
Vanguard Mid-Cap Index Fund, Admiral Shares		25,207		5,233,135
Vanguard Real Estate Index Fund, Institutional Shares		519,088		10,620,535
Vanguard Small-Cap Index Fund, Admiral Shares		33,009		2,435,729
				277,384,456
Fixed Income Funds — 17.2%
JPMorgan Emerging Markets Debt Fund, Class R6		263,590		2,161,436
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		261,634		2,158,477

	Number of Shares		Value
JPMorgan U.S. Government Money Market Fund, Class IM		5,063,589	$	5,063,589
MassMutual Premier Core Bond Fund, Class I (a)		1,674,452		18,971,537
MassMutual Premier High Yield Fund, Class I (a)		1,269,373		11,690,926
MassMutual Select Strategic Bond Fund, Class I (a)		578,260		6,389,776
MassMutual Select Total Return Bond Fund, Class I (a)		620,330		6,389,396
Vanguard Total Bond Market Index Fund, Admiral Shares		426,043		4,737,600
				57,562,737
TOTAL MUTUAL FUNDS (Cost $341,416,289)				334,947,193
TOTAL LONG-TERM INVESTMENTS (Cost $341,416,289)				334,947,193
TOTAL INVESTMENTS — 100.1% (Cost $341,416,289) (b)				334,947,193
Other Assets/(Liabilities) — (0.1)%				(282,833	)
NET ASSETS — 100.0%			$	334,664,360

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

37

MassMutual RetireSMART by JPMorgan 2045 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 88.4%
JPMorgan International Research Enhanced Equity Fund, Class R6		322,681	$	5,675,958
JPMorgan Realty Income Fund, Class R6		306,569		4,767,156
MassMutual Premier International Equity Fund, Class I (a)		518,241		6,224,073
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		380,872		4,962,758
MassMutual Select Blue Chip Growth Fund, Class I (a)		285,427		6,487,760
MassMutual Select Diversified Value Fund, Class I (a)		568,642		6,528,010
MassMutual Select Equity Opportunities Fund, Class I (a)		261,337		4,790,316
MassMutual Select Fundamental Growth Fund, Class I (a)		444,796		3,571,715
MassMutual Select Fundamental Value Fund, Class I (a)		575,514		5,945,063
MassMutual Select Growth Opportunities Fund, Class I (a)		230,834		2,356,817
MassMutual Select Mid Cap Growth Fund, Class I (a)		117,007		2,730,936
MassMutual Select Mid-Cap Value Fund, Class I (a)		221,023		2,745,106
MassMutual Select Overseas Fund, Class I (a)		2,125,502		17,747,939
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		73,056		1,117,749
MassMutual Select Small Cap Value Equity Fund, Class I (a)		134,179		1,498,775
MM Select Equity Asset Fund, Class I (a)		3,777,714		29,843,937
Vanguard Developed Markets Index Fund, Admiral Shares		400,842		5,283,096
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		147,697		4,964,110
Vanguard Mid-Cap Index Fund, Admiral Shares		11,428		2,372,644
Vanguard Real Estate Index Fund, Admiral Shares		35,929		4,748,726
Vanguard Small-Cap Index Fund, Admiral Shares		15,345		1,132,337
				125,494,981
Fixed Income Funds — 11.7%
JPMorgan Emerging Markets Debt Fund, Class R6		83,490		684,619
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		82,871		683,682

	Number of Shares		Value
JPMorgan U.S. Government Money Market Fund, Class IM		2,146,530	$	2,146,530
MassMutual Premier Core Bond Fund, Class I (a)		408,237		4,625,331
MassMutual Premier High Yield Fund, Class I (a)		459,176		4,229,008
MassMutual Select Strategic Bond Fund, Class I (a)		140,330		1,550,646
MassMutual Select Total Return Bond Fund, Class I (a)		150,539		1,550,551
Vanguard Total Bond Market Index Fund, Admiral Shares		103,940		1,155,808
				16,626,175
TOTAL MUTUAL FUNDS (Cost $145,710,496)				142,121,156
TOTAL LONG-TERM INVESTMENTS (Cost $145,710,496)				142,121,156
TOTAL INVESTMENTS — 100.1% (Cost $145,710,496) (b)				142,121,156
Other Assets/(Liabilities) — (0.1)%				(170,457	)
NET ASSETS — 100.0%			$	141,950,699

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

38

MassMutual RetireSMART by JPMorgan 2050 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 88.4%
JPMorgan International Research Enhanced Equity Fund, Class R6		455,217	$	8,007,276
JPMorgan Realty Income Fund, Class R6		432,046		6,718,322
MassMutual Premier International Equity Fund, Class I (a)		731,362		8,783,652
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		535,675		6,979,839
MassMutual Select Blue Chip Growth Fund, Class I (a)		401,975		9,136,891
MassMutual Select Diversified Value Fund, Class I (a)		801,565		9,201,967
MassMutual Select Equity Opportunities Fund, Class I (a)		368,373		6,752,285
MassMutual Select Fundamental Growth Fund, Class I (a)		626,988		5,034,714
MassMutual Select Fundamental Value Fund, Class I (a)		810,513		8,372,598
MassMutual Select Growth Opportunities Fund, Class I (a)		324,059		3,308,644
MassMutual Select Mid Cap Growth Fund, Class I (a)		164,288		3,834,473
MassMutual Select Mid-Cap Value Fund, Class I (a)		310,953		3,862,032
MassMutual Select Overseas Fund, Class I (a)		2,999,100		25,042,489
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		102,565		1,569,244
MassMutual Select Small Cap Value Equity Fund, Class I (a)		188,373		2,104,121
MM Select Equity Asset Fund, Class I (a)		5,320,152		42,029,201
Vanguard Developed Markets Index Fund, Institutional Shares		558,572		7,373,147
Vanguard Emerging Markets Stock Index Fund, Institutional Shares		271,072		6,928,608
Vanguard Mid-Cap Index Fund, Admiral Shares		15,948		3,310,986
Vanguard Real Estate Index Fund, Admiral Shares		50,138		6,626,746
Vanguard Small-Cap Index Fund, Admiral Shares		21,414		1,580,164
				176,557,399
Fixed Income Funds — 11.7%
JPMorgan Emerging Markets Debt Fund, Class R6		117,151		960,636
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		116,282		959,329

	Number of Shares		Value
JPMorgan U.S. Government Money Market Fund, Class IM		3,026,538	$	3,026,538
MassMutual Premier Core Bond Fund, Class I (a)		574,915		6,513,785
MassMutual Premier High Yield Fund, Class I (a)		645,868		5,948,447
MassMutual Select Strategic Bond Fund, Class I (a)		197,623		2,183,736
MassMutual Select Total Return Bond Fund, Class I (a)		212,001		2,183,612
Vanguard Total Bond Market Index Fund, Admiral Shares		145,046		1,612,913
				23,388,996
TOTAL MUTUAL FUNDS (Cost $205,415,815)				199,946,395
TOTAL LONG-TERM INVESTMENTS (Cost $205,415,815)				199,946,395
TOTAL INVESTMENTS — 100.1% (Cost $205,415,815) (b)				199,946,395
Other Assets/(Liabilities) — (0.1)%				(163,527	)
NET ASSETS — 100.0%			$	199,782,868

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

39

MassMutual RetireSMART by JPMorgan 2055 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 88.4%
JPMorgan International Research Enhanced Equity Fund, Class R6		139,671	$	2,456,809
JPMorgan Realty Income Fund, Class R6		131,452		2,044,073
MassMutual Premier International Equity Fund, Class I (a)		222,782		2,675,609
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		163,855		2,135,027
MassMutual Select Blue Chip Growth Fund, Class I (a)		123,216		2,800,700
MassMutual Select Diversified Value Fund, Class I (a)		243,952		2,800,573
MassMutual Select Equity Opportunities Fund, Class I (a)		112,108		2,054,939
MassMutual Select Fundamental Growth Fund, Class I (a)		191,169		1,535,084
MassMutual Select Fundamental Value Fund, Class I (a)		248,431		2,566,296
MassMutual Select Growth Opportunities Fund, Class I (a)		98,817		1,008,926
MassMutual Select Mid Cap Growth Fund, Class I (a)		50,186		1,171,347
MassMutual Select Mid-Cap Value Fund, Class I (a)		94,810		1,177,539
MassMutual Select Overseas Fund, Class I (a)		920,582		7,686,856
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		31,278		478,546
MassMutual Select Small Cap Value Equity Fund, Class I (a)		57,446		641,666
MM Select Equity Asset Fund, Class I (a)		1,630,647		12,882,115
Vanguard Developed Markets Index Fund, Admiral Shares		169,061		2,228,221
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		62,295		2,093,726
Vanguard Mid-Cap Index Fund, Admiral Shares		4,821		1,000,819
Vanguard Real Estate Index Fund, Admiral Shares		15,151		2,002,473
Vanguard Small-Cap Index Fund, Admiral Shares		6,469		477,316
				53,918,660
Fixed Income Funds — 11.7%
JPMorgan Emerging Markets Debt Fund, Class R6		35,694		292,694
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		35,430		292,298

	Number of Shares		Value
JPMorgan U.S. Government Money Market Fund, Class IM		921,971	$	921,971
MassMutual Premier Core Bond Fund, Class I (a)		176,176		1,996,073
MassMutual Premier High Yield Fund, Class I (a)		196,848		1,812,968
MassMutual Select Strategic Bond Fund, Class I (a)		60,559		669,181
MassMutual Select Total Return Bond Fund, Class I (a)		64,965		669,142
Vanguard Total Bond Market Index Fund, Admiral Shares		43,834		487,429
				7,141,756
TOTAL MUTUAL FUNDS (Cost $61,675,509)				61,060,416
TOTAL LONG-TERM INVESTMENTS (Cost $61,675,509)				61,060,416
TOTAL INVESTMENTS — 100.1% (Cost $61,675,509) (b)				61,060,416
Other Assets/(Liabilities) — (0.1)%				(86,558	)
NET ASSETS — 100.0%			$	60,973,858

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

40

MassMutual RetireSMART by JPMorgan 2060 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.4%
Equity Funds — 88.7%
JPMorgan International Research Enhanced Equity Fund, Class R6		34,946	$	614,695
JPMorgan Realty Income Fund, Class R6		32,966		512,617
MassMutual Premier International Equity Fund, Class I (a)		55,756		669,625
MassMutual Premier Strategic Emerging Markets Fund, Class I (a)		41,001		534,249
MassMutual Select Blue Chip Growth Fund, Class I (a)		30,896		702,263
MassMutual Select Diversified Value Fund, Class I (a)		61,162		702,142
MassMutual Select Equity Opportunities Fund, Class I (a)		28,108		515,212
MassMutual Select Fundamental Growth Fund, Class I (a)		47,841		384,161
MassMutual Select Fundamental Value Fund, Class I (a)		62,293		643,491
MassMutual Select Growth Opportunities Fund, Class I (a)		24,782		253,028
MassMutual Select Mid Cap Growth Fund, Class I (a)		12,586		293,763
MassMutual Select Mid-Cap Value Fund, Class I (a)		23,773		295,267
MassMutual Select Overseas Fund, Class I (a)		230,282		1,922,855
MassMutual Select Small Cap Growth Equity Fund, Class I (a)		7,840		119,955
MassMutual Select Small Cap Value Equity Fund, Class I (a)		14,405		160,907
MM Select Equity Asset Fund, Class I (a)		408,887		3,230,207
Vanguard Developed Markets Index Fund, Admiral Shares		42,906		565,506
Vanguard Emerging Markets Stock Index Fund, Admiral Shares		15,810		531,368
Vanguard Mid-Cap Index Fund, Admiral Shares		1,223		254,009
Vanguard Real Estate Index Fund, Admiral Shares		3,845		508,241
Vanguard Small-Cap Index Fund, Admiral Shares		1,643		121,202
				13,534,763
Fixed Income Funds — 11.7%
JPMorgan Emerging Markets Debt Fund, Class R6		8,959		73,463
JPMorgan Emerging Markets Strategic Debt Fund, Class R6		8,910		73,511

	Number of Shares		Value
JPMorgan U.S. Government Money Market Fund, Class IM		230,825	$	230,825
MassMutual Premier Core Bond Fund, Class I (a)		44,206		500,859
MassMutual Premier High Yield Fund, Class I (a)		49,377		454,758
MassMutual Select Strategic Bond Fund, Class I (a)		15,196		167,912
MassMutual Select Total Return Bond Fund, Class I (a)		16,301		167,903
Vanguard Total Bond Market Index Fund, Admiral Shares		11,125		123,710
				1,792,941
TOTAL MUTUAL FUNDS (Cost $15,462,701)				15,327,704
TOTAL LONG-TERM INVESTMENTS (Cost $15,462,701)				15,327,704
TOTAL INVESTMENTS — 100.4% (Cost $15,462,701) (b)				15,327,704
Other Assets/(Liabilities) — (0.4)%				(65,332	)
NET ASSETS — 100.0%			$	15,262,372

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

41

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements

Statements of Assets and Liabilities

September 30, 2019

	MassMutual RetireSMART Conservative Fund		MassMutual RetireSMART Moderate Fund
Assets:
Investments, at value — unaffiliated issuers (Note 2) (a)	$	35,807,265	$	46,949,534
Investments, at value — affiliated issuers (Note 2 & 7) (b)		182,021,490		205,666,763
Total investments		217,828,755		252,616,297
Receivables from:
Investments sold		1,239		1,456
Investment adviser (Note 3)		-		6,269
Fund shares sold		96,416		126,796
Interest and dividends		77,872		51,614
Prepaid expenses		35,388		35,919
Total assets		218,039,670		252,838,351
Liabilities:
Payables for:
Investments purchased		137,644		171,468
Fund shares repurchased		36,644		6,942
Investment advisory fees		5,281		-
Trustees’ fees and expenses (Note 3)		27,829		48,487
Affiliates (Note 3):
Administration fees		65,452		65,319
Service fees		99,642		85,023
Shareholder service fees		7,907		20,019
Distribution fees		4,944		6,702
Accrued expense and other liabilities		56,566		58,068
Total liabilities		441,909		462,028
Net assets	$	217,597,761	$	252,376,323
Net assets consist of:
Paid-in capital	$	212,156,139	$	243,032,056
Accumulated Gain (Loss)		5,441,622		9,344,267
Net assets	$	217,597,761	$	252,376,323
(a)    Cost of investments — unaffiliated issuers:	$	34,746,888	$	46,948,575
(b)    Cost of investments — affiliated issuers:	$	175,071,595	$	205,961,684

The accompanying notes are an integral part of the financial statements.

42

MassMutual RetireSMART Moderate Growth Fund		MassMutual RetireSMART Growth Fund		MassMutual RetireSMART by JPMorgan In Retirement Fund		MassMutual RetireSMART by JPMorgan 2020 Fund		MassMutual RetireSMART by JPMorgan 2025 Fund
$	46,159,910	$	24,954,572	$	48,437,288	$	90,464,390	$	64,874,056
	181,874,876		95,221,422		156,622,600		303,553,837		220,954,666
	228,034,786		120,175,994		205,059,888		394,018,227		285,828,722
	1,329		687		243,391		784,057		1,195,530
	9,088		6,736		-		5,946		15,697
	117,407		329,488		301,303		1,999,558		1,865,233
	29,084		5,970		64,502		100,633		39,574
	35,389		35,389		33,127		30,985		32,525
	228,227,083		120,554,264		205,702,211		396,939,406		288,977,281
	143,692		222,422		65,552		100,633		39,574
	2,799		113,036		542,479		2,795,120		3,059,893
	-		-		47,055		-		-
	38,984		12,877		45,845		81,384		18,578
	63,579		47,754		106,479		83,315		71,844
	71,188		36,960		78,655		122,656		123,612
	19,398		8,098		13,601		20,311		12,707
	10,444		5,745		24,438		43,926		52,264
	61,037		54,787		191,376		64,425		61,233
	411,121		501,679		1,115,480		3,311,770		3,439,705
$	227,815,962	$	120,052,585	$	204,586,731	$	393,627,636	$	285,537,576
$	218,727,118	$	117,571,283	$	201,262,285	$	381,482,953	$	274,760,219
	9,088,844		2,481,302		3,324,446		12,144,683		10,777,357
$	227,815,962	$	120,052,585	$	204,586,731	$	393,627,636	$	285,537,576
$	46,437,256	$	25,249,704	$	46,906,360	$	87,544,403	$	62,783,307
$	185,127,664	$	99,284,304	$	152,045,840	$	295,301,849	$	217,460,438

43

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual RetireSMART Conservative Fund		MassMutual RetireSMART Moderate Fund
Class I shares:
Net assets	$	12,196,646	$	28,842,511
Shares outstanding (a)		1,201,682		2,903,941
Net asset value, offering price and redemption price per share	$	10.15	$	9.93
Class R5 shares:
Net assets	$	6,918,974	$	9,972,226
Shares outstanding (a)		682,600		1,003,634
Net asset value, offering price and redemption price per share	$	10.14	$	9.94
Service Class shares:
Net assets	$	9,225,246	$	11,426,541
Shares outstanding (a)		910,481		1,145,079
Net asset value, offering price and redemption price per share	$	10.13	$	9.98
Administrative Class shares:
Net assets	$	32,206,345	$	70,893,349
Shares outstanding (a)		3,176,532		7,118,629
Net asset value, offering price and redemption price per share	$	10.14	$	9.96
Class A shares:
Net assets	$	25,898,430	$	81,959,218
Shares outstanding (a)		2,542,679		8,208,162
Net asset value, and redemption price per share	$	10.19	$	9.99
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	10.78	$	10.57
Class R4 shares:
Net assets	$	124,049,659	$	40,232,008
Shares outstanding (a)		12,352,174		4,070,063
Net asset value, offering price and redemption price per share	$	10.04	$	9.88
Class R3 shares:
Net assets	$	7,102,461	$	9,050,470
Shares outstanding (a)		709,637		917,649
Net asset value, offering price and redemption price per share	$	10.01	$	9.86

(a) Authorized unlimited number of shares with no par value.

* Net asset value calculations reflect fractional share and dollar amounts.

The accompanying notes are an integral part of the financial statements.

44

MassMutual RetireSMART Moderate Growth Fund		MassMutual RetireSMART Growth Fund		MassMutual RetireSMART by JPMorgan In Retirement Fund			MassMutual RetireSMART by JPMorgan 2020 Fund		MassMutual RetireSMART by JPMorgan 2025 Fund
$	15,679,092	$	23,313,690	$	16,124,620		$	35,601,882	$	40,805,794
	1,583,759		2,201,756		1,368,886			2,841,244		3,263,312
$	9.90	$	10.59	$	11.78		$	12.53	$	12.50
$	12,028,073	$	5,024,480	$	8,776,218		$	60,303,431	$	526,926
	1,214,180		474,179		743,548			4,821,609		41,765
$	9.91	$	10.60	$	11.80		$	12.51	$	12.62
$	9,013,526	$	3,114,842	$	15,324,311		$	31,847,780	$	9,278,056
	907,460		293,590		1,297,611			2,531,367		741,349
$	9.93	$	10.61	$	11.81		$	12.58	$	12.52
$	81,829,267	$	31,090,827	$	39,483,289		$	74,836,510	$	43,407,241
	8,246,647		2,935,073		3,343,927			5,973,592		3,482,134
$	9.92	$	10.59	$	11.81		$	12.53	$	12.47
$	65,910,227	$	30,794,624	$	63,335,976		$	73,800,053	$	53,784,504
	6,620,060		2,910,565		5,420,847			5,930,970		4,357,369
$	9.96	$	10.58	$	11.68		$	12.44	$	12.34
$	10.54	$	11.20	$	12.36		$	13.16	$	13.06
$	27,212,083	$	17,701,060	$	24,032,195		$	50,600,171	$	58,761,024
	2,765,882		1,691,707		2,067,290			4,127,049		4,781,254
$	9.84	$	10.46	$	11.62	*	$	12.26	$	12.29
$	16,143,694	$	9,013,062	$	37,510,122		$	66,637,809	$	78,974,031
	1,647,308		863,695		3,256,210			5,528,352		6,448,837
$	9.80	$	10.44	$	11.52		$	12.05	$	12.25

45

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual RetireSMART by JPMorgan 2030 Fund		MassMutual RetireSMART by JPMorgan 2035 Fund
Assets:
Investments, at value — unaffiliated issuers (Note 2) (a)	$	122,710,632	$	51,763,790
Investments, at value — affiliated issuers (Note 2 & 7) (b)		394,014,447		169,488,208
Total investments		516,725,079		221,251,998
Receivables from:
Investments sold		1,075,142		2,387,447
Investment adviser (Note 3)		2,715		5,722
Fund shares sold		2,787,455		1,356,557
Interest and dividends		46,975		16,827
Prepaid expenses		30,524		32,200
Total assets		520,667,890		225,050,751
Liabilities:
Payables for:
Investments purchased		46,975		16,827
Fund shares repurchased		3,859,650		3,742,739
Trustees’ fees and expenses (Note 3)		76,252		14,186
Affiliates (Note 3):
Administration fees		92,989		63,387
Service fees		153,560		94,580
Shareholder service fees		24,550		8,653
Distribution fees		67,278		39,853
Accrued expense and other liabilities		78,856		58,625
Total liabilities		4,400,110		4,038,850
Net assets	$	516,267,780	$	221,011,901
Net assets consist of:
Paid-in capital	$	495,381,400	$	212,793,795
Accumulated Gain (Loss)		20,886,380		8,218,106
Net assets	$	516,267,780	$	221,011,901
(a)    Cost of investments — unaffiliated issuers:	$	119,345,016	$	50,437,151
(b)    Cost of investments — affiliated issuers:	$	396,575,703	$	173,122,988

The accompanying notes are an integral part of the financial statements.

46

MassMutual RetireSMART by JPMorgan 2040 Fund		MassMutual RetireSMART by JPMorgan 2045 Fund		MassMutual RetireSMART by JPMorgan 2050 Fund		MassMutual RetireSMART by JPMorgan 2055 Fund		MassMutual RetireSMART by JPMorgan 2060 Fund
$	78,843,045	$	33,614,666	$	47,104,665	$	14,297,829	$	3,609,147
	256,104,148		108,506,490		152,841,730		46,762,587		11,718,557
	334,947,193		142,121,156		199,946,395		61,060,416		15,327,704
	788,164		627,077		354,857		-		87
	7,373		12,021		13,390		14,290		11,291
	1,908,252		1,607,287		636,388		534,343		19,218
	18,067		5,894		8,235		2,484		629
	30,816		32,198		29,618		38,458		9,892
	337,699,865		144,405,633		200,988,883		61,649,991		15,368,821
	18,067		5,894		23,775		59,524		19,769
	2,681,501		2,233,555		965,564		476,960		79
	46,398		8,334		15,639		2,653		770
	75,740		53,584		58,409		42,309		34,611
	93,903		62,477		50,453		26,251		1,262
	15,844		5,409		9,616		2,091		155
	38,198		29,880		22,070		13,814		720
	65,854		55,801		60,489		52,531		49,083
	3,035,505		2,454,934		1,206,015		676,133		106,449
$	334,664,360	$	141,950,699	$	199,782,868	$	60,973,858	$	15,262,372
$	322,349,415	$	136,865,456	$	193,772,971	$	59,354,140	$	14,757,896
	12,314,945		5,085,243		6,009,897		1,619,718		504,476
$	334,664,360	$	141,950,699	$	199,782,868	$	60,973,858	$	15,262,372
$	77,042,929	$	32,835,263	$	46,017,836	$	13,936,185	$	3,526,138
$	264,373,360	$	112,875,233	$	159,397,979	$	47,739,324	$	11,936,563

47

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual RetireSMART by JPMorgan 2030 Fund		MassMutual RetireSMART by JPMorgan 2035 Fund
Class I shares:
Net assets	$	42,529,421	$	33,309,303
Shares outstanding (a)		3,399,932		2,617,261
Net asset value, offering price and redemption price per share	$	12.51	$	12.73
Class R5 shares:
Net assets	$	88,077,938	$	1,801,223
Shares outstanding (a)		7,073,044		141,322
Net asset value, offering price and redemption price per share	$	12.45	$	12.75
Service Class shares:
Net assets	$	44,334,483	$	8,092,597
Shares outstanding (a)		3,540,831		628,840
Net asset value, offering price and redemption price per share	$	12.52	$	12.87
Administrative Class shares:
Net assets	$	106,439,068	$	32,361,418
Shares outstanding (a)		8,527,158		2,526,608
Net asset value, offering price and redemption price per share	$	12.48	$	12.81
Class A shares:
Net assets	$	73,892,875	$	34,478,527
Shares outstanding (a)		5,963,128		2,716,936
Net asset value, and redemption price per share	$	12.39	$	12.69
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	13.11	$	13.43
Class R4 shares:
Net assets	$	57,899,660	$	49,043,948
Shares outstanding (a)		4,710,518		3,884,211
Net asset value, offering price and redemption price per share	$	12.29	$	12.63
Class R3 shares:
Net assets	$	103,094,335	$	61,924,885
Shares outstanding (a)		8,523,878		4,920,800
Net asset value, offering price and redemption price per share	$	12.09	$	12.58

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the financial statements.

48

MassMutual RetireSMART by JPMorgan 2040 Fund		MassMutual RetireSMART by JPMorgan 2045 Fund		MassMutual RetireSMART by JPMorgan 2050 Fund		MassMutual RetireSMART by JPMorgan 2055 Fund		MassMutual RetireSMART by JPMorgan 2060 Fund
$	28,871,955	$	19,098,585	$	15,050,250	$	7,760,850	$	10,904,198
	2,368,042		1,497,516		1,710,085		723,175		1,035,446
$	12.19	$	12.75	$	8.80	$	10.73	$	10.53
$	63,062,206	$	749,809	$	45,022,261	$	534,426	$	1,256,813
	5,176,678		58,757		5,127,807		49,787		119,575
$	12.18	$	12.76	$	8.78	$	10.73	$	10.51
$	22,041,798	$	3,874,169	$	8,398,618	$	2,291,266	$	528,530
	1,802,725		303,953		951,992		213,136		50,361
$	12.23	$	12.75	$	8.82	$	10.75	$	10.49
$	75,729,473	$	21,596,740	$	52,850,266	$	8,364,256	$	664,861
	6,224,683		1,701,223		6,012,724		782,167		63,439
$	12.17	$	12.69	$	8.79	$	10.69	$	10.48
$	42,006,253	$	19,901,180	$	21,195,080	$	7,587,187	$	437,347
	3,479,914		1,582,051		2,429,785		710,744		41,799
$	12.07	$	12.58	$	8.72	$	10.67	$	10.46
$	12.77	$	13.31	$	9.23	$	11.30	$	11.07
$	43,640,886	$	29,963,360	$	23,205,695	$	12,251,316	$	374,371
	3,648,607		2,395,449		2,674,130		1,151,765		35,744
$	11.96	$	12.51	$	8.68	$	10.64	$	10.47
$	59,311,789	$	46,766,856	$	34,060,698	$	22,184,557	$	1,096,252
	5,045,925		3,751,827		3,960,848		2,096,598		105,346
$	11.75	$	12.47	$	8.60	$	10.58	$	10.41

49

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual RetireSMART Conservative  Fund			MassMutual RetireSMART Moderate Fund
Investment income (Note 2):
Dividends — unaffiliated issuers	$	728,244		$	1,075,564
Dividends — affiliated issuers (Note 7)		5,567,974			5,869,371
Total investment income		6,296,218			6,944,935
Expenses (Note 3):
Custody fees		14,771			13,188
Audit fees		32,152			31,964
Legal fees		12,310			15,775
Proxy fees		1,365			1,365
Accounting & Administration fees		53,677			54,641
Shareholder reporting fees		21,683			24,522
Trustees’ fees		9,543			11,624
Registration and filing fees		100,440			100,339
Transfer agent fees		3,017			3,017
		248,958			256,435
Administration fees:
Class R5		6,783			21,438
Service Class		12,618			16,721
Administrative Class		54,521			118,764
Class A		38,892			125,993
Class R4		226,967			71,927
Class R3		15,963			22,270
Distribution fees:
Class R3		19,954			27,838
Distribution and Service fees:
Class A		64,821			209,989
Class R4		283,709			89,909
Class R3		19,954			27,838
Shareholder service fees:
Service Class		4,206			5,573
Administrative Class		54,521			118,764
Class A		38,892			125,993
Total expenses		1,090,759			1,239,452
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(9,744	)		(9,482	)
Class R5 fees reimbursed by adviser		(6,742	)		(12,960	)
Service Class fees reimbursed by adviser		(8,302	)		(6,542	)
Administrative Class fees reimbursed by adviser		(36,404	)		(46,709	)
Class A fees reimbursed by adviser		(25,746	)		(49,315	)
Class R4 fees reimbursed by adviser		(112,186	)		(21,043	)
Class R3 fees reimbursed by adviser		(8,050	)		(6,610	)
Net expenses:		883,585			1,086,791
Net investment income (loss)		5,412,633			5,858,144

The accompanying notes are an integral part of the financial statements.

50

MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund			MassMutual RetireSMART by JPMorgan In Retirement Fund+			MassMutual RetireSMART by JPMorgan 2020 Fund			MassMutual RetireSMART by JPMorgan 2025 Fund
$	1,058,607		$	559,727		$	1,012,350		$	2,568,154		$	1,819,155
	4,586,356			2,023,186			2,004,289			9,028,612			5,839,820
	5,644,963			2,582,913			3,016,639			11,596,766			7,658,975
	14,768			13,091			78,910			14,663			14,532
	32,145			32,159			32,371			31,935			32,149
	14,083			6,971			1,575			35,758			23,868
	1,365			1,365			1,596			1,365			1,365
	54,751			54,171			79,705			54,591			54,048
	23,419			17,925			19,187			32,473			25,035
	10,571			5,298			6,676			17,135			12,418
	100,976			100,965			117,027			102,947			103,207
	3,017			3,017			5,017			3,017			3,017
	255,095			234,962			342,064			293,884			269,639
	11,917			4,797			6,190			47,191			262
	12,765			4,236			22,556			64,044			19,989
	130,804			48,228			49,583			113,322			62,442
	104,937			46,416			67,360			101,091			62,359
	50,549			33,927			34,820			101,651			117,878
	31,959			16,837			60,449			139,880			164,064
	39,949			21,046			75,562			174,849			205,080
	174,895			77,359			112,268			168,485			103,932
	63,186			42,409			43,525			127,063			147,347
	39,949			21,046			75,562			174,849			205,080
	4,255			1,412			7,519			21,348			6,663
	130,804			48,228			49,583			113,322			62,442
	104,937			46,416			67,360			101,091			62,359
	1,156,001			647,319			1,014,401			1,742,070			1,489,536
	(9,818	)		(26,072	)		(18,323	)		(10,992	)		(30,066	)
	(8,274	)		(6,353	)		(9,639	)		(17,249	)		(234	)
	(5,901	)		(3,732	)		(23,461	)		(15,691	)		(12,099	)
	(60,644	)		(42,838	)		(51,450	)		(27,686	)		(37,218	)
	(48,637	)		(41,171	)		(69,870	)		(24,500	)		(36,696	)
	(17,530	)		(22,548	)		(27,109	)		(18,511	)		(52,659	)
	(11,113	)		(11,151	)		(47,065	)		(25,641	)		(73,531	)
	994,084			493,454			767,484			1,601,800			1,247,033
	4,650,879			2,089,459			2,249,155			9,994,966			6,411,942

51

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Operations (Continued)

For the Year Ended September 30, 2019

	MassMutual RetireSMART Conservative  Fund			MassMutual RetireSMART Moderate Fund
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		(153,476	)		(479,512	)
Investment transactions — affiliated issuers (Note 7)		(5,669,533	)		(4,985,117	)
Realized gain distributions — affiliated issuers (Note 7)		6,930,548			21,383,976
Net realized gain (loss)		1,107,539			15,919,347
Net change in unrealized appreciation (depreciation) on:
Investment transactions — unaffiliated issuers		1,155,194			320,237
Investment transactions — affiliated issuers (Note 7)		5,777,935			(11,329,055	)
Net change in unrealized appreciation (depreciation)		6,933,129			(11,008,818	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		8,040,668			4,910,529
Net increase (decrease) in net assets resulting from operations	$	13,453,301		$	10,768,673

+ Effective January 28, 2019, each of the MassMutual RetireSMART^SM by JPMorgan 2010 Fund and MassMutual RetireSMART^SM by JPMorgan 2015 Fund reorganized into the MassMutual RetireSMART by JPMorgan In Retirement Fund. The MassMutual RetireSMART by JPMorgan In Retirement Fund was the accounting and performance survivor of each reorganization. Please reference Note 9 “Acquisition of MassMutual RetireSMART by JPMorgan 2010 Fund and MassMutual RetireSMART by JPMorgan 2015 Fund” in the Notes to the Financial Statements for additional information.

The accompanying notes are an integral part of the financial statements.

52

MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund			MassMutual RetireSMART by JPMorgan In Retirement Fund+			MassMutual RetireSMART by JPMorgan 2020 Fund			MassMutual RetireSMART by JPMorgan 2025 Fund
	(820,374	)		(572,632	)		(145,614	)		(1,317,855	)		(766,008	)
	(6,381,653	)		(3,736,084	)		(4,413,744	)		(11,414,170	)		(7,269,888	)
	25,634,682			14,378,311			3,513,224			21,521,506			18,800,387
	18,432,655			10,069,595			(1,046,134	)		8,789,481			10,764,491
	91,094			(96,407	)		1,953,887			3,081,044			2,247,687
	(16,875,140	)		(10,244,664	)		10,464,921			(3,587,766	)		(7,017,012	)
	(16,784,046	)		(10,341,071	)		12,418,808			(506,722	)		(4,769,325	)
	1,648,609			(271,476	)		11,372,674			8,282,759			5,995,166
$	6,299,488		$	1,817,983		$	13,621,829		$	18,277,725		$	12,407,108

53

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual RetireSMART by JPMorgan 2030 Fund			MassMutual RetireSMART by JPMorgan 2035 Fund
Investment income (Note 2):
Dividends — unaffiliated issuers	$	3,312,401		$	1,429,074
Dividends — affiliated issuers (Note 7)		9,877,574			4,204,573
Total investment income		13,189,975			5,633,647
Expenses (Note 3):
Custody fees		17,911			12,873
Audit fees		32,112			32,149
Legal fees		44,620			19,012
Proxy fees		1,365			1,365
Accounting & Administration fees		48,421			53,865
Shareholder reporting fees		36,236			22,589
Trustees’ fees		22,523			9,824
Registration and filing fees		106,303			103,485
Transfer agent fees		3,017			3,017
		312,508			258,179
Administration fees:
Class R5		66,751			787
Service Class		87,768			15,681
Administrative Class		149,665			45,866
Class A		99,503			44,077
Class R4		122,044			103,337
Class R3		213,455			125,893
Distribution fees:
Class R3		266,819			157,367
Distribution and Service fees:
Class A		165,839			73,461
Class R4		152,555			129,172
Class R3		266,819			157,367
Shareholder service fees:
Service Class		29,256			5,227
Administrative Class		149,665			45,866
Class A		99,503			44,077
Total expenses		2,182,150			1,206,357
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(7,854	)		(20,114	)
Class R5 fees reimbursed by adviser		(15,430	)		(552	)
Service Class fees reimbursed by adviser		(13,672	)		(7,435	)
Administrative Class fees reimbursed by adviser		(23,257	)		(21,515	)
Class A fees reimbursed by adviser		(15,330	)		(20,535	)
Class R4 fees reimbursed by adviser		(14,338	)		(36,341	)
Class R3 fees reimbursed by adviser		(25,219	)		(44,499	)
Net expenses:		2,067,050			1,055,366
Net investment income (loss)		11,122,925			4,578,281
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		(879,234	)		(505,964	)
Investment transactions — affiliated issuers (Note 7)		(6,952,227	)		(4,623,697	)
Realized gain distributions — affiliated issuers (Note 7)		40,021,356			20,132,096
Net realized gain (loss)		32,189,895			15,002,435
Net change in unrealized appreciation (depreciation) on:
Investment transactions — unaffiliated issuers		3,717,611			1,510,098
Investment transactions — affiliated issuers (Note 7)		(26,851,227	)		(14,957,041	)
Net change in unrealized appreciation (depreciation)		(23,133,616	)		(13,446,943	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		9,056,279			1,555,492
Net increase (decrease) in net assets resulting from operations	$	20,179,204		$	6,133,773

The accompanying notes are an integral part of the financial statements.

54

MassMutual RetireSMART by JPMorgan 2040 Fund			MassMutual RetireSMART by JPMorgan 2045 Fund			MassMutual RetireSMART by JPMorgan 2050 Fund			MassMutual RetireSMART by JPMorgan 2055 Fund			MassMutual RetireSMART by JPMorgan 2060 Fund
$	2,078,332		$	884,856		$	1,202,983		$	370,120		$	94,335
	5,667,531			2,389,748			3,157,460			988,993			262,211
	7,745,863			3,274,604			4,360,443			1,359,113			356,546
	12,764			13,247			13,637			14,789			12,629
	31,960			32,160			32,156			32,164			32,164
	27,536			11,593			15,511			4,555			1,204
	1,365			1,365			1,365			1,365			1,365
	54,361			53,865			53,865			53,570			53,551
	27,414			18,952			20,958			15,445			13,713
	14,300			6,142			8,307			2,562			643
	106,871			103,334			103,839			101,536			102,042
	3,016			3,017			3,017			3,017			3,017
	279,587			243,675			252,655			229,003			220,328
	46,173			374			33,016			336			805
	51,026			11,692			24,423			7,384			805
	105,417			28,036			69,121			10,194			744
	56,474			26,627			27,933			9,864			477
	86,462			58,125			43,360			21,623			744
	118,456			91,932			69,568			41,500			1,926
	148,070			114,915			86,960			51,876			2,408
	94,124			44,378			46,555			16,440			795
	108,077			72,656			54,200			27,029			930
	148,070			114,915			86,960			51,876			2,408
	17,009			3,897			8,141			2,462			268
	105,417			28,036			69,121			10,193			744
	56,474			26,627			27,933			9,864			477
	1,420,836			865,885			899,946			489,644			233,859
	(10,989	)		(23,696	)		(13,858	)		(24,074	)		(165,565	)
	(21,778	)		(599	)		(39,309	)		(1,368	)		(12,613	)
	(17,829	)		(12,616	)		(19,359	)		(20,179	)		(8,427	)
	(34,692	)		(30,128	)		(54,630	)		(27,637	)		(7,782	)
	(18,484	)		(28,607	)		(22,066	)		(26,809	)		(4,989	)
	(21,289	)		(46,770	)		(25,680	)		(44,050	)		(5,842	)
	(29,377	)		(74,391	)		(41,322	)		(84,887	)		(15,112	)
	1,266,398			649,078			683,722			260,640			13,529
	6,479,465			2,625,526			3,676,721			1,098,473			343,017
	(541,887	)		(248,125	)		(258,038	)		(104,436	)		(56,439	)
	(3,088,675	)		(1,699,030	)		(1,856,749	)		(2,589,280	)		(653,922	)
	30,850,669			13,674,967			18,062,876			5,659,914			1,499,743
	27,220,107			11,727,812			15,948,089			2,966,198			789,382
	2,084,336			906,074			1,251,076			412,068			96,574
	(26,844,093	)		(11,844,089	)		(15,413,654	)		(2,805,239	)		(976,331	)
	(24,759,757	)		(10,938,015	)		(14,162,578	)		(2,393,171	)		(879,757	)
	2,460,350			789,797			1,785,511			573,027			(90,375	)
$	8,939,815		$	3,415,323		$	5,462,232		$	1,671,500		$	252,642

55

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Conservative Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	5,412,633		$	5,026,864
Net realized gain (loss)		1,107,539			7,354,037
Net change in unrealized appreciation (depreciation)		6,933,129			(7,404,703	)
Net increase (decrease) in net assets resulting from operations		13,453,301			4,976,198
Distributions to shareholders (Note 2):
Class I		(456,635	)		(174,706	)*
Class R5		(340,190	)		(323,410	)*
Service Class		(396,511	)		(182,922	)*
Administrative Class		(1,811,415	)		(1,307,514	)*
Class A		(1,203,067	)		(712,236	)*
Class R4		(5,116,375	)		(2,508,766	)*
Class R3		(351,773	)		(175,226	)*
Total distributions		(9,675,966	)		(5,384,780	)
Tax return of capital:
Net fund share transactions (Note 5):
Class I		3,494,383			2,018,957
Class R5		(211,948	)		(4,504,942	)
Service Class		1,174,439			748,675
Administrative Class		(7,530,815	)		(13,094,871	)
Class A		(2,089,284	)		(4,868,627	)
Class R4		14,980,780			8,350,650
Class R3		(682,332	)		116,739
Increase (decrease) in net assets from fund share transactions		9,135,223			(11,233,419	)
Total increase (decrease) in net assets		12,912,558			(11,642,001	)
Net assets*
Beginning of year		204,685,203			216,327,204
End of year	$	217,597,761		$	204,685,203

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

56

MassMutual RetireSMART Moderate Fund						MassMutual RetireSMART Moderate Growth Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	5,858,144		$	5,795,256		$	4,650,879		$	4,168,620
	15,919,347			24,657,810			18,432,655			32,625,291
	(11,008,818	)		(13,733,679	)		(16,784,046	)		(15,537,926	)
	10,768,673			16,719,387			6,299,488			21,255,985
	(1,282,311	)		(174,425	)*		(1,681,179	)		(307,578	)*
	(2,363,743	)		(1,414,498	)*		(1,504,204	)		(1,058,740	)*
	(1,032,379	)		(143,255	)*		(1,040,049	)		(195,201	)*
	(7,634,289	)		(3,036,488	)*		(11,431,456	)		(4,245,830	)*
	(7,802,596	)		(3,059,026	)*		(9,053,344	)		(3,744,352	)*
	(3,153,518	)		(870,056	)*		(3,190,043	)		(958,886	)*
	(1,001,709	)		(357,217	)*		(2,012,259	)		(565,673	)*
	(24,270,545	)		(9,054,965	)		(29,912,534	)		(11,076,260	)
	16,294,613			5,334,195			8,479,697			(2,574,234	)
	(14,086,453	)		(17,270,394	)		(384,705	)		(8,902,085	)
	615,021			6,626,559			1,258,530			4,063,360
	(11,820,906	)		(14,016,170	)		(2,871,542	)		(6,545,372	)
	(4,750,920	)		(26,548,527	)		(4,215,607	)		(18,290,585	)
	7,326,034			5,530,736			5,496,513			1,025,603
	(1,609,640	)		(1,905,640	)		1,303,419			2,291,300
	(8,032,251	)		(42,249,241	)		9,066,305			(28,932,013	)
	(21,534,123	)		(34,584,819	)		(14,546,741	)		(18,752,288	)
	273,910,446			308,495,265			242,362,703			261,114,991
$	252,376,323		$	273,910,446		$	227,815,962		$	242,362,703

57

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Growth Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	2,089,459		$	1,679,591
Net realized gain (loss)		10,069,595			17,072,485
Net change in unrealized appreciation (depreciation)		(10,341,071	)		(7,651,130	)
Net increase (decrease) in net assets resulting from operations		1,817,983			11,100,946
Distributions to shareholders (Note 2):
Class I		(2,594,461	)		(353,280	)*
Class R5		(586,773	)		(304,892	)*
Service Class		(362,897	)		(69,593	)*
Administrative Class		(4,425,472	)		(1,503,548	)*
Class A		(4,251,879	)		(1,763,450	)*
Class R4		(2,263,160	)		(638,042	)*
Class R3		(1,070,597	)		(313,391	)*
Total distributions		(15,555,239	)		(4,946,196	)
Tax return of capital:
Net fund share transactions (Note 5):
Class I		8,035,877			9,181,627
Class R5		(210,705	)		(961,267	)
Service Class		578,070			1,112,566
Administrative Class		(928,570	)		1,472,690
Class A		404,980			(11,957,805	)
Class R4		3,120,412			549,998
Class R3		1,555,830			15,488
Increase (decrease) in net assets from fund share transactions		12,555,894			(586,703	)
Total increase (decrease) in net assets		(1,181,362	)		5,568,047
Net assets*
Beginning of year		121,233,947			115,665,900
End of year	$	120,052,585		$	121,233,947

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

58

MassMutual RetireSMART by JPMorgan In Retirement Fund						MassMutual RetireSMART by JPMorgan 2020 Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	2,249,155		$	1,842,586		$	9,994,966		$	9,274,821
	(1,046,134	)		3,785,183			8,789,481			41,514,557
	12,418,808			(3,435,984	)		(506,722	)		(26,832,652	)
	13,621,829			2,191,785			18,277,725			23,956,726
	(144,704	)		(55,105	)*		(3,156,055	)		(861,333	)*
	(75,776	)		(85,723	)*		(4,124,720	)		(1,045,669	)*
	(520,524	)		(238,272	)*		(5,009,458	)		(2,967,626	)*
	(938,553	)		(381,758	)*		(7,959,196	)		(3,028,413	)*
	(1,167,602	)		(290,532	)*		(6,256,148	)		(1,673,102	)*
	(168,434	)		(74,808	)*		(5,176,395	)		(1,789,682	)*
	(513,708	)		(175,443	)*		(7,305,993	)		(2,234,480	)*
	(3,529,301	)		(1,301,641	)		(38,987,965	)		(13,600,305	)
	12,586,418			(195,843	)		17,088,046			(1,699,121	)
	6,938,660			(3,349,102	)		45,907,464			(12,815,651	)
	2,149,395			(1,714,600	)		(46,894,530	)		(36,430,305	)
	15,772,241			(1,496,418	)		(6,739,841	)		(19,689,307	)
	40,579,974			(496,904	)		702,607			7,635,808
	18,076,961			(593,414	)		(4,182,447	)		(3,919,190	)
	22,227,107			(264,100	)		(6,794,731	)		(8,836,249	)
	118,330,756			(8,110,381	)		(913,432	)		(75,754,015	)
	128,423,284			(7,220,237	)		(21,623,672	)		(65,397,594	)
	76,163,447			83,383,684			415,251,308			480,648,902
$	204,586,731		$	76,163,447		$	393,627,636		$	415,251,308

59

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART by JPMorgan 2025 Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	6,411,942		$	4,906,747
Net realized gain (loss)		10,764,491			29,608,279
Net change in unrealized appreciation (depreciation)		(4,769,325	)		(16,489,849	)
Net increase (decrease) in net assets resulting from operations		12,407,108			18,025,177
Distributions to shareholders (Note 2):
Class I		(3,641,934	)		(1,243,536	)*
Class R5		(5,683	)		(19,722	)*
Service Class		(1,792,633	)		(1,173,370	)*
Administrative Class		(4,672,252	)		(2,444,848	)*
Class A		(3,514,932	)		(1,465,192	)*
Class R4		(6,739,429	)		(3,216,029	)*
Class R3		(8,904,717	)		(4,216,114	)*
Total distributions		(29,271,580	)		(13,778,811	)
Net fund share transactions (Note 5):
Class I		20,113,089			(1,485,558	)
Class R5		458,099			(317,432	)
Service Class		(8,923,885	)		(2,643,939	)
Administrative Class		(1,023,462	)		483,987
Class A		15,026,057			6,220,245
Class R4		(3,104,960	)		4,760,087
Class R3		(3,557,826	)		(1,720,109	)
Increase (decrease) in net assets from fund share transactions		18,987,112			5,297,281
Total increase (decrease) in net assets		2,122,640			9,543,647
Net assets*
Beginning of year		283,414,936			273,871,289
End of year	$	285,537,576		$	283,414,936

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

60

MassMutual RetireSMART by JPMorgan 2030 Fund						MassMutual RetireSMART by JPMorgan 2035 Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	11,122,925		$	9,378,845		$	4,578,281		$	3,190,991
	32,189,895			65,811,565			15,002,435			26,639,424
	(23,133,616	)		(34,672,330	)		(13,446,943	)		(12,655,586	)
	20,179,204			40,518,080			6,133,773			17,174,829
	(4,461,097	)		(1,109,057	)*		(3,557,363	)		(961,325	)*
	(6,897,350	)		(1,473,075	)*		(15,945	)		(57,846	)*
	(8,708,981	)		(4,772,561	)*		(1,396,330	)		(937,439	)*
	(12,618,240	)		(3,837,774	)*		(3,771,444	)		(1,604,869	)*
	(7,801,913	)		(2,157,839	)*		(3,169,502	)		(1,212,105	)*
	(7,808,568	)		(2,355,074	)*		(6,389,269	)		(2,648,724	)*
	(14,006,420	)		(3,791,380	)*		(7,734,831	)		(3,229,848	)*
	(62,302,569	)		(19,496,760	)		(26,034,684	)		(10,652,156	)
	24,084,019			1,739,169			13,717,802			5,315,138
	76,105,683			(24,878,558	)		1,618,228			(901,691	)
	(61,042,834	)		(34,059,609	)		(3,683,781	)		(5,368,678	)
	10,657,675			(3,620,826	)		1,933,210			2,103,587
	3,840,359			3,750,441			3,343,896			5,778,101
	(5,169,898	)		1,657,131			(2,003,823	)		6,445,344
	(5,334,432	)		3,400,404			(1,859,248	)		3,123,232
	43,140,572			(52,011,848	)		13,066,284			16,495,033
	1,017,207			(30,990,528	)		(6,834,627	)		23,017,706
	515,250,573			546,241,101			227,846,528			204,828,822
$	516,267,780		$	515,250,573		$	221,011,901		$	227,846,528

61

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART by JPMorgan 2040 Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	6,479,465		$	5,189,419
Net realized gain (loss)		27,220,107			42,886,750
Net change in unrealized appreciation (depreciation)		(24,759,757	)		(20,329,403	)
Net increase (decrease) in net assets resulting from operations		8,939,815			27,746,766
Distributions to shareholders (Note 2):
Class I		(2,736,758	)		(695,562	)*
Class R5		(4,654,320	)		(996,694	)*
Service Class		(5,250,215	)		(3,192,736	)*
Administrative Class		(9,079,419	)		(3,125,721	)*
Class A		(4,336,919	)		(1,557,175	)*
Class R4		(5,533,240	)		(1,753,444	)*
Class R3		(7,786,600	)		(2,410,596	)*
Total distributions		(39,377,471	)		(13,731,928	)
Net fund share transactions (Note 5):
Class I		17,488,614			1,337,094
Class R5		52,614,192			(11,245,516	)
Service Class		(39,014,312	)		(16,100,101	)
Administrative Class		9,514,682			(3,384,690	)
Class A		1,348,592			1,305,152
Class R4		1,450,234			3,923,262
Class R3		1,537,468			2,536,757
Increase (decrease) in net assets from fund share transactions		44,939,470			(21,628,042	)
Total increase (decrease) in net assets		14,501,814			(7,613,204	)
Net assets*
Beginning of year		320,162,546			327,775,750
End of year	$	334,664,360		$	320,162,546

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

62

MassMutual RetireSMART by JPMorgan 2045 Fund						MassMutual RetireSMART by JPMorgan 2050 Fund
Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2019			Year Ended September 30, 2018
$	2,625,526		$	1,807,232		$	3,676,721		$	2,583,391
	11,727,812			16,486,526			15,948,089			26,218,403
	(10,938,015	)		(7,423,884	)		(14,162,578	)		(12,619,553	)
	3,415,323			10,869,874			5,462,232			16,182,241
	(1,763,124	)		(327,112	)*		(1,550,399	)		(364,167	)*
	(18,331	)		(11,951	)*		(3,893,659	)		(793,066	)*
	(1,113,350	)		(559,484	)*		(2,771,186	)		(1,954,614	)*
	(2,297,794	)		(847,923	)*		(6,259,727	)		(1,993,329	)*
	(1,924,872	)		(706,134	)*		(2,376,030	)		(916,317	)*
	(3,532,658	)		(1,427,149	)*		(2,965,880	)		(1,049,431	)*
	(5,793,557	)		(2,156,853	)*		(5,047,633	)		(1,782,486	)*
	(16,443,686	)		(6,036,606	)		(24,864,514	)		(8,853,410	)
	10,348,795			3,220,934			9,849,042			1,944,570
	609,181			(75,199	)		39,620,995			(9,188,455	)
	(5,080,655	)		(1,061,438	)		(28,387,351	)		(453,864	)
	4,890,013			1,377,566			13,052,803			5,738,592
	1,705,007			2,998,488			2,424,990			289,620
	2,006,332			1,827,973			3,022,991			822,702
	2,134,444			3,130,278			(797,829	)		2,602,358
	16,613,117			11,418,602			38,785,641			1,755,523
	3,584,754			16,251,870			19,383,359			9,084,354
	138,365,945			122,114,075			180,399,509			171,315,155
$	141,950,699		$	138,365,945		$	199,782,868		$	180,399,509

63

MassMutual RetireSMART and MassMutual RetireSMART by JPMorgan Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART by JPMorgan 2055 Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,098,473		$	594,863
Net realized gain (loss)		2,966,198			6,392,488
Net change in unrealized appreciation (depreciation)		(2,393,171	)		(2,793,944	)
Net increase (decrease) in net assets resulting from operations		1,671,500			4,193,407
Distributions to shareholders (Note 2):
Class I		(668,592	)		(169,808	)*
Class R5		(27,380	)		(9,185	)*
Service Class		(673,919	)		(299,060	)*
Administrative Class		(745,615	)		(350,425	)*
Class A		(658,269	)		(274,452	)*
Class R4		(1,284,484	)		(490,643	)*
Class R3		(2,425,873	)		(1,099,835	)*
Total distributions		(6,484,132	)		(2,693,408	)
Net fund share transactions (Note 5):
Class I		4,276,660			1,517,114
Class R5		322,389			82,264
Service Class		(2,661,756	)		1,190,438
Administrative Class		2,601,541			1,092,326
Class A		999,495			1,893,457
Class R4		2,194,809			2,801,620
Class R3		2,803,243			4,035,161
Increase (decrease) in net assets from fund share transactions		10,536,381			12,612,380
Total increase (decrease) in net assets		5,723,749			14,112,379
Net assets*
Beginning of year		55,250,109			41,137,730
End of year	$	60,973,858		$	55,250,109

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

64

MassMutual RetireSMART by JPMorgan 2060 Fund
Year Ended September 30, 2019			Year Ended September 30, 2018
$	343,017		$	241,118
	789,382			1,686,799
	(879,757	)		(650,967	)
	252,642			1,276,950
	(1,494,091	)		(589,352	)*
	(44,637	)		(7,721	)*
	(93,014	)		(12,432	)*
	(57,919	)		(18,701	)*
	(38,502	)		(7,585	)*
	(33,943	)		(8,560	)*
	(101,371	)		(18,758	)*
	(1,863,477	)		(663,109	)
	291,567			235,851
	927,279			169,752
	(50,021	)		370,684
	259,051			81,092
	163,803			136,522
	131,381			83,619
	362,207			453,389
	2,085,267			1,530,909
	474,432			2,144,750
	14,787,940			12,643,190
$	15,262,372		$	14,787,940

65

MassMutual RetireSMART Conservative Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.02	$	0.27		$	0.37		$	0.64		$	(0.32	)	$	(0.19	)	$	-		$	(0.51	)	$	10.15		6.95%		$	12,197		0.12%			0.02%			2.78%
9/30/18		10.04		0.23			0.04			0.27			(0.29	)		-			-			(0.29	)		10.02		2.71%			8,431		0.12%			0.02%			2.27%
9/30/17		9.72		0.09			0.46			0.55			(0.22	)		-			(0.01	)		(0.23	)		10.04		5.86%			6,399		0.12%			0.03%			0.88%
9/30/16		9.40		0.23			0.38			0.61			(0.26	)		(0.03	)		-			(0.29	)		9.72		6.66%			288		0.13%			0.02%			2.46%
9/30/15i		9.73		0.02			(0.21	)		(0.19	)		-			(0.14	)		-			(0.14	)		9.40		(2.01%	)b		170		0.12%	a		0.02%	a		0.24%	a
12/31/14h		10.19		0.34			(0.07	)		0.27			(0.29	)		(0.44	)		-			(0.73	)		9.73		2.62%	b		204		0.09%	a		0.02%	a		4.32%	a
Class R5
9/30/19	$	10.01	$	0.29		$	0.34		$	0.63		$	(0.31	)	$	(0.19	)	$	-		$	(0.50	)	$	10.14		6.83%		$	6,919		0.22%			0.12%			2.96%
9/30/18		10.02		0.34			(0.07	)		0.27			(0.28	)		-			-			(0.28	)		10.01		2.72%			7,023		0.22%			0.13%			3.45%
9/30/17		9.70		0.17			0.37			0.54			(0.21	)		-			(0.01	)		(0.22	)		10.02		5.77%			11,556		0.22%			0.13%			1.76%
9/30/16		9.39		0.23			0.36			0.59			(0.25	)		(0.03	)		-			(0.28	)		9.70		6.49%			9,490		0.23%			0.12%			2.43%
9/30/15i		9.73		0.01			(0.21	)		(0.20	)		-			(0.14	)		-			(0.14	)		9.39		(2.11%	)b		4,154		0.22%	a		0.12%	a		0.15%	a
12/31/14		10.03		0.25			0.17			0.42			(0.28	)		(0.44	)		-			(0.72	)		9.73		4.15%			3,921		0.18%			0.13%			2.44%
Service Class
9/30/19	$	10.01	$	0.27		$	0.34		$	0.61		$	(0.30	)	$	(0.19	)	$	-		$	(0.49	)	$	10.13		6.62%		$	9,225		0.32%			0.22%			2.74%
9/30/18		10.02		0.23			0.03			0.26			(0.27	)		-			-			(0.27	)		10.01		2.61%			7,882		0.32%			0.22%			2.27%
9/30/17		9.69		0.17			0.37			0.54			(0.20	)		-			(0.01	)		(0.21	)		10.02		5.72%			7,138		0.32%			0.23%			1.80%
9/30/16		9.37		0.28			0.30			0.58			(0.23	)		(0.03	)		-			(0.26	)		9.69		6.39%			8,032		0.33%			0.22%			3.03%
9/30/15i		9.72		0.00	d		(0.21	)		(0.21	)		-			(0.14	)		-			(0.14	)		9.37		(2.22%	)b		19,160		0.32%	a		0.22%	a		0.04%	a
12/31/14		10.03		0.29			0.12			0.41			(0.28	)		(0.44	)		-			(0.72	)		9.72		3.99%			21,586		0.27%			0.21%			2.84%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		39	%		62	%		39	%		69	%		27	%		31	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

66

				Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	10.01	$	0.28		$	0.33		$	0.61		$	(0.29	)	$	(0.19	)	$	-		$	(0.48	)	$	10.14		6.57%		$	32,206		0.42%			0.32%			2.87%
9/30/18		10.02		0.27			(0.02	)		0.25			(0.26	)		-			-			(0.26	)		10.01		2.50%			39,271		0.42%			0.33%			2.72%
9/30/17		9.70		0.16			0.36			0.52			(0.19	)		-			(0.01	)		(0.20	)		10.02		5.53%			52,556		0.42%			0.33%			1.64%
9/30/16		9.38		0.22			0.36			0.58			(0.23	)		(0.03	)		-			(0.26	)		9.70		6.33%			53,140		0.43%			0.32%			2.39%
9/30/15i		9.73		(0.00	)d		(0.21	)		(0.21	)		-			(0.14	)		-			(0.14	)		9.38		(2.21%	)b		62,204		0.42%	a		0.32%	a		(0.05%	)a
12/31/14		10.04		0.22			0.17			0.39			(0.26	)		(0.44	)		-			(0.70	)		9.73		3.87%			62,351		0.36%			0.31%			2.19%
Class A
9/30/19	$	10.05	$	0.25		$	0.34		$	0.59		$	(0.26	)	$	(0.19	)	$	-		$	(0.45	)	$	10.19		6.34%		$	25,898		0.67%			0.57%			2.59%
9/30/18		10.05		0.23			0.00	d		0.23			(0.23	)		-			-			(0.23	)		10.05		2.30%			27,681		0.67%			0.58%			2.25%
9/30/17		9.68		0.15			0.35			0.50			(0.12	)		-			(0.01	)		(0.13	)		10.05		5.29%			32,580		0.67%			0.58%			1.50%
9/30/16		9.36		0.24			0.31			0.55			(0.20	)		(0.03	)		-			(0.23	)		9.68		6.03%			39,639		0.68%			0.57%			2.56%
9/30/15i		9.74		(0.02	)		(0.22	)		(0.24	)		-			(0.14	)		-			(0.14	)		9.36		(2.52%	)b		113,693		0.67%	a		0.57%	a		(0.31%	)a
12/31/14		10.04		0.19			0.19			0.38			(0.24	)		(0.44	)		-			(0.68	)		9.74		3.69%			125,410		0.61%			0.56%			1.83%
Class R4
9/30/19	$	9.92	$	0.24		$	0.35		$	0.59		$	(0.28	)	$	(0.19	)	$	-		$	(0.47	)	$	10.04		6.42%		$	124,050		0.57%			0.47%			2.47%
9/30/18		9.94		0.22			0.01			0.23			(0.25	)		-			-			(0.25	)		9.92		2.31%			106,763		0.57%			0.48%			2.24%
9/30/17		9.64		0.13			0.38			0.51			(0.20	)		-			(0.01	)		(0.21	)		9.94		5.41%			98,559		0.57%			0.48%			1.37%
9/30/16		9.36		0.00	d		0.56			0.56			(0.25	)		(0.03	)		-			(0.28	)		9.64		6.13%			81,328		0.58%			0.47%			0.05%
9/30/15i		9.72		0.00	d		(0.22	)		(0.22	)		-			(0.14	)		-			(0.14	)		9.36		(2.32%	)b		1,496		0.57%	a		0.47%	a		0.04%	a
12/31/14h		10.18		0.21			0.03			0.24			(0.26	)		(0.44	)		-			(0.70	)		9.72		2.29%	b		102		0.54%	a		0.47%	a		2.76%	a
Class R3
9/30/19	$	9.89	$	0.22		$	0.34		$	0.56		$	(0.25	)	$	(0.19	)	$	-		$	(0.44	)	$	10.01		6.15%		$	7,102		0.82%			0.72%			2.30%
9/30/18		9.91		0.20			0.01			0.21			(0.23	)		-			-			(0.23	)		9.89		2.10%			7,635		0.82%			0.73%			2.03%
9/30/17		9.61		0.10			0.38			0.48			(0.17	)		-			(0.01	)		(0.18	)		9.91		5.13%			7,538		0.82%			0.73%			1.00%
9/30/16		9.33		0.09			0.45			0.54			(0.23	)		(0.03	)		-			(0.26	)		9.61		5.96%			5,155		0.83%			0.72%			1.00%
9/30/15i		9.72		(0.02	)		(0.23	)		(0.25	)		-			(0.14	)		-			(0.14	)		9.33		(2.63%	)b		1,302		0.82%	a		0.72%	a		(0.23%	)a
12/31/14h		10.18		0.19			0.03			0.22			(0.24	)		(0.44	)		-			(0.68	)		9.72		2.10%	b		102		0.79%	a		0.72%	a		2.51%	a

67

MassMutual RetireSMART Moderate Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.58	$	0.21	$	0.13		$	0.34		$	(0.31	)	$	(0.68	)	$	(0.99	)	$	9.93		4.69%		$	28,843		0.10%			0.04%			2.13%
9/30/18		10.31		0.16		0.47			0.63			(0.34	)		(0.02	)		(0.36	)		10.58		6.21%			12,666		0.09%			0.05%			1.50%
9/30/17		9.53		0.04		0.96			1.00			(0.22	)		-			(0.22	)		10.31		10.72%			7,078		0.08%			0.07%			0.40%
9/30/16		9.14		0.45		0.28			0.73			(0.23	)		(0.11	)		(0.34	)		9.53		8.18%			198		0.08%			0.04%			4.89%
9/30/15i		9.79		0.02		(0.39	)		(0.37	)		-			(0.28	)		(0.28	)		9.14		(3.85%	)b		642		0.07%	a		0.04%	a		0.30%	a
12/31/14h		10.76		0.42		(0.12	)		0.30			(0.31	)		(0.96	)		(1.27	)		9.79		2.65%	b		725		0.06%	a		0.04%	a		5.19%	a
Class R5
9/30/19	$	10.57	$	0.28	$	0.06		$	0.34		$	(0.29	)	$	(0.68	)	$	(0.97	)	$	9.94		4.76%		$	9,972		0.20%			0.14%			2.88%
9/30/18		10.31		0.29		0.32			0.61			(0.33	)		(0.02	)		(0.35	)		10.57		6.01%			25,611		0.19%			0.15%			2.78%
9/30/17		9.53		0.15		0.84			0.99			(0.21	)		-			(0.21	)		10.31		10.62%			41,947		0.18%			0.16%			1.52%
9/30/16		9.13		0.20		0.53			0.73			(0.22	)		(0.11	)		(0.33	)		9.53		8.21%			39,100		0.18%			0.14%			2.16%
9/30/15i		9.79		0.01		(0.39	)		(0.38	)		-			(0.28	)		(0.28	)		9.13		(3.95%	)b		21,120		0.17%	a		0.14%	a		0.19%	a
12/31/14		10.61		0.26		0.18			0.44			(0.30	)		(0.96	)		(1.26	)		9.79		4.01%			24,005		0.16%			0.15%			2.38%
Service Class
9/30/19	$	10.62	$	0.23	$	0.10		$	0.33		$	(0.29	)	$	(0.68	)	$	(0.97	)	$	9.98		4.53%		$	11,427		0.30%			0.24%			2.35%
9/30/18		10.35		0.10		0.51			0.61			(0.32	)		(0.02	)		(0.34	)		10.62		5.97%			11,330		0.29%			0.25%			0.96%
9/30/17		9.55		0.17		0.82			0.99			(0.19	)		-			(0.19	)		10.35		10.53%			4,509		0.28%			0.26%			1.77%
9/30/16		9.14		0.25		0.46			0.71			(0.19	)		(0.11	)		(0.30	)		9.55		7.98%			5,623		0.28%			0.24%			2.76%
9/30/15i		9.81		0.01		(0.40	)		(0.39	)		-			(0.28	)		(0.28	)		9.14		(4.05%	)b		36,457		0.27%	a		0.24%	a		0.09%	a
12/31/14		10.62		0.24		0.19			0.43			(0.28	)		(0.96	)		(1.24	)		9.81		4.01%			49,324		0.25%			0.23%			2.24%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		43	%		52	%		30	%		62	%		17	%		28	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

68

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	10.59	$	0.23		$	0.09		$	0.32		$	(0.27	)	$	(0.68	)	$	(0.95	)	$	9.96		4.50%		$	70,893		0.40%			0.34%			2.40%
9/30/18		10.32		0.23			0.37			0.60			(0.31	)		(0.02	)		(0.33	)		10.59		5.86%			87,160		0.39%			0.35%			2.18%
9/30/17		9.54		0.12			0.85			0.97			(0.19	)		-			(0.19	)		10.32		10.36%			98,641		0.38%			0.36%			1.26%
9/30/16		9.14		0.20			0.51			0.71			(0.20	)		(0.11	)		(0.31	)		9.54		7.92%			105,186		0.38%			0.34%			2.22%
9/30/15i		9.82		0.00	d		(0.40	)		(0.40	)		-			(0.28	)		(0.28	)		9.14		(4.15%	)b		128,868		0.37%	a		0.34%	a		0.01%	a
12/31/14		10.63		0.20			0.22			0.42			(0.27	)		(0.96	)		(1.23	)		9.82		3.89%			138,574		0.34%			0.33%			1.83%
Class A
9/30/19	$	10.61	$	0.21		$	0.09		$	0.30		$	(0.24	)	$	(0.68	)	$	(0.92	)	$	9.99		4.24%		$	81,959		0.65%			0.59%			2.13%
9/30/18		10.34		0.20			0.37			0.57			(0.28	)		(0.02	)		(0.30	)		10.61		5.56%			91,459		0.64%			0.60%			1.90%
9/30/17		9.54		0.11			0.85			0.96			(0.16	)		-			(0.16	)		10.34		10.22%			115,392		0.63%			0.61%			1.18%
9/30/16		9.14		0.17			0.51			0.68			(0.17	)		(0.11	)		(0.28	)		9.54		7.59%			138,758		0.63%			0.59%			1.85%
9/30/15i		9.84		(0.02	)		(0.40	)		(0.42	)		-			(0.28	)		(0.28	)		9.14		(4.34%	)b		165,092		0.62%	a		0.59%	a		(0.26%	)a
12/31/14		10.65		0.17			0.22			0.39			(0.24	)		(0.96	)		(1.20	)		9.84		3.62%			199,865		0.59%			0.58%			1.53%
Class R4
9/30/19	$	10.53	$	0.19		$	0.10		$	0.29		$	(0.26	)	$	(0.68	)	$	(0.94	)	$	9.88		4.19%		$	40,232		0.55%			0.49%			2.02%
9/30/18		10.26		0.18			0.41			0.59			(0.30	)		(0.02	)		(0.32	)		10.53		5.80%			34,455		0.54%			0.50%			1.69%
9/30/17		9.50		0.10			0.85			0.95			(0.19	)		-			(0.19	)		10.26		10.25%			28,109		0.53%			0.51%			1.06%
9/30/16		9.13		0.03			0.66			0.69			(0.21	)		(0.11	)		(0.32	)		9.50		7.72%			21,403		0.53%			0.49%			0.31%
9/30/15i		9.82		0.01			(0.42	)		(0.41	)		-			(0.28	)		(0.28	)		9.13		(4.25%	)b		1,693		0.52%	a		0.49%	a		0.17%	a
12/31/14h		10.79		0.20			0.06			0.26			(0.27	)		(0.96	)		(1.23	)		9.82		2.29%	b		102		0.51%	a		0.49%	a		2.43%	a
Class R3
9/30/19	$	10.50	$	0.18		$	0.09		$	0.27		$	(0.23	)	$	(0.68	)	$	(0.91	)	$	9.86		3.95%		$	9,050		0.80%			0.74%			1.90%
9/30/18		10.24		0.18			0.37			0.55			(0.27	)		(0.02	)		(0.29	)		10.50		5.46%			11,230		0.79%			0.75%			1.73%
9/30/17		9.47		0.07			0.86			0.93			(0.16	)		-			(0.16	)		10.24		10.04%			12,819		0.78%			0.76%			0.72%
9/30/16		9.12		0.13			0.53			0.66			(0.20	)		(0.11	)		(0.31	)		9.47		7.45%			8,773		0.78%			0.74%			1.38%
9/30/15i		9.82		0.01			(0.43	)		(0.42	)		-			(0.28	)		(0.28	)		9.12		(4.35%	)b		5,138		0.77%	a		0.74%	a		0.11%	a
12/31/14h		10.79		0.18			0.06			0.24			(0.25	)		(0.96	)		(1.21	)		9.82		2.11%	b		102		0.76%	a		0.74%	a		2.18%	a

69

MassMutual RetireSMART Moderate Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	11.21	$	0.21	$	(0.12	)aa	$	0.09		$	(0.32	)	$	(1.08	)	$	(1.40	)	$	9.90		3.17%		$	15,679		0.11%			0.04%			2.19%
9/30/18		10.77		0.20		0.75			0.95			(0.40	)		(0.11	)		(0.51	)		11.21		9.07%			8,011		0.10%			0.06%			1.84%
9/30/17		9.55		0.02		1.41			1.43			(0.21	)		-			(0.21	)		10.77		15.26%			10,236		0.10%			0.09%			0.24%
9/30/16		9.10		0.36		0.47			0.83			(0.20	)		(0.18	)		(0.38	)		9.55		9.39%			110		0.09%			0.04%			3.85%
9/30/15i		10.02		0.03		(0.57	)		(0.54	)		-			(0.38	)		(0.38	)		9.10		(5.46%	)b		300		0.08%	a		0.04%	a		0.42%	a
12/31/14h		11.45		0.34		(0.05	)		0.29			(0.31	)		(1.41	)		(1.72	)		10.02		2.39%	b		318		0.06%	a		0.04%	a		4.02%	a
Class R5
9/30/19	$	11.21	$	0.22	$	(0.14	)aa	$	0.08		$	(0.30	)	$	(1.08	)	$	(1.38	)	$	9.91		3.12%		$	12,028		0.21%			0.14%			2.21%
9/30/18		10.77		0.29		0.65			0.94			(0.39	)		(0.11	)		(0.50	)		11.21		8.96%			13,583		0.20%			0.16%			2.60%
9/30/17		9.55		0.12		1.30			1.42			(0.20	)		-			(0.20	)		10.77		15.16%			21,697		0.20%			0.17%			1.24%
9/30/16		9.09		0.19		0.64			0.83			(0.19	)		(0.18	)		(0.37	)		9.55		9.43%			22,452		0.19%			0.14%			2.09%
9/30/15i		10.02		0.02		(0.57	)		(0.55	)		-			(0.38	)		(0.38	)		9.09		(5.57%	)b		8,746		0.18%	a		0.14%	a		0.31%	a
12/31/14		11.31		0.22		0.20			0.42			(0.30	)		(1.41	)		(1.71	)		10.02		3.57%			9,970		0.17%			0.15%			1.96%
Service Class
9/30/19	$	11.24	$	0.20	$	(0.14	)aa	$	0.06		$	(0.29	)	$	(1.08	)	$	(1.37	)	$	9.93		2.90%		$	9,014		0.31%			0.24%			2.03%
9/30/18		10.80		0.11		0.82			0.93			(0.38	)		(0.11	)		(0.49	)		11.24		8.81%			8,522		0.30%			0.25%			1.01%
9/30/17		9.55		0.13		1.29			1.42			(0.17	)		-			(0.17	)		10.80		15.13%			4,209		0.30%			0.27%			1.29%
9/30/16		9.09		0.21		0.60			0.81			(0.17	)		(0.18	)		(0.35	)		9.55		9.18%			7,021		0.29%			0.24%			2.25%
9/30/15i		10.02		0.02		(0.57	)		(0.55	)		-			(0.38	)		(0.38	)		9.09		(5.56%	)b		25,552		0.28%	a		0.24%	a		0.21%	a
12/31/14		11.31		0.25		0.16			0.41			(0.29	)		(1.41	)		(1.70	)		10.02		3.49%			28,779		0.26%			0.24%			2.19%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		44	%		55	%		33	%		62	%		20	%		28	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

70

				Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	11.22	$	0.21		$	(0.15	)aa	$	0.06		$	(0.28	)	$	(1.08	)	$	(1.36	)	$	9.92		2.88%		$	81,829		0.41%			0.34%			2.11%
9/30/18		10.79		0.19			0.72			0.91			(0.37	)		(0.11	)		(0.48	)		11.22		8.62%			93,858		0.40%			0.36%			1.75%
9/30/17		9.55		0.10			1.32			1.42			(0.18	)		-			(0.18	)		10.79		15.08%			96,560		0.40%			0.37%			1.00%
9/30/16		9.09		0.18			0.62			0.80			(0.16	)		(0.18	)		(0.34	)		9.55		9.14%			98,971		0.39%			0.34%			2.02%
9/30/15i		10.04		0.01			(0.58	)		(0.57	)		-			(0.38	)		(0.38	)		9.09		(5.76%	)b		127,157		0.38%	a		0.34%	a		0.12%	a
12/31/14		11.32		0.20			0.21			0.41			(0.28	)		(1.41	)		(1.69	)		10.04		3.46%			135,163		0.35%			0.33%			1.74%
Class A
9/30/19	$	11.24	$	0.19		$	(0.14	)aa	$	0.05		$	(0.25	)	$	(1.08	)	$	(1.33	)	$	9.96		2.67%		$	65,910		0.66%			0.59%			1.90%
9/30/18		10.80		0.17			0.72			0.89			(0.34	)		(0.11	)		(0.45	)		11.24		8.42%			77,780		0.65%			0.61%			1.54%
9/30/17		9.56		0.09			1.30			1.39			(0.15	)		-			(0.15	)		10.80		14.73%			92,645		0.65%			0.62%			0.86%
9/30/16		9.10		0.15			0.62			0.77			(0.13	)		(0.18	)		(0.31	)		9.56		8.77%			104,156		0.64%			0.59%			1.61%
9/30/15i		10.06		(0.01	)		(0.57	)		(0.58	)		-			(0.38	)		(0.38	)		9.10		(5.84%	)b		124,585		0.63%	a		0.59%	a		(0.15%	)a
12/31/14		11.34		0.15			0.23			0.38			(0.25	)		(1.41	)		(1.66	)		10.06		3.16%			157,201		0.60%			0.58%			1.33%
Class R4
9/30/19	$	11.14	$	0.18		$	(0.13	)aa	$	0.05		$	(0.27	)	$	(1.08	)	$	(1.35	)	$	9.84		2.75%		$	27,212		0.56%			0.49%			1.87%
9/30/18		10.72		0.16			0.73			0.89			(0.36	)		(0.11	)		(0.47	)		11.14		8.47%			24,118		0.55%			0.51%			1.46%
9/30/17		9.51		0.08			1.31			1.39			(0.18	)		-			(0.18	)		10.72		14.90%			22,154		0.55%			0.52%			0.79%
9/30/16		9.08		0.03			0.76			0.79			(0.18	)		(0.18	)		(0.36	)		9.51		9.00%			16,185		0.54%			0.49%			0.36%
9/30/15i		10.04		0.07			(0.65	)		(0.58	)		-			(0.38	)		(0.38	)		9.08		(5.86%	)b		1,481		0.53%	a		0.49%	a		0.96%	a
12/31/14h		11.47		0.19			0.06			0.25			(0.27	)		(1.41	)		(1.68	)		10.04		2.05%	b		102		0.51%	a		0.49%	a		2.20%	a
Class R3
9/30/19	$	11.10	$	0.16		$	(0.13	)aa	$	0.03		$	(0.25	)	$	(1.08	)	$	(1.33	)	$	9.80		2.45%		$	16,144		0.81%			0.74%			1.66%
9/30/18		10.69		0.13			0.73			0.86			(0.34	)		(0.11	)		(0.45	)		11.10		8.21%			16,492		0.80%			0.76%			1.16%
9/30/17		9.49		0.05			1.31			1.36			(0.16	)		-			(0.16	)		10.69		14.54%			13,615		0.80%			0.77%			0.51%
9/30/16		9.07		0.10			0.67			0.77			(0.17	)		(0.18	)		(0.35	)		9.49		8.73%			7,529		0.79%			0.74%			1.13%
9/30/15i		10.04		0.03			(0.62	)		(0.59	)		-			(0.38	)		(0.38	)		9.07		(5.96%	)b		3,758		0.78%	a		0.74%	a		0.40%	a
12/31/14h		11.47		0.17			0.06			0.23			(0.25	)		(1.41	)		(1.66	)		10.04		1.86%	b		102		0.76%	a		0.74%	a		1.98%	a

71

MassMutual RetireSMART Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	12.25	$	0.21	$	(0.27	)	$	(0.06	)	$	(0.34	)	$	(1.26	)	$	(1.60	)	$	10.59		2.28%		$	23,314		0.20%			0.07%			2.06%
9/30/18		11.62		0.16		1.01			1.17			(0.43	)		(0.11	)		(0.54	)		12.25		10.36%			17,151		0.21%			0.08%			1.34%
9/30/17		10.08		0.01		1.71			1.72			(0.18	)		-			(0.18	)		11.62		17.35%			7,411		0.22%			0.12%			0.06%
9/30/16		9.63		0.37		0.55			0.92			(0.18	)		(0.29	)		(0.47	)		10.08		9.87%			129		0.24%			0.07%			3.78%
9/30/15i		10.79		0.03		(0.69	)		(0.66	)		-			(0.50	)		(0.50	)		9.63		(6.28%	)b		398		0.22%	a		0.07%	a		0.31%	a
12/31/14h		12.25		0.31		0.03			0.34			(0.30	)		(1.50	)		(1.80	)		10.79		2.55%	b		309		0.16%	a		0.07%	a		3.45%	a
Class R5
9/30/19	$	12.25	$	0.19	$	(0.25	)	$	(0.06	)	$	(0.33	)	$	(1.26	)	$	(1.59	)	$	10.60		2.21%		$	5,024		0.30%			0.17%			1.83%
9/30/18		11.62		0.23		0.93			1.16			(0.42	)		(0.11	)		(0.53	)		12.25		10.26%			5,780		0.31%			0.19%			1.96%
9/30/17		10.08		0.09		1.62			1.71			(0.17	)		-			(0.17	)		11.62		17.23%			6,432		0.33%			0.21%			0.83%
9/30/16		9.63		0.18		0.73			0.91			(0.17	)		(0.29	)		(0.46	)		10.08		9.76%			4,662		0.34%			0.17%			1.83%
9/30/15i		10.80		0.01		(0.68	)		(0.67	)		-			(0.50	)		(0.50	)		9.63		(6.37%	)b		3,534		0.32%	a		0.17%	a		0.14%	a
12/31/14		12.12		0.20		0.26			0.46			(0.28	)		(1.50	)		(1.78	)		10.80		3.62%			5,507		0.25%			0.17%			1.60%
Service Class
9/30/19	$	12.27	$	0.19	$	(0.27	)	$	(0.08	)	$	(0.32	)	$	(1.26	)	$	(1.58	)	$	10.61		2.01%		$	3,115		0.40%			0.27%			1.84%
9/30/18		11.63		0.11		1.05			1.16			(0.41	)		(0.11	)		(0.52	)		12.27		10.22%			2,834		0.41%			0.28%			0.94%
9/30/17		10.09		0.10		1.60			1.70			(0.16	)		-			(0.16	)		11.63		17.09%			1,604		0.43%			0.30%			0.90%
9/30/16		9.62		0.20		0.71			0.91			(0.15	)		(0.29	)		(0.44	)		10.09		9.68%			1,657		0.44%			0.27%			2.11%
9/30/15i		10.80		0.01		(0.69	)		(0.68	)		-			(0.50	)		(0.50	)		9.62		(6.46%	)b		4,389		0.42%	a		0.27%	a		0.13%	a
12/31/14		12.12		0.23		0.23			0.46			(0.28	)		(1.50	)		(1.78	)		10.80		3.57%			5,925		0.34%			0.26%			1.91%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		38	%		64	%		39	%		70	%		26	%		32	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

72

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	12.25	$	0.20		$	(0.30	)	$	(0.10	)	$	(0.30	)	$	(1.26	)	$	(1.56	)	$	10.59		1.88%		$	31,091		0.50%			0.37%			1.91%
9/30/18		11.62		0.18			0.96			1.14			(0.40	)		(0.11	)		(0.51	)		12.25		10.05%			36,154		0.51%			0.39%			1.50%
9/30/17		10.07		0.07			1.63			1.70			(0.15	)		-			(0.15	)		11.62		17.08%			32,761		0.53%			0.40%			0.66%
9/30/16		9.62		0.16			0.73			0.89			(0.15	)		(0.29	)		(0.44	)		10.07		9.49%			30,872		0.54%			0.37%			1.64%
9/30/15i		10.81		0.00	d		(0.69	)		(0.69	)		-			(0.50	)		(0.50	)		9.62		(6.55%	)b		39,361		0.52%	a		0.37%	a		0.04%	a
12/31/14		12.13		0.18			0.26			0.44			(0.26	)		(1.50	)		(1.76	)		10.81		3.45%			40,211		0.43%			0.36%			1.48%
Class A
9/30/19	$	12.22	$	0.18		$	(0.29	)	$	(0.11	)	$	(0.27	)	$	(1.26	)	$	(1.53	)	$	10.58		1.66%		$	30,795		0.75%			0.62%			1.69%
9/30/18		11.59		0.17			0.94			1.11			(0.37	)		(0.11	)		(0.48	)		12.22		9.77%			34,466		0.75%			0.64%			1.46%
9/30/17		10.05		0.06			1.60			1.66			(0.12	)		-			(0.12	)		11.59		16.71%			44,394		0.78%			0.65%			0.56%
9/30/16		9.59		0.12			0.75			0.87			(0.12	)		(0.29	)		(0.41	)		10.05		9.33%			46,706		0.79%			0.62%			1.25%
9/30/15i		10.80		(0.02	)		(0.69	)		(0.71	)		-			(0.50	)		(0.50	)		9.59		(6.74%	)b		50,015		0.77%	a		0.62%	a		(0.23%	)a
12/31/14		12.12		0.14			0.27			0.41			(0.23	)		(1.50	)		(1.73	)		10.80		3.20%			60,183		0.68%			0.61%			1.18%
Class R4
9/30/19	$	12.12	$	0.18		$	(0.29	)	$	(0.11	)	$	(0.29	)	$	(1.26	)	$	(1.55	)	$	10.46		1.73%		$	17,701		0.65%			0.52%			1.71%
9/30/18		11.51		0.15			0.96			1.11			(0.39	)		(0.11	)		(0.50	)		12.12		9.86%			16,469		0.66%			0.54%			1.26%
9/30/17		10.00		0.04			1.63			1.67			(0.16	)		-			(0.16	)		11.51		16.89%			15,136		0.68%			0.56%			0.37%
9/30/16		9.58		0.09			0.79			0.88			(0.17	)		(0.29	)		(0.46	)		10.00		9.39%			6,786		0.69%			0.52%			0.98%
9/30/15i		10.78		0.05			(0.75	)		(0.70	)		-			(0.50	)		(0.50	)		9.58		(6.66%	)b		2,155		0.67%	a		0.52%	a		0.64%	a
12/31/14h		12.24		0.17			0.13			0.30			(0.26	)		(1.50	)		(1.76	)		10.78		2.22%	b		102		0.61%	a		0.52%	a		1.82%	a
Class R3
9/30/19	$	12.08	$	0.14		$	(0.26	)	$	(0.12	)	$	(0.26	)	$	(1.26	)	$	(1.52	)	$	10.44		1.58%		$	9,013		0.90%			0.77%			1.36%
9/30/18		11.47		0.12			0.96			1.08			(0.36	)		(0.11	)		(0.47	)		12.08		9.63%			8,381		0.91%			0.79%			1.04%
9/30/17		9.97		0.02			1.61			1.63			(0.13	)		-			(0.13	)		11.47		16.53%			7,927		0.93%			0.81%			0.19%
9/30/16		9.57		0.04			0.80			0.84			(0.15	)		(0.29	)		(0.44	)		9.97		9.06%			4,573		0.94%			0.77%			0.44%
9/30/15i		10.78		0.03			(0.74	)		(0.71	)		-			(0.50	)		(0.50	)		9.57		(6.75%	)b		1,531		0.92%	a		0.77%	a		0.43%	a
12/31/14h		12.24		0.14			0.13			0.27			(0.23	)		(1.50	)		(1.73	)		10.78		2.03%	b		102		0.86%	a		0.77%	a		1.57%	a

73

MassMutual RetireSMART by JPMorgan In Retirement Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from  investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	11.69	$	0.12		$	0.52		$	0.64		$	(0.40	)	$	(0.15	)	$	(0.55	)	$	11.78		6.08	%	$	16,125		0.22	%		0.06	%		1.08	%
9/30/18		11.55		0.32			0.05			0.37			(0.23	)		-			(0.23	)		11.69		3.22	%		2,436		0.30	%		0.07	%		2.77	%
9/30/17		11.13		0.22			0.47			0.69			(0.27	)		-			(0.27	)		11.55		6.43	%		2,603		0.26	%		0.08	%		1.95	%
9/30/16		10.40		0.17			0.56			0.73			-			-			-			11.13		7.02	%		2,467		0.27	%		0.06	%		1.53	%
9/30/15i		11.02		0.01			(0.30	)		(0.29	)		(0.33	)		-			(0.33	)		10.40		(2.68	%)b		598		0.26	%a		0.06	%a		0.07	%a
12/31/14h		11.03		0.48			(0.21	)		0.27			(0.28	)		-			(0.28	)		11.02		2.45	%b		4,609		0.19	%a		0.06	%a		5.71	%a
Class R5
9/30/19	$	11.69	$	0.12		$	0.51		$	0.63		$	(0.37	)	$	(0.15	)	$	(0.52	)	$	11.80		6.02	%	$	8,776		0.32	%		0.16	%		1.01	%
9/30/18		11.56		0.31			0.04			0.35			(0.22	)		-			(0.22	)		11.69		3.02	%		1,270		0.39	%		0.17	%		2.66	%
9/30/17		11.14		0.17			0.51			0.68			(0.26	)		-			(0.26	)		11.56		6.32	%		4,574		0.37	%		0.18	%		1.49	%
9/30/16		10.42		0.08			0.64			0.72			-			-			-			11.14		6.91	%		3,494		0.37	%		0.16	%		0.77	%
9/30/15i		11.00		0.01			(0.30	)		(0.29	)		(0.29	)		-			(0.29	)		10.42		(2.68	%)b		757		0.36	%a		0.16	%a		0.09	%a
12/31/14h		11.03		0.57			(0.32	)		0.25			(0.28	)		-			(0.28	)		11.00		2.27	%b		953		0.29	%a		0.16	%a		6.82	%a
Service Class
9/30/19	$	11.71	$	0.28		$	0.34		$	0.62		$	(0.37	)	$	(0.15	)	$	(0.52	)	$	11.81		5.89	%	$	15,324		0.42	%		0.26	%		2.44	%
9/30/18		11.57		0.28			0.06			0.34			(0.20	)		-			(0.20	)		11.71		3.00	%		12,630		0.50	%		0.27	%		2.40	%
9/30/17		11.15		0.19			0.48			0.67			(0.25	)		-			(0.25	)		11.57		6.20	%		14,194		0.47	%		0.28	%		1.67	%
9/30/16		10.44		0.27			0.44			0.71			-			-			-			11.15		6.80	%		15,440		0.47	%		0.26	%		2.51	%
9/30/15i		11.01		0.00	d		(0.29	)		(0.29	)		(0.28	)		-			(0.28	)		10.44		(2.70	%)b		19,899		0.46	%a		0.26	%a		0.00	%a,e
12/31/14		10.88		0.20			0.20			0.40			(0.27	)		-			(0.27	)		11.01		3.63	%		22,029		0.35	%		0.26	%		1.80	%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		39	%		80	%		47	%		75	%		37	%		44	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

74

			Income (loss) from  investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	11.71	$	0.23		$	0.38		$	0.61		$	(0.36	)	$	(0.15	)	$	(0.51	)	$	11.81		5.79	%	$	39,483		0.52	%		0.36	%		1.97	%
9/30/18		11.56		0.27			0.07			0.34			(0.19	)		-			(0.19	)		11.71		2.97	%		22,101		0.60	%		0.37	%		2.35	%
9/30/17		11.14		0.18			0.48			0.66			(0.24	)		-			(0.24	)		11.56		6.08	%		23,318		0.57	%		0.38	%		1.58	%
9/30/16		10.44		0.22			0.48			0.70			-			-			-			11.14		6.70	%		28,573		0.57	%		0.36	%		2.07	%
9/30/15i		11.02		(0.01	)		(0.30	)		(0.31	)		(0.27	)		-			(0.27	)		10.44		(2.86	%)b		30,387		0.56	%a		0.36	%a		(0.09	%)a
12/31/14		10.89		0.24			0.16			0.40			(0.27	)		-			(0.27	)		11.02		3.68	%		33,673		0.46	%		0.35	%		2.13	%
Class A
9/30/19	$	11.61	$	0.17		$	0.40		$	0.57		$	(0.35	)	$	(0.15	)	$	(0.50	)	$	11.68		5.47	%	$	63,336		0.77	%		0.61	%		1.53	%
9/30/18		11.47		0.26			0.04			0.30			(0.16	)		-			(0.16	)		11.61		2.67	%		20,199		0.84	%		0.62	%		2.29	%
9/30/17		11.05		0.14			0.49			0.63			(0.21	)		-			(0.21	)		11.47		5.88	%		20,529		0.82	%		0.63	%		1.27	%
9/30/16		10.39		0.19			0.47			0.66			-			-			-			11.05		6.35	%		20,906		0.82	%		0.61	%		1.74	%
9/30/15i		10.95		(0.03	)		(0.29	)		(0.32	)		(0.24	)		-			(0.24	)		10.39		(2.96	%)b		20,228		0.81	%a		0.61	%a		(0.34	%)a
12/31/14		10.81		0.19			0.17			0.36			(0.22	)		-			(0.22	)		10.95		3.34	%		20,689		0.72	%		0.63	%		1.70	%
Class R4
9/30/19	$	11.53	$	0.06		$	0.52		$	0.58		$	(0.34	)	$	(0.15	)	$	(0.49	)	$	11.62		5.55	%	$	24,032		0.67	%		0.51	%		0.52	%
9/30/18		11.39		0.25			0.06			0.31			(0.17	)		-			(0.17	)		11.53		2.75	%		4,368		0.75	%		0.52	%		2.22	%
9/30/17		10.98		0.18			0.46			0.64			(0.23	)		-			(0.23	)		11.39		5.99	%		4,906		0.71	%		0.53	%		1.68	%
9/30/16		10.31		0.20			0.47			0.67			-			-			-			10.98		6.50	%		6,233		0.72	%		0.51	%		1.91	%
9/30/15i		10.90		(0.02	)		(0.29	)		(0.31	)		(0.28	)		-			(0.28	)		10.31		(2.88	%)b		4,325		0.71	%a		0.51	%a		(0.19	%)a
12/31/14h		10.96		0.30			(0.08	)		0.22			(0.28	)		-			(0.28	)		10.90		2.01	%b		1,753		0.64	%a		0.51	%a		3.61	%a
Class R3
9/30/19	$	11.43	$	0.10		$	0.45		$	0.55		$	(0.31	)	$	(0.15	)	$	(0.46	)	$	11.52		5.35	%	$	37,510		0.92	%		0.76	%		0.88	%
9/30/18		11.30		0.22			0.06			0.28			(0.15	)		-			(0.15	)		11.43		2.45	%		13,161		1.00	%		0.77	%		1.92	%
9/30/17		10.90		0.13			0.48			0.61			(0.21	)		-			(0.21	)		11.30		5.73	%		13,260		0.97	%		0.78	%		1.15	%
9/30/16		10.26		0.16			0.48			0.64			-			-			-			10.90		6.24	%		13,673		0.97	%		0.76	%		1.50	%
9/30/15i		10.86		(0.04	)		(0.29	)		(0.33	)		(0.27	)		-			(0.27	)		10.26		(3.07	%)b		8,315		0.96	%a		0.76	%a		(0.47	%)a
12/31/14		10.79		0.50			(0.15	)		0.35			(0.28	)		-			(0.28	)		10.86		3.21	%		5,099		0.89	%		0.76	%		4.60	%

75

MassMutual RetireSMART by JPMorgan 2020 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	13.32	$	0.36	$	0.20		$	0.56		$	(0.39	)	$	(0.96	)	$	-		$	(1.35	)	$	12.53		5.63	%	$	35,602		0.08	%		0.04	%		2.95	%
9/30/18		13.01		0.32		0.42			0.74			(0.42	)		(0.01	)		-			(0.43	)		13.32		5.77	%		19,424		0.06	%		0.05	%		2.41	%
9/30/17		12.01		0.16		1.11			1.27			(0.24	)		-			(0.03	)		(0.27	)		13.01		10.85	%		20,595		0.06	%		0.05	%		1.30	%
9/30/16		11.48		0.23		0.73			0.96			(0.26	)		(0.17	)		-			(0.43	)		12.01		8.58	%		11,261		0.05	%		0.04	%		2.02	%
9/30/15i		12.34		0.01		(0.54	)		(0.53	)		(0.33	)		-			-			(0.33	)		11.48		(4.32	%)b		8,593		0.05	%a		0.04	%a		0.09	%a
12/31/14h		12.33		0.53		(0.21	)		0.32			(0.31	)		-			-			(0.31	)		12.34		2.58	%b		46,447		0.05	%a		0.04	%a		5.68	%a
Class R5
9/30/19	$	13.30	$	0.30	$	0.25		$	0.55		$	(0.38	)	$	(0.96	)	$	-		$	(1.34	)	$	12.51		5.56	%	$	60,303		0.18	%		0.14	%		2.45	%
9/30/18		12.99		0.32		0.41			0.73			(0.41	)		(0.01	)		-			(0.42	)		13.30		5.69	%		13,848		0.16	%		0.15	%		2.48	%
9/30/17		12.00		0.15		1.10			1.25			(0.23	)		-			(0.03	)		(0.26	)		12.99		10.66	%		26,146		0.16	%		0.15	%		1.22	%
9/30/16		11.47		0.13		0.82			0.95			(0.25	)		(0.17	)		-			(0.42	)		12.00		8.49	%		18,944		0.15	%		0.14	%		1.15	%
9/30/15i		12.33		0.03		(0.56	)		(0.53	)		(0.33	)		-			-			(0.33	)		11.47		(4.35	%)b		7,984		0.15	%a		0.14	%a		0.32	%a
12/31/14h		12.33		0.97		(0.66	)		0.31			(0.31	)		-			-			(0.31	)		12.33		2.49	%b		4,649		0.15	%a		0.14	%a		10.47	%a
Service Class
9/30/19	$	13.34	$	0.40	$	0.14		$	0.54		$	(0.34	)	$	(0.96	)	$	-		$	(1.30	)	$	12.58		5.42	%	$	31,848		0.28	%		0.24	%		3.22	%
9/30/18		13.03		0.28		0.43			0.71			(0.39	)		(0.01	)		-			(0.40	)		13.34		5.50	%		83,925		0.26	%		0.25	%		2.14	%
9/30/17		12.02		0.18		1.08			1.26			(0.22	)		-			(0.03	)		(0.25	)		13.03		10.66	%		117,952		0.26	%		0.25	%		1.44	%
9/30/16		11.49		0.25		0.68			0.93			(0.23	)		(0.17	)		-			(0.40	)		12.02		8.33	%		156,529		0.25	%		0.24	%		2.19	%
9/30/15i		12.34		0.01		(0.56	)		(0.55	)		(0.30	)		-			-			(0.30	)		11.49		(4.48	%)b		168,632		0.25	%a		0.24	%a		0.12	%a
12/31/14		12.16		0.20		0.27			0.47			(0.29	)		-			-			(0.29	)		12.34		3.84	%		189,123		0.24	%		0.24	%k		1.61	%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		46	%		62	%		33	%		69	%		31	%		33	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

k Amount waived had no impact on the ratio of expenses to average daily net assets.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

76

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	13.30	$	0.34		$	0.19		$	0.53		$	(0.34	)	$	(0.96	)	$	-		$	(1.30	)	$	12.53		5.38	%	$	74,837		0.38	%		0.34	%		2.79	%
9/30/18		12.99		0.29			0.40			0.69			(0.37	)		(0.01	)		-			(0.38	)		13.30		5.43	%		86,230		0.36	%		0.35	%		2.24	%
9/30/17		11.99		0.16			1.07			1.23			(0.20	)		-			(0.03	)		(0.23	)		12.99		10.50	%		103,799		0.36	%		0.35	%		1.28	%
9/30/16		11.47		0.22			0.69			0.91			(0.22	)		(0.17	)		-			(0.39	)		11.99		8.15	%		122,809		0.35	%		0.34	%		1.95	%
9/30/15i		12.32		0.00	d		(0.55	)		(0.55	)		(0.30	)		-			-			(0.30	)		11.47		(4.51	%)b		131,451		0.35	%a		0.34	%a		0.03	%a
12/31/14		12.17		0.27			0.18			0.45			(0.30	)		-			-			(0.30	)		12.32		3.69	%		142,437		0.34	%		0.34	%k		2.19	%
Class A
9/30/19	$	13.22	$	0.27		$	0.22		$	0.49		$	(0.31	)	$	(0.96	)	$	-		$	(1.27	)	$	12.44		5.05	%	$	73,800		0.63	%		0.59	%		2.19	%
9/30/18		12.91		0.23			0.43			0.66			(0.34	)		(0.01	)		-			(0.35	)		13.22		5.15	%		76,268		0.61	%		0.60	%		1.72	%
9/30/17		11.91		0.14			1.06			1.20			(0.18	)		-			(0.02	)		(0.20	)		12.91		10.27	%		67,000		0.61	%		0.60	%		1.17	%
9/30/16		11.39		0.20			0.68			0.88			(0.19	)		(0.17	)		-			(0.36	)		11.91		7.90	%		88,095		0.60	%		0.59	%		1.72	%
9/30/15i		12.22		(0.02	)		(0.54	)		(0.56	)		(0.27	)		-			-			(0.27	)		11.39		(4.64	%)b		95,333		0.60	%a		0.59	%a		(0.23	%)a
12/31/14		12.05		0.17			0.24			0.41			(0.24	)		-			-			(0.24	)		12.22		3.41	%		87,478		0.61	%		0.61	%k		1.37	%
Class R4
9/30/19	$	13.04	$	0.31		$	0.19		$	0.50		$	(0.32	)	$	(0.96	)	$	-		$	(1.28	)	$	12.26		5.21	%	$	50,600		0.53	%		0.49	%		2.60	%
9/30/18		12.76		0.24			0.41			0.65			(0.36	)		(0.01	)		-			(0.37	)		13.04		5.18	%		57,866		0.51	%		0.50	%		1.90	%
9/30/17		11.78		0.13			1.07			1.20			(0.20	)		-			(0.02	)		(0.22	)		12.76		10.41	%		60,476		0.51	%		0.50	%		1.07	%
9/30/16		11.30		0.19			0.68			0.87			(0.22	)		(0.17	)		-			(0.39	)		11.78		7.96	%		58,346		0.50	%		0.49	%		1.65	%
9/30/15i		12.16		(0.01	)		(0.53	)		(0.54	)		(0.32	)		-			-			(0.32	)		11.30		(4.53	%)b		28,251		0.50	%a		0.49	%a		(0.07	%)a
12/31/14h		12.20		0.33			(0.06	)		0.27			(0.31	)		-			-			(0.31	)		12.16		2.19	%b		17,613		0.50	%a		0.49	%a		3.51	%a
Class R3
9/30/19	$	12.84	$	0.28		$	0.18		$	0.46		$	(0.29	)	$	(0.96	)	$	-		$	(1.25	)	$	12.05		4.93	%	$	66,638		0.78	%		0.74	%		2.37	%
9/30/18		12.56		0.22			0.40			0.62			(0.33	)		(0.01	)		-			(0.34	)		12.84		4.98	%		77,690		0.76	%		0.75	%		1.71	%
9/30/17		11.61		0.10			1.04			1.14			(0.17	)		-			(0.02	)		(0.19	)		12.56		10.01	%		84,681		0.76	%		0.75	%		0.84	%
9/30/16		11.12		0.15			0.70			0.85			(0.19	)		(0.17	)		-			(0.36	)		11.61		7.87	%		88,411		0.75	%		0.74	%		1.33	%
9/30/15i		11.99		(0.03	)		(0.54	)		(0.57	)		(0.30	)		-			-			(0.30	)		11.12		(4.75	%)b		61,026		0.75	%a		0.74	%a		(0.34	%)a
12/31/14		11.90		0.37			0.02			0.39			(0.30	)		-			-			(0.30	)		11.99		3.27	%		49,284		0.75	%		0.75	%k		3.07	%

77

MassMutual RetireSMART by JPMorgan 2025 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	13.49	$	0.33	$	0.15		$	0.48		$	(0.40	)	$	(1.07	)	$	(1.47	)	$	12.50		5.30%		$	40,806		0.10%			0.01%			2.74%
9/30/18		13.29		0.30		0.63			0.93			(0.49	)		(0.24	)		(0.73	)		13.49		7.15%			21,942		0.09%			0.03%			2.28%
9/30/17		12.07		0.15		1.39			1.54			(0.26	)		(0.06	)		(0.32	)		13.29		13.03%			23,079		0.10%			0.04%			1.22%
9/30/16		11.37		0.22		0.80			1.02			(0.24	)		(0.08	)		(0.32	)		12.07		9.13%			14,968		0.12%			0.01%			1.88%
9/30/15i		12.18		0.02		(0.61	)		(0.59	)		-			(0.22	)		(0.22	)		11.37		(4.86%	)b		7,212		0.16%	a		0.01%	a		0.22%	a
12/31/14h		12.52		0.53		(0.21	)		0.32			(0.34	)		(0.32	)		(0.66	)		12.18		2.46%	b		14,248		0.21%	a		0.01%	a		5.58%	a
Class R5
9/30/19	$	13.51	$	0.07	$	0.42		$	0.49		$	(0.31	)	$	(1.07	)	$	(1.38	)	$	12.62		5.26%		$	527		0.20%			0.11%			0.61%
9/30/18		13.29		0.23		0.70			0.93			(0.47	)		(0.24	)		(0.71	)		13.51		7.16%			44		0.19%			0.12%			1.72%
9/30/17		12.05		0.21		1.32			1.53			(0.23	)		(0.06	)		(0.29	)		13.29		12.97%			355		0.20%			0.14%			1.66%
9/30/16		11.35		0.38		0.63			1.01			(0.23	)		(0.08	)		(0.31	)		12.05		9.03%			638		0.22%			0.11%			3.36%
9/30/15i		12.17		0.03		(0.63	)		(0.60	)		-			(0.22	)		(0.22	)		11.35		(4.95%	)b		4,161		0.26%	a		0.11%	a		0.34%	a
12/31/14h		12.52		1.68		(1.37	)		0.31			(0.34	)		(0.32	)		(0.66	)		12.17		2.38%	b		4,359		0.31%	a		0.11%	a		17.75%	a
Service Class
9/30/19	$	13.49	$	0.39	$	0.08		$	0.47		$	(0.37	)	$	(1.07	)	$	(1.44	)	$	12.52		5.14%		$	9,278		0.30%			0.21%			3.23%
9/30/18		13.29		0.27		0.63			0.90			(0.46	)		(0.24	)		(0.70	)		13.49		6.94%			19,582		0.29%			0.23%			2.00%
9/30/17		12.06		0.16		1.36			1.52			(0.23	)		(0.06	)		(0.29	)		13.29		12.86%			21,854		0.30%			0.24%			1.31%
9/30/16		11.36		0.22		0.78			1.00			(0.22	)		(0.08	)		(0.30	)		12.06		8.94%			28,337		0.32%			0.21%			1.91%
9/30/15i		12.19		0.03		(0.64	)		(0.61	)		-			(0.22	)		(0.22	)		11.36		(5.03%	)b		20,250		0.36%	a		0.21%	a		0.29%	a
12/31/14		12.36		0.18		0.28			0.46			(0.31	)		(0.32	)		(0.63	)		12.19		3.64%			10,205		0.41%			0.21%			1.44%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		47	%		67	%		42	%		69	%		34	%		35	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

78

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	13.44	$	0.32		$	0.14		$	0.46		$	(0.36	)	$	(1.07	)	$	(1.43	)	$	12.47		5.07%		$	43,407		0.40%			0.31%			2.61%
9/30/18		13.25		0.26			0.62			0.88			(0.45	)		(0.24	)		(0.69	)		13.44		6.79%			47,433		0.39%			0.33%			1.94%
9/30/17		12.03		0.15			1.35			1.50			(0.22	)		(0.06	)		(0.28	)		13.25		12.78%			46,256		0.40%			0.34%			1.17%
9/30/16		11.33		0.21			0.78			0.99			(0.21	)		(0.08	)		(0.29	)		12.03		8.85%			41,735		0.42%			0.31%			1.85%
9/30/15i		12.17		0.01			(0.63	)		(0.62	)		-			(0.22	)		(0.22	)		11.33		(5.12%	)b		29,905		0.46%	a		0.31%	a		0.13%	a
12/31/14		12.36		0.38			0.06			0.44			(0.31	)		(0.32	)		(0.63	)		12.17		3.52%			26,413		0.51%			0.31%			2.98%
Class A
9/30/19	$	13.32	$	0.21		$	0.21		$	0.42		$	(0.33	)	$	(1.07	)	$	(1.40	)	$	12.34		4.74%		$	53,785		0.65%			0.56%			1.71%
9/30/18		13.13		0.20			0.63			0.83			(0.40	)		(0.24	)		(0.64	)		13.32		6.50%			40,219		0.64%			0.58%			1.54%
9/30/17		11.92		0.14			1.32			1.46			(0.19	)		(0.06	)		(0.25	)		13.13		12.53%			33,364		0.65%			0.59%			1.11%
9/30/16		11.23		0.18			0.76			0.94			(0.17	)		(0.08	)		(0.25	)		11.92		8.50%			37,413		0.67%			0.56%			1.59%
9/30/15i		12.08		(0.01	)		(0.62	)		(0.63	)		-			(0.22	)		(0.22	)		11.23		(5.24%	)b		33,389		0.71%	a		0.56%	a		(0.11%	)a
12/31/14		12.28		0.25			0.16			0.41			(0.29	)		(0.32	)		(0.61	)		12.08		3.24%			16,826		0.78%			0.57%			2.00%
Class R4
9/30/19	$	13.27	$	0.30		$	0.13		$	0.43		$	(0.34	)	$	(1.07	)	$	(1.41	)	$	12.29		4.88%		$	58,761		0.55%			0.46%			2.50%
9/30/18		13.09		0.22			0.63			0.85			(0.43	)		(0.24	)		(0.67	)		13.27		6.66%			66,329		0.54%			0.48%			1.70%
9/30/17		11.89		0.12			1.35			1.47			(0.21	)		(0.06	)		(0.27	)		13.09		12.59%			60,658		0.55%			0.49%			0.99%
9/30/16		11.22		0.20			0.76			0.96			(0.21	)		(0.08	)		(0.29	)		11.89		8.69%			49,731		0.57%			0.46%			1.76%
9/30/15i		12.07		(0.00	)d		(0.63	)		(0.63	)		-			(0.22	)		(0.22	)		11.22		(5.24%	)b		21,377		0.61%	a		0.46%	a		(0.01%	)a
12/31/14h		12.43		0.35			(0.08	)		0.27			(0.31	)		(0.32	)		(0.63	)		12.07		2.10%	b		16,483		0.66%	a		0.46%	a		3.67%	a
Class R3
9/30/19	$	13.23	$	0.26		$	0.14		$	0.40		$	(0.31	)	$	(1.07	)	$	(1.38	)	$	12.25		4.59%		$	78,974		0.80%			0.71%			2.18%
9/30/18		13.04		0.20			0.63			0.83			(0.40	)		(0.24	)		(0.64	)		13.23		6.47%			87,865		0.79%			0.73%			1.52%
9/30/17		11.85		0.09			1.34			1.43			(0.18	)		(0.06	)		(0.24	)		13.04		12.32%			88,305		0.80%			0.74%			0.76%
9/30/16		11.20		0.14			0.78			0.92			(0.19	)		(0.08	)		(0.27	)		11.85		8.30%			75,449		0.82%			0.71%			1.25%
9/30/15i		12.06		(0.01	)		(0.63	)		(0.64	)		-			(0.22	)		(0.22	)		11.20		(5.33%	)b		41,950		0.86%	a		0.71%	a		(0.14%	)a
12/31/14h		12.43		0.33			(0.09	)		0.24			(0.29	)		(0.32	)		(0.61	)		12.06		1.90%	b		19,049		0.91%	a		0.71%	a		3.51%	a

