0001398344-22-024037.txt : 20221205 0001398344-22-024037.hdr.sgml : 20221205 20221205162354 ACCESSION NUMBER: 0001398344-22-024037 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 67 CONFORMED PERIOD OF REPORT: 20220930 FILED AS OF DATE: 20221205 DATE AS OF CHANGE: 20221205 EFFECTIVENESS DATE: 20221205 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MASSMUTUAL SELECT FUNDS CENTRAL INDEX KEY: 0000916053 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-08274 FILM NUMBER: 221445248 BUSINESS ADDRESS: STREET 1: 1295 STATE STREET CITY: SPRINGFIELD STATE: MA ZIP: 01111 BUSINESS PHONE: 413-744-1000 MAIL ADDRESS: STREET 1: 1295 STATE STREET CITY: SPRINGFIELD STATE: MA ZIP: 01111 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL INSTITUTIONAL FUNDS DATE OF NAME CHANGE: 19931213 0000916053 S000003656 MassMutual Growth Opportunities Fund C000010167 Class A MMAAX C000010168 Administrative Class MAGLX C000010169 Class R3 MMANX C000010170 Class R5 MGRSX C000010171 Service Class MAGYX C000108420 Class I MMAZX C000140350 Class R4 MMGFX 0000916053 S000003658 MassMutual Blue Chip Growth Fund C000010176 Class A MBCGX C000010177 Administrative Class MBCLX C000010178 Class R3 MBCNX C000010179 Class R5 MBCSX C000010180 Service Class MBCYX C000140351 Class I MBCZX C000140352 Class R4 MBGFX 0000916053 S000003659 MassMutual Fundamental Value Fund C000010181 Class A MFUAX C000010182 Administrative Class MFULX C000010183 Class R3 MFUNX C000010184 Class R5 MVUSX C000010185 Service Class MFUYX C000093668 Class I MFUZX C000140353 Class R4 MFUFX 0000916053 S000003661 MM S&P 500 Index Fund C000010191 Class R4 MIEAX C000010193 Class R3 MMINX C000010194 Service Class MMIEX C000010195 Administrative Class MIEYX C000010196 Class R5 MIEZX C000108421 Class I MMIZX C000140354 Class A MMFFX 0000916053 S000003665 MassMutual Mid Cap Growth Fund C000010212 Class A MEFAX C000010213 Administrative Class MMELX C000010214 Class R3 MEFNX C000010215 Class R5 MGRFX C000010216 Service Class MEFYX C000093669 Class I MEFZX C000140357 Class R4 MEFFX 0000916053 S000003666 MassMutual Fundamental Growth Fund C000010217 Class A MOTAX C000010218 Administrative Class MOTLX C000010219 Class R3 MOTNX C000010220 Class R5 MOTCX C000010221 Service Class MOTYX C000140358 Class R4 MFGFX C000140359 Class I MOTZX 0000916053 S000003667 MassMutual Overseas Fund C000010222 Class A MOSAX C000010223 Administrative Class MOSLX C000010224 Class R3 MOSNX C000010225 Class R5 MOSSX C000010226 Service Class MOSYX C000093670 Class I MOSZX C000140360 Class R4 MOSFX 0000916053 S000003668 MassMutual Small Cap Growth Equity Fund C000010227 Class A MMGEX C000010228 Administrative Class MSGLX C000010229 Class R3 MSGNX C000010230 Class R5 MSGSX C000010231 Service Class MSCYX C000093671 Class I MSGZX C000140361 Class R4 MSERX 0000916053 S000003671 MassMutual Small Company Value Fund C000010242 Class A MMYAX C000010243 Administrative Class MMYLX C000010244 Class R3 MSVNX C000010245 Class R5 MSVSX C000010246 Service Class MMVYX C000093672 Class I MSVZX C000140368 Class R4 MMVFX 0000916053 S000003673 MassMutual Strategic Bond Fund C000010252 Class A MSBAX C000010253 Administrative Class MSBLX C000010254 Class R3 MSBNX C000010255 Class R5 MBSSX C000010256 Service Class MBSYX C000140369 Class I MSBZX C000140370 Class R4 MSBRX 0000916053 S000003675 MassMutual RetireSMART by JPMorgan 2020 Fund C000010262 Class A MRTAX C000010264 Class R3 MRTNX C000010265 Service Class MRTSX C000010266 Administrative Class MRTYX C000140371 Class I MRTDX C000140372 Class R5 MRTBX C000140373 Class R4 MRTHX 0000916053 S000003676 MassMutual RetireSMART by JPMorgan 2030 Fund C000010267 Class A MRYAX C000010269 Class R3 MRYNX C000010270 Service Class MRYSX C000010271 Administrative Class MRYYX C000140374 Class I MRYUX C000140375 Class R5 MRYTX C000140376 Class R4 MRYZX 0000916053 S000003677 MassMutual RetireSMART by JPMorgan 2040 Fund C000010272 Class A MRFAX C000010274 Class R3 MFRNX C000010275 Service Class MFRSX C000010276 Administrative Class MRFYX C000140377 Class I MRFUX C000140378 Class R5 MRFTX C000140379 Class R4 MRFZX 0000916053 S000003678 MassMutual RetireSMART by JPMorgan In Retirement Fund C000010277 Class A MRDAX C000010279 Class R3 MDRNX C000010280 Service Class MDRSX C000010281 Administrative Class MDRYX C000140380 Class I MDRVX C000140381 Class R5 MDRTX C000140382 Class R4 MDRZX 0000916053 S000003679 MassMutual Diversified Value Fund C000010282 Class A MDDAX C000010283 Administrative Class MDDLX C000010284 Class R3 MDVNX C000010285 Class R5 MDVSX C000010286 Service Class MDVYX C000140383 Class I MDDIX C000140384 Class R4 MDDRX 0000916053 S000003681 MassMutual Equity Opportunities Fund C000010292 Class A MFVAX C000010293 Administrative Class MMFVX C000010294 Class R3 MFVNX C000010295 Class R5 MFVSX C000010296 Service Class MMFYX C000093673 Class I MFVZX C000140385 Class R4 MFVFX 0000916053 S000012476 MassMutual Small Cap Value Equity Fund C000033919 Service Class MMQYX C000033920 Class A MMQAX C000033921 Administrative Class MMQLX C000033923 Class R5 MMQSX C000140386 Class I MMQIX C000140387 Class R4 MMQFX C000140388 Class R3 MMQTX 0000916053 S000013194 MassMutual Mid Cap Value Fund C000035486 Class A MLUAX C000035487 Administrative Class MLULX C000035488 Class R3 MLUNX C000035489 Class R5 MLUSX C000035490 Service Class MLUYX C000108422 Class I MLUZX C000140389 Class R4 MLUFX 0000916053 S000020009 MassMutual RetireSMART by JPMorgan 2050 Fund C000056105 Class R3 MMRNX C000056106 Service Class MMTSX C000056107 Administrative Class MMRYX C000056109 Class A MMARX C000140393 Class I MMRUX C000140394 Class R5 MMRTX C000140395 Class R4 MMRZX 0000916053 S000028351 MassMutual RetireSMART by JPMorgan 2025 Fund C000086630 Class A MMSDX C000086632 Service Class MMISX C000086633 Administrative Class MMIYX C000140403 Class I MMNUX C000140404 Class R5 MMNTX C000140405 ClassR4 MMNZX C000140406 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Rowe Price Retirement Balanced Fund C000198028 Class I MMBVX C000198029 Class M5 MMBWX C000198030 Class M4 MMBYX C000198031 Class M3 MMBZX 0000916053 S000061102 MassMutual Select T. Rowe Price Retirement 2045 Fund C000198032 Class I MMFTX C000198033 Class M5 MMFUX C000198034 Class M4 MMFWX C000198035 Class M3 MMFZX 0000916053 S000061103 MassMutual Select T. Rowe Price Retirement 2050 Fund C000198036 Class I MMDDX C000198037 Class M5 MMDFX C000198038 Class M4 MMDGX C000198039 Class M3 MMDHX 0000916053 S000061104 MassMutual Select T. Rowe Price Retirement 2055 Fund C000198040 Class I MMDJX C000198041 Class M5 MMDKX C000198042 Class M4 MMDMX C000198043 Class M3 MMDOX 0000916053 S000061105 MassMutual Select T. Rowe Price Retirement 2060 Fund C000198044 Class I MMSKX C000198045 Class M5 MMSOX C000198046 Class M4 MMSGX C000198047 Class M3 MMSVX 0000916053 S000061106 MassMutual Select T. Rowe Price Bond Asset Fund C000198048 Class I MMBEX 0000916053 S000061107 MassMutual Select T. 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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)
   
1295 State Street, Springfield, MA 01111
(Address of principal executive offices) (Zip code)
 
Paul LaPiana
1295 State Street, Springfield, MA 01111
(Name and address of agent for service)
     
Registrant's telephone number, including area code: (413) 744-1000  
     
Date of fiscal year end: 9/30/2022  
     
Date of reporting period: 9/30/2022  
           

 

 

 

Item 1. Reports to Stockholders.

 

(a)The Reports to Stockholders are attached herewith.

 

 

 

 

 

 

 

 

 

Table of Contents

  

President’s Letter to Shareholders (Unaudited)

1

Economic and Market Overview (Unaudited)

3

Portfolio Manager Report (Unaudited)

6

Portfolio of Investments

  

MassMutual Total Return Bond Fund

68

MassMutual Strategic Bond Fund

86

MassMutual Diversified Value Fund

116

MassMutual Fundamental Value Fund

121

MM S&P 500® Index Fund

125

MassMutual Equity Opportunities Fund

133

MassMutual Fundamental Growth Fund

136

MassMutual Blue Chip Growth Fund

139

MassMutual Growth Opportunities Fund

142

MassMutual Mid Cap Value Fund

144

MassMutual Small Cap Value Equity Fund

149

MassMutual Small Company Value Fund

152

MassMutual Mid Cap Growth Fund

157

MassMutual Small Cap Growth Equity Fund

162

MassMutual Overseas Fund

167

MassMutual Select T. Rowe Price International Equity Fund

170

Statements of Assets and Liabilities

178

Statements of Operations

186

Statements of Changes in Net Assets

194

Financial Highlights

206

Notes to Financial Statements

237

Report of Independent Registered Public Accounting Firm

281

Trustees and Principal Officers (Unaudited)

283

Federal Tax Information (Unaudited)

288

Other Information (Unaudited)

289

Proxy Voting

289

Quarterly Reporting

289

Trustees’ Approval of Investment Advisory Contracts

289

Submission of Matters to a Vote of Security Holders

292

Fund Expenses

293

 

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the applicable MassMutual 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.

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

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

 

To Our Shareholders

 

Paul LaPiana

“At MassMutual, our goal is to help you build the future you want for yourself and your family. We want to help you with your retirement plans today, so you can feel more comfortable about tomorrow.”

 

September 30, 2022

 

Continued market volatility challenges retirement investors

 

I am pleased to present you with the MassMutual Funds Annual Report. During the fiscal year ended September 30, 2022, U.S. stocks were down over 15%, with investors concerned that stimulus-fueled recovery from the COVID-19 pandemic was over and that domestic monetary policy had turned toward combating heightened inflation. Stocks in foreign developed markets and emerging markets also experienced significant losses in the fiscal year, hurt by elevated energy prices, a strengthening U.S. dollar, and concerns that consumer spending and corporate earnings growth would slow. U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by aggressive interest rate hikes by the U.S. Federal Reserve Board that were aimed at reducing demand-driven inflationary pressures.

 

Suggestions for retirement investors under any market conditions

 

●

You are likely in it for the long term. Retirement planning involves what financial professionals refer to as “long-term investing,” since most people save and invest for retirement throughout their working years. Even in retirement, many individuals will systematically withdraw their retirement savings over a number of years, keeping a portion of their funds invested. Although the financial markets will go up and down, individuals who take a long-term approach to investing don’t focus on current headlines – because they realize that they have time to ride out the downturns.

 

●

Keep contributing. While you have no control over the investment markets, you can control how often and how much you contribute to your retirement account. Saving as much as possible and increasing your contributions regularly is one way retirement investors can help boost their retirement savings, regardless of the performance of the stock and bond markets.

 

●

Invest continually.1 Financial professionals often advise their clients to stay in the market, regardless of short-term results. Here’s why: Those who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions.

 

●

Monitor your asset allocation and diversify. Stocks, bonds, and short-term/money market investments are asset classes that tend to behave differently, depending upon the economic and market environment. These broad asset classes contain an even greater array of asset sub-categories (such as small-cap stocks, international stocks, and high-yield bonds). Most financial professionals agree that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing asset types by selecting a number of investments that represent a mix of asset classes and sub-categories.

 

 

1 Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels.

 

(Continued)

 

1

 

 

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

 

Is this a good time to track your progress?

 

If you work with a financial professional, you may wish to consider checking in with him or her to help you determine if:

 

●

you are saving enough for retirement – and, if in retirement, you are withdrawing an appropriate amount each year, based on your personal circumstances;

 

●

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

 

●

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

 

Get to where you want to be

 

At MassMutual, our goal is to help you build the future you want for yourself and your family. We want to help you with your retirement plans today, so you can feel more comfortable about tomorrow. That’s why we continue to encourage you to maintain perspective when it comes to retirement investing, regardless of any headline-making events. MassMutual’s view is that changing market conditions have the potential to reward patient investors. Thank you for your continued confidence and trust in MassMutual.

 

Sincerely,

 

 

Paul LaPiana
President
MassMutual Funds
MML Investment Advisers, LLC

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com.

 

MML Distributors, LLC (MMLD) serves as the exclusive wholesale marketing agent for all MassMutual Funds, as well as the distributor for all MassMutual Funds, except the MassMutual Global Floating Rate Fund, MassMutual Global Credit Income Opportunities Fund, MassMutual Emerging Markets Debt Blended Total Return Fund, MassMutual Global Emerging Markets Equity Fund, MassMutual High Yield Fund, and MassMutual Short-Duration Bond Fund. MMLD Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. Investment advisory services are provided to all MassMutual Funds by MML Investment Advisers, LLC (MML Advisers). MMLD and MML Advisers are subsidiaries of MassMutual.

 

The information provided is the opinion of MML Advisers 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.

 

MM202310-303203

 

2

 

 

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

 

September 30, 2022

 

Continued market volatility challenges retirement investors

During the fiscal year ended September 30, 2022, U.S. stocks were down over 15%, with investors concerned that stimulus-fueled recovery from the COVID-19 pandemic was over and that domestic monetary policy had turned toward combating heightened inflation. Stocks in foreign developed markets and emerging markets also experienced significant losses in the fiscal year, hurt by elevated energy prices, a strengthening U.S. dollar, and concerns that consumer spending and corporate earnings growth would slow. U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by aggressive interest rate hikes by the U.S. Federal Reserve Board (the “Fed”) that were aimed at reducing demand-driven inflationary pressures.

 

Market Highlights

●

For the reporting period from October 1, 2021 through September 30, 2022, U.S. stocks were down over 15%, in a market environment where the Fed aggressively raised interest rates in an effort to combat heightened inflation.

 

●

In the fourth quarter of 2021, expectations for strong economic and earnings growth in 2022, bolstered by the possibility of a $2 trillion economic stimulus and social spending plan, allowed investors to look past sharp increases in COVID-19 Omicron variant cases and heightened inflationary pressures.

 

●

In the first quarter of 2022, investors in both stocks and bonds were challenged by a sharp rise in energy prices after Russia’s invasion of Ukraine, a stalled domestic economic stimulus plan, and the Fed raising interest rates for the first time since 2018.

 

●

The second quarter of 2022 was another difficult quarter, as Fed interest rate hikes, investor concerns over high inflation, and concern about the potential of an impending global recession dominated the narrative.

 

●

The third quarter of 2022 was an extension of the difficult second quarter, with continued inflationary pressures, weakening economic data, and aggressive Fed interest rate hikes.

 

●

Foreign stocks in developed markets and emerging markets also experienced losses in the fiscal year, against the backdrop of Russia’s invasion of Ukraine (and the resulting economic sanctions that kept energy prices elevated), the strengthening U.S. dollar, and threatened consumer spending and corporate earnings growth.

 

●

U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by an increase in short-term interest rates, heighted inflationary pressures, and the reversal of monetary and fiscal policy support.

 

Market Environment

For the fiscal year beginning on October 1, 2021, global stock investors experienced significant losses. U.S. stocks fell sharply in the period in response, with the S&P 500 Index® (“S&P 500”)1 entering bear market territory after declining more than 20% from its previous highs. Investors sought safety from high inflation, rising interest rates, and the increasing possibility of a recession. Consumer sentiment fell sharply, down 17.2% in the period2, as high inflation – driven by rising energy, food, and housing costs – overwhelmed low unemployment and strong wage growth. As of August 2022, more Americans are borrowing to make ends meet in these inflationary times, resulting in consumer loan levels at record highs, having increased by 12.4% year-over-year3.

 

1 The S&P 500 Index measures the performance of 500 widely held stocks in the U.S. equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity, and industry group representation. Included are the stocks of industrial, financial, utility, and transportation companies. Since mid-1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

2 June 24, 2022, University of Michigan: Consumer Sentiment (UMCSENT), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/UMCSENT

 

3 Board of Governors of the Federal Reserve System (US), Consumer Loans, All Commercial Banks [CONSUMER], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/CONSUMER, October 11, 2022.

 

3

 

 

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

 

As a result, the broad market S&P 500 fell 15.47% for the period. The technology-heavy NASDAQ Composite Index4 performed even worse, dropping 26.25%. The more economically sensitive Dow Jones Industrial AverageSM5 was down 13.40%. During the reporting period, small-cap stocks underperformed their larger-cap peers, while value stocks outperformed their growth brethren. The communication services, consumer discretionary, and information technology sectors were all down by 20% or more. The energy sector was the strongest performer for the fiscal year, up 45.70%, aided by an 18% increase in the price of West Texas Intermediate (WTI) crude oil. The utilities sector also ended the period positively, gaining 5.58% for the period.

 

Developed international markets, as measured by the MSCI EAFE® Index6, trailed their domestic peers, ending the fiscal year down 25.13%. Emerging-market stocks, as measured by the MSCI Emerging Markets Index7, also fell sharply, ending down 28.11% for the period. Investors sold off developed international and emerging-market stocks on concerns that higher interest rates and commodity prices would impair consumer spending and corporate earnings growth.

 

Bond yields rose sharply during the fiscal year, with the 10-year U.S. Treasury bond yield rising from a low of 1.52% on October 1, 2021 to close the period at 3.83%. Rising yields generally produce falling bond prices; consequently, bond index returns suffered. The Bloomberg U.S. Aggregate Bond Index8 ended the period down 14.60%. Investment-grade corporate bonds fared even worse. The Bloomberg U.S. Corporate Bond Index9, which tracks investment-grade corporate bonds, ended the period with an 18.53% loss. The Bloomberg U.S. Corporate High-Yield Bond Index10 also ended in negative territory, declining 14.14% for the period.

 

4 The NASDAQ Composite Index measures the performance of all domestic and international based common type stocks listed on the NASDAQ Stock Market. It includes common stocks, ordinary shares, ADRs, shares of beneficial interest or limited partnership interests and tracking stocks. The index is market capitalization-weighted. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

5 The Dow Jones Industrial Average Index measures the performance of stocks of 30 U.S. blue-chip companies covering all industries with the exception of transportation and utilities. It is price-weighted. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

6 The MSCI EAFE Index 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. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

7 The MSCI Emerging Markets Index measures the performance of the large- and mid-cap segments of emerging market equity securities. It is free float-adjusted market-capitalization weighted. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

8 The Bloomberg U.S. Aggregate Bond Index measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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). It rolls up into other Bloomberg flagship indexes, such as the multi-currency Global Aggregate Index and the U.S. Universal Index, which includes high yield and emerging markets debt. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

9 The Bloomberg U.S. Corporate Bond Index measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

10 The Bloomberg U.S. Corporate High-Yield Bond Index measures the performance of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, putable, and callable bonds, SEC Rule 144A securities, original issue zeros, pay-in-kind bonds, fixed-rate and fixed-to-floating capital securities. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

4

 

 

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

 

Review and maintain your strategy

MassMutual is committed to helping people secure their long-term future and protect the ones they love. While the current market volatility, including the reality of market sell-offs, can test an investor’s mettle, we’d like to remind you that, as a retirement investor, it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. As described in this report, financial markets can reverse suddenly with little or no notice. That’s why we continue to believe that retirement investors should create and maintain a plan that focuses on their goals, how long they have to invest, and how comfortable they are with market volatility. Our multi-managed and sub-advised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to market volatility, how long you have to save and invest, and your specific financial goals. Thank you for your confidence in MassMutual.

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com.

 

MML Distributors, LLC (MMLD) serves as the exclusive wholesale marketing agent for all MassMutual Funds, as well as the distributor for all MassMutual Funds, except the MassMutual Global Floating Rate Fund, MassMutual Global Credit Income Opportunities Fund, MassMutual Emerging Markets Debt Blended Total Return Fund, MassMutual Global Emerging Markets Equity Fund, MassMutual High Yield Fund, and MassMutual Short-Duration Bond Fund. MMLD Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. Investment advisory services are provided to all MassMutual Funds by MML Investment Advisers, LLC (MML Advisers). MMLD and MML Advisers are subsidiaries of MassMutual.

 

The information provided is the opinion of MML Advisers 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.

 

5

 

 

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

 

What is the investment approach of MassMutual 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, 2022?

The Fund’s Class I shares returned -15.97%, underperforming the -14.60% return of the Bloomberg U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, although the Fund began the year positioned defensively, Fund management extended the portfolio’s duration position in a disciplined fashion alongside the rise in Treasury yields. Ultimately, the Fund ended the period with a duration that was longer than the benchmark’s. This modestly weighed on returns, while further headwinds resulted from the curve-steepening bias that was maintained throughout the fiscal year. (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 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.)

 

Elsewhere, the Fund’s residential MBS exposure was a drag on performance, given the struggles faced by both agency- and non-agency-backed collateral during the year, in addition to volatility, increased costs of financing – and, in the agency MBS space, reduced Federal Reserve purchasing activity. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes). The Fund’s small allocation to CMBS and ABS modestly reduced returns, as yield spreads in both sectors widened in sympathy with the broader market.

 

Turning to corporate securities, returns were decreased by the Fund’s emphasis on defensive sectors, including consumer non-cyclicals and communications, as they were among the poorer performers during the fiscal year. Nevertheless, the Fund’s relative underweight to overall corporate credit throughout the first half of the period benefited performance and helped to blunt the impact of the downdraft faced by corporates in early 2022. As market dislocations and price declines became more pronounced in the latter part of the fiscal year, the Fund expanded its risk budget, meaningfully increasing its corporate credit allocation in the process and ending the fiscal year overweight relative to the benchmark. These additions, made during times of yield premiums rising and asset prices falling, ultimately weighed on performance.

 

The Fund’s use of derivatives to manage duration and yield curve positioning had a minimal impact on 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

MetWest notes that any attempt to understand the full economic fallout of a tightening cycle this aggressive against the competing crosswinds of a consumer still fairly flush with cash – and anxious to spend that money on services and experiences post-pandemic – is a nearly impossible task. In Fund management’s view, possibly clouding the outlook further will be the often overlooked, but impactful repercussions of quantitative tightening, which could take many more months to become apparent. Meanwhile, unlike in recessions past, as of the end of the fiscal year, there was no major economy well positioned to pull the

 

6

 

 

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

 

rest of the world along on its coattails of strong growth. In MetWest’s view, synchronized global tightening, combined with the lagged effects of policy, could mean that volatility will come in a generally declining market, with credit of all types weakening as the cumulative impact of these changes takes hold. As long as economic and monetary policy continues to shift, MetWest believes that the current period of volatility could persist for some time. On the positive side, however, Fund management notes that these market conditions create opportunities that can be exploited by disciplined active managers, potentially setting the stage for strong performance as the volatility ultimately subsides.

 

7

 

 

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

 

MassMutual
Total Return Bond Fund
Portfolio Characteristics
(% of Net Assets) on 9/30/22

U.S. Government Agency Obligations and Instrumentalities*

37.9%

Corporate Debt

29.5%

U.S. Treasury Obligations

28.7%

Non-U.S. Government Agency Obligations

17.2%

Mutual Funds

2.3%

Bank Loans

2.2%

Sovereign Debt Obligations

1.1%

Municipal Obligations

0.2%

Common Stock

0.1%

Rights

0.0%

Total Long-Term Investments

119.2%

Short-Term Investments and Other Assets and Liabilities

(19.2)%

Net Assets

100.0%
   

 

*

May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

 

8

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

07/06/2010

-15.97%

-0.09%

0.98%

  

Class R5

07/06/2010

-15.99%

-0.17%

0.87%

  

Service Class

07/06/2010

-16.14%

-0.30%

0.76%

  

Administrative Class

07/06/2010

-16.20%

-0.37%

0.67%

  

Class R4

07/06/2010

-16.35%

-0.52%

0.53%

  

Class A

04/01/2014

-16.40%

-0.63%

  

0.51%

Class A (sales load deducted)*

04/01/2014

-19.96%

-1.49%

  

0.00%

Class R3

07/06/2010

-16.54%

-0.78%

0.28%

  

Bloomberg U.S. Aggregate Bond Index

 

-14.60%

-0.27%

0.89%

1.05%

 

* 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.

 

9

 

 

MassMutual Strategic Bond Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MassMutual 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, LLC (Western Asset) and its affiliate, Western Asset Management Company Limited (Western Asset Limited), which were responsible for approximately 59% of the Fund’s portfolio (Western Asset Limited manages the non-U.S. dollar denominated investments of the Fund); and Brandywine Global Investment Management, LLC (Brandywine Global), which was responsible for approximately 41% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -17.14%, underperforming the -14.60% return of the Bloomberg U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

With respect to the Western Asset component of the Fund, in aggregate, their top-down macro strategies detracted from performance. For most of the reporting period, the Western Asset Fund component had more interest rate exposure (duration) than the benchmark, which significantly detracted from performance as interest rates rose considerably from the beginning to 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. Over the period, the 10-year U.S. Treasury yield rose from 1.52% to 3.83%. During the fiscal year, the 5s-30s section of the curve, which compares 5-year rates to 30-year rates, ended the period inverted at -0.27%, versus 1.10% at the beginning of the period. Thus, the portfolio’s yield curve positioning, which was focused on an overweight to the back end of the curve, contributed to returns. (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.)

 

For the fiscal year ended September 30, 2022, the Western Asset Fund component’s exposures to non-U.S. developed markets negatively impacted performance, mainly due to currency positioning, as the U.S. dollar (USD) appreciated versus long currency positions. The portfolio’s emerging-markets exposures, which included both local currency and USD-denominated positions, also meaningfully detracted from results over the period, mainly due to the sell-off in Russian assets as a result of sanctions and the Ukraine invasion, but also as USD-denominated emerging-market bond spreads widened, though some local currency positions provided a partial offset. In terms of contributors, an underweight to agency MBS contributed, as spreads gradually widened during the period. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.) Finally, exposures to structured products – including non-agency residential mortgage-backed securities (RMBS), CMBS and ABS – positively contributed to performance due to selection, as spreads generally widened during the 12-month period. Finally, Western Asset used derivative instruments to manage its overall duration and yield curve exposure, overall interest rate sensitivity, and exposures to certain international bond markets – as well as to manage against anticipated changes in interest rates. 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 are used for hedging, speculation, or both. Overall, the Fund component portfolio’s use of derivatives detracted from performance during the period.

 

For the Brandywine Global component of the Fund, an overweight allocation to long-dated U.S. Treasuries was the key detractor from performance on both a relative and absolute basis, as U.S. interest rates increased during the Fund’s fiscal year. Fund management materially increased Brandywine Global’s allocation to these securities in the spring of 2022, after yields initially

 

10

 

 

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

 

surged higher and macroeconomic concerns appeared. In Brandywine Global’s view, it is not atypical for the Fund component to underperform in the latter innings of a blow-off top in yields, like the current market environment. Brandywine Global believes that the Fund component’s overweight allocation to U.S. Treasuries remains a high-conviction trade. On a positive note, Brandywine Global’s underweight allocation to both investment-grade corporate credits and mortgage-backed securities proved beneficial during the fiscal year, as yields were rising and spreads were (marginally) widening over the period. Credit spreads represent the difference in yields between nearly identical bonds with comparable maturities but different quality ratings. From September 2021 through August 2022, the Fund component utilized derivatives to add duration to its portfolio. 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. Overall, the Fund component portfolio’s use of derivatives detracted from absolute performance during the period.

 

Subadviser outlook

In Western Asset’s view, the key to an improved tone and more stability in fixed income markets is a moderation in inflation. Western Asset’s base case is that supply chains will slowly begin to normalize. Fund management believes that this trend, combined with the Federal Reserve and other major central banks around the world tightening monetary policy (along with negative real incomes slowing consumption), has the potential to cause inflation to moderate. Western Asset anticipates that inflationary pressures could peak in the third quarter of 2022 and potentially decline into 2023. While global central banks are expected to raise interest rates further in the short term, Fund management believes that more aggressive action is already anticipated by the markets.

 

Brandywine Global expects market volatility to remain elevated against a backdrop of central bank tightening, sticky inflation, the war in Ukraine, and weakening economic data. At the end of the fiscal year, in Brandywine Global’s view, the U.S. economy was holding up relatively well, despite the recession in housing. Fund management believes that there is still the possibility of a “goldilocks” outcome if inflation retreats enough, with limited weakness in the labor market. But Brandywine Global believes that the odds of recession are growing, given the Fed’s haste to push interest rates higher.

 

11

 

 

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

 

MassMutual
Strategic Bond Fund
Portfolio Characteristics
(% of Net Assets) on 9/30/22

U.S. Treasury Obligations

34.0%

Corporate Debt

27.1%

U.S. Government Agency Obligations and Instrumentalities*

20.5%

Non-U.S. Government Agency Obligations

9.3%

Sovereign Debt Obligations

4.1%

Bank Loans

3.5%

Mutual Funds

0.6%

Municipal Obligations

0.0%

Purchased Options

0.0%

Total Long-Term Investments

99.1%

Short-Term Investments and Other Assets and Liabilities

0.9%

Net Assets

100.0%
   

 

*

May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

 

12

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-17.05%

-0.31%

  

1.58%

Class R5

12/31/2004

-17.14%

-0.41%

1.46%

  

Service Class

12/31/2004

-17.25%

-0.50%

1.36%

  

Administrative Class

12/31/2004

-17.29%

-0.61%

1.26%

  

Class R4

04/01/2014

-17.50%

-0.77%

  

1.12%

Class A

12/31/2004

-17.56%

-0.87%

0.99%

  

Class A (sales load deducted)*

12/31/2004

-21.06%

-1.73%

0.56%

  

Class R3

12/31/2004

-17.61%

-1.00%

0.83%

  

Bloomberg U.S. Aggregate Bond Index

 

-14.60%

-0.27%

0.89%

1.05%

 

* 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.

 

13

 

 

MassMutual Diversified Value Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MassMutual 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, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -8.48%, outperforming the -11.36% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

With respect to the Brandywine Global component of the Fund, the largest sector-related contribution to outperformance came from the health care sector. The Fund component benefited from an underweight allocation to the medical devices group, which underperformed, and strong returns from pharmaceuticals distributor McKesson and the biotech firm AbbVie. Within the industrial sector, allocations to defense contractors Lockheed Martin, Northrop Grumman, and General Dynamics contributed to the Fund’s performance during the period, as they performed well after the Russian invasion of Ukraine. Within the communication services sector, not owning entertainment company Disney, due to its unattractive valuation, and telecom giants AT&T and Verizon, due to poor price momentum, was a positive for the Fund component, as all three stocks lagged the market. The largest detractors from relative performance were Brandywine Global’s positions in large U.S. banks, including JP Morgan, Bank of America, and US Bank. In Brandywine Global’s experience, while these banks generally benefit from rising interest rates, the impact of a slowing economy on loan growth and potentially increased loan defaults more than offset any advantage that higher rates generally offer.

 

For the T. Rowe Price segment of the Fund, both sector allocation and security selection drove the Fund component’s outperformance. The financial sector was the top contributor for the period. There, Fund component holding Chubb continued to benefit from the rising property and casualty (P&C) pricing cycle. Over the one-year period, Chubb delivered earnings that exceeded consensus estimates, driven by a higher underwriting premium amid the longest P&C upcycle in history. Another Fund component holding, Qualcomm, and an underweight allocation to the information technology sector also contributed to relative performance. Shares of Qualcomm outperformed the information technology benchmark over the one-year period. Late in 2021, the company’s shares advanced, as company management raised guidance. Within the utilities sector, Fund component holding Sempra Energy, in tandem with an overweight allocation to the sector, further aided relative results. On the contrary, adverse security selection in the energy sector detracted from relative returns. Shares of TotalEnergies (a French multinational integrated energy and petroleum company) hampered relative performance over the period, as shares lagged the broader energy sector. During the first quarter of 2022, as Russia invaded Ukraine, shares of TotalEnergies were pressured as the company’s Russian assets and investments were quickly written down by the market. In addition, detrimental stock choices in the industrial and business services sector weighed on relative results for the fiscal year. The T. Rowe Price component of the Fund held warrants during the period, which had a negligible impact on 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.

 

14

 

 

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

 

Subadviser outlook

As of the end of the Fund’s fiscal year, Brandywine Global observed that the investing world remained more volatile than usual, as measured by the VIX benchmark of stock variability. Although this index was down from its highs in 2008 and 2020, as of the end of the fiscal year, it remained above its typical level. Value investing outperformed over the last two years after an extended period of growth dominance. However, growth valuations as of the end of the fiscal year remained elevated compared to value stock valuations – as high as during the 2000 technology bubble – suggesting, in Brandywine Global’s view, the potential for more value performance gains. Regardless of the market environment, Brandywine Global continues to implement its process-oriented investment approach.

 

T. Rowe Price notes that as the market continues to focus on inflation, they recognize that the range of potential outcomes moving forward is abnormally wide. Their view is that, at current levels as of the end of the fiscal year, markets have generally priced in a considerable amount of bad information, and the domestic economy is potentially entering what could be the most widely anticipated economic slowdown and potential recession, on record. Despite this, Fund management notes that the magnitude of the slowdown is difficult to predict, as the lag in domestic monetary policy implementation and the impact on the U.S. economy leave investors and companies vulnerable to a misstep from the Federal Reserve. Amid this backdrop, Fund management plans to continue to build a portfolio that is balanced for a variety of market environments. Their view is that the market could be choppy moving forward, and they will continue to look for investment opportunities where the risk/reward ratio is particularly attractive. Ultimately, their focus will remain on names where, in Fund management’s view, there is considerable downside already priced in, there are secular winners that are reasonably priced, and there are companies that can help provide defense against an inflationary environment.

 

15

 

 

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

 

MassMutual
Diversified Value Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Exxon Mobil Corp.

2.7%

Elevance Health, Inc.

2.7%

AbbVie, Inc.

2.6%

JP Morgan Chase & Co.

2.2%

QUALCOMM, Inc.

2.2%

United Parcel Service, Inc. Class B

2.0%

Bank of America Corp.

2.0%

Pfizer, Inc.

1.9%

Wells Fargo & Co.

1.8%

Sempra Energy

1.8%
 

21.9%
   

 

MassMutual
Diversified Value Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

25.7%

Financial

23.4%

Industrial

9.9%

Energy

9.4%

Technology

7.6%

Utilities

6.2%

Consumer, Cyclical

5.9%

Communications

5.5%

Basic Materials

4.2%

Mutual Funds

1.3%

Total Long-Term Investments

99.1%

Short-Term Investments and Other Assets and Liabilities

0.9%

Net Assets

100.0%
   

 

16

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-8.47%

6.34%

  

7.22%

Class R5

10/15/2004

-8.48%

6.23%

9.58%

  

Service Class

10/15/2004

-8.57%

6.13%

9.48%

  

Administrative Class

10/15/2004

-8.76%

6.01%

9.36%

  

Class R4

04/01/2014

-8.83%

5.87%

  

6.75%

Class A

10/15/2004

-8.93%

5.75%

9.09%

  

Class A (sales load deducted)*

10/15/2004

-13.94%

4.56%

8.47%

  

Class R3

10/15/2004

-9.09%

5.60%

8.90%

  

Russell 1000 Value Index

 

-11.36%

5.29%

9.17%

6.70%

 

* 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.

 

17

 

 

MassMutual Fundamental Value Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MassMutual 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. Although the Fund may invest in companies of any size, the Fund will tend to focus on companies with large market capitalizations (which the Fund’s subadvisers believe are generally above $1 billion). The Fund’s subadvisers are Boston Partners Global Investors, Inc. (Boston Partners), which managed approximately 50% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 50% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -7.73%, outperforming the -11.36% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, within the Boston Partners component of the Fund, the primary driver of performance was stock selection within the health care, consumer discretionary, and industrial sectors. In health care, health insurers Cigna and Centene were two Fund component holdings that outperformed due to strong earnings and guidance, and better-than-expected rate increases for government-sponsored insurance. In consumer discretionary, Fund component holding AutoZone continued to gain share with commercial customers, resulting in better-than-expected sales and earnings. Within the industrial sector, aerospace and defense companies General Dynamics and Howmet were two Fund component holdings that outperformed after Russia’s invasion of Ukraine. Fund component holdings within the materials and consumer staples sectors detracted from returns. In the materials sector, chemical companies Axalta and Dupont both struggled. Construction materials company CRH lagged, despite strong construction trends, as rising interest rates tempered investor sentiment. In consumer staples, US Foods detracted from relative performance, as food cost inflation and labor costs eroded the company’s margins. From a sector perspective, Boston Partners’ overweight allocation to information technology and its underweight allocation to utilities and consumer staples detracted from its relative performance.

 

Within the Barrow Hanley segment of the Fund, component holdings in the health care sector added to Barrow Hanley’s relative performance. Also contributing to their results was strong stock selection within, and underweight allocations to, the technology and financial sectors. Conversely, stock selection within the consumer staples, materials, and energy sectors detracted from the Fund component’s performance.

 

Subadviser outlook

Boston Partners plan to continue to maintain a focus on finding investments that not only have attractive valuation characteristics and solid business fundamentals, but also improving business momentum and catalysts to help drive stock prices higher. Boston Partners’ view is that the global economy has the potential to experience a steady cyclical recovery over the next few years. In their opinion, the starting point was exceptional at fiscal year-end 2022, since valuation spreads were at such extreme levels. They remain cautiously optimistic about the coming 12-month period and beyond.

 

Barrow Hanley notes that, while uncertainty surrounding the markets remains elevated, Barrow Hanley believes that the primary conditions needed for a sustained, impactful value run remain the same: rising interest rates, higher inflation, and reasonable economic growth. In Barrow Hanley’s view, although economic growth remains less certain, higher interest rates and inflation remains persistent as of the end of the fiscal year, when compared to the prior decade. While their opinion is that expectations are high for a recession in the coming year, there remain several areas of strength related to consumer and corporate spending that have the potential to mitigate some of the possible headwinds. Barrow Hanley remains focused on stock selection as the key determinant of its Fund component’s performance.

 

18

 

 

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

 

MassMutual
Fundamental Value Fund
Largest Holdings
(% of Net Assets) on 9/30/22

UnitedHealth Group, Inc.

2.6%

Johnson & Johnson

2.4%

CVS Health Corp.

2.4%

Cigna Corp.

2.4%

JP Morgan Chase & Co.

2.3%

Wells Fargo & Co.

2.3%

Berkshire Hathaway, Inc. Class B

2.0%

Merck & Co., Inc.

1.9%

ConocoPhillips

1.9%

Deere & Co.

1.9%
 

22.1%
   

 

MassMutual
Fundamental Value Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

28.3%

Financial

19.1%

Industrial

11.9%

Energy

10.9%

Technology

8.1%

Basic Materials

5.2%

Communications

5.1%

Consumer, Cyclical

4.9%

Utilities

4.0%

Mutual Funds

0.7%

Total Long-Term Investments

98.2%

Short-Term Investments and Other Assets and Liabilities

1.8%

Net Assets

100.0%
   

 

19

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

11/15/2010

-7.69%

5.37%

8.82%

  

Class R5

12/31/2001

-7.73%

5.27%

8.70%

  

Service Class

12/31/2001

-7.76%

5.17%

8.60%

  

Administrative Class

12/31/2001

-7.94%

5.06%

8.48%

  

Class R4

04/01/2014

-8.06%

4.89%

  

6.05%

Class A

12/31/2001

-8.13%

4.80%

8.21%

  

Class A (sales load deducted)*

12/31/2001

-13.18%

3.62%

7.60%

  

Class R3

12/31/2002

-8.26%

4.65%

8.03%

  

Russell 1000 Value Index

 

-11.36%

5.29%

9.17%

6.70%

 

* 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

 

 

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 or its affiliates (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s®, S&P®, and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or 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, 2022?

The Fund’s Service Class shares returned -15.84%, underperforming the -15.47% return of the 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, 2022, 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.

 

For the fiscal year ended September 30, 2022, U.S. large-cap equities underperformed their mid-cap counterparts, but outperformed small-cap equities. Global equities finished 2021 strong, despite higher inflation and rising short-term interest rates. Companies were largely able to pass on cost pressures, profit margins were durable, and earnings marched higher. In the first quarter of 2022, global equities were dominated by headlines surrounding high inflation and geopolitical unrest, which led to declines across developed and emerging markets. Continued high inflation, compounded by Russia’s invasion of Ukraine, led to a pullback in investor risk appetite. Headwinds for global financial markets continued in the second quarter, with negative returns in most major asset classes outside of cash. Elevated inflationary pressures led to increased investor expectations for monetary policy tightening throughout the second quarter, which in turn heightened investor concerns on the economic growth outlook.

 

The third quarter of 2022 was another challenging one for financial markets. Negative returns in most asset classes outside of cash, the inflation trajectory, and central bank tightening were once again top considerations for investors amid a difficult backdrop – including the continuing Russia-Ukraine war, energy price concerns in Europe, and China growth worries. Despite seeing double-digit gains by mid-August, U.S. equity markets ended with a loss for the third quarter, as investor hopes of a dovish Federal Reserve (the “Fed”) pivot evaporated following hawkish Fed leader rhetoric and more durable core inflation. Interest rates increased sharply in August and September, including a late-September rise stemming from U.K. financial stability concerns. Overall, the central banks’ focus on lowering inflation led to both the Fed and the European Central Bank raising their interest rates in the quarter by 1.50% and 1.25%, respectively – leaving the Bank of Japan as the only developed market central bank with a negative interest rate policy at the end of the Fund’s fiscal year.

 

The top-performing sectors of the Index during the reporting period were energy and utilities, returning 45.70% and 5.55%, respectively. Communication services and consumer discretionary were the worst-performing sectors for this period, with returns of -39.07% and -20.89%, respectively.

 

21

 

 

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

 

The Fund generally uses equity futures to equitize/gain market exposure for relatively small amounts of cash in the Fund in an effort to minimize the uninvested cash balances and reduce the impact of any cash drag. 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

NTI notes that economic growth has slowed as of the end of the fiscal year, after a strong rebound from the pandemic’s disruptions. In Fund management’s view, companies may look to shift their supply chains to mitigate exposures to inflation and begin prioritizing stability and sustainability over pure cost-effectiveness and profit maximization. NTI believes that, while these shifts could have the potential to benefit company stakeholders, they could also create uncertainty among shareholders – ultimately contributing to continued volatility within the markets.

 

22

 

 

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

 

MM S&P 500 Index Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Apple, Inc.

6.9%

Microsoft Corp.

5.8%

Amazon.com, Inc.

3.3%

Tesla, Inc.

2.3%

Alphabet, Inc. Class A

1.9%

Alphabet, Inc. Class C

1.7%

Berkshire Hathaway, Inc. Class B

1.6%

UnitedHealth Group, Inc.

1.6%

Johnson & Johnson

1.4%

Exxon Mobil Corp.

1.2%

 

27.7%
   

 

MM S&P 500 Index Fund
Sector Table
(% of Net Assets) on 9/30/22

Technology

22.6%

Consumer, Non-cyclical

22.5%

Financial

14.9%

Communications

12.5%

Consumer, Cyclical

10.0%

Industrial

7.7%

Energy

4.8%

Utilities

3.2%

Basic Materials

2.0%

Total Long-Term Investments

100.2%

Short-Term Investments and Other Assets and Liabilities

(0.2)%

Net Assets

100.0%
   

 

23

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

12/07/2011

-15.56%

9.14%

11.59%

  

Class R5

05/01/2001

-15.68%

9.01%

11.47%

  

Service Class

03/01/1998

-15.84%

8.85%

11.29%

  

Administrative Class

03/01/1998

-15.88%

8.74%

11.20%

  

Class R4

03/01/1998

-16.01%

8.58%

11.02%

  

Class A

04/01/2014

-16.06%

8.47%

  

9.25%

Class A (sales load deducted)*

04/01/2014

-20.68%

7.25%

  

8.53%

Class R3

12/31/2002

-16.25%

8.31%

10.74%

  

S&P 500 Index

 

-15.47%

9.24%

11.70%

10.02%

 

* 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 Equity Opportunities Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MassMutual 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 27% of the Fund’s portfolio; and Wellington Management Company LLP (Wellington Management), which managed approximately 73% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -7.05%, significantly outperforming the -17.22% 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, 2022, 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 outperformance, particularly within the industrial, financial, and information technology sectors. This was partially offset by stock selection within the materials and health care sectors. Sector allocation, a result of Wellington Management’s bottom-up stock selection process, also contributed to its strong relative performance. The Fund component’s lack of exposure to communication services, an overweight allocation to consumer staples, and an underweight to information technology contributed the most. This was partially offset by a lack of exposure to the energy and utilities sectors. From a Fund component holdings standpoint, top relative contributors included aerospace and defense technology company Northrop Grumman (industrials sector) and UnitedHealth Group (health care sector), a health care and insurance company. In the first three quarters of 2022, shares of Northrop Grumman rose on strength in the industry as the conflict in Ukraine has led to increased military spending. Shares of UnitedHealth Group rose throughout the fiscal year following the company’s announcement of third-calendar quarter results, 2021 guidance, and initial commentary around 2022 guidance – all of which came in slightly ahead of consensus. On the downside, Fund component holdings that were among the top relative detractors included athletic apparel company Nike (consumer discretionary sector) and not holding technology giant Apple (information technology sector). Shares of Nike fell during the period, as China lockdowns continued to weigh on sales. Shares of benchmark constituent Apple were down slightly over the period. However, the company reported strong earnings for the second and third fiscal quarters, beating consensus estimates, as iPhone sales set all-time revenue records.

 

For the T. Rowe Price segment of the Fund, both sector allocation and security selection drove the Fund component’s outperformance. The financial sector was the top contributor for the period. There, Fund component holding Chubb continued to benefit from the rising property and casualty (P&C) pricing cycle. Over the one-year period, Chubb delivered earnings that exceeded consensus estimates, driven by higher underwriting premiums amid the longest P&C upcycle in history. Another Fund component holding, Qualcomm, and an underweight allocation to the information technology sector also contributed to relative performance. Shares of Qualcomm outperformed the information technology benchmark over the one-year period. Late in 2021, the company’s shares advanced, as management raised guidance. Within the utilities sector, Fund component holding Sempra Energy, along with an overweight allocation to the sector, further aided relative results. On the other hand, adverse security selection in the energy sector detracted from relative returns. Shares of TotalEnergies (a French multinational integrated energy and petroleum company) hampered relative performance over the period, as shares lagged the broader energy sector. During the first quarter of 2022, as Russia invaded Ukraine, shares of TotalEnergies were pressured as the company’s Russian assets and investments were quickly written down by the market. Finally, detrimental stock choices in the industrial and business services sector also weighed on T. Rowe Price’s relative results for the fiscal year.