79

MassMutual RetireSMART by JPMorgan 2030 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	13.91	$	0.32	$	0.03		$	0.35		$	(0.40	)	$	(1.35	)	$	(1.75	)	$	12.51		4.77	%	$	42,529		0.06	%		0.04	%		2.64	%
9/30/18		13.38		0.29		0.78			1.07			(0.49	)		(0.05	)		(0.54	)		13.91		8.11	%		20,448		0.05	%		0.04	%		2.09	%
9/30/17		11.93		0.15		1.56			1.71			(0.26	)		-			(0.26	)		13.38		14.60	%		17,732		0.05	%		0.05	%k		1.23	%
9/30/16		11.44		0.22		0.81			1.03			(0.24	)		(0.30	)		(0.54	)		11.93		9.37	%		9,404		0.05	%		0.04	%		1.93	%
9/30/15i		12.51		0.01		(0.66	)		(0.65	)		-			(0.42	)		(0.42	)		11.44		(5.28	%)b		6,087		0.05	%a		0.04	%a		0.10	%a
12/31/14h		12.80		0.53		(0.22	)		0.31			(0.57	)		(0.03	)		(0.60	)		12.51		2.35	%b		53,370		0.05	%a		0.04	%a		5.46	%a
Class R5
9/30/19	$	13.87	$	0.25	$	0.08		$	0.33		$	(0.40	)	$	(1.35	)	$	(1.75	)	$	12.45		4.56	%	$	88,078		0.16	%		0.14	%		2.03	%
9/30/18		13.35		0.31		0.74			1.05			(0.48	)		(0.05	)		(0.53	)		13.87		7.96	%		11,359		0.15	%		0.14	%		2.26	%
9/30/17		11.91		0.14		1.55			1.69			(0.25	)		-			(0.25	)		13.35		14.44	%		35,101		0.15	%		0.15	%k		1.11	%
9/30/16		11.42		0.10		0.92			1.02			(0.23	)		(0.30	)		(0.53	)		11.91		9.29	%		23,121		0.15	%		0.14	%		0.93	%
9/30/15i		12.50		0.04		(0.70	)		(0.66	)		-			(0.42	)		(0.42	)		11.42		(5.36	%)b		7,510		0.15	%a		0.14	%a		0.46	%a
12/31/14h		12.80		1.10		(0.81	)		0.29			(0.56	)		(0.03	)		(0.59	)		12.50		2.26	%b		4,324		0.15	%a		0.14	%a		11.40	%a
Service Class
9/30/19	$	13.90	$	0.36	$	(0.03	)aa	$	0.33		$	(0.36	)	$	(1.35	)	$	(1.71	)	$	12.52		4.48	%	$	44,334		0.26	%		0.24	%		2.88	%
9/30/18		13.37		0.25		0.79			1.04			(0.46	)		(0.05	)		(0.51	)		13.90		7.88	%		115,828		0.25	%		0.24	%		1.87	%
9/30/17		11.92		0.16		1.52			1.68			(0.23	)		-			(0.23	)		13.37		14.36	%		144,766		0.25	%		0.25	%k		1.28	%
9/30/16		11.43		0.25		0.76			1.01			(0.22	)		(0.30	)		(0.52	)		11.92		9.14	%		159,589		0.25	%		0.24	%		2.18	%
9/30/15i		12.52		0.02		(0.69	)		(0.67	)		-			(0.42	)		(0.42	)		11.43		(5.44	%)b		173,384		0.25	%a		0.24	%a		0.23	%a
12/31/14		12.64		0.20		0.25			0.45			(0.54	)		(0.03	)		(0.57	)		12.52		3.51	%		187,396		0.24	%		0.24	%k		1.59	%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		39	%		63	%		35	%		69	%		34	%		31	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

k Amount waived had no impact on the ratio of expenses to average daily net assets.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

80

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	13.88	$	0.28		$	0.03		$	0.31		$	(0.36	)	$	(1.35	)	$	(1.71	)	$	12.48		4.38	%	$	106,439		0.36	%		0.34	%		2.33	%
9/30/18		13.35		0.24			0.78			1.02			(0.44	)		(0.05	)		(0.49	)		13.88		7.78	%		104,308		0.35	%		0.34	%		1.79	%
9/30/17		11.91		0.14			1.52			1.66			(0.22	)		-			(0.22	)		13.35		14.17	%		103,870		0.35	%		0.35	%k		1.15	%
9/30/16		11.41		0.22			0.79			1.01			(0.21	)		(0.30	)		(0.51	)		11.91		9.13	%		120,154		0.35	%		0.34	%		1.90	%
9/30/15i		12.51		0.01			(0.69	)		(0.68	)		-			(0.42	)		(0.42	)		11.41		(5.52	%)b		126,584		0.35	%a		0.34	%a		0.13	%a
12/31/14		12.64		0.28			0.15			0.43			(0.53	)		(0.03	)		(0.56	)		12.51		3.40	%		133,982		0.34	%		0.34	%k		2.14	%
Class A
9/30/19	$	13.78	$	0.23		$	0.05		$	0.28		$	(0.32	)	$	(1.35	)	$	(1.67	)	$	12.39		4.13	%	$	73,893		0.61	%		0.59	%		1.92	%
9/30/18		13.25		0.20			0.78			0.98			(0.40	)		(0.05	)		(0.45	)		13.78		7.52	%		75,440		0.60	%		0.59	%		1.44	%
9/30/17		11.82		0.12			1.50			1.62			(0.19	)		-			(0.19	)		13.25		13.92	%		68,917		0.60	%		0.60	%k		1.01	%
9/30/16		11.33		0.18			0.79			0.97			(0.18	)		(0.30	)		(0.48	)		11.82		8.80	%		82,599		0.60	%		0.59	%		1.60	%
9/30/15i		12.45		(0.01	)		(0.69	)		(0.70	)		-			(0.42	)		(0.42	)		11.33		(5.71	%)b		83,067		0.60	%a		0.59	%a		(0.11	%)a
12/31/14		12.57		0.16			0.24			0.40			(0.49	)		(0.03	)		(0.52	)		12.45		3.12	%		72,857		0.62	%		0.61	%		1.29	%
Class R4
9/30/19	$	13.69	$	0.27		$	0.02		$	0.29		$	(0.34	)	$	(1.35	)	$	(1.69	)	$	12.29		4.23	%	$	57,900		0.51	%		0.49	%		2.22	%
9/30/18		13.18		0.21			0.78			0.99			(0.43	)		(0.05	)		(0.48	)		13.69		7.62	%		68,964		0.50	%		0.49	%		1.57	%
9/30/17		11.76		0.12			1.51			1.63			(0.21	)		-			(0.21	)		13.18		14.09	%		64,718		0.50	%		0.50	%k		0.94	%
9/30/16		11.30		0.17			0.80			0.97			(0.21	)		(0.30	)		(0.51	)		11.76		8.90	%		54,855		0.50	%		0.49	%		1.55	%
9/30/15i		12.41		0.00	d		(0.69	)		(0.69	)		-			(0.42	)		(0.42	)		11.30		(5.65	%)b		22,738		0.50	%a		0.49	%a		0.03	%a
12/31/14h		12.72		0.32			(0.07	)		0.25			(0.53	)		(0.03	)		(0.56	)		12.41		1.96	%b		18,075		0.50	%a		0.49	%a		3.26	%a
Class R3
9/30/19	$	13.50	$	0.25		$	0.00	d	$	0.25		$	(0.31	)	$	(1.35	)	$	(1.66	)	$	12.09		3.92	%	$	103,094		0.76	%		0.74	%		2.08	%
9/30/18		13.00		0.18			0.77			0.95			(0.40	)		(0.05	)		(0.45	)		13.50		7.38	%		118,905		0.75	%		0.74	%		1.35	%
9/30/17		11.61		0.09			1.48			1.57			(0.18	)		-			(0.18	)		13.00		13.75	%		111,137		0.75	%		0.75	%k		0.72	%
9/30/16		11.16		0.14			0.79			0.93			(0.18	)		(0.30	)		(0.48	)		11.61		8.59	%		101,258		0.75	%		0.74	%		1.29	%
9/30/15i		12.28		(0.02	)		(0.68	)		(0.70	)		-			(0.42	)		(0.42	)		11.16		(5.79	%)b		68,535		0.75	%a		0.74	%a		(0.24	%)a
12/31/14		12.45		0.36			0.02			0.38			(0.52	)		(0.03	)		(0.55	)		12.28		2.98	%		57,469		0.76	%		0.75	%		2.81	%

81

MassMutual RetireSMART by JPMorgan 2035 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	14.18	$	0.32	$	(0.09	)aa	$	0.23		$	(0.41	)	$	(1.27	)	$	(1.68	)	$	12.73		3.77%		$	33,309		0.12%			0.05%			2.56%
9/30/18		13.77		0.25		0.93			1.18			(0.51	)		(0.26	)		(0.77	)		14.18		8.81%			21,586		0.11%			0.07%			1.83%
9/30/17		12.26		0.15		1.69			1.84			(0.24	)		(0.09	)		(0.33	)		13.77		15.44%			15,744		0.13%			0.09%			1.16%
9/30/16		11.49		0.20		0.89			1.09			(0.23	)		(0.09	)		(0.32	)		12.26		9.62%			9,851		0.16%			0.05%			1.68%
9/30/15i		12.44		0.01		(0.70	)		(0.69	)		-			(0.26	)		(0.26	)		11.49		(5.58%	)b		4,474		0.21%	a		0.05%	a		0.14%	a
12/31/14h		12.89		0.51		(0.19	)		0.32			(0.33	)		(0.44	)		(0.77	)		12.44		2.37%	b		11,523		0.28%	a		0.05%	a		5.19%	a
Class R5
9/30/19	$	14.16	$	0.05	$	0.17		$	0.22		$	(0.36	)	$	(1.27	)	$	(1.63	)	$	12.75		3.68%		$	1,801		0.22%			0.15%			0.41%
9/30/18		13.75		0.43		0.73			1.16			(0.49	)		(0.26	)		(0.75	)		14.16		8.68%			132		0.21%			0.18%			3.09%
9/30/17		12.24		0.19		1.63			1.82			(0.22	)		(0.09	)		(0.31	)		13.75		15.31%			1,045		0.23%			0.18%			1.53%
9/30/16		11.48		0.30		0.77			1.07			(0.22	)		(0.09	)		(0.31	)		12.24		9.43%			1,928		0.26%			0.15%			2.57%
9/30/15i		12.44		0.03		(0.73	)		(0.70	)		-			(0.26	)		(0.26	)		11.48		(5.65%	)b		3,459		0.31%	a		0.15%	a		0.35%	a
12/31/14h		12.89		1.15		(0.83	)		0.32			(0.33	)		(0.44	)		(0.77	)		12.44		2.36%	b		2,815		0.38%	a		0.15%	a		11.85%	a
Service Class
9/30/19	$	14.30	$	0.33	$	(0.12	)aa	$	0.21		$	(0.37	)	$	(1.27	)	$	(1.64	)	$	12.87		3.55%		$	8,093		0.32%			0.25%			2.62%
9/30/18		13.88		0.25		0.91			1.16			(0.48	)		(0.26	)		(0.74	)		14.30		8.59%			12,908		0.31%			0.27%			1.78%
9/30/17		12.36		0.15		1.68			1.83			(0.22	)		(0.09	)		(0.31	)		13.88		15.15%			17,717		0.33%			0.29%			1.14%
9/30/16		11.59		0.21		0.86			1.07			(0.21	)		(0.09	)		(0.30	)		12.36		9.35%			18,361		0.36%			0.25%			1.75%
9/30/15i		12.56		0.03		(0.74	)		(0.71	)		-			(0.26	)		(0.26	)		11.59		(5.68%	)b		13,635		0.41%	a		0.25%	a		0.27%	a
12/31/14		12.83		0.14		0.33			0.47			(0.30	)		(0.44	)		(0.74	)		12.56		3.53%			7,127		0.48%			0.24%			1.09%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		50	%		62	%		41	%		69	%		35	%		31	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

82

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	14.25	$	0.29		$	(0.09	)aa	$	0.20		$	(0.37	)	$	(1.27	)	$	(1.64	)	$	12.81		3.44%		$	32,361		0.42%			0.35%			2.31%
9/30/18		13.83		0.23			0.92			1.15			(0.47	)		(0.26	)		(0.73	)		14.25		8.53%			33,416		0.41%			0.37%			1.63%
9/30/17		12.32		0.12			1.69			1.81			(0.21	)		(0.09	)		(0.30	)		13.83		15.04%			30,323		0.43%			0.39%			0.97%
9/30/16		11.55		0.19			0.86			1.05			(0.19	)		(0.09	)		(0.28	)		12.32		9.25%			27,200		0.46%			0.35%			1.64%
9/30/15i		12.53		0.01			(0.73	)		(0.72	)		-			(0.26	)		(0.26	)		11.55		(5.78%	)b		19,970		0.51%	a		0.35%	a		0.11%	a
12/31/14		12.83		0.39			0.06			0.45			(0.31	)		(0.44	)		(0.75	)		12.53		3.38%			18,330		0.58%			0.35%			2.95%
Class A
9/30/19	$	14.12	$	0.22		$	(0.05	)aa	$	0.17		$	(0.33	)	$	(1.27	)	$	(1.60	)	$	12.69		3.21%		$	34,479		0.67%			0.60%			1.74%
9/30/18		13.70		0.17			0.93			1.10			(0.42	)		(0.26	)		(0.68	)		14.12		8.23%			33,548		0.66%			0.62%			1.25%
9/30/17		12.21		0.11			1.65			1.76			(0.18	)		(0.09	)		(0.27	)		13.70		14.73%			26,817		0.68%			0.64%			0.88%
9/30/16		11.45		0.16			0.85			1.01			(0.16	)		(0.09	)		(0.25	)		12.21		8.95%			31,291		0.71%			0.60%			1.41%
9/30/15i		12.45		(0.01	)		(0.73	)		(0.74	)		-			(0.26	)		(0.26	)		11.45		(5.97%	)b		25,646		0.76%	a		0.60%	a		(0.11%	)a
12/31/14		12.75		0.21			0.20			0.41			(0.27	)		(0.44	)		(0.71	)		12.45		3.13%			11,968		0.85%			0.61%			1.64%
Class R4
9/30/19	$	14.06	$	0.27		$	(0.09	)aa	$	0.18		$	(0.34	)	$	(1.27	)	$	(1.61	)	$	12.63		3.37%		$	49,044		0.57%			0.50%			2.17%
9/30/18		13.67		0.19			0.91			1.10			(0.45	)		(0.26	)		(0.71	)		14.06		8.28%			56,342		0.56%			0.52%			1.40%
9/30/17		12.18		0.10			1.67			1.77			(0.19	)		(0.09	)		(0.28	)		13.67		14.92%			48,392		0.58%			0.54%			0.80%
9/30/16		11.45		0.19			0.83			1.02			(0.20	)		(0.09	)		(0.29	)		12.18		9.04%			37,564		0.61%			0.50%			1.66%
9/30/15i		12.44		0.00	d		(0.73	)		(0.73	)		-			(0.26	)		(0.26	)		11.45		(5.90%	)b		14,047		0.66%	a		0.50%	a		0.03%	a
12/31/14h		12.89		0.32			(0.03	)		0.29			(0.30	)		(0.44	)		(0.74	)		12.44		2.15%	b		8,687		0.73%	a		0.50%	a		3.30%	a
Class R3
9/30/19	$	14.02	$	0.24		$	(0.10	)aa	$	0.14		$	(0.31	)	$	(1.27	)	$	(1.58	)	$	12.58		2.99%		$	61,925		0.82%			0.75%			1.95%
9/30/18		13.62		0.17			0.90			1.07			(0.41	)		(0.26	)		(0.67	)		14.02		8.08%			69,914		0.81%			0.77%			1.26%
9/30/17		12.15		0.07			1.66			1.73			(0.17	)		(0.09	)		(0.26	)		13.62		14.55%			64,790		0.83%			0.79%			0.58%
9/30/16		11.41		0.13			0.87			1.00			(0.17	)		(0.09	)		(0.26	)		12.15		8.85%			57,715		0.86%			0.75%			1.08%
9/30/15i		12.42		(0.02	)		(0.73	)		(0.75	)		-			(0.26	)		(0.26	)		11.41		(6.07%	)b		30,900		0.91%	a		0.75%	a		(0.20%	)a
12/31/14h		12.89		0.28			(0.03	)		0.25			(0.28	)		(0.44	)		(0.72	)		12.42		1.86%	b		16,061		0.98%	a		0.75%	a		2.89%	a

83

MassMutual RetireSMART by JPMorgan 2040 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	13.81	$	0.28		$	(0.16	)aa	$	0.12		$	(0.39	)	$	(1.35	)	$	(1.74	)	$	12.19		3.22	%	$	28,872		0.09	%		0.04	%		2.32	%
9/30/18		13.23		0.27			0.92			1.19			(0.49	)		(0.12	)		(0.61	)		13.81		9.19	%		12,676		0.08	%		0.05	%		2.00	%
9/30/17		11.65		0.12			1.69			1.81			(0.23	)		-			(0.23	)		13.23		15.80	%		10,771		0.08	%		0.07	%		0.99	%
9/30/16		11.24		0.19			0.84			1.03			(0.23	)		(0.39	)		(0.62	)		11.65		9.52	%		4,137		0.08	%		0.04	%		1.72	%
9/30/15i		12.41		0.00	d		(0.69	)		(0.69	)		-			(0.48	)		(0.48	)		11.24		(5.70	%)b		2,611		0.08	%a		0.04	%a		0.05	%a
12/31/14h		12.96		0.51			(0.18	)		0.33			(0.51	)		(0.37	)		(0.88	)		12.41		2.49	%b		45,481		0.07	%a		0.04	%a		5.19	%a
Class R5
9/30/19	$	13.80	$	0.22		$	(0.11	)aa	$	0.11		$	(0.38	)	$	(1.35	)	$	(1.73	)	$	12.18		3.14	%	$	63,062		0.19	%		0.14	%		1.84	%
9/30/18		13.22		0.26			0.92			1.18			(0.48	)		(0.12	)		(0.60	)		13.80		9.10	%		10,301		0.18	%		0.15	%		1.94	%
9/30/17		11.65		0.10			1.69			1.79			(0.22	)		-			(0.22	)		13.22		15.61	%		20,737		0.18	%		0.17	%		0.78	%
9/30/16		11.23		0.08			0.95			1.03			(0.22	)		(0.39	)		(0.61	)		11.65		9.53	%		11,346		0.18	%		0.14	%		0.72	%
9/30/15i		12.40		0.04			(0.73	)		(0.69	)		-			(0.48	)		(0.48	)		11.23		(5.71	%)b		2,715		0.18	%a		0.14	%a		0.42	%a
12/31/14h		12.96		0.97			(0.65	)		0.32			(0.51	)		(0.37	)		(0.88	)		12.40		2.39	%b		1,772		0.17	%a		0.14	%a		9.89	%a
Service Class
9/30/19	$	13.81	$	0.34		$	(0.23	)aa	$	0.11		$	(0.34	)	$	(1.35	)	$	(1.69	)	$	12.23		3.08	%	$	22,042		0.29	%		0.24	%		2.77	%
9/30/18		13.23		0.23			0.93			1.16			(0.46	)		(0.12	)		(0.58	)		13.81		8.95	%		68,297		0.28	%		0.25	%		1.71	%
9/30/17		11.66		0.14			1.63			1.77			(0.20	)		-			(0.20	)		13.23		15.45	%		81,099		0.28	%		0.27	%		1.16	%
9/30/16		11.24		0.23			0.78			1.01			(0.20	)		(0.39	)		(0.59	)		11.66		9.37	%		90,564		0.28	%		0.24	%		2.06	%
9/30/15i		12.42		0.02			(0.72	)		(0.70	)		-			(0.48	)		(0.48	)		11.24		(5.78	%)b		101,768		0.28	%a		0.24	%a		0.19	%a
12/31/14		12.81		0.18			0.28			0.46			(0.48	)		(0.37	)		(0.85	)		12.42		3.54	%		115,397		0.26	%		0.24	%		1.38	%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		40	%		59	%		37	%		70	%		35	%		30	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

84

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	13.77	$	0.26		$	(0.16	)aa	$	0.10		$	(0.35	)	$	(1.35	)	$	(1.70	)	$	12.17		2.99	%	$	75,729		0.39	%		0.34	%		2.20	%
9/30/18		13.19		0.22			0.92			1.14			(0.44	)		(0.12	)		(0.56	)		13.77		8.86	%		73,290		0.38	%		0.35	%		1.66	%
9/30/17		11.62		0.12			1.64			1.76			(0.19	)		-			(0.19	)		13.19		15.39	%		73,514		0.38	%		0.37	%		0.98	%
9/30/16		11.21		0.19			0.80			0.99			(0.19	)		(0.39	)		(0.58	)		11.62		9.21	%		83,838		0.38	%		0.34	%		1.74	%
9/30/15i		12.40		0.01			(0.72	)		(0.71	)		-			(0.48	)		(0.48	)		11.21		(5.87	%)b		85,749		0.38	%a		0.34	%a		0.11	%a
12/31/14		12.80		0.26			0.19			0.45			(0.48	)		(0.37	)		(0.85	)		12.40		3.44	%		85,857		0.36	%		0.34	%		1.98	%
Class A
9/30/19	$	13.66	$	0.20		$	(0.14	)aa	$	0.06		$	(0.30	)	$	(1.35	)	$	(1.65	)	$	12.07		2.68	%	$	42,006		0.64	%		0.59	%		1.71	%
9/30/18		13.09		0.18			0.92			1.10			(0.41	)		(0.12	)		(0.53	)		13.66		8.54	%		44,233		0.63	%		0.60	%		1.34	%
9/30/17		11.53		0.11			1.61			1.72			(0.16	)		-			(0.16	)		13.09		15.16	%		41,159		0.63	%		0.62	%		0.88	%
9/30/16		11.12		0.16			0.80			0.96			(0.16	)		(0.39	)		(0.55	)		11.53		8.97	%		50,466		0.63	%		0.59	%		1.44	%
9/30/15i		12.33		(0.01	)		(0.72	)		(0.73	)		-			(0.48	)		(0.48	)		11.12		(6.07	%)b		48,822		0.63	%a		0.59	%a		(0.13	%)a
12/31/14		12.72		0.15			0.26			0.41			(0.43	)		(0.37	)		(0.80	)		12.33		3.15	%		42,940		0.63	%		0.61	%		1.14	%
Class R4
9/30/19	$	13.56	$	0.24		$	(0.16	)aa	$	0.08		$	(0.33	)	$	(1.35	)	$	(1.68	)	$	11.96		2.84	%	$	43,641		0.54	%		0.49	%		2.05	%
9/30/18		13.01		0.19			0.91			1.10			(0.43	)		(0.12	)		(0.55	)		13.56		8.63	%		46,980		0.53	%		0.50	%		1.40	%
9/30/17		11.47		0.10			1.62			1.72			(0.18	)		-			(0.18	)		13.01		15.23	%		41,195		0.53	%		0.52	%		0.79	%
9/30/16		11.09		0.16			0.81			0.97			(0.20	)		(0.39	)		(0.59	)		11.47		9.06	%		36,572		0.53	%		0.49	%		1.45	%
9/30/15i		12.28		0.00	d		(0.71	)		(0.71	)		-			(0.48	)		(0.48	)		11.09		(5.93	%)b		16,356		0.53	%a		0.49	%a		0.02	%a
12/31/14h		12.85		0.29			(0.01	)		0.28			(0.48	)		(0.37	)		(0.85	)		12.28		2.10	%b		11,987		0.52	%a		0.49	%a		2.91	%a
Class R3
9/30/19	$	13.36	$	0.21		$	(0.18	)aa	$	0.03		$	(0.29	)	$	(1.35	)	$	(1.64	)	$	11.75		2.48	%	$	59,312		0.79	%		0.74	%		1.85	%
9/30/18		12.82		0.16			0.90			1.06			(0.40	)		(0.12	)		(0.52	)		13.36		8.44	%		64,385		0.78	%		0.75	%		1.19	%
9/30/17		11.31		0.06			1.61			1.67			(0.16	)		-			(0.16	)		12.82		14.95	%		59,300		0.78	%		0.77	%		0.51	%
9/30/16		10.94		0.11			0.82			0.93			(0.17	)		(0.39	)		(0.56	)		11.31		8.80	%		50,774		0.78	%		0.74	%		1.01	%
9/30/15i		12.15		(0.02	)		(0.71	)		(0.73	)		-			(0.48	)		(0.48	)		10.94		(6.16	%)b		26,610		0.78	%a		0.74	%a		(0.25	%)a
12/31/14		12.60		0.33			0.05			0.38			(0.46	)		(0.37	)		(0.83	)		12.15		2.95	%		21,517		0.78	%		0.76	%		2.57	%

85

MassMutual RetireSMART by JPMorgan 2045 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	14.41	$	0.29	$	(0.18	)aa	$	0.11		$	(0.39	)	$	(1.38	)	$	(1.77	)	$	12.75		3.08%		$	19,099		0.18%			0.02%			2.32%
9/30/18		13.88		0.21		1.06			1.27			(0.51	)		(0.23	)		(0.74	)		14.41		9.38%			9,650		0.18%			0.03%			1.51%
9/30/17		12.32		0.13		1.80			1.93			(0.23	)		(0.14	)		(0.37	)		13.88		16.07%			6,210		0.21%			0.06%			0.98%
9/30/16		11.53		0.18		0.93			1.11			(0.22	)		(0.10	)		(0.32	)		12.32		9.79%			3,428		0.27%			0.02%			1.50%
9/30/15i		12.55		0.01		(0.73	)		(0.72	)		-			(0.30	)		(0.30	)		11.53		(5.85%	)b		1,399		0.37%	a		0.02%	a		0.09%	a
12/31/14h		12.98		0.47		(0.13	)		0.34			(0.32	)		(0.45	)		(0.77	)		12.55		2.57%	b		6,636		0.51%	a		0.02%	a		4.80%	a
Class R5
9/30/19	$	14.41	$	0.12	$	(0.02	)aa	$	0.10		$	(0.37	)	$	(1.38	)	$	(1.75	)	$	12.76		3.02%		$	750		0.28%			0.12%			0.92%
9/30/18		13.88		0.33		0.92			1.25			(0.49	)		(0.23	)		(0.72	)		14.41		9.24%			147		0.28%			0.14%			2.33%
9/30/17		12.31		0.17		1.74			1.91			(0.20	)		(0.14	)		(0.34	)		13.88		15.92%			219		0.31%			0.15%			1.34%
9/30/16		11.52		0.34		0.76			1.10			(0.21	)		(0.10	)		(0.31	)		12.31		9.68%			355		0.37%			0.12%			2.93%
9/30/15i		12.55		0.03		(0.76	)		(0.73	)		-			(0.30	)		(0.30	)		11.52		(5.93%	)b		1,637		0.47%	a		0.12%	a		0.32%	a
12/31/14h		12.98		1.17		(0.83	)		0.34			(0.32	)		(0.45	)		(0.77	)		12.55		2.56%	b		1,673		0.61%	a		0.12%	a		11.87%	a
Service Class
9/30/19	$	14.39	$	0.32	$	(0.23	)aa	$	0.09		$	(0.35	)	$	(1.38	)	$	(1.73	)	$	12.75		2.92%		$	3,874		0.38%			0.22%			2.58%
9/30/18		13.86		0.23		1.01			1.24			(0.48	)		(0.23	)		(0.71	)		14.39		9.19%			9,964		0.38%			0.24%			1.66%
9/30/17		12.31		0.14		1.75			1.89			(0.20	)		(0.14	)		(0.34	)		13.86		15.77%			10,572		0.41%			0.25%			1.08%
9/30/16		11.52		0.22		0.87			1.09			(0.20	)		(0.10	)		(0.30	)		12.31		9.60%			10,622		0.47%			0.22%			1.84%
9/30/15i		12.56		0.02		(0.76	)		(0.74	)		-			(0.30	)		(0.30	)		11.52		(6.00%	)b		8,282		0.57%	a		0.22%	a		0.26%	a
12/31/14		12.83		0.15		0.32			0.47			(0.29	)		(0.45	)		(0.74	)		12.56		3.62%			5,342		0.72%			0.22%			1.17%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		46	%		58	%		39	%		68	%		32	%		26	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

86

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	14.35	$	0.26		$	(0.19	)aa	$	0.07		$	(0.35	)	$	(1.38	)	$	(1.73	)	$	12.69		2.72%		$	21,597		0.48%			0.32%			2.12%
9/30/18		13.82		0.22			1.01			1.23			(0.47	)		(0.23	)		(0.70	)		14.35		9.12%			18,549		0.48%			0.34%			1.54%
9/30/17		12.28		0.11			1.76			1.87			(0.19	)		(0.14	)		(0.33	)		13.82		15.64%			16,509		0.51%			0.36%			0.86%
9/30/16		11.50		0.17			0.90			1.07			(0.19	)		(0.10	)		(0.29	)		12.28		9.42%			12,831		0.57%			0.32%			1.47%
9/30/15i		12.54		0.01			(0.75	)		(0.74	)		-			(0.30	)		(0.30	)		11.50		(6.01%	)b		9,250		0.67%	a		0.32%	a		0.15%	a
12/31/14		12.83		0.36			0.10			0.46			(0.30	)		(0.45	)		(0.75	)		12.54		3.52%			6,304		0.81%			0.32%			2.76%
Class A
9/30/19	$	14.22	$	0.20		$	(0.15	)aa	$	0.05		$	(0.31	)	$	(1.38	)	$	(1.69	)	$	12.58		2.54%		$	19,901		0.73%			0.57%			1.61%
9/30/18		13.70		0.18			0.99			1.17			(0.42	)		(0.23	)		(0.65	)		14.22		8.77%			19,675		0.74%			0.59%			1.25%
9/30/17		12.17		0.10			1.73			1.83			(0.16	)		(0.14	)		(0.30	)		13.70		15.43%			16,011		0.76%			0.60%			0.82%
9/30/16		11.40		0.16			0.87			1.03			(0.16	)		(0.10	)		(0.26	)		12.17		9.11%			17,430		0.82%			0.57%			1.35%
9/30/15i		12.46		(0.01	)		(0.75	)		(0.76	)		-			(0.30	)		(0.30	)		11.40		(6.21%	)b		14,156		0.92%	a		0.57%	a		(0.11%	)a
12/31/14		12.75		0.21			0.21			0.42			(0.26	)		(0.45	)		(0.71	)		12.46		3.28%			7,199		1.08%			0.58%			1.58%
Class R4
9/30/19	$	14.15	$	0.24		$	(0.18	)aa	$	0.06		$	(0.32	)	$	(1.38	)	$	(1.70	)	$	12.51		2.68%		$	29,963		0.63%			0.47%			1.93%
9/30/18		13.65		0.20			0.98			1.18			(0.45	)		(0.23	)		(0.68	)		14.15		8.86%			30,899		0.63%			0.49%			1.42%
9/30/17		12.13		0.09			1.75			1.84			(0.18	)		(0.14	)		(0.32	)		13.65		15.52%			27,976		0.66%			0.51%			0.71%
9/30/16		11.38		0.17			0.87			1.04			(0.19	)		(0.10	)		(0.29	)		12.13		9.27%			22,131		0.72%			0.47%			1.44%
9/30/15i		12.43		0.00	d		(0.75	)		(0.75	)		-			(0.30	)		(0.30	)		11.38		(6.15%	)b		9,264		0.82%	a		0.47%	a		0.04%	a
12/31/14h		12.88		0.30			(0.01	)		0.29			(0.29	)		(0.45	)		(0.74	)		12.43		2.22%	b		5,315		0.96%	a		0.47%	a		3.10%	a
Class R3
9/30/19	$	14.11	$	0.22		$	(0.19	)aa	$	0.03		$	(0.29	)	$	(1.38	)	$	(1.67	)	$	12.47		2.41%		$	46,767		0.88%			0.72%			1.82%
9/30/18		13.61		0.16			0.99			1.15			(0.42	)		(0.23	)		(0.65	)		14.11		8.62%			49,481		0.88%			0.74%			1.19%
9/30/17		12.10		0.06			1.74			1.80			(0.15	)		(0.14	)		(0.29	)		13.61		15.25%			44,618		0.91%			0.76%			0.48%
9/30/16		11.36		0.12			0.88			1.00			(0.16	)		(0.10	)		(0.26	)		12.10		8.96%			36,332		0.97%			0.72%			1.02%
9/30/15i		12.43		(0.02	)		(0.75	)		(0.77	)		-			(0.30	)		(0.30	)		11.36		(6.31%	)b		17,369		1.07%	a		0.72%	a		(0.21%	)a
12/31/14h		12.88		0.29			(0.02	)		0.27			(0.27	)		(0.45	)		(0.72	)		12.43		2.10%	b		9,628		1.21%	a		0.72%	a		2.25%	a

87

MassMutual RetireSMART by JPMorgan 2050 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.18	$	0.20		$	(0.15	)aa	$	0.05		$	(0.28	)	$	(1.15	)	$	(1.43	)	$	8.80		3.10%		$	15,050		0.14%			0.02%			2.27%
9/30/18		9.77		0.18			0.77			0.95			(0.36	)		(0.18	)		(0.54	)		10.18		10.02%			5,973		0.14%			0.04%			1.82%
9/30/17		8.52		0.09			1.33			1.42			(0.15	)		(0.02	)		(0.17	)		9.77		17.03%			3,775		0.15%			0.06%			0.96%
9/30/16		8.08		0.13			0.64			0.77			(0.15	)		(0.18	)		(0.33	)		8.52		9.82%			2,211		0.18%			0.02%			1.54%
9/30/15i		8.96		0.00	d		(0.53	)		(0.53	)		-			(0.35	)		(0.35	)		8.08		(6.07%	)b		1,123		0.20%	a		0.02%	a		0.03%	a
12/31/14h		9.90		0.36			(0.09	)		0.27			(0.24	)		(0.97	)		(1.21	)		8.96		2.57%	b		19,990		0.16%	a		0.02%	a		4.93%	a
Class R5
9/30/19	$	10.16	$	0.17		$	(0.13	)aa	$	0.04		$	(0.27	)	$	(1.15	)	$	(1.42	)	$	8.78		3.03%		$	45,022		0.24%			0.12%			1.94%
9/30/18		9.76		0.18			0.75			0.93			(0.35	)		(0.18	)		(0.53	)		10.16		9.83%			5,701		0.24%			0.14%			1.78%
9/30/17		8.51		0.06			1.35			1.41			(0.14	)		(0.02	)		(0.16	)		9.76		16.95%			14,378		0.25%			0.16%			0.72%
9/30/16		8.07		0.04			0.73			0.77			(0.15	)		(0.18	)		(0.33	)		8.51		9.73%			7,907		0.28%			0.12%			0.45%
9/30/15i		8.96		0.02			(0.56	)		(0.54	)		-			(0.35	)		(0.35	)		8.07		(6.19%	)b		974		0.30%	a		0.12%	a		0.33%	a
12/31/14h		9.90		0.60			(0.33	)		0.27			(0.24	)		(0.97	)		(1.21	)		8.96		2.56%	b		790		0.26%	a		0.12%	a		8.13%	a
Service Class
9/30/19	$	10.17	$	0.24		$	(0.20	)aa	$	0.04		$	(0.24	)	$	(1.15	)	$	(1.39	)	$	8.82		2.92%		$	8,399		0.34%			0.22%			2.73%
9/30/18		9.76		0.15			0.78			0.93			(0.34	)		(0.18	)		(0.52	)		10.17		9.81%			41,405		0.34%			0.24%			1.55%
9/30/17		8.51		0.08			1.32			1.40			(0.13	)		(0.02	)		(0.15	)		9.76		16.81%			40,188		0.35%			0.26%			0.94%
9/30/16		8.07		0.15			0.61			0.76			(0.14	)		(0.18	)		(0.32	)		8.51		9.60%			37,620		0.38%			0.22%			1.90%
9/30/15i		8.97		0.01			(0.56	)		(0.55	)		-			(0.35	)		(0.35	)		8.07		(6.30%	)b		37,899		0.40%	a		0.22%	a		0.21%	a
12/31/14		9.79		0.12			0.25			0.37			(0.22	)		(0.97	)		(1.19	)		8.97		3.59%			38,141		0.34%			0.22%			1.19%

	Year ended September 30												Period ended September 30,  2015b			Year ended December 31, 2014
	2019			2018			2017			2016
Portfolio turnover rate		40	%		65	%		43	%		68	%		47	%		37	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

88

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	10.16	$	0.18		$	(0.15	)aa	$	0.03		$	(0.25	)	$	(1.15	)	$	(1.40	)	$	8.79		2.84%		$	52,850		0.44%			0.32%			2.06%
9/30/18		9.75		0.15			0.77			0.92			(0.33	)		(0.18	)		(0.51	)		10.16		9.72%			44,569		0.44%			0.34%			1.47%
9/30/17		8.51		0.07			1.32			1.39			(0.13	)		(0.02	)		(0.15	)		9.75		16.60%			37,139		0.45%			0.36%			0.76%
9/30/16		8.06		0.13			0.63			0.76			(0.13	)		(0.18	)		(0.31	)		8.51		9.64%			33,053		0.48%			0.32%			1.55%
9/30/15i		8.97		0.01			(0.57	)		(0.56	)		-			(0.35	)		(0.35	)		8.06		(6.41%	)b		27,378		0.50%	a		0.32%	a		0.13%	a
12/31/14		9.80		0.18			0.18			0.36			(0.22	)		(0.97	)		(1.19	)		8.97		3.49%			23,872		0.45%			0.31%			1.81%
Class A
9/30/19	$	10.08	$	0.15		$	(0.14	)aa	$	0.01		$	(0.22	)	$	(1.15	)	$	(1.37	)	$	8.72		2.54%		$	21,195		0.69%			0.57%			1.70%
9/30/18		9.68		0.12			0.76			0.88			(0.30	)		(0.18	)		(0.48	)		10.08		9.34%			20,721		0.69%			0.59%			1.25%
9/30/17		8.44		0.06			1.31			1.37			(0.11	)		(0.02	)		(0.13	)		9.68		16.48%			19,612		0.70%			0.61%			0.62%
9/30/16		8.01		0.10			0.62			0.72			(0.11	)		(0.18	)		(0.29	)		8.44		9.18%			20,244		0.73%			0.57%			1.29%
9/30/15i		8.92		(0.01	)		(0.55	)		(0.56	)		-			(0.35	)		(0.35	)		8.01		(6.44%	)b		16,516		0.75%	a		0.57%	a		(0.12%	)a
12/31/14		9.75		0.12			0.20			0.32			(0.18	)		(0.97	)		(1.15	)		8.92		3.18%			12,039		0.71%			0.58%			1.25%
Class R4
9/30/19	$	10.05	$	0.16		$	(0.15	)aa	$	0.01		$	(0.23	)	$	(1.15	)	$	(1.38	)	$	8.68		2.66%		$	23,206		0.59%			0.47%			1.91%
9/30/18		9.65		0.13			0.77			0.90			(0.32	)		(0.18	)		(0.50	)		10.05		9.56%			22,706		0.59%			0.49%			1.37%
9/30/17		8.42		0.06			1.31			1.37			(0.12	)		(0.02	)		(0.14	)		9.65		16.52%			20,958		0.60%			0.51%			0.70%
9/30/16		8.00		0.10			0.63			0.73			(0.13	)		(0.18	)		(0.31	)		8.42		9.32%			19,931		0.63%			0.47%			1.30%
9/30/15i		8.91		0.00	d		(0.56	)		(0.56	)		-			(0.35	)		(0.35	)		8.00		(6.45%	)b		9,533		0.65%	a		0.47%	a		0.02%	a
12/31/14h		9.85		0.19			0.05			0.24			(0.21	)		(0.97	)		(1.18	)		8.91		2.35%	b		7,133		0.61%	a		0.47%	a		2.57%	a
Class R3
9/30/19	$	9.96	$	0.16		$	(0.16	)aa	$	0.00	d	$	(0.21	)	$	(1.15	)	$	(1.36	)	$	8.60		2.44%		$	34,061		0.84%			0.72%			1.86%
9/30/18		9.57		0.11			0.76			0.87			(0.30	)		(0.18	)		(0.48	)		9.96		9.28%			39,324		0.84%			0.74%			1.13%
9/30/17		8.36		0.03			1.30			1.33			(0.10	)		(0.02	)		(0.12	)		9.57		16.20%			35,264		0.85%			0.76%			0.38%
9/30/16		7.94		0.07			0.64			0.71			(0.11	)		(0.18	)		(0.29	)		8.36		9.12%			28,523		0.88%			0.72%			0.91%
9/30/15i		8.87		(0.02	)		(0.56	)		(0.58	)		-			(0.35	)		(0.35	)		7.94		(6.71%	)b		14,173		0.90%	a		0.72%	a		(0.26%	)a
12/31/14		9.73		0.22			0.09			0.31			(0.20	)		(0.97	)		(1.17	)		8.87		3.03%			11,800		0.88%			0.74%			2.24%

89

MassMutual RetireSMART by JPMorgan 2055 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	12.04	$	0.24	$	(0.13	)aa	$	0.11		$	(0.33	)	$	(1.09	)	$	(1.42	)	$	10.73		3.15%		$	7,761		0.41%			0.00%			2.31%
9/30/18		11.71		0.19		0.94			1.13			(0.44	)		(0.36	)		(0.80	)		12.04		9.97%			3,804		0.49%			0.02%			1.61%
9/30/17		10.30		0.10		1.62			1.72			(0.17	)		(0.14	)		(0.31	)		11.71		17.23%			2,188		0.65%			0.04%			0.93%
9/30/16		9.59		0.17		0.77			0.94			(0.17	)		(0.06	)		(0.23	)		10.30		9.92%			952		1.16%			0.00%			1.69%
9/30/15i		10.38		0.04		(0.67	)		(0.63	)		-			(0.16	)		(0.16	)		9.59		(6.11%	)b		466		2.58%	a		0.00%	a		0.54%	a
12/31/14h		10.62		0.19		0.09			0.28			(0.28	)		(0.24	)		(0.52	)		10.38		2.60%	b		103		4.83%	a		0.00%	a		2.34%	a
Class R5
9/30/19	$	12.04	$	0.17	$	(0.08	)aa	$	0.09		$	(0.31	)	$	(1.09	)	$	(1.40	)	$	10.73		3.02%		$	534		0.51%			0.10%			1.61%
9/30/18		11.71		0.15		0.96			1.11			(0.42	)		(0.36	)		(0.78	)		12.04		9.84%			231		0.59%			0.11%			1.24%
9/30/17		10.29		0.13		1.59			1.72			(0.16	)		(0.14	)		(0.30	)		11.71		17.14%			139		0.77%			0.13%			1.19%
9/30/16		9.60		0.24		0.68			0.92			(0.17	)		(0.06	)		(0.23	)		10.29		9.69%			174		1.26%			0.10%			2.48%
9/30/15i		10.40		0.03		(0.67	)		(0.64	)		-			(0.16	)		(0.16	)		9.60		(6.20%	)b		357		2.68%	a		0.10%	a		0.40%	a
12/31/14h		10.62		0.38		(0.10	)		0.28			(0.26	)		(0.24	)		(0.50	)		10.40		2.54%	b		268		4.93%	a		0.10%	a		4.65%	a
Service Class
9/30/19	$	12.05	$	0.28	$	(0.19	)aa	$	0.09		$	(0.30	)	$	(1.09	)	$	(1.39	)	$	10.75		2.99%		$	2,291		0.61%			0.20%			2.63%
9/30/18		11.72		0.18		0.93			1.11			(0.42	)		(0.36	)		(0.78	)		12.05		9.78%			5,512		0.69%			0.22%			1.55%
9/30/17		10.32		0.10		1.60			1.70			(0.16	)		(0.14	)		(0.30	)		11.72		16.92%			4,159		0.86%			0.23%			0.88%
9/30/16		9.62		0.15		0.77			0.92			(0.16	)		(0.06	)		(0.22	)		10.32		9.69%			2,737		1.36%			0.20%			1.54%
9/30/15i		10.43		0.02		(0.67	)		(0.65	)		-			(0.16	)		(0.16	)		9.62		(6.28%	)b		1,442		2.78%	a		0.20%	a		0.27%	a
12/31/14		10.50		0.20		0.20			0.40			(0.23	)		(0.24	)		(0.47	)		10.43		3.71%			1,069		4.78%			0.21%			1.89%

	Year ended September 30												Period ended September 30,  2015b			Year ended September 30, 2014
	2019			2018			2017			2016
Portfolio turnover rate		50	%		62	%		47	%		74	%		32	%		26	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

h For the period April 1, 2014 (commencement of operations) through December 31, 2014.

i For the period January 1, 2015 through September 30, 2015.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

90

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Administrative Class
9/30/19	$	12.00	$	0.21		$	(0.14	)aa	$	0.07		$	(0.29	)	$	(1.09	)	$	(1.38	)	$	10.69		2.79%		$	8,364		0.71%			0.30%			1.98%
9/30/18		11.67		0.18			0.92			1.10			(0.41	)		(0.36	)		(0.77	)		12.00		9.73%			6,286		0.79%			0.32%			1.52%
9/30/17		10.28		0.08			1.60			1.68			(0.15	)		(0.14	)		(0.29	)		11.67		16.83%			5,022		0.95%			0.34%			0.71%
9/30/16		9.58		0.14			0.77			0.91			(0.15	)		(0.06	)		(0.21	)		10.28		9.64%			2,512		1.46%			0.30%			1.43%
9/30/15i		10.40		0.02			(0.68	)		(0.66	)		-			(0.16	)		(0.16	)		9.58		(6.39%	)b		1,281		2.88%	a		0.30%	a		0.19%	a
12/31/14		10.50		0.32			0.06			0.38			(0.24	)		(0.24	)		(0.48	)		10.40		3.52%			774		5.04%			0.30%			2.99%
Class A
9/30/19	$	11.97	$	0.16		$	(0.11	)aa	$	0.05		$	(0.26	)	$	(1.09	)	$	(1.35	)	$	10.67		2.55%		$	7,587		0.96%			0.55%			1.57%
9/30/18		11.64		0.12			0.94			1.06			(0.37	)		(0.36	)		(0.73	)		11.97		9.41%			7,070		1.04%			0.57%			1.02%
9/30/17		10.25		0.08			1.58			1.66			(0.13	)		(0.14	)		(0.27	)		11.64		16.58%			4,975		1.22%			0.58%			0.77%
9/30/16		9.56		0.13			0.75			0.88			(0.13	)		(0.06	)		(0.19	)		10.25		9.32%			4,294		1.71%			0.55%			1.36%
9/30/15i		10.39		(0.00	)d		(0.67	)		(0.67	)		-			(0.16	)		(0.16	)		9.56		(6.49%	)b		3,109		3.13%	a		0.55%	a		(0.01%	)a
12/31/14		10.50		0.27			0.08			0.35			(0.22	)		(0.24	)		(0.46	)		10.39		3.24%			638		5.26%			0.56%			2.52%
Class R4
9/30/19	$	11.94	$	0.21		$	(0.14	)aa	$	0.07		$	(0.28	)	$	(1.09	)	$	(1.37	)	$	10.64		2.75%		$	12,251		0.86%			0.45%			2.02%
9/30/18		11.62		0.14			0.93			1.07			(0.39	)		(0.36	)		(0.75	)		11.94		9.50%			11,111		0.94%			0.47%			1.19%
9/30/17		10.24		0.06			1.60			1.66			(0.14	)		(0.14	)		(0.28	)		11.62		16.66%			7,998		1.10%			0.49%			0.54%
9/30/16		9.55		0.13			0.77			0.90			(0.15	)		(0.06	)		(0.21	)		10.24		9.50%			4,650		1.61%			0.45%			1.34%
9/30/15i		10.38		0.00	d		(0.67	)		(0.67	)		-			(0.16	)		(0.16	)		9.55		(6.50%	)b		894		3.03%	a		0.45%	a		0.05%	a
12/31/14h		10.61		0.29			(0.04	)		0.25			(0.24	)		(0.24	)		(0.48	)		10.38		2.28%	b		720		5.28%	a		0.45%	a		3.59%	a
Class R3
9/30/19	$	11.88	$	0.19		$	(0.15	)aa	$	0.04		$	(0.25	)	$	(1.09	)	$	(1.34	)	$	10.58		2.44%		$	22,185		1.11%			0.70%			1.79%
9/30/18		11.57		0.13			0.90			1.03			(0.36	)		(0.36	)		(0.72	)		11.88		9.22%			21,236		1.19%			0.72%			1.10%
9/30/17		10.20		0.04			1.59			1.63			(0.12	)		(0.14	)		(0.26	)		11.57		16.41%			16,657		1.36%			0.73%			0.41%
9/30/16		9.53		0.08			0.78			0.86			(0.13	)		(0.06	)		(0.19	)		10.20		9.14%			12,090		1.86%			0.70%			0.82%
9/30/15i		10.37		(0.01	)		(0.67	)		(0.68	)		-			(0.16	)		(0.16	)		9.53		(6.60%	)b		3,842		3.28%	a		0.70%	a		(0.16%	)a
12/31/14h		10.61		0.25			(0.02	)		0.23			(0.23	)		(0.24	)		(0.47	)		10.37		2.10%	b		1,302		5.53%	a		0.70%	a		3.12%	a

91

MassMutual RetireSMART by JPMorgan 2060 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	11.92	$	0.28	$	(0.19	)	$	0.09	$	(0.32	)	$	(1.16	)	$	(1.48	)	$	10.53		3.15%		$	10,904		1.57%			0.00%			2.70%
9/30/18		11.40		0.22		0.89			1.11		(0.39	)		(0.20	)		(0.59	)		11.92		10.03%			11,994		1.68%			0.02%			1.90%
9/30/17		10.17		0.12		1.54			1.66		(0.18	)		(0.25	)		(0.43	)		11.40		17.02%			11,238		2.19%			0.04%			1.13%
9/30/16g		10.00		0.18		0.14			0.32		(0.15	)		-			(0.15	)		10.17		3.28%	b		9,709		2.66%	a		0.00%	a		2.18%	a
Class R5
9/30/19	$	11.91	$	0.10	$	(0.03	)	$	0.07	$	(0.31	)	$	(1.16	)	$	(1.47	)	$	10.51		2.96%		$	1,257		1.67%			0.10%			1.01%
9/30/18		11.39		0.13		0.97			1.10		(0.38	)		(0.20	)		(0.58	)		11.91		9.94%			319		1.78%			0.11%			1.09%
9/30/17		10.16		0.10		1.55			1.65		(0.17	)		(0.25	)		(0.42	)		11.39		16.92%			143		2.27%			0.14%			0.92%
9/30/16g		10.00		0.17		0.14			0.31		(0.15	)		-			(0.15	)		10.16		3.17%	b		103		2.76%	a		0.10%	a		2.08%	a
Service Class
9/30/19	$	11.90	$	0.32	$	(0.27	)	$	0.05	$	(0.30	)	$	(1.16	)	$	(1.46	)	$	10.49		2.79%		$	529		1.77%			0.20%			3.10%
9/30/18		11.38		0.12		0.98			1.10		(0.38	)		(0.20	)		(0.58	)		11.90		9.88%			668		1.88%			0.21%			1.01%
9/30/17		10.16		0.08		1.56			1.64		(0.17	)		(0.25	)		(0.42	)		11.38		16.76%			275		2.36%			0.24%			0.77%
9/30/16g		10.00		0.16		0.15			0.31		(0.15	)		-			(0.15	)		10.16		3.16%	b		114		2.86%	a		0.20%	a		1.97%	a
Administrative Class
9/30/19	$	11.87	$	0.20	$	(0.15	)	$	0.05	$	(0.28	)	$	(1.16	)	$	(1.44	)	$	10.48		2.81%		$	665		1.87%			0.30%			1.97%
9/30/18		11.36		0.17		0.91			1.08		(0.37	)		(0.20	)		(0.57	)		11.87		9.71%			448		1.98%			0.32%			1.47%
9/30/17		10.15		0.04		1.59			1.63		(0.17	)		(0.25	)		(0.42	)		11.36		16.67%			349		2.41%			0.34%			0.34%
9/30/16g		10.00		0.15		0.15			0.30		(0.15	)		-			(0.15	)		10.15		3.04%	b		115		2.96%	a		0.30%	a		1.87%	a
Class A
9/30/19	$	11.86	$	0.19	$	(0.17	)	$	0.02	$	(0.26	)	$	(1.16	)	$	(1.42	)	$	10.46		2.50%		$	437		2.12%			0.55%			1.84%
9/30/18		11.35		0.10		0.95			1.05		(0.34	)		(0.20	)		(0.54	)		11.86		9.47%			304		2.23%			0.56%			0.89%
9/30/17		10.13		0.06		1.54			1.60		(0.13	)		(0.25	)		(0.38	)		11.35		16.40%			155		2.73%			0.59%			0.53%
9/30/16g		10.00		0.13		0.14			0.27		(0.14	)		-			(0.14	)		10.13		2.81%	b		114		3.21%	a		0.55%	a		1.58%	a
Class R4
9/30/19	$	11.87	$	0.14	$	(0.11	)	$	0.03	$	(0.27	)	$	(1.16	)	$	(1.43	)	$	10.47		2.60%		$	374		2.02%			0.45%			1.36%
9/30/18		11.36		0.14		0.92			1.06		(0.35	)		(0.20	)		(0.55	)		11.87		9.58%			255		2.13%			0.47%			1.24%
9/30/17		10.14		0.06		1.55			1.61		(0.14	)		(0.25	)		(0.39	)		11.36		16.47%			162		2.62%			0.49%			0.55%
9/30/16g		10.00		0.14		0.14			0.28		(0.14	)		-			(0.14	)		10.14		2.93%	b		103		3.11%	a		0.45%	a		1.73%	a
Class R3
9/30/19	$	11.80	$	0.14	$	(0.12	)	$	0.02	$	(0.25	)	$	(1.16	)	$	(1.41	)	$	10.41		2.49%		$	1,096		2.27%			0.70%			1.38%
9/30/18		11.32		0.08		0.94			1.02		(0.34	)		(0.20	)		(0.54	)		11.80		9.20%			800		2.38%			0.72%			0.73%
9/30/17		10.12		0.02		1.57			1.59		(0.14	)		(0.25	)		(0.39	)		11.32		16.25%			322		2.83%			0.74%			0.15%
9/30/16g		10.00		0.12		0.14			0.26		(0.14	)		-			(0.14	)		10.12		2.70%	b		120		3.36%	a		0.70%	a		1.48%	a

	Year ended September 30									Period ended September 30,  2016b
	2019			2018			2017
Portfolio turnover rate		51	%		58	%		29	%		54	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

e Amount is less than 0.005%.

g For the period November 23, 2015 (commencement of operations) through September 31, 2016.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

92

Notes to Financial Statements

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 14 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual RetireSMART^SM Conservative Fund (“MM RetireSMART Conservative Fund”)

MassMutual RetireSMART^SM Moderate Fund (“MM RetireSMART Moderate Fund”)

MassMutual RetireSMART^SM Moderate Growth Fund (“MM RetireSMART Moderate Growth Fund”)

MassMutual RetireSMART^SM Growth Fund (“MM RetireSMART Growth Fund”)

MassMutual RetireSMART^SM by JPMorgan In Retirement Fund (“MM RetireSMART by JPMorgan In Retirement Fund”)

MassMutual RetireSMART^SM by JPMorgan 2020 Fund (“MM RetireSMART by JPMorgan 2020 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2025 Fund (“MM RetireSMART by JPMorgan 2025 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2030 Fund (“MM RetireSMART by JPMorgan 2030 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2035 Fund (“MM RetireSMART by JPMorgan 2035 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2040 Fund (“MM RetireSMART by JPMorgan 2040 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2045 Fund (“MM RetireSMART by JPMorgan 2045 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2050 Fund (“MM RetireSMART by JPMorgan 2050 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2055 Fund (“MM RetireSMART by JPMorgan 2055 Fund”)

MassMutual RetireSMART^SM by JPMorgan 2060 Fund (“MM RetireSMART by JPMorgan 2060 Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

The MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, and MM RetireSMART Growth Fund (the “MM RetireSMART Funds”) invest their investable assets in shares of series of the Trust and MassMutual Premier Funds (advised by MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”)), Barings Funds (advised by Barings LLC (“Barings”), a wholly-owned, indirect subsidiary of MassMutual), and non-affiliated mutual funds (together, the “MM RetireSMART Underlying Funds”).

The MM RetireSMART by JPMorgan In Retirement Fund, MM RetireSMART by JPMorgan 2020 Fund, MM RetireSMART by JPMorgan 2025 Fund, MM RetireSMART by JPMorgan 2030 Fund, MM RetireSMART by JPMorgan 2035 Fund, MM RetireSMART by JPMorgan 2040 Fund, MM RetireSMART by JPMorgan 2045 Fund, MM RetireSMART by JPMorgan 2050 Fund, MM RetireSMART by JPMorgan 2055 Fund, and MM RetireSMART by JPMorgan 2060 Fund (the “MM RetireSMART by JPMorgan Funds”) invest their investable assets in shares of series of the Trust and MassMutual Premier Funds, Barings Funds, J.P. Morgan Funds (advised by J.P. Morgan Investment Management Inc. (“J.P. Morgan”) or its affiliates), and non-affiliated mutual funds (together, the “MM RetireSMART by JPMorgan Underlying Funds”).

The MM RetireSMART Underlying Funds and the MM RetireSMART by JPMorgan Underlying Funds are hereinafter collectively referred to as the “Underlying Funds.” The financial statements included herein are those of the MM RetireSMART Funds and MM RetireSMART by JPMorgan Funds. The financial statements of the applicable Underlying Funds are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov or by calling MML Advisers at 1-888-309-3539.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally

93

Notes to Financial Statements (Continued)

accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

New Disclosure Requirements

Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the SEC, the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.

The following is a summary of the previously disclosed amounts, as reported at September 30, 2018:

	MM RetireSMART Conservative Fund			MM RetireSMART Moderate Fund			MM RetireSMART Moderate Growth Fund			MM RetireSMART Growth Fund			MM RetireSMART by JPMorgan In Retirement Fund			MM RetireSMART by JPMorgan 2020 Fund			MM RetireSMART by JPMorgan 2025 Fund
Distributions to shareholders
From net investment income:
Class I	$	(174,706	)	$	(164,479	)	$	(241,357	)	$	(279,965	)	$	(55,105	)	$	(838,198	)	$	(832,329	)
Class R5		(323,410	)		(1,331,503	)		(826,007	)		(240,394	)		(85,723	)		(1,016,900	)		(13,035	)
Service Class		(182,922	)		(134,560	)		(151,166	)		(54,493	)		(238,272	)		(2,881,619	)		(770,850	)
Administrative Class		(1,307,514	)		(2,845,559	)		(3,267,409	)		(1,171,087	)		(381,758	)		(2,938,030	)		(1,591,857	)
Class A		(712,236	)		(2,847,829	)		(2,826,840	)		(1,346,927	)		(290,532	)		(1,617,706	)		(919,221	)
Class R4		(2,508,766	)		(813,724	)		(732,817	)		(493,876	)		(74,808	)		(1,734,437	)		(2,066,410	)
Class R3		(175,226	)		(332,154	)		(426,643	)		(238,328	)		(175,443	)		(2,158,469	)		(2,623,838	)
Total distributions from net investment income		(5,384,780	)		(8,469,808	)		(8,472,239	)		(3,825,070	)		(1,301,641	)		(13,185,359	)		(8,817,540	)
From net realized gains:
Class I		-			(9,946	)		(66,221	)		(73,315	)		-			(23,135	)		(411,207	)
Class R5		-			(82,995	)		(232,733	)		(64,498	)		-			(28,769	)		(6,687	)
Service Class		-			(8,695	)		(44,035	)		(15,100	)		-			(86,007	)		(402,520	)
Administrative Class		-			(190,929	)		(978,421	)		(332,461	)		-			(90,383	)		(852,991	)
Class A		-			(211,197	)		(917,512	)		(416,523	)		-			(55,396	)		(545,971	)
Class R4		-			(56,332	)		(226,069	)		(144,166	)		-			(55,245	)		(1,149,619	)
Class R3		-			(25,063	)		(139,030	)		(75,063	)		-			(76,011	)		(1,592,276	)
Total distributions from net realized gains		-			(585,157	)		(2,604,021	)		(1,121,126	)		-			(414,946	)		(4,961,271	)
Accumulated undistributed (distributions in excess of) net investment income at end of year	$	560,566		$	201,923		$	(47,559	)	$	(14,885	)	$	2,443,168		$	152,126		$	(19,310	)

94

Notes to Financial Statements (Continued)

	MM RetireSMART by JPMorgan 2030 Fund			MM RetireSMART by JPMorgan 2035 Fund			MM RetireSMART by JPMorgan 2040 Fund			MM RetireSMART by JPMorgan 2045 Fund			MM RetireSMART by JPMorgan 2050 Fund			MM RetireSMART by JPMorgan 2055 Fund			MM RetireSMART by JPMorgan 2060 Fund
Distributions to shareholders
From net investment income:
Class I	$	(1,015,225	)	$	(635,938	)	$	(553,472	)	$	(226,010	)	$	(241,970	)	$	(93,036	)	$	(390,305	)
Class R5		(1,345,589	)		(37,792	)		(789,101	)		(8,163	)		(522,606	)		(4,959	)		(5,069	)
Service Class		(4,345,513	)		(608,375	)		(2,509,083	)		(380,223	)		(1,273,996	)		(160,446	)		(8,104	)
Administrative Class		(3,484,231	)		(1,031,932	)		(2,437,952	)		(571,385	)		(1,287,470	)		(185,937	)		(12,077	)
Class A		(1,941,313	)		(749,006	)		(1,190,036	)		(459,803	)		(570,683	)		(139,182	)		(4,766	)
Class R4		(2,132,026	)		(1,681,794	)		(1,358,280	)		(949,227	)		(666,631	)		(254,239	)		(5,454	)
Class R3		(3,405,729	)		(1,984,750	)		(1,836,096	)		(1,396,530	)		(1,103,133	)		(552,416	)		(11,762	)
Total distributions from net investment income		(17,669,626	)		(6,729,587	)		(10,674,020	)		(3,991,341	)		(5,666,489	)		(1,390,215	)		(437,537	)
From net realized gains:
Class I		(93,832	)		(325,387	)		(142,090	)		(101,102	)		(122,197	)		(76,772	)		(199,047	)
Class R5		(127,486	)		(20,054	)		(207,593	)		(3,788	)		(270,460	)		(4,226	)		(2,652	)
Service Class		(427,048	)		(329,064	)		(683,653	)		(179,261	)		(680,618	)		(138,614	)		(4,328	)
Administrative Class		(353,543	)		(572,937	)		(687,769	)		(276,538	)		(705,859	)		(164,488	)		(6,624	)
Class A		(216,526	)		(463,099	)		(367,139	)		(246,331	)		(345,634	)		(135,270	)		(2,819	)
Class R4		(223,048	)		(966,930	)		(395,164	)		(477,922	)		(382,800	)		(236,404	)		(3,106	)
Class R3		(385,651	)		(1,245,098	)		(574,500	)		(760,323	)		(679,353	)		(547,419	)		(6,996	)
Total distributions from net realized gains		(1,827,134	)		(3,922,569	)		(3,057,908	)		(2,045,265	)		(3,186,921	)		(1,303,193	)		(225,572	)
Accumulated undistributed (distributions in excess of) net investment income at end of year	$	(92,217	)	$	(14,602	)	$	(55,806	)	$	(198,014	)	$	(151,717	)	$	(70,001	)	$	12,080

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that an Underlying Fund holds foreign securities that trade on days that foreign securities markets are open.

The net asset value of each Fund is based upon the net asset value(s) of its corresponding Underlying Funds. Shares of the Underlying Funds are valued at their closing net asset values as reported on each business day.

Certain Underlying Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day.

The Prospectuses and Statements of Additional Information (“SAIs”) for the Underlying Funds explain the valuation methods for the Underlying Funds, including the circumstances under which the Underlying Funds may use fair value pricing and the effects of doing so. Such Prospectuses and SAIs are available on the SEC’s EDGAR database on its website at http://www.sec.gov.

95

Notes to Financial Statements (Continued)

Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)

Each Fund characterized all investments at Level 1, as of September 30, 2019. For each Fund, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The Funds had no Level 3 transfers during the year ended September 30, 2019.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and distributions including realized gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets or another alternative method.

In addition, each Fund will also incur certain fees and expenses indirectly as a shareholder in the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and each Fund may own different proportions of Underlying Funds at different times, the amount of fees and expenses indirectly incurred by each Fund will vary.

Foreign Securities

Certain Underlying Funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

96

Notes to Financial Statements (Continued)

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Advisory Fees and Other Transactions

Investment Advisory Fees and Investment Subadviser

MML Advisers, a wholly-owned subsidiary of MassMutual, serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. MML Advisers does not receive advisory fees in return for these services.

MML Advisers has also entered into an investment subadvisory agreement with the unaffiliated investment subadviser, J.P. Morgan, for each of the MM RetireSMART by JPMorgan Funds.

Administration Fees

Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
MM RetireSMART Conservative Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART Moderate Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART Moderate Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART Growth Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan In Retirement Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2020 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2025 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2030 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2035 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2040 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2045 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2050 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2055 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%
MM RetireSMART by JPMorgan 2060 Fund		None		0.10%		0.15%		0.15%		0.15%		0.20%		0.20%

97

Notes to Financial Statements (Continued)

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as a distributor to each Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class A shares and Class R4 shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.

The Trust has entered into a separate Supplemental Shareholder Services Agreement with MassMutual, on behalf of Service Class shares, Administrative Class shares, and Class A shares of each Fund. Fees payable under the Supplemental Shareholder Services Agreement are intended to compensate MassMutual for its provision of shareholder services to the Funds’ investors and are calculated and paid based on the average daily net assets attributable to the relevant share classes of the Funds separately, at the following annual rates: 0.05% for Service Class shares, and 0.15% for Administrative Class shares and Class A shares. MassMutual may pay these fees to other intermediaries for providing shareholder services to the Funds’ investors.

Expense Caps and Waivers

MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class I		Class R5		Service Class		Administrative Class		Class A		Class R4		Class R3
MM RetireSMART Conservative Fund*		0.02%		0.12%		0.22%		0.32%		0.57%		0.47%		0.72%
MM RetireSMART Moderate Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART Moderate Growth Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART Growth Fund*		0.07%		0.17%		0.27%		0.37%		0.62%		0.52%		0.77%
MM RetireSMART by JPMorgan In Retirement Fund*		0.06%		0.16%		0.26%		0.36%		0.61%		0.51%		0.76%
MM RetireSMART by JPMorgan 2020 Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART by JPMorgan 2025 Fund*		0.01%		0.11%		0.21%		0.31%		0.56%		0.46%		0.71%
MM RetireSMART by JPMorgan 2030 Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART by JPMorgan 2035 Fund*		0.05%		0.15%		0.25%		0.35%		0.60%		0.50%		0.75%
MM RetireSMART by JPMorgan 2040 Fund*		0.04%		0.14%		0.24%		0.34%		0.59%		0.49%		0.74%
MM RetireSMART by JPMorgan 2045 Fund*		0.02%		0.12%		0.22%		0.32%		0.57%		0.47%		0.72%
MM RetireSMART by JPMorgan 2050 Fund*		0.02%		0.12%		0.22%		0.32%		0.57%		0.47%		0.72%
MM RetireSMART by JPMorgan 2055 Fund*		0.00%		0.10%		0.20%		0.30%		0.55%		0.45%		0.70%
MM RetireSMART by JPMorgan 2060 Fund*		0.00%		0.10%		0.20%		0.30%		0.55%		0.45%		0.70%

# Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps in effect through January 31, 2020.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Deferred Compensation

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

98

Notes to Financial Statements (Continued)

Other

Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at September 30, 2019:

	Total % Ownership by Related Party
MM RetireSMART Conservative Fund		94.9%
MM RetireSMART Moderate Fund		86.9%
MM RetireSMART Moderate Growth Fund		90.5%
MM RetireSMART Growth Fund		83.4%
MM RetireSMART by JPMorgan In Retirement Fund		43.3%
MM RetireSMART by JPMorgan 2020 Fund		55.1%
MM RetireSMART by JPMorgan 2025 Fund		49.5%
MM RetireSMART by JPMorgan 2030 Fund		59.2%
MM RetireSMART by JPMorgan 2035 Fund		49.6%
MM RetireSMART by JPMorgan 2040 Fund		55.9%
MM RetireSMART by JPMorgan 2045 Fund		55.2%
MM RetireSMART by JPMorgan 2050 Fund		49.9%
MM RetireSMART by JPMorgan 2055 Fund		54.8%
MM RetireSMART by JPMorgan 2060 Fund		85.0%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investments in Underlying Funds (excluding short-term investments) for the year ended September 30, 2019, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
MM RetireSMART Conservative Fund	$	-	$	94,497,452	$	-	$	82,687,209
MM RetireSMART Moderate Fund		-		113,007,234		-		118,101,258
MM RetireSMART Moderate Growth Fund		-		111,410,939		-		102,001,474
MM RetireSMART Growth Fund		-		57,921,625		-		44,472,121
MM RetireSMART by JPMorgan In Retirement Fund		-		76,268,556		-		62,517,752
MM RetireSMART by JPMorgan 2020 Fund		-		178,079,405		-		186,501,817
MM RetireSMART by JPMorgan 2025 Fund		-		143,006,672		-		128,082,897
MM RetireSMART by JPMorgan 2030 Fund		-		223,730,594		-		191,769,246
MM RetireSMART by JPMorgan 2035 Fund		-		118,974,156		-		107,247,630
MM RetireSMART by JPMorgan 2040 Fund		-		170,339,742		-		127,465,913
MM RetireSMART by JPMorgan 2045 Fund		-		78,559,737		-		62,101,493
MM RetireSMART by JPMorgan 2050 Fund		-		108,610,848		-		72,964,341
MM RetireSMART by JPMorgan 2055 Fund		-		38,989,092		-		28,190,306
MM RetireSMART by JPMorgan 2060 Fund		-		9,297,402		-		7,217,942

99

Notes to Financial Statements (Continued)

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART Conservative Fund Class I
Sold		499,503		$	4,902,290			492,877		$	4,923,864
Issued as reinvestment of dividends		50,401			456,635			17,665			174,706
Redeemed		(189,335	)		(1,864,542	)		(306,977	)		(3,079,613	)
Net increase (decrease)		360,569		$	3,494,383			203,565		$	2,018,957
MM RetireSMART Conservative Fund Class R5
Sold		90,640		$	888,916			107,138		$	1,072,474
Issued as reinvestment of dividends		37,590			340,190			32,701			323,410
Redeemed		(147,310	)		(1,441,054	)		(591,304	)		(5,900,826	)
Net increase (decrease)		(19,080	)	$	(211,948	)		(451,465	)	$	(4,504,942	)
MM RetireSMART Conservative Fund Service Class
Sold		133,889		$	1,320,355			168,849		$	1,684,460
Issued as reinvestment of dividends		43,765			396,511			18,495			182,922
Redeemed		(54,901	)		(542,427	)		(112,157	)		(1,118,707	)
Net increase (decrease)		122,753		$	1,174,439			75,187		$	748,675
MM RetireSMART Conservative Fund Administrative Class
Sold		616,085		$	6,014,019			609,673		$	6,058,679
Issued as reinvestment of dividends		199,715			1,811,415			132,072			1,307,514
Redeemed		(1,563,517	)		(15,356,249	)		(2,063,031	)		(20,461,064	)
Net increase (decrease)		(747,717	)	$	(7,530,815	)		(1,321,286	)	$	(13,094,871	)
MM RetireSMART Conservative Fund Class A
Sold		302,606		$	2,971,866			436,059		$	4,357,726
Issued as reinvestment of dividends		131,771			1,203,067			71,510			712,236
Redeemed		(646,562	)		(6,264,217	)		(992,944	)		(9,938,589	)
Net increase (decrease)		(212,185	)	$	(2,089,284	)		(485,375	)	$	(4,868,627	)
MM RetireSMART Conservative Fund Class R4
Sold		1,788,652		$	17,257,637			1,583,186		$	15,667,931
Issued as reinvestment of dividends		569,118			5,116,375			255,215			2,508,766
Redeemed		(766,086	)		(7,393,232	)		(994,196	)		(9,826,047	)
Net increase (decrease)		1,591,684		$	14,980,780			844,205		$	8,350,650
MM RetireSMART Conservative Fund Class R3
Sold		206,281		$	1,977,157			116,026		$	1,142,463
Issued as reinvestment of dividends		39,173			351,773			17,862			175,226
Redeemed		(308,026	)		(3,011,262	)		(122,362	)		(1,200,950	)
Net increase (decrease)		(62,572	)	$	(682,332	)		11,526		$	116,739
MM RetireSMART Moderate Fund Class I
Sold		1,860,064		$	17,955,623			933,979		$	9,740,757
Issued as reinvestment of dividends		150,506			1,282,311			17,000			174,425
Redeemed		(304,263	)		(2,943,321	)		(439,885	)		(4,580,987	)
Net increase (decrease)		1,706,307		$	16,294,613			511,094		$	5,334,195

100

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART Moderate Fund Class R5
Sold		429,875		$	4,145,087			437,632		$	4,563,283
Issued as reinvestment of dividends		277,435			2,363,743			137,865			1,414,498
Redeemed		(2,125,974	)		(20,595,283	)		(2,223,719	)		(23,248,175	)
Net increase (decrease)		(1,418,664	)	$	(14,086,453	)		(1,648,222	)	$	(17,270,394	)
MM RetireSMART Moderate Fund Service Class
Sold		113,130		$	1,111,248			751,818		$	7,890,661
Issued as reinvestment of dividends		120,464			1,032,379			13,895			143,255
Redeemed		(155,655	)		(1,528,606	)		(134,338	)		(1,407,357	)
Net increase (decrease)		77,939		$	615,021			631,375		$	6,626,559
MM RetireSMART Moderate Fund Administrative Class
Sold		749,857		$	7,259,665			952,682		$	9,925,774
Issued as reinvestment of dividends		891,856			7,634,289			294,805			3,036,488
Redeemed		(2,750,350	)		(26,714,860	)		(2,574,700	)		(26,978,432	)
Net increase (decrease)		(1,108,637	)	$	(11,820,906	)		(1,327,213	)	$	(14,016,170	)
MM RetireSMART Moderate Fund Class A
Sold		516,390		$	5,007,317			627,446		$	6,551,415
Issued as reinvestment of dividends		907,279			7,802,596			296,130			3,059,026
Redeemed		(1,834,983	)		(17,560,833	)		(3,467,041	)		(36,158,968	)
Net increase (decrease)		(411,314	)	$	(4,750,920	)		(2,543,465	)	$	(26,548,527	)
MM RetireSMART Moderate Fund Class R4
Sold		737,851		$	7,115,434			823,937		$	8,529,078
Issued as reinvestment of dividends		370,566			3,153,518			84,966			870,056
Redeemed		(311,884	)		(2,942,918	)		(373,879	)		(3,868,398	)
Net increase (decrease)		796,533		$	7,326,034			535,024		$	5,530,736
MM RetireSMART Moderate Fund Class R3
Sold		257,998		$	2,458,618			179,252		$	1,855,210
Issued as reinvestment of dividends		117,848			1,001,709			34,919			357,217
Redeemed		(528,157	)		(5,069,967	)		(396,362	)		(4,118,067	)
Net increase (decrease)		(152,311	)	$	(1,609,640	)		(182,191	)	$	(1,905,640	)
MM RetireSMART Moderate Growth Fund Class I
Sold		1,242,844		$	12,380,305			324,090		$	3,565,235
Issued as reinvestment of dividends		202,308			1,681,179			28,692			307,577
Redeemed		(576,140	)		(5,581,787	)		(588,049	)		(6,447,046	)
Net increase (decrease)		869,012		$	8,479,697			(235,267	)	$	(2,574,234	)
MM RetireSMART Moderate Growth Fund Class R5
Sold		148,857		$	1,420,162			287,503		$	3,159,409
Issued as reinvestment of dividends		180,794			1,504,204			98,671			1,058,740
Redeemed		(327,106	)		(3,309,071	)		(1,188,225	)		(13,120,234	)
Net increase (decrease)		2,545		$	(384,705	)		(802,051	)	$	(8,902,085	)
MM RetireSMART Moderate Growth Fund Service Class
Sold		95,053		$	920,431			504,428		$	5,562,359
Issued as reinvestment of dividends		124,557			1,040,049			18,142			195,201
Redeemed		(70,619	)		(701,950	)		(153,893	)		(1,694,200	)
Net increase (decrease)		148,991		$	1,258,530			368,677		$	4,063,360

101

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART Moderate Growth Fund Administrative Class
Sold		836,033		$	8,213,767			935,199		$	10,248,696
Issued as reinvestment of dividends		1,370,678			11,431,456			394,594			4,245,830
Redeemed		(2,322,361	)		(22,516,765	)		(1,919,274	)		(21,039,898	)
Net increase (decrease)		(115,650	)	$	(2,871,542	)		(589,481	)	$	(6,545,372	)
MM RetireSMART Moderate Growth Fund Class A
Sold		482,620		$	4,699,767			685,100		$	7,569,068
Issued as reinvestment of dividends		1,079,064			9,053,344			346,699			3,744,352
Redeemed		(1,860,258	)		(17,968,718	)		(2,689,834	)		(29,604,005	)
Net increase (decrease)		(298,574	)	$	(4,215,607	)		(1,658,035	)	$	(18,290,585	)
MM RetireSMART Moderate Growth Fund Class R4
Sold		674,160		$	6,647,090			496,056		$	5,411,212
Issued as reinvestment of dividends		385,271			3,190,043			89,699			958,886
Redeemed		(458,004	)		(4,340,620	)		(488,448	)		(5,344,495	)
Net increase (decrease)		601,427		$	5,496,513			97,307		$	1,025,603
MM RetireSMART Moderate Growth Fund Class R3
Sold		316,579		$	3,044,205			265,390		$	2,888,069
Issued as reinvestment of dividends		243,320			2,012,259			53,015			565,673
Redeemed		(398,374	)		(3,753,045	)		(106,827	)		(1,162,442	)
Net increase (decrease)		161,525		$	1,303,419			211,578		$	2,291,300
MM RetireSMART Growth Fund Class I
Sold		996,922		$	10,416,338			1,063,444		$	12,777,074
Issued as reinvestment of dividends		296,171			2,594,461			30,350			353,279
Redeemed		(491,096	)		(4,974,922	)		(331,726	)		(3,948,726	)
Net increase (decrease)		801,997		$	8,035,877			762,068		$	9,181,627
MM RetireSMART Growth Fund Class R5
Sold		97,231		$	1,005,721			169,262		$	2,016,682
Issued as reinvestment of dividends		66,907			586,773			26,171			304,892
Redeemed		(161,631	)		(1,803,199	)		(277,181	)		(3,282,841	)
Net increase (decrease)		2,507		$	(210,705	)		(81,748	)	$	(961,267	)
MM RetireSMART Growth Fund Service Class
Sold		51,397		$	534,634			139,418		$	1,671,439
Issued as reinvestment of dividends		41,285			362,897			5,963			69,593
Redeemed		(30,126	)		(319,461	)		(52,257	)		(628,466	)
Net increase (decrease)		62,556		$	578,070			93,124		$	1,112,566
MM RetireSMART Growth Fund Administrative Class
Sold		420,177		$	4,378,093			668,487		$	7,956,988
Issued as reinvestment of dividends		504,040			4,425,472			128,949			1,503,548
Redeemed		(941,354	)		(9,732,135	)		(665,412	)		(7,987,846	)
Net increase (decrease)		(17,137	)	$	(928,570	)		132,024		$	1,472,690

102

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART Growth Fund Class A
Sold		280,167		$	2,912,805			349,224		$	4,151,386
Issued as reinvestment of dividends		483,718			4,251,879			151,240			1,763,450
Redeemed		(674,199	)		(6,759,704	)		(1,510,620	)		(17,872,641	)
Net increase (decrease)		89,686		$	404,980			(1,010,156	)	$	(11,957,805	)
MM RetireSMART Growth Fund Class R4
Sold		498,857		$	5,228,458			431,060		$	5,117,634
Issued as reinvestment of dividends		260,433			2,263,160			55,242			638,041
Redeemed		(426,662	)		(4,371,206	)		(442,699	)		(5,205,677	)
Net increase (decrease)		332,628		$	3,120,412			43,603		$	549,998
MM RetireSMART Growth Fund Class R3
Sold		175,634		$	1,792,521			123,892		$	1,460,426
Issued as reinvestment of dividends		123,341			1,070,597			27,157			313,391
Redeemed		(129,030	)		(1,307,288	)		(148,223	)		(1,758,329	)
Net increase (decrease)		169,945		$	1,555,830			2,826		$	15,488
MM RetireSMART by JPMorgan In Retirement Fund Class I
Sold		373,682		$	4,261,164			49,424		$	575,143
Issued — merger		1,158,389			12,580,102			-			-
Issued as reinvestment of dividends		13,887			144,704			4,788			55,105
Redeemed		(385,482	)		(4,399,552	)		(71,278	)		(826,091	)
Net increase (decrease)		1,160,476		$	12,586,418			(17,066	)	$	(195,843	)
MM RetireSMART by JPMorgan In Retirement Fund Class R5
Sold		335,681		$	3,731,691			64,260		$	744,052
Issued — merger		414,058			4,509,089			-			-
Issued as reinvestment of dividends		7,251			75,776			7,434			85,723
Redeemed		(122,003	)		(1,377,896	)		(358,909	)		(4,178,877	)
Net increase (decrease)		634,987		$	6,938,660			(287,215	)	$	(3,349,102	)
MM RetireSMART by JPMorgan In Retirement Fund Service Class
Sold		171,644		$	1,948,705			280,767		$	3,267,529
Issued — merger		799,447			8,713,968			-			-
Issued as reinvestment of dividends		49,716			520,524			20,612			238,272
Redeemed		(801,491	)		(9,033,802	)		(449,888	)		(5,220,401	)
Net increase (decrease)		219,316		$	2,149,395			(148,509	)	$	(1,714,600	)
MM RetireSMART by JPMorgan In Retirement Fund Administrative Class
Sold		284,123		$	3,243,600			167,773		$	1,960,904
Issued — merger		1,664,111			18,155,449			-			-
Issued as reinvestment of dividends		89,642			938,553			33,024			381,758
Redeemed		(581,774	)		(6,565,361	)		(329,679	)		(3,839,080	)
Net increase (decrease)		1,456,102		$	15,772,241			(128,882	)	$	(1,496,418	)

103

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan In Retirement Fund Class A
Sold		3,395,336		$	38,161,692			1,387,206		$	15,993,606
Issued — merger		1,505,152			16,270,688			-			-
Issued as reinvestment of dividends		112,484			1,167,586			25,286			290,532
Redeemed		(1,331,688	)		(15,019,992	)		(1,462,621	)		(16,781,042	)
Net increase (decrease)		3,681,284		$	40,579,974			(50,129	)	$	(496,904	)
MM RetireSMART by JPMorgan In Retirement Fund Class R4
Sold		355,881		$	4,038,329			72,795		$	833,143
Issued — merger		1,892,083			20,339,891			-			-
Issued as reinvestment of dividends		16,321			168,434			6,563			74,808
Redeemed		(575,807	)		(6,469,693	)		(131,314	)		(1,501,365	)
Net increase (decrease)		1,688,478		$	18,076,961			(51,956	)	$	(593,414	)
MM RetireSMART by JPMorgan In Retirement Fund Class R3
Sold		275,838		$	3,070,897			224,149		$	2,548,051
Issued — merger		2,468,945			26,343,643			-			-
Issued as reinvestment of dividends		50,118			513,708			15,498			175,443
Redeemed		(689,970	)		(7,701,141	)		(262,305	)		(2,987,594	)
Net increase (decrease)		2,104,931		$	22,227,107			(22,658	)	$	(264,100	)
MM RetireSMART by JPMorgan 2020 Fund Class I
Sold		1,691,071		$	21,212,876			922,098		$	12,066,308
Issued as reinvestment of dividends		287,699			3,156,055			66,512			861,333
Redeemed		(596,109	)		(7,280,885	)		(1,113,114	)		(14,626,762	)
Net increase (decrease)		1,382,661		$	17,088,046			(124,504	)	$	(1,699,121	)
MM RetireSMART by JPMorgan 2020 Fund Class R5
Sold		3,881,000		$	47,582,486			801,928		$	10,525,646
Issued as reinvestment of dividends		376,687			4,124,720			80,809			1,045,669
Redeemed		(477,652	)		(5,799,742	)		(1,853,289	)		(24,386,966	)
Net increase (decrease)		3,780,035		$	45,907,464			(970,552	)	$	(12,815,651	)
MM RetireSMART by JPMorgan 2020 Fund Service Class
Sold		251,817		$	3,105,058			985,287		$	12,970,856
Issued as reinvestment of dividends		454,167			5,009,458			228,455			2,967,626
Redeemed		(4,465,857	)		(55,009,046	)		(3,976,259	)		(52,368,787	)
Net increase (decrease)		(3,759,873	)	$	(46,894,530	)		(2,762,517	)	$	(36,430,305	)
MM RetireSMART by JPMorgan 2020 Fund Administrative Class
Sold		647,922		$	7,907,394			690,204		$	9,047,625
Issued as reinvestment of dividends		724,221			7,959,196			233,494			3,028,413
Redeemed		(1,880,649	)		(22,606,431	)		(2,429,659	)		(31,765,345	)
Net increase (decrease)		(508,506	)	$	(6,739,841	)		(1,505,961	)	$	(19,689,307	)

104

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2020 Fund Class A
Sold		2,718,407		$	32,976,033			1,988,718		$	26,008,896
Issued as reinvestment of dividends		571,860			6,256,148			129,597			1,673,102
Redeemed		(3,128,984	)		(38,529,574	)		(1,538,621	)		(20,046,190	)
Net increase (decrease)		161,283		$	702,607			579,694		$	7,635,808
MM RetireSMART by JPMorgan 2020 Fund Class R4
Sold		977,037		$	11,762,202			841,520		$	10,889,614
Issued as reinvestment of dividends		480,631			5,176,395			140,588			1,789,682
Redeemed		(1,766,507	)		(21,121,044	)		(1,287,159	)		(16,598,486	)
Net increase (decrease)		(308,839	)	$	(4,182,447	)		(305,051	)	$	(3,919,190	)
MM RetireSMART by JPMorgan 2020 Fund Class R3
Sold		507,355		$	6,009,107			700,413		$	8,915,827
Issued as reinvestment of dividends		688,595			7,305,993			177,905			2,234,480
Redeemed		(1,716,347	)		(20,109,831	)		(1,570,240	)		(19,986,556	)
Net increase (decrease)		(520,397	)	$	(6,794,731	)		(691,922	)	$	(8,836,249	)
MM RetireSMART by JPMorgan 2025 Fund Class I
Sold		1,887,559		$	23,567,104			437,172		$	5,813,364
Issued as reinvestment of dividends		338,155			3,641,934			95,436			1,243,536
Redeemed		(588,913	)		(7,095,949	)		(642,586	)		(8,542,458	)
Net increase (decrease)		1,636,801		$	20,113,089			(109,978	)	$	(1,485,558	)
MM RetireSMART by JPMorgan 2025 Fund Class R5
Sold		38,270		$	455,692			77,675		$	1,028,270
Issued as reinvestment of dividends		523			5,683			1,511			19,722
Redeemed		(268	)		(3,276	)		(102,682	)		(1,365,424	)
Net increase (decrease)		38,525		$	458,099			(23,496	)	$	(317,432	)
MM RetireSMART by JPMorgan 2025 Fund Service Class
Sold		113,889		$	1,374,274			524,183		$	6,961,588
Issued as reinvestment of dividends		166,138			1,792,633			89,982			1,173,370
Redeemed		(990,563	)		(12,090,792	)		(806,918	)		(10,778,897	)
Net increase (decrease)		(710,536	)	$	(8,923,885	)		(192,753	)	$	(2,643,939	)
MM RetireSMART by JPMorgan 2025 Fund Administrative Class
Sold		600,235		$	7,271,123			493,719		$	6,562,985
Issued as reinvestment of dividends		434,224			4,672,252			187,921			2,444,848
Redeemed		(1,080,688	)		(12,966,837	)		(644,809	)		(8,523,846	)
Net increase (decrease)		(46,229	)	$	(1,023,462	)		36,831		$	483,987
MM RetireSMART by JPMorgan 2025 Fund Class A
Sold		2,954,328		$	35,646,642			1,305,234		$	17,115,699
Issued as reinvestment of dividends		329,422			3,514,932			113,405			1,465,192
Redeemed		(1,945,112	)		(24,135,517	)		(941,869	)		(12,360,646	)
Net increase (decrease)		1,338,638		$	15,026,057			476,770		$	6,220,245

105

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2025 Fund Class R4
Sold		946,287		$	11,430,135			1,038,101		$	13,620,447
Issued as reinvestment of dividends		634,598			6,739,429			250,080			3,216,029
Redeemed		(1,796,695	)		(21,274,524	)		(924,170	)		(12,076,389	)
Net increase (decrease)		(215,810	)	$	(3,104,960	)		364,011		$	4,760,087
MM RetireSMART by JPMorgan 2025 Fund Class R3
Sold		711,540		$	8,473,301			873,111		$	11,406,702
Issued as reinvestment of dividends		840,068			8,904,717			328,358			4,216,114
Redeemed		(1,746,155	)		(20,935,844	)		(1,327,484	)		(17,342,925	)
Net increase (decrease)		(194,547	)	$	(3,557,826	)		(126,015	)	$	(1,720,109	)
MM RetireSMART by JPMorgan 2030 Fund Class I
Sold		1,927,987		$	24,592,397			1,259,377		$	17,049,319
Issued as reinvestment of dividends		418,489			4,461,097			82,951			1,109,057
Redeemed		(416,042	)		(4,969,475	)		(1,198,288	)		(16,419,207	)
Net increase (decrease)		1,930,434		$	24,084,019			144,040		$	1,739,169
MM RetireSMART by JPMorgan 2030 Fund Class R5
Sold		6,113,519		$	75,434,452			576,875		$	7,832,660
Issued as reinvestment of dividends		649,468			6,897,350			110,426			1,473,075
Redeemed		(508,976	)		(6,226,119	)		(2,498,317	)		(34,184,293	)
Net increase (decrease)		6,254,011		$	76,105,683			(1,811,016	)	$	(24,878,558	)
MM RetireSMART by JPMorgan 2030 Fund Service Class
Sold		579,350		$	7,225,760			1,426,141		$	19,445,492
Issued as reinvestment of dividends		814,685			8,708,981			356,693			4,772,561
Redeemed		(6,186,844	)		(76,977,575	)		(4,277,357	)		(58,277,662	)
Net increase (decrease)		(4,792,809	)	$	(61,042,834	)		(2,494,523	)	$	(34,059,609	)
MM RetireSMART by JPMorgan 2030 Fund Administrative Class
Sold		1,549,863		$	18,968,375			1,064,257		$	14,562,349
Issued as reinvestment of dividends		1,183,700			12,618,240			287,044			3,837,773
Redeemed		(1,721,133	)		(20,928,940	)		(1,616,670	)		(22,020,948	)
Net increase (decrease)		1,012,430		$	10,657,675			(265,369	)	$	(3,620,826	)
MM RetireSMART by JPMorgan 2030 Fund Class A
Sold		2,261,261		$	27,599,684			1,414,503		$	19,138,588
Issued as reinvestment of dividends		735,336			7,801,913			162,243			2,157,839
Redeemed		(2,508,027	)		(31,561,238	)		(1,303,020	)		(17,545,986	)
Net increase (decrease)		488,570		$	3,840,359			273,726		$	3,750,441
MM RetireSMART by JPMorgan 2030 Fund Class R4
Sold		1,006,059		$	12,131,276			915,602		$	12,295,571
Issued as reinvestment of dividends		742,965			7,808,568			178,415			2,355,074
Redeemed		(2,076,053	)		(25,109,742	)		(966,600	)		(12,993,514	)
Net increase (decrease)		(327,029	)	$	(5,169,898	)		127,417		$	1,657,131

106

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2030 Fund Class R3
Sold		935,763		$	11,119,229			1,131,474		$	14,989,597
Issued as reinvestment of dividends		1,351,971			14,006,419			290,750			3,791,380
Redeemed		(2,573,579	)		(30,460,080	)		(1,160,851	)		(15,380,573	)
Net increase (decrease)		(285,845	)	$	(5,334,432	)		261,373		$	3,400,404
MM RetireSMART by JPMorgan 2035 Fund Class I
Sold		1,239,073		$	15,948,803			539,886		$	7,549,651
Issued as reinvestment of dividends		329,691			3,557,363			70,790			961,325
Redeemed		(474,321	)		(5,788,364	)		(231,578	)		(3,195,838	)
Net increase (decrease)		1,094,443		$	13,717,802			379,098		$	5,315,138
MM RetireSMART by JPMorgan 2035 Fund Class R5
Sold		136,689		$	1,678,622			17,806		$	245,589
Issued as reinvestment of dividends		367			3,966			4,263			57,846
Redeemed		(5,040	)		(64,360	)		(88,816	)		(1,205,126	)
Net increase (decrease)		132,016		$	1,618,228			(66,747	)	$	(901,691	)
MM RetireSMART by JPMorgan 2035 Fund Service Class
Sold		116,202		$	1,456,950			257,433		$	3,610,148
Issued as reinvestment of dividends		127,869			1,396,330			68,326			937,439
Redeemed		(518,171	)		(6,537,061	)		(699,390	)		(9,916,265	)
Net increase (decrease)		(274,100	)	$	(3,683,781	)		(373,631	)	$	(5,368,678	)
MM RetireSMART by JPMorgan 2035 Fund Administrative Class
Sold		627,212		$	7,884,573			357,319		$	4,985,718
Issued as reinvestment of dividends		346,640			3,771,444			117,315			1,604,869
Redeemed		(792,744	)		(9,722,807	)		(321,176	)		(4,487,000	)
Net increase (decrease)		181,108		$	1,933,210			153,458		$	2,103,587
MM RetireSMART by JPMorgan 2035 Fund Class A
Sold		1,501,811		$	18,798,450			1,073,421		$	14,862,853
Issued as reinvestment of dividends		293,473			3,169,502			89,191			1,212,105
Redeemed		(1,454,001	)		(18,624,056	)		(743,768	)		(10,296,857	)
Net increase (decrease)		341,283		$	3,343,896			418,844		$	5,778,101
MM RetireSMART by JPMorgan 2035 Fund Class R4
Sold		962,058		$	12,085,840			1,042,384		$	14,471,404
Issued as reinvestment of dividends		594,904			6,389,269			195,912			2,648,724
Redeemed		(1,678,857	)		(20,478,932	)		(772,470	)		(10,674,784	)
Net increase (decrease)		(121,895	)	$	(2,003,823	)		465,826		$	6,445,344
MM RetireSMART by JPMorgan 2035 Fund Class R3
Sold		621,405		$	7,666,391			697,634		$	9,615,964
Issued as reinvestment of dividends		721,533			7,734,831			239,248			3,229,848
Redeemed		(1,410,023	)		(17,260,470	)		(705,387	)		(9,722,580	)
Net increase (decrease)		(67,085	)	$	(1,859,248	)		231,495		$	3,123,232

107

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2040 Fund Class I
Sold		1,496,558		$	18,454,462			676,399		$	9,106,730
Issued as reinvestment of dividends		266,740			2,736,758			52,694			695,562
Redeemed		(313,459	)		(3,702,606	)		(625,085	)		(8,465,198	)
Net increase (decrease)		1,449,839		$	17,488,614			104,008		$	1,337,094
MM RetireSMART by JPMorgan 2040 Fund Class R5
Sold		4,270,625		$	51,499,544			360,500		$	4,836,097
Issued as reinvestment of dividends		453,637			4,654,320			75,507			996,694
Redeemed		(294,250	)		(3,539,672	)		(1,258,054	)		(17,078,307	)
Net increase (decrease)		4,430,012		$	52,614,192			(822,047	)	$	(11,245,516	)
MM RetireSMART by JPMorgan 2040 Fund Service Class
Sold		552,224		$	6,665,468			892,528		$	12,039,576
Issued as reinvestment of dividends		509,235			5,250,215			241,325			3,192,736
Redeemed		(4,204,209	)		(50,929,995	)		(2,316,979	)		(31,332,413	)
Net increase (decrease)		(3,142,750	)	$	(39,014,312	)		(1,183,126	)	$	(16,100,101	)
MM RetireSMART by JPMorgan 2040 Fund Administrative Class
Sold		1,220,622		$	14,719,998			702,735		$	9,461,777
Issued as reinvestment of dividends		884,934			9,079,419			236,797			3,125,721
Redeemed		(1,203,721	)		(14,284,735	)		(1,189,134	)		(15,972,188	)
Net increase (decrease)		901,835		$	9,514,682			(249,602	)	$	(3,384,690	)
MM RetireSMART by JPMorgan 2040 Fund Class A
Sold		1,631,442		$	19,311,340			878,539		$	11,759,186
Issued as reinvestment of dividends		425,188			4,336,919			118,515			1,554,919
Redeemed		(1,815,213	)		(22,299,667	)		(903,594	)		(12,008,953	)
Net increase (decrease)		241,417		$	1,348,592			93,460		$	1,305,152
MM RetireSMART by JPMorgan 2040 Fund Class R4
Sold		872,122		$	10,333,032			745,996		$	9,906,964
Issued as reinvestment of dividends		547,846			5,533,240			134,673			1,753,444
Redeemed		(1,234,865	)		(14,416,038	)		(583,512	)		(7,737,146	)
Net increase (decrease)		185,103		$	1,450,234			297,157		$	3,923,262
MM RetireSMART by JPMorgan 2040 Fund Class R3
Sold		597,655		$	6,972,109			744,977		$	9,778,296
Issued as reinvestment of dividends		782,573			7,786,600			187,741			2,410,596
Redeemed		(1,155,337	)		(13,221,241	)		(737,013	)		(9,652,135	)
Net increase (decrease)		224,891		$	1,537,468			195,705		$	2,536,757
MM RetireSMART by JPMorgan 2045 Fund Class I
Sold		814,952		$	10,501,317			333,824		$	4,787,061
Issued as reinvestment of dividends		164,778			1,763,124			23,773			327,112
Redeemed		(151,899	)		(1,915,646	)		(135,391	)		(1,893,239	)
Net increase (decrease)		827,831		$	10,348,795			222,206		$	3,220,934

108

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2045 Fund Class R5
Sold		51,215		$	641,804			12,465		$	173,862
Issued as reinvestment of dividends		534			5,723			867			11,951
Redeemed		(3,188	)		(38,346	)		(18,894	)		(261,012	)
Net increase (decrease)		48,561		$	609,181			(5,562	)	$	(75,199	)
MM RetireSMART by JPMorgan 2045 Fund Service Class
Sold		144,772		$	1,797,355			280,443		$	3,934,837
Issued as reinvestment of dividends		103,955			1,113,350			40,660			559,484
Redeemed		(637,368	)		(7,991,360	)		(391,170	)		(5,555,759	)
Net increase (decrease)		(388,641	)	$	(5,080,655	)		(70,067	)	$	(1,061,438	)
MM RetireSMART by JPMorgan 2045 Fund Administrative Class
Sold		504,179		$	6,307,575			255,322		$	3,594,635
Issued as reinvestment of dividends		215,351			2,297,794			61,757			847,923
Redeemed		(311,377	)		(3,715,356	)		(218,144	)		(3,064,992	)
Net increase (decrease)		408,153		$	4,890,013			98,935		$	1,377,566
MM RetireSMART by JPMorgan 2045 Fund Class A
Sold		846,760		$	10,427,774			568,715		$	7,929,380
Issued as reinvestment of dividends		181,592			1,924,872			51,570			703,409
Redeemed		(830,182	)		(10,647,639	)		(405,333	)		(5,634,301	)
Net increase (decrease)		198,170		$	1,705,007			214,952		$	2,998,488
MM RetireSMART by JPMorgan 2045 Fund Class R4
Sold		799,240		$	9,823,032			526,617		$	7,321,561
Issued as reinvestment of dividends		335,485			3,532,658			105,169			1,427,149
Redeemed		(922,444	)		(11,349,358	)		(498,032	)		(6,920,737	)
Net increase (decrease)		212,281		$	2,006,332			133,754		$	1,827,973
MM RetireSMART by JPMorgan 2045 Fund Class R3
Sold		594,005		$	7,353,615			581,063		$	8,042,815
Issued as reinvestment of dividends		551,242			5,793,557			159,177			2,156,853
Redeemed		(901,101	)		(11,012,728	)		(511,354	)		(7,069,390	)
Net increase (decrease)		244,146		$	2,134,444			228,886		$	3,130,278
MM RetireSMART by JPMorgan 2050 Fund Class I
Sold		1,086,818		$	9,819,005			568,447		$	5,649,088
Issued as reinvestment of dividends		210,082			1,550,399			37,543			364,167
Redeemed		(173,502	)		(1,520,362	)		(405,656	)		(4,068,685	)
Net increase (decrease)		1,123,398		$	9,849,042			200,334		$	1,944,570
MM RetireSMART by JPMorgan 2050 Fund Class R5
Sold		4,482,446		$	39,569,796			471,827		$	4,689,129
Issued as reinvestment of dividends		528,312			3,893,659			81,844			793,066
Redeemed		(443,970	)		(3,842,460	)		(1,465,733	)		(14,670,650	)
Net increase (decrease)		4,566,788		$	39,620,995			(912,062	)	$	(9,188,455	)

109

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2050 Fund Service Class
Sold		459,841		$	4,091,800			1,172,387		$	11,675,041
Issued as reinvestment of dividends		373,979			2,771,186			201,506			1,954,614
Redeemed		(3,952,121	)		(35,250,337	)		(1,420,408	)		(14,083,519	)
Net increase (decrease)		(3,118,301	)	$	(28,387,351	)		(46,515	)	$	(453,864	)
MM RetireSMART by JPMorgan 2050 Fund Administrative Class
Sold		1,532,803		$	13,211,603			985,560		$	9,814,591
Issued as reinvestment of dividends		847,054			6,259,727			205,498			1,993,329
Redeemed		(752,682	)		(6,418,527	)		(613,021	)		(6,069,328	)
Net increase (decrease)		1,627,175		$	13,052,803			578,037		$	5,738,592
MM RetireSMART by JPMorgan 2050 Fund Class A
Sold		1,308,800		$	11,281,195			773,173		$	7,618,871
Issued as reinvestment of dividends		323,269			2,376,030			95,054			916,317
Redeemed		(1,257,212	)		(11,232,235	)		(840,294	)		(8,245,568	)
Net increase (decrease)		374,857		$	2,424,990			27,933		$	289,620
MM RetireSMART by JPMorgan 2050 Fund Class R4
Sold		1,000,089		$	8,594,628			677,266		$	6,649,980
Issued as reinvestment of dividends		406,285			2,965,880			109,316			1,049,431
Redeemed		(992,007	)		(8,537,517	)		(698,765	)		(6,876,709	)
Net increase (decrease)		414,367		$	3,022,991			87,817		$	822,702
MM RetireSMART by JPMorgan 2050 Fund Class R3
Sold		698,825		$	5,921,409			871,346		$	8,498,338
Issued as reinvestment of dividends		696,225			5,047,633			186,843			1,782,486
Redeemed		(1,380,889	)		(11,766,871	)		(794,601	)		(7,678,466	)
Net increase (decrease)		14,161		$	(797,829	)		263,588		$	2,602,358
MM RetireSMART by JPMorgan 2055 Fund Class I
Sold		482,497		$	5,190,177			148,847		$	1,756,478
Issued as reinvestment of dividends		74,288			668,592			14,805			169,808
Redeemed		(149,449	)		(1,582,109	)		(34,752	)		(409,172	)
Net increase (decrease)		407,336		$	4,276,660			128,900		$	1,517,114
MM RetireSMART by JPMorgan 2055 Fund Class R5
Sold		32,519		$	342,951			24,941		$	290,009
Issued as reinvestment of dividends		154			1,387			127			1,452
Redeemed		(2,097	)		(21,949	)		(17,706	)		(209,197	)
Net increase (decrease)		30,576		$	322,389			7,362		$	82,264
MM RetireSMART by JPMorgan 2055 Fund Service Class
Sold		188,075		$	1,983,886			193,807		$	2,287,839
Issued as reinvestment of dividends		63,067			569,492			20,937			240,772
Redeemed		(495,221	)		(5,215,134	)		(112,392	)		(1,338,173	)
Net increase (decrease)		(244,079	)	$	(2,661,756	)		102,352		$	1,190,438

110

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2055 Fund Administrative Class
Sold		380,434		$	4,002,115			211,469		$	2,487,189
Issued as reinvestment of dividends		82,938			745,615			30,605			350,425
Redeemed		(205,098	)		(2,146,189	)		(148,432	)		(1,745,288	)
Net increase (decrease)		258,274		$	2,601,541			93,642		$	1,092,326
MM RetireSMART by JPMorgan 2055 Fund Class A
Sold		434,140		$	4,537,162			324,227		$	3,799,084
Issued as reinvestment of dividends		73,222			658,269			23,970			274,452
Redeemed		(387,118	)		(4,195,936	)		(185,135	)		(2,180,079	)
Net increase (decrease)		120,244		$	999,495			163,062		$	1,893,457
MM RetireSMART by JPMorgan 2055 Fund Class R4
Sold		507,138		$	5,279,630			390,949		$	4,565,158
Issued as reinvestment of dividends		143,518			1,284,484			43,001			490,643
Redeemed		(429,053	)		(4,369,305	)		(192,118	)		(2,254,181	)
Net increase (decrease)		221,603		$	2,194,809			241,832		$	2,801,620
MM RetireSMART by JPMorgan 2055 Fund Class R3
Sold		536,837		$	5,537,152			525,435		$	6,128,526
Issued as reinvestment of dividends		271,959			2,425,873			96,646			1,099,835
Redeemed		(499,279	)		(5,159,782	)		(274,930	)		(3,193,200	)
Net increase (decrease)		309,517		$	2,803,243			347,151		$	4,035,161
MM RetireSMART by JPMorgan 2060 Fund Class I
Sold		41,509		$	425,098			23,912		$	279,266
Issued as reinvestment of dividends		9,132			80,633			2,017			22,887
Redeemed		(21,046	)		(214,164	)		(5,676	)		(66,302	)
Net increase (decrease)		29,595		$	291,567			20,253		$	235,851
MM RetireSMART by JPMorgan 2060 Fund Class R5
Sold		141,975		$	1,437,544			72,685		$	844,422
Issued as reinvestment of dividends		1,909			16,841			158			1,796
Redeemed		(51,139	)		(527,106	)		(58,524	)		(676,466	)
Net increase (decrease)		92,745		$	927,279			14,319		$	169,752
MM RetireSMART by JPMorgan 2060 Fund Service Class
Sold		27,456		$	285,089			40,118		$	463,919
Issued as reinvestment of dividends		7,408			65,341			581			6,588
Redeemed		(40,633	)		(400,451	)		(8,700	)		(99,823	)
Net increase (decrease)		(5,769	)	$	(50,021	)		31,999		$	370,684
MM RetireSMART by JPMorgan 2060 Fund Administrative Class
Sold		24,882		$	257,200			10,429		$	120,767
Issued as reinvestment of dividends		4,904			43,208			1,144			12,957
Redeemed		(4,049	)		(41,357	)		(4,603	)		(52,632	)
Net increase (decrease)		25,737		$	259,051			6,970		$	81,092

111

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM RetireSMART by JPMorgan 2060 Fund Class A
Sold		17,144		$	175,676			12,933		$	148,080
Issued as reinvestment of dividends		1,304			11,484			186			2,111
Redeemed		(2,291	)		(23,357	)		(1,176	)		(13,669	)
Net increase (decrease)		16,157		$	163,803			11,943		$	136,522
MM RetireSMART by JPMorgan 2060 Fund Class R4
Sold		33,243		$	331,382			7,605		$	88,290
Issued as reinvestment of dividends		2,196			19,346			261			2,954
Redeemed		(21,196	)		(219,347	)		(652	)		(7,625	)
Net increase (decrease)		14,243		$	131,381			7,214		$	83,619
MM RetireSMART by JPMorgan 2060 Fund Class R3
Sold		53,512		$	541,159			42,814		$	493,529
Issued as reinvestment of dividends		9,917			86,975			1,177			13,305
Redeemed		(25,887	)		(265,927	)		(4,602	)		(53,445	)
Net increase (decrease)		37,542		$	362,207			39,389		$	453,389

Purchases of Class A shares are subject to a front-end sales charge of up to 5.50% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. The Distributor retained $935 for MM RetireSMART by JPMorgan 2025 Fund during the period ended September 30, 2019.

Redemptions of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the year ended September 30, 2019, were waived for any redemptions subject to such a charge.

6. Federal Income Tax Information

At September 30, 2019, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
MM RetireSMART Conservative Fund	$	217,076,227	$	1,588,098	$	(835,570	)	$	752,528
MM RetireSMART Moderate Fund		262,276,773		6,469,255		(16,129,731	)		(9,660,476	)
MM RetireSMART Moderate Growth Fund		241,212,407		4,500,698		(17,678,319	)		(13,177,621	)
MM RetireSMART Growth Fund		131,051,022		1,587,201		(12,462,229	)		(10,875,028	)
MM RetireSMART by JPMorgan In Retirement Fund		206,036,629		401,230		(1,377,971	)		(976,741	)
MM RetireSMART by JPMorgan 2020 Fund		395,509,947		1,937,177		(3,428,897	)		(1,491,720	)
MM RetireSMART by JPMorgan 2025 Fund		290,497,374		9,991,107		(14,659,759	)		(4,668,652	)
MM RetireSMART by JPMorgan 2030 Fund		531,329,676		1,445,522		(16,050,119	)		(14,604,597	)
MM RetireSMART by JPMorgan 2035 Fund		232,261,368		5,712,953		(16,722,323	)		(11,009,370	)
MM RetireSMART by JPMorgan 2040 Fund		352,267,639		7,877,652		(25,198,098	)		(17,320,446	)
MM RetireSMART by JPMorgan 2045 Fund		150,877,545		2,963,738		(11,720,127	)		(8,756,389	)
MM RetireSMART by JPMorgan 2050 Fund		211,997,475		4,181,515		(16,232,595	)		(12,051,080	)
MM RetireSMART by JPMorgan 2055 Fund		64,998,677		1,135,801		(5,074,062	)		(3,938,261	)
MM RetireSMART by JPMorgan 2060 Fund		16,325,796		319,344		(1,317,436	)		(998,092	)

112

Notes to Financial Statements (Continued)

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At September 30, 2019, for federal income tax purposes, there were no unused capital losses.

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2019, was as follows:

	Ordinary Income		Long Term Capital Gain
MM RetireSMART Conservative Fund	$	5,886,054	$	3,789,912
MM RetireSMART Moderate Fund		7,033,467		17,237,078
MM RetireSMART Moderate Growth Fund		6,020,100		23,892,434
MM RetireSMART Growth Fund		2,948,353		12,606,886
MM RetireSMART by JPMorgan In Retirement Fund		2,517,932		1,011,369
MM RetireSMART by JPMorgan 2020 Fund		10,305,547		28,682,418
MM RetireSMART by JPMorgan 2025 Fund		7,486,257		21,785,323
MM RetireSMART by JPMorgan 2030 Fund		13,258,513		49,044,056
MM RetireSMART by JPMorgan 2035 Fund		5,565,250		20,469,434
MM RetireSMART by JPMorgan 2040 Fund		7,789,184		31,588,287
MM RetireSMART by JPMorgan 2045 Fund		3,117,216		13,326,470
MM RetireSMART by JPMorgan 2050 Fund		4,278,529		20,585,985
MM RetireSMART by JPMorgan 2055 Fund		1,305,053		5,179,079
MM RetireSMART by JPMorgan 2060 Fund		399,571		1,463,906

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2018, was as follows:

	Ordinary Income		Long Term Capital Gain
MM RetireSMART Conservative Fund	$	5,384,780	$	-
MM RetireSMART Moderate Fund		8,580,817		474,148
MM RetireSMART Moderate Growth Fund		8,681,114		2,395,146
MM RetireSMART Growth Fund		3,698,974		1,247,222
MM RetireSMART by JPMorgan In Retirement Fund		1,301,641		-
MM RetireSMART by JPMorgan 2020 Fund		13,185,359		414,946
MM RetireSMART by JPMorgan 2025 Fund		9,600,585		4,178,226
MM RetireSMART by JPMorgan 2030 Fund		17,811,125		1,685,635
MM RetireSMART by JPMorgan 2035 Fund		7,148,367		3,503,789
MM RetireSMART by JPMorgan 2040 Fund		10,821,217		2,910,711
MM RetireSMART by JPMorgan 2045 Fund		4,174,951		1,861,655
MM RetireSMART by JPMorgan 2050 Fund		5,949,608		2,903,802
MM RetireSMART by JPMorgan 2055 Fund		1,515,394		1,178,014
MM RetireSMART by JPMorgan 2060 Fund		452,146		210,963

113

Notes to Financial Statements (Continued)

The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2019:

	Amount
MM RetireSMART Conservative Fund	$	19,568
MM RetireSMART Moderate Fund		60,389
MM RetireSMART Moderate Growth Fund		69,616
MM RetireSMART Growth Fund		38,856
MM RetireSMART by JPMorgan In Retirement Fund		11,095
MM RetireSMART by JPMorgan 2020 Fund		71,211
MM RetireSMART by JPMorgan 2025 Fund		64,731
MM RetireSMART by JPMorgan 2030 Fund		146,964
MM RetireSMART by JPMorgan 2035 Fund		68,896
MM RetireSMART by JPMorgan 2040 Fund		109,730
MM RetireSMART by JPMorgan 2045 Fund		49,229
MM RetireSMART by JPMorgan 2050 Fund		65,079
MM RetireSMART by JPMorgan 2055 Fund		20,380
MM RetireSMART by JPMorgan 2060 Fund		5,402

Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2019, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.

At September 30, 2019, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)		Other Temporary Differences			Unrealized Appreciation (Depreciation)
MM RetireSMART Conservative Fund	$	601,652	$	4,113,959	$	(26,517	)	$	752,528
MM RetireSMART Moderate Fund		672,743		18,378,929		(46,929	)		(9,660,476	)
MM RetireSMART Moderate Growth Fund		321,496		21,982,538		(37,569	)		(13,177,621	)
MM RetireSMART Growth Fund		98,814		13,269,665		(12,149	)		(10,875,028	)
MM RetireSMART by JPMorgan In Retirement Fund		2,470,459		1,876,232		(45,504	)		(976,741	)
MM RetireSMART by JPMorgan 2020 Fund		1,583,258		12,132,161		(79,016	)		(1,491,720	)
MM RetireSMART by JPMorgan 2025 Fund		160,316		15,302,558		(16,865	)		(4,668,652	)
MM RetireSMART by JPMorgan 2030 Fund		477,893		35,086,219		(73,135	)		(14,604,597	)
MM RetireSMART by JPMorgan 2035 Fund		348,467		18,891,859		(12,850	)		(11,009,370	)
MM RetireSMART by JPMorgan 2040 Fund		709,099		28,970,669		(44,377	)		(17,320,446	)
MM RetireSMART by JPMorgan 2045 Fund		407,682		13,441,426		(7,476	)		(8,756,389	)
MM RetireSMART by JPMorgan 2050 Fund		445,636		17,629,783		(14,442	)		(12,051,080	)
MM RetireSMART by JPMorgan 2055 Fund		97,006		5,463,261		(2,288	)		(3,938,261	)
MM RetireSMART by JPMorgan 2060 Fund		63,840		1,439,404		(676	)		(998,092	)

114

Notes to Financial Statements (Continued)

During the year ended September 30, 2019, the following amounts were reclassified due to permanent differences between book and tax accounting:

	Paid-in Capital		Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
MM RetireSMART Conservative Fund	$	54	$	(405,726	)	$	405,672
MM RetireSMART Moderate Fund		98		(1,318,434	)		1,318,336
MM RetireSMART Moderate Growth Fund		78		(1,700,785	)		1,700,707
MM RetireSMART Growth Fund		24		(960,468	)		960,444
MM RetireSMART by JPMorgan In Retirement Fund		2,822,368		(3,024,404	)		202,036
MM RetireSMART by JPMorgan 2020 Fund		166		(1,336,825	)		1,336,659
MM RetireSMART by JPMorgan 2025 Fund		32		(842,678	)		842,646
MM RetireSMART by JPMorgan 2030 Fund		152		(2,066,093	)		2,065,941
MM RetireSMART by JPMorgan 2035 Fund		25		(1,313,325	)		1,313,300
MM RetireSMART by JPMorgan 2040 Fund		92		(2,030,339	)		2,030,247
MM RetireSMART by JPMorgan 2045 Fund		13		(1,089,923	)		1,089,910
MM RetireSMART by JPMorgan 2050 Fund		28		(1,182,160	)		1,182,132
MM RetireSMART by JPMorgan 2055 Fund		5		(370,831	)		370,826
MM RetireSMART by JPMorgan 2060 Fund		-		(98,429	)		98,429

The Funds did not have any unrecognized tax benefits at September 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended September 30, 2019, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended September 30, 2019, was as follows:

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19			Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Conservative Fund
Barings Global Floating Rate Fund, Class Y*	$	1,848,164	$	1,134,351	$	(1,008,201	)	$	(18,586	)	$	(35,674	)	$	1,920,054			206,902	$	78,689	$	7,940
Invesco Oppenheimer International Bond Fund, Class R6		8,814,647		4,226,273		(4,345,858	)		(8,984	)		(92,945	)		8,593,133	#		1,591,321		542,100		-
Invesco Oppenheimer Real Estate Fund, Class R6		2,815,828		262,730		(2,400,160	)		61,428			(30,193	)		709,633	#		25,353		35,978		71,778
MassMutual Premier Core Bond Fund, Class I		31,249,620		15,512,064		(9,614,445	)		2,647,793			(171,568	)		39,623,464			3,497,217		1,100,357		-
MassMutual Premier High Yield Fund, Class I		4,340,714		2,126,553		(3,415,482	)		90,672			(231,048	)		2,911,409			316,114		241,224		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		10,110,792		1,904,356		(3,698,341	)		364,443			(123,672	)		8,557,578			808,081		310,782		-
MassMutual Premier International Equity Fund, Class I		3,408,438		649,051		(1,946,765	)		(34,625	)		(271,264	)		1,804,835			150,278		26,578		101,746
MassMutual Premier Short-Duration Bond Fund, Class I		24,283,978		10,599,124		(5,891,273	)		190,870			(149,589	)		29,033,110			2,816,015		961,419		-

115

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19			Dividend Income		Realized Gains Distributions
MM RetireSMART Conservative Fund (Continued)
MassMutual Premier Strategic Emerging Markets Fund, Class I	$	2,785,660	$	658,166	$	(2,288,584	)	$	(140,463	)	$	133,483		$	1,148,262		88,125		$	15,264	$	-
MassMutual Select Blue Chip Growth Fund, Class I		3,045,821		1,290,670		(1,477,772	)		(40,309	)		(14,788	)		2,803,622		123,345			13,505		155,699
MassMutual Select Diversified Value Fund, Class I		2,989,442		1,396,471		(1,148,688	)		(84,914	)		(265,385	)		2,886,926		251,474			56,910		358,969
MassMutual Select Equity Opportunities Fund, Class I		2,155,513		729,531		(822,808	)		40,119			(21,650	)		2,080,705		113,514			32,100		163,431
MassMutual Select Fundamental Growth Fund, Class I		1,663,064		842,092		(730,295	)		(166,159	)		(68,078	)		1,540,624		191,859			8,742		296,636
MassMutual Select Fundamental Value Fund, Class I		2,709,604		1,469,541		(1,278,992	)		(67,660	)		(229,339	)		2,603,154		251,999			52,288		262,611
MassMutual Select Growth Opportunities Fund, Class I		1,113,904		615,265		(516,192	)		(119,413	)		(86,621	)		1,006,943		98,623			-		231,074
MassMutual Select Mid Cap Growth Fund, Class I		1,799,407		686,633		(886,990	)		(62,983	)		(42,531	)		1,493,536		63,990			758		157,618
MassMutual Select Mid-Cap Value Fund, Class I		1,764,407		780,137		(781,351	)		(27,677	)		(204,165	)		1,531,351		123,297			23,067		216,408
MassMutual Select Overseas Fund, Class I		6,815,653		2,289,631		(4,661,950	)		(380,291	)		(386,645	)		3,676,398		440,287			91,337		467,567
MassMutual Select Small Cap Growth Equity Fund, Class I		869,095		434,505		(563,801	)		(104,119	)		(99,538	)		536,142		35,042			-		141,745
MassMutual Select Small Cap Value Equity Fund, Class I		1,194,747		951,464		(551,219	)		(149,335	)		(344,755	)		1,100,902		98,559			4,571		354,783
MassMutual Select Strategic Bond Fund, Class I		23,145,652		12,137,478		(7,608,291	)		2,471,098			145,399			30,291,336		2,741,297			676,445		-
MassMutual Select Total Return Bond Fund, Class I		23,148,301		14,281,486		(7,113,160	)		2,383,718			(140,332	)		32,560,013		3,161,166			741,352		-
MM Select Equity Asset Fund, Class I		13,637,476		10,416,878		(7,134,114	)		(1,070,479	)		(2,938,635	)		12,911,126		1,634,320			554,508		3,942,543
	$	175,709,927	$	85,394,450	$	(69,884,732	)	$	5,774,144		$	(5,669,533	)	$	191,324,256				$	5,567,974	$	6,930,548
MM RetireSMART Moderate Fund
Barings Global Floating Rate Fund, Class Y*	$	1,531,767	$	1,235,686	$	(1,049,242	)	$	(8,342	)	$	(39,545	)	$	1,670,324		179,992		$	61,107	$	6,213
Invesco Oppenheimer International Bond Fund, Class R6		6,238,129		2,686,214		(2,973,228	)		147,397			(209,646	)		5,888,866		1,090,531	#		372,953		-
Invesco Oppenheimer Real Estate Fund, Class R6		7,658,086		588,770		(6,155,149	)		176,182			97,108			2,364,997		84,494	#		106,361		186,320
MassMutual Premier Core Bond Fund, Class I		21,748,711		9,317,380		(10,954,182	)		1,609,152			(152,379	)		21,568,682		1,903,679			684,972		-
MassMutual Premier High Yield Fund, Class I		3,573,132		2,032,641		(2,985,827	)		73,072			(216,607	)		2,476,411		268,883			188,077		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		7,153,119		1,251,311		(3,648,829	)		231,482			(98,250	)		4,888,833		461,646			209,482		-
MassMutual Premier International Equity Fund, Class I		8,779,910		1,581,916		(3,548,788	)		(417,193	)		(338,552	)		6,057,293		504,354			80,752		309,132
MassMutual Premier Short-Duration Bond Fund, Class I		16,983,023		4,980,439		(5,618,208	)		127,871			(104,086	)		16,369,039		1,587,686			598,745		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		7,539,981		1,716,383		(5,516,859	)		(700,681	)		802,113			3,840,937		294,776			49,227		-
MassMutual Select Blue Chip Growth Fund, Class I		8,769,235		3,774,386		(3,194,159	)		(919,848	)		817,248			9,246,862		406,813			42,965		495,334
MassMutual Select Diversified Value Fund, Class I		8,605,501		3,792,063		(1,838,433	)		(853,590	)		(233,449	)		9,472,092		825,095			181,406		1,144,262

116

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19			Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Moderate Fund (Continued)
MassMutual Select Equity Opportunities Fund, Class I	$	6,224,165	$	1,887,267	$	(1,382,630	)	$	142,430		$	(24,770	)	$	6,846,462			373,511	$	102,018	$	519,399
MassMutual Select Fundamental Growth Fund, Class I		4,794,428		2,284,114		(1,309,068	)		(702,608	)		17,246			5,084,112			633,140		27,777		942,443
MassMutual Select Fundamental Value Fund, Class I		7,792,767		4,191,468		(2,448,631	)		(374,563	)		(552,727	)		8,608,314			833,331		166,252		834,992
MassMutual Select Growth Opportunities Fund, Class I		3,213,341		1,758,860		(993,735	)		(598,101	)		(26,281	)		3,354,084			328,510		-		732,213
MassMutual Select Mid Cap Growth Fund, Class I		4,883,073		1,959,254		(1,744,829	)		(192,515	)		121,339			5,026,322			215,352		1,954		406,481
MassMutual Select Mid-Cap Value Fund, Class I		4,789,585		2,360,336		(1,567,020	)		(149,935	)		(279,322	)		5,153,644			414,947		59,753		560,597
MassMutual Select Overseas Fund, Class I		17,537,793		6,153,262		(9,272,118	)		(2,155,339	)		116,893			12,380,491			1,482,694		278,772		1,427,071
MassMutual Select Small Cap Growth Equity Fund, Class I		2,367,223		1,197,570		(1,014,675	)		(526,405	)		87,225			2,110,938			137,970		-		365,201
MassMutual Select Small Cap Value Equity Fund, Class I		3,251,140		3,236,706		(917,418	)		(788,412	)		(412,078	)		4,369,938			391,221		11,765		912,979
MassMutual Select Strategic Bond Fund, Class I		16,141,427		7,057,075		(8,239,784	)		1,399,830			145,712			16,504,260			1,493,598		420,379		-
MassMutual Select Total Return Bond Fund, Class I		16,144,511		8,744,452		(8,474,426	)		1,416,652			(86,386	)		17,744,803			1,722,796		460,751		-
MM Select Equity Asset Fund, Class I		39,215,200		29,750,135		(13,556,943	)		(8,099,547	)		(4,415,923	)		42,892,922			5,429,484		1,763,903		12,541,339
	$	224,935,247	$	103,537,688	$	(98,404,181	)	$	(11,163,011	)	$	(4,985,117	)	$	213,920,626				$	5,869,371	$	21,383,976
MM RetireSMART Moderate Growth Fund
Barings Global Floating Rate Fund, Class Y*	$	602,643	$	1,136,811	$	(398,705	)	$	(12,750	)	$	(5,989	)	$	1,322,010			142,458	$	34,032	$	2,425
Invesco Oppenheimer International Bond Fund, Class R6		2,481,076		1,998,649		(946,149	)		19,421			(56,569	)		3,496,428	#		647,487		170,521		-
Invesco Oppenheimer Real Estate Fund, Class R6		9,032,750		991,249		(7,628,686	)		212,916			111,920			2,720,149	#		97,183		125,295		219,697
MassMutual Premier Core Bond Fund, Class I		7,942,267		6,055,415		(4,543,347	)		650,931			42,989			10,148,255			895,698		249,887		-
MassMutual Premier High Yield Fund, Class I		1,403,168		1,820,935		(1,226,086	)		47,589			(81,350	)		1,964,256			213,274		73,999		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		2,642,311		952,696		(1,193,547	)		108,410			(22,848	)		2,487,022			234,846		77,291		-
MassMutual Premier International Equity Fund, Class I		10,007,630		1,827,190		(4,064,598	)		(554,069	)		(267,570	)		6,948,583			578,566		92,505		354,123
MassMutual Premier Short-Duration Bond Fund, Class I		6,207,939		4,269,725		(2,351,254	)		75,107			(17,029	)		8,184,488			793,840		219,235		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		8,873,578		1,937,427		(5,667,456	)		(652,652	)		763,108			5,254,005			403,224		58,063		-
MassMutual Select Blue Chip Growth Fund, Class I		10,594,553		4,062,256		(4,156,437	)		(1,339,030	)		1,108,849			10,270,191			451,834		51,832		597,550
MassMutual Select Diversified Value Fund, Class I		10,381,093		4,089,258		(2,523,293	)		(757,329	)		(635,860	)		10,553,869			919,327		218,960		1,381,141
MassMutual Select Equity Opportunities Fund, Class I		7,586,300		1,918,828		(1,926,954	)		441,998			(392,540	)		7,627,632			416,128		122,809		625,250
MassMutual Select Fundamental Growth Fund, Class I		5,809,729		2,545,788		(1,806,372	)		(858,377	)		(44,165	)		5,646,603			703,188		33,487		1,136,216
MassMutual Select Fundamental Value Fund, Class I		9,394,323		4,269,530		(2,961,281	)		(482,685	)		(688,701	)		9,531,186			922,670		200,607		1,007,542

117

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19			Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Moderate Growth Fund (Continued)
MassMutual Select Growth Opportunities Fund, Class I	$	3,898,342	$	1,955,459	$	(1,313,608	)	$	(634,820	)	$	(162,585	)	$	3,742,788			366,581	$	-	$	884,485
MassMutual Select Mid Cap Growth Fund, Class I		5,766,381		2,188,104		(2,064,380	)		(234,737	)		148,681			5,804,049			248,674		2,306		479,584
MassMutual Select Mid-Cap Value Fund, Class I		5,633,699		2,691,497		(1,866,373	)		(199,629	)		(306,234	)		5,952,960			479,304		70,350		660,014
MassMutual Select Overseas Fund, Class I		19,959,920		6,222,981		(9,766,173	)		(2,508,488	)		234,926			14,143,166			1,693,792		319,154		1,633,785
MassMutual Select Small Cap Growth Equity Fund, Class I		2,785,501		1,967,440		(1,532,818	)		(501,892	)		87,100			2,805,331			183,355		-		432,612
MassMutual Select Small Cap Value Equity Fund, Class I		3,834,119		4,829,227		(1,544,966	)		(634,936	)		(716,787	)		5,766,657			516,263		13,897		1,078,497
MassMutual Select Strategic Bond Fund, Class I		5,902,807		4,711,054		(3,573,872	)		661,954			46,902			7,748,845			701,253		153,851		-
MassMutual Select Total Return Bond Fund, Class I		5,903,550		5,573,522		(3,743,443	)		613,112			3,520			8,350,261			810,705		168,629		-
MM Select Equity Asset Fund, Class I		47,395,370		32,682,886		(16,825,593	)		(10,098,523	)		(5,531,421	)		47,622,719			6,028,192		2,129,646		15,141,761
	$	194,039,049	$	100,697,927	$	(83,625,391	)	$	(16,638,479	)	$	(6,381,653	)	$	188,091,453				$	4,586,356	$	25,634,682
MM RetireSMART Growth Fund
Barings Global Floating Rate Fund, Class Y*	$	37,808	$	549,551	$	(7,696	)	$	(573	)	$	62		$	579,152			62,409	$	9,739	$	149
Invesco Oppenheimer International Bond Fund, Class R6		152,560		645,640		(70,290	)		(627	)		(6,019	)		721,264	#		133,567		18,360		-
Invesco Oppenheimer Real Estate Fund, Class R6		5,200,871		747,938		(4,406,751	)		140,596			52,874			1,735,528	#		62,005		72,825		122,258
MassMutual Premier Core Bond Fund, Class I		478,300		1,020,536		(727,368	)		39,219			16,642			827,329			73,021		14,971		-
MassMutual Premier High Yield Fund, Class I		87,903		916,539		(147,263	)		14,680			(1,104	)		870,755			94,545		4,472		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		352,741		198,847		(200,425	)		12,957			(4,694	)		359,426			33,940		9,939		-
MassMutual Premier International Equity Fund, Class I		5,766,747		1,139,465		(1,968,462	)		(252,614	)		(213,685	)		4,471,451			372,311		51,063		195,475
MassMutual Premier Short-Duration Bond Fund, Class I		381,217		881,024		(213,228	)		16,992			(3,109	)		1,062,896			103,094		13,024		-
MassMutual Premier Strategic Emerging Markets Fund, Class I		5,131,159		1,388,830		(3,201,377	)		(304,655	)		343,535			3,357,492			257,674		32,494		-
MassMutual Select Blue Chip Growth Fund, Class I		6,127,091		2,580,174		(2,053,673	)		(662,310	)		526,796			6,518,078			286,761		29,161		336,192
MassMutual Select Diversified Value Fund, Class I		5,975,217		2,552,404		(1,033,905	)		(480,076	)		(281,409	)		6,732,231			586,431		122,156		770,529
MassMutual Select Equity Opportunities Fund, Class I		4,370,544		1,148,110		(719,971	)		180,026			(120,606	)		4,858,103			265,036		68,528		348,894
MassMutual Select Fundamental Growth Fund, Class I		3,353,819		1,518,327		(766,561	)		(481,854	)		(12,347	)		3,611,384			449,736		18,642		632,516
MassMutual Select Fundamental Value Fund, Class I		5,432,604		2,719,159		(1,440,862	)		(307,436	)		(345,858	)		6,057,607			586,409		112,921		567,140
MassMutual Select Growth Opportunities Fund, Class I		2,246,372		1,185,826		(593,487	)		(394,158	)		(56,471	)		2,388,082			233,896		-		492,592
MassMutual Select Mid Cap Growth Fund, Class I		3,326,592		1,308,743		(879,465	)		(101,338	)		56,871			3,711,403			159,015		1,284		267,050
MassMutual Select Mid-Cap Value Fund, Class I		3,263,696		1,625,106		(813,722	)		(129,433	)		(140,031	)		3,805,616			306,410		39,164		367,433

118

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART Growth Fund (Continued)
MassMutual Select Overseas Fund, Class I	$	11,536,896	$	3,894,741	$	(5,106,687	)	$	(1,359,243	)	$	78,266		$	9,043,973		1,083,110	$	178,740	$	914,991
MassMutual Select Small Cap Growth Equity Fund, Class I		1,607,627		1,284,878		(887,209	)		(233,466	)		9,667			1,781,497		116,438		-		240,406
MassMutual Select Small Cap Value Equity Fund, Class I		2,208,162		3,122,067		(912,699	)		(266,089	)		(481,482	)		3,669,959		328,555		7,735		600,298
MassMutual Select Strategic Bond Fund, Class I		363,350		819,815		(605,878	)		36,356			21,138			634,781		57,446		9,216		-
MassMutual Select Total Return Bond Fund, Class I		363,425		885,929		(616,646	)		24,549			24,062			681,319		66,147		10,101		-
MM Select Equity Asset Fund, Class I		27,399,410		19,891,179		(8,336,089	)		(5,556,430	)		(3,199,182	)		30,198,888		3,822,644		1,198,651		8,522,388
	$	95,164,111	$	52,024,828	$	(35,709,714	)	$	(10,064,927	)	$	(3,736,084	)	$	97,678,214			$	2,023,186	$	14,378,311
MM RetireSMART by JPMorgan In Retirement Fund**
Barings Global Floating Rate Fund, Class Y*	$	4,576,898	$	821,911	$	(264,445	)	$	(31,428	)	$	(7,697	)	$	5,095,239		549,056	$	205,576	$	8,723
MassMutual Premier Core Bond Fund, Class I		37,798,125		13,405,137		(9,983,820	)		3,209,900			1,341			44,430,683		3,921,508		508,341		-
MassMutual Premier High Yield Fund, Class I		14,020,912		6,279,507		(5,631,581	)		830,673			(112,005	)		15,387,506		1,670,739		308,031		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		14,855,205		3,886,266		(4,090,087	)		915,366			(119,285	)		15,447,465		1,458,684		220,055		-
MassMutual Premier International Equity Fund, Class I		3,275,279		1,401,111		(1,722,719	)		208,825			(196,801	)		2,965,695		246,935		16,081		61,559
MassMutual Premier Strategic Emerging Markets Fund, Class I		2,274,910		1,094,070		(1,420,666	)		(37,203	)		84,621			1,995,732		153,164		6,561		-
MassMutual Select Blue Chip Growth Fund, Class I		3,227,830		1,301,395		(1,319,955	)		150,685			(2,106	)		3,357,849		147,728		6,887		79,396
MassMutual Select Diversified Value Fund, Class I		3,219,083		1,368,074		(1,177,043	)		292,291			(307,740	)		3,394,665		295,703		30,325		191,285
MassMutual Select Equity Opportunities Fund, Class I		2,342,863		756,281		(811,226	)		299,255			(95,543	)		2,491,630		135,932		16,549		84,253
MassMutual Select Fundamental Growth Fund, Class I		1,760,371		721,244		(637,753	)		62,004			(48,879	)		1,856,987		231,256		4,567		154,931
MassMutual Select Fundamental Value Fund, Class I		2,928,499		1,272,696		(1,091,817	)		180,309			(211,487	)		3,078,200		297,986		27,596		138,599
MassMutual Select Growth Opportunities Fund, Class I		1,175,254		542,477		(449,508	)		18,830			(66,046	)		1,221,007		119,589		-		117,281
MassMutual Select Mid Cap Growth Fund, Class I		1,340,377		479,619		(512,133	)		64,191			25,783			1,397,837		59,890		253		52,591
MassMutual Select Mid-Cap Value Fund, Class I		1,334,534		558,555		(517,208	)		149,395			(117,703	)		1,407,573		113,331		7,832		73,478
MassMutual Select Overseas Fund, Class I		6,522,294		3,444,502		(2,954,756	)		192,417			(256,571	)		6,947,886		832,082		55,196		282,560
MassMutual Select Small Cap Growth Equity Fund, Class I		840,531		303,710		(775,552	)		52,726			(84,695	)		336,720		22,008		-		57,643
MassMutual Select Small Cap Value Equity Fund, Class I		1,107,548		518,884		(978,099	)		148,913			(342,414	)		454,832		40,719		1,819		141,196
MassMutual Select Strategic Bond Fund, Class I		12,753,831		4,482,881		(3,597,532	)		1,262,472			51,743			14,953,395		1,353,248		142,281		-
MassMutual Select Total Return Bond Fund, Class I		12,750,999		4,720,272		(3,623,455	)		1,115,040			(10,505	)		14,952,351		1,451,685		155,237		-
MM Select Equity Asset Fund, Class I		14,656,131		7,701,188		(5,690,476	)		1,380,260			(2,597,755	)		15,449,348		1,955,614		291,102		2,069,729
	$	142,761,474	$	55,059,780	$	(47,249,831	)	$	10,464,921		$	(4,413,744	)	$	156,622,600			$	2,004,289	$	3,513,224

119

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2020 Fund
Barings Global Floating Rate Fund, Class Y*	$	6,695,711	$	2,061,372	$	(1,073,622	)	$	(160,745	)	$	(15,449	)	$	7,507,267		808,973	$	360,599	$	27,730
MassMutual Premier Core Bond Fund, Class I		75,372,544		31,262,706		(28,949,079	)		5,432,500			(295,085	)		82,823,586		7,310,113		2,372,760		-
MassMutual Premier High Yield Fund, Class I		30,040,310		10,750,264		(13,435,973	)		416,727			(296,753	)		27,474,575		2,983,124		1,367,805		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		23,664,617		3,913,767		(5,773,541	)		949,257			(212,125	)		22,541,975		2,128,609		681,302		-
MassMutual Premier International Equity Fund, Class I		10,841,798		2,889,883		(6,231,122	)		(572,550	)		(415,563	)		6,512,446		542,252		102,283		391,553
MassMutual Premier Strategic Emerging Markets Fund, Class I		8,402,804		1,810,149		(5,065,127	)		(542,880	)		454,609			5,059,555		388,300		44,989		-
MassMutual Select Blue Chip Growth Fund, Class I		9,938,151		3,173,763		(5,038,500	)		(1,440,932	)		1,017,679			7,650,161		336,567		41,977		483,940
MassMutual Select Diversified Value Fund, Class I		9,952,418		3,096,432		(3,944,612	)		(472,017	)		(893,059	)		7,739,162		674,143		186,046		1,173,529
MassMutual Select Equity Opportunities Fund, Class I		7,239,254		1,438,338		(2,858,098	)		267,632			(419,799	)		5,667,327		309,183		101,605		517,299
MassMutual Select Fundamental Growth Fund, Class I		5,429,336		1,894,822		(2,151,665	)		(922,180	)		(17,268	)		4,233,045		527,154		28,084		952,872
MassMutual Select Fundamental Value Fund, Class I		9,046,161		3,195,440		(4,084,098	)		(227,260	)		(916,958	)		7,013,285		678,924		168,391		845,737
MassMutual Select Growth Opportunities Fund, Class I		3,608,232		1,568,328		(1,639,743	)		(651,194	)		(102,561	)		2,783,062		272,582		-		718,081
MassMutual Select Mid Cap Growth Fund, Class I		4,021,309		1,155,267		(1,806,165	)		(326,118	)		161,029			3,205,322		137,332		1,553		322,962
MassMutual Select Mid-Cap Value Fund, Class I		4,025,641		1,437,686		(1,787,208	)		(67,497	)		(381,018	)		3,227,604		259,871		48,310		453,242
MassMutual Select Overseas Fund, Class I		21,676,991		9,536,301		(11,573,587	)		(3,178,950	)		501,025			16,961,780		2,031,351		348,910		1,786,117
MassMutual Select Small Cap Growth Equity Fund, Class I		2,928,831		962,086		(2,415,027	)		(434,549	)		(96,009	)		945,332		61,786		-		354,715
MassMutual Select Small Cap Value Equity Fund, Class I		3,856,852		1,730,519		(3,031,156	)		(113,703	)		(1,170,239	)		1,272,273		113,901		11,184		867,900
MassMutual Select Strategic Bond Fund, Class I		24,613,339		11,093,830		(10,231,194	)		2,387,879			11,046			27,874,900		2,522,615		663,319		-
MassMutual Select Total Return Bond Fund, Class I		24,637,897		11,586,087		(10,260,676	)		2,075,194			(165,584	)		27,872,918		2,706,109		723,708		-
MM Select Equity Asset Fund, Class I		45,342,602		25,333,368		(21,319,240	)		(6,006,380	)		(8,162,088	)		35,188,262		4,454,210		1,775,787		12,625,829
	$	331,334,798	$	129,890,408	$	(142,669,433	)	$	(3,587,766	)	$	(11,414,170	)	$	303,553,837			$	9,028,612	$	21,521,506
MM RetireSMART by JPMorgan 2025 Fund
Barings Global Floating Rate Fund, Class Y*	$	1,137,446	$	800,766	$	(185,969	)	$	(36,579	)	$	8,321		$	1,723,985		185,774	$	75,997	$	4,764
MassMutual Premier Core Bond Fund, Class I		45,886,542		23,155,972		(19,049,721	)		3,353,739			(66,066	)		53,280,466		4,702,601		1,469,677		-
MassMutual Premier High Yield Fund, Class I		18,132,036		7,740,677		(9,640,869	)		235,991			(185,059	)		16,282,776		1,767,945		813,787		-
MassMutual Premier Inflation-Protected and Income Fund, Class I		3,974,791		2,412,979		(1,429,847	)		220,762			(6,325	)		5,172,360		488,419		115,117		-
MassMutual Premier International Equity Fund, Class I		9,501,569		2,964,085		(4,899,783	)		(464,050	)		(311,411	)		6,790,410		565,396		91,430		350,008

120

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2025 Fund (Continued)
MassMutual Premier Strategic Emerging Markets Fund, Class I	$	7,499,744	$	1,996,348	$	(3,809,079	)	$	(450,981	)	$	460,331		$	5,696,363		437,173	$	42,769	$	-
MassMutual Select Blue Chip Growth Fund, Class I		8,497,874		3,206,010		(3,874,514	)		(1,279,581	)		1,006,922			7,556,711		332,455		36,585		421,775
MassMutual Select Diversified Value Fund, Class I		8,500,930		3,054,674		(2,835,316	)		(455,404	)		(652,443	)		7,612,441		663,105		161,636		1,019,558
MassMutual Select Equity Opportunities Fund, Class I		6,162,777		1,484,367		(2,020,753	)		173,638			(212,680	)		5,587,349		304,820		88,232		449,212
MassMutual Select Fundamental Growth Fund, Class I		4,637,452		1,784,927		(1,513,100	)		(762,159	)		16,543			4,163,663		518,513		24,373		826,970
MassMutual Select Fundamental Value Fund, Class I		7,724,650		3,300,766		(3,169,509	)		(287,057	)		(641,054	)		6,927,796		670,648		146,746		737,023
MassMutual Select Growth Opportunities Fund, Class I		3,082,218		1,469,352		(1,193,864	)		(579,391	)		(40,884	)		2,737,431		268,113		-		625,226
MassMutual Select Mid Cap Growth Fund, Class I		3,488,254		1,118,739		(1,316,823	)		(244,735	)		144,952			3,190,387		136,692		1,365		283,813
MassMutual Select Mid-Cap Value Fund, Class I		3,491,358		1,373,888		(1,301,830	)		(113,221	)		(237,211	)		3,212,984		258,694		42,265		396,524
MassMutual Select Overseas Fund, Class I		19,630,356		9,980,457		(9,716,195	)		(2,579,334	)		328,759			17,644,043		2,113,059		315,019		1,612,622
MassMutual Select Small Cap Growth Equity Fund, Class I		2,427,722		899,020		(1,731,002	)		(453,871	)		29,369			1,171,238		76,552		-		310,611
MassMutual Select Small Cap Value Equity Fund, Class I		3,191,468		1,538,055		(2,080,785	)		(99,315	)		(979,477	)		1,569,946		140,550		9,831		762,928
MassMutual Select Strategic Bond Fund, Class I		14,952,756		8,138,683		(6,668,315	)		1,512,147			16,414			17,951,685		1,624,587		410,306		-
MassMutual Select Total Return Bond Fund, Class I		14,967,603		8,452,092		(6,689,613	)		1,308,804			(88,401	)		17,950,485		1,742,765		447,657		-
MM Select Equity Asset Fund, Class I		38,717,965		24,030,890		(16,139,805	)		(6,016,415	)		(5,860,488	)		34,732,147		4,396,474		1,547,028		10,999,353
	$	225,605,511	$	108,902,747	$	(99,266,692	)	$	(7,017,012	)	$	(7,269,888	)	$	220,954,666			$	5,839,820	$	18,800,387
MM RetireSMART by JPMorgan 2030 Fund
MassMutual Premier Core Bond Fund, Class I	$	65,615,371	$	28,798,720	$	(24,322,700	)	$	4,655,850		$	(17,481	)	$	74,729,760		6,595,742	$	2,102,645	$	-
MassMutual Premier High Yield Fund, Class I		27,482,386		10,366,033		(15,232,092	)		262,075			(236,473	)		22,641,929		2,458,407		1,177,924		-
MassMutual Premier International Equity Fund, Class I		20,312,911		4,748,487		(7,933,344	)		(1,394,442	)		(146,456	)		15,587,156		1,297,848		195,581		748,709
MassMutual Premier Strategic Emerging Markets Fund, Class I		16,183,924		3,112,282		(5,958,525	)		(704,586	)		814,187			13,447,282		1,032,025		94,038		-
MassMutual Select Blue Chip Growth Fund, Class I		17,911,626		5,502,116		(6,220,870	)		(2,168,279	)		1,704,572			16,729,165		735,995		77,138		889,299
MassMutual Select Diversified Value Fund, Class I		17,937,389		5,225,482		(4,042,949	)		(1,342,325	)		(909,754	)		16,867,843		1,469,324		340,194		2,145,856
MassMutual Select Equity Opportunities Fund, Class I		12,965,395		2,331,755		(2,946,378	)		293,430			(264,306	)		12,379,896		675,390		185,933		946,631
MassMutual Select Fundamental Growth Fund, Class I		9,797,378		3,026,991		(2,118,458	)		(1,572,922	)		92,943			9,225,932		1,148,933		51,246		1,738,753
MassMutual Select Fundamental Value Fund, Class I		16,301,984		5,865,251		(4,932,510	)		(1,134,108	)		(763,493	)		15,337,124		1,484,717		309,370		1,553,798
MassMutual Select Growth Opportunities Fund, Class I		6,511,508		2,596,496		(1,778,932	)		(1,251,412	)		(11,852	)		6,065,808		594,105		-		1,317,530
MassMutual Select Mid Cap Growth Fund, Class I		7,424,354		1,708,576		(1,866,117	)		(410,489	)		254,720			7,111,044		304,672		2,875		598,112
MassMutual Select Mid-Cap Value Fund, Class I		7,420,412		2,351,951		(1,913,539	)		(590,523	)		(106,851	)		7,161,450		576,606		89,069		835,629

121

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2030 Fund (Continued)
MassMutual Select Overseas Fund, Class I	$	45,584,682	$	20,118,728	$	(17,793,875	)	$	(5,890,976	)	$	778,837		$	42,797,396		5,125,437	$	739,324	$	3,784,694
MassMutual Select Small Cap Growth Equity Fund, Class I		5,039,432		1,342,362		(2,678,350	)		(1,069,083	)		221,013			2,855,374		186,626		-		656,450
MassMutual Select Small Cap Value Equity Fund, Class I		6,617,977		2,924,621		(3,470,511	)		(791,013	)		(1,439,375	)		3,841,699		343,930		20,749		1,610,222
MassMutual Select Strategic Bond Fund, Class I		21,162,917		10,655,770		(8,803,192	)		2,143,290			15,642			25,174,427		2,278,229		587,789		-
MassMutual Select Total Return Bond Fund, Class I		21,184,077		11,097,942		(8,835,612	)		1,782,576			(56,184	)		25,172,799		2,443,961		641,294		-
MM Select Equity Asset Fund, Class I		81,711,049		44,984,477		(25,256,957	)		(17,668,290	)		(6,881,916	)		76,888,363		9,732,704		3,262,405		23,195,673
	$	407,164,772	$	166,758,040	$	(146,104,911	)	$	(26,851,227	)	$	(6,952,227	)	$	394,014,447			$	9,877,574	$	40,021,356
MM RetireSMART by JPMorgan 2035 Fund
MassMutual Premier Core Bond Fund, Class I	$	19,013,397	$	11,770,097	$	(10,466,108	)	$	1,343,424		$	(26,012	)	$	21,634,798		1,909,514	$	665,782	$	-
MassMutual Premier High Yield Fund, Class I		13,402,583		4,778,917		(8,760,627	)		106,172			(262,705	)		9,264,340		1,005,900		467,494		-
MassMutual Premier International Equity Fund, Class I		9,871,543		2,918,661		(4,500,492	)		(568,614	)		(227,133	)		7,493,965		623,977		92,168		352,829
MassMutual Premier Strategic Emerging Markets Fund, Class I		7,541,493		3,063,420		(4,464,451	)		(529,156	)		511,244			6,122,550		469,881		38,459		-
MassMutual Select Blue Chip Growth Fund, Class I		9,264,411		3,016,091		(3,476,858	)		(1,218,806	)		963,051			8,547,889		376,062		39,042		450,111
MassMutual Select Diversified Value Fund, Class I		9,259,025		2,901,847		(2,381,634	)		(643,853	)		(520,599	)		8,614,786		750,417		172,693		1,089,301
MassMutual Select Equity Opportunities Fund, Class I		6,704,380		1,459,490		(1,852,524	)		244,950			(239,025	)		6,317,271		344,641		94,353		480,378
MassMutual Select Fundamental Growth Fund, Class I		5,061,106		1,725,621		(1,307,426	)		(831,073	)		64,506			4,712,734		586,891		25,979		881,461
MassMutual Select Fundamental Value Fund, Class I		8,432,715		3,254,651		(2,871,643	)		(515,000	)		(465,751	)		7,834,972		758,468		156,621		786,619
MassMutual Select Growth Opportunities Fund, Class I		3,363,758		1,404,054		(1,028,305	)		(641,913	)		(9,664	)		3,087,930		302,442		-		667,207
MassMutual Select Mid Cap Growth Fund, Class I		3,697,728		966,998		(1,024,217	)		(220,618	)		139,899			3,559,790		152,519		1,434		298,328
MassMutual Select Mid-Cap Value Fund, Class I		3,695,451		1,298,895		(1,057,279	)		(231,883	)		(119,657	)		3,585,527		288,690		44,426		416,793
MassMutual Select Overseas Fund, Class I		23,101,048		11,762,076		(10,524,544	)		(2,731,404	)		89,375			21,696,551		2,598,389		358,918		1,837,342
MassMutual Select Small Cap Growth Equity Fund, Class I		2,810,653		867,700		(1,860,398	)		(494,222	)		22,701			1,346,434		88,002		-		327,917
MassMutual Select Small Cap Value Equity Fund, Class I		3,695,080		1,613,992		(2,342,446	)		(245,993	)		(919,168	)		1,801,465		161,277		10,351		803,278
MassMutual Select Strategic Bond Fund, Class I		5,520,901		5,589,633		(4,464,011	)		584,329			41,694			7,272,546		658,149		184,398		-
MassMutual Select Total Return Bond Fund, Class I		5,526,382		5,701,754		(4,450,115	)		496,726			(2,666	)		7,272,081		706,027		201,182		-
MM Select Equity Asset Fund, Class I		42,255,620		23,552,397		(13,961,544	)		(8,860,107	)		(3,663,787	)		39,322,579		4,977,542		1,651,273		11,740,532
	$	182,217,274	$	87,646,294	$	(80,794,622	)	$	(14,957,041	)	$	(4,623,697	)	$	169,488,208			$	4,204,573	$	20,132,096

122

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2040 Fund
MassMutual Premier Core Bond Fund, Class I	$	15,563,025	$	12,117,510	$	(9,822,540	)	$	1,173,175		$	(59,633	)	$	18,971,537		1,674,452	$	594,356	$	-
MassMutual Premier High Yield Fund, Class I		18,004,679		6,823,732		(12,865,131	)		167,876			(440,230	)		11,690,926		1,269,373		610,518		-
MassMutual Premier International Equity Fund, Class I		15,234,557		4,445,581		(5,844,995	)		(1,041,356	)		(68,906	)		12,724,881		1,059,524		142,751		546,471
MassMutual Premier Strategic Emerging Markets Fund, Class I		11,714,211		4,771,658		(5,740,427	)		(682,290	)		712,942			10,776,094		827,022		61,385		-
MassMutual Select Blue Chip Growth Fund, Class I		14,091,327		4,666,169		(4,082,497	)		(1,449,771	)		1,174,876			14,400,104		633,529		59,482		685,747
MassMutual Select Diversified Value Fund, Class I		14,125,950		4,365,292		(2,307,920	)		(1,212,841	)		(460,347	)		14,510,134		1,263,949		262,556		1,656,129
MassMutual Select Equity Opportunities Fund, Class I		10,208,710		2,479,162		(2,170,156	)		256,233			(126,700	)		10,647,249		580,865		143,387		730,020
MassMutual Select Fundamental Growth Fund, Class I		7,705,827		2,711,528		(1,387,370	)		(1,230,089	)		139,197			7,939,093		988,679		39,635		1,344,809
MassMutual Select Fundamental Value Fund, Class I		12,808,912		5,078,694		(3,284,689	)		(1,006,190	)		(401,302	)		13,195,425		1,277,389		238,570		1,198,208
MassMutual Select Growth Opportunities Fund, Class I		5,121,265		2,160,369		(1,117,220	)		(997,189	)		40,759			5,207,984		510,087		-		1,017,978
MassMutual Select Mid Cap Growth Fund , Class I		5,681,595		1,488,843		(1,053,444	)		(230,148	)		159,701			6,046,547		259,064		2,201		457,820
MassMutual Select Mid-Cap Value Fund, Class I		5,679,110		1,958,964		(1,057,189	)		(412,833	)		(78,203	)		6,089,849		490,326		68,176		639,612
MassMutual Select Overseas Fund, Class I		36,729,726		18,856,421		(12,481,684	)		(4,435,354	)		550,340			39,219,449		4,696,940		577,079		2,954,142
MassMutual Select Small Cap Growth Equity Fund, Class I		4,226,676		1,349,944		(2,489,117	)		(798,073	)		115,769			2,405,199		157,203		-		500,322
MassMutual Select Small Cap Value Equity Fund, Class I		5,575,847		2,454,787		(3,053,084	)		(658,147	)		(1,095,165	)		3,224,238		288,652		15,854		1,230,355
MassMutual Select Strategic Bond Fund, Class I		3,899,377		6,620,567		(4,665,452	)		501,908			33,376			6,389,776		578,260		160,466		-
MassMutual Select Total Return Bond Fund, Class I		3,903,265		6,718,830		(4,651,726	)		358,232			60,795			6,389,396		620,330		175,070		-
MM Select Equity Asset Fund, Class I		64,219,677		36,635,743		(16,085,973	)		(15,147,236	)		(3,345,944	)		66,276,267		8,389,401		2,516,045		17,889,056
	$	254,493,736	$	125,703,794	$	(94,160,614	)	$	(26,844,093	)	$	(3,088,675	)	$	256,104,148			$	5,667,531	$	30,850,669
MM RetireSMART by JPMorgan 2045 Fund
MassMutual Premier Core Bond Fund, Class I	$	4,805,340	$	4,491,427	$	(4,911,396	)	$	283,033		$	(43,073	)	$	4,625,331		408,237	$	195,891	$	-
MassMutual Premier High Yield Fund, Class I		7,635,664		2,920,142		(6,167,060	)		81,595			(241,333	)		4,229,008		459,176		253,876		-
MassMutual Premier International Equity Fund, Class I		6,810,150		2,259,944		(2,363,364	)		(423,179	)		(59,478	)		6,224,073		518,241		63,319		242,393
MassMutual Premier Strategic Emerging Markets Fund, Class I		5,253,426		2,449,907		(2,765,408	)		(337,826	)		362,659			4,962,758		380,872		27,495		-
MassMutual Select Blue Chip Growth Fund, Class I		6,287,258		2,480,272		(2,170,914	)		(748,950	)		640,094			6,487,760		285,427		26,337		303,637
MassMutual Select Diversified Value Fund, Class I		6,288,788		2,278,086		(1,314,923	)		(466,371	)		(257,570	)		6,528,010		568,642		115,935		731,287
MassMutual Select Equity Opportunities Fund, Class I		4,557,175		1,373,266		(1,217,258	)		157,402			(80,269	)		4,790,316		261,337		63,316		322,359
MassMutual Select Fundamental Growth Fund, Class I		3,430,621		1,410,724		(800,536	)		(536,047	)		66,953			3,571,715		444,796		17,502		593,833
MassMutual Select Fundamental Value Fund, Class I		5,715,106		2,595,071		(1,747,776	)		(390,471	)		(226,867	)		5,945,063		575,514		105,642		530,581

123

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2045 Fund (Continued)
MassMutual Select Growth Opportunities Fund, Class I	$	2,279,973	$	1,073,288	$	(578,333	)	$	(429,260	)	$	11,149		$	2,356,817		230,834	$	-	$	450,562
MassMutual Select Mid Cap Growth Fund, Class I		2,539,247		822,851		(608,872	)		(110,902	)		88,612			2,730,936		117,007		974		202,632
MassMutual Select Mid-Cap Value Fund, Class I		2,516,880		1,019,214		(582,599	)		(157,433	)		(50,956	)		2,745,106		221,023		30,106		282,449
MassMutual Select Overseas Fund, Class I		16,646,919		9,104,142		(6,298,259	)		(1,930,539	)		225,676			17,747,939		2,125,502		260,030		1,331,127
MassMutual Select Small Cap Growth Equity Fund, Class I		1,873,927		660,375		(1,119,468	)		(400,937	)		103,852			1,117,749		73,056		-		222,577
MassMutual Select Small Cap Value Equity Fund, Class I		2,458,466		1,167,261		(1,355,821	)		(290,715	)		(480,416	)		1,498,775		134,179		7,017		544,540
MassMutual Select Strategic Bond Fund, Class I		1,022,710		2,356,649		(1,956,028	)		107,818			19,497			1,550,646		140,330		52,035		-
MassMutual Select Total Return Bond Fund, Class I		1,023,725		2,366,122		(1,934,712	)		64,440			30,976			1,550,551		150,539		56,771		-
MM Select Equity Asset Fund, Class I		28,653,283		17,991,363		(8,676,426	)		(6,315,747	)		(1,808,536	)		29,843,937		3,777,714		1,113,502		7,916,990
	$	109,798,658	$	58,820,104	$	(46,569,153	)	$	(11,844,089	)	$	(1,699,030	)	$	108,506,490			$	2,389,748	$	13,674,967
MM RetireSMART by JPMorgan 2050 Fund
MassMutual Premier Core Bond Fund, Class I	$	6,259,585	$	6,114,190	$	(6,193,768	)	$	350,798		$	(17,020	)	$	6,513,785		574,915	$	258,916	$	-
MassMutual Premier High Yield Fund, Class I		9,960,713		4,095,805		(7,913,846	)		108,751			(302,976	)		5,948,447		645,868		335,716		-
MassMutual Premier International Equity Fund, Class I		8,890,957		3,251,879		(2,750,869	)		(605,438	)		(2,877	)		8,783,652		731,362		83,641		320,190
MassMutual Premier Strategic Emerging Markets Fund, Class I		6,858,264		3,453,277		(3,374,649	)		(347,494	)		390,441			6,979,839		535,675		36,407		-
MassMutual Select Blue Chip Growth Fund, Class I		8,192,827		3,425,739		(2,373,515	)		(762,704	)		654,544			9,136,891		401,975		34,782		400,998
MassMutual Select Diversified Value Fund, Class I		8,204,531		3,288,060		(1,366,818	)		(696,950	)		(226,856	)		9,201,967		801,565		153,368		967,404
MassMutual Select Equity Opportunities Fund, Class I		5,940,236		2,034,419		(1,361,014	)		247,883			(109,239	)		6,752,285		368,373		83,759		426,441
MassMutual Select Fundamental Growth Fund, Class I		4,475,674		1,935,682		(782,949	)		(645,933	)		52,240			5,034,714		626,988		23,101		783,824
MassMutual Select Fundamental Value Fund, Class I		7,447,264		3,576,493		(1,869,438	)		(527,200	)		(254,521	)		8,372,598		810,513		139,514		700,702
MassMutual Select Growth Opportunities Fund, Class I		2,974,515		1,488,311		(615,322	)		(539,305	)		445			3,308,644		324,059		-		594,730
MassMutual Select Mid Cap Growth Fund, Class I		3,312,745		1,148,505		(614,303	)		(107,687	)		95,213			3,834,473		164,288		1,286		267,466
MassMutual Select Mid-Cap Value Fund, Class I		3,308,634		1,422,396		(609,015	)		(204,307	)		(55,676	)		3,862,032		310,953		39,829		373,669
MassMutual Select Overseas Fund, Class I		21,705,590		12,295,755		(6,801,831	)		(2,406,280	)		249,255			25,042,489		2,999,100		343,705		1,759,467
MassMutual Select Small Cap Growth Equity Fund, Class I		2,444,754		919,013		(1,411,284	)		(465,839	)		82,600			1,569,244		102,565		-		293,795
MassMutual Select Small Cap Value Equity Fund, Class I		3,212,712		1,608,179		(1,706,033	)		(385,860	)		(624,877	)		2,104,121		188,373		9,262		718,781
MassMutual Select Strategic Bond Fund, Class I		1,332,214		3,190,417		(2,513,430	)		132,997			41,538			2,183,736		197,623		68,699		-
MassMutual Select Total Return Bond Fund, Class I		1,333,535		3,207,977		(2,488,816	)		87,919			42,997			2,183,612		212,001		74,951		-
MM Select Equity Asset Fund, Class I		37,337,520		24,506,579		(9,295,913	)		(8,647,005	)		(1,871,980	)		42,029,201		5,320,152		1,470,524		10,455,409
	$	143,192,270	$	80,962,676	$	(54,042,813	)	$	(15,413,654	)	$	(1,856,749	)	$	152,841,730			$	3,157,460	$	18,062,876

124

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2055 Fund
MassMutual Premier Core Bond Fund, Class I	$	1,921,511	$	2,067,251	$	(2,095,056	)	$	103,680		$	(1,313	)	$	1,996,073		176,176	$	81,112	$	-
MassMutual Premier High Yield Fund, Class I		3,047,903		1,413,666		(2,587,322	)		41,417			(102,696	)		1,812,968		196,848		104,948		-
MassMutual Premier International Equity Fund, Class I		2,718,508		1,358,409		(1,220,599	)		(98,236	)		(82,473	)		2,675,609		222,782		26,184		100,236
MassMutual Premier Strategic Emerging Markets Fund, Class I		2,101,886		1,328,833		(1,313,950	)		(62,064	)		80,322			2,135,027		163,855		11,370		-
MassMutual Select Blue Chip Growth Fund, Class I		2,511,689		1,330,850		(1,009,296	)		(287,126	)		254,583			2,800,700		123,216		10,901		125,671
MassMutual Select Diversified Value Fund, Class I		2,510,293		1,283,532		(705,695	)		(100,807	)		(186,750	)		2,800,573		243,952		47,928		302,319
MassMutual Select Equity Opportunities Fund, Class I		1,820,256		792,171		(598,109	)		128,786			(88,165	)		2,054,939		112,108		26,175		133,265
MassMutual Select Fundamental Growth Fund, Class I		1,372,126		750,875		(402,154	)		(181,134	)		(4,629	)		1,535,084		191,169		7,251		246,020
MassMutual Select Fundamental Value Fund, Class I		2,283,125		1,358,779		(829,151	)		(78,501	)		(167,956	)		2,566,296		248,431		43,721		219,588
MassMutual Select Growth Opportunities Fund, Class I		911,907		554,205		(289,603	)		(136,211	)		(31,372	)		1,008,926		98,817		-		186,242
MassMutual Select Mid Cap Growth Fund, Class I		1,015,484		467,274		(308,154	)		(37,135	)		33,878			1,171,347		50,186		403		83,757
MassMutual Select Mid-Cap Value Fund, Class I		1,014,342		555,396		(310,975	)		(23,365	)		(57,859	)		1,177,539		94,810		12,473		117,015
MassMutual Select Overseas Fund, Class I		6,651,936		4,702,104		(3,000,305	)		(479,581	)		(187,298	)		7,686,856		920,582		107,715		551,407
MassMutual Select Small Cap Growth Equity Fund, Class I		749,501		337,595		(490,210	)		(114,560	)		(3,780	)		478,546		31,278		-		92,201
MassMutual Select Small Cap Value Equity Fund, Class I		996,874		564,231		(604,500	)		(52,738	)		(262,201	)		641,666		57,446		2,907		225,575
MassMutual Select Strategic Bond Fund, Class I		408,950		1,042,816		(836,463	)		37,655			16,223			669,181		60,559		21,548		-
MassMutual Select Total Return Bond Fund, Class I		409,357		1,047,924		(828,455	)		25,683			14,633			669,142		64,965		23,509		-
MM Select Equity Asset Fund, Class I		11,446,759		8,889,871		(4,151,086	)		(1,491,002	)		(1,812,427	)		12,882,115		1,630,647		460,848		3,276,618
	$	43,892,407	$	29,845,782	$	(21,581,083	)	$	(2,805,239	)	$	(2,589,280	)	$	46,762,587			$	988,993	$	5,659,914
MM RetireSMART by JPMorgan 2060 Fund
Barings Global Floating Rate Fund, Class Y*	$	22	$	-	$	(22	)	$	-		$	-		$	-		-	$	-	$	-
MassMutual Premier Core Bond Fund, Class I		514,374		494,599		(531,779	)		26,318			(2,653	)		500,859		44,206		21,546		-
MassMutual Premier High Yield Fund, Class I		818,098		325,301		(668,613	)		9,605			(29,633	)		454,758		49,377		27,872		-
MassMutual Premier International Equity Fund, Class I		729,670		285,696		(284,833	)		(33,403	)		(27,505	)		669,625		55,756		6,936		26,554
MassMutual Premier Strategic Emerging Markets Fund, Class I		562,862		285,270		(311,145	)		(43,778	)		41,040			534,249		41,001		3,020		-
MassMutual Select Blue Chip Growth Fund, Class I		673,109		306,531		(253,962	)		(66,546	)		43,131			702,263		30,896		2,889		33,308
MassMutual Select Diversified Value Fund, Class I		673,794		296,660		(180,072	)		(30,539	)		(57,701	)		702,142		61,162		12,697		80,091
MassMutual Select Equity Opportunities Fund, Class I		487,342		181,041		(154,534	)		30,173			(28,810	)		515,212		28,108		6,934		35,305
MassMutual Select Fundamental Growth Fund, Class I		367,563		171,700		(97,567	)		(53,668	)		(3,867	)		384,161		47,841		1,921		65,180
MassMutual Select Fundamental Value Fund, Class I		611,856		315,508		(209,280	)		(16,289	)		(58,304	)		643,491		62,293		11,588		58,201

125

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM RetireSMART by JPMorgan 2060 Fund (Continued)
MassMutual Select Growth Opportunities Fund, Class I	$	244,279	$	130,224	$	(71,214	)	$	(41,055	)	$	(9,206	)	$	253,028		24,782	$	-	$	49,342
MassMutual Select Mid Cap Growth Fund , Class I		271,994		106,966		(77,475	)		(14,083	)		6,361			293,763		12,586		107		22,191
MassMutual Select Mid-Cap Value Fund, Class I		271,721		127,903		(77,052	)		(14,500	)		(12,805	)		295,267		23,773		3,305		31,003
MassMutual Select Overseas Fund, Class I		1,782,113		1,076,862		(730,307	)		(169,391	)		(36,422	)		1,922,855		230,282		28,543		146,113
MassMutual Select Small Cap Growth Equity Fund, Class I		200,777		79,405		(124,657	)		(39,073	)		3,503			119,955		7,840		-		24,375
MassMutual Select Small Cap Value Equity Fund, Class I		263,510		137,348		(152,732	)		(23,372	)		(63,847	)		160,907		14,405		768		59,634
MassMutual Select Strategic Bond Fund, Class I		109,473		257,585		(212,040	)		10,045			2,849			167,912		15,196		5,711		-
MassMutual Select Total Return Bond Fund, Class I		109,582		258,701		(209,977	)		6,609			2,988			167,903		16,301		6,230		-
MM Select Equity Asset Fund, Class I		3,067,623		2,139,679		(1,040,670	)		(513,384	)		(423,041	)		3,230,207		408,887		122,144		868,446
	$	11,759,762	$	6,976,979	$	(5,387,931	)	$	(976,331	)	$	(653,922	)	$	11,718,557			$	262,211	$	1,499,743

# Effective May 24, 2019, the fund is no longer advised by OFI Global Asset Management, Inc. and, therefore, the fund is no longer affiliated.

* Fund advised by Barings LLC.

** Each of the MassMutual RetireSMART^SM by JPMorgan 2010 Fund and the MassMutual RetireSMART^SM by JPMorgan 2015 Fund were reorganized into the MM RetireSMART by JPMorgan In Retirement Fund prior to the opening of business on January 28, 2019.

8. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

9. Acquisition of MassMutual RetireSMART by JPMorgan 2010 Fund and MassMutual RetireSMART by JPMorgan 2015 Fund

Effective January 28, 2019, the MassMutual RetireSMART^SM by JPMorgan 2010 Fund (“MM RetireSMART by JPMorgan 2010 Fund”) and MassMutual RetireSMART^SM by JPMorgan 2015 Fund (“MM RetireSMART by JPMorgan 2015 Fund”) reorganized into the MM RetireSMART by JPMorgan In Retirement Fund. Under the terms of each Agreement and Plan of Reorganization, the MM RetireSMART by JPMorgan 2010 Fund’s and MM RetireSMART by JPMorgan 2015 Fund’s assets and liabilities were transferred to the MM RetireSMART by JPMorgan In Retirement Fund in return for shares of the MM RetireSMART by JPMorgan In Retirement Fund. The transactions were part of a restructuring designed to eliminate the offering of overlapping portfolios of funds with similar investment objectives and similar investment strategies.

The MM RetireSMART by JPMorgan 2010 Fund acquisition was accomplished by a tax-free exchange of 354,588 Class I shares, 404,318 Class R5 shares, 471,246 Service Class shares 645,002 Administrative Class shares, 842,400 Class A shares, 482,964 Class R4 shares, and 799,920 Class R3 shares of the MM RetireSMART by JPMorgan 2010 Fund, valued at $43,450,624 in total, for 354,241 Class I shares, 405,988 Class R5 shares, 476,052 Service Class shares, 648,103 Administrative Class shares, 850,025 Class A shares, 484,243 Class R4 shares, and 799,271 Class R3 shares of the MM RetireSMART by JPMorgan In Retirement Fund.

126

Notes to Financial Statements (Continued)

The MM RetireSMART by JPMorgan 2015 Fund acquisition was accomplished by a tax-free exchange of 841,367 Class I shares, 8,444 Class R5 shares, 338,644 Service Class shares, 1,069,475 Administrative Class shares, 685,860 Class A shares, 1,477,307 Class R4 shares, and 1,737,507 Class R3 shares of the MM RetireSMART by JPMorgan 2015 Fund, valued at $63,462,206 in total, for 804,148 Class I shares, 8,070 Class R5 shares, 323,395 Service Class shares, 1,016,008 Administrative Class shares, 655,127 Class A shares, 1,407,840 Class R4 shares, and 1,669,674 Class R3 shares of the MM RetireSMART by JPMorgan In Retirement Fund.

The investment portfolios of the MM RetireSMART by JPMorgan 2010 Fund and the MM RetireSMART by JPMorgan 2015 Fund, with a value of $43,578,326 and $63,578,428 in investments, respectively, and a cost basis of $46,393,707 and $67,636,093, respectively, at January 25, 2019, were the principal assets acquired by the MM RetireSMART by JPMorgan In Retirement Fund. For financial reporting purposes, assets received and shares issued by the MM RetireSMART by JPMorgan In Retirement Fund were recorded at fair value; however, the cost basis of the investments received from each of the MM RetireSMART by JPMorgan 2010 Fund and MM RetireSMART by JPMorgan 2015 Fund were carried forward to align ongoing reporting of the MM RetireSMART by JPMorgan In Retirement Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for federal income tax purposes. Immediately prior to the acquisition, the MM RetireSMART by JPMorgan In Retirement Fund’s net assets were $80,892,559.

Assuming the acquisitions had been completed on October 1, 2018, the beginning of the annual reporting period of the MM RetireSMART by JPMorgan In Retirement Fund, the MM RetireSMART by JPMorgan In Retirement Fund’s pro forma results of operations for the year ended September 30, 2019, would have been as follows:

Net investment income	$	5,147,397	*
Net realized gain (loss) and change in unrealized appreciation (depreciation)	$	5,693,262	**
Net increase (decrease) in net assets resulting from operations	$	10,840,659

* $2,249,155 as reported, plus $2,565,466 of the MM RetireSMART by JPMorgan 2010 Fund and MM RetireSMART by JPMorgan 2015 Fund pre-merger, plus $332,776 of pro-forma eliminated expenses.

** $4,499,628 plus $1,193,634 of the MM RetireSMART by JPMorgan 2010 Fund and MM RetireSMART by JPMorgan 2015 Fund pre-merger.

Because the MM RetireSMART by JPMorgan 2010 Fund, MM RetireSMART by JPMorgan 2015 Fund, and MM RetireSMART by JPMorgan In Retirement Fund continuously sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisitions were completed, it is also not practicable to separate the amounts of revenue and earnings of the MM RetireSMART by JPMorgan 2010 Fund and MM RetireSMART by JPMorgan 2015 Fund that have been included in the MM RetireSMART by JPMorgan In Retirement Fund’s Statement of Operations since January 28, 2019.

See Note 5, Capital Share Transactions, for the changes in shares outstanding for the MM RetireSMART by JPMorgan In Retirement Fund during the period.

127

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of the MassMutual Select Funds and Shareholders of MassMutual RetireSMART^SM Conservative Fund, MassMutual RetireSMART^SM Moderate Fund, MassMutual RetireSMART^SM Moderate Growth Fund, MassMutual RetireSMART^SM Growth Fund, MassMutual RetireSMART^SM by JPMorgan In Retirement Fund, MassMutual RetireSMART^SM by JPMorgan 2020 Fund, MassMutual RetireSMART^SM by JPMorgan 2025 Fund, MassMutual RetireSMART^SM by JPMorgan 2030 Fund, MassMutual RetireSMART^SM by JPMorgan 2035 Fund, MassMutual RetireSMART^SM by JPMorgan 2040 Fund, MassMutual RetireSMART^SM by JPMorgan 2045 Fund, MassMutual RetireSMART^SM by JPMorgan 2050 Fund, MassMutual RetireSMART^SM by JPMorgan 2055 Fund, and MassMutual RetireSMART^SM by JPMorgan 2060 Fund (collectively, the “Funds”):

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments, as of September 30, 2019; the related statements of operations, the statements of changes in net assets, and the financial highlights for the periods indicated in the table below; and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2019, and the results of their operations for the periods listed in the table below, the changes in their net assets for the periods listed in the table below, and the financial highlights for the periods listed in the table below, in conformity with accounting principles generally accepted in the United States of America.

Individual Fund Comprising the MassMutual Select Funds	Statement of Operations	Statements of Changes in Net Assets	Financial Highlights
MassMutual RetireSMARTSM Conservative Fund, MassMutual RetireSMARTSM Moderate Fund, MassMutual RetireSMARTSM Moderate Growth Fund, MassMutual RetireSMARTSM Growth Fund, MassMutual RetireSMARTSM by JPMorgan In Retirement Fund, MassMutual RetireSMARTSM by JPMorgan 2020 Fund, MassMutual RetireSMARTSM by JPMorgan 2025 Fund, MassMutual RetireSMARTSM by JPMorgan 2030 Fund, MassMutual RetireSMARTSM by JPMorgan 2035 Fund, MassMutual RetireSMARTSM by JPMorgan 2040 Fund, MassMutual RetireSMARTSM by JPMorgan 2045 Fund, MassMutual RetireSMARTSM by JPMorgan 2050 Fund, and MassMutual RetireSMARTSM by JPMorgan 2055 Fund	For the year ended September 30, 2019	For the years ended September 30, 2019 and 2018	For each of the four years in the period ended September 30, 2019, the period from January 1, 2015 through September 30, 2015, and the year ended December 31, 2014
MassMutual RetireSMARTSM by JPMorgan 2060 Fund	For the year ended September 30, 2019	For the years ended September 30, 2019 and 2018	For each of the three years in the period ended September 30, 2019, and for the period from November 23, 2015 (commencement of operations) through September 30, 2016

128

Report of Independent Registered Public Accounting Firm (Continued)

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2019, by correspondence with transfer agents; when replies were not received from transfer agents, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

November 26, 2019

We have served as the auditor of one or more MassMutual investment companies since 1995.

129

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.

Independent Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Allan W. Blair Age: 71	Trustee	Since 2003	Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company).	109	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 61	Trustee	Since 2012	Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC).	109	Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 65	Trustee	Since 2012	Retired.	109	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
R. Alan Hunter, Jr. Age: 72	Chairperson Trustee	Since 2016 Since 2003	Retired.	109	Director (since 2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

130

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
C. Ann Merrifield Age: 68	Trustee	Since 2012	Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company).	109	Director (since 2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 67	Trustee	Since 2009	Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company).	111^	Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Teresa Hassara^^ Age: 57	Trustee	Since 2017	Director (since 2017), MML Advisers; Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF.	109	Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company).

131

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^^ Age: 74	Trustee	Since 2003	Retired.	111^	Director (since 2018), Jefferies Financial Group Inc. (holding company); Director (since 2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technologies, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Principal Officers who are not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Joseph Fallon Age: 44	Vice President Assistant Vice President	Since 2017 2015- 2017	Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (since 2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company).	109
Andrew M. Goldberg Age: 53	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 2001- 2008	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (since 2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	109
Renee Hitchcock Age: 48	Chief Financial Officer and Treasurer Assistant Treasurer	Since 2016 2007- 2016	Head of Mutual Fund Administration (since 2018), Assistant Vice President (since 2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company).	109

132

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Jill Nareau Robert Age: 47	Vice President and Assistant Secretary Assistant Secretary	Since 2017 2008- 2017	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (since 2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company).	109
Douglas Steele Age: 44	Vice President	Since 2016	Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company).	109
Philip S. Wellman Age: 55	Vice President and Chief Compliance Officer	Since 2007	Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds & RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (since 2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	109
Eric H. Wietsma Age: 53	President Vice President	Since 2008 2006- 2008	President (2013-2018, since 2019), Vice President (2018-2019), Director (since 2013), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (since 2010-2018), MassMutual; President (since 2019), Vice President (2006-2019), MML Series Investment Fund (open-end investment company); President (since 2019), Vice President (2006-2019), MML Series Investment Fund II (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	109

* The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees.

^ Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers.

^^ Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

^^^ Mr. Joyal is an Interested Person through his position as a director of Jefferies Financial Group Inc., which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion.

# The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees.

133

Federal Tax Information (Unaudited)

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2019, qualified for the dividends received deduction, as follows:

	Dividends Received Deductions
MM RetireSMART Conservative Fund		12.64%
MM RetireSMART Moderate Fund		29.10%
MM RetireSMART Moderate Growth Fund		40.09%
MM RetireSMART Growth Fund		46.70%
MM RetireSMART by JPMorgan In Retirement Fund		18.20%
MM RetireSMART by JPMorgan 2020 Fund		19.78%
MM RetireSMART by JPMorgan 2025 Fund		25.41%
MM RetireSMART by JPMorgan 2030 Fund		30.40%
MM RetireSMART by JPMorgan 2035 Fund		35.35%
MM RetireSMART by JPMorgan 2040 Fund		37.84%
MM RetireSMART by JPMorgan 2045 Fund		40.47%
MM RetireSMART by JPMorgan 2050 Fund		39.91%
MM RetireSMART by JPMorgan 2055 Fund		42.09%
MM RetireSMART by JPMorgan 2060 Fund		35.09%

For the year ended September 30, 2019, the following Fund(s) earned the following foreign sources of income:

	Amount
MM RetireSMART Conservative Fund	$	240,717
MM RetireSMART Moderate Fund		742,022
MM RetireSMART Moderate Growth Fund		854,836
MM RetireSMART Growth Fund		477,175
MM RetireSMART by JPMorgan In Retirement Fund		137,361
MM RetireSMART by JPMorgan 2020 Fund		880,308
MM RetireSMART by JPMorgan 2025 Fund		799,529
MM RetireSMART by JPMorgan 2030 Fund		1,818,770
MM RetireSMART by JPMorgan 2035 Fund		855,348
MM RetireSMART by JPMorgan 2040 Fund		1,362,921
MM RetireSMART by JPMorgan 2045 Fund		611,600
MM RetireSMART by JPMorgan 2050 Fund		808,496
MM RetireSMART by JPMorgan 2055 Fund		253,199
MM RetireSMART by JPMorgan 2060 Fund		67,110

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2019:

	Qualified Dividend Income
MM RetireSMART Conservative Fund	$	1,053,741
MM RetireSMART Moderate Fund		3,148,560
MM RetireSMART Moderate Growth Fund		3,757,263
MM RetireSMART Growth Fund		2,230,062
MM RetireSMART by JPMorgan In Retirement Fund		543,333
MM RetireSMART by JPMorgan 2020 Fund		3,296,936
MM RetireSMART by JPMorgan 2025 Fund		2,906,704
MM RetireSMART by JPMorgan 2030 Fund		6,146,378
MM RetireSMART by JPMorgan 2035 Fund		3,075,073

134

Federal Tax Information (Unaudited) (Continued)

	Qualified Dividend Income
MM RetireSMART by JPMorgan 2040 Fund	$	4,749,536
MM RetireSMART by JPMorgan 2045 Fund		2,056,578
MM RetireSMART by JPMorgan 2050 Fund		2,786,006
MM RetireSMART by JPMorgan 2055 Fund		851,769
MM RetireSMART by JPMorgan 2060 Fund		225,249

135

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser uses to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

For periods ending on or after March 31, 2019, the Funds filed their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT will be available on the SEC’s EDGAR database on its website at http://www.sec.gov. For periods ending prior to March 31, 2019, this information was filed on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in May and June 2019, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust or MML Advisers (the “Independent Trustees”), re-approved the existing advisory agreements (collectively, the “Contracts”) for each of the MM RetireSMART Conservative Fund, MM RetireSMART Moderate Fund, MM RetireSMART Moderate Growth Fund, MM RetireSMART Growth Fund, MM RetireSMART by JPMorgan In Retirement Fund, MM RetireSMART by JPMorgan 2020 Fund, MM RetireSMART by JPMorgan 2025 Fund, MM RetireSMART by JPMorgan 2030 Fund, MM RetireSMART by JPMorgan 2035 Fund, MM RetireSMART by JPMorgan 2040 Fund, MM RetireSMART by JPMorgan 2045 Fund, MM RetireSMART by JPMorgan 2050 Fund, MM RetireSMART by JPMorgan 2055 Fund, and MM RetireSMART by JPMorgan 2060 Fund. In preparation for the meetings, the Trustees requested, and MML Advisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third-Party Report provided detailed comparative advisory fee, total expense, and performance information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers.

The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s net advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against funds in its “category” and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s expenses and performance and a recommendation as to the action to be taken by the Committee. The Committee noted that it had received in the Meeting Materials, or during the course of the past year, detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds. MML Advisers

136

Other Information (Unaudited) (Continued)

reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.

The Committee reviewed the expense and performance information for each Fund. (References to any one- or three-year period below are to periods ended December 31, 2018. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)

The Committee considered that the total net expense ratios for all of the Funds were within the top forty percent of their peer groups. In addition, since each Fund’s net advisory fee is zero, this placed their net advisory fees within the top one percent of their peers.

The Committee considered that the large majority of the Funds achieved one- and three-year investment performance above the medians of their performance categories, or in the top sixty percent of their performance categories, except those Funds referred to below. The Committee considered that the MM RetireSMART by JPMorgan 2040 Fund, MM RetireSMART by JPMorgan 2045 Fund, and MM RetireSMART Moderate Fund all experienced three-year investment performance outside the top sixty percent of their performance categories, but experienced improved performance for the one-year period, in each case above the median of its performance category, other than the MM RetireSMART Moderate Fund, whose performance improved to the 53^rd comparative percentile of its performance category.

With respect to the MM RetireSMART by JPMorgan In Retirement Fund, the Committee considered MML Advisers’ statements that the Fund’s unfavorable relative one- and three-year performance was the result of the Fund’s relatively high asset allocation to equity securities, which hurt performance in the most recent year, but that MML Advisers has strong conviction in the Fund’s

September 2018 partnership with J.P. Morgan Investment Management Inc. (“J.P. Morgan”) where J.P. Morgan became subadviser, overseeing the Funds’ strategic and tactical glide path and asset allocation.

The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting and during the course of the year, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of MML Advisers’ revenues from the Funds (including advisory fees and administrative and shareholder services fees, as applicable) and the expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and any so-called “fallout benefits” to MML Advisers (which were not considered to be substantial in any event), such as any reputational value derived from serving as investment adviser to the Funds.

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) either the relative or absolute performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MML Advisers has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contracts for each of the Funds; and (iv) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.

137

Other Information (Unaudited) (Continued)

Fund Expenses September 30, 2019

Expense Examples:

The following information is in regards to expenses for the six months ended September 30, 2019:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended September 30, 2019.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART Conservative Fund
Class I	$	1,000		0.02	%	$	1,048.60	$	0.10	$	1,025.20	$	0.10
Class R5		1,000		0.12	%		1,047.50		0.62		1,024.70		0.62
Service Class		1,000		0.22	%		1,046.50		1.14		1,024.20		1.13
Administrative Class		1,000		0.32	%		1,046.40		1.66		1,023.70		1.64
Class A		1,000		0.57	%		1,045.10		2.95		1,022.50		2.92
Class R4		1,000		0.47	%		1,045.80		2.44		1,023.00		2.41
Class R3		1,000		0.72	%		1,044.90		3.73		1,021.70		3.69
MM RetireSMART Moderate Fund
Class I		1,000		0.04	%		1,045.30		0.21		1,025.10		0.21
Class R5		1,000		0.14	%		1,046.30		0.73		1,024.60		0.72
Service Class		1,000		0.24	%		1,045.00		1.24		1,024.10		1.23
Administrative Class		1,000		0.34	%		1,044.00		1.76		1,023.60		1.74
Class A		1,000		0.59	%		1,042.80		3.05		1,022.40		3.02
Class R4		1,000		0.49	%		1,042.20		2.54		1,022.90		2.51
Class R3		1,000		0.74	%		1,041.20		3.83		1,021.60		3.79

138

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART Moderate Growth Fund
Class I	$	1,000		0.04	%	$	1,043.20	$	0.21	$	1,025.10	$	0.21
Class R5		1,000		0.14	%		1,043.20		0.72		1,024.60		0.72
Service Class		1,000		0.24	%		1,042.00		1.24		1,024.10		1.23
Administrative Class		1,000		0.34	%		1,042.00		1.76		1,023.60		1.74
Class A		1,000		0.59	%		1,040.80		3.05		1,022.40		3.02
Class R4		1,000		0.49	%		1,041.30		2.53		1,022.90		2.51
Class R3		1,000		0.74	%		1,039.20		3.82		1,021.60		3.79
MM RetireSMART Growth Fund
Class I		1,000		0.07	%		1,042.30		0.36		1,025.00		0.36
Class R5		1,000		0.17	%		1,041.30		0.88		1,024.50		0.87
Service Class		1,000		0.27	%		1,041.20		1.40		1,024.00		1.38
Administrative Class		1,000		0.37	%		1,040.30		1.91		1,023.50		1.90
Class A		1,000		0.62	%		1,039.30		3.20		1,022.20		3.18
Class R4		1,000		0.52	%		1,038.70		2.69		1,022.70		2.67
Class R3		1,000		0.77	%		1,038.80		3.98		1,021.40		3.94
MM RetireSMART by JPMorgan In Retirement Fund
Class I		1,000		0.06	%		1,047.10		0.31		1,025.00		0.31
Class R5		1,000		0.16	%		1,047.00		0.83		1,024.50		0.82
Service Class		1,000		0.26	%		1,046.10		1.35		1,024.00		1.33
Administrative Class		1,000		0.36	%		1,046.10		1.87		1,023.50		1.85
Class A		1,000		0.61	%		1,044.70		3.16		1,022.30		3.13
Class R4		1,000		0.51	%		1,045.00		2.64		1,022.80		2.61
Class R3		1,000		0.76	%		1,043.50		3.94		1,021.50		3.89
MM RetireSMART by JPMorgan 2020 Fund
Class I		1,000		0.04	%		1,048.50		0.21		1,025.10		0.21
Class R5		1,000		0.14	%		1,047.70		0.73		1,024.60		0.72
Service Class		1,000		0.24	%		1,047.50		1.25		1,024.10		1.23
Administrative Class		1,000		0.34	%		1,046.80		1.76		1,023.60		1.74
Class A		1,000		0.59	%		1,045.40		3.06		1,022.40		3.02
Class R4		1,000		0.49	%		1,046.10		2.54		1,022.90		2.51
Class R3		1,000		0.74	%		1,044.20		3.83		1,021.60		3.79
MM RetireSMART by JPMorgan 2025 Fund
Class I		1,000		0.01	%		1,048.70		0.05		1,025.30		0.05
Class R5		1,000		0.11	%		1,049.00		0.57		1,024.80		0.56
Service Class		1,000		0.21	%		1,048.60		1.09		1,024.30		1.08
Administrative Class		1,000		0.31	%		1,047.90		1.61		1,023.80		1.59
Class A		1,000		0.56	%		1,045.80		2.90		1,022.50		2.87
Class R4		1,000		0.46	%		1,046.80		2.39		1,023.00		2.36
Class R3		1,000		0.71	%		1,046.10		3.68		1,021.70		3.64

139

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART by JPMorgan 2030 Fund
Class I	$	1,000		0.04	%	$	1,047.70	$	0.21	$	1,025.10	$	0.21
Class R5		1,000		0.14	%		1,047.10		0.73		1,024.60		0.72
Service Class		1,000		0.24	%		1,046.80		1.24		1,024.10		1.23
Administrative Class		1,000		0.34	%		1,046.10		1.76		1,023.60		1.74
Class A		1,000		0.59	%		1,044.70		3.06		1,022.40		3.02
Class R4		1,000		0.49	%		1,045.10		2.54		1,022.90		2.51
Class R3		1,000		0.74	%		1,044.00		3.83		1,021.60		3.79
MM RetireSMART by JPMorgan 2035 Fund
Class I		1,000		0.05	%		1,046.00		0.26		1,025.10		0.26
Class R5		1,000		0.15	%		1,045.90		0.78		1,024.60		0.77
Service Class		1,000		0.25	%		1,045.50		1.30		1,024.10		1.28
Administrative Class		1,000		0.35	%		1,044.90		1.81		1,023.60		1.79
Class A		1,000		0.60	%		1,042.70		3.11		1,022.30		3.08
Class R4		1,000		0.50	%		1,043.80		2.59		1,022.80		2.56
Class R3		1,000		0.75	%		1,042.30		3.88		1,021.50		3.84
MM RetireSMART by JPMorgan 2040 Fund
Class I		1,000		0.04	%		1,044.60		0.21		1,025.10		0.21
Class R5		1,000		0.14	%		1,043.70		0.73		1,024.60		0.72
Service Class		1,000		0.24	%		1,043.50		1.24		1,024.10		1.23
Administrative Class		1,000		0.34	%		1,043.70		1.76		1,023.60		1.74
Class A		1,000		0.59	%		1,041.40		3.05		1,022.40		3.02
Class R4		1,000		0.49	%		1,041.80		2.54		1,022.90		2.51
Class R3		1,000		0.74	%		1,040.70		3.83		1,021.60		3.79
MM RetireSMART by JPMorgan 2045 Fund
Class I		1,000		0.02	%		1,043.40		0.10		1,025.20		0.10
Class R5		1,000		0.12	%		1,043.30		0.62		1,024.70		0.62
Service Class		1,000		0.22	%		1,043.40		1.14		1,024.20		1.13
Administrative Class		1,000		0.32	%		1,042.70		1.66		1,023.70		1.64
Class A		1,000		0.57	%		1,041.40		2.95		1,022.50		2.92
Class R4		1,000		0.47	%		1,041.60		2.43		1,023.00		2.41
Class R3		1,000		0.72	%		1,040.90		3.72		1,021.70		3.69
MM RetireSMART by JPMorgan 2050 Fund
Class I		1,000		0.02	%		1,043.90		0.10		1,025.20		0.10
Class R5		1,000		0.12	%		1,042.80		0.62		1,024.70		0.62
Service Class		1,000		0.22	%		1,042.60		1.14		1,024.20		1.13
Administrative Class		1,000		0.32	%		1,042.70		1.66		1,023.70		1.64
Class A		1,000		0.57	%		1,040.60		2.95		1,022.50		2.92
Class R4		1,000		0.47	%		1,042.00		2.43		1,023.00		2.41
Class R3		1,000		0.72	%		1,039.90		3.72		1,021.70		3.69

140

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM RetireSMART by JPMorgan 2055 Fund
Class I	$	1,000		0.00	%	$	1,043.80	$	0.00	$	1,025.30	$	0.00
Class R5		1,000		0.10	%		1,042.80		0.52		1,024.80		0.51
Service Class		1,000		0.20	%		1,042.70		1.04		1,024.30		1.03
Administrative Class		1,000		0.30	%		1,041.90		1.55		1,023.80		1.54
Class A		1,000		0.55	%		1,041.00		2.84		1,022.60		2.82
Class R4		1,000		0.45	%		1,042.10		2.33		1,023.10		2.31
Class R3		1,000		0.70	%		1,040.30		3.62		1,021.80		3.59
MM RetireSMART by JPMorgan 2060 Fund
Class I		1,000		0.00	%		1,043.60		0.00		1,025.30		0.00
Class R5		1,000		0.10	%		1,043.70		0.52		1,024.80		0.51
Service Class		1,000		0.20	%		1,042.70		1.04		1,024.30		1.03
Administrative Class		1,000		0.30	%		1,042.80		1.55		1,023.80		1.54
Class A		1,000		0.55	%		1,040.80		2.84		1,022.60		2.82
Class R4		1,000		0.45	%		1,041.80		2.33		1,023.10		2.31
Class R3		1,000		0.70	%		1,041.00		3.62		1,021.80		3.59

* Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2019, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise.

141

Underwriter:

MML Distributors, LLC

100 Bright Meadow Blvd.

Enfield, Connecticut 06082-1981

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC RS-45702-01

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	5
Portfolio of Investments
MassMutual Select T. Rowe Price Retirement Balanced Fund	23
MassMutual Select T. Rowe Price Retirement 2005 Fund	24
MassMutual Select T. Rowe Price Retirement 2010 Fund	25
MassMutual Select T. Rowe Price Retirement 2015 Fund	26
MassMutual Select T. Rowe Price Retirement 2020 Fund	27
MassMutual Select T. Rowe Price Retirement 2025 Fund	28
MassMutual Select T. Rowe Price Retirement 2030 Fund	29
MassMutual Select T. Rowe Price Retirement 2035 Fund	30
MassMutual Select T. Rowe Price Retirement 2040 Fund	31
MassMutual Select T. Rowe Price Retirement 2045 Fund	32
MassMutual Select T. Rowe Price Retirement 2050 Fund	33
MassMutual Select T. Rowe Price Retirement 2055 Fund	34
MassMutual Select T. Rowe Price Retirement 2060 Fund	35
Statements of Assets and Liabilities	36
Statements of Operations	44
Statements of Changes in Net Assets	48
Financial Highlights	57
Notes to Financial Statements	70
Report of Independent Registered Public Accounting Firm	92
Trustees and Officers (Unaudited)	93
Federal Tax Information (Unaudited)	97
Other Information (Unaudited)
Proxy Voting	98
Quarterly Reporting	98
Trustees’ Approval of Investment Advisory Contracts	98
Fund Expenses	100

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MassMutual Select T. Rowe Price Retirement Funds Series of the MassMutual Select Funds. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.

Important Notice: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer, bank, or retirement plan recordkeeper). Instead, the reports will be made available on the Fund’s website (http://www.massmutual.com/funds), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you would like to receive shareholder reports and other communications electronically from the Fund and are either a direct investor in the Fund or MassMutual serves as your retirement plan recordkeeper, please call (800) 767-1000 extension 43012 or send your request to enroll to RSProspectusFulfillment@massmutual.com. If you have invested in the Fund through another financial intermediary (such as a broker-dealer, bank, or retirement plan recordkeeper), you can request electronic delivery by contacting that financial intermediary. Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest directly with the MassMutual Funds or MassMutual serves as your retirement plan recordkeeper, you can call (800) 767-1000 extension 43012 or send an email request to RSProspectusFulfillment@massmutual.com to inform the Funds or MassMutual that you wish to continue receiving paper copies of your shareholder reports. If you invest through a financial intermediary other than MassMutual, you can contact that financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held within the fund complex if you invest directly with a Fund.

MassMutual Select T. Rowe Price Retirement Funds – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that’s designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement.”

September 30, 2019

Despite economic slowdowns and political tensions, markets remained strong

I am pleased to present you with MassMutual Select T. Rowe Price Retirement Funds Annual Report, covering the year ended September 30, 2019 (the “fiscal year” or the “period”). During the first three quarters of 2019, U.S. stocks experienced a good deal of volatility, as the White House led a protracted trade war against China, with tariffs being imposed on both sides. Nevertheless, total returns for domestic equities during the period were positive, although gains were more muted than in the prior fiscal year.

Recently, we have seen indications that the global economy appears to be slowing down. For example, Chinese industrial production dropped to its lowest level since 2002 in August 2019, while the country’s retail sales slowed by more than 2%. The European Union also showed signs of weakness, with the German economy contracting by 0.1% in the second quarter of 2019. Foreign stocks in developed markets trailed their domestic counterparts for the period and lost a bit of traction for the year, but generally outpaced their emerging-market competitors.

U.S. consumer spending, which is key for the U.S.’s consumption-led economy, remained a bright spot, as retail sales continued to post strong gains throughout the year. Nevertheless, the temporary inversion of the U.S. yield curve troubled investors. That is because historically, yield curve inversions, which occur when short-term interest rates are higher than their long-term counterparts, have often signaled an impending recession.

In a turnaround from 2018, bond investors in the United States experienced strong returns during fiscal year 2019, outperforming stocks for the first time in years. This was largely due to the U.S. Federal Reserve’s actions on interest rates, with its Federal Open Market Committee lowering rates twice in 2019 in an effort to stabilize the economy.

In MassMutual’s view, savvy retirement investors maintain a long-term perspective when planning for the future. As a result, they understand that current headlines ordinarily have limited impact on their retirement planning. We also believe that individuals who follow certain investment guidelines, such as the ones below, may help themselves prepare for a stronger financial future.

Suggestions for retirement investors under any market conditions

View time as your ally

Investing for retirement is a decades-long process for most people. The financial markets will be volatile from time to time, but many patient investors who have taken a long-term approach have managed to ride out the downturns and have successfully grown their account balances and reached their retirement goals over time.

Save as much as possible

Of course, you cannot control – or predict the direction of – the investment markets. But you can control how often and how much you contribute to your retirement savings account. Saving as much as possible and increasing your contributions regularly is one way smart retirement investors know they can help themselves reach their retirement income goals, regardless of how markets perform.

(Continued)

1

MassMutual Select T. Rowe Price Retirement Funds – President’s Letter to Shareholders (Unaudited) (Continued)

Continue to invest

Seasoned investors believe that “down” markets offer the potential to be rewarded by amassing larger positions at more favorable prices, as compared to investors who do not continue to invest when the market is down. That is why many financial professionals believe it is important to stay in the market, regardless of near-term results.

Monitor your asset allocation and diversify*

Stocks, bonds, and short-term/money market investments typically behave differently from one another depending upon the economic and market environment. Those broad investment types contain an even greater array of sub-categories (such as small-cap stocks, international stocks, high-yield bonds, etc.). Many financial experts believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.

Choose the investments you feel are right for you – and seek professional guidance

Many financial advisors suggest that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.

If you work with a financial professional, you may wish to consider reaching out to him or her to help ensure:

• you are saving enough for retirement;

• your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as on your investment time horizon; and

• you are taking the right steps to help reduce your longevity risk, which is related to the chance that your retirement savings could “run out” during your lifetime.

Retirement is a moment you plan for

MassMutual believes that retirement planning is not about crunching numbers – it’s about those moments when it all pays off. The more you plan for life’s greatest moments, the more you can relax and enjoy them. That is why our ongoing commitment is to help people financially protect their families today, so they can put themselves on the path to a more secure retirement. When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that is designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement. Thank you for your continued confidence and trust in MassMutual.

Sincerely,

Eric Wietsma

President

* Diversification and asset allocation do not ensure a profit or protect against loss in a declining market.

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA. All rights reserved. www.massmutual.com Underwriter: MML Distributors, LLC (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 100 Bright Meadow Blvd., Enfield, CT 06082. MMLD is a wholly-owned subsidiary of MassMutual. Investment advisory services provided to the Funds by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of MassMutual. The information provided is the opinion of MML Advisers as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual Select T.Rowe Price Retirement Funds – Economic and Market Overview (Unaudited)

September 30, 2019

Market Highlights

• For the reporting period from October 1, 2018 through September 30, 2019, U.S. stocks ended slightly higher, though they hit record levels in late July.

• Global economic optimism faded during the period under the weight of global and domestic political tensions, mixed economic results, and the impact of existing tariffs and rhetoric threatening additional tariffs.

• The Federal Open Market Committee (FOMC), in response to slowing global growth, announced two rate decreases in 2019 after one rate hike in December 2018.

• Foreign stocks in developed markets and emerging markets saw losses over the reporting period, aggravated by a strengthening U.S. dollar.

• U.S. bond investors enjoyed positive returns in a falling yield environment fueled by rate decreases and supportive central bank policy.

Market Environment

U.S. equity investors watched stock markets move mostly sideways for the fiscal year beginning October 1, 2018. U.S. stocks fell sharply in the first quarter of the period, suffering their worst quarterly decline in nearly a decade. They rebounded during the remaining quarters and crossed into record territory in late July 2019, but succumbed to volatility and uncertainty fueled by slowing global economic growth indicators and ongoing trade war acrimony between the U.S. and China. Both the S&P 500^® Index* (S&P 500) and the Dow Jones Industrial Average^SM (Dow) ended the fiscal year only slightly ahead of where they started.

Global economic growth seemed to slow with less synchronized and more restrained economic indicators than in the recent past. The U.S. economy has shown signs that it may be in the late stages of the current business cycle. For example, a tightening labor market typically results in low unemployment rates, but tends to drive up wage growth, putting pressure on corporate earnings. Declining unemployment claims may point to a nearer-term plateau in employment growth. Mixed signals in housing data also tend to be consistent with late cycle trends. As a result, pundits’ speculation about recession has begun to emerge. Consensus still deems the risk of near-term recession to be low, but more possible than in recent years.

Global and domestic political tensions fueled market volatility throughout 2019. The U.S. threatened and imposed tariffs on Chinese goods, which prompted retaliatory responses from China. On-again, off-again trade talks added further turbulence. In Great Britain, negotiations for a Brexit deal broke down threatening a “no-deal” Brexit, which could create serious trade obstacles in Europe. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) At the end of the reporting period, parties were no closer to a deal, despite the looming October 31, 2019 deadline. Domestically, political rancor between the White House and the Democratic-led House of Representatives culminated in a call for the launch of a formal impeachment inquiry at the end of September. There does not appear to be an end in sight for the current political battles.

With these various tensions at play, the FOMC not only halted their previously announced calendar of rate hikes, but tapped the brakes and reduced rates twice during the period. Bond investors enjoyed some of the best returns they have seen in recent years, as bond indexes generally outperformed stock indexes for the period.

The broad market S&P 500 delivered a modest 4.25% return for the fiscal year. The Dow followed a similar pattern to end the period with a 4.21% advance. The technology-heavy NASDAQ Composite Index, which led returns in the last fiscal year, rose just over one-half of one percent for the period. Small- and mid-cap stocks underperformed their larger peers, as small-caps lagged significantly. Growth stocks outperformed their value counterparts during the period, although value investors enjoyed a resurgence toward the end of the fiscal year.

3

MassMutual Select T.Rowe Price Retirement Funds – Economic and Market Overview (Unaudited) (Continued)

Six of 11 sectors in the S&P 500 delivered positive returns for the reporting period, led by the utilities, real estate, and consumer staples sectors, which all enjoyed double-digit growth and beat the S&P 500. The energy sector was the worst laggard for the fiscal year. The financials, materials, industrials, and health care sectors also ended in negative territory.

Developed international markets, as measured by the MSCI EAFE^® Index, not only trailed their domestic peers during the period, but also ended the fiscal year in negative territory, down 1.34%. Developed international markets struggled to gain traction under the weight of a strengthening U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and trade war rhetoric. Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended down 2.02% for the period.

Bond yields rose during the fiscal year, with the 10-year U.S. Treasury bond crossing the 3.00% threshold for a short period in November 2018 before dropping back to 1.68% at the close of the period. Falling yields generally produce rising bond prices; therefore, bond index returns benefited. The Bloomberg Barclays U.S. Aggregate Bond Index ended the period up 10.30%. High-yield corporate bonds did not fare as well, but ended in positive territory. The Bloomberg Barclays U.S. Corporate High Yield Index advanced 6.36% by the end of the fiscal year.

Review and maintain your strategy

At MassMutual, we help people look out for those they love. We believe planning and saving for retirement continues to be an important and urgent challenge for many of our customers. Investing in stock and bond mutual funds can play an important role in helping build a stable source of retirement income that allows investors the freedom to retire any way they’d like. Maintaining a long-term perspective and setting realistic expectations about the future performance of your investment portfolio is very important. Financial markets can behave unpredictably. Our multi-managed and subadvised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level in changing markets, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.

The information provided is the opinion of MML Investment Advisers, LLC as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

* Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment.

4

MassMutual Select T. Rowe Price Retirement Balanced Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of the MassMutual Select T. Rowe Price Retirement Balanced Fund, and who is the Fund’s subadviser?

The Fund seeks the highest total return over time consistent with an emphasis on both capital growth and income. The Fund is a “fund of funds” and pursues its objective by investing in a diversified portfolio of other stock and bond series of both the MassMutual Select Funds and T. Rowe Price Funds that represent various asset classes and sectors (“Underlying Funds”). The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price). The Underlying Funds in which the Fund invests are predominantly either advised or subadvised by T. Rowe Price. The Fund is intended for retired investors who seek income and relative stability from bonds along with some capital appreciation potential from stocks. The Fund’s “neutral allocations,” which are what T. Rowe Price considers broadly appropriate for investors during their retirement years, are 40% stock funds and 60% bond funds. The allocations are referred to as “neutral allocations” because they do not reflect any tactical decisions made by T. Rowe Price to overweight or underweight a particular asset class or sector based on its market outlook.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 5.24%, underperforming the 5.66% return of the S&P Target Date Retirement Income Index (the “benchmark”), which provides varying levels of exposure to equities and fixed income.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Security selection, particularly within U.S. mid-cap value, U.S. large-cap growth, and international developed-market equities detracted from the Fund’s relative performance for the period. Within fixed income, security selection in emerging-market bonds, dynamic global bonds, and investment-grade debt also detracted, as these investments all trailed their respective benchmarks. The Fund’s exposure to dynamic global bonds, high-yield bonds, and adjustable-rate loans detracted from relative returns, as these sectors trailed the Bloomberg Barclays U.S. Aggregate Bond Index.

The Fund’s holdings in long-term U.S. Treasuries as a diversifying fixed income sector was a notable contributor to relative results, as long-term Treasuries significantly outpaced the Bloomberg Barclays U.S. Aggregate Bond Index. The Fund’s holdings in real asset equities also benefited relative performance, as the real assets sector outpaced the blended equity benchmark. This positive impact was partly offset by an underweight allocation to the real assets sector.

Fund management’s positioning choices between equities and fixed income also benefited performance. In particular, their choice to make underweight allocations to equities helped to contain losses during the equity market downturn in late 2018.

Subadviser outlook

T. Rowe Price believes that the dovish shift in monetary policy around the world and a broader easing of financial and liquidity conditions have reduced the near-term likelihood of a global recession. However, Fund management believes that this current cycle of easing measures may leave global central banks ill equipped to respond to a more pronounced downturn. While this step back from tightening policies may help to stabilize global growth, it will not, in Fund management’s view, be sufficient to ignite a reacceleration in growth.

MassMutual Select T. Rowe Price Retirement Balanced Fund Asset Allocation (% of Net Assets) on 9/30/19
Fixed Income Funds	60.6	%
Equity Funds	39.4	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

5

MassMutual Select T. Rowe Price (target-date) Funds – Portfolio Manager Report (Unaudited)

What are the investment approaches of the Funds that constitute the MassMutual Select T. Rowe Price (target date) Series, and who is the Series’ investment adviser?

The MassMutual (“MM”) T. Rowe Price (target-date) Series (the “Series”) comprises 12 Funds – each of which has a “fund of funds” structure. The 12 Funds are MM Select T. Rowe Price Retirement 2005 Fund, MM Select T. Rowe Price Retirement 2010 Fund, MM Select T. Rowe Price Retirement 2015 Fund, MM Select T. Rowe Price Retirement 2020 Fund, MM Select T. Rowe Price Retirement 2025 Fund, MM Select T. Rowe Price Retirement 2030 Fund, MM Select T. Rowe Price Retirement 2035 Fund, MM Select T. Rowe Price Retirement 2040 Fund, MM Select T. Rowe Price Retirement 2045 Fund, MM Select T. Rowe Price Retirement 2050 Fund, MM Select T. Rowe Price Retirement 2055 Fund, and MM Select T. Rowe Price Retirement 2060 Fund. All Funds in the Series seek the highest total return over time consistent with an emphasis on both capital growth and income.

Each Fund seeks to achieve its investment objective by investing in a diversified portfolio of stock and bond series of both the MassMutual Select Funds and T. Rowe Price Funds that represent various asset classes and sectors (“Underlying Funds”) using an asset allocation strategy designed for investors expecting to retire at age 65 around the year specified in the Fund’s name, likely to stop making new investments in the Fund at or around that time, and planning to withdraw the value of the account in the Fund gradually after retirement. Each Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price). Underlying Funds in which each Fund invests are predominantly either advised or subadvised by T. Rowe Price.

Each Fund is managed based on the specific retirement year (e.g., target date 2005) included in its name and assumes a retirement age of 65. The target date refers to the approximate year an investor in the Fund would have retired and likely stopped making new investments in the Fund.

Each Fund’s assets are allocated to the Underlying Funds according to an asset allocation strategy that becomes increasingly conservative, reaching approximately 55% allocation to stocks at the target date and continuing to decline until approximately 30 years after its target date, when its allocation to stocks will remain fixed at approximately 20% of its assets and the remainder will be invested in bonds.

How did each Fund perform during the 12 months ended September 30, 2019?

The return of each Fund’s Class I shares is shown below in comparison to the return of each Fund’s respective S&P Target Date Index.

	Fund’s Class I Shares Return	S&P Target Date Index* Return
MM Select T. Rowe Price Retirement 2005 Fund	5.96%	5.66%
MM Select T. Rowe Price Retirement 2010 Fund	5.84%	5.24%
MM Select T. Rowe Price Retirement 2015 Fund	5.52%	4.87%
MM Select T. Rowe Price Retirement 2020 Fund	5.20%	4.57%
MM Select T. Rowe Price Retirement 2025 Fund	4.91%	3.96%
MM Select T. Rowe Price Retirement 2030 Fund	4.61%	3.23%
MM Select T. Rowe Price Retirement 2035 Fund	4.23%	2.52%
MM Select T. Rowe Price Retirement 2040 Fund	3.97%	2.09%
MM Select T. Rowe Price Retirement 2045 Fund	3.71%	1.83%
MM Select T. Rowe Price Retirement 2050 Fund	3.75%	1.59%
MM Select T. Rowe Price Retirement 2055 Fund	3.70%	1.57%
MM Select T. Rowe Price Retirement 2060 Fund	3.67%	1.56%

* The S&P Target Date Index for each Fund in the Series is as follows: MM Select T. Rowe Price Retirement 2005 Fund: S&P Target Date Retirement Income Index; MM Select T. Rowe Price Retirement 2010 Fund: S&P Target Date 2010 Index; MM Select T. Rowe Price Retirement 2015 Fund: S&P Target Date 2015 Index; MM Select T. Rowe Price Retirement 2020 Fund: S&P Target Date 2020 Index; MM Select T. Rowe Price Retirement 2025 Fund: S&P Target Date 2025 Index; MM Select T. Rowe Price Retirement 2030 Fund: S&P Target Date 2030 Index; MM Select T. Rowe Price Retirement 2035 Fund: S&P Target Date 2035 Index; MM Select T. Rowe Price Retirement 2040 Fund: S&P Target Date 2040 Index; MM Select T. Rowe Price Retirement 2045 Fund: S&P Target Date 2045 Index; MM Select T. Rowe Price Retirement 2050 Fund: S&P Target Date 2050 Index; MM Select T. Rowe Price Retirement 2055 Fund: S&P Target Date 2055 Index; and MM Select T. Rowe Price Retirement 2060 Fund: S&P Target Date 2060+ Index.

6

MassMutual Select T. Rowe Price (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

For the year ended September 30, 2019, each of the MM Select T. Rowe Price Retirement (target-date) Funds outperformed its respective S&P Target Date Index. (S&P Target Date Indexes are defined in the following section.)

S&P Target Date^® Index Series:

The S&P Target Date Index Series consists of 12 multi-asset class indexes: the S&P Target Date Retirement Income Index and 11 date-specific indexes, corresponding to a specific target retirement date. Each index provides varying levels of exposure to equities and fixed income. Each target date allocation is created and retired according to a pre-determined schedule related to the respective target date. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Investment adviser discussion of factors that contributed to the Funds’ performance

Security selection drove relative outperformance for the year. Most notably, returns were lifted by strong security selection within our U.S. small-cap stock portfolios, all of which outpaced their respective benchmarks. Effective security selection among U.S. large-cap value and emerging markets equities also positively contributed to relative returns, as these portfolios outperformed their respective style-specific benchmarks. Selection among U.S. mid-cap growth equities also added value. However, security selection in certain other portfolios detracted from relative performance, particularly within the U.S. mid-cap value, U.S. large-cap growth, and international developed equity portfolios. Within fixed income, security selection in emerging-market bonds, dynamic global bonds, and investment-grade debt also detracted, as these investments all trailed their respective benchmarks.

The Funds’ exposure to dynamic global bonds, high-yield bonds, and adjustable-rate loans detracted from relative returns, as these sectors trailed the Bloomberg Barclays U.S. Aggregate Bond Index. An overweight allocation to emerging markets stocks relative to international developed stocks detracted from relative returns, as did an overweight allocation to international equities relative to U.S. equities.

Each Fund’s holdings in long-term U.S. Treasuries as a diversifying fixed income sector was a notable contributor to relative results, as long-term Treasuries significantly outpaced the Bloomberg Barclays U.S. Aggregate Bond Index. Each Fund’s holdings in real asset equities also benefited relative performance, as the real assets sector outpaced the blended equity benchmark. This positive impact was partly offset by an underweight tactical allocation to the real assets sector. An overweight allocation to U.S. small-cap stocks, which lagged U.S. large-cap stocks, weighed on the Funds’ relative results.

Across the Funds, Fund management’s positioning choices between equities and fixed income also benefited performance. In particular, their choices to make underweight allocations to equities helped to contain losses during the equity market downturn in late 2018.

Investment adviser outlook

T. Rowe Price believes that the dovish shift in monetary policy around the world and a broader easing of financial and liquidity conditions have reduced the near-term likelihood of a global recession. However, Fund management believes that this current cycle of easing measures may leave global central banks ill equipped to respond to a more pronounced downturn. While this step back from tightening policies may help to stabilize global growth, it will not, in Fund management’s view, be sufficient to ignite a reacceleration in growth.