 

25

 

 

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

 

Subadviser outlook

Wellington Management believes strongly in the power of economics and markets. In their view, their current investment posture is well suited for today’s challenging environment. At the end of the reporting period, the Wellington Management Fund component held its largest overweight allocations to the consumer staples and health care sectors, and its most significantly underweight allocation to the information technology sector.

 

T. Rowe Price believes that many economic signals that have been accurate recession warnings in the past were, at the close of the fiscal year, indicating a likely recession. Among them: global manufacturing activity fell fast; stock market returns tumbled; and the inverted Treasury yield curve was showing that long-term growth and inflation expectations were waning as the Federal Reserve raised short-term interest rates. (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.) In Fund management’s view, however, if a recession is coming, it could be an unusual one. Over the last few months, the economy has created about two to three times the number of jobs as compared with the pre-pandemic average. As of the end of the fiscal year, economists were struggling with historical comparisons because the United States has never had such an extraordinary level of job openings with unemployment this low (3.7% in August 2022) – in T. Rowe Price’s opinion, this is an example of a pandemic-related distortion. Fund management believes, on the other hand, that several other pre-recession signals were, at fiscal year-end, mitigating the likelihood of a recession: U.S. manufacturing activity (as measured by the Purchasing Managers’ Index), earnings surprises, nominal consumption growth, and leverage, while trending negative, were not near historical pre-recession levels.

 

26

 

 

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

 

MassMutual
Equity Opportunities Fund
Largest Holdings
(% of Net Assets) on 9/30/22

The TJX Cos., Inc.

4.5%

UnitedHealth Group, Inc.

4.0%

Chubb Ltd.

3.9%

Danaher Corp.

3.5%

PepsiCo, Inc.

3.4%

Honeywell International, Inc.

3.3%

Marsh & McLennan Cos., Inc.

3.3%

Visa, Inc. Class A

3.2%

NIKE, Inc. Class B

3.2%

Colgate-Palmolive Co.

3.2%

 

35.5%
   

 

MassMutual
Equity Opportunities Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

34.2%

Financial

19.9%

Industrial

12.4%

Consumer, Cyclical

11.6%

Basic Materials

7.5%

Technology

6.6%

Utilities

2.5%

Energy

2.4%

Communications

1.3%

Total Long-Term Investments

98.4%

Short-Term Investments and Other Assets and Liabilities

1.6%

Net Assets

100.0%
   

 

27

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

11/15/2010

-6.98%

9.12%

12.02%

  

Class R5

05/01/2000

-7.05%

9.01%

11.90%

  

Service Class

05/01/2000

-7.18%

8.90%

11.79%

  

Administrative Class

05/01/2000

-7.30%

8.77%

11.67%

  

Class R4

04/01/2014

-7.41%

8.61%

  

8.99%

Class A

05/01/2000

-7.52%

8.51%

11.38%

  

Class A (sales load deducted)*

05/01/2000

-12.61%

7.29%

10.76%

  

Class R3

12/31/2002

-7.66%

8.34%

11.19%

  

Russell 1000 Index

  

-17.22%

9.00%

11.60%

9.74%

 

* 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.

 

28

 

 

MassMutual Fundamental Growth Fund – Portfolio Manager Report (Unaudited)

 

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

The Fund seeks long-term growth of capital by investing primarily in domestic equity securities that the Fund’s subadvisers believe offer the potential for long-term growth. While the Fund may invest in issuers of any size, the Fund currently focuses on securities of mid-capitalization companies. The Fund’s subadvisers are Westfield Capital Management Company, L.P. (Westfield), which was responsible for approximately 48% of the Fund’s portfolio; and Wellington Management Company LLP (Wellington Management), which managed approximately 52% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -31.94%, underperforming the -29.50% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

In the Wellington Management component of the Fund, security selection was the most notable driver of relative performance for the fiscal year ended September 30, 2022. Weak security selection within the information technology, consumer staples, and industrial sectors detracted from relative returns, while favorable stock choices within communication services and consumer discretionary partially offset the relative weakness. Sector allocation, a residual of Wellington Management’s bottom-up stock selection process, also weighed on performance, driven by an overweight allocation to communication services and an underweight allocation to energy. With respect to specific Fund component holdings, top detractors from relative returns included Align Technology (health care sector) and Match Group (communication services sector). Align Technology, a medical device company focused on dentistry and orthodontics, experienced a share price decline after management released results citing both revenue and adjusted earnings had missed estimates for the first quarter of 2022. Invisalign case shipments were lower than expected, partially due to the impact of COVID-19 on dental visits worldwide. Shares of Match Group, a provider of online dating services and applications, struggled during this period as its core property, Tinder, saw a slowdown in engagement and user growth. Turning to the positive, Fund component holdings that were top contributors to relative performance during the period included Gartner (information technology sector) and Wingstop, Inc. (consumer discretionary sector). The share price of Gartner, an IT research and advisory services company, increased after the company reported stronger-than-expected second-fiscal quarter earnings. Wingstop is a multinational restaurant chain specializing in chicken wings. Its shares fared better than the benchmark during the period, as the company strongly rebounded in July after management released better-than-expected same-store sales results against a challenging macro backdrop.

 

Within the Westfield component of the Fund, Fund component holdings in the information technology sector proved to be the top detractors from relative results over the period. While some of Westfield’s best-performing holdings were in this sector, the underperformance was primarily driven by Westfield’s software, payments, and IT services holdings. Lightspeed Commerce, a cloud-based point-of-sale software vendor for retailers and restaurants, was the largest source of relative weakness within the Fund component’s holdings in the information technology sector. Fund component holdings in the health care sector also detracted from relative performance over the period, as Westfield’s biotechnology and health care equipment & services holdings drove the majority of the underperformance. Commercial oncology company Seagen, Inc. was the largest detractor from relative results during the period. Turning to the positive, consumer discretionary was a strong relative performer during the fiscal year. With respect to Fund component holdings, Ulta Beauty, Inc., a beauty products retailer, was the top contributing name over the period, as the company benefited from strong execution and recovering demand for beauty products as consumer behaviors normalized, with people returning to work, dining out, and traveling. Fund component holdings in the financial sector also contributed to relative performance. Specifically, LPL Financial Holdings, a provider of integrated brokerage and investment advisory services, was the top contributing Fund component holding within the group over the period. Communication services also contributed to performance. The outperformance was driven by strong stock selection within entertainment and media: global entertainment producer Live Nation Entertainment, Inc. was the top contributing name within the sector. The company experienced strong demand, as customers demonstrated an increased willingness to see live shows following the pandemic.

 

29

 

 

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

 

Subadviser outlook

Looking ahead, Wellington Management expects an increasingly challenging macro backdrop over the near term, given the Federal Reserve’s (the “Fed”) resolve to tame inflation at a cost of lower growth. However, in Wellington Management’s observation, the resilience of the labor market and early signs of supply chain bottlenecks easing as of the end of the Fund’s fiscal year give Fund management confidence in the growth outlook beyond the immediate future. Within Wellington Management’s opportunity set, Fund management expects to continue to steer away from expensive benchmark constituents based on its valuation discipline and instead, to lean into secular growers with high returns on invested capital trading at reasonable prices. Fund management also expects to be increasingly focused on identifying higher-quality businesses that could be more resilient during a down cycle, while having the potential to outperform if the environment stabilizes and turns more favorable.

 

At the end of the period, the Westfield component’s portfolio was most overweight the communication services, health care, and financial sectors, and most underweight the industrials, materials, and energy sectors. Looking ahead, Westfield believes that the likelihood of a U.S. recession seems to be all but inevitable; in Westfield’s view, the pivotal question is whether the Fed will pause or pivot their hawkish stance – in light of slowing economic activity, moderating inflation, and global market instability. At fiscal year-end, in Westfield’s observation, consumer prices for some things (like gasoline) had moderated; however, Westfield believes consumer prices for other things (like shelter) will likely remain high for some time. Westfield expects a more gradual decline in inflation than many other observers in the market are currently forecasting. Turning to the earnings outlook, as of the Fund’s fiscal year end, Westfield believes that the environment remains challenging, with market estimates still likely too high among forecasters. Slowing spending and job growth, combined with growing margin pressures and building inventories, is, in Westfield’s view, a recipe for an economic slowdown. In Westfield’s opinion, when these factors are combined with rising funding costs due to interest rates, it is difficult to envision an outcome that does not propel the economy into a recession.

 

30

 

 

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

 

MassMutual
Fundamental Growth Fund
Largest Holdings
(% of Net Assets) on 9/30/22

ICON PLC

4.4%

Gartner, Inc.

3.7%

Hilton Worldwide Holdings, Inc.

3.3%

Ceridian HCM Holding, Inc.

3.3%

ZoomInfo Technologies, Inc.

2.9%

Lululemon Athletica, Inc.

2.8%

Agilent Technologies, Inc.

2.8%

CDW Corp.

2.6%

Palo Alto Networks, Inc.

2.4%

Wingstop, Inc.

2.3%
 

30.5%
   

 

MassMutual
Fundamental Growth Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

25.8%

Technology

22.0%

Consumer, Cyclical

16.5%

Industrial

12.3%

Communications

10.2%

Financial

9.4%

Energy

2.1%

Basic Materials

0.6%

Mutual Funds

0.4%

Total Long-Term Investments

99.3%

Short-Term Investments and Other Assets and Liabilities

0.7%

Net Assets

100.0%
   

 

31

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-31.76%

7.08%

  

8.91%

Class R5

05/01/2000

-31.94%

6.95%

10.25%

  

Service Class

05/01/2000

-31.97%

6.86%

10.15%

  

Administrative Class

05/01/2000

-32.21%

6.77%

10.03%

  

Class R4

04/01/2014

-32.23%

6.60%

  

8.42%

Class A

05/01/2000

-32.20%

6.50%

9.75%

  

Class A (sales load deducted)*

05/01/2000

-35.93%

5.31%

9.13%

  

Class R3

12/31/2002

-32.59%

6.29%

9.55%

  

Russell Midcap Growth Index

  

-29.50%

7.62%

10.85%

8.43%

 

* 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.

 

32

 

 

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

 

What is the investment approach of MassMutual 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 53% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which managed approximately 47% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -32.04%, significantly underperforming the -22.59% 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 also significantly underperformed the -15.47% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the T. Rowe Price component of the Fund, less-than-favorable security selection and sector allocation drove the Fund component’s relative underperformance. Fund component holdings in the communication services, information technology, and consumer discretionary sectors detracted the most, while holdings in the health care and financial sectors contributed the most to relative returns. With respect to specific Fund component holdings, within the information technology sector, shares of technology giant Apple declined slightly, although outperforming the sector. The Fund component’s underweight allocation to the information technology sector also detracted from relative returns. In the consumer discretionary sector, online used car retailer Carvana traded lower amid a challenging backdrop that included supply constraints and affordability concerns for consumers. Turning to the positive, Fund component holding UnitedHealth Group in the health care sector held up relatively well due to better-than-expected cost trends as utilization returned to normal and contributed to Fund performance.

 

Within the Loomis Sayles component of the Fund, stock selection in the information technology, industrial, consumer discretionary, and consumer staples sectors – along with the Fund component’s allocations to the communication services, consumer staples, and information technology sectors – detracted from relative performance. Fund component holdings, Meta Platforms and Boeing were the greatest detractors from performance. Meta Platforms operates online social networking platforms, including Facebook, Messenger, WhatsApp, and Instagram, which allow people to connect, share, and interact with friends and communities. The company’s shares declined substantially following its fourth-quarter financial report in early February. Operating expenses were greater than expectations and the company issued guidance for the first quarter of 2022 that was well below expectations. Founded in 1916, Boeing is a global leader in the commercial and defense aerospace industries. Along with Airbus, Boeing is part of a global duopoly that generally accounts for almost all commercial planes sold with more than 125 seats – typically the largest market segment. Boeing’s financial results during the period were mixed and largely below expectations. On the positive side, stock selection in the health care, communication services, and financial sectors, along with the Fund component’s allocations to the health care, industrial, consumer discretionary, and energy sectors, contributed positively to relative performance. With respect to Fund component holdings, Vertex Pharmaceuticals and Schlumberger were the top contributors to performance. Vertex Pharmaceuticals is a leader in creating therapies for patients suffering from cystic fibrosis (CF). Vertex reported financial results during the period that reflected the continued penetration of TRIKAFTA®, its latest and most efficacious CF therapy. Although Fund management exited its position in Schlumberger in March 2022, since 2020, the company was among the Fund component’s highest-returning securities. Schlumberger is a leading global supplier of technology, equipment, integrated project management, and information solutions to the global oil and gas exploration and production industry.

 

33

 

 

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

 

Subadviser outlook

T. Rowe Price believes that many economic signals that have been accurate recession warnings in the past were, at the close of the fiscal year, indicating a likely recession. Among them: global manufacturing activity fell fast; stock market returns tumbled; and the inverted Treasury yield curve was showing that long-term growth and inflation expectations were waning as the Federal Reserve raised short-term interest rates. (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.) In Fund management’s view, however, if a recession is coming, it could be an unusual one. Over the last few months, the economy has created about two to three times the number of jobs as compared with the pre-pandemic average. As of the end of the fiscal year, economists were struggling with historical comparisons because the United States had never had such an extraordinary level of job openings with unemployment this low (3.7% in August 2022) – in T. Rowe Price’s opinion, this is an example of a pandemic-related distortion. Fund management believes, on the other hand, that several other pre-recession signals were, at fiscal year-end, mitigating the likelihood of a recession: U.S. manufacturing activity (as measured by the Purchasing Managers’ Index), earnings surprises, nominal consumption growth, and leverage, while trending negative, were not near historical pre-recession levels.

 

The Loomis Sayles investment process is generally characterized by bottom-up, fundamental research and a long-term investment time horizon. The nature of the process typically leads to a lower turnover portfolio, where sector positioning is the result of stock selection. At the end of the fiscal year, the Loomis Sayles Fund component held overweight allocations to the communication services, health care, industrial, and financial sectors – and underweight allocations to the information technology, consumer staples, and consumer discretionary sectors. As of September 30, 2022, Loomis Sayles held no positions in the real estate, energy, materials, or utilities sectors.

 

34

 

 

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

 

MassMutual
Blue Chip Growth Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Amazon.com, Inc.

8.8%

Microsoft Corp.

7.5%

Alphabet, Inc. Class C

6.6%

Visa, Inc. Class A

4.6%

Tesla, Inc.

4.6%

Apple, Inc.

4.3%

Meta Platforms, Inc. Class A

3.5%

NVIDIA Corp.

3.2%

Alphabet, Inc. Class A

2.7%

UnitedHealth Group, Inc.

2.6%
 

48.4%
   

 

MassMutual
Blue Chip Growth Fund
Sector Table
(% of Net Assets) on 9/30/22

Communications

29.0%

Technology

28.5%

Consumer, Non-cyclical

19.9%

Consumer, Cyclical

9.5%

Financial

8.1%

Industrial

4.1%

Basic Materials

0.5%

Mutual Funds

0.2%

Total Long-Term Investments

99.8%

Short-Term Investments and Other Assets and Liabilities

0.2%

Net Assets

100.0%
   

 

35

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-31.96%

7.44%

  

10.15%

Class R5

06/01/2001

-32.04%

7.32%

12.08%

  

Service Class

06/01/2001

-32.12%

7.21%

11.98%

  

Administrative Class

06/01/2001

-32.16%

7.12%

11.86%

  

Class R4

04/01/2014

-32.26%

6.96%

  

9.66%

Class A

06/01/2001

-32.34%

6.84%

11.58%

  

Class A (sales load deducted)*

06/01/2001

-36.06%

5.64%

10.95%

  

Class R3

12/31/2002

-32.41%

6.69%

11.40%

  

Russell 1000 Growth Index#

  

-22.59%

12.17%

13.70%

12.45%

S&P 500 Index

  

-15.47%

9.24%

11.70%

10.02%

 

* 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.

 

36

 

 

MassMutual Growth Opportunities Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MassMutual 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, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -47.21%, significantly underperforming the -22.59% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, the Sands Capital component of the Fund primarily suffered from less-than-favorable security selection. Fund component holdings that were the largest individual detractors from performance, relative to the benchmark, were Sea, a Southeast Asia internet-based provider of ecommerce and digital financial services; Block, a digital financial services pioneer; Match Group, a leader in online dating applications; Shopify, a leading global ecommerce platform enabling the next generation of retail; and Twilio, a leading software-enabled communications platform. On the other hand, the Fund component holdings that drove Sands Capital’s performance during the fiscal year included Sarepta Therapeutics, a developer of therapies for rare neuromuscular diseases; CoStar Group, a provider of data, analytics, and online marketplaces to the U.S. commercial real estate industry; Zillow, a leading digital-services provider for the real estate industry; Datadog, a provider of key monitoring and observability capabilities to support modern cloud infrastructure; and Zoetis, a global leader in the development, manufacturing, and commercialization of animal-health medicines for livestock and companion animals.

 

Within the Jackson Square component of the Fund, disruptors such as Fund component holding Twilio Inc., a cloud communications platform, were a source of underperformance during the period. These names faced macro headwinds from rising interest rates. Additionally, disruptors experienced a growth rotation during the fiscal year that saw the subset generally trade in a highly correlated fashion, regardless of underlying fundamentals and despite these stocks having different business models, end markets, and growth drivers. Fund component holdings in the health care sector also detracted from performance. Within that market segment, Fund component holdings such as 10X Genomics, a provider of instruments and consumables for genomic sequencing of single cells, and Align Technology, a global leader in clear teeth aligners for treating malocclusion, detracted from performance. More defensive holdings such as Waste Management Inc., a provider of waste management and recycling services, and Canadian Pacific Railway Limited, a Class 1 railway spanning from Canada to Mexico, benefited from the market rotation during the period and contributed to performance.

 

Subadviser outlook

In Sands Capital’s view, the past 12 months represent the most challenging period of relative performance in its Fund component’s history. Nevertheless, in their view, as of the end of the fiscal year, the poor sentiment in equity markets conflicted with recent earnings results and the favorable long-term outlook of the Fund component’s holdings. Sands Capital believes that this potentially presents an opportunity. They believe that an increasingly challenging macroeconomic environment could enable their Fund component holdings to improve their competitive positions.

 

Jackson Square expects inflation and interest rates to continue to drive market volatility. Jackson Square expects to pay particular attention to certain market characteristics, including 1) compressing consumer spending, particularly on the lower end of the income spectrum, with a continuation of the trend shifting from goods to services; 2) slowing business investment; and 3) softening labor markets. They believe company fundamentals, quality, and resiliency will become increasingly important moving forward.

 

37

 

 

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

 

MassMutual
Growth Opportunities Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Amazon.com, Inc.

8.9%

Visa, Inc. Class A

7.3%

Microsoft Corp.

5.9%

ServiceNow, Inc.

5.6%

Uber Technologies, Inc.

4.0%

Edwards Lifesciences Corp.

3.8%

Mastercard, Inc. Class A

3.4%

Snowflake, Inc. Class A

3.2%

DexCom, Inc.

3.1%

Atlassian Corp. PLC Class A

2.7%

 

47.9%
   

 

MassMutual
Growth Opportunities Fund
Sector Table
(% of Net Assets) on 9/30/22

Technology

30.9%

Communications

26.0%

Consumer, Non-cyclical

19.6%

Financial

11.9%

Industrial

5.8%

Consumer, Cyclical

3.9%

Mutual Funds

2.9%

Total Long-Term Investments

101.0%

Short-Term Investments and Other Assets and Liabilities

(1.0)%

Net Assets

100.0%
   

 

38

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

  

 

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

-47.25%

4.80%

  

10.24%

  

Class R5

05/01/2000

-47.21%

4.74%

8.98%

    

Service Class

05/01/2000

-47.38%

4.60%

8.86%

    

Administrative Class

05/01/2000

-47.40%

4.50%

8.74%

    

Class R4

04/01/2014

-47.38%

4.36%

    

6.22%

Class A

05/01/2000

-47.50%

4.25%

8.48%

    

Class A (sales load deducted)*

05/01/2000

-50.38%

3.07%

7.87%

    

Class R3

12/31/2002

-47.66%

4.10%

8.29%

    

Russell 1000 Growth Index

  

-22.59%

12.17%

13.70%

14.13%

12.45%

 

* 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.

 

39

 

 

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

 

What is the investment approach of MassMutual Mid Cap Value 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 mid-capitalization companies 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 the stocks of mid-cap companies. The Fund’s subadvisers are American Century Investment Management, Inc. (American Century), which managed approximately 35% of the Fund’s portfolio; PanAgora Asset Management, Inc. (PanAgora), which oversaw approximately 30% of the Fund’s portfolio; and Thompson, Siegel & Walmsley LLC (TSW), which was responsible for approximately 35% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -9.51%, outperforming the -13.56% return of the 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, within the American Century component of the Fund, security selection in the consumer discretionary sector (and the multiline retail industry in particular) supported the Fund component’s performance, relative to the benchmark. Within that sector, discount retailer Dollar Tree was a top performer. Security selection in the financial sector also boosted relative results: Reinsurance Group of America and The Allstate Corp. were two Fund component holdings that contributed to returns. Conversely, security selection in the materials sector weighed on performance. In addition, not holding select benchmark names in the chemicals industry detracted from the Fund component’s relative performance. American Century generally buys foreign exchange forward hedge contracts to offset the inherent currency risks of holding foreign securities. Exposure to derivatives did add somewhat to performance during the fiscal year due to currency volatility. 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.

 

Within the TSW segment of the Fund, the primary drivers of performance were Fund component holdings within the consumer discretionary, financial, and energy sectors. Within consumer discretionary, Dollar Tree, Inc., an operator of discount value stores, and LKQ Corp., a leading distributor of automotive aftermarket parts, were top contributors. In the financial sector, an overweight allocation to the insurance sector, relative to the benchmark, along with positive stock selection across the industry contributed to returns. Alleghany Corp., a primary insurer and reinsurer, was the Fund component’s top performing holding for the fiscal year. Arch Capital Group, a provider of property and casualty insurance and reinsurance, also contributed to the Fund’s performance. Within the energy sector, an overweight allocation and favorable stock selection contributed to relative returns. Fund component holdings within the telecommunications and basic materials sectors detracted from relative performance. In telecommunications, Liberty Broadband Corp. and Dish Network Corp. were the primary detractors. Within basic materials, an underweight allocation and Fund component holding Cleveland-Cliffs were the primary detractors.

 

For the Fund’s PanAgora component, strong stock selection within the health care sector was the primary driver of performance for the period. The top contributor was an overweight position in the strong-performing McKesson Corp., an American company that is a distributor of pharmaceuticals and a provider of health information technology, medical supplies, and care management tools. The company’s share price advanced over 64% during the fiscal year. Materials was the second top sector contributor for the period. There, PanAgora’s overweight position in CF Industries Holdings Inc., a North American manufacturer and distributor of agricultural fertilizers, benefited the Fund component, as that holding advanced 57% for the period. The top detractor for the period was the consumer discretionary sector, where stocks generally suffered due to supply chain issues. The largest hindrance within the sector was PanAgora’s overweight position in Garmin Ltd., which provides navigation, communications, and information devices. Its share price declined over 46% during the reporting period.

 

40

 

 

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

 

Subadviser outlook

American Century plans to remain disciplined in these uncertain times. They expect market volatility to linger as investors navigate a complex environment of high inflation, rising interest rates, and economic uncertainty. In addition, in American Century’s view, the ongoing Russia-Ukraine conflict has complicated an already-tense geopolitical backdrop. American Century plans to continue monitoring the evolving situation and to take advantage of favorable valuations that may arise in the face of continued volatility.

 

In TSW’s view, sentiment in the market continues to be bearish, driven primarily by ongoing recessionary concerns. TSW believes that factors contributing to pessimistic market outlook include the ongoing war between Russia and Ukraine, continued growth headwinds in China and other parts of the world, overall inflationary pressures, and more stressed financial markets. Nevertheless, TSW believes that mixed signals potentially point to improvements in specific aspects of the global supply chain – and even signs of inflationary pressures potentially easing for specific goods and services. In TSW’s observation as of the end of the fiscal quarter, the focus continued to be on central banks and their ability to dampen inflation without causing a hard landing. TSW ultimately expects overall uncertainty and volatility to remain elevated.

 

For PanAgora, their focus on company fundamentals plays a critical role during periods of market turbulence. They believe that their preference for companies that are profitable, well managed, and competitive in their industry will allow their Fund component to have the potential to prevail in periods of extreme market stress. In their ongoing search for investment opportunities, they research new data sources in an effort to find those that are undiscovered by competitors.

 

41

 

 

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

 

MassMutual
Mid Cap Value Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Northern Trust Corp.

1.4%

The Allstate Corp.

1.4%

AmerisourceBergen Corp.

1.3%

Zimmer Biomet Holdings, Inc.

1.3%

Quest Diagnostics, Inc.

1.2%

Laboratory Corp. of America Holdings

1.2%

Huntington Ingalls Industries, Inc.

1.2%

Alleghany Corp.

1.2%

Dollar Tree, Inc.

1.2%

Henry Schein, Inc.

1.1%
 

12.5%
   

 

MassMutual
Mid Cap Value Fund
Sector Table
(% of Net Assets) on 9/30/22

Financial

27.2%

Consumer, Non-cyclical

19.3%

Industrial

12.7%

Utilities

9.0%

Consumer, Cyclical

8.6%

Communications

7.2%

Energy

6.3%

Basic Materials

3.4%

Technology

3.2%

Mutual Funds

0.7%

Total Long-Term Investments

97.6%

Short-Term Investments and Other Assets and Liabilities

2.4%

Net Assets

100.0%
   

 

42

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

12/07/2011

-9.37%

4.88%

    

Class R5

08/29/2006

-9.51%

4.77%

8.48%

  

Service Class

08/29/2006

-9.60%

4.65%

8.37%

  

Administrative Class

08/29/2006

-9.63%

4.58%

8.26%

  

Class R4

04/01/2014

-9.79%

4.42%

  

5.42%

Class A

08/29/2006

-9.87%

4.30%

7.98%

  

Class A (sales load deducted)*

08/29/2006

-14.83%

3.12%

7.37%

  

Class R3

08/29/2006

-9.96%

4.17%

7.81%

  

Russell Midcap Value Index

  

-13.56%

4.76%

9.44%

6.36%

 

* 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.

 

43

 

 

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

 

What is the investment approach of MassMutual 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 56% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 44% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -13.61%, outperforming the -17.69% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

In the Wellington Management segment of the Fund, strong security selection in the health care, consumer discretionary, and information technology sectors was the primary driver of the Fund component’s outperformance of the benchmark. This was partially offset by weaker stock selection in the consumer staples, materials, and real estate sectors. Sector allocation, a residual of Wellington Management’s bottom-up stock selection process, detracted from relative performance. An underweight allocation to the energy sector detracted but was partially offset by an underweight allocation to the communication services sector and an overweight allocation to the materials sector. With respect to specific Fund component holdings, among the top relative contributors for the period were Huron Consulting (industrials sector) and Haemonetics (health care sector). Shares of Huron Consulting, a consulting company with large practices focused on health care and education, rose during the period due to improving fundamentals and management raising the company’s 2022 guidance. Shares of Haemonetics – a global health care company that engages in the development and distribution of hematology products and services – rose, as management reported strong earnings results over the last several quarters. Among the top relative detractors for the period were Spectrum Brands Holdings (consumer staples sector) and Tyman (industrials sector). Shares of Spectrum Brands Holdings, a consumer products and home essentials company, declined on weaker retail sales and profits – and the risk that the sale of the company’s Home & Hardware division to Assa Abloy will not be allowed to proceed. Shares of Tyman, a manufacturer of door and window components for the residential and commercial construction industry, were weak due to temporary supply chain constraints and concerns about future North American housing construction.

 

Within the Barrow Hanley component of the Fund, both an overweight allocation to the materials sector, and favorable stock selection within that market segment, were particularly notable. With respect to specific Fund component holdings, specialty materials producer ATI, Inc. (previously Allegheny Technologies Incorporated), a holding since 2016, had the greatest attribution of any single holding, returning more than 59% over the past 12 months. During the reporting period, two other Fund component holdings with significantly positive attributions, Cornerstone Building Brands Inc. and Rogers Corporation (a specialty engineered materials company), were purchased at significant premiums to their share prices. On the downside, Fund component holdings in economically sensitive sectors – such as consumer discretionary, industrial, information technology, and materials (which the Barrow Hanley component of the Fund typically has heavy exposure to due to their higher longer-term return potential) – detracted from the Fund component’s performance during the fiscal year.

 

Subadviser outlook

Wellington Management’s investment approach emphasizes individual stock selection; sector weights are a residual of their bottom-up investment process. However, Fund management does regularly consider diversification across economic sectors and industries, and continually monitors portfolio risk. Based on their three- to five-year time horizon, Wellington Management believes they will be able to continue to find attractively valued investment opportunities created by the inefficiencies frequently

 

44

 

 

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

 

found among small- and mid-cap companies. At the end of the fiscal year, the Wellington Management Fund component had its largest overweight allocations to the materials, information technology, and consumer discretionary sectors. The Fund component was most significantly underweight in the health care, real estate, and energy sectors at fiscal year-end.

 

Barrow Hanley notes that, as a matter of policy, they do not forecast absolute returns. Instead, regardless of market conditions, they attempt to provide for maximum possible relative returns. Consistent with this objective, Barrow Hanley believes that the market’s desire for certainty and the “company of the crowd” will tend to provide a high level of individual stock-specific opportunity for longer-term, lower-risk investing. Barrow Hanley believes that, when this occurs, those with the discipline to remain apart from the crowd and seek out unpopular opportunities could benefit disproportionately.

 

45

 

 

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

 

MassMutual
Small Cap Value Equity Fund
Largest Holdings
(% of Net Assets) on 9/30/22

ATI, Inc.

2.0%

Super Micro Computer, Inc.

2.0%

Darling Ingredients, Inc.

1.9%

Texas Capital Bancshares, Inc.

1.8%

OFG Bancorp

1.7%

Gentherm, Inc.

1.7%

WillScot Mobile Mini Holdings Corp.

1.7%

Air Transport Services Group, Inc.

1.6%

Old National Bancorp

1.5%

Cabot Corp.

1.5%
 

17.4%

   

 

MassMutual
Small Cap Value Equity Fund
Sector Table
(% of Net Assets) on 9/30/22

Financial

23.8%

Industrial

22.5%

Consumer, Non-cyclical

14.5%

Consumer, Cyclical

11.5%

Technology

9.1%

Basic Materials

8.4%

Communications

3.8%

Energy

2.0%

Utilities

1.5%

Mutual Funds

0.5%

Total Long-Term Investments

97.6%

Short-Term Investments and Other Assets and Liabilities

2.4%

Net Assets

100.0%
   

 

46

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-13.54%

3.46%

  

5.46%

Class R5

03/31/2006

-13.61%

3.36%

8.77%

  

Service Class

03/31/2006

-13.72%

3.26%

8.66%

  

Administrative Class

03/31/2006

-13.80%

3.16%

8.54%

  

Class R4

04/01/2014

-13.99%

2.98%

  

4.99%

Class A

03/31/2006

-14.05%

2.89%

8.26%

  

Class A (sales load deducted)*

03/31/2006

-18.78%

1.73%

7.65%

  

Class R3

04/01/2014

-14.19%

2.72%

  

4.72%

Russell 2000 Value Index

  

-17.69%

2.87%

7.94%

5.05%

 

* 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.

 

47

 

 

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

 

What is the investment approach of MassMutual 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 68% of the Fund’s portfolio; and American Century Investment Management, Inc. (American Century), which was responsible for approximately 32% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -19.35%, underperforming the -17.69% 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 -23.50% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, with respect to the AllianceBernstein component of the Fund, both sector selection and security selection detracted from relative performance. An underweight to the energy sector detracted, more than offsetting an underweight to health care, which contributed. Security selection in the industrial sector hampered returns, while Fund component holdings in the financial sector contributed. With respect to specific Fund component holdings, Hain Celestial (an American food company whose main focus is natural foods) detracted after it reported a weak first-quarter 2022 and missed expectations with continued cost inflation, supply-chain headwinds, and weakness in European consumer spending. Nomad Foods, a European frozen foods company, also detracted after reporting second-quarter 2022 results. Amusement park operator Six Flags also hindered performance after reporting its first-quarter 2022 results, which included attendance volumes that were down 22% from pre-pandemic levels. With respect to Fund component holdings that contributed to returns, HF Sinclair, an oil refiner and manufacturer of lubricants, benefited from a sharp increase in refining margins, driven by turmoil in the energy markets after the Russian invasion of Ukraine. Health care data analytics company Change Healthcare contributed after it reported stronger-than-expected revenue – and improved terms for its pending acquisition by UnitedHealth Group. Behavioral health care provider Acadia Healthcare contributed after posting positive earnings results throughout the fiscal year.

 

Within the American Century segment of the Fund, positioning in the energy sector was the primary detractor from performance. The Fund’s underweight allocation to energy hampered returns, as did stock selection within the sector. Most of the drag on performance occurred in the oil, gas, and consumable fuels industry. The information technology sector also detracted from performance. A large overweight to the sector hindered returns, as did stock selection within the market segment. Fund component holdings in the communications equipment industry detracted from performance. An overweight to Avaya Holdings, a cloud communications company, proved especially unfavorable. In the software industry, Fund component holding Teradata, a cloud database firm that was not represented in the benchmark during the fiscal period, also proved detrimental. Turning to the positive, the financial sector was the leading contributor to performance, with stock selection providing the bulk of the return. Avoiding the mortgage real estate investment trust (REIT) industry was also beneficial for the Fund component. Returns in the insurance industry stemmed mostly from American Century’s position in Axis Capital Holdings, a reinsurance company. In the banking industry, a significantly overweight allocation was advantageous. In particular, an overweight allocation to SouthState, a South Carolina-based bank, and a position in FNB, a bank holding company based in Pennsylvania that was not in the benchmark during the fiscal period, were leading contributors. American Century’s positioning in the health care sector also added to relative returns. The primary contributing factor was a decision to avoid exposure to the biotechnology industry. Fund component holdings in the health care providers and services industry also enhanced performance, where a lack of exposure to Invitae, a medical testing firm, proved advantageous. The American Century Fund component’s exposure to derivatives did not have a

 

48

 

 

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

 

material effect on performance 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.

 

Subadviser outlook

AllianceBernstein observes that, as of the end of the fiscal year, markets remained focused on multiple challenges that may impact how much companies will earn and the appropriate multiple to pay for those earnings. In AllianceBernstein’s view, these challenges include supply-chain bottlenecks, cost inflation, and a concern that Federal Reserve interest rate increases may lead to a recession. Stock prices have gyrated as investors have tried to assess which combination of risks will prevail. Overall, in AllianceBernstein’s view, the market seems to have assumed that tougher times are ahead. Fund management sees the potential for challenges in the future, as the global economy undergoes dramatic structural changes in areas like supply-chain onshoring and energy security. As longer-term value investors, AllianceBernstein plans to focus on those companies that combine high quality with strong business models – and can thrive in the new economy that lies ahead.

 

At the end of the fiscal year, American Century was maintaining a large overweight in the information technology sector – on the view that valuations are attractive due to cyclical reasons, trade war fears, operational miscues, and the conflict in Ukraine. Their Fund component was also overweight in the industrial sector – with Fund component holdings that include quality companies in machinery, distribution, and commercial services, many of which have maintained their pricing power during the inflationary environment. Fund management also views the consumer discretionary sector as attractive, and throughout the fiscal year, the American Century Fund component’s overweight allocation to that sector was dispersed across higher-quality specialty retailers, leisure product manufacturers, attractively valued restaurant and leisure companies, and household durables providers. While many have underperformed recently, Fund management believes that such companies will generate strong results in various economic environments.

 

49

 

 

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

 

MassMutual
Small Company Value Fund
Largest Holdings
(% of Net Assets) on 9/30/22

First BanCorp

1.9%

BankUnited, Inc.

1.5%

Pacific Premier Bancorp, Inc.

1.5%

Change Healthcare, Inc.

1.2%

Belden, Inc.

1.2%

Texas Capital Bancshares, Inc.

1.2%

Selective Insurance Group, Inc.

1.2%

ArcBest Corp.

1.1%

IDACORP, Inc.

1.1%

Independent Bank Group, Inc.

1.1%
 

13.0%
   

 

MassMutual
Small Company Value Fund
Sector Table
(% of Net Assets) on 9/30/22

Financial

36.9%

Consumer, Cyclical

17.2%

Industrial

16.2%

Consumer, Non-cyclical

11.6%

Technology

5.9%

Energy

3.7%

Basic Materials

3.3%

Utilities

2.3%

Communications

2.2%

Mutual Funds

1.6%

Total Long-Term Investments

100.9%

Short-Term Investments and Other Assets and Liabilities

(0.9)%

Net Assets

100.0%
   

 

50

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

11/15/2010

-19.24%

3.16%

7.74%

  

Class R5

12/31/2001

-19.35%

3.06%

7.61%

  

Service Class

12/31/2001

-19.41%

2.96%

7.51%

  

Administrative Class

12/31/2001

-19.50%

2.86%

7.40%

  

Class R4

04/01/2014

-19.62%

2.70%

  

4.38%

Class A

12/31/2001

-19.76%

2.57%

7.12%

  

Class A (sales load deducted)*

12/31/2001

-24.17%

1.42%

6.52%

  

Class R3

12/31/2002

-19.84%

2.42%

6.94%

  

Russell 2000 Value Index#

  

-17.69%

2.87%

7.94%

5.05%

Russell 2000 Index

  

-23.50%

3.55%

8.55%

5.60%

 

* 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.

 

51

 

 

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

 

What is the investment approach of MassMutual Mid Cap Growth 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 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 managed approximately 76% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 24% of the Fund’s portfolio, as of September 30, 2022. In addition, T. Rowe Price Investment Management, Inc. serves as a sub-subadviser for the portion of the portfolio subadvised by T. Rowe Price.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -26.76%, outperforming the -29.50% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, within the T. Rowe Price component of the Fund, both stock selection and sector allocation drove the Fund component’s outperformance. Favorable stock selection in the health care sector contributed to relative results. With respect to specific Fund component holdings, while Hologic, a medical technology company primarily focused on women’s health, declined in performance during the fiscal year, it performed well relative to its sector peers, and the company exhibited broad-based strength during the period. Within the consumer discretionary sector, Dollar General shares advanced, as the company benefited from consumers’ renewed focus on discounted goods. Security selection and an underweight allocation to the communication services sector further boosted T. Rowe Price’s relative performance for the period. On the downside, an underweight allocation to the energy sector detracted from relative returns, but this was offset by strong stock selection in that market segment. The materials sector also detracted due to unfavorable stock selection, but this was partially offset by an overweight position. Shares of Ball, a leading global manufacturer of aluminum packaging products, declined on weaker results and lowered 2022 guidance due to numerous headwinds, including inflationary pressures, a severe recession in Brazil, and the closure of its Russia-based business. The T. Rowe Price component of the Fund held warrants during the period, which had a negligible impact on 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.

 

Adverse sector allocation that neutralized favorable stock selection challenged the Frontier component of the Fund during the fiscal year. The Fund component’s underweight allocations to the energy and consumer staples sectors, the top two performing market segments, accounted for most of the allocation headwind, as investors reached for an inflation hedge on the one hand – and safety on the other. Stock selection was the strongest in the technology sector, followed by consumer discretionary and health care, with partial offsets coming from Fund component holdings in energy and telecommunications. With respect to specific Fund component holdings, network security software provider Palo Alto Networks Inc. benefited from a strong product cycle, share gains, and heightened customer awareness against security breaches. Semiconductor supplier Wolfspeed Inc. reported improving sales and raised its long-term revenue forecast by a third based on expanding manufacturing capacity and accelerating share gains in the electrical vehicle market. In the consumer discretionary sector, toy maker Mattel Inc. reported significantly better-than-expected results. Discount retailer Dollar General Corporation posted same-store sales above Wall Street’s estimates and raised its annual revenue target. Signify Health Inc. rose sharply, as CVS Health Corporation agreed to buy the value-based care provider for a 78% premium. Together, these contributions overcame the headwinds from economically sensitive Fund component holdings – such as Caesars Entertainment, Inc. (an American hotel and casino entertainment company); Block, Inc. (an American multinational technology conglomerate); and SVB Financial Group (a holding company that provides banking and financial services), all of which underperformed in the rising interest rate environment.

 

52

 

 

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

 

Subadviser outlook

In T. Rowe Price’s view, investors in the United States continue to live and invest in an unprecedented macroeconomic environment. T. Rowe Price believes that the bear market in the U.S. that was present at the end of the fiscal year was particularly unusual in that it took place in conjunction with a tight labor market featuring record job openings and historically low unemployment. Looking ahead, T. Rowe Price believes that investors are likely to remain focused on whether the Federal Reserve (the “Fed”) can achieve a soft landing by taming inflation without sending the economy into recession. Outside of the U.S., Fund management believes that the probability of a recession is higher due to the implications of the Russian invasion of Ukraine, soaring energy prices, and persistent inflation. Regardless of the macroeconomic environment, Fund management’s focus remains on long-term outperformance. They expect to continue to seek out reasonably valued equities with strong fundamental underpinnings, while paying careful attention to risk and valuation relative to growth prospects.

 

In Frontier’s view, the probability of a recession has increased substantially, due to stubborn inflation and a more aggressive Fed, which seems determined to tame prices, even at the expense of economic growth. Fund management believes that the substantial decline in the benchmark partly reflects the impending slump. On the brighter side, Frontier believes that the combination of lower demand and loosening supply has the potential to reduce inflation. Price declines, as of September 30, 2022, were already visible in categories ranging from rents and home values to commodities and autos. At the same time, in Frontier’s opinion, the ongoing market correction places U.S. equities on a firmer footing by driving out excess speculation and potentially setting the stage for the next expansion.

 

53

 

 

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

 

MassMutual
Mid Cap Growth Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Hologic, Inc.

2.5%

Microchip Technology, Inc.

2.4%

Agilent Technologies, Inc.

2.1%

Textron, Inc.

1.8%

Teleflex, Inc.

1.7%

Ingersoll Rand, Inc.

1.7%

Marvell Technology, Inc.

1.7%

Dollar General Corp.

1.5%

KLA Corp.

1.5%

Chipotle Mexican Grill, Inc.

1.3%
 

18.2%
   

 

MassMutual
Mid Cap Growth Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

30.1%

Technology

19.4%

Industrial

16.7%

Consumer, Cyclical

15.5%

Financial

6.3%

Communications

4.5%

Energy

3.2%

Basic Materials

0.8%

Mutual Funds

0.5%

Total Long-Term Investments

97.0%

Short-Term Investments and Other Assets and Liabilities

3.0%

Net Assets

100.0%
   

 

54

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

11/15/2010

-26.68%

6.47%

11.15%

  

Class R5

06/01/2000

-26.76%

6.36%

11.04%

  

Service Class

06/01/2000

-26.85%

6.25%

10.93%

  

Administrative Class

06/01/2000

-26.93%

6.14%

10.81%

  

Class R4

04/01/2014

-26.98%

5.99%

  

8.08%

Class A

06/01/2000

-27.06%

5.89%

10.53%

  

Class A (sales load deducted)*

06/01/2000

-31.07%

4.69%

9.91%

  

Class R3

12/31/2002

-27.22%

5.72%

10.34%

  

Russell Midcap Growth Index

  

-29.50%

7.62%

10.85%

8.43%

 

* 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.

 

55

 

 

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

 

What is the investment approach of MassMutual 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 60% of the Fund’s portfolio; and Invesco Advisers, Inc. (Invesco Advisers), which oversaw approximately 40% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -26.73%, outperforming the -29.27% return of the Russell 2000 Growth Index (the “benchmark”), which measures the performance of the small-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 underperformed the -23.50% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

In the Wellington Management component of the Fund, strong security selection in the health care and industrial sectors was the primary driver of the Fund component’s outperformance of the benchmark for the one-year period ended September 30, 2022. This was partially offset by weaker stock selection within the communication services, health care, and information technology sectors. With regard to specific Fund component holdings, among the top relative contributors were Fluor (industrial sector) and Viper Energy Partners (energy sector). Shares of Fluor ended the period higher after the engineering and construction firm reported fourth-quarter 2021 adjusted earnings per share (EPS) levels above expectations. The company also provided strong 2022 EPS guidance. Shares of Viper Energy Partners ended the period higher after the mineral rights company reported strong fourth-quarter 2021 adjusted earnings, beating consensus estimates. Among the top relative detractors for the period were Bandwidth (communication services sector) and Rapid7 (information technology sector). The share price of Bandwidth, a cloud-based communication services company, fell over the period after management released disappointing 2022 guidance. The company suffered a Distributed Denial of Service (DDoS) attack in third-quarter 2021 and Fund management eliminated the position during the period, given gross margin pressure and a reduced growth outlook for the company. Rapid7 shares fell during the period as the company shared second-quarter 2022 results. Demand in the vulnerability management segment softened during the quarter and the company sold off, along with the software sector more broadly, given the rising interest rate environment and multiple contractions that impacted the broader industry.

 

With respect to the Invesco Advisers component of the Fund, strong stock selection in the financial sector contributed to the Fund component’s performance for the fiscal year ended September 30, 2022. The major detractor from performance was weaker stock selection in the consumer staples, consumer discretionary, and industrial sectors. Fund component holdings that were among the top-performing stocks included Shockwave Medical, LPL Financial, and WillScot Mobile Mini. Shockwave Medical, a cardiovascular medical device company, reported multiple quarters of substantial upside due to continued fast-paced adoption of their technology used to remove calcified lesions in patients with heart disease. LPL Financial offers technology, brokerage, and investment advisory services through business relationships with many types of financial advisors. They reported another strong quarter for second-quarter 2022. Throughout the fiscal year, LPL Financial benefitted from higher interest rates; they continued to hire new advisors at a fast pace, which helped to grow overall assets under management. WillScot Mobile Mini provides modular and portable storage services. The company reported solid second-quarter 2022 revenue and EBITDA that beat consensus estimates, and it also raised its 2022 guidance. (Earnings before interest, tax, depreciation, and amortization (EBITDA) is a measure of a company’s operating performance.) Fund component holdings that were top detractors from performance included Kornit Digital, Tandem Diabetes Care, and Boot Barn. Kornit Digital develops, manufactures, and markets

 

56

 

 

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

 

industrial and commercial printing solutions for the garment, apparel, and textiles industries. The stock declined in the second quarter of 2022 as a result of reduced consumer spending, which caused management to lower its guidance. Tandem Diabetes Care is a medical device company for the treatment of diabetes. The company reported mixed financial results during the second quarter of 2022. The stock lagged on growing fear of competition in the diabetes pump sector. Boot Barn detracted from performance in the third quarter of 2022 as its inventories were elevated – and its guidance fell short of Wall Street estimates.