7

MassMutual Select T. Rowe Price (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select T. Rowe Price Retirement 2005 Fund Asset Allocation (% of Net Assets) on 9/30/19
Fixed Income Funds	64.6	%
Equity Funds	35.5	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2015 Fund Asset Allocation (% of Net Assets) on 9/30/19
Fixed Income Funds	53.0	%
Equity Funds	47.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2025 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	65.2	%
Fixed Income Funds	34.8	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2035 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	79.9	%
Fixed Income Funds	20.1	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2010 Fund Asset Allocation (% of Net Assets) on 9/30/19
Fixed Income Funds	59.6	%
Equity Funds	40.5	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2020 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	56.5	%
Fixed Income Funds	43.5	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2030 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	72.9	%
Fixed Income Funds	27.1	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2040 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	85.3	%
Fixed Income Funds	14.7	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

8

MassMutual Select T. Rowe Price (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select T. Rowe Price Retirement 2045 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	89.1	%
Fixed Income Funds	10.9	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2055 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	89.3	%
Fixed Income Funds	10.8	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2050 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	89.2	%
Fixed Income Funds	10.8	%
Total Long-Term Investments	100.0	%
Other Assets & Liabilities	(0.0	)%
Net Assets	100.0	%

MassMutual Select T. Rowe Price Retirement 2060 Fund Asset Allocation (% of Net Assets) on 9/30/19
Equity Funds	89.6	%
Fixed Income Funds	10.5	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

9

MassMutual Select T. Rowe Price Retirement Balanced Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	5.24%	4.13%
Class M5	02/16/2018	5.11%	4.01%
Class M4	02/16/2018	4.85%	3.72%
Class M3	02/16/2018	4.61%	3.49%
S&P Target Date Retirement Income Index		5.66%	4.68%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

10

MassMutual Select T. Rowe Price Retirement 2005 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	5.96%	4.44%
Class M5	02/16/2018	5.80%	4.26%
Class M4	02/16/2018	5.53%	4.01%
Class M3	02/16/2018	5.28%	3.73%
S&P Target Date Retirement Income Index		5.66%	4.68%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

11

MassMutual Select T. Rowe Price Retirement 2010 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	5.84%	4.41%
Class M5	02/16/2018	5.70%	4.28%
Class M4	02/16/2018	5.37%	4.00%
Class M3	02/16/2018	5.08%	3.74%
S&P Target Date 2010 Index		5.24%	4.60%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

12

MassMutual Select T. Rowe Price Retirement 2015 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	5.52%	4.26%
Class M5	02/16/2018	5.44%	4.12%
Class M4	02/16/2018	5.15%	3.86%
Class M3	02/16/2018	4.84%	3.59%
S&P Target Date 2015 Index		4.87%	4.53%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

13

MassMutual Select T. Rowe Price Retirement 2020 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	5.20%	4.15%
Class M5	02/16/2018	5.07%	3.98%
Class M4	02/16/2018	4.79%	3.73%
Class M3	02/16/2018	4.49%	3.46%
S&P Target Date 2020 Index		4.57%	4.45%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

14

MassMutual Select T. Rowe Price Retirement 2025 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	4.91%	3.97%
Class M5	02/16/2018	4.72%	3.81%
Class M4	02/16/2018	4.48%	3.58%
Class M3	02/16/2018	4.23%	3.30%
S&P Target Date 2025 Index		3.96%	4.23%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

15

MassMutual Select T. Rowe Price Retirement 2030 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	4.61%	3.79%
Class M5	02/16/2018	4.41%	3.62%
Class M4	02/16/2018	4.16%	3.39%
Class M3	02/16/2018	3.93%	3.12%
S&P Target Date 2030 Index		3.23%	3.99%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

16

MassMutual Select T. Rowe Price Retirement 2035 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	4.23%	3.60%
Class M5	02/16/2018	4.05%	3.44%
Class M4	02/16/2018	3.81%	3.17%
Class M3	02/16/2018	3.57%	2.94%
S&P Target Date 2035 Index		2.52%	3.68%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

17

MassMutual Select T. Rowe Price Retirement 2040 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	3.97%	3.44%
Class M5	02/16/2018	3.77%	3.27%
Class M4	02/16/2018	3.48%	3.01%
Class M3	02/16/2018	3.30%	2.77%
S&P Target Date 2040 Index		2.09%	3.52%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

18

MassMutual Select T. Rowe Price Retirement 2045 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	3.71%	3.32%
Class M5	02/16/2018	3.64%	3.20%
Class M4	02/16/2018	3.35%	2.93%
Class M3	02/16/2018	3.08%	2.68%
S&P Target Date 2045 Index		1.83%	3.37%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

19

MassMutual Select T. Rowe Price Retirement 2050 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	3.75%	3.34%
Class M5	02/16/2018	3.62%	3.18%
Class M4	02/16/2018	3.33%	2.92%
Class M3	02/16/2018	3.03%	2.65%
S&P Target Date 2050 Index		1.59%	3.26%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

20

MassMutual Select T. Rowe Price Retirement 2055 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	3.70%	3.31%
Class M5	02/16/2018	3.57%	3.15%
Class M4	02/16/2018	3.34%	2.92%
Class M3	02/16/2018	3.05%	2.67%
S&P Target Date 2055 Index		1.57%	3.23%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

21

MassMutual Select T. Rowe Price Retirement 2060 Fund – Portfolio Manager Report (Unaudited)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates a representative class of the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable. The performance of other share classes will be greater than or less than the class depicted above.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/16/2018
Class I	02/16/2018	3.67%	3.30%
Class M5	02/16/2018	3.50%	3.15%
Class M4	02/16/2018	3.34%	2.93%
Class M3	02/16/2018	3.03%	2.65%
S&P Target Date 2060+ Index		1.56%	3.28%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

22

MassMutual Select T. Rowe Price Retirement Balanced Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 39.4%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		1,998,120	$	18,842,273
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		130,113		1,363,581
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		931,781		10,659,574
MM S&P 500 Index Fund, Class I (a)		1,767,542		31,674,353
				62,539,781
Fixed Income Funds — 60.6%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		2,686,486		28,449,890
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		570,542		5,648,370
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		4,553,110		46,760,437
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		341,928		4,188,619
State Street Institutional U.S. Government Money Market Fund		1,135,457		1,135,457
T. Rowe Price Dynamic Global Bond Fund, Class I		501,796		4,581,398
T. Rowe Price High Yield Fund, Inc. Class I		293,173		1,940,808
T. Rowe Price Institutional Floating Rate Fund		111,347		1,095,654
T. Rowe Price Institutional High Yield Fund		266,548		2,345,620
				96,146,253
TOTAL MUTUAL FUNDS (Cost $156,867,168)				158,686,034
TOTAL LONG-TERM INVESTMENTS (Cost $156,867,168)				158,686,034
TOTAL INVESTMENTS — 100.0% (Cost $156,867,168) (b)				158,686,034
Other Assets/(Liabilities) — (0.0)%				(73,946	)
NET ASSETS — 100.0%			$	158,612,088

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

23

MassMutual Select T. Rowe Price Retirement 2005 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 35.5%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		299,346	$	2,822,830
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		19,423		203,557
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		138,785		1,587,702
MM S&P 500 Index Fund, Class I (a)		267,159		4,787,496
				9,401,585
Fixed Income Funds — 64.6%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		670,154		7,096,935
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		145,526		1,440,706
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		476,481		4,893,463
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		83,767		1,026,140
State Street Institutional U.S. Government Money Market Fund		143,562		143,563
T. Rowe Price Dynamic Global Bond Fund, Class I		124,726		1,138,750
T. Rowe Price High Yield Fund, Inc. Class I		77,651		514,047
T. Rowe Price Institutional Floating Rate Fund		29,352		288,825
T. Rowe Price Institutional High Yield Fund		65,839		579,381
				17,121,810
TOTAL MUTUAL FUNDS (Cost $25,393,647)				26,523,395
TOTAL LONG-TERM INVESTMENTS (Cost $25,393,647)				26,523,395
TOTAL INVESTMENTS — 100.1% (Cost $25,393,647) (b)				26,523,395
Other Assets/(Liabilities) — (0.1)%				(38,768	)
NET ASSETS — 100.0%			$	26,484,627

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

24

MassMutual Select T. Rowe Price Retirement 2010 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 40.5%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		1,739,315	$	16,401,741
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		110,428		1,157,287
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		801,515		9,169,332
MM S&P 500 Index Fund, Class I (a)		1,533,212		27,475,151
				54,203,511
Fixed Income Funds — 59.6%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		3,145,707		33,313,032
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		656,078		6,495,170
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		2,146,836		22,048,001
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		421,949		5,168,873
State Street Institutional U.S. Government Money Market Fund		931,527		931,527
T. Rowe Price Dynamic Global Bond Fund, Class I		586,427		5,354,079
T. Rowe Price High Yield Fund, Inc. Class I		316,120		2,092,715
T. Rowe Price Institutional Floating Rate Fund		135,605		1,334,355
T. Rowe Price Institutional High Yield Fund		327,731		2,884,035
				79,621,787
TOTAL MUTUAL FUNDS (Cost $130,858,650)				133,825,298
TOTAL LONG-TERM INVESTMENTS (Cost $130,858,650)				133,825,298
TOTAL INVESTMENTS — 100.1% (Cost $130,858,650) (b)				133,825,298
Other Assets/(Liabilities) — (0.1)%				(82,584	)
NET ASSETS — 100.0%			$	133,742,714

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

25

MassMutual Select T. Rowe Price Retirement 2015 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 47.1%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		1,971,625	$	18,592,421
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		681,431		7,741,053
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		128,356		1,345,176
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		924,763		10,579,294
MM S&P 500 Index Fund, Class I (a)		1,305,960		23,402,795
				61,660,739
Fixed Income Funds — 53.0%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		2,813,522		29,795,196
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		578,578		5,727,926
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		1,736,549		17,834,355
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		406,792		4,983,203
State Street Institutional U.S. Government Money Market Fund		801,029		801,028
T. Rowe Price Dynamic Global Bond Fund, Class I		529,949		4,838,431
T. Rowe Price High Yield Fund, Inc. Class I		297,588		1,970,032
T. Rowe Price Institutional Floating Rate Fund		122,451		1,204,914
T. Rowe Price Institutional High Yield Fund		259,382		2,282,558
				69,437,643
TOTAL MUTUAL FUNDS (Cost $127,088,344)				131,098,382
TOTAL LONG-TERM INVESTMENTS (Cost $127,088,344)				131,098,382
TOTAL INVESTMENTS — 100.1% (Cost $127,088,344) (b)				131,098,382
Other Assets/(Liabilities) — (0.1)%				(66,765	)
NET ASSETS — 100.0%			$	131,031,617

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

26

MassMutual Select T. Rowe Price Retirement 2020 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 56.5%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		12,539,842	$	118,250,711
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		6,496,885		73,804,614
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		830,811		8,706,898
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		5,814,729		66,520,502
MM S&P 500 Index Fund, Class I (a)		6,953,841		124,612,830
				391,895,555
Fixed Income Funds — 43.5%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		13,213,576		139,931,770
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		2,605,517		25,794,622
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		5,801,062		59,576,902
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		2,098,763		25,709,846
State Street Institutional U.S. Government Money Market Fund		2,644,973		2,644,973
T. Rowe Price Dynamic Global Bond Fund, Class I		2,481,799		22,658,827
T. Rowe Price High Yield Fund, Inc. Class I		1,342,184		8,885,260
T. Rowe Price Institutional Floating Rate Fund		559,586		5,506,324
T. Rowe Price Institutional High Yield Fund		1,188,538		10,459,137
				301,167,661
TOTAL MUTUAL FUNDS (Cost $674,414,773)				693,063,216
TOTAL LONG-TERM INVESTMENTS (Cost $674,414,773)				693,063,216
TOTAL INVESTMENTS — 100.0% (Cost $674,414,773) (b)				693,063,216
Other Assets/(Liabilities) — (0.0)%				(327,652	)
NET ASSETS — 100.0%			$	692,735,564

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

27

MassMutual Select T. Rowe Price Retirement 2025 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 65.2%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		10,549,270	$	99,479,612
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		7,889,309		89,622,555
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		686,613		7,195,702
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		4,823,474		55,180,539
MM S&P 500 Index Fund, Class I (a)		4,261,111		76,359,110
				327,837,518
Fixed Income Funds — 34.8%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		8,203,954		86,879,872
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		1,529,879		15,145,802
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		2,291,852		23,537,319
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		1,465,817		17,956,262
State Street Institutional U.S. Government Money Market Fund		3,111,745		3,111,745
T. Rowe Price Dynamic Global Bond Fund, Class I		1,539,561		14,056,195
T. Rowe Price High Yield Fund, Inc. Class I		869,774		5,757,902
T. Rowe Price Institutional Floating Rate Fund		314,545		3,095,120
T. Rowe Price Institutional High Yield Fund		622,185		5,475,230
				175,015,447
TOTAL MUTUAL FUNDS (Cost $487,006,620)				502,852,965
TOTAL LONG-TERM INVESTMENTS (Cost $487,006,620)				502,852,965
TOTAL INVESTMENTS — 100.0% (Cost $487,006,620) (b)				502,852,965
Other Assets/(Liabilities) — (0.0)%				(227,970	)
NET ASSETS — 100.0%			$	502,624,995

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

28

MassMutual Select T. Rowe Price Retirement 2030 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 72.9%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		26,784,099	$	252,574,052
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		24,601,218		279,469,832
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		1,754,925		18,391,609
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		12,277,163		140,450,748
MM S&P 500 Index Fund, Class I (a)		7,939,845		142,282,031
				833,168,272
Fixed Income Funds — 27.1%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		15,199,546		160,963,195
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		2,684,008		26,571,680
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)		2,375,305		24,394,386
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		3,061,254		37,500,361
State Street Institutional U.S. Government Money Market Fund		8,517,999		8,517,999
T. Rowe Price Dynamic Global Bond Fund, Class I		2,889,272		26,379,054
T. Rowe Price High Yield Fund, Inc. Class I		1,405,798		9,306,381
T. Rowe Price Institutional Floating Rate Fund		558,871		5,499,294
T. Rowe Price Institutional High Yield Fund		1,137,742		10,012,126
				309,144,476
TOTAL MUTUAL FUNDS (Cost $1,107,428,472)				1,142,312,748
TOTAL LONG-TERM INVESTMENTS (Cost $1,107,428,472)				1,142,312,748
TOTAL INVESTMENTS — 100.0% (Cost $1,107,428,472) (b)				1,142,312,748
Other Assets/(Liabilities) — (0.0)%				(519,243	)
NET ASSETS — 100.0%			$	1,141,793,505

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

29

MassMutual Select T. Rowe Price Retirement 2035 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 79.9%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		11,611,637	$	109,497,737
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		11,981,734		136,112,500
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		756,621		7,929,391
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		5,327,251		60,943,753
MM S&P 500 Index Fund, Class I (a)		2,604,415		46,671,116
				361,154,497
Fixed Income Funds — 20.1%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		4,891,503		51,801,020
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		768,023		7,603,430
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		1,091,732		13,373,722
State Street Institutional U.S. Government Money Market Fund		2,339,743		2,339,743
T. Rowe Price Dynamic Global Bond Fund, Class I		920,939		8,408,175
T. Rowe Price High Yield Fund, Inc. Class I		437,739		2,897,830
T. Rowe Price Institutional Floating Rate Fund		162,131		1,595,370
T. Rowe Price Institutional High Yield Fund		301,212		2,650,667
				90,669,957
TOTAL MUTUAL FUNDS (Cost $436,481,620)				451,824,454
TOTAL LONG-TERM INVESTMENTS (Cost $436,481,620)				451,824,454
TOTAL INVESTMENTS — 100.0% (Cost $436,481,620) (b)				451,824,454
Other Assets/(Liabilities) — (0.0)%				(204,579	)
NET ASSETS — 100.0%			$	451,619,875

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

30

MassMutual Select T. Rowe Price Retirement 2040 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 85.3%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		23,159,964	$	218,398,458
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		26,169,053		297,280,444
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		1,509,442		15,818,953
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		10,650,641		121,843,329
MM S&P 500 Index Fund, Class I (a)		3,786,331		67,851,051
				721,192,235
Fixed Income Funds — 14.7%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		6,636,720		70,282,869
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		916,069		9,069,078
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		1,783,081		21,842,738
State Street Institutional U.S. Government Money Market Fund		4,239,769		4,239,769
T. Rowe Price Dynamic Global Bond Fund, Class I		1,242,457		11,343,629
T. Rowe Price High Yield Fund, Inc. Class I		468,844		3,103,749
T. Rowe Price Institutional Floating Rate Fund		186,696		1,837,087
T. Rowe Price Institutional High Yield Fund		352,230		3,099,627
				124,818,546
TOTAL MUTUAL FUNDS (Cost $817,172,372)				846,010,781
TOTAL LONG-TERM INVESTMENTS (Cost $817,172,372)				846,010,781
TOTAL INVESTMENTS — 100.0% (Cost $817,172,372) (b)				846,010,781
Other Assets/(Liabilities) — (0.0)%				(395,588	)
NET ASSETS — 100.0%			$	845,615,193

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

31

MassMutual Select T. Rowe Price Retirement 2045 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 89.1%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		9,425,167	$	88,879,321
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		11,116,428		126,282,623
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		609,065		6,382,998
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		4,313,166		49,342,622
MM S&P 500 Index Fund, Class I (a)		1,259,569		22,571,473
				293,459,037
Fixed Income Funds — 10.9%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		1,876,394		19,871,016
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		222,218		2,199,956
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		573,425		7,024,453
State Street Institutional U.S. Government Money Market Fund		1,794,706		1,794,706
T. Rowe Price Dynamic Global Bond Fund, Class I		346,432		3,162,927
T. Rowe Price High Yield Fund, Inc. Class I		113,352		750,387
T. Rowe Price Institutional Floating Rate Fund		46,582		458,369
T. Rowe Price Institutional High Yield Fund		83,791		737,357
				35,999,171
TOTAL MUTUAL FUNDS (Cost $317,473,139)				329,458,208
TOTAL LONG-TERM INVESTMENTS (Cost $317,473,139)				329,458,208
TOTAL INVESTMENTS — 100.0% (Cost $317,473,139) (b)				329,458,208
Other Assets/(Liabilities) — (0.0)%				(162,986	)
NET ASSETS — 100.0%			$	329,295,222

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

32

MassMutual Select T. Rowe Price Retirement 2050 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.0%
Equity Funds — 89.2%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		14,493,504	$	136,673,739
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		17,052,486		193,716,242
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		933,880		9,787,066
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		6,650,317		76,079,630
MM S&P 500 Index Fund, Class I (a)		1,928,192		34,553,193
				450,809,870
Fixed Income Funds — 10.8%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		2,825,538		29,922,443
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		356,776		3,532,084
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		880,694		10,788,503
State Street Institutional U.S. Government Money Market Fund		2,519,926		2,519,926
T. Rowe Price Dynamic Global Bond Fund, Class I		532,275		4,859,675
T. Rowe Price High Yield Fund, Inc. Class I		166,526		1,102,403
T. Rowe Price Institutional Floating Rate Fund		86,491		851,074
T. Rowe Price Institutional High Yield Fund		127,579		1,122,695
				54,698,803
TOTAL MUTUAL FUNDS (Cost $487,579,319)				505,508,673
TOTAL LONG-TERM INVESTMENTS (Cost $487,579,319)				505,508,673
TOTAL INVESTMENTS — 100.0% (Cost $487,579,319) (b)				505,508,673
Other Assets/(Liabilities) — (0.0)%				(234,698	)
NET ASSETS — 100.0%			$	505,273,975

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

33

MassMutual Select T. Rowe Price Retirement 2055 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 89.3%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		4,802,004	$	45,282,900
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		5,610,001		63,729,610
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		308,545		3,233,556
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		2,195,088		25,111,809
MM S&P 500 Index Fund, Class I (a)		635,890		11,395,151
				148,753,026
Fixed Income Funds — 10.8%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		930,862		9,857,827
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		112,544		1,114,186
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		290,366		3,556,984
State Street Institutional U.S. Government Money Market Fund		908,285		908,285
T. Rowe Price Dynamic Global Bond Fund, Class I		174,789		1,595,824
T. Rowe Price High Yield Fund, Inc. Class I		55,903		370,079
T. Rowe Price Institutional Floating Rate Fund		26,605		261,796
T. Rowe Price Institutional High Yield Fund		40,903		359,948
				18,024,929
TOTAL MUTUAL FUNDS (Cost $160,620,223)				166,777,955
TOTAL LONG-TERM INVESTMENTS (Cost $160,620,223)				166,777,955
TOTAL INVESTMENTS — 100.1% (Cost $160,620,223) (b)				166,777,955
Other Assets/(Liabilities) — (0.1)%				(92,176	)
NET ASSETS — 100.0%			$	166,685,779

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

34

MassMutual Select T. Rowe Price Retirement 2060 Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Equity Funds — 89.6%
MassMutual Select T. Rowe Price International Equity Fund, Class I (a)		970,851	$	9,155,121
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)		1,148,902		13,051,524
MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)		63,091		661,190
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)		450,360		5,152,124
MM S&P 500 Index Fund, Class I (a)		128,869		2,309,337
				30,329,296
Fixed Income Funds — 10.5%
MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)		189,176		2,003,376
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)		23,123		228,914
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I (a)		59,009		722,855
State Street Institutional U.S. Government Money Market Fund		97,942		97,942
T. Rowe Price Dynamic Global Bond Fund, Class I		35,487		323,993
T. Rowe Price High Yield Fund, Inc. Class I		12,429		82,281
T. Rowe Price Institutional Floating Rate Fund		4,715		46,393
T. Rowe Price Institutional High Yield Fund		7,624		67,095
				3,572,849
TOTAL MUTUAL FUNDS (Cost $32,643,429)				33,902,145
TOTAL LONG-TERM INVESTMENTS (Cost $32,643,429)				33,902,145
TOTAL INVESTMENTS — 100.1% (Cost $32,643,429) (b)				33,902,145
Other Assets/(Liabilities) — (0.1)%				(43,506	)
NET ASSETS — 100.0%			$	33,858,639

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Affiliated issuer. See Note 7 for a summary of transactions in the investments of affiliated issuers.

(b) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

35

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select T. Rowe Price Retirement Balanced Fund		MassMutual Select T. Rowe Price Retirement 2005 Fund
Assets:
Investments, at value — unaffiliated issuers (Note 2) (a)	$	11,098,937	$	2,664,566
Investments, at value — affiliated issuers (Note 2 & 7) (b)		147,587,097		23,858,829
Total investments		158,686,034		26,523,395
Receivables from:
Investments sold		895		148
Investment adviser (Note 3)		12,730		12,583
Fund shares sold		184,218		232,962
Interest and dividends		32,947		8,076
Prepaid expenses		15,759		15,541
Total assets		158,932,583		26,792,705
Liabilities:
Payables for:
Investments purchased		196,553		234,861
Fund shares repurchased		20,612		6,177
Trustees’ fees and expenses (Note 3)		2,184		494
Affiliates (Note 3):
Administration fees		36,647		19,799
Service fees		16,325		3,054
Distribution fees		4,951		1,051
Accrued expense and other liabilities		43,223		42,642
Total liabilities		320,495		308,078
Net assets	$	158,612,088	$	26,484,627
Net assets consist of:
Paid-in capital	$	156,143,730	$	25,137,126
Accumulated Gain (Loss)		2,468,358		1,347,501
Net assets	$	158,612,088	$	26,484,627
(a)    Cost of investments — unaffiliated issuers:	$	11,228,703	$	2,689,362
(b)    Cost of investments — affiliated issuers:	$	145,638,465	$	22,704,285

The accompanying notes are an integral part of the financial statements.

36

MassMutual Select T. Rowe Price Retirement 2010 Fund		MassMutual Select T. Rowe Price Retirement 2015 Fund		MassMutual Select T. Rowe Price Retirement 2020 Fund		MassMutual Select T. Rowe Price Retirement 2025 Fund		MassMutual Select T. Rowe Price Retirement 2030 Fund
$	12,596,711	$	11,096,963	$	50,154,521	$	31,496,192	$	59,714,854
	121,228,587		120,001,419		642,908,695		471,356,773		1,082,597,894
	133,825,298		131,098,382		693,063,216		502,852,965		1,142,312,748
	782		737		3,955		2,657		6,473
	15,001		13,328		9,730		10,959		13,888
	325,556		18,939		817,184		3,919,747		1,615,976
	38,079		33,170		150,592		90,179		167,192
	15,824		15,660		16,088		16,088		16,521
	134,220,540		131,180,216		694,060,765		506,892,595		1,144,132,798
	354,541		35,506		739,749		3,944,897		1,758,737
	9,095		16,603		228,027		64,865		24,431
	3,531		2,943		19,420		11,377		30,027
	27,107		27,822		80,456		57,036		123,979
	25,718		14,906		146,085		93,723		243,868
	9,293		5,755		50,177		41,292		84,757
	48,541		45,064		61,287		54,410		73,494
	477,826		148,599		1,325,201		4,267,600		2,339,293
$	133,742,714	$	131,031,617	$	692,735,564	$	502,624,995	$	1,141,793,505
$	128,260,826	$	125,523,509	$	664,146,044	$	481,205,996	$	1,095,043,805
	5,481,888		5,508,108		28,589,520		21,418,999		46,749,700
$	133,742,714	$	131,031,617	$	692,735,564	$	502,624,995	$	1,141,793,505
$	12,881,610	$	11,277,999	$	51,497,889	$	32,186,187	$	61,250,200
$	117,977,040	$	115,810,345	$	622,916,884	$	454,820,433	$	1,046,178,272

37

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select T. Rowe Price Retirement Balanced Fund		MassMutual Select T. Rowe Price Retirement 2005 Fund
Class I shares:
Net assets	$	14,362,826	$	13,385,531
Shares outstanding (a)		928,831		850,211
Net asset value, offering price and redemption price per share	$	15.46	$	15.74
Class M5 shares:
Net assets	$	118,871,615	$	8,422,477
Shares outstanding (a)		7,677,789		536,022
Net asset value, offering price and redemption price per share	$	15.48	$	15.71
Class M4 shares:
Net assets	$	17,960,788	$	3,137,517
Shares outstanding (a)		1,164,464		199,930
Net asset value, offering price and redemption price per share	$	15.42	$	15.69
Class M3 shares:
Net assets	$	7,416,859	$	1,539,102
Shares outstanding (a)		481,965		98,385
Net asset value, offering price and redemption price per share	$	15.39	$	15.64

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the financial statements.

38

MassMutual Select T. Rowe Price Retirement 2010 Fund		MassMutual Select T. Rowe Price Retirement 2015 Fund		MassMutual Select T. Rowe Price Retirement 2020 Fund		MassMutual Select T. Rowe Price Retirement 2025 Fund		MassMutual Select T. Rowe Price Retirement 2030 Fund
$	65,841,556	$	56,389,282	$	219,374,880	$	202,728,323	$	329,602,276
	4,204,339		3,604,840		14,036,798		12,976,184		21,127,281
$	15.66	$	15.64	$	15.63	$	15.62	$	15.60
$	30,690,364	$	52,283,908	$	251,316,629	$	154,071,124	$	434,061,038
	1,961,585		3,347,267		16,098,589		9,874,552		27,852,759
$	15.65	$	15.62	$	15.61	$	15.60	$	15.58
$	23,473,327	$	13,737,547	$	147,162,293	$	81,705,110	$	247,113,094
	1,503,395		880,782		9,445,813		5,245,351		15,892,861
$	15.61	$	15.60	$	15.58	$	15.58	$	15.55
$	13,737,467	$	8,620,880	$	74,881,762	$	64,120,438	$	131,017,097
	880,986		554,041		4,811,644		4,128,524		8,435,075
$	15.59	$	15.56	$	15.56	$	15.53	$	15.53

39

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select T. Rowe Price Retirement 2035 Fund		MassMutual Select T. Rowe Price Retirement 2040 Fund
Assets:
Investments, at value — unaffiliated issuers (Note 2) (a)	$	17,891,785	$	23,623,861
Investments, at value — affiliated issuers (Note 2 & 7) (b)		433,932,669		822,386,920
Total investments		451,824,454		846,010,781
Receivables from:
Investments sold		1,887		4,802
Investment adviser (Note 3)		11,797		11,113
Fund shares sold		1,590,559		927,311
Interest and dividends		49,532		61,845
Prepaid expenses		16,233		16,420
Total assets		453,494,462		847,032,272
Liabilities:
Payables for:
Investments purchased		1,312,848		375,088
Fund shares repurchased		326,574		614,068
Trustees’ fees and expenses (Note 3)		10,247		22,036
Affiliates (Note 3):
Administration fees		54,241		99,018
Service fees		80,025		182,478
Distribution fees		38,056		61,150
Accrued expense and other liabilities		52,596		63,241
Total liabilities		1,874,587		1,417,079
Net assets	$	451,619,875	$	845,615,193
Net assets consist of:
Paid-in capital	$	433,049,629	$	812,610,528
Accumulated Gain (Loss)		18,570,246		33,004,665
Net assets	$	451,619,875	$	845,615,193
(a)    Cost of investments — unaffiliated issuers:	$	18,310,447	$	24,261,058
(b)    Cost of investments — affiliated issuers:	$	418,171,173	$	792,911,314

The accompanying notes are an integral part of the financial statements.

40

MassMutual Select T. Rowe Price Retirement 2045 Fund		MassMutual Select T. Rowe Price Retirement 2050 Fund		MassMutual Select T. Rowe Price Retirement 2055 Fund		MassMutual Select T. Rowe Price Retirement 2060 Fund
$	6,903,746	$	10,455,773	$	3,495,932	$	617,704
	322,554,462		495,052,900		163,282,023		33,284,441
	329,458,208		505,508,673		166,777,955		33,902,145
	1,584		2,835		917		175
	15,276		16,579		14,158		13,276
	812,639		722,080		826,550		83,751
	16,997		26,027		8,492		1,563
	15,971		16,188		15,925		15,642
	330,320,675		506,292,382		167,643,997		34,016,552
	829,323		642,859		823,421		59,529
	33		105,248		11,621		25,785
	7,774		12,697		3,798		508
	46,372		67,721		33,534		20,590
	63,262		101,973		28,295		7,226
	29,456		33,904		12,404		2,237
	49,233		54,005		45,145		42,038
	1,025,453		1,018,407		958,218		157,913
$	329,295,222	$	505,273,975	$	166,685,779	$	33,858,639
$	316,264,328	$	485,866,992	$	159,893,173	$	32,595,452
	13,030,894		19,406,983		6,792,606		1,263,187
$	329,295,222	$	505,273,975	$	166,685,779	$	33,858,639
$	7,067,784	$	10,730,204	$	3,577,573	$	628,499
$	310,405,355	$	476,849,115	$	157,042,650	$	32,014,930

41

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MassMutual Select T. Rowe Price Retirement 2035 Fund		MassMutual Select T. Rowe Price Retirement 2040 Fund
Class I shares:
Net assets	$	172,984,789	$	223,241,760
Shares outstanding (a)		11,103,143		14,350,564
Net asset value, offering price and redemption price per share	$	15.58	$	15.56
Class M5 shares:
Net assets	$	155,562,007	$	337,740,814
Shares outstanding (a)		9,996,670		21,731,132
Net asset value, offering price and redemption price per share	$	15.56	$	15.54
Class M4 shares:
Net assets	$	65,582,648	$	189,684,302
Shares outstanding (a)		4,221,694		12,237,088
Net asset value, offering price and redemption price per share	$	15.53	$	15.50
Class M3 shares:
Net assets	$	57,490,431	$	94,948,317
Shares outstanding (a)		3,709,696		6,130,078
Net asset value, offering price and redemption price per share	$	15.50	$	15.49

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the financial statements.

42

MassMutual Select T. Rowe Price Retirement 2045 Fund		MassMutual Select T. Rowe Price Retirement 2050 Fund		MassMutual Select T. Rowe Price Retirement 2055 Fund		MassMutual Select T. Rowe Price Retirement 2060 Fund
$	111,980,616	$	121,897,342	$	46,245,347	$	14,158,607
	7,204,076		7,841,189		2,975,602		912,757
$	15.54	$	15.55	$	15.54	$	15.51
$	119,759,566	$	223,250,319	$	75,162,790	$	7,790,679
	7,713,033		14,375,698		4,841,506		502,847
$	15.53	$	15.53	$	15.52	$	15.49
$	53,039,937	$	106,908,630	$	25,458,921	$	8,488,962
	3,422,158		6,901,819		1,642,699		549,246
$	15.50	$	15.49	$	15.50	$	15.46
$	44,515,103	$	53,217,684	$	19,818,721	$	3,420,391
	2,877,985		3,439,036		1,282,116		221,818
$	15.47	$	15.47	$	15.46	$	15.42

43

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select T. Rowe Price Retirement Balanced Fund			MassMutual Select T. Rowe Price Retirement 2005 Fund
Investment income (Note 2):
Dividends — unaffiliated issuers	$	198,810		$	88,801
Dividends — affiliated issuers (Note 7)		779,892			311,229
Total investment income		978,702			400,030
Expenses (Note 3):
Custody fees		22,144			23,734
Audit fees		32,164			32,164
Legal fees		2,190			673
Proxy fees		1,365			1,365
Accounting & Administration fees		36,404			36,249
Shareholder reporting fees		10,637			9,565
Trustees’ fees		2,061			883
Registration and filing fees		78,873			76,751
Transfer agent fees		3,017			3,017
		188,855			184,401
Administration fees:
Class M5		53,378			11,646
Class M4		23,418			3,799
Class M3		10,708			1,722
Distribution fees:
Class M3		17,846			2,870
Distribution and Service fees:
Class M4		39,030			6,332
Class M3		17,846			2,870
Total expenses		351,081			213,640
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(29,959	)		(82,617	)
Class M5 fees reimbursed by adviser		(91,804	)		(67,334	)
Class M4 fees reimbursed by adviser		(41,824	)		(21,892	)
Class M3 fees reimbursed by adviser		(18,945	)		(9,912	)
Net expenses:		168,549			31,885
Net investment income (loss)		810,153			368,145
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		(33,794	)		(16,479	)
Investment transactions — affiliated issuers (Note 7)		(154,386	)		(106,846	)
Realized gain distributions — unaffiliated issuers		21,747			12,222
Realized gain distributions — affiliated issuers (Note 7)		971,998			338,707
Net realized gain (loss)		805,565			227,604
Net change in unrealized appreciation (depreciation) on:
Investment transactions — unaffiliated issuers		(99,118	)		(19,272	)
Investment transactions — affiliated issuers (Note 7)		1,481,476			980,058
Net change in unrealized appreciation (depreciation)		1,382,358			960,786
Net realized gain (loss) and change in unrealized appreciation (depreciation)		2,187,923			1,188,390
Net increase (decrease) in net assets resulting from operations	$	2,998,076		$	1,556,535

The accompanying notes are an integral part of the financial statements.

44

MassMutual Select T. Rowe Price Retirement 2010 Fund			MassMutual Select T. Rowe Price Retirement 2015 Fund			MassMutual Select T. Rowe Price Retirement 2020 Fund			MassMutual Select T. Rowe Price Retirement 2025 Fund			MassMutual Select T. Rowe Price Retirement 2030 Fund
$	500,305		$	414,114		$	1,927,455		$	1,032,734		$	2,000,769
	2,502,616			2,108,012			10,913,713			6,007,342			14,433,097
	3,002,921			2,522,126			12,841,168			7,040,076			16,433,866
	22,553			22,811			21,072			21,996			20,213
	32,164			32,164			32,163			32,164			32,164
	4,666			4,078			24,729			14,729			38,418
	1,365			1,365			1,365			1,365			1,365
	36,495			36,512			37,958			37,086			38,681
	12,027			11,545			25,185			17,980			33,465
	5,009			4,831			24,570			16,714			39,853
	87,849			85,934			134,600			111,340			167,763
	3,017			3,017			3,017			3,017			3,017
	205,145			202,257			304,659			256,391			374,939
	46,254			76,754			360,342			218,509			608,180
	34,390			20,387			213,842			106,284			344,854
	21,428			13,089			111,256			82,889			186,923
	35,713			21,815			185,426			138,148			311,538
	57,317			33,979			356,403			177,140			574,758
	35,713			21,815			185,426			138,148			311,538
	435,960			390,096			1,717,354			1,117,509			2,712,730
	(87,297	)		(69,343	)		(50,961	)		(64,209	)		(58,972	)
	(48,460	)		(85,791	)		(77,697	)		(77,927	)		(117,023	)
	(35,116	)		(22,250	)		(43,941	)		(34,755	)		(57,366	)
	(22,371	)		(14,397	)		(22,714	)		(27,120	)		(36,662	)
	242,716			198,315			1,522,041			913,498			2,442,707
	2,760,205			2,323,811			11,319,127			6,126,578			13,991,159
	(103,363	)		(102,794	)		(295,722	)		(119,099	)		(238,011	)
	(607,511	)		(861,164	)		(2,632,329	)		(686,667	)		(1,306,405	)
	94,687			77,463			376,531			195,977			425,055
	3,216,973			2,555,029			13,910,055			7,202,621			16,129,712
	2,600,786			1,668,534			11,358,535			6,592,832			15,010,351
	(163,618	)		(118,049	)		(783,518	)		(473,818	)		(1,004,702	)
	2,140,960			3,312,921			12,255,021			12,336,678			24,062,161
	1,977,342			3,194,872			11,471,503			11,862,860			23,057,459
	4,578,128			4,863,406			22,830,038			18,455,692			38,067,810
$	7,338,333		$	7,187,217		$	34,149,165		$	24,582,270		$	52,058,969

45

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MassMutual Select T. Rowe Price Retirement 2035 Fund			MassMutual Select T. Rowe Price Retirement 2040 Fund
Investment income (Note 2):
Dividends — unaffiliated issuers	$	565,781		$	723,000
Dividends — affiliated issuers (Note 7)		4,614,948			8,870,908
Total investment income		5,180,729			9,593,908
Expenses (Note 3):
Custody fees		20,787			19,755
Audit fees		32,164			32,164
Legal fees		13,386			27,885
Proxy fees		1,365			1,365
Accounting & Administration fees		36,892			37,976
Shareholder reporting fees		17,141			26,951
Trustees’ fees		15,270			28,935
Registration and filing fees		108,646			141,668
Transfer agent fees		3,017			3,017
		248,668			319,716
Administration fees:
Class M5		211,453			468,967
Class M4		87,895			254,073
Class M3		82,337			131,027
Distribution fees:
Class M3		137,228			218,379
Distribution and Service fees:
Class M4		146,491			423,454
Class M3		137,228			218,379
Total expenses		1,051,300			2,033,995
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(57,033	)		(39,603	)
Class M5 fees reimbursed by adviser		(77,457	)		(98,762	)
Class M4 fees reimbursed by adviser		(31,541	)		(43,142	)
Class M3 fees reimbursed by adviser		(29,354	)		(27,275	)
Net expenses:		855,915			1,825,213
Net investment income (loss)		4,324,814			7,768,695
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — unaffiliated issuers		(68,731	)		(117,456	)
Investment transactions — affiliated issuers (Note 7)		(283,252	)		(1,039,020	)
Realized gain distributions — unaffiliated issuers		117,897			181,163
Realized gain distributions — affiliated issuers (Note 7)		4,774,489			8,044,217
Net realized gain (loss)		4,540,403			7,068,904
Net change in unrealized appreciation (depreciation) on:
Investment transactions — unaffiliated issuers		(302,811	)		(437,072	)
Investment transactions — affiliated issuers (Note 7)		11,818,915			20,123,938
Net change in unrealized appreciation (depreciation)		11,516,104			19,686,866
Net realized gain (loss) and change in unrealized appreciation (depreciation)		16,056,507			26,755,770
Net increase (decrease) in net assets resulting from operations	$	20,381,321		$	34,524,465

The accompanying notes are an integral part of the financial statements.

46

MassMutual Select T. Rowe Price Retirement 2045 Fund			MassMutual Select T. Rowe Price Retirement 2050 Fund			MassMutual Select T. Rowe Price Retirement 2055 Fund			MassMutual Select T. Rowe Price Retirement 2060 Fund
$	190,324		$	304,850		$	92,641		$	14,049
	2,888,110			4,867,132			1,384,550			190,465
	3,078,434			5,171,982			1,477,191			204,514
	20,887			20,355			21,619			22,204
	32,164			32,164			32,164			32,164
	9,857			16,116			4,802			642
	1,365			1,365			1,365			1,365
	36,797			37,205			36,500			36,252
	15,235			19,148			12,138			9,564
	10,810			16,961			5,282			871
	98,479			113,612			86,658			76,419
	3,017			3,017			3,017			3,017
	228,611			259,943			203,545			182,498
	163,924			303,969			96,358			7,846
	68,467			141,929			31,535			8,792
	61,223			71,551			24,715			4,197
	102,038			119,252			41,192			6,996
	114,112			236,549			52,559			14,653
	102,038			119,252			41,192			6,996
	840,413			1,252,445			491,096			231,978
	(55,428	)		(42,832	)		(44,057	)		(63,939	)
	(91,400	)		(120,228	)		(97,926	)		(44,392	)
	(36,999	)		(51,565	)		(31,534	)		(49,569	)
	(32,933	)		(27,424	)		(24,557	)		(23,879	)
	623,653			1,010,396			293,022			50,199
	2,454,781			4,161,586			1,184,169			154,315
	(42,224	)		(62,356	)		(17,539	)		(3,406	)
	(272,515	)		(1,028,863	)		(25,954	)		(60,112	)
	49,595			81,589			23,665			3,139
	2,476,072			4,168,552			1,190,989			163,738
	2,210,928			3,158,922			1,171,161			103,359
	(115,558	)		(190,336	)		(58,263	)		(8,708	)
	8,998,670			12,672,533			4,707,604			1,093,452
	8,883,112			12,482,197			4,649,341			1,084,744
	11,094,040			15,641,119			5,820,502			1,188,103
$	13,548,821		$	19,802,705		$	7,004,671		$	1,342,418

47

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select T. Rowe Price Retirement Balanced Fund
	Year Ended September 30, 2019			Period Ended September 30, 2018+
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	810,153		$	(12,178	)
Net realized gain (loss)		805,565			235,702
Net change in unrealized appreciation (depreciation)		1,382,358			436,508
Net increase (decrease) in net assets resulting from operations		2,998,076			660,032
Distributions to shareholders (Note 2):
Class I		(302,771	)		-	*
Class M5		(273,993	)		-	*
Class M4		(420,708	)		-	*
Class M3		(194,378	)		-	*
Total distributions		(1,191,850	)		-
Net fund share transactions (Note 5):
Class I		8,369,697			5,355,220
Class M5		109,014,199			8,841,575
Class M4		3,297,286			14,077,368
Class M3		915,469			6,275,016
Increase (decrease) in net assets from fund share transactions		121,596,651			34,549,179
Total increase (decrease) in net assets		123,402,877			35,209,211
Net assets*
Beginning of year		35,209,211			-
End of year	$	158,612,088		$	35,209,211

+ Fund commenced operations on February 16, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

48

MassMutual Select T. Rowe Price Retirement 2005 Fund						MassMutual Select T. Rowe Price Retirement 2010 Fund
Year Ended September 30, 2019			Period Ended September 30, 2018+			Year Ended September 30, 2019			Period Ended September 30, 2018+
$	368,145		$	8,147		$	2,760,205		$	19,717
	227,604			5,162			2,600,786			22,477
	960,786			168,962			1,977,342			989,306
	1,556,535			182,271			7,338,333			1,031,500
	(196,650	)		-	*		(1,324,019	)		-	*
	(144,916	)		-	*		(781,704	)		-	*
	(34,772	)		-	*		(517,025	)		-	*
	(15,251	)		-	*		(273,398	)		-	*
	(391,589	)		-			(2,896,146	)		-
	7,792,141			4,861,114			43,523,680			19,596,699
	343,170			7,672,022			(3,026,064	)		32,550,305
	948,409			2,037,056			2,254,863			20,214,600
	596,130			887,368			(1,790,309	)		14,945,253
	9,679,850			15,457,560			40,962,170			87,306,857
	10,844,796			15,639,831			45,404,357			88,338,357
	15,639,831			-			88,338,357			-
$	26,484,627		$	15,639,831		$	133,742,714		$	88,338,357

49

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select T. Rowe Price Retirement 2015 Fund
	Year Ended September 30, 2019			Period Ended September 30, 2018+
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	2,323,811		$	20,997
Net realized gain (loss)		1,668,534			25,476
Net change in unrealized appreciation (depreciation)		3,194,872			815,166
Net increase (decrease) in net assets resulting from operations		7,187,217			861,639
Distributions to shareholders (Note 2):
Class I		(928,545	)		-	*
Class M5		(1,194,090	)		-	*
Class M4		(240,259	)		-	*
Class M3		(182,792	)		-	*
Total distributions		(2,545,686	)		-
Net fund share transactions (Note 5):
Class I		26,867,843			26,994,601
Class M5		(2,587,815	)		53,071,409
Class M4		1,290,307			11,639,565
Class M3		655,776			7,596,761
Increase (decrease) in net assets from fund share transactions		26,226,111			99,302,336
Total increase (decrease) in net assets		30,867,642			100,163,975
Net assets*
Beginning of year		100,163,975			-
End of year	$	131,031,617		$	100,163,975

+ Fund commenced operations on February 16, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

50

MassMutual Select T. Rowe Price Retirement 2020 Fund						MassMutual Select T. Rowe Price Retirement 2025 Fund
Year Ended September 30, 2019			Period Ended September 30, 2018+			Year Ended September 30, 2019			Period Ended September 30, 2018+
$	11,319,127		$	(102,090	)	$	6,126,578		$	(86,318	)
	11,358,535			79,262			6,592,832			6,693
	11,471,503			7,176,940			11,862,860			3,983,485
	34,149,165			7,154,112			24,582,270			3,903,860
	(3,437,606	)		-	*		(2,301,367	)		-	*
	(5,153,643	)		-	*		(2,822,407	)		-	*
	(2,930,615	)		-	*		(1,125,831	)		-	*
	(1,236,920	)		-	*		(836,639	)		-	*
	(12,758,784	)		-			(7,086,244	)		-
	101,082,244			108,668,797			112,277,935			80,743,603
	1,606,298			240,029,079			2,917,847			145,399,878
	6,097,108			134,742,671			17,677,580			60,753,177
	(3,368,135	)		75,333,009			17,599,368			43,855,721
	105,417,515			558,773,556			150,472,730			330,752,379
	126,807,896			565,927,668			167,968,756			334,656,239
	565,927,668			-			334,656,239			-
$	692,735,564		$	565,927,668		$	502,624,995		$	334,656,239

51

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select T. Rowe Price Retirement 2030 Fund
	Year Ended September 30, 2019			Period Ended September 30, 2018+
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	13,991,159		$	(542,516	)
Net realized gain (loss)		15,010,351			(41,090	)
Net change in unrealized appreciation (depreciation)		23,057,459			11,826,817
Net increase (decrease) in net assets resulting from operations		52,058,969			11,243,211
Distributions to shareholders (Note 2):
Class I		(3,891,424	)		-	*
Class M5		(7,185,026	)		-	*
Class M4		(3,874,767	)		-	*
Class M3		(1,667,890	)		-	*
Total distributions		(16,619,107	)		-
Net fund share transactions (Note 5):
Class I		166,728,300			146,575,887
Class M5		15,207,255			403,826,224
Class M4		46,144,131			190,658,967
Class M3		3,405,026			122,564,642
Increase (decrease) in net assets from fund share transactions		231,484,712			863,625,720
Total increase (decrease) in net assets		266,924,574			874,868,931
Net assets*
Beginning of year		874,868,931			-
End of year	$	1,141,793,505		$	874,868,931

+ Fund commenced operations on February 16, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

52

MassMutual Select T. Rowe Price Retirement 2035 Fund						MassMutual Select T. Rowe Price Retirement 2040 Fund
Year Ended September 30, 2019			Period Ended September 30, 2018+			Year Ended September 30, 2019			Period Ended September 30, 2018+
$	4,324,814		$	(213,386	)	$	7,768,695		$	(608,177	)
	4,540,403			(118,579	)		7,068,904			(45,365	)
	11,516,104			3,826,730			19,686,866			9,151,543
	20,381,321			3,494,765			34,524,465			8,498,001
	(1,666,648	)		-	*		(2,134,692	)		-	*
	(2,205,200	)		-	*		(4,636,177	)		-	*
	(790,206	)		-	*		(2,394,399	)		-	*
	(664,471	)		-	*		(895,414	)		-	*
	(5,326,525	)		-			(10,060,682	)		-
	94,496,456			69,972,427			113,452,266			98,148,569
	14,829,949			135,333,039			14,816,788			312,293,090
	9,883,555			53,244,491			51,651,032			130,454,194
	5,650,985			49,659,412			6,009,488			85,827,982
	124,860,945			308,209,369			185,929,574			626,723,835
	139,915,741			311,704,134			210,393,357			635,221,836
	311,704,134			-			635,221,836			-
$	451,619,875		$	311,704,134		$	845,615,193		$	635,221,836

53

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select T. Rowe Price Retirement 2045 Fund
	Year Ended September 30, 2019			Period Ended September 30, 2018+
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	2,454,781		$	(234,528	)
Net realized gain (loss)		2,210,928			(95,568	)
Net change in unrealized appreciation (depreciation)		8,883,112			3,101,957
Net increase (decrease) in net assets resulting from operations		13,548,821			2,771,861
Distributions to shareholders (Note 2):
Class I		(854,193	)		-	*
Class M5		(1,521,303	)		-	*
Class M4		(523,651	)		-	*
Class M3		(409,006	)		-	*
Total distributions		(3,308,153	)		-
Net fund share transactions (Note 5):
Class I		65,717,446			40,776,614
Class M5		10,625,063			105,012,000
Class M4		11,852,221			39,328,891
Class M3		7,769,839			35,200,619
Increase (decrease) in net assets from fund share transactions		95,964,569			220,318,124
Total increase (decrease) in net assets		106,205,237			223,089,985
Net assets *
Beginning of year		223,089,985			-
End of year	$	329,295,222		$	223,089,985

+ Fund commenced operations on February 16, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

54

MassMutual Select T. Rowe Price Retirement 2050 Fund						MassMutual Select T. Rowe Price Retirement 2055 Fund
Year Ended September 30, 2019			Period Ended September 30, 2018+			Year Ended September 30, 2019			Period Ended September 30, 2018+
$	4,161,586		$	(371,359	)	$	1,184,169		$	(101,136	)
	3,158,922			6,260			1,171,161			(21,923	)
	12,482,197			5,447,157			4,649,341			1,508,391
	19,802,705			5,082,058			7,004,671			1,385,332
	(942,819	)		-	*		(331,818	)		-	*
	(2,833,186	)		-	*		(880,982	)		-	*
	(1,271,412	)		-	*		(226,477	)		-	*
	(452,516	)		-	*		(164,088	)		-	*
	(5,499,933	)		-			(1,603,365	)		-
	69,278,443			45,891,092			27,616,493			16,012,504
	19,215,697			196,995,992			13,548,353			59,049,047
	28,317,325			74,902,868			6,752,157			17,773,365
	7,752,970			43,534,758			5,647,786			13,499,436
	124,564,435			361,324,710			53,564,789			106,334,352
	138,867,207			366,406,768			58,966,095			107,719,684
	366,406,768			-			107,719,684			-
$	505,273,975		$	366,406,768		$	166,685,779		$	107,719,684

55

MassMutual Select T. Rowe Price Retirement Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select T. Rowe Price Retirement 2060 Fund
	Year Ended September 30, 2019			Period Ended September 30, 2018+
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	154,315		$	(12,511	)
Net realized gain (loss)		103,359			2,460
Net change in unrealized appreciation (depreciation)		1,084,744			173,972
Net increase (decrease) in net assets resulting from operations		1,342,418			163,921
Distributions to shareholders (Note 2):
Class I		(77,246	)		-	*
Class M5		(60,999	)		-	*
Class M4		(73,216	)		-	*
Class M3		(32,275	)		-	*
Total distributions		(243,736	)		-
Net fund share transactions (Note 5):
Class I		10,053,285			3,582,966
Class M5		4,466,830			2,996,228
Class M4		4,341,433			3,858,053
Class M3		1,204,199			2,093,042
Increase (decrease) in net assets from fund share transactions		20,065,747			12,530,289
Total increase (decrease) in net assets		21,164,429			12,694,210
Net assets *
Beginning of year		12,694,210			-
End of year	$	33,858,639		$	12,694,210

+ Fund commenced operations on February 16, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

56

MassMutual Select T. Rowe Price Retirement Balanced Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.22	$	0.29		$	0.44	$	0.73	$	(0.36	)	$	(0.13	)	$	(0.49	)	$	15.46		5.24%		$	14,363		0.27%			0.01%			1.94%
9/30/18g		15.00		0.02			0.20		0.22		-			-			-			15.22		1.47%	b		5,429		0.41%	a		0.00%	a		0.25%	a
Class M5
9/30/19	$	15.21	$	0.08		$	0.64	$	0.72	$	(0.32	)	$	(0.13	)	$	(0.45	)	$	15.48		5.11%		$	118,872		0.42%			0.16%			0.53%
9/30/18g		15.00		0.01			0.20		0.21		-			-			-			15.21		1.40%	b		9,189		0.56%	a		0.15%	a		0.09%	a
Class M4
9/30/19	$	15.18	$	0.27		$	0.41	$	0.68	$	(0.31	)	$	(0.13	)	$	(0.44	)	$	15.42		4.85%		$	17,961		0.67%			0.40%			1.79%
9/30/18g		15.00		(0.02	)		0.20		0.18		-			-			-			15.18		1.20%	b		14,251		0.81%	a		0.40%	a		(0.16%	)a
Class M3
9/30/19	$	15.16	$	0.25		$	0.39	$	0.64	$	(0.28	)	$	(0.13	)	$	(0.41	)	$	15.39		4.61%		$	7,417		0.92%			0.66%			1.68%
9/30/18g		15.00		(0.04	)		0.20		0.16		-			-			-			15.16		1.07%	b		6,340		1.06%	a		0.65%	a		(0.41%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		19	%		60	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

57

MassMutual Select T. Rowe Price Retirement 2005 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.19	$	0.21		$	0.66	$	0.87	$	(0.29	)	$	(0.03	)	$	(0.32	)	$	15.74		5.96%		$	13,386		0.87%			0.02%			1.40%
9/30/18g		15.00		0.04			0.15		0.19		-			-			-			15.19		1.27%	b		4,932		2.26%	a		0.00%	a		0.38%	a
Class M5
9/30/19	$	15.17	$	0.34		$	0.50	$	0.84	$	(0.27	)	$	(0.03	)	$	(0.30	)	$	15.71		5.80%		$	8,422		1.03%			0.16%			2.26%
9/30/18g		15.00		0.02			0.15		0.17		-			-			-			15.17		1.13%	b		7,754		2.41%	a		0.15%	a		0.21%	a
Class M4
9/30/19	$	15.15	$	0.25		$	0.56	$	0.81	$	(0.24	)	$	(0.03	)	$	(0.27	)	$	15.69		5.53%		$	3,138		1.28%			0.41%			1.64%
9/30/18g		15.00		(0.00	)d		0.15		0.15		-			-			-			15.15		1.00%	b		2,059		2.66%	a		0.40%	a		(0.05%	)a
Class M3
9/30/19	$	15.12	$	0.22		$	0.55	$	0.77	$	(0.22	)	$	(0.03	)	$	(0.25	)	$	15.64		5.28%		$	1,539		1.53%			0.66%			1.45%
9/30/18g		15.00		(0.03	)		0.15		0.12		-			-			-			15.12		0.80%	b		895		2.91%	a		0.65%	a		(0.30%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		41	%		39	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

58

MassMutual Select T. Rowe Price Retirement 2010 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.20	$	0.34		$	0.50	$	0.84	$	(0.37	)	$	(0.01	)	$	(0.38	)	$	15.66		5.84%		$	65,842		0.16%			0.01%			2.26%
9/30/18g		15.00		0.02			0.18		0.20		-			-			-			15.20		1.33%	b		19,842		0.26%	a		0.00%a			0.33%	a
Class M5
9/30/19	$	15.19	$	0.36		$	0.46	$	0.82	$	(0.35	)	$	(0.01	)	$	(0.36	)	$	15.65		5.70%		$	30,690		0.31%			0.16%			2.43%
9/30/18g		15.00		0.01			0.18		0.19		-			-			-			15.19		1.27%	b		32,952		0.41%	a		0.15%	a		0.16%	a
Class M4
9/30/19	$	15.17	$	0.31		$	0.46	$	0.77	$	(0.32	)	$	(0.01	)	$	(0.33	)	$	15.61		5.37%		$	23,473		0.56%			0.41%			2.06%
9/30/18g		15.00		(0.01	)		0.18		0.17		-			-			-			15.17		1.13%	b		20,459		0.66%	a		0.40%	a		(0.08%	)a
Class M3
9/30/19	$	15.14	$	0.26		$	0.48	$	0.74	$	(0.28	)	$	(0.01	)	$	(0.29	)	$	15.59		5.15%		$	13,737		0.81%			0.66%			1.74%
9/30/18g		15.00		(0.04	)		0.18		0.14		-			-			-			15.14		0.93%	b		15,085		0.91%	a		0.65%	a		(0.33%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		27	%		14	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

59

MassMutual Select T. Rowe Price Retirement 2015 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.21	$	0.30		$	0.49	$	0.79	$	(0.34	)	$	(0.02	)	$	(0.36	)	$	15.64		5.52%		$	56,389		0.17%			0.01%			1.99%
9/30/18g		15.00		0.02			0.19		0.21		-			-			-			15.21		1.40%	b		27,304		0.34%	a		0.00%a			0.29%	a
Class M5
9/30/19	$	15.19	$	0.32		$	0.46	$	0.78	$	(0.33	)	$	(0.02	)	$	(0.35	)	$	15.62		5.44%		$	52,284		0.32%			0.16%			2.14%
9/30/18g		15.00		0.01			0.18		0.19		-			-			-			15.19		1.27%	b		53,386		0.49%	a		0.15%	a		0.14%	a
Class M4
9/30/19	$	15.17	$	0.23		$	0.51	$	0.74	$	(0.29	)	$	(0.02	)	$	(0.31	)	$	15.60		5.15%		$	13,738		0.57%			0.41%			1.52%
9/30/18g		15.00		(0.01	)		0.18		0.17		-			-			-			15.17		1.13%	b		11,781		0.74%	a		0.40%	a		(0.12%	)a
Class M3
9/30/19	$	15.15	$	0.28		$	0.41	$	0.69	$	(0.26	)	$	(0.02	)	$	(0.28	)	$	15.56		4.84%		$	8,621		0.82%			0.66%			1.89%
9/30/18g		15.00		(0.04	)		0.19		0.15		-			-			-			15.15		1.00%	b		7,694		0.99%	a		0.65%	a		(0.37%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		32	%		19	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

60

MassMutual Select T. Rowe Price Retirement 2020 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.23	$	0.27		$	0.47	$	0.74	$	(0.33	)	$	(0.01	)	$	(0.34	)	$	15.63		5.20%		$	219,375		0.05%			0.02%			1.81%
9/30/18g		15.00		0.02			0.21		0.23		-			-			-			15.23		1.53%	b		110,027		0.05%	a		0.00%	a		0.25%	a
Class M5
9/30/19	$	15.21	$	0.29		$	0.43	$	0.72	$	(0.31	)	$	(0.01	)	$	(0.32	)	$	15.61		5.07%		$	251,317		0.20%			0.17%			1.93%
9/30/18g		15.00		0.01			0.20		0.21		-			-			-			15.21		1.40%	b		243,194		0.20%	a		0.15%	a		0.09%	a
Class M4
9/30/19	$	15.19	$	0.26		$	0.42	$	0.68	$	(0.28	)	$	(0.01	)	$	(0.29	)	$	15.58		4.79%		$	147,162		0.45%			0.42%			1.77%
9/30/18g		15.00		(0.01	)		0.20		0.19		-			-			-			15.19		1.27%	b		136,540		0.45%	a		0.40%	a		(0.16%	)a
Class M3
9/30/19	$	15.17	$	0.21		$	0.43	$	0.64	$	(0.24	)	$	(0.01	)	$	(0.25	)	$	15.56		4.49%		$	74,882		0.70%			0.67%			1.39%
9/30/18g		15.00		(0.04	)		0.21		0.17		-			-			-			15.17		1.13%	b		76,167		0.70%	a		0.65%	a		(0.41%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		19	%		11	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

61

MassMutual Select T. Rowe Price Retirement 2025 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.23	$	0.22		$	0.47	$	0.69	$	(0.29	)	$	(0.01	)	$	(0.30	)	$	15.62		4.91%		$	202,728		0.06%			0.02%			1.43%
9/30/18g		15.00		0.02			0.21		0.23		-			-			-			15.23		1.53%	b		81,689		0.09%	a		0.00%a			0.20%	a
Class M5
9/30/19	$	15.22	$	0.26		$	0.41	$	0.67	$	(0.28	)	$	(0.01	)	$	(0.29	)	$	15.60		4.72%		$	154,071		0.21%			0.16%			1.73%
9/30/18g		15.00		0.00	d		0.22		0.22		-			-			-			15.22		1.47%	b		147,045		0.24%	a		0.15%	a		0.05%	a
Class M4
9/30/19	$	15.20	$	0.20		$	0.44	$	0.64	$	(0.25	)	$	(0.01	)	$	(0.26	)	$	15.58		4.48%		$	81,705		0.46%			0.41%			1.33%
9/30/18g		15.00		(0.02	)		0.22		0.20		-			-			-			15.20		1.33%	b		61,589		0.49%	a		0.40%	a		(0.20%	)a
Class M3
9/30/19	$	15.17	$	0.16		$	0.44	$	0.60	$	(0.23	)	$	(0.01	)	$	(0.24	)	$	15.53		4.23%		$	64,120		0.71%			0.66%			1.10%
9/30/18g		15.00		(0.04	)		0.21		0.17		-			-			-			15.17		1.13%	b		44,333		0.74%	a		0.65%	a		(0.45%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		14	%		10	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

62

MassMutual Select T. Rowe Price Retirement 2030 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.23	$	0.20		$	0.45	$	0.65	$	(0.28	)	$	(0.00	)d	$	(0.28	)	$	15.60		4.61%		$	329,602		0.04%			0.01%			1.37%
9/30/18g		15.00		0.01			0.22		0.23		-			-			-			15.23		1.53%	b		148,473		0.04%	a		0.00%a			0.16%	a
Class M5
9/30/19	$	15.22	$	0.23		$	0.39	$	0.62	$	(0.26	)	$	(0.00	)d	$	(0.26	)	$	15.58		4.41%		$	434,061		0.19%			0.16%			1.53%
9/30/18g		15.00		0.00	d		0.22		0.22		-			-			-			15.22		1.47%	b		409,120		0.19%	a		0.15%	a		0.00%	a
Class M4
9/30/19	$	15.20	$	0.20		$	0.39	$	0.59	$	(0.24	)	$	(0.00	)d	$	(0.24	)	$	15.55		4.16%		$	247,113		0.44%			0.41%			1.34%
9/30/18g		15.00		(0.02	)		0.22		0.20		-			-			-			15.20		1.33%	b		193,313		0.44%	a		0.40%	a		(0.25%	)a
Class M3
9/30/19	$	15.17	$	0.15		$	0.41	$	0.56	$	(0.20	)	$	(0.00	)d	$	(0.20	)	$	15.53		3.93%		$	131,017		0.69%			0.66%			1.01%
9/30/18g		15.00		(0.05	)		0.22		0.17		-			-			-			15.17		1.13%	b		123,963		0.69%	a		0.65%	a		(0.50%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		12	%		7	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

63

MassMutual Select T. Rowe Price Retirement 2035 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.24	$	0.17		$	0.42	$	0.59	$	(0.25	)	$	(0.00	)d	$	(0.25	)	$	15.58		4.23%		$	172,985		0.07%			0.02%			1.15%
9/30/18g		15.00		0.01			0.23		0.24		-			-			-			15.24		1.60%	b		70,756		0.10%	a		0.00%	a		0.12%	a
Class M5
9/30/19	$	15.23	$	0.20		$	0.37	$	0.57	$	(0.24	)	$	(0.00	)d	$	(0.24	)	$	15.56		4.05%		$	155,562		0.22%			0.16%			1.31%
9/30/18g		15.00		(0.00	)d		0.23		0.23		-			-			-			15.23		1.53%	b		136,793		0.25%	a		0.15%	a		(0.03%	)a
Class M4
9/30/19	$	15.20	$	0.16		$	0.38	$	0.54	$	(0.21	)	$	(0.00	)d	$	(0.21	)	$	15.53		3.81%		$	65,583		0.47%			0.41%			1.05%
9/30/18g		15.00		(0.03	)		0.23		0.20		-			-			-			15.20		1.33%	b		54,036		0.50%	a		0.40%	a		(0.28%	)a
Class M3
9/30/19	$	15.18	$	0.12		$	0.39	$	0.51	$	(0.19	)	$	(0.00	)d	$	(0.19	)	$	15.50		3.57%		$	57,490		0.72%			0.66%			0.80%
9/30/18g		15.00		(0.05	)		0.23		0.18		-			-			-			15.18		1.20%	b		50,119		0.75%	a		0.65%	a		(0.53%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		12	%		9	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

64

MassMutual Select T. Rowe Price Retirement 2040 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.24	$	0.16		$	0.40	$	0.56	$	(0.24	)	$	(0.00	)d	$	(0.24	)	$	15.56		3.97%		$	223,242		0.04%			0.02%			1.05%
9/30/18g		15.00		0.01			0.23		0.24		-			-			-			15.24		1.60%	b		99,534		0.05%	a		0.00%	a		0.08%	a
Class M5
9/30/19	$	15.23	$	0.18		$	0.35	$	0.53	$	(0.22	)	$	(0.00	)d	$	(0.22	)	$	15.54		3.77%		$	337,741		0.19%			0.16%			1.20%
9/30/18g		15.00		(0.01	)		0.24		0.23		-			-			-			15.23		1.53%	b		316,521		0.20%	a		0.15%	a		(0.07%	)a
Class M4
9/30/19	$	15.21	$	0.15		$	0.34	$	0.49	$	(0.20	)	$	(0.00	)d	$	(0.20	)	$	15.50		3.48%		$	189,684		0.44%			0.42%			1.00%
9/30/18g		15.00		(0.03	)		0.24		0.21		-			-			-			15.21		1.40%	b		132,361		0.45%	a		0.40%	a		(0.32%	)a
Class M3
9/30/19	$	15.18	$	0.09		$	0.38	$	0.47	$	(0.16	)	$	(0.00	)d	$	(0.16	)	$	15.49		3.30%		$	94,948		0.69%			0.66%			0.64%
9/30/18g		15.00		(0.05	)		0.23		0.18		-			-			-			15.18		1.20%	b		86,806		0.70%	a		0.65%	a		(0.57%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		10	%		6	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

65

MassMutual Select T. Rowe Price Retirement 2045 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.25	$	0.14		$	0.38	$	0.52	$	(0.23	)	$	(0.00	)d	$	(0.23	)	$	15.54		3.71%		$	111,981		0.08%			0.01%			0.91%
9/30/18g		15.00		0.01			0.24		0.25		-			-			-			15.25		1.67%	b		41,249		0.12%	a		0.00%a			0.06%	a
Class M5
9/30/19	$	15.23	$	0.16		$	0.35	$	0.51	$	(0.21	)	$	(0.00	)d	$	(0.21	)	$	15.53		3.64%		$	119,760		0.23%			0.15%			1.08%
9/30/18g		15.00		(0.01	)		0.24		0.23		-			-			-			15.23		1.53%	b		106,428		0.27%	a		0.15%	a		(0.09%	)a
Class M4
9/30/19	$	15.21	$	0.12		$	0.35	$	0.47	$	(0.18	)	$	(0.00	)d	$	(0.18	)	$	15.50		3.35%		$	53,040		0.48%			0.40%			0.78%
9/30/18g		15.00		(0.03	)		0.24		0.21		-			-			-			15.21		1.40%	b		39,913		0.52%	a		0.40%	a		(0.34%	)a
Class M3
9/30/19	$	15.19	$	0.08		$	0.36	$	0.44	$	(0.16	)	$	(0.00	)d	$	(0.16	)	$	15.47		3.08%		$	44,515		0.73%			0.65%			0.55%
9/30/18g		15.00		(0.05	)		0.24		0.19		-			-			-			15.19		1.27%	b		35,501		0.77%	a		0.65%	a		(0.59%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		10	%		8	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

66

MassMutual Select T. Rowe Price Retirement 2050 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.25	$	0.13		$	0.40	$	0.53	$	(0.23	)	$	(0.00	)d	$	(0.23	)	$	15.55		3.75%		$	121,897		0.06%			0.01%			0.90%
9/30/18g		15.00		0.00	d		0.25		0.25		-			-			-			15.25		1.67%	b		46,555		0.08%	a		0.00%	a		0.06%	a
Class M5
9/30/19	$	15.23	$	0.16		$	0.35	$	0.51	$	(0.21	)	$	(0.00	)d	$	(0.21	)	$	15.53		3.62%		$	223,250		0.21%			0.15%			1.11%
9/30/18g		15.00		(0.01	)		0.24		0.23		-			-			-			15.23		1.53%	b		199,760		0.23%	a		0.15%	a		(0.09%	)a
Class M4
9/30/19	$	15.21	$	0.14		$	0.33	$	0.47	$	(0.19	)	$	(0.00	)d	$	(0.19	)	$	15.49		3.33%		$	106,909		0.46%			0.41%			0.93%
9/30/18g		15.00		(0.03	)		0.24		0.21		-			-			-			15.21		1.40%	b		76,013		0.48%	a		0.40%	a		(0.34%	)a
Class M3
9/30/19	$	15.19	$	0.08		$	0.35	$	0.43	$	(0.15	)	$	(0.00	)d	$	(0.15	)	$	15.47		3.03%		$	53,218		0.71%			0.65%			0.54%
9/30/18g		15.00		(0.05	)		0.24		0.19		-			-			-			15.19		1.27%	b		44,079		0.73%	a		0.65%	a		(0.59%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		10	%		5	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

67

MassMutual Select T. Rowe Price Retirement 2055 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.25	$	0.13		$	0.39	$	0.52	$	(0.23	)	$	(0.00	)d	$	(0.23	)	$	15.54		3.70%		$	46,245		0.15%			0.01%			0.85%
9/30/18g		15.00		(0.00	)d		0.25		0.25		-			-			-			15.25		1.67%	b		16,170		0.24%	a		0.00%a			0.06%	a
Class M5
9/30/19	$	15.23	$	0.16		$	0.34	$	0.50	$	(0.21	)	$	(0.00	)d	$	(0.21	)	$	15.52		3.57%		$	75,163		0.30%			0.15%			1.06%
9/30/18g		15.00		(0.01	)		0.24		0.23		-			-			-			15.23		1.53%	b		59,887		0.39%	a		0.15%	a		(0.09%	)a
Class M4
9/30/19	$	15.21	$	0.11		$	0.36	$	0.47	$	(0.18	)	$	(0.00	)d	$	(0.18	)	$	15.50		3.34%		$	25,459		0.55%			0.40%			0.71%
9/30/18g		15.00		(0.03	)		0.24		0.21		-			-			-			15.21		1.40%	b		18,047		0.64%	a		0.40%	a		(0.34%	)a
Class M3
9/30/19	$	15.19	$	0.08		$	0.35	$	0.43	$	(0.16	)	$	(0.00	)d	$	(0.16	)	$	15.46		3.05%		$	19,819		0.80%			0.65%			0.51%
9/30/18g		15.00		(0.05	)		0.24		0.19		-			-			-			15.19		1.27%	b		13,616		0.89%	a		0.65%	a		(0.59%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		9	%		9	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

68

MassMutual Select T. Rowe Price Retirement 2060 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders																Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiversw			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	15.25	$	0.12		$	0.39	$	0.51	$	(0.23	)	$	(0.02	)	$	(0.25	)	$	15.51		3.67%		$	14,159		0.85%			0.01%			0.79%
9/30/18g		15.00		0.00	d		0.25		0.25		-			-			-			15.25		1.67%	b		3,616		2.35%	a		0.00%a			0.06%	a
Class M5
9/30/19	$	15.24	$	0.12		$	0.36	$	0.48	$	(0.21	)	$	(0.02	)	$	(0.23	)	$	15.49		3.50%		$	7,791		1.00%			0.15%			0.78%
9/30/18g		15.00		(0.01	)		0.25		0.24		-			-			-			15.24		1.60%	b		3,032		2.50%	a		0.15%	a		(0.09%	)a
Class M4
9/30/19	$	15.21	$	0.10		$	0.36	$	0.46	$	(0.19	)	$	(0.02	)	$	(0.21	)	$	15.46		3.34%		$	8,489		1.25%			0.40%			0.68%
9/30/18g		15.00		(0.02	)		0.23		0.21		-			-			-			15.21		1.40%	b		3,919		2.75%	a		0.40%	a		(0.34%	)a
Class M3
9/30/19	$	15.19	$	0.07		$	0.35	$	0.42	$	(0.17	)	$	(0.02	)	$	(0.19	)	$	15.42		3.03%		$	3,420		1.50%			0.65%			0.49%
9/30/18g		15.00		(0.04	)		0.23		0.19		-			-			-			15.19		1.27%	b		2,126		3.00%	a		0.65%	a		(0.59%	)a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		16	%		36	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

g For the period February 16, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

w Expenses of the underlying funds are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying fund.

The accompanying notes are an integral part of the financial statements.

69

Notes to Financial Statements

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 13 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual Select T. Rowe Price Retirement Balanced Fund (“MM Select T. Rowe Price Retirement Balanced Fund”)

MassMutual Select T. Rowe Price Retirement 2005 Fund (“MM Select T. Rowe Price Retirement 2005 Fund”)

MassMutual Select T. Rowe Price Retirement 2010 Fund (“MM Select T. Rowe Price Retirement 2010 Fund”)

MassMutual Select T. Rowe Price Retirement 2015 Fund (“MM Select T. Rowe Price Retirement 2015 Fund”)

MassMutual Select T. Rowe Price Retirement 2020 Fund (“MM Select T. Rowe Price Retirement 2020 Fund”)

MassMutual Select T. Rowe Price Retirement 2025 Fund (“MM Select T. Rowe Price Retirement 2025 Fund”)

MassMutual Select T. Rowe Price Retirement 2030 Fund (“MM Select T. Rowe Price Retirement 2030 Fund”)

MassMutual Select T. Rowe Price Retirement 2035 Fund (“MM Select T. Rowe Price Retirement 2035 Fund”)

MassMutual Select T. Rowe Price Retirement 2040 Fund (“MM Select T. Rowe Price Retirement 2040 Fund”)

MassMutual Select T. Rowe Price Retirement 2045 Fund (“MM Select T. Rowe Price Retirement 2045 Fund”)

MassMutual Select T. Rowe Price Retirement 2050 Fund (“MM Select T. Rowe Price Retirement 2050 Fund”)

MassMutual Select T. Rowe Price Retirement 2055 Fund (“MM Select T. Rowe Price Retirement 2055 Fund”)

MassMutual Select T. Rowe Price Retirement 2060 Fund (“MM Select T. Rowe Price Retirement 2060 Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

The Funds invest their investable assets primarily in shares of series of the Trust and T. Rowe Price Funds (together, the “Underlying Funds”). The financial statements included herein are those of the Funds. The financial statements of the applicable Underlying Funds are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov or by calling MML Investment Advisers, LLC (“MML Advisers”) at 1-888-309-3539.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

New Disclosure Requirements

Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the SEC, the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.

70

Notes to Financial Statements (Continued)

The following is a summary of the previously disclosed amounts, as reported at September 30, 2018:

	MM Select T. Rowe Price Retirement Balanced Fund			MM Select T. Rowe Price Retirement 2005 Fund		MM Select T. Rowe Price Retirement 2010 Fund		MM Select T. Rowe Price Retirement 2015 Fund		MM Select T. Rowe Price Retirement 2020 Fund			MM Select T. Rowe Price Retirement 2025 Fund			MM Select T. Rowe Price Retirement 2030 Fund
Undistributed (accumulated) net investment income (loss) at end of period	$	(933	)	$	8,431	$	27,916	$	25,937	$	(8,980	)	$	(4,422	)	$	(13,217	)

	MM Select T. Rowe Price Retirement 2035 Fund			MM Select T. Rowe Price Retirement 2040 Fund			MM Select T. Rowe Price Retirement 2045 Fund			MM Select T. Rowe Price Retirement 2050 Fund			MM Select T. Rowe Price Retirement 2055 Fund			MM Select T. Rowe Price Retirement 2060 Fund
Undistributed (accumulated) net investment income (loss) at end of period	$	(3,919	)	$	(212,988	)	$	(47,198	)	$	(156,619	)	$	(8,657	)	$	(142	)

The Funds did not have any distributions to shareholders from net investment income and net realized gains during the year ended September 30, 2018.

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that an Underlying Fund holds foreign securities that trade on days that foreign securities markets are open.

The net asset value of each Fund is based upon the net asset value(s) of its corresponding Underlying Funds. Shares of the Underlying Funds are valued at their closing net asset values as reported on each business day.

Certain Underlying Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day.

The Prospectuses and Statements of Additional Information (“SAIs”) for the Underlying Funds explain the valuation methods for the Underlying Funds, including the circumstances under which the Underlying Funds may use fair value pricing and the effects of doing so. Such Prospectuses and SAIs are available on the SEC’s EDGAR database on its website at http://www.sec.gov.

Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)

71

Notes to Financial Statements (Continued)

Each Fund characterized all investments at Level 1, as of September 30, 2019. For each Fund, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The Funds had no Level 3 transfers during the year ended September 30, 2019.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and distributions including realized gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets or another alternative method.

In addition, each Fund will also incur certain fees and expenses indirectly as a shareholder in the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and each Fund may own different proportions of Underlying Funds at different times, the amount of fees and expenses indirectly incurred by each Fund will vary.

Foreign Securities

Certain Underlying Funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

72

Notes to Financial Statements (Continued)

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Advisory Fees and Other Transactions

Investment Advisory Fees and Investment Subadviser

MML Advisers, a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. MML Advisers does not receive advisory fees in return for these services.

MML Advisers has also entered into an investment subadvisory agreement with the unaffiliated investment subadviser, T. Rowe Price Associates, Inc. (“T. Rowe Price”), for each Fund.

Administration Fees

Under an Administrative and Shareholder Services Agreement between the Trust and MML Advisers, on behalf of each Fund, MML Advisers is obligated to provide certain administrative and shareholder services. In return for these services, MML Advisers receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class I		Class M5		Class M4		Class M3
MM Select T. Rowe Price Retirement Balanced Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2005 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2010 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2015 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2020 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2025 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2030 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2035 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2040 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2045 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2050 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2055 Fund		None		0.15%		0.15%		0.15%
MM Select T. Rowe Price Retirement 2060 Fund		None		0.15%		0.15%		0.15%

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as a distributor to each Fund. Pursuant to a 12b-1 Plan adopted by the Trust, Class M4 shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class M3 shares of each Fund pay an annual fee of 0.50% of the average daily net assets of the class, to the Distributor. Such payments compensate the Distributor for services provided and expenses incurred by it for purposes of promoting the sale of the relevant class of shares, reducing redemptions of shares, or maintaining or improving services provided to each Fund’s shareholders. The Distributor is a wholly-owned subsidiary of MassMutual.

73

Notes to Financial Statements (Continued)

Expense Caps and Waivers

Effective October 18, 2018, MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class I		Class M5		Class M4		Class M3
MM Select T. Rowe Price Retirement Balanced Fund*		0.34%		0.49%		0.74%		0.99%
MM Select T. Rowe Price Retirement 2005 Fund*		0.38%		0.53%		0.78%		1.03%
MM Select T. Rowe Price Retirement 2010 Fund*		0.38%		0.53%		0.78%		1.03%
MM Select T. Rowe Price Retirement 2015 Fund*		0.41%		0.56%		0.81%		1.06%
MM Select T. Rowe Price Retirement 2020 Fund*		0.45%		0.60%		0.85%		1.10%
MM Select T. Rowe Price Retirement 2025 Fund*		0.48%		0.63%		0.88%		1.13%
MM Select T. Rowe Price Retirement 2030 Fund*		0.51%		0.66%		0.91%		1.16%
MM Select T. Rowe Price Retirement 2035 Fund*		0.54%		0.69%		0.94%		1.19%
MM Select T. Rowe Price Retirement 2040 Fund*		0.56%		0.71%		0.96%		1.21%
MM Select T. Rowe Price Retirement 2045 Fund*		0.56%		0.71%		0.96%		1.21%
MM Select T. Rowe Price Retirement 2050 Fund*		0.56%		0.71%		0.96%		1.21%
MM Select T. Rowe Price Retirement 2055 Fund*		0.56%		0.71%		0.96%		1.21%
MM Select T. Rowe Price Retirement 2060 Fund*		0.56%		0.71%		0.96%		1.21%

* Expense caps in effect through January 31, 2020.

Prior to October 18, 2018, MML Advisers agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class I		Class M5		Class M4		Class M3
MM Select T. Rowe Price Retirement Balanced Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2005 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2010 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2015 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2020 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2025 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2030 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2035 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2040 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2045 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2050 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2055 Fund		0.00%		0.15%		0.40%		0.65%
MM Select T. Rowe Price Retirement 2060 Fund		0.00%		0.15%		0.40%		0.65%

# Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Deferred Compensation

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

74

Notes to Financial Statements (Continued)

Other

Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at September 30, 2019:

	Total % Ownership by Related Party
MM Select T. Rowe Price Retirement Balanced Fund		22.7%
MM Select T. Rowe Price Retirement 2005 Fund		53.0%
MM Select T. Rowe Price Retirement 2010 Fund		61.9%
MM Select T. Rowe Price Retirement 2015 Fund		70.6%
MM Select T. Rowe Price Retirement 2020 Fund		75.3%
MM Select T. Rowe Price Retirement 2025 Fund		68.5%
MM Select T. Rowe Price Retirement 2030 Fund		75.0%
MM Select T. Rowe Price Retirement 2035 Fund		69.9%
MM Select T. Rowe Price Retirement 2040 Fund		76.3%
MM Select T. Rowe Price Retirement 2045 Fund		71.4%
MM Select T. Rowe Price Retirement 2050 Fund		77.8%
MM Select T. Rowe Price Retirement 2055 Fund		77.3%
MM Select T. Rowe Price Retirement 2060 Fund		59.5%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investments in Underlying Funds (excluding short-term investments) for the period ended September 30, 2019, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
MM Select T. Rowe Price Retirement Balanced Fund	$	-	$	134,904,421	$	-	$	12,673,820
MM Select T. Rowe Price Retirement 2005 Fund		-		18,685,846		-		8,673,183
MM Select T. Rowe Price Retirement 2010 Fund		-		76,842,589		-		32,694,157
MM Select T. Rowe Price Retirement 2015 Fund		-		65,399,948		-		36,754,091
MM Select T. Rowe Price Retirement 2020 Fund		-		240,108,309		-		121,799,430
MM Select T. Rowe Price Retirement 2025 Fund		-		214,575,632		-		57,593,655
MM Select T. Rowe Price Retirement 2030 Fund		-		368,949,850		-		123,432,544
MM Select T. Rowe Price Retirement 2035 Fund		-		172,576,502		-		43,777,826
MM Select T. Rowe Price Retirement 2040 Fund		-		266,900,523		-		74,938,535
MM Select T. Rowe Price Retirement 2045 Fund		-		125,005,949		-		27,330,156
MM Select T. Rowe Price Retirement 2050 Fund		-		170,173,440		-		42,638,666
MM Select T. Rowe Price Retirement 2055 Fund		-		65,930,054		-		11,547,603
MM Select T. Rowe Price Retirement 2060 Fund		-		23,669,478		-		3,518,342

75

Notes to Financial Statements (Continued)

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Year Ended September 30, 2019						Period Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM Select T. Rowe Price Retirement Balanced Fund Class I*
Sold		715,063		$	10,523,961			494,288		$	7,427,850
Issued as reinvestment of dividends		22,020			302,771			-			-
Redeemed		(165,003	)		(2,457,035	)		(137,537	)		(2,072,630	)
Net increase (decrease)		572,080		$	8,369,697			356,751		$	5,355,220
MM Select T. Rowe Price Retirement Balanced Fund Class M5*
Sold		7,310,111		$	112,575,729			2,138,292		$	32,099,811
Issued as reinvestment of dividends		19,869			273,993			-			-
Redeemed		(256,202	)		(3,835,523	)		(1,534,281	)		(23,258,236	)
Net increase (decrease)		7,073,778		$	109,014,199			604,011		$	8,841,575
MM Select T. Rowe Price Retirement Balanced Fund Class M4*
Sold		381,996		$	5,662,771			1,132,005		$	16,985,251
Issued as reinvestment of dividends		30,575			420,708			-			-
Redeemed		(186,638	)		(2,786,193	)		(193,474	)		(2,907,883	)
Net increase (decrease)		225,933		$	3,297,286			938,531		$	14,077,368
MM Select T. Rowe Price Retirement Balanced Fund Class M3*
Sold		171,862		$	2,548,969			502,641		$	7,544,916
Issued as reinvestment of dividends		14,126			194,378			-			-
Redeemed		(122,194	)		(1,827,878	)		(84,470	)		(1,269,900	)
Net increase (decrease)		63,794		$	915,469			418,171		$	6,275,016
MM Select T. Rowe Price Retirement 2005 Fund Class I*
Sold		802,012		$	11,968,942			377,866		$	5,658,569
Issued as reinvestment of dividends		14,056			196,650			-			-
Redeemed		(290,650	)		(4,373,451	)		(53,073	)		(797,455	)
Net increase (decrease)		525,418		$	7,792,141			324,793		$	4,861,114
MM Select T. Rowe Price Retirement 2005 Fund Class M5*
Sold		154,444		$	2,332,076			608,244		$	9,128,029
Issued as reinvestment of dividends		10,366			144,916			-			-
Redeemed		(140,063	)		(2,133,822	)		(96,969	)		(1,456,007	)
Net increase (decrease)		24,747		$	343,170			511,275		$	7,672,022
MM Select T. Rowe Price Retirement 2005 Fund Class M4*
Sold		92,736		$	1,371,799			180,020		$	2,699,604
Issued as reinvestment of dividends		2,486			34,772			-			-
Redeemed		(31,241	)		(458,162	)		(44,071	)		(662,548	)
Net increase (decrease)		63,981		$	948,409			135,949		$	2,037,056

76

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Period Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM Select T. Rowe Price Retirement 2005 Fund Class M3*
Sold		94,140		$	1,441,159			104,102		$	1,562,786
Issued as reinvestment of dividends		973			13,589			-			-
Redeemed		(55,900	)		(858,618	)		(44,930	)		(675,418	)
Net increase (decrease)		39,213		$	596,130			59,172		$	887,368
MM Select T. Rowe Price Retirement 2010 Fund Class I*
Sold		3,480,969		$	52,363,263			1,430,371		$	21,479,659
Issued as reinvestment of dividends		95,805			1,324,019			-			-
Redeemed		(677,620	)		(10,163,602	)		(125,186	)		(1,882,960	)
Net increase (decrease)		2,899,154		$	43,523,680			1,305,185		$	19,596,699
MM Select T. Rowe Price Retirement 2010 Fund Class M5*
Sold		208,173		$	3,098,309			2,833,364		$	42,524,217
Issued as reinvestment of dividends		56,563			781,704			-			-
Redeemed		(472,331	)		(6,906,077	)		(664,184	)		(9,973,912	)
Net increase (decrease)		(207,595	)	$	(3,026,064	)		2,169,180		$	32,550,305
MM Select T. Rowe Price Retirement 2010 Fund Class M4*
Sold		959,088		$	14,493,387			1,577,965		$	23,653,033
Issued as reinvestment of dividends		37,411			517,025			-			-
Redeemed		(841,921	)		(12,755,549	)		(229,148	)		(3,438,433	)
Net increase (decrease)		154,578		$	2,254,863			1,348,817		$	20,214,600
MM Select T. Rowe Price Retirement 2010 Fund Class M3*
Sold		158,810		$	2,339,321			1,107,903		$	16,618,127
Issued as reinvestment of dividends		19,769			273,398			-			-
Redeemed		(293,607	)		(4,403,028	)		(111,889	)		(1,672,874	)
Net increase (decrease)		(115,028	)	$	(1,790,309	)		996,014		$	14,945,253
MM Select T. Rowe Price Retirement 2015 Fund Class I*
Sold		2,921,985		$	43,464,100			2,021,697		$	30,407,713
Issued as reinvestment of dividends		67,876			928,545			-			-
Redeemed		(1,180,373	)		(17,524,802	)		(226,345	)		(3,413,112	)
Net increase (decrease)		1,809,488		$	26,867,843			1,795,352		$	26,994,601
MM Select T. Rowe Price Retirement 2015 Fund Class M5*
Sold		207,254		$	3,077,805			3,859,764		$	58,277,932
Issued as reinvestment of dividends		87,287			1,194,090			-			-
Redeemed		(460,776	)		(6,859,710	)		(346,262	)		(5,206,523	)
Net increase (decrease)		(166,235	)	$	(2,587,815	)		3,513,502		$	53,071,409
MM Select T. Rowe Price Retirement 2015 Fund Class M4*
Sold		520,739		$	7,643,194			909,509		$	13,639,463
Issued as reinvestment of dividends		17,563			240,259			-			-
Redeemed		(434,108	)		(6,593,146	)		(132,921	)		(1,999,898	)
Net increase (decrease)		104,194		$	1,290,307			776,588		$	11,639,565
MM Select T. Rowe Price Retirement 2015 Fund Class M3*
Sold		302,940		$	4,449,202			731,794		$	10,974,514
Issued as reinvestment of dividends		13,362			182,792			-			-
Redeemed		(270,206	)		(3,976,218	)		(223,849	)		(3,377,753	)
Net increase (decrease)		46,096		$	655,776			507,945		$	7,596,761

77

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Period Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM Select T. Rowe Price Retirement 2020 Fund Class I*
Sold		8,843,169		$	131,770,115			8,010,064		$	120,472,198
Issued as reinvestment of dividends		254,826			3,437,606			-			-
Redeemed		(2,287,599	)		(34,125,477	)		(783,662	)		(11,803,401	)
Net increase (decrease)		6,810,396		$	101,082,244			7,226,402		$	108,668,797
MM Select T. Rowe Price Retirement 2020 Fund Class M5*
Sold		1,899,483		$	28,406,581			17,567,791		$	263,744,752
Issued as reinvestment of dividends		382,034			5,153,643			-			-
Redeemed		(2,170,204	)		(31,953,926	)		(1,580,515	)		(23,715,673	)
Net increase (decrease)		111,313		$	1,606,298			15,987,276		$	240,029,079
MM Select T. Rowe Price Retirement 2020 Fund Class M4*
Sold		3,641,894		$	53,642,198			10,197,216		$	152,874,661
Issued as reinvestment of dividends		217,243			2,930,614			-			-
Redeemed		(3,402,739	)		(50,475,704	)		(1,207,801	)		(18,131,990	)
Net increase (decrease)		456,398		$	6,097,108			8,989,415		$	134,742,671
MM Select T. Rowe Price Retirement 2020 Fund Class M3*
Sold		1,118,238		$	16,614,183			5,918,476		$	88,775,573
Issued as reinvestment of dividends		91,624			1,236,920			-			-
Redeemed		(1,420,528	)		(21,219,238	)		(896,166	)		(13,442,564	)
Net increase (decrease)		(210,666	)	$	(3,368,135	)		5,022,310		$	75,333,009
MM Select T. Rowe Price Retirement 2025 Fund Class I*
Sold		8,890,099		$	131,530,176			5,946,748		$	89,574,281
Issued as reinvestment of dividends		172,516			2,301,367			-			-
Redeemed		(1,448,913	)		(21,553,608	)		(584,266	)		(8,830,678	)
Net increase (decrease)		7,613,702		$	112,277,935			5,362,482		$	80,743,603
MM Select T. Rowe Price Retirement 2025 Fund Class M5*
Sold		1,613,989		$	23,948,276			10,686,615		$	160,780,344
Issued as reinvestment of dividends		211,575			2,822,407			-			-
Redeemed		(1,613,561	)		(23,852,836	)		(1,024,066	)		(15,380,466	)
Net increase (decrease)		212,003		$	2,917,847			9,662,549		$	145,399,878
MM Select T. Rowe Price Retirement 2025 Fund Class M4*
Sold		2,077,684		$	30,828,841			4,541,660		$	68,096,833
Issued as reinvestment of dividends		84,395			1,125,831			-			-
Redeemed		(969,895	)		(14,277,092	)		(488,493	)		(7,343,656	)
Net increase (decrease)		1,192,184		$	17,677,580			4,053,167		$	60,753,177
MM Select T. Rowe Price Retirement 2025 Fund Class M3*
Sold		1,695,979		$	24,966,869			3,118,590		$	46,794,436
Issued as reinvestment of dividends		62,764			836,639			-			-
Redeemed		(552,348	)		(8,204,140	)		(196,461	)		(2,938,715	)
Net increase (decrease)		1,206,395		$	17,599,368			2,922,129		$	43,855,721
MM Select T. Rowe Price Retirement 2030 Fund Class I*
Sold		13,050,410		$	192,196,785			10,084,554		$	151,677,820
Issued as reinvestment of dividends		295,252			3,891,424			-			-
Redeemed		(1,964,370	)		(29,359,909	)		(338,565	)		(5,101,933	)
Net increase (decrease)		11,381,292		$	166,728,300			9,745,989		$	146,575,887

78

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Period Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM Select T. Rowe Price Retirement 2030 Fund Class M5*
Sold		3,188,555		$	47,400,864			28,261,816		$	424,528,602
Issued as reinvestment of dividends		545,146			7,185,026			-			-
Redeemed		(2,760,716	)		(39,378,635	)		(1,382,042	)		(20,702,378	)
Net increase (decrease)		972,985		$	15,207,255			26,879,774		$	403,826,224
MM Select T. Rowe Price Retirement 2030 Fund Class M4*
Sold		6,247,960		$	91,709,076			13,890,820		$	208,267,303
Issued as reinvestment of dividends		293,988			3,874,767			-			-
Redeemed		(3,369,443	)		(49,439,712	)		(1,170,464	)		(17,608,336	)
Net increase (decrease)		3,172,505		$	46,144,131			12,720,356		$	190,658,967
MM Select T. Rowe Price Retirement 2030 Fund Class M3*
Sold		1,985,823		$	29,157,592			8,893,989		$	133,427,767
Issued as reinvestment of dividends		126,451			1,667,890			-			-
Redeemed		(1,846,333	)		(27,420,456	)		(724,855	)		(10,863,125	)
Net increase (decrease)		265,941		$	3,405,026			8,169,134		$	122,564,642
MM Select T. Rowe Price Retirement 2035 Fund Class I*
Sold		7,701,823		$	113,316,937			4,877,942		$	73,514,632
Issued as reinvestment of dividends		127,615			1,666,648			-			-
Redeemed		(1,369,211	)		(20,487,129	)		(235,026	)		(3,542,205	)
Net increase (decrease)		6,460,227		$	94,496,456			4,642,916		$	69,972,427
MM Select T. Rowe Price Retirement 2035 Fund Class M5*
Sold		1,671,354		$	24,703,622			9,504,785		$	143,149,901
Issued as reinvestment of dividends		168,851			2,205,200			-			-
Redeemed		(828,195	)		(12,078,873	)		(520,125	)		(7,816,862	)
Net increase (decrease)		1,012,010		$	14,829,949			8,984,660		$	135,333,039
MM Select T. Rowe Price Retirement 2035 Fund Class M4*
Sold		1,461,052		$	21,615,240			3,828,625		$	57,369,577
Issued as reinvestment of dividends		60,506			790,206			-			-
Redeemed		(854,490	)		(12,521,891	)		(273,999	)		(4,125,086	)
Net increase (decrease)		667,068		$	9,883,555			3,554,626		$	53,244,491
MM Select T. Rowe Price Retirement 2035 Fund Class M3*
Sold		1,061,245		$	15,507,787			3,731,791		$	56,027,815
Issued as reinvestment of dividends		50,878			664,471			-			-
Redeemed		(704,441	)		(10,521,273	)		(429,777	)		(6,368,403	)
Net increase (decrease)		407,682		$	5,650,985			3,302,014		$	49,659,412
MM Select T. Rowe Price Retirement 2040 Fund Class I*
Sold		8,735,413		$	127,450,877			6,830,426		$	102,667,136
Issued as reinvestment of dividends		164,587			2,134,692			-			-
Redeemed		(1,079,424	)		(16,133,303	)		(300,438	)		(4,518,567	)
Net increase (decrease)		7,820,576		$	113,452,266			6,529,988		$	98,148,569
MM Select T. Rowe Price Retirement 2040 Fund Class M5*
Sold		2,589,387		$	38,412,459			22,313,893		$	335,197,366
Issued as reinvestment of dividends		357,454			4,636,176			-			-
Redeemed		(1,999,903	)		(28,231,847	)		(1,529,699	)		(22,904,276	)
Net increase (decrease)		946,938		$	14,816,788			20,784,194		$	312,293,090

79

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Period Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM Select T. Rowe Price Retirement 2040 Fund Class M4*
Sold		5,659,486		$	82,779,307			9,310,952		$	139,560,863
Issued as reinvestment of dividends		184,753			2,394,399			-			-
Redeemed		(2,311,800	)		(33,522,674	)		(606,303	)		(9,106,669	)
Net increase (decrease)		3,532,439		$	51,651,032			8,704,649		$	130,454,194
MM Select T. Rowe Price Retirement 2040 Fund Class M3*
Sold		1,335,894		$	19,755,276			6,089,866		$	91,399,298
Issued as reinvestment of dividends		69,037			895,414			-			-
Redeemed		(992,195	)		(14,641,202	)		(372,524	)		(5,571,316	)
Net increase (decrease)		412,736		$	6,009,488			5,717,342		$	85,827,982
MM Select T. Rowe Price Retirement 2045 Fund Class I*
Sold		4,825,952		$	70,722,450			2,820,433		$	42,517,292
Issued as reinvestment of dividends		66,165			854,192			-			-
Redeemed		(393,225	)		(5,859,196	)		(115,249	)		(1,740,678	)
Net increase (decrease)		4,498,892		$	65,717,446			2,705,184		$	40,776,614
MM Select T. Rowe Price Retirement 2045 Fund Class M5*
Sold		1,377,185		$	20,318,648			7,384,988		$	111,010,636
Issued as reinvestment of dividends		117,839			1,521,303			-			-
Redeemed		(768,440	)		(11,214,888	)		(398,539	)		(5,998,636	)
Net increase (decrease)		726,584		$	10,625,063			6,986,449		$	105,012,000
MM Select T. Rowe Price Retirement 2045 Fund Class M4*
Sold		1,405,261		$	20,676,318			2,888,515		$	43,315,933
Issued as reinvestment of dividends		40,562			523,650			-			-
Redeemed		(647,689	)		(9,347,747	)		(264,491	)		(3,987,042	)
Net increase (decrease)		798,134		$	11,852,221			2,624,024		$	39,328,891
MM Select T. Rowe Price Retirement 2045 Fund Class M3*
Sold		1,103,028		$	16,144,760			2,762,872		$	41,467,137
Issued as reinvestment of dividends		31,681			409,006			-			-
Redeemed		(594,177	)		(8,783,927	)		(425,419	)		(6,266,518	)
Net increase (decrease)		540,532		$	7,769,839			2,337,453		$	35,200,619
MM Select T. Rowe Price Retirement 2050 Fund Class I*
Sold		5,165,979		$	75,065,703			3,190,524		$	47,958,604
Issued as reinvestment of dividends		73,030			942,819			-			-
Redeemed		(451,265	)		(6,730,079	)		(137,079	)		(2,067,512	)
Net increase (decrease)		4,787,744		$	69,278,443			3,053,445		$	45,891,092
MM Select T. Rowe Price Retirement 2050 Fund Class M5*
Sold		2,460,056		$	36,302,056			13,847,747		$	207,985,182
Issued as reinvestment of dividends		219,457			2,833,186			-			-
Redeemed		(1,416,651	)		(19,919,545	)		(734,911	)		(10,989,190	)
Net increase (decrease)		1,262,862		$	19,215,697			13,112,836		$	196,995,992
MM Select T. Rowe Price Retirement 2050 Fund Class M4*
Sold		3,347,203		$	49,084,934			5,358,420		$	80,324,444
Issued as reinvestment of dividends		98,559			1,271,412			-			-
Redeemed		(1,541,277	)		(22,039,021	)		(361,086	)		(5,421,576	)
Net increase (decrease)		1,904,485		$	28,317,325			4,997,334		$	74,902,868

80

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Period Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM Select T. Rowe Price Retirement 2050 Fund Class M3*
Sold		987,413		$	14,536,866			3,142,944		$	47,137,660
Issued as reinvestment of dividends		35,052			452,516			-			-
Redeemed		(485,774	)		(7,236,412	)		(240,599	)		(3,602,902	)
Net increase (decrease)		536,691		$	7,752,970			2,902,345		$	43,534,758
MM Select T. Rowe Price Retirement 2055 Fund Class I*
Sold		2,073,698		$	30,011,948			1,138,948		$	17,201,375
Issued as reinvestment of dividends		25,722			331,818			-			-
Redeemed		(184,281	)		(2,727,273	)		(78,485	)		(1,188,871	)
Net increase (decrease)		1,915,139		$	27,616,493			1,060,463		$	16,012,504
MM Select T. Rowe Price Retirement 2055 Fund Class M5*
Sold		1,331,593		$	19,683,299			4,118,500		$	61,864,733
Issued as reinvestment of dividends		68,293			880,982			-			-
Redeemed		(489,534	)		(7,015,928	)		(187,346	)		(2,815,686	)
Net increase (decrease)		910,352		$	13,548,353			3,931,154		$	59,049,047
MM Select T. Rowe Price Retirement 2055 Fund Class M4*
Sold		726,186		$	10,758,596			1,374,339		$	20,608,058
Issued as reinvestment of dividends		17,543			226,477			-			-
Redeemed		(287,457	)		(4,232,916	)		(187,912	)		(2,834,693	)
Net increase (decrease)		456,272		$	6,752,157			1,186,427		$	17,773,365
MM Select T. Rowe Price Retirement 2055 Fund Class M3*
Sold		522,727		$	7,682,748			1,115,598		$	16,739,284
Issued as reinvestment of dividends		12,720			164,088			-			-
Redeemed		(149,847	)		(2,199,050	)		(219,082	)		(3,239,848	)
Net increase (decrease)		385,600		$	5,647,786			896,516		$	13,499,436
MM Select T. Rowe Price Retirement 2060 Fund Class I*
Sold		751,081		$	11,185,254			271,454		$	4,094,087
Issued as reinvestment of dividends		5,997			77,246			-			-
Redeemed		(81,469	)		(1,209,215	)		(34,306	)		(511,121	)
Net increase (decrease)		675,609		$	10,053,285			237,148		$	3,582,966
MM Select T. Rowe Price Retirement 2060 Fund Class M5*
Sold		372,900		$	5,525,676			261,696		$	3,932,286
Issued as reinvestment of dividends		4,736			60,999			-			-
Redeemed		(73,818	)		(1,119,845	)		(62,667	)		(936,058	)
Net increase (decrease)		303,818		$	4,466,830			199,029		$	2,996,228
MM Select T. Rowe Price Retirement 2060 Fund Class M4*
Sold		466,616		$	6,922,722			290,964		$	4,360,979
Issued as reinvestment of dividends		5,689			73,216			-			-
Redeemed		(180,680	)		(2,654,505	)		(33,343	)		(502,926	)
Net increase (decrease)		291,625		$	4,341,433			257,621		$	3,858,053
MM Select T. Rowe Price Retirement 2060 Fund Class M3*
Sold		164,502		$	2,442,099			257,631		$	3,858,447
Issued as reinvestment of dividends		2,510			32,274			-			-
Redeemed		(85,177	)		(1,270,174	)		(117,648	)		(1,765,405	)
Net increase (decrease)		81,835		$	1,204,199			139,983		$	2,093,042

* Fund commenced operations on February 16, 2018.

81

Notes to Financial Statements (Continued)

6. Federal Income Tax Information

At September 30, 2019, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
MM Select T. Rowe Price Retirement Balanced Fund	$	157,364,931	$	1,751,085	$	(429,982	)	$	1,321,103
MM Select T. Rowe Price Retirement 2005 Fund		25,652,796		919,158		(48,559	)		870,599
MM Select T. Rowe Price Retirement 2010 Fund		131,856,829		2,956,951		(988,482	)		1,968,469
MM Select T. Rowe Price Retirement 2015 Fund		128,608,969		2,747,031		(257,618	)		2,489,413
MM Select T. Rowe Price Retirement 2020 Fund		679,534,874		19,603,008		(6,074,666	)		13,528,342
MM Select T. Rowe Price Retirement 2025 Fund		489,257,558		16,460,240		(2,864,833	)		13,595,407
MM Select T. Rowe Price Retirement 2030 Fund		1,111,910,933		43,342,241		(12,940,426	)		30,401,815
MM Select T. Rowe Price Retirement 2035 Fund		438,163,318		16,922,809		(3,261,673	)		13,661,136
MM Select T. Rowe Price Retirement 2040 Fund		820,084,793		36,115,605		(10,189,617	)		25,925,988
MM Select T. Rowe Price Retirement 2045 Fund		318,695,990		13,550,156		(2,787,938	)		10,762,218
MM Select T. Rowe Price Retirement 2050 Fund		489,592,305		21,331,042		(5,414,674	)		15,916,368
MM Select T. Rowe Price Retirement 2055 Fund		161,067,779		7,011,640		(1,301,464	)		5,710,176
MM Select T. Rowe Price Retirement 2060 Fund		32,828,235		1,086,891		(12,981	)		1,073,910

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At September 30, 2019, for federal income tax purposes, there were no unused capital losses.

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2019, was as follows:

	Ordinary Income		Long Term Capital Gain
MM Select T. Rowe Price Retirement Balanced Fund	$	1,191,850	$	-
MM Select T. Rowe Price Retirement 2005 Fund		391,589		-
MM Select T. Rowe Price Retirement 2010 Fund		2,896,146		-
MM Select T. Rowe Price Retirement 2015 Fund		2,545,686		-
MM Select T. Rowe Price Retirement 2020 Fund		12,758,784		-
MM Select T. Rowe Price Retirement 2025 Fund		7,086,244		-
MM Select T. Rowe Price Retirement 2030 Fund		16,409,012		210,095
MM Select T. Rowe Price Retirement 2035 Fund		5,172,443		154,082
MM Select T. Rowe Price Retirement 2040 Fund		9,234,641		826,041
MM Select T. Rowe Price Retirement 2045 Fund		2,985,113		323,040
MM Select T. Rowe Price Retirement 2050 Fund		4,971,195		528,738
MM Select T. Rowe Price Retirement 2055 Fund		1,459,059		144,306
MM Select T. Rowe Price Retirement 2060 Fund		218,078		25,658

82

Notes to Financial Statements (Continued)

The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2019:

	Amount
MM Select T. Rowe Price Retirement Balanced Fund	$	10,565
MM Select T. Rowe Price Retirement 2005 Fund		3,718
MM Select T. Rowe Price Retirement 2010 Fund		35,390
MM Select T. Rowe Price Retirement 2015 Fund		37,091
MM Select T. Rowe Price Retirement 2020 Fund		244,816
MM Select T. Rowe Price Retirement 2025 Fund		168,247
MM Select T. Rowe Price Retirement 2030 Fund		496,763
MM Select T. Rowe Price Retirement 2035 Fund		188,538
MM Select T. Rowe Price Retirement 2040 Fund		414,567
MM Select T. Rowe Price Retirement 2045 Fund		148,187
MM Select T. Rowe Price Retirement 2050 Fund		249,907
MM Select T. Rowe Price Retirement 2055 Fund		71,072
MM Select T. Rowe Price Retirement 2060 Fund		9,768

Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2019, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.

At September 30, 2019, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)		Other Temporary Differences			Unrealized Appreciation (Depreciation)
MM Select T. Rowe Price Retirement Balanced Fund	$	43,653	$	1,104,957	$	(1,355	)	$	1,321,103
MM Select T. Rowe Price Retirement 2005 Fund		94,227		383,014		(339	)		870,599
MM Select T. Rowe Price Retirement 2010 Fund		231,674		3,284,450		(2,705	)		1,968,469
MM Select T. Rowe Price Retirement 2015 Fund		202,708		2,818,157		(2,170	)		2,489,413
MM Select T. Rowe Price Retirement 2020 Fund		451,469		14,624,955		(15,246	)		13,528,342
MM Select T. Rowe Price Retirement 2025 Fund		183,572		7,648,429		(8,409	)		13,595,407
MM Select T. Rowe Price Retirement 2030 Fund		-		16,371,077		(23,192	)		30,401,815
MM Select T. Rowe Price Retirement 2035 Fund		-		4,916,666		(7,556	)		13,661,136
MM Select T. Rowe Price Retirement 2040 Fund		-		7,095,641		(16,964	)		25,925,988
MM Select T. Rowe Price Retirement 2045 Fund		-		2,274,487		(5,811	)		10,762,218
MM Select T. Rowe Price Retirement 2050 Fund		-		3,500,329		(9,714	)		15,916,368
MM Select T. Rowe Price Retirement 2055 Fund		-		1,085,265		(2,835	)		5,710,176
MM Select T. Rowe Price Retirement 2060 Fund		-		189,606		(329	)		1,073,910

83

Notes to Financial Statements (Continued)

During the year ended September 30, 2019, the following amounts were reclassified due to permanent differences between book and tax accounting:

	Paid-in Capital			Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
MM Select T. Rowe Price Retirement Balanced Fund	$	1		$	(61,719	)	$	61,718
MM Select T. Rowe Price Retirement 2005 Fund		-			(25,926	)		25,926
MM Select T. Rowe Price Retirement 2010 Fund		(2	)		(225,329	)		225,331
MM Select T. Rowe Price Retirement 2015 Fund		2			(211,478	)		211,476
MM Select T. Rowe Price Retirement 2020 Fund		14			(1,261,879	)		1,261,865
MM Select T. Rowe Price Retirement 2025 Fund		7			(795,464	)		795,457
MM Select T. Rowe Price Retirement 2030 Fund		21			(2,463,782	)		2,463,761
MM Select T. Rowe Price Retirement 2035 Fund		6			(976,643	)		976,637
MM Select T. Rowe Price Retirement 2040 Fund		15			(2,452,086	)		2,452,071
MM Select T. Rowe Price Retirement 2045 Fund		5			(889,351	)		889,346
MM Select T. Rowe Price Retirement 2050 Fund		10			(1,480,057	)		1,480,047
MM Select T. Rowe Price Retirement 2055 Fund		2			(423,821	)		423,819
MM Select T. Rowe Price Retirement 2060 Fund		1			(65,605	)		65,604

The Funds did not have any unrecognized tax benefits at September 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended September 30, 2019, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended September 30, 2019, was as follows:

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement Balanced Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	6,769,252	$	23,143,258	$	(2,425,787	)	$	929,988		$	33,179		$	28,449,890		2,686,486	$	245,950	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		1,251,384		4,764,194		(355,329	)		(3,999	)		(7,880	)		5,648,370		570,542		50,124		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		3,937,110		16,033,848		(936,657	)		(83,659	)		(108,369	)		18,842,273		1,998,120		71,537		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		10,526,492		38,836,455		(2,965,192	)		326,716			35,966			46,760,437		4,553,110		239,462		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		305,839		1,124,724		(61,114	)		(5,486	)		(382	)		1,363,581		130,113		5,781		137
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		2,387,384		8,812,039		(493,948	)		(73,383	)		27,482			10,659,574		931,781		9,006		36,327
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		947,987		3,330,421		(576,482	)		421,606			65,087			4,188,619		341,928		21,672		-
MM S&P 500 Index Fund, Class I		6,657,624		27,623,826		(2,377,321	)		(30,307	)		(199,469	)		31,674,353		1,767,542		136,360		935,534
	$	32,783,072	$	123,668,765	$	(10,191,830	)	$	1,481,476		$	(154,386	)	$	147,587,097			$	779,892	$	971,998

84

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2005 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	4,383,676	$	4,640,169	$	(2,363,354	)	$	401,462		$	34,982		$	7,096,935		670,154	$	136,017	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		835,375		988,469		(435,615	)		50,267			2,210			1,440,706		145,526		27,939		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		1,666,828		2,000,584		(890,772	)		121,061			(74,871	)		2,822,830		299,346		25,176		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		2,851,208		3,305,552		(1,364,533	)		92,149			9,087			4,893,463		476,481		57,917		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		122,871		131,501		(55,571	)		6,125			(1,369	)		203,557		19,423		1,990		47
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		972,247		988,252		(438,026	)		55,074			10,155			1,587,702		138,785		3,102		12,512
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		602,317		639,065		(392,607	)		156,173			21,192			1,026,140		83,767		11,550		-
MM S&P 500 Index Fund, Class I		2,713,859		3,566,221		(1,482,099	)		97,747			(108,232	)		4,787,496		267,159		47,538		326,148
	$	14,148,381	$	16,259,813	$	(7,422,577	)	$	980,058		$	(106,846	)	$	23,858,829			$	311,229	$	338,707
MM Select T. Rowe Price Retirement 2010 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	23,085,691	$	17,082,534	$	(8,963,115	)	$	1,967,861		$	140,061		$	33,313,032		3,145,707	$	1,043,497	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		4,275,909		3,274,094		(1,261,770	)		237,304			(30,367	)		6,495,170		656,078		210,961		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		10,642,086		9,499,286		(3,512,099	)		196,836			(424,368	)		16,401,741		1,739,315		239,635		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		14,386,117		11,628,230		(4,345,658	)		340,377			38,935			22,048,001		2,146,836		413,515		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		806,205		548,536		(194,263	)		(729	)		(2,462	)		1,157,287		110,428		18,972		450
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		6,330,975		4,317,475		(1,554,117	)		(3,522	)		78,521			9,169,332		801,515		29,487		118,949
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		3,414,299		2,389,359		(1,670,385	)		879,620			155,980			5,168,873		421,949		95,060		-
MM S&P 500 Index Fund, Class I		17,633,191		17,723,301		(5,840,743	)		(1,476,787	)		(563,811	)		27,475,151		1,533,212		451,489		3,097,574
	$	80,574,473	$	66,462,815	$	(27,342,150	)	$	2,140,960		$	(607,511	)	$	121,228,587			$	2,502,616	$	3,216,973
MM Select T. Rowe Price Retirement 2015 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	24,008,308	$	13,326,808	$	(9,331,615	)	$	1,737,681		$	54,014		$	29,795,196		2,813,522	$	859,947	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		4,310,818		2,263,022		(1,024,254	)		219,853			(41,513	)		5,727,926		578,578		168,815		-

85

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2015 Fund (Continued)
MassMutual Select T. Rowe Price International Equity Fund, Class I	$	14,129,856	$	9,205,817	$	(4,699,543	)	$	523,871		$	(567,580	)	$	18,592,421		1,971,625	$	251,157	$	-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		5,870,561		3,161,206		(1,742,742	)		400,204			51,824			7,741,053		681,431		49,126		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		12,781,451		8,366,437		(3,640,307	)		300,707			26,067			17,834,355		1,736,549		290,059		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		1,068,411		537,274		(268,464	)		10,656			(2,701	)		1,345,176		128,356		20,039		475
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		8,428,714		4,183,878		(2,204,768	)		86,193			85,277			10,579,294		924,763		31,081		125,372
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		3,838,302		1,870,539		(1,662,084	)		822,781			113,665			4,983,203		406,792		83,721		-
MM S&P 500 Index Fund, Class I		17,478,281		13,193,786		(5,900,030	)		(789,025	)		(580,217	)		23,402,795		1,305,960		354,067		2,429,182
	$	91,914,702	$	56,108,767	$	(30,473,807	)	$	3,312,921		$	(861,164	)	$	120,001,419			$	2,108,012	$	2,555,029
MM Select T. Rowe Price Retirement 2020 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	119,200,639	$	41,275,145	$	(28,972,260	)	$	8,342,498		$	85,748		$	139,931,770		13,213,576	$	4,234,441	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		20,185,026		7,453,618		(2,655,646	)		887,583			(75,959	)		25,794,622		2,605,517		798,762		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		96,680,454		39,605,657		(16,606,589	)		671,984			(2,100,795	)		118,250,711		12,539,842		1,657,723		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		64,437,886		18,044,044		(12,299,976	)		3,247,816			374,844			73,804,614		6,496,885		531,830		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		44,122,611		20,705,556		(6,272,321	)		976,196			44,860			59,576,902		5,801,062		987,108		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		7,415,860		2,121,142		(819,305	)		7,884			(18,683	)		8,706,898		830,811		137,460		3,261
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		56,660,113		16,833,579		(7,512,089	)		263,460			275,439			66,520,502		5,814,729		208,379		840,552
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		21,100,486		5,549,531		(5,874,479	)		4,451,419			482,889			25,709,846		2,098,763		453,531		-
MM S&P 500 Index Fund, Class I		95,792,642		52,093,168		(14,978,489	)		(6,593,819	)		(1,700,672	)		124,612,830		6,953,841		1,904,479		13,066,242
	$	525,595,717	$	203,681,440	$	(95,991,154	)	$	12,255,021		$	(2,632,329	)	$	642,908,695			$	10,913,713	$	13,910,055
MM Select T. Rowe Price Retirement 2025 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	60,576,829	$	34,883,146	$	(13,635,714	)	$	5,026,902		$	28,709		$	86,879,872		8,203,954	$	2,177,729	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		9,580,175		5,676,034		(555,555	)		471,713			(26,565	)		15,145,802		1,529,879		387,665		-

86

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2025 Fund (Continued)
MassMutual Select T. Rowe Price International Equity Fund, Class I	$	65,375,416	$	41,934,843	$	(7,600,300	)	$	737,786		$	(968,133	)	$	99,479,612		10,549,270	$	1,139,253	$	-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		61,319,559		31,726,945		(8,249,157	)		4,536,288			288,920			89,622,555		7,889,309		511,495		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		14,607,092		10,278,649		(1,780,778	)		416,221			16,135			23,537,319		2,291,852		327,784		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		4,961,437		2,572,622		(375,650	)		46,983			(9,690	)		7,195,702		686,613		93,706		2,223
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		38,353,505		20,165,429		(4,396,483	)		827,847			230,241			55,180,539		4,823,474		143,580		579,170
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		11,956,625		5,631,010		(2,817,035	)		2,957,817			227,845			17,956,262		1,465,817		261,048		-
MM S&P 500 Index Fund, Class I		47,755,454		37,688,156		(5,925,492	)		(2,684,879	)		(474,129	)		76,359,110		4,261,111		965,082		6,621,228
	$	314,486,092	$	190,556,834	$	(45,336,164	)	$	12,336,678		$	(686,667	)	$	471,356,773			$	6,007,342	$	7,202,621
MM Select T. Rowe Price Retirement 2030 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	130,719,421	$	46,803,660	$	(26,113,879	)	$	9,651,688		$	(97,695	)	$	160,963,195		15,199,546	$	4,680,449	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		19,337,847		7,508,809		(1,100,717	)		859,672			(33,931	)		26,571,680		2,684,008		782,888		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		190,968,950		81,836,706		(17,912,506	)		(125,630	)		(2,193,468	)		252,574,052		26,784,099		3,363,737		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		213,583,602		71,476,527		(20,196,297	)		13,808,646			797,354			279,469,832		24,601,218		1,814,687		-
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I		17,229,590		10,765,203		(4,025,709	)		412,923			12,379			24,394,386		2,375,305		357,767		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		14,589,702		4,540,467		(757,519	)		36,699			(17,740	)		18,391,609		1,754,925		278,391		6,604
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		113,209,726		35,713,250		(10,088,529	)		1,100,721			515,580			140,450,748		12,277,163		424,923		1,714,040
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		28,860,169		7,923,938		(6,271,342	)		6,527,608			459,988			37,500,361		3,061,254		630,051		-
MM S&P 500 Index Fund, Class I		103,737,965		55,920,492		(8,417,388	)		(8,210,166	)		(748,872	)		142,282,031		7,939,845		2,100,204		14,409,068
	$	832,236,972	$	322,489,052	$	(94,883,886	)	$	24,062,161		$	(1,306,405	)	$	1,082,597,894			$	14,433,097	$	16,129,712
MM Select T. Rowe Price Retirement 2035 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	37,343,985	$	19,844,107	$	(8,377,135	)	$	2,985,157		$	4,906		$	51,801,020		4,891,503	$	1,308,892	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		4,834,842		2,790,819		(254,517	)		240,581			(8,295	)		7,603,430		768,023		200,313		-

87

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2035 Fund (Continued)
MassMutual Select T. Rowe Price International Equity Fund, Class I	$	74,800,760	$	42,475,923	$	(7,327,990	)	$	457,504		$	(908,460	)	$	109,497,737		11,611,637	$	1,276,649	$	-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		93,866,447		44,515,601		(9,617,249	)		6,946,614			401,087			136,112,500		11,981,734		763,876		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		5,634,112		2,618,838		(364,759	)		47,560			(6,360	)		7,929,391		756,621		105,033		2,492
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		43,720,393		20,298,202		(4,183,379	)		860,562			247,975			60,943,753		5,327,251		160,418		647,090
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		9,407,294		3,979,248		(2,390,260	)		2,201,538			175,902			13,373,722		1,091,732		198,538		-
MM S&P 500 Index Fund, Class I		29,773,132		21,048,193		(2,039,601	)		(1,920,601	)		(190,007	)		46,671,116		2,604,415		601,229		4,124,907
	$	299,380,965	$	157,570,931	$	(34,554,890	)	$	11,818,915		$	(283,252	)	$	433,932,669			$	4,614,948	$	4,774,489
MM Select T. Rowe Price Retirement 2040 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	55,978,091	$	23,923,644	$	(13,643,114	)	$	4,174,394		$	(150,146	)	$	70,282,869		6,636,720	$	2,049,239	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		5,944,172		3,073,482		(233,098	)		297,497			(12,975	)		9,069,078		916,069		261,569		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		162,482,411		69,934,099		(12,037,181	)		(414,282	)		(1,566,589	)		218,398,458		23,159,964		2,807,158		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		220,553,109		79,925,219		(18,502,730	)		14,935,956			368,890			297,280,444		26,169,053		1,833,845		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		12,218,231		4,170,402		(595,798	)		44,545			(18,427	)		15,818,953		1,509,442		232,510		5,515
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		94,499,261		32,641,110		(6,829,384	)		1,258,417			273,925			121,843,329		10,650,641		353,865		1,427,411
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		17,040,931		5,483,629		(4,733,239	)		3,722,917			328,500			21,842,738		1,783,081		369,088		-
MM S&P 500 Index Fund, Class I		47,725,041		27,504,430		(3,220,716	)		(3,895,506	)		(262,198	)		67,851,051		3,786,331		963,634		6,611,291
	$	616,441,247	$	246,656,015	$	(59,795,260	)	$	20,123,938		$	(1,039,020	)	$	822,386,920			$	8,870,908	$	8,044,217
MM Select T. Rowe Price Retirement 2045 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	15,935,034	$	7,888,795	$	(5,065,689	)	$	1,149,804		$	(36,928	)	$	19,871,016		1,876,394	$	540,916	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		1,406,986		783,677		(59,016	)		70,907			(2,598	)		2,199,956		222,218		59,861		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		59,000,756		34,965,202		(4,708,430	)		242,786			(620,993	)		88,879,321		9,425,167		1,003,417		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		82,705,374		43,063,962		(6,281,271	)		6,573,003			221,555			126,282,623		11,116,428		680,144		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		4,420,802		2,178,160		(245,459	)		36,252			(6,757	)		6,382,998		609,065		82,421		1,955

88

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2045 Fund (Continued)
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I	$	33,951,242	$	17,268,499	$	(2,784,152	)	$	763,580		$	143,453		$	49,342,622		4,313,166	$	126,093	$	508,630
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		5,232,705		2,156,633		(1,627,543	)		1,145,829			116,829			7,024,453		573,425		108,778		-
MM S&P 500 Index Fun, Class I		14,894,150		10,165,922		(1,418,032	)		(983,491	)		(87,076	)		22,571,473		1,259,569		286,480		1,965,487
	$	217,547,049	$	118,470,850	$	(22,189,592	)	$	8,998,670		$	(272,515	)	$	322,554,462			$	2,888,110	$	2,476,072
MM Select T. Rowe Price Retirement 2050 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	25,893,852	$	10,294,863	$	(7,960,925	)	$	1,781,381		$	(86,728	)	$	29,922,443		2,825,538	$	910,108	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		2,315,924		1,245,157		(140,571	)		117,134			(5,560	)		3,532,084		356,776		101,078		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		97,388,917		48,029,041		(7,675,193	)		11,741			(1,080,767	)		136,673,739		14,493,504		1,692,194		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		135,678,775		57,882,621		(9,738,730	)		9,802,747			90,829			193,716,242		17,052,486		1,146,539		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		7,261,116		2,900,303		(395,753	)		37,608			(16,208	)		9,787,066		933,880		139,134		3,300
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		55,775,882		23,564,451		(4,344,720	)		982,358			101,659			76,079,630		6,650,317		212,612		857,629
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		8,558,800		2,804,084		(2,555,431	)		1,822,251			158,799			10,788,503		880,694		183,362		-
MM S&P 500 Index Fund, Class I		24,440,008		14,199,604		(2,012,845	)		(1,882,687	)		(190,887	)		34,553,193		1,928,192		482,105		3,307,623
	$	357,313,274	$	160,920,124	$	(34,824,168	)	$	12,672,533		$	(1,028,863	)	$	495,052,900			$	4,867,132	$	4,168,552
MM Select T. Rowe Price Retirement 2055 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	7,522,214	$	3,882,529	$	(2,094,326	)	$	568,196		$	(20,786	)	$	9,857,827		930,862	$	258,706	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		674,452		422,620		(17,287	)		35,156			(755	)		1,114,186		112,544		28,698		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		28,739,783		18,652,701		(2,041,021	)		168,680			(237,243	)		45,282,900		4,802,004		481,248		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		39,911,624		23,121,070		(2,781,345	)		3,347,041			131,220			63,729,610		5,610,001		325,777		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		2,132,245		1,171,327		(92,491	)		23,131			(656	)		3,233,556		308,545		39,522		937
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		16,650,929		9,133,280		(1,178,905	)		430,284			76,221			25,111,809		2,195,088		61,009		246,098
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		2,513,455		1,247,436		(830,508	)		572,841			53,760			3,556,984		290,366		52,003		-
MM S&P 500 Index Fund, Class I		7,093,295		5,175,479		(408,183	)		(437,725	)		(27,715	)		11,395,151		635,890		137,587		943,954
	$	105,237,997	$	62,806,442	$	(9,444,066	)	$	4,707,604		$	(25,954	)	$	163,282,023			$	1,384,550	$	1,190,989

89

Notes to Financial Statements (Continued)

	Beginning Value as of 9/30/18		Purchases		Sales			Change in Unrealized Appreciation/ Depreciation			Net Realized Gain (Loss)			Value as of 9/30/19		Number of Shares Held as of 9/30/19		Dividend Income		Realized Gains Distributions
MM Select T. Rowe Price Retirement 2060 Fund
MassMutual Select T. Rowe Price Bond Asset Fund, Class I	$	890,922	$	1,428,506	$	(413,005	)	$	97,098		$	(145	)	$	2,003,376		189,176	$	35,983	$	-
MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I		80,222		160,857		(17,299	)		5,612			(478	)		228,914		23,123		3,833		-
MassMutual Select T. Rowe Price International Equity Fund, Class I		3,404,245		6,521,631		(858,415	)		191,933			(104,273	)		9,155,121		970,851		66,139		-
MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I		4,720,644		8,776,447		(1,077,813	)		597,423			34,823			13,051,524		1,148,902		44,683		-
MassMutual Select T. Rowe Price Real Assets Fund, Class I		250,510		456,953		(53,994	)		8,424			(703	)		661,190		63,091		5,391		128
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I		1,984,550		3,481,460		(437,727	)		104,028			19,813			5,152,124		450,360		8,334		33,619
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, Class I		294,744		479,799		(159,997	)		97,671			10,638			722,855		59,009		7,154		-
MM S&P 500 Index Fund, Class I		835,739		1,694,212		(192,090	)		(8,737	)		(19,787	)		2,309,337		128,869		18,948		129,991
	$	12,461,576	$	22,999,865	$	(3,210,340	)	$	1,093,452		$	(60,112	)	$	33,284,441			$	190,465	$	163,738

8. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

9. Subsequent Events

In preparation of these financial statements, management has evaluated the events and transactions subsequent to September 30, 2019, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.

Effective October 18, 2019, MML Advisers has agreed to cap the fees and expenses of the following Funds (other than extraordinary litigation and legal expenses, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) through January 31, 2021, to the extent that Total Annual Fund Operating Expenses after Expense Reimbursement would otherwise exceed the following amounts:

	Class I			Class M5			Class M4			Class M3
MM Select T. Rowe Price Retirement 2005 Fund		0.37	%		0.52	%		0.77	%		1.02	%
MM Select T. Rowe Price Retirement 2010 Fund		0.37	%		0.52	%		0.77	%		1.02	%
MM Select T. Rowe Price Retirement 2015 Fund		0.40	%		0.55	%		0.80	%		1.05	%
MM Select T. Rowe Price Retirement 2020 Fund		0.43	%		0.58	%		0.83	%		1.08	%

90

Notes to Financial Statements (Continued)

	Class I			Class M5			Class M4			Class M3
MM Select T. Rowe Price Retirement 2025 Fund		0.47	%		0.62	%		0.87	%		1.12	%
MM Select T. Rowe Price Retirement 2030 Fund		0.50	%		0.65	%		0.90	%		1.15	%
MM Select T. Rowe Price Retirement 2035 Fund		0.52	%		0.67	%		0.92	%		1.17	%
MM Select T. Rowe Price Retirement 2040 Fund		0.54	%		0.69	%		0.94	%		1.19	%
MM Select T. Rowe Price Retirement 2045 Fund		0.55	%		0.70	%		0.95	%		1.20	%
MM Select T. Rowe Price Retirement 2050 Fund		0.55	%		0.70	%		0.95	%		1.20	%
MM Select T. Rowe Price Retirement 2055 Fund		0.55	%		0.70	%		0.95	%		1.20	%

91

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of the MassMutual Select Funds and Shareholders of MassMutual Select T. Rowe Price Retirement Balanced Fund, MassMutual Select T. Rowe Price Retirement 2005 Fund, MassMutual Select T. Rowe Price Retirement 2010 Fund, MassMutual Select T. Rowe Price Retirement 2015 Fund, MassMutual Select T. Rowe Price Retirement 2020 Fund, MassMutual Select T. Rowe Price Retirement 2025 Fund, MassMutual Select T. Rowe Price Retirement 2030 Fund, MassMutual Select T. Rowe Price Retirement 2035 Fund, MassMutual Select T. Rowe Price Retirement 2040 Fund, MassMutual Select T. Rowe Price Retirement 2045 Fund, MassMutual Select T. Rowe Price Retirement 2050 Fund, MassMutual Select T. Rowe Price Retirement 2055 Fund, and MassMutual Select T. Rowe Price Retirement 2060 Fund (collectively, the “Funds”):

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments, as of September 30, 2019, the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year then ended and for the period February 16, 2018 (commencement of operations) through September 30, 2018, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2019, the results of their operations for the year then ended, and the changes in their net assets and financial highlights for the year then ended and for the period February 16, 2018 (commencement of operations) through September 30, 2018, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2019, by correspondence with transfer agents; when replies were not received from transfer agents, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

November 26, 2019

We have served as the auditor of one or more MassMutual investment companies since 1995.

92

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.

Independent Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Allan W. Blair Age: 71	Trustee	Since 2003	Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company).	109	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 61	Trustee	Since 2012	Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC).	109	Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 65	Trustee	Since 2012	Retired.	109	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
R. Alan Hunter, Jr. Age: 72	Chairperson Trustee	Since 2016 Since 2003	Retired.	109	Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

93

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
C. Ann Merrifield Age: 68	Trustee	Since 2012	Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company).	109	Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 67	Trustee	Since 2009	Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company).	111^	Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Teresa Hassara^^ Age: 57	Trustee	Since 2017	Director (since 2017), MML Advisers; Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF.	109	Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company).

94

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^^ Age: 74	Trustee	Since 2003	Retired.	111^	Director (since 2018), Jefferies Financial Group Inc. (holding company); Director (2013-2018), Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technologies, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Principal Officers who are not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Joseph Fallon Age: 44	Vice President Assistant Vice President	Since 2017 2015- 2017	Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company).	109
Andrew M. Goldberg Age: 53	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 2001- 2008	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	109
Renee Hitchcock Age: 48	Chief Financial Officer and Treasurer Assistant Treasurer	Since 2016 2007- 2016	Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company).	109

95

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Jill Nareau Robert Age: 47	Vice President and Assistant Secretary Assistant Secretary	Since 2017 2008- 2017	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company).	109
Douglas Steele Age: 44	Vice President	Since 2016	Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company).	109
Philip S. Wellman Age: 55	Vice President and Chief Compliance Officer	Since 2007	Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds & RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	109
Eric H. Wietsma Age: 53	President Vice President	Since 2008 2006- 2008	President (2013-2018, since 2019), Vice President (2018-2019), Director (since 2013), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2019), Vice President (2006-2019), MML Series Investment Fund (open-end investment company); President (since 2019), Vice President (2006-2019), MML Series Investment Fund II (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	109

* The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees.

^ Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers.

^^ Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

^^^ Mr. Joyal is an Interested Person through his position as a director of Jefferies Financial Group Inc., which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion.

# The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees.

96

Federal Tax Information (Unaudited)

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2019, qualified for the dividends received deduction, as follows:

	Dividends Received Deductions
MM Select T. Rowe Price Retirement Balanced Fund		12.49%
MM Select T. Rowe Price Retirement 2005 Fund		10.99%
MM Select T. Rowe Price Retirement 2010 Fund		16.46%
MM Select T. Rowe Price Retirement 2015 Fund		15.16%
MM Select T. Rowe Price Retirement 2020 Fund		17.52%
MM Select T. Rowe Price Retirement 2025 Fund		17.03%
MM Select T. Rowe Price Retirement 2030 Fund		17.57%
MM Select T. Rowe Price Retirement 2035 Fund		17.23%
MM Select T. Rowe Price Retirement 2040 Fund		17.23%
MM Select T. Rowe Price Retirement 2045 Fund		17.03%
MM Select T. Rowe Price Retirement 2050 Fund		17.21%
MM Select T. Rowe Price Retirement 2055 Fund		16.79%
MM Select T. Rowe Price Retirement 2060 Fund		15.62%

For the year ended September 30, 2019, the following Fund(s) earned the following foreign sources of income:

	Amount
MM Select T. Rowe Price Retirement Balanced Fund	$	138,497
MM Select T. Rowe Price Retirement 2005 Fund		48,741
MM Select T. Rowe Price Retirement 2010 Fund		463,937
MM Select T. Rowe Price Retirement 2015 Fund		486,243
MM Select T. Rowe Price Retirement 2020 Fund		3,209,374
MM Select T. Rowe Price Retirement 2025 Fund		2,205,610
MM Select T. Rowe Price Retirement 2030 Fund		6,512,240
MM Select T. Rowe Price Retirement 2035 Fund		2,471,609
MM Select T. Rowe Price Retirement 2040 Fund		5,434,697
MM Select T. Rowe Price Retirement 2045 Fund		1,942,629
MM Select T. Rowe Price Retirement 2050 Fund		3,276,112
MM Select T. Rowe Price Retirement 2055 Fund		931,703
MM Select T. Rowe Price Retirement 2060 Fund		128,047

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2019:

	Qualified Dividend Income
MM Select T. Rowe Price Retirement Balanced Fund	$	236,245
MM Select T. Rowe Price Retirement 2005 Fund		82,974
MM Select T. Rowe Price Retirement 2010 Fund		782,403
MM Select T. Rowe Price Retirement 2015 Fund		695,345
MM Select T. Rowe Price Retirement 2020 Fund		4,137,589
MM Select T. Rowe Price Retirement 2025 Fund		2,482,406
MM Select T. Rowe Price Retirement 2030 Fund		6,539,347
MM Select T. Rowe Price Retirement 2035 Fund		2,273,856
MM Select T. Rowe Price Retirement 2040 Fund		4,623,160
MM Select T. Rowe Price Retirement 2045 Fund		1,590,113
MM Select T. Rowe Price Retirement 2050 Fund		2,680,712
MM Select T. Rowe Price Retirement 2055 Fund		763,890
MM Select T. Rowe Price Retirement 2060 Fund		104,914

97

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser uses to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

For periods ending on or after March 31, 2019, the Funds filed their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT will be available on the SEC’s EDGAR database on its website at http://www.sec.gov. For periods ending prior to March 31, 2019, this information was filed on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in May and June 2019, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or T. Rowe Price (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the MM Select T. Rowe Price Retirement Balanced Fund, MM Select T. Rowe Price Retirement 2005 Fund, MM Select T. Rowe Price Retirement 2010 Fund, MM Select T. Rowe Price Retirement 2015 Fund, MM Select T. Rowe Price Retirement 2020 Fund, MM Select T. Rowe Price Retirement 2025 Fund, MM Select T. Rowe Price Retirement 2030 Fund, MM Select T. Rowe Price Retirement 2035 Fund, MM Select T. Rowe Price Retirement 2040 Fund, MM Select T. Rowe Price Retirement 2045 Fund, MM Select T. Rowe Price Retirement 2050 Fund, MM Select T. Rowe Price Retirement 2055 Fund, and MM Select T. Rowe Price Retirement 2060 Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and T. Rowe Price provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third-Party Report provided detailed comparative advisory fee and total expense information for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and T. Rowe Price.

The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding Fund expenses, including, among other things, both the Fund’s net advisory fee and total net expense ratio against peer funds. In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s expenses and a recommendation as to the action to be taken by the Committee. The Committee noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (ii) a wide range of information about T. Rowe Price and its personnel with responsibility for providing services to the Funds and the fees payable to T. Rowe Price by MML Advisers. MML Advisers reviewed with the Committee in detail the work MML Advisers does in its oversight roles, the

98

Other Information (Unaudited) (Continued)

expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.

The Committee reviewed the expense information for each Fund.

The Committee considered that the total net expense ratios for twelve of the Funds were within the top twenty-five percent of their peer groups, and within the top thirty-five percent for the other Fund. In addition, since each Fund’s net advisory fee is zero, this placed their net advisory fees within the top one percent of their peers.

The Committee considered that all of the Funds had launched in February 2018 and therefore did not have sufficiently long performance histories for comparison.

The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting and during the course of the year, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of MML Advisers’ revenues from the Funds (including advisory fees and administrative and shareholder services fees, as applicable) and the expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and any so-called “fallout benefits” to MML Advisers (which were not considered to be substantial in any event), such as any reputational value derived from serving as investment adviser to the Funds.

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund and the subadvisory process; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the advisory agreements and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of T. Rowe Price generally appear well suited to the Funds, given their investment objectives and policies; and (iv) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.

99

Other Information (Unaudited) (Continued)

Fund Expenses September 30, 2019

Expense Examples:

The following information is in regards to expenses for the six months ended September 30, 2019:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended September 30, 2019.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM Select T. Rowe Price Retirement Balanced Fund
Class I	$	1,000		0.01	%	$	1,038.30	$	0.05	$	1,025.30	$	0.05
Class M5		1,000		0.16	%		1,037.50		0.83		1,024.50		0.82
Class M4		1,000		0.40	%		1,036.30		2.06		1,023.30		2.05
Class M3		1,000		0.66	%		1,035.70		3.40		1,022.00		3.38
MM Select T. Rowe Price Retirement 2005 Fund
Class I		1,000		0.02	%		1,041.70		0.10		1,025.20		0.10
Class M5		1,000		0.16	%		1,041.10		0.83		1,024.50		0.82
Class M4		1,000		0.42	%		1,039.80		2.17		1,023.20		2.15
Class M3		1,000		0.66	%		1,037.80		3.41		1,022.00		3.38

100

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM Select T. Rowe Price Retirement 2010 Fund
Class I	$	1,000		0.02	%	$	1,042.60	$	0.10	$	1,025.20	$	0.10
Class M5		1,000		0.16	%		1,041.90		0.83		1,024.50		0.82
Class M4		1,000		0.42	%		1,040.00		2.17		1,023.20		2.15
Class M3		1,000		0.66	%		1,038.60		3.41		1,022.00		3.38
MM Select T. Rowe Price Retirement 2015 Fund
Class I		1,000		0.02	%		1,042.70		0.10		1,025.20		0.10
Class M5		1,000		0.16	%		1,042.00		0.83		1,024.50		0.82
Class M4		1,000		0.41	%		1,040.70		2.12		1,023.30		2.10
Class M3		1,000		0.66	%		1,039.40		3.41		1,022.00		3.38
MM Select T. Rowe Price Retirement 2020 Fund
Class I		1,000		0.03	%		1,043.40		0.16		1,025.20		0.15
Class M5		1,000		0.17	%		1,042.80		0.88		1,024.50		0.87
Class M4		1,000		0.42	%		1,041.40		2.17		1,023.20		2.15
Class M3		1,000		0.67	%		1,039.40		3.46		1,021.90		3.43
MM Select T. Rowe Price Retirement 2025 Fund
Class I		1,000		0.02	%		1,043.40		0.10		1,025.20		0.10
Class M5		1,000		0.16	%		1,042.80		0.83		1,024.50		0.82
Class M4		1,000		0.42	%		1,041.40		2.17		1,023.20		2.15
Class M3		1,000		0.67	%		1,040.20		3.46		1,021.90		3.43
MM Select T. Rowe Price Retirement 2030 Fund
Class I		1,000		0.02	%		1,043.50		0.10		1,025.20		0.10
Class M5		1,000		0.16	%		1,042.10		0.83		1,024.50		0.82
Class M4		1,000		0.42	%		1,041.50		2.17		1,023.20		2.15
Class M3		1,000		0.66	%		1,039.50		3.41		1,022.00		3.38
MM Select T. Rowe Price Retirement 2035 Fund
Class I		1,000		0.03	%		1,042.80		0.16		1,025.20		0.15
Class M5		1,000		0.16	%		1,042.20		0.83		1,024.50		0.82
Class M4		1,000		0.41	%		1,040.20		2.12		1,023.30		2.10
Class M3		1,000		0.66	%		1,039.60		3.41		1,022.00		3.38
MM Select T. Rowe Price Retirement 2040 Fund
Class I		1,000		0.03	%		1,042.20		0.16		1,025.20		0.15
Class M5		1,000		0.16	%		1,041.60		0.83		1,024.50		0.82
Class M4		1,000		0.42	%		1,039.60		2.17		1,023.20		2.15
Class M3		1,000		0.66	%		1,038.90		3.41		1,022.00		3.38
MM Select T. Rowe Price Retirement 2045 Fund
Class I		1,000		0.02	%		1,041.60		0.10		1,025.20		0.10
Class M5		1,000		0.15	%		1,040.90		0.78		1,024.60		0.77
Class M4		1,000		0.40	%		1,039.60		2.07		1,023.30		2.05
Class M3		1,000		0.65	%		1,038.30		3.36		1,022.00		3.33

101

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM Select T. Rowe Price Retirement 2050 Fund
Class I	$	1,000		0.02	%	$	1,041.50	$	0.10	$	1,025.20	$	0.10
Class M5		1,000		0.15	%		1,040.90		0.78		1,024.60		0.77
Class M4		1,000		0.41	%		1,039.60		2.12		1,023.30		2.10
Class M3		1,000		0.65	%		1,037.60		3.36		1,022.00		3.33
MM Select T. Rowe Price Retirement 2055 Fund
Class I		1,000		0.02	%		1,041.60		0.10		1,025.20		0.10
Class M5		1,000		0.15	%		1,040.20		0.78		1,024.60		0.77
Class M4		1,000		0.40	%		1,039.60		2.07		1,023.30		2.05
Class M3		1,000		0.65	%		1,038.30		3.36		1,022.00		3.33
MM Select T. Rowe Price Retirement 2060 Fund
Class I		1,000		0.01	%		1,041.60		0.05		1,025.30		0.05
Class M5		1,000		0.15	%		1,040.30		0.78		1,024.60		0.77
Class M4		1,000		0.40	%		1,039.70		2.07		1,023.30		2.05
Class M3		1,000		0.65	%		1,038.40		3.36		1,022.00		3.33

* Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2019, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise.

102

Underwriter:

MML Distributors, LLC

100 Bright Meadow Blvd.

Enfield, Connecticut 06082-1981

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC RS-45699-01

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	5
Portfolio of Investments
MM Select Equity Asset Fund	29
MassMutual Select T. Rowe Price Bond Asset Fund	34
MassMutual Select T. Rowe Price Emerging Markets Bond Fund	61
MassMutual Select T. Rowe Price Large Cap Blend Fund	69
MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund	73
MassMutual Select T. Rowe Price Real Assets Fund	81
MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund	86
MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund	98
Statements of Assets and Liabilities	100
Statements of Operations	104
Statements of Changes in Net Assets	106
Financial Highlights	110
Notes to Financial Statements	118
Report of Independent Registered Public Accounting Firm	147
Trustees and Officers (Unaudited)	149
Federal Tax Information (Unaudited)	153
Other Information (Unaudited)
Proxy Voting	154
Quarterly Reporting	154
Trustees’ Approval of Investment Advisory Contracts	154
Fund Expenses	157

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the MM Select Equity Asset Fund, and MassMutual Select T. Rowe Price Funds, each a Series of the MassMutual Select Funds. Investors should consider a Fund’s investment objective, risks, and charges and expenses carefully before investing. This and other information about the investment company is available in the prospectus (or summary prospectus, if available). Read it carefully before investing.

Important Notice: Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer, bank, or retirement plan recordkeeper). Instead, the reports will be made available on the Fund’s website (http://www.massmutual.com/funds), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you would like to receive shareholder reports and other communications electronically from the Fund and are either a direct investor in the Fund or MassMutual serves as your retirement plan recordkeeper, please call (800) 767-1000 extension 43012 or send your request to enroll to RSProspectusFulfillment@massmutual.com. If you have invested in the Fund through another financial intermediary (such as a broker-dealer, bank, or retirement plan recordkeeper), you can request electronic delivery by contacting that financial intermediary. Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest directly with the MassMutual Funds or MassMutual serves as your retirement plan recordkeeper, you can call (800) 767-1000 extension 43012 or send an email request to RSProspectusFulfillment@massmutual.com to inform the Funds or MassMutual that you wish to continue receiving paper copies of your shareholder reports. If you invest through a financial intermediary other than MassMutual, you can contact that financial intermediary to request that you continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held within the fund complex if you invest directly with a Fund.

MM Select Equity Asset Fund and the MassMutual Select T. Rowe Price Funds – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that’s designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement.”

September 30, 2019

Despite economic slowdowns and political tensions, markets remained strong

I am pleased to present you with the MassMutual Annual Report for the MM Select Equity Asset Fund and the MassMutual Select T. Rowe Price Funds, covering the year ended September 30, 2019 (the “fiscal year” or the “period”). During the first three quarters of 2019, U.S. stocks experienced a good deal of volatility, as the White House led a protracted trade war against China, with tariffs being imposed on both sides. Nevertheless, total returns for domestic equities during the period were positive, although gains were more muted than in the prior fiscal year.

Recently, we have seen indications that the global economy appears to be slowing down. For example, Chinese industrial production dropped to its lowest level since 2002 in August 2019, while the country’s retail sales slowed by more than 2%. The European Union also showed signs of weakness, with the German economy contracting by 0.1% in the second quarter of 2019. Foreign stocks in developed markets trailed their domestic counterparts for the period and lost a bit of traction for the year, but generally outpaced their emerging-market competitors.

U.S. consumer spending, which is key for the U.S.’s consumption-led economy, remained a bright spot, as retail sales continued to post strong gains throughout the year. Nevertheless, the temporary inversion of the U.S. yield curve troubled investors. That is because historically, yield curve inversions, which occur when short-term interest rates are higher than their long-term counterparts, have often signaled an impending recession.

In a turnaround from 2018, bond investors in the United States experienced strong returns during fiscal year 2019, outperforming stocks for the first time in years. This was largely due to the U.S. Federal Reserve’s actions on interest rates, with its Federal Open Market Committee lowering rates twice in 2019 in an effort to stabilize the economy.

In MassMutual’s view, savvy retirement investors maintain a long-term perspective when planning for the future. As a result, they understand that current headlines ordinarily have limited impact on their retirement planning. We also believe that individuals who follow certain investment guidelines, such as the ones below, may help themselves prepare for a stronger financial future.

Suggestions for retirement investors under any market conditions

View time as your ally

Investing for retirement is a decades-long process for most people. The financial markets will be volatile from time to time, but many patient investors who have taken a long-term approach have managed to ride out the downturns and have successfully grown their account balances and reached their retirement goals over time.

Save as much as possible

Of course, you cannot control – or predict the direction of – the investment markets. But you can control how often and how much you contribute to your retirement savings account. Saving as much as possible and increasing your contributions regularly is one way smart retirement investors know they can help themselves reach their retirement income goals, regardless of how markets perform.

(Continued)

1

MM Select Equity Asset Fund and the MassMutual Select T. Rowe Price Funds – President’s Letter to Shareholders (Unaudited) (Continued)

Continue to invest

Seasoned investors believe that “down” markets offer the potential to be rewarded by amassing larger positions at more favorable prices, as compared to investors who do not continue to invest when the market is down. That is why many financial professionals believe it is important to stay in the market, regardless of near-term results.

Monitor your asset allocation and diversify*

Stocks, bonds, and short-term/money market investments typically behave differently from one another depending upon the economic and market environment. Those broad investment types contain an even greater array of sub-categories (such as small-cap stocks, international stocks, high-yield bonds, etc.). Many financial experts believe that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing investment types by maintaining a portfolio that includes a mix of investment types and sub-categories.

Choose the investments you feel are right for you – and seek professional guidance

Many financial advisors suggest that retirement savers who select an appropriate combination of investments that aligns with both their retirement income goals and how they feel about investing can help them withstand the inevitable ups and downs of the markets.

If you work with a financial professional, you may wish to consider reaching out to him or her to help ensure:

• you are saving enough for retirement;

• your retirement account is invested properly for all market conditions, based on your goals and objectives, as well as on your investment time horizon; and

• you are taking the right steps to help reduce your longevity risk, which is related to the chance that your retirement savings could “run out” during your lifetime.

Retirement is a moment you plan for

MassMutual believes that retirement planning is not about crunching numbers – it’s about those moments when it all pays off. The more you plan for life’s greatest moments, the more you can relax and enjoy them. That is why our ongoing commitment is to help people financially protect their families today, so they can put themselves on the path to a more secure retirement. When it comes to retirement planning, MassMutual focuses on the long term and encourages all retirement investors to do the same. We believe that those who invest with an approach that is designed to help their retirement savings withstand all market conditions have the potential to enjoy more financial security in retirement. Thank you for your continued confidence and trust in MassMutual.

Sincerely,

Eric Wietsma

President

* Diversification and asset allocation do not ensure a profit or protect against loss in a declining market.

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA. All rights reserved. www.massmutual.com Underwriter: MML Distributors, LLC (MMLD) Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 100 Bright Meadow Blvd., Enfield, CT 06082. MMLD is a wholly-owned subsidiary of MassMutual. Investment advisory services provided to the Funds by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of MassMutual. The information provided is the opinion of MML Advisers as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

2

MM Select Equity Asset Fund and the MassMutual Select T. Rowe Price Funds – Economic and Market Overview (Unaudited)

September 30, 2019

Market Highlights

• For the reporting period from October 1, 2018 through September 30, 2019, U.S. stocks ended slightly higher, though they hit record levels in late July.

• Global economic optimism faded during the period under the weight of global and domestic political tensions, mixed economic results, and the impact of existing tariffs and rhetoric threatening additional tariffs.

• The Federal Open Market Committee (FOMC), in response to slowing global growth, announced two rate decreases in 2019 after one rate hike in December 2018.

• Foreign stocks in developed markets and emerging markets saw losses over the reporting period, aggravated by a strengthening U.S. dollar.

• U.S. bond investors enjoyed positive returns in a falling yield environment fueled by rate decreases and supportive central bank policy.

Market Environment

U.S. equity investors watched stock markets move mostly sideways for the fiscal year beginning October 1, 2018. U.S. stocks fell sharply in the first quarter of the period, suffering their worst quarterly decline in nearly a decade. They rebounded during the remaining quarters and crossed into record territory in late July 2019, but succumbed to volatility and uncertainty fueled by slowing global economic growth indicators and ongoing trade war acrimony between the U.S. and China. Both the S&P 500^® Index* (S&P 500) and the Dow Jones Industrial Average^SM (Dow) ended the fiscal year only slightly ahead of where they started.

Global economic growth seemed to slow with less synchronized and more restrained economic indicators than in the recent past. The U.S. economy has shown signs that it may be in the late stages of the current business cycle. For example, a tightening labor market typically results in low unemployment rates, but tends to drive up wage growth, putting pressure on corporate earnings. Declining unemployment claims may point to a nearer-term plateau in employment growth. Mixed signals in housing data also tend to be consistent with late cycle trends. As a result, pundits’ speculation about recession has begun to emerge. Consensus still deems the risk of near-term recession to be low, but more possible than in recent years.

Global and domestic political tensions fueled market volatility throughout 2019. The U.S. threatened and imposed tariffs on Chinese goods, which prompted retaliatory responses from China. On-again, off-again trade talks added further turbulence. In Great Britain, negotiations for a Brexit deal broke down threatening a “no-deal” Brexit, which could create serious trade obstacles in Europe. (“Brexit” – an abbreviation for “British exit” – refers to the United Kingdom’s referendum to leave the European Union.) At the end of the reporting period, parties were no closer to a deal, despite the looming October 31, 2019 deadline. Domestically, political rancor between the White House and the Democratic-led House of Representatives culminated in a call for the launch of a formal impeachment inquiry at the end of September. There does not appear to be an end in sight for the current political battles.

With these various tensions at play, the FOMC not only halted their previously announced calendar of rate hikes, but tapped the brakes and reduced rates twice during the period. Bond investors enjoyed some of the best returns they have seen in recent years, as bond indexes generally outperformed stock indexes for the period.

The broad market S&P 500 delivered a modest 4.25% return for the fiscal year. The Dow followed a similar pattern to end the period with a 4.21% advance. The technology-heavy NASDAQ Composite Index, which led returns in the last fiscal year, rose just over one-half of one percent for the period. Small- and mid-cap stocks underperformed their larger peers, as small-caps lagged significantly. Growth stocks outperformed their value counterparts during the period, although value investors enjoyed a resurgence toward the end of the fiscal year.

3

MM Select Equity Asset Fund and the MassMutual Select T. Rowe Price Funds – Economic and Market Overview (Unaudited) (Continued)

Six of 11 sectors in the S&P 500 delivered positive returns for the reporting period, led by the utilities, real estate, and consumer staples sectors, which all enjoyed double-digit growth and beat the S&P 500. The energy sector was the worst laggard for the fiscal year. The financials, materials, industrials, and health care sectors also ended in negative territory.

Developed international markets, as measured by the MSCI EAFE^® Index, not only trailed their domestic peers during the period, but also ended the fiscal year in negative territory, down 1.34%. Developed international markets struggled to gain traction under the weight of a strengthening U.S. dollar, widespread local political issues, including floundering Brexit negotiations, and trade war rhetoric. Emerging-market stocks, as measured by the MSCI Emerging Markets Index, ended down 2.02% for the period.

Bond yields rose during the fiscal year, with the 10-year U.S. Treasury bond crossing the 3.00% threshold for a short period in November 2018 before dropping back to 1.68% at the close of the period. Falling yields generally produce rising bond prices; therefore, bond index returns benefited. The Bloomberg Barclays U.S. Aggregate Bond Index ended the period up 10.30%. High-yield corporate bonds did not fare as well, but ended in positive territory. The Bloomberg Barclays U.S. Corporate High Yield Index advanced 6.36% by the end of the fiscal year.

Review and maintain your strategy

At MassMutual, we help people look out for those they love. We believe planning and saving for retirement continues to be an important and urgent challenge for many of our customers. Investing in stock and bond mutual funds can play an important role in helping build a stable source of retirement income that allows investors the freedom to retire any way they’d like. Maintaining a long-term perspective and setting realistic expectations about the future performance of your investment portfolio is very important. Financial markets can behave unpredictably. Our multi-managed and subadvised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level in changing markets, with how long you have to save and invest, and with your specific financial goals and risk tolerance. Thank you for your confidence in MassMutual.

The information provided is the opinion of MML Investment Advisers, LLC as of 10/1/19 and is subject to change without notice. It is not to be construed as tax, legal, or investment advice. Of course, past performance does not guarantee future results.

* Indexes referenced, other than the MSCI Indexes, are unmanaged, do not incur fees, expenses, or taxes, and cannot be purchased directly for investment. The MSCI Indexes are unmanaged, do not incur fees or expenses, and cannot be purchased directly for investment.

4

MM Select Equity Asset Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MM Select Equity Asset Fund, and who is the Fund’s subadviser?

The Fund seeks to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard and Poor’s 500 Composite Stock Price Index (S&P 500^® Index*). Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities. The Fund’s subadviser is J.P. Morgan Investment Management Inc. (J.P. Morgan).

* The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MML Advisers. Standard & Poor’s^®, S&P^® and S&P 500^® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MML Advisers. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Index.

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 3.10%, underperforming the 4.25% return of the S&P 500 Index, (the “benchmark”), which measures the performance of 500 widely held stocks in the U.S. equity market.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Stock selection in the financials, materials, and media sectors detracted from the Fund’s performance during the reporting period. Within the energy sector, the Fund’s overweight allocation to EOG Resources, Inc., relative to the benchmark, weighed on returns. EOG Resources is a company engaged in hydrocarbon exploration. Sector-wide operational fears surrounding Concho Resources’ well spacing test, which indicated well spacing was too tight, drove the stock down. Investors’ bearish outlook on oil prices further hurt the stock. Within the information technology sector, an overweight position in Nvidia, which designs graphics processing units (GPUs) for the gaming and professional markets, detracted from performance after the company reported mixed first-quarter results and disappointing forward guidance.

Stock selection in the information technology, industrial, and utilities sectors contributed to performance. Within the information technology sector, the Fund’s overweight position in software giant Microsoft helped performance, as the stock outperformed the market due to strong fundamentals across all segments. Commercial cloud growth drove the strong quarterly earnings and the company increased its revenue guidance. The Fund’s overweight stake in Analog Devices also contributed to performance. Despite weakness in the semiconductor market due to trade-related concerns, the company remained strong as a well-diversified competitor. Within the pharmaceutical/medical technology sectors, the Fund’s underweight stake in AbbVie boosted returns. The stock price of the biopharmaceutical company struggled during the reporting period due to scrutiny of its Humira business, as the introduction of biosimilars has hurt sales in Europe even more than expected.

Derivatives may be used as substitutes for securities in which the Fund can invest. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both. The Fund may use futures contracts to more effectively gain targeted equity exposure from its cash positions. Derivative usage did not have a material effect on the Fund’s performance during the reporting period.

Subadviser outlook

Fund management continues to focus on the fundamentals of the economy and company earnings. J.P. Morgan’s Core analysts’ estimate for S&P 500 earnings currently projects 2% growth for 2019 and 9% growth for 2020. While subject to revision, this forecast reflects their expectations for modest expansion in the underlying economy and includes their best analysis of earnings

5

MM Select Equity Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

expectations for the coming year. In Fund management’s view, the implications of trade talks will be integral to investor sentiment and could continue to contribute to uncertainty moving forward.

While Fund management believes healthy corporate profits could continue to be supportive of the equity market, Fund management is monitoring the incremental risks that could represent headwinds for U.S. stocks. In particular, they continue to watch closely the state of trade relations, movements in global economic growth, and the implications of Federal Reserve policy, all of which they believe have the potential to heighten volatility.

MM Select Equity Asset Fund Largest Holdings (% of Net Assets) on 9/30/19
Microsoft Corp.	5.3	%
Apple, Inc.	4.2	%
Amazon.com, Inc.	3.3	%
Mastercard, Inc. Class A	1.9	%
Alphabet, Inc. Class A	1.8	%
Alphabet, Inc. Class C	1.7	%
Comcast Corp. Class A	1.6	%
Berkshire Hathaway, Inc. Class B	1.6	%
Chevron Corp.	1.6	%
The Coca-Cola Co.	1.5	%
	24.5	%

MM Select Equity Asset Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	21.6	%
Financial	18.1	%
Technology	17.0	%
Communications	14.5	%
Industrial	9.1	%
Consumer, Cyclical	8.6	%
Energy	4.5	%
Utilities	3.5	%
Basic Materials	1.9	%
Mutual Funds	0.0	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

6

MM Select Equity Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 09/15/2016
Class I	09/15/2016	3.10%	10.64%
S&P 500 Index		4.25%	13.96%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

7

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price Bond Asset Fund, and who is the Fund’s subadviser?

The Fund seeks a regular level of income consistent with the preservation of capital over time. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in bonds. The Fund’s investments may include, but are not limited to, obligations issued by U.S. and foreign governments and their agencies, bonds issued by U.S. and foreign corporations, U.S. and non-U.S. dollar denominated foreign securities (including securities of emerging market issuers), mortgage- and asset-backed securities, Treasury inflation protected securities, and bank loans (which represent interests in amounts loaned to companies by banks and other lenders). The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 10.21%, underperforming the 10.30% return of the Bloomberg Barclays U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS).

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund produced strong, positive absolute returns, but underperformed the benchmark for the period. A longer average duration posture relative to the benchmark was the most significant driver of relative returns, as Treasury yields dropped over the period. Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the fund when interest rates rise or fall. Heightened global trade tensions and concerns surrounding global growth pushed yields lower. Security selection was mixed. The Fund’s defensive bias for shorter-maturity bonds in the corporate sector helped, but security selection in the agency mortgage-backed security sector weighed on returns. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.) Asset allocation contributed to the Fund’s performance, with overweight allocations, relative to the benchmark, in emerging-market corporate bonds and commercial mortgage-backed securities benefiting the Fund.

In country and duration positioning, overweight positions in the local currency bond markets of Brazil, Chile, Israel, and Malaysia contributed to the Fund’s relative performance. However, underweight duration exposures to the euro zone, Japan, and the U.K. detracted from Fund performance. In currencies, an overweight bias toward the Indonesian rupiah benefited relative gains, while the Fund’s euro exposure detracted from relative returns. Within sector allocation and security selection, the Fund’s exposure to euro-denominated government-related bonds detracted from relative results.

From a derivatives perspective, the Fund held interest rate futures, interest rate swaps, currency forwards, currency options, non-deliverable forwards (NDFs), and credit default swaps (including CDSs , and CDXs) generating gross exposure of approximately 71.5%. The Fund also held CDX swaptions during the period. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both. The use of currency forwards and futures contributed to the Fund’s performance, options slightly detracted from performance, and the use of swaps had a negligible impact on the Fund’s full-year results.

Subadviser outlook

Markets have endured a turbulent period, driven by marked uncertainty forcing investors to weigh the competing impacts of slowing global growth against a widespread pivot towards accommodative monetary policy. Manufacturing data, a common indicator of economic conditions, has shown weakness, which has stoked fears of a coming recession. Along the same lines, during the third quarter of 2019, the bond market flashed a warning sign as closely watched portions of the Treasury yield curve inverted. Some pundits believe this may portend a recession. On the other hand, global stock markets have shrugged off bouts of volatility and remain near all-time highs, driven in large part by looser financial conditions.

8

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

With markets sending mixed signals, Fund management believes the trends in trade could drive the direction of the global economy. The markets have ebbed and flowed in tandem with the progress and setbacks surrounding trade talks – and while Fund management deems a near-term trade deal between the U.S. and China unlikely, they continue to expect the tenor of negotiations to impact markets as the process unfolds.

Against this backdrop of heightened uncertainty, Fund management has taken a cautious approach and has sought to position their multi-asset portfolios broadly neutral from a risk perspective. Despite signs that the current economic cycle is aging, they believe the strong labor environment could continue to support consumer spending and underpin economic growth. Fund management feels that the dovish shift in monetary policy around the world and a broader easing of financial and liquidity conditions have reduced the near-term likelihood of a global recession. However, their view is that this current cycle of easing may leave global central banks ill equipped to respond to a more pronounced downturn. While this step back from tightening policies may help to stabilize global growth, Fund management believes it remains unclear as to whether it will be sufficient to ignite a reacceleration in growth.

MassMutual Select T. Rowe Price Bond Asset Fund Portfolio Characteristics (% of Net Assets) on 9/30/19
Corporate Debt	29.9	%
U.S. Government Agency Obligations and Instrumentalities	19.5	%
Sovereign Debt Obligations	18.0	%
Non-U.S. Government Agency Obligations	16.7	%
U.S. Treasury Obligations	11.7	%
Bank Loans	2.4	%
Mutual Funds	0.1	%
Purchased Options	0.0	%
Total Long-Term Investments	98.3	%
Short-Term Investments and Other Assets and Liabilities	1.7	%
Net Assets	100.0	%

9

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	10.21%	5.72%
Bloomberg Barclays U.S. Aggregate Bond Index		10.30%	6.39%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

10

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price Emerging Markets Bond Fund, and who is the Fund’s subadviser?

The Fund seeks to provide high income and capital appreciation. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in debt securities of emerging market governments or companies located in emerging market countries (including so-called “frontier markets”). The Fund relies on a classification by either J.P. Morgan or the International Monetary Fund to determine which countries are considered emerging markets. The Fund normally will invest in at least three countries. The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 6.24%, underperforming the 10.60% return of the Bloomberg Barclays EM USD Aggregate Total Return Index (the “benchmark”), which is a flagship hard currency Emerging Markets debt benchmark that includes USD-denominated debt from sovereign, quasi-sovereign, and corporate emerging market issuers.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

An overweight allocation to Argentina detracted from the Fund’s benchmark-relative returns. The high-yield sovereign fell sharply after opposition candidate Alberto Fernandez won the presidential primary by a wider-than-expected margin. The result immediately raised concerns about Argentina’s willingness to continue with its economic reforms and its ability to repay their large dollar-denominated debt burden. Elsewhere in South America, an overweight in Venezuela also detracted from relative returns. Venezuelan securities declined amid pricing write-downs by the index, as the index reduced Venezuela’s weight by reducing prices. (The sanctioned bonds do not trade.)

Underweight exposures to Russia, Saudi Arabia, Qatar, and the Philippines also detracted from performance during the period. These low-yielding, investment-grade, longer-duration sovereigns performed well amid falling global rates, the rally of U.S. Treasuries, and investors’ rising risk aversion.

An overweight allocation to Brazil, as well as effective security selection within the country, aided relative performance. Brazilian assets advanced as optimism about pension reform grew, and the economic outlook improved. Positions in quasi-sovereign Petrobras outperformed the benchmark, as this Fund holding reported solid earnings and successfully refinanced some of its outstanding debt and extended maturities.

An overweight allocation to South Africa, as well as effective security selection within that country, proved beneficial for the Fund. South African assets advanced as reform-oriented incumbent President Cyril Ramaphosa won reelection, and the government increased support for state-owned utility Eskom. The Fund’s positions in Eskom and longer-maturity sovereign debt outperformed the benchmark amid a global search for yield.

Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both. As of September 30, 2019, the Fund held interest rate futures, currency forwards, currency options, NDFs, and CDS. The estimated return impact from employing currency forwards and futures slightly enhanced the Fund’s performance for the year, whereas the use of options and swaps detracted slightly from returns.

Subadviser outlook

While emerging markets are not insulated from the global risk environment, T. Rowe Price remains cautiously optimistic on the asset class, as Fund management believes it offers one of the highest-yielding opportunities in the fixed income market and credit fundamentals remain generally healthy. Despite a strong rally early in the year, spreads remain at reasonable levels from a historical perspective, with yields of over 5% – three times those of Treasuries. This income provides a substantial buffer from

11

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

market corrections and offers materially better carry than most comparable developed markets bonds. Fund management also believes there is a silver lining to the mixed global risk environment – a more dovish U.S. Federal Reserve has given emerging markets room for easier monetary policy, spurring emerging-market growth.

Fund management believes fundamentals remain broadly supportive, including stable underlying economic growth, more disciplined government spending, largely balanced current accounts, and rational economic policy in most major markets. In the near term, they believe exogenous macroeconomic risks, along with several idiosyncratic factors within emerging markets, could be key drivers through year-end 2019, including China (trade war and domestic fiscal stimulus), Argentina (path of debt restructuring and fiscal policy under a new government), and the speed and magnitude of monetary easing in major economies.

MassMutual Select T. Rowe Price Emerging Markets Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/19
Sovereign Debt Obligations	56.9	%
Corporate Debt	39.9	%
Mutual Funds	0.8	%
U.S. Treasury Obligations	0.1	%
Purchased Options	0.0	%
Total Long-Term Investments	97.7	%
Short-Term Investments and Other Assets and Liabilities	2.3	%
Net Assets	100.0	%

12

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	6.24%	1.46%
Bloomberg Barclays EM USD Aggregate Total Return Index		10.60%	5.71%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

13

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price Large Cap Blend Fund, and who is the Fund’s subadviser?

The Fund seeks long-term capital appreciation through investments in common stock. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of large cap companies. The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 5.39%, outperforming the 3.87% return of the Russell 1000^® Index (the “benchmark”), which measures the performance of the large-cap segment of U.S. equity securities. It is a subset of the Russell 3000 Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Within the Fund’s large-cap value allocation, the utilities sector was the top contributor to the Fund’s relative performance due to stock selection and a favorable overweight allocation, relative to the benchmark. Fund holdings in the information technology sector also added value, as did an overweight allocation to that sector. Within the information technology sector, Fund holdings in the software industries performed best. An underweight allocation to and stock selection within the energy sector also boosted relative results. However, underweight allocations to the real estate and communication services sectors detracted from relative returns, although favorable security selection within those sectors partly offset the negative impact.

Within the Fund’s large-cap growth allocation, stock selection in the health care sector was the top detractor from relative returns. Fund holdings in the communication services sector also weighed on relative results, particularly within the interactive media and services industry. An underweight allocation to and stock selection within the consumer staples sector also detracted. Stock selection in the information technology sector was the top contributor to relative performance, led by Fund holdings in information technology services. An overweight allocation to the strong-performing utilities sector also added value.

Subadviser outlook

Markets have endured a turbulent period, driven by marked uncertainty forcing investors to weigh the competing impacts of slowing global growth against a widespread pivot towards accommodative monetary policy. Manufacturing data, a common indicator of economic conditions, has shown weakness, which has stoked fears of a coming recession. Along the same lines, during the third quarter of 2019, the bond market flashed a warning sign as closely watched portions of the Treasury yield curve inverted. Some pundits believe this may portend a recession. On the other hand, global stock markets have shrugged off bouts of volatility and remain near all-time highs, driven in large part by looser financial conditions.

With markets sending mixed signals, Fund management believes the trends in trade could drive the direction of the global economy. The markets have ebbed and flowed in tandem with the progress and setbacks surrounding trade talks – and while Fund management deems a near-term trade deal between the U.S. and China unlikely, they continue to expect the tenor of negotiations to impact markets as the process unfolds.

Against this backdrop of heightened uncertainty, Fund management has taken a cautious approach and has sought to position their multi-asset portfolios broadly neutral from a risk perspective. Despite signs that the current economic cycle is aging, they believe the strong labor environment could continue to support consumer spending and underpin economic growth. Fund management feels that the dovish shift in monetary policy around the world and a broader easing of financial and liquidity conditions have reduced the near-term likelihood of a global recession. However, their view is that this current cycle of easing may leave global central banks ill equipped to respond to a more pronounced downturn. While this step back from tightening policies may help to stabilize global growth, Fund management believes it remains unclear as to whether it will be sufficient to ignite a reacceleration in growth.

14

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select T. Rowe Price Large Cap Blend Fund Largest Holdings (% of Net Assets) on 9/30/19
Microsoft Corp.	5.3	%
Amazon.com, Inc.	4.1	%
The Boeing Co.	3.7	%
Facebook, Inc. Class A	2.8	%
NextEra Energy, Inc.	2.3	%
Alphabet, Inc. Class C	2.0	%
American International Group, Inc.	2.0	%
Visa, Inc. Class A	1.9	%
Tyson Foods, Inc. Class A	1.9	%
Mastercard, Inc. Class A	1.7	%
	27.7	%

MassMutual Select T. Rowe Price Large Cap Blend Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	17.5	%
Communications	17.2	%
Financial	17.1	%
Technology	15.9	%
Industrial	12.2	%
Utilities	7.4	%
Consumer, Cyclical	7.2	%
Energy	2.3	%
Basic Materials	2.1	%
Mutual Funds	0.2	%
Total Long-Term Investments	99.1	%
Short-Term Investments and Other Assets and Liabilities	0.9	%
Net Assets	100.0	%

15

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	5.39%	8.64%
Russell 1000 Index		3.87%	11.08%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

16

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, and who is the Fund’s subadviser?

The Fund seeks a level of income that is consistent with the current rate of inflation. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in bonds. The Fund invests in a diversified portfolio of short- and intermediate-term investment-grade bonds. The Fund’s investments may include inflation-linked securities, including Treasury Inflation Protected Securities, as well as corporate, government, mortgage-backed, and asset-backed securities. The Fund may also invest in money market securities, bank obligations, collateralized mortgage obligations, and foreign securities. The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 3.95%, underperforming the 7.13% return of the Bloomberg Barclays U.S. Treasury TIPS 1-5 Year Index (the “benchmark”), which includes all publicly issued, U.S. Treasury securities that have a remaining maturity of greater than or equal to 1 year and less than 5 years, are rated investment grade, and have $250 million or more of outstanding face value.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s exposure to Treasury Inflation-Protected Securities (TIPS) and inflation-linked securities with longer maturities detracted from relative performance, as they were more sensitive to muted longer-term inflation expectations. Increased tariffs and some higher Consumer Price Index (CPI) readings exerted upward pressure on near-term inflation expectations, but longer-term growth and inflation expectations remained low. (CPI measures changes in the price of a market basket of consumer goods and services.)

The Fund’s out-of-benchmark allocations to shorter-dated investment-grade corporate bonds and, to a lesser extent, agency mortgage-backed securities and asset-backed securities, helped offset the Fund’s underperformance, relative to the benchmark. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.) The Federal Reserve’s (the Fed) dovish shift in early 2019 and signs of U.S. economic stability supported steady flows into investment-grade corporates, and the sector produced some of the strongest excess returns during the year, despite periods of volatility. The Fund’s out-of-benchmark allocations offer diversification and potentially higher yields when inflation expectations are low. The Fund’s long duration position contributed to returns, as yields fell over the period and touched some of the lowest levels in three years. Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the fund when interest rates rise or fall.

With respect to derivatives, the Fund held interest rate futures, interest rate futures options, and zero-coupon inflation swaps. The Fund’s use of currency forwards and options had a negligible effect on performance; the use of futures and swaps detracted from returns. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.

Subadviser outlook

The Fed responded to slowing growth by cutting interest rates in July and September. While the central bank has struggled to maintain credibility that it is serious about addressing below-target inflation, T. Rowe Price believes that another rate cut in the fourth quarter of 2019 and an expansion of the Fed’s balance sheet could help the central bank regain market confidence.

Fund management believes that economic growth appears to be at an inflection point, with the market unsure if manufacturing will rebound from recent sluggishness or if consumer resiliency will weaken and begin a real downturn in the economy. In their view, continued trade tensions could add to market uncertainty, but if sentiment around the economy improves, inflation expectations have the potential to move higher.

17

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund Portfolio Characteristics (% of Net Assets) on 9/30/19
U.S. Treasury Obligations	74.3	%
Corporate Debt	14.6	%
Non-U.S. Government Agency Obligations	7.9	%
U.S. Government Agency Obligations and Instrumentalities	1.8	%
Total Long-Term Investments	98.6	%
Short-Term Investments and Other Assets and Liabilities	1.4	%
Net Assets	100.0	%

18

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	3.95%	2.95%
Bloomberg Barclays U.S. Treasury TIPS 1-5 Year Index		7.13%	4.98%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

19

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price Real Assets Fund, and who is the Fund’s subadviser?

The Fund seeks to provide long-term growth of capital. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in “real assets” and securities of companies that derive at least 50% of their profits or revenues from, or commit at least 50% of assets to, real assets and activities related to real assets. The Fund’s subadviser currently defines real assets broadly and considers them to include any assets that have physical properties, such as energy and natural resources, real estate, basic materials, equipment, utilities and infrastructure, and commodities. The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 1.16%, underperforming the 1.38% return of the MSCI All Country World Index (ACWI) (the “benchmark”), which measures the performance of the large- and mid-cap segments of all country markets. It is free float-adjusted market-capitalization weighted.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Security selection detracted from the Fund’s relative returns, most notably among U.S. and global real estate investment trusts. Fund holdings among global metals and precious metals also weighed on the Fund’s relative performance for the year. An overweight allocation to cash, relative to the benchmark, detracted from relative returns, as well. However, security selection within and a favorable overweight allocation to natural resources were positive contributors to relative performance.

With respect to derivatives, the Fund held index futures, interest rate futures, currency forwards, and currency options generating gross exposure of approximately 8.3%. The Fund also held rights during the period. The estimated return impact from employing currency forwards as well as options and rights was negligible; the use of futures had a negative impact on the Fund’s performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both.

Subadviser outlook

Markets have endured a turbulent period, driven by marked uncertainty forcing investors to weigh the competing effects of slowing global growth against a widespread pivot towards accommodative monetary policy. Manufacturing data, a common indicator of economic conditions, has shown weakness, which has stoked fears of a coming recession. Along the same lines, during the third quarter of 2019, the bond market flashed a warning sign as closely watched portions of the Treasury yield curve inverted. Some pundits believe this may portend a recession. On the other hand, global stock markets have shrugged off bouts of volatility and remain near all-time highs, driven in large part by looser financial conditions.

With markets sending mixed signals, Fund management believes the trends in trade could drive the direction of the global economy. The markets have ebbed and flowed in tandem with the progress and setbacks surrounding trade talks – and while Fund management deems a near term trade deal between the U.S. and China unlikely, they continue to expect the tenor of negotiations to impact markets as the process unfolds.

Against this backdrop of heightened uncertainty, Fund management has taken a cautious approach and has sought to position their multi-asset portfolios broadly neutral from a risk perspective. Despite signs that the current economic cycle is aging, they believe the strong labor environment could continue to support consumer spending and underpin economic growth. Fund management feels that the dovish shift in monetary policy around the world and a broader easing of financial and liquidity conditions have reduced the near-term likelihood of a global recession. However, their view is that this current cycle of easing may leave global central banks ill equipped to respond to a more pronounced downturn. While this step back from tightening policies may help to stabilize global growth, Fund management believes it remains unclear as to whether it will be sufficient to ignite a reacceleration in growth.

20

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio Manager Report (Unaudited) (Continued)

Fund management believes that the return of sustained volatility, combined with above-average valuations in many asset classes in an environment filled with geopolitical and monetary policy risks, underscores the value of their strategic investment approach.

MassMutual Select T. Rowe Price Real Assets Fund Largest Holdings (% of Net Assets) on 9/30/19
BHP Group Ltd.	3.2	%
Prologis, Inc.	2.6	%
Rio Tinto PLC	2.5	%
AvalonBay Communities, Inc.	2.1	%
Equity Residential	1.9	%
Public Storage	1.7	%
Essex Property Trust, Inc.	1.5	%
Total SA	1.4	%
Barrick Gold Corp.	1.3	%
Vale SA	1.2	%
	19.4	%

MassMutual Select T. Rowe Price Real Assets Fund Sector Table (% of Net Assets) on 9/30/19
Financial	38.7	%
Basic Materials	35.2	%
Energy	10.8	%
Utilities	2.9	%
Industrial	2.7	%
Consumer, Cyclical	0.7	%
Consumer, Non-cyclical	0.7	%
Mutual Funds	0.2	%
Purchased Options	0.0	%
Total Long-Term Investments	91.9	%
Short-Term Investments and Other Assets and Liabilities	8.1	%
Net Assets	100.0	%

21

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	1.16%	4.11%
MSCI ACWI Index		1.38%	4.66%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

22

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, and who is the Fund’s subadviser?

The Fund seeks long-term capital appreciation by investing primarily in common stocks of small and mid cap companies. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in equity securities of small and mid cap companies. The Fund’s subadviser currently considers small and mid cap companies to include companies with market capitalizations at the time of purchase that are within the market capitalization range of companies included in either the Russell 2000^® Index or the Russell Midcap^® Index. The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 1.72%, significantly outperforming the -4.04% return of the Russell 2500 Index (the “benchmark”), which measures the performance of the small- to mid-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 2500 of the smallest securities based on the combination of their market cap and current index membership.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s allocations to small-cap stocks outperformed their respective benchmarks, while performance among its allocations to mid-cap stocks was mixed.

The Fund’s small-cap stock allocation had positive absolute returns for the Fund. The health care sector contributed the most to relative results due to stock selection, led by Fund holdings in the biotechnology industry. Stock selection in the information technology sector, driven by the software industry, also aided relative performance. The consumer discretionary sector also contributed to relative returns due to stock selection. No sectors detracted from relative performance; however, at the industry level, the bank industry weighed on the Fund’s relative results.

The Fund’s small-cap growth allocation also contributed to the Fund’s performance for the period. The information technology sector was the leading contributor to relative performance due to stock selection, driven by the information technology services industry, and an overweight position within the sector. The Fund’s stock selection and underweight allocation in the health care sector aided relative results. Stock selection in the industrials sector boosted relative performance, led by the professional services industry. The Fund’s lack of exposure to the strong-performing utilities sector detracted from relative results. The real estate sector hindered relative performance due to the Fund’s underweight position in that market segment; however, beneficial stock selection within the sector tempered the negative impact.

The small-cap value allocation detracted from Fund performance during the reporting period. The health care sector contributed the most to relative results due to stock selection; however, an unfavorable overweight position offset some of the positive impact. The energy sector aided relative performance due to an underweight allocation to the sector and Fund holdings within the sector. Stock selection in the consumer staples sector boosted relative returns, driven by Fund holdings in the food products industry. The financials sector detracted from relative performance due to Fund holdings there, particularly within the consumer finance industry.

The mid-cap growth allocation contributed to the Fund’s performance during the reporting period. The health care sector was the leading contributor to relative performance due to stock selection within the health care equipment and supplies industry. Stock selection in the information technology sector also aided relative results. The materials sector boosted relative performance due to stock selection, led by the containers and packaging industry. The energy sector was the greatest detractor from relative results due to stock selection and an overweight position in the poorly performing sector. The Fund’s lack of exposure to the real estate sector, another standout market segment for the year, weighed on relative performance.

23

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio Manager Report (Unaudited) (Continued)

With respect to derivatives, the Fund held warrants generating gross exposure of less than 0.1%. The estimated return impact from employing futures detracted from the Fund’s returns, but the use of warrants had a negligible impact on full-year results. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.

Subadviser outlook

Markets have endured a turbulent period, driven by marked uncertainty forcing investors to weigh the competing impacts of slowing global growth against a widespread pivot towards accommodative monetary policy. Manufacturing data, a common indicator of economic conditions, has shown weakness, which has stoked fears of a coming recession. Along the same lines, during the third quarter of 2019, the bond market flashed a warning sign as closely watched portions of the Treasury yield curve inverted. Some pundits believe this may portend a recession. On the other hand, global stock markets have shrugged off bouts of volatility and remain near all-time highs, driven in large part by looser financial conditions.

With markets sending mixed signals, Fund management believes the trends in trade could drive the direction of the global economy. The markets have ebbed and flowed in tandem with the progress and setbacks surrounding trade talks – and while Fund management deems a near-term trade deal between the U.S. and China unlikely, they continue to expect the tenor of negotiations to impact markets as the process unfolds.

Against this backdrop of heightened uncertainty, Fund management has taken a cautious approach and has sought to position their multi-asset portfolios broadly neutral from a risk perspective. Despite signs that the current economic cycle is aging, they believe the strong labor environment could continue to support consumer spending and underpin economic growth. Fund management feels that the dovish shift in monetary policy around the world and a broader easing of financial and liquidity conditions have reduced the near-term likelihood of a global recession. However, their view is that this current cycle of easing may leave global central banks ill equipped to respond to a more pronounced downturn. While this step back from tightening policies may help to stabilize global growth, Fund management believes it remains unclear as to whether it will be sufficient to ignite a reacceleration in growth.

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund Largest Holdings (% of Net Assets) on 9/30/19
Hologic, Inc.	1.0	%
Textron, Inc.	0.9	%
Burlington Stores, Inc.	0.9	%
Bunge Ltd	0.7	%
Perrigo Co. PLC	0.7	%
TransUnion	0.7	%
Teleflex, Inc.	0.6	%
Cboe Global Markets, Inc.	0.6	%
Cable One, Inc.	0.6	%
CoStar Group, Inc.	0.6	%
	7.3	%

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund Sector Table (% of Net Assets) on 9/30/19
Consumer, Non-cyclical	27.9	%
Financial	18.0	%
Industrial	15.2	%
Technology	9.4	%
Consumer, Cyclical	9.1	%
Communications	4.7	%
Basic Materials	3.9	%
Energy	3.9	%
Utilities	3.2	%
Mutual Funds	1.5	%
Diversified	0.2	%
Total Long-Term Investments	97.0	%
Short-Term Investments and Other Assets and Liabilities	3.0	%
Net Assets	100.0	%

24

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	1.72%	9.85%
Russell 2500 Index		-4.04%	6.71%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

25

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Portfolio Manager Report (Unaudited)

What is the investment approach of MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund, and who is the Fund’s subadviser?

The Fund seeks a high level of income consistent with capital preservation. Under normal circumstances, the Fund invests at least 85% of its net assets (plus the amount of any borrowings for investment purposes) in U.S. Treasury securities, which are backed by the full faith and credit of the U.S. Government and in repurchase agreements on U.S. Treasury securities. The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended September 30, 2019?

The Fund’s Class I shares returned 24.53%, underperforming the 24.79% return of the Bloomberg Barclays Long-Term U.S. Treasury Index (the “benchmark”), an unmanaged index that measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury. Treasury bills are excluded by the maturity constraint, but are part of a separate Short Treasury Index.

For a discussion on the economic and market environment during the 12-month period ended September 30, 2019, please see the Economic and Market Overview, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund produced strong, positive absolute returns, but underperformed the benchmark for the period. Treasury yields fell over the year, as the Federal Reserve (the Fed) engaged in two interest rate cuts of 0.25% by the end of the period amid global growth concerns, shifting further away from its steady policy tightening during 2018.

The Fund’s overweight allocation to the two-year part of the yield curve (relative to the benchmark) and its underweight allocation to the five-year portion held back the Fund’s results. (The yield curve is a graph showing the term structure of interest rates by plotting the yields of all bonds of comparable quality with maturities ranging from the shortest – typically one month – to the longest – typically 30 years – available. The resulting curve shows whether short-term interest rates are higher or lower than long-term rates.) The Fed’s apparent reluctance to meet the market’s expectations for deeper rate cuts tempered declines for two-year Treasury yields over the period, as the Fed appeared reluctant to meet the market’s expectations for deeper rate cuts. In turn, the five-year portion of the curve rallied sharply, as the market viewed the Fed’s reluctance as a policy error and the risks of a coming recession increased. However, as yields fell, the Fund’s longer duration posture throughout much of 2019 enhanced returns. Duration is a measure of a bond fund’s sensitivity to interest rates. The longer the duration, the greater the price impact on the fund when interest rates rise or fall.

The Fund’s allocation to Ginnie Mae mortgage-backed securities (MBS) and Treasury inflation-protected securities (TIPS) held back results. The Fund’s out-of-benchmark allocation to MBS, which was larger in late 2018 as a defensive response to then-rising rates, detracted from performance for the period, as yields declined in 2019, causing mortgage prepayment speeds to accelerate and MBS spreads to widen. Tactical exposure to TIPS, which was ultimately eliminated during the period, also weighed on performance, as inflation expectations weakened.

From a derivatives perspective, the Fund held interest rate futures and interest rate futures options generating gross exposure of approximately 34.2%. Employing futures contributed to Fund performance, whereas the use of options had a negligible effect on the Fund’s returns. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives can be used for hedging, speculation, or both.

Subadviser outlook

Fund management believes that U.S. economic growth could remain modest for the balance of 2019, buoyed by strong consumer spending and a stabilizing manufacturing sector, which has shown signs of bottoming. However, with increased concerns from the Fed about downside risks to the outlook, as indicated within the September Federal Open Market Committee minutes, Fund management believes that the central bank is likely to cut rates further, particularly given the low risk of cuts due to muted inflation pressures. At the same time, the Fed is nearing a return to a data-dependent policy approach and, barring a more meaningful decline in global growth, Fund management expects rates to remain largely range-bound for the rest of 2019.

26

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund Portfolio Characteristics (% of Net Assets) on 9/30/19
U.S. Treasury Obligations	93.1	%
U.S. Government Agency Obligations and Instrumentalities	5.9	%
Total Long-Term Investments	99.0	%
Short-Term Investments and Other Assets and Liabilities	1.0	%
Net Assets	100.0	%

27

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Portfolio Manager Report (Unaudited) (Continued)

GROWTH OF $10,000 INVESTMENT

The graph above illustrates the Fund’s historical performance for the past 10 fiscal years or since inception (for Funds lacking 10-year records) in comparison to its benchmark index, as well as one or more additional indexes, if applicable.

Average Annual Total Returns (for the periods ended 09/30/2019)
	Inception Date of Class	1 Year	Since Inception 02/09/2018
Class I	02/09/2018	24.53%	14.51%
Bloomberg Barclays Long-Term U.S. Treasury Index		24.79%	14.86%

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total return based on the unadjusted net asset value per share may differ from the total return reported in the financial highlights.

Performance results in the graph and table are shown both with and without the imposition of the maximum applicable sales charge (if applicable) and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. Investors should note that the Fund is a professionally managed mutual fund, while the index or indexes shown above are unmanaged, cannot be purchased directly, and, with the exception of any peer group index, do not incur expenses.

Performance data quoted in the graph and table represents past performance; past performance is not predictive of future results. The investment return and principal value of shares of the Fund fluctuate, so your shares, when sold, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance data current to the most recent month end may be obtained by calling 1-888-309-3539.

Investors should read the Fund’s prospectus with regard to the Fund’s investment objectives, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

28

MM Select Equity Asset Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.8%
Basic Materials — 1.9%
Chemicals — 1.8%
Celanese Corp.		13,830	$	1,691,271
Dow, Inc. (a)		26,616		1,268,252
DuPont de Nemours, Inc.		21,216		1,512,913
Eastman Chemical Co.		29,120		2,149,930
Linde PLC		7,670		1,485,832
LyondellBasell Industries NV Class A		5,740		513,558
				8,621,756
Mining — 0.1%
Ferroglobe Representation & Warranty Insurance Trust (a) (b) (c)		3,141		-
Freeport-McMoRan, Inc.		25,580		244,800
Newmont Goldcorp Corp.		9,290		352,277
				597,077
				9,218,833
Communications — 14.5%
Internet — 9.2%
Alphabet, Inc. Class A (a)		7,260		8,865,477
Alphabet, Inc. Class C (a)		6,650		8,106,350
Amazon.com, Inc. (a)		9,400		16,317,554
Booking Holdings, Inc. (a)		210		412,148
Expedia Group, Inc.		20,310		2,729,867
Facebook, Inc. Class A (a)		28,020		4,989,802
Lyft, Inc. (a)		9,580		391,247
Netflix, Inc. (a)		12,320		3,297,078
				45,109,523
Media — 3.6%
Altice USA, Inc. Class A (a)		31,000		889,080
Charter Communications, Inc. Class A (a)		10,300		4,244,836
Comcast Corp. Class A		178,730		8,057,148
Discovery, Inc. Class A (a) (d)		43,410		1,156,008
Discovery, Inc. Class C (a)		47,404		1,167,087
Viacom, Inc. Class B		3,300		79,299
The Walt Disney Co.		15,390		2,005,625
				17,599,083
Telecommunications — 1.7%
AT&T, Inc.		8,100		306,504
Cisco Systems, Inc.		23,620		1,167,064
Motorola Solutions, Inc.		1,960		334,004
T-Mobile US, Inc. (a)		8,210		646,702
Verizon Communications, Inc.		95,970		5,792,749
				8,247,023
				70,955,629

	Number of Shares		Value
Consumer, Cyclical — 8.6%
Airlines — 0.4%
Delta Air Lines, Inc.		19,180	$	1,104,768
Southwest Airlines Co.		9,140		493,652
United Airlines Holdings, Inc. (a)		4,720		417,295
				2,015,715
Apparel — 0.6%
NIKE, Inc. Class B		24,530		2,303,858
Ralph Lauren Corp.		5,200		496,444
				2,800,302
Auto Manufacturers — 0.5%
General Motors Co.		39,700		1,487,956
PACCAR, Inc.		14,220		995,542
				2,483,498
Auto Parts & Equipment — 0.2%
Magna International, Inc.		18,180		969,540
BorgWarner, Inc.		5,430		199,172
				1,168,712
Distribution & Wholesale — 0.1%
HD Supply Holdings, Inc. (a)		17,450		683,604
Home Builders — 0.3%
Lennar Corp. Class A		24,000		1,340,400
Home Furnishing — 0.0%
Midea Group Co. Ltd.		700		5,041
Leisure Time — 0.1%
Royal Caribbean Cruises Ltd.		4,150		449,569
Lodging — 0.3%
Hilton Worldwide Holdings, Inc.		17,920		1,668,531
Retail — 5.9%
FF Group (a) (c)		294		1,538
Advance Auto Parts, Inc.		10,450		1,728,430
AutoZone, Inc. (a)		3,200		3,470,784
Best Buy Co., Inc.		33,210		2,291,158
The Home Depot, Inc.		25,480		5,911,869
Lowe’s Cos., Inc.		36,540		4,017,938
McDonald’s Corp.		6,890		1,479,352
O’Reilly Automotive, Inc. (a)		4,070		1,621,936
Ross Stores, Inc.		14,260		1,566,461
The TJX Cos., Inc.		56,830		3,167,704
Yum! Brands, Inc.		30,290		3,435,795
				28,692,965
Toys, Games & Hobbies — 0.2%
Hasbro, Inc.		6,100		724,009
				42,032,346
Consumer, Non-cyclical — 21.6%
Agriculture — 1.3%
Altria Group, Inc.		37,390		1,529,251
Philip Morris International, Inc.		61,350		4,658,306
				6,187,557

The accompanying notes are an integral part of the financial statements.

29

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Beverages — 2.1%
The Coca-Cola Co.		134,410	$	7,317,281
Constellation Brands, Inc. Class A		6,290		1,303,791
PepsiCo, Inc.		13,930		1,909,803
				10,530,875
Biotechnology — 2.1%
Alexion Pharmaceuticals, Inc. (a)		14,310		1,401,521
Amgen, Inc.		2,050		396,696
Biogen, Inc. (a)		7,560		1,760,119
Celgene Corp. (a)		19,330		1,919,469
Corteva, Inc. (a)		34,446		964,488
Illumina, Inc. (a)		2,920		888,322
Regeneron Pharmaceuticals, Inc. (a)		3,870		1,073,538
Vertex Pharmaceuticals, Inc. (a)		10,370		1,756,886
				10,161,039
Commercial Services — 2.2%
Automatic Data Processing, Inc.		33,310		5,376,900
Cintas Corp.		1,210		324,401
H&R Block, Inc.		7,930		187,307
PayPal Holdings, Inc. (a)		42,250		4,376,678
S&P Global, Inc.		1,130		276,827
				10,542,113
Cosmetics & Personal Care — 1.1%
The Procter & Gamble Co.		44,790		5,570,980
Foods — 1.1%
China Huishan Dairy Holdings Co. Ltd. (a) (b) (c)		44,000		-
Conagra Brands, Inc.		9,740		298,823
General Mills, Inc.		28,300		1,559,896
Mondelez International, Inc. Class A		59,570		3,295,413
				5,154,132
Health Care – Products — 4.1%
Medtronic PLC		52,470		5,699,292
Becton Dickinson and Co.		2,240		566,630
Boston Scientific Corp. (a)		100,360		4,083,648
Intuitive Surgical, Inc. (a)		1,590		858,489
Thermo Fisher Scientific, Inc.		17,790		5,181,693
Zimmer Biomet Holdings, Inc.		27,200		3,733,744
				20,123,496
Health Care – Services — 1.6%
Town Health International Medical Group Ltd. (c)		62,000		5,458
Anthem, Inc.		8,840		2,122,484
UnitedHealth Group, Inc.		26,160		5,685,091
				7,813,033
Household Products & Wares — 0.1%
Avery Dennison Corp.		1,490		169,219
Kimberly-Clark Corp.		1,800		255,690
				424,909

	Number of Shares		Value
Pharmaceuticals — 5.9%
Allergan PLC		5,730	$	964,302
AbbVie, Inc.		53,670		4,063,892
Bristol-Myers Squibb Co.		46,870		2,376,778
Cigna Corp. (a)		28,810		4,373,070
Eli Lilly & Co.		31,942		3,572,074
Johnson & Johnson		37,920		4,906,089
McKesson Corp.		3,750		512,475
Merck & Co., Inc.		72,330		6,088,739
Pfizer, Inc.		61,890		2,223,708
				29,081,127
				105,589,261
Energy — 4.5%
Oil & Gas — 4.1%
Brightoil Petroleum Holdings Ltd. (a) (c)		52,000		9,952
Chevron Corp.		64,880		7,694,768
Concho Resources, Inc.		4,470		303,513
Diamondback Energy, Inc.		19,750		1,775,723
EOG Resources, Inc.		44,690		3,316,892
Exxon Mobil Corp.		19,320		1,364,185
Marathon Petroleum Corp.		48,820		2,965,815
Pioneer Natural Resources Co.		18,420		2,316,683
				19,747,531
Pipelines — 0.4%
ONEOK, Inc.		28,460		2,097,217
				21,844,748
Financial — 18.1%
Banks — 5.7%
Bank of America Corp.		222,710		6,496,451
Citigroup, Inc.		95,910		6,625,463
Citizens Financial Group, Inc.		15,760		557,431
Fifth Third Bancorp		29,954		820,140
KeyCorp		138,540		2,471,554
Morgan Stanley		103,850		4,431,279
Regions Financial Corp.		45,950		726,929
SunTrust Banks, Inc.		20,150		1,386,320
Wells Fargo & Co.		87,670		4,422,075
				27,937,642
Diversified Financial Services — 6.1%
Invesco Ltd.		49,380		836,497
American Express Co.		5,920		700,218
Ameriprise Financial, Inc.		6,570		966,447
BlackRock, Inc.		2,330		1,038,341
Capital One Financial Corp.		34,080		3,100,598
The Charles Schwab Corp.		44,840		1,875,657
Franklin Resources, Inc.		34,880		1,006,637
Intercontinental Exchange, Inc.		48,310		4,457,564
Mastercard, Inc. Class A		33,730		9,160,056
Synchrony Financial		27,770		946,679

The accompanying notes are an integral part of the financial statements.

30

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
TD Ameritrade Holding Corp.		19,160	$	894,772
Visa, Inc. Class A		27,600		4,747,476
				29,730,942
Insurance — 3.9%
Everest Re Group Ltd.		2,620		697,156
Convoy Global Holdings Ltd. (a) (c)		42,000		895
The Allstate Corp.		12,440		1,351,979
American International Group, Inc.		34,570		1,925,549
Arthur J Gallagher & Co.		8,200		734,474
Berkshire Hathaway, Inc. Class B (a)		38,000		7,904,760
The Hartford Financial Services Group, Inc.		47,100		2,854,731
Lincoln National Corp.		5,100		307,632
MetLife, Inc.		63,020		2,972,023
The Progressive Corp.		4,700		363,075
				19,112,274
Real Estate Investment Trusts (REITS) — 2.4%
AvalonBay Communities, Inc.		10,830		2,332,024
Boston Properties, Inc.		4,050		525,123
Digital Realty Trust, Inc.		3,020		392,026
Equinix, Inc.		3,410		1,966,888
Equity Residential		8,280		714,233
Federal Realty Investment Trust		7,360		1,001,990
Host Hotels & Resorts, Inc.		33,520		579,561
Mid-America Apartment Communities, Inc.		2,130		276,921
Prologis, Inc.		27,970		2,383,604
Public Storage		2,060		505,256
Ventas, Inc.		11,030		805,521
VICI Properties, Inc.		17,372		393,476
				11,876,623
				88,657,481
Industrial — 9.1%
Aerospace & Defense — 2.4%
The Boeing Co.		5,060		1,925,178
General Dynamics Corp.		21,440		3,917,731
Northrop Grumman Corp.		5,420		2,031,362
United Technologies Corp.		27,640		3,773,413
				11,647,684
Building Materials — 0.3%
Masco Corp.		37,810		1,575,921
Electronics — 1.0%
Honeywell International, Inc.		30,440		5,150,448
Engineering & Construction — 0.0%
Hsin Chong Group Holdings Ltd. (a) (b) (c)		40,000		1,786
Environmental Controls — 0.1%
Waste Management, Inc.		4,100		471,500

	Number of Shares		Value
Hand & Machine Tools — 0.5%
Snap-on, Inc.		4,580	$	716,953
Stanley Black & Decker, Inc.		13,560		1,958,200
				2,675,153
Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		10,350		1,307,308
Machinery – Diversified — 0.8%
Cummins, Inc.		14,260		2,319,674
Deere & Co.		8,850		1,492,818
				3,812,492
Miscellaneous – Manufacturing — 1.6%
Eaton Corp. PLC		56,870		4,728,740
Ingersoll-Rand PLC		15,560		1,917,148
Parker-Hannifin Corp.		7,679		1,386,904
				8,032,792
Packaging & Containers — 0.5%
Crown Holdings, Inc. (a)		18,210		1,202,953
Packaging Corp. of America		6,040		640,844
WestRock Co.		17,580		640,791
				2,484,588
Transportation — 1.6%
Kansas City Southern		1,900		252,719
Norfolk Southern Corp.		24,130		4,335,196
Union Pacific Corp.		18,590		3,011,208
				7,599,123
				44,758,795
Technology — 17.0%
Computers — 5.8%
Accenture PLC Class A		23,760		4,570,236
Apple, Inc.		92,430		20,701,547
Cognizant Technology Solutions Corp. Class A		30,250		1,823,016
HP, Inc.		65,480		1,238,882
				28,333,681
Semiconductors — 4.2%
NXP Semiconductor NV		26,120		2,850,214
Advanced Micro Devices, Inc. (a)		50,800		1,472,692
Analog Devices, Inc.		35,510		3,967,532
Intel Corp.		14,500		747,185
KLA Corp.		6,400		1,020,480
NVIDIA Corp.		17,330		3,016,633
Skyworks Solutions, Inc.		1,800		142,650
Teradyne, Inc.		42,550		2,464,071
Texas Instruments, Inc.		39,410		5,093,349
				20,774,806
Software — 7.0%
Electronic Arts, Inc. (a)		20,540		2,009,223
Fiserv, Inc. (a)		10,430		1,080,444

The accompanying notes are an integral part of the financial statements.

31

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Intuit, Inc.		4,550	$	1,210,027
Microsoft Corp.		185,010		25,721,940
salesforce.com, Inc. (a)		27,300		4,052,412
				34,074,046
				83,182,533
Utilities — 3.5%
Electric — 3.5%
American Electric Power Co., Inc.		28,070		2,629,878
Edison International		36,770		2,773,193
Entergy Corp.		15,100		1,772,136
Exelon Corp.		9,930		479,718
NextEra Energy, Inc.		20,430		4,759,986
Sempra Energy		9,450		1,394,916
Xcel Energy, Inc.		52,730		3,421,650
				17,231,477
TOTAL COMMON STOCK (Cost $434,132,895)				483,471,103
TOTAL EQUITIES (Cost $434,132,895)				483,471,103
MUTUAL FUNDS — 0.0%
Mutual Fund — 0.0%
Diversified Financial Services — 0.0%
State Street Navigator Securities Lending Prime Portfolio (e)		113,932		113,932
TOTAL MUTUAL FUNDS (Cost $113,932)				113,932
WARRANTS — 0.0%
Industrial — 0.0%
Engineering & Construction — 0.0%
Abengoa SA, Expires 3/31/25, Strike 0.0002 EUR (a) (c)		11,608		130
Consumer, Non-cyclical — 0.0%
Commercial Services — 0.0%
Ezion Holdings Ltd. Expires 4/16/23, Strike 0.2763 SGD (a) (b) (c)		14,640		-
TOTAL WARRANTS (Cost $0)				130
RIGHTS — 0.0%
Basic Materials — 0.0%
Chemicals — 0.0%
A. Schulman, Inc. CVR (a) (b) (c)		427		223

	Number of Shares		Value
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
Tobira Therapeutics Inc. CVR (a) (b) (c)		505	$	3,843
TOTAL RIGHTS (Cost $215)				4,066
TOTAL LONG-TERM INVESTMENTS (Cost $434,247,042)				483,589,231
	Principal Amount
SHORT-TERM INVESTMENTS — 1.3%
Repurchase Agreement — 1.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (f)	$	6,503,757		6,503,757
TOTAL SHORT-TERM INVESTMENTS (Cost $6,503,757)				6,503,757
TOTAL INVESTMENTS — 100.1% (Cost $440,750,799) (g)				490,092,988
Other Assets/(Liabilities) — (0.1)%				(524,102	)
NET ASSETS — 100.0%			$	489,568,886

Abbreviation Legend

CVR Contingent Value Rights

REIT Real Estate Investment Trust

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Investment was valued using significant unobservable inputs.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $23,825 or 0.00% of net assets.

(d) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $111,340 or 0.02% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(e) Represents investment of security lending collateral. (Note 2).

(f) Maturity value of $6,503,928. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $6,635,603.

(g) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

32

MM Select Equity Asset Fund – Portfolio of Investments (Continued)

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
S&P 500 E Mini Index		12/20/19		34	$	5,102,574	$	(39,124	)

The accompanying notes are an integral part of the financial statements.

33

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments

September 30, 2019

	Principal Amount		Value
BONDS & NOTES — 98.2%
BANK LOANS — 2.4%
Auto Parts & Equipment — 0.1%
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.500% 5.544% VRN 4/30/26	$	280,000	$	277,027
PQ Corp., 2018 Term Loan B, 3 mo. LIBOR + 2.500% 4.756% VRN 2/08/25		201,756		201,923
				478,950
Biotechnology — 0.0%
Aldevron LLC, 2019 Term Loan B, 0.000% VRN 9/19/26 (a)		210,000		210,525
Building Materials — 0.1%
Summit Materials Cos. I LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.000% 4.044% VRN 11/21/24		388,514		388,879
Chemicals — 0.0%
H.B. Fuller Co., 2017 Term Loan B, 1 mo. LIBOR + 2.000% 4.044% VRN 10/20/24		143,303		142,619
Commercial Services — 0.1%
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.750% 4.800% VRN 4/26/24		607,784		604,636
Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 1 mo. LIBOR + 2.750% 4.794% VRN 5/02/22		116,864		116,855
Trans Union LLC, 2018 Term Loan B4, 1 mo. LIBOR + 2.000% 4.044% VRN 6/19/25		108,625		108,897
				830,388
Computers — 0.1%
Dell International LLC Term Loan A6, 1 mo. LIBOR + 1.750% 3.810% VRN 3/13/24		246,875		246,670
2019 Term Loan B, 1 mo. LIBOR + 2.000% 4.050% VRN 9/19/25		45,251		45,449
Western Digital Corp. 2018 Term Loan B4, 0.000% VRN 4/29/23 (a)		190,000		189,248
2018 Term Loan A, 3 mo. LIBOR + 1.500% 3.612% VRN 2/27/23		434,359		432,730
				914,097

	Principal Amount		Value
Distribution & Wholesale — 0.0%
KAR Auction Services, Inc., 2019 Term Loan B6, 0.000% VRN 9/19/26 (a)	$	40,000	$	40,150
Diversified Financial Services — 0.1%
AI Alpine AT Bidco GmbH, 2018 USD Term Loan B, 1 mo. LIBOR + 2.750% 4.805% VRN 10/31/25		258,050		251,599
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, 1 mo. LIBOR + 3.750% 5.794% VRN 10/01/25		347,624		349,362
				600,961
Electric — 0.1%
PG&E Corp. DIP Delayed Draw Term Loan, 3 mo. LIBOR + 1.125% 1.125% VRN 12/31/20 (b)		51,250		51,506
DIP Term Loan, 3 mo. LIBOR + 2.250% 4.320% VRN 12/30/20		153,750		154,519
TEX Operations Co. LLC, Exit Term Loan B, 1 mo. LIBOR + 2.000% 4.044% VRN 8/04/23		300,941		301,820
Vistra Operations Co. LLC 1st Lien Term Loan B3, 1 mo. LIBOR + 2.000% 4.025% VRN 12/31/25		160,162		160,585
1st Lien Term Loan B3, 1 mo. LIBOR + 2.000% 4.044% VRN 12/31/25		237,004		237,630
				906,060
Entertainment — 0.1%
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 3 mo. LIBOR + 3.000% 5.230% VRN 4/22/26		313,425		314,469
Scientific Games International, Inc. 2018 Term Loan B5, 1 mo. LIBOR + 2.750% 4.794% VRN 8/14/24		58,219		57,673
2018 Term Loan B5, 1 mo. LIBOR + 2.750% 4.896% VRN 8/14/24		241,022		238,763
				610,905
Environmental Control — 0.1%
GFL Environmental, Inc., 2018 USD Term Loan B, 1 mo. LIBOR + 3.000% 5.044% VRN 5/30/25		398,990		395,427
Foods — 0.0%
B&G Foods, Inc., 2019 Term Loan B, 0.000% VRN 10/10/26 (a)		85,000		85,372

The accompanying notes are an integral part of the financial statements.

34

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Health Care – Services — 0.2%
Avantor, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.000% 5.044% VRN 11/21/24	$	277,409	$	279,404
Catalent Pharma Solutions, Inc., Term Loan B2, 1 mo. LIBOR + 2.250% 4.294% VRN 5/18/26		243,401		243,934
DaVita, Inc., 2019 Term Loan B, 1 mo. LIBOR + 2.250% 4.294% VRN 8/12/26		325,000		326,657
Jaguar Holding Co. II, 2018 Term Loan, 1 mo. LIBOR + 2.500% 4.544% VRN 8/18/22		267,549		267,640
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.500% 6.554% VRN 11/17/25		323,621		323,673
				1,441,308
Insurance — 0.2%
Alliant Holdings Intermediate LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.000% 5.054% VRN 5/09/25		299,242		293,952
Asurion LLC 2017 Term Loan B4, 1 mo. LIBOR + 3.000% 5.044% VRN 8/04/22		258,258		259,180
2018 Term Loan B7, 1 mo. LIBOR + 3.000% 5.044% VRN 11/03/24		446,740		448,107
2017 2nd Lien Term Loan, 1 mo. LIBOR + 6.500% 8.544% VRN 8/04/25		205,000		208,177
Hub International Ltd., 2018 Term Loan B, 3 mo. LIBOR + 3.000% 5.267% VRN 10/25/19		213,379		210,742
				1,420,158
Investment Companies — 0.1%
UFC Holdings LLC, 2019 Term Loan, 1 mo. LIBOR + 3.250% 5.300% VRN 4/29/26		590,796		591,865
Lodging — 0.0%
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, 0.000% VRN 12/22/24 (a)		199,492		198,096
Media — 0.2%
Charter Communications Operating LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.000% 4.050% VRN 4/20/25		422,848		425,174
CSC Holdings LLC 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.500% 4.278% VRN 7/17/25		389,030		388,404

	Principal Amount		Value
2018 Incremental Term Loan, 1 mo. LIBOR + 2.500% 4.278% VRN 1/15/26	$	267,900	$	267,498
				1,081,076
Metal Fabricate & Hardware — 0.0%
Advanced Drainage Systems, Inc., Term Loan B, 0.000% VRN 7/31/26 (a)		55,000		55,206
Packaging & Containers — 0.2%
Berry Global, Inc., USD Term Loan U, 2 mo. LIBOR + 2.500% 4.549% VRN 7/01/26		349,125		350,654
BWAY Holding Co., 2017 Term Loan B, 3 mo. LIBOR + 3.250% 5.590% VRN 4/03/24		421,739		412,486
Charter NEX US, Inc. Incremental Term Loan, 0.000% VRN 5/16/24 (a)		264,338		263,952
2017 Term Loan B, 0.000% VRN 5/16/24 (a)		149,617		148,028
				1,175,120
Pharmaceuticals — 0.1%
Bausch Health Cos., Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.000% 5.039% VRN 6/02/25		385,603		387,010
Retail — 0.1%
Albertsons LLC, 2019 Term Loan B8, 1 mo. LIBOR + 2.750% 4.794% VRN 8/17/26		472,315		475,097
KFC Holding Co., 2018 Term Loan B, 1 mo. LIBOR + 1.750% 3.791% VRN 4/03/25		422,854		423,204
				898,301
Semiconductors — 0.1%
Microchip Technology, Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.000% 4.050% VRN 5/29/25		450,000		450,702
Software — 0.2%
Applied Systems, Inc., 2017 1st Lien Term Loan, 0.000% VRN 9/19/24 (a)		149,618		149,336
Ceridian HCM Holding, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.000% 5.044% VRN 4/30/25		249,370		249,807
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.500% 4.544% VRN 3/01/24		174,902		173,983
Emerald TopCo, Inc., Term Loan, 1 mo. LIBOR + 2.500% 5.544% VRN 7/24/26		210,000		209,301

The accompanying notes are an integral part of the financial statements.

35

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Kronos, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.000% 5.253% VRN 11/01/19	$	582,109	$	583,034
				1,365,461
Telecommunications — 0.1%
Intelsat Jackson Holdings S.A. 2017 Term Loan B3, 1 mo. LIBOR + 3.750% 5.804% VRN 11/27/23		95,000		95,208
2017 Term Loan B4, 1 mo. LIBOR + 4.500% 6.554% VRN 1/02/24		420,000		424,549
Level 3 Financing, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.250% 4.294% VRN 2/22/24		425,000		425,620
				945,377
Transportation — 0.1%
1199169 B.C. Unlimited Liability Co., 2019 Term Loan B2, 0.000% VRN 4/06/26 (a)		33,217		33,352
Dynasty Acquisition Co., Inc., 2019 Term Loan B1, 0.000% VRN 4/06/26 (a)		116,783		117,257
Uber Technologies, 2018 Incremental Term Loan, 1 mo. LIBOR + 3.500% 5.554% VRN 7/13/23		128,634		127,536
				278,145
TOTAL BANK LOANS (Cost $15,912,546)				15,892,158
CORPORATE DEBT — 29.9%
Advertising — 0.1%
Omnicom Group, Inc./Omnicom Capital, Inc. 3.650% 11/01/24		350,000		368,199
Agriculture — 0.8%
Altria Group, Inc. 2.200% 6/15/27 EUR (c)		280,000		325,074
4.800% 2/14/29		255,000		279,334
5.800% 2/14/39		830,000		961,262
5.950% 2/14/49		430,000		505,660
BAT Capital Corp. 3.222% 8/15/24		220,000		222,409
3.557% 8/15/27		1,180,000		1,188,590
BAT International Finance PLC 3.250% 6/07/22 (d)		450,000		459,688
4.000% 9/04/26 GBP (c) (d)		150,000		206,078
Bunge Finance Europe BV 1.850% 6/16/23 EUR (c)		220,000		248,856
Bunge Ltd. Finance Corp. 3.750% 9/25/27		570,000		584,486

	Principal Amount		Value
Philip Morris International, Inc. 3.375% 8/15/29	$	170,000	$	178,324
Reynolds American, Inc. 4.450% 6/12/25		395,000		421,287
				5,581,048
Airlines — 0.4%
American Airlines Pass Through Trust Series 2017-2, Class B, 3.700% 4/15/27		795,521		799,916
Series 2016-3, Class B, 3.750% 4/15/27		537,803		546,236
Series 2019-1, Class B, 3.850% 8/15/29		375,000		378,777
Emirates Airline 4.500% 2/06/25 (d)		759,510		771,920
United Airlines Pass Through Trust 2.900% 11/01/29		160,000		159,253
3.500% 11/01/29		165,000		165,272
2.700% 11/01/33		100,000		99,724
				2,921,098
Auto Manufacturers — 0.9%
FCE Bank PLC 0.869% 9/13/21 EUR (c) (d)		200,000		217,794
1.660% 2/11/21 EUR (c) (d)		225,000		249,168
Ford Motor Credit Co. LLC 3.350% 11/01/22		490,000		490,066
5.085% 1/07/21		420,000		430,712
General Motors Financial Co., Inc. 3.450% 4/10/22		651,000		662,254
3.550% 4/09/21		520,000		527,574
4.000% 10/06/26		620,000		627,369
4.350% 4/09/25		170,000		177,080
5.100% 1/17/24		435,000		467,485
Tesla, Inc. 5.300% 8/15/25 (d) (e)		230,000		206,712
Volkswagen Bank GmbH 1.875% 1/31/24 EUR (c) (d)		100,000		114,879
2.500% 7/31/26 EUR (c) (d)		700,000		837,507
Volkswagen Group of America Finance LLC 2.850% 9/26/24 (d)		285,000		286,478
3.200% 9/26/26 (d)		320,000		322,492
Volkswagen Leasing GmbH 1.625% 8/15/25 EUR (c) (d)		500,000		569,548
				6,187,118
Auto Parts & Equipment — 0.0%
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 6.250% 5/15/26 (d)		120,000		126,300

The accompanying notes are an integral part of the financial statements.

36

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Banks — 4.4%
ABN AMRO Bank NV 6.375% 4/27/21 EUR (c) (d)	$	200,000	$	238,956
AIB Group PLC 2.250% 7/03/25 EUR (c) (d)		300,000		350,923
3 mo. USD LIBOR + 1.874% 4.263% VRN 4/10/25 (d)		640,000		665,497
Arion Banki HF 1.000% 3/20/23 EUR (c) (d)		150,000		164,441
Banco Comercial Portugues SA 5 year EUR Swap + 4.267% 4.500% VRN 12/07/27 EUR (c) (d)		100,000		112,886
Banco de Bogota SA 4.375% 8/03/27 (d)		500,000		532,505
4.375% 8/03/27 (d)		350,000		372,754
Banco de Sabadell SA 0.875% 3/05/23 EUR (c) (d)		200,000		221,767
Bank of America Corp. 2.375% 6/19/24 EUR (c) (d)		150,000		180,874
3 mo. USD LIBOR + .780% 3.550% VRN 3/05/24		1,460,000		1,517,326
3.950% 4/21/25		1,365,000		1,446,534
3 mo. USD LIBOR + 1.310% 4.271% VRN 7/23/29		665,000		739,733
Barclays Bank PLC 5.140% 10/14/20		200,000		204,515
Barclays PLC 5 year EUR Swap + 2.450% 2.625% VRN 11/11/25 EUR (c) (d)		200,000		220,644
3 mo. USD LIBOR + 1.610% 3.932% VRN 5/07/25		475,000		490,948
3 mo. USD LIBOR + 1.400% 4.610% VRN 2/15/23		1,340,000		1,391,520
BBVA Bancomer SA 4.375% 4/10/24 (d)		900,000		945,909
CaixaBank SA 1.125% 5/17/24 EUR (c) (d)		100,000		113,460
5 year EUR Swap + 2.350% 2.750% VRN 7/14/28 EUR (c) (d)		500,000		573,912
Cooperatieve Rabobank UA 4.625% 5/23/29 GBP (c) (d)		150,000		219,840
Credit Agricole SA 1.000% 9/16/24 EUR (c) (d)		200,000		228,913
Credit Suisse Group AG BPSW1 + 1.230% 2.125% VRN 9/12/25 GBP (c) (d)		150,000		187,031
SOFR + 1.560% 2.593% VRN 9/11/25 (d)		760,000		752,477
Danske Bank A/S 2.000% 9/08/21 (d)		200,000		198,637
2.700% 3/02/22 (d)		440,000		441,890
5 year EUR Swap + 1.520% 2.750% VRN 5/19/26 EUR (c) (d)		200,000		224,614

	Principal Amount		Value
3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (d)	$	200,000	$	200,733
3 mo. USD LIBOR + 1.591% 3.244% VRN 12/20/25 (d)		255,000		257,049
3.875% 9/12/23 (d)		420,000		435,433
5.375% 1/12/24 (d)		200,000		219,686
Deutsche Bank AG 5.000% 6/24/20 EUR (c) (d)		150,000		167,851
Dexia Credit Local SA 0.625% 1/21/22 EUR (c) (d)		300,000		334,903
DNB Boligkreditt AS 1.875% 11/21/22 EUR (c) (d)		100,000		116,968
The Goldman Sachs Group, Inc. 1.375% 5/15/24 EUR (c) (d)		40,000		45,353
1.625% 7/27/26 EUR (c) (d)		140,000		163,404
3.500% 11/16/26		685,000		711,612
3.750% 2/25/26		900,000		951,784
3 mo. USD LIBOR + 1.301% 4.223% VRN 5/01/29		675,000		736,823
HDFC Bank Ltd. 8.100% 3/22/25 INR (c) (d)		30,000,000		419,769
Heta Asset Resolution AG 2.375% 12/13/22 EUR (c) (d)		800,000		942,872
HSBC Holdings PLC 3 mo. USD LIBOR + .987% 3.950% VRN 5/18/24		395,000		413,388
3 mo. USD LIBOR + .987% 3.950% VRN 5/18/24		475,000		497,112
ING Bank NV 5 year EUR Swap + 2.250% 3.625% VRN 2/25/26 EUR (c) (d)		100,000		114,332
JP Morgan Chase & Co. 3 mo. USD LIBOR + .890% 3.797% VRN 7/23/24		195,000		205,661
3.900% 7/15/25		1,880,000		2,026,953
Kreditanstalt fuer Wiederaufbau 4.700% 6/02/37 CAD (c)		65,000		66,934
4.700% 6/02/37 CAD (c)		75,000		75,059
6.000% 8/20/20 AUD (c)		280,000		197,162
Landsbankinn HF 1.000% 5/30/23 EUR (c) (d)		100,000		109,564
1.625% 3/15/21 EUR (c) (d)		740,000		822,646
Morgan Stanley 3 mo. EURIBOR + .753% 0.637% VRN 7/26/24 EUR (c)		100,000		110,577
1.375% 10/27/26 EUR (c)		200,000		232,312
3.125% 7/27/26		1,380,000		1,422,236
3.700% 10/23/24		1,120,000		1,185,935
Nordea Hypotek AB 1.000% 4/08/22 SEK (c) (d)		5,400,000		563,067
1.000% 9/18/24 SEK (c) (d)		5,500,000		582,698
1.250% 5/19/21 SEK (c) (d)		5,800,000		601,887

The accompanying notes are an integral part of the financial statements.