 

Subadviser outlook

In Wellington Management’s view, this past fiscal year has been categorized by heightened market volatility, spurred on by a steady slate of macro cross-currents, ranging from record inflation to persistent supply chain challenges and Russia’s invasion of Ukraine. In Wellington Management’s observation, markets ended the period lower, as investors braced for a recession; however, as of the end of the fiscal period, the timing and magnitude are still unknown, as market participants weigh the impacts of persistent inflation, recession, and the Federal Reserve’s (the “Fed”) reactionary function. As a result, stocks within the Wellington Management Fund component were prone to trading on narrative rather than fundamentals during the period. Given this uncertainty, Fund management remains disciplined within their upside/downside valuation framework – and expects to position the portfolio to be balanced, yet in a position to potentially recover when markets begin to turn positive. At the end of the fiscal year, the Wellington Management Fund component had its largest overweight allocation to the real estate, industrial, and energy sectors, and its most significant underweight allocation to the information technology, financial, and consumer discretionary sectors.

 

In Invesco Advisers’ view, as the final quarter of 2022 begins, financial markets remain unusually volatile as a complex global scenario unfolds. In Invesco Advisers’ observation, the market’s primary focus is on aggressive Fed monetary policy tightening to address excessive inflation, and how much harm such tightening may inflict on gross domestic product (GDP) and corporate earnings. GDP fell at a -1.6% annual rate in the second quarter of 2022, so the likelihood of a hard landing increased. Meanwhile, as of the end of the fiscal period, rising interest rates, commodity, labor, and supply chain costs were weighing on corporate margins. Although Fund management has sought to defend against this hostile macroeconomic picture with a defensive portfolio strategy in recent months, they are alert to the eventual return of favorable conditions on the road ahead. There has been a sizable valuation reset in growth stock valuations this year, which has, in Invesco Advisers’ view, improved the risk/reward trade-off.

 

57

 

 

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

 

MassMutual
Small Cap Growth Equity Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Chart Industries, Inc.

1.7%

WillScot Mobile Mini Holdings Corp.

1.4%

Casella Waste Systems, Inc. Class A

1.4%

Manhattan Associates, Inc.

1.3%

Inspire Medical Systems, Inc.

1.2%

Calix, Inc.

1.1%

Acadia Healthcare Co., Inc.

1.1%

Globus Medical, Inc. Class A

1.1%

SM Energy Co.

1.0%

Livent Corp.

1.0%
 

12.3%

   

 

MassMutual
Small Cap Growth Equity Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

29.0%

Industrial

16.0%

Technology

13.7%

Financial

13.3%

Consumer, Cyclical

9.4%

Energy

6.0%

Communications

3.6%

Mutual Funds

2.5%

Basic Materials

2.5%

Utilities

1.1%

Total Long-Term Investments

97.1%

Short-Term Investments and Other Assets and Liabilities

2.9%

Net Assets

100.0%
   

 

58

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

11/15/2010

-26.67%

8.60%

11.22%

  

Class R5

05/03/1999

-26.73%

8.49%

11.11%

  

Service Class

05/03/1999

-26.82%

8.38%

10.99%

  

Administrative Class

05/03/1999

-26.83%

8.28%

10.88%

  

Class R4

04/01/2014

-26.96%

8.13%

  

7.69%

Class A

05/03/1999

-27.06%

8.00%

10.59%

  

Class A (sales load deducted)*

05/03/1999

-31.07%

6.79%

9.97%

  

Class R3

12/31/2002

-27.10%

7.85%

10.41%

  

Russell 2000 Growth Index#

 

-29.27%

3.60%

8.81%

5.75%

Russell 2000 Index

  

-23.50%

3.55%

8.55%

5.60%

 

* 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.

 

59

 

 

MassMutual Overseas Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MassMutual 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 68% of the Fund’s portfolio; and Harris Associates L.P. (Harris), which oversaw approximately 32% of the Fund’s portfolio, as of September 30, 2022.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class R5 shares returned -24.74%, outperforming the -25.13% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, with respect to the MFS component of the Fund, stock selection in the information technology, financial, and consumer discretionary sectors contributed to performance relative to the benchmark. Within the information technology sector, not holding shares of lithography systems manufacturer for the semiconductor industry ASML (Netherlands) supported the Fund component’s relative results. Within the financial sector, overweight positions in stock exchange operator Deutsche Börse (Germany), banking services provider DBS Group (Singapore), and investment management and banking firm UBS (Switzerland) bolstered relative results. Within the consumer discretionary sector, an overweight position in food catering company Compass Group (United Kingdom) supported the Fund component’s relative performance. During the reporting period, the Fund component’s relative currency exposure, resulting primarily from differences between MFS’s and the benchmark’s exposures to holdings of securities denominated in foreign currencies, was another contributor to relative performance. Detracting from relative performance for the fiscal year was an underweight position and, to a lesser extent, stock selection within, the energy sector – where not owning shares of strong-performing global energy and petrochemicals company Shell (United Kingdom) and integrated energy and petroleum company TotalEnergies (France) hampered performance. Security selection in the materials sector also weakened relative results. Within that market segment, not owning shares of mining giant BHP Group (Australia) and an overweight position in paint and specialty chemicals manufacturer Akzo Nobel (Netherlands) hindered relative performance.

 

For the Harris Fund component of the Fund, Japan provided the best relative performance, due primarily to allocation effects, while stock selection also contributed. The Netherlands produced the next-best result, owing to stock selection effects in this geography – followed by Indonesia, where the underlying Fund component holding produced a positive absolute return. Holdings in Germany detracted the most from relative performance, predominantly driven by Harris’s higher exposure to the country relative to the benchmark. The next-largest negative relative results came from holdings in the U.K. and France. From a sector perspective, the materials sector furnished the best relative performance, due to positive outcomes from both stock selection as well as a greater-than-benchmark weighting. Fund component holdings in the technology and industrial sectors delivered the next best performance, due to a combination of weighting and stock selection effects. The financial sector supplied the largest negative relative result, due to stock selection effects, as nine of 13 underlying holdings lost value during the period. Fund component holdings in the consumer discretionary and communication services sectors produced the next-largest negative relative results for the period, due to a combination of weighting and stock selection effects. As of September 30, 2022, the Fund component no longer held any hedges or derivatives; however, over the past 12 months, hedges contributed to the Harris Fund component’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.

 

60

 

 

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

 

Subadviser outlook

MFS believes that, as of the end of the fiscal year, with central banks aggressively raising interest rates to combat stubbornly elevated inflation levels, Russia restricting its natural gas supply to Europe, and China continuing to enforce its Zero-COVID lockdown policy, it seems like a matter of when, not if, many company earnings decline from record levels. Composite leading indicators compiled by the Organization for Economic Co-operation and Development (OECD) during the fiscal year support this potential outcome. After suggesting expansionary economic activity just one year ago, the OECD’s global, developed markets and emerging markets leading indicators have all turned negative as of the end of the fiscal year. Although MFS believes that it is difficult to forecast how far earnings might decline from current levels, in MFS’s opinion, the companies in its Fund component’s portfolio have more pricing power, higher returns, and less volatile earnings than the market overall.

 

Harris observes that a variety of macroeconomic concerns pressured financial markets throughout the fiscal year. While Harris does not overlook the negative impacts that the war in Ukraine, tightening financial conditions, energy crisis, and volatile currencies will continue to have, Harris remains cognizant that a company’s value is generally derived from its longer-term cash flows, discounted back to the present day. As share prices fall across the board, Harris plans to focus on long-term normalized earning power at normalized discount rates, purchasing them at valuations below Fund management’s estimate of intrinsic value.

 

61

 

 

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

 

MassMutual
Overseas Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Nestle SA Registered

2.7%

Roche Holding AG

2.6%

Capgemini SE

2.0%

Schneider Electric SE

1.9%

SAP SE

1.8%

Bayer AG Registered

1.7%

Intesa Sanpaolo SpA

1.7%

Air Liquide SA

1.7%

LVMH Moet Hennessy Louis Vuitton SE

1.6%

Novo Nordisk A/S Class B

1.5%

 

19.2%
   

 

MassMutual
Overseas Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

29.2%

Financial

18.3%

Consumer, Cyclical

14.8%

Industrial

14.5%

Technology

7.6%

Basic Materials

5.5%

Communications

4.8%

Energy

1.6%

Utilities

0.8%

Mutual Funds

0.7%

Total Long-Term Investments

97.8%

Short-Term Investments and Other Assets and Liabilities

2.2%

Net Assets

100.0%
   

 

62

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

11/15/2010

-24.66%

-0.51%

4.29%

  

Class R5

05/01/2001

-24.74%

-0.61%

4.14%

  

Service Class

05/01/2001

-24.79%

-0.70%

4.06%

  

Administrative Class

05/01/2001

-24.93%

-0.81%

3.95%

  

Class R4

04/01/2014

-24.94%

-0.95%

  

1.08%

Class A

05/01/2001

-25.07%

-1.05%

3.69%

  

Class A (sales load deducted)*

05/01/2001

-29.19%

-2.17%

3.11%

  

Class R3

12/31/2002

-25.23%

-1.20%

3.50%

  

MSCI EAFE Index

  

-25.13%

-0.84%

3.67%

1.00%

 

* 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.

 

63

 

 

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 are the Fund’s subadvisers?

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). In addition, each of T. Rowe Price International Ltd, T. Rowe Price Hong Kong Limited, and T. Rowe Price Singapore Private Ltd. serves as a sub-subadviser for the Fund.

 

Except as noted below, the MassMutual Select T. Rowe Price International Equity Fund has not been available for purchase by new or existing investors since October 29, 2020. The MassMutual Select T. Rowe Price Retirement Funds will continue to be able to purchase shares of the Fund. No other new or existing customers will be able to make purchases of the Fund, except that existing customers may continue to reinvest any dividends and capital gains distributions. Purchases of Fund shares may be further restricted or reopened in the future.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class I shares returned -25.28%, underperforming the -25.17% 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, 2022, 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. For the fiscal year ended September 30, 2022, stock selection among the emerging markets stock and international developed value equity allocations detracted from relative returns, as the allocations lagged their respective benchmarks. Conversely, selection in the international developed growth and emerging markets value equity allocations lifted relative results. Tactical positioning had a mixed impact on results. An overweight allocation to international large-cap value equities, which outpaced growth equities for the period, was beneficial. However, an overweight allocation to emerging markets equities, which trailed international developed stocks, weighed on relative performance.

 

Within the emerging markets equity allocation, less-than-favorable stock selection in the financial sector detracted from relative results, driven by holdings in the banking industry. Weak stock selection in the communication services sector also had a negative impact on relative performance. Conversely, favorable stock selection in the real estate sector lifted relative results, led by the real estate management and development industry. From a country perspective, weak stock selection in India weighed on relative returns. However, positive stock selection in Hong Kong aided relative returns, although it was mostly offset by an overweight allocation.

 

The international equity value allocation underperformed, as unfavorable security selection, coupled with an overweight allocation to the information technology sector, weighed on relative performance, driven by holdings in the semiconductors and semiconductor equipment industry. Detrimental stock choices and an underweight allocation to the energy sector also held back relative results. However, favorable stock selection in the consumer staples sector added value, led by the food products industry. Regionally, stock selection in developed Europe was a notable detractor from relative performance, driven by underperforming shares in the United Kingdom. Conversely, out-of-benchmark exposure to Canada bolstered returns.

 

Within the international core equity allocation, security selection in the financial sector contributed to relative performance, led by holdings in the insurance industry. However, stock selection within the consumer discretionary sector weighed on relative returns, driven by holdings within the internet and direct marketing retail industry. The health care sector also hurt relative returns due to poor stock selection. Regionally, out-of-benchmark exposure to Canada proved beneficial. On the contrary, security selection within developed Europe detracted from relative results, driven by shares in the United Kingdom.

 

64

 

 

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

 

The international equity growth allocation posted negative absolute returns. Nevertheless, favorable stock selection in the industrial and business services sector significantly contributed to relative results, driven by holdings in the aerospace and defense industry. Strong stock choices, coupled with an overweight allocation in the financial sector, also bolstered relative performance. Conversely, stock selection in the health care sector held back relative returns, driven by holdings in the pharmaceuticals industry. Regionally, favorable stock selection in and an underweight allocation to Japan was a notable contributor to relative performance. However, unfavorable security selection in Latin America detracted, driven by exposure to Brazilian equities.

 

The emerging markets value equity allocation posted negative absolute returns, although strong security selection in the industrial and business services sector was a significant contributor to relative performance, led by holdings in the machinery industry. Favorable stock selection, coupled with an underweight allocation to the health care sector, also had a positive impact on relative returns. Conversely, unfavorable stock selection within the financial sector was a notable detractor from relative performance, led by holdings in the capital markets industry. From a regional perspective, security selection in Pacific ex-Japan contributed significantly to relative performance, led by Chinese shares. Conversely, selection in the emerging markets Europe, Middle East, and Africa (EMEA) region detracted from relative results.

 

During the fiscal year, the Fund held equity options and rights. The use of rights added slightly to performance, whereas the estimated return impact from employing equity options 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.

 

Subadviser outlook

T. Rowe Price notes that, as of the end of the fiscal year, valuations improved as risk assets pulled back from recent highs; however, in T. Rowe Price’s view uncertainty around corporate fundamentals suggests limited near-term upside, particularly as earnings estimates have not seen significant downward revision to reflect rising recession risks. Fund management continues to assess when to add to equities and other risk assets as they evaluate long-term valuations and early indications of stabilization or improvement in macroeconomic conditions. Given the range of potential paths for growth and inflation, Fund management expects its positioning to remain cautious, as they anticipate a firm commitment from major central banks to bring down inflation could result in a low ceiling for stocks in the near term – and could exacerbate economic contraction through over-tightening. In T. Rowe Price’s view, other key risks to global markets include the Russia-Ukraine conflict and the associated impact of energy supply shortages, which could weigh on European manufacturing, broader geopolitical instability, and unexpected supply chain disruption. They believe that such conditions contribute to a less compelling risk/reward trade-off between stocks and bonds or cash in the near term, and that a more modest allocation to equities may be prudent.

 

65

 

 

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 9/30/22

Taiwan Semiconductor Manufacturing Co. Ltd.

2.3%

Samsung Electronics Co. Ltd.

1.6%

Roche Holding AG

1.6%

AstraZeneca PLC Sponsored ADR

1.5%

Nestle SA Registered

1.5%

Nippon Telegraph & Telephone Corp.

1.4%

ASML Holding NV

1.1%

TotalEnergies SE

0.9%

Sanofi

0.9%

Unilever PLC

0.9%
 

13.7%
   

 

MassMutual Select
T. Rowe Price International Equity Fund
Sector Table
(% of Net Assets) on 9/30/22

Financial

22.7%

Consumer, Non-cyclical

22.2%

Consumer, Cyclical

10.9%

Industrial

10.7%

Communications

9.9%

Technology

9.4%

Basic Materials

5.2%

Energy

3.5%

Utilities

2.3%

Mutual Funds

2.0%

Total Long-Term Investments

98.8%

Short-Term Investments and Other Assets and Liabilities

1.2%

Net Assets

100.0%
   

 

66

 

 

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

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-25.28%

-1.69%

MSCI ACWI ex USA

  

-25.17%

-1.64%

 

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.

 

67

 

 

MassMutual Total Return Bond Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 0.1%

COMMON STOCK — 0.1%

Communications — 0.1%

Telecommunications — 0.1%

Intelsat Emergence SA

    16,754     $ 435,604  
                 

TOTAL COMMON STOCK (Cost $1,575,355)

            435,604  
                 

TOTAL EQUITIES (Cost $1,575,355)

            435,604  
   

Principal
Amount

          

BONDS & NOTES — 116.8%

BANK LOANS — 2.2%

Aerospace & Defense — 0.1%

TransDigm, Inc.

                

2020 Term Loan E, 3 mo. USD LIBOR + 2.250%

                

5.924% VRN 5/30/25

  $ 289,790       277,631  

2020 Term Loan F, 3 mo. USD LIBOR + 2.250%

                

5.924% VRN 12/09/25

    17,502       16,741  
              294,372  

Airlines — 0.0%

American Airlines, Inc., 2017 1st Lien Term Loan, 1 mo. USD LIBOR + 1.750%

                

4.871% VRN 1/29/27

    86,864       79,697  

United Airlines, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750%

                

6.533% VRN 4/21/28

    53,349       50,823  
              130,520  

Auto Parts & Equipment — 0.0%

Clarios Global LP, 2021 USD Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 4/30/26

    211,302       199,416  

Beverages — 0.0%

Naked Juice LLC, Term Loan, 3 mo. USD SOFR + 3.250%

                

6.903% VRN 1/24/29

    90,825       83,066  

Chemicals — 0.1%

Zep, Inc., 2017 1st Lien Term Loan, 3 mo. USD LIBOR + 4.000%

                

7.674% VRN 8/12/24

    257,988       222,514  

 

   

Principal
Amount

    

Value

  

Commercial Services — 0.1%

AI Aqua Merger Sub, Inc.

                

2022 Term Loan B,

                

0.000% 7/31/28 (a)

  $ 80,329     $ 74,556  

2022 Delayed Draw Term loan,

                

0.000% 7/31/28 (a)

    18,257       16,944  

Amentum Government Services Holdings LLC, Term Loan B, 3 mo. USD LIBOR + 4.000%, 6 mo. USD LIBOR + 4.000%

                

8.170% - 8.170% VRN 1/29/27

    69,340       65,989  

Element Materials Technology Group US Holdings, Inc.

                

2022 USD Delayed Draw Term Loan,

                

0.000% 7/06/29 (a) (b)

    22,372       20,946  

2022 USD Term Loan,

                

0.000% 7/06/29 (a)

    48,472       45,382  

Pre-Paid Legal Services, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 3.750%

                

6.820% VRN 12/15/28

    104,070       98,606  

Prime Security Services Borrower, LLC, 2021 Term Loan, 1 mo. USD LIBOR + 2.750%

                

5.303% VRN 9/23/26

    111,517       107,840  

Safe Fleet Holdings LLC, 2022 Term Loan, 1 mo. USD SOFR CME + 3.750%

                

6.826% VRN 2/23/29

    30,994       29,134  

Spin Holdco, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 4.000%

                

7.144% VRN 3/04/28

    230,968       202,048  

Trans Union, LLC, 2021 Term Loan B6, 1 mo. USD LIBOR + 2.250%

                

5.365% VRN 12/01/28

    123,892       119,789  

TruGreen Ltd. Partnership, 2020 Term Loan, 1 mo. USD LIBOR + 4.000%

                

7.115% VRN 11/02/27

    57,339       54,042  
              835,276  

Computers — 0.0%

Peraton Corp., Term Loan B, 1 mo. USD LIBOR + 3.750%

                

6.865% VRN 2/01/28

    70,467       66,662  

Cosmetics & Personal Care — 0.0%

Sunshine Luxembourg VII SARL, 2021 Term Loan B3, 3 mo. USD LIBOR + 3.750%

                

7.424% VRN 10/01/26

    115,428       107,124  

 

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

 

68

 

 

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

 

   

Principal
Amount

    

Value

  

Diversified Financial Services — 0.1%

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 1 mo. USD LIBOR + 1.750%

                

4.764% VRN 1/15/25

  $ 70,325     $ 68,552  

Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 1 mo. USD SOFR CME + 3.750%

                

6.784% VRN 4/09/27

    141,408       133,160  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, 3 mo. USD LIBOR + 2.000%

                

5.674% VRN 11/05/28

    700,000       682,500  
              884,212  

Electronics — 0.0%

II-VI, Inc., 2022 Term Loan B, 1 mo. USD LIBOR + 2.750%

                

5.314% VRN 7/02/29

    39,896       38,567  

Ingram Micro, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.500%

                

7.174% VRN 6/30/28

    128,212       124,686  
              163,253  

Entertainment — 0.0%

J&J Ventures Gaming, LLC, Term Loan, 3 mo. USD LIBOR + 4.000%

                

7.674% VRN 4/26/28

    32,433       30,670  

Penn National Gaming, Inc., 2022 Term Loan B, 1 mo. USD SOFR CME + 2.750%

                

5.884% VRN 5/03/29

    53,067       50,929  

Scientific Games International, Inc., 2022 USD Term Loan, 1 mo. USD SOFR CME + 3.000%

                

5.906% VRN 4/14/29

    107,613       104,331  
              185,930  

Food — 0.0%

Hostess Brands LLC, 2019 Term Loan, 1 mo. USD LIBOR + 2.250%, 3 mo. USD LIBOR + 2.250%

                

5.056% - 5.365% VRN 8/03/25

    191,681       184,999  

Health Care – Products — 0.1%

Avantor Funding, Inc., 2021 Term Loan B5, 1 mo. USD LIBOR + 2.250%

                

5.365% VRN 11/08/27

    359,280       349,008  

Bausch & Lomb, Inc., Term Loan, 1 mo. USD SOFR CME + 3.250%

                

6.098% VRN 5/10/27

    38,250       35,512  

 

   

Principal
Amount

    

Value

  

Medline Borrower LP, USD Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 10/23/28

  $ 104,738     $ 96,129  
              480,649  

Insurance — 0.2%

Acrisure, LLC, 2020 Term Loan B, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 2/15/27

    198,473       181,023  

AmWINS Group, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 2.250%

                

5.365% VRN 2/19/28

    957,945       914,617  

Asurion, LLC

                

2020 Term Loan B8, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 12/23/26

    204,286       172,751  

2022 Term Loan B10, 3 mo. USD SOFR CME + 4.000%

                

7.703% VRN 8/19/28

    132,740       112,773  

Hub International Ltd., 2021 Term Loan B, 3 mo. USD LIBOR + 3.250%

                

5.982% VRN 4/25/25

    114,157       109,805  
              1,490,969  

Internet — 0.0%

Proofpoint, Inc., 1st Lien Term Loan, 3 mo. USD LIBOR + 3.250%

                

6.320% VRN 8/31/28

    10,000       9,371  

Lodging — 0.1%

Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.750%

                

5.865% VRN 12/23/24

    227,350       221,689  

Fertitta Entertainment, LLC, 2022 Term Loan B,

                

0.000% 1/27/29 (a)

    299,250       277,117  
              498,806  

Media — 0.1%

Charter Communications Operating LLC, 2019 Term Loan B2, 1 mo. USD LIBOR + 1.750%

                

4.870% VRN 2/01/27

    97,243       93,434  

CSC Holdings LLC, 2017 Term Loan B1, 1 mo. USD LIBOR + 2.250%

                

5.068% VRN 7/17/25

    146,826       139,578  

Diamond Sports Group LLC, 2022 2nd Lien Term Loan, 1 mo. USD SOFR CME + 3.250%

                

5.946% VRN 8/24/26

    172,799       32,954  

 

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

 

69

 

 

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

 

   

Principal
Amount

    

Value

  

DirecTV Financing, LLC, Term Loan, 1 mo. USD LIBOR + 5.000%

                

8.115% VRN 8/02/27

  $ 409,500     $ 380,479  

Telenet Financing USD LLC, 2020 USD Term Loan AR, 1 mo. USD LIBOR + 2.000%

                

4.818% VRN 4/30/28

    300,000       283,875  
              930,320  

Metal Fabricate & Hardware — 0.0%

AZZ, Inc., Term Loan B,

                

0.000% 5/13/29 (a)

    28,189       27,390  

Packaging & Containers — 0.2%

Berry Global, Inc., 2021 Term Loan Z, 3 mo. USD LIBOR + 1.750%

                

4.178% VRN 7/01/26

    985,634       953,069  

Pharmaceuticals — 0.4%

Change Healthcare Holdings LLC, 2017 Term Loan B, 3 mo. USD PRIME + 1.500%

                

7.750% VRN 3/01/24

    187,719       186,989  

Elanco Animal Health, Inc., Term Loan B, 1 mo. USD LIBOR + 1.750%

                

4.314% VRN 8/01/27

    632,677       600,651  

Gainwell Acquisition Corp., Term Loan B, 3 mo. USD LIBOR + 4.000%

                

7.674% VRN 10/01/27

    223,295       212,298  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 mo. USD LIBOR + 2.000%

                

5.115% VRN 11/15/27

    723,383       685,304  

Horizon Therapeutics USA, Inc., 2021 Term Loan B2, 1 mo. USD LIBOR + 1.750%

                

4.875% VRN 3/15/28

    315,950       302,721  

Jazz Financing Lux SARL, USD Term Loan, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 5/05/28

    385,931       372,424  

Organon & Co, USD Term Loan, 3 mo. USD LIBOR + 3.000%

                

6.188% VRN 6/02/28

    461,595       450,055  
              2,810,442  

Retail — 0.1%

1011778 B.C. Unlimited Liability Co., Term Loan B4, 1 mo. USD LIBOR + 1.750%

                

4.871% VRN 11/19/26

    366,939       350,100  

 

   

Principal
Amount

    

Value

  

Whatabrands LLC, 2021 Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 8/03/28

  $ 471,438     $ 435,255  
              785,355  

Semiconductors — 0.0%

Entegris, Inc., 2022 Term Loan B, 1 mo. USD SOFRTE + 3.000%

                

5.455% VRN 7/06/29

    130,000       128,844  

Software — 0.1%

Athenahealth, Inc.

                

2022 Delayed Draw Term Loan, 3 mo. USD LIBOR + 3.500%

                

3.500% VRN 2/15/29 (b)

    6,289       5,622  

2022 Term Loan B, 1 mo. USD SOFR CME + 3.500%

                

6.576% VRN 2/15/29

    37,010       33,087  

CDK Global, Inc., 2022 USD Term Loan B, 3 mo. USD SOFR CME + 4.500%

                

6.610% VRN 7/06/29

    183,478       176,411  

DTI Holdco, Inc., 2022 Term Loan, 3 mo. USD SOFR CME + 4.750%

                

7.327% VRN 4/26/29

    23,080       21,823  

Mitnick Corporate Purchaser, Inc., Term Loan,

                

0.000% 5/02/29 (a)

    36,000       33,930  

NortonLifeLock, Inc., 2022 Term Loan B, 3 mo. USD SOFR + 2.000%

                

4.848% VRN 9/12/29

    550,000       527,725  

RealPage, Inc., 1st Lien Term Loan, 1 mo. USD LIBOR + 3.000%

                

3.500% VRN 4/24/28

    36,000       33,670  

Sophia, L.P., 2021 Term Loan B, 3 mo. USD LIBOR + 3.500%

                

7.174% VRN 10/07/27

    98,156       94,230  
              926,498  

Telecommunications — 0.5%

CenturyLink, Inc., 2020 Term Loan B, 1 mo. USD LIBOR + 2.250%

                

5.365% VRN 3/15/27

    858,350       779,090  

CommScope, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 4/06/26

    291,000       268,084  

Intelsat Jackson Holdings S.A., 2021 Exit Term Loan B, 6 mo. USD SOFRTE + 4.500%

                

7.445% VRN 2/01/29

    101,028       94,587  

 

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

 

70

 

 

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

 

   

Principal
Amount

    

Value

  

Level 3 Financing, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 1.750%

                

4.865% VRN 3/01/27

  $ 1,131,435     $ 1,072,918  

SBA Senior Finance II LLC, 2018 Term Loan B, 1 mo. USD LIBOR + 1.750%

                

4.870% VRN 4/11/25

    478,750       464,986  

Zayo Group Holdings, Inc., USD Term Loan, 1 mo. USD LIBOR + 3.000%

                

6.115% VRN 3/09/27

    837,204       697,081  
              3,376,746  

Transportation — 0.0%

Genesee & Wyoming, Inc., Term Loan, 3 mo. USD LIBOR + 2.000%

                

5.674% VRN 12/30/26

    66,813       64,854  
                 

TOTAL BANK LOANS (Cost $16,651,191)

            15,840,657  
                 

CORPORATE DEBT — 29.5%

Aerospace & Defense — 0.3%

The Boeing Co.

                

1.167% 2/04/23

    1,855,000       1,832,083  

Agriculture — 0.5%

BAT Capital Corp.

                

4.390% 8/15/37

    340,000       242,409  

4.540% 8/15/47

    2,165,000       1,434,540  

5.650% 3/16/52

    570,000       434,708  

Imperial Brands Finance PLC

                

3.875% 7/26/29 (c)

    50,000       42,445  

6.125% 7/27/27 (c)

    690,000       680,203  

Reynolds American, Inc.

                

5.850% 8/15/45

    1,160,000       910,117  
              3,744,422  

Airlines — 0.1%

U.S. Airways Pass-Through Trust

                

7.125% 4/22/25

    624,753       620,482  

Auto Manufacturers — 0.1%

Allison Transmission, Inc.

                

3.750% 1/30/31 (c)

    475,000       364,130  

General Motors Co.

                

4.875% 10/02/23

    150,000       149,345  
              513,475  

Banks — 10.0%

Bank of America Corp.

                

SOFR + 1.370% 1.922% VRN 10/24/31

    925,000       682,914  

 

   

Principal
Amount

    

Value

  

SOFR + 1.060% 2.087% VRN 6/14/29

  $ 1,835,000     $ 1,492,029  

SOFR + 1.220% 2.299% VRN 7/21/32

    490,000       365,683  

SOFR + 1.210% 2.572% VRN 10/20/32

    1,300,000       993,812  

SOFR + 2.150% 2.592% VRN 4/29/31

    290,000       229,896  

SOFR + 1.320% 2.687% VRN 4/22/32

    245,000       190,839  

SOFR + 1.330% 2.972% VRN 2/04/33

    475,000       371,157  

3 mo. USD LIBOR + .790% 3.004% VRN 12/20/23

    355,000       353,127  

3 mo. USD LIBOR + .810% 3.366% VRN 1/23/26

    5,365,000       5,084,911  

3 mo. USD LIBOR + 1.070% 3.970% VRN 3/05/29

    1,670,000       1,511,626  

Citigroup, Inc.

                

SOFR + .770% 1.462% VRN 6/09/27

    1,225,000       1,043,359  

SOFR + 1.167% 2.561% VRN 5/01/32

    1,030,000       790,340  

SOFR + 2.107% 2.572% VRN 6/03/31

    1,070,000       841,234  

SOFR + 1.146% 2.666% VRN 1/29/31

    430,000       342,943  

SOFR + 1.422% 2.976% VRN 11/05/30

    500,000       410,777  

SOFR + 1.351% 3.057% VRN 1/25/33

    1,350,000       1,062,678  

SOFR + 1.280% 3.070% VRN 2/24/28

    410,000       365,129  

SOFR + 3.914% 4.412% VRN 3/31/31

    830,000       744,894  

Credit Suisse Group AG

                

SOFR + .980% 1.305% VRN 2/02/27 (c)

    1,315,000       1,067,570  

SOFR + 1.730% 3.091% VRN 5/14/32 (c)

    1,850,000       1,297,138  

SOFR + 3.700% 6.442% VRN 8/11/28 (c)

    345,000       320,974  

SOFR + 3.920% 6.537% VRN 8/12/33 (c)

    2,135,000       1,918,360  

Discover Bank

                

4.200% 8/08/23

    1,120,000       1,113,089  

DNB Bank ASA 1 year CMT + .680%

                

1.605% VRN 3/30/28 (c)

    1,400,000       1,166,028  

Global Bank Corp. 3 mo. USD LIBOR + 3.300%

                

5.250% VRN 4/16/29 (c)

    200,000       183,640  

 

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

 

71

 

 

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

 

   

Principal
Amount

    

Value

  

The Goldman Sachs Group, Inc.

                

SOFR + .486% 0.925% VRN 10/21/24

  $ 895,000     $ 850,194  

SOFR + .789% 1.093% VRN 12/09/26

    485,000       418,592  

1.217% 12/06/23

    2,245,000       2,152,805  

SOFR + .798% 1.431% VRN 3/09/27

    2,295,000       1,973,734  

SOFR + .913% 1.948% VRN 10/21/27

    1,755,000       1,501,446  

SOFR + 1.090% 1.992% VRN 1/27/32

    315,000       232,780  

SOFR + 1.248% 2.383% VRN 7/21/32

    950,000       715,957  

SOFR + 1.264% 2.650% VRN 10/21/32

    465,000       356,098  

HSBC Holdings PLC

                

SOFR + 1.732% 2.013% VRN 9/22/28

    1,370,000       1,095,535  

SOFR + 1.929% 2.099% VRN 6/04/26

    1,480,000       1,325,487  

SOFR + 1.285% 2.206% VRN 8/17/29

    1,135,000       878,683  

SOFR + 1.187% 2.804% VRN 5/24/32

    865,000       634,752  

SOFR + 2.110% 4.755% VRN 6/09/28

    1,080,000       992,835  

SOFR + 2.870% 5.402% VRN 8/11/33

    320,000       284,415  

JP Morgan Chase & Co.

                

SOFR + .580% 0.697% VRN 3/16/24

    440,000       430,743  

3 mo. TSFR + .580% 0.969% VRN 6/23/25

    2,650,000       2,451,811  

SOFR + .605% 1.561% VRN 12/10/25

    1,890,000       1,733,649  

SOFR + .885% 1.578% VRN 4/22/27

    1,360,000       1,175,096  

SOFR + 1.180% 2.545% VRN 11/08/32

    850,000       644,690  

SOFR + 1.250% 2.580% VRN 4/22/32

    390,000       301,919  

SOFR + 1.510% 2.739% VRN 10/15/30

    540,000       438,905  

SOFR + 1.170% 2.947% VRN 2/24/28

    535,000       473,264  

3 mo. USD LIBOR + 1.245% 3.960% VRN 1/29/27

    630,000       594,727  

Lloyds Banking Group PLC

                

1 year CMT + .850% 1.627% VRN 5/11/27

    1,000,000       850,165  

3 mo. USD LIBOR + .810% 2.907% VRN 11/07/23

    1,090,000       1,087,471  

 

   

Principal
Amount

    

Value

  

3 mo. USD LIBOR + 1.205% 3.574% VRN 11/07/28

  $ 425,000     $ 372,906  

1 year CMT + 3.500% 3.870% VRN 7/09/25

    415,000       400,250  

1 year CMT + 2.300% 4.976% VRN 8/11/33

    995,000       869,035  

Macquarie Group Ltd.

                

SOFR + 1.069% 1.340% VRN 1/12/27 (c)

    920,000       787,668  

SOFR + 1.440% 2.691% VRN 6/23/32 (c) (d)

    5,000       3,763  

SOFR + 1.532% 2.871% VRN 1/14/33 (c)

    1,335,000       1,002,715  

SOFR + 2.405% 4.442% VRN 6/21/33 (c)

    525,000       447,226  

Morgan Stanley

                

SOFR + .560% 1.164% VRN 10/21/25

    2,885,000       2,628,561  

SOFR + .879% 1.593% VRN 5/04/27

    1,365,000       1,176,926  

SOFR + 1.020% 1.928% VRN 4/28/32

    1,005,000       733,358  

SOFR + 1.178% 2.239% VRN 7/21/32

    360,000       270,427  

SOFR + 1.360% 2.484% VRN 9/16/36

    980,000       701,935  

SOFR + 1.200% 2.511% VRN 10/20/32

    585,000       446,825  

Natwest Group PLC 3 mo. USD LIBOR + 1.762%

                

4.269% VRN 3/22/25

    1,710,000       1,662,905  

Santander UK Group Holdings PLC

                

SOFR + .787% 1.089% VRN 3/15/25

    1,825,000       1,685,337  

1 year CMT + 1.250% 1.532% VRN 8/21/26

    295,000       255,810  

SOFR + .989% 1.673% VRN 6/14/27

    340,000       282,711  

SOFR + 1.220% 2.469% VRN 1/11/28

    285,000       237,327  

3 mo. USD LIBOR + 1.570% 4.796% VRN 11/15/24

    525,000       517,746  

Santander UK PLC

                

5.000% 11/07/23 (c)

    1,390,000       1,375,335  

UBS Group AG Registered 1 year CMT + 1.550%

                

4.488% VRN 5/12/26 (c)

    445,000       428,948  

Wells Fargo & Co.

                

SOFR + 2.100% 2.393% VRN 6/02/28

    1,710,000       1,467,177  

SOFR + 1.500% 3.350% VRN 3/02/33

    3,750,000       3,039,707  

 

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

 

72

 

 

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

 

   

Principal
Amount

    

Value

  

SOFR + 1.510% 3.526% VRN 3/24/28

  $ 1,800,000     $ 1,631,043  

3 mo. USD LIBOR + 1.310% 3.584% VRN 5/22/28

    1,345,000       1,216,696  

SOFR + 2.100% 4.897% VRN 7/25/33

    1,025,000       940,491  
              72,122,728  

Beverages — 0.4%

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.

                

4.900% 2/01/46

    2,215,000       1,919,641  

Bacardi Ltd.

                

5.300% 5/15/48 (c)

    275,000       233,749  

Constellation Brands, Inc.

                

4.750% 5/09/32

    785,000       731,178  
              2,884,568  

Chemicals — 0.2%

International Flavors & Fragrances, Inc.

                

2.300% 11/01/30 (c)

    1,685,000       1,292,873  

5.000% 9/26/48

    430,000       358,919  
              1,651,792  

Commercial Services — 0.3%

Global Payments, Inc.

                

5.400% 8/15/32

    365,000       337,148  

5.950% 8/15/52

    495,000       436,169  

Rent-A-Center, Inc.

                

6.375% 2/15/29 (c) (d)

    85,000       66,300  

S&P Global, Inc.

                

2.900% 3/01/32 (c)

    415,000       346,064  

4.750% 8/01/28 (c)

    750,000       732,361  

WASH Multifamily Acquisition, Inc.

                

5.750% 4/15/26 (c)

    85,000       78,389  
              1,996,431  

Computers — 0.1%

Lenovo Group Ltd.

                

6.536% 7/27/32 (c)

    370,000       340,373  

NCR Corp.

                

5.125% 4/15/29 (c)

    175,000       131,254  

6.125% 9/01/29 (c) (d)

    225,000       193,734  
              665,361  

Cosmetics & Personal Care — 0.2%

GSK Consumer Healthcare Co.

                

3.625% 3/24/32 (c)

    1,430,000       1,208,086  

 

   

Principal
Amount

    

Value

  

Diversified Financial Services — 1.2%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

                

3.300% 1/30/32

  $ 2,270,000     $ 1,704,847  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust

                

3.875% 1/23/28

    265,000       228,838  

4.125% 7/03/23

    220,000       218,278  

Air Lease Corp.

                

3.250% 3/01/25

    950,000       889,931  

Avolon Holdings Funding Ltd.

                

2.528% 11/18/27 (c)

    1,109,000       871,429  

2.875% 2/15/25 (c)

    860,000       778,056  

3.950% 7/01/24 (c)

    380,000       359,568  

Capital One Financial Corp. SOFR + 1.790%

                

3.273% VRN 3/01/30

    1,160,000       970,350  

Charles Schwab Corp.

                

2.900% 3/03/32

    415,000       341,666  

Discover Financial Services

                

3.950% 11/06/24

    150,000       146,286  

Intercontinental Exchange, Inc.

                

4.600% 3/15/33

    990,000       921,381  

ORIX Corp.

                

5.200% 9/13/32

    745,000       707,819  

Park Aerospace Holdings Ltd.

                

4.500% 3/15/23 (c)

    700,000       695,863  

5.500% 2/15/24 (c)

    75,000       73,220  
              8,907,532  

Electric — 1.5%

Ameren Illinois Co.

                

3.700% 12/01/47

    480,000       364,466  

Consolidated Edison Co. of New York, Inc.

                

4.650% 12/01/48

    1,000,000       851,612  

Duke Energy Carolinas LLC

                

3.700% 12/01/47

    738,000       551,056  

Duke Energy Corp.

                

2.550% 6/15/31

    560,000       438,403  

3.750% 9/01/46

    471,000       333,585  

Entergy Louisiana LLC

                

3.780% 4/01/25

    1,250,000       1,205,760  

Eversource Energy

                

4.600% 7/01/27

    735,000       709,701  

FirstEnergy Transmission LLC

                

2.866% 9/15/28 (c)

    1,401,000       1,191,584  

5.450% 7/15/44 (c)

    600,000       542,692  

Florida Power & Light Co.

                

3.990% 3/01/49

    1,000,000       808,739  

 

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

 

73

 

 

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

 

   

Principal
Amount

    

Value

  

Metropolitan Edison Co.

                

4.000% 4/15/25 (c)

  $ 985,000     $ 934,652  

MidAmerican Energy Co.

                

4.400% 10/15/44

    1,905,000       1,618,047  

Mong Duong Finance Holdings BV

                

5.125% 5/07/29 (c)

    250,000       195,827  

NextEra Energy Capital Holdings, Inc.

                

4.625% 7/15/27

    925,000       894,417  
              10,640,541  

Engineering & Construction — 0.1%

Artera Services LLC

                

9.033% 12/04/25 (c)

    257,000       206,885  

Heathrow Funding Ltd.

                

1.875% 3/14/36 EUR (c) (e)

    895,000       616,657  
              823,542  

Entertainment — 0.5%

Caesars Entertainment, Inc.

                

8.125% 7/01/27 (c) (d)

    250,000       238,771  

Warnermedia Holdings, Inc.

                

5.050% 3/15/42 (c)

    1,760,000       1,317,088  

5.141% 3/15/52 (c)

    2,551,000       1,850,877  
              3,406,736  

Environmental Controls — 0.0%

Waste Pro USA, Inc.

                

5.500% 2/15/26 (c)

    400,000       352,532  

Food — 0.6%

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.

                

3.000% 2/02/29 (c)

    730,000       597,359  

3.000% 5/15/32 (c)

    410,000       302,785  

6.500% 12/01/52 (c)

    900,000       801,945  

Kraft Heinz Foods Co.

                

4.875% 10/01/49

    815,000       671,802  

5.200% 7/15/45

    750,000       650,506  

Pilgrim’s Pride Corp.

                

3.500% 3/01/32 (c)

    500,000       376,277  

5.875% 9/30/27 (c)

    75,000       72,938  

Post Holdings, Inc.

                

5.750% 3/01/27 (c)

    525,000       500,750  
              3,974,362  

Gas — 0.2%

KeySpan Gas East Corp.

                

5.819% 4/01/41 (c)

    1,337,000       1,262,022  

Health Care – Products — 0.0%

Medline Borrower LP

                

3.875% 4/01/29 (c)

    375,000       300,937  

 

   

Principal
Amount

    

Value

  

Health Care – Services — 1.7%

Aetna, Inc.

                

3.500% 11/15/24

  $ 500,000     $ 485,990  

Centene Corp.

                

2.450% 7/15/28

    1,951,000       1,588,543  

4.250% 12/15/27

    590,000       538,567  

CommonSpirit Health

                

2.782% 10/01/30

    455,000       362,979  

3.347% 10/01/29

    1,200,000       1,015,500  

HCA, Inc.

                

2.375% 7/15/31

    230,000       170,059  

3.500% 9/01/30

    859,000       709,293  

4.125% 6/15/29

    1,262,000       1,106,381  

5.125% 6/15/39

    650,000       545,533  

5.250% 4/15/25

    644,000       630,892  

5.250% 6/15/49

    485,000       394,426  

5.375% 9/01/26

    590,000       571,809  

5.500% 6/15/47

    775,000       654,797  

Humana, Inc.

                

3.700% 3/23/29

    2,050,000       1,838,773  

ModivCare Escrow Issuer, Inc.

                

5.000% 10/01/29 (c)

    425,000       345,312  

Molina Healthcare, Inc.

                

3.875% 11/15/30 (c)

    417,000       349,976  

3.875% 5/15/32 (c)

    850,000       696,273  
              12,005,103  

Household Products & Wares — 0.0%

Central Garden & Pet Co.

                

5.125% 2/01/28

    22,000       19,806  

Insurance — 1.5%

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer

                

6.750% 10/15/27 (c)

    90,000       77,561  

Aon Corp. / Aon Global Holdings PLC

                

3.900% 2/28/52

    845,000       626,405  

5.000% 9/12/32

    545,000       522,103  

Athene Global Funding

                

1.985% 8/19/28 (c)

    2,200,000       1,736,271  

3.205% 3/08/27 (c)

    445,000       393,504  

Berkshire Hathaway Finance Corp.

                

3.850% 3/15/52

    600,000       458,485  

Farmers Exchange Capital

                

3 mo. USD LIBOR + 3.454% 5.454% VRN 10/15/54 (c)

    3,290,000       3,030,465  

3 mo. USD LIBOR + 3.744% 6.151% VRN 11/01/53 (c)

    350,000       333,897  

 

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

 

74

 

 

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

 

   

Principal
Amount

    

Value

  

Teachers Insurance & Annuity Association of America 3 mo. USD LIBOR + 2.661%

                

4.375% VRN 9/15/54 (c)

  $ 4,000,000     $ 3,843,078  
              11,021,769  

Internet — 0.2%

NortonLifeLock, Inc.

                

6.750% 9/30/27 (c)

    400,000       385,212  

Tencent Holdings Ltd.

                

3.680% 4/22/41 (c)

    455,000       326,371  

3.840% 4/22/51 (c)

    455,000       297,162  

3.975% 4/11/29 (c)

    410,000       367,147  
              1,375,892  

Lodging — 0.1%

Hyatt Hotels Corp.

                

1.800% 10/01/24

    930,000       872,165  

Machinery – Diversified — 0.0%

OT Merger Corp.

                

7.875% 10/15/29 (c)

    125,000       84,688  

Media — 0.8%

Cable One, Inc.

                

4.000% 11/15/30 (c)

    1,085,000       840,584  

CCO Holdings LLC/CCO Holdings Capital Corp.

                

4.250% 2/01/31 (c)

    975,000       746,213  

4.250% 1/15/34 (c)

    500,000       358,125  

Charter Communications Operating LLC/Charter Communications Operating Capital

                

3.750% 2/15/28

    500,000       441,901  

4.800% 3/01/50

    375,000       270,556  

4.908% 7/23/25

    1,105,000       1,077,711  

5.250% 4/01/53

    250,000       191,069  

5.375% 4/01/38

    5,000       4,057  

5.375% 5/01/47

    180,000       139,252  

5.750% 4/01/48

    1,088,000       878,239  

CSC Holdings LLC

                

5.375% 2/01/28 (c)

    125,000       109,161  

Diamond Sports Group LLC / Diamond Sports Finance Co.

                

5.375% 8/15/26 (c)

    1,175,000       230,888  

Time Warner Cable, Inc.

                

5.500% 9/01/41

    370,000       290,456  

5.875% 11/15/40

    360,000       296,394  
              5,874,606  

Miscellaneous - Manufacturing — 0.2%

GE Capital International Funding Co. Unlimited Co.

                

4.418% 11/15/35

    1,067,000       957,722  

 

   

Principal
Amount

    

Value

  

General Electric Co.

                

6.750% 3/15/32

  $ 480,000     $ 518,407  
              1,476,129  

Oil & Gas — 0.5%

Ecopetrol SA

                

6.875% 4/29/30

    200,000       168,023  

KazMunay Gas National Co.

                

4.750% 4/19/27 (c)

    200,000       167,210  

Occidental Petroleum Corp.

                

0.000% 10/10/36

    115,000       58,396  

4.500% 7/15/44

    400,000       334,025  

Pertamina Persero PT

                

3.100% 8/27/30 (c)

    875,000       713,385  

Petroleos Mexicanos

                

6.625% 6/15/35

    2,100,000       1,341,900  

7.690% 1/23/50

    295,000       181,867  

Petronas Capital Ltd.

                

3.500% 4/21/30 (c)

    200,000       182,212  

Saudi Arabian Oil Co.

                

1.625% 11/24/25 (c)

    200,000       179,933  

Transocean Guardian Ltd.

                

5.875% 1/15/24 (c)

    184,550       173,774  

Transocean Poseidon Ltd.

                

6.875% 2/01/27 (c)

    203,875       186,545  
              3,687,270  

Oil & Gas Services — 0.1%

Transocean Proteus Ltd.

                

6.250% 12/01/24 (c)

    391,950       368,433  

USA Compression Partners LP/USA Compression Finance Corp.