37

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Royal Bank of Scotland Group PLC 3.875% 9/12/23	$	810,000	$	836,233
5.125% 5/28/24		340,000		362,470
6.125% 12/15/22		100,000		108,206
UBS AG 1.375% 4/16/21 EUR (c) (d)		170,000		190,397
Unicredit Bank Czech Republic & Slovakia AS 0.625% 4/30/20 EUR (c) (d)		100,000		109,258
UniCredit SpA 2.000% 3/04/23 EUR (c) (d)		200,000		230,961
				29,507,794
Beverages — 0.2%
Anheuser-Busch InBev Worldwide, Inc. 5.550% 1/23/49		1,045,000		1,367,608
Biotechnology — 0.2%
Celgene Corp. 3.875% 8/15/25		927,000		1,000,603
4.625% 5/15/44		40,000		47,503
5.250% 8/15/43		220,000		277,600
				1,325,706
Building Materials — 0.2%
Boral Finance Pty Ltd. 3.000% 11/01/22 (d)		170,000		170,557
3.750% 5/01/28 (d)		1,060,000		1,085,288
CRH Finance UK PLC 4.125% 12/02/29 GBP (c) (d)		150,000		221,197
Victoria PLC 5.250% 7/15/24 EUR (c) (d)		100,000		111,981
				1,589,023
Chemicals — 0.8%
CNAC HK Finbridge Co. Ltd. 1.750% 6/14/22 EUR (c) (d)		200,000		225,292
4.625% 3/14/23 (d)		935,000		980,079
Equate Petrochemical BV 4.250% 11/03/26 (d)		600,000		645,456
4.250% 11/03/26 (d)		300,000		322,728
Israel Chemicals Ltd. 6.375% 5/31/38 (d)		950,000		1,161,033
SASOL Financing USA LLC 5.875% 3/27/24		1,100,000		1,188,333
Syngenta Finance NV 3.933% 4/23/21 (d)		615,000		626,266
Westlake Chemical Corp. 1.625% 7/17/29 EUR (c)		215,000		240,282
				5,389,469
Commercial Services — 0.2%
AA Bond Co. Ltd. 5.500% 7/31/43 GBP (c) (d)		100,000		105,953
Experian Finance PLC 4.250% 2/01/29 (d)		205,000		230,259

	Principal Amount		Value
Refinitiv US Holdings, Inc. 4.500% 5/15/26 EUR (c) (d)	$	100,000	$	117,284
6.250% 5/15/26 (d)		120,000		128,699
Transurban Finance Co. 1.875% 9/16/24 EUR (c) (d)		100,000		117,492
3.375% 3/22/27 (d)		560,000		569,028
				1,268,715
Diversified Financial Services — 2.0%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.500% 1/15/25		150,000		153,074
3.950% 2/01/22		745,000		769,224
4.450% 4/03/26		270,000		288,392
4.875% 1/16/24		540,000		583,112
Avolon Holdings Funding Ltd. 3.950% 7/01/24 (d)		125,000		128,213
4.375% 5/01/26 (d)		270,000		279,261
5.125% 10/01/23 (d)		675,000		716,175
5.500% 1/15/23 (d)		425,000		453,479
Cabot Financial Luxembourg SA 7.500% 10/01/23 GBP (c) (d)		100,000		127,392
Capital One Bank USA 3.375% 2/15/23		2,060,000		2,122,785
Capital One Financial Corp. 0.800% 6/12/24 EUR (c)		300,000		333,129
1.650% 6/12/29 EUR (c)		300,000		341,269
3.300% 10/30/24		120,000		124,201
3.800% 1/31/28		670,000		706,841
Discover Financial Services 3.750% 3/04/25		1,150,000		1,203,433
4.100% 2/09/27		510,000		542,678
FCA Bank Spa Ireland 1.000% 11/15/21 EUR (c) (d)		100,000		111,119
GE Capital European Funding Unlimited Co. 4.625% 2/22/27 EUR (c)		150,000		203,938
GE Capital International Funding Co. Unlimited Co. 3.373% 11/15/25		890,000		907,965
4.418% 11/15/35		1,630,000		1,705,825
Housing Development Finance Corp. Ltd. 6.875% 4/30/20 INR (c) (d)		80,000,000		1,130,425
Lincoln Financing SARL 3.625% 4/01/24 EUR (c) (d)		100,000		112,581
Louvre Bidco SAS 4.250% 9/30/24 EUR (c) (d)		100,000		110,645
Synchrony Financial 3.700% 8/04/26		75,000		76,548
4.250% 8/15/24		100,000		105,408
4.375% 3/19/24		162,000		171,903
				13,509,015

The accompanying notes are an integral part of the financial statements.

38

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Electric — 2.2%
Ausgrid Finance Pty Ltd. 3.850% 5/01/23 (d)	$	585,000	$	609,700
4.350% 8/01/28 (d)		260,000		284,612
E.ON SE 1.625% 5/22/29 EUR (c) (d)		150,000		182,431
Enel Americas SA 4.000% 10/25/26		1,750,000		1,827,875
Enel Chile SA 4.875% 6/12/28		985,000		1,094,581
Enel Finance International NV 3.625% 5/25/27 (d)		970,000		1,006,518
5.625% 8/14/24 GBP (c) (d)		150,000		219,386
Eskom Holdings SOC Ltd. 5.750% 1/26/21 (d)		420,000		422,885
6.350% 8/10/28 (d)		500,000		534,892
6.350% 8/10/28 (d)		400,000		427,914
7.125% 2/11/25 (d)		400,000		411,622
7.125% 2/11/25 (d)		400,000		411,622
FirstEnergy Transmission LLC 4.350% 1/15/25 (d)		1,695,000		1,828,586
IE2 Holdco SAU 2.875% 6/01/26 EUR (c) (d)		200,000		246,970
NRG Energy, Inc. 3.750% 6/15/24 (d)		70,000		72,031
4.450% 6/15/29 (d)		230,000		239,629
Perusahaan Listrik Negara PT 4.125% 5/15/27 (d)		300,000		316,608
5.450% 5/21/28 (d)		500,000		575,638
5.450% 5/21/28 (d)		300,000		345,383
Sempra Energy 3.250% 6/15/27		1,630,000		1,674,033
3.400% 2/01/28		446,000		460,699
The Southern Co. 3.250% 7/01/26		425,000		438,289
State Grid Overseas Investment Ltd. 1.375% 5/02/25 EUR (c) (d)		100,000		114,601
4.125% 5/07/24 (d)		200,000		214,896
Vistra Operations Co. LLC 3.550% 7/15/24 (d)		220,000		221,460
4.300% 7/15/29 (d)		320,000		328,322
5.500% 9/01/26 (d)		275,000		287,705
				14,798,888
Electronics — 0.3%
Arrow Electronics, Inc. 4.000% 4/01/25		375,000		390,881
Avnet, Inc. 3.750% 12/01/21		475,000		484,788
Keysight Technologies, Inc. 4.600% 4/06/27		570,000		627,242

	Principal Amount		Value
PerkinElmer, Inc. 1.875% 7/19/26 EUR (c)	$	100,000	$	114,229
3.300% 9/15/29		610,000		609,797
				2,226,937
Engineering & Construction — 0.1%
Heathrow Funding Ltd. 4.875% 7/15/23 (d)		820,000		849,844
Entertainment — 0.0%
Cirsa Finance International Sarl 6.250% 12/20/23 EUR (c) (d)		100,000		115,807
International Game Technology PLC 3.500% 6/15/26 EUR (c) (d)		100,000		115,807
				231,614
Foods — 0.2%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC 5.750% 3/15/25		235,000		241,662
7.500% 3/15/26 (d)		180,000		200,250
B&G Foods, Inc. 5.250% 4/01/25 (e)		25,000		25,531
5.250% 9/15/27		225,000		230,085
Kraft Heinz Foods Co. 4.875% 10/01/49 (d)		190,000		191,853
Minerva Luxembourg SA 6.500% 9/20/26 (d)		300,000		312,060
Post Holdings, Inc. 5.625% 1/15/28 (d)		180,000		190,800
				1,392,241
Health Care – Products — 0.8%
Avantor, Inc. 4.750% 10/01/24 EUR (c) (d)		100,000		116,309
Becton Dickinson and Co. 1.401% 5/24/23 EUR (c)		200,000		226,336
1.900% 12/15/26 EUR (c)		200,000		233,880
3.020% 5/24/25 GBP (c)		150,000		196,370
3.363% 6/06/24		805,000		839,686
3.700% 6/06/27		1,259,000		1,336,528
4.669% 6/06/47		460,000		543,250
Becton Dickinson Euro Finance Sarl 0.632% 6/04/23 EUR (c)		170,000		187,250
1.208% 6/04/26 EUR (c)		535,000		601,754
DH Europe Finance II Sarl 0.200% 3/18/26 EUR (c)		150,000		162,992
0.450% 3/18/28 EUR (c)		100,000		109,152
0.750% 9/18/31 EUR (c)		100,000		109,330
Hill-Rom Holdings, Inc. 4.375% 9/15/27 (d)		90,000		92,012
Thermo Fisher Scientific, Inc. 0.125% 3/01/25 EUR (c)		380,000		413,318
0.500% 3/01/28 EUR (c)		130,000		141,323
0.875% 10/01/31 EUR (c)		240,000		262,010
				5,571,500

The accompanying notes are an integral part of the financial statements.

39

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Health Care – Services — 0.2%
Humana, Inc. 3.850% 10/01/24	$	365,000	$	385,560
UnitedHealth Group, Inc. 4.450% 12/15/48		415,000		490,758
WellCare Health Plans, Inc. 5.375% 8/15/26 (d)		110,000		117,403
				993,721
Holding Companies-Diversified — 0.1%
Hutchison Whampoa International Ltd. 3.625% 10/31/24 (d)		700,000		732,332
Housewares — 0.0%
Turkiye Sise ve Cam Fabrikalari AS 6.950% 3/14/26 (d)		250,000		256,875
Insurance — 0.6%
AIA Group Ltd. 3.900% 4/06/28 (d)		640,000		695,315
American International Group, Inc. 3.900% 4/01/26		75,000		79,902
5.000% 4/26/23 GBP (c) (d)		150,000		207,950
AXA Equitable Holdings, Inc. 4.350% 4/20/28		610,000		650,067
AXA SA 3 mo. EURIBOR + 3.750% 3.375% VRN 7/06/47 EUR (c) (d)		140,000		174,165
CNO Financial Group, Inc. 5.250% 5/30/25		637,000		684,648
Fidelity National Financial, Inc. 4.500% 8/15/28		290,000		311,864
RSA Insurance Group PLC 5 Year UK Gilt + 3.852% 5.125% VRN 10/10/45 GBP (c) (d)		150,000		205,507
Trinity Acquisition PLC 4.400% 3/15/26		545,000		591,022
Voya Financial, Inc. 3.125% 7/15/24		300,000		309,714
XLIT Ltd. 3 mo. EURIBOR + 2.900% 3.250% VRN 6/29/47 EUR (c)		100,000		121,121
				4,031,275
Internet — 1.6%
Alibaba Group Holding Ltd. 3.600% 11/28/24		1,980,000		2,083,301
Baidu, Inc. 2.875% 7/06/22		1,560,000		1,568,342
3.625% 7/06/27		200,000		206,214
4.375% 3/29/28		1,535,000		1,661,852
4.875% 11/14/28		200,000		224,775
Booking Holdings, Inc. 2.375% 9/23/24 EUR (c)		140,000		169,431
Expedia, Inc. Co. 2.500% 6/03/22 EUR (c)		120,000		137,811
3.800% 2/15/28		1,110,000		1,161,697
5.000% 2/15/26		359,000		403,290

	Principal Amount		Value
Netflix, Inc. 4.625% 5/15/29 EUR (c) (d)	$	470,000	$	569,484
Tencent Holdings Ltd. 3.800% 2/11/25 (d)		1,695,000		1,785,473
3.975% 4/11/29 (d)		575,000		615,254
				10,586,924
Investment Companies — 0.1%
JAB Holdings BV 2.000% 5/18/28 EUR (c) (d)		300,000		353,294
Iron & Steel — 0.2%
ABJA Investment Co. Pte Ltd. 5.450% 1/24/28 (d)		200,000		194,838
5.450% 1/24/28 (d)		700,000		681,932
ArcelorMittal 3.600% 7/16/24		480,000		484,888
4.550% 3/11/26		145,000		151,713
				1,513,371
Leisure Time — 0.0%
Pinnacle Bidco PLC 6.375% 2/15/25 GBP (c) (d)		100,000		130,787
Lodging — 0.2%
Gohl Capital Ltd. 4.250% 1/24/27 (d)		800,000		836,056
Las Vegas Sands Corp. 3.200% 8/08/24		145,000		147,687
3.500% 8/18/26		210,000		213,332
				1,197,075
Machinery – Diversified — 0.1%
Roper Technologies, Inc. 2.350% 9/15/24		130,000		130,170
2.950% 9/15/29		210,000		210,510
				340,680
Media — 0.9%
Altice Financing SA 5.250% 2/15/23 EUR (c) (d)		100,000		111,997
Altice SA 7.750% 5/15/22 (d)		52,000		53,105
Charter Communications Operating LLC/Charter Communications Operating Capital 4.908% 7/23/25		645,000		707,536
5.750% 4/01/48		88,000		100,319
6.484% 10/23/45		105,000		127,767
Comcast Corp. 3.150% 3/01/26		475,000		497,365
3.200% 7/15/36		50,000		51,154
3.300% 2/01/27		265,000		279,948
3.950% 10/15/25		150,000		163,269
4.150% 10/15/28		625,000		701,079
4.700% 10/15/48		760,000		930,577

The accompanying notes are an integral part of the financial statements.

40

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
CSC Holdings LLC 7.500% 4/01/28 (d)	$	200,000	$	225,230
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (d)		200,000		207,500
Fox Corp. 4.709% 1/25/29 (d)		285,000		325,538
Globo Comunicacao e Participacoes SA 5.125% 3/31/27 (d)		1,100,000		1,127,500
TDF Infrastructure SAS 2.875% 10/19/22 EUR (c) (d)		100,000		115,764
Virgin Media Secured Finance PLC 6.250% 3/28/29 GBP (c) (d)		90,000		117,576
				5,843,224
Mining — 0.1%
Anglo American Capital PLC 4.000% 9/11/27 (d)		225,000		232,346
Constellium SE 4.250% 2/15/26 EUR (c) (d)		100,000		112,213
				344,559
Miscellaneous – Manufacturing — 0.3%
General Electric Co. 3.375% 3/11/24		320,000		329,272
3.450% 5/15/24		100,000		102,696
0.875% 5/17/25 EUR (c)		100,000		109,545
5.550% 1/05/26		545,000		616,334
1.875% 5/28/27 EUR (c)		150,000		171,777
2.125% 5/17/37 EUR (c)		140,000		156,481
3 mo. USD LIBOR + 3.330% 5.000% VRN 12/29/49 (f)		125,000		118,076
				1,604,181
Multi-National — 0.2%
European Investment Bank 1.250% 5/12/25 SEK (c) (d)		6,400,000		694,413
1.250% 5/12/25 SEK (c) (d)		2,050,000		222,429
Inter-American Development Bank 4.400% 1/26/26 CAD (c)		145,000		125,731
4.400% 1/26/26 CAD (c)		150,000		130,067
				1,172,640
Oil & Gas — 1.8%
BP Capital Markets PLC 1.109% 2/16/23 EUR (c) (d)		150,000		169,672
2.213% 9/25/26 EUR (c) (d)		160,000		198,144
Cenovus Energy, Inc. 3.800% 9/15/23		220,000		226,899
4.250% 4/15/27 (e)		160,000		166,349
5.400% 6/15/47		215,000		242,053
Ecopetrol SA 4.125% 1/16/25		700,000		738,745

	Principal Amount		Value
Eni SpA 4.000% 9/12/23 (d)	$	390,000	$	412,861
4.750% 9/12/28 (d)		425,000		482,195
KazMunayGas National Co. JSC 4.750% 4/19/27 (d)		800,000		865,520
Matador Resources Co. 5.875% 9/15/26		135,000		135,256
Occidental Petroleum Corp. 2.900% 8/15/24		1,030,000		1,037,708
3.200% 8/15/26		75,000		75,672
4.400% 8/15/49		345,000		354,628
Pertamina Persero PT 6.450% 5/30/44 (d)		200,000		257,216
Petrobras Global Finance BV 7.375% 1/17/27		1,415,000		1,709,051
Petroleos Mexicanos 5.125% 3/15/23 EUR (c) (d)		850,000		1,016,798
QEP Resources, Inc. 5.250% 5/01/23		60,000		55,651
Saudi Arabian Oil Co. 3.500% 4/16/29 (d)		800,000		834,722
4.375% 4/16/49 (d)		450,000		491,553
Seven Generations Energy Ltd. 5.375% 9/30/25 (d)		210,000		207,900
Woodside Finance Ltd. 3.700% 9/15/26 (d)		2,000,000		2,068,553
				11,747,146
Packaging & Containers — 0.0%
Trivium Packaging Finance BV 3.750% 8/15/26 EUR (c) (d)		200,000		230,525
Pharmaceuticals — 2.2%
AbbVie, Inc. 3.600% 5/14/25		855,000		889,273
4.700% 5/14/45		530,000		566,975
4.875% 11/14/48		1,210,000		1,334,916
Allergan Funding SCS 2.625% 11/15/28 EUR (c)		160,000		199,902
Bausch Health Americas, Inc. 8.500% 1/31/27 (d)		290,000		325,467
Bausch Health Cos., Inc. 5.750% 8/15/27 (d)		120,000		129,700
Bayer US Finance II LLC 3.875% 12/15/23 (d)		900,000		940,143
Bristol-Myers Squibb Co. 3.200% 6/15/26 (d)		290,000		304,243
4.125% 6/15/39 (d)		830,000		940,574
Cardinal Health, Inc. 3.750% 9/15/25		420,000		434,172
4.900% 9/15/45		20,000		20,380
Cigna Corp. 4.125% 11/15/25		258,000		277,013
4.375% 10/15/28		590,000		644,679
4.900% 12/15/48		510,000		583,479

The accompanying notes are an integral part of the financial statements.

41

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
CVS Health Corp. 3.700% 3/09/23	$	670,000	$	697,428
4.100% 3/25/25		595,000		635,737
5.050% 3/25/48		1,145,000		1,299,493
5.125% 7/20/45		25,000		28,337
Express Scripts Holding Co. 3.400% 3/01/27		385,000		397,733
4.500% 2/25/26		1,270,000		1,386,970
Perrigo Finance Unlimited Co. 3.900% 12/15/24		275,000		281,919
4.375% 3/15/26		415,000		428,948
Shire Acquisitions Investments Ireland DAC 3.200% 9/23/26		1,415,000		1,459,993
Takeda Pharmaceutical Co. Ltd. 2.250% 11/21/26 EUR (c) (d)		270,000		329,287
				14,536,761
Pipelines — 1.8%
APT Pipelines Ltd. 4.250% 7/15/27 (d)		885,000		951,575
Boardwalk Pipelines LP 4.950% 12/15/24		1,415,000		1,513,244
Cheniere Corpus Christi Holdings LLC 7.000% 6/30/24		290,000		333,297
Cheniere Energy Partners LP 4.500% 10/01/29 (d)		205,000		209,869
DCP Midstream Operating LP 6.750% 9/15/37 (d)		160,000		168,400
Energy Transfer Operating LP 4.500% 4/15/24		105,000		111,924
4.950% 6/15/28		160,000		175,842
5.250% 4/15/29		685,000		773,176
5.500% 6/01/27		280,000		316,763
5.875% 1/15/24		285,000		316,823
6.000% 6/15/48		430,000		508,021
NGL Energy Partners LP/NGL Energy Finance Corp. 7.500% 4/15/26 (d)		185,000		185,832
Peru LNG Srl 5.375% 3/22/30 (d)		800,000		830,000
Plains All American Pipeline LP/PAA Finance Corp. 3.850% 10/15/23		500,000		517,890
Sabine Pass Liquefaction LLC 5.000% 3/15/27		290,000		319,759
5.875% 6/30/26		1,215,000		1,392,146
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.875% 1/15/29 (d)		240,000		262,217
Transcanada Trust 3 mo. CDOR + 3.080% 4.650% VRN 5/18/77 CAD (c)		650,000		473,621

	Principal Amount		Value
Transcontinental Gas Pipe Line Co. LLC 4.000% 3/15/28	$	125,000	$	133,670
4.600% 3/15/48		175,000		193,780
Williams Cos., Inc. 4.500% 11/15/23		895,000		957,777
4.550% 6/24/24		385,000		414,378
4.850% 3/01/48		915,000		978,950
				12,038,954
Private Equity — 0.0%
Blackstone Property Partners Europe Holdings Sarl 2.000% 2/15/24 EUR (c) (d)		151,000		173,570
Real Estate — 0.2%
ADO Properties SA 1.500% 7/26/24 EUR (c) (d)		100,000		109,155
Akelius Residential Property AB 1.750% 2/07/25 EUR (c) (d)		120,000		137,768
Consus Real Estate AG 9.625% 5/15/24 EUR (c) (d)		175,000		191,703
Country Garden Holdings Co. Ltd. 7.125% 4/25/22 (d)		200,000		212,295
Residomo SRO 3.375% 10/15/24 EUR (c) (d)		100,000		112,527
Shimao Property Holdings Ltd. 6.375% 10/15/21 (d)		800,000		835,934
				1,599,382
Real Estate Investment Trusts (REITS) — 2.6%
Alexandria Real Estate Equities, Inc. 3.950% 1/15/27		1,415,000		1,514,920
American Campus Communities Operating Partnership LP 3.300% 7/15/26		405,000		415,586
American Tower Corp. 3.000% 6/15/23		420,000		429,631
Boston Properties LP 3.650% 2/01/26		850,000		899,517
Brixmor Operating Partnership LP 4.125% 6/15/26		2,000,000		2,121,167
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23		2,100,000		2,201,021
Essex Portfolio LP 3.875% 5/01/24		620,000		653,883
GLP Capital LP/GLP Financing II, Inc. 3.350% 9/01/24		125,000		125,713
5.250% 6/01/25		125,000		137,691
HCP, Inc. 3.250% 7/15/26		65,000		66,868
3.500% 7/15/29		70,000		72,731
Healthcare Realty Trust, Inc. 3.625% 1/15/28		850,000		884,240

The accompanying notes are an integral part of the financial statements.

42

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Highwoods Realty LP 3.050% 2/15/30	$	675,000	$	661,668
4.125% 3/15/28		580,000		617,779
Inmobiliaria Colonial Socimi SA 2.728% 6/05/23 EUR (c) (d)		200,000		239,222
MPT Operating Partnership LP/MPT Finance Corp. 5.000% 10/15/27		322,000		337,295
Prologis LP 2.250% 6/30/29 GBP (c)		150,000		194,124
Regency Centers LP 3.600% 2/01/27		305,000		320,257
4.125% 3/15/28		110,000		119,426
SBA Tower Trust 2.836% 1/15/50 (d)		320,000		320,411
3.448% 3/15/48 (d)		1,400,000		1,441,488
3.722% 4/09/48 (d)		415,000		432,492
Ventas Realty LP 3.000% 1/15/30		565,000		559,715
VEREIT Operating Partnership LP 3.950% 8/15/27		1,850,000		1,952,972
4.875% 6/01/26		550,000		609,171
				17,328,988
Retail — 0.5%
eG Global Finance PLC 4.375% 2/07/25 EUR (c) (d)		100,000		105,725
EVOCA SpA 7.000% 10/15/23 EUR (c) (d)		100,000		113,039
LSF10 Wolverine Investments SCA 5.000% 3/15/24 EUR (c) (d)		100,000		111,694
Next PLC 3.625% 5/18/28 GBP (c) (d)		250,000		326,626
QVC, Inc. 4.375% 3/15/23		1,750,000		1,811,402
SACI Falabella 4.375% 1/27/25 (d)		900,000		952,813
				3,421,299
Semiconductors — 0.6%
Asml Holding NV 0.625% 7/07/22 EUR (c) (d)		100,000		111,007
1.625% 5/28/27 EUR (c) (d)		100,000		120,785
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.125% 1/15/25		200,000		198,597
3.625% 1/15/24		700,000		715,827
Broadcom, Inc. 3.625% 10/15/24 (d)		270,000		274,521
4.250% 4/15/26 (d)		435,000		449,315
Micron Technology, Inc. 4.185% 2/15/27		405,000		416,699
4.640% 2/06/24		810,000		859,349

	Principal Amount		Value
4.663% 2/15/30	$	55,000	$	57,206
4.975% 2/06/26		435,000		468,577
NXP BV / NXP Funding LLC 4.875% 3/01/24 (d)		500,000		541,949
				4,213,832
Software — 0.3%
Fidelity National Information Services, Inc. 0.750% 5/21/23 EUR (c)		190,000		211,537
2.602% 5/21/25 GBP (c)		330,000		428,011
Fiserv, Inc. 0.375% 7/01/23 EUR (c)		200,000		219,959
1.125% 7/01/27 EUR (c)		230,000		260,693
3.000% 7/01/31 GBP (c)		250,000		329,197
3.200% 7/01/26		320,000		331,166
				1,780,563
Telecommunications — 1.3%
Altice France SA 3.375% 1/15/28 EUR (c) (d)		135,000		149,520
5.500% 1/15/28 (d)		495,000		501,237
6.250% 5/15/24 (d)		116,000		119,712
AT&T, Inc. 4.500% 3/09/48		460,000		494,790
C&W Senior Financing DAC 7.500% 10/15/26 (d)		200,000		211,000
Chorus Ltd. 1.125% 10/18/23 EUR (c) (d)		100,000		112,932
Empresa Nacional de Telecomunicaciones SA 4.750% 8/01/26 (d)		275,000		289,784
4.875% 10/30/24 (d)		350,000		369,889
Intelsat Jackson Holdings SA 9.500% 9/30/22 (d)		180,000		208,800
MTN Mauritius Investments Ltd. 4.755% 11/11/24 (d)		400,000		404,880
6.500% 10/13/26 (d)		200,000		218,690
Telefonica Emisiones SA 2.242% 5/27/22 EUR (c) (d)		200,000		231,095
Verizon Communications, Inc. 4.672% 3/15/55		183,000		219,511
4.750% 11/01/41		165,000		195,692
4.862% 8/21/46		1,485,000		1,813,755
5.012% 4/15/49		355,000		446,350
Vodafone Group PLC 4.125% 5/30/25		750,000		809,809
4.125% 5/30/25		280,000		302,329
4.875% 6/19/49		700,000		779,414
5.000% 5/30/38		470,000		537,083
5.250% 5/30/48		300,000		347,740
				8,764,012

The accompanying notes are an integral part of the financial statements.

43

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Transportation — 0.0%
ICTSI Treasury BV 4.625% 1/16/23 (d)	$	200,000	$	208,100
Trucking & Leasing — 0.2%
DAE Funding LLC 5.750% 11/15/23 (d)		175,000		183,899
SMBC Aviation Capital Finance DAC 4.125% 7/15/23 (d)		1,110,000		1,166,689
				1,350,588
TOTAL CORPORATE DEBT (Cost $192,317,501)				200,706,775
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 16.7%
Auto Floor Plan ABS — 0.2%
Ford Credit Floorplan Master Owner Trust A, Series 2018-2, Class B 3.320% 3/15/25		1,200,000		1,241,570
Automobile ABS — 1.4%
Americredit Automobile Receivables Trust, Series 2019-1, Class B 3.130% 2/18/25		160,000		163,630
Avis Budget Rental Car Funding AESOP LLC Series 2017-2A, Class A, 2.970% 3/20/24		1,635,000		1,670,424
Series 2019-1A, Class A, 3.450% 3/20/23 (d)		275,000		282,529
Capital Auto Receivables Asset Trust Series 2018-2, Class C, 3.690% 12/20/23 (d)		825,000		835,907
Series 2018-1, Class D, 3.700% 6/20/25 (d)		800,000		813,373
CarMax Auto Owner Trust, Series 2017-3, Class B 2.440% 2/15/23		1,215,000		1,222,613
GM Financial Automobile Leasing Trust, Series 2017-3, Class C 2.730% 9/20/21		1,375,000		1,375,243
Santander Drive Auto Receivables Trust, Series 2016-3, Class D 2.800% 8/15/22		1,530,000		1,538,479
Santander Retail Auto Lease Trust Series 2019-B, Class D, 3.310% 6/20/24 (d)		715,000		720,536
Series 2018-A, Class C, 3.490% 5/20/22 (d)		385,000		388,444
World Omni Auto Receivables Trust, Series 2018-B, Class B 3.170% 1/15/25		200,000		205,056
				9,216,234

	Principal Amount		Value
Commercial MBS — 6.4%
Ashford Hospitality Trust Series 2018-KEYS, Class A, 1 mo. USD LIBOR + .900% 2.928% FRN 4/15/35 (d)	$	322,102	$	321,599
Series 2018-ASHF, Class B, 1 mo. USD LIBOR + 1.250% 3.278% FRN 4/15/35 (d)		235,000		234,345
Series 2018-ASHF, Class C, 1 mo. USD LIBOR + 1.400% 3.428% FRN 4/15/35 (d)		110,000		109,968
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class B 3.500% 9/15/32 (d) (g)		235,000		235,048
Aventura Mall Trust, Series 2018-AVM, Class A, 4.249% VRN 7/05/40 (d) (h)		380,000		428,655
BANK Series 2019-BN21, Class D, 2.500% 10/17/52 (d) (g)		495,000		439,598
Series 2019-BN21, Class A4, 2.600% 10/17/52 (g)		720,000		727,189
Series 2019-BN20, Class A2, 2.758% 9/15/61		630,000		644,753
Series 2019-BN21, Class A5, 2.851% 10/17/52 (g)		265,000		272,943
Series 2017-BNK5, Class B, 3.896% VRN 6/15/60 (h)		980,000		1,055,505
Series 2019-BNK18, Class B, 3.977% 5/15/62		480,000		523,954
Series 2018-BNK13, Class A5, 4.217% VRN 8/15/61 (h)		415,000		471,718
Series 2017-BNK5, Class C, 4.398% VRN 6/15/60 (h)		850,000		904,732
Benchmark Mortgage Trust Series 2019-B13, Class A3, 2.701% 8/15/57 (g)		840,000		853,364
Series 2019-B13, Class AM, 3.183% 8/15/57 (g)		320,000		332,064
Series 2018-B3, Class AS, 4.195% VRN 4/10/51 (h)		375,000		417,193
Series 2018-B8, Class A5, 4.232% 1/15/52		620,000		707,698
Cantor Commercial Real Estate Lending Series 2019-CF2, Class A4, 2.624% 11/18/52 (g)		715,000		722,178
Series 2019-CF2, Class B, 3.267% VRN 11/15/52 (g) (h)		295,000		303,849
Series 2019-CF1, Class B, 4.178% 5/15/52		370,000		409,534
Series 2019-CF1, Class C, 4.352% 5/15/52		380,000		411,366

The accompanying notes are an integral part of the financial statements.

44

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
CGGS Commercial Mortgage Trust Series 2018-WSS, Class A, 1 mo. USD LIBOR + .900% 2.928% FRN 2/15/37 (d)	$	840,000	$	836,346
Series 2018-WSS, Class B, 1 mo. USD LIBOR + 1.100% 3.128% FRN 2/15/37 (d)		345,000		343,484
Citigroup Commercial Mortgage Trust, Series 2018-B2, Class C, 4.829% VRN 3/10/51 (h)		205,000		220,593
COMM Mortgage Trust Series 2017-COR2, Class A3, 3.510% 9/10/50		1,720,000		1,845,598
Series 2014-CR20, Class AM, 3.938% 11/10/47		1,490,000		1,582,540
Series 2015-CR26, Class B, 4.634% VRN 10/10/48 (h)		627,000		685,288
Series 2014-UBS2, Class B, 4.701% 3/10/47		207,000		221,431
Commercial Mortgage Pass Through Certificates, Series 2015-LC23, Class AM, 4.158% VRN 10/10/48 (h)		1,650,000		1,791,914
CSAIL Commercial Mortgage Trust Series 2019-C17, Class A4, 2.763% 9/15/52		655,000		669,443
Series 2019-C17, Class AS, 3.278% 9/15/52		285,000		296,825
Series 2019-C16, Class A3, 3.329% 6/15/52		1,135,000		1,208,401
Series 2019-C17, Class B, 3.480% 9/15/52		330,000		343,655
FREMF Mortgage Trust Series 2019-K736, Class B, 3.759% VRN 7/25/26 (d) (h)		585,000		612,650
Series 2018-K73, Class B, 3.985% VRN 2/25/51 (d) (h)		665,000		704,936
Series 2018-K731, Class B, 4.063% VRN 2/25/25 (d) (h)		390,000		409,290
GS Mortgage Securities Trust Series 2019-GC42, Class A3, 2.749% 9/01/52		690,000		707,685
Series 2018-FBLU, Class A, 1 mo. USD LIBOR + .950% 2.978% FRN 11/15/35 (d)		395,000		395,000
Series 2019-GC40, Class A4, 3.160% 7/10/52		1,005,000		1,060,712
Series 2019-GSMS, Class C, 1 mo. USD LIBOR + 1.300% 3.328% FRN 6/15/36 (d)		735,000		735,458
Hudson Yards Mortgage Trust Series 2019-30HY, Class B, 3.380% VRN 7/10/39 (d) (h)		410,000		434,901

	Principal Amount		Value
Series 2019-30HY, Class D, 3.558% VRN 7/10/39 (d) (h)	$	470,000	$	489,218
ILPT Trust, Series 2019-SURF, Class A 4.145% 2/11/41 (d)		835,000		945,068
Independence Plaza Trust Series 2018-INDP, Class A, 3.763% 7/10/35 (d)		845,000		901,482
Series 2018-INDP, Class B, 3.911% 7/10/35 (d)		855,000		895,403
InTown Hotel Portfolio Trust, Series 2018-STAY, Class C, 1 mo. USD LIBOR + 1.250% 3.278% FRN 1/15/33 (d)		500,000		499,686
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX 4.248% 7/05/33 (d)		115,000		123,491
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class AS, 3.858% VRN 3/15/50 (h)		160,000		172,796
Monarch Beach Resort Trust, Series 2018-MBR, Class A, 1 mo. USD LIBOR + .920% 2.948% FRN 7/15/35 (d)		915,000		913,281
Morgan Stanley Baml Trust, Series 2015-C22, Class AS 3.561% 4/15/48		260,000		272,315
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30, Class A5, 2.860% 9/15/49		425,000		437,851
Series 2014-C15, Class B, 4.565% VRN 4/15/47 (h)		1,215,000		1,304,578
MSCG Trust, Series 2018-SELF, Class A, 1 mo. USD LIBOR + .900% 2.928% FRN 10/15/37 (d)		1,210,000		1,211,119
RETL, Series 2019-RVP, Class A, 1 mo. USD LIBOR + 1.150% 3.178% FRN 3/15/36 (d)		527,501		527,834
SLIDE Series 2018-FUN, Class A, 1 mo. USD LIBOR + .900% 2.928% FRN 6/15/31 (d)		1,012,081		1,011,139
Series 2018-FUN, Class E, 1 mo. USD LIBOR + 2.300% 4.328% FRN 6/15/31 (d)		379,530		382,383
Wells Fargo Commercial Mortgage Trust Series 2019-JWDR, Class A, 2.584% 9/15/31 (d) (g)		710,000		708,744
Series 2019-JWDR, Class B, 2.786% 9/15/31 (d) (g)		205,000		204,630
Series 2019-C51, Class A4, 3.311% 6/15/52		1,130,000		1,203,925

The accompanying notes are an integral part of the financial statements.

45

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2017-C38, Class A5, 3.453% 7/15/50	$	970,000	$	1,039,975
Series 2014-LC18, Class AS, 3.808% 12/15/47		1,695,000		1,786,404
Series 2017-C39, Class B, 4.025% 9/15/50		1,010,000		1,086,865
Series 2017-C41, Class B, 4.188% VRN 11/15/50 (h)		381,000		415,620
Series 2015-C29, Class C, 4.365% VRN 6/15/48 (h)		935,000		983,755
				43,150,965
Credit Card ABS — 0.3%
Capital One Multi-Asset Execution Trust, Series 2019-A3, Class A3 2.060% 8/15/28		675,000		671,840
Synchrony Card Funding LLC, Series 2019-A2, Class A 2.340% 6/15/25		445,000		448,782
Synchrony Credit Card Master Note Trust, Series 2018-1, Class C 3.360% 3/15/24		1,020,000		1,026,267
				2,146,889
Other ABS — 3.8%
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I 4.194% 6/07/49 (d)		685,000		700,843
Barings BDC Static CLO Ltd., Series 2019-1A, Class A1, 3 mo. USD LIBOR + 1.020% 3.323% FRN 4/15/27 (d)		843,229		843,447
Barings CLO Ltd., Series 2016-2A, Class AR, 3 mo. USD LIBOR + 1.080% 3.358% FRN 7/20/28 (d)		440,000		440,192
Bayview Mortgage Fund IV Trust, Series 2017-RT3, Class A 3.500% 1/28/58		758,858		772,830
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2RR, 3 mo. USD LIBOR + 1.750% 4.028% FRN 1/20/29 (d)		420,000		419,800
Bluemountain Clo Ltd. Series 2015-2A, Class A1R, 3 mo. USD LIBOR + .930% 3.230% FRN 7/18/27 (d)		275,000		275,077
Series 2015-2A, Class BR, 3 mo. USD LIBOR + 1.500% 3.800% FRN 7/18/27 (d)		250,000		248,894
CBAM Ltd., Series 2019-9A, Class A, 3 mo. USD LIBOR + 1.280% 4.009% FRN 2/12/30 (d)		1,230,000		1,231,089

	Principal Amount		Value
CIFC Funding Ltd. Series 2015-5A, Class A1R, 3 mo. USD LIBOR + .860% 3.136% FRN 10/25/27 (d)	$	470,000	$	467,939
Series 2015-4A, Class A1R, 3 mo. USD LIBOR + 1.150% 3.428% FRN 10/20/27 (d)		450,000		450,246
Cole Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.050% 3.328% FRN 10/20/28 (d)		755,000		755,285
Eaton Vance CLO Ltd., Series 2013-1A, Class A2RR, 3 mo. USD LIBOR + 1.850% 4.067% FRN 1/15/28 (d)		1,210,000		1,209,401
Galaxy XXIX CLO Ltd., Series 2018-29A, Class B, 3 mo. USD LIBOR + 1.400% 3.558% FRN 11/15/26 (d)		250,000		249,523
Golub Capital Partners CLO, Series 2018-39A, Class A1, 3 mo. USD LIBOR + 1.150% 3.428% FRN 10/20/28 (d)		570,000		569,992
Hardee’s Funding LLC Series 2018-1A, Class A2I, 4.250% 6/20/48 (d)		594,000		605,034
Series 2018-1A, Class AII, 4.959% 6/20/48 (d)		321,750		346,364
Hilton Grand Vacations Trust, Series 2014-AA, Class B 2.070% 11/25/26 (d)		233,620		232,326
Jack In The Box Funding LLC, Series 2019-1A, Class A2I 3.982% 8/25/49 (d)		540,000		541,947
Madison Park Funding XXXIII Ltd., Series 2019-33A, Class A, 3 mo. USD LIBOR + 1.330% 3.430% FRN 10/15/32 (d) (g)		1,020,000		1,020,000
Madison Park Funding XXXVII Ltd., Series 2019-37A, Class A1, 3 mo. USD LIBOR + 1.300% 3.603% FRN 7/15/32 (d)		305,000		305,663
Magnetite XVIII Ltd., Series 2016-18A, Class AR, 3 mo. USD LIBOR + 1.080% 3.238% FRN 11/15/28 (d)		1,055,000		1,055,611
Mill City Mortgage Loan Trust, Series 2018-1, Class A1, 3.250% VRN 5/25/62 (d) (h)		547,989		556,873
Neuberger Berman CLO XIX Ltd., Series 2015-19A, Class A2R2, 3 mo. USD LIBOR + 1.150% 3.453% FRN 7/15/27 (d)		820,000		816,499

The accompanying notes are an integral part of the financial statements.

46

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, 3 mo. USD LIBOR + .850% 3.153% FRN 1/15/28 (d)	$	1,000,000	$	998,192
OCP CLO Ltd., Series 2014-7A, Class A1RR, 3 mo. USD LIBOR + 1.120% 3.398% FRN 7/20/29 (d)		725,000		721,088
Octagon Investment Partners XXIII Ltd. Series 2015-1A, Class A1R, 3 mo. USD LIBOR + .850% 3.153% FRN 7/15/27 (d)		320,000		319,139
Series 2015-1A, Class BR, 3 mo. USD LIBOR + 1.200% 3.503% FRN 7/15/27 (d)		265,000		263,822
OZLM VII Ltd., Series 2014-7RA, Class A1R, 3 mo. USD LIBOR + 1.010% 3.313% FRN 7/17/29 (d)		365,000		362,734
OZLM VIII Ltd., Series 2014-8A, Class A1RR, 3 mo. USD LIBOR + 1.170% 3.473% FRN 10/17/29 (d)		645,000		644,327
Palmer Square CLO Ltd., 3 mo. USD LIBOR + 2.250% 4.402% FRN 5/21/29 (d)		515,000		510,033
SBA Tower Trust, Series 2014-2A, Class C, 3.869% STEP 10/15/49 (d)		760,000		791,313
Southwick Park CLO LLC, Series 2019-4A, Class A1, 3 mo. USD LIBOR + 1.300% 3.466% FRN 7/20/32 (d)		1,215,000		1,214,951
Symphony CLO XVII Ltd., Series 2016-17A, Class AR, 3 mo. USD LIBOR + .880% 3.183% FRN 4/15/28 (d)		635,000		633,178
Taco Bell Funding LLC, Series 2018-1A, Class A2I 4.318% 11/25/48 (d)		570,688		590,361
Towd Point Mortgage Trust Series 2018-2, Class A1, 3.250% VRN 3/25/58 (d) (h)		742,395		754,421
Series 2018-5, Class A1A, 3.250% VRN 7/25/58 (d) (h)		453,321		461,753
Series 2015-6, Class A1, 3.500% VRN 4/25/55 (d) (h)		564,310		571,872
Series 2019-1, Class A1, 3.750% VRN 3/25/58 (d) (h)		566,903		592,981
Series 2018-3, Class A1, 3.750% VRN 5/25/58 (d) (h)		672,770		697,124
Series 2018-SJ1, Class A1, 4.000% VRN 10/25/58 (d) (h)		835,709		841,977

	Principal Amount		Value
Verizon Owner Trust, Series 2018-1A, Class C 3.200% 9/20/22 (d)	$	650,000	$	660,179
				25,744,320
Student Loans ABS — 0.7%
SLM Student Loan Trust, Series 2008-1, Class A4, 3 mo. USD LIBOR + .650% 2.926% FRN 1/25/22		648,129		640,959
SMB Private Education Loan Trust Series 2016-B, Class A2A, 2.430% 2/17/32 (d)		926,586		930,633
Series 2017-B, Class A2A, 2.820% 10/15/35 (d)		368,315		372,796
Series 2018-A, Class A2A, 3.500% 2/15/36 (d)		1,310,000		1,375,181
Series 2018-C, Class A2A, 3.630% 11/15/35 (d)		990,000		1,031,586
				4,351,155
WL Collateral CMO — 3.8%
Angel Oak Mortgage Trust Series 2018-3, Class A3, 3.238% VRN 5/25/59 (d) (h)		566,627		571,359
Series 2019-2, Class A1, 3.628% VRN 3/25/49 (d) (h)		592,272		602,757
Series 2019-1, Class A1, 3.920% VRN 11/25/48 (d) (h)		936,070		950,839
Series 2019-1, Class A2, 4.022% VRN 11/25/48 (d) (h)		211,497		214,827
COLT Mortgage Loan Trust Series 2019-3, Class A1, 2.764% VRN 8/25/49 (d) (h)		1,070,798		1,071,571
Series 2019-2, Class A1, 3.337% VRN 5/25/49 (d) (h)		419,116		427,199
Series 2019-1, Class A1, 3.705% VRN 3/25/49 (d) (h)		937,031		957,949
Series 2018-3, Class A3, 3.865% VRN 10/26/48 (d) (h)		282,519		287,058
Series 2018-4, Class A1, 4.006% VRN 12/28/48 (d) (h)		354,997		364,339
Deephaven Residential Mortgage Trust Series 2018-2A, Class A1, 3.479% VRN 4/25/58 (d) (h)		243,732		247,953
Series 2019-1A, Class A1, 3.743% VRN 1/25/59 (d) (h)		268,927		273,261
Flagstar Mortgage Trust, Series 2018-6RR, Class 2A4, 4.000% VRN 9/25/48 (d) (h)		269,565		275,383
Galton Funding Mortgage Trust Series 2018-1, Class A23, 3.500% VRN 11/25/57 (d) (h)		201,101		202,647
Series 2019-2, Class A42, 3.500% VRN 6/25/59 (d) (h)		406,421		406,895

The accompanying notes are an integral part of the financial statements.

47

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
GMRF Mortgage Acquisition Co. Series 2019-1, Class A22, 4.000% 2/25/59	$	162,313	$	164,329
Series 2019-1, Class A42, 4.000% 2/25/59		153,159		152,747
Homeward Opportunities Fund I Trust Series 2019-2, Class A1, 2.702% VRN 9/25/59 (d) (h)		1,106,727		1,104,891
Series 2019-1, Class A1, 3.454% VRN 1/25/59 (d) (h)		500,985		508,055
Series 2019-1, Class A3, 3.606% VRN 1/25/59 (d) (h)		530,455		538,583
JP Morgan Mortgage Trust, Series 2019-INV2, Class A3, 3.500% VRN 2/25/50 (d) (h)		365,000		368,905
Metlife Securitization Trust, Series 2018-1A, Class A, 3.750% VRN 3/25/57 (d) (h)		357,480		374,919
New Residential Mortgage Loan Trust Series 2019-NQM3, Class A3, 3.086% VRN 7/25/49 (d) (h)		320,944		323,585
Series 2019-NQM2, Class A1, 3.600% 4/25/49		445,241		453,767
Series 2019-NQM1, Class A1, 3.675% VRN 1/25/49 (d) (h)		583,570		601,632
Series 2019-NQM1, Class A3, 3.928% VRN 1/25/49 (d) (h)		556,519		573,643
OBX Trust, Series 2019-INV2, Class A25, 4.000% VRN 5/27/49 (d) (h)		1,039,589		1,065,488
Onslow Bay Financial LLC, Series 2019-EXP2, Class 1A3, 4.000% VRN 7/25/59 (d) (h)		503,079		514,034
Sequoia Mortgage Trust Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (d) (h)		1,116,817		1,132,796
Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (d) (h)		450,000		494,917
Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (d) (h)		377,786		392,635
Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (d) (h)		532,819		557,957
Starwood Mortgage Residential Trust Series 2019-1, Class A1, 2.941% VRN 6/25/49 (d) (h)		559,395		559,086
Series 2019-1, Class A2, 3.146% VRN 6/25/49 (d) (h)		463,772		463,570
Series 2019-IMC1, Class A1, 3.468% 2/25/49		376,237		379,846
Series 2018-IMC2, Class A1, 4.121% 10/25/48		657,358		677,152

	Principal Amount		Value
Verus Securitization Trust Series 2017-2A, Class A3, 2.845% VRN 7/25/47 (d) (h)	$	688,449	$	687,398
Series 2019-INV2, Class A1, 2.913% VRN 7/25/59 (d) (h)		1,078,450		1,074,610
Series 2019-3, Class A3, 3.040% STEP 7/25/59 (d)		330,892		331,616
Series 2019-INV2, Class A2, 3.117% VRN 7/25/59 (d) (h)		649,022		645,432
Series 2019-INV1, Class A1, 3.402% VRN 12/25/59 (d) (h)		300,831		304,195
Series 2019-2, Class A3, 3.448% VRN 4/25/59 (d) (h)		939,317		947,872
Series 2018-2, Class A1, 3.677% VRN 6/01/58 (d) (h)		224,924		230,356
Series 2017-1A, Class A3, 3.716% VRN 1/25/47 (d) (h)		565,314		574,584
Series 2019-1, Class A1, 3.836% VRN 2/25/59 (d) (h)		750,375		758,110
Series 2018-3, Class A1, 4.108% VRN 10/25/58 (d) (h)		295,796		304,361
Series 2018-INV2, Class A1FX, 4.148% VRN 10/25/58 (d) (h)		506,700		516,424
Series 2018-3, Class A2, 4.180% VRN 10/25/58 (d) (h)		432,886		445,588
				25,077,120
WL Collateral Support CMO — 0.1%
CIM Trust, Series 2019-INV3, Class A15, 3.500% VRN 8/25/49 (d) (h)		360,000		363,688
Sequoia Mortgage Trust, Series 2018-CH2, Class A21, 4.000% VRN 6/25/48 (d) (h)		270,737		275,178
				638,866
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $109,157,734)				111,567,119
SOVEREIGN DEBT OBLIGATIONS — 18.0%
Albania Government International Bond 3.500% 10/09/25 EUR (c) (d)		115,000		134,432
3.500% 10/09/25 EUR (c) (d)		160,000		187,035
Argentine Republic Government International Bond 3.375% 1/15/23 EUR (c)		335,000		138,751
Australia Government Bond 3.000% 3/21/47 AUD (c) (d)		852,000		749,545
Bermuda Government International Bond 4.750% 2/15/29 (d)		650,000		736,125

The accompanying notes are an integral part of the financial statements.

48

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Bonos Tesoreria Pesos 4.500% 3/01/21 CLP (c)	$	830,000,000	$	1,182,165
4.500% 3/01/26 CLP (c)		445,000,000		682,086
4.700% 9/01/30 CLP (c) (d)		1,170,000,000		1,892,741
Brazil Notas do Tesouro Nacional Serie F 10.000% 1/01/23 BRL (c)		8,060,000		2,159,197
Bundesrepublik Deutschland 1.250% 8/15/48 EUR (c) (d)		102,000		155,165
Canadian Government Bond 2.000% 9/01/23 CAD (c)		2,010,000		1,548,315
2.000% 6/01/28 CAD (c)		390,000		309,465
3.500% 12/01/45 CAD (c)		1,220,000		1,305,004
Colombia Government International Bond 4.000% 2/26/24		1,160,000		1,222,652
4.000% 2/26/24		2,915,000		3,072,439
Croatia Government International Bond 3.875% 5/30/22 EUR (c) (d)		400,000		480,354
Cyprus Government International Bond 2.375% 9/25/28 EUR (c) (d)		1,038,000		1,321,909
2.750% 2/26/34 EUR (c) (d)		93,000		126,627
2.750% 5/03/49 EUR (c) (d)		70,000		100,312
3.750% 7/26/23 EUR (c) (d)		645,000		803,204
3.750% 7/26/23 EUR (c) (d)		385,000		479,432
3.875% 5/06/22 EUR (c) (d)		950,000		1,142,811
4.250% 11/04/25 EUR (c) (d)		540,000		730,431
4.250% 11/04/25 EUR (c) (d)		170,000		229,950
Czech Republic International Bond 3.875% 5/24/22 EUR (c) (d)		460,000		557,492
Egypt Government International Bond 4.750% 4/11/25 EUR (c) (d)		290,000		327,382
France Government Bond OAT 1.750% 11/25/24 EUR (c) (d)		769,000		941,056
1.750% 5/25/66 EUR (c) (d)		50,000		76,196
3.250% 5/25/45 EUR (c) (d)		3,073,000		5,696,642
5.750% 10/25/32 EUR (c) (d)		272,000		526,200
Indonesia Government International Bond 2.950% 1/11/23		400,000		404,948
3.700% 1/08/22 (d)		600,000		616,303
3.750% 4/25/22 (d)		405,000		417,554
3.750% 6/14/28 EUR (c) (d)		980,000		1,321,376
4.125% 1/15/25 (d)		345,000		367,112
Indonesia Treasury Bond 6.125% 5/15/28 IDR (c)		9,994,000,000		651,528
7.000% 5/15/27 IDR (c)		6,090,000,000		425,910
8.125% 5/15/24 IDR (c)		1,504,000,000		111,950
8.375% 3/15/24 IDR (c)		10,700,000,000		800,514
8.375% 9/15/26 IDR (c)		1,700,000,000		128,302

	Principal Amount		Value
8.750% 5/15/31 IDR (c)	$	4,710,000,000	$	361,759
10.250% 7/15/27 IDR (c)		1,300,000,000		107,301
Ireland Government Bond 1.000% 5/15/26 EUR (c) (d)		1,708,000		2,021,207
1.500% 5/15/50 EUR (c) (d)		100,000		130,497
2.000% 2/18/45 EUR (c) (d)		165,000		238,674
4.500% 4/18/20 EUR (c)		268,000		300,107
5.400% 3/13/25 EUR (c)		943,000		1,354,009
Israel Government Bond 1.500% 1/18/27 EUR (c) (d)		430,000		516,262
1.750% 8/31/25 ILS (c)		7,010,000		2,157,197
3.750% 3/31/47 ILS (c)		695,000		271,782
4.625% 3/18/20 EUR (c) (d)		480,000		534,320
5.500% 1/31/42 ILS (c)		8,065,000		3,938,373
Italy Buoni Poliennali Del Tesoro 2.000% 12/01/25 EUR (c)		1,223,000		1,463,111
2.800% 3/01/67 EUR (c) (d)		1,210,000		1,565,062
3.450% 3/01/48 EUR (c) (d)		110,000		162,859
4.500% 3/01/24 EUR (c)		1,555,000		2,017,404
4.750% 9/01/21 EUR (c)		515,000		614,791
5.000% 3/01/22 EUR (c)		510,000		625,526
5.500% 9/01/22 EUR (c)		2,595,000		3,289,533
Japan Government Five Year Bond 0.100% 6/20/21 JPY (c)		178,350,000		1,661,109
Japan Government Thirty Year Bond 1.700% 9/20/44 JPY (c)		219,900,000		2,729,526
2.200% 9/20/39 JPY (c)		30,650,000		393,933
2.500% 9/20/37 JPY (c)		348,600,000		4,573,052
Japan Government Twenty Year Bond 0.600% 6/20/37 JPY (c)		337,100,000		3,375,115
0.700% 3/20/37 JPY (c)		101,300,000		1,030,763
1.200% 12/20/34 JPY (c)		589,600,000		6,418,665
1.500% 6/20/34 JPY (c)		12,000,000		135,292
Japanese Government CPI Linked Bond 0.100% 3/10/24 JPY (c)		79,192,000		750,356
0.100% 9/10/24 JPY (c)		86,814,100		825,386
0.100% 3/10/25 JPY (c)		146,160,000		1,393,674
Kingdom of Belgium Government Bond 4.250% 3/28/41 EUR (c) (d)		431,000		857,062
5.000% 3/28/35 EUR (c) (d)		220,000		423,348
Korea Treasury Bond 1.875% 3/10/24 KRW (c)		1,540,000,000		1,313,952
3.000% 9/10/24 KRW (c)		3,915,000,000		3,519,600
Latvia Government International Bond 1.875% 2/19/49 EUR (c) (d)		627,000		876,500
Malaysia Government Bond 4.392% 4/15/26 MYR (c)		1,570,000		396,507
4.736% 3/15/46 MYR (c)		6,290,000		1,720,244
4.921% 7/06/48 MYR (c)		7,310,000		2,049,000
4.935% 9/30/43 MYR (c)		155,000		43,382

The accompanying notes are an integral part of the financial statements.

49

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Mexican Bonos 6.500% 6/09/22 MXN (c)	$	53,400,000	$	2,691,675
7.500% 6/03/27 MXN (c)		3,050,000		160,460
8.000% 12/07/23 MXN (c)		42,600,000		2,260,084
10.000% 12/05/24 MXN (c)		1,360,000		78,809
Morocco Government International Bond 4.500% 10/05/20 EUR (c) (d)		300,000		340,891
National Highways Authority of India 7.300% 5/18/22 INR (c) (d)		100,000,000		1,407,310
Netherlands Government Bond 5.500% 1/15/28 EUR (c)		50,000		82,351
New South Wales Treasury Corp. 4.000% 5/20/26 AUD (c) (d)		860,000		684,521
4.000% 5/20/26 AUD (c) (d)		350,000		278,584
Norway Government Bond 3.000% 3/14/24 NOK (c) (d)		2,700,000		318,877
Province of Ontario Canada 2.600% 6/02/25 CAD (c)		286,000		224,081
3.500% 6/02/43 CAD (c)		62,000		56,102
3.500% 6/02/43 CAD (c)		90,000		81,438
Republic of Austria Government Bond 3.800% 1/26/62 EUR (c) (d)		330,000		828,711
Republic of South Africa Government International Bond 5.375% 7/24/44		475,000		466,203
5.650% 9/27/47		470,000		468,626
6.250% 3/08/41		100,000		109,561
10.500% 12/21/26 ZAR (c)		31,473,000		2,318,757
Romania Government Bond 2.875% 10/28/24 EUR (c) (d)		20,000		24,556
2.875% 3/11/29 EUR (c) (d)		96,000		118,121
4.250% 6/28/23 RON (c)		2,545,000		595,612
4.625% 9/18/20 EUR (c) (d)		520,000		592,279
4.750% 2/24/25 RON (c)		2,765,000		658,710
5.800% 7/26/27 RON (c)		1,820,000		464,162
Russian Federal Bond — OFZ 8.150% 2/03/27 RUB (c)		22,733,000		377,339
Serbia Government International Bond 1.500% 6/26/29 EUR (c) (d)		665,000		754,128
Singapore Government Bond 3.125% 9/01/22 SGD (c)		1,130,000		851,905
Slovenia Government Bond 1.000% 3/06/28 EUR (c) (d)		250,000		298,180
1.250% 3/22/27 EUR (c) (d)		788,000		952,805
1.500% 3/25/35 EUR (c) (d)		368,000		466,976
2.125% 7/28/25 EUR (c) (d)		970,000		1,210,860
4.625% 9/09/24 EUR (c) (d)		324,000		441,373
5.250% 2/18/24 (d)		200,000		226,500
5.250% 2/18/24 (d)		200,000		226,500
Spain Government Bond 1.400% 7/30/28 EUR (c) (d)		410,000		499,467

	Principal Amount		Value
Sri Lanka Government International Bond 6.250% 7/27/21 (d)	$	200,000	$	202,994
Thailand Government Bond 3.650% 6/20/31 THB (c)		40,480,000		1,626,093
4.875% 6/22/29 THB (c)		6,232,000		266,064
United Kingdom Gilt 1.500% 1/22/21 GBP (c) (d)		803,000		1,000,578
1.625% 10/22/71 GBP (c) (d)		339,000		553,767
4.250% 12/07/46 GBP (c) (d)		2,061,000		4,521,121
Vietnam Government International Bond 6.750% 1/29/20 (d)		200,000		202,750
6.750% 1/29/20 (d)		440,000		446,049
				120,852,782
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $118,611,384)				120,852,782
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 19.5%
Collateralized Mortgage Obligations — 0.1%
Federal Home Loan Mortgage Corp. Series 2019, Class M2 3.811% 2/25/49		390,000		389,999
Federal National Mortgage Association REMICS Series 2018-44, Class PC 4.000% 6/25/44		255,036		259,952
Government National Mortgage Association Series 2018-122, Class FE 1 mo. USD LIBOR + .300% 2.344% 9/20/48		275,823		274,733
				924,684
Pass-Through Securities — 17.2%
Federal National Mortgage Association Pool #BM3859 2.500% 8/01/31		236,857		239,609
Pool #BC9043 2.500% 11/01/31		622,599		630,611
Pool #BM1890 2.500% 1/01/32		197,199		199,737
Pool #MA2781 2.500% 10/01/46		428,954		429,201
Pool #MA3125 3.000% 9/01/32		212,456		217,784
Pool #BM5109 3.000% 12/01/32		1,434,950		1,472,283
Pool #MA3283 3.000% 2/01/33		19,906		20,392
Pool #BM5108 3.000% 2/01/33		228,513		234,244
Pool #BM5111 3.000% 11/01/33		245,365		252,899
Pool #AL9412 3.000% 11/01/36		1,062,742		1,100,928
Pool #BM4221 3.000% 1/01/43		275,569		283,318
Pool #BM5468 3.000% 2/01/43		406,193		418,122
Pool #AB9248 3.000% 5/01/43		150,846		155,276

The accompanying notes are an integral part of the financial statements.

50

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pool #AU1629 3.000% 7/01/43	$	33,696	$	34,665
Pool #AL6854 3.000% 2/01/44		511,028		525,716
Pool #BM5469 3.000% 3/01/44		815,518		839,468
Pool #AS6181 3.000% 11/01/45		669,966		686,711
Pool #BM3380 3.000% 6/01/46		617,317		635,254
Pool #MA2670 3.000% 7/01/46		1,675,844		1,715,635
Pool #BD8462 3.000% 11/01/46		3,391,186		3,487,602
Pool #AS8295 3.000% 11/01/46		490,519		507,070
Pool #BM4896 3.000% 2/01/47		606,413		624,222
Pool #BM1418 3.000% 4/01/47		3,601,559		3,703,956
Pool #BM4744 3.000% 6/01/47		217,009		224,332
Pool #AS4449 3.500% 2/01/35		296,837		309,470
Pool #MA1283 3.500% 12/01/42		102,808		107,698
Pool #MA1463 3.500% 6/01/43		361,324		378,508
Pool #BM4534 3.500% 1/01/44		767,189		803,676
Pool #BC1747 3.500% 1/01/46		4,037,004		4,194,941
Pool #BM5785 3.500% 9/01/46		340,501		354,035
Pool #BM4582 3.500% 8/01/47		283,779		297,276
Pool #BM3122 3.500% 10/01/47		5,296,149		5,564,583
Pool #MA3210 3.500% 12/01/47		683,593		706,705
Pool #BM5593 3.500% 12/01/47		1,211,327		1,267,802
Pool #BH9277 3.500% 2/01/48		912,956		942,681
Pool #CA1189 3.500% 2/01/48		584,968		603,466
Pool #BF0198 4.000% 11/01/40		277,835		294,902
Pool #AL2745 4.000% 3/01/42		1,234,001		1,326,002
Pool #BM3385 4.000% 6/01/45		3,339,689		3,502,058
Pool #CA0062 4.000% 7/01/47		1,718,445		1,799,845
Pool #MA3088 4.000% 8/01/47		266,516		279,141
Pool #MA3384 4.000% 6/01/48		1,813,298		1,892,390
Pool #MA3415 4.000% 7/01/48		1,090,074		1,134,896
Pool #MA3467 4.000% 9/01/48		32,266		33,573
Pool #BM5527 4.000% 10/01/48		479,482		505,041
Pool #BM5484 4.000% 3/01/49		975,188		1,017,724
Pool #MA3746 4.000% 8/01/49		1,809,778		1,881,506
Pool #AL6536 4.500% 3/01/45		741,047		799,040
Pool #BM1248 4.500% 9/01/46		923,783		996,654
Pool #BM4185 4.500% 9/01/46		313,778		337,549
Pool #BM3148 4.500% 11/01/47		363,811		394,214
Pool #BM4343 4.500% 5/01/48		780,125		845,077
Pool #CA3514 4.500% 5/01/49		688,307		737,709
Pool #AL9893 5.000% 2/01/45		702,599		766,239
Pool #MA3374 5.000% 5/01/48		254,252		272,515
Pool #MA3448 5.000% 8/01/48		331,912		355,649
Pool #BM3279 5.500% 5/01/44		2,147,289		2,394,789
Pool #BM4971 6.000% 7/01/41		378,090		433,544
Government National Mortgage Association II Pool #MA3873 3.000% 8/20/46		2,503,673		2,580,447
Pool #MA3936 3.000% 9/20/46		2,195,351		2,262,671
Pool #MA0220 3.500% 7/20/42		377,052		398,259
Pool #MA0318 3.500% 8/20/42		420,293		443,932
Pool #MA0392 3.500% 9/20/42		56,535		59,715
Pool #MA1090 3.500% 6/20/43		328,833		346,814

	Principal Amount		Value
Pool #AL1773 3.500% 1/20/45	$	426,737	$	448,472
Pool #MA3310 3.500% 12/20/45		246,626		257,954
Pool #MA3521 3.500% 3/20/46		496,393		518,262
Pool #MA3597 3.500% 4/20/46		387,978		405,071
Pool #MA3663 3.500% 5/20/46		309,576		323,215
Pool #MA3736 3.500% 6/20/46		145,577		151,672
Pool #MA3803 3.500% 7/20/46		61,885		64,476
Pool #MA4004 3.500% 10/20/46		1,489,026		1,551,371
Pool #MA4586 3.500% 7/20/47		941,194		978,542
Pool #784474 3.500% 2/20/48		392,913		413,170
Pool #MA784472 3.500% 2/20/48		612,629		646,320
Pool #784504 3.500% 2/20/48		280,765		295,240
Pool #MA5709 3.500% 1/20/49		879,766		911,652
Pool #MA3245 4.000% 11/20/45		523,328		553,701
Pool #MA4511 4.000% 6/20/47		367,835		385,620
Pool #MA4720 4.000% 9/20/47		1,649,588		1,728,832
Pool #MA4838 4.000% 11/20/47		571,086		597,271
Pool #MA5264 4.000% 6/20/48		243,438		253,611
Pool #MA5876 4.000% 4/20/49		356,292		370,930
Pool #MA2894 4.500% 6/20/45		401,961		427,979
Pool #MA2963 4.500% 7/20/45		160,625		171,022
Pool #MA3312 4.500% 12/20/45		7,668		8,164
Pool #MA4588 4.500% 7/20/47		1,664,451		1,758,144
Pool #MA4964 4.500% 1/20/48		98,402		104,034
Pool #MA5265 4.500% 6/20/48		302,872		318,785
Pool #MA5877 4.500% 4/20/49		637,811		668,880
Pool #MA4781 5.000% 10/20/47		1,212,814		1,297,060
Pool #BF2644 5.000% 5/20/48		47,863		52,100
Pool #BF2878 5.000% 6/20/48		61,163		66,578
Pool #MA5266 5.000% 6/20/48		1,034,238		1,098,323
Pool #BF3008 5.000% 7/20/48		39,346		43,002
Pool #MA5400 5.000% 8/20/48		670,305		711,316
Pool #MA5988 5.000% 6/20/49		1,651,397		1,754,368
Pool #MA5195 5.500% 5/20/48		459,611		488,925
Pool #MA5654 5.500% 12/20/48		127,744		135,333
Pool #MA5713 5.500% 1/20/49		105,927		112,220
Pool #MA5820 5.500% 3/20/49		280,614		297,283
Government National Mortgage Association II TBA Pool #6409 3.500% 10/01/48 (g)		1,700,000		1,760,363
Pool #1367 4.000% 10/01/48 (g)		558,000		580,233
Pool #1523 4.500% 7/01/48 (g)		325,000		339,600
Government National Mortgage Association TBA Pool #94 4.000% 10/01/48 (g)		1,123,000		1,167,437
Pool #11 4.500% 7/01/48 (g)		325,000		340,133
Uniform Mortgage Backed Securities TBA Pool #1866 2.500% 6/01/34 (g)		1,790,000		1,804,963
Pool #7180 3.000% 8/01/33 (g)		4,485,000		4,582,934
Pool #1817 3.000% 6/01/49 (g)		6,475,000		6,568,078
Pool #6268 3.500% 8/01/33 (g)		755,000		780,835
Pool #606 3.500% 8/01/33 (g)		755,000		780,953

The accompanying notes are an integral part of the financial statements.

51

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pool #1358 3.500% 9/01/48 (g)	$	12,670,000	$	12,997,639
Pool #21133 4.500% 10/01/48 (g)		192,000		202,155
Pool #21133 4.500% 10/01/48 (g)		193,000		203,329
Pool #29322 5.000% 10/01/48 (g)		595,000		637,626
				115,376,947
Whole Loans — 2.2%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2018-DNA1, Class M1, 1 mo. USD LIBOR + .450% 2.468% FRN 7/25/30		621,392		619,842
Series 2017-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.768% FRN 3/25/30		605,716		606,004
Series 2018-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.768% FRN 9/25/48 (d)		230,282		230,593
Series 2019-HQA3, Class M1, 1 mo. USD LIBOR + .750% 2.807% FRN 9/25/49 (d)		400,000		400,000
Series 2018-DNA2, Class M1, 1 mo. USD LIBOR + .800% 2.818% FRN 12/25/30 (d)		622,377		623,008
Series 2019-DNA1, Class M1, 1 mo. USD LIBOR + .900% 2.918% FRN 1/25/49 (d)		472,491		473,250
Series 2019-HQA1, Class M1, 1 mo. USD LIBOR + .900% 2.918% FRN 2/25/49 (d)		208,789		208,935
Series 2018-DNA1, Class M2AT, 3.068% FRN 7/25/30 (h)		645,000		643,172
Series 2017-DNA3, Class M2AS, 3.118% FRN 3/25/30 (h)		745,000		743,839
Series 2018-HQA1, Class M2AS, 3.118% FRN 9/25/30 (h)		590,000		589,245
Series 2017-DNA1, Class M1, 1 mo. USD LIBOR + 1.200% 3.218% FRN 7/25/29		995,553		998,852
Series 2018-SPI1, Class M2, 3.740% VRN 2/25/48 (d) (h)		95,000		92,654
Series 2018-SP12, Class M2, 3.817% VRN 5/25/48 (d) (h)		65,000		63,424
Series 2018-SPI3, Class M1, 4.160% VRN 8/25/48 (d) (h)		166,520		168,182
Series 2018-SPI3, Class M2, 4.160% VRN 8/25/48 (d) (h)		460,000		463,688
Series 2018-DNA2, Class M2, 1 mo. USD LIBOR + 2.150% 4.168% FRN 12/25/30 (d)		215,000		216,477

	Principal Amount		Value
Series 2019-DNA3, Class M2, 4.350% 7/25/49	$	685,000	$	684,999
Series 2017-HQA3, Class M2, 1 mo. USD LIBOR + 2.350% 4.368% FRN 4/25/30		855,000		859,806
Series 2015-DNA2, Class M2, 1 mo. USD LIBOR + 2.600% 4.618% FRN 12/25/27		411,981		413,978
Series 2017-HQA2, Class M2, 1 mo. USD LIBOR + 2.650% 4.668% FRN 12/25/29		825,000		846,355
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2018-C06, Class 1M1, 1 mo. USD LIBOR + .550% 2.568% FRN 3/25/31		172,058		171,941
Series 2018-R07, Class 1M1, 1 mo. USD LIBOR + .750% 2.768% FRN 4/25/31 (d)		198,107		198,073
Series 2019-R03, Class 1M1, 1 mo. USD LIBOR + .750% 2.768% FRN 9/25/31 (d)		335,355		335,491
Series 2019-R05, Class 1M1, 1 mo. USD LIBOR + .750% 2.768% FRN 7/25/39 (d)		449,790		450,292
Series 2019-R02, Class 1M1, 1 mo. USD LIBOR + .850% 2.868% FRN 8/25/31 (d)		230,815		231,035
Series 2017-C02, Class 2M1, 1 mo. USD LIBOR + 1.150% 3.168% FRN 9/25/29		167,199		167,469
Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 3.368% FRN 9/25/29		985,000		986,351
Series 2018-C02, Class 2M2, 1 mo. USD LIBOR + 2.200% 4.218% FRN 8/25/30		540,000		544,149
Series 2018-C01, Class 1M2, 1 mo. USD LIBOR + 2.250% 4.268% FRN 7/25/30		855,000		864,485
Series 2018-C04, Class 2M2, 1 mo. USD LIBOR + 2.550% 4.568% FRN 12/25/30		710,000		722,904
				14,618,493
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $128,393,316)				130,920,124

The accompanying notes are an integral part of the financial statements.

52

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 11.7%
U.S. Treasury Bonds & Notes — 11.7%
U.S. Treasury Bond 2.750% 11/15/47 (i)	$	6,140,000	$	6,953,310
3.000% 8/15/48		1,500,000		1,783,652
3.000% 2/15/49		6,160,000		7,344,116
3.875% 8/15/40		630,000		832,806
4.250% 11/15/40		5,080,000		7,049,889
U.S. Treasury Note 1.625% 6/30/21		16,270,000		16,251,569
2.125% 5/31/21		6,910,000		6,956,697
2.875% 10/31/23		5,400,000		5,676,855
2.875% 11/30/23		19,120,000		20,121,186
2.875% 5/15/49		4,365,100		5,090,969
				78,061,049
TOTAL U.S. TREASURY OBLIGATIONS (Cost $72,787,318)				78,061,049
TOTAL BONDS & NOTES (Cost $637,179,799)				658,000,007
TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $51,034)				27,108
	Number of Shares
MUTUAL FUNDS — 0.1%
Diversified Financial Services — 0.1%
State Street Navigator Securities Lending Prime Portfolio (j)		406,295		406,295
TOTAL MUTUAL FUNDS (Cost $406,295)				406,295
TOTAL LONG-TERM INVESTMENTS (Cost $637,637,128)				658,433,410
SHORT-TERM INVESTMENTS — 6.7%
Mutual Fund — 5.8%
T. Rowe Price Government Reserve Investment Fund		38,738,729		38,738,729
	Principal Amount
Repurchase Agreement — 0.4%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (k)	$	2,895,423		2,895,423

	Principal Amount		Value
Sovereign Debt Obligations — 0.5%
Egypt Treasury Bills 15.679% 1/07/20 EGP (c)	$	2,850,000	$	168,076
15.800% 11/26/19 EGP (c)		2,500,000		150,171
16.149% 1/28/20 EGP (c)		1,450,000		84,806
16.150% 1/14/20 EGP (c)		1,425,000		83,829
Japan Treasury Discount Bill 0.000%, due 12/02/19 JPY (c)		340,000,000		3,145,597
				3,632,479
TOTAL SHORT-TERM INVESTMENTS (Cost $45,315,357)				45,266,631
TOTAL INVESTMENTS — 105.0% (Cost $682,952,485) (l)				703,700,041
Less Unfunded Loan Commitments (0.00)%				(51,254	)
NET INVESTMENTS — 105.0% (Cost $682,901,231)				703,648,787
Other Assets/(Liabilities) — (5.0)%				(33,287,196	)
NET ASSETS — 100.0%			$	670,361,591

Abbreviation Legend

ABS Asset-Backed Security

CDOR Canadian Dollar Offered Rate

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

DIP Debtor In Possession

FRN Floating Rate Note

MBS Mortgage-Backed Security

OAT Obligations Assimilables du Tresor

SOFR Secured Overnight Financing Rate

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) All or a portion of the security represents unsettled loan commitments at September 30, 2019 where the rate will be determined at time of settlement.

(b) Unfunded or partially unfunded loan commitments.

(c) The principal amount of the security is in foreign currency. The market value is in U.S. dollars.

(d) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $193,888,421 or 28.92% of net assets.

The accompanying notes are an integral part of the financial statements.

53

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(e) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $398,005 or 0.06% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(f) Security is perpetual and has no stated maturity date.

(g) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(h) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These

securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2019.

(i) A portion of this security is pledged/held as collateral for open futures contracts and open swap agreements. (Note 2).

(j) Represents investment of security lending collateral. (Note 2).

(k) Maturity value of $2,895,499. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $2,957,061.

(l) See Note 6 for aggregate cost for federal tax purposes.

(#) OTC Options Purchased

Description	Counterparty	Expiration Date		Exercise Price	No. of Contracts		Notional Amount		Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
AUD Call USD Put	Credit Suisse International*		11/04/19	0.70		5,100,000		USD 5,100,000	$	5,437	$	22,440	$	(17,003	)
Put
USD Put BRL Call	Bank of America N.A.*		12/02/19	4.00		3,400,000		USD 3,400,000		21,671		28,594		(6,923	)
									$	27,108	$	51,034	$	(23,926	)

* Contracts are subject to a Master Netting Agreement.

Forward contracts

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of America N.A.*	10/10/19	USD	622,696	ILS	2,215,000	$	(14,735	)
Bank of America N.A.*	10/11/19	USD	1,307,148	KRW	1,540,605,000		18,894
Bank of America N.A.*	10/18/19	USD	530,828	RUB	34,330,000		2,559
Bank of America N.A.*	10/18/19	CZK	45,390,000	USD	1,999,927		(81,578	)
Bank of America N.A.*	10/25/19	USD	1,947,492	AUD	2,872,424		7,172
Bank of America N.A.*	11/12/19	USD	543,674	ILS	1,904,000		(5,196	)
Bank of America N.A.*	12/06/19	USD	73	CNH	516		1
Bank of America N.A.*	12/06/19	CNH	7,000	USD	989		(10	)
Bank of America N.A.*	12/13/19	USD	797,757	ZAR	12,270,000		(4,905	)
Bank of America N.A.*	1/10/20	USD	793,946	ZAR	12,270,000		(5,808	)
Barclays Bank PLC*	10/04/19	IDR	19,270,827,681	USD	1,360,765		(3,471	)
Barclays Bank PLC*	10/11/19	KRW	5,756,276,000	USD	4,859,997		(46,603	)
Barclays Bank PLC*	10/18/19	USD	801,675	CZK	18,665,000		12,823
Barclays Bank PLC*	11/08/19	USD	2,185,502	CLP	1,522,604,000		95,826
Barclays Bank PLC*	11/12/19	USD	543,478	ILS	1,904,000		(5,392	)
Barclays Bank PLC*	11/22/19	USD	799,596	EUR	724,858		6,571
Barclays Bank PLC*	12/13/19	USD	421,260	SGD	580,828		670

The accompanying notes are an integral part of the financial statements.

54

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Barclays Bank PLC*	1/10/20	USD	392,685	ZAR	6,136,053	$	(7,260	)
Barclays Bank PLC*	1/16/20	USD	1,051,715	IDR	15,148,908,205		(3,387	)
Barclays Bank PLC*	1/16/20	USD	2,452,199	KRW	2,917,500,000		5,003
BNP Paribas SA*	10/02/19	USD	1,405,471	BRL	5,852,943		(3,197	)
BNP Paribas SA*	10/02/19	BRL	5,852,943	USD	1,424,096		(15,429	)
BNP Paribas SA*	10/10/19	USD	229,585	ILS	817,000		(5,530	)
BNP Paribas SA*	10/11/19	USD	113,502	KRW	133,835,000		1,589
BNP Paribas SA*	10/11/19	KRW	2,462,806,000	USD	2,088,646		(29,249	)
BNP Paribas SA*	10/18/19	USD	386,711	RUB	24,606,869		8,062
BNP Paribas SA*	10/18/19	CZK	13,362,000	USD	588,217		(23,489	)
BNP Paribas SA*	10/18/19	RON	1,356,662	USD	319,409		(7,793	)
BNP Paribas SA*	10/25/19	USD	351,564	JPY	37,269,000		6,363
BNP Paribas SA*	11/08/19	USD	540,644	CLP	380,651,000		18,225
BNP Paribas SA*	11/12/19	USD	79,422	ILS	279,000		(1,006	)
BNP Paribas SA*	11/15/19	PLN	205,000	USD	53,220		(2,070	)
BNP Paribas SA*	11/22/19	USD	13,170,117	EUR	11,792,445		268,693
BNP Paribas SA*	11/22/19	USD	987,289	MXN	19,680,960		(1,715	)
BNP Paribas SA*	11/22/19	EUR	263,873	USD	293,228		(4,541	)
BNP Paribas SA*	12/03/19	USD	569,191	BRL	2,383,943		(2,338	)
BNP Paribas SA*	12/06/19	USD	715,746	MYR	3,020,304		(4,962	)
BNP Paribas SA*	12/06/19	USD	198,009	THB	6,074,529		(842	)
BNP Paribas SA*	12/06/19	MYR	723,000	USD	172,204		319
BNP Paribas SA*	12/13/19	USD	517,079	ZAR	7,988,000		(5,469	)
BNP Paribas SA*	12/13/19	ZAR	26,447,000	USD	1,754,748		(24,673	)
Citibank N.A.*	10/04/19	USD	1,525,654	INR	105,767,600		33,362
Citibank N.A.*	10/04/19	USD	743,692	TWD	23,050,000		637
Citibank N.A.*	10/04/19	IDR	7,574,453,000	USD	535,865		(2,377	)
Citibank N.A.*	10/10/19	ILS	3,849,000	USD	1,096,612		11,049
Citibank N.A.*	10/11/19	USD	1,599,023	KRW	1,882,961,000		24,492
Citibank N.A.*	10/18/19	USD	263,427	RON	1,109,000		8,697
Citibank N.A.*	10/18/19	CZK	1,253,000	USD	54,256		(1,299	)
Citibank N.A.*	10/18/19	RON	5,011,531	USD	1,179,385		(28,269	)
Citibank N.A.*	10/25/19	USD	1,434,633	CAD	1,869,000		23,352
Citibank N.A.*	10/25/19	USD	17,042,819	JPY	1,825,865,784		130,897
Citibank N.A.*	10/25/19	JPY	57,100,000	USD	531,397		(2,513	)
Citibank N.A.*	11/12/19	USD	660,697	ILS	2,312,000		(5,787	)
Citibank N.A.*	11/12/19	ILS	11,908,000	USD	3,403,861		28,881
Citibank N.A.*	11/15/19	PLN	205,000	USD	53,139		(1,989	)
Citibank N.A.*	11/22/19	USD	586,233	EUR	526,929		9,751
Citibank N.A.*	11/22/19	USD	5,975,612	GBP	4,932,978		(101,862	)
Citibank N.A.*	11/22/19	USD	609,048	MXN	12,023,000		4,870
Citibank N.A.*	11/22/19	EUR	156,206	USD	174,511		(3,616	)
Citibank N.A.*	12/06/19	CNH	3,000	USD	422		(2	)
Citibank N.A.*	12/06/19	USD	468,116	THB	14,334,000		(1,110	)
Citibank N.A.*	12/13/19	USD	792,167	ZAR	12,270,000		(10,496	)
Citibank N.A.*	1/14/20	USD	1,282,932	ILS	4,480,000		(13,141	)
Citibank N.A.*	1/16/20	USD	527,616	IDR	7,574,453,000		65
Citibank N.A.*	6/19/20	USD	4,838,329	JPY	512,500,000		15,506

The accompanying notes are an integral part of the financial statements.

55

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Credit Suisse International*	10/04/19	USD	1,317,358	IDR	18,842,170,194	$	(9,744	)
Credit Suisse International*	10/04/19	IDR	15,148,906,000	USD	1,071,856		(4,879	)
Credit Suisse International*	10/18/19	RUB	34,330,000	USD	537,793		(9,524	)
Credit Suisse International*	11/08/19	USD	68,824	CLP	48,831,000		1,806
Credit Suisse International*	11/08/19	COP	1,569,590,000	USD	488,467		(38,154	)
Credit Suisse International*	1/16/20	USD	1,055,619	IDR	15,148,906,000		517
Deutsche Bank AG*	10/04/19	IDR	1,725,432,000	USD	120,626		901
Deutsche Bank AG*	10/04/19	INR	4,179,000	USD	60,000		(1,038	)
Deutsche Bank AG*	11/22/19	USD	115,387	EUR	104,333		1,243
Deutsche Bank AG*	11/22/19	GBP	232,000	USD	289,579		(3,753	)
Goldman Sachs International*	10/04/19	USD	764,334	IDR	11,013,295,000		(11,360	)
Goldman Sachs International*	10/04/19	IDR	8,781,914,016	USD	624,159		(5,626	)
Goldman Sachs International*	10/04/19	TWD	25,746,000	USD	829,927		38
Goldman Sachs International*	10/11/19	KRW	1,458,751,002	USD	1,216,751		3,055
Goldman Sachs International*	10/25/19	USD	104,017	CAD	136,000		1,323
Goldman Sachs International*	10/25/19	JPY	360,140,579	USD	3,345,023		(9,252	)
Goldman Sachs International*	11/08/19	USD	469,544	COP	1,569,590,000		19,231
Goldman Sachs International*	11/12/19	USD	543,845	ILS	1,904,000		(5,025	)
Goldman Sachs International*	11/22/19	USD	12,427,056	EUR	11,122,000		259,126
Goldman Sachs International*	11/22/19	USD	492,592	MXN	9,841,000		(1,936	)
Goldman Sachs International*	11/22/19	EUR	225,069	USD	246,770		(535	)
Goldman Sachs International*	12/06/19	CNH	8,000	USD	1,124		(5	)
Goldman Sachs International*	1/16/20	USD	1,220,212	KRW	1,458,751,002		(3,387	)
Goldman Sachs International*	1/16/20	USD	837,214	TWD	25,746,000		2,333
Goldman Sachs International*	1/24/20	USD	326,470	NOK	2,939,186		2,885
HSBC Bank USA*	10/04/19	USD	2,795,886	IDR	40,017,045,000		(22,618	)
HSBC Bank USA*	10/04/19	USD	87,044	TWD	2,696,000		134
HSBC Bank USA*	10/04/19	IDR	4,963,394,497	USD	351,655		(2,070	)
HSBC Bank USA*	10/04/19	INR	2,232,000	USD	32,088		(596	)
HSBC Bank USA*	10/10/19	USD	229,488	ILS	817,000		(5,627	)
HSBC Bank USA*	10/11/19	USD	3,247,766	KRW	3,765,922,000		98,705
HSBC Bank USA*	10/25/19	USD	1,861	JPY	196,878		38
HSBC Bank USA*	11/12/19	USD	545,028	ILS	1,904,000		(3,842	)
HSBC Bank USA*	11/22/19	USD	172,420	GBP	137,000		3,635
HSBC Bank USA*	11/22/19	USD	495,469	MXN	9,841,000		940
HSBC Bank USA*	12/06/19	USD	2,866,595	MYR	12,088,000		(17,856	)
HSBC Bank USA*	12/06/19	USD	397,534	THB	12,152,000		(265	)
HSBC Bank USA*	12/06/19	CNH	20,000	USD	2,817		(20	)
HSBC Bank USA*	1/10/20	USD	393,759	ZAR	6,135,000		(6,118	)
HSBC Bank USA*	6/19/20	USD	4,836,776	JPY	512,500,000		13,954
JP Morgan Chase Bank N.A.*	10/02/19	USD	572,471	BRL	2,384,000		(1,302	)
JP Morgan Chase Bank N.A.*	10/02/19	BRL	2,384,000	USD	571,634		2,139
JP Morgan Chase Bank N.A.*	10/11/19	USD	40,275	KRW	47,337,000		692
JP Morgan Chase Bank N.A.*	10/11/19	KRW	1,458,750,000	USD	1,219,487		319
JP Morgan Chase Bank N.A.*	10/18/19	CZK	3,647,000	USD	159,599		(5,463	)
JP Morgan Chase Bank N.A.*	10/18/19	RON	1,982,740	USD	466,428		(11,005	)
JP Morgan Chase Bank N.A.*	10/25/19	USD	408,897	JPY	44,083,497		577

The accompanying notes are an integral part of the financial statements.

56

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Counterparty	Settlement Date	Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
JP Morgan Chase Bank N.A.*	10/25/19	CAD	300,000	USD	228,276	$	(1,746	)
JP Morgan Chase Bank N.A.*	10/25/19	JPY	31,232,000	USD	290,591		(1,307	)
JP Morgan Chase Bank N.A.*	11/08/19	USD	540,206	CLP	380,651,000		17,787
JP Morgan Chase Bank N.A.*	11/12/19	USD	766,868	ILS	2,678,792		(5,353	)
JP Morgan Chase Bank N.A.*	11/15/19	USD	754,677	PLN	2,930,000		23,600
JP Morgan Chase Bank N.A.*	11/15/19	PLN	2,930,000	USD	775,590		(44,513	)
JP Morgan Chase Bank N.A.*	11/22/19	USD	576,636	EUR	527,000		76
JP Morgan Chase Bank N.A.*	11/22/19	USD	139,499	GBP	113,000		282
JP Morgan Chase Bank N.A.*	11/22/19	USD	990,864	MXN	19,682,000		1,807
JP Morgan Chase Bank N.A.*	11/22/19	USD	2,764,934	SEK	26,219,239		92,744
JP Morgan Chase Bank N.A.*	12/03/19	USD	569,545	BRL	2,384,000		(1,998	)
JP Morgan Chase Bank N.A.*	12/06/19	CNH	4,000	USD	567		(8	)
JP Morgan Chase Bank N.A.*	12/13/19	USD	420,265	SGD	580,000		275
JP Morgan Chase Bank N.A.*	1/10/20	USD	395,559	ZAR	6,135,000		(4,317	)
JP Morgan Chase Bank N.A.*	1/16/20	USD	1,223,014	KRW	1,458,750,000		(584	)
Morgan Stanley & Co. LLC*	10/02/19	USD	2,725,484	BRL	11,196,943		30,640
Morgan Stanley & Co. LLC*	10/02/19	BRL	11,196,943	USD	2,724,456		(29,612	)
Morgan Stanley & Co. LLC*	10/04/19	IDR	12,407,583,000	USD	881,774		(7,876	)
Morgan Stanley & Co. LLC*	10/04/19	INR	99,356,600	USD	1,397,814		4,024
Morgan Stanley & Co. LLC*	10/11/19	USD	3,212,467	KRW	3,765,923,002		63,404
Morgan Stanley & Co. LLC*	10/25/19	USD	1,322,773	CAD	1,724,023		20,964
Morgan Stanley & Co. LLC*	11/08/19	USD	118,297	CLP	82,546,535		5,007
Morgan Stanley & Co. LLC*	11/12/19	USD	543,823	ILS	1,904,633		(5,229	)
Morgan Stanley & Co. LLC*	1/16/20	USD	1,378,612	INR	99,356,600		(7,483	)
UBS AG*	10/18/19	USD	1,317,115	RON	5,546,933		43,022
UBS AG*	10/18/19	CZK	14,719,000	USD	646,655		(24,576	)
UBS AG*	10/25/19	USD	129,344	CAD	169,612		1,270
UBS AG*	10/25/19	CAD	84,000	USD	63,261		167
UBS AG*	11/08/19	USD	536,397	CLP	380,653,905		13,974
UBS AG*	11/12/19	USD	829,347	ILS	2,902,293		(7,303	)
UBS AG*	11/12/19	ILS	113,848	USD	32,227		592
UBS AG*	11/15/19	PLN	161,000	USD	40,592		(420	)
UBS AG*	11/22/19	USD	14,046,753	EUR	12,584,000		279,334
UBS AG*	11/22/19	USD	299,307	GBP	245,000		(2,535	)
UBS AG*	11/22/19	USD	72,387	MXN	1,472,000		(1,584	)
UBS AG*	11/22/19	EUR	245,396	USD	272,140		(3,667	)
UBS AG*	6/19/20	USD	24,165,209	EUR	21,022,000		827,905
UBS AG*	6/19/20	USD	3,280,167	GBP	2,580,000		79,799
						$	1,850,373

* Contracts are subject to a Master Netting Agreement.

The accompanying notes are an integral part of the financial statements.

57

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
Euro-Bund		12/06/19		8	$	1,538,235		$	(18,844	)
Euro-OAT		12/06/19		11		2,063,157			(21,233	)
Australia 10 Year Bond		12/16/19		23		2,264,762			22,667
Korea 10 Year Bond		12/17/19		40		4,469,123			(27,205	)
Korea 3 Year Bond		12/17/19		39		3,619,227			(5,658	)
Canada 10 Year Bond		12/18/19		94		10,277,554			(159,880	)
U.S. Treasury Long Bond		12/19/19		163		26,789,181			(332,243	)
U.S. Treasury Ultra Bond		12/19/19		42		8,135,969			(75,906	)
U.S. Treasury Note 2 Year		12/31/19		501		107,946,345			19,155
								$	(599,147	)
Short
Euro-Schatz		12/06/19		18	$	(2,210,369	)	$	6,555
Euro-Bobl		12/06/19		32		(4,766,451	)		35,195
Euro-Buxl 30 Year Bond		12/06/19		2		(487,947	)		13,819
U.S. Treasury Note 10 Year		12/19/19		121		(15,703,826	)		(63,987	)
U.S. Treasury Ultra 10 Year		12/19/19		175		(24,892,951	)		(28,143	)
UK Long Gilt		12/27/19		21		(3,480,329	)		14,180
U.S. Treasury Note 5 Year		12/31/19		94		(11,275,460	)		75,507
								$	53,126

Centrally Cleared Credit Default Swap — Sell Protection†

Reference Obligation/Index

Rate Received by Fund

Payment Frequency

Termination Date

Credit Rating

Notional Amount

Value

Upfront Premium Paid/ (Received)

Unrealized Appreciation (Depreciation)

ITRX.Xover.S31

5.000%

Quarterly

6/20/24

BB-

EUR

1,550,000

$

167,874

$

203,333

$

(35,459

)

OTC Credit Default Swaps — Sell Protection†

Reference Obligation/Index	Rate Received by Fund	Payment Frequency		Counterparty	Credit Rating	Termination Date		Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
Republic of Greece	1.000%		Quarterly	Bank of America N.A.*	BB-**		6/20/22	USD	260,000	$	(1,986	)	$	(7,203	)	$	5,217
Republic of Greece	1.000%		Quarterly	Barclays Bank PLC*	BB-**		12/20/20	USD	160,000		716			(5,973	)		6,689
Republic of Greece	1.000%		Quarterly	Barclays Bank PLC*	BB-**		12/20/21	USD	160,000		24			(10,870	)		10,894
Republic of Greece	1.000%		Quarterly	Barclays Bank PLC*	BB-**		6/20/24	USD	135,000		(5,634	)		(8,192	)		2,558
Republic of Greece	1.000%		Quarterly	Barclays Bank PLC*	BB-**		6/20/24	USD	67,500		(2,817	)		(3,879	)		1,062
Republic of Greece	1.000%		Quarterly	Barclays Bank PLC*	BB-**		6/20/24	USD	67,500		(2,817	)		(3,879	)		1,062
Colombia Government	1.000%		Quarterly	Barclays Bank PLC*	BBB**		12/20/24	USD	320,000		958			1,619			(661	)
Colombia Government	1.000%		Quarterly	Barclays Bank PLC*	BBB**		12/20/24	USD	2,990,000		8,951			15,140			(6,189	)
Republic of Indonesia	1.000%		Quarterly	Barclays Bank PLC*	BBB**		12/20/24	USD	648,237		2,999			4,215			(1,216	)
Republic of Indonesia	1.000%		Quarterly	Barclays Bank PLC*	BBB**		12/20/24	USD	750,000		3,470			4,361			(891	)
Republic of South Africa	1.000%		Quarterly	Barclays Bank PLC*	BB**		12/20/24	USD	547,200		(24,375	)		(22,467	)		(1,908	)
Republic of South Africa	1.000%		Quarterly	Barclays Bank PLC*	BB**		12/20/24	USD	520,000		(23,163	)		(23,494	)		331

The accompanying notes are an integral part of the financial statements.

58

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Reference Obligation/Index	Rate Received by Fund	Payment Frequency		Counterparty	Credit Rating	Termination Date		Notional Amount		Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
Devon Energy Corporation	1.000%		Quarterly	BNP Paribas SA*	BBB+**		12/20/24	USD	50,000	$	(131	)	$	-		$	(131	)
Colombia Government	1.000%		Quarterly	Citibank N.A.*	BBB**		12/20/24	USD	685,000		2,051			2,110			(59	)
Colombia Government	1.000%		Quarterly	Citibank N.A.*	BBB**		12/20/24	USD	715,000		2,140			2,464			(324	)
Colombia Government	1.000%		Quarterly	Citibank N.A.*	BBB**		12/20/24	USD	315,000		943			1,720			(777	)
Colombia Government	1.000%		Quarterly	Citibank N.A.*	BBB**		12/20/24	USD	610,000		1,826			3,332			(1,506	)
Colombia Government	1.000%		Quarterly	Citibank N.A.*	BBB**		12/20/24	USD	1,980,000		5,927			10,016			(4,089	)
Colombia Government	1.000%		Quarterly	Citibank N.A.*	BBB**		12/20/24	USD	1,475,000		4,415			7,096			(2,681	)
Republic of South Africa	1.000%		Quarterly	Citibank N.A.*	BB**		12/20/24	USD	1,245,821		(55,496	)		(45,652	)		(9,844	)
Colombia Government	1.000%		Quarterly	Goldman Sachs International*	BBB**		12/20/24	USD	840,000		2,515			3,525			(1,010	)
Republic of Indonesia	1.000%		Quarterly	Goldman Sachs International*	BBB**		12/20/24	USD	2,865,207		13,255			20,736			(7,481	)
Republic of Indonesia	1.000%		Quarterly	Goldman Sachs International*	BBB**		12/20/24	USD	2,074,358		9,712			13,227			(3,515	)
Republic of South Africa	1.000%		Quarterly	Goldman Sachs International*	BB**		12/20/24	USD	523,038		(23,299	)		(19,600	)		(3,699	)
Republic of South Africa	1.000%		Quarterly	Goldman Sachs International*	BB**		12/20/24	USD	556,424		(24,786	)		(21,012	)		(3,774	)
Republic of South Africa	1.000%		Quarterly	Goldman Sachs International*	BB**		12/20/24	USD	3,346,717		(148,895	)		(129,702	)		(19,193	)
Barclay Bank PLC	1.000%		Quarterly	JP Morgan Chase Bank N.A.*	A+**		6/20/24	EUR	100,000		2,152			1,278			874
Republic of South Africa	1.000%		Quarterly	JP Morgan Chase Bank N.A.*	BB**		12/20/24	USD	562,302		(25,017	)		(21,792	)		(3,225	)
Republic of South Africa	1.000%		Quarterly	JP Morgan Chase Bank N.A.*	BB**		12/20/24	USD	616,117		(27,411	)		(23,878	)		(3,533	)
Colombia Government	1.000%		Quarterly	Morgan Stanley & Co. LLC*	BBB**		12/20/24	USD	965,000		2,889			3,489			(600	)
Colombia Government	1.000%		Quarterly	Morgan Stanley & Co. LLC*	BBB**		12/20/24	USD	380,000		1,138			1,924			(786	)
Colombia Government	1.000%		Quarterly	Morgan Stanley & Co. LLC*	BBB**		12/20/24	USD	500,000		1,497			1,482			15
Republic of Indonesia	1.000%		Quarterly	Morgan Stanley & Co. LLC*	BBB**		12/20/24	USD	1,555,768		7,284			10,304			(3,020	)
Republic of Indonesia	1.000%		Quarterly	Morgan Stanley & Co. LLC*	BBB**		12/20/24	USD	273,333		1,280			1,743			(463	)
Republic of Indonesia	1.000%		Quarterly	Morgan Stanley & Co. LLC*	BBB**		12/20/24	USD	3,753,097		17,572			23,931			(6,359	)
										$	(272,113	)	$	(213,881	)	$	(58,232	)

* Contracts subject to a Master Netting Agreement

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund
Rate/ Reference	Frequency	Rate/ Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
28 Day-MXN-TIIE-Banxico	Monthly	Fixed 7.120%	Monthly	7/18/24	MXN	11,000,000	$	13,759		$	-	$	13,759
Fixed 2.620%	Annually	6-Month WIBOR	Semi-Annually	2/20/23	PLN	3,700,000		(29,045	)		-		(29,045	)
Fixed 2.440%	Annually	6-Month WIBOR	Semi-Annually	3/12/23	PLN	230,000		(1,494	)		-		(1,494	)
Fixed 2.350%	Annually	6-Month WIBOR	Semi-Annually	4/06/23	PLN	700,000		(4,103	)		-		(4,103	)
Fixed 2.305%	Annually	6-Month WIBOR	Semi-Annually	4/20/23	PLN	500,000		(2,764	)		-		(2,764	)
Fixed 2.430%	Annually	6-Month WIBOR	Semi-Annually	5/07/23	PLN	1,000,000		(6,685	)		-		(6,685	)

The accompanying notes are an integral part of the financial statements.

59

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

Paid by the Fund		Received by the Fund
Rate/ Reference	Frequency	Rate/ Reference	Frequency	Termination Date	Notional Amount		Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
Fixed 2.518%	Annually	6-Month WIBOR	Semi-Annually	5/18/23	PLN	900,000	$	(6,754	)	$	-	$	(6,754	)
Fixed 2.395%	Annually	6-Month WIBOR	Semi-Annually	8/23/23	PLN	1,400,000		(9,737	)		-		(9,737	)
Fixed 3.090%	Annually	6-Month WIBOR	Semi-Annually	2/20/28	PLN	1,070,000		(30,465	)		-		(30,465	)
Fixed 2.850%	Annually	6-Month WIBOR	Semi-Annually	4/06/28	PLN	100,000		(2,407	)		-		(2,407	)
Fixed 2.920%	Annually	6-Month WIBOR	Semi-Annually	5/07/28	PLN	200,000		(5,136	)		-		(5,136	)
Fixed 3.030%	Annually	6-Month WIBOR	Semi-Annually	5/18/28	PLN	300,000		(8,395	)		-		(8,395	)
Fixed 1.715%	Annually	6-Month WIBOR	Semi-Annually	9/24/29	PLN	1,700,000		(2,417	)		-		(2,417	)
							$	(95,643	)	$	-	$	(95,643	)

Collateral for swap agreements held by JP Morgan Chase Bank N.A. amounted to $ 396,047 in securities, at September 30, 2019.

* Contracts are subject to a Master Netting Agreement.

** Rating is determined by T. Rowe Price and represents a weighted average of the ratings of all securities included in the underlying index for the credit default swap. Ratings used in the weighted average are from Moody’s Investors Service, Inc., S&P Global Ratings, or Fitch Ratings, whichever is the highest for each constituent. All ratings are as of the report date and do not reflect subsequent changes.

† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent S&P Global Ratings. The reference entity rating represents the creditworthiness of the underlying issuer. As the credit rating declines, the likelihood of payment by the fund increases. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

Currency Legend

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CLP Chilean Peso

CNH Offshore Chinese Yuan

COP Colombian Peso

CZK Czech Koruna

EGP Egyptian Pound

EUR Euro

GBP British Pound

IDR Indonesian Rupiah

ILS Israeli Shekel

INR Indian Rupee

JPY Japanese Yen

KRW South Korean Won

MXN Mexican Peso

MYR Malaysian Ringgit

NOK Norwegian Krone

PLN Polish Zloty

RON New Romanian Leu

RUB Russian Ruble

SEK Swedish Krona

SGD Singapore Dollar

THB Thai Baht

TWD Taiwan Dollar

USD U.S. Dollar

ZAR South African Rand

The accompanying notes are an integral part of the financial statements.

60

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments

September 30, 2019

	Principal Amount		Value
BONDS & NOTES — 96.9%
CORPORATE DEBT — 39.9%
Argentina — 0.4%
Banco Macro SA 5 year USD Swap + 5.463% 6.750% VRN 11/04/26 (a)	$	250,000	$	170,625
IRSA Propiedades Comerciales SA 8.750% 3/23/23 (a)		240,000		186,000
Tarjeta Naranja SA BADLAR + 3.500% 51.582% FRN 4/11/22 (a)		200,000		38,500
				395,125
Australia — 1.5%
CNOOC Curtis Funding No 1 Pty Ltd. 4.500% 10/03/23 (a)		1,600,000		1,716,692
Austria — 0.4%
Klabin Austria GmbH 5.750% 4/03/29 (a)		200,000		209,500
Suzano Austria GmbH 6.000% 1/15/29		200,000		217,400
				426,900
Brazil — 1.3%
Banco do Brasil SA 10 year CMT + 6.362% 9.000% VRN 6/18/24 (a)		1,000,000		1,121,000
Itau Unibanco Holding SA 5 year CMT + 3.981% 6.125% VRN 12/12/22 (a)		200,000		201,900
Oi SA 10.000% 7/27/25		100,000		91,510
				1,414,410
British Virgin Islands — 0.8%
Gold Fields Orogen Holdings BVI Ltd. 5.125% 5/15/24 (a) (b)		200,000		211,310
State Grid Overseas Investment 2013 Ltd. 4.375% 5/22/43 (a)		200,000		239,668
State Grid Overseas Investment 2016 Ltd. 2.875% 5/18/26 (a)		400,000		405,644
				856,622
Canada — 0.2%
St Marys Cement, Inc. Canada 5.750% 1/28/27 (a)		200,000		222,250
Cayman Islands — 1.0%
Cosan Overseas Ltd. 8.250% 11/05/19 (a)		100,000		103,376
Country Garden Holdings Co. Ltd. 4.750% 1/17/23 (a)		200,000		198,706

	Principal Amount		Value
Lima Metro Line 2 Finance Ltd. 5.875% 7/05/34 (a)	$	200,000	$	220,750
Metropolitan Light Co. Ltd. 5.500% 11/21/22 (a)		200,000		206,108
Shimao Property Holdings Ltd. 5.600% 7/15/26 (a)		200,000		204,183
Times China Holdings Ltd. 6.750% 7/16/23 (a)		200,000		195,729
				1,128,852
Chile — 0.3%
Corp. Nacional del Cobre de Chile 3.700% 1/30/50 (a)		330,000		328,129
Costa Rica — 0.1%
Instituto Costarricense de Electricidad 6.375% 5/15/43 (a)		200,000		165,502
Hong Kong — 1.7%
CNAC HK Finbridge Co. Ltd. 4.625% 3/14/23 (a)		1,500,000		1,572,319
Yanlord Land HK Co. Ltd. 6.750% 4/23/23 (a)		250,000		258,255
				1,830,574
Indonesia — 3.5%
Pelabuhan Indonesia III Persero PT 4.875% 10/01/24 (a)		200,000		216,000
Pertamina Persero PT 5.625% 5/20/43 (a)		1,400,000		1,627,615
6.000% 5/03/42 (a)		400,000		485,488
Perusahaan Listrik Negara PT 3.875% 7/17/29 (a)		345,000		357,075
4.125% 5/15/27 (a)		200,000		211,072
4.875% 7/17/49 (a)		200,000		217,224
5.250% 10/24/42 (a)		200,000		225,750
6.250% 1/25/49 (a)		200,000		259,640
6.250% 1/25/49 (a)		250,000		324,551
				3,924,415
Ireland — 0.2%
C&W Senior Financing DAC 7.500% 10/15/26 (a)		200,000		211,000
Israel — 2.1%
Israel Chemicals Ltd. 6.375% 5/31/38 (a)		200,000		244,428
6.375% 5/31/38 (a)		150,000		183,321
Israel Electric Corp. Ltd. 4.250% 8/14/28 (a)		400,000		433,748
4.250% 8/14/28 (a)		1,300,000		1,409,681
				2,271,178
Kazakhstan — 0.4%
KazMunayGas National Co. JSC 6.375% 10/24/48 (a)		370,000		459,800

The accompanying notes are an integral part of the financial statements.

61

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Luxembourg — 1.1%
CSN Resources SA 7.625% 2/13/23 (a)	$	250,000	$	260,938
7.625% 2/13/23 (a) (b)		200,000		208,750
MHP Lux SA 6.250% 9/19/29 (a)		220,000		212,203
Minerva Luxembourg SA 6.500% 9/20/26 (a)		350,000		364,070
Rumo Luxembourg Sarl 7.375% 2/09/24 (a)		200,000		215,252
				1,261,213
Mauritius — 0.2%
MTN Mauritius Investments Ltd. 6.500% 10/13/26 (a)		200,000		218,690
Mexico — 10.4%
Axtel SAB de CV 6.375% 11/14/24 (a)		400,000		411,504
BBVA Bancomer SA 5 year CMT + 2.650% 5.125% VRN 1/18/33 (a)		400,000		381,000
Cometa Energia SA de CV 6.375% 4/24/35 (a)		390,000		414,863
Controladora Mabe SA de CV 5.600% 10/23/28 (a)		200,000		215,252
Industrias Penoles SAB de CV 4.150% 9/12/29 (a)		200,000		200,750
Mexico City Airport Trust 5.500% 7/31/47 (a)		350,000		347,165
5.500% 7/31/47 (a)		1,900,000		1,884,610
Petroleos Mexicanos 5.350% 2/12/28		500,000		477,815
5.500% 6/27/44		2,100,000		1,795,815
5.625% 1/23/46		1,450,000		1,233,950
6.500% 6/02/41		2,735,000		2,613,292
6.840% 1/23/30 (a)		345,000		357,386
6.875% 8/04/26		650,000		698,750
7.690% 1/23/50 (a) (b)		260,000		271,050
Sixsigma Networks Mexico SA de CV 7.500% 5/02/25 (a) (b)		200,000		197,600
				11,500,802
Netherlands — 5.3%
Mong Duong Finance Holdings BV 5.125% 5/07/29 (a)		250,000		254,870
Petrobras Global Finance BV 6.850% 6/05/2115		200,000		228,900
6.850% 6/05/2115		300,000		343,350
7.375% 1/17/27		600,000		724,686
8.750% 5/23/26		3,350,000		4,285,487
				5,837,293

	Principal Amount		Value
Panama — 0.2%
Aeropuerto Internacional de Tocumen SA 5.625% 5/18/36 (a)	$	200,000	$	235,002
Paraguay — 0.2%
Telfon Celuar Del Paragu SA 5.875% 4/15/27 (a)		200,000		213,750
Peru — 0.4%
Consorcio Transmantaro SA 4.700% 4/16/34 (a)		200,000		217,500
Peru LNG SRL 5.375% 3/22/30 (a)		200,000		207,500
				425,000
South Africa — 4.8%
Eskom Holdings SOC Ltd. 5.750% 1/26/21 (a)		50,000		50,343
5.750% 1/26/21 (a)		300,000		302,060
6.350% 8/10/28 (a)		200,000		213,957
6.750% 8/06/23 (a)		200,000		205,359
7.125% 2/11/25 (a)		2,000,000		2,058,108
7.125% 2/11/25 (a)		1,350,000		1,389,223
8.450% 8/10/28 (a)		800,000		879,000
FirstRand Bank Ltd. 5 year USD Swap + 3.561% 6.250% VRN 4/23/28 (a)		200,000		211,790
				5,309,840
Sri Lanka — 0.3%
SriLankan Airlines Ltd. 7.000% 6/25/24 (a)		300,000		297,903
Thailand — 0.2%
Bangkok Bank PCL 5 year CMT + 1.900% 3.733% VRN 9/25/34 (a)		200,000		202,451
Turkey — 1.2%
Akbank Turk AS 5 year USD Swap + 5.026% 7.200% VRN 3/16/27 (a)		400,000		372,584
Turk Telekomunikasyon AS 4.875% 6/19/24 (a)		450,000		437,468
Turkiye Garanti Bankasi AS 5 year USD Swap + 4.220% 6.125% VRN 5/24/27 (a)		300,000		268,722
Turkiye Sise ve Cam Fabrikalari AS 6.950% 3/14/26 (a)		200,000		205,500
				1,284,274
United Arab Emirates — 0.2%
Ruwais Power Co. PJSC 6.000% 8/31/36 (a)		200,000		251,921

The accompanying notes are an integral part of the financial statements.