                

6.875% 4/01/26

    70,000       64,121  
              432,554  

Packaging & Containers — 0.2%

Berry Global, Inc.

                

1.650% 1/15/27

    85,000       70,513  

4.875% 7/15/26 (c)

    585,000       549,900  

Mauser Packaging Solutions Holding Co.

                

5.500% 4/15/24 (c)

    70,000       66,500  

Sealed Air Corp.

                

1.573% 10/15/26 (c)

    1,200,000       1,005,080  

Trivium Packaging Finance BV

                

8.500% 8/15/27 (c) (d)

    75,000       66,211  
              1,758,204  

Pharmaceuticals — 1.4%

AbbVie, Inc.

                

4.450% 5/14/46

    695,000       564,899  

4.500% 5/14/35

    234,000       208,289  

 

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

 

75

 

 

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

 

   

Principal
Amount

    

Value

  

4.550% 3/15/35

  $ 576,000     $ 516,437  

Bayer US Finance II LLC

                

4.375% 12/15/28 (c)

    3,281,000       3,003,565  

4.625% 6/25/38 (c)

    1,310,000       1,084,165  

4.875% 6/25/48 (c)

    220,000       179,643  

Becton Dickinson and Co.

                

2.823% 5/20/30

    1,735,000       1,451,521  

Cigna Corp.

                

3.400% 3/15/51

    210,000       143,222  

4.125% 11/15/25

    695,000       675,107  

CVS Health Corp.

                

3.250% 8/15/29

    5,000       4,374  

5.050% 3/25/48

    2,360,000       2,070,474  

Embecta Corp.

                

5.000% 2/15/30 (c)

    425,000       364,790  

Endo DAC / Endo Finance LLC / Endo Finco, Inc.

                

6.000% 6/30/28 (c) (f)

    75,000       4,125  
              10,270,611  

Pipelines — 1.0%

Energy Transfer LP

                

4.950% 6/15/28

    1,291,000       1,203,056  

5.350% 5/15/45

    370,000       297,631  

5.400% 10/01/47

    1,275,000       1,032,239  

5.500% 6/01/27

    264,000       256,975  

5.950% 10/01/43

    750,000       649,905  

6.250% 4/15/49

    105,000       94,029  

Galaxy Pipeline Assets Bidco Ltd.

                

2.160% 3/31/34 (c)

    369,880       303,743  

Kinder Morgan, Inc.

                

5.550% 6/01/45

    565,000       492,511  

Plains All American Pipeline LP/PAA Finance Corp.

                

3.550% 12/15/29

    228,000       189,852  

Rockies Express Pipeline LLC

                

4.950% 7/15/29 (c)

    1,000,000       857,795  

6.875% 4/15/40 (c)

    745,000       606,393  

Sabine Pass Liquefaction LLC

                

4.500% 5/15/30

    765,000       696,627  

Southern Gas Corridor CJSC

                

6.875% 3/24/26 (c)

    400,000       393,440  
              7,074,196  

Real Estate — 0.0%

Vonovia SE

                

1.500% 6/14/41 EUR (c) (e)

    200,000       106,114  

Real Estate Investment Trusts (REITS) — 1.9%

Alexandria Real Estate Equities, Inc.

                

1.875% 2/01/33

    630,000       442,545  

 

   

Principal
Amount

    

Value

  

2.950% 3/15/34

  $ 420,000     $ 324,372  

American Assets Trust LP

                

3.375% 2/01/31

    865,000       686,722  

American Homes Rent

                

3.625% 4/15/32

    1,650,000       1,360,227  

CapLand Ascendas REIT

                

0.750% 6/23/28 EUR (c) (e)

    445,000       333,887  

GLP Capital LP/GLP Financing II, Inc.

                

4.000% 1/15/30

    60,000       50,108  

5.250% 6/01/25

    600,000       579,947  

5.300% 1/15/29

    620,000       565,378  

5.375% 4/15/26

    1,820,000       1,740,848  

Healthcare Realty Holdings LP

                

2.000% 3/15/31

    340,000       249,628  

2.400% 3/15/30

    615,000       470,916  

3.100% 2/15/30

    825,000       675,391  

3.625% 1/15/28

    33,000       29,068  

3.750% 7/01/27

    130,000       119,358  

Hudson Pacific Properties LP

                

4.650% 4/01/29

    1,185,000       1,052,308  

Invitation Homes Operating Partnership LP

                

2.000% 8/15/31

    145,000       103,973  

4.150% 4/15/32

    670,000       565,934  

Life Storage LP

                

2.400% 10/15/31

    925,000       694,417  

Physicians Realty LP

                

2.625% 11/01/31

    465,000       352,587  

SL Green Operating Partnership LP

                

3.250% 10/15/22

    1,000,000       999,598  

VICI Properties LP

                

3.750% 2/15/27 (c)

    60,000       52,552  

3.875% 2/15/29 (c)

    485,000       406,869  

4.500% 9/01/26 (c)

    240,000       219,351  

4.500% 1/15/28 (c)

    135,000       119,770  

4.625% 6/15/25 (c)

    65,000       61,150  

4.950% 2/15/30

    20,000       18,074  

5.125% 5/15/32

    770,000       682,528  

5.625% 5/15/52

    403,000       333,397  

5.750% 2/01/27 (c)

    255,000       240,281  
              13,531,184  

Retail — 0.3%

1011778 BC ULC/New Red Finance, Inc.

                

4.000% 10/15/30 (c)

    450,000       354,411  

Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.

                

6.750% 1/15/30 (c)

    85,000       64,616  

 

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

 

76

 

 

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

 

   

Principal
Amount

    

Value

  

The Michaels Cos., Inc.

                

5.250% 5/01/28 (c)

  $ 556,000     $ 390,301  

7.875% 5/01/29 (c) (d)

    339,000       195,732  

Papa John’s International, Inc.

                

3.875% 9/15/29 (c) (d)

    233,000       186,281  

Starbucks Corp.

                

3.000% 2/14/32 (d)

    835,000       690,805  
              1,882,146  

Savings & Loans — 0.3%

Nationwide Building Society

                

SOFR + 1.290% 2.972% VRN 2/16/28 (c)

    720,000       619,209  

3 mo. USD LIBOR + 1.064% 3.766% VRN 3/08/24 (c)

    1,215,000       1,201,445  

3 mo. USD LIBOR + 1.392% 4.363% VRN 8/01/24 (c)

    300,000       296,036  
              2,116,690  

Semiconductors — 0.2%

Broadcom, Inc.

                

3.419% 4/15/33 (c)

    420,000       320,389  

4.300% 11/15/32

    385,000       323,180  

Intel Corp.

                

3.050% 8/12/51 (d)

    664,000       426,056  

TSMC Global Ltd.

                

4.625% 7/22/32 (c)

    250,000       236,804  
              1,306,429  

Software — 0.4%

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.

                

5.750% 3/01/25 (c)

    288,000       286,924  

Oracle Corp.

                

2.875% 3/25/31

    115,000       90,657  

3.800% 11/15/37

    200,000       144,503  

3.950% 3/25/51

    2,078,000       1,378,335  

Take-Two Interactive Software, Inc.

                

4.000% 4/14/32

    810,000       703,161  
              2,603,580  

Telecommunications — 2.4%

AT&T, Inc.

                

2.550% 12/01/33

    210,000       155,385  

3.800% 12/01/57

    4,140,000       2,797,194  

4.500% 5/15/35

    110,000       95,087  

4.750% 5/15/46

    100,000       83,825  

4.850% 3/01/39

    366,000       316,878  

5.250% 3/01/37

    850,000       782,643  

Intelsat Jackson Holdings S.A.

                

6.500% 3/15/30 (c) (d)

    2,240,000       1,904,448  

 

   

Principal
Amount

    

Value

  

Intelsat Jackson Holdings S.A., Escrow

                

8.500% 10/15/24 (c) (g) (h) (i)

  $ 378,000     $ —  

9.750% 7/15/25 (c) (g) (h) (i)

    1,379,000       —  

Level 3 Financing, Inc.

                

3.400% 3/01/27 (c)

    825,000       690,937  

3.875% 11/15/29 (c)

    230,000       181,503  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

                

4.738% 9/20/29 (c)

    2,153,125       2,122,251  

5.152% 9/20/29 (c)

    2,015,000       1,972,441  

T-Mobile USA, Inc.

                

2.250% 2/15/26

    1,217,000       1,088,947  

2.550% 2/15/31

    955,000       756,306  

3.750% 4/15/27

    1,270,000       1,172,593  

3.875% 4/15/30

    580,000       514,272  

4.375% 4/15/40

    840,000       684,119  

Verizon Communications, Inc.

                

2.355% 3/15/32

    80,000       61,316  

2.550% 3/21/31

    410,000       327,710  

Vodafone Group PLC

                

4.875% 6/19/49

    1,260,000       990,506  

5.250% 5/30/48

    1,000,000       828,137  
              17,526,498  

Transportation — 0.0%

Empresa de Transporte de Pasajeros Metro SA

                

3.650% 5/07/30 (c)

    200,000       172,005  
                 

TOTAL CORPORATE DEBT (Cost $247,677,231)

            212,105,271  
                 

MUNICIPAL OBLIGATIONS — 0.2%

City of New York NY, General Obligation

                

3.000% 8/01/34

    945,000       760,811  

County of Miami-Dade FL Aviation Revenue, Revenue Bond

                

2.707% 10/01/33

    375,000       294,377  

University of Michigan, Revenue

                

3.504% 4/01/52

    335,000       256,736  
              1,311,924  
                 

TOTAL MUNICIPAL OBLIGATIONS (Cost $1,734,213)

            1,311,924  
                 

 

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

 

77

 

 

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

 

   

Principal
Amount

    

Value

  

NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 17.2%

Commercial Mortgage-Backed Securities — 3.2%

BAMLL Commercial Mortgage Securities Trust

                

Series 2019-BPR, Class AMP, 3.287% 11/05/32 (c)

  $ 1,920,000     $ 1,740,114  

Series 2018-PARK, Class A, 4.227% VRN 8/10/38 (c) (j)

    1,280,000       1,162,823  

BX Commercial Mortgage Trust

                

Series 2019-XL, Class A, 1 mo. USD LIBOR + .920% 3.738% FRN 10/15/36 (c)

    2,339,554       2,304,488  

Series 2022-CSMO, Class A, 1 mo. TSFR + 2.115% 4.960% FRN 6/15/27 (c)

    1,641,000       1,632,849  

BX Trust

                

Series 2019-OC11, Class A, 3.202% 12/09/41 (c)

    420,000       349,609  

Series 2022-VAMF, Class C, 1 mo. TSFR + 1.580% 4.425% FRN 1/15/39 (c)

    1,057,000       1,012,348  

Series 2022-PSB, Class D, 1 mo. TSFR + 4.693% 7.538% FRN 8/15/39 (c)

    1,340,000       1,325,755  

CALI Mortgage Trust, Series 2019-101C, Class A

                

3.957% 3/10/39 (c)

    945,000       833,423  

CPT Mortgage Trust, Series 2019-CPT, Class A

                

2.865% 11/13/39 (c)

    805,000       655,254  

DC Office Trust, Series 2019-MTC, Class A

                

2.965% 9/15/45 (c)

    860,000       709,180  

GS Mortgage-Backed Securities

                

3.000% 1/25/53 (c)

    4,300,000       3,665,183  

Hudson Yards Mortgage Trust

                

Series 2019-55HY, Class A, 3.041% VRN 12/10/41 (c) (j)

    860,000       724,661  

Series 2019-30HY, Class A, 3.228% 7/10/39 (c)

    880,000       757,655  

JP Morgan Chase Commercial Mortgage Securities Trust

                

Series 2019-OSB, Class A, 3.397% 6/05/39 (c)

    900,000       775,389  

Series 2021-HTL5, Class A, 1 mo. USD LIBOR + 1.115% 3.933% FRN 11/15/38 (c)

    2,138,000       2,052,725  

MKT Mortgage Trust, Series 2020-525M, Class A

                

2.694% 2/12/40 (c)

    570,000       455,740  

 

   

Principal
Amount

    

Value

  

One Bryant Park Trust, Series 2019-OBP, Class A

                

2.516% 9/15/54 (c)

  $ 1,085,000     $ 889,907  

RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A,

                

3.961% VRN 1/15/32 (c) (j)

    640,000       610,917  

SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2B,

                

4.144% VRN 1/05/43 (c) (j)

    50,000       36,919  

TTAN, Series 2021-MHC, Class E, 1 mo. USD LIBOR + 2.400%

                

5.218% FRN 3/15/38 (c)

    1,345,716       1,261,888  
              22,956,827  

Home Equity Asset-Backed Securities — 0.9%

Argent Securities, Inc., Series 2005-W2, Class M1, 1 mo. USD LIBOR + .735%

                

3.819% FRN 10/25/35

    2,129,975       2,090,750  

Morgan Stanley Capital, Inc. Trust, Series 2006-HE1, Class A4, 1 mo. USD LIBOR + .580%

                

3.664% FRN 1/25/36

    2,065,948       1,995,737  

Option One Mortgage Loan Trust, Series 2006-3, Class 1A1, 1 mo. USD LIBOR + .140%

                

3.224% FRN 2/25/37

    3,700,843       2,388,712  
              6,475,199  

Other Asset-Backed Securities — 4.7%

AGL CLO Ltd., Series 2021-13A, Class A1, 3 mo. USD LIBOR + 1.160%

                

3.870% FRN 10/20/34 (c)

    2,400,000       2,290,531  

AIG CLO Ltd., Series 2019-2A, Class BR, 3 mo. USD LIBOR + 1.600%

                

4.383% FRN 10/25/33 (c)

    2,400,000       2,243,839  

Aimco CLO Ltd., Series 2020-11A, Class AR, 3 mo. USD LIBOR + 1.130%

                

3.870% FRN 10/17/34 (c)

    2,075,000       1,978,998  

Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class A, 1 mo. USD LIBOR + 1.070%

                

3.888% FRN 8/15/34 (c)

    2,018,000       1,946,780  

Barings CLO Ltd., Series 2013-IA, Class AR, 3 mo. USD LIBOR + .800%

                

3.510% FRN 1/20/28 (c)

    2,648,560       2,610,280  

 

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

 

78

 

 

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

 

   

Principal
Amount

    

Value

  

Countrywide Asset-Backed Certificates Trust

                

Series 2007-7, Class 1A, 1 mo. USD LIBOR + .200% 3.284% FRN 10/25/47

  $ 3,018,116     $ 2,873,771  

Series 2004-5, Class M1, 1 mo. USD LIBOR + .855% 3.939% FRN 8/25/34

    127,365       125,383  

First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1 mo. USD LIBOR + .720%

                

3.804% FRN 10/25/35

    83,587       83,505  

Flatiron CLO Ltd., Series 2021-1A, Class B, 3 mo. USD LIBOR + 1.600%

                

4.338% FRN 7/19/34 (c)

    2,400,000       2,225,782  

GoldenTree Loan Opportunities Ltd., Series 2014-9A, Class AR2, 3 mo. USD LIBOR + 1.110%

                

3.916% FRN 10/29/29 (c)

    2,015,667       1,989,159  

GSAMP Trust, Series 2006-HE1, Class M1, 1 mo. USD LIBOR + .585%

                

3.669% FRN 1/25/36

    978,184       969,156  

LCM Ltd., Series 19A, Class AR, 3 mo. USD LIBOR + 1.240%

                

3.752% FRN 7/15/27 (c)

    405,381       402,537  

Lehman XS Trust, Series 2005-4, Class 1A3, 1 mo. USD LIBOR + .800%

                

3.884% FRN 10/25/35

    15,805       15,772  

Magnetite Ltd., Series 2012-7A, Class A1R2, 3 mo. USD LIBOR + .800%

                

3.312% FRN 1/15/28 (c)

    1,365,837       1,339,973  

Morgan Stanley Capital, Inc. Trust, Series 2006-NC2, Class A2D, 1 mo. USD LIBOR + .580%

                

3.664% FRN 2/25/36

    1,946,175       1,899,064  

New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1

                

1.910% 10/20/61 (c)

    1,646,000       1,393,279  

Progress Residential Trust

                

Series 2021-SFR8, Class C, 1.931% 10/17/38 (c)

    2,500,000       2,114,860  

Series 2020-SFR3, Class F, 2.796% 10/17/27 (c)

    860,000       761,433  

Series 2021-SFR10, Class F, 4.608% 12/17/40 (c)

    1,160,000       946,690  

 

   

Principal
Amount

    

Value

  

Rockford Tower Ltd., Series 2019-1A, Class AR, 3 mo. USD LIBOR + 1.120%

                

3.830% FRN 4/20/34 (c)

  $ 2,435,000     $ 2,309,753  

TRTX Issuer Ltd., Series 2019-FL3, Class A, 1 mo. TSFR + 1.264%

                

4.186% FRN 10/15/34 (c)

    458,953       458,821  

VOLT CIII LLC, Series 2021-CF1, Class A1,

                

1.992% STEP 8/25/51 (c)

    2,810,099       2,619,012  
              33,598,378  

Student Loans Asset-Backed Securities — 2.5%

Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%

                

3.784% FRN 7/25/56 (c)

    1,422,360       1,367,961  

Education Loan Asset-Backed Trust, Series 2013-1, Class A2, 1 mo. USD LIBOR + .800%

                

3.884% FRN 4/26/32 (c)

    2,426,285       2,395,312  

Nelnet Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .450%

                

3.408% FRN 8/23/36 (c)

    1,885,480       1,825,276  

SLM Student Loan Trust

                

Series 2014-1, Class A3, 1 mo. USD LIBOR + .600% 3.684% FRN 2/26/29

    1,429,490       1,363,906  

Series 2012-7, Class A3, 1 mo. USD LIBOR + .650% 3.734% FRN 5/26/26

    2,431,145       2,328,686  

Series 2008-5, Class B, 3 mo. USD LIBOR + 1.850% 4.633% FRN 7/25/73

    3,735,000       3,683,981  

Series 2008-9, Class B, 3 mo. USD LIBOR + 2.250% 5.033% FRN 10/25/83

    3,630,000       3,498,508  

Wachovia Student Loan Trust, Series 2006-1, Class A6, 3 mo. USD LIBOR + .170%

                

2.953% FRN 4/25/40 (c)

    1,927,633       1,853,913  
              18,317,543  

Whole Loan Collateral Collateralized Mortgage Obligations — 5.9%

Ajax Mortgage Loan Trust

                

Series 2019-,Class A1, 2.860% STEP 7/25/59 (c)

    1,943,076       1,857,776  

Series 2022-B, Class A1, 3.500% STEP 3/27/62 (c)

    3,172,144       2,964,637  

 

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

 

79

 

 

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

 

   

Principal
Amount

    

Value

  

American Home Mortgage Investment Trust, Series 2006-1, Class 12A1, 1 mo. USD LIBOR + .400%

                

3.484% FRN 3/25/46

  $ 1,514,422     $ 1,327,119  

Bear Stearns Trust, Series 2005-4, Class 25A1,

                

3.244% VRN 5/25/35 (j)

    664,507       596,908  

BINOM Securitization Trust, Series 2022-RPL1, Class A1,

                

3.000% VRN 2/25/61 (c) (j)

    2,983,586       2,673,212  

CIM Trust, Series 2021-J3, Class A1,

                

2.500% VRN 6/25/51 (c) (j)

    4,629,932       3,671,392  

Citigroup Mortgage Loan Trust, Series 2006-AR2, Class 1A2,

                

2.664% VRN 3/25/36 (j)

    2,722       2,523  

Credit Suisse Mortgage Trust, Series 2018-RPL9, Class A,

                

3.850% VRN 9/25/57 (c) (j)

    1,669,518       1,590,752  

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1,

                

2.869% VRN 11/25/35 (j)

    1,347,348       1,147,117  

HarborView Mortgage Loan Trust

                

Series 2006-10, Class 1A1A, 1 mo. USD LIBOR + .200% 3.193% FRN 11/19/36

    2,691,969       2,118,843  

Series 2007-6, Class 1A1A, 1 mo. USD LIBOR + .200% 3.193% FRN 8/19/37

    2,494,388       2,055,099  

HomeBanc Mortgage Trust, Series 2005-5, Class A1, 1 mo. USD LIBOR + .520%

                

3.604% FRN 1/25/36

    2,231,473       2,111,532  

JP Morgan Mortgage Trust

                

Series 2021-13, Class A3, 2.500% VRN 4/25/52 (c) (j)

    3,943,374       3,134,367  

Series 2005-A5, Class 1A2, 3.341% VRN 8/25/35 (j)

    85,186       80,825  

MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A1,

                

2.691% VRN 4/25/34 (j)

    485,235       429,794  

Preston Ridge Partners Mortgage

                

Series 2021-5, Class A1, 1.793% STEP 6/25/26 (c)

    3,872,507       3,583,228  

Series 2021-6, Class A1, 1.793% STEP 7/25/26 (c)

    1,778,191       1,648,907  

Series 2022-1, Class A1, 3.720% STEP 2/25/27 (c)

    3,826,175       3,615,909  

Series 2022-4, Class A1, 5.000% VRN 8/25/27 (c) (j)

    909,902       875,920  

 

   

Principal
Amount

    

Value

  

RALI Trust, Series 2006-QA7, Class 2A1, 1 mo. USD LIBOR + .370%

                

3.454% FRN 8/25/36

  $ 531,293     $ 461,374  

Residential Asset Securitization Trust, Series 2006-A14C, Class 1A1

                

6.250% 12/25/36

    1,932,339       1,474,578  

Structured Asset Mortgage Investments Trust, Series 2006-AR1, Class 3A1, 1 mo. USD LIBOR + .460%

                

3.544% FRN 2/25/36

    2,354,016       2,020,398  

Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A, 1 mo. USD LIBOR + .620%

                

3.704% FRN 1/25/45

    511,152       493,463  

Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7, Class 4CB

                

7.000% 8/25/35

    2,676,987       2,038,209  

Wells Fargo Mortgage-Backed Securities Trust, Series 2007-AR3, Class A4,

                

2.804% VRN 4/25/37 (j)

    820,286       721,662  
              42,695,544  
                 

TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $130,851,675)

            124,043,491  
                 

SOVEREIGN DEBT OBLIGATIONS — 1.1%

Abu Dhabi Government International Bond

                

2.500% 9/30/29 (c)

    647,000       562,942  

Brazilian Government International Bond

                

3.875% 6/12/30

    730,000       603,405  

Chile Government International Bond

                

2.550% 1/27/32 (d)

    400,000       313,968  

Colombia Government International Bond

                

3.000% 1/30/30

    200,000       143,242  

3.125% 4/15/31

    200,000       138,650  

4.500% 1/28/26

    200,000       183,050  

Dominican Republic International Bond

                

4.500% 1/30/30 (c)

    440,000       345,931  

Egypt Government International Bond

                

7.600% 3/01/29 (c)

    200,000       139,656  

Hong Kong Airport Authority

                

3.250% 1/12/52 (c)

    850,000       614,091  

 

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

 

80

 

 

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

 

   

Principal
Amount

    

Value

  

Hungary Government International Bond

                

2.125% 9/22/31 (c)

  $ 250,000     $ 170,661  

Indonesia Government International Bond

                

2.850% 2/14/30

    300,000       256,937  

Mexico Government International Bond

                

2.659% 5/24/31 (d)

    613,000       470,410  

3.750% 1/11/28

    420,000       385,862  

4.750% 4/27/32 (d)

    200,000       179,640  

Oman Government International Bond

                

5.625% 1/17/28 (c)

    200,000       185,814  

Panama Government International Bond

                

2.252% 9/29/32

    200,000       141,212  

3.160% 1/23/30

    400,000       326,629  

Peruvian Government International Bond

                

2.844% 6/20/30

    200,000       163,919  

4.125% 8/25/27

    254,000       240,298  

Philippine Government International Bond

                

2.457% 5/05/30

    200,000       165,473  

Qatar Government International Bond

                

4.500% 4/23/28 (c)

    600,000       592,098  

Republic of South Africa Government International Bond

                

4.850% 9/30/29

    200,000       165,000  

4.875% 4/14/26

    200,000       186,416  

5.875% 4/20/32

    200,000       165,022  

Republic of Turkey International Bond

                

3.250% 3/23/23

    200,000       197,600  

Romanian Government International Bond

                

3.000% 2/14/31 (c)

    270,000       191,371  

Saudi Government International Bond

                

3.250% 10/26/26 (c)

    400,000       380,277  

3.625% 3/04/28 (c)

    200,000       189,024  
              7,798,598  
                 

TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $9,663,549)

            7,798,598  
                 

 

   

Principal
Amount

    

Value

  

U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (k) — 37.9%

Collateralized Mortgage Obligations — 0.7%

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series K155, Class A3 3.750% 4/25/33

  $ 2,115,000     $ 1,968,014  

Federal National Mortgage Association REMICS

                

Series 2018-43, Class CT, 3.000% 6/25/48

    586,023       536,912  

Series 2018-55, Class PA, 3.500% 1/25/47

    485,883       487,715  

Series 2018-54, Class KA, 3.500% 1/25/47

    468,226       469,990  

Series 2018-38, Class PA, 3.500% 6/25/47

    709,185       674,571  

Government National Mortgage Association

                

Series 2018-124, Class NW, 3.500% 9/20/48

    559,361       515,539  

Series 2019-15, Class GT, 3.500% 2/20/49

    590,372       545,536  
              5,198,277  

Pass-Through Securities — 35.7%

Federal Home Loan Mortgage Corp.

                

Pool #SD8193 2.000% 2/01/52

    4,219,107       3,421,536  

Pool #SD8199 2.000% 3/01/52

    2,231,782       1,809,891  

Pool #QE0312 2.000% 4/01/52

    2,030,909       1,646,356  

Pool #SD8189 2.500% 1/01/52

    2,417,690       2,035,652  

Pool #SD8194 2.500% 2/01/52

    3,943,022       3,319,955  

Pool #SD8200 2.500% 3/01/52

    2,363,405       1,989,207  

Pool #SD8205 2.500% 4/01/52

    4,184,720       3,520,191  

Pool #SD8212 2.500% 5/01/52

    4,067,348       3,421,458  

Pool #G18596 3.000% 4/01/31

    260,342       247,359  

Pool #G18691 3.000% 6/01/33

    97,006       91,290  

Pool #G08710 3.000% 6/01/46

    59,039       52,389  

Pool #G08715 3.000% 8/01/46

    1,259,741       1,117,842  

Pool #G08721 3.000% 9/01/46

    169,871       150,737  

Pool #G08726 3.000% 10/01/46

    2,271,650       2,015,769  

Pool #G08732 3.000% 11/01/46

    1,612,892       1,429,701  

Pool #G08741 3.000% 1/01/47

    1,092,348       967,257  

Pool #G18713 3.500% 11/01/33

    698,207       663,307  

Pool #G16756 3.500% 1/01/34

    288,417       274,812  

Pool #G60038 3.500% 1/01/44

    562,666       519,725  

Pool #G07848 3.500% 4/01/44

    4,426,745       4,093,060  

Pool #G07924 3.500% 1/01/45

    1,220,155       1,128,181  

Pool #G60138 3.500% 8/01/45

    2,539,397       2,352,741  

Pool #G08711 3.500% 6/01/46

    970,771       892,741  

Pool #G08716 3.500% 8/01/46

    1,404,442       1,291,554  

 

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

 

81

 

 

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

 

   

Principal
Amount

    

Value

  

Pool #G67703 3.500% 4/01/47

  $ 1,736,582     $ 1,606,765  

Pool #G67706 3.500% 12/01/47

    1,394,419       1,286,694  

Pool #G08792 3.500% 12/01/47

    1,182,747       1,082,874  

Pool #G67707 3.500% 1/01/48

    1,651,102       1,527,160  

Pool #G67708 3.500% 3/01/48

    3,019,118       2,787,765  

Pool #G67709 3.500% 3/01/48

    3,945,978       3,633,736  

Pool #G67711 4.000% 3/01/48

    449,703       425,404  

Pool #G67713 4.000% 6/01/48

    1,175,535       1,112,017  

Pool #G67714 4.000% 7/01/48

    1,633,748       1,544,451  

Pool #G67717 4.000% 11/01/48

    1,449,142       1,369,935  

Pool #G08843 4.500% 10/01/48

    531,622       514,585  

Pool #G08826 5.000% 6/01/48

    163,777       162,380  

Pool #G08844 5.000% 10/01/48

    62,351       61,761  

Federal National Mortgage Association

                

Pool #MA4093 2.000% 8/01/40

    853,532       725,790  

Pool #MA4152 2.000% 10/01/40

    3,211,860       2,724,138  

Pool #MA4176 2.000% 11/01/40

    2,333,207       1,978,908  

Pool #MA4333 2.000% 5/01/41

    695,842       587,568  

Pool #BQ6913 2.000% 12/01/51

    4,422,175       3,587,599  

Pool #CB2767 2.000% 1/01/52

    4,236,422       3,435,577  

Pool #CB2766 2.000% 2/01/52

    2,899,575       2,351,445  

Pool #FS1598 2.000% 4/01/52

    4,275,996       3,467,671  

Pool #BL6060 2.455% 4/01/40

    1,265,000       918,906  

Pool #MA4548 2.500% 2/01/52

    3,975,513       3,347,312  

Pool #MA4563 2.500% 3/01/52

    4,075,714       3,430,405  

Pool #MA3029 3.000% 6/01/32

    259,476       244,862  

Pool #MA1607 3.000% 10/01/33

    1,901,550       1,739,815  

Pool #BN7755 3.000% 9/01/49

    1,847,412       1,630,962  

Pool #MA3811 3.000% 10/01/49

    478,091       413,523  

Pool #BO2259 3.000% 10/01/49

    3,184,391       2,805,325  

Pool #MA4579 3.000% 4/01/52

    3,964,559       3,455,454  

Pool #AB4262 3.500% 1/01/32

    1,340,412       1,257,060  

Pool #MA1148 3.500% 8/01/42

    2,495,582       2,347,416  

Pool #CA0996 3.500% 1/01/48

    82,899       76,138  

Pool #MA3276 3.500% 2/01/48

    183,234       167,545  

Pool #MA3305 3.500% 3/01/48

    621,964       568,711  

Pool #MA3332 3.500% 4/01/48

    24,701       22,586  

Pool #CA3633 3.500% 6/01/49

    716,295       654,797  

Pool #MA2995 4.000% 5/01/47

    521,963       491,990  

Pool #AS9830 4.000% 6/01/47

    293,392       276,544  

Pool #MA3027 4.000% 6/01/47

    478,989       451,484  

Pool #AS9972 4.000% 7/01/47

    280,071       263,813  

Pool #AL9106 4.500% 2/01/46

    242,027       236,316  

Pool #CA1710 4.500% 5/01/48

    949,100       918,993  

Pool #CA1711 4.500% 5/01/48

    17,159       16,614  

Pool #CA2208 4.500% 8/01/48

    663,283       641,413  

Government National Mortgage Association II

                

Pool #MA4126 3.000% 12/20/46

    1,500,160       1,347,393  

 

   

Principal
Amount

    

Value

  

Pool #MA4836 3.000% 11/20/47

  $ 1,062,652     $ 953,774  

Pool #MA6209 3.000% 10/20/49

    439,073       380,913  

Pool #MA4127 3.500% 12/20/46

    1,022,916       942,501  

Pool #MA4382 3.500% 4/20/47

    174,433       160,720  

Pool #MA4719 3.500% 9/20/47

    1,532,616       1,411,174  

Pool #MA4837 3.500% 11/20/47

    208,889       192,272  

Pool #MA4962 3.500% 1/20/48

    523,416       481,778  

Pool #MA5019 3.500% 2/20/48

    718,016       660,898  

Pool #MA4838 4.000% 11/20/47

    437,092       413,233  

Pool #MA4901 4.000% 12/20/47

    358,353       338,681  

Pool #MA5078 4.000% 3/20/48

    295,996       279,469  

Pool #MA5466 4.000% 9/20/48

    203,967       191,878  

Pool #MA5528 4.000% 10/20/48

    819,819       770,522  

Pool #MA4264 4.500% 2/20/47

    222,371       217,918  

Pool #MA4512 4.500% 6/20/47

    1,341,347       1,310,295  

Pool #MA3666 5.000% 5/20/46

    29,878       30,069  

Pool #MA3806 5.000% 7/20/46

    203,018       203,817  

Pool #MA4072 5.000% 11/20/46

    39,411       39,540  

Pool #MA4454 5.000% 5/20/47

    727,839       731,349  

Government National Mortgage Association II TBA 2.500% 10/20/52 (l)

    11,675,000       10,032,291  

Uniform Mortgage Backed Securities TBA

                

2.000% 10/13/52 (l)

    12,000,000       9,716,250  

2.000% 11/14/52 (l)

    22,100,000       17,893,230  

2.500% 11/10/51 (l)

    22,075,000       18,533,514  

2.500% 10/13/52 (l)

    9,050,000       7,599,879  

3.000% 10/13/52 (l)

    22,275,000       19,379,250  

3.500% 10/13/52 (l)

    5,575,000       5,015,758  

4.000% 10/13/52 (l)

    8,250,000       7,650,586  

4.500% 10/13/52 (l)

    33,925,000       32,292,359  

5.000% 10/13/52 (l)

    17,775,000       17,302,852  
              257,279,081  

U.S. Agencies Notes — 1.5%

Federal Home Loan Banks

                

1.040% 6/14/24

    8,900,000       8,405,864  

1.610% 9/04/24

    2,115,000       2,002,664  
              10,408,528  
                 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $292,502,278)

            272,885,886  
                 

U.S. TREASURY OBLIGATIONS — 28.7%

U.S. Treasury Bonds & Notes — 28.7%

U.S. Treasury Bond

                

2.000% 11/15/41

    39,402,000       28,203,215  

 

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

 

82

 

 

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

 

   

Principal
Amount

    

Value

  

2.375% 2/15/42

  $ 17,185,000     $ 13,173,376  

3.000% 8/15/52

    14,606,000       12,613,651  

U.S. Treasury Inflation Index

                

0.125% 2/15/52

    1,399,528       879,571  

U.S. Treasury Note

                

2.750% 7/31/27

    20,265,000       19,095,012  

2.750% 8/15/32

    2,450,000       2,239,453  

3.000% 7/31/24

    23,820,000       23,295,217  

3.250% 8/31/24 (d)

    28,495,000       27,988,547  

3.250% 6/30/27

    2,780,000       2,681,180  

3.500% 9/15/25

    750,000       734,883  

4.125% 9/30/27

    44,880,000       45,074,914  

4.250% 9/30/24

    30,635,000       30,662,715  
              206,641,734  
                 

TOTAL U.S. TREASURY OBLIGATIONS (Cost $219,464,137)

            206,641,734  
                 

TOTAL BONDS & NOTES (Cost $918,544,274)

            840,627,561  
   

Number of
Shares

          

RIGHTS — 0.0%

Communications — 0.0%

Telecommunications — 0.0%

Intelsat Jackson Holdings S.A. (g) (h) (i)

    1,754       —  

Intelsat Jackson Holdings S.A. (g) (h) (i)

    1,754       —  
                 

TOTAL RIGHTS (Cost $0)

            —  
                 

MUTUAL FUNDS — 2.3%

Diversified Financial Services — 2.3%

State Street Navigator Securities Lending Government Money Market Portfolio (m)

    16,726,548       16,726,548  
                 

TOTAL MUTUAL FUNDS (Cost $16,726,548)

            16,726,548  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $936,846,177)

            857,789,713  
                 

 

   

Principal
Amount

    

Value

  

SHORT-TERM INVESTMENTS — 4.3%

Repurchase Agreement — 2.2%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (n)

  $ 15,693,982     $ 15,693,982  

U.S. Treasury Bill — 2.1%

U.S. Treasury Bill

                

2.448% 12/22/22 (o)

    445,000       441,866  

3.791% 3/16/23 (o)

    15,375,000       15,117,877  
              15,559,743  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $31,251,376)

            31,253,725  
                 

TOTAL INVESTMENTS — 123.5% (Cost $968,097,553) (p)

            889,043,438  
                 

Less Unfunded Loan Commitments — 0.00%

            (27,180 )
                 

NET INVESTMENTS — 123.5% (Cost $968,070,373)

            889,016,258  
                 

Other Assets/(Liabilities) — (23.5)%

            (169,122,142 )
                 

NET ASSETS — 100.0%

          $ 719,894,116  

 

Abbreviation Legend

CLO

Collateralized Loan Obligation

FRN

Floating Rate Note

REMICS

Real Estate Mortgage Investment Conduits

STEP

Step Up Bond

TBA

To Be Announced

VRN

Variable Rate Note

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

All or a portion of the security represents unsettled loan commitments at September 30, 2022 where the rate will be determined at time of settlement.

(b)

Unfunded or partially unfunded loan commitments.

(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, 2022, the aggregate market value of these securities amounted to $154,913,458 or 21.52% of net assets.

 

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

 

83

 

 

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

 

Notes to Portfolio of Investments (Continued)

(d)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $31,021,740 or 4.31% of net assets. The Fund received $14,947,430 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(e)

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

(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, 2022, these securities amounted to a value of $4,125 or 0.00% of net assets.

(g)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $0 or 0.00% of net assets.

(h)

Investment is valued using significant unobservable inputs.

(i)

Non-income producing security.

(j)

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, 2022.

(k)

May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

(l)

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

(m)

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

(n)

Maturity value of $15,695,068. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $16,007,891.

(o)

The rate shown represents yield-to-maturity.

(p)

See Note 6 for aggregate cost for federal tax purposes.

 

Forward contracts

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

Citibank N.A.*

     10/07/22       EUR       119,000       USD       117,316     $ (667 )

Citibank N.A.*

     10/07/22       USD       1,132,148       EUR       1,107,000       47,011  

Goldman Sachs International*

     10/07/22       USD       136,253       EUR       133,000       5,880  
                                            $ 52,224  

 

Futures contracts

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

Long

                                

U.S. Treasury Ultra Bond

     12/20/22       27     $ 4,032,216     $ (333,216 )

U.S. Treasury Note 2 Year

     12/30/22       615       128,208,948       (1,893,713 )

 

                           $ (2,226,929 )

Short

                                

U.S. Treasury Ultra 10 Year

     12/20/22       70     $ (8,647,084 )   $ 353,178  

 

 

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

 

84

 

 

MassMutual 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)

  

12-Month USD SOFR

     Annually  

Fixed 1.950%

     Annually       6/10/24       USD       41,670,000     $ (1,538,273 )   $ —     $ (1,538,273 )

3-Month USD LIBOR BBA

     Quarterly  

Fixed 1.073%

     Semi-Annually       7/24/25       USD       10,155,000       (588,710 )     —       (588,710 )

3-Month USD LIBOR BBA

     Quarterly  

Fixed 1.034%

     Semi-Annually       7/24/25       USD       15,025,000       (881,808 )     —       (881,808 )

3-Month USD LIBOR BBA

     Quarterly  

Fixed 1.026%

     Semi-Annually       7/24/25       USD       20,310,000       (1,194,969 )     —       (1,194,969 )

3-Month USD LIBOR BBA

     Quarterly  

Fixed 1.390%

     Semi-Annually       9/28/25       USD       25,970,000       (1,302,803 )     —       (1,302,803 )

Fixed 1.808%

     Semi-Annually  

3-Month USD LIBOR BBA

     Quarterly       7/24/53       USD       850,000       224,274       —       224,274  

Fixed 1.785%

     Semi-Annually  

3-Month USD LIBOR BBA

     Quarterly       7/24/53       USD       1,250,000       335,022       —       335,022  

Fixed 1.773%

     Semi-Annually  

3-Month USD LIBOR BBA

     Quarterly       7/24/53       USD       1,700,000       459,564       —       459,564  

Fixed 1.870%

     Semi-Annually  

3-Month USD LIBOR BBA

     Quarterly       9/28/53       USD       2,215,000       548,043       —       548,043  
                                              $ (3,939,660 )   $ —     $ (3,939,660 )

 

*Contracts are subject to a master netting agreement or similar agreement.

 

Currency Legend

EUR

Euro

USD

U.S. Dollar

 

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

 

85

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments

September 30, 2022

 

   

Principal
Amount

    

Value

  

BONDS & NOTES — 98.5%

BANK LOANS — 3.5%

Advertising — 0.0%

CMG Media Corp., 2021 Term Loan, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 12/17/26

  $ 188,192     $ 175,803  

Airlines — 0.1%

United Airlines, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 3.750%

                

6.533% VRN 4/21/28

    483,751       460,841  

Auto Parts & Equipment — 0.1%

Clarios Global LP, 2021 USD Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 4/30/26

    380,344       358,949  

Beverages — 0.1%

Triton Water Holdings, Inc., Term Loan, 3 mo. USD LIBOR + 3.500%

                

7.174% VRN 3/31/28

    485,100       434,233  

Commercial Services — 0.3%

API Group DE, Inc., Term Loan B, 1 mo. USD LIBOR + 2.500%

                

3.115% VRN 10/01/26

    226,314       220,261  

Prime Security Services Borrower, LLC, 2021 Term Loan, 1 mo. USD LIBOR + 2.750%

                

5.303% VRN 9/23/26

    483,847       467,894  

Verscend Holding Corp., 2021 Term Loan B, 1 mo. USD LIBOR + 4.000%

                

7.115% VRN 8/27/25

    514,029       497,323  
              1,185,478  

Computers — 0.2%

Magenta Buyer LLC, 2021 USD 1st Lien Term Loan, 1 mo. USD LIBOR + 4.750%

                

7.870% VRN 7/27/28

    486,325       437,693  

Peraton Corp., Term Loan B, 1 mo. USD LIBOR + 3.750%

                

6.865% VRN 2/01/28

    274,673       259,840  
              697,533  

Diversified Financial Services — 0.3%

Avolon TLB Borrower 1 (US) LLC, 2021 Term Loan B5, 1 mo. USD LIBOR + 2.250%

                

5.264% VRN 12/01/27

    87,683       85,271  

Castlelake Aviation Ltd., Term Loan B, 3 mo. USD LIBOR + 2.750%

                

6.043% VRN 10/22/26

    316,452       305,310  

 

   

Principal
Amount

    

Value

  

Citadel Securities LP, 2021 Term Loan B, 1 mo. USD SOFR CME + 2.500%

                

5.649% VRN 2/02/28

  $ 52,438     $ 50,852  

Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 1 mo. USD SOFR CME + 3.750%

                

6.784% VRN 4/09/27

    278,967       262,695  

Jane Street Group, LLC, 2021 Term Loan, 1 mo. USD LIBOR + 2.750%

                

5.865% VRN 1/26/28

    347,451       332,757  

VFH Parent LLC, 2022 Term Loan B, 1 mo. USD SOFR + 3.000%

                

6.118% VRN 1/13/29

    110,000       105,153  
              1,142,038  

Electronics — 0.0%

II-VI, Inc., 2022 Term Loan B, 1 mo. USD LIBOR + 2.750%

                

5.314% VRN 7/02/29

    160,000       154,667  

Entertainment — 0.1%

PCI Gaming Authority, Term Loan, 1 mo. USD LIBOR + 2.500%

                

5.615% VRN 5/29/26

    258,892       251,126  

Scientific Games International, Inc., 2022 USD Term Loan, 1 mo. USD SOFR CME + 3.000%

                

5.906% VRN 4/14/29

    239,400       232,098  
              483,224  

Food — 0.1%

Froneri International PLC, 2020 USD Term Loan, 1 mo. USD LIBOR + 2.250%

                

5.365% VRN 1/29/27

    303,025       285,374  

Health Care – Products — 0.1%

Sotera Health Holdings, LLC, 2021 Term Loan, 1 mo. USD LIBOR + 2.750%

                

5.865% VRN 12/11/26

    260,000       227,500  

Health Care – Services — 0.2%

Global Medical Response, Inc., 2020 Term Loan B, 1 mo. USD LIBOR + 4.250%

                

6.814% VRN 10/02/25

    382,996       331,100  

Phoenix Guarantor, Inc., 2020 Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 3/05/26

    488,659       461,959  

 

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

 

86

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. USD LIBOR + 3.750%

                

6.871% VRN 11/16/25

  $ 22,800     $ 21,151  
              814,210  

Housewares — 0.1%

Solis IV BV, USD Term Loan B1, 3 mo. USD SOFR CME + 3.500%

                

6.340% VRN 2/26/29

    370,000       302,845  

Insurance — 0.1%

AmWINS Group, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 2.250%

                

5.365% VRN 2/19/28

    304,577       290,801  

Leisure Time — 0.1%

Alterra Mountain Co., 2021 Series B-2 Consenting Term Loan, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 8/17/28

    366,700       354,782  

Lodging — 0.3%

Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.750%

                

5.865% VRN 12/23/24

    478,955       467,029  

Four Seasons Holdings, Inc., New 1st Lien Term Loan, 1 mo. USD LIBOR + 2.000%

                

5.121% VRN 11/30/23

    71,596       71,175  

Hilton Worldwide Finance, LLC, 2019 Term Loan B2, 1 mo. USD LIBOR + 1.750%

                

4.834% VRN 6/22/26

    286,204       276,424  

Station Casinos, LLC, 2020 Term Loan B, 1 mo. USD LIBOR + 2.250%

                

5.370% VRN 2/08/27

    462,692       441,774  
              1,256,402  

Machinery – Diversified — 0.1%

Ali Group North America Corp., 2021 Term Loan B, 1 mo. USD LIBOR + 2.000%

                

5.149% VRN 7/30/29

    263,578       253,562  

Media — 0.2%

iHeartCommunications, Inc., 2020 Term Loan, 1 mo. USD LIBOR + 3.000%

                

6.115% VRN 5/01/26

    495,927       464,753  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, 1 mo. USD LIBOR + 2.500%

                

5.615% VRN 9/18/26

    320,071       315,155  

 

   

Principal
Amount

    

Value

  

Virgin Media Bristol LLC, USD Term Loan N, 1 mo. USD LIBOR + 2.500%

                

5.318% VRN 1/31/28

  $ 203,954     $ 194,323  
              974,231  

Pharmaceuticals — 0.3%

Change Healthcare Holdings LLC, 2017 Term Loan B, 3 mo. USD PRIME + 1.500%

                

7.750% VRN 3/01/24

    188,015       187,283  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 mo. USD LIBOR + 2.000%

                

5.115% VRN 11/15/27

    347,795       329,487  

Horizon Therapeutics USA, Inc., 2021 Term Loan B2, 1 mo. USD LIBOR + 1.750%

                

4.875% VRN 3/15/28

    474,000       454,154  

Jazz Financing Lux SARL, USD Term Loan, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 5/05/28

    436,456       421,180  
              1,392,104  

Retail — 0.2%

1011778 B.C. Unlimited Liability Co., Term Loan B4, 1 mo. USD LIBOR + 1.750%

                

4.871% VRN 11/19/26

    331,199       316,000  

Harbor Freight Tools USA, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 2.750%

                

5.865% VRN 10/19/27

    373,522       337,104  
              653,104  

Software — 0.2%

Athenahealth, Inc.

                

2022 Delayed Draw Term Loan, 3 mo. USD LIBOR + 3.500%

                

3.500% VRN 2/15/29 (a)

    59,420       53,122  

2022 Term Loan B, 1 mo. USD SOFR CME + 3.500%

                

6.576% VRN 2/15/29

    349,703       312,634  

Cloudera, Inc., 2021 Term Loan, 1 mo. USD LIBOR + 3.750%

                

6.865% VRN 10/08/28

    199,000       174,125  

DCert Buyer, Inc., 2019 Term Loan B, 3 mo. USD LIBOR + 4.000%

                

6.903% VRN 10/16/26

    111,700       106,302  

 

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

 

87

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Rackspace Technology Global, Inc., 2021 Term Loan B, 3 mo. USD LIBOR + 2.750%

                

5.617% VRN 2/15/28

  $ 433,301     $ 307,193  
              953,376  

Telecommunications — 0.2%

Level 3 Financing, Inc., 2019 Term Loan B, 1 mo. USD LIBOR + 1.750%

                

4.865% VRN 3/01/27

    386,209       366,234  

Zayo Group Holdings, Inc., USD Term Loan, 1 mo. USD LIBOR + 3.000%

                

6.115% VRN 3/09/27

    410,000       341,378  
              707,612  

Transportation — 0.1%

Genesee & Wyoming, Inc., Term Loan, 3 mo. USD LIBOR + 2.000%

                

5.674% VRN 12/30/26

    492,492       478,052  
                 

TOTAL BANK LOANS (Cost $15,012,956)

            14,036,721  
                 

CORPORATE DEBT — 27.1%

Aerospace & Defense — 0.8%

The Boeing Co.

                

2.196% 2/04/26

    230,000       204,503  

2.700% 2/01/27

    90,000       78,410  

2.800% 3/01/27

    150,000       131,812  

3.100% 5/01/26

    80,000       73,047  

3.200% 3/01/29

    290,000       242,125  

3.250% 2/01/35

    360,000       254,488  

3.550% 3/01/38

    80,000       54,805  

3.750% 2/01/50

    240,000       156,317  

5.150% 5/01/30

    160,000       147,822  

5.705% 5/01/40

    110,000       96,093  

5.805% 5/01/50

    270,000       235,177  

5.930% 5/01/60

    40,000       34,221  

General Dynamics Corp.

                

3.500% 5/15/25

    50,000       48,585  

4.250% 4/01/40

    20,000       17,505  

4.250% 4/01/50

    50,000       43,369  

L3 Harris Technologies, Inc.

                

5.054% 4/27/45

    50,000       44,271  

Lockheed Martin Corp.

                

3.550% 1/15/26

    45,000       43,511  

3.900% 6/15/32

    50,000       46,241  

4.150% 6/15/53

    320,000       267,205  

4.500% 5/15/36

    60,000       54,910  

 

   

Principal
Amount

    

Value

  

Northrop Grumman Corp.

                

2.930% 1/15/25

  $ 160,000     $ 152,565  

3.250% 1/15/28

    290,000       264,316  

5.250% 5/01/50

    160,000       152,697  

Raytheon Technologies Corp.

                

2.250% 7/01/30

    110,000       88,879  

4.125% 11/16/28

    160,000       149,576  

4.500% 6/01/42

    80,000       68,969  
              3,151,419  

Agriculture — 0.4%

Altria Group, Inc.

                

2.450% 2/04/32

    140,000       99,190  

4.400% 2/14/26 (b)

    192,000       184,824  

5.800% 2/14/39

    240,000       209,588  

5.950% 2/14/49

    120,000       99,369  

6.200% 2/14/59

    56,000       48,708  

BAT Capital Corp.

                

3.557% 8/15/27

    170,000       149,253  

4.540% 8/15/47

    250,000       165,651  

Cargill, Inc.

                

1.375% 7/23/23 (c)

    180,000       175,322  

Philip Morris International, Inc.

                

1.125% 5/01/23

    190,000       186,151  

2.100% 5/01/30

    40,000       30,374  

4.500% 3/20/42

    80,000       58,608  

Reynolds American, Inc.

                

5.850% 8/15/45

    110,000       86,304  
              1,493,342  

Airlines — 0.9%

Delta Air Lines, Inc.

                

3.800% 4/19/23 (b)

    90,000       89,105  

2.900% 10/28/24 (b)

    180,000       167,107  

7.000% 5/01/25 (c)

    1,670,000       1,681,000  

7.375% 1/15/26 (b)

    380,000       384,133  

Delta Air Lines, Inc./SkyMiles IP Ltd.

                

4.500% 10/20/25 (c)

    320,000       310,638  

4.750% 10/20/28 (c)

    300,000       279,532  

Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.

                

5.750% 1/20/26 (c)

    10,000       8,820  

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.

                

6.500% 6/20/27 (c)

    313,500       305,793  

Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd.

                

8.000% 9/20/25 (c)

    240,000       241,399  

 

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

 

88

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

United Airlines, Inc.

                

4.375% 4/15/26 (c)

  $ 80,000     $ 71,400  

4.625% 4/15/29 (c)

    290,000       240,700  
              3,779,627  

Apparel — 0.1%

NIKE, Inc.

                

2.850% 3/27/30

    280,000       243,147  

3.250% 3/27/40

    130,000       100,103  

3.375% 3/27/50

    40,000       29,772  
              373,022  

Auto Manufacturers — 0.7%

Ford Motor Co.

                

4.750% 1/15/43

    90,000       59,615  

6.100% 8/19/32

    90,000       79,344  

Ford Motor Credit Co. LLC

                

2.900% 2/16/28

    390,000       307,308  

3.625% 6/17/31

    220,000       163,449  

4.000% 11/13/30

    200,000       156,000  

4.125% 8/17/27

    200,000       172,320  

4.950% 5/28/27

    250,000       222,152  

5.125% 6/16/25

    200,000       188,709  

General Motors Co.

                

5.150% 4/01/38

    40,000       32,188  

5.200% 4/01/45

    412,000       313,751  

5.400% 10/02/23

    130,000       130,049  

5.950% 4/01/49

    110,000       91,765  

6.125% 10/01/25

    20,000       20,012  

6.600% 4/01/36

    10,000       9,344  

General Motors Financial Co., Inc.

                

3.100% 1/12/32 (b)

    40,000       30,155  

4.250% 5/15/23

    10,000       9,960  

Nissan Motor Co. Ltd.

                

3.043% 9/15/23 (c)

    200,000       194,432  

3.522% 9/17/25 (c)

    410,000       377,138  

4.345% 9/17/27 (c)

    300,000       257,667  
              2,815,358  

Banks — 7.6%

ABN AMRO Bank NV

                

4.750% 7/28/25 (c)

    260,000       250,093  

Banco Santander SA

                

2.746% 5/28/25

    600,000       548,689  

3 mo. USD LIBOR + 1.120% 3.543% FRN 4/12/23

    200,000       200,092  

Bank of America Corp.

                

SOFR + 1.210% 2.572% VRN 10/20/32

    60,000       45,868  

SOFR + 2.150% 2.592% VRN 4/29/31

    360,000       285,388  

 

   

Principal
Amount

    

Value

  

SOFR + 1.330% 2.972% VRN 2/04/33

  $ 130,000     $ 101,580  

3 mo. USD LIBOR + 1.040% 3.419% VRN 12/20/28

    570,000       505,816  

3 mo. USD LIBOR + 1.370% 3.593% VRN 7/21/28

    270,000       243,969  

3 mo. USD LIBOR + 1.070% 3.970% VRN 3/05/29

    890,000       805,597  

3 mo. USD LIBOR + 1.210% 3.974% VRN 2/07/30

    270,000       240,755  

4.000% 4/01/24

    270,000       266,946  

4.000% 1/22/25

    270,000       261,365  

3 mo. USD LIBOR + 3.150% 4.083% VRN 3/20/51

    4,500,000       3,372,039  

4.200% 8/26/24

    380,000       373,874  

4.250% 10/22/26

    50,000       47,525  

3 mo. USD LIBOR + 1.520% 4.330% VRN 3/15/50

    90,000       70,854  

SOFR + 1.580% 4.376% VRN 4/27/28

    300,000       281,173  

4.450% 3/03/26

    50,000       48,197  

5.000% 1/21/44

    130,000       112,310  

3 mo. USD LIBOR + 3.705% 6.250% VRN (d)

    170,000       164,263  

Bank of Montreal

                

1.850% 5/01/25

    70,000       64,411  

5 year USD Swap + 1.432% 3.803% VRN 12/15/32

    90,000       78,080  

The Bank of New York Mellon Corp.

                

1.600% 4/24/25

    170,000       157,040  

The Bank of Nova Scotia

                

1.300% 6/11/25

    120,000       107,932  

5 year CMT + 2.050% 4.588% VRN 5/04/37

    100,000       83,807  

Barclays PLC 3 mo. USD LIBOR + 3.054%

                

5.088% VRN 6/20/30

    510,000       443,183  

BNP Paribas SA

                

SOFR + 2.074% 2.219% VRN 6/09/26 (c)

    200,000       179,855  

5 year USD Swap + 1.483% 4.375% VRN 3/01/33 (c)

    220,000       189,726  

4.400% 8/14/28 (c)

    400,000       360,168  

4.625% 3/13/27 (c)

    260,000       240,348  

Canadian Imperial Bank of Commerce

                

0.950% 6/23/23

    120,000       116,736  

Citigroup, Inc.

                

SOFR + 2.107% 2.572% VRN 6/03/31

    170,000       133,654  

SOFR + 1.939% 3.785% VRN 3/17/33

    510,000       427,314  

 

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

 

89

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

3 mo. USD LIBOR + 1.338% 3.980% VRN 3/20/30

  $ 180,000     $ 159,629  

4.125% 7/25/28

    150,000       135,390  

4.300% 11/20/26

    670,000       634,287  

SOFR + 3.914% 4.412% VRN 3/31/31

    410,000       367,960  

4.450% 9/29/27

    480,000       444,179  

4.650% 7/30/45

    181,000       145,373  

4.650% 7/23/48

    70,000       57,044  

SOFR + 1.887% 4.658% VRN 5/24/28

    50,000       47,596  

4.750% 5/18/46

    40,000       31,881  

SOFR + 2.086% 4.910% VRN 5/24/33

    130,000       119,676  

5.300% 5/06/44

    16,000       13,945  

3 mo. USD LIBOR + 4.068% 5.950% VRN (b) (d)

    50,000       49,406  

3 mo. USD LIBOR + 3.905% 5.950% VRN (d)

    150,000       135,757  

3 mo. USD LIBOR + 3.423% 6.300% VRN (d)

    60,000       55,877  

6.625% 6/15/32

    20,000       20,214  

8.125% 7/15/39

    50,000       59,221  

Cooperatieve Rabobank UA

                

4.375% 8/04/25

    470,000       449,171  

Credit Agricole SA SOFR + 1.676%

                

1.907% VRN 6/16/26 (c)

    270,000       241,504  

Credit Suisse AG

                

5.000% 7/09/27

    250,000       230,837  

Credit Suisse Group AG

                

SOFR + 2.044% 2.193% VRN 6/05/26 (c)

    480,000       417,415  

SOFR + 1.730% 3.091% VRN 5/14/32 (c)

    350,000       245,404  

SOFR + 3.730% 4.194% VRN 4/01/31 (c)

    250,000       196,568  

5 year CMT + 6.383% 9.750% VRN (c) (d)

    470,000       460,939  

Danske Bank A/S

                

5.375% 1/12/24 (c)

    240,000       238,695  

Goldman Sachs Capital II 3 mo. USD LIBOR + .768%

                

4.000% VRN (d)

    8,000       5,784  

The Goldman Sachs Group, Inc.

                

SOFR + 1.472% 2.908% VRN 7/21/42

    80,000       51,444  

SOFR + 1.513% 3.210% VRN 4/22/42

    40,000       27,106  

3.500% 4/01/25

    370,000       353,473  

3.500% 11/16/26

    200,000       184,596  

 

   

Principal
Amount

    

Value

  

SOFR + 1.846% 3.615% VRN 3/15/28

  $ 50,000     $ 45,522  

3 mo. USD LIBOR + 1.510% 3.691% VRN 6/05/28

    430,000       389,517  

3.850% 7/08/24

    90,000       87,978  

4.000% 3/03/24

    100,000       98,549  

3 mo. USD LIBOR + 1.301% 4.223% VRN 5/01/29

    490,000       445,584  

4.250% 10/21/25

    260,000       250,853  

4.750% 10/21/45

    130,000       108,418  

5.150% 5/22/45

    290,000       240,935  

6.250% 2/01/41

    130,000       129,046  

6.750% 10/01/37

    80,000       79,699  

HSBC Holdings PLC

                

SOFR + 1.929% 2.099% VRN 6/04/26

    510,000       456,756  

4.250% 8/18/25

    330,000       313,315  

SOFR + 2.530% 4.762% VRN 3/29/33

    200,000       164,083  

Intesa Sanpaolo SpA

                

3.375% 1/12/23 (c)

    350,000       348,047  

5.017% 6/26/24 (c)

    900,000       838,850  

5.710% 1/15/26 (c)

    200,000       181,961  

JP Morgan Chase & Co.

                

SOFR + 1.850% 2.083% VRN 4/22/26

    340,000       309,813  

SOFR + 2.040% 2.522% VRN 4/22/31

    300,000       237,043  

SOFR + 1.180% 2.545% VRN 11/08/32

    160,000       121,353  

SOFR + 2.440% 3.109% VRN 4/22/51

    80,000       50,694  

SOFR + 1.580% 3.328% VRN 4/22/52

    1,660,000       1,091,083  

3 mo. USD LIBOR + .945% 3.509% VRN 1/23/29

    70,000       61,950  

3.875% 9/10/24

    300,000       293,465  

3 mo. USD LIBOR + 1.260% 4.203% VRN 7/23/29

    310,000       282,233  

4.250% 10/01/27

    70,000       65,642  

3 mo. USD LIBOR + 1.330% 4.452% VRN 12/05/29

    830,000       760,096  

4.950% 6/01/45

    140,000       116,800  

Lloyds Banking Group PLC

                

4.550% 8/16/28

    370,000       337,196  

Mitsubishi UFJ Financial Group, Inc. 1 year CMT + 1.125%

                

3.837% VRN 4/17/26 (b)

    200,000       191,474  

Morgan Stanley

                

SOFR + 1.143% 2.699% VRN 1/22/31

    10,000       8,105  

 

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

 

90

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

SOFR + 3.120% 3.622% VRN 4/01/31

  $ 750,000     $ 645,013  

3 mo. USD LIBOR + 1.140% 3.772% VRN 1/24/29

    350,000       314,379  

3 mo. USD LIBOR + 1.628% 4.431% VRN 1/23/30

    10,000       9,190  

National Securities Clearing Corp.

                

1.500% 4/23/25 (c)

    250,000       230,288  

Natwest Group PLC 3 mo. USD LIBOR + 1.550%

                

4.519% VRN 6/25/24

    200,000       197,642  

Royal Bank of Canada

                

1.150% 6/10/25

    310,000       279,780  

1.600% 4/17/23

    30,000       29,578  

3.875% 5/04/32

    40,000       35,286  

Santander Holdings USA, Inc.

                

4.500% 7/17/25

    50,000       47,836  

The Toronto-Dominion Bank

                

1.150% 6/12/25

    300,000       269,656  

UBS Group AG

                

4.253% 3/23/28 (c)

    340,000       314,036  

5 year USD Swap + 4.344% 7.000% VRN (c) (d)

    500,000       473,100  

US Bancorp

                

1.450% 5/12/25

    280,000       257,065  

Wells Fargo & Co.

                

SOFR + 2.000% 2.188% VRN 4/30/26

    200,000       182,680  

SOFR + 2.100% 2.393% VRN 6/02/28

    230,000       197,340  

3 mo. TSFR + 1.432% 2.879% VRN 10/30/30

    150,000       123,200  

3.000% 10/23/26

    350,000       317,179  

SOFR + 1.500% 3.350% VRN 3/02/33

    360,000       291,812  

4.300% 7/22/27

    370,000       346,529  

4.400% 6/14/46

    180,000       137,245  

SOFR + 4.032% 4.478% VRN 4/04/31

    210,000       192,015  

4.650% 11/04/44

    80,000       63,575  

4.750% 12/07/46

    10,000       7,975  

4.900% 11/17/45

    250,000       202,343  

SOFR + 4.502% 5.013% VRN 4/04/51

    1,350,000       1,162,147  

5.375% 11/02/43

    110,000       95,254  

3 mo. USD LIBOR + 3.990% 5.875% VRN (d)

    50,000       47,521  
              30,964,742  

 

   

Principal
Amount

    

Value

  

Beverages — 0.5%

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.

                

3.650% 2/01/26

  $ 320,000     $ 307,486  

4.900% 2/01/46

    50,000       43,333  

Anheuser-Busch InBev Worldwide, Inc.

                

3.500% 6/01/30

    130,000       116,001  

4.000% 4/13/28

    80,000       75,556  

4.350% 6/01/40

    30,000       25,412  

4.500% 6/01/50

    360,000       295,854  

4.600% 4/15/48

    20,000       16,565  

4.750% 1/23/29

    230,000       224,176  

5.550% 1/23/49

    110,000       103,286  

The Coca-Cola Co.

                

1.450% 6/01/27 (b)

    250,000       216,097  

2.500% 6/01/40

    10,000       6,981  

2.600% 6/01/50

    80,000       51,480  

Constellation Brands, Inc.

                

3.600% 5/09/24

    60,000       58,743  

4.350% 5/09/27

    80,000       76,770  

Molson Coors Beverage Co.

                

3.000% 7/15/26

    50,000       45,684  

4.200% 7/15/46

    50,000       37,073  

PepsiCo, Inc.

                

1.625% 5/01/30

    170,000       136,202  
              1,836,699  

Biotechnology — 0.1%

Amgen, Inc.

                

4.663% 6/15/51

    24,000       20,169  

Gilead Sciences, Inc.

                

3.700% 4/01/24

    130,000       127,988  

4.500% 2/01/45

    10,000       8,275  

4.750% 3/01/46

    40,000       34,817  
              191,249  

Building Materials — 0.0%

Builders FirstSource, Inc.

                

4.250% 2/01/32 (c)

    20,000       15,343  

Carrier Global Corp.

                

3.577% 4/05/50

    20,000       13,851  
              29,194  

Chemicals — 0.2%

Equate Petrochemical BV

                

4.250% 11/03/26 (c)

    230,000       216,600  

OCP SA

                

3.750% 6/23/31 (c)

    260,000       196,928  

5.125% 6/23/51 (c)

    220,000       139,700  

 

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

 

91

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Orbia Advance Corp. SAB de CV

                

2.875% 5/11/31 (c)

  $ 490,000     $ 356,819  
              910,047  

Commercial Services — 0.2%

The ADT Security Corp.

                

4.125% 8/01/29 (c)

    10,000       8,300  

Allied Universal Holdco LLC / Allied Universal Finance Corp.

                

6.625% 7/15/26 (c)

    10,000       8,912  

Cintas Corp. No 2

                

3.700% 4/01/27

    160,000       151,740  

DP World Ltd.

                

5.625% 9/25/48 (c)

    330,000       288,071  

PayPal Holdings, Inc.

                

1.650% 6/01/25

    270,000       248,607  

United Rentals North America, Inc.

                

3.750% 1/15/32

    80,000       62,657  

3.875% 11/15/27

    60,000       53,691  

3.875% 2/15/31 (b)

    20,000       16,265  
              838,243  

Computers — 0.2%

Apple, Inc.

                

2.450% 8/04/26

    480,000       442,797  

International Business Machines Corp.

                

3.000% 5/15/24

    320,000       311,331  
              754,128  

Cosmetics & Personal Care — 0.1%

GSK Consumer Healthcare Capital US LLC

                

3.375% 3/24/29 (c)

    260,000       226,742  

The Procter & Gamble Co.

                

3.000% 3/25/30

    100,000       89,527  
              316,269  

Distribution & Wholesale — 0.0%

H&E Equipment Services, Inc.

                

3.875% 12/15/28 (c)

    20,000       15,700  

Diversified Financial Services — 0.7%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

                

2.450% 10/29/26

    170,000       143,470  

3.000% 10/29/28

    160,000       128,653  

3.150% 2/15/24

    190,000       182,514  

3.300% 1/30/32

    160,000       120,165  

Air Lease Corp.

                

3.375% 7/01/25

    80,000       74,559  

American Express Co.

                

3.375% 5/03/24

    130,000       126,790  

4.050% 5/03/29

    210,000       192,685  

 

   

Principal
Amount

    

Value

  

Blue Owl Finance LLC

                

3.125% 6/10/31 (c)

  $ 1,610,000     $ 1,142,833  

ILFC E-Capital Trust II

                

5.365% VRN 12/21/65 (c) (e)

    10,000       6,800  

KKR Group Finance Co. II LLC

                

5.500% 2/01/43 (c)

    20,000       18,094  

Mastercard, Inc.

                

3.850% 3/26/50

    50,000       40,225  

Park Aerospace Holdings Ltd.

                

4.500% 3/15/23 (c)

    10,000       9,941  

5.500% 2/15/24 (c)

    50,000       48,813  

Vanguard Group, Inc.

                

3.050% 8/22/50

    450,000       300,944  

Visa, Inc.

                

3.150% 12/14/25

    200,000       190,973  

4.300% 12/14/45

    160,000       139,393  
              2,866,852  

Electric — 0.2%

American Transmission Systems, Inc.

                

2.650% 1/15/32 (c)

    440,000       345,248  

Consolidated Edison Co. of New York, Inc.

                

3.350% 4/01/30

    70,000       61,487  

3.950% 4/01/50

    50,000       38,460  

Duke Energy Ohio, Inc.

                

3.650% 2/01/29

    260,000       237,501  

Exelon Corp.

                

5.625% 6/15/35

    40,000       39,011  

Pacific Gas and Electric Co.

                

2.100% 8/01/27

    140,000       113,226  

2.500% 2/01/31

    40,000       29,094  

3.300% 8/01/40

    50,000       32,007  

3.500% 8/01/50

    80,000       48,692  
              944,726  

Electronics — 0.0%

Honeywell International, Inc.

                

1.350% 6/01/25

    80,000       73,641  

Entertainment — 0.2%

Warnermedia Holdings, Inc.

                

3.755% 3/15/27 (c)

    60,000       53,705  

4.054% 3/15/29 (c)

    80,000       69,271  

4.279% 3/15/32 (c)

    430,000       353,686  

5.050% 3/15/42 (c)

    20,000       14,967  

5.141% 3/15/52 (c)

    300,000       217,665  
              709,294  

Environmental Controls — 0.1%

Republic Services, Inc.

                

2.500% 8/15/24

    230,000       219,654  

 

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

 

92

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Food — 0.2%

Danone SA

                

2.589% 11/02/23 (c)

  $ 310,000     $ 303,066  

The Hershey Co.

                

0.900% 6/01/25

    50,000       45,388  

Mars, Inc.

                

2.700% 4/01/25 (c)

    140,000       133,161  

3.200% 4/01/30 (c)

    80,000       70,613  

Mondelez International, Inc.

                

1.500% 5/04/25

    390,000       356,509  
              908,737  

Forest Products & Paper — 0.1%

Suzano Austria GmbH

                

3.125% 1/15/32

    80,000       57,576  

3.750% 1/15/31

    430,000       336,884  
              394,460  

Health Care – Products — 0.1%

Abbott Laboratories

                

3.750% 11/30/26

    139,000       134,865  

4.750% 11/30/36

    80,000       77,982  

4.900% 11/30/46

    100,000       95,771  

Medtronic, Inc.

                

4.625% 3/15/45

    18,000       16,249  
              324,867  

Health Care – Services — 0.4%

Aetna, Inc.

                

2.800% 6/15/23

    40,000       39,485  

Centene Corp.

                

2.625% 8/01/31

    10,000       7,551  

3.000% 10/15/30

    10,000       7,919  

4.250% 12/15/27

    70,000       63,898  

4.625% 12/15/29

    120,000       107,832  

CommonSpirit Health

                

4.350% 11/01/42

    20,000       15,762  

Elevance Health, Inc.

                

3.350% 12/01/24

    120,000       115,453  

3.650% 12/01/27

    140,000       130,446  

4.100% 5/15/32

    60,000       54,169  

4.550% 5/15/52

    10,000       8,437  

Fresenius Medical Care US Finance II, Inc.

                

4.750% 10/15/24 (c)

    70,000       68,759  

HCA, Inc.

                

3.500% 9/01/30

    70,000       57,800  

4.500% 2/15/27

    40,000       37,339  

5.000% 3/15/24

    50,000       49,670  

5.250% 6/15/26

    60,000       58,001  

5.500% 6/15/47

    80,000       67,592  

 

   

Principal
Amount

    

Value

  

Humana, Inc.

                

2.150% 2/03/32

  $ 40,000     $ 30,380  

4.500% 4/01/25

    50,000       49,292  

4.625% 12/01/42

    70,000       59,775  

4.800% 3/15/47

    10,000       8,697  

Tenet Healthcare Corp.

                

4.375% 1/15/30 (c)

    10,000       8,347  

UnitedHealth Group, Inc.

                

1.250% 1/15/26

    110,000       98,136  

2.000% 5/15/30

    100,000       80,410  

2.300% 5/15/31

    20,000       16,082  

3.125% 5/15/60

    30,000       19,213  

3.875% 12/15/28

    110,000       102,767  

3.875% 8/15/59

    90,000       66,781  

4.000% 5/15/29

    100,000       93,217  

4.200% 5/15/32

    70,000       64,982  

4.250% 6/15/48

    110,000       91,150  

4.450% 12/15/48

    50,000       42,626  

5.800% 3/15/36

    70,000       71,325  
              1,793,293  

Home Builders — 0.0%

Lennar Corp.

                

4.500% 4/30/24

    100,000       98,164  

4.750% 11/29/27

    40,000       36,978  

MDC Holdings, Inc.

                

6.000% 1/15/43

    20,000       15,040  
              150,182  

Insurance — 0.2%

Ambac Assurance Corp.

                

5.100% (c) (d)

    4,362       4,427  

Berkshire Hathaway Finance Corp.

                

4.250% 1/15/49

    160,000       132,988  

Brighthouse Financial, Inc.

                

4.700% 6/22/47

    11,000       7,790  

Chubb INA Holdings, Inc.

                

3.350% 5/03/26

    120,000       113,451  

Guardian Life Global Funding

                

1.100% 6/23/25 (c)

    120,000       107,801  

MetLife Capital Trust IV

                

7.875% 12/15/37 (c)

    200,000       213,500  

New York Life Global Funding

                

0.950% 6/24/25 (c)

    100,000       89,606  

Principal Life Global Funding II

                

1.250% 6/23/25 (c)

    110,000       98,830  

Teachers Insurance & Annuity Association of America

                

4.900% 9/15/44 (c)

    50,000       43,821  

 

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

 

93

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

6.850% 12/16/39 (c)

  $ 22,000     $ 23,959  
              836,173  

Internet — 1.3%

Alphabet, Inc.

                

0.450% 8/15/25

    50,000       44,838  

0.800% 8/15/27

    90,000       75,951  

1.900% 8/15/40

    100,000       64,200  

2.050% 8/15/50

    60,000       35,263  

Amazon.com, Inc.

                

2.100% 5/12/31

    80,000       64,845  

2.500% 6/03/50

    60,000       37,467  

3.150% 8/22/27

    470,000       438,194  

3.300% 4/13/27

    40,000       37,771  

3.450% 4/13/29

    80,000       74,008  

3.600% 4/13/32 (b)

    320,000       290,831  

4.050% 8/22/47

    100,000       84,487  

4.250% 8/22/57

    70,000       58,245  

4.950% 12/05/44

    180,000       171,890  

Meta Platforms, Inc.

                

4.450% 8/15/52 (c)

    3,215,000       2,624,093  

Prosus NV

                

3.061% 7/13/31 (c)

    570,000       391,262  

3.832% 2/08/51 (c)

    210,000       116,549  

4.027% 8/03/50 (c)

    310,000       172,733  

Tencent Holdings Ltd.

                

3.680% 4/22/41 (c)

    210,000       150,633  

3.840% 4/22/51 (c)

    320,000       208,993  
              5,142,253  

Investment Companies — 0.3%

Golub Capital BDC, Inc.

                

2.500% 8/24/26

    1,570,000       1,316,566  

Iron & Steel — 0.1%

ArcelorMittal SA

                

7.000% STEP 10/15/39 (b)

    60,000       56,934  

Vale Overseas Ltd.

                

6.875% 11/21/36

    174,000       165,148  
              222,082  

Leisure Time — 0.0%

VOC Escrow Ltd.

                

5.000% 2/15/28 (c)

    210,000       170,806  

Lodging — 0.4%

Las Vegas Sands Corp.

                

2.900% 6/25/25

    100,000       89,698  

3.200% 8/08/24

    790,000       744,899  

Sands China Ltd.

                

4.300% STEP 1/08/26

    280,000       238,302  

5.625% STEP 8/08/25

    750,000       679,447  
              1,752,346  

 

   

Principal
Amount

    

Value

  

Machinery – Construction & Mining — 0.0%

Vertiv Group Corp.

                

4.125% 11/15/28 (b) (c)

  $ 30,000     $ 24,150  

Machinery – Diversified — 0.1%

Deere & Co.

                

3.100% 4/15/30

    60,000       53,369  

3.750% 4/15/50 (b)

    260,000       212,067  

Otis Worldwide Corp.

                

2.056% 4/05/25

    140,000       129,516  
              394,952  

Media — 1.1%

CCO Holdings LLC/CCO Holdings Capital Corp.

                

4.500% 8/15/30 (c)

    30,000       23,725  

4.500% 5/01/32

    840,000       640,643  

4.750% 2/01/32 (c)

    70,000       54,515  

Charter Communications Operating LLC/Charter Communications Operating Capital

                

3.500% 3/01/42

    60,000       37,870  

4.200% 3/15/28

    190,000       170,667  

4.400% 4/01/33

    140,000       115,531  

4.800% 3/01/50

    100,000       72,148  

4.908% 7/23/25

    270,000       263,332  

5.050% 3/30/29

    360,000       331,243  

5.125% 7/01/49

    40,000       29,702  

5.375% 4/01/38

    100,000       81,138  

5.375% 5/01/47

    20,000       15,472  

5.500% 4/01/63

    80,000       60,434  

6.484% 10/23/45

    160,000       140,628  

6.834% 10/23/55

    60,000       54,589  

Comcast Corp.

                

2.800% 1/15/51

    30,000       18,265  

2.887% 11/01/51

    320,000       200,427  

3.150% 3/01/26

    280,000       263,859  

3.250% 11/01/39

    30,000       22,035  

3.300% 4/01/27

    120,000       111,337  

3.400% 4/01/30

    180,000       158,252  

3.400% 7/15/46

    30,000       21,125  

3.450% 2/01/50

    40,000       27,937  

3.750% 4/01/40

    80,000       62,898  

3.969% 11/01/47

    80,000       61,177  

3.999% 11/01/49

    20,000       15,330  

4.000% 8/15/47

    20,000       15,475  

4.000% 3/01/48

    50,000       38,231  

4.150% 10/15/28

    180,000       170,148  

4.250% 10/15/30

    230,000       212,867  

4.250% 1/15/33

    20,000       18,105  

4.950% 10/15/58

    10,000       8,590  

 

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

 

94

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

6.500% 11/15/35

  $ 41,000     $ 43,653  

CSC Holdings LLC

                

6.500% 2/01/29 (c)

    250,000       221,644  

DISH DBS Corp.

                

5.250% 12/01/26 (c)

    120,000       98,263  

5.750% 12/01/28 (c)

    120,000       90,427  

Fox Corp.

                

5.476% 1/25/39

    90,000       78,044  

Time Warner Cable, Inc.

                

6.550% 5/01/37

    50,000       45,115  

6.750% 6/15/39

    120,000       107,280  

7.300% 7/01/38

    100,000       95,108  

Time Warner Entertainment Co. LP

                

8.375% 7/15/33

    20,000       21,326  

Virgin Media Secured Finance PLC

                

5.500% 5/15/29 (c)

    210,000       179,793  

The Walt Disney Co.

                

6.200% 12/15/34

    20,000       20,990  

6.650% 11/15/37

    50,000       54,556  
              4,573,894  

Mining — 0.5%

Anglo American Capital PLC

                

4.750% 4/10/27 (c)

    230,000       217,573  

Barrick Gold Corp.

                

5.250% 4/01/42

    20,000       18,250  

Barrick North America Finance LLC

                

5.700% 5/30/41

    80,000       75,994  

5.750% 5/01/43

    80,000       75,285  

BHP Billiton Finance USA Ltd.

                

5.000% 9/30/43

    100,000       94,793  

First Quantum Minerals Ltd.

                

6.875% 10/15/27 (c)

    230,000       206,549  

Freeport-McMoRan, Inc.

                

4.550% 11/14/24

    10,000       9,847  

4.625% 8/01/30

    120,000       105,189  

5.450% 3/15/43

    466,000       388,784  

Glencore Funding LLC

                

3.875% 10/27/27 (c)

    90,000       81,857  

4.000% 3/27/27 (c)

    270,000       251,611  

4.125% 5/30/23 (c)

    130,000       129,176  

4.125% 3/12/24 (c)

    130,000       127,749  

Hudbay Minerals, Inc.

                

6.125% 4/01/29 (b) (c)

    10,000       8,057  

Southern Copper Corp.

                

5.250% 11/08/42

    450,000       394,258  

Teck Resources Ltd.

                

6.000% 8/15/40

    20,000       17,641  
              2,202,613  

 

   

Principal
Amount

    

Value

  

Miscellaneous - Manufacturing — 0.1%

3M Co.

                

2.375% 8/26/29 (b)

  $ 140,000     $ 114,741  

3.050% 4/15/30 (b)

    60,000       50,965  

3.700% 4/15/50

    150,000       109,060  

Eaton Corp.

                

4.150% 11/02/42

    40,000       32,879  

General Electric Co.

                

6.750% 3/15/32

    114,000       123,122  
              430,767  

Oil & Gas — 2.3%

BP Capital Markets America, Inc.

                

3.000% 2/24/50

    340,000       220,612  

3.119% 5/04/26

    290,000       271,212  

3.588% 4/14/27

    100,000       93,695  

3.633% 4/06/30

    120,000       107,676  

Chevron Corp.

                

1.995% 5/11/27

    110,000       97,529  

3.078% 5/11/50

    20,000       14,153  

Chevron USA, Inc.

                

3.850% 1/15/28

    300,000       285,091  

ConocoPhillips Co.

                

6.950% 4/15/29

    75,000       82,233  

Continental Resources, Inc.

                

2.268% 11/15/26 (c)

    70,000       59,735  

4.375% 1/15/28

    130,000       116,672  

5.750% 1/15/31 (c)

    250,000       225,965  

Coterra Energy, Inc.

                

3.900% 5/15/27 (c)

    230,000       213,221  

4.375% 3/15/29 (c)

    220,000       203,309  

Devon Energy Corp.

                

4.750% 5/15/42

    10,000       8,145  

5.000% 6/15/45

    440,000       366,194  

5.250% 10/15/27

    32,000       32,070  

5.600% 7/15/41

    140,000       125,381  

5.850% 12/15/25

    120,000       121,061  

5.875% 6/15/28

    26,000       25,968  

8.250% 8/01/23

    30,000       30,705  

Diamondback Energy, Inc.

                

3.250% 12/01/26

    10,000       9,226  

3.500% 12/01/29

    160,000       138,051  

Ecopetrol SA

                

5.875% 5/28/45

    770,000       467,698  

EOG Resources, Inc.

                

3.900% 4/01/35

    200,000       170,313  

4.150% 1/15/26

    70,000       68,211  

4.375% 4/15/30

    60,000       57,116  

4.950% 4/15/50

    40,000       37,216  

 

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

 

95

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

EQT Corp.

                

3.900% 10/01/27

  $ 280,000     $ 254,836  

6.125% STEP 2/01/25

    20,000       20,026  

7.000% STEP 2/01/30

    50,000       51,595  

Exxon Mobil Corp.

                

2.992% 3/19/25

    340,000       326,168  

3.043% 3/01/26

    130,000       122,876  

3.482% 3/19/30

    190,000       172,469  

4.114% 3/01/46

    200,000       165,235  

4.327% 3/19/50

    20,000       17,035  

KazMunayGas National Co. JSC

                

5.375% 4/24/30 (c)

    200,000       158,350  

Occidental Petroleum Corp.

                

4.400% 4/15/46

    40,000       32,917  

4.625% 6/15/45

    80,000       66,229  

6.600% 3/15/46

    630,000       648,900  

Petrobras Global Finance BV

                

5.500% 6/10/51 (b)

    610,000       433,594  

5.999% 1/27/28

    900,000       868,730  

7.375% 1/17/27

    260,000       267,518  

Petroleos Mexicanos

                

6.375% 1/23/45

    220,000       121,550  

6.625% 6/15/35

    303,000       193,617  

6.875% 8/04/26

    160,000       144,085  

Pioneer Natural Resources Co.

                

1.125% 1/15/26

    40,000       34,983  

2.150% 1/15/31

    190,000       146,326  

Reliance Industries Ltd.

                

3.625% 1/12/52 (c)

    330,000       206,884  

Shell International Finance BV

                

2.750% 4/06/30

    160,000       136,548  

2.875% 5/10/26

    130,000       121,167  

3.250% 4/06/50

    230,000       161,598  

4.000% 5/10/46

    180,000       143,203  

4.550% 8/12/43

    100,000       86,666  

Sinopec Group Overseas Development 2014 Ltd.

                

4.375% 4/10/24 (c)

    330,000       329,013  

Southwestern Energy Co.

                

4.750% 2/01/32 (b)

    60,000       50,286  

5.375% 3/15/30

    20,000       18,021  
              9,148,883  

Oil & Gas Services — 0.0%

Halliburton Co.

                

3.800% 11/15/25

    2,000       1,926  

4.850% 11/15/35

    20,000       17,348  

5.000% 11/15/45

    110,000       91,356  

 

   

Principal
Amount

    

Value

  

Schlumberger Holdings Corp.

                

3.900% 5/17/28 (c)

  $ 31,000     $ 27,992  
              138,622  

Packaging & Containers — 0.0%

Ball Corp.

                

3.125% 9/15/31 (b)

    100,000       75,375  

Pharmaceuticals — 1.8%

AbbVie, Inc.

                

2.600% 11/21/24

    550,000       523,556  

2.950% 11/21/26

    260,000       238,300  

3.200% 11/21/29

    600,000       526,081  

3.600% 5/14/25

    130,000       124,968  

3.800% 3/15/25

    180,000       174,354  

4.250% 11/21/49

    20,000       16,058  

4.550% 3/15/35

    90,000       80,693  

4.875% 11/14/48

    20,000       17,588  

Becton Dickinson and Co.

                

3.363% 6/06/24

    82,000       79,705  

4.685% 12/15/44

    18,000       15,375  

Bristol-Myers Squibb Co.

                

2.900% 7/26/24

    206,000       199,842  

3.200% 6/15/26

    204,000       193,134  

3.400% 7/26/29

    19,000       17,269  

Cigna Corp.

                

3.750% 7/15/23

    161,000       159,814  

4.125% 11/15/25

    100,000       97,138  

4.375% 10/15/28

    760,000       717,503  

4.900% 12/15/48

    20,000       17,273  

CVS Health Corp.

                

1.875% 2/28/31

    30,000       22,841  

2.125% 9/15/31

    140,000       107,086  

3.750% 4/01/30

    150,000       133,336  

4.125% 4/01/40

    120,000       95,562  

4.250% 4/01/50

    30,000       23,447  

4.300% 3/25/28

    578,000       546,418  

5.050% 3/25/48

    120,000       105,278  

5.125% 7/20/45

    100,000       87,556  

CVS Pass-Through Trust

                

5.298% 1/11/27 (c)

    4,636       4,583  

5.880% 1/10/28

    59,251       58,986  

6.036% 12/10/28

    54,806       54,435  

6.943% 1/10/30

    50,886       52,413  

Johnson & Johnson

                

0.550% 9/01/25

    120,000       107,164  

0.950% 9/01/27

    40,000       33,870  

3.625% 3/03/37

    320,000       276,478  

Merck & Co., Inc.

                

0.750% 2/24/26

    200,000       175,392  

 

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

 

96

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

1.450% 6/24/30

  $ 120,000     $ 93,799  

Pfizer, Inc.

                

0.800% 5/28/25

    270,000       245,207  

1.700% 5/28/30

    280,000       223,516  

Teva Pharmaceutical Finance Netherlands III BV

                

3.150% 10/01/26

    900,000       738,450  

6.000% 4/15/24

    350,000       339,689  

7.125% 1/31/25

    390,000       379,628  
              7,103,785  

Pipelines — 1.5%

Cameron LNG LLC

                

2.902% 7/15/31 (c)

    40,000       32,932  

3.302% 1/15/35 (c)

    130,000       102,185  

Cheniere Energy Partners LP

                

3.250% 1/31/32 (c)

    170,000       132,053  

El Paso Natural Gas Co. LLC

                

8.375% 6/15/32

    289,000       321,179  

Energy Transfer LP

                

2.900% 5/15/25

    170,000       158,148  

3.750% 5/15/30

    430,000       363,967  

4.950% 6/15/28

    50,000       46,594  

5.250% 4/15/29

    80,000       75,218  

5.300% 4/01/44

    20,000       16,023  

5.400% 10/01/47

    40,000       32,384  

6.250% 4/15/49

    260,000       232,835  

3 mo. USD LIBOR + 4.028% 6.250% VRN (d)

    20,000       16,400  

5 year CMT + 5.694% 6.500% VRN (d)

    50,000       43,640  

5 year CMT + 5.134% 6.750% VRN (d)

    160,000       137,707  

5 year CMT + 5.306% 7.125% VRN (d)

    150,000       123,221  

Enterprise Products Operating LLC

                

3.700% 1/31/51

    10,000       7,032  

4.150% 10/16/28

    980,000       911,636  

3 mo. USD LIBOR + 2.570% 5.375% VRN 2/15/78

    40,000       30,033  

5.700% 2/15/42

    40,000       37,118  

EQM Midstream Partners LP

                

5.500% 7/15/28

    10,000       8,550  

Kinder Morgan Energy Partners LP

                

5.500% 3/01/44

    30,000       24,941  

Kinder Morgan, Inc.

                

4.300% 3/01/28

    110,000       102,996  

5.200% 3/01/48

    20,000       16,720  

MPLX LP

                

4.500% 4/15/38

    70,000       56,330  

 

   

Principal
Amount

    

Value

  

4.700% 4/15/48

  $ 210,000     $ 160,021  

4.800% 2/15/29

    190,000       176,744  

4.875% 12/01/24

    90,000       88,930  

5.500% 2/15/49

    100,000       84,884  

Southern Natural Gas Co. LLC

                

8.000% 3/01/32

    148,000       161,423  

Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.

                

6.000% 12/31/30 (c)

    10,000       8,501  

Targa Resources Corp.

                

4.200% 2/01/33

    100,000       83,239  

4.950% 4/15/52

    40,000       30,780  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

                

4.875% 2/01/31

    130,000       111,800  

Tennessee Gas Pipeline Co. LLC

                

2.900% 3/01/30 (c)

    200,000       163,647  

Transcontinental Gas Pipe Line Co. LLC

                

7.850% 2/01/26

    60,000       63,704  

Venture Global Calcasieu Pass LLC

                

3.875% 11/01/33 (c)

    80,000       62,200  

Western Midstream Operating LP

                

3.350% STEP 2/01/25

    240,000       223,123  

3 mo. USD LIBOR + 1.100% 3.555% FRN 1/13/23

    90,000       89,338  

4.300% STEP 2/01/30

    900,000       769,734  

5.500% 8/15/48

    20,000       16,175  

5.500% STEP 2/01/50

    230,000       185,725  

The Williams Cos., Inc.

                

3.750% 6/15/27

    170,000       156,452  

7.500% 1/15/31

    200,000       214,452  

7.750% 6/15/31 (b)

    350,000       379,771  
              6,260,485  

Real Estate Investment Trusts (REITS) — 0.1%

CTR Partnership LP / CareTrust Capital Corp.

                

3.875% 6/30/28 (c)

    20,000       16,454  

GLP Capital LP/GLP Financing II, Inc.

                

5.250% 6/01/25

    10,000       9,666  

5.375% 4/15/26

    40,000       38,260  

MPT Operating Partnership LP / MPT Finance Corp.

                

3.500% 3/15/31

    110,000       76,588  

4.625% 8/01/29

    10,000       8,046  

5.000% 10/15/27

    30,000       25,928  

 

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

 

97

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

WEA Finance LLC/Westfield UK & Europe Finance PLC

                

3.750% 9/17/24 (c)

  $ 220,000     $ 207,881  
              382,823  

Retail — 0.9%

Costco Wholesale Corp.

                

1.375% 6/20/27

    190,000       164,067  

1.600% 4/20/30

    110,000       88,164  

The Home Depot, Inc.

                

2.700% 4/15/30

    70,000       59,766  

3.300% 4/15/40

    120,000       91,770  

3.350% 4/15/50

    220,000       157,633  

3.900% 12/06/28

    30,000       28,512  

3.900% 6/15/47

    40,000       31,835  

Lowe’s Cos., Inc.

                

4.500% 4/15/30

    50,000       46,681  

5.625% 4/15/53

    2,341,000       2,170,159  

McDonald’s Corp.

                

3.300% 7/01/25

    60,000       57,736  

3.500% 7/01/27

    180,000       168,178  

3.600% 7/01/30

    190,000       170,744  

3.625% 9/01/49

    40,000       29,134  

3.800% 4/01/28

    110,000       103,380  

4.200% 4/01/50

    140,000       112,200  

Target Corp.

                

2.250% 4/15/25

    110,000       103,783  

Walmart, Inc.

                

1.500% 9/22/28

    80,000       66,935  

1.800% 9/22/31

    40,000       31,763  
              3,682,440  

Semiconductors — 0.3%

Broadcom, Inc.

                

3.137% 11/15/35 (c)

    490,000       343,136  

Intel Corp.

                

1.600% 8/12/28

    190,000       156,897  

3.050% 8/12/51 (b)

    90,000       57,748  

3.700% 7/29/25

    40,000       38,980  

4.750% 3/25/50

    20,000       17,284  

NVIDIA Corp.

                

2.850% 4/01/30

    90,000       77,105  

3.500% 4/01/40

    240,000       186,443  

3.500% 4/01/50

    170,000       124,474  

3.700% 4/01/60

    170,000       121,690  

NXP BV / NXP Funding LLC / NXP USA, Inc.

                

2.700% 5/01/25

    120,000       111,294  

 

   

Principal
Amount

    

Value

  

Texas Instruments, Inc.

                

1.750% 5/04/30

  $ 110,000     $ 88,116  
              1,323,167  

Software — 0.5%

Microsoft Corp.

                

2.400% 8/08/26

    530,000       490,805  

2.525% 6/01/50

    133,000       86,910  

2.675% 6/01/60 (b)

    17,000       10,692  

2.921% 3/17/52

    107,000       75,574  

3.041% 3/17/62

    83,000       56,642  

3.300% 2/06/27

    290,000       275,998  

Open Text Holdings, Inc.

                

4.125% 2/15/30 (c)

    10,000       7,986  

4.125% 12/01/31 (c)

    10,000       7,593  

Oracle Corp.

                

1.650% 3/25/26

    300,000       262,955  

2.875% 3/25/31

    350,000       275,913  

2.950% 4/01/30

    20,000       16,115  

Salesforce, Inc.

                

3.250% 4/11/23

    60,000       59,718  

3.700% 4/11/28

    50,000       47,415  

Workday, Inc.

                

3.500% 4/01/27

    50,000       46,212  

3.700% 4/01/29

    80,000       72,004  

3.800% 4/01/32 (b)

    100,000       86,897  
              1,879,429  

Telecommunications — 1.7%

Altice France SA

                

5.500% 10/15/29 (c)

    210,000       158,003  

AT&T, Inc.

                

1.650% 2/01/28 (b)

    280,000       230,229  

2.250% 2/01/32

    20,000       15,119  

2.300% 6/01/27

    250,000       218,610  

2.550% 12/01/33

    120,000       88,792  

3.300% 2/01/52 (b)

    40,000       25,777  

3.500% 9/15/53

    180,000       119,510  

3.550% 9/15/55

    173,000       113,470  

3.650% 9/15/59

    60,000       38,880  

3.800% 12/01/57

    10,000       6,756  

4.350% 6/15/45

    101,000       78,021  

5.350% 9/01/40

    40,000       36,100  

5.550% 8/15/41

    40,000       37,097  

CommScope, Inc.

                

4.750% 9/01/29 (c)

    20,000       16,313  

6.000% 3/01/26 (c)

    60,000       55,243  

Sprint Capital Corp.

                

8.750% 3/15/32

    20,000       23,175  

 

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

 

98

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC

                

4.738% 9/20/29 (c)

  $ 137,500     $ 135,529  

T-Mobile USA, Inc.

                

2.250% 2/15/26

    70,000       62,635  

2.250% 11/15/31

    70,000       52,728  

2.550% 2/15/31

    130,000       102,953  

2.625% 2/15/29

    230,000       189,897  

2.875% 2/15/31

    170,000       136,993  

3.000% 2/15/41

    60,000       40,097  

3.300% 2/15/51

    20,000       13,031  

3.375% 4/15/29

    70,000       60,429  

3.500% 4/15/25

    350,000       334,564  

3.500% 4/15/31

    290,000       244,734  

3.750% 4/15/27

    50,000       46,165  

3.875% 4/15/30

    190,000       168,468  

5.650% 1/15/53

    1,232,000       1,162,161  

Telefonica Emisiones SA

                

5.213% 3/08/47

    150,000       114,096  

Verizon Communications, Inc.

                

1.750% 1/20/31

    280,000       209,896  

2.355% 3/15/32

    40,000       30,658  

2.550% 3/21/31

    570,000       455,597  

2.650% 11/20/40

    260,000       169,484  

2.875% 11/20/50

    530,000       324,146  

3.400% 3/22/41

    40,000       29,210  

3.850% 11/01/42

    40,000       30,653  

3.875% 2/08/29

    130,000       118,635  

4.000% 3/22/50

    120,000       91,538  

4.125% 8/15/46

    180,000       142,517  

4.329% 9/21/28

    440,000       414,382  

4.400% 11/01/34

    270,000       237,506  

4.500% 8/10/33

    40,000       36,009  

5.250% 3/16/37

    170,000       158,819  

5.500% 3/16/47

    30,000       28,617  

Vmed O2 UK Financing I PLC

                

4.750% 7/15/31 (c)

    200,000       154,302  

Vodafone Group PLC

                

4.375% 5/30/28 (b)

    70,000       65,882  
              6,823,426  

Transportation — 0.1%

Union Pacific Corp.

                

2.150% 2/05/27

    50,000       44,642  

2.891% 4/06/36

    270,000       205,222  

3.750% 7/15/25

    70,000       68,281  

3.750% 2/05/70

    150,000       104,707  

3.839% 3/20/60

    120,000       88,811  

 

   

Principal
Amount

    

Value

  

XPO Logistics, Inc.

                

6.250% 5/01/25 (c)

  $ 9,000     $ 9,025  
              520,688  
                 

TOTAL CORPORATE DEBT (Cost $128,025,740)

            110,260,470  
                 

MUNICIPAL OBLIGATIONS — 0.0%

Northeast Ohio Regional Sewer District, Revenue Bond

                

5.000% 11/15/43

    50,000       50,571  

State of California, General Obligation

                

5.000% 11/01/43

    50,000       50,875  
              101,446  
                 

TOTAL MUNICIPAL OBLIGATIONS (Cost $102,278)

            101,446  
                 

NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.3%

Automobile Asset-Backed Securities — 0.6%

Avis Budget Rental Car Funding, Series 2021-1A, Class A

                

1.380% 8/20/27 (c)

    490,000       419,717  

Hertz Vehicle Financing III LP, Series 2021-2A, Class C

                

2.520% 12/27/27 (c)

    2,500,000       2,111,442  
              2,531,159  

Commercial Mortgage-Backed Securities — 3.9%

Banc of America Merrill Lynch Trust, Series 2016-GG10, Class AJA,

                

5.809% VRN 8/10/45 (c) (e)

    408,268       155,142  

BANK, Series 2017-BNK4, Class XA,

                

1.488% VRN 5/15/50 (e)

    3,274,144       149,283  

Benchmark Mortgage Trust, Series 2021-B29, Class XA,

                

1.155% VRN 9/15/54 (e)

    2,511,300       143,236  

BPR Trust, Series 2021-TY, Class A, 1 mo. USD LIBOR + 1.050%

                

3.868% FRN 9/15/38 (c)

    140,000       133,021  

Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class B,

                

4.175% VRN 7/10/47 (e)

    350,000       335,438  

Credit Suisse Mortgage Trust

                

Series 2014-USA, Class A2, 3.953% 9/15/37 (c)

    190,000       172,152  

Series 2014-USA, Class E, 4.373% 9/15/37 (c)

    140,000       99,356  

Series 2014-USA, Class F, 4.373% 9/15/37 (c)

    2,440,000       1,542,946  

 

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

 

99

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Series 2022-MARK, Class A, 1 mo. TSFR + 2.695% 5.541% FRN 6/15/39 (c)

  $ 130,000     $ 129,708  

Series 2019-RIO Class A, 1 mo. USD LIBOR + 3.024% 5.842% FRN 12/15/22 (c)

    2,483,371       2,455,516  

Series 2017-CHOP, Class G, 1 mo. USD LIBOR + 5.350% 8.168% FRN 7/15/32 (c)

    1,160,000       1,038,581  

Deutsche Bank Commercial Mortgage Trust, Series 2016-C3, Class A4

                

2.632% 8/10/49

    160,000       145,198  

GS Mortgage Securities Trust, Series 2018-SRP5, Class A, 1 mo. USD LIBOR + 1.800%

                

4.618% FRN 9/15/31 (c)

    1,240,611       1,181,581  

JPMBB Commercial Mortgage Securities Trust

                

Series 2014-C19, Class XA, 0.785% VRN 4/15/47 (e)

    998,377       5,885  

Series 2015-C31, Class B, 4.776% VRN 8/15/48 (e)

    160,000       152,154  

Series 2013-C17, Class B, 5.049% VRN 1/15/47 (e)

    30,000       29,159  

ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AJ,

                

6.193% VRN 9/12/49 (e)

    3,242       3,203  

Morgan Stanley Capital I Trust, Series 2019-L2, Class B,

                

4.494% VRN 3/15/52 (e)

    850,000       769,209  

MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, 1 mo. TSFR + 1.397%

                

4.242% FRN 3/15/39 (c)

    190,000       186,084  

PFP Ltd., Series 2021-8, Class A, 1 mo. USD LIBOR + 1.000%

                

3.939% FRN 8/09/37 (c)

    749,517       721,988  

Shops at Crystals Trust, Series 2016-CSTL, Class A

                

3.126% 7/05/36 (c)

    320,000       276,709  

TTAN, Series 2021-MHC, Class A, 1 mo. USD LIBOR + .850%

                

3.668% FRN 3/15/38 (c)

    468,509       453,922  

UBS Commercial Mortgage Trust, Series 2017-C1, Class A4

                

3.460% 6/15/50

    170,000       155,337  

Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A

                

4.104% 9/14/49 (c)

    54,712       53,936  

 

   

Principal
Amount

    

Value

  

Wells Fargo Commercial Mortgage Trust

                

Series 2019-C52, Class XA, 1.751% VRN 8/15/52 (e)

  $ 5,558,315     $ 409,972  

Series 2013-LC12, Class B, 4.432% VRN 7/15/46 (e)

    140,000       132,869  

WFRBS Commercial Mortgage Trust

                

Series 2014-C24, Class B, 4.204% VRN 11/15/47 (e)

    190,000       172,926  

Series 2014-C24, Class C, 4.290% VRN 11/15/47 (e)

    190,000       161,550  

Series 2014-LC14, Class D, 4.586% VRN 3/15/47 (c) (e)

    5,000,000       4,618,350  
              15,984,411  

Home Equity Asset-Backed Securities — 0.6%

Accredited Mortgage Loan Trust, Series 2006-2, Class M1, 1 mo. USD LIBOR + .270%

                

3.354% FRN 9/25/36

    420,000       396,384  

Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE6, Class A3B, 1 mo. USD LIBOR + .960%

                

4.044% FRN 11/25/33

    1,206,558       1,088,715  

GSAA Home Equity Trust, Series 2006-5, Class 2A3, 1 mo. USD LIBOR + .540%

                

3.624% FRN 3/25/36

    316,015       156,744  

RBSSP Resecuritization Trust, Series 2010-4, Class 6A2,

                

5.825% STEP 2/26/36 (c)

    723,005       684,633  
              2,326,476  

Manufactured Housing Asset-Backed Securities — 0.1%

Conseco Finance Corp., Series 1996-4, Class M1,

                

7.750% VRN 6/15/27 (e)

    462,857       477,753  

Other Asset-Backed Securities — 2.1%

Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class A, 1 mo. USD LIBOR + 1.070%

                

3.888% FRN 8/15/34 (c)

    790,000       762,119  

Dividend Solar Loans LLC, Series 2019-1, Class A

                

3.670% 8/22/39 (c)

    765,903       690,488  

First Franklin Mortgage Loan Trust, Series 2006-FF15, Class A2, 1 mo. USD LIBOR + .120%

                

3.204% FRN 11/25/36

    293,270       270,937  

InStar Leasing III LLC, Series 2021-1A, Class A

                

2.300% 2/15/54 (c)

    579,233       492,236  

 

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

 

100

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Magnolia Finance, Series 2019-1OTF, Class A1, 3 mo. USD LIBOR + 2.900%

                

5.682% FRN 8/09/24 (c)

  $ 945,000     $ 924,323  

PFCA Home Equity Investment Trust, Series 2003-IFC6, Class A,

                

4.773% VRN 4/22/35 (c) (e)

    401,766       400,665  

Saxon Asset Securities Trust, Series 2006-3, Class A4, 1 mo. USD LIBOR + .240%

                

2.684% FRN 10/25/46

    440,000       352,387  

SBA Small Business Investment Cos.

                

Series 2019-25G, Class 1, 2.690% 7/01/44

    203,018       173,020  

Series 2019-20D, Class 1, 2.980% 4/01/39

    143,497       130,578  

Structured Asset Investment Loan Trust, Series 2004-8, Class A9, 1 mo. USD LIBOR + 1.000%

                

4.084% FRN 9/25/34

    626,087       611,943  

Taco Bell Funding LLC, Series 2021-1A, Class A23

                

2.542% 8/25/51 (c)

    3,970,000       3,035,758  

USQ Rail LLC, Series 2021-1A, Class A

                

2.250% 2/28/51 (c)

    721,158       617,884  
              8,462,338  

Student Loans Asset-Backed Securities — 0.5%

College Ave Student Loans LLC, Series 2019-A, Class A2

                

3.280% 12/28/48 (c)

    263,722       241,744  

Navient Private Education Loan Trust, Series 2020-IA, Class A1A

                

1.330% 4/15/69 (c)

    405,683       352,537  

SLM Student Loan Trust, Series 2003-7A, Class A5A, 3 mo. USD LIBOR + 1.200%

                

4.493% FRN 12/15/33 (c)

    329,927       325,100  

SMB Private Education Loan Trust

                

Series 2020-A, Class A2A, 2.230% 9/15/37 (c)

    460,799       433,539  

Series 2021-A, Class B, 2.310% 1/15/53 (c)

    600,000       535,627  
              1,888,547  

Whole Loan Collateral Collateralized Mortgage Obligations — 1.5%

Bear Stearns Asset -Backed Securities I Trust, Series 2005-AC8, Class A3, 1 mo. USD LIBOR + 7.650%

                

4.566% FRN 11/25/35

    638,523       105,252  

 

   

Principal
Amount

    

Value

  

BRAVO Residential Funding Trust, Series 2022-NQM3, Class A1,

                

5.108% VRN 7/25/62 (c) (e)

  $ 345,278     $ 338,663  

Citigroup Mortgage Loan Trust, Series 2007-6, Class 2A4, 1 mo. USD LIBOR + .350%

                

3.434% FRN 5/25/37

    1,429,791       763,543  

Credit Suisse Mortgage Trust

                

Series 2015-4R, Class 3A3, 1 mo. USD LIBOR + .310% 3.064% FRN 10/27/36 (c)

    683,894       327,241  

Series 2021-2R, Class 1A1, 1 mo. USD LIBOR + 1.750% 4.303% FRN 7/25/47 (c)

    15       15  

Flagstar Mortgage Trust, Series 2018-2, Class A4,

                

3.500% VRN 4/25/48 (c) (e)

    20,938       20,670  

GS Mortgage Securities Trust, Series 2014-2R, Class 3B

                

0.702% 11/26/37 (c)

    1,220,000       1,025,010  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3,

                

3.493% VRN 10/25/35 (e)

    45,672       26,306  

HarborView Mortgage Loan Trust, Series 2006-2, Class 1A,

                

3.524% VRN 2/25/36 (e)

    27,306       10,091  

JP Morgan Mortgage Trust

                

Series 2018-3, Class A1, 3.500% VRN 9/25/48 (c) (e)

    250,086       224,781  

Series 2018-4, Class A1, 3.500% VRN 10/25/48 (c) (e)

    106,917       95,928  

Series 2018-5, Class A1, 3.500% VRN 10/25/48 (c) (e)

    134,039       120,119  

Mortgage Repurchase Agreement Financing Trust II

                

4.496% 3/30/25 (c)

    290,000       290,000  

New Residential Mortgage Loan Trust

                

Series 2018-RPL1, Class M2, 3.500% VRN 12/25/57 (c) (e)

    730,000       613,768  

Series 2017-4A, Class A1, 4.000% VRN 5/25/57 (c) (e)

    231,576       222,820  

Prime Mortgage Trust

                

Series 2006-DR1, Class 1A1, 5.500% 5/25/35 (c)

    6,364       6,243  

Series 2006-DR1, Class 2A2, 6.000% 5/25/35 (c)

    490,198       420,244  

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1,

                

2.878% VRN 8/25/36 (e)

    162,263       115,470  

 

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

 

101

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1, 12 mo. MTA + 2.150%

                

3.254% FRN 3/25/46

  $ 173,143     $ 166,803  

Towd Point Mortgage Trust

                

Series 2017-4, Class B2, 3.396% VRN 6/25/57 (c) (e)

    740,000       562,926  

Series 2022-4,Class A1, 3.750% VRN 9/25/62 (c) (e) (j)

    440,000       417,092  

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1B, 12 mo. MTA + 1.000%

                

2.104% FRN 2/25/46

    474,652       415,520  
              6,288,505  

Whole Loan Collateral Planned Amortization Classes — 0.0%

Countrywide Alternative Loan Trust, Series 2006-18CB, Class A6, 1 mo. USD LIBOR + 28.600%

                

16.264% FRN 7/25/36

    41,353       34,253  
                 

TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $42,450,689)

            37,993,442  
                 

SOVEREIGN DEBT OBLIGATIONS — 4.1%

Argentine Republic Government International Bond

                

1.500% STEP 7/09/35

    1,927,319       350,648  

3.500% STEP 7/09/41 (f)

    110,000       23,565  

Brazilian Government International Bond

                

5.000% 1/27/45

    510,000       370,370  

5.625% 1/07/41

    730,000       588,921  

Colombia Government International Bond

                

3.250% 4/22/32 (b)

    430,000       290,608  

4.125% 2/22/42

    440,000       250,096  

Indonesia Government International Bond

                

5.125% 1/15/45 (c)

    220,000       192,338  

6.500% 2/15/31 IDR (g)

    58,983,000,000       3,661,149  

Israel Government International Bond

                

2.750% 7/03/30

    310,000       274,350  

Mexican Bonos

                

7.750% 11/23/34 MXN (g)

    17,120,000       732,863  

7.750% 11/13/42 MXN (g)

    34,785,600       1,432,377  

8.000% 11/07/47 MXN (g)

    76,980,000       3,223,111  

8.500% 5/31/29 MXN (g)

    28,500,000       1,332,924  

 

   

Principal
Amount

    

Value

  

Mexico Government International Bond

                

4.750% 3/08/44

  $ 830,000     $ 635,443  

Nigeria Government International Bond

                

7.143% 2/23/30 (c)

    210,000       136,899  

Panama Government International Bond

                

4.500% 4/01/56

    350,000       236,351  

Peruvian Government International Bond

                

6.550% 3/14/37

    210,000       215,042  

Provincia de Buenos Aires/Government Bonds,

                

5.250% STEP 9/01/37 (c)

    540,019       167,406  

Republic of Kenya Government International Bond

                

6.300% 1/23/34 (c)

    370,000       225,700  

Russian Federal Bond— OFZ

                

6.900% 5/23/29 RUB (g)

    269,798,000       1,411,734  

7.250% 5/10/34 RUB (g)

    60,500,000       316,570  

7.700% 3/16/39 RUB (g)

    86,260,000       451,360  
              16,519,825  
                 

TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $25,690,132)

            16,519,825  
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (h) — 20.5%

Collateralized Mortgage Obligations — 1.9%

Federal Home Loan Mortgage Corp.

                

Series 3422, Class AI, 0.250% STEP 1/15/38

    7,753       56  

Series 5018, Class MI, 2.000% 10/25/50

    350,459       46,976  

Series 5085, Class NI, 2.000% 3/25/51

    631,893       85,935  

Series 5140, Class NI, 2.500% 5/25/49

    281,219       40,533  

Series 5010, Class IK, 2.500% 9/25/50

    211,710       31,543  

Series 5010, Class JI, 2.500% 9/25/50

    500,049       80,495  

Series 5013, Class IN, 2.500% 9/25/50

    262,280       42,037  

Series 5040, Class IB, 2.500% 11/25/50

    151,732       21,447  

Series 5059, Class IB, 2.500% 1/25/51

    710,231       115,298  

Series 5069, Class MI, 2.500% 2/25/51

    81,627       11,580  

 

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

 

102

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Series 4793, Class CB, 3.000% 5/15/48

  $ 205,026     $ 184,523  

Series 4793, Class CD, 3.000% 6/15/48

    124,841       111,834  

Series 4813, Class CJ, 3.000% 8/15/48

    105,650       97,438  

Series 353, Class S1, 1 mo. USD LIBOR + 6.000% 3.182% FRN 12/15/46

    221,238       22,332  

Series 334, Class S7, 1 mo. USD LIBOR + 6.100% 3.282% FRN 8/15/44

    89,573       9,797  

Series 3621, Class SB, 1 mo. USD LIBOR + 6.230% 3.412% FRN 1/15/40

    20,796       2,131  

Series 4203, Class PS, 1 mo. USD LIBOR + 6.250% 3.432% FRN 9/15/42

    86,503       7,076  

Series 3973, Class SA, 1 mo. USD LIBOR + 6.490% 3.672% FRN 12/15/41

    135,036       15,519  

Series 5224, Class HL, 4.000% 4/25/52

    400,000       362,637  

Series R007, Class ZA, 6.000% 5/15/36

    56,687       58,111  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates

                

Series K741, Class X1, 0.656% VRN 12/25/27 (e)

    2,996,571       71,831  

Series K094, Class X1, 1.015% VRN 6/25/29 (e)

    995,480       47,194  

Series K743, Class X1, 1.028% VRN 5/25/28 (e)

    3,998,733       170,132  

Series KC05, Class X1, 1.343% VRN 6/25/27 (e)

    1,564,313       52,937  

Series K736, Class X1, 1.414% VRN 7/25/26 (e)

    2,047,498       84,578  

Series K110, Class X1, 1.814% VRN 4/25/30 (e)

    1,295,665       125,459  

Series 2019-KF58, Class B, 1 mo. USD LIBOR + 2.150% 4.703% FRN 1/25/26 (c)

    506,574       501,355  

Federal National Mortgage Association

                

Series 2005-88, Class IP, 0.023% FRN 10/25/35 (e)

    21,418       770  

Series 2006-88, Class IP, 0.153% VRN 3/25/36 (e)

    26,804       1,184  

Series 2006-59, Class IP, 0.775% FRN 7/25/36 (e)

    61,825       4,030  

Series 2020-47, Class GZ, 2.000% 7/25/50

    313,797       198,082  

Series 2020-97, Class AI, 2.000% 1/25/51

    182,305       24,238  

 

   

Principal
Amount

    

Value

  

Series 2020-56, Class DI, 2.500% 8/25/50

  $ 404,010     $ 65,027  

Series 2020-74, Class EI, 2.500% 10/25/50

    159,583       24,778  

Series 2020-89, Class DI, 2.500% 12/25/50

    1,112,738       167,965  

Series 2021-3, Class QI, 2.500% 2/25/51

    755,517       117,282  

Series 2006-118, Class IP1, 2.587% FRN 12/25/36 (e)

    48,528       2,806  

Series 2006-118, Class IP2, 2.587% FRN 12/25/36 (e)

    38,834       2,124  

Series 2013-124, Class SB, 1 mo. USD LIBOR + 5.950% 2.866% FRN 12/25/43

    216,727       21,856  

Series 409, Class C2, 3.000% 4/25/27

    41,865       1,764  

Series 2016-61, Class BS, 1 mo. USD LIBOR + 6.100% 3.016% FRN 9/25/46

    78,159       5,903  

Series 2017-76, Class SB, 1 mo. USD LIBOR + 6.100% 3.016% FRN 10/25/57

    449,496       50,287  

Series 2012-133, Class CS, 1 mo. USD LIBOR + 6.150% 3.066% FRN 12/25/42

    65,883       9,216  

Series 2012-134, Class SK, 1 mo. USD LIBOR + 6.150% 3.066% FRN 12/25/42

    122,913       15,242  

Series 2013-54, Class BS, 1 mo. USD LIBOR + 6.150% 3.066% FRN 6/25/43

    162,897       18,205  

Series 2017-85, Class SC, 1 mo. USD LIBOR + 6.200% 3.116% FRN 11/25/47

    130,510       11,644  

Series 2012-35, Class SC, 1 mo. USD LIBOR + 6.500% 3.416% FRN 4/25/42

    60,729       7,174  

Series 2011-87, Class SG, 1 mo. USD LIBOR + 6.550% 3.466% FRN 4/25/40

    56,946       1,725  

Series 2011-96, Class SA, 1 mo. USD LIBOR + 6.550% 3.466% FRN 10/25/41

    133,454       12,600  

Series 409, Class C13, 3.500% 11/25/41

    51,963       7,847  

Series 2012-74, Class SA, 1 mo. USD LIBOR + 6.650% 3.566% FRN 3/25/42

    33,571       2,707  

Series 409, Class C18, 4.000% 4/25/42

    60,214       10,551  

Series 409, Class C22, 4.500% 11/25/39

    39,941       7,080  

 

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

 

103

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Series 2011-59, Class NZ, 5.500% 7/25/41

  $ 264,852     $ 270,075  

Series 2013-9, Class CB, 5.500% 4/25/42

    221,397       224,255  

Series 2012-46, Class BA, 6.000% 5/25/42

    53,746       55,314  

Series 2012-28, Class B, 6.500% 6/25/39

    4,793       4,874  

Series 2013-9, Class BC, 6.500% 7/25/42

    64,423       67,572  

Series 2012-51, Class B, 7.000% 5/25/42

    46,796       49,226  

Federal National Mortgage Association ACES

                

Series 2020-M36, Class X1, 1.552% VRN 9/25/34 (e)

    1,213,504       102,248  

Series 2019-M19, Class A2, 2.560% 9/25/29

    434,284       386,165  

Federal National Mortgage Association Grantor Trust Series 2017-T1, Class A 2.898% 6/25/27

    99,422       92,915  

Government National Mortgage Association

                

Series 2014-22, Class IA, 0.000%FRN 11/20/42 (e)

    19,859       493  

Series 2012-144, Class IO, 0.323% VRN 1/16/53 (e)

    2,228,304       27,235  

Series 2012-135, Class IO, 0.340% VRN 1/16/53 (e)

    2,317,151       26,065  

Series 2014-186, Class IO, 0.375% VRN 8/16/54 (e)

    351,766       3,907  

Series 2017-41, Class IO, 0.618% VRN 7/16/58 (e)

    588,440       18,828  

Series 2021-60, Class IO, 0.826% VRN 5/16/63 (e)

    2,307,170       149,716  

Series 2012-H27, Class AI, 1.585% VRN 10/20/62 (e)

    333,141       11,045  

Series 2017-H15, Class KI, 1.698% VRN 7/20/67 (e)

    109,348       6,113  

Series 2022-3, Class B, 1.850% 2/16/61

    200,000       120,347  

Series 2020-181, Class WI, 2.000% 12/20/50

    1,392,438       158,377  

Series 2017-H20, Class IB, 2.294% VRN 10/20/67 (e)

    56,366       2,587  

Series 2020-123, Class NI, 2.500% 8/20/50

    410,079       59,641  

Series 2020-123, Class IL, 2.500% 8/20/50

    163,948       23,221  

Series 2020-127, Class IN, 2.500% 8/20/50

    163,551       23,555  

 

   

Principal
Amount

    

Value

  

Series 2020-129, Class IE, 2.500% 9/20/50

  $ 169,810     $ 24,272  

Series 2020-160, Class IH, 2.500% 10/20/50

    172,504       25,745  

Series 2020-160, Class YI, 2.500% 10/20/50

    689,689       98,091  

Series 2020-160, Class VI, 2.500% 10/20/50

    251,146       36,632  

Series 2022-115, Class MI, 2.500% 5/20/51

    269,629       30,295  

Series 2017-H18, Class BI, 2.655% VRN 9/20/67 (e)

    2,784,224       107,919  

Series 2018-H07, Class FD, 1 mo. USD LIBOR + .300% 2.657% FRN 5/20/68

    261,444       259,498  

Series 2010-H28, Class FE, 1 mo. USD LIBOR + .400% 2.757% FRN 12/20/60

    81,001       80,546  

Series 2014-H20, Class FA, 1 mo. USD LIBOR + .430% 2.787% FRN 10/20/64

    872,854       863,941  

Series 2020-H13, Class FA, 1 mo. USD LIBOR + .450% 2.807% FRN 7/20/70

    134,291       131,519  

Series 2020-H13, Class FC, 1 mo. USD LIBOR + .450% 2.807% FRN 7/20/70

    54,899       53,852  

Series 2011-H08, Class FG, 1 mo. USD LIBOR + .480% 2.837% FRN 3/20/61

    68,256       67,954  

Series 2013-107, Class AD, 2.849% VRN 11/16/47 (e)

    157,285       146,842  

Series 2011-H09, Class AF, 1 mo. USD LIBOR + .500% 2.857% FRN 3/20/61

    45,681       45,517  

Series 2020-H09, Class FL, 1 mo. USD LIBOR + 1.150% 2.883% FRN 5/20/70

    389,778       388,662  

Series 2016-21, Class ST, 1 mo. USD LIBOR + 6.150% 3.136% FRN 2/20/46

    60,229       6,980  

Series 2016-135, Class SB, 1 mo. USD LIBOR + 6.100% 3.161% FRN 10/16/46

    104,907       15,115  

Series 2013-53, Class OI, 3.500% 4/20/43

    330,005       34,132  

Series 2020-47, Class MI, 3.500% 4/20/50

    282,614       47,506  

Series 2020-47, Class NI, 3.500% 4/20/50

    76,043       13,327  

Series 2020-H09, Class NF, 1 mo. USD LIBOR + 1.250% 3.607% FRN 4/20/70

    126,586       127,229  

 

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

 

104

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Series 2010-85, Class HS, 1 mo. USD LIBOR + 6.650% 3.636% FRN 1/20/40

  $ 5,529     $ 94  

Series 2014-176, Class IA, 4.000% 11/20/44

    38,081       6,467  

Series 2015-167, Class OI, 4.000% 4/16/45

    48,508       8,562  

Series 2016-84, Class IG, 4.500% 11/16/45

    222,652       44,716  
              7,742,058  

Pass-Through Securities — 17.8%

Federal Home Loan Mortgage Corp.

                

Pool #RB5125 2.000% 9/01/41

    909,254       765,500  

Pool #RB5145 2.000% 2/01/42

    191,486       160,733  

Pool #RA3882 2.000% 11/01/50

    337,050       274,440  

Pool #QB8602 2.000% 2/01/51

    79,452       64,979  

Pool #QB9087 2.000% 2/01/51

    415,317       339,143  

Pool #SD0552 2.000% 3/01/51

    433,640       352,479  

Pool #QB9482 2.000% 3/01/51

    80,325       65,542  

Pool #QC0041 2.000% 3/01/51

    78,607       64,141  

Pool #QC0160 2.000% 3/01/51

    76,749       62,673  

Pool #QC0161 2.000% 3/01/51

    84,323       68,804  

Pool #QB9290 2.000% 3/01/51

    264,253       215,786  

Pool #SD0573 2.000% 4/01/51

    156,314       127,742  

Pool #QC0885 2.000% 4/01/51

    86,956       71,061  

Pool #QC1164 2.000% 4/01/51

    80,803       65,932  

Pool #SD0745 2.000% 11/01/51

    92,170       75,063  

Pool #840698 5 year CMT + 1.284% 2.097% FRN 3/01/47

    19,819       18,456  

Pool #QK0701 2.500% 4/01/41

    82,729       71,886  

Pool #SD7525 2.500% 10/01/50

    153,299       130,393  

Pool #QB5092 2.500% 11/01/50

    163,040       138,576  

Pool #QB5093 2.500% 11/01/50

    79,984       67,958  

Pool #RA3913 2.500% 11/01/50

    473,269       402,551  

Pool #RA4142 2.500% 12/01/50

    78,970       67,121  

Pool #QB8934 2.500% 2/01/51

    166,510       140,641  

Pool #QC0165 2.500% 3/01/51

    81,621       69,476  

Pool #QC5830 2.500% 8/01/51

    184,037       155,833  

Pool #QC6551 2.500% 9/01/51

    88,944       75,313  

Pool #QC7411 2.500% 9/01/51

    93,905       79,485  

Pool #RA5921 2.500% 9/01/51

    178,050       149,873  

Pool #SD1345 2.500% 10/01/51

    495,795       417,489  

Pool #SD7548 2.500% 11/01/51

    936,673       793,711  

Pool #SD0849 2.500% 1/01/52

    96,892       81,975  

Pool #RA6562 2.500% 1/01/52

    185,288       157,514  

Pool #SD7552 2.500% 1/01/52

    286,734       242,702  

Pool #QD6079 2.500% 2/01/52

    96,014       81,172  

Pool #QD8675 2.500% 3/01/52

    97,580       82,435  

 

   

Principal
Amount

    

Value

  

Pool #841077 12 mo. USD LIBOR + 1.619% 2.873% FRN 11/01/47

  $ 126,912     $ 122,196  

Pool #ZS8669 3.000% 9/01/32

    68,953       65,069  

Pool #ZS8673 3.000% 10/01/32

    47,957       45,166  

Pool #ZT1257 3.000% 1/01/46

    153,279       137,128  

Pool #G67701 3.000% 10/01/46

    604,274       536,472  

Pool #G60985 3.000% 5/01/47

    1,201,583       1,067,362  

Pool #ZT1493 3.000% 9/01/48

    128,226       113,473  

Pool #RA1293 3.000% 9/01/49

    409,464       361,746  

Pool #SD7509 3.000% 11/01/49

    51,081       45,096  

Pool #RA3175 3.000% 7/01/50

    96,086       84,018  

Pool #QC9154 3.000% 10/01/51

    95,641       83,995  

Pool #SD0809 3.000% 1/01/52

    93,756       81,782  

Pool #841076 12 mo. USD LIBOR + 1.628% 3.008% FRN 11/01/48

    487,736       464,526  

Pool #841081 12 mo. USD LIBOR + 1.621% 3.083% FRN 2/01/50

    206,363       197,194  

Pool #ZS9316 3.500% 1/01/38

    282,324       265,651  

Pool #Q41209 3.500% 6/01/46

    127,817       118,182  

Pool #SD0958 3.500% 4/01/52

    386,992       351,015  

Pool #QE2057 3.500% 5/01/52

    97,738       88,430  

Pool #RA7378 3.500% 5/01/52

    96,686       87,478  

Pool #Q19135 4.000% 6/01/43

    23,838       22,677  

Pool #Q19236 4.000% 6/01/43

    15,502       14,722  

Pool #Q19615 4.000% 7/01/43

    24,440       23,249  

Pool #Q19985 4.000% 7/01/43

    683,873       650,768  

Pool #C09071 4.000% 2/01/45

    134,827       127,542  

Pool #G67713 4.000% 6/01/48

    500,820       473,759  

Pool #QE4026 4.000% 6/01/52

    99,107       92,084  

Pool #SD1132 4.000% 6/01/52

    99,174       92,270  

Pool #QE5203 4.000% 6/01/52

    99,611       92,553  

Pool #QE5811 4.000% 7/01/52

    99,702       92,598  

Pool #QE6418 4.000% 7/01/52

    99,718       92,657  

Pool #U92272 4.500% 12/01/43

    2,693       2,621  

Pool #Q49177 4.500% 6/01/47

    48,331       47,022  

Pool #SD1143 4.500% 9/01/50

    658,348       636,641  

Pool #SD1305 5.000% 7/01/52

    444,228       434,137  

Pool #G06875 5.500% 12/01/38

    4,598       4,714  

Pool #G06669 6.500% 9/01/39

    8,989       9,558  

Pool #G07509 6.500% 9/01/39

    8,463       9,048  

Pool #G07335 7.000% 3/01/39

    19,042       20,861  

Federal National Mortgage Association

                

Pool #FS2528 1.500% 1/01/51

    99,491       76,561  

Pool #MA4280 1.500% 3/01/51

    355,339       272,888  

Pool #MA4501 2.000% 12/01/41 (i)

    94,427       79,350  

Pool #MA4606 2.000% 5/01/42

    97,323       81,571  

Pool #BQ0254 2.000% 8/01/50

    74,683       61,079  

 

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

 

105

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Pool #BQ1528 2.000% 9/01/50

  $ 70,398     $ 57,574  

Pool #MA4208 2.000% 12/01/50 (i)

    241,038       196,452  

Pool #BQ9224 2.000% 1/01/51

    175,327       142,512  

Pool #BQ9687 2.000% 1/01/51

    172,488       140,582  

Pool #BR2641 2.000% 2/01/51

    80,985       66,132  

Pool #BR2643 2.000% 2/01/51

    75,386       61,559  

Pool #BR2644 2.000% 2/01/51

    77,023       62,848  

Pool #BR2664 2.000% 2/01/51

    307,139       250,806  

Pool #BR3500 2.000% 2/01/51

    69,060       56,285  

Pool #BR3256 2.000% 2/01/51

    79,045       64,671  

Pool #BR3257 2.000% 2/01/51

    81,510       66,662  

Pool #BR3290 2.000% 3/01/51

    343,718       279,387  

Pool #BR3286 2.000% 3/01/51

    81,477       66,533  

Pool #BR4722 2.000% 3/01/51

    80,077       65,340  

Pool #BR4753 2.000% 3/01/51

    85,170       69,549  

Pool #BR4756 2.000% 3/01/51

    78,954       64,423  

Pool #BR5487 2.000% 3/01/51

    84,941       69,308  

Pool #BR5587 2.000% 3/01/51

    84,946       69,366  

Pool #BR5577 2.000% 3/01/51

    86,630       70,687  

Pool #BR5649 2.000% 3/01/51

    89,115       72,715  

Pool #BR5633 2.000% 3/01/51

    87,739       71,591  

Pool #BR6462 2.000% 3/01/51

    86,470       70,286  

Pool #FM6343 2.000% 3/01/51

    87,949       71,763  

Pool #BQ9453 2.000% 3/01/51

    175,659       143,441  

Pool #BR4080 2.000% 3/01/51

    86,388       70,219  

Pool #BR5589 2.000% 3/01/51

    82,882       67,370  

Pool #FM6418 2.000% 3/01/51

    86,512       70,699  

Pool #BR7745 2.000% 4/01/51

    80,096       65,356  

Pool #BR7744 2.000% 4/01/51

    84,370       68,896  

Pool #BR8478 2.000% 4/01/51

    83,547       68,224  

Pool #BR8518 2.000% 4/01/51

    79,454       64,832  

Pool #MA4305 2.000% 4/01/51

    522,254       425,323  

Pool #FM9441 2.000% 4/01/51

    636,081       518,024  

Pool #CB1273 2.000% 8/01/51

    92,573       75,392  

Pool #FS0349 2.000% 1/01/52

    191,553       155,821  

Pool #FS1014 2.000% 2/01/52

    96,019       78,077  

Pool #FS1015 2.000% 2/01/52

    290,293       236,051  

Pool #FS1112 2.000% 3/01/52

    194,426       158,462  

Pool #MA2749 2.500% 9/01/36

    43,791       39,201  

Pool #FM3123 2.500% 3/01/38

    430,772       385,620  

Pool #CA9358 2.500% 3/01/41

    86,156       74,864  

Pool #CB0100 2.500% 4/01/41

    173,686       150,922  

Pool #CB0101 2.500% 4/01/41

    87,746       76,246  

Pool #CB0114 2.500% 4/01/41

    350,760       304,788  

Pool #CB0470 2.500% 5/01/41

    701,850       609,862  

Pool #BK2620 2.500% 6/01/50

    67,563       57,467  

Pool #BP7887 2.500% 8/01/50

    132,867       112,473  

Pool #MA4120 2.500% 9/01/50

    59,597       50,450  

Pool #FM4577 2.500% 10/01/50

    238,763       202,862  

 

   

Principal
Amount

    

Value

  

Pool #BM6623 2.500% 10/01/50

  $ 93,833     $ 78,016  

Pool #CA7257 2.500% 10/01/50

    81,387       69,200  

Pool #FM5313 2.500% 10/01/50

    87,361       73,953  

Pool #BQ5876 2.500% 11/01/50

    83,571       71,005  

Pool #BR0001 2.500% 12/01/50

    80,323       68,195  

Pool #FM5423 2.500% 1/01/51

    400,313       339,871  

Pool #FM5713 2.500% 2/01/51

    153,875       129,969  

Pool #FM6460 2.500% 3/01/51

    164,590       139,688  

Pool #CB0414 2.500% 5/01/51

    85,770       72,391  

Pool #CB0458 2.500% 5/01/51

    1,983,810       1,671,263  

Pool #CB0517 2.500% 5/01/51

    436,635       368,253  

Pool #FM7675 2.500% 6/01/51

    236,614       200,666  

Pool #FM7676 2.500% 6/01/51

    88,625       75,071  

Pool #FM7900 2.500% 7/01/51

    174,494       147,807  

Pool #BT3303 2.500% 8/01/51

    92,189       78,061  

Pool # FS0024 2.500% 9/01/51

    88,509       75,360  

Pool #BU0051 2.500% 9/01/51

    564,207       474,744  

Pool #CB1666 2.500% 9/01/51

    92,761       78,458  

Pool #FM8864 2.500% 10/01/51

    181,306       153,520  

Pool #FM9335 2.500% 10/01/51

    91,454       77,031  

Pool #FM9195 2.500% 10/01/51

    278,299       234,258  

Pool #FS1104 2.500% 11/01/51

    92,003       78,026  

Pool #FS0434 2.500% 11/01/51

    93,041       79,196  

Pool #BT9482 2.500% 12/01/51

    94,819       80,073  

Pool #FS1107 2.500% 12/01/51

    186,056       158,022  

Pool #FS0366 2.500% 1/01/52

    94,947       80,841  

Pool #BU2599 2.500% 1/01/52

    95,308       80,575  

Pool #FS0424 2.500% 1/01/52

    95,491       80,730  

Pool #FS0439 2.500% 1/01/52 (i)

    94,747       80,079  

Pool #BV3089 2.500% 2/01/52

    96,491       81,515  

Pool #CB2869 2.500% 2/01/52

    283,000       238,281  

Pool #FS0523 2.500% 2/01/52

    95,581       80,776  

Pool #FS0605 2.500% 2/01/52

    287,575       242,672  

Pool #FS0551 2.500% 2/01/52

    95,306       80,574  

Pool #CB3044 2.500% 3/01/52

    98,501       83,244  

Pool #CB3031 2.500% 3/01/52

    189,483       159,482  

Pool #BF0560 2.500% 9/01/61

    97,292       80,041  

Pool #AM8674 2.810% 4/01/25

    50,000       47,907  

Pool #MA2320 3.000% 7/01/35

    41,053       37,625  

Pool #MA2523 3.000% 2/01/36

    278,680       255,412  

Pool #MA2579 3.000% 4/01/36

    203,501       186,510  

Pool #MA2707 3.000% 8/01/36

    250,163       229,276  

Pool #MA2773 3.000% 10/01/36

    927,752       850,292  

Pool #MA2832 3.000% 12/01/36

    469,884       429,919  

Pool #AQ7306 3.000% 1/01/43

    25,432       22,474  

Pool #AR1202 3.000% 1/01/43

    34,042       30,083  

Pool #AR7399 3.000% 6/01/43

    19,669       17,596  

Pool #AS0038 3.000% 7/01/43

    43,350       38,782  

Pool #AU6735 3.000% 10/01/43

    28,263       25,259  

 

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

 

106

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Pool #AS7738 3.000% 8/01/46

  $ 388,217     $ 344,158  

Pool #BC1509 3.000% 8/01/46

    35,744       31,688  

Pool #AS7844 3.000% 9/01/46

    61,915       54,888  

Pool #BC2817 3.000% 9/01/46

    47,106       41,760  

Pool #BD8104 3.000% 10/01/46

    171,209       152,046  

Pool #AL9397 3.000% 10/01/46

    70,988       62,931  

Pool #BM1565 3.000% 4/01/47

    667,630       592,485  

Pool #CA4979 3.000% 1/01/50

    144,848       126,791  

Pool #FM8576 3.000% 2/01/50

    80,836       71,586  

Pool #CA5220 3.000% 2/01/50

    134,280       117,330  

Pool #BP7009 3.000% 8/01/50

    110,895       96,966  

Pool #FM4311 3.000% 8/01/50

    76,893       67,427  

Pool #FM8577 3.000% 8/01/51

    172,688       152,617  

Pool #FS0037 3.000% 8/01/51

    83,626       73,906  

Pool #FM8648 3.000% 9/01/51

    86,961       76,181  

Pool #CB1878 3.000% 10/01/51

    183,703       160,300  

Pool #FM9044 3.000% 10/01/51

    87,131       76,766  

Pool #FM9292 3.000% 11/01/51

    184,337       162,408  

Pool #FS0034 3.000% 12/01/51

    94,564       83,374  

Pool # FS0240 3.000% 1/01/52

    94,514       83,448  

Pool #FS0331 3.000% 1/01/52

    94,582       82,680  

Pool # FS1074 3.000% 3/01/52

    481,077       423,810  

Pool #FS1289 3.000% 3/01/52

    96,248       85,039  

Pool #FS1877 3.000% 5/01/52

    392,623       342,328  

Pool #CB3833 3.000% 6/01/52

    99,294       86,698  

Pool #AN8048 3.080% 1/01/28

    210,000       196,293  

Pool #BL2454 3.160% 5/01/29

    86,028       79,986  

Pool #MA2110 3.500% 12/01/34

    61,307       57,648  

Pool #MA2138 3.500% 1/01/35

    31,802       29,904  

Pool #AS8740 3.500% 2/01/37

    68,125       64,102  

Pool #FM5754 3.500% 3/01/37

    54,087       50,859  

Pool #890827 3.500% 12/01/37

    43,563       40,827  

Pool #FM6015 3.500% 8/01/39

    55,993       52,686  

Pool #FM0068 3.500% 2/01/40

    220,185       204,429  

Pool #FM0071 3.500% 2/01/40

    44,965       41,649  

Pool #MA1177 3.500% 9/01/42

    17,915       16,849  

Pool #MA1213 3.500% 10/01/42

    109,391       100,196  

Pool #AL3026 3.500% 12/01/42

    33,781       31,174  

Pool #AY6181 3.500% 4/01/45

    88,043       81,138  

Pool #AS6328 3.500% 12/01/45

    333,835       304,709  

Pool #AS6541 3.500% 1/01/46

    93,528       86,543  

Pool #AL9546 3.500% 11/01/46

    180,005       166,618  

Pool #FM3347 3.500% 5/01/47

    195,167       179,433  

Pool #CA0907 3.500% 12/01/47

    3,694       3,393  

Pool #FM3469 3.500% 8/01/48

    378,090       347,844  

Pool #FM3773 3.500% 11/01/48

    396,686       364,704  

Pool #FS2740 3.500% 6/01/49

    197,329       180,680  

Pool #FM9993 3.500% 7/01/51

    455,443       414,633  

Pool #CB2442 3.500% 12/01/51

    88,744       80,362  

 

   

Principal
Amount

    

Value

  

Pool #FS1240 3.500% 12/01/51

  $ 93,225     $ 84,250  

Pool #CB2680 3.500% 1/01/52

    93,318       84,242  

Pool #FS1462 3.500% 1/01/52

    94,531       85,957  

Pool #CB3126 3.500% 3/01/52

    193,283       175,314  

Pool #FS1207 3.500% 3/01/52

    96,346       87,238  

Pool #BV5395 3.500% 4/01/52

    96,883       87,945  

Pool #CB3255 3.500% 4/01/52

    96,126       87,002  

Pool #FS1555 3.500% 4/01/52

    96,872       87,526  

Pool #FS1092 3.500% 4/01/52

    289,971       261,913  

Pool #FS1454 3.500% 4/01/52

    98,158       88,637  

Pool #BV8546 3.500% 5/01/52

    98,009       88,829  

Pool #FS1556 3.500% 5/01/52

    390,168       354,231  

Pool #BS6565 3.740% 9/01/32

    100,000       93,468  

Pool #BS6215 3.840% 7/01/32

    100,000       94,920  

Pool #BS6149 3.840% 8/01/32

    100,000       96,209  

Pool #AK8441 4.000% 4/01/42

    13,604       13,102  

Pool #AO2711 4.000% 5/01/42

    10,203       9,822  

Pool #AO6086 4.000% 6/01/42

    21,367       20,568  

Pool #AP0692 4.000% 7/01/42

    14,851       14,330  

Pool #AP5333 4.000% 7/01/42

    146,784       141,270  

Pool #AP2530 4.000% 8/01/42

    15,644       15,064  

Pool #AP4903 4.000% 9/01/42

    26,753       25,409  

Pool #AP7399 4.000% 9/01/42

    39,268       37,295  

Pool #AP9229 4.000% 10/01/42

    8,528       8,100  

Pool #AP9766 4.000% 10/01/42

    63,864       60,296  

Pool #MA1217 4.000% 10/01/42

    81,641       77,080  

Pool #AQ3599 4.000% 11/01/42

    16,458       15,631  

Pool #MA1253 4.000% 11/01/42

    49,323       46,568  

Pool #AQ7003 4.000% 12/01/42

    30,949       29,394  

Pool #AQ4555 4.000% 12/01/42

    28,482       27,051  

Pool #AQ7082 4.000% 1/01/43

    37,608       35,719  

Pool #AL3508 4.000% 4/01/43

    25,773       24,494  

Pool #AQ4078 4.000% 6/01/43

    23,670       22,495  

Pool #AQ4080 4.000% 6/01/43

    16,527       15,681  

Pool #AT8394 4.000% 6/01/43

    25,796       24,516  

Pool #AB9683 4.000% 6/01/43

    35,931       34,092  

Pool #AT9637 4.000% 7/01/43

    72,006       68,322  

Pool #AT9653 4.000% 7/01/43

    55,469       52,717  

Pool #AT9657 4.000% 7/01/43

    44,558       42,278  

Pool #AS0070 4.000% 8/01/43

    24,114       22,752  

Pool #MA1547 4.000% 8/01/43

    25,038       23,623  

Pool #AS4347 4.000% 1/01/45

    41,513       39,402  

Pool #FS2061 4.000% 6/01/52

    98,586       91,815  

Pool #FS2066 4.000% 6/01/52

    293,544       273,936  

Pool #FS2185 4.000% 6/01/52

    197,037       183,321  

Pool #MA4626 4.000% 6/01/52

    17,657,613       16,395,332  

Pool #BW1515 4.000% 7/01/52

    9,975       9,268  

Pool #CB4121 4.000% 7/01/52

    197,447       183,456  

Pool #BF0104 4.000% 2/01/56

    81,720       76,823  

 