62

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
United Kingdom — 0.2%
Ukraine Railways Via Rail Capital Markets PLC 8.250% 7/09/24 (a)	$	200,000	$	208,540
United States — 0.4%
Azul Investments LLP 5.875% 10/26/24 (a)		500,000		498,750
Venezuela — 0.9%
Petroleos de Venezuela SA 5.375% 4/12/27 (a) (c)		900,000		72,000
6.000% 5/16/24 (a) (c)		2,400,000		192,000
6.000% 11/15/26 (a) (c)		1,750,000		140,000
8.500% 10/27/20 (a) (c)		250,000		83,750
9.000% 11/17/21 (a) (c)		4,990,000		399,200
9.750% 5/17/35 (a) (c)		150,000		12,000
12.750% 2/17/22 (a) (c)		1,500,000		120,000
				1,018,950
TOTAL CORPORATE DEBT (Cost $43,797,613)				44,115,828
SOVEREIGN DEBT OBLIGATIONS — 56.9%
Argentina — 3.8%
Argentina Bonar Bonds 8.750% 5/07/24		600,000		228,906
Argentine Republic Government International Bond 0.000%VRN 12/15/35 (d)		845,000		16,900
3.750% STEP 12/31/38		450,000		176,630
5.625% 1/26/22		550,000		236,506
5.875% 1/11/28		1,420,000		575,114
6.875% 1/26/27		400,000		167,604
7.500% 4/22/26		4,450,000		1,935,794
8.280% 12/31/33		1,577,293		738,046
8.280% 12/31/33		105,153		51,525
Provincia de Buenos Aires 9.125% 3/16/24 (a)		175,000		63,788
				4,190,813
Armenia — 0.2%
Republic of Armenia Government International Bond 3.950% 9/26/29 (a)		200,000		195,869
Bahamas — 1.5%
Bahamas Government International Bond 6.000% 11/21/28 (a)		1,600,000		1,694,016
Bermuda — 0.4%
Bermuda Government International Bond 4.750% 2/15/29 (a)		400,000		453,000

	Principal Amount		Value
Brazil — 3.9%
Brazil Notas do Tesouro Nacional Serie F 10.000% 1/01/23 BRL (e)	$	2,700,000	$	723,305
Brazilian Government International Bond 2.625% 1/05/23		1,200,000		1,198,500
4.625% 1/13/28		850,000		903,133
5.000% 1/27/45		900,000		932,220
5.625% 1/07/41		500,000		559,380
				4,316,538
Colombia — 2.1%
Colombia Government International Bond 4.000% 2/26/24		550,000		579,705
4.000% 2/26/24		400,000		421,604
4.500% 3/15/29		200,000		222,300
5.625% 2/26/44		800,000		1,000,008
6.125% 1/18/41		100,000		130,251
				2,353,868
Costa Rica — 0.8%
Costa Rica Government International Bond 4.375% 4/30/25 (a)		500,000		477,505
7.000% 4/04/44 (a)		200,000		198,252
7.158% 3/12/45 (a)		200,000		200,002
				875,759
Dominican Republic — 1.3%
Dominican Republic International Bond 6.850% 1/27/45 (a)		800,000		891,000
6.875% 1/29/26 (a)		450,000		507,379
				1,398,379
Ecuador — 2.5%
Ecuador Government International Bond 7.875% 1/23/28 (a)		900,000		852,759
7.950% 6/20/24 (a)		1,200,000		1,224,012
9.650% 12/13/26 (a)		200,000		209,752
10.750% 3/28/22 (a)		200,000		217,750
10.750% 1/31/29 (a)		200,000		216,002
				2,720,275
Egypt — 1.8%
Egypt Government International Bond 7.600% 3/01/29 (a)		200,000		211,632
7.903% 2/21/48 (a)		200,000		200,974
8.500% 1/31/47 (a)		1,000,000		1,057,704
8.500% 1/31/47 (a)		550,000		581,737
				2,052,047
El Salvador — 1.1%
El Salvador Government International Bond 5.875% 1/30/25 (a)		100,000		102,876
7.650% 6/15/35 (a)		250,000		268,128

The accompanying notes are an integral part of the financial statements.

63

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
8.625% 2/28/29 (a)	$	700,000	$	814,632
				1,185,636
Ghana — 1.0%
Ghana Government International Bond 8.125% 1/18/26 (a)		1,100,000		1,163,642
Guatemala — 0.4%
Guatemala Government International Bond 4.900% 6/01/30 (a)		400,000		422,640
India — 0.2%
Export Import Bank of India 3.375% 8/05/26 (a)		200,000		205,279
Indonesia — 4.3%
Indonesia Government International Bond 4.625% 4/15/43 (a)		950,000		1,060,684
4.750% 2/11/29		205,000		233,181
Indonesia Treasury Bond 9.000% 3/15/29 IDR (e)		6,800,000,000		530,098
Perusahaan Penerbit SBSN Indonesia III 4.150% 3/29/27 (a)		400,000		428,000
4.550% 3/29/26 (a)		2,350,000		2,563,850
				4,815,813
Ivory Coast — 1.5%
Ivory Coast Government International Bond 5.750% STEP 12/31/32 (a)		880,000		863,130
6.375% 3/03/28 (a)		300,000		306,984
6.625% 3/22/48 EUR (a) (e)		400,000		440,471
				1,610,585
Jamaica — 1.5%
Jamaica Government International Bond 6.750% 4/28/28		400,000		474,500
8.000% 3/15/39		400,000		523,504
8.000% 3/15/39		500,000		654,380
				1,652,384
Kenya — 0.4%
Kenya Government International Bond 7.250% 2/28/28 (a)		400,000		414,580
Mexico — 1.7%
Mexican Bonos 6.500% 6/10/21 MXN (e)		10,400,000		525,191
8.000% 11/07/47 MXN (e)		8,500,000		463,507
10.000% 11/20/36 MXN (e)		3,000,000		193,501

	Principal Amount		Value
Mexico Government International Bond 4.750% 3/08/44	$	650,000	$	703,625
				1,885,824
Mongolia — 1.4%
Development Bank of Mongolia LLC 7.250% 10/23/23 (a)		200,000		207,195
7.250% 10/23/23 (a)		500,000		517,989
Mongolia Government International Bond 5.125% 12/05/22 (a)		400,000		399,016
5.625% 5/01/23 (a)		400,000		403,997
				1,528,197
Nigeria — 1.4%
Nigeria Government International Bond 6.500% 11/28/27 (a)		500,000		505,340
7.143% 2/23/30 (a)		700,000		715,750
8.747% 1/21/31 (a)		300,000		336,435
				1,557,525
Oman — 1.1%
Oman Government International Bond 4.750% 6/15/26 (a)		600,000		576,276
4.750% 6/15/26 (a)		650,000		624,299
				1,200,575
Pakistan — 0.4%
Pakistan Government International Bond 6.875% 12/05/27 (a)		200,000		197,050
8.250% 4/15/24 (a)		200,000		215,462
				412,512
Panama — 0.3%
Panama Government International Bond 3.870% 7/23/60		265,000		286,468
Paraguay — 0.6%
Paraguay Government International Bond 4.700% 3/27/27 (a)		400,000		432,504
5.400% 3/30/50 (a)		200,000		226,700
				659,204
Peru — 0.5%
Peruvian Government International Bond 2.844% 6/20/30		250,000		255,625
5.400% 8/12/34 PEN (a) (e)		865,000		273,677
				529,302
Romania — 0.3%
Romanian Government International Bond 4.625% 4/03/49 EUR (a) (e)		240,000		339,149
Saudi Arabia — 0.6%
Saudi Government International Bond 3.250% 10/26/26 (a)		450,000		464,600
5.000% 4/17/49 (a)		200,000		240,556
				705,156

The accompanying notes are an integral part of the financial statements.

64

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Senegal — 1.0%
Senegal Government International Bond 4.750% 3/13/28 EUR (a) (e)	$	400,000	$	452,530
6.250% 5/23/33 (a)		400,000		402,580
6.250% 5/23/33 (a)		200,000		201,290
				1,056,400
Serbia — 0.2%
Serbia Government International Bond 1.500% 6/26/29 EUR (a) (e)		235,000		266,497
South Africa — 2.1%
Republic of South Africa Government International Bond 4.850% 9/27/27		850,000		869,125
5.650% 9/27/47		550,000		548,392
6.250% 3/08/41		400,000		438,242
10.500% 12/21/26 ZAR (e)		6,300,000		464,149
				2,319,908
Sri Lanka — 3.1%
Sri Lanka Government International Bond 5.750% 1/18/22 (a)		900,000		902,681
6.125% 6/03/25 (a)		600,000		581,995
6.125% 6/03/25 (a)		200,000		193,998
6.200% 5/11/27 (a)		200,000		186,512
6.250% 7/27/21 (a)		600,000		608,983
6.825% 7/18/26 (a)		400,000		395,352
6.825% 7/18/26 (a)		400,000		395,352
6.850% 3/14/24 (a)		200,000		204,453
				3,469,326
Turkey — 6.5%
Export Credit Bank of Turkey 4.250% 9/18/22 (a)		200,000		189,662
5.375% 2/08/21 (a)		200,000		199,420
Turkey Government International Bond 4.250% 4/14/26		1,050,000		945,966
4.875% 10/09/26		1,700,000		1,572,010
4.875% 4/16/43		1,000,000		801,984
6.000% 3/25/27		1,450,000		1,423,854
6.250% 9/26/22		1,600,000		1,640,000
6.875% 3/17/36		450,000		447,858
				7,220,754
Ukrainian Ssr — 4.3%
Ukraine Government International Bond 6.750% 6/20/26 EUR (a) (e)		100,000		117,376
7.750% 9/01/23 (a)		500,000		525,312
7.750% 9/01/25 (a)		1,400,000		1,468,250
7.750% 9/01/27 (a)		1,700,000		1,767,932
9.750% 11/01/28 (a)		200,000		229,008
9.750% 11/01/28 (a)		600,000		687,024
				4,794,902

	Principal Amount		Value
Uruguay — 0.3%
Uruguay Government International Bond 5.100% 6/18/50	$	325,000	$	386,753
Uzbekistan — 1.0%
Republic of Uzbekistan Bond 4.750% 2/20/24 (a)		400,000		419,000
5.375% 2/20/29 (a)		200,000		219,500
5.375% 2/20/29 (a)		400,000		439,000
				1,077,500
Venezuela — 0.2%
Venezuela Government International Bond 7.750% 10/13/19 (a) (c)		1,000,000		107,500
9.250% 9/15/27 (c)		300,000		32,250
11.750% 10/21/26 (a) (c)		300,000		32,250
12.750% 8/23/22 (a) (c)		255,000		27,413
				199,413
Vietnam — 1.2%
Vietnam Government International Bond 4.800% 11/19/24 (a)		1,200,000		1,314,000
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $64,959,872)				62,930,488
U.S. TREASURY OBLIGATIONS — 0.1%
United States — 0.1%
U.S. Treasury Note 1.500% 6/15/20 (f)		130,000		129,667
TOTAL U.S. TREASURY OBLIGATIONS (Cost $129,456)				129,667
TOTAL BONDS & NOTES (Cost $108,886,941)				107,175,983
	Number of Shares
MUTUAL FUNDS — 0.8%
Diversified Financial Services — 0.8%
United States — 0.8%
State Street Navigator Securities Lending Prime Portfolio (g)		909,780		909,780
TOTAL MUTUAL FUNDS (Cost $909,780)				909,780
TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $83,162)				46,665
TOTAL LONG-TERM INVESTMENTS (Cost $109,879,883)				108,132,428

The accompanying notes are an integral part of the financial statements.

65

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
SHORT-TERM INVESTMENTS — 1.3%
Mutual Fund — 0.4%
T. Rowe Price Government Reserve Investment Fund		394,951	$	394,951
	Principal Amount
Repurchase Agreement — 0.9%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950% 10/01/19 (h)	$	1,008,655		1,008,655
TOTAL SHORT-TERM INVESTMENTS (Cost $1,403,606)				1,403,606
TOTAL INVESTMENTS — 99.0% (Cost $111,283,489) (i)				109,536,034
Other Assets/(Liabilities) — 1.0%				1,093,974
NET ASSETS — 100.0%			$	110,630,008

Abbreviation Legend

BADLAR Argentina Deposit Rate

CMT Constant Maturity Treasury Index

FRN Floating Rate Note

PJSC Public Joint Stock Company

STEP Step Up Bond

VRN Variable Rate Note

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $69,123,767 or 62.48% of net assets.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $891,667 or 0.81% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(c) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At September 30, 2019, these securities amounted to a value of $1,218,363 or 1.10% of net assets.

(d) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2019.

(e) The principal amount of the security is in foreign currency. The market value is in U.S. dollars.

(f) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(g) Represents investment of security lending collateral. (Note 2).

(h) Maturity value of $1,008,681. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 3/31/23, and an aggregate market value, including accrued interest, of $1,031,719.

(i) See Note 6 for aggregate cost for federal tax purposes.

(#) OTC Options Purchased

Description	Counterparty		Expiration Date		Exercise Price		No. of Contracts		Notional Amount			Value		Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Call
USD Call CNH Put		Bank of America N.A.*		11/15/19		6.98		850,000		USD	850,000	$	21,808	$	22,805	$	(997	)
USD Call CNH Put		Barclays Bank PLC*		11/27/19		6.97		850,000		USD	850,000		23,376		24,331		(955	)
EUR Call USD Put		Citibank N.A.*		12/05/19		1.14		2,100,000		USD	2,100,000		1,481		36,026		(34,545	)
												$	46,665	$	83,162	$	(36,497	)

* Contracts are subject to a Master Netting Agreement.

The accompanying notes are an integral part of the financial statements.

66

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

Forward contracts

Counterparty	Settlement Date		Currency Purchased		Currency Sold		Unrealized Appreciation (Depreciation)
Bank of America N.A.*		12/13/19	USD	92,974	ZAR	1,430,000	$	(572	)
Bank of America N.A.*		1/10/20	USD	92,530	ZAR	1,430,000		(677	)
Barclays Bank PLC*		10/02/19	USD	227,776	BRL	884,000		15,018
Barclays Bank PLC*		10/02/19	BRL	884,000	USD	212,275		483
Barclays Bank PLC*		10/04/19	IDR	1,505,822,200	USD	106,156		(97	)
Barclays Bank PLC*		10/11/19	USD	271,679	PEN	901,000		4,467
Barclays Bank PLC*		11/22/19	EUR	109,601	USD	121,266		(1,358	)
Barclays Bank PLC*		12/06/19	USD	296,981	CLP	213,909,000		3,227
Barclays Bank PLC*		1/10/20	USD	45,517	ZAR	711,250		(842	)
Barclays Bank PLC*		1/16/20	USD	104,542	IDR	1,505,822,200		(337	)
BNP Paribas SA*		10/02/19	BRL	913,826	USD	218,975		962
BNP Paribas SA*		10/02/19	USD	219,438	BRL	913,826		(499	)
BNP Paribas SA*		11/22/19	USD	200,725	MXN	4,001,305		(348	)
BNP Paribas SA*		11/22/19	USD	705,225	EUR	631,000		14,884
BNP Paribas SA*		11/22/19	EUR	32,274	USD	35,795		(485	)
BNP Paribas SA*		12/03/19	USD	218,185	BRL	913,826		(897	)
BNP Paribas SA*		12/06/19	USD	265,512	CLP	190,971,000		3,258
BNP Paribas SA*		12/13/19	USD	46,301	ZAR	715,000		(472	)
Citibank N.A.*		10/02/19	BRL	390,000	USD	95,635		(1,771	)
Citibank N.A.*		10/02/19	USD	93,651	BRL	390,000		(213	)
Citibank N.A.*		10/04/19	IDR	752,912,000	USD	53,266		(236	)
Citibank N.A.*		11/22/19	USD	559,978	MXN	11,012,805		6,564
Citibank N.A.*		12/13/19	USD	92,322	ZAR	1,430,000		(1,224	)
Citibank N.A.*		1/16/20	USD	52,446	IDR	752,912,000		7
Credit Suisse International*		10/04/19	USD	263,201	IDR	3,764,558,200		(1,946	)
Credit Suisse International*		10/04/19	IDR	1,505,824,000	USD	106,544		(484	)
Credit Suisse International*		1/16/20	USD	104,930	IDR	1,505,824,000		52
Goldman Sachs International*		10/02/19	USD	267,669	BRL	1,031,411		19,432
Goldman Sachs International*		10/02/19	BRL	1,031,411	USD	247,673		564
Goldman Sachs International*		11/22/19	USD	100,160	MXN	2,001,000		(394	)
Goldman Sachs International*		11/22/19	USD	700,572	EUR	627,000		14,608
HSBC Bank USA*		10/04/19	USD	275,616	TWD	8,726,000		(5,681	)
HSBC Bank USA*		10/11/19	USD	552,469	KRW	672,023,000		(9,476	)
HSBC Bank USA*		10/11/19	KRW	672,023,000	USD	568,884		(6,939	)
HSBC Bank USA*		11/22/19	MXN	4,974,000	USD	246,195		3,758
HSBC Bank USA*		11/22/19	USD	100,745	MXN	2,001,000		191
HSBC Bank USA*		12/06/19	USD	88,776	CLP	63,657,000		1,358
HSBC Bank USA*		1/10/20	USD	45,890	ZAR	715,000		(713	)
JP Morgan Chase Bank N.A.*		10/02/19	BRL	1,710,415	USD	410,402		1,256
JP Morgan Chase Bank N.A.*		10/02/19	USD	425,378	BRL	1,710,415		13,720
JP Morgan Chase Bank N.A.*		10/04/19	TWD	8,726,000	USD	283,105		(1,808	)
JP Morgan Chase Bank N.A.*		11/22/19	USD	201,475	MXN	4,002,000		367
JP Morgan Chase Bank N.A.*		12/03/19	USD	218,357	BRL	914,000		(766	)
JP Morgan Chase Bank N.A.*		12/06/19	USD	177,228	CLP	127,314,000		2,392
JP Morgan Chase Bank N.A.*		1/10/20	USD	46,100	ZAR	715,000		(503	)
Morgan Stanley & Co. LLC*		10/02/19	BRL	494,000	USD	122,511		(3,617	)

The accompanying notes are an integral part of the financial statements.

67

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

Counterparty	Settlement Date		Currency Purchased		Currency Sold			Unrealized Appreciation (Depreciation)
Morgan Stanley & Co. LLC*		10/02/19	USD	118,624		BRL	494,000	$	(270	)
UBS AG*		11/22/19	USD	700,531		EUR	627,000		14,567
								$	78,510

* Contracts are subject to a Master Netting Agreement.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Note 10 Year		12/19/19		33	$	4,343,414	$	(43,101	)
U.S. Treasury Ultra Bond		12/19/19		6		1,174,978		(23,540	)
U.S. Treasury Note 5 Year		12/31/19		44		5,278,094		(35,563	)
							$	(102,204	)

OTC Credit Default Swaps — Buy Protection
Reference Obligation/Index	Rate Paid by Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount			Value			Upfront Premium Paid/ (Received)			Unrealized Appreciation (Depreciation)
Bank of China Ltd		1.000	%		Quarterly	Citibank N.A.*		6/20/24		USD	550,000	$	(12,379	)	$	(11,449	)	$	(930	)
Republic of Korea		1.000	%		Quarterly	Citibank N.A.*		6/20/24		USD	250,000		(7,956	)		(8,427	)		471
												$	(20,335	)	$	(19,876	)	$	(459	)

* Contracts are subject to a Master Netting Agreement.

Currency Legend

BRL Brazilian Real

CLP Chilean Peso

CNH Offshore Chinese Yuan

EUR Euro

IDR Indonesian Rupiah

KRW South Korean Won

MXN Mexican Peso

PEN Peruvian New Sol

TWD Taiwan Dollar

USD U.S. Dollar

ZAR South African Rand

The accompanying notes are an integral part of the financial statements.

68

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.1%
Basic Materials — 2.1%
Chemicals — 2.1%
Air Products & Chemicals, Inc.		12,396	$	2,750,177
CF Industries Holdings, Inc.		96,727		4,758,968
DuPont de Nemours, Inc.		106,653		7,605,426
Linde PLC		58,072		11,249,708
PPG Industries, Inc.		6,432		762,256
				27,126,535
				27,126,535
Communications — 17.2%
Internet — 15.0%
Alibaba Group Holding Ltd. Sponsored ADR (a)		103,243		17,265,327
Alphabet, Inc. Class A (a)		16,874		20,605,516
Alphabet, Inc. Class C (a)		21,450		26,147,550
Amazon.com, Inc. (a)		30,521		52,981,709
Booking Holdings, Inc. (a)		3,219		6,317,642
Facebook, Inc. Class A (a)		199,647		35,553,138
IAC/InterActiveCorp (a)		22,550		4,915,223
Match Group, Inc.		582		41,578
MercadoLibre, Inc. (a)		3,238		1,784,883
Netflix, Inc. (a)		31,169		8,341,448
Symantec Corp.		94,700		2,237,761
Tencent Holdings Ltd.		308,100		13,075,670
Tencent Music Entertainment Group ADR (a)		222,700		2,843,879
				192,111,324
Media — 1.3%
Comcast Corp. Class A		136,500		6,153,420
The Walt Disney Co.		76,194		9,929,602
				16,083,022
Telecommunications — 0.9%
Cisco Systems, Inc.		134,660		6,653,551
Motorola Solutions, Inc.		30,555		5,206,877
				11,860,428
				220,054,774
Consumer, Cyclical — 7.1%
Airlines — 0.0%
Delta Air Lines, Inc.		5,229		301,190
Apparel — 0.6%
NIKE, Inc. Class B		80,470		7,557,742
Auto Manufacturers — 0.5%
Ferrari NV		38,152		5,878,842
Auto Parts & Equipment — 0.6%
Aptiv PLC		91,513		8,000,067

	Number of Shares		Value
Home Builders — 0.3%
NVR, Inc. (a)		844	$	3,137,443
Leisure Time — 0.1%
Royal Caribbean Cruises Ltd.		7,917		857,649
Lodging — 1.0%
Las Vegas Sands Corp.		80,171		4,630,677
MGM Resorts International		118,523		3,285,457
Wynn Resorts Ltd.		50,244		5,462,528
				13,378,662
Retail — 4.0%
Dollar General Corp.		16,824		2,674,007
Dollar Tree, Inc. (a)		173,609		19,819,203
Dollarama, Inc.		171,129		6,126,466
McDonald’s Corp.		47,399		10,177,039
Restaurant Brands International, Inc.		30,001		2,134,271
Ross Stores, Inc.		24,761		2,719,996
Ulta Salon Cosmetics & Fragrance, Inc. (a)		5,741		1,438,982
Walmart, Inc.		55,804		6,622,819
				51,712,783
				90,824,378
Consumer, Non-cyclical — 17.4%
Agriculture — 0.4%
Philip Morris International, Inc.		59,145		4,490,880
Beverages — 0.1%
PepsiCo, Inc.		4,197		575,409
Biotechnology — 0.9%
Alexion Pharmaceuticals, Inc. (a)		19,990		1,957,820
Vertex Pharmaceuticals, Inc. (a)		56,790		9,621,362
				11,579,182
Commercial Services — 1.6%
Ant International Co., Ltd., Class C (Acquired 6/07/18, Cost $1,171,890) (a) (b) (c) (d)		208,893		1,343,182
Equifax, Inc.		17,530		2,465,945
Global Payments, Inc.		25,082		3,988,088
PayPal Holdings, Inc. (a)		55,076		5,705,323
S&P Global, Inc.		1,691		414,261
TransUnion		81,944		6,646,478
				20,563,277
Foods — 2.4%
Conagra Brands, Inc.		227,377		6,975,926
Tyson Foods, Inc. Class A		279,991		24,118,425
				31,094,351
Health Care – Products — 8.4%
Alcon, Inc. (a)		59,362		3,464,502
Alcon, Inc. (a)		87,807		5,118,270
Becton Dickinson and Co.		71,046		17,971,796

The accompanying notes are an integral part of the financial statements.

69

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Boston Scientific Corp. (a)		155,957	$	6,345,891
Danaher Corp.		119,605		17,274,550
Intuitive Surgical, Inc. (a)		18,410		9,940,111
Medtronic PLC		99,634		10,822,245
Stryker Corp.		75,524		16,335,841
Teleflex, Inc.		7,721		2,623,210
Thermo Fisher Scientific, Inc.		49,882		14,529,130
Zimmer Biomet Holdings, Inc.		22,702		3,116,304
				107,541,850
Health Care – Services — 2.1%
Anthem, Inc.		22,158		5,320,136
Centene Corp. (a)		100,710		4,356,714
HCA Healthcare, Inc.		38,888		4,682,893
UnitedHealth Group, Inc.		44,065		9,576,206
WellCare Health Plans, Inc. (a)		13,030		3,376,985
				27,312,934
Pharmaceuticals — 1.5%
AbbVie, Inc.		36,455		2,760,373
Cigna Corp. (a)		30,598		4,644,471
Elanco Animal Health, Inc. (a)		114,597		3,047,134
Merck & Co., Inc.		108,713		9,151,460
				19,603,438
				222,761,321
Energy — 2.3%
Oil & Gas — 1.3%
BP PLC Sponsored ADR		84,935		3,226,681
Chevron Corp.		9,703		1,150,776
Concho Resources, Inc.		21,900		1,487,010
ConocoPhillips		45,020		2,565,239
EOG Resources, Inc.		58,832		4,366,511
Pioneer Natural Resources Co.		18,688		2,350,390
Total SA Sponsored ADR		38,383		1,995,916
				17,142,523
Pipelines — 1.0%
Targa Resources Corp.		40,678		1,634,035
TC Energy Corp.		211,145		10,935,200
				12,569,235
				29,711,758
Financial — 17.1%
Banks — 3.8%
Bank of America Corp.		61,987		1,808,161
Citigroup, Inc.		117,450		8,113,446
Fifth Third Bancorp		105,750		2,895,435
JP Morgan Chase & Co.		103,266		12,153,376
Morgan Stanley		2,226		94,983
The PNC Financial Services Group, Inc.		4,093		573,675
US Bancorp		39,446		2,182,942
Wells Fargo & Co.		395,212		19,934,493
				47,756,511

	Number of Shares		Value
Diversified Financial Services — 6.0%
American Express Co.		13,026	$	1,540,715
The Charles Schwab Corp.		122,438		5,121,581
CME Group, Inc.		19,826		4,190,027
Intercontinental Exchange, Inc.		148,495		13,701,634
Mastercard, Inc. Class A		81,977		22,262,494
TD Ameritrade Holding Corp.		116,160		5,424,672
Visa, Inc. Class A		145,086		24,956,243
				77,197,366
Insurance — 4.4%
American International Group, Inc.		460,657		25,658,595
AXA Equitable Holdings, Inc.		112,239		2,487,216
Chubb Ltd.		91,197		14,722,844
Marsh & McLennan Cos., Inc.		69,243		6,927,762
Willis Towers Watson PLC		34,987		6,751,441
				56,547,858
Real Estate Investment Trusts (REITS) — 2.9%
AvalonBay Communities, Inc.		20,047		4,316,721
Crown Castle International Corp.		55,909		7,771,910
Prologis, Inc.		170,471		14,527,539
Public Storage		23,509		5,766,052
Ventas, Inc.		69,650		5,086,539
				37,468,761
				218,970,496
Industrial — 12.1%
Aerospace & Defense — 4.6%
The Boeing Co.		123,321		46,919,941
Northrop Grumman Corp.		32,241		12,083,604
				59,003,545
Electronics — 2.0%
Fortive Corp.		96,071		6,586,628
Honeywell International, Inc.		50,472		8,539,862
Keysight Technologies, Inc. (a)		65,557		6,375,418
TE Connectivity Ltd.		40,675		3,790,097
				25,292,005
Engineering & Construction — 0.5%
Jacobs Engineering Group, Inc.		62,729		5,739,704
Environmental Controls — 0.2%
Republic Services, Inc.		10,525		910,939
Waste Connections, Inc.		18,587		1,710,004
				2,620,943
Machinery – Diversified — 1.7%
Hexagon AB Class B		70,354		3,399,526
Roper Technologies, Inc.		36,172		12,898,935
Wabtec Corp.		80,812		5,807,150
				22,105,611
Miscellaneous – Manufacturing — 1.1%
General Electric Co.		1,640,909		14,669,726

The accompanying notes are an integral part of the financial statements.

70

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Packaging & Containers — 0.8%
Ball Corp.		50,201	$	3,655,135
Packaging Corp. of America		58,566		6,213,852
				9,868,987
Transportation — 1.2%
J.B. Hunt Transport Services, Inc.		35,455		3,923,096
United Parcel Service, Inc. Class B		96,890		11,609,360
				15,532,456
				154,832,977
Technology — 15.8%
Computers — 0.4%
Apple, Inc.		22,322		4,999,458
Semiconductors — 3.6%
Analog Devices, Inc.		24,266		2,711,240
ASML Holding NV		48,725		12,104,264
Broadcom, Inc.		6,176		1,705,008
Marvell Technology Group Ltd.		226,150		5,646,966
Micron Technology, Inc. (a)		186,190		7,978,242
NVIDIA Corp.		9,131		1,589,433
NXP Semiconductor NV		64,537		7,042,277
QUALCOMM, Inc.		38,702		2,952,189
Texas Instruments, Inc.		33,873		4,377,747
				46,107,366
Software — 11.8%
Atlassian Corp. PLC Class A (a)		4,759		596,969
Electronic Arts, Inc. (a)		17,503		1,712,145
Fidelity National Information Services, Inc.		143,403		19,038,182
Fiserv, Inc. (a)		79,358		8,220,696
Intuit, Inc.		38,248		10,171,673
Microsoft Corp.		489,877		68,107,599
salesforce.com, Inc. (a)		63,485		9,423,713
ServiceNow, Inc. (a)		15,933		4,044,592
Slack Technologies, Inc. Class A (a) (e)		85,595		2,031,169
Splunk, Inc. (a)		52,047		6,134,259
Synopsys, Inc. (a)		44,696		6,134,526
Temenos Group AG Registered		21,774		3,648,886
VMware, Inc. Class A		41,687		6,255,551
Workday, Inc. Class A (a)		31,307		5,320,938
Zoom Video Communications, Inc. Class A (a) (e)		1,895		144,399
				150,985,297
				202,092,121
Utilities — 7.0%
Electric — 6.6%
CenterPoint Energy, Inc.		121,269		3,659,898
Edison International		111,434		8,404,352
Entergy Corp.		110,147		12,926,852
Evergy, Inc.		6,264		416,932

	Number of Shares		Value
Exelon Corp.		1,521	$	73,480
NextEra Energy, Inc.		128,340		29,901,937
Sempra Energy		140,775		20,779,798
The Southern Co.		141,856		8,762,445
				84,925,694
Gas — 0.4%
NiSource, Inc.		179,308		5,364,896
				90,290,590
TOTAL COMMON STOCK (Cost $1,131,656,968)				1,256,664,950
PREFERRED STOCK — 0.7%
Consumer, Cyclical — 0.1%
Automotive & Parts — 0.1%
GM Cruise Holdings, LLC, Class F (Acquired 5/07/19, Cost $921,625) (a) (b) (c) (d)		50,500		921,625
Consumer, Non-cyclical — 0.1%
Auto Manufacturers — 0.0%
Aurora Innovation, Inc., Series B, (Acquired 3/01/19, Cost $439,191) (a) (b) (c) (d)		47,530		439,191
Health Care – Products — 0.1%
Becton Dickinson and Co. Convertible 6.125%		16,559		1,025,168
				1,464,359
Industrial — 0.1%
Electronics — 0.1%
Fortive Corp. Convertible 5.000%		763		688,325
Technology — 0.1%
Semiconductors — 0.1%
Broadcom, Inc. Convertible 8.000%		1,268		1,300,189
Software — 0.0%
UiPath, Inc., Series D-1 (Acquired 4/26/19, Cost $702,388) (a) (b) (c) (d)		17,849		702,388
UiPath, Inc., Series D-2 (Acquired 4/26/19, Cost $117,937) (a) (b) (c) (d)		2,997		117,937
				820,325
				2,120,514
Utilities — 0.3%
Electric — 0.3%
Sempra Energy Convertible 6.000%		9,105		1,076,211
Sempra Energy Convertible 6.750%		4,770		561,238

The accompanying notes are an integral part of the financial statements.

71

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
The Southern Co. Convertible 6.750%		50,124	$	2,682,136
				4,319,585
				4,319,585
TOTAL PREFERRED STOCK (Cost $9,114,092)				9,514,408
TOTAL EQUITIES (Cost $1,140,771,060)				1,266,179,358
	Principal Amount
BONDS & NOTES — 0.1%
CORPORATE DEBT — 0.1%
Utilities — 0.1%
Electric — 0.1%
Pacific Gas & Electric Co. 3.950% 12/01/47 (f)	$	489,000		473,107
4.000% 12/01/46 (f)		373,000		359,013
				832,120
TOTAL CORPORATE DEBT (Cost $768,128)				832,120
TOTAL BONDS & NOTES (Cost $768,128)				832,120
	Number of Shares
MUTUAL FUNDS — 0.2%
Diversified Financial Services — 0.2%
State Street Navigator Securities Lending Prime Portfolio (g)		2,200,780		2,200,780
TOTAL MUTUAL FUNDS (Cost $2,200,780)				2,200,780
TOTAL LONG-TERM INVESTMENTS (Cost $1,143,739,968)				1,269,212,258
SHORT-TERM INVESTMENTS — 0.9%
Mutual Fund — 0.8%
T. Rowe Price Government Reserve Investment Fund		10,204,578		10,204,578
TOTAL MUTUAL FUND (Cost $10,204,578)				10,204,578

	Principal Amount		Value
Repurchase Agreement — 0.1%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (h)	$	1,180,699	$	1,180,699
TOTAL SHORT-TERM INVESTMENTS (Cost $11,385,277)				11,385,277
TOTAL INVESTMENTS — 100.0% (Cost $1,155,125,245) (i)				1,280,597,535
Other Assets/(Liabilities) — 0.0%				65,329
NET ASSETS — 100.0%			$	1,280,662,864

Abbreviation Legend

ADR American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Investment was valued using significant unobservable inputs.

(c) Restricted security. Certain securities are restricted as to resale. At September 30, 2019, these securities amounted to a value of $3,524,323 or 0.28% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $3,524,323 or 0.28% of net assets.

(e) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $2,153,808 or 0.17% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(f) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At September 30, 2019, these securities amounted to a value of $832,120 or 0.06% of net assets.

(g) Represents investment of security lending collateral. (Note 2).

(h) Maturity value of $1,180,731. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $1,209,245.

(i) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

72

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments

September 30, 2019

	Principal Amount		Value
BONDS & NOTES — 98.6%
CORPORATE DEBT — 14.6%
Advertising — 0.3%
The Interpublic Group of Cos., Inc. 3.500% 10/01/20	$	40,000	$	40,471
WPP Finance 2010 3.625% 9/07/22		440,000		453,870
				494,341
Agriculture — 0.4%
Bunge Ltd. Finance Corp. 3.500% 11/24/20		300,000		303,246
Imperial Brands Finance PLC 2.950% 7/21/20 (a)		200,000		200,727
Reynolds American, Inc. 6.875% 5/01/20		190,000		194,970
				698,943
Airlines — 0.1%
Delta Air Lines, Inc. 2.875% 3/13/20		250,000		250,534
Auto Manufacturers — 1.4%
BMW US Capital LLC 2.950% 4/14/22 (a)		375,000		382,665
Daimler Finance NA LLC 2.200% 5/05/20 (a)		235,000		235,103
2.700% 8/03/20 (a)		240,000		241,264
Ford Motor Credit Co. LLC 3.200% 1/15/21		200,000		200,267
3.336% 3/18/21		200,000		200,934
3.470% 4/05/21		245,000		246,231
General Motors Financial Co., Inc. 3.200% 7/06/21		220,000		222,256
Hyundai Capital America 2.450% 6/15/21 (a)		170,000		169,829
2.600% 3/19/20 (a)		235,000		235,053
3.000% 10/30/20 (a)		60,000		60,285
Nissan Motor Acceptance Corp. 2.150% 9/28/20 (a)		340,000		339,492
3.650% 9/21/21 (a)		130,000		132,988
Volkswagen Group of America Finance LLC 2.500% 9/24/21 (a)		200,000		200,496
				2,866,863
Banks — 2.8%
Bangkok Bank PCL 3.875% 9/27/22 (a)		250,000		259,353
Bank of America Corp. 3 mo. USD LIBOR + .650% 2.749% FRN 10/01/21		150,000		150,461
Barclays Bank PLC 2.650% 1/11/21		470,000		471,353

	Principal Amount		Value
Capital One NA 2.150% 9/06/22	$	250,000	$	249,755
2.350% 1/31/20		250,000		250,074
Citibank NA 2.125% 10/20/20		250,000		250,231
Citizens Bank NA/Providence RI 2.200% 5/26/20		350,000		350,018
Danske Bank A/S 2.000% 9/08/21 (a)		375,000		372,445
2.200% 3/02/20 (a)		200,000		199,903
3 mo. USD LIBOR + 1.249% 3.001% VRN 9/20/22 (a)		200,000		200,733
Discover Bank 7.000% 4/15/20		250,000		256,168
The Goldman Sachs Group, Inc. 2.300% 12/13/19		350,000		350,037
ING Groep NV 3.150% 3/29/22		370,000		378,336
Morgan Stanley 5.500% 7/24/20		325,000		333,756
Nordea Bank AB 4.875% 5/13/21 (a)		200,000		206,966
Regions Bank/Birmingham AL 3 mo. USD LIBOR + .380% 2.479% FRN 4/01/21		250,000		249,652
Standard Chartered PLC 3 mo. USD LIBOR + 1.200% 2.744% VRN 9/10/22 (a)		230,000		230,237
SunTrust Bank/Atlanta GA 3 mo. USD LIBOR + .500% 3.525% VRN 10/26/21		225,000		228,162
Swedbank AB 2.650% 3/10/21 (a)		470,000		471,594
				5,459,234
Biotechnology — 0.2%
Celgene Corp. 2.875% 8/15/20		325,000		326,792
3.250% 8/15/22		90,000		92,730
				419,522
Building Materials — 0.1%
Vulcan Materials Co. 3 mo. USD LIBOR + .650% 2.782% FRN 3/01/21		240,000		240,198
Chemicals — 0.9%
Braskem Finance Ltd. 5.750% 4/15/21 (a)		450,000		465,754
CNAC HK Finbridge Co. Ltd. 4.125% 3/14/21 (a)		450,000		457,419
CNAC HK Synbridge Co. Ltd. 5.000% 5/05/20		200,000		202,312

The accompanying notes are an integral part of the financial statements.

73

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
INVISTA Finance LLC 4.250% 10/15/19 (a)	$	200,000	$	200,099
Syngenta Finance NV 3.698% 4/24/20 (a)		245,000		245,814
3.933% 4/23/21 (a)		200,000		203,664
				1,775,062
Commercial Services — 0.1%
Equifax, Inc. 3.600% 8/15/21		25,000		25,478
ERAC USA Finance LLC 2.350% 10/15/19 (a)		250,000		250,016
				275,494
Computers — 0.2%
Hewlett Packard Enterprise Co. 2.100% 10/04/19 (a)		100,000		99,999
International Business Machines Corp. 2.850% 5/13/22		370,000		377,779
				477,778
Diversified Financial Services — 0.9%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.450% 12/16/21		350,000		363,924
Air Lease Corp. 3.500% 1/15/22		455,000		466,663
GE Capital International Funding Co. Unlimited Co. 2.342% 11/15/20		285,000		284,312
Park Aerospace Holdings Ltd. 5.250% 8/15/22 (a)		425,000		447,907
Synchrony Financial 2.700% 2/03/20		265,000		265,301
				1,828,107
Electric — 0.8%
Consorcio Transmantaro SA 4.375% 5/07/23 (a)		300,000		313,128
Enel Finance International NV 2.875% 5/25/22 (a)		370,000		374,891
Exelon Generation Co. LLC 2.950% 1/15/20		225,000		225,307
Mississippi Power Co. 3 mo. USD LIBOR + .650% 2.750% FRN 3/27/20		70,000		70,027
Perusahaan Listrik Negara PT 5.500% 11/22/21 (a)		200,000		212,000
State Grid Overseas Investment 2016 Ltd. 2.125% 5/18/21 (a)		200,000		198,895
2.750% 5/04/22 (a)		200,000		201,535
				1,595,783
Electronics — 0.2%
Arrow Electronics, Inc. 3.500% 4/01/22		143,000		145,934

	Principal Amount		Value
Keysight Technologies, Inc. 3.300% 10/30/19	$	315,000	$	315,059
				460,993
Engineering & Construction — 0.2%
CSCEC Finance Cayman I Ltd. 2.950% 11/19/20 (a)		250,000		250,774
CSCEC Finance Cayman II Ltd. 2.900% 7/05/22 (a)		200,000		200,797
				451,571
Foods — 0.3%
General Mills, Inc. 3 mo. USD LIBOR + .540% 2.862% FRN 4/16/21		165,000		165,375
Kraft Heinz Foods Co. 3 mo. USD LIBOR + .570% 2.751% FRN 2/10/21		200,000		199,568
3.500% 6/06/22		160,000		164,448
				529,391
Health Care – Products — 0.2%
Becton Dickinson and Co. 2.404% 6/05/20		200,000		200,164
3 mo. USD LIBOR + .875% 2.979% FRN 12/29/20		124,000		124,041
				324,205
Health Care – Services — 0.1%
Aetna, Inc. 2.750% 11/15/22		120,000		121,295
Anthem, Inc. 2.500% 11/21/20		150,000		150,740
				272,035
Holding Company – Diversified — 0.3%
CK Hutchison International 16 Ltd. 1.875% 10/03/21 (a)		200,000		197,844
CMHI Finance BVI Co. Ltd. 4.375% 8/06/23 (a)		350,000		369,368
				567,212
Insurance — 0.3%
AIA Group Ltd. 3 mo. USD LIBOR + .520% 2.676% FRN 9/20/21 (a)		300,000		299,700
Willis Towers Watson PLC 5.750% 3/15/21		315,000		330,210
				629,910
Internet — 0.8%
Alibaba Group Holding Ltd. 2.500% 11/28/19		350,000		350,059
Baidu, Inc. 2.875% 7/06/22		200,000		201,070
3.875% 9/29/23		350,000		364,160

The accompanying notes are an integral part of the financial statements.

74

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Tencent Holdings Ltd. 2.875% 2/11/20 (a)	$	250,000	$	250,398
2.985% 1/19/23 (a)		400,000		406,240
				1,571,927
Iron & Steel — 0.1%
ArcelorMittal 5.500% STEP 3/01/21		120,000		124,960
Machinery – Diversified — 0.2%
CNH Industrial Capital LLC 4.375% 11/06/20		345,000		351,107
Media — 0.3%
Comcast Corp. 3.450% 10/01/21		245,000		252,310
Sky Ltd. 3.125% 11/26/22 (a)		365,000		376,838
				629,148
Mining — 0.1%
Anglo American Capital PLC 3.750% 4/10/22 (a)		250,000		256,701
Miscellaneous – Manufacturing — 0.1%
General Electric Co. 5.300% 2/11/21		185,000		191,143
Oil & Gas — 1.3%
Bharat Petroleum Corp. Ltd. 4.375% 1/24/22 (a)		400,000		414,254
CNOOC Finance 2011 Ltd. 4.250% 1/26/21 (a)		200,000		204,516
CNOOC Finance 2015 Australia Pty Ltd. 2.625% 5/05/20		200,000		200,198
Pertamina Persero PT 4.300% 5/20/23 (a)		250,000		262,674
5.250% 5/23/21 (a)		250,000		260,587
Phillips 66 3 mo. USD LIBOR + .600% 2.732% FRN 2/26/21		105,000		105,005
PTTEP Canada International Finance Ltd. 5.692% 4/05/21 (a)		240,000		251,455
Reliance Holding USA, Inc. 4.500% 10/19/20 (a)		500,000		509,685
Saudi Arabian Oil Co. 2.750% 4/16/22 (a)		350,000		352,959
				2,561,333
Pharmaceuticals — 0.2%
CVS Health Corp. 3 mo. USD LIBOR + .630% 2.732% FRN 3/09/20		10,000		10,020
3 mo. USD LIBOR + .720% 2.822% FRN 3/09/21		105,000		105,506
3.350% 3/09/21		109,000		110,743
Medco Health Solutions, Inc. 4.125% 9/15/20		250,000		254,765
				481,034

	Principal Amount		Value
Pipelines — 0.3%
Plains All American Pipeline LP/PAA Finance Corp. 2.600% 12/15/19	$	225,000	$	225,023
Sabine Pass Liquefaction LLC 5.625% STEP 2/01/21		200,000		206,583
Williams Cos., Inc. 3.600% 3/15/22		110,000		112,990
5.250% 3/15/20		110,000		111,432
				656,028
Real Estate — 0.5%
China Overseas Finance Cayman V Ltd. 3.950% 11/15/22 (a)		225,000		232,220
China Overseas Finance Cayman VII Ltd. 4.250% 4/26/23 (a)		200,000		209,781
Vanke Real Estate Hong Kong Co. Ltd. 3.950% 12/23/19 (a)		200,000		200,528
4.150% 4/18/23 (a)		250,000		258,474
				901,003
Real Estate Investment Trusts (REITS) — 0.1%
American Tower Corp. 2.800% 6/01/20		185,000		185,705
Retail — 0.1%
Dollar Tree, Inc. 3 mo. USD LIBOR + .700% 3.003% FRN 4/17/20		190,000		190,034
Semiconductors — 0.3%
Broadcom, Inc. 3.125% 4/15/21 (a)		360,000		363,454
Microchip Technology, Inc. 3.922% 6/01/21		120,000		122,565
				486,019
Telecommunications — 0.2%
Axiata SPV2 Bhd 3.466% 11/19/20 (a)		400,000		403,870
Trucking & Leasing — 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp. 3.200% 7/15/20 (a)		50,000		50,296
SMBC Aviation Capital Finance DAC 3.000% 7/15/22 (a)		370,000		373,997
				424,293
TOTAL CORPORATE DEBT (Cost $29,119,059)				29,031,481
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.9%
Automobile ABS — 1.6%
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class B 2.130% 7/18/25		365,000		365,282

The accompanying notes are an integral part of the financial statements.

75

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Americredit Automobile Receivables Trust, Series 2016-4, Class C 2.410% 7/08/22	$	99,000	$	99,196
Avis Budget Rental Car Funding AESOP LLC Series 2015-2A, Class A, 2.630% 12/20/21 (a)		375,000		376,137
Series 2017-2A, Class A, 2.970% 3/20/24 (a)		310,000		316,717
Series 2019-1A, Class A, 3.450% 3/20/23 (a)		420,000		431,499
GM Financial Automobile Leasing Trust, Series 2017-3, Class C 2.730% 9/20/21		375,000		375,066
Hyundai Auto Lease Securitization Trust, Series 2018-A, Class A3 2.810% 4/15/21 (a)		215,000		215,747
Santander Drive Auto Receivables Trust Series 2017-1, Class C, 2.580% 5/16/22		60,980		61,015
Series 2018-4, Class B, 3.270% 1/17/23		50,000		50,323
Santander Retail Auto Lease Trust Series 2019-B, Class C, 2.770% 8/21/23 (a)		170,000		171,186
Series 2019-A, Class C, 3.300% 5/22/23 (a)		280,000		285,444
World Omni Automobile Lease Securitization Trust, Series 2017-A, Class B 2.480% 8/15/22		480,000		479,584
				3,227,196
Commercial MBS — 0.3%
BX Commercial Mortgage Trust, Series 2019-IMC, Class C, 1 mo. USD LIBOR + 1.600% 3.628% FRN 4/15/34 (a)		210,000		210,135
Commercial Mortgage Pass-Through Certificates Series 2014-UBS4, Class AM, 3.968% 8/10/47		250,000		264,558
Series 2014-UBS2, Class AM, 4.199% 3/10/47		100,000		106,266
New Orleans Hotel Trust, Series 2019-HNLA, Class C, 1 mo. USD LIBOR + 1.589% 3.616% FRN 4/15/32 (a)		100,000		99,998
				680,957
Other ABS — 1.4%
BlueMountain CLO Ltd., Series 2012-2A, Class AR2, 3 mo. USD LIBOR + 1.050% 3.186% FRN 11/20/28 (a)		250,000		250,115

	Principal Amount		Value
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A 3.280% 9/26/33 (a)	$	90,086	$	92,093
CIFC Funding Ltd., Series 2015-4A, Class A1R, 3 mo. USD LIBOR + 1.150% 3.428% FRN 10/20/27 (a)		250,000		250,137
Hardee’s Funding LLC, Series 2018-1A, Class A2I 4.250% 6/20/48 (a)		94,050		95,797
Hilton Grand Vacations Trust, Series 2014-AA, Class B 2.070% 11/25/26 (a)		63,985		63,631
MVW Owner Trust, Series 2017-1A, Class A 2.420% 12/20/34 (a)		647,271		648,226
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class A2R, 3 mo. USD LIBOR + 1.000% 3.303% FRN 7/15/27 (a)		250,000		244,414
OZLM VIII Ltd., Series 2014-8A, Class A1RR, 3 mo. USD LIBOR + 1.170% 3.473% FRN 10/17/29 (a)		250,000		249,739
Towd Point Mortgage Trust Series 2017-6, Class A1, 2.750% VRN 10/25/57 (a) (b)		217,538		218,495
Series 2018-2, Class A1, 3.250% VRN 3/25/58 (a) (b)		226,291		229,957
Series 2018-5, Class A1A, 3.250% VRN 7/25/58 (a) (b)		186,412		189,880
Series 2015-6, Class A1, 3.500% VRN 4/25/55 (a) (b)		156,086		158,177
Series 2018-3, Class A1, 3.750% VRN 5/25/58 (a) (b)		102,556		106,269
				2,796,930
Student Loans ABS — 0.4%
SMB Private Education Loan Trust Series 2016-B, Class A2A, 2.430% 2/17/32 (a)		260,106		261,242
Series 2017-B, Class A2A, 2.820% 10/15/35 (a)		455,548		461,090
Series 2017-A, Class A2A, 2.880% 9/15/34 (a)		148,852		151,244
				873,576
WL Collateral CMO — 4.2%
Angel Oak Mortgage Trust, Series 2019-2, Class A1, 3.628% VRN 3/25/49 (a) (b)		197,424		200,919
Citigroup Mortgage Loan Trust, Series 2019-IMC1, Class A1, 2.720% VRN 7/25/49 (a) (b)		254,249		253,951

The accompanying notes are an integral part of the financial statements.

76

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
COLT Mortgage Loan Trust Series 2019-2, Class A1, 3.337% VRN 5/25/49 (a) (b)	$	167,646	$	170,880
Series 2018-3, Class A2, 3.763% VRN 10/26/48 (a) (b)		142,812		144,841
Series 2018-3, Class A3, 3.865% VRN 10/26/48 (a) (b)		136,602		138,797
Deephave Residential Mortgage Trust, Series 2019-2A, Class A1, 3.558% VRN 4/25/59 (a) (b)		147,411		149,907
Deephaven Residential Mortgage Trust, Series 2019-3A, Class A1, 2.964% VRN 7/25/59 (a) (b)		612,260		611,175
Galton Funding Mortgage Trust Series 2018-1, Class A33, 3.500% VRN 11/25/57 (a) (b)		467,171		472,149
Series 2019-2, Class A42, 3.500% VRN 6/25/59 (a) (b)		369,473		369,905
GMRF Mortgage Acquisition Co., Series 2019-1, Class A42 4.000% 2/25/59 (a)		120,572		120,248
Homeward Opportunities Fund I Trust Series 2019-2, Class A3, 3.007% VRN 9/25/59 (a) (b)		504,823		503,996
Series 2018-1, Class A1, 3.766% VRN 6/25/48 (a) (b)		203,862		209,803
JP Morgan Mortgage Trust, Series 2019-INV2, Class A3, 3.500% VRN 2/25/50 (a) (b)		135,000		136,444
Metlife Securitization Trust, Series 2018-1A, Class A, 3.750% VRN 3/25/57 (a) (b)		215,349		225,855
New Residential Mortgage Loan Trust, Series 2019-NQM2, Class A1 3.600% 4/25/49 (a)		144,048		146,807
Onslow Bay Financial LLC Series 2019-EXP1, Class 1A3, 4.000% VRN 1/25/59 (a) (b)		473,147		483,700
Series 2019-EXP2, Class 1A3, 4.000% VRN 7/25/59 (a) (b)		437,256		446,777
Sequoia Mortgage Trust Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (a) (b)		305,428		309,798
Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (a) (b)		269,167		296,034
Series 2018-CH2, Class A3, 4.000% VRN 6/25/48 (a) (b)		97,465		99,661
Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (a) (b)		119,786		124,494
Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (a) (b)		102,097		106,914
Starwood Mortgage Residential Trust, Series 2019-IMC1, Class A1 3.468% 2/25/49 (a)		144,370		145,755

	Principal Amount		Value
Verus Securitization Trust Series 2017-2A, Class A3, 2.845% VRN 7/25/47 (a) (b)	$	188,548	$	188,260
Series 2019-INV2, Class A1, 2.913% VRN 7/25/59 (a) (b)		414,788		413,311
Series 2019-3, Class A3, 3.040% STEP 7/25/59 (a)		364,955		365,753
Series 2019-2, Class A1, 3.211% VRN 4/25/59 (a) (b)		201,282		203,201
Series 2019-INV1, Class A1, 3.402% VRN 12/25/59 (a) (b)		145,857		147,488
Series 2018-2, Class A1, 3.677% VRN 6/01/58 (a) (b)		166,382		170,401
Series 2017-1A, Class A3, 3.716% VRN 1/25/47 (a) (b)		154,294		156,825
Series 2019-1, Class A1, 3.836% VRN 2/25/59 (a) (b)		240,609		243,090
Series 2018-3, Class A1, 4.108% VRN 10/25/58 (a) (b)		227,258		233,838
Series 2018-INV2, Class A1FX, 4.148% VRN 10/25/58 (a) (b)		268,253		273,401
				8,264,378
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $15,648,581)				15,843,037
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 1.8%
Collateralized Mortgage Obligations — 0.2%
Government National Mortgage Association Series 2019-65, Class B 3.500% 5/20/49		375,346		385,597
Whole Loans — 1.6%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2018-DNA1, Class M1, 1 mo. USD LIBOR + .450% 2.468% FRN 7/25/30		314,037		313,254
Series 2018-HQA1, Class M1, 1 mo. USD LIBOR + .700% 2.718% FRN 9/25/30		220,387		220,387
Series 2019-HQA2, Class M1, 1 mo. USD LIBOR + .700% 2.718% FRN 4/25/49 (a)		51,641		51,618
Series 2017-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.768% FRN 3/25/30		332,619		332,777
Series 2018-DNA3, Class M1, 1 mo. USD LIBOR + .750% 2.768% FRN 9/25/48 (a)		172,712		172,945

The accompanying notes are an integral part of the financial statements.

77

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Series 2017-HQA2, Class M1, 1 mo. USD LIBOR + .800% 2.818% FRN 12/25/29	$	189,806	$	189,806
Series 2018-DNA2, Class M1, 1 mo. USD LIBOR + .800% 2.818% FRN 12/25/30 (a)		243,116		243,363
Series 2019-HQA1, Class M1, 1 mo. USD LIBOR + .900% 2.918% FRN 2/25/49 (a)		70,839		70,889
Series 2019-DNA3, Class M1, 1 mo. USD LIBOR + .730% 3.030% FRN 7/25/49 (a)		304,277		304,220
Series 2017-DNA2, Class M1, 1 mo. USD LIBOR + 1.200% 3.218% FRN 10/25/29		255,658		256,767
Series 2018-SPI1, Class M1, 3.740% VRN 2/25/48 (a) (b)		132,980		133,904
Series 2018-SPI2, Class M1, 3.817% VRN 5/25/48 (a) (b)		50,947		51,308
Series 2018-SPI3, Class M1, 4.160% VRN 8/25/48 (a) (b)		55,507		56,061
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2018-C02, Class 2M1, 1 mo. USD LIBOR + .650% 2.668% FRN 8/25/30		54,698		54,685
Series 2018-C03, Class 1M1, 1 mo. USD LIBOR + .680% 2.698% FRN 10/25/30		49,737		49,713
Series 2018-R07, Class 1M1, 1 mo. USD LIBOR + .750% 2.768% FRN 4/25/31 (a)		58,960		58,950
Series 2019-R05, Class 1M1, 1 mo. USD LIBOR + .750% 2.768% FRN 7/25/39 (a)		291,622		291,947
Series 2017-C02, Class 2M1, 1 mo. USD LIBOR + 1.150% 3.168% FRN 9/25/29		151,859		152,105
Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 3.368% FRN 9/25/29		240,000		240,329
				3,245,028
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $3,624,072)				3,630,625
U.S. TREASURY OBLIGATIONS — 74.3%
U.S. Treasury Bonds & Notes — 74.3%
U.S. Treasury Inflation Index 0.125% 4/15/21		7,306,808		7,225,977
0.125% 1/15/22		17,575,156		17,399,691
0.125% 4/15/22		19,018,986		18,819,088
0.125% 7/15/22		19,417,714		19,326,849

	Principal Amount		Value
0.125% 1/15/23	$	5,570,677	$	5,522,108
0.125% 7/15/24		4,548,929		4,543,224
0.250% 1/15/25		13,979,954		14,008,017
0.250% 7/15/29		6,897,493		6,950,175
0.375% 7/15/23		937,074		942,346
0.375% 7/15/25		8,099,886		8,201,490
0.500% 4/15/24		9,524,622		9,638,620
0.625% 7/15/21		18,267,599		18,323,736
0.625% 4/15/23		8,161,842		8,226,118
0.625% 1/15/24 (c) (d)		8,688,785		8,819,899
1.125% 1/15/21		194		195
				147,947,533
TOTAL U.S. TREASURY OBLIGATIONS (Cost $146,619,698)				147,947,533
TOTAL BONDS & NOTES (Cost $195,011,410)				196,452,676
TOTAL LONG-TERM INVESTMENTS (Cost $195,011,410)				196,452,676
SHORT-TERM INVESTMENTS — 1.4%
Commercial Paper — 0.5%
Broadcom, Inc. 3.556% 10/08/19 (a)		500,000		499,710
Energy Transfer Partners LP 2.638% 10/02/19 (a)		500,000		499,926
				999,636
	Number of Shares
Mutual Fund — 0.2%
T. Rowe Price Government Reserve Investment Fund		334,725		334,725
	Principal Amount
Repurchase Agreement — 0.7%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (e)	$	1,371,720		1,371,720
TOTAL SHORT-TERM INVESTMENTS (Cost $2,706,069)				2,706,081
TOTAL INVESTMENTS — 100.0% (Cost $197,717,479) (f)				199,158,757
Other Assets/(Liabilities) — (0.0)%				(85,043	)
NET ASSETS — 100.0%			$	199,073,714

The accompanying notes are an integral part of the financial statements.

78

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

Abbreviation Legend

ABS Asset-Backed Security

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

MBS Mortgage-Backed Security

STEP Step Up Bond

VRN Variable Rate Note

WL Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the

aggregate market value of these securities amounted to $31,244,252 or 15.69% of net assets.

(b) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2019.

(c) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(d) All or a portion of this security is held as collateral for open swap agreements. (Note 2).

(e) Maturity value of $1,371,756. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $1,402,317.

(f) See Note 6 for aggregate cost for federal tax purposes.

Exchange-Traded Options Written

Description	Expiration Date		Exercise Price		No. of Contracts		Notional Amount			Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
U.S. Treasury Note 10 Year Future		10/25/19		130.50		76		USD	76,000	$	(45,124	)	$	(30,728	)	$	(14,396	)
U.S. Treasury Note 10 Year Future		11/22/19		131.00		38		USD	38,000		(26,719	)		(17,747	)		(8,972	)
											(71,843	)		(48,475	)		(23,368	)
Put
U.S. Treasury Note 10 Year Future		10/25/19		128.00		38		USD	38,000	$	(2,969	)	$	(13,607	)	$	10,638
U.S. Treasury Note 10 Year Future		10/25/19		128.50		38		USD	38,000		(5,344	)		(12,997	)		7,653
											(8,313	)		(26,604	)		18,291
										$	(80,156	)	$	(75,079	)	$	(5,077	)

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Note 10 Year		12/19/19		100	$	13,101,660		$	(70,410	)
U.S. Treasury Note 2 Year		12/31/19		63		13,608,890			(32,390	)
U.S. Treasury Note 5 Year		12/31/19		70		8,396,969			(56,578	)
								$	(159,378	)
Short
U.S. Treasury Long Bond		12/19/19		1	$	(164,304	)	$	1,991
U.S. Treasury Ultra 10 Year		12/19/19		84		(11,991,544	)		29,419
								$	31,410

The accompanying notes are an integral part of the financial statements.

79

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

OTC Interest Rate Swaps

Paid by the Fund		Received by the Fund		Counterparty	Termination Date	Notional Amount			Value			Upfront Premium Paid/ (Received)		Unrealized Appreciation (Depreciation)
Rate/ Reference	Frequency	Rate/ Reference	Frequency
Fixed 2.12%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	2/21/20		USD	11,100,000	$	(64,208	)	$	-	$	(64,208	)
Fixed 2.17%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	2/21/21		USD	7,500,000		(91,200	)		-		(91,200	)
Fixed 2.21%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	8/03/21		USD	1,875,000		(36,205	)		-		(36,205	)
Fixed 1.53%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	8/15/21		USD	2,430,324		(2,337	)		-		(2,337	)
Fixed 1.44%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	8/23/21		USD	666,250		688			-		688
Fixed 1.44%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	8/23/21		USD	717,500		776			-		776
Fixed 1.92%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	1/11/24		USD	1,500,000		(25,834	)		-		(25,834	)
Fixed 1.75%	Maturity	U.S. Consumer Price Index	Maturity	Bank of America N.A.*	7/08/24		USD	775,000		(6,486	)		-		(6,486	)
Fixed 2.24%	Maturity	U.S. Consumer Price Index	Maturity	Barclays Bank PLC*	5/25/20		USD	500,000		(5,123	)		-		(5,123	)
Fixed 1.47%	Maturity	U.S. Consumer Price Index	Maturity	Barclays Bank PLC*	12/24/20		USD	5,200,000		4,985			-		4,985
Fixed 1.57%	Maturity	U.S. Consumer Price Index	Maturity	Barclays Bank PLC*	7/08/21		USD	1,950,000		(4,210	)		-		(4,210	)
Fixed 1.66%	Maturity	U.S. Consumer Price Index	Maturity	Barclays Bank PLC*	7/08/22		USD	1,250,000		(5,622	)		-		(5,622	)
Fixed 1.48%	Maturity	U.S. Consumer Price Index	Maturity	Citibank N.A.*	8/16/21		USD	1,619,676		(53	)		-		(53	)
Fixed 1.44%	Maturity	U.S. Consumer Price Index	Maturity	Citibank N.A.*	8/26/21		USD	666,250		669			-		669
Fixed 1.44%	Maturity	U.S. Consumer Price Index	Maturity	Goldman Sachs & Co.*	8/09/21		USD	7,101,000		3,903			-		3,903
Fixed 2.29%	Maturity	U.S. Consumer Price Index	Maturity	UBS AG*	6/05/23		USD	1,700,000		(56,150	)		-		(56,150	)
									$	(286,407	)	$	-	$	(286,407	)

Collateral for swap agreements held at Bank of America N.A. amounted to $ 279,723 in securities at September 30, 2019.

* Contracts are subject to a Master Netting Agreement.

Currency Legend

USD U.S. Dollar

The accompanying notes are an integral part of the financial statements.

80

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 90.6%
COMMON STOCK — 90.1%
Australia — 8.0%
Alumina Ltd.		171,731	$	274,925
BHP Group Ltd.		106,460		2,635,686
BlueScope Steel Ltd.		17,375		140,986
Charter Hall Retail		47,618		136,677
Dexus		23,899		192,547
Evolution Mining Ltd.		17,990		54,615
Fortescue Metals Group Ltd.		43,392		260,240
Goodman Group		29,950		286,585
Incitec Pivot Ltd.		53,059		121,581
Independence Group NL		73,393		319,526
Newcrest Mining Ltd.		27,778		647,629
Northern Star Resources Ltd.		56,376		416,351
Regis Resources Ltd.		9,621		31,573
Rio Tinto Ltd.		4,528		284,780
Saracen Mineral Holdings Ltd. (a)		130,779		301,923
South32 Ltd.		261,509		464,729
				6,570,353
Austria — 0.2%
Schoeller-Bleckmann Oilfield Equipment AG		843		50,062
voestalpine AG		3,928		90,390
				140,452
Belgium — 0.1%
Umicore SA		2,733		103,265
Bermuda — 0.3%
Hongkong Land Holdings Ltd.		45,400		255,803
Brazil — 1.1%
Vale SA		82,657		949,920
Canada — 8.0%
Agnico Eagle Mines Ltd.		8,438		452,201
Alacer Gold Corp. (a)		14,244		57,520
Alamos Gold, Inc. Class A		6,641		38,597
Allied Properties		3,984		161,092
B2Gold Corp. (a)		15,844		51,544
Barrick Gold Corp.		62,515		1,081,514
Canadian Apartment Properties		4,423		181,848
Centerra Gold, Inc. (a)		4,157		35,331
Detour Gold Corp. (a)		2,928		42,986
Enbridge, Inc.		4,777		167,577
First Quantum Minerals Ltd.		14,993		125,955
Franco-Nevada Corp.		9,760		889,329
Kelt Exploration Ltd. (a)		15,661		41,137
Kinross Gold Corp. (a)		45,880		211,245
Kirkland Lake Gold Ltd.		17,742		794,798
Lundin Mining Corp.		39,884		187,551
Osisko Gold Royalties Ltd.		12,754		118,505
Sandstorm Gold Ltd. (a) (b)		4,199		23,739

	Number of Shares		Value
SEMAFO, Inc. (a)		44,916	$	144,086
Seven Generations Energy Ltd. Class A (a)		16,288		103,517
Suncor Energy, Inc.		5,110		161,374
TC Energy Corp.		10,489		543,225
Teck Resources Ltd. Class B		26,406		428,569
Torex Gold Resources, Inc. (a)		1,916		23,747
West Fraser Timber Co. Ltd.		4,753		190,142
Wheaton Precious Metals Corp.		11,350		297,618
				6,554,747
Cayman Islands — 0.2%
Shimao Property Holdings Ltd.		47,500		137,985
Finland — 0.5%
Kojamo OYJ		16,199		265,460
Wartsila OYJ Abp		11,619		130,336
				395,796
France — 1.9%
Gecina SA		1,582		248,578
Schneider Electric SE		1,269		111,292
Total SA		22,465		1,169,526
Unibail Rodamco Westfield		206		30,031
				1,559,427
Germany — 0.4%
SGL Carbon SE (a)		5,946		28,232
Symrise AG		1,546		150,253
thyssenkrupp AG		11,251		155,915
				334,400
Hong Kong — 0.8%
Hang Lung Properties Ltd.		117,000		265,942
Sun Hung Kai Properties Ltd.		29,500		426,481
				692,423
Ireland — 0.8%
Linde PLC		3,521		682,088
Japan — 3.0%
Heiwa Real Estate Co. Ltd.		5,900		132,616
Hoshino Resorts REIT, Inc.		23		126,760
JFE Holdings, Inc.		14,600		176,736
Mitsubishi Estate Co. Ltd.		18,400		356,287
Mitsui Fudosan Co. Ltd.		12,100		301,140
Mitsui Fudosan Logistics Park, Inc.		73		304,229
Nippon Accommodations Fund, Inc.		59		367,262
Nippon Steel Corp.		23,700		332,165
Sumitomo Metal Mining Co. Ltd.		12,700		396,078
				2,493,273
Luxembourg — 1.1%
ADO Properties SA (c)		6,584		271,236
ArcelorMittal		19,573		275,900
Orion Engineered Carbons SA		3,385		56,563

The accompanying notes are an integral part of the financial statements.

81

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Shurgard Self Storage SA		4,105	$	130,875
Tenaris SA		13,001		137,935
				872,509
Mexico — 0.5%
Concentradora Fibra Danhos SA de CV		76,200		106,535
Grupo Mexico SAB de CV Series B		60,300		141,384
Industrias Penoles SAB de CV		10,877		144,961
				392,880
Netherlands — 1.0%
Akzo Nobel NV		2,067		184,400
Koninklijke DSM NV		2,269		272,940
Schlumberger Ltd.		10,388		354,958
				812,298
Norway — 0.8%
Equinor ASA		18,020		341,816
Norsk Hydro ASA		55,875		197,252
Yara International ASA		3,205		138,270
				677,338
Peru — 0.2%
Cia de Minas Buenaventura SA Sponsored ADR		10,970		166,525
Portugal — 0.3%
Galp Energia SGPS SA		19,474		292,920
Republic of Korea — 0.5%
POSCO		1,999		378,617
Russia — 0.6%
Alrosa PJSC		171,700		197,126
MMC Norilsk Nickel PJSC		1,057		271,823
				468,949
Singapore — 0.4%
CapitaLand Mall Trust		117,800		224,270
Mapletree Industrial Trust		55,900		98,292
				322,562
South Africa — 1.1%
Anglo Platinum Ltd.		4,087		246,477
AngloGold Ashanti Ltd.		15,215		279,662
Gold Fields Ltd.		30,343		150,479
Harmony Gold Mining Co. Ltd. Sponsored ADR (a) (b)		10,418		29,587
Impala Platinum Holdings Ltd. (a)		34,099		214,460
				920,665
Spain — 0.5%
Inmobiliaria Colonial SA		21,405		258,261
Vidrala SA		1,439		120,585
				378,846
Sweden — 1.7%
Boliden AB		30,385		699,169
Epiroc AB Class B		12,855		133,041

	Number of Shares		Value
Hufvudstaden AB Class A		12,104	$	219,095
Lundin Petroleum AB		5,999		179,459
Sandvik AB		9,364		145,822
				1,376,586
Switzerland — 0.5%
PSP Swiss Property AG Registered		3,147		399,506
United Kingdom — 7.9%
Anglo American PLC		16,131		371,617
Antofagasta PLC		25,275		279,958
BHP Group PLC		31,546		674,671
BP PLC		98,817		624,780
Cairn Energy PLC (a)		37,420		88,088
Centamin PLC		28,294		43,806
Croda International PLC		3,640		217,626
Derwent London PLC		6,034		250,099
Fresnillo PLC		16,956		142,664
Glencore PLC		176,185		530,802
Grainger PLC		36,516		110,519
Great Portland Estates PLC		27,711		255,537
Intertek Group PLC		1,374		92,516
Mondi PLC		6,236		119,410
Rio Tinto PLC		39,743		2,064,332
Shaftesbury PLC		16,001		178,735
The UNITE Group PLC		16,901		226,926
Victrex PLC		4,412		117,117
The Weir Group PLC		6,536		114,700
				6,503,903
United States — 47.7%
Acadia Realty Trust		17,261		493,319
AGCO Corp.		1,270		96,139
Air Products & Chemicals, Inc.		2,948		654,043
Alexander & Baldwin, Inc.		8,367		205,075
Alexandria Real Estate Equities, Inc.		5,148		792,998
Alliant Energy Corp.		2,466		132,991
American Campus Communities, Inc.		14,517		697,977
American Electric Power Co., Inc.		1,779		166,675
Atmos Energy Corp.		3,894		443,488
AvalonBay Communities, Inc.		7,939		1,709,505
Avery Dennison Corp.		1,348		153,092
Ball Corp.		5,510		401,183
Boston Properties, Inc.		2,217		287,456
Cabot Oil & Gas Corp.		7,254		127,453
Calyxt, Inc. (a) (b)		2,521		14,218
Camden Property Trust		7,286		808,819
CF Industries Holdings, Inc.		4,948		243,442
Chevron Corp.		1,713		203,162
Concho Resources, Inc.		6,838		464,300
ConocoPhillips		7,742		441,139
Continental Resources, Inc. (a)		7,526		231,726
Corteva, Inc. (a)		2,539		71,092
CubeSmart		21,815		761,343
CyrusOne, Inc.		1,914		151,397

The accompanying notes are an integral part of the financial statements.

82

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Devon Energy Corp.		8,019	$	192,937
Diamondback Energy, Inc.		3,866		347,592
Digital Realty Trust, Inc.		3,528		457,970
Douglas Emmett, Inc.		21,408		916,905
Dow, Inc. (a)		2,349		111,930
Dril-Quip, Inc. (a)		2,279		114,360
DuPont de Nemours, Inc.		3,048		217,353
EastGroup Properties, Inc.		2,433		304,174
Entergy Corp.		1,186		139,189
EOG Resources, Inc.		6,798		504,548
EPR Properties		541		41,581
Equinix, Inc.		940		542,192
Equity LifeStyle Properties, Inc.		2,397		320,239
Equity Residential		17,714		1,528,010
Essex Property Trust, Inc.		3,759		1,227,877
Evergy, Inc.		2,066		137,513
Eversource Energy		2,378		203,248
Exxon Mobil Corp.		3,069		216,702
Federal Realty Investment Trust		3,881		528,359
First Industrial Realty Trust, Inc.		4,449		176,002
Flowserve Corp.		2,274		106,219
Freeport-McMoRan, Inc.		35,297		337,792
Halliburton Co.		9,571		180,413
Healthcare Realty Trust, Inc.		26,140		875,690
Healthcare Trust of America, Inc. Class A		23,625		694,102
Highwoods Properties, Inc.		4,964		223,082
Hilton Worldwide Holdings, Inc.		4,396		409,312
Host Hotels & Resorts, Inc.		16,100		278,369
Hudson Pacific Properties, Inc.		9,450		316,197
International Paper Co.		3,937		164,645
Jacobs Engineering Group, Inc.		1,981		181,262
Jagged Peak Energy, Inc. (a) (b)		10,849		78,764
JBG SMITH Properties		14,136		554,273
KBR, Inc.		5,069		124,393
Kilroy Realty Corp.		4,924		383,530
Kosmos Energy Ltd.		23,053		143,851
The Macerich Co.		20,510		647,911
Magnolia Oil & Gas Corp. Class A (a) (b)		9,605		106,616
Marathon Petroleum Corp.		3,646		221,495
National Retail Properties, Inc.		1,105		62,322
Newmont Goldcorp Corp.		24,207		917,929
Newmont Goldcorp Corp.		3,892		147,178
NextEra Energy, Inc.		2,307		537,508
Nucor Corp.		8,009		407,738
Occidental Petroleum Corp.		6,576		292,435
Packaging Corp. of America		1,795		190,450
Paramount Group, Inc.		9,242		123,381
Pebblebrook Hotel Trust		2,878		80,066
Phillips 66		1,646		168,550
Pioneer Natural Resources Co.		2,974		374,040
PPG Industries, Inc.		2,648		313,814

	Number of Shares		Value
Prologis, Inc.		25,151	$	2,143,368
PS Business Parks, Inc.		1,161		211,244
Public Storage		5,591		1,371,305
Quaker Chemical Corp.		1,029		162,726
Rayonier, Inc.		7,774		219,227
Realty Income Corp.		1,809		138,714
Regency Centers Corp.		9,967		692,607
Rexford Industrial Realty, Inc.		5,292		232,954
RPM International, Inc.		5,681		390,910
Sanderson Farms, Inc.		1,520		230,022
Sempra Energy		1,403		207,097
The Sherwin-Williams Co.		670		368,413
Simon Property Group, Inc.		3,713		577,928
SL Green Realty Corp.		9,898		809,161
Southern Copper Corp.		7,505		256,146
Spirit Realty Capital, Inc.		706		33,789
Steel Dynamics, Inc.		5,726		170,635
Sunstone Hotel Investors, Inc.		28,745		394,956
Terreno Realty Corp.		12,191		622,838
The Toro Co.		2,502		183,397
Urban Edge Properties		12,378		244,961
Valero Energy Corp.		2,338		199,291
Valmont Industries, Inc.		610		84,448
VEREIT, Inc.		6,551		64,069
Vornado Realty Trust		6,709		427,162
Westlake Chemical Corp.		2,136		139,951
Weyerhaeuser Co.		10,040		278,108
WP Carey, Inc.		2,833		253,553
WPX Energy, Inc. (a)		11,141		117,983
Xcel Energy, Inc.		3,239		210,179
Xylem, Inc.		1,784		142,042
				39,203,224
TOTAL COMMON STOCK (Cost $72,719,009)				74,037,260
PREFERRED STOCK — 0.5%
Brazil — 0.2%
Gerdau SA 2.190%		47,648		150,916
United States — 0.3%
International Flavors & Fragrances, Inc. Convertible 6.000%		941		44,265
Sempra Energy Convertible 6.000%		1,392		164,534
The Southern Co. Convertible 6.750%		1,305		69,831
				278,630
TOTAL PREFERRED STOCK (Cost $459,728)				429,546
TOTAL EQUITIES (Cost $73,178,737)				74,466,806

The accompanying notes are an integral part of the financial statements.

83

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
MUTUAL FUNDS — 1.3%
Diversified Financial Services — 1.3%
United States — 1.3%
Real Estate Select Sector SPDR Fund		23,324	$	917,566
State Street Navigator Securities Lending Prime Portfolio (d)		143,486		143,486
TOTAL MUTUAL FUNDS (Cost $1,022,560)				1,061,052
TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $11,768)				18,348
TOTAL LONG-TERM INVESTMENTS (Cost $74,213,065)				75,546,206
SHORT-TERM INVESTMENTS — 7.5%
Mutual Fund — 5.7%
T. Rowe Price Government Reserve Investment Fund		4,674,072		4,674,072
	Principal Amount
Repurchase Agreement — 1.5%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (e)	$	1,254,419		1,254,419
U.S. Treasury Bill — 0.3%
U.S. Treasury Bill 0.000% 11/07/19 (f)		262,000		261,537
TOTAL SHORT-TERM INVESTMENTS (Cost $6,189,954)				6,190,028
TOTAL INVESTMENTS — 99.4% (Cost $80,403,019) (g)				81,736,234
Other Assets/(Liabilities) — 0.6%				488,102
NET ASSETS — 100.0%			$	82,224,336

Abbreviation Legend

ADR American Depositary Receipt

PJSC Public Joint Stock Company

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $137,772 or

0.17% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(c) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $271,236 or 0.33% of net assets.

(d) Represents investment of security lending collateral. (Note 2).

(e) Maturity value of $1,254,452. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $1,280,377.

(f) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(g) See Note 6 for aggregate cost for federal tax purposes.

Sector weightings, as a percentage of net assets, is as follows:

Financial	38.7	%
Basic Materials	35.2	%
Energy	10.8	%
Utilities	2.9	%
Industrial	2.7	%
Consumer, Cyclical	0.7	%
Consumer, Non-cyclical	0.7	%
Mutual Funds	0.2	%
Purchased Options	0.0	%
Total Long-Term Investments	91.9	%
Short-Term Investments and Other Assets and Liabilities	8.1	%
Net Assets	100.0	%

The accompanying notes are an integral part of the financial statements.

84

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

(#) OTC Options Purchased

Description

Counterparty

Expiration Date

Exercise Price

No. of Contracts

Notional Amount

Value

Premiums Paid (Received)

Unrealized Appreciation/ (Depreciation)

Put

GBP Put USD Call

Deutsche Bank AG*

2/20/20

1.22

800,000

USD

800,000

$

18,348

$

11,768

$

6,580

* Contracts are subject to a Master Netting Agreement.

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
S&P TSE 60 Index		12/19/19		6	$	902,700		$	(470	)
SPI 200 Index		12/19/19		3		336,756			1,495
FTSE 100 Index		12/20/19		11		989,085			9,537
S&P 500 E Mini Index		12/20/19		6		889,583			3,967
Xae Energy		12/20/19		13		792,007			(17,857	)
								$	(3,328	)
Short
U.S. Treasury Ultra Bond		12/19/19		9	$	(1,731,309	)	$	4,153
DAX Index		12/20/19		1		(337,501	)		(683	)
								$	3,470

Currency Legend

USD U.S. Dollar

GBP British Pound

The accompanying notes are an integral part of the financial statements.

85

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments

September 30, 2019

	Number of Shares		Value
EQUITIES — 95.5%
COMMON STOCK — 94.8%
Basic Materials — 3.9%
Chemicals — 1.2%
AgroFresh Solutions, Inc. (a)		61,363	$	161,384
Air Products & Chemicals, Inc.		5,078		1,126,604
American Vanguard Corp.		14,020		220,113
Balchem Corp.		626		62,093
CF Industries Holdings, Inc.		1,134		55,793
GCP Applied Technologies, Inc. (a)		9,954		191,615
Hawkins, Inc.		4,616		196,180
Minerals Technologies, Inc.		11,827		627,895
Oil-Dri Corp. of America		5,794		197,344
Orion Engineered Carbons SA		4,961		82,898
PolyOne Corp.		7,525		245,692
PPG Industries, Inc.		5,392		639,007
Quaker Chemical Corp.		3,570		564,560
RPM International, Inc.		29,298		2,015,995
Valvoline, Inc.		22,504		495,763
Westlake Chemical Corp.		14,707		963,603
				7,846,539
Forest Products & Paper — 0.2%
Clearwater Paper Corp. (a)		5,640		119,117
Interfor Corp. (a)		19,900		210,288
West Fraser Timber Co. Ltd.		23,129		925,265
				1,254,670
Iron & Steel — 0.3%
Carpenter Technology Corp.		10,077		520,578
Nucor Corp.		18,437		938,627
Reliance Steel & Aluminum Co.		3,221		321,005
				1,780,210
Mining — 2.2%
Alacer Gold Corp. (a)		61,635		248,894
Barrick Gold Corp.		132,413		2,294,717
Cameco Corp.		134,309		1,275,935
Cia de Minas Buenaventura SA Sponsored ADR		62,088		942,496
Constellium SE (a)		51,594		655,760
ERO Copper Corp. (a)		37,582		548,901
Franco-Nevada Corp.		2,526		230,270
Franco-Nevada Corp.		27,704		2,524,382
Freeport-McMoRan, Inc.		108,396		1,037,350
Gold Fields Ltd. Sponsored ADR		79,869		392,955
Kirkland Lake Gold Ltd.		12,096		541,901
Lundin Mining Corp.		39,496		185,727
NAC Kazatomprom JSC GDR		40,391		533,161
Newmont Goldcorp Corp.		51,845		1,965,962
Northern Star Resources Ltd.		63,760		470,884
Osisko Gold Royalties Ltd.		28,504		264,848
				14,114,143
				24,995,562

	Number of Shares		Value
Communications — 4.6%
Internet — 2.2%
Chewy, Inc. Class A (a)		2,748	$	67,546
Everquote, Inc. Class A (a) (b)		3,609		77,016
Farfetch Ltd. Class A (a)		25,512		220,424
IAC/InterActiveCorp (a)		15,092		3,289,603
MercadoLibre, Inc. (a)		2,980		1,642,665
Okta, Inc. (a)		10,230		1,007,246
Proofpoint, Inc. (a)		15,473		1,996,791
Q2 Holdings, Inc. (a)		1,066		84,075
Shopify, Inc. Class A (a)		6,709		2,090,927
Symantec Corp.		37,524		886,692
Tucows, Inc. Class A (a) (b)		2,602		140,924
Upwork, Inc. (a)		1,350		17,962
Zendesk, Inc. (a)		32,545		2,371,880
				13,893,751
Media — 1.6%
Cable One, Inc.		3,156		3,959,833
CBS Corp. Class B		11,918		481,130
DISH Network Corp. Class A (a)		15,914		542,190
Fox Corp. Class A		6,133		193,404
News Corp. Class A		195,849		2,726,218
Saga Communications, Inc. Class A		4,495		133,726
Scholastic Corp.		20,321		767,321
Viacom, Inc. Class B		67,572		1,623,755
				10,427,577
Telecommunications — 0.8%
Corning, Inc.		51,354		1,464,616
GCI Liberty, Inc. Class A (a)		34,690		2,153,209
GTT Communications, Inc. (a) (b)		10,366		97,648
Harmonic, Inc. (a)		113,850		749,133
PagerDuty, Inc. (a) (b)		3,673		103,762
PagerDuty, Inc., Lockup Shares (Acquired 8/24/19, Cost $126,298) (a) (c) (d)		7,445		199,805
				4,768,173
				29,089,501
Consumer, Cyclical — 9.0%
Airlines — 0.3%
Alaska Air Group, Inc.		7,506		487,214
Hawaiian Holdings, Inc.		11,202		294,165
United Airlines Holdings, Inc. (a)		10,244		905,672
				1,687,051
Apparel — 0.6%
Allbirds, Inc. (Acquired 10/10/18-12/21/18, Cost $139,612) (a) (c) (d) (e)		2,546		139,612
Levi Strauss & Co. Class A (a) (b)		15,027		286,114
Ralph Lauren Corp.		10,676		1,019,238
Steven Madden Ltd.		13,311		476,401

The accompanying notes are an integral part of the financial statements.

86

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Tapestry, Inc.		49,293	$	1,284,083
VF Corp.		6,443		573,362
				3,778,810
Auto Manufacturers — 0.2%
Blue Bird Corp. (a)		11,737		223,414
PACCAR, Inc.		14,227		996,032
REV Group, Inc.		8,761		100,138
				1,319,584
Auto Parts & Equipment — 0.7%
Aptiv PLC		19,547		1,708,799
Dorman Products, Inc. (a)		4,995		397,302
Garrett Motion, Inc. (a)		24,385		242,874
Gentherm, Inc. (a)		9,116		374,531
Meritor, Inc. (a)		10,600		196,100
Stoneridge, Inc. (a)		8,000		247,760
Visteon Corp. (a)		15,820		1,305,783
Westport Innovations, Inc. (a) (b)		11,997		32,632
				4,505,781
Distribution & Wholesale — 0.4%
Pool Corp.		6,256		1,261,835
Resideo Technologies, Inc. (a)		3,128		44,887
SiteOne Landscape Supply, Inc. (a) (b)		18,340		1,357,527
				2,664,249
Entertainment — 0.6%
Marriott Vacations Worldwide Corp.		3,128		324,092
Red Rock Resorts, Inc. Class A		5,770		117,160
Vail Resorts, Inc.		15,435		3,512,389
				3,953,641
Home Builders — 0.4%
Cavco Industries, Inc. (a)		5,628		1,081,083
Horizon Global Corp. (a)		32,759		125,139
LCI Industries		4,846		445,105
Skyline Champion Corp. (a)		13,122		394,841
TRI Pointe Group, Inc. (a)		33,231		499,794
				2,545,962
Home Furnishing — 0.1%
Tempur Sealy International, Inc. (a)		9,520		734,944
Housewares — 0.4%
The Toro Co.		29,192		2,139,774
Leisure Time — 0.4%
Drive Shack, Inc. (a)		14,907		64,249
Norwegian Cruise Line Holdings Ltd. (a)		43,135		2,233,099
OneSpaWorld Holdings Ltd. (a) (b)		12,412		192,758
				2,490,106
Lodging — 0.8%
Boyd Gaming Corp.		3,300		79,035
Hilton Worldwide Holdings, Inc.		12,818		1,193,484
Marriott International, Inc. Class A		7,627		948,570

	Number of Shares		Value
MGM Resorts International		69,411	$	1,924,073
The St. Joe Co. (a)		58,939		1,009,625
				5,154,787
Retail — 4.1%
A Place for Rover, Inc. (Acquired 5/25/18, Cost $7,426) (a) (c) (d) (e)		1,096		7,617
Beacon Roofing Supply, Inc. (a)		9,773		327,689
Boot Barn Holdings, Inc. (a)		2,344		81,806
Burlington Stores, Inc. (a)		27,314		5,457,884
CarMax, Inc. (a)		7,709		678,392
Casey’s General Stores, Inc.		9,543		1,537,950
Chuy’s Holdings, Inc. (a)		9,507		235,393
Darden Restaurants, Inc.		4,379		517,685
Denny’s Corp. (a)		20,437		465,248
Dollar General Corp.		16,229		2,579,437
Dollar Tree, Inc. (a)		13,873		1,583,742
Dunkin’ Brands Group, Inc.		29,143		2,312,788
Express, Inc. (a)		21,713		74,693
Fiesta Restaurant Group, Inc. (a)		12,211		127,239
Five Below, Inc. (a)		1,015		127,992
The Gap, Inc.		6,150		106,764
Lumber Liquidators Holdings, Inc. (a) (b)		11,067		109,231
The Michaels Cos., Inc. (a)		47,182		461,912
National Vision Holdings, Inc. (a)		4,492		108,122
Nordstrom, Inc. (b)		19,257		648,383
O’Reilly Automotive, Inc. (a)		2,520		1,004,245
Ollie’s Bargain Outlet Holdings, Inc. (a)		33,146		1,943,681
Papa John’s International, Inc. (b)		10,468		548,000
Red Robin Gourmet Burgers, Inc. (a)		13,895		462,148
RH (a) (b)		1,102		188,255
Sportsman’s Warehouse Holdings, Inc. (a)		40,463		209,598
Tiffany & Co.		31,061		2,877,180
Tuesday Morning Corp. (a)		44,735		70,234
Ulta Salon Cosmetics & Fragrance, Inc. (a)		2,288		573,487
Wingstop, Inc.		1,420		123,938
Winmark Corp.		2,554		450,500
				26,001,233
Textiles — 0.0%
Culp, Inc.		8,318		135,583
JG Boswell Co.		124		84,692
				220,275
				57,196,197
Consumer, Non-cyclical — 27.7%
Agriculture — 0.8%
Archer-Daniels-Midland Co.		23,635		970,690
Bunge Ltd.		66,806		3,782,556

The accompanying notes are an integral part of the financial statements.

87

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Pax Labs, Inc., Class A (Acquired 4/18/19, Cost $218,578) (a) (c) (d) (e)		58,048	$	218,578
				4,971,824
Beverages — 0.7%
The Boston Beer Co., Inc. Class A (a)		5,319		1,936,541
Carlsberg A/S Class B		14,051		2,078,953
Coca-Cola Bottling Co. Consolidated		1,253		380,749
				4,396,243
Biotechnology — 3.1%
10X Genomics, Inc. Class A (a)		2,271		114,458
Abcam PLC		62,437		878,987
ACADIA Pharmaceuticals, Inc. (a)		17,054		613,773
Acceleron Pharma, Inc. (a)		9,933		392,453
Alder Biopharmaceuticals, Inc. (a)		5,878		110,859
Allakos, Inc. (a) (b)		2,038		160,248
Allogene Therapeutics, Inc. (a) (b)		5,609		152,873
Alnylam Pharmaceuticals, Inc. (a)		9,890		795,354
Amarin Corp. PLC Sponsored ADR (a) (b)		5,320		80,651
AnaptysBio, Inc. (a)		3,587		125,509
Apellis Pharmaceuticals, Inc. (a)		1,234		29,727
Argenx SE ADR (a)		9,420		1,073,503
Audentes Therapeutics, Inc. (a)		1,949		54,747
Autolus Therapeutics Plc (a) (b)		3,435		42,663
Avrobio, Inc. (a)		2,083		29,412
BeiGene Ltd. ADR (a)		1,160		142,054
Bluebird Bio, Inc. (a)		1,573		144,433
Blueprint Medicines Corp. (a)		8,912		654,765
Cara Therapeutics, Inc. (a) (b)		17,106		312,698
Corteva, Inc. (a)		44,825		1,255,100
CytomX Therapeutics, Inc. (a)		8,055		59,446
Deciphera Pharmaceuticals, Inc. (a)		889		30,173
Dicerna Pharmaceuticals, Inc. (a)		440		6,318
Exact Sciences Corp. (a)		25,251		2,281,933
Exelixis, Inc. (a)		8,814		155,876
Fate Therapeutics, Inc. (a)		1,269		19,708
FibroGen, Inc. (a)		3,410		126,102
Forty Seven, Inc. (a)		1,315		8,442
Guardant Health, Inc. (a)		3,876		247,405
Homology Medicines, Inc. (a)		8,244		149,216
IGM Biosciences, Inc. (a)		2,069		36,725
ImmunoGen, Inc. (a)		4,752		11,500
Immunomedics, Inc. (a)		16,756		222,185
Incyte Corp. (a)		22,399		1,662,678
Insmed, Inc. (a)		21,600		381,024
Ionis Pharmaceuticals, Inc. (a)		2,750		164,752
Iovance Biotherapeutics, Inc. (a)		12,080		219,856
Krystal Biotech, Inc. (a) (b)		2,884		100,147
Mirati Therapeutics, Inc. (a)		1,964		153,015
Moderna, Inc. (a) (b)		232		3,693
Orchard Therapeutics plc (a)		16,060		190,793

	Number of Shares		Value
PTC Therapeutics, Inc. (a)		8,528	$	288,417
Radius Health, Inc. (a)		21,926		564,594
Rigel Pharmaceuticals, Inc. (a)		29,295		54,782
Rocket Pharmaceuticals, Inc. (a) (b)		4,010		46,717
Sage Therapeutics, Inc. (a)		15,341		2,152,189
Scholar Rock Holding Corp. (a)		4,702		42,083
Seattle Genetics, Inc. (a)		26,956		2,302,042
Ultragenyx Pharmaceutical, Inc. (a)		12,831		548,910
WaVe Life Sciences Ltd. (a) (b)		3,125		64,156
Y-mAbs Therapeutics, Inc. (a)		1,932		50,348
Zai Lab Ltd. ADR (a)		740		23,939
				19,533,431
Commercial Services — 8.3%
Aaron’s, Inc.		29,050		1,866,753
Altus Group Ltd. (b)		16,133		486,480
American Public Education, Inc. (a)		11,078		247,483
Booz Allen Hamilton Holding Corp.		54,248		3,852,693
Bright Horizons Family Solutions, Inc. (a)		23,049		3,514,973
The Brink’s Co.		16,985		1,408,906
Career Education Corp. (a)		18,203		289,246
Chegg, Inc. (a)		6,433		192,668
Cintas Corp.		3,525		945,053
Clarivate Analytics PLC (a)		98,512		1,661,897
Colliers International Group, Inc.		5,028		377,351
CoreLogic, Inc. (a)		31,377		1,451,814
CoStar Group, Inc. (a)		6,536		3,877,155
Cross Country Healthcare, Inc. (a)		13,512		139,174
Equifax, Inc.		4,102		577,028
Euronet Worldwide, Inc. (a)		3,600		526,680
Evo Payments, Inc. Class A (a)		11,383		320,090
FleetCor Technologies, Inc. (a)		6,624		1,899,631
FTI Consulting, Inc. (a)		10,054		1,065,623
Gartner, Inc. (a)		16,983		2,428,399
Global Payments, Inc.		14,659		2,330,781
Green Dot Corp. Class A (a)		7,664		193,516
HMS Holdings Corp. (a)		13,436		463,072
Huron Consulting Group, Inc. (a)		8,080		495,627
I3 Verticals, Inc. Class A (a)		11,708		235,565
IHS Markit Ltd. (a)		19,188		1,283,293
MarketAxess Holdings, Inc.		4,731		1,549,403
Monro, Inc.		19,537		1,543,618
nCino, Inc. (Acquired 9/16/19, Cost $280,358) (a) (c) (d) (e)		12,890		280,358
Paylocity Holding Corp. (a)		6,899		673,204
Rentokil Initial PLC		383,157		2,203,365
Rollins, Inc.		40,603		1,383,344
Rosetta Stone, Inc. (a)		20,903		363,712
SEACOR Marine Holdings Inc. (a)		35,050		440,579
ServiceMaster Global Holdings, Inc. (a)		44,796		2,504,096
StoneCo Ltd. Class A (a)		26,547		923,305
Strategic Education, Inc.		15,441		2,098,123

The accompanying notes are an integral part of the financial statements.

88

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Team, Inc. (a) (b)		14,907	$	269,071
TransUnion		51,783		4,200,119
Verisk Analytics, Inc.		12,754		2,016,918
				52,580,166
Cosmetics & Personal Care — 0.2%
Edgewell Personal Care Co. (a)		38,839		1,261,879
JAND, Inc., Class A (Acquired 3/09/18, Cost $112,141) (a) (c) (d) (e)		7,135		120,867
				1,382,746
Foods — 2.5%
Cal-Maine Foods, Inc.		13,317		532,081
Campbell Soup Co.		23,927		1,122,655
Conagra Brands, Inc.		21,465		658,546
Flowers Foods, Inc.		133,926		3,097,708
Grocery Outlet Holding Corp. (a)		6,401		221,987
The Hain Celestial Group, Inc. (a)		2,470		53,043
The Kroger Co.		39,035		1,006,322
Nomad Foods Ltd. (a)		94,495		1,937,148
Performance Food Group Co. (a)		12,899		593,483
Post Holdings, Inc. (a)		14,621		1,547,487
Sanderson Farms, Inc.		6,010		909,493
The Simply Good Foods Co. (a)		32,995		956,525
Sprouts Farmers Market, Inc. (a)		30,598		591,765
Sysco Corp.		11,169		886,819
TreeHouse Foods, Inc. (a)		30,977		1,717,675
				15,832,737
Health Care – Products — 6.3%
Adaptive Biotechnologies Corp. (a)		2,136		66,002
Alcon, Inc. (a)		11,684		681,905
Alcon, Inc. (a)		14,168		825,853
AngioDynamics, Inc. (a)		4,083		75,209
AtriCure, Inc. (a)		5,725		142,782
Atrion Corp.		1,072		835,270
Avanos Medical, Inc. (a)		26,347		986,959
Avantor, Inc. (a)		58,890		865,683
Baxter International, Inc.		22,318		1,952,155
Bruker Corp.		80,410		3,532,411
The Cooper Cos., Inc.		11,160		3,314,520
DENTSPLY SIRONA, Inc.		43,714		2,330,393
Envista Holdings Corp. (a)		20,188		562,841
Hanger, Inc. (a)		21,808		444,447
Hologic, Inc. (a)		120,579		6,088,034
ICU Medical, Inc. (a)		5,819		928,712
IDEXX Laboratories, Inc. (a)		8,812		2,396,247
iRhythm Technologies, Inc. (a)		3,100		229,741
Lantheus Holdings, Inc. (a)		4,392		110,086
Nevro Corp. (a)		10,784		927,101
Novocure Ltd. (a)		2,707		202,429
NuVasive, Inc. (a)		5,100		323,238
Penumbra, Inc. (a)		300		40,347
Quidel Corp. (a)		26,350		1,616,573
Sartorius Stedim Biotech		2,439		341,258

	Number of Shares		Value
Shockwave Medical, Inc. (a) (b)		8,976	$	268,652
Steris PLC		1,505		217,457
Teleflex, Inc.		11,881		4,036,570
Utah Medical Products, Inc.		2,215		212,286
West Pharmaceutical Services, Inc.		23,231		3,294,620
Wright Medical Group NV (a)		8,817		181,895
Zimmer Biomet Holdings, Inc.		15,231		2,090,759
				40,122,435
Health Care – Services — 1.8%
Acadia Healthcare Co., Inc. (a)		37,838		1,176,005
Amedisys, Inc. (a)		4,078		534,259
Catalent, Inc. (a)		63,582		3,030,318
The Ensign Group, Inc.		10,356		491,185
Eurofins Scientific SE		2,493		1,159,714
MEDNAX, Inc. (a)		7,561		171,030
Molina Healthcare, Inc. (a)		9,592		1,052,434
Select Medical Holdings Corp. (a)		187,920		3,113,834
U.S. Physical Therapy, Inc.		3,186		415,932
				11,144,711
Household Products — 0.3%
CSS Industries, Inc.		11,731		46,572
Patterson Cos., Inc.		107,074		1,908,059
Quanex Building Products Corp.		10,706		193,564
				2,148,195
Household Products & Wares — 0.3%
Avery Dennison Corp.		9,334		1,060,063
Kimberly-Clark Corp.		5,024		713,659
				1,773,722
Pharmaceuticals — 3.4%
Agios Pharmaceuticals, Inc. (a) (b)		6,603		213,937
Aimmune Therapeutics, Inc. (a) (b)		14,399		301,515
Alkermes PLC (a)		94,277		1,839,344
Amneal Pharmaceuticals, Inc. (a)		38,606		111,957
Ascendis Pharma A/S ADR (a)		15,946		1,535,919
Cardinal Health, Inc.		35,468		1,673,735
Corvus Pharmaceuticals, Inc. (a) (b)		7,885		23,734
Cyclerion Therapeutics, Inc. (a)		734		8,896
DexCom, Inc. (a)		16,403		2,447,984
Elanco Animal Health, Inc. (a)		70,641		1,878,344
Enanta Pharmaceuticals, Inc. (a)		3,261		195,921
G1 Therapeutics, Inc. (a)		7,711		175,657
Global Blood Therapeutics, Inc. (a)		13,812		670,158
GW Pharmaceuticals PLC ADR (a)		732		84,202
Madrigal Pharmaceuticals, Inc. (a)		428		36,902
Milestone Pharmaceuticals, Inc. (a)		1,886		32,628
Minerva Neurosciences, Inc. (a)		1,230		9,533
Momenta Pharmaceuticals, Inc. (a)		26,741		346,563
MyoKardia, Inc. (a)		9,567		498,919
Neurocrine Biosciences, Inc. (a)		12,493		1,125,744
Odonate Therapeutics, Inc. (a)		2,567		66,819
Perrigo Co. PLC		78,260		4,373,951

The accompanying notes are an integral part of the financial statements.

89

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
PRA Health Sciences, Inc. (a)		12,719	$	1,262,106
Principia Biopharma, Inc. (a)		3,403		96,101
Progenics Pharmaceuticals, Inc. (a)		8,918		45,081
Reata Pharmaceuticals, Inc. Class A (a)		2,715		217,987
Rhythm Pharmaceuticals, Inc. (a)		1,518		32,774
Sarepta Therapeutics, Inc. (a)		7,952		598,945
TherapeuticsMD, Inc. (a) (b)		83,366		302,619
Tricida, Inc. (a)		12,351		381,275
Turning Point Therapeutics I (a) (b)		5,410		203,416
Xencor, Inc. (a)		19,430		655,374
Zogenix, Inc. (a)		1,476		59,099
				21,507,139
				175,393,349
Diversified — 0.2%
Holding Company – Diversified — 0.2%
Collier Creek Holdings (a)		36,039		385,617
Conyers Park II Acquisition Corp. (a)		28,924		307,462
GS Acquisition Holdings Corp. (a)		14,621		155,714
J2 Acquisition Ltd. (a) (d) (f)		24,937		230,667
				1,079,460
Energy — 3.9%
Energy – Alternate Sources — 0.2%
NextEra Energy Partners LP		12,694		670,751
REX American Resources Corp. (a)		3,775		288,146
				958,897
Oil & Gas — 3.0%
Advantage Oil & Gas Ltd. (a) (b)		66,540		107,983
Apache Corp.		23,025		589,440
ARC Resources Ltd.		57,111		272,008
Cabot Oil & Gas Corp.		30,736		540,032
Canadian Natural Resources Ltd.		73,782		1,964,815
Concho Resources, Inc.		25,644		1,741,228
Continental Resources, Inc. (a)		16,168		497,813
Delek US Holdings, Inc.		5,360		194,568
Diamondback Energy, Inc.		4,303		386,883
Earthstone Energy, Inc. Class A (a)		21,157		68,760
EQT Corp.		208,012		2,213,248
Hess Corp.		35,004		2,117,042
Imperial Oil Ltd. (b)		114,428		2,978,561
Jagged Peak Energy, Inc. (a) (b)		47,120		342,091
Kelt Exploration Ltd. (a)		38,720		101,706
Kimbell Royalty Partners LP		12,547		184,566
Kosmos Energy Ltd.		43,070		268,757
Magnolia Oil & Gas Corp. Class A (a)		55,254		613,319
Matador Resources Co. (a)		20,848		344,617
Murphy Oil Corp.		68,966		1,524,838
Panhandle Oil & Gas, Inc. Class A		6,834		95,539
Pioneer Natural Resources Co.		7,196		905,041

	Number of Shares		Value
Seven Generations Energy Ltd. Class A (a)		76,436	$	485,784
Venture Global LNG, Inc., Series B (Acquired 3/08/18, Cost $33,220) (a) (c) (d) (e)		11		57,200
Venture Global LNG, Inc., Series C (Acquired 3/08/18, Cost $27,180) (a) (c) (d) (e)		9		46,800
WPX Energy, Inc. (a)		42,524		450,329
				19,092,968
Oil & Gas Services — 0.4%
Apergy Corp. (a)		7,966		215,480
Dril-Quip, Inc. (a)		9,147		458,997
Frank’s International NV (a)		151,866		721,364
Keane Group, Inc. (a)		60,936		369,272
Liberty Oilfield Services, Inc. Class A		26,239		284,168
Ranger Energy Services, Inc. (a)		7,709		49,723
TETRA Technologies, Inc. (a)		74,705		150,157
Thermon Group Holdings, Inc. (a)		19,635		451,212
				2,700,373
Pipelines — 0.3%
Equitrans Midstream Corp.		100,514		1,462,479
New Fortress Energy LLC (a)		8,288		149,433
Plains GP Holdings LP Class A		11,053		234,655
				1,846,567
				24,598,805
Financial — 18.0%
Banks — 6.2%
American Business Bank (a)		3,000		102,330
Atlantic Capital Bancshares, Inc. (a)		17,367		301,144
BankUnited, Inc.		43,359		1,457,730
BOK Financial Corp.		4,770		377,546
Bridge Bancorp, Inc.		14,802		437,547
Burke & Herbert Bank & Trust Co.		94		214,320
CenterState Bank Corp.		40,288		966,308
Columbia Banking System, Inc.		28,720		1,059,768
CrossFirst Bankshares, Inc., Lockup Shares (Acquired 10/23/18-1/03/19, Cost $106,847) (a) (c) (d)		7,498		101,896
CrossFirst Bankshares, Inc. (a)		11,287		161,461
East West Bancorp, Inc.		5,858		259,451
Equity Bancshares, Inc. Class A (a)		7,700		206,437
Farmers & Merchants Bank of Long Beach/Long Beach CA		28		222,600
FB Financial Corp.		23,197		871,047
Fifth Third Bancorp		128,951		3,530,678
The First Bancshares, Inc.		11,949		385,953
First Hawaiian, Inc.		8,256		220,435
Glacier Bancorp, Inc.		12,616		510,443
Harborone Bancorp, Inc. (a)		31,937		321,446

The accompanying notes are an integral part of the financial statements.

90

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Heritage Commerce Corp.		37,855	$	444,986
Heritage Financial Corp.		20,902		563,518
Home BancShares, Inc.		93,870		1,764,287
Hope Bancorp, Inc.		46,301		663,956
Howard Bancorp, Inc. (a)		10,633		177,465
Independent Bank Corp.		5,866		437,897
Independent Bank Group, Inc.		18,293		962,395
John Marshall Bancorp, Inc. (a)		7,880		133,487
Kearny Financial Corp.		40,662		530,232
Live Oak Bancshares, Inc.		34,040		616,124
National Bank Holdings Corp. Class A		18,531		633,575
Northern Trust Corp.		38,086		3,554,186
Origin Bancorp, Inc.		17,072		576,009
PCSB Financial Corp.		10,251		204,917
Pinnacle Financial Partners, Inc.		23,832		1,352,466
Ponce de Leon Federal Bank (a)		10,804		151,904
Popular, Inc.		18,423		996,316
Preferred Bank		9,685		507,300
Prosperity Bancshares, Inc.		15,145		1,069,691
Revere Bank (a)		4,801		164,434
Seacoast Banking Corp. of Florida (a)		21,018		531,966
Signature Bank		5,887		701,848
Sound Banking Co. (Acquired 5/06/19, Cost $26,370) (a) (c) (d) (e)		2,637		26,370
Sound Banking Co. (Acquired 5/06/19, Cost $53,690) (a) (c) (d) (e)		5,369		53,690
South State Corp.		9,312		701,194
Southern First Bancshares, Inc. (a)		3,637		144,934
State Street Corp.		40,804		2,415,189
Sterling Bancorp, Inc.		27,929		272,587
SVB Financial Group (a)		915		191,189
Texas Capital Bancshares, Inc. (a)		12,118		662,249
Towne Bank		37,326		1,037,849
Webster Financial Corp.		35,613		1,669,181
Westamerica Bancorp.		25,212		1,567,682
Western Alliance Bancorp		35,774		1,648,466
Wintrust Financial Corp.		6,273		405,424
				39,243,503
Diversified Financial Services — 2.4%
Afterpay Touch Group Ltd. (a)		16,522		400,730
Ally Financial, Inc.		33,593		1,113,944
Assetmark Financial Holdings (a)		6,739		175,551
Cboe Global Markets, Inc.		34,743		3,992,318
Columbia Financial, Inc. (a)		12,059		190,412
Encore Capital Group, Inc. (a) (b)		15,576		519,070
Franklin Resources, Inc.		48,507		1,399,912
Grasshopper Bancorp, Inc. (Acquired 5/02/19, Cost $83,390) (a) (c) (d) (e)		8,339		83,390
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		17,604		513,156

	Number of Shares		Value
Houlihan Lokey, Inc.		10,498	$	473,460
OTC Markets Group, Inc. Class A		5,071		183,824
PennyMac Financial Services, Inc. (a)		40,649		1,234,917
PRA Group, Inc. (a)		18,815		635,759
SLM Corp.		61,693		544,441
Synchrony Financial		25,484		868,749
TD Ameritrade Holding Corp.		43,228		2,018,747
Tradeweb Markets, Inc. Class A		7,515		277,905
Virtus Investment Partners, Inc.		2,717		300,419
				14,926,704
Insurance — 3.7%
Assurant, Inc.		16,814		2,115,538
Assured Guaranty Ltd.		3,698		164,413
Axis Capital Holdings Ltd.		22,566		1,505,604
Brighthouse Financial, Inc. (a)		14,323		579,652
Brown & Brown, Inc.		49,620		1,789,297
CNA Financial Corp.		38,344		1,888,442
eHealth, Inc. (a)		846		56,504
Employers Holdings, Inc.		5,855		255,161
Essent Group Ltd.		6,710		319,866
Fidelity National Financial, Inc.		40,121		1,781,774
Goosehead Insurance, Inc. Class A		4,435		218,867
The Hanover Insurance Group, Inc.		4,760		645,170
James River Group Holdings Ltd.		5,531		283,408
Kemper Corp.		14,812		1,154,595
Kinsale Capital Group, Inc.		219		22,625
Loews Corp.		41,738		2,148,672
Marsh & McLennan Cos., Inc.		11,756		1,176,188
Palomar Holdings, Inc. (a)		10,079		397,314
ProAssurance Corp.		13,293		535,309
The Progressive Corp.		6,395		494,014
ProSight Global, Inc. (a)		4,405		85,281
Radian Group, Inc.		43,266		988,195
RenaissanceRe Holdings Ltd.		1,122		217,051
Safety Insurance Group, Inc.		7,137		723,192
Selective Insurance Group, Inc.		12,912		970,853
State Auto Financial Corp.		21,641		700,952
Willis Towers Watson PLC		12,744		2,459,210
				23,677,147
Investment Companies — 0.2%
Groupe Bruxelles Lambert SA		3,886		373,378
Pargesa Holding SA		12,824		986,545
				1,359,923
Private Equity — 0.2%
KKR & Co., Inc. Class A		35,921		964,479
Safeguard Scientifics, Inc. (a)		8,711		98,783
				1,063,262
Real Estate — 0.6%
Alexander & Baldwin, Inc.		13,952		341,963
FirstService Corp.		28,555		2,928,886
FRP Holdings, Inc. (a)		1,811		86,964

The accompanying notes are an integral part of the financial statements.