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

 

107

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Pool #BF0183 4.000% 1/01/57

  $ 45,796     $ 43,052  

Pool #BF0191 4.000% 6/01/57

    80,328       75,465  

Pool #MA0706 4.500% 4/01/31

    10,757       10,628  

Pool #MA0734 4.500% 5/01/31

    37,591       37,139  

Pool #MA0776 4.500% 6/01/31

    12,956       12,800  

Pool #MA0913 4.500% 11/01/31

    9,901       9,781  

Pool #MA0939 4.500% 12/01/31

    9,709       9,592  

Pool #993117 4.500% 1/01/39

    1,034       1,018  

Pool #AA0856 4.500% 1/01/39

    7,071       6,970  

Pool #AA3495 4.500% 2/01/39

    5,323       5,245  

Pool #935520 4.500% 8/01/39

    9,792       9,651  

Pool #AD5481 4.500% 5/01/40

    256,027       252,398  

Pool #AD6914 4.500% 6/01/40

    29,112       28,699  

Pool #AD8685 4.500% 8/01/40

    84,287       83,051  

Pool #MA1591 4.500% 9/01/43

    46,733       45,440  

Pool #MA1629 4.500% 10/01/43

    42,511       41,335  

Pool #AL4341 4.500% 10/01/43

    2,855       2,793  

Pool #MA1664 4.500% 11/01/43

    20,225       19,665  

Pool #MA1711 4.500% 12/01/43

    44,092       42,873  

Pool #AL4741 4.500% 1/01/44

    18,994       18,469  

Pool #AW0318 4.500% 2/01/44

    46,474       45,436  

Pool #AL5562 4.500% 4/01/44

    8,454       8,270  

Pool #890604 4.500% 10/01/44

    198,267       193,713  

Pool #AS4271 4.500% 1/01/45

    24,180       23,678  

Pool #CA2047 4.500% 7/01/48

    177,625       172,434  

Pool #CA5379 4.500% 3/01/50

    187,122       180,967  

Pool #BW1473 4.500% 6/01/52

    98,207       93,649  

Pool #CB3918 4.500% 6/01/52

    197,005       187,986  

Pool #FS2172 4.500% 6/01/52

    95,915       91,413  

Pool #BW1954 4.500% 7/01/52

    99,521       94,902  

Pool #FS2475 4.500% 8/01/52

    196,186       186,973  

Pool #BF0148 4.500% 4/01/56

    364,879       356,061  

Pool #BF0222 4.500% 9/01/57

    396,070       383,011  

Pool #BF0301 4.500% 8/01/58

    41,329       39,837  

Pool #BF0338 4.500% 1/01/59

    98,219       94,520  

Pool #915154 5.000% 4/01/37

    29,454       29,641  

Pool #974965 5.000% 4/01/38

    77,369       77,669  

Pool #983077 5.000% 5/01/38

    22,131       22,231  

Pool #310088 5.000% 6/01/38

    20,604       20,687  

Pool #AE2266 5.000% 3/01/40

    54,029       54,311  

Pool #995072 5.500% 8/01/38

    10,911       11,215  

Pool #BF0141 5.500% 9/01/56

    406,927       415,817  

Pool #481473 6.000% 2/01/29

    11       11  

Pool #867557 6.000% 2/01/36

    1,493       1,527  

Pool #AE0469 6.000% 12/01/39

    87,063       90,860  

Pool #BM1948 6.000% 7/01/41

    99,131       103,271  

Pool #AL4324 6.500% 5/01/40

    55,503       59,305  

Pool #AE0758 7.000% 2/01/39

    30,595       33,393  

 

   

Principal
Amount

    

Value

  

Government National Mortgage Association

                

Pool #AB2892 3.000% 9/15/42

  $ 79,112     $ 72,953  

Pool #AA5649 3.000% 9/15/42

    80,719       74,398  

Pool #783669 3.000% 9/15/42

    146,784       135,391  

Pool #AB9108 3.000% 10/15/42

    557,169       513,533  

Pool #AB9109 3.000% 10/15/42

    47,473       43,761  

Pool #AB9207 3.000% 11/15/42

    41,162       37,155  

Pool #784571 3.500% 6/15/48

    173,573       160,440  

Pool #BS8439 3.500% 5/15/50

    140,162       128,156  

Pool #487588 6.000% 4/15/29

    640       656  

Pool #595077 6.000% 10/15/32

    195       201  

Pool #596620 6.000% 10/15/32

    66       68  

Pool #604706 6.000% 10/15/33

    26,929       27,875  

Pool #636251 6.000% 3/15/35

    3,646       3,789  

Pool #782034 6.000% 1/15/36

    28,892       29,983  

Pool #658029 6.000% 7/15/36

    7,528       7,846  

Government National Mortgage Association II

                

Pool #MA7589 2.500% 9/20/51

    635,712       548,450  

Pool #MA7649 2.500% 10/20/51

    92,278       79,582  

Pool #MA4068 3.000% 11/20/46

    20,191       18,135  

Pool #MA7590 3.000% 9/20/51

    691,319       614,708  

Pool #CJ9477 3.000% 1/20/52

    285,866       251,663  

Pool #785944 3.000% 2/20/52

    97,515       85,970  

Pool #786095 3.000% 4/20/52

    98,519       85,193  

Pool #786134 3.000% 4/20/52

    98,321       86,250  

Pool #MA1995 3.500% 6/20/44

    51,196       47,235  

Pool #MA2678 3.500% 3/20/45

    22,001       20,285  

Pool #784106 3.500% 1/20/46

    57,886       53,371  

Pool #MA3597 3.500% 4/20/46

    91,456       84,295  

Pool #BC4732 3.500% 10/20/47

    204,304       187,668  

Pool #BD0384 3.500% 10/20/47

    150,174       137,946  

Pool #784825 3.500% 10/20/49

    45,444       40,991  

Pool #BM7534 3.500% 2/20/50

    63,873       58,313  

Pool #MA7883 3.500% 2/20/52

    291,469       265,413  

Pool #786216 3.500% 6/20/52

    99,525       90,052  

Pool #MA4511 4.000% 6/20/47

    569,150       538,260  

Pool #MA4720 4.000% 9/20/47

    371,560       351,278  

Pool #BM9734 4.000% 10/20/49

    37,172       34,910  

Pool #BM9743 4.000% 11/20/49

    43,236       40,606  

Pool #BS1728 4.000% 1/20/50

    47,187       44,316  

Pool #BS1742 4.000% 2/20/50

    41,659       39,125  

Pool #BS1757 4.000% 3/20/50

    30,251       28,382  

Pool #BS8420 4.000% 4/20/50

    152,343       142,932  

Pool #783298 4.500% 4/20/41

    82,266       80,911  

Pool #783368 4.500% 7/20/41

    12,194       11,965  

Pool #MA4654 4.500% 8/20/47

    124,632       121,397  

Pool #MA5138 4.500% 4/20/48

    191,488       185,739  

 

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

 

108

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Pool #MA5193 4.500% 5/20/48

  $ 194,698     $ 188,731  

Pool #MA5265 4.500% 6/20/48

    170,188       164,918  

Pool #MA5331 4.500% 7/20/48

    42,422       41,095  

Pool #MA5818 4.500% 3/20/49

    56,324       54,496  

Pool #G24747 5.000% 7/20/40

    50,849       51,014  

Government National Mortgage Association II TBA

                

2.500% 10/20/52 (i)

    2,400,000       2,062,313  

3.000% 10/20/52 (i)

    1,700,000       1,501,578  

3.500% 10/20/52 (i)

    500,000       454,453  

4.500% 10/20/52 (i)

    100,000       95,633  

Uniform Mortgage Backed Securities TBA

                

2.000% 10/13/52 (i)

    1,400,000       1,133,563  

2.500% 10/13/52 (i)

    500,000       419,883  

3.000% 10/13/52 (i)

    800,000       696,000  
              72,324,550  

Whole Loans — 0.8%

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes

                

Series 2020-DNA6, Class M2, 30 day SOFR + 2.000% 4.281% FRN 12/25/50 (c)

    721,130       715,858  

Series 2020-DNA2, Class M2, 1 mo. USD LIBOR + 1.850% 4.934% FRN 2/25/50 (c)

    354,173       348,787  

Series 2020-DNA1, Class B1, 1 mo. USD LIBOR + 2.300% 5.384% FRN 1/25/50 (c)

    380,000       352,709  

Series 2017-DNA1, Class B1, 1 mo. USD LIBOR + 4.950% 8.034% FRN 7/25/29

    1,450,000       1,512,118  

Federal National Mortgage Association Connecticut Avenue Securities Trust

                

Series 2019-R07, Class 1M2, 1 mo. USD LIBOR + 2.100% 5.184% FRN 10/25/39 (c)

    61,391       60,941  

Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.300% 5.384% FRN 8/25/31 (c)

    89,601       89,379  

Series 2018-C05, Class 1B1, 1 mo. USD LIBOR + 4.250% 7.334% FRN 1/25/31

    370,000       378,023  
              3,457,815  
                 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $92,729,043)

            83,524,423  
                 

 

   

Principal
Amount

    

Value

  

U.S. TREASURY OBLIGATIONS — 34.0%

U.S. Treasury Bonds & Notes — 34.0%

U.S. Treasury Bond

                

1.625% 11/15/50

  $ 710,000     $ 440,644  

1.750% 8/15/41

    110,000       75,230  

1.875% 2/15/51

    2,480,000       1,641,450  

1.875% 11/15/51

    6,892,000       4,557,335  

2.000% 11/15/41

    160,000       114,525  

2.000% 2/15/50

    1,730,000       1,188,834  

2.250% 5/15/41

    300,000       226,781  

2.250% 2/15/52

    25,920,000       18,828,451  

2.375% 5/15/51

    1,770,000       1,324,181  

2.875% 5/15/52

    46,470,000       38,983,976  

3.000% 2/15/48

    16,000       13,483  

3.000% 8/15/52

    7,090,000       6,122,880  

3.750% 11/15/43

    800,000       759,875  

U.S. Treasury Floating Rate Note

                

3 mo. Treasury money market yield - .075% 3.222% FRN 4/30/24

    42,810,000       42,742,138  

3 mo. Treasury money market yield + .035% 3.332% FRN 10/31/23

    13,430,000       13,440,350  

3 mo. Treasury money market yield + .037% 3.334% FRN 7/31/24

    3,880,000       3,875,380  

U.S. Treasury Note

                

0.250% 11/15/23

    70,000       66,910  

1.375% 11/15/31

    1,190,000       966,689  

2.625% 5/31/27

    60,000       56,358  

2.750% 8/15/32

    1,570,000       1,435,078  

3.125% 8/31/29

    780,000       740,513  

U.S. Treasury Strip

                

0.000% 5/15/49

    1,450,000       536,574  
              138,137,635  
                 

TOTAL U.S. TREASURY OBLIGATIONS (Cost $150,783,939)

            138,137,635  
                 

TOTAL BONDS & NOTES (Cost $454,794,777)

            400,573,962  
                 

TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $296,854)

            85,018  
                 

 

 

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

 

109

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 0.6%

Diversified Financial Services — 0.6%

State Street Navigator Securities Lending Government Money Market Portfolio (k)

    2,470,330     $ 2,470,330  
                 

TOTAL MUTUAL FUNDS (Cost $2,470,330)

            2,470,330  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $457,561,961)

            403,129,310  
                 
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 0.5%

Discount Notes — 0.3%

Federal Home Loan Bank, 2.572%, due 10/28/22

  $ 990,000       987,921  

Repurchase Agreement — 0.2%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (l)

    972,044       972,044  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $1,960,173)

            1,959,965  
                 

TOTAL INVESTMENTS — 99.6% (Cost $459,522,134) (m)

            405,089,275  
                 

Less Unfunded Loan Commitments — 0.0%

            (59,420 )
                 

NET INVESTMENTS — 99.6% (Cost $459,462,714)

            405,029,855  
                 

Other Assets/(Liabilities) — 0.4%

            1,826,765  
                 

NET ASSETS — 100.0%

          $ 406,856,620  

 

Abbreviation Legend

FRN

Floating Rate Note

STEP

Step Up Bond

TBA

To Be Announced

VRN

Variable Rate Note

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Unfunded or partially unfunded loan commitments.

(b)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $3,125,444 or 0.77% of net assets. The Fund received $727,177 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $55,786,755 or 13.71% of net assets.

(d)

Security is perpetual and has no stated maturity date.

(e)

Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2022.

(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, 2022, these securities amounted to a value of $23,565 or 0.01% of net assets.

(g)

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

(h)

May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

(i)

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

(j)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $417,092 or 0.10% of net assets.

(k)

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

(l)

Maturity value of $972,111. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 9/15/25, and an aggregate market value, including accrued interest, of $991,491.

(m)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

110

 

 

MassMutual 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)

  

Put

                                                                  

USD Put JPY Call

Citigroup Global Markets, Inc.*

     10/06/22       131.39       459,513       USD       459,513     $ —     $ 6,890     $ (6,890 )

USD Put CAD Call

Citigroup Global Markets, Inc.*

     10/11/22       1.27       289,000       USD       289,000       —       2,185       (2,185 )

USD Put CAD Call

Citigroup Global Markets, Inc.*

     10/11/22       1.27       289,000       USD       289,000       —       2,195       (2,195 )

USD Put CAD Call

Citigroup Global Markets, Inc.*

     10/11/22       1.27       867,000       USD       867,000       1       6,589       (6,588 )

USD Put JPY Call

Goldman Sachs & Co.*

     10/05/22       131.55       1,544,640       USD       1,544,640       2       24,078       (24,076 )

USD Put JPY Call

Goldman Sachs & Co.*

     10/06/22       131.50       513,468       USD       513,468       1       7,840       (7,839 )

USD Put CAD Call

Goldman Sachs & Co.*

     10/14/22       1.27       871,000       USD       871,000       1       6,582       (6,581 )

USD Put CAD Call

Morgan Stanley & Co. LLC*

     10/07/22       1.27       595,000       USD       595,000       1       4,366       (4,365 )
                                              $ 6     $ 60,725     $ (60,719 )

 

(#) 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 10 Year Future

     10/21/22       112.50       60       USD       6,723,750     $ 53,437     $ 60,541     $ (7,104 )

U.S. Treasury Note 10 Year Future

     10/21/22       116.50       60       USD       6,723,750       6,563       32,167       (25,604 )

U.S. Treasury Note 5 Year Future

     10/21/22       111.50       14       USD       1,505,109       438       6,314       (5,876 )

SOFR 1 Year Mid Curve Future

     12/16/22       95.75       74       USD       17,717,450       11,562       57,005       (45,443 )

SOFR 1 Year Mid Curve Future

     12/16/22       96.50       42       USD       10,055,850       10,762       12,688       (1,926 )

Eurodollar Future

     12/19/22       98.38       120       USD       28,593,000       2,250       67,414       (65,164 )
                                            $ 85,012     $ 236,129     $ (151,117 )

 

OTC Options Written

 

Description

Counterparty

  

Expiration
Date

    

Exercise
Price

    

No. of
Contracts

    

Notional
Amount

    

Value

    

Premiums
Paid
(Received)

    

Unrealized
Appreciation/
(Depreciation)

  

Put

                                                                  

USD Put GBP Call

Citigroup Global Markets, Inc.*

     10/27/22       1.21       3,139,862       USD       3,139,862     $ (3,140 )   $ (31,006 )   $ 27,866  

USD Put GBP Call

Goldman Sachs & Co.*

     12/22/22       1.08       1,280,000       USD       1,280,000       (71,040 )     (45,613 )     (25,427 )

USD Put GBP Call

Morgan Stanley & Co. LLC*

     12/22/22       1.12       1,307,000       USD       1,307,000       (42,608 )     (28,184 )     (14,424 )
                                              $ (116,788 )   $ (104,803 )   $ (11,985 )

 

 

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

 

111

 

 

MassMutual 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

     10/21/22       119.00       104       USD       11,654,500     $ (4,875 )   $ (34,633 )   $ 29,758  

U.S. Treasury Note 10 Year Future

     11/25/22       115.50       120       USD       13,447,500       (60,000 )     (60,246 )     246  

U.S. Treasury Note 10 Year Future

     11/25/22       119.50       120       USD       13,447,500       (15,000 )     (33,574 )     18,574  

Eurodollar Future

     12/19/22       96.50       50       USD       11,913,750       (3,125 )     (33,020 )     29,895  

Eurodollar Future

     12/19/22       97.00       202       USD       48,131,550       (8,838 )     (158,200 )     149,362  

Eurodollar Future

     12/19/22       98.13       120       USD       28,593,000       (2,250 )     (104,748 )     102,498  

Eurodollar Future

     6/19/23       97.50       33       USD       7,865,138       (4,950 )     (9,831 )     4,881  

3 Month SOFR Future

     9/15/23       98.75       43       USD       10,285,600       (5,375 )     (14,559 )     9,184  

3 Month SOFR Future

     12/15/23       96.50       74       USD       17,717,450       (80,013 )     (72,020 )     (7,993 )

3 Month SOFR Future

     12/15/23       96.63       14       USD       3,351,950       (13,913 )     (14,196 )     283  
                                            $ (198,339 )   $ (535,027 )   $ 336,688  
                                                                 

Put

                                                                

U.S. Treasury Note 10 Year Future

     10/21/22       113.50       60       USD       6,723,750     $ (118,125 )   $ (15,115 )   $ (103,010 )

Eurodollar Future

     12/19/22       98.13       89       USD       21,206,475       (626,337 )     (69,900 )     (556,437 )

Eurodollar Future

     6/19/23       97.00       27       USD       6,435,113       (116,943 )     (5,343 )     (111,600 )
                                            $ (861,405 )   $ (90,358 )   $ (771,047 )
                                            $ (1,059,744 )   $ (625,385 )   $ (434,359 )

 

Forward contracts

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

BNP Paribas SA*

     10/18/22       JPY       642,474,779       USD       4,748,951     $ (304,103 )

BNP Paribas SA*

     10/18/22       NOK       12,358,698       EUR       1,194,213       (36,446 )

BNP Paribas SA*

     10/18/22       USD       330,307       EUR       325,834       10,668  

Citibank N.A.*

     10/11/22       USD       134,790       JPY       18,175,418       9,128  

Citibank N.A.*

     10/12/22       USD       618,448       CAD       789,230       47,109  

Citibank N.A.*

     10/18/22       CAD       12,506,390       USD       9,652,522       (599,096 )

Citibank N.A.*

     10/18/22       AUD       12,148,833       USD       8,267,503       (495,436 )

Citibank N.A.*

     10/18/22       MXN       27,971,949       USD       1,319,974       65,366  

Citibank N.A.*

     10/18/22       USD       1,499,882       CNH       10,055,443       91,306  

Citibank N.A.*

     10/18/22       USD       2,099,351       IDR       31,594,508,090       25,384  

Goldman Sachs International*

     10/07/22       USD       473,690       JPY       63,910,200       31,987  

Goldman Sachs International*

     10/11/22       USD       154,040       JPY       20,772,348       10,424  

Goldman Sachs International*

     10/17/22       USD       373,047       CAD       477,500       27,382  

Goldman Sachs International*

     10/18/22       GBP       2,632,114       USD       3,172,961       (233,187 )

Goldman Sachs International*

     10/18/22       JPY       141,511,143       USD       1,026,346       (47,326 )

Goldman Sachs International*

     10/18/22       USD       2,202,036       AUD       3,284,836       100,603  

Goldman Sachs International*

     10/18/22       USD       1,848,825       CAD       2,457,405       69,900  

Goldman Sachs International*

     10/18/22       USD       1,340,797       GBP       1,217,000       (18,454 )

Goldman Sachs International*

     12/28/22       GBP       700,000       USD       757,750       24,889  

Goldman Sachs International*

     12/28/22       USD       580,315       GBP       523,000       (4,428 )

Morgan Stanley & Co. LLC*

     10/11/22       USD       255,551       CAD       326,160       19,437  

Morgan Stanley & Co. LLC*

     10/18/22       MXN       8,362,000       USD       403,239       10,898  

 

 

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

 

112

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

Morgan Stanley & Co. LLC*

     10/18/22       CNH       4,890,000       USD       678,978     $ 6,018  

Morgan Stanley & Co. LLC*

     10/18/22       USD       446,719       CAD       590,000       19,616  

Morgan Stanley & Co. LLC*

     10/18/22       USD       2,098,433       MXN       42,923,480       (27,398 )

Morgan Stanley & Co. LLC*

     10/18/22       ZAR       6,889,002       USD       411,264       (31,139 )

Morgan Stanley & Co. LLC*

     12/28/22       GBP       569,213       USD       630,945       5,467  

Morgan Stanley & Co. LLC*

     12/28/22       USD       49,689       GBP       45,000       (623 )

Morgan Stanley & Co. LLC*

     1/18/23       USD       680,774       CNH       4,890,000       (5,702 )
                                            $ (1,227,756 )

 

Futures contracts

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

Long

                                

Euro-BOBL

     12/08/22       9     $ 1,081,221     $ (24,972 )

Euro-OAT

     12/08/22       14       1,896,854       (84,075 )

Australia Treasury Bond 10 Year

     12/15/22       36       2,771,207       (74,319 )

3 Month Euribor Interest Rate

     12/19/22       51       12,406,802       (191,690 )

90 Day Eurodollar

     12/19/22       269       65,678,823       (1,582,848 )

U.S. Treasury Long Bond

     12/20/22       168       22,929,247       (1,692,997 )

U.S. Treasury Ultra Bond

     12/20/22       209       31,091,829       (2,458,829 )

UK Long Gilt

     12/28/22       13       1,594,220       (194,960 )

U.S. Treasury Note 5 Year

     12/30/22       1,581       175,905,888       (5,936,036 )

90 Day Eurodollar

     3/13/23       36       8,556,337       20,213  

90 Day Eurodollar

     6/19/23       46       11,413,711       (450,186 )

3 Month SOFR

     9/19/23       1       241,415       (2,377 )

90 Day Eurodollar

     12/18/23       27       6,592,207       (145,282 )

3 Month SOFR

     3/18/25       103       24,960,027       (158,914 )

 

                           $ (12,977,272 )
                                 

Short

                                

Euro-Bund

     12/08/22       10     $ (1,415,572 )   $ 58,301  

Euro-Buxl 30 Year Bond

     12/08/22       2       (314,339 )     26,910  

Japanese 10 Year Bond

     12/13/22       4       (4,098,575 )     (91 )

U.S. Treasury Note 10 Year

     12/20/22       939       (110,299,821 )     5,073,133  

U.S. Treasury Ultra 10 Year

     12/20/22       43       (5,427,282 )     332,454  

U.S. Treasury Note 2 Year

     12/30/22       301       (62,721,029 )     898,451  

3 Month SOFR

     3/19/24       202       (48,616,198 )     252,348  

90 Day Eurodollar

     3/17/25       91       (22,266,417 )     399,117  

 

                           $ 7,040,623  

 

 

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

 

113

 

 

MassMutual Strategic Bond Fund — Portfolio of Investments (Continued)

 

Centrally Cleared Credit Default Swaps - Buy Protection

 

Reference
Obligation/
Index

  

Rate Paid
by Fund

    

Payment
Frequency

    

Termination
Date

    

Notional
Amount

    

Value

    

Upfront
Premium
Paid/
(Received)

    

Unrealized
Appreciation
(Depreciation)

  

CDX.NA.HY Series 39†

     5.000%       Quarterly       12/20/27       USD       2,162,100     $ 90,624     $ 88,518     $ 2,106  

 

Centrally Cleared Credit Default Swaps - 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.IG Series 39†

     1.000%  

Quarterly

     12/20/27       BBB+**       USD       60,779,000     $ (215,644 )   $ (44,799 )   $ (170,845 )

 

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 7.450%

     Monthly       7/18/29       MXN       88,370,000     $ (393,572 )   $ 37,242     $ (430,814 )

Fixed 3.970%

     Maturity  

U.S. Consumer Price Index

     Maturity       11/18/23       USD       3,530,000       98,661       (19,506 )     118,167  

U.S. Consumer Price Index

     Maturity  

Fixed 3.370%

     Maturity       11/18/26       USD       3,530,000       (50,421 )     55,349       (105,770 )

Fixed 1.520%

     Annually  

12-Month USD SOFR

     Annually       11/20/26       USD       4,000,000       237,284       (9,570 )     246,854  

Fixed 0.710%

     Annually  

12-Month USD SOFR

     Annually       5/15/27       USD       6,565,000       862,110       21,202       840,908  

Fixed 1.130%

     Annually  

12-Month USD SOFR

     Annually       8/15/28       USD       980,000       133,895       6,525       127,370  

Fixed 1.220%

     Annually  

12-Month USD SOFR

     Annually       8/15/28       USD       2,942,000       388,130       (190 )     388,320  

Fixed 2.850%

     Annually  

12-Month USD SOFR

     Annually       2/15/29       USD       3,019,000       146,617       (3,872 )     150,489  

Fixed 3.270%

     Annually  

12-Month USD SOFR

     Annually       4/30/29       USD       6,978,000       173,459       (62,288 )     235,747  

Fixed 1.733%

     Annually  

12-Month USD SOFR

     Annually       10/20/31       USD       3,125,000       195,003       13,280       181,723  

Fixed 2.000%

     Annually  

12-Month USD SOFR

     Annually       3/18/32       USD       1,542,000       194,150       10,018       184,132  

Fixed 0.560%

     Annually  

12-Month USD SOFR

     Annually       7/20/45       USD       3,470,000       1,486,049       78,573       1,407,476  

Fixed 1.729%

     Annually  

Fed Funds

     Annually       2/15/47       USD       1,725,000       426,922       25,406       401,516  

Fixed 1.520%

     Annually  

12-Month USD SOFR

     Annually       2/15/47       USD       1,137,000       320,479       (29,927 )     350,406  

Fixed 1.630%

     Annually  

12-Month USD SOFR

     Annually       5/15/47       USD       580,000       153,279       25,405       127,874  

Fixed 1.650%

     Annually  

12-Month USD SOFR

     Annually       8/15/47       USD       226,000       59,078       22,724       36,354  

 

 

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

 

114

 

 

MassMutual Strategic Bond 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 2.620%

     Annually  

12-Month USD SOFR

     Annually       2/15/48       USD       505,000     $ 49,436     $ 577     $ 48,859  

Fixed 2.510%

     Annually  

12-Month USD SOFR

     Annually       2/15/48       USD       1,829,000       213,137       11,993       201,144  

Fixed 2.600%

     Annually  

12-Month USD SOFR

     Annually       2/15/48       USD       1,281,000       126,759       88,054       38,705  

Fixed 2.500%

     Annually  

12-Month USD SOFR

     Annually       4/21/52       USD       1,900,000       207,379       3,409       203,970  
                                              $ 5,027,834     $ 274,404     $ 4,753,430  

 

*

Contracts are subject to a master netting agreement or similar 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

AUD

Australian Dollar

CAD

Canadian Dollar

CNH

Offshore Chinese Yuan

EUR

Euro

GBP

British Pound

IDR

Indonesian Rupiah

JPY

Japanese Yen

MXN

Mexican Peso

NOK

Norwegian Krone

RUB

Russian Ruble

USD

U.S. Dollar

ZAR

South African Rand

 

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

 

115

 

 

MassMutual Diversified Value Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 97.8%

COMMON STOCK — 96.9%

Basic Materials — 4.2%

Chemicals — 2.3%

Celanese Corp.

    3,100     $ 280,054  

CF Industries Holdings, Inc.

    34,004       3,272,885  

Dow, Inc.

    13,000       571,090  

DuPont de Nemours, Inc.

    10,400       524,160  

Eastman Chemical Co.

    3,700       262,885  

FMC Corp.

    2,700       285,390  

Huntsman Corp.

    2,500       61,350  

LyondellBasell Industries NV Class A

    5,800       436,624  

The Mosaic Co.

    10,300       497,799  

Olin Corp.

    2,700       115,776  
              6,308,013  

Forest Products & Paper — 0.8%

International Paper Co.

    69,989       2,218,651  

Iron & Steel — 0.6%

Nucor Corp.

    8,200       877,318  

Reliance Steel & Aluminum Co.

    1,700       296,497  

Steel Dynamics, Inc.

    5,900       418,605  
              1,592,420  

Mining — 0.5%

Alcoa Corp.

    3,300       111,078  

Freeport-McMoRan, Inc.

    25,800       705,114  

Newmont Corp.

    16,100       676,683  
              1,492,875  
              11,611,959  

Communications — 5.5%

Advertising — 0.2%

The Interpublic Group of Cos., Inc.

    6,800       174,080  

Omnicom Group, Inc.

    6,000       378,540  
              552,620  

Internet — 0.2%

Meta Platforms, Inc. Class A (a)

    4,600       624,128  

Media — 3.0%

Comcast Corp. Class A

    146,054       4,283,764  

Fox Corp. Class A

    9,200       282,256  

News Corp. Class A

    121,031       1,828,779  

Nexstar Media Group, Inc. Class A

    700       116,795  

The Walt Disney Co. (a)

    18,513       1,746,331  
              8,257,925  

Telecommunications — 2.1%

AT&T, Inc.

    123,500       1,894,490  

Cisco Systems, Inc.

    90,000       3,600,000  

 

   

Number of
Shares

    

Value

  

Corning, Inc.

    14,700     $ 426,594  
              5,921,084  
              15,355,757  

Consumer, Cyclical — 5.1%

Apparel — 0.1%

Capri Holdings Ltd. (a)

    2,900       111,476  

Ralph Lauren Corp.

    800       67,944  

Skechers U.S.A., Inc. Class A (a)

    2,600       82,472  

Tapestry, Inc.

    4,500       127,935  
              389,827  

Auto Manufacturers — 0.8%

Cummins, Inc.

    2,600       529,126  

Ford Motor Co.

    106,700       1,195,040  

PACCAR, Inc.

    6,300       527,247  
              2,251,413  

Auto Parts & Equipment — 0.1%

BorgWarner, Inc.

    4,300       135,020  

Lear Corp.

    1,400       167,566  
              302,586  

Distribution & Wholesale — 0.1%

LKQ Corp.

    8,200       386,630  

Home Builders — 0.7%

D.R. Horton, Inc.

    10,000       673,500  

Lennar Corp. Class A

    7,600       566,580  

NVR, Inc. (a)

    80       318,966  

PulteGroup, Inc.

    7,500       281,250  
              1,840,296  

Home Furnishing — 0.1%

Whirlpool Corp.

    1,800       242,658  

Housewares — 0.0%

Newell Brands, Inc.

    7,400       102,786  

Leisure Time — 0.1%

Brunswick Corp.

    2,200       143,990  

Polaris, Inc.

    1,100       105,215  
              249,205  

Lodging — 0.6%

Boyd Gaming Corp.

    1,200       57,180  

Las Vegas Sands Corp. (a)

    40,186       1,507,779  
              1,564,959  

Retail — 2.5%

AutoNation, Inc. (a)

    2,500       254,675  

AutoZone, Inc. (a)

    600       1,285,158  

Best Buy Co., Inc.

    3,900       247,026  

Darden Restaurants, Inc.

    1,400       176,848  

Dick’s Sporting Goods, Inc. (b)

    900       94,176  

Lithia Motors, Inc.

    500       107,275  

 

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

 

116

 

 

MassMutual Diversified Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Lowe’s Cos., Inc.

    20,000     $ 3,756,200  

Penske Automotive Group, Inc.

    1,700       167,331  

Walgreens Boots Alliance, Inc.

    18,600       584,040  

Williams-Sonoma, Inc.

    1,200       141,420  
              6,814,149  
              14,144,509  

Consumer, Non-cyclical — 25.6%

Agriculture — 2.8%

Altria Group, Inc.

    39,500       1,595,010  

Archer-Daniels-Midland Co.

    15,200       1,222,840  

Darling Ingredients, Inc. (a)

    2,900       191,835  

Philip Morris International, Inc.

    56,090       4,656,031  
              7,665,716  

Beverages — 0.1%

Molson Coors Beverage Co. Class B

    3,600       172,764  

Biotechnology — 2.1%

Amgen, Inc.

    9,500       2,141,300  

Biogen, Inc. (a)

    2,400       640,800  

Gilead Sciences, Inc.

    25,400       1,566,926  

Regeneron Pharmaceuticals, Inc. (a)

    2,300       1,584,401  
              5,933,427  

Commercial Services — 0.6%

AMERCO

    600       305,532  

FleetCor Technologies, Inc. (a)

    1,300       229,021  

Global Payments, Inc.

    1,500       162,075  

Robert Half International, Inc.

    1,900       145,350  

Service Corp. International

    4,900       282,926  

United Rentals, Inc. (a)

    1,600       432,192  
              1,557,096  

Food — 2.5%

Campbell Soup Co.

    3,200       150,784  

Conagra Brands, Inc.

    77,953       2,543,606  

Ingredion, Inc.

    500       40,260  

The J.M. Smucker Co.

    2,300       316,043  

Kellogg Co.

    6,800       473,688  

The Kraft Heinz Co.

    26,200       873,770  

The Kroger Co.

    15,900       695,625  

Tyson Foods, Inc. Class A

    27,935       1,841,755  
              6,935,531  

Health Care – Products — 0.7%

Henry Schein, Inc. (a)

    3,000       197,310  

Hologic, Inc. (a)

    5,100       329,052  

Medtronic PLC

    18,028       1,455,761  
              1,982,123  

Health Care – Services — 4.1%

Centene Corp. (a)

    11,800       918,158  

DaVita, Inc. (a)

    3,000       248,310  

 

   

Number of
Shares

    

Value

  

Elevance Health, Inc.

    16,381     $ 7,440,905  

HCA Healthcare, Inc.

    9,200       1,690,868  

Laboratory Corp. of America Holdings

    2,700       552,987  

Quest Diagnostics, Inc.

    3,600       441,684  

Universal Health Services, Inc. Class B

    2,200       193,996  
              11,486,908  

Household Products & Wares — 0.8%

Kimberly-Clark Corp.

    19,630       2,209,160  

Pharmaceuticals — 11.9%

AbbVie, Inc.

    53,002       7,113,398  

AmerisourceBergen Corp.

    5,600       757,848  

Becton Dickinson and Co.

    13,750       3,063,913  

Bristol-Myers Squibb Co.

    38,000       2,701,420  

Cardinal Health, Inc.

    4,800       320,064  

Cigna Corp.

    7,400       2,053,278  

CVS Health Corp.

    44,851       4,277,440  

McKesson Corp.

    4,400       1,495,428  

Merck & Co., Inc.

    48,800       4,202,656  

Pfizer, Inc.

    120,600       5,277,456  

Sanofi ADR

    48,196       1,832,412  
              33,095,313  
              71,038,038  

Energy — 9.4%

Energy – Alternate Sources — 0.1%

First Solar, Inc. (a)

    2,400       317,448  

Oil & Gas — 8.1%

APA Corp.

    7,400       253,006  

Chevron Corp.

    14,100       2,025,747  

ConocoPhillips

    6,600       675,444  

Devon Energy Corp.

    11,400       685,482  

Diamondback Energy, Inc.

    3,000       361,380  

EOG Resources, Inc.

    28,139       3,143,970  

Exxon Mobil Corp.

    85,300       7,447,543  

Marathon Oil Corp.

    15,700       354,506  

Ovintiv, Inc.

    5,300       243,800  

PDC Energy, Inc.

    1,600       92,464  

Pioneer Natural Resources Co.

    4,100       887,773  

TotalEnergies SE

    90,274       4,249,190  

TotalEnergies SE Sponsored ADR

    25,056       1,165,605  

Valero Energy Corp.

    8,800       940,280  
              22,526,190  

Pipelines — 1.2%

Kinder Morgan, Inc.

    48,500       807,040  

ONEOK, Inc.

    8,900       456,036  

 

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

 

117

 

 

MassMutual Diversified Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

TC Energy Corp.

    52,200     $ 2,103,138  
              3,366,214  
              26,209,852  

Financial — 23.4%

Banks — 12.9%

Bank of America Corp.

    181,500       5,481,300  

The Bank of New York Mellon Corp.

    18,900       728,028  

BOK Financial Corp.

    1,200       106,632  

Comerica, Inc.

    3,000       213,300  

Commerce Bancshares, Inc.

    2,600       172,016  

East West Bancorp, Inc.

    2,900       194,706  

Fifth Third Bancorp

    63,864       2,041,093  

First Horizon Corp.

    8,700       199,230  

The Goldman Sachs Group, Inc.

    14,111       4,135,229  

Huntington Bancshares, Inc.

    183,535       2,418,991  

JP Morgan Chase & Co.

    59,000       6,165,500  

KeyCorp.

    20,900       334,818  

Morgan Stanley

    29,800       2,354,498  

Northern Trust Corp.

    4,400       376,464  

Pinnacle Financial Partners, Inc.

    800       64,880  

The PNC Financial Services Group, Inc.

    9,000       1,344,780  

Prosperity Bancshares, Inc.

    1,700       113,356  

Regions Financial Corp.

    20,500       411,435  

State Street Corp.

    21,109       1,283,638  

Synovus Financial Corp.

    1,400       52,514  

Truist Financial Corp.

    28,800       1,253,952  

US Bancorp

    32,000       1,290,240  

Wells Fargo & Co.

    127,389       5,123,586  

Zions Bancorp NA

    3,500       178,010  
              36,038,196  

Diversified Financial Services — 1.4%

American Express Co.

    16,600       2,239,506  

Ameriprise Financial, Inc.

    2,400       604,680  

Credit Acceptance Corp. (a)

    400       175,200  

Discover Financial Services

    6,400       581,888  

SEI Investments Co.

    3,100       152,055  

The Western Union Co.

    7,000       94,500  
              3,847,829  

Insurance — 7.3%

Aflac, Inc.

    14,900       837,380  

The Allstate Corp.

    6,400       796,992  

American Financial Group, Inc.

    1,800       221,274  

American International Group, Inc.

    65,779       3,123,187  

Arch Capital Group Ltd. (a)

    8,600       391,644  

Assurant, Inc.

    1,400       203,378  

Chubb Ltd.

    25,319       4,605,020  

Cincinnati Financial Corp.

    3,400       304,538  

 

   

Number of
Shares

    

Value

  

Equitable Holdings, Inc.

    81,523     $ 2,148,131  

Everest Re Group Ltd.

    1,000       262,440  

Fidelity National Financial, Inc.

    6,200       224,440  

First American Financial Corp.

    2,500       115,250  

Globe Life, Inc.

    2,100       209,370  

The Hartford Financial Services Group, Inc.

    7,700       476,938  

Lincoln National Corp.

    4,100       180,031  

Loews Corp.

    5,800       289,072  

Markel Corp. (a)

    320       346,950  

MetLife, Inc.

    19,100       1,160,898  

Old Republic International Corp.

    4,400       92,092  

Principal Financial Group, Inc.

    6,000       432,900  

Prudential Financial, Inc.

    8,400       720,552  

Reinsurance Group of America, Inc.

    1,200       150,972  

RenaissanceRe Holdings Ltd.

    1,000       140,390  

The Travelers Cos., Inc.

    10,100       1,547,320  

Unum Group

    3,600       139,680  

Voya Financial, Inc.

    2,800       169,400  

W.R. Berkley Corp.

    5,800       374,564  

Willis Towers Watson PLC

    2,800       562,632  
              20,227,435  

Real Estate — 0.2%

CBRE Group, Inc. Class A (a)

    5,200       351,052  

Jones Lang LaSalle, Inc. (a)

    1,500       226,605  
              577,657  

Real Estate Investment Trusts (REITS) — 1.6%

Equity Residential

    37,567       2,525,254  

Weyerhaeuser Co.

    66,363       1,895,327  
              4,420,581  
              65,111,698  

Industrial — 9.9%

Aerospace & Defense — 2.5%

The Boeing Co. (a)

    7,742       937,401  

L3 Harris Technologies, Inc.

    18,642       3,874,367  

Lockheed Martin Corp.

    5,600       2,163,224  
              6,974,992  

Building Materials — 0.5%

Builders FirstSource, Inc. (a)

    3,100       182,652  

Carrier Global Corp.

    14,566       517,967  

Masco Corp.

    7,200       336,168  

Owens Corning

    3,000       235,830  
              1,272,617  

Electronics — 0.2%

Arrow Electronics, Inc. (a)

    2,200       202,818  

Jabil, Inc.

    4,100       236,611  

 

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

 

118

 

 

MassMutual Diversified Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Sensata Technologies Holding PLC

    3,000     $ 111,840  
              551,269  

Engineering & Construction — 0.0%

TopBuild Corp. (a)

    200       32,956  

Hand & Machine Tools — 0.1%

Snap-on, Inc.

    1,600       322,160  

Machinery – Construction & Mining — 0.6%

Caterpillar, Inc.

    9,200       1,509,536  

Oshkosh Corp.

    1,400       98,406  
              1,607,942  

Machinery – Diversified — 1.0%

AGCO Corp.

    1,400       134,638  

Deere & Co.

    6,600       2,203,674  

Dover Corp.

    2,700       314,766  
              2,653,078  

Miscellaneous - Manufacturing — 1.9%

General Electric Co.

    69,378       4,295,192  

Parker-Hannifin Corp.

    2,800       678,468  

Textron, Inc.

    6,300       367,038  
              5,340,698  

Packaging & Containers — 0.5%

Amcor PLC

    43,100       462,463  

Berry Global Group, Inc. (a)

    2,400       111,672  

Crown Holdings, Inc.

    3,600       291,708  

Packaging Corp. of America

    2,700       303,183  

Sealed Air Corp.

    4,300       191,393  

WestRock Co.

    4,600       142,094  
              1,502,513  

Shipbuilding — 0.1%

Huntington Ingalls Industries, Inc.

    900       199,350  

Transportation — 2.5%

C.H. Robinson Worldwide, Inc.

    2,600       250,406  

Expeditors International of Washington, Inc.

    3,300       291,423  

FedEx Corp.

    4,700       697,809  

Knight-Swift Transportation Holdings, Inc.

    3,500       171,255  

United Parcel Service, Inc. Class B

    34,745       5,612,708  
              7,023,601  
              27,481,176  

Technology — 7.6%

Computers — 1.7%

CACI International, Inc. Class A (a)

    400       104,424  

Cognizant Technology Solutions Corp. Class A

    9,000       516,960  

Dell Technologies, Inc.

    4,800       164,016  

DXC Technology Co. (a)

    4,000       97,920  

 

   

Number of
Shares

    

Value

  

Hewlett Packard Enterprise Co.

    35,400     $ 424,092  

HP, Inc.

    35,300       879,676  

International Business Machines Corp.

    18,200       2,162,342  

Leidos Holdings, Inc.

    2,500       218,675  

NetApp, Inc.

    3,700       228,845  
              4,796,950  

Semiconductors — 2.5%

KLA Corp.

    2,500       756,575  

QUALCOMM, Inc.

    53,420       6,035,392  
              6,791,967  

Software — 3.4%

Fidelity National Information Services, Inc.

    10,600       801,042  

Fiserv, Inc. (a)

    11,500       1,076,055  

Microsoft Corp.

    11,906       2,772,907  

Oracle Corp.

    80,500       4,916,135  
              9,566,139  
              21,155,056  

Utilities — 6.2%

Electric — 6.1%

Alliant Energy Corp.

    5,400       286,146  

Dominion Energy, Inc.

    17,300       1,195,603  

Duke Energy Corp.

    13,600       1,265,072  

Edison International

    7,700       435,666  

Entergy Corp.

    4,300       432,709  

Evergy, Inc.

    4,900       291,060  

Eversource Energy

    6,900       537,924  

Exelon Corp.

    26,800       1,003,928  

OGE Energy Corp.

    3,600       131,256  

Pinnacle West Capital Corp.

    2,100       135,471  

PPL Corp.

    15,200       385,320  

Public Service Enterprise Group, Inc.

    14,400       809,712  

Sempra Energy

    33,640       5,043,982  

The Southern Co.

    69,761       4,743,748  

Vistra Corp.

    9,800       205,800  
              16,903,397  

Gas — 0.1%

National Fuel Gas Co.

    1,700       104,635  

UGI Corp.

    3,600       116,388  
              221,023  
              17,124,420  
                 

TOTAL COMMON STOCK (Cost $258,613,267)

            269,232,465  
                 

 

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

 

119

 

 

MassMutual Diversified Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

PREFERRED STOCK — 0.9%

Consumer, Cyclical — 0.8%

Auto Manufacturers — 0.8%

Dr Ing hc F Porsche AG (a)

    9,293     $ 751,377  

Volkswagen AG 6.014%

    12,535       1,548,309  
              2,299,686  

Consumer, Non-cyclical — 0.1%

Pharmaceuticals — 0.1%

Becton Dickinson and Co. Convertible 6.000%

    8,676       408,987  
                 

TOTAL PREFERRED STOCK (Cost $3,776,400)

            2,708,673  
                 

TOTAL EQUITIES (Cost $262,389,667)

            271,941,138  
                 

MUTUAL FUNDS — 1.3%

Diversified Financial Services — 1.3%

iShares Russell 1000 Value ETF

    26,200       3,562,938  

State Street Navigator Securities Lending Government Money Market Portfolio (c)

    95,114       95,114  
              3,658,052  
                 

TOTAL MUTUAL FUNDS (Cost $3,724,904)

            3,658,052  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $266,114,571)

            275,599,190  
                 

SHORT-TERM INVESTMENTS — 1.2%

Mutual Fund — 0.0%

T. Rowe Price Government Reserve Investment Fund

    105       105  

 

   

Principal
Amount

    

Value

  

Repurchase Agreement — 1.2%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (d)

  $ 3,266,398     $ 3,266,398  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $3,266,503)

            3,266,503  
                 

TOTAL INVESTMENTS — 100.3% (Cost $269,381,074) (e)

            278,865,693  
                 

Other Assets/(Liabilities) — (0.3)%

            (950,195 )
                 

NET ASSETS — 100.0%

          $ 277,915,498  

 

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)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $93,234 or 0.03% of net assets. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

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

(d)

Maturity value of $3,266,624. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $3,331,801.

(e)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

120

 

 

MassMutual Fundamental Value Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 97.5%

COMMON STOCK — 97.5%

Basic Materials — 5.2%

Chemicals — 5.2%

Air Products & Chemicals, Inc.

    24,783     $ 5,767,748  

Axalta Coating Systems Ltd. (a)

    156,878       3,303,851  

DuPont de Nemours, Inc.

    122,644       6,181,258  

Element Solutions, Inc.

    88,924       1,446,793  

International Flavors & Fragrances, Inc.

    48,055       4,364,836  

Olin Corp.

    27,871       1,195,108  
              22,259,594  
              22,259,594  

Communications — 5.1%

Internet — 2.0%

Alphabet, Inc. Class A (a)

    54,531       5,215,890  

Meta Platforms, Inc. Class A (a)

    24,022       3,259,305  
              8,475,195  

Media — 0.9%

Altice USA, Inc. Class A (a)

    70,566       411,400  

Comcast Corp. Class A

    113,375       3,325,289  
              3,736,689  

Telecommunications — 2.2%

Cisco Systems, Inc.

    96,452       3,858,080  

T-Mobile US, Inc. (a)

    41,172       5,524,047  
              9,382,127  
              21,594,011  

Consumer, Cyclical — 4.9%

Distribution & Wholesale — 0.4%

LKQ Corp.

    33,054       1,558,496  

Entertainment — 0.5%

Marriott Vacations Worldwide Corp.

    7,517       916,022  

SeaWorld Entertainment, Inc. (a)

    29,998       1,365,209  
              2,281,231  

Food Services — 0.4%

Aramark

    55,597       1,734,626  

Home Furnishing — 0.2%

Sony Group Corp. Sponsored ADR

    15,377       984,897  

Lodging — 0.7%

Las Vegas Sands Corp. (a)

    54,802       2,056,171  

MGM Resorts International

    33,560       997,403  
              3,053,574  

Retail — 2.7%

Advance Auto Parts, Inc.

    19,397       3,032,527  

AutoZone, Inc. (a)

    2,543       5,446,928  

Dollar General Corp.

    9,230       2,213,908  

 

   

Number of
Shares

    

Value

  

Lithia Motors, Inc.

    3,209     $ 688,491  
              11,381,854  
              20,994,678  

Consumer, Non-cyclical — 28.3%

Agriculture — 1.3%

Philip Morris International, Inc.

    64,166       5,326,420  

Beverages — 2.5%

Coca-Cola Europacific Partners PLC

    109,213       4,654,658  

Keurig Dr Pepper, Inc.

    116,981       4,190,259  

Molson Coors Beverage Co. Class B

    37,832       1,815,558  
              10,660,475  

Biotechnology — 0.2%

Corteva, Inc.

    16,190       925,258  

Commercial Services — 1.5%

FleetCor Technologies, Inc. (a)

    10,112       1,781,431  

Global Payments, Inc.

    17,875       1,931,394  

PROG Holdings, Inc. (a)

    24,069       360,554  

United Rentals, Inc. (a)

    8,994       2,429,459  
              6,502,838  

Cosmetics & Personal Care — 0.4%

The Procter & Gamble Co.

    14,849       1,874,686  

Food — 0.3%

US Foods Holding Corp. (a)

    46,986       1,242,310  

Health Care – Products — 2.3%

Avantor, Inc. (a)

    96,039       1,882,364  

Envista Holdings Corp. (a)

    35,816       1,175,123  

Hologic, Inc. (a)

    20,874       1,346,791  

LivaNova PLC (a)

    19,978       1,014,283  

Medtronic PLC

    53,308       4,304,621  
              9,723,182  

Health Care – Services — 5.4%

Centene Corp. (a)

    53,385       4,153,887  

Elevance Health, Inc.

    5,604       2,545,561  

Humana, Inc.

    7,253       3,519,083  

ICON PLC (a)

    9,124       1,676,809  

UnitedHealth Group, Inc.

    21,993       11,107,344  
              23,002,684  

Pharmaceuticals — 14.4%

AbbVie, Inc.

    27,870       3,740,433  

AmerisourceBergen Corp.

    17,619       2,384,379  

Becton Dickinson and Co.

    9,928       2,212,256  

Bristol-Myers Squibb Co.

    61,443       4,367,983  

Cigna Corp.

    36,499       10,127,377  

CVS Health Corp.

    107,183       10,222,043  

Johnson & Johnson

    62,942       10,282,205  

McKesson Corp.

    3,265       1,109,676  

Merck & Co., Inc.

    93,151       8,022,164  

 

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

 

121

 

 

MassMutual Fundamental Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Novartis AG Sponsored ADR

    14,369     $ 1,092,188  

Perrigo Co. PLC

    95,248       3,396,544  

Sanofi ADR

    116,912       4,444,994  
              61,402,242  
              120,660,095  

Energy — 10.9%

Oil & Gas — 9.3%

Canadian Natural Resources Ltd. (b)

    57,082       2,658,309  

Cenovus Energy, Inc. (b)

    138,084       2,122,351  

ConocoPhillips

    77,988       7,981,292  

Devon Energy Corp.

    41,577       2,500,025  

EOG Resources, Inc.

    16,181       1,807,903  

Hess Corp.

    52,316       5,701,921  

Marathon Petroleum Corp.

    38,024       3,776,924  

Phillips 66

    72,418       5,845,581  

Pioneer Natural Resources Co.

    26,531       5,744,757  

Valero Energy Corp.

    11,904       1,271,942  
              39,411,005  

Oil & Gas Services — 0.9%

Halliburton Co.

    56,625       1,394,108  

Schlumberger NV

    72,299       2,595,534  
              3,989,642  

Pipelines — 0.7%

Enbridge, Inc.

    79,999       2,967,963  
              46,368,610  

Financial — 19.1%

Banks — 8.7%

Bank of America Corp.

    102,723       3,102,235  

The Goldman Sachs Group, Inc.

    9,836       2,882,440  

JP Morgan Chase & Co.

    95,387       9,967,941  

M&T Bank Corp.

    14,035       2,474,651  

Northern Trust Corp.

    40,703       3,482,549  

Truist Financial Corp.

    45,493       1,980,765  

US Bancorp

    85,960       3,465,907  

Wells Fargo & Co.

    239,508       9,633,012  
              36,989,500  

Diversified Financial Services — 2.1%

AerCap Holdings NV (a)

    21,648       916,360  

American Express Co.

    7,467       1,007,373  

Capital One Financial Corp.

    9,554       880,592  

The Charles Schwab Corp.

    69,233       4,975,776  

Intercontinental Exchange, Inc.

    13,880       1,254,058  
              9,034,159  

Insurance — 6.8%

The Allstate Corp.

    52,047       6,481,413  

American International Group, Inc.

    39,165       1,859,554  

Axis Capital Holdings Ltd.

    24,855       1,221,623  

 

   

Number of
Shares

    

Value

  

Berkshire Hathaway, Inc. Class B (a)

    31,553     $ 8,425,282  

Chubb Ltd.

    39,843       7,246,645  

Everest Re Group Ltd.

    6,527       1,712,946  

Willis Towers Watson PLC

    9,276       1,863,919  
              28,811,382  

Real Estate — 0.2%

The Howard Hughes Corp. (a)

    13,759       762,111  

Real Estate Investment Trusts (REITS) — 1.3%

Corporate Office Properties Trust

    122,595       2,847,882  

VICI Properties, Inc.

    92,725       2,767,841  
              5,615,723  
              81,212,875  

Industrial — 11.9%

Aerospace & Defense — 2.9%

General Dynamics Corp.

    21,965       4,660,314  

Howmet Aerospace, Inc.

    76,913       2,378,919  

Raytheon Technologies Corp.

    66,763       5,465,219  
              12,504,452  

Building Materials — 1.5%

CRH PLC Sponsored ADR (b)

    52,382       1,688,272  

Masco Corp.

    31,186       1,456,074  

MDU Resources Group, Inc.

    65,793       1,799,439  

Mohawk Industries, Inc. (a)

    14,690       1,339,581  
              6,283,366  

Electronics — 0.5%

Allegion PLC

    12,305       1,103,513  

Fortive Corp.

    21,901       1,276,828  
              2,380,341  

Engineering & Construction — 0.7%

AECOM

    26,647       1,821,855  

Jacobs Solutions, Inc.

    10,320       1,119,617  
              2,941,472  

Hand & Machine Tools — 0.7%

Stanley Black & Decker, Inc.

    38,002       2,858,130  

Machinery – Construction & Mining — 1.2%

BWX Technologies, Inc.

    35,818       1,804,153  

Caterpillar, Inc.

    9,261       1,519,545  

Vertiv Holdings Co.

    171,156       1,663,636  
              4,987,334  

Machinery – Diversified — 2.8%

Deere & Co.

    23,633       7,890,822  

Dover Corp.

    8,204       956,422  

Otis Worldwide Corp.

    30,102       1,920,508  

Westinghouse Air Brake Technologies Corp.

    15,619       1,270,606  
              12,038,358  

 

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

 

122

 

 

MassMutual Fundamental Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Miscellaneous - Manufacturing — 0.6%

Eaton Corp. PLC

    18,543     $ 2,472,895  

Transportation — 1.0%

J.B. Hunt Transport Services, Inc.

    12,845       2,009,215  

Union Pacific Corp.

    11,297       2,200,881  
              4,210,096  
              50,676,444  

Technology — 8.1%

Computers — 1.6%

CACI International, Inc. Class A (a)

    6,712       1,752,235  

Cognizant Technology Solutions Corp. Class A

    56,660       3,254,551  

Leidos Holdings, Inc.

    19,558       1,710,738  
              6,717,524  

Semiconductors — 3.5%

Applied Materials, Inc.

    20,689       1,695,050  

Broadcom, Inc.

    3,427       1,521,622  

Lam Research Corp.

    1,838       672,708  

Microchip Technology, Inc.

    50,917       3,107,465  

Micron Technology, Inc.

    29,445       1,475,194  

NXP Semiconductor NV

    5,043       743,893  

Qorvo, Inc. (a)

    15,776       1,252,772  

QUALCOMM, Inc.

    39,959       4,514,568  
              14,983,272  

Software — 3.0%

Activision Blizzard, Inc.

    10,293       765,182  

Electronic Arts, Inc.

    16,257       1,881,097  

Fidelity National Information Services, Inc.

    54,490       4,117,809  

Oracle Corp.

    73,110       4,464,828  

SS&C Technologies Holdings, Inc

    33,320       1,591,030  
              12,819,946  
              34,520,742  

Utilities — 4.0%

Electric — 4.0%

CenterPoint Energy, Inc.

    143,333       4,039,124  

Dominion Energy, Inc.

    28,634       1,978,896  

Entergy Corp.

    40,206       4,045,930  

Exelon Corp.

    40,298       1,509,563  

FirstEnergy Corp.

    37,021       1,369,777  

 

   

Number of
Shares

    

Value

  

Pinnacle West Capital Corp.

    64,868     $ 4,184,634  
              17,127,924  
              17,127,924  
                 

TOTAL COMMON STOCK (Cost $391,991,924)

            415,414,973  
                 

TOTAL EQUITIES (Cost $391,991,924)

            415,414,973  
                 

MUTUAL FUNDS — 0.7%

Diversified Financial Services — 0.7%

State Street Navigator Securities Lending Government Money Market Portfolio (c)

    2,886,035       2,886,035  
                 

TOTAL MUTUAL FUNDS (Cost $2,886,035)

            2,886,035  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $394,877,959)

            418,301,008  
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 2.4%

Repurchase Agreement — 2.4%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (d)

  $ 10,027,512       10,027,512  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $10,027,512)

            10,027,512  
                 

TOTAL INVESTMENTS — 100.6% (Cost $404,905,471) (e)

            428,328,520  
                 

Other Assets/(Liabilities) — (0.6)%

            (2,358,214 )
                 

NET ASSETS — 100.0%

          $ 425,970,306  

 

Abbreviation Legend

ADR

American Depositary Receipt

 

 

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

 

123

 

 

MassMutual Fundamental Value Fund — Portfolio of Investments (Continued)

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $4,483,728 or 1.05% of net assets. The Fund received $1,717,780 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

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

(d)

Maturity value of $10,028,205. Collateralized by U.S. Government Agency obligations with rates ranging from 0.000% - 3.500%, maturity dates ranging from 3/30/23 - 9/15/25, and an aggregate market value, including accrued interest, of $10,228,249.

(e)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

124

 

 

MM S&P 500 Index Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 100.2%

COMMON STOCK — 100.2%

Basic Materials — 2.0%

Chemicals — 1.6%

Air Products & Chemicals, Inc.

    16,374     $ 3,810,721  

Albemarle Corp.

    8,667       2,291,902  

Celanese Corp.

    7,292       658,759  

CF Industries Holdings, Inc.

    14,696       1,414,490  

Dow, Inc.

    52,892       2,323,546  

DuPont de Nemours, Inc.

    36,919       1,860,718  

Eastman Chemical Co.

    8,945       635,542  

Ecolab, Inc.

    18,389       2,655,739  

FMC Corp.

    9,352       988,506  

International Flavors & Fragrances, Inc.

    18,850       1,712,146  

Linde PLC

    36,780       9,915,520  

LyondellBasell Industries NV Class A

    18,685       1,406,607  

The Mosaic Co.

    25,462       1,230,578  

PPG Industries, Inc.

    17,474       1,934,197  

The Sherwin-Williams Co.

    17,404       3,563,469  
              36,402,440  

Forest Products & Paper — 0.0%

International Paper Co.

    26,629       844,139  

Iron & Steel — 0.1%

Nucor Corp.

    19,326       2,067,689  

Mining — 0.3%

Freeport-McMoRan, Inc.

    105,439       2,881,648  

Newmont Corp.

    58,750       2,469,263  
              5,350,911  
              44,665,179  

Communications — 12.5%

Advertising — 0.1%

The Interpublic Group of Cos., Inc.

    29,243       748,621  

Omnicom Group, Inc.

    15,098       952,533  
              1,701,154  

Internet — 9.0%

Alphabet, Inc. Class A (a)

    442,633       42,337,846  

Alphabet, Inc. Class C (a)

    395,825       38,058,574  

Amazon.com, Inc. (a)

    654,284       73,934,092  

Booking Holdings, Inc. (a)

    2,931       4,816,248  

CDW Corp.

    9,967       1,555,649  

eBay, Inc.

    40,444       1,488,744  

Etsy, Inc. (a)

    9,351       936,316  

Expedia Group, Inc. (a)

    11,168       1,046,330  

F5, Inc. (a)

    4,494       650,417  

Match Group, Inc. (a)

    20,845       995,349  

Meta Platforms, Inc. Class A (a)

    168,352       22,841,999  

 

   

Number of
Shares

    

Value

  

Netflix, Inc. (a)

    32,822     $ 7,727,612  

NortonLifeLock, Inc.

    44,324       892,685  

Twitter, Inc. (a)

    49,596       2,174,289  

VeriSign, Inc. (a)

    6,889       1,196,619  
              200,652,769  

Media — 1.4%

Charter Communications, Inc. Class A (a)

    8,172       2,478,976  

Comcast Corp. Class A

    324,608       9,520,753  

DISH Network Corp. Class A (a)

    19,303       266,960  

FactSet Research Systems, Inc.

    2,827       1,131,111  

Fox Corp. Class A

    23,039       706,837  

Fox Corp. Class B

    10,899       310,622  

News Corp. Class A

    29,085       439,474  

News Corp. Class B

    9,628       148,464  

Paramount Global Class B (b)

    37,104       706,460  

The Walt Disney Co. (a)

    134,434       12,681,159  

Warner Bros Discovery, Inc. (a)

    163,220       1,877,030  
              30,267,846  

Telecommunications — 2.0%

Arista Networks, Inc. (a)

    18,124       2,046,018  

AT&T, Inc.

    526,615       8,078,274  

Cisco Systems, Inc.

    305,777       12,231,080  

Corning, Inc.

    56,225       1,631,650  

Juniper Networks, Inc.

    23,953       625,652  

Lumen Technologies, Inc.

    69,237       504,045  

Motorola Solutions, Inc.

    12,370       2,770,509  

T-Mobile US, Inc. (a)

    44,395       5,956,477  

Verizon Communications, Inc.

    310,305       11,782,281  
              45,625,986  
              278,247,755  

Consumer, Cyclical — 10.0%

Airlines — 0.2%

Alaska Air Group, Inc. (a)

    9,425       368,989  

American Airlines Group, Inc. (a)

    47,461       571,431  

Delta Air Lines, Inc. (a)

    47,670       1,337,620  

Southwest Airlines Co. (a)

    43,598       1,344,562  

United Airlines Holdings, Inc. (a)

    24,557       798,839  
              4,421,441  

Apparel — 0.4%

NIKE, Inc. Class B

    93,345       7,758,837  

Ralph Lauren Corp.

    3,124       265,321  

Tapestry, Inc.

    18,890       537,043  

VF Corp.

    24,487       732,406  
              9,293,607  

Auto Manufacturers — 2.9%

Cummins, Inc.

    10,420       2,120,574  

 

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

  

Ford Motor Co.

    291,569     $ 3,265,573  

General Motors Co.

    107,823       3,460,040  

PACCAR, Inc.

    25,696       2,150,498  

Tesla, Inc. (a)

    196,586       52,144,437  
              63,141,122  

Auto Parts & Equipment — 0.1%

Aptiv PLC (a)

    20,046       1,567,798  

BorgWarner, Inc.

    17,846       560,364  
              2,128,162  

Distribution & Wholesale — 0.3%

Copart, Inc. (a)

    15,761       1,676,970  

Fastenal Co.

    42,561       1,959,508  

LKQ Corp.

    19,163       903,536  

Pool Corp.

    2,902       923,445  

W.W. Grainger, Inc.

    3,335       1,631,449  
              7,094,908  

Entertainment — 0.1%

Caesars Entertainment, Inc. (a)

    15,736       507,643  

Live Nation Entertainment, Inc. (a)

    10,370       788,535  
              1,296,178  

Home Builders — 0.2%

D.R. Horton, Inc.

    23,579       1,588,046  

Lennar Corp. Class A

    19,020       1,417,941  

NVR, Inc. (a)

    228       909,054  

PulteGroup, Inc.

    17,085       640,687  
              4,555,728  

Home Furnishing — 0.0%

Whirlpool Corp.

    3,945       531,825  

Housewares — 0.0%

Newell Brands, Inc.

    27,141       376,988  

Leisure Time — 0.1%

Carnival Corp. (a) (b)

    74,389       522,955  

Norwegian Cruise Line Holdings Ltd. (a)

    30,620       347,843  

Royal Caribbean Cruises Ltd. (a)

    16,142       611,782  
              1,482,580  

Lodging — 0.3%

Hilton Worldwide Holdings, Inc.

    20,241       2,441,469  

Las Vegas Sands Corp. (a)

    24,251       909,898  

Marriott International, Inc. Class A

    20,319       2,847,505  

MGM Resorts International

    23,917       710,813  

Wynn Resorts Ltd. (a)

    7,757       488,924  
              7,398,609  

Retail — 5.4%

Advance Auto Parts, Inc.

    4,573       714,943  

AutoZone, Inc. (a)

    1,438       3,080,095  

Bath & Body Works, Inc.

    17,089       557,101  

 

   

Number of
Shares

    

Value

  

Best Buy Co., Inc.

    14,690     $ 930,465  

CarMax, Inc. (a)

    11,634       768,077  

Chipotle Mexican Grill, Inc. (a)

    2,049       3,079,155  

Costco Wholesale Corp.

    32,704       15,445,118  

Darden Restaurants, Inc.

    8,998       1,136,627  

Dollar General Corp.

    16,756       4,019,094  

Dollar Tree, Inc. (a)

    15,581       2,120,574  

Domino’s Pizza, Inc.

    2,616       811,483  

Genuine Parts Co.

    10,437       1,558,453  

The Home Depot, Inc.

    75,878       20,937,775  

Lowe’s Cos., Inc.

    47,183       8,861,439  

McDonald’s Corp.

    54,332       12,536,566  

O’Reilly Automotive, Inc. (a)

    4,706       3,309,965  

Ross Stores, Inc.

    25,685       2,164,475  

Starbucks Corp.

    84,701       7,136,906  

Target Corp.

    34,225       5,078,648  

The TJX Cos., Inc.

    86,275       5,359,403  

Tractor Supply Co.

    8,155       1,515,852  

Ulta Beauty, Inc. (a)

    3,856       1,546,989  

Walgreens Boots Alliance, Inc.

    52,991       1,663,918  

Walmart, Inc.

    105,233       13,648,720  

Yum! Brands, Inc.

    21,048       2,238,244  
              120,220,085  

Toys, Games & Hobbies — 0.0%

Hasbro, Inc.

    9,628       649,120  
              222,590,353  

Consumer, Non-cyclical — 22.5%

Agriculture — 0.8%

Altria Group, Inc.

    133,044       5,372,317  

Archer-Daniels-Midland Co.

    41,343       3,326,044  

Philip Morris International, Inc.

    114,451       9,500,578  
              18,198,939  

Beverages — 1.9%

Brown-Forman Corp. Class B

    13,258       882,585  

The Coca-Cola Co.

    287,261       16,092,361  

Constellation Brands, Inc. Class A

    11,749       2,698,510  

Keurig Dr Pepper, Inc.

    62,644       2,243,908  

Molson Coors Beverage Co. Class B

    13,851       664,710  

Monster Beverage Corp. (a)

    28,379       2,467,838  

PepsiCo, Inc.

    101,813       16,621,990  
              41,671,902  

Biotechnology — 1.7%

Amgen, Inc.

    39,476       8,897,890  

Bio-Rad Laboratories, Inc. Class A (a)

    1,588       662,418  

Biogen, Inc. (a)

    10,704       2,857,968  

Corteva, Inc.

    52,998       3,028,836  

Gilead Sciences, Inc.

    92,585       5,711,569  

Illumina, Inc. (a)

    11,626       2,218,125  

 

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

  

Incyte Corp. (a)

    13,585     $ 905,304  

Moderna, Inc. (a)

    24,830       2,936,147  

Regeneron Pharmaceuticals, Inc. (a)

    7,911       5,449,651  

Vertex Pharmaceuticals, Inc. (a)

    18,921       5,478,386  
              38,146,294  

Commercial Services — 1.9%

Automatic Data Processing, Inc.

    30,722       6,949,009  

Cintas Corp.

    6,356       2,467,336  

CoStar Group, Inc. (a)

    29,183       2,032,596  

Equifax, Inc.

    9,047       1,550,927  

FleetCor Technologies, Inc. (a)

    5,523       972,987  

Gartner, Inc. (a)

    5,834       1,614,209  

Global Payments, Inc.

    20,437       2,208,218  

MarketAxess Holdings, Inc.

    2,772       616,742  

Moody’s Corp.

    11,655       2,833,447  

Nielsen Holdings PLC

    27,026       749,161  

PayPal Holdings, Inc. (a)

    85,225       7,335,316  

Quanta Services, Inc.

    10,446       1,330,716  

Robert Half International, Inc.

    8,143       622,939  

Rollins, Inc.

    16,887       585,641  

S&P Global, Inc.

    25,148       7,678,942  

United Rentals, Inc. (a)

    5,154       1,392,198  

Verisk Analytics, Inc.

    11,537       1,967,405  
              42,907,789  

Cosmetics & Personal Care — 1.4%

Colgate-Palmolive Co.

    61,376       4,311,664  

The Estee Lauder Cos., Inc. Class A

    17,118       3,695,776  

The Procter & Gamble Co.

    176,377       22,267,596  
              30,275,036  

Food — 1.2%

Campbell Soup Co.

    14,878       701,051  

Conagra Brands, Inc.

    35,780       1,167,501  

General Mills, Inc.

    43,824       3,357,357  

The Hershey Co.

    10,897       2,402,462  

Hormel Foods Corp.

    21,468       975,506  

The J.M. Smucker Co.

    7,804       1,072,348  

Kellogg Co.

    19,070       1,328,416  

The Kraft Heinz Co.

    58,695       1,957,478  

The Kroger Co.

    48,009       2,100,394  

Lamb Weston Holdings, Inc.

    10,608       820,847  

McCormick & Co., Inc.

    18,554       1,322,344  

Mondelez International, Inc. Class A

    100,928       5,533,882  

Sysco Corp.

    37,681       2,664,424  

Tyson Foods, Inc. Class A

    21,522       1,418,945  
              26,822,955  

Health Care – Products — 3.8%

Abbott Laboratories

    129,303       12,511,358  

ABIOMED, Inc. (a)

    3,356       824,435  

 

   

Number of
Shares

    

Value

  

Align Technology, Inc. (a)

    5,415     $ 1,121,501  

Baxter International, Inc.

    37,242       2,005,854  

Bio-Techne Corp.

    2,903       824,452  

Boston Scientific Corp. (a)

    105,707       4,094,032  

The Cooper Cos., Inc.

    3,648       962,707  

Danaher Corp.

    48,314       12,479,023  

Edwards Lifesciences Corp. (a)

    45,727       3,778,422  

Henry Schein, Inc. (a)

    10,144       667,171  

Hologic, Inc. (a)

    18,398       1,187,039  

IDEXX Laboratories, Inc. (a)

    6,136       1,999,109  

Intuitive Surgical, Inc. (a)

    26,373       4,943,355  

Medtronic PLC

    98,029       7,915,842  

PerkinElmer, Inc.

    9,328       1,122,438  

ResMed, Inc.

    10,814       2,360,696  

Steris PLC

    7,414       1,232,800  

Stryker Corp.

    24,830       5,029,068  

Teleflex, Inc.

    3,452       695,440  

Thermo Fisher Scientific, Inc.

    28,914       14,664,892  

Waters Corp. (a)

    4,389       1,182,967  

West Pharmaceutical Services, Inc.

    5,486       1,349,995  

Zimmer Biomet Holdings, Inc.

    15,465       1,616,866  
              84,569,462  

Health Care – Services — 2.8%

Catalent, Inc. (a)

    13,242       958,191  

Centene Corp. (a)

    42,159       3,280,392  

Charles River Laboratories International, Inc. (a)

    3,805       748,824  

DaVita, Inc. (a)

    4,074       337,205  

Elevance Health, Inc.

    17,731       8,054,129  

HCA Healthcare, Inc.

    15,876       2,917,850  

Humana, Inc.

    9,357       4,539,923  

IQVIA Holdings, Inc. (a)

    13,755       2,491,581  

Laboratory Corp. of America Holdings

    6,643       1,360,553  

Molina Healthcare, Inc. (a)

    4,275       1,410,066  

Quest Diagnostics, Inc.

    8,668       1,063,477  

UnitedHealth Group, Inc.

    69,060       34,878,062  

Universal Health Services, Inc. Class B

    4,903       432,347  
              62,472,600  

Household Products & Wares — 0.3%

Avery Dennison Corp.

    6,014       978,478  

Church & Dwight Co., Inc.

    17,934       1,281,205  

The Clorox Co.

    9,132       1,172,457  

Kimberly-Clark Corp.

    24,926       2,805,172  
              6,237,312  

Pharmaceuticals — 6.7%

AbbVie, Inc.

    130,503       17,514,808  

AmerisourceBergen Corp.

    11,453       1,549,934  

 

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

  

Becton Dickinson and Co.

    21,059     $ 4,692,577  

Bristol-Myers Squibb Co.

    157,607       11,204,282  

Cardinal Health, Inc.

    20,146       1,343,335  

Cigna Corp.

    22,506       6,244,740  

CVS Health Corp.

    96,887       9,240,113  

Dentsply Sirona, Inc.

    15,796       447,817  

DexCom, Inc. (a)

    29,035       2,338,479  

Eli Lilly & Co.

    58,217       18,824,467  

Johnson & Johnson

    194,042       31,698,701  

McKesson Corp.

    10,592       3,599,903  

Merck & Co., Inc.

    187,001       16,104,526  

Organon & Co.

    18,329       428,899  

Pfizer, Inc.

    414,306       18,130,031  

Viatris, Inc.

    89,558       763,034  

Zoetis, Inc.

    34,574       5,126,978  
              149,252,624  
              500,554,913  

Energy — 4.8%

Energy – Alternate Sources — 0.2%

Enphase Energy, Inc. (a)

    9,993       2,772,758  

SolarEdge Technologies, Inc. (a)

    4,111       951,532  
              3,724,290  

Oil & Gas — 4.0%

APA Corp.

    24,104       824,116  

Chevron Corp.

    132,945       19,100,208  

ConocoPhillips

    94,017       9,621,700  

Coterra Energy, Inc.

    58,714       1,533,610  

Devon Energy Corp.

    48,338       2,906,564  

Diamondback Energy, Inc.

    13,117       1,580,074  

EOG Resources, Inc.

    43,289       4,836,680  

EQT Corp.

    27,279       1,111,619  

Exxon Mobil Corp.

    307,700       26,865,287  

Hess Corp.

    20,480       2,232,115  

Marathon Oil Corp.

    50,009       1,129,203  

Marathon Petroleum Corp.

    36,776       3,652,960  

Occidental Petroleum Corp.

    55,023       3,381,163  

Phillips 66

    35,589       2,872,744  

Pioneer Natural Resources Co.

    17,622       3,815,692  

Valero Energy Corp.

    29,072       3,106,343  
              88,570,078  

Oil & Gas Services — 0.3%

Baker Hughes Co.

    74,772       1,567,221  

Halliburton Co.

    66,669       1,641,390  

Schlumberger NV

    104,562       3,753,776  
              6,962,387  

Pipelines — 0.3%

Kinder Morgan, Inc.

    146,076       2,430,705  

 

   

Number of
Shares

    

Value

  

ONEOK, Inc.

    32,977     $ 1,689,741  

The Williams Cos., Inc.

    90,074       2,578,819  
              6,699,265  
              105,956,020  

Financial — 14.9%

Banks — 4.6%

Bank of America Corp.

    516,075       15,585,465  

The Bank of New York Mellon Corp.

    54,241       2,089,363  

Citigroup, Inc.

    142,847       5,952,435  

Citizens Financial Group, Inc.

    36,731       1,262,077  

Comerica, Inc.

    9,664       687,110  

Fifth Third Bancorp

    50,774       1,622,737  

First Republic Bank

    13,453       1,756,289  

The Goldman Sachs Group, Inc.

    25,183       7,379,878  

Huntington Bancshares, Inc.

    106,850       1,408,283  

JP Morgan Chase & Co.

    216,577       22,632,297  

KeyCorp.

    68,697       1,100,526  

M&T Bank Corp.

    12,929       2,279,641  

Morgan Stanley

    98,845       7,809,744  

Northern Trust Corp.

    15,437       1,320,790  

The PNC Financial Services Group, Inc.

    30,373       4,538,334  

Regions Financial Corp.

    68,967       1,384,168  

Signature Bank

    4,649       701,999  

State Street Corp.

    27,140       1,650,383  

SVB Financial Group (a)

    4,354       1,461,986  

Truist Financial Corp.

    97,758       4,256,383  

US Bancorp

    99,815       4,024,541  

Wells Fargo & Co.

    280,024       11,262,565  

Zions Bancorp NA

    11,051       562,054  
              102,729,048  

Diversified Financial Services — 3.7%

American Express Co.

    44,284       5,974,354  

Ameriprise Financial, Inc.

    7,979       2,010,309  

BlackRock, Inc.

    11,131       6,125,167  

Capital One Financial Corp.

    28,316       2,609,886  

Cboe Global Markets, Inc.

    7,886       925,580  

The Charles Schwab Corp.

    112,701       8,099,821  

CME Group, Inc.

    26,458       4,686,505  

Discover Financial Services

    20,138       1,830,947  

Franklin Resources, Inc.

    20,802       447,659  

Intercontinental Exchange, Inc.

    41,296       3,731,094  

Invesco Ltd.

    33,387       457,402  

Mastercard, Inc. Class A

    62,993       17,911,430  

Nasdaq, Inc.

    24,977       1,415,696  

Raymond James Financial, Inc.

    14,369       1,419,945  

Synchrony Financial

    35,508       1,000,970  

T. Rowe Price Group, Inc.

    16,588       1,741,906  

 

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

 

128

 

 

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

 

   

Number of
Shares

    

Value

  

Visa, Inc. Class A

    120,713     $ 21,444,664  
              81,833,335  

Insurance — 3.8%

Aflac, Inc.

    42,395       2,382,599  

The Allstate Corp.

    19,940       2,483,128  

American International Group, Inc.

    56,038       2,660,684  

Aon PLC Class A

    15,599       4,178,504  

Arthur J Gallagher & Co.

    15,555       2,663,327  

Assurant, Inc.

    3,984       578,756  

Berkshire Hathaway, Inc. Class B (a)

    133,260       35,583,085  

Brown & Brown, Inc.

    17,384       1,051,384  

Chubb Ltd.

    30,830       5,607,361  

Cincinnati Financial Corp.

    11,725       1,050,208  

Everest Re Group Ltd.

    2,891       758,714  

Globe Life, Inc.

    6,790       676,963  

The Hartford Financial Services Group, Inc.

    23,808       1,474,668  

Lincoln National Corp.

    11,351       498,423  

Loews Corp.

    14,730       734,143  

Marsh & McLennan Cos., Inc.

    36,831       5,498,500  

MetLife, Inc.

    49,435       3,004,659  

Principal Financial Group, Inc.

    17,045       1,229,797  

The Progressive Corp.

    43,174       5,017,251  

Prudential Financial, Inc.

    27,436       2,353,460  

The Travelers Cos., Inc.

    17,507       2,682,072  

W.R. Berkley Corp.

    15,019       969,927  

Willis Towers Watson PLC

    8,110       1,629,623  
              84,767,236  

Real Estate — 0.1%

CBRE Group, Inc. Class A (a)

    23,698       1,599,852  

Real Estate Investment Trusts (REITS) — 2.7%

Alexandria Real Estate Equities, Inc.

    10,996       1,541,529  

American Tower Corp.

    34,368       7,378,810  

AvalonBay Communities, Inc.

    10,340       1,904,525  

Boston Properties, Inc.

    10,523       788,909  

Camden Property Trust

    7,841       936,607  

Crown Castle, Inc.

    31,960       4,619,818  

Digital Realty Trust, Inc.

    21,282       2,110,749  

Duke Realty Corp.

    28,439       1,370,760  

Equinix, Inc.

    6,722       3,823,742  

Equity Residential

    24,897       1,673,576  

Essex Property Trust, Inc.

    4,822       1,168,033  

Extra Space Storage, Inc.

    9,805       1,693,422  

Federal Realty Investment Trust

    5,346       481,782  

Healthpeak Properties, Inc.

    39,825       912,789  

Host Hotels & Resorts, Inc.

    52,813       838,670  

Invitation Homes, Inc.

    42,647       1,440,189  

Iron Mountain, Inc.

    21,498       945,267  

 

   

Number of
Shares

    

Value

  

Kimco Realty Corp.

    45,915     $ 845,295  

Mid-America Apartment Communities, Inc.

    8,521       1,321,351  

Prologis, Inc.

    54,642       5,551,627  

Public Storage

    11,654       3,412,408  

Realty Income Corp.

    45,442       2,644,724  

Regency Centers Corp.

    11,440       616,044  

SBA Communications Corp.

    7,978       2,270,938  

Simon Property Group, Inc.

    24,040       2,157,590  

UDR, Inc.

    22,305       930,342  

Ventas, Inc.

    29,475       1,184,011  

VICI Properties, Inc.

    71,250       2,126,813  

Vornado Realty Trust

    11,626       269,258  

Welltower, Inc.

    34,175       2,198,136  

Weyerhaeuser Co.

    55,055       1,572,371  
              60,730,085  
              331,659,556  

Industrial — 7.7%

Aerospace & Defense — 1.6%

The Boeing Co. (a)

    41,199       4,988,375  

General Dynamics Corp.

    16,582       3,518,203  

Howmet Aerospace, Inc.

    27,244       842,657  

L3 Harris Technologies, Inc.

    14,108       2,932,066  

Lockheed Martin Corp.

    17,413       6,726,468  

Northrop Grumman Corp.

    10,732       5,047,474  

Raytheon Technologies Corp.

    108,977       8,920,857  

Teledyne Technologies, Inc. (a)

    3,453       1,165,284  

TransDigm Group, Inc.

    3,792       1,990,117  
              36,131,501  

Building Materials — 0.4%

Carrier Global Corp.

    61,994       2,204,507  

Fortune Brands Home & Security, Inc.

    9,781       525,142  

Johnson Controls International PLC

    50,773       2,499,047  

Martin Marietta Materials, Inc.

    4,637       1,493,531  

Masco Corp.

    16,540       772,252  

Mohawk Industries, Inc. (a)

    3,820       348,346  

Vulcan Materials Co.

    9,842       1,552,182  
              9,395,007  

Electrical Components & Equipment — 0.3%

AMETEK, Inc.

    17,025       1,930,805  

Emerson Electric Co.

    43,582       3,191,074  

Generac Holdings, Inc. (a)

    4,704       837,971  
              5,959,850  

Electronics — 1.1%

Agilent Technologies, Inc.

    22,023       2,676,896  

Allegion PLC

    6,580       590,094  

Amphenol Corp. Class A

    44,136       2,955,346  

Fortive Corp.

    26,152       1,524,662  

 

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

 

129

 

 

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

 

   

Number of
Shares

    

Value

  

Garmin Ltd.

    11,242     $ 902,845  

Honeywell International, Inc.

    49,713       8,300,580  

Keysight Technologies, Inc. (a)

    13,204       2,077,781  

Mettler-Toledo International, Inc. (a)

    1,657       1,796,387  

TE Connectivity Ltd.

    23,541       2,597,985  

Trimble, Inc. (a)

    18,124       983,589  
              24,406,165  

Engineering & Construction — 0.0%

Jacobs Solutions, Inc.

    9,343       1,013,622  

Environmental Controls — 0.3%

Pentair PLC

    12,006       487,804  

Republic Services, Inc.

    15,182       2,065,359  

Waste Management, Inc.

    27,798       4,453,518  
              7,006,681  

Hand & Machine Tools — 0.1%

Snap-on, Inc.

    3,974       800,165  

Stanley Black & Decker, Inc.

    10,867       817,307  
              1,617,472  

Machinery – Construction & Mining — 0.3%

Caterpillar, Inc.

    38,962       6,392,885  

Machinery – Diversified — 0.8%

Deere & Co.

    20,528       6,854,094  

Dover Corp.

    10,686       1,245,774  

IDEX Corp.

    5,494       1,097,976  

Ingersoll Rand, Inc.

    29,919       1,294,296  

Nordson Corp.

    4,006       850,354  

Otis Worldwide Corp.

    31,218       1,991,708  

Rockwell Automation, Inc.

    8,500       1,828,435  

Westinghouse Air Brake Technologies Corp.

    13,430       1,092,530  

Xylem, Inc.

    13,431       1,173,332  
              17,428,499  

Miscellaneous - Manufacturing — 1.1%

3M Co.

    40,786       4,506,853  

A.O. Smith Corp.

    9,584       465,591  

Eaton Corp. PLC

    29,457       3,928,385  

General Electric Co.

    80,884       5,007,528  

Illinois Tool Works, Inc.

    20,769       3,751,920  

Parker-Hannifin Corp.

    9,475       2,295,887  

Textron, Inc.

    15,823       921,848  

Trane Technologies PLC

    17,070       2,471,907  
              23,349,919  

Packaging & Containers — 0.2%

Amcor PLC

    110,715       1,187,972  

Ball Corp.

    23,180       1,120,057  

Packaging Corp. of America

    6,872       771,657  

Sealed Air Corp.

    10,964       488,008  

 

   

Number of
Shares

    

Value

  

WestRock Co.

    18,379     $ 567,727  
              4,135,421  

Shipbuilding — 0.0%

Huntington Ingalls Industries, Inc.

    2,945       652,318  

Transportation — 1.5%

C.H. Robinson Worldwide, Inc.

    9,140       880,273  

CSX Corp.

    158,095       4,211,651  

Expeditors International of Washington, Inc.

    12,071       1,065,990  

FedEx Corp.

    17,644       2,619,605  

J.B. Hunt Transport Services, Inc.

    6,211       971,525  

Norfolk Southern Corp.

    17,338       3,634,912  

Old Dominion Freight Line, Inc.

    6,705       1,668,003  

Union Pacific Corp.

    46,111       8,983,345  

United Parcel Service, Inc. Class B

    54,038       8,729,298  
              32,764,602  
              170,253,942  

Technology — 22.6%

Computers — 8.4%

Accenture PLC Class A

    46,673       12,008,963  

Apple, Inc.

    1,115,110       154,108,202  

Cognizant Technology Solutions Corp. Class A

    38,110       2,189,038  

DXC Technology Co. (a)

    16,950       414,936  

EPAM Systems, Inc. (a)

    4,230       1,532,064  

Fortinet, Inc. (a)

    48,299       2,372,930  

Hewlett Packard Enterprise Co.

    96,463       1,155,627  

HP, Inc.

    67,022       1,670,188  

International Business Machines Corp.

    66,674       7,921,538  

Leidos Holdings, Inc.

    10,084       882,047  

NetApp, Inc.

    16,076       994,300  

Seagate Technology Holdings PLC

    14,594       776,839  

Western Digital Corp. (a)

    23,127       752,784  
              186,779,456  

Office & Business Equipment — 0.0%

Zebra Technologies Corp. Class A (a)

    3,876       1,015,551  

Semiconductors — 4.7%

Advanced Micro Devices, Inc. (a)

    119,236       7,554,793  

Analog Devices, Inc.

    38,458       5,358,738  

Applied Materials, Inc.

    64,180       5,258,268  

Broadcom, Inc.

    29,806       13,234,162  

Intel Corp.

    303,035       7,809,212  

KLA Corp.

    10,461       3,165,813  

Lam Research Corp.

    10,105       3,698,430  

Microchip Technology, Inc.

    40,677       2,482,517  

Micron Technology, Inc.

    81,403       4,078,290  

Monolithic Power Systems, Inc.

    3,243       1,178,506  

NVIDIA Corp.

    184,842       22,437,970  

 

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

 

130

 

 

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

 

   

Number of
Shares

    

Value

  

NXP Semiconductor NV

    19,426     $ 2,865,529  

ON Semiconductor Corp. (a)

    32,139       2,003,224  

Qorvo, Inc. (a)

    7,556       600,022  

QUALCOMM, Inc.

    82,895       9,365,477  

Skyworks Solutions, Inc.

    11,875       1,012,581  

Teradyne, Inc.

    11,534       866,780  

Texas Instruments, Inc.

    67,446       10,439,292  
              103,409,604  

Software — 9.5%

Activision Blizzard, Inc.

    52,536       3,905,526  

Adobe, Inc. (a)

    34,544       9,506,509  

Akamai Technologies, Inc. (a)

    11,622       933,479  

ANSYS, Inc. (a)

    6,470       1,434,399  

Autodesk, Inc. (a)

    15,973       2,983,756  

Broadridge Financial Solutions, Inc.

    8,664       1,250,389  

Cadence Design Systems, Inc. (a)

    20,198       3,300,959  

Ceridian HCM Holding, Inc. (a)

    11,217       626,806  

Citrix Systems, Inc. (c)

    9,075       942,893  

Electronic Arts, Inc.

    19,481       2,254,147  

Fidelity National Information Services, Inc.

    44,857       3,389,844  

Fiserv, Inc. (a)

    47,192       4,415,755  

Intuit, Inc.

    20,804       8,057,805  

Jack Henry & Associates, Inc.

    5,408       985,716  

Microsoft Corp.

    550,564       128,226,356  

MSCI, Inc.

    5,941       2,505,854  

Oracle Corp.

    112,121       6,847,229  

Paychex, Inc.

    23,762       2,666,334  

Paycom Software, Inc. (a)

    3,581       1,181,694  

PTC, Inc. (a)

    7,816       817,554  

Roper Technologies, Inc.

    7,825       2,814,183  

Salesforce, Inc. (a)

    73,439       10,563,466  

ServiceNow, Inc. (a)

    14,902       5,627,144  

Synopsys, Inc. (a)

    11,326       3,460,206  

Take-Two Interactive Software, Inc. (a)

    11,689       1,274,101  

Tyler Technologies, Inc. (a)

    3,099       1,076,903  
              211,049,007  
              502,253,618  

Utilities — 3.2%

Electric — 3.0%

The AES Corp.

    49,449       1,117,547  

Alliant Energy Corp.

    18,565       983,759  

Ameren Corp.

    19,044       1,533,994  

American Electric Power Co., Inc.

    37,918       3,278,011  

CenterPoint Energy, Inc.

    46,745       1,317,274  

CMS Energy Corp.

    21,361       1,244,065  

Consolidated Edison, Inc.

    26,195       2,246,483  

 

   

Number of
Shares

    

Value

  

Constellation Energy Corp.

    24,183     $ 2,011,784  

Dominion Energy, Inc.

    61,389       4,242,594  

DTE Energy Co.

    14,332       1,648,897  

Duke Energy Corp.

    56,888       5,291,722  

Edison International

    28,183       1,594,594  

Entergy Corp.

    15,015       1,510,959  

Evergy, Inc.

    16,853       1,001,068  

Eversource Energy

    25,506       1,988,448  

Exelon Corp.

    73,213       2,742,559  

FirstEnergy Corp.

    39,857       1,474,709  

NextEra Energy, Inc.

    145,105       11,377,683  

NRG Energy, Inc.

    17,236       659,622  

PG&E Corp. (a)

    118,773       1,484,663  

Pinnacle West Capital Corp.

    8,424       543,432  

PPL Corp.

    54,422       1,379,598  

Public Service Enterprise Group, Inc.

    36,945       2,077,417  

Sempra Energy

    23,266       3,488,504  

The Southern Co.

    78,433       5,333,444  

WEC Energy Group, Inc.

    23,338       2,087,117  

Xcel Energy, Inc.

    40,309       2,579,776  
              66,239,723  

Gas — 0.1%

Atmos Energy Corp.

    10,292       1,048,240  

NiSource, Inc.

    29,702       748,194  
              1,796,434  

Water — 0.1%

American Water Works Co., Inc.

    13,431       1,748,179  
              69,784,336  
                 

TOTAL COMMON STOCK (Cost $1,441,265,714)

            2,225,965,672  
                 

TOTAL EQUITIES (Cost $1,441,265,714)

            2,225,965,672  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $1,441,265,714)

            2,225,965,672  
                 

 

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

 

131

 

 

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

 

   

Principal
Amount

    

Value

  

SHORT-TERM INVESTMENTS — 0.8%

Repurchase Agreement — 0.5%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (d)

  $ 11,486,546     $ 11,486,546  

U.S. Treasury Bill — 0.3%

U.S. Treasury Bill

                

1.859% 11/25/22 (e) (f)

    7,365,000       7,334,468  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $18,831,067)

            18,821,014  
                 

TOTAL INVESTMENTS — 101.0% (Cost $1,460,096,781) (g)

            2,244,786,686  
                 

Other Assets/(Liabilities) — (1.0)%

            (22,553,589 )
                 

NET ASSETS — 100.0%

          $ 2,222,233,097  

 

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, 2022, was $875,955 or 0.04% of net assets. The Fund received $897,606 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $942,893 or 0.04% of net assets.

(d)

Maturity value of $11,487,340. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $11,716,341.

(e)

All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2).

(f)

The rate shown represents yield-to-maturity.

(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 500 E Mini Index

     12/16/22       101     $ 20,346,467     $ (2,158,892 )

 

 

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

 

132

 

 

MassMutual Equity Opportunities Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 98.4%

COMMON STOCK — 97.6%

Basic Materials — 7.5%

Chemicals — 7.0%

CF Industries Holdings, Inc.

    52,300     $ 5,033,875  

Ecolab, Inc.

    118,307       17,085,897  

Linde PLC

    61,867       16,678,724  
              38,798,496  

Forest Products & Paper — 0.5%

International Paper Co.

    97,600       3,093,920  
              41,892,416  

Communications — 1.3%

Media — 1.3%

Comcast Corp