91

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
McGrath RentCorp		6,408	$	445,933
Redfin Corp. (a) (b)		9,271		156,124
				3,959,870
Real Estate Investment Trusts (REITS) — 4.0%
Acadia Realty Trust		23,127		660,970
American Assets Trust, Inc.		6,569		307,035
American Campus Communities, Inc.		23,170		1,114,014
Capstead Mortgage Corp.		47,816		351,448
Cedar Realty Trust, Inc.		114,704		344,112
Community Healthcare Trust, Inc.		2,700		120,285
CubeSmart		26,781		934,657
Douglas Emmett, Inc.		8,550		366,196
EastGroup Properties, Inc.		12,748		1,593,755
Equity Commonwealth		44,199		1,513,816
Equity Residential		18,739		1,616,426
First Industrial Realty Trust, Inc.		14,631		578,802
Healthcare Realty Trust, Inc.		23,765		796,127
JBG SMITH Properties		38,840		1,522,916
Kilroy Realty Corp.		4,410		343,495
Paramount Group, Inc.		33,783		451,003
Pebblebrook Hotel Trust		10,112		281,316
PennyMac Mortgage Investment Trust		13,023		289,501
PotlatchDeltic Corp.		8,748		359,412
PS Business Parks, Inc.		9,456		1,720,519
QTS Realty Trust, Inc. Class A		3,202		164,615
Rayonier, Inc.		89,713		2,529,907
Redwood Trust, Inc.		14,702		241,260
Regency Centers Corp.		17,428		1,211,072
Rexford Industrial Realty, Inc.		14,000		616,280
Saul Centers, Inc.		8,264		450,471
Sunstone Hotel Investors, Inc.		37,391		513,752
Terreno Realty Corp.		17,796		909,198
Washington Real Estate Investment Trust		9,254		253,189
Weyerhaeuser Co.		101,699		2,817,062
				24,972,611
Savings & Loans — 0.7%
Capitol Federal Financial, Inc.		107,051		1,475,163
FS Bancorp, Inc.		2,431		127,627
Investors Bancorp, Inc.		28,722		326,282
Meridian Bancorp, Inc.		48,365		906,844
Pacific Premier Bancorp, Inc.		20,030		624,736
WSFS Financial Corp.		27,062		1,193,434
				4,654,086
				113,857,106
Industrial — 15.1%
Aerospace & Defense — 1.4%
Aerojet Rocketdyne Holdings, Inc. (a)		26,625		1,344,829
Barnes Group, Inc.		5,108		263,266

	Number of Shares		Value
Bombardier, Inc. Class B (a)		136,200	$	184,019
Cobham PLC (a)		315,193		608,028
L3 Harris Technologies, Inc.		13,790		2,877,145
Moog, Inc. Class A		3,405		276,214
Teledyne Technologies, Inc. (a)		6,739		2,169,891
Triumph Group, Inc.		45,093		1,031,728
				8,755,120
Building Materials — 1.6%
Armstrong World Industries, Inc.		21,448		2,074,022
Gibraltar Industries, Inc. (a)		12,234		562,030
JELD-WEN Holding, Inc. (a)		7,692		148,379
Lennox International, Inc.		7,559		1,836,610
Martin Marietta Materials, Inc.		3,905		1,070,360
PGT Innovations, Inc. (a)		16,760		289,445
Simpson Manufacturing Co., Inc.		5,503		381,743
Stella-Jones, Inc.		31,568		922,367
Summit Materials, Inc. Class A (a)		33,533		744,433
Universal Forest Products, Inc.		12,577		501,571
Vulcan Materials Co.		9,668		1,462,188
				9,993,148
Electrical Components & Equipment — 0.5%
Belden, Inc.		26,967		1,438,420
Insteel Industries, Inc.		8,677		178,139
Littelfuse, Inc.		6,034		1,069,888
Novanta, Inc. (a)		8,981		733,927
				3,420,374
Electronics — 2.3%
ADT, Inc. (b)		11,700		73,359
Agilent Technologies, Inc.		35,396		2,712,395
Allegion PLC		3,782		392,004
Badger Meter, Inc.		2,722		146,171
Brady Corp. Class A		7,112		377,292
FLIR Systems, Inc.		13,949		733,578
Fortive Corp.		22,886		1,569,064
Keysight Technologies, Inc. (a)		25,076		2,438,641
Knowles Corp. (a)		30,475		619,862
Mesa Laboratories, Inc. (b)		1,737		413,006
National Instruments Corp.		67,143		2,819,335
Sensata Technologies Holding PLC (a)		43,245		2,164,845
				14,459,552
Engineering & Construction — 0.1%
Aegion Corp. (a)		30,179		645,227
Sarana Menara Nusantara Tbk PT		6,589,700		303,881
				949,108
Environmental Controls — 0.7%
Heritage-Crystal Clean, Inc. (a)		9,646		255,619
Stericycle, Inc. (a)		11,058		563,184
Waste Connections, Inc.		38,800		3,569,600
				4,388,403

The accompanying notes are an integral part of the financial statements.

92

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Hand & Machine Tools — 0.3%
Colfax Corp. (a)		59,464	$	1,728,024
MSA Safety, Inc.		2,811		306,708
				2,034,732
Machinery – Construction & Mining — 0.6%
Bloom Energy Corp. Class A (a) (b)		10,704		34,788
BWX Technologies, Inc.		57,075		3,265,261
SPX Corp. (a)		5,048		201,970
				3,502,019
Machinery – Diversified — 2.7%
AGCO Corp.		11,948		904,464
Cactus, Inc. Class A (a)		9,401		272,065
Chart Industries, Inc. (a)		10,601		661,078
CNH Industrial NV		51,455		524,700
Cognex Corp.		6,958		341,847
CSW Industrials, Inc.		7,586		523,662
Flowserve Corp.		12,922		603,587
Gardner Denver Holdings, Inc. (a)		75,237		2,128,455
Graco, Inc.		25,428		1,170,705
IDEX Corp.		12,622		2,068,493
Mueller Water Products, Inc. Class A		36,923		415,015
Roper Technologies, Inc.		9,949		3,547,813
Wabtec Corp.		11,958		859,302
Xylem, Inc.		40,033		3,187,427
				17,208,613
Metal Fabricate & Hardware — 0.6%
AZZ, Inc.		10,408		453,372
CIRCOR International, Inc. (a)		12,346		463,592
Helios Technologies, Inc.		13,491		547,330
RBC Bearings, Inc. (a)		5,666		940,046
Rexnord Corp. (a)		14,877		402,423
Strattec Security Corp.		2,102		41,998
Valmont Industries, Inc.		5,704		789,662
				3,638,423
Miscellaneous—Manufacturing — 1.6%
Actuant Corp. Class A		8,500		186,490
ESCO Technologies, Inc.		15,845		1,260,628
Federal Signal Corp.		2,800		91,672
Haynes International, Inc.		8,008		287,007
John Bean Technologies Corp.		15,283		1,519,589
Lydall, Inc. (a)		1,739		43,318
Myers Industries, Inc.		31,469		555,428
Raven Industries, Inc.		5,107		170,880
Textron, Inc.		117,726		5,763,865
				9,878,877
Packaging & Containers — 0.7%
Ball Corp.		46,870		3,412,605
Sealed Air Corp.		25,416		1,055,018
				4,467,623

	Number of Shares		Value
Transportation — 2.0%
C.H. Robinson Worldwide, Inc.		20,472	$	1,735,616
CryoPort, Inc. (a) (b)		5,942		97,181
Expeditors International of Washington, Inc.		12,312		914,658
Genesee & Wyoming, Inc. Class A (a)		1,532		169,301
International Seaways, Inc. (a)		8,650		166,599
J.B. Hunt Transport Services, Inc.		23,519		2,602,377
Kansas City Southern		8,871		1,179,932
Kirby Corp. (a)		3,049		250,506
Knight-Swift Transportation Holdings, Inc.		10,951		397,521
Landstar System, Inc.		10,898		1,226,897
Matson, Inc.		22,705		851,665
Old Dominion Freight Line, Inc.		8,245		1,401,403
Patriot Transportation Holding, Inc. (a)		1,527		29,013
Schneider National, Inc. Class B		12,323		267,656
SEACOR Holdings, Inc. (a)		10,267		483,268
Tidewater, Inc. (a)		33,047		499,340
Universal Logistics Holdings, Inc.		9,332		217,249
US Xpress Enterprises, Inc. Class A (a)		9,111		43,915
				12,534,097
				95,230,089
Technology — 9.2%
Computers — 0.6%
Cognizant Technology Solutions Corp. Class A		10,002		602,771
Conduent, Inc. (a)		28,390		176,586
Cubic Corp.		21,387		1,506,286
Endava PLC Sponsored ADR (a)		9,481		358,856
Parsons Corp. (a)		13,477		444,471
Western Digital Corp.		17,240		1,028,194
				4,117,164
Semiconductors — 2.8%
Applied Materials, Inc.		45,027		2,246,847
AVX Corp.		55,685		846,412
Cabot Microelectronics Corp.		3,751		529,679
CTS Corp.		13,431		434,627
Entegris, Inc.		60,824		2,862,377
Inphi Corp. (a)		6,172		376,801
Lattice Semiconductor Corp. (a)		74,024		1,353,529
Marvell Technology Group Ltd.		70,135		1,751,271
Maxim Integrated Products, Inc.		20,060		1,161,675
MaxLinear, Inc. (a)		12,301		275,296
Microchip Technology, Inc.		29,460		2,737,129
MKS Instruments, Inc.		2,015		185,944
Monolithic Power Systems, Inc.		1,600		249,008
Rudolph Technologies, Inc. (a)		6,393		168,519
Semtech Corp. (a)		2,643		128,476

The accompanying notes are an integral part of the financial statements.

93

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Skyworks Solutions, Inc.		12,775	$	1,012,419
Xilinx, Inc.		12,110		1,161,349
				17,481,358
Software — 5.8%
Atlassian Corp. PLC Class A (a)		20,590		2,582,810
Black Knight, Inc. (a)		45,335		2,768,155
Ceridian HCM Holding, Inc. (a)		53,661		2,649,244
Checkr, Inc. (Acquired 6/29/18, Cost $23,511) (a) (c) (d) (e)		1,913		54,960
Cision Ltd. (a)		18,122		139,358
Cloudflare, Inc. (a)		14,300		265,551
Computer Modelling Group Ltd.		40,222		185,498
Coupa Software, Inc. (a)		14,035		1,818,515
Covetrus, Inc. (a)		38,671		459,798
Datadog, Inc. (a)		1,873		63,513
Datadog, Inc., Class B Lockup Shares (Acquired 5/07/19, Cost $29,212) (a) (c) (d)		1,830		58,953
The Descartes Systems Group, Inc. (a)		50,388		2,031,140
DocuSign, Inc. (a)		47,483		2,940,147
Fidelity National Information Services, Inc.		12,600		1,672,776
Fiserv, Inc. (a)		20,311		2,104,016
Five9, Inc. (a)		8,492		456,360
Guidewire Software, Inc. (a)		4,555		480,006
Health Catalyst, Inc. (a)		2,299		72,740
Medallia, Inc. (a)		1,306		35,824
Megaport Ltd. (a) (b)		28,005		171,787
MSCI, Inc.		11,084		2,413,541
New Relic, Inc. (a)		19,517		1,199,320
Paycom Software, Inc. (a)		1,900		398,031
PDF Solutions, Inc. (a)		14,630		191,214
Phreesia, Inc. (a) (b)		4,172		101,129
RealPage, Inc. (a)		23,280		1,463,381
salesforce.com, Inc. (a)		879		130,479
ServiceTitan, Inc. (Acquired 11/09/18, Cost $12,280) (a) (c) (d) (e)		467		12,280
Slack Technologies, Inc. Class A (a) (b)		13,790		327,237
Splunk, Inc. (a)		10,032		1,182,371
SS&C Technologies Holdings, Inc		51,463		2,653,947
Tabula Rasa HealthCare, Inc. (a) (b)		5,000		274,700
Toast, Inc. (Acquired 9/14/18-3/27/19, Cost $26,707) (a) (c) (d) (e)		982		27,036
Twilio, Inc. Class A (a)		14,701		1,616,522
Veeva Systems, Inc. Class A (a)		6,251		954,465
Workday, Inc. Class A (a)		11,363		1,931,255
Workiva, Inc. (a)		12,155		532,754
Zynga, Inc. Class A (a)		88,588		515,582
				36,936,395
				58,534,917

	Number of Shares		Value
Utilities — 3.2%
Electric — 1.9%
Entergy Corp.		7,215	$	846,752
Eversource Energy		13,015		1,112,392
FirstEnergy Corp.		64,246		3,098,585
MGE Energy, Inc.		4,576		365,485
NorthWestern Corp.		2,465		184,998
PG&E Corp. (a)		96,444		964,440
PNM Resources, Inc.		45,085		2,348,027
Portland General Electric Co.		8,883		500,735
Sempra Energy		12,881		1,901,365
Vistra Energy Corp.		12,369		330,623
				11,653,402
Gas — 1.0%
Atmos Energy Corp.		7,582		863,514
Chesapeake Utilities Corp.		13,584		1,294,827
ONE Gas, Inc.		23,531		2,261,565
RGC Resources, Inc.		3,785		110,673
Southwest Gas Holdings, Inc.		21,049		1,916,301
				6,446,880
Water — 0.3%
California Water Service Group		12,989		687,508
Middlesex Water Co.		7,666		497,983
SJW Group		10,212		697,377
				1,882,868
				19,983,150
TOTAL COMMON STOCK (Cost $565,030,093)				599,958,136
PREFERRED STOCK — 0.7%
Communications — 0.1%
Internet — 0.1%
Evolve Vacation Rental Network, Inc., Series 8 (Acquired 3/29/18, Cost $44,816) (a) (c) (d) (e)		5,266		45,077
Minted, Inc., Series E (Acquired 10/30/18, Cost $113,257) (a) (c) (d) (e)		8,410		113,257
Vroom, Inc., Series G (Acquired 8/17/18, Cost $46,637) (a) (c) (d) (e)		2,598		46,637
				204,971
Consumer, Cyclical — 0.1%
Apparel — 0.0%
Allbirds, Inc., Series A (Acquired 10/10/18, Cost $44,527) (a) (c) (d) (e)		812		44,527
Allbirds, Inc., Series B (Acquired 10/10/18, Cost $7,787) (a) (c) (d) (e)		142		7,787

The accompanying notes are an integral part of the financial statements.

94

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Allbirds, Inc., Series C (Acquired 10/09/18, Cost $74,796) (a) (c) (d) (e)		1,364	$	74,796
Allbirds, Inc., Series Seed (Acquired 10/10/18, Cost $23,963) (a) (c) (d) (e)		437		23,963
				151,073
Auto Manufacturers — 0.0%
Aurora Innovation, Inc., Series B (Acquired 3/01/19, Cost $32,156) (a) (c) (d) (e)		3,480		32,156
Retail — 0.1%
1stdibs.com, Inc., Series D (Acquired 2/07/19, Cost $143,936) (a) (c) (d) (e)		28,724		143,936
A Place for Rover Inc. Series G (Acquired 5/11/18, Cost $106,965) (a) (c) (d) (e)		14,208		98,746
Framebridge, Inc., Series C (Acquired 6/20/18, Cost $59,454) (a) (c) (d) (e)		17,111		59,454
JAND, Inc., Series E (Acquired 3/09/18, Cost $138,341) (a) (c) (d) (e)		8,802		149,106
Rent the Runway, Inc., Series F (Acquired 3/21/19, Cost $67,441) (a) (c) (d) (e)		3,017		67,441
				518,683
				701,912
Consumer, Non-cyclical — 0.2%
Agriculture — 0.1%
Bunge Ltd. (g)		3,404		345,949
Farmer’s Business Network, Inc., Series E (Acquired 2/11/19, Cost $191,081) (a) (c) (d) (e)		8,198		191,081
				537,030
Biotechnology — 0.0%
Ginkgo Bioworks Series E (Acquired 7/30/19-9/09/19, Cost $88,178) (a) (c) (d) (e)		594		89,213
Kardium, Inc., Series D-5 (Acquired 11/29/18, Cost $29,906) (a) (c) (d) (e)		30,866		29,906
RAPT Therapeutics, Inc., Series C-2 (Acquired 6/07/19, Cost $16,031) (a) (c) (d) (e)		6,993		16,031
				135,150
Commercial Services — 0.1%
ZenPayroll, Inc., Series C (Acquired 7/16/18, Cost $84,209) (a) (c) (d) (e)		11,076		147,448
Zenpayroll Inc., Series D (Acquired 7/16/19, Cost $187,638) (a) (c) (d) (e)		14,095		187,638
				335,086
Foods — 0.1%
Roofoods, Ltd., Series G (Acquired 5/16/19, Cost $21,731) (a) (c) (d) (e)		52		21,731
Sweetgreen, Inc., Series G (Acquired 2/27/18, Cost $35,793) (a) (c) (d) (e)		3,977		68,007
Sweetgreen, Inc. Series I (Acquired 9/13/19, Cost $67,408) (a) (c) (d) (e)		3,942		67,408
				157,146

	Number of Shares		Value
Health Care – Products — 0.0%
Outset Medical, Inc., Series D (Acquired 8/20/18, Cost $23,275) (a) (c) (d) (e)		7,484	$	23,275
Tempus Labs, Inc., Series D (Acquired 3/16/18, Cost $21,326) (a) (c) (d) (e)		2,275		54,739
Tempus Labs, Inc., Series E (Acquired 8/23/18, Cost $29,149) (a) (c) (d) (e)		1,741		43,012
Tempus Labs, Inc., Series F (Acquired 4/30/19, Cost $17,059) (a) (c) (d) (e)		689		17,059
				138,085
				1,114,858
Financial — 0.0%
Diversified Financial Services — 0.0%
Convoy, Inc., Series C (Acquired 9/14/18, Cost $127,740) (a) (c) (d) (e)		17,990		127,740
Insurance — 0.0%
Go Maps, Inc., Series B-1 (Acquired 5/15/19, Cost $1,626) (a) (c) (d) (e)		127		1,626
				129,366
Industrial — 0.1%
Electronics — 0.1%
Sartorius AG 0.390%		4,249		775,234
Technology — 0.2%
Computers — 0.0%
Mesosphere, Inc., Series D (Acquired 5/04/18, Cost $72,584) (a) (c) (d) (e)		6,566		57,649
Internet — 0.1%
Doximity, Inc., Series C (Acquired 3/22/18, Cost $7,616) (a) (c) (d) (e)		1,767		14,984
Toast, Inc., Series B (Acquired 9/14/18, Cost $3,409) (a) (c) (d) (e)		197		5,424
Toast, Inc., Series D (Acquired 6/27/18, Cost $215,697) (a) (c) (d) (e)		12,463		343,128
Toast, Inc., Series E (Acquired 3/27/19, Cost $80,643) (a) (c) (d) (e)		1,477		40,664
				404,200
Software — 0.1%
Checkr, Inc., Series C (Acquired 4/10/18, Cost $106,628) (a) (c) (d) (e)		7,811		236,255
Checkr, Inc., Series D (Acquired 9/06/19, Cost $308,786) (a) (c) (d) (e)		10,209		308,786
JetClosing, Inc., Series A (Acquired 5/25/18, Cost $22,781) (a) (c) (d) (e)		11,678		22,782
Seismic Software, Inc., Series E (Acquired 12/13/18, Cost $117,981) (a) (c) (d) (e)		3,743		117,981
ServiceTitan, Inc., Series A-1 (Acquired 11/09/18, Cost $263) (a) (c) (d) (e)		10		263

The accompanying notes are an integral part of the financial statements.

95

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
ServiceTitan, Inc., Series D (Acquired 11/09/18, Cost $124,743) (a) (c) (d) (e)		4,744	$	124,743
				810,810
				1,272,659
TOTAL PREFERRED STOCK (Cost $3,818,477)				4,386,639
TOTAL EQUITIES (Cost $568,848,570)				604,344,775
	Principal Amount
BONDS & NOTES — 0.0%
BANK LOANS — 0.0%
Internet — 0.0%
Uber Technologies Term Loan, 1 mo. LIBOR + 4.000%, 6.027% 4/04/25	$	44,438		44,114
Blue Nile, Inc. Term Loan, 3 mo. LIBOR + 6.500%, 8.624% 2/17/23		36,410		28,400
				72,514
TOTAL BANK LOANS (Cost $81,070)				72,514
TOTAL BONDS & NOTES (Cost $81,070)				72,514
	Number of Shares
WARRANTS — 0.0%
Consumer, Cyclical — 0.0%
Grasshopper Bancorp, Inc., Expires 12/99 (Acquired 10/15/18, Cost $0) (a) (c) (d) (e)		1,432		5,341
Financial — 0.0%
Sound Banking Co. Expires 5/24 (Acquired 5/06/19, Cost $0) (a) (c) (d) (e)		800		-
TOTAL WARRANTS (Cost $0)				5,341
MUTUAL FUNDS — 1.5%
Diversified Financial Services — 1.5%
State Street Navigator Securities Lending Prime Portfolio (h)		9,673,343		9,673,343
TOTAL MUTUAL FUNDS (Cost $9,673,343)				9,673,343
TOTAL LONG-TERM INVESTMENTS (Cost $578,602,983)				614,095,973

	Number of Shares		Value
SHORT-TERM INVESTMENTS — 4.3%
Mutual Fund — 4.1%
T. Rowe Price Government Reserve Investment Fund		25,755,651	$	25,755,651
TOTAL MUTUAL FUND (Cost $25,755,651)				25,755,651
	Principal Amount
Repurchase Agreement — 0.2%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (i)	$	1,000,216		1,000,216
TOTAL SHORT-TERM INVESTMENTS (Cost $26,755,867)				26,755,867
TOTAL INVESTMENTS — 101.3% (Cost $605,358,850) (j)				640,851,840
Other Assets/(Liabilities) — (1.3)%				(8,190,134	)
NET ASSETS — 100.0%			$	632,661,706

Abbreviation Legend

ADR American Depositary Receipt

GDR Global Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2019, was $9,408,173 or 1.49% of net assets. Total securities on loan may be less than the amounts identified in the Portfolio of Investments. (Note 2).

(c) Restricted security. Certain securities are restricted as to resale. At September 30, 2019, these securities amounted to a value of $4,760,209 or 0.75% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(d) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2019, these securities amounted to a value of $4,990,876 or 0.79% of net assets.

(e) Investment was valued using significant unobservable inputs.

(f) Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2019, the aggregate market value of these securities amounted to $230,667 or 0.04% of net assets.

The accompanying notes are an integral part of the financial statements.

96

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (Continued)

(g) Security is perpetual and has no stated maturity date.

(h) Represents investment of security lending collateral. (Note 2).

(i) Maturity value of $1,000,129. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 2/15/23, and an aggregate market value, including accrued interest, of $1,021,253.

(j) See Note 6 for aggregate cost for federal tax purposes.

The accompanying notes are an integral part of the financial statements.

97

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Portfolio of Investments

September 30, 2019

	Principal Amount		Value
BONDS & NOTES — 99.0%
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 5.9%
Pass-Through Securities — 5.9%
Government National Mortgage Association II Pool #MA6089 3.000% 8/20/49	$	1,602,369	$	1,644,244
Pool #MA6090 3.500% 8/20/49		2,215,411		2,298,130
Pool #MA5876 4.000% 4/20/49		2,837,575		2,954,159
Pool #MA6040 4.000% 7/20/49 (a)		469,635		490,507
Pool #MA4588 4.500% 7/20/47		479,708		506,712
Pool #MA5265 4.500% 6/20/48		160,636		169,075
Pool #MA5877 4.500% 4/20/49		24,233		25,413
Pool #MA4781 5.000% 10/20/47		213,260		228,074
Pool #MA4840 5.000% 11/20/47		145,716		155,838
Pool #MA5654 5.500% 12/20/48		397,900		421,538
Pool #MA5820 5.500% 3/20/49		129,884		137,599
				9,031,289
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $9,046,677)				9,031,289
U.S. TREASURY OBLIGATIONS — 93.1%
U.S. Treasury Bonds & Notes — 93.1%
U.S. Treasury Bond 2.250% 8/15/46		2,505,000		2,568,799
2.500% 2/15/45		4,230,000		4,551,381
2.500% 2/15/46		4,300,000		4,629,219
2.500% 5/15/46		3,925,000		4,226,888
2.750% 8/15/42		2,300,000		2,582,199
2.750% 8/15/47		5,110,000		5,782,883
2.750% 11/15/47		4,360,000		4,937,530
2.875% 5/15/43		3,000,000		3,439,687
2.875% 8/15/45		2,075,000		2,390,789
2.875% 11/15/46		1,700,000		1,967,152
3.000% 5/15/42		2,175,000		2,543,051
3.000% 11/15/44		2,210,000		2,596,146
3.000% 5/15/45		5,550,000		6,534,692
3.000% 11/15/45		3,800,000		4,482,664
3.000% 2/15/47		760,000		900,837
3.000% 5/15/47 (c)		6,100,000		7,227,547
3.000% 2/15/48		5,955,000		7,069,469
3.000% 8/15/48		5,370,000		6,385,476
3.000% 2/15/49		3,660,000		4,363,549
3.125% 2/15/42		1,495,000		1,782,320
3.125% 2/15/43		2,680,000		3,196,633
3.125% 8/15/44		3,430,000		4,110,105
3.125% 5/15/48		5,045,000		6,131,054
3.375% 5/15/44		695,000		865,818

	Principal Amount		Value
3.375% 11/15/48	$	800,000	$	1,019,250
3.625% 8/15/43		2,350,000		3,030,766
3.625% 2/15/44		3,725,000		4,815,727
3.750% 11/15/43		4,035,000		5,307,601
3.875% 8/15/40		550,000		727,053
4.250% 11/15/40		3,900,000		5,412,316
4.375% 11/15/39		2,670,000		3,744,779
4.375% 5/15/40		870,000		1,223,573
4.625% 2/15/40		380,000		550,050
U.S. Treasury Note 1.625% 8/15/29		2,775,000		2,763,076
2.250% 8/15/49		3,600,000		3,703,078
2.375% 5/15/29		4,150,000		4,407,997
2.625% 2/15/29		1,305,000		1,412,637
2.875% 5/15/49		8,370,000		9,761,840
				143,145,631
TOTAL U.S. TREASURY OBLIGATIONS (Cost $123,459,121)				143,145,631
TOTAL BONDS & NOTES (Cost $132,505,798)				152,176,920
TOTAL LONG-TERM INVESTMENTS (Cost $132,505,798)				152,176,920
	Number of Shares
SHORT-TERM INVESTMENTS — 0.5%
Mutual Fund — 0.2%
T. Rowe Price Government Reserve Investment Fund		394,102		394,102
	Principal Amount
Repurchase Agreement — 0.3%
Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/19, 0.950%, due 10/01/19 (b)	$	490,467		490,467
TOTAL SHORT-TERM INVESTMENTS (Cost $884,569)				884,569
TOTAL INVESTMENTS — 99.5% (Cost $133,390,367) (d)				153,061,489
Other Assets/(Liabilities) — 0.5%				739,172
NET ASSETS — 100.0%			$	153,800,661

The accompanying notes are an integral part of the financial statements.

98

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(b) Maturity value of $490,480. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 3/31/23, and an aggregate market value, including accrued interest, of $500,384.

(c) A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(d) See Note 6 for aggregate cost for federal tax purposes.

Exchange-Traded Options Written

Description	Expiration Date		Exercise Price		No. of Contracts		Notional Amount			Value			Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Call
U.S. Treasury Note 10 Year Future		10/25/19		130.50		58		USD	58,000	$	(34,438	)	$	(23,447	)	$	(10,991	)
U.S. Treasury Note 10 Year Future		10/25/19		131.00		29		USD	29,000		(11,781	)		(13,997	)		2,216
											(46,219	)		(37,444	)		(8,775	)
Put
U.S. Treasury Note 10 Year Future		10/25/19		128.00		29		USD	29,000	$	(2,266	)	$	(10,388	)	$	8,122
U.S. Treasury Note 10 Year Future		10/25/19		128.50		29		USD	29,000		(4,078	)		(9,919	)		5,841
											(6,344	)		(20,307	)		13,963
										$	(52,563	)	$	(57,751	)	$	5,188

Futures contracts

	Expiration Date		Number of Contracts		Notional Amount			Value/Net Unrealized Appreciation/ (Depreciation)
Long
U.S. Treasury Long Bond		12/19/19		151	$	24,628,121		$	(118,933	)
U.S. Treasury Note 10 Year		12/19/19		39		5,094,514			(12,326	)
								$	(131,259	)
Short
U.S. Treasury Ultra 10 Year		12/19/19		118	$	(16,920,485	)	$	116,547
U.S. Treasury Ultra Bond		12/19/19		3		(574,965	)		(754	)
								$	115,793

Currency Legend

USD U.S. Dollar

The accompanying notes are an integral part of the financial statements.

99

MM Select Equity Asset Fund and MassMutual Select T.Rowe Price Funds – Financial Statements

Statements of Assets and Liabilities

September 30, 2019

	MM Select Equity Asset Fund		MassMutual Select  T. Rowe Price Bond Asset Fund
Assets:
Investments, at value (Note 2) (a)	$	483,589,231	$	658,382,156
Repurchase agreements, at value (Note 2) (b)		6,503,757		2,895,423
Other short-term investments, at value (Note 2) (c)		-		42,371,208
Total investments (d)		490,092,988		703,648,787
Cash		5,244		406,323
Foreign currency, at value (e)		-		228,171
Receivables from:
Investments sold		2,300,164		4,540,795
Closed swap agreements, at value		-		17,680
Investments sold on a when-issued basis (Note 2)		-		41,771,995
Open forward contracts (Note 2)		-		2,664,593
Investment adviser (Note 3)		-		142,359
Fund shares sold		191,098		1,491,253
Collateral pledged for open futures contracts (Note 2)		446,000		-
Variation margin on open derivative instruments (Note 2)		28,472		1,560
Interest and dividends		508,282		4,334,438
Interest tax reclaim receivable		-		24,374
Foreign taxes withheld		429,681		-
Open swap agreements, at value (Note 2)		-		93,714
Prepaid expenses		-		-
Total assets		494,001,929		759,366,042
Liabilities:
Payables for:
Investments purchased		2,555,725		6,418,669
Collateral held for open futures contracts (Note 2)		-		-
Written options outstanding, at value (Note 2) (f)		-		-
Open forward contracts (Note 2)		-		814,220
Interest and dividends		-		-
Investments purchased on a when-issued basis (Note 2)		-		80,427,141
Fund shares repurchased		1,343,114		3,696
Securities on loan (Note 2)		113,932		406,295
Open swap agreements, at value (Note 2)		-		365,827
Trustees’ fees and expenses (Note 3)		43,893		16,967
Variation margin on open derivative instruments (Note 2)		-		46,690
Affiliates (Note 3):
Investment advisory fees		75,208		254,592
Administration fees		13,971		25,678
Accrued expense and other liabilities		287,200		224,676
Total liabilities		4,433,043		89,004,451
Net assets	$	489,568,886	$	670,361,591
Net assets consist of:
Paid-in capital	$	415,805,811	$	631,868,285
Accumulated Gain (Loss)		73,763,075		38,493,306
Net assets	$	489,568,886	$	670,361,591
(a)    Cost of investments:	$	434,247,042	$	637,585,874
(b)    Cost of repurchase agreements:	$	6,503,757	$	2,895,423
(c)    Cost of other short-term investments:	$	-	$	42,419,934
(d)    Securities on loan with market value of:	$	111,340	$	398,005
(e)    Cost of foreign currency:	$	-	$	228,146
(f)    Premiums on written options:	$	-	$	-

The accompanying notes are an integral part of the financial statements.

100

MassMutual Select T. Rowe Price Emerging Markets Bond Fund		MassMutual Select T. Rowe Price Large Cap Blend Fund		MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		MassMutual Select T. Rowe Price Real Assets Fund		MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund		MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund
$	108,132,428	$	1,269,212,258	$	196,452,676	$	75,546,206	$	614,095,973	$	152,176,920
	1,008,655		1,180,699		1,371,720		1,254,419		1,000,216		490,467
	394,951		10,204,578		1,334,361		4,935,609		25,755,651		394,102
	109,536,034		1,280,597,535		199,158,757		81,736,234		640,851,840		153,061,489
	194,639		-		11,102		122,535		1,453		9,345
	1,092		-		1,928		141,749		38,375		-
	-		8,801,146		-		96,439		814,702		497,971
	-		-		-		-		-		-
	-		-		-		-		-		-
	121,135		-		-		-		-		-
	27,371		112,852		54,482		8,811		50,245		36,449
	248,635		2,507,256		414,983		171,146		1,295,631		318,450
	-		-		-		-		-		-
	1,409		-		-		-		-		-
	1,638,087		984,415		430,527		211,532		428,514		984,357
	-		-		-		-		-		-
	-		40,356		-		15,520		19,270		-
	-		-		11,021		-		-		-
	1		-		-		1		2		-
	111,768,403		1,293,043,560		200,082,800		82,503,967		643,500,032		154,908,061
	-		9,315,442		481,889		-		584,988		936,193
	-		-		-		-		-		-
	-		-		80,156		-		-		52,563
	42,625		-		-		-		-		-
	244		-		-		-		-		-
	-		-		-		-		-		-
	607		6,862		1,144		455		3,448		806
	909,780		2,200,780		-		143,486		9,673,343		-
	20,335		-		297,428		-		-		-
	2,614		31,430		4,286		2,079		15,710		3,731
	-		-		10,445		4,668		-		4,287
	67,531		651,294		55,672		43,789		360,069		41,436
	9,894		18,924		9,637		9,294		10,120		7,064
	84,765		155,964		68,429		75,860		190,648		61,320
	1,138,395		12,380,696		1,009,086		279,631		10,838,326		1,107,400
$	110,630,008	$	1,280,662,864	$	199,073,714	$	82,224,336	$	632,661,706	$	153,800,661
$	108,669,795	$	1,182,715,099	$	195,153,761	$	80,942,787	$	589,434,059	$	126,372,605
	1,960,213		97,947,765		3,919,953		1,281,549		43,227,647		27,428,056
$	110,630,008	$	1,280,662,864	$	199,073,714	$	82,224,336	$	632,661,706	$	153,800,661
$	109,879,883	$	1,143,739,968	$	195,011,410	$	74,213,065	$	578,602,983	$	132,505,798
$	1,008,655	$	1,180,699	$	1,371,720	$	1,254,419	$	1,000,216	$	490,467
$	394,951	$	10,204,578	$	1,334,349	$	4,935,535	$	25,755,651	$	394,102
$	891,667	$	2,153,808	$	-	$	137,772	$	9,408,173	$	-
$	1,103	$	-	$	2,057	$	143,111	$	38,572	$	-
$	-	$	-	$	75,079	$	-	$	-	$	57,751

101

MM Select Equity Asset Fund and MassMutual Select T.Rowe Price Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

September 30, 2019

	MM Select Equity Asset Fund		MassMutual Select  T. Rowe Price Bond Asset Fund
Class I shares:
Net assets	$	489,568,886	$	670,361,591
Shares outstanding (a)		61,957,985		63,283,139
Net asset value, offering price and redemption price per share	$	7.90	$	10.59

(a) Authorized unlimited number of shares with no par value.

The accompanying notes are an integral part of the financial statements.

102

MassMutual Select T. Rowe Price Emerging Markets Bond Fund		MassMutual Select T. Rowe Price Large Cap Blend Fund		MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		MassMutual Select T. Rowe Price Real Assets Fund		MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund		MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund
$	110,630,008	$	1,280,662,864	$	199,073,714	$	82,224,336	$	632,661,706	$	153,800,661
	11,168,881		112,747,447		19,381,194		7,841,313		55,299,035		12,558,576
$	9.91	$	11.36	$	10.27	$	10.49	$	11.44	$	12.25

103

MM Select Equity Asset Fund and MassMutual Select T.Rowe Price Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended September 30, 2019

	MM Select Equity Asset Fund			MassMutual Select  T. Rowe Price Bond Asset Fund
Investment income (Note 2):
Dividends (a)	$	7,799,014		$	-
Interest (b)		66,813			19,157,845
Securities lending net income		1,782			2,397
Total investment income		7,867,609			19,160,242
Expenses (Note 3):
Investment advisory fees		838,078			2,615,569
Custody fees		26,273			369,659
Audit fees		49,351			40,231
Legal fees		17,284			28,439
Proxy fees		1,365			1,365
Accounting & Administration fees		55,866			102,070
Shareholder reporting fees		86,315			37,767
Trustees’ fees		21,386			22,459
Registration and filing fees		15,394			53,404
Transfer agent fees		3,017			3,017
Total expenses		1,114,329			3,273,980
Expenses waived (Note 3):
Class I fees reimbursed by adviser		(136,886	)		(941,720	)
Net expenses:		977,443			2,332,260
Net investment income (loss)		6,890,166			16,827,982
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		22,821,961			2,453,445
Futures contracts		412,487			1,030,302
Written options		-			(37,672	)
Swap agreements		-			261,629
Foreign currency transactions		56,946			(205,409	)
Forward contracts		-			4,468,527
Net realized gain (loss)		23,291,394			7,970,822
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(16,404,526	)		30,664,718	*
Futures contracts		(39,124	)		541,705
Written options		-			(7,966	)
Forward sales commitments		-			-
Swap agreements		-			(217,429	)
Translation of assets and liabilities in foreign currencies		1,426			39,367
Forward contracts		-			1,881,135
Net change in unrealized appreciation (depreciation)		(16,442,224	)		32,901,530
Net realized gain (loss) and change in unrealized appreciation (depreciation)		6,849,170			40,872,352
Net increase (decrease) in net assets resulting from operations	$	13,739,336		$	57,700,334
(a)    Net of foreign withholding tax of:	$	8,899		$	-
(b)    Net of foreign withholding tax of:	$	-		$	71,231
*    Net of net increase (decrease) in accrued foreign capital gains tax of:	$	-		$	(9,008	)

The accompanying notes are an integral part of the financial statements.

104

MassMutual Select T. Rowe Price Emerging Markets Bond Fund			MassMutual Select T. Rowe Price Large Cap Blend Fund			MassMutual Select T. Rowe Price Limited Duration Inflation Focused  Bond Fund			MassMutual Select T. Rowe Price Real Assets Fund			MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund			MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund
$	-		$	17,859,481		$	-		$	2,238,817		$	6,141,314		$	-
	6,157,440			296,924			4,008,081			62,383			583,088			3,793,511
	1,753			17,336			2,325			3,311			104,894			2,065
	6,159,193			18,173,741			4,010,406			2,304,511			6,829,296			3,795,576
	720,993			6,612,867			497,902			452,008			3,675,895			418,711
	87,370			190,070			59,924			78,186			324,824			52,111
	40,727			37,652			40,052			37,800			37,806			40,231
	4,355			51,554			6,917			3,435			30,528			7,115
	1,365			1,365			1,365			1,365			1,365			1,365
	23,830			45,901			22,696			17,440			25,716			10,347
	22,601			44,599			16,598			13,221			24,777			15,931
	4,034			43,167			5,701			2,790			21,424			5,077
	8,868			95,697			12,316			6,494			47,575			12,507
	3,017			3,017			3,017			3,017			3,017			3,017
	917,160			7,125,889			666,488			615,756			4,192,927			566,412
	(216,194	)		(945,384	)		(431,666	)		(178,098	)		(626,760	)		(362,171	)
	700,966			6,180,505			234,822			437,658			3,566,167			204,241
	5,458,227			11,993,236			3,775,584			1,866,853			3,263,129			3,591,335
	(348,602	)		(24,855,443	)		373,338			(1,415,633	)		7,434,653			3,582,713
	554,962			-			(276,628	)		(177,407	)		(345,910	)		1,545,853
	17,843			-			(16,554	)		-			-			16,489
	(78,819	)		-			-			-			-			-
	(10,323	)		7,528			-			5,916			(2,692	)		-
	163,359			-			6,697			(3,220	)		(243	)		-
	298,420			(24,847,915	)		86,853			(1,590,344	)		7,085,808			5,145,055
	722,513	*		86,964,323			2,440,248			1,184,361			7,207,651			21,764,284
	(79,150	)		-			(165,468	)		142			40,087			52,261
	-			-			(4,524	)		-			-			5,188
	-			-			-			-			-			289
	(17,239	)		-			(388,469	)		-			-			-
	(11,835	)		(1,429	)		(107	)		(1,283	)		(486	)		-
	43,321			-			-			-			-			-
	657,610			86,962,894			1,881,680			1,183,220			7,247,252			21,822,022
	956,030			62,114,979			1,968,533			(407,124	)		14,333,060			26,967,077
$	6,414,257		$	74,108,215		$	5,744,117		$	1,459,729		$	17,596,189		$	30,558,412
$	-		$	182,665		$	-		$	69,745		$	63,034		$	-
$	6,291		$	-		$	298		$	-		$	-		$	-
$	(2,427	)	$	-		$	-		$	-		$	-		$	-

105

MM Select Equity Asset Fund and MassMutual Select T.Rowe Price Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MM Select Equity Asset Fund
	Year Ended September 30, 2019			Year Ended September 30, 2018
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	6,890,166		$	21,924,477
Net realized gain (loss)		23,291,394			151,840,413
Net change in unrealized appreciation (depreciation)		(16,442,224	)		(59,717,987	)
Net increase (decrease) in net assets resulting from operations		13,739,336			114,046,903
Distributions to shareholders (Note 2):
Class I		(164,357,477	)		(64,954,023	)*
Total distributions		(164,357,477	)		(64,954,023	)
Net fund share transactions (Note 5):
Class I		142,439,822			(639,661,643	)
Increase (decrease) in net assets from fund share transactions		142,439,822			(639,661,643	)
Total increase (decrease) in net assets		(8,178,319	)		(590,568,763	)
Net assets*
Beginning of year		497,747,205			1,088,315,968
End of year	$	489,568,886		$	497,747,205

† Fund commenced operations on February 9, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

106

MassMutual Select T. Rowe Price Bond Asset Fund						MassMutual Select T. Rowe Price Emerging Markets Bond Fund						MassMutual Select T. Rowe Price Large Cap Blend Fund
Year Ended September 30, 2019			Period Ended September 30, 2018†			Year Ended September 30, 2019			Period Ended September 30, 2018†			Year Ended September 30, 2019			Period Ended September 30, 2018†
$	16,827,982		$	7,202,343		$	5,458,227		$	1,799,691		$	11,993,236		$	5,095,202
	7,970,822			3,162,473			298,420			(738,022	)		(24,847,915	)		(12,040,283	)
	32,901,530			(11,089,956	)		657,610			(2,433,204	)		86,962,894			38,507,809
	57,700,334			(725,140	)		6,414,257			(1,371,535	)		74,108,215			31,562,728
	(18,481,876	)		-	*		(3,082,507	)		-	*		(7,702,002	)		-	*
	(18,481,876	)		-			(3,082,507	)		-			(7,702,002	)		-
	119,057,247			512,811,026			32,294,177			76,375,616			291,206,334			891,487,589
	119,057,247			512,811,026			32,294,177			76,375,616			291,206,334			891,487,589
	158,275,705			512,085,886			35,625,927			75,004,081			357,612,547			923,050,317
	512,085,886			-			75,004,081			-			923,050,317			-
$	670,361,591		$	512,085,886		$	110,630,008		$	75,004,081		$	1,280,662,864		$	923,050,317

107

MM Select Equity Asset Fund and MassMutual Select T.Rowe Price Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
	Year Ended September 30, 2019			Period Ended September 30, 2018†
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	3,775,584		$	2,073,321
Net realized gain (loss)		86,853			(363,887	)
Net change in unrealized appreciation (depreciation)		1,881,680			(859,983	)
Net increase (decrease) in net assets resulting from operations		5,744,117			849,451
Distributions to shareholders (Note 2):
Class I		(2,673,612	)		-	*
Total distributions		(2,673,612	)		-
Net fund share transactions (Note 5):
Class I		79,491,584			115,662,174
Increase (decrease) in net assets from fund share transactions		79,491,584			115,662,174
Total increase (decrease) in net assets		82,562,089			116,511,625
Net assets*
Beginning of year		116,511,625			-
End of year	$	199,073,714		$	116,511,625

† Fund commenced operations on February 9, 2018.

* Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 2 for this prior year information.

The accompanying notes are an integral part of the financial statements.

108

MassMutual Select T. Rowe Price Real Assets Fund						MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund						MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund
Year Ended September 30, 2019			Period Ended September 30, 2018†			Year Ended September 30, 2019			Period Ended September 30, 2018†			Year Ended September 30, 2019			Period Ended September 30, 2018†
$	1,866,853		$	891,344		$	3,263,129		$	934,901		$	3,591,335		$	1,508,402
	(1,590,344	)		(29,542	)		7,085,808			5,370,946			5,145,055			(2,024	)
	1,183,220			147,894			7,247,252			28,244,914			21,822,022			(2,161,178	)
	1,459,729			1,009,696			17,596,189			34,550,761			30,558,412			(654,800	)
	(1,187,875	)		-	*		(8,919,290	)		-	*		(2,475,554	)		-	*
	(1,187,875	)		-			(8,919,290	)		-			(2,475,554	)		-
	20,792,108			60,150,678			150,954,673			438,479,373			11,923,299			114,449,304
	20,792,108			60,150,678			150,954,673			438,479,373			11,923,299			114,449,304
	21,063,962			61,160,374			159,631,572			473,030,134			40,006,157			113,794,504
	61,160,374			-			473,030,134			-			113,794,504			-
$	82,224,336		$	61,160,374		$	632,661,706		$	473,030,134		$	153,800,661		$	113,794,504

109

MM Select Equity Asset Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	12.36	$	0.12	$	(0.49	)aa	$	(0.37	)	$	(0.50	)	$	(3.59	)	$	(4.09	)	$	7.90		3.10%		$	489,569		0.24%			0.21%			1.48%
9/30/18		11.85		0.24		0.99			1.23			(0.26	)		(0.46	)		(0.72	)		12.36		10.73%			497,747		0.26%			0.25%			1.99%
9/30/17		10.17		0.24		1.50			1.74			(0.06	)		(0.00	)d		(0.06	)		11.85		17.18%			1,088,316		0.28%			0.25%			2.18%
9/30/16g		10.00		0.01		0.16			0.17			-			-			-			10.17		1.70%	b		947,085		0.69%	a		0.25%	a		5.50%	a

	Year ended September 30									Period ended September 30,  2016b
	2019			2018			2017
Portfolio turnover rate		49	%		37	%		31	%		0	%e

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.5%.

g For the period September 15, 2016 (commencement of operations) through September 30, 2016.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

aa The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) for the period due to the timing of purchases and redemptions of Fund shares in relation to the fluctuating market values of the Fund.

The accompanying notes are an integral part of the financial statements.

110

MassMutual Select T. Rowe Price Bond Asset Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains		Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	9.94	$	0.29	$	0.69		$	0.98		$	(0.33	)	$	-	$	(0.33	)	$	10.59		10.21%		$	670,362		0.56%			0.40%			2.90%
9/30/18g		10.00		0.18		(0.24	)		(0.06	)		-			-		-			9.94		(0.60%	)b		512,086		0.51%	a		0.43%	a		2.78%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		287	%		170	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

111

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains		Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	9.64	$	0.53	$	0.06		$	0.59		$	(0.32	)	$	-	$	(0.32	)	$	9.91		6.35%		$	110,630		0.92%			0.70%			5.45%
9/30/18g		10.00		0.33		(0.69	)		(0.36	)		-			-		-			9.64		(3.60%	)b		75,004		1.01%	a		0.70%	a		5.30%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		39	%		37	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers and/or MassMutual to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

112

MassMutual Select T. Rowe Price Large Cap Blend Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains		Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.87	$	0.12	$	0.45	$	0.57	$	(0.08	)	$	-	$	(0.08	)	$	11.36		5.39%		$	1,280,663		0.65%			0.56%			1.09%
9/30/18g		10.00		0.07		0.80		0.87		-			-		-			10.87		8.70%	b		923,050		0.64%	a		0.58%	a		1.11%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		67	%		64	%q

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

q Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

The accompanying notes are an integral part of the financial statements.

113

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			From net realized gains		Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.09	$	0.25	$	0.14		$	0.39	$	(0.21	)	$	-	$	(0.21	)	$	10.27		3.95%		$	199,074		0.44%			0.16%			2.50%
9/30/18g		10.00		0.22		(0.13	)		0.09		-			-		-			10.09		0.90%	b		116,512		0.46%	a		0.30%	a		3.36%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		135	%		66	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

114

MassMutual Select T. Rowe Price Real Assets Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			From net realized gains		Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.56	$	0.27	$	(0.16	)	$	0.11	$	(0.18	)	$	-	$	(0.18	)	$	10.49		1.26%		$	82,224		0.86%			0.61%			2.60%
9/30/18g		10.00		0.19		0.37			0.56		-			-		-			10.56		5.60%	b		61,160		1.00%	a		0.61%	a		2.86%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		40	%		13	%q

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

q Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

The accompanying notes are an integral part of the financial statements.

115

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	11.47	$	0.07	$	0.09	$	0.16	$	(0.04	)	$	(0.15	)	$	(0.19	)	$	11.44		1.72%		$	632,662		0.76%			0.65%			0.59%
9/30/18g		10.00		0.03		1.44		1.47		-			-			-			11.47		14.70%	b		473,030		0.75%	a		0.65%	a		0.40%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		33	%		22	%q

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

q Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

The accompanying notes are an integral part of the financial statements.

116

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			From net realized gains		Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class I
9/30/19	$	10.03	$	0.30	$	2.12		$	2.42	$	(0.20	)	$	-	$	(0.20	)	$	12.25		24.53%		$	153,801		0.43%			0.16%			2.74%
9/30/18g		10.00		0.18		(0.15	)		0.03		-			-		-			10.03		0.30%	b		113,795		0.46%	a		0.30%	a		2.72%	a

	Year ended September 30, 2019			Period ended September 30,  2018b
Portfolio turnover rate		155	%		37	%

a Annualized.

b Percentage represents the results for the period and is not annualized.

c Per share amount calculated on the average shares method.

g For the period February 9, 2018 (commencement of operations) through September 30, 2018.

j Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

The accompanying notes are an integral part of the financial statements.

117

Notes to Financial Statements

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 8 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MM Select Equity Asset Fund (“Equity Asset Fund”)

MassMutual Select T. Rowe Price Bond Asset Fund (“MM Select T. Rowe Price Bond Asset Fund”)

MassMutual Select T. Rowe Price Emerging Markets Bond Fund (“MM Select T. Rowe Price Emerging Markets Bond Fund”)

MassMutual Select T. Rowe Price Large Cap Blend Fund (“MM Select T. Rowe Price Large Cap Blend Fund”)

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund (“MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund”)

MassMutual Select T. Rowe Price Real Assets Fund (“MM Select T. Rowe Price Real Assets Fund”)

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund (“MM Select T. Rowe Price Small and Mid Cap Blend Fund”)

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund (“MM Select T. Rowe Price U.S. Treasury Long-Term Fund”)

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

New Disclosure Requirements

Pursuant to amendments to certain disclosure requirements in Regulation S-X adopted by the Securities and Exchange Commission (“SEC”), the presentation of certain disclosures within the Statements of Assets and Liabilities and the Statements of Changes in Net Assets have been conformed to meet these new requirements. There is no longer a requirement to present the components of distributable earnings on the Statements of Assets and Liabilities. Adjustments to the Statements of Changes in Net Assets include updates to prior year distributions to shareholders, distributions in excess of net investment income, and undistributed net investment income.

The following is a summary of the previously disclosed amounts, as reported at September 30, 2018:

	Equity Asset Fund			MM Select T. Rowe Price Bond Asset Fund		MM Select T. Rowe Price Emerging Markets Bond Fund		MM Select T. Rowe Price Large Cap Blend Fund		MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		MM Select T. Rowe Price Real Assets Fund		MM Select T. Rowe Price Small and Mid Cap Blend Fund		MM Select T. Rowe Price U.S. Treasury Long-Term Fund
Distributions to shareholders
From net investment income:
Class I	$	(23,594,966	)	$	-	$	-	$	-	$	-	$	-	$	-	$	-
Total distributions from net investment income		(23,594,966	)		-		-		-		-		-		-		-
From net realized gains:
Class I		(41,359,057	)		-		-		-		-		-		-		-
Total distributions from net realized gains		(41,359,057	)		-		-		-		-		-		-		-
Accumulated undistributed (distributions in excess of) net investment income at end of year	$	18,232,557		$	12,802,733	$	1,645,095	$	5,093,159	$	2,069,532	$	887,805	$	933,583	$	1,568,058

118

Notes to Financial Statements (Continued)

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee¹ in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

¹  The voting members of the Valuation Committee consist of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO, Secretary, and Assistant Secretaries) of the Trust, as well as such other members as the Trustees may from time to time designate. The non-voting members of the Valuation Committee consist of the CCO, Secretary, and Assistant Secretaries. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

119

Notes to Financial Statements (Continued)

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:

Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.

Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.

Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that

120

Notes to Financial Statements (Continued)

reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Levels.

In certain cases, the inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest Level input that is significant to the overall fair value measurement.

The following is the aggregate value by input level, as of September 30, 2019, for the Funds’ investments:

	Level 1			Level 2			Level 3			Total
Equity Asset Fund
Asset Investments
Common Stock	$	483,446,433		$	22,884		$	1,786	**	$	483,471,103
Mutual Funds		113,932			-			-			113,932
Warrants		-			130	*		-	+**		130
Rights		-			-			4,066	**		4,066
Short-Term Investments		-			6,503,757			-			6,503,757
Total Investments	$	483,560,365		$	6,526,771		$	5,852		$	490,092,988
Liability Derivatives
Futures Contracts	$	(39,124	)	$	-		$	-		$	(39,124	)
MM Select T. Rowe Price Bond Asset Fund
Asset Investments
Bank Loans (Less Unfunded Loan Commitments)	$	-		$	15,840,652		$	-		$	15,840,652
Corporate Debt		-			200,706,775			-			200,706,775
Non-U.S. Government Agency Obligations		-			111,567,119			-			111,567,119
Sovereign Debt Obligations		-			120,852,782			-			120,852,782
U.S. Government Agency Obligations and Instrumentalities		-			130,920,124			-			130,920,124
U.S. Treasury Obligations		-			78,061,049			-			78,061,049
Purchased Options		-			27,108			-			27,108
Mutual Funds		406,295			-			-			406,295

121

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3			Total
MM Select T. Rowe Price Bond Asset Fund (Continued)
Asset Investments (Continued)
Short-Term Investments	$	38,738,729		$	6,527,902		$	-		$	45,266,631
Unfunded Loan Commitments***		-			252			-			252
Total Investments	$	39,145,024		$	664,503,763		$	-		$	703,648,787
Asset Derivatives
Forward Contracts	$	-		$	2,664,593		$	-		$	2,664,593
Futures Contracts		187,078			-			-			187,078
Swap Agreements		-			275,347			-			275,347
Total	$	187,078		$	2,939,940		$	-		$	3,127,018
Liability Derivatives
Forward Contracts	$	-		$	(814,220	)	$	-		$	(814,220	)
Futures Contracts		(733,099	)		-			-			(733,099	)
Swap Agreements		-			(475,229	)		-			(475,229	)
Total	$	(733,099	)	$	(1,289,449	)	$	-		$	(2,022,548	)
MM Select T. Rowe Price Emerging Markets Bond Fund
Asset Investments
Corporate Debt	$	-		$	44,115,828		$	-		$	44,115,828
Sovereign Debt Obligations		-			62,930,488			-			62,930,488
U.S. Treasury Obligations		-			129,667			-			129,667
Mutual Funds		909,780			-			-			909,780
Purchased Options		-			46,665			-			46,665
Short-Term Investments		394,951			1,008,655			-			1,403,606
Total Investments	$	1,304,731		$	108,231,303		$	-		$	109,536,034
Asset Derivatives
Forward Contracts	$	-		$	121,135		$	-		$	121,135
Liability Derivatives
Forward Contracts	$	-		$	(42,625	)	$	-		$	(42,625	)
Futures Contracts		(102,204	)		-			-			(102,204	)
Swap Agreements		-			(20,335	)		-			(20,335	)
Total	$	(102,204	)	$	(62,960	)	$	-		$	(165,164	)
MM Select T. Rowe Price Large Cap Blend Fund
Asset Investments
Common Stock	$	1,231,733,184		$	23,588,584	*	$	1,343,182	**	$	1,256,664,950
Preferred Stock		6,033,078			1,300,189			2,181,141	**		9,514,408
Corporate Debt		-			832,120			-			832,120
Mutual Funds		2,200,780			-			-			2,200,780
Short-Term Investments		10,204,578			1,180,699			-			11,385,277
Total Investments	$	1,250,171,620		$	26,901,592		$	3,524,323		$	1,280,597,535
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
Asset Investments
Corporate Debt	$	-		$	29,031,481		$	-		$	29,031,481
Non-U.S. Government Agency Obligations		-			15,843,037			-			15,843,037
U.S. Government Agency Obligations and Instrumentalities		-			3,630,625			-			3,630,625

122

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3		Total
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund (Continued)
Asset Investments (Continued)
U.S. Treasury Obligations	$	-		$	147,947,533		$	-	$	147,947,533
Short-Term Investments		334,725			2,371,356			-		2,706,081
Total Investments	$	334,725		$	198,824,032		$	-	$	199,158,757
Asset Derivatives
Futures Contracts	$	31,410		$	-		$	-	$	31,410
Swap Agreements		-			11,021			-		11,021
Total	$	31,410		$	11,021		$	-	$	42,431
Liability Derivatives
Futures Contracts	$	(159,378	)	$	-		$	-	$	(159,378	)
Swap Agreements		-			(297,428	)		-		(297,428	)
Written Options		(80,156	)		-			-		(80,156	)
Total	$	(239,534	)	$	(297,428	)	$	-	$	(536,962	)
MM Select T. Rowe Price Real Assets Fund
Asset Investments
Common Stock*
Australia	$	-		$	6,570,353		$	-	$	6,570,353
Austria		-			140,452			-		140,452
Belgium		-			103,265			-		103,265
Bermuda		-			255,803			-		255,803
Brazil		949,920			-			-		949,920
Canada		6,554,747			-			-		6,554,747
Cayman Islands		-			137,985			-		137,985
Finland		-			395,796			-		395,796
France		30,031			1,529,396			-		1,559,427
Germany		-			334,400			-		334,400
Hong Kong		-			692,423			-		692,423
Ireland		682,088			-			-		682,088
Japan		-			2,493,273			-		2,493,273
Luxembourg		56,563			815,946			-		872,509
Mexico		392,880			-			-		392,880
Netherlands		354,958			457,340			-		812,298
Norway		-			677,338			-		677,338
Peru		166,525			-			-		166,525
Portugal		-			292,920			-		292,920
Republic of Korea		-			378,617			-		378,617
Russia		-			468,949			-		468,949
Singapore		-			322,562			-		322,562
South Africa		29,587			891,078			-		920,665
Spain		-			378,846			-		378,846
Sweden		-			1,376,586			-		1,376,586
Switzerland		-			399,506			-		399,506
United Kingdom		-			6,503,903			-		6,503,903
United States		39,203,224			-			-		39,203,224
Preferred Stock
Brazil		150,916			-			-		150,916
United States		278,630			-			-		278,630
Mutual Funds		1,061,052			-			-		1,061,052

123

Notes to Financial Statements (Continued)

	Level 1			Level 2			Level 3			Total
MM Select T. Rowe Price Real Assets Fund (Continued)
Asset Investments (Continued)
Purchased Options	$	-		$	18,348		$	-		$	18,348
Short-Term Investments		4,674,072			1,515,956			-			6,190,028
Total Investments	$	54,585,193		$	27,151,041		$	-		$	81,736,234
Asset Derivatives
Futures Contracts	$	19,152		$	-		$	-		$	19,152
Liability Derivatives
Futures Contracts	$	(19,010	)	$	-		$	-		$	(19,010	)
MM Select T. Rowe Price Small and Mid Cap Blend Fund
Asset Investments
Common Stock	$	586,634,301		$	12,195,077	*	$	1,128,758	**	$	599,958,136
Preferred Stock		-			1,121,183	*		3,265,456	**		4,386,639
Bank Loans		-			72,514			-			72,514
Warrants		-			-			5,341	**		5,341
Mutual Funds		9,673,343			-			-			9,673,343
Short-Term Investments		25,755,651			1,000,216			-			26,755,867
Total Investments	$	622,063,295		$	14,388,990		$	4,399,555		$	640,851,840
MM Select T. Rowe Price U.S. Treasury Long-Term Fund
Asset Investments
U.S. Government Agency Obligations and Instrumentalities	$	-		$	9,031,289		$	-		$	9,031,289
U.S. Treasury Obligations		-			143,145,631			-			143,145,631
Short-Term Investments		394,102			490,467			-			884,569
Total Investments	$	394,102		$	152,667,387		$	-		$	153,061,489
Asset Derivatives
Futures Contracts	$	116,547		$	-		$	-		$	116,547
Liability Derivatives
Futures Contracts	$	(132,013	)	$	-		$	-		$	(132,013	)
Written Options		(52,563	)		-			-			(52,563	)
Total	$	(184,576	)	$	-		$	-		$	(184,576	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their applicable foreign markets, as applicable.

** None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund(s). Level 3 investments at the end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2019 is not presented.

*** Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment.

+ Represents a security at $0 value as of September 30, 2019.

124

Notes to Financial Statements (Continued)

The following table shows Fund(s) with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of September 30, 2019.

Statements of Assets and Liabilities locations	Equity Asset Fund	MM Select T. Rowe Price Bond Asset Fund	MM Select T. Rowe Price Emerging Markets Bond Fund	MM Select T. Rowe Price Large Cap Blend Fund	MM Select T. Rowe Price Real Assets Fund	MM Select T. Rowe Price Small and Mid Cap Blend Fund
Receivables from:
Investments sold on a when-issued basis		X
Payables for:
Investments purchased on a when-issued basis		X
Collateral held for open futures contracts	X
Securities on loan	X	X	X	X	X	X

The Funds, with the exception of the Equity Asset Fund, had no Level 3 transfers during the year ended September 30, 2019. The Equity Asset Fund had Level 3 transfers during the year ended September 30, 2019; however, none of the transfers individually or collectively had a material impact on the Equity Asset Fund.

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than the derivatives’ original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price.

At September 30, 2019, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk		Equity Risk			Foreign Exchange Risk		Interest Rate Risk		Total
Equity Asset Fund
Liability Derivatives
Futures Contracts^^	$	-	$	(39,124	)	$	-	$	-	$	(39,124	)
Realized Gain (Loss)#
Futures Contracts	$	-	$	412,487		$	-	$	-	$	412,487
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	(39,124	)	$	-	$	-	$	(39,124	)
MM Select T. Rowe Price Bond Asset Fund
Asset Derivatives
Purchased Options*	$	-	$	-		$	27,108	$	-	$	27,108
Forward Contracts*		-		-			2,664,593		-		2,664,593
Futures Contracts^^		-		-			-		187,078		187,078
Swap Agreements*		93,714		-			-		-		93,714
Swap Agreements^^,^^^		167,874		-			-		13,759		181,633
Total Value	$	261,588	$	-		$	2,691,701	$	200,837	$	3,154,126

125

Notes to Financial Statements (Continued)

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
MM Select T. Rowe Price Bond Asset Fund (Continued)
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(814,220	)	$	-		$	(814,220	)
Futures Contracts^^		-			-		-			(733,099	)		(733,099	)
Swap Agreements^		(365,827	)		-		-			-			(365,827	)
Swap Agreements^^,^^^		-			-		-			(109,402	)		(109,402	)
Total Value	$	(365,827	)	$	-	$	(814,220	)	$	(842,501	)	$	(2,022,548	)
Realized Gain (Loss)#
Purchased Options	$	-		$	-	$	(123,870	)	$	(112,956	)	$	(236,826	)
Forward Contracts		-			-		4,468,527			-			4,468,527
Futures Contracts		-			-		-			1,030,302			1,030,302
Swap Agreements		382,541			-		-			(120,912	)		261,629
Written Options		-			-		-			(37,672	)		(37,672	)
Total Realized Gain (Loss)	$	382,541		$	-	$	4,344,657		$	758,762		$	5,485,960
Change in Appreciation (Depreciation)##
Purchased Options	$	26,854		$	-	$	(3,618	)	$	-		$	23,236
Forward Contracts		-			-		1,881,135			-			1,881,135
Futures Contracts		-			-		-			541,705			541,705
Swap Agreements		(129,753	)		-		-			(87,676	)		(217,429	)
Written Options		(9,872	)		-		-			1,906			(7,966	)
Total Change in Appreciation (Depreciation)	$	(112,771	)	$	-	$	1,877,517		$	455,935		$	2,220,681
MM Select T. Rowe Price Emerging Markets Bond Fund
Asset Derivatives
Purchased Options*	$	-		$	-	$	46,665		$	-		$	46,665
Forward Contracts*		-			-		121,135			-			121,135
Total Value	$	-		$	-	$	167,800		$	-		$	167,800
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(42,625	)	$	-		$	(42,625	)
Futures Contracts^^		-			-		-			(102,204	)		(102,204	)
Swap Agreements^		(20,335	)		-		-			-			(20,335	)
Total Value	$	(20,335	)	$	-	$	(42,625	)	$	(102,204	)	$	(165,164	)
Realized Gain (Loss)#
Purchased Options	$	-		$	-	$	(61,667	)	$	32,450		$	(29,217	)
Forward Contracts		-			-		163,359			-			163,359
Futures Contracts		-			-		-			554,962			554,962
Swap Agreements		(75,749	)		-		-			(3,070	)		(78,819	)
Written Options		-			-		17,843			-			17,843
Total Realized Gain (Loss)	$	(75,749	)	$	-	$	119,535		$	584,342		$	628,128

126

Notes to Financial Statements (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
MM Select T. Rowe Price Emerging Markets Bond Fund (Continued)
Change in Appreciation (Depreciation)##
Purchased Options	$	-		$	-		$	(34,613	)	$	-		$	(34,613	)
Forward Contracts		-			-			43,321			-			43,321
Futures Contracts		-			-			-			(79,150	)		(79,150	)
Swap Agreements		(4,491	)		-			-			(12,748	)		(17,239	)
Total Change in Appreciation (Depreciation)	$	(4,491	)	$	-		$	8,708		$	(91,898	)	$	(87,681	)
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
Asset Derivatives
Futures Contracts^^	$	-		$	-		$	-		$	31,410		$	31,410
Swap Agreements*		-			-			-			11,021			11,021
Total Value	$	-		$	-		$	-		$	42,431		$	42,431
Liability Derivatives
Futures Contracts^^	$	-		$	-		$	-		$	(159,378	)	$	(159,378	)
Swap Agreements^		-			-			-			(297,428	)		(297,428	)
Written Options^,^^^		-			-			-			(80,156	)		(80,156	)
Total Value	$	-		$	-		$	-		$	(536,962	)	$	(536,962	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-		$	6,697		$	-		$	6,697
Futures Contracts		-			-			-			(276,628	)		(276,628	)
Written Options		-			-			-			(16,554	)		(16,554	)
Total Realized Gain (Loss)	$	-		$	-		$	6,697		$	(293,182	)	$	(286,485	)
Change in Appreciation (Depreciation)##
Futures Contracts	$	-		$	-		$	-		$	(165,468	)	$	(165,468	)
Swap Agreements		-			-			-			(388,469	)		(388,469	)
Written Options		-			-			-			(4,524	)		(4,524	)
Total Change in Appreciation (Depreciation)	$	-		$	-		$	-		$	(558,461	)	$	(558,461	)
MM Select T. Rowe Price Real Assets Fund
Asset Derivatives
Purchased Options*	$	-		$	-		$	18,348		$	-		$	18,348
Futures Contracts^^		-			14,999			-			4,153			19,152
Total Value	$	-		$	14,999		$	18,348		$	4,153		$	37,500
Liability Derivatives
Futures Contracts^^	$	-		$	(19,010	)	$	-		$	-		$	(19,010	)
Realized Gain (Loss)#
Purchased Options	$	-		$	-		$	40,065		$	-		$	40,065
Forward Contracts		-			-			(3,220	)		-			(3,220	)
Futures Contracts		-			12,213			-			(189,620	)		(177,407	)
Total Realized Gain (Loss)	$	-		$	12,213		$	36,845		$	(189,620	)	$	(140,562	)
Change in Appreciation (Depreciation)##
Purchased Options	$	-		$	-		$	6,580		$	-		$	6,580
Futures Contracts		-			(4,011	)		-			4,153			142
Total Change in Appreciation (Depreciation)	$	-		$	(4,011	)	$	6,580		$	4,153		$	6,722

127

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
MM Select T. Rowe Price Small and Mid Cap Blend Fund
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(243	)	$	-		$	(243	)
Futures Contracts		-		(345,910	)		-			-			(345,910	)
Total Realized Gain (Loss)	$	-	$	(345,910	)	$	(243	)	$	-		$	(346,153	)
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	40,087		$	-		$	-		$	40,087
MM Select T. Rowe Price U.S. Treasury Long-Term Fund
Asset Derivatives
Futures Contracts^^	$	-	$	-		$	-		$	116,547		$	116,547
Liability Derivatives
Futures Contracts^^	$	-	$	-		$	-		$	(132,013	)	$	(132,013	)
Written Options^,^^^		-		-			-			(52,563	)		(52,563	)
Total Value	$	-	$	-		$	-		$	(184,576	)	$	(184,576	)
Realized Gain (Loss)#
Futures Contracts	$	-	$	-		$	-		$	1,545,853		$	1,545,853
Written Options		-		-			-			16,489			16,489
Total Realized Gain (Loss)	$	-	$	-		$	-		$	1,562,342		$	1,562,342
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	-		$	-		$	52,261		$	52,261
Written Options		-		-			-			5,188			5,188
Total Change in Appreciation (Depreciation)	$	-	$	-		$	-		$	57,449		$	57,449

* Statements of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts or open swap agreements, at value, as applicable.

^ Statements of Assets and Liabilities location: Payables for: open forward contracts, open swap agreements, at value, or written options outstanding, at value, as applicable.

^^ Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” in each applicable Fund’s Portfolio of Investments. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities.

^^^ Represents centrally cleared swaps or exchange-traded written options which are not subject to a master netting agreement.

# Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

## Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

For the year ended September 30, 2019, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:

			Number of Contracts, Notional Amounts, or Shares/Units†
Fund Name	Futures Contracts		Forward Contracts		Swap Agreements		Purchased Options		Written Options		Written Swaptions
Equity Asset Fund		54	$	-	$	-		-		-	$	-
MM Select T. Rowe Price Bond Asset Fund		1,443		179,312,322		207,765,969		8,959,375		10,050,073		9,140,000
MM Select T. Rowe Price Emerging Markets Bond Fund		49		5,787,487		39,014,161		3,468,750		975,000		-

128

Notes to Financial Statements (Continued)

	Number of Contracts, Notional Amounts, or Shares/Units†
Fund Name	Futures Contracts		Forward Contracts		Swap Agreements		Purchased Options		Written Options		Written Swaptions
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		312	$	853,592	$	31,327,250		-		115	$	-
MM Select T. Rowe Price Real Assets Fund		20		11,476		-		1,885,714		-		-
MM Select T. Rowe Price Small and Mid Cap Blend Fund		24		71,035		-		-		-		-
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		221		-		-		-		56		-

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, and written swaptions, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended September 30, 2019.

The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of the Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on a Fund’s derivatives exposure as of September 30, 2019. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.

The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund(s) as of September 30, 2019.

Counterparty	Derivative Assets Subject to an MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***			Net Amount*
MM Select T. Rowe Price Bond Asset Fund
Bank of America N.A.	$	50,297	$	(50,297	)	$	-		$	-
Barclays Bank PLC		138,011		(124,919	)		-			13,092
BNP Paribas SA		303,251		(132,434	)		(170,817	)		-
Citibank N.A.		308,861		(227,957	)		-			80,904
Credit Suisse International		7,760		(7,760	)		-			-
Deutsche Bank AG		2,144		(2,144	)		-			-
Goldman Sachs International		313,473		(234,106	)		-			79,367
HSBC Bank USA		117,406		(59,012	)		-			58,394
JP Morgan Chase Bank N.A.		142,450		(130,024	)		-			12,426
Morgan Stanley & Co. LLC		155,699		(50,200	)		-			105,499
UBS AG		1,246,063		(40,085	)		(1,021,758	)		184,220
	$	2,785,415	$	(1,058,938	)	$	(1,192,575	)	$	533,902
MM Select T. Rowe Price Emerging Markets Bond Fund
Bank of America N.A.	$	21,808	$	(1,249	)	$	-		$	20,559
Barclays Bank PLC		46,571		(2,634	)		-			43,937
BNP Paribas SA		19,104		(2,701	)		-			16,403
Citibank N.A.		8,052		(8,052	)		-			-
Credit Suisse International		52		(52	)		-			-
Goldman Sachs International		34,604		(394	)		-			34,210
HSBC Bank USA		5,307		(5,307	)		-			-
JP Morgan Chase Bank N.A.		17,735		(3,077	)		-			14,658
UBS AG		14,567		-			-			14,567
	$	167,800	$	(23,466	)	$	-		$	144,334

129

Notes to Financial Statements (Continued)

Counterparty	Derivative Assets Subject to an MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***		Net Amount*
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
Bank of America N.A.	$	1,464	$	(1,464	)	$	-	$	-
Barclays Bank PLC		4,985		(4,985	)		-		-
Citibank N.A.		669		(53	)		-		616
Goldman Sachs & Co.		3,903		-			-		3,903
	$	11,021	$	(6,502	)	$	-	$	4,519
MM Select T. Rowe Price Real Assets Fund
Deutsche Bank AG	$	18,348	$	-		$	-	$	18,348

The following table presents derivative liabilities by counterparty net of amounts available for offset under an MNA, or similar agreement, and net of the related collateral pledged by the Fund(s) as of September 30, 2019.

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty†			Financial Instruments Available for Offset		Collateral Pledged***		Net Amount**
MM Select T. Rowe Price Bond Asset Fund
Bank of America N.A.	$	(114,218	)	$	50,297	$	-	$	(63,921	)
Barclays Bank PLC		(124,919	)		124,919		-		-
BNP Paribas SA		(132,434	)		132,434		-		-
Citibank N.A.		(227,957	)		227,957		-		-
Credit Suisse International		(62,301	)		7,760		-		(54,541	)
Deutsche Bank AG		(4,791	)		2,144		-		(2,647	)
Goldman Sachs International		(234,106	)		234,106		-		-
HSBC Bank USA		(59,012	)		59,012		-		-
JP Morgan Chase Bank N.A.		(130,024	)		130,024		-		-
Morgan Stanley & Co. LLC		(50,200	)		50,200		-		-
UBS AG		(40,085	)		40,085		-		-
	$	(1,180,047	)	$	1,058,938	$	-	$	(121,109	)
MM Select T. Rowe Price Emerging Markets Bond Fund
Bank of America N.A.	$	(1,249	)	$	1,249	$	-	$	-
Barclays Bank PLC		(2,634	)		2,634		-		-
BNP Paribas SA		(2,701	)		2,701		-		-
Citibank N.A.		(23,779	)		8,052		-		(15,727	)
Credit Suisse International		(2,430	)		52		-		(2,378	)
Goldman Sachs International		(394	)		394		-		-
HSBC Bank USA		(22,809	)		5,307		-		(17,502	)
JP Morgan Chase Bank N.A.		(3,077	)		3,077		-		-
Morgan Stanley & Co. LLC		(3,887	)		-		-		(3,887	)
	$	(62,960	)	$	23,466	$	-	$	(39,494	)
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
Bank of America N.A.	$	(226,270	)	$	1,464	$	224,806	$	-
Barclays Bank PLC		(14,955	)		4,985		-		(9,970	)
Citibank N.A.		(53	)		53		-		-
UBS AG		(56,150	)		-		-		(56,150	)
	$	(297,428	)	$	6,502	$	224,806	$	(66,120	)

* Represents the net amount receivable from the counterparty in the event of default.

130

Notes to Financial Statements (Continued)

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.

Further details regarding the derivatives and other investments held by the Fund(s) during the year ended September 30, 2019, are discussed below.

Foreign Currency Exchange Transactions

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a forward contract with respect to that currency. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

Futures Contracts

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts and related options.

131

Notes to Financial Statements (Continued)

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments or rates, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include, among others, interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

132

Notes to Financial Statements (Continued)

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment and stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk – the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap

133

Notes to Financial Statements (Continued)

premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

A Fund’s current exposure to a counterparty is the fair value of the transaction.

Options, Rights, and Warrants

A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.

Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund

134

Notes to Financial Statements (Continued)

may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

Hybrid Instruments

A hybrid instrument may be a debt security, preferred stock, warrant, convertible security, certificate of deposit, or other evidence of indebtedness on which a portion of or all interest payments, and/or the principal or stated amount payable at maturity, redemption, or retirement, is determined by reference to one or more underlying assets, indexes, economic factors, or other benchmarks. Because hybrid instruments may be designed to provide indirect exposures to virtually any type of derivative

135

Notes to Financial Statements (Continued)

instrument, a Fund may invest in a hybrid instrument for any purpose it might engage in derivatives transactions. Hybrid instruments may take a number of forms, including, for example, debt instruments with interest or principal payments or redemption terms determined by reference to the value of an index, security, or other measure at a future time, preferred stock with dividend rates determined by reference to the value of a currency, or convertible securities where the conversion terms relate to a particular commodity. The risks of investing in a hybrid instrument may, depending on the nature of the instrument, reflect a combination of the risks of investing in securities, options, futures, currencies or other types of investments, and will depend upon the terms of the instrument. Such risks generally depend upon factors unrelated to the operations or credit quality of the issuer of the hybrid instrument, and may not be foreseen by the purchaser, such as financial or market developments, economic and political events, the supply and demand of the underlying assets, and interest rate movements. Hybrid instruments may be highly volatile and their use by a Fund may not be successful. The terms of a hybrid instrument may create investment leverage. Hybrid instruments are typically privately issued, presenting credit risk of the issuer, and may be highly illiquid and difficult to value.

Inflation-Linked Securities

Inflation-linked securities are typically fixed income securities whose principal values are periodically adjusted according to a measure of inflation. If the index measuring inflation falls, the principal value of an inflation-linked security will be adjusted downward, and consequently the interest payable on the security (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original principal of the security upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-linked securities. For securities that do not provide a similar guarantee, the adjusted principal value of the security repaid at maturity may be less than the original principal.

Alternatively, the interest rates payable on certain inflation-linked securities may be adjusted according to a measure of inflation. As a result, the principal values of such securities do not adjust according to the rate of inflation, although the interest payable on such securities may decline during times of falling inflation.

The values of inflation-linked securities are expected to change in response to changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, leading to a decrease in value of inflation-linked securities. Inflation-linked securities may cause a potential cash flow mismatch to investors, because an increase in the principal amount of an inflation-linked security will be treated as interest income currently subject to tax at ordinary income rates even though investors will not receive repayment of principal until maturity. If a Fund invests in such securities, it will be required to distribute such interest income in order to qualify for treatment as a regulated investment company and eliminate the Fund-level tax, without a corresponding receipt of cash, and therefore may be required to dispose of portfolio securities at a time when it may not be advantageous to do so in order to make such distributions.

Bank Loans

A Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

136

Notes to Financial Statements (Continued)

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

The MM Select T. Rowe Price Bond Asset Fund entered into certain loan agreements which are unfunded. The MM Select T. Rowe Price Bond Asset Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the MM Select T. Rowe Price Bond Asset Fund’s Portfolio of Investments. At September 30, 2019, the MM Select T. Rowe Price Bond Asset Fund had sufficient cash and/or securities to cover these commitments.

Repurchase Agreements

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Dollar Roll Transactions

A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.

Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to

137

Notes to Financial Statements (Continued)

repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.

A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.

Securities Lending

Each Fund may lend its securities; however, lending cannot exceed 33% of the total assets of the Fund taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“Agent”). The Lending Agreement authorizes the Agent to lend portfolio securities held by a Fund to approved borrowers (each, a “Borrower”).

Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash (U.S. currency) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At September 30, 2019, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.

Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement.

The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Funds in securities lending transactions during the year ended September 30, 2019, is reflected as securities lending income on the Statement of Operations.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on the ex-dividend date. Non-cash dividends received in the form of stock are recorded as dividend income at market value. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.

138

Notes to Financial Statements (Continued)

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

Foreign Securities

The MM Select T. Rowe Price Real Assets Fund invests a significant amount of its assets in foreign securities and the MM Select T. Rowe Price Emerging Markets Bond Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Advisory Fees and Other Transactions

Investment Advisory Fees and Investment Subadvisers

MML Investment Advisers, LLC (“MML Advisers”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (“MassMutual”), serves as investment adviser to each Fund. Under the investment advisory agreements between MML Advisers and the Trust on behalf of each Fund, MML Advisers is responsible for providing investment management services for each Fund. In return for these services, MML Advisers receives advisory fees, based upon each Fund’s average daily net assets, computed and accrued daily and payable monthly, at the annual rates shown in the following table.

MML Advisers has also entered into investment subadvisory agreements for each Fund with the unaffiliated investment subadviser shown in the following table. MML Advisers pays a subadvisory fee to each of these subadvisers based upon the average daily net assets of the Fund.

139

Notes to Financial Statements (Continued)

The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees.

Fund	Investment Advisory Fee	Investment Subadviser(s)
Equity Asset Fund	0.18%	J.P. Morgan Investment Management Inc.
MM Select T. Rowe Price Bond Asset Fund	0.45%	T. Rowe Price Associates, Inc.
MM Select T. Rowe Price Emerging Markets Bond Fund	0.72%	T. Rowe Price Associates, Inc.
MM Select T. Rowe Price Large Cap Blend Fund	0.60%	T. Rowe Price Associates, Inc.
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund	0.33%	T. Rowe Price Associates, Inc.
MM Select T. Rowe Price Real Assets Fund	0.63%	T. Rowe Price Associates, Inc.
MM Select T. Rowe Price Small and Mid Cap Blend Fund	0.67%	T. Rowe Price Associates, Inc.
MM Select T. Rowe Price U.S. Treasury Long-Term Fund	0.32%	T. Rowe Price Associates, Inc.

Expense Caps and Waivers

MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses), based upon the average daily net assets of the Funds, as follows:

	Class I
MM Select T. Rowe Price Emerging Markets Bond Fund*		0.70%
MM Select T. Rowe Price Real Assets Fund*		0.61%
MM Select T. Rowe Price Small and Mid Cap Blend Fund*		0.65%

^#  Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps in effect through January 31, 2020.

Prior to February 1, 2019, MML Advisers agreed to cap the fees and expenses of the Fund noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the Fund, as follows:

	Class I
Equity Asset Fund		0.25%

^#  Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

Effective October 18, 2018, MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the Funds, as follows:

	Class I
MM Select T. Rowe Price Bond Asset Fund**		0.40%
MM Select T. Rowe Price Large Cap Blend**		0.56%
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund**		0.15%
MM Select T. Rowe Price U.S. Treasury Long-Term Fund**		0.15%

^#  Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

** Expense caps in effect through January 31, 2020.

140

Notes to Financial Statements (Continued)

Prior October 18, 2018, MML Advisers agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the Funds, as follows:

	Class I
MM Select T. Rowe Price Bond Asset Fund		0.43%
MM Select T. Rowe Price Large Cap Blend Fund		0.58%
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		0.30%
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		0.30%

^#  Acquired Fund Fees and Expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Deferred Compensation

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at September 30, 2019:

	Total % Ownership by Related Party
Equity Asset Fund		100.0%
MM Select T. Rowe Price Bond Asset Fund		100.0%
MM Select T. Rowe Price Emerging Markets Bond Fund		100.0%
MM Select T. Rowe Price Large Cap Blend Fund		100.0%
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		100.0%
MM Select T. Rowe Price Real Assets Fund		100.0%
MM Select T. Rowe Price Small and Mid Cap Blend Fund		100.0%
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		100.0%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term) for the year ended September 30, 2019, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
Equity Asset Fund	$	-	$	223,541,066	$	-	$	229,797,560
MM Select T. Rowe Price Bond Asset Fund		1,512,435,933		286,589,713		1,463,477,906		200,104,647
MM Select T. Rowe Price Emerging Markets Bond Fund		-		72,899,183		-		36,685,731
MM Select T. Rowe Price Large Cap Blend Fund		-		1,022,095,845		-		729,661,459

141

Notes to Financial Statements (Continued)

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund	$	245,022,597	$	30,654,618	$	188,473,948	$	11,583,675
MM Select T. Rowe Price Real Assets Fund		-		43,228,492		-		27,327,621
MM Select T. Rowe Price Small and Mid Cap Blend Fund		-		315,736,978		-		170,895,946
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		214,329,478		-		199,582,957		-

The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.

Fund	Purchases		Sales
MM Select T. Rowe Price Large Cap Blend Fund	$	542,880	$	-
MM Select T. Rowe Price Small and Mid Cap Blend Fund		124,516		74,950

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Equity Asset Fund Class I
Sold		18,540,918		$	148,250,147			10,771,364		$	129,404,750
Issued as reinvestment of dividends		24,604,413			164,357,477			5,565,898			64,954,022
Redeemed		(21,464,270	)		(170,167,802	)		(67,895,704	)		(834,020,415	)
Net increase (decrease)		21,681,061		$	142,439,822			(51,558,442	)	$	(639,661,643	)
MM Select T. Rowe Price Bond Asset Fund Class I*
Sold		24,745,800		$	248,417,165			55,536,825		$	552,517,728
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(13,002,693	)		(129,359,918	)		(3,996,793	)		(39,706,702	)
Net increase (decrease)		11,743,107		$	119,057,247			51,540,032		$	512,811,026
MM Select T. Rowe Price Emerging Markets Bond Fund Class I*
Sold		4,223,172		$	40,404,850			8,621,939		$	84,626,103
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(837,811	)		(8,110,673	)		(838,419	)		(8,250,487	)
Net increase (decrease)		3,385,361		$	32,294,177			7,783,520		$	76,375,616
MM Select T. Rowe Price Large Cap Blend Fund Class I*
Sold		36,262,094		$	381,693,642			89,841,026		$	943,711,125
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(8,394,829	)		(90,487,308	)		(4,960,844	)		(52,223,536	)
Net increase (decrease)		27,867,265		$	291,206,334			84,880,182		$	891,487,589

142

Notes to Financial Statements (Continued)

	Year Ended September 30, 2019						Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund Class I*
Sold		10,255,106		$	103,886,083			13,058,096		$	130,895,875
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(2,420,449	)		(24,394,499	)		(1,511,559	)		(15,233,701	)
Net increase (decrease)		7,834,657		$	79,491,584			11,546,537		$	115,662,174
MM Select T. Rowe Price Real Assets Fund Class I*
Sold		2,470,405		$	25,072,251			6,037,890		$	62,688,761
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(423,348	)		(4,280,143	)		(243,634	)		(2,538,083	)
Net increase (decrease)		2,047,057		$	20,792,108			5,794,256		$	60,150,678
MM Select T. Rowe Price Small and Mid Cap Blend Fund Class I*
Sold		18,303,632		$	197,400,902			43,927,856		$	468,017,996
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(4,236,064	)		(46,446,229	)		(2,696,389	)		(29,538,623	)
Net increase (decrease)		14,067,568		$	150,954,673			41,231,467		$	438,479,373
MM Select T. Rowe Price U.S. Treasury Long-Term Fund Class I*
Sold		4,133,606		$	43,484,692			11,894,450		$	120,049,632
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(2,917,813	)		(31,561,393	)		(551,667	)		(5,600,328	)
Net increase (decrease)		1,215,793		$	11,923,299			11,342,783		$	114,449,304

* Fund commenced operations on February 9, 2018.

6. Federal Income Tax Information

At September 30, 2019, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
MM Select Equity Asset Fund	$	440,650,515	$	65,854,813	$	(16,451,464	)	$	49,403,349
MM Select T. Rowe Price Bond Asset Fund		684,061,781		24,520,851		(4,933,845	)		19,587,006
MM Select T. Rowe Price Emerging Markets Bond Fund		111,562,615		5,541,066		(7,567,647	)		(2,026,581	)
MM Select T. Rowe Price Large Cap Blend Fund		1,167,455,465		131,664,346		(18,522,276	)		113,142,070
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		197,516,099		2,111,771		(469,113	)		1,642,658
MM Select T. Rowe Price Real Assets Fund		80,941,630		7,269,975		(6,475,371	)		794,604
MM Select T. Rowe Price Small and Mid Cap Blend Fund		610,531,925		67,699,152		(37,379,237	)		30,319,915
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		133,359,880		19,835,197		(143,866	)		19,691,331

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules

143

Notes to Financial Statements (Continued)

as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At September 30, 2019, the following Fund(s) had post-enactment accumulated capital loss carryforwards:

	Short Term Capital Loss Carryforward		Long term Capital Loss Carryforward
MM Select Equity Asset Fund	$	-	$	-
MM Select T. Rowe Price Bond Asset Fund		-		-
MM Select T. Rowe Price Emerging Markets Bond Fund		-		339,829
MM Select T. Rowe Price Large Cap Blend Fund		6,723,487		-
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		36,416		297,912
MM Select T. Rowe Price Real Assets Fund		954,866		461,341
MM Select T. Rowe Price Small and Mid Cap Blend Fund		-		-
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		-		-

Net capital loss carryforwards for the Fund(s) shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.

The following Fund(s) elected to defer to the fiscal year beginning October 1, 2019, post-October capital losses:

	Post-October Loss		Post October Currency Loss
MM Select T. Rowe Price Large Cap Blend Fund	$	19,655,921	$	-

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2019, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
MM Select Equity Asset Fund	$	28,677,960	$	135,679,517	$	-
MM Select T. Rowe Price Bond Asset Fund		18,481,876		-		-
MM Select T. Rowe Price Emerging Markets Bond Fund		3,082,507		-		-
MM Select T. Rowe Price Large Cap Blend Fund		7,702,002		-		-
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		2,673,612		-		-
MM Select T. Rowe Price Real Assets Fund		1,177,029		10,846		-
MM Select T. Rowe Price Small and Mid Cap Blend Fund		8,792,659		126,631		-
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		2,475,554		-		-

144

Notes to Financial Statements (Continued)

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2018, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
Equity Asset Fund	$	51,017,000	$	13,937,023	$	-

Capital accounts within the financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At September 30, 2019, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.

At September 30, 2019, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
MM Select Equity Asset Fund	$	4,780,955	$	19,632,052		$	(40,935	)	$	49,391,003
MM Select T. Rowe Price Bond Asset Fund		19,323,807		-			(13,010	)		19,182,509
MM Select T. Rowe Price Emerging Markets Bond Fund		4,338,612		(339,829	)		(1,938	)		(2,036,632	)
MM Select T. Rowe Price Large Cap Blend Fund		11,210,393		(6,723,487	)		(19,679,624	)		113,140,483
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		2,901,303		(334,328	)		(3,144	)		1,356,122
MM Select T. Rowe Price Real Assets Fund		1,896,421		(1,416,207	)		(1,588	)		802,923
MM Select T. Rowe Price Small and Mid Cap Blend Fund		5,436,596		7,483,838			(11,878	)		30,319,091
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		4,511,562		3,227,983			(2,820	)		19,691,331

During the year ended September 30, 2019, the following amounts were reclassified due to permanent differences between book and tax accounting:

	Paid-in Capital		Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
MM Select Equity Asset Fund	$	91,654	$	24,996		$	(116,650	)
MM Select T. Rowe Price Bond Asset Fund		11		(4,891,278	)		4,891,267
MM Select T. Rowe Price Emerging Markets Bond Fund		2		84,502			(84,504	)
MM Select T. Rowe Price Large Cap Blend Fund		21,176		(1,823,473	)		1,802,297
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund		3		273,342			(273,345	)
MM Select T. Rowe Price Real Assets Fund		1		(34,642	)		34,641
MM Select T. Rowe Price Small and Mid Cap Blend Fund		13		(90,473	)		90,460
MM Select T. Rowe Price U.S. Treasury Long-Term Fund		2		(83,221	)		83,219

The Funds did not have any unrecognized tax benefits at September 30, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended September 30, 2019, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

145

Notes to Financial Statements (Continued)

7. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

8. New Accounting Pronouncements

In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is currently evaluating the implication, if any, of these changes and its impact on the Funds’ financial statements.

In August 2018, FASB issued Accounting Standards Update 2018-13 – Fair Value Measurement (Topic 820) Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy, and the valuation processes for Level 3 fair value measurements. ASU 2018-13 requires that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The amendment is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has evaluated the impact of ASU 2018-13 and has early adopted the disclosure requirements and the impact, if any, is reflected within the Funds’ financial statements.

9. Subsequent Events

In preparation of these financial statements, management has evaluated the events and transactions subsequent to September 30, 2019, through the date when the financial statements were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.

Effective October 18, 2019, MML Advisers has agreed to cap the fees and expenses of the MM Select T. Rowe Price Large Cap Blend Fund (other than extraordinary litigation and legal expenses, Acquired Fund Fees and Expenses, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) through January 31, 2021, to the extent that Total Annual Fund Operating Expenses after Expense Reimbursement would otherwise exceed 0.55% for Class I.

146

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of MassMutual Select Funds and Shareholders of MM Select Equity Asset Fund, MassMutual Select T. Rowe Price Bond Asset Fund, MassMutual Select T. Rowe Price Emerging Markets Bond Fund, MassMutual Select T. Rowe Price Large Cap Blend Fund, MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, MassMutual Select T. Rowe Price Real Assets Fund, MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, and MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund (collectively, the “Funds”):

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of the Funds, including the portfolios of investments, as of September 30, 2019; the related statements of operations, changes in net assets, and the financial highlights for the periods indicated in the table below; and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2019, and the results of their operations, the changes in their net assets, and the financial highlights for the periods listed in the table below, in conformity with accounting principles generally accepted in the United States of America.

Individual Fund Comprising the MassMutual Select Funds	Statement of Operations	Statements of Changes in Net Assets	Financial Highlights
MM Select Equity Asset Fund	For the year ended September 30, 2019	For the years ended September 30, 2019 and 2018	For each of the three years in the period ended September 30, 2019 and the period from September 15, 2016 (commencement of operations) through September 30, 2016
MassMutual Select T. Rowe Price Bond Asset Fund, MassMutual Select T. Rowe Price Emerging Markets Bond Fund, MassMutual Select T. Rowe Price Large Cap Blend Fund, MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, MassMutual Select T. Rowe Price Real Assets Fund, MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, and MassMutual Select T. Rowe Price U.S. Treasury Long-Term Fund	For the year ended September 30, 2019	For the year ended September 30, 2019 and for the period February 9, 2018 (commencement of operations) through September 30, 2018	For the year ended September 30, 2019 and for the period February 9, 2018 (commencement of operations) through September 30, 2018

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material

147

Report of Independent Registered Public Accounting Firm (Continued)

misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

November 26, 2019

We have served as the auditor of one or more MassMutual investment companies since 1995.

148

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981, Attention: MassMutual U.S. Product and Marketing.

Independent Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Allan W. Blair Age: 71	Trustee	Since 2003	Retired; President and Chief Executive Officer (1996-2014), Economic Development Council of Western Massachusetts (non-profit development company); President and Chief Executive Officer (1984-2014), Westover Metropolitan Development Corporation (quasi-public development company).	109	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 61	Trustee	Since 2012	Founder and CEO (since 2018), AEE International LLC (a Puerto Rico LLC); Founder and sole member (2016-2018), PR Academy of Executive Education LLC (a Puerto Rico LLC); Chairman (2011-2016), Academy of Executive Education, LLC (a Massachusetts LLC).	109	Director (2011-2015), Argo Group International Holdings, Ltd. (underwriter of specialty insurance and reinsurance products); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 65	Trustee	Since 2012	Retired.	109	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
R. Alan Hunter, Jr. Age: 72	Chairperson Trustee	Since 2016 Since 2003	Retired.	109	Director (2007-2018), Actuant Corporation (diversified industrial company); Chairperson (since 2016), Trustee (since 2003), MML Series Investment Fund (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairperson (since 2016), Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

149

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
C. Ann Merrifield Age: 68	Trustee	Since 2012	Retired; President and Chief Executive Officer (2012-2014), PathoGenetix (genomics company).	109	Director (2015-2018), Juniper Pharmaceuticals Inc. (specialty pharmaceutical company); Director (since 2014), Flexion Therapeutics (specialty pharmaceutical company); Chairperson (2017-2018) and Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 67	Trustee	Since 2009	Retired; Senior Vice President and Chief Investment Officer (2010-2014), Selective Insurance Group (property and casualty company).	111^	Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Teresa Hassara^^ Age: 57	Trustee	Since 2017	Director (since 2017), MML Advisers; Head of Workplace Solutions (since 2017), MassMutual; President of Institutional Retirement (2009-2016), TIAA-CREF.	109	Trustee (since 2017), MML Series Investment Fund (open-end investment company); Trustee (since 2017), MML Series Investment Fund II (open-end investment company); Trustee (since 2017), MassMutual Premier Funds (open-end investment company).

150

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^^ Age: 74	Trustee	Since 2003	Retired.	111^	Director (since 2018), Jefferies Financial Group Inc. (holding company); Director (2013-2018), Leucadia National Corporation (holding company); Director (2012-2017), Ormat Technologies, Inc. (provider of alternative energy technology); Director (2006-2014), Jefferies Group LLC (investment bank); Trustee (since 2003), Barings Corporate Investors (closed-end investment company); Trustee (since 2003), Barings Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

Principal Officers who are not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Joseph Fallon Age: 44	Vice President Assistant Vice President	Since 2017 2015- 2017	Investment Director (since 2014), MML Advisers; Head of Investment Consulting (since 2018), Head of Investment Consulting & Strategy (2017-2018), Investment Director (2006-2017), MassMutual; Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MML Series Investment Fund II (open-end investment company); Vice President (since 2017), Assistant Vice President (2015-2017), MassMutual Premier Funds (open-end investment company).	109
Andrew M. Goldberg Age: 53	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 2001- 2008	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2004-2018), MassMutual; Secretary (since 2015), Assistant Secretary (2013-2015), MML Advisers; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	109
Renee Hitchcock Age: 48	Chief Financial Officer and Treasurer Assistant Treasurer	Since 2016 2007- 2016	Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), Director (2007-2015), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company).	109

151

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Jill Nareau Robert Age: 47	Vice President and Assistant Secretary Assistant Secretary	Since 2017 2008- 2017	Lead Counsel, Investment Adviser & Mutual Funds (since 2018), Assistant Vice President and Counsel (2009-2018), MassMutual; Assistant Secretary (since 2015), MML Advisers; Vice President and Assistant Secretary (since 2017), Assistant Secretary (2008-2017), MML Series Investment Fund (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MML Series Investment Fund II (open-end investment company); Vice President and Assistant Secretary (since 2017), Assistant Secretary (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company).	109
Douglas Steele Age: 44	Vice President	Since 2016	Vice President and Head of Investment Management (since 2017), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Investment Management (since 2017), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MML Series Investment Fund (open-end investment company); Vice President (since 2016), MML Series Investment Fund II (open-end investment company); Vice President (since 2016), MassMutual Premier Funds (open-end investment company).	109
Philip S. Wellman Age: 55	Vice President and Chief Compliance Officer	Since 2007	Vice President and Chief Compliance Officer (since 2013), MML Advisers; Head of Mutual Funds & RIA Compliance (since 2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2014-2018), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (2008-2014), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	109
Eric H. Wietsma Age: 53	President Vice President	Since 2008 2006- 2008	President (2013-2018, since 2019), Vice President (2018-2019), Director (since 2013), MML Advisers; Head of Workplace Operations (since 2018), Senior Vice President (2010-2018), MassMutual; President (since 2019), Vice President (2006-2019), MML Series Investment Fund (open-end investment company); President (since 2019), Vice President (2006-2019), MML Series Investment Fund II (open-end investment company); President (since 2008), Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	109

* The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, Connecticut 06082-1981.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, unless the Trustees determine that it is desirable and in the best interest of the Trust that an exception to the retirement policy of the Trust be made, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-five years, however, with the exception of Mr. Robert E. Joyal, an interested Trustee of the Trust shall no longer serve as a Trustee if or when they are no longer an employee of MassMutual or an affiliate.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified. The Chairperson shall hold office at the pleasure of the Trustees.

^ Barings Participation Investors and Barings Corporate Investors are deemed to be a part of the Fund Complex, because they are managed by Barings LLC, an affiliate of MML Advisers.

^^ Ms. Hassara is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

^^^ Mr. Joyal is an Interested Person through his position as a director of Jefferies Financial Group Inc., which controls Jefferies Group LLC, a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MML Advisers or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MML Advisers has brokerage placement discretion.

# The President, Treasurer, and Secretary and such other officers as the Trustees may in their discretion from time to time elect are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each officer shall hold office at the pleasure of the Trustees.

152

Federal Tax Information (Unaudited)

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2019, qualified for the dividends received deduction, as follows:

	Dividends Received Deductions
MM Select Equity Asset Fund		38.59%
MM Select T. Rowe Price Large Cap Blend Fund		100.00%
MM Select T. Rowe Price Real Assets Fund		13.22%
MM Select T. Rowe Price Small and Mid Cap Blend Fund		14.21%

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended September 30, 2019:

	Qualified Dividend Income
MM Select Equity Asset Fund	$	8,337,713
MM Select T. Rowe Price Large Cap Blend Fund		17,406,426
MM Select T. Rowe Price Real Assets Fund		1,472,496
MM Select T. Rowe Price Small and Mid Cap Blend Fund		5,495,573

153

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser and subadviser use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

Quarterly Reporting

For periods ending on or after March 31, 2019, the Funds filed their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT will be available on the SEC’s EDGAR database on its website at http://www.sec.gov. For periods ending prior to March 31, 2019, this information was filed on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s EDGAR database on its website at http://www.sec.gov.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in May and June 2019, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MML Advisers, or the subadvisers (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the Equity Asset Fund, MM Select T. Rowe Price Bond Asset Fund, MM Select T. Rowe Price Emerging Markets Bond Fund, MM Select T. Rowe Price Large Cap Blend Fund, MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, MM Select T. Rowe Price Real Assets Fund, MM Select T. Rowe Price Small and Mid Cap Blend Fund, and MM Select T. Rowe Price U.S. Treasury Long-Term Fund. In preparation for the meetings, the Trustees requested, and MML Advisers and the subadvisers provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

The Committee received in advance of the meetings (i) a memorandum from MML Advisers discussing the nature and quality of the services it provides as investment adviser to the Funds; (ii) a profitability analysis prepared by MML Advisers; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to each Fund prepared by an independent third-party vendor (the “Third-Party”). The Third-Party Report provided detailed comparative advisory fee, total expense, and performance information, as applicable, for each Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MML Advisers and each of the subadvisers.

The Committee considered the nature, scope, and quality of services MML Advisers provides to the Funds, including: (i) the financial condition, stability, and business strategy of MML Advisers; (ii) the capabilities of MML Advisers with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MML Advisers that perform, or oversee the performance of, the services provided to the Funds, and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s net advisory fee and total net expense ratio against peer funds; and (ii) as applicable, the Fund’s relative performance (over various time periods against funds in its “category” and a benchmark index). In connection with the Committee’s review, MML Advisers provided commentary and analysis regarding each Fund’s expenses and performance, as applicable, and a recommendation as to the action to be taken by the Committee. The Committee noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MML Advisers’ ability to provide investment oversight and provide for administrative and shareholder services to the Funds; and (ii) a wide range of information about the subadvisers and their personnel with responsibility for providing services to the Funds and the fees payable to each subadviser by MML Advisers. MML Advisers reviewed with the Committee in detail the

154

Other Information (Unaudited) (Continued)

work MML Advisers does in its oversight roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to provide those services. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.

The Committee reviewed the expense and performance information, as applicable, for each Fund. (References to any one-year period below are to the period ended December 31, 2018. In all cases, the comparative expense information is that of a Fund’s “peer group” and the comparative performance information is that of a Fund’s “performance category.”)

The Committee considered that the total net expense ratios for all of the Funds were within the top thirty percent of their peer groups. In addition, all had net advisory fees below the medians of their peers.

The Committee considered that all of the Funds, except the Equity Asset Fund, had launched in February 2018 and therefore did not have sufficiently long performance histories for comparison. The Equity Asset Fund had launched in September 2016, but in September 2018 had changed subadvisers and was repositioned from a special purpose vehicle to access low cost passive exposure to a variety of equity asset classes to a domestic large cap blend fund.

The Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting and during the course of the year, concerning economies of scale and the profitability of MML Advisers’ advisory relationship with the various Funds, including: (i) a description of MML Advisers’ revenues from the Funds (including advisory fees and administrative and shareholder services fees, as applicable) and the expense allocation methodology employed by MML Advisers; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MML Advisers and its affiliates resulting from their relationships with the Funds and any so-called “fallout benefits” to MML Advisers (which were not considered to be substantial in any event), such as any reputational value derived from serving as investment adviser to the Funds, and benefits accruing to subadvisers due to so-called “soft-dollar arrangements.”

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

As to each of the Funds, the Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MML Advisers’ oversight of each Fund and the subadvisory process; (ii) MML Advisers’ levels of profitability from its relationship with the various Funds are not excessive and the advisory fees payable under the advisory agreements and each Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadvisers generally appear well suited to the Funds, given their investment objectives and policies; (iv) either the relative or absolute performance of a Fund, as applicable (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MML Advisers has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contracts for each of the Funds; and (v) the terms of the Contracts are fair and reasonable with respect to each Fund and are in the best interests of each Fund’s shareholders.

At their meeting in September 2019, the Trustees, including the Independent Trustees, reviewed and approved an amendment to the existing subadvisory agreement between MML Advisers and T. Rowe Price Associates, Inc. (“T. Rowe Price”) for the MM Select T. Rowe Price Real Assets Fund (the “Amended Agreement”) in order to allow T. Rowe Price the ability to delegate any of its duties to an affiliated sub-subadviser, subject to certain conditions, and a delegation agreement (sub-subadvisory agreement) between T. Rowe Price and T. Rowe Price Japan, Inc. (“T. Rowe Price Japan”) for the MM Select T. Rowe Price Real Assets Fund (“Delegation Agreement”). The Trustees considered that there would be no change in the services provided in respect of the Fund or in the personnel providing the services as a result of the implementation of the Delegation Agreement. The Trustees noted that, under the current arrangement, one portfolio manager of T. Rowe Price Japan participated in T. Rowe Price’s management of the Fund as an associated person of T. Rowe Price. The Delegation Agreement between T. Rowe Price and T. Rowe Price Japan would replace this arrangement such that the employee of T. Rowe Price Japan would continue to provide similar services in respect of the Fund and T. Rowe Price would pay a fee to T. Rowe Price Japan. The Trustees considered that this new arrangement would not cause any changes in the fees payable by the Fund or MML Advisers.

155

Other Information (Unaudited) (Continued)

In arriving at their decision, the Trustees concluded that they were satisfied with the terms of the Amended Agreement and Delegation Agreement and that each was appropriate and in the best interests of the Fund. In their deliberations, the Trustees were advised by independent counsel.

Prior to the votes being taken to approve the Amended Agreement and Delegation Agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

The Amended Agreement and Delegation Agreement each became effective on September 12, 2019.

156

Other Information (Unaudited) (Continued)

Fund Expenses September 30, 2019

Expense Examples:

The following information is in regards to expenses for the six months ended September 30, 2019:

As a shareholder of the Funds, you incur ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended September 30, 2019.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Equity Asset Fund
Class I	$	1,000		0.14	%	$	1,056.10	$	0.73	$	1,024.60	$	0.72
MM Select T. Rowe Price Bond Asset Fund
Class I		1,000		0.40	%		1,053.70		2.08		1,023.30		2.05
MM Select T. Rowe Price Emerging Markets Bond Fund
Class I		1,000		0.70	%		1,016.40		3.58		1,021.80		3.59
MM Select T. Rowe Price Large Cap Blend Fund
Class I		1,000		0.56	%		1,050.90		2.91		1,022.50		2.87
MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund
Class I		1,000		0.15	%		1,021.90		0.77		1,024.60		0.77

157

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
MM Select T. Rowe Price Real Assets Fund
Class I	$	1,000		0.61	%	$	997.10	$	3.09	$	1,022.30	$	3.13
MM Select T. Rowe Price Small and Mid Cap Blend Fund
Class I		1,000		0.65	%		1,044.70		3.37		1,022.00		3.33
MM Select T. Rowe Price U.S. Treasury Long-Term Fund
Class I		1,000		0.15	%		1,143.80		0.81		1,024.60		0.77

* Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2019, multiplied by the average account value over the period, multiplied by 185 days in the period, divided by 365 days in the year, unless stated otherwise.

158

Underwriter:

MML Distributors, LLC

100 Bright Meadow Blvd.

Enfield, Connecticut 06082-1981

^© 2019 Massachusetts Mutual Life Insurance Company (MassMutual), Springfield, MA 01111-0001. All rights reserved. www.massmutual.com. Investment Adviser: MML Investment Advisers, LLC RS-45701-01

Item 2. Code of Ethics.

As of September 30, 2019, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended September 30, 2019, there were no reportable amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under Item 13(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that Susan B. Sweeney and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Ms. Sweeney and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.

Item 4. Principal Accountant Fees and Services.

References below to Deloitte & Touche LLP include its affiliates where applicable.

(a) AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended 2019 and 2018 were $1,754,822 and $1,343,845, respectively.

(b) AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2019 and 2018. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2019 and 2018.

(c) TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form 1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses for the fiscal years ended 2019 and 2018 were $346,791 and $240,702, respectively. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2019 and 2018.

(d) ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2019 and 2018. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for the fiscal years ended 2019 and 2018.

(e) (1) AUDIT COMMITTEE PRE-APPOVAL POLICY: All services to be performed for the Registrant by Deloitte & Touche LLP must be pre-approved by the audit committee. All services performed during the fiscal years ended 2019 and 2018 were pre-approved by the committee.

(2) Not applicable.

(f) Not applicable.

(g) The aggregate non-audit fees billed by Deloitte & Touche LLP for services rendered to the Registrant, the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant, for the fiscal years ended 2019 and 2018 were $1,328,452 and $7,132,213, respectively.

(h) The audit committee considers whether the provision of non-audit services by Deloitte & Touche LLP to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining Deloitte & Touche LLP’s independence.

* Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Investments.

Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this filing.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable to this filing.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to this filing.

Item 13. Exhibits.

(a)(1) Code of Ethics (Item 2) is attached.

(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.

(a)(3) Not applicable to this filing.

(a)(4) Not applicable to this filing.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) MassMutual Select Funds

By (Signature and Title)	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date 11/26/2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date 11/26/2019
By (Signature and Title)	/s/ Renee Hitchcock
	Renee Hitchcock, Treasurer and Principal Financial Officer
Date 11/26/2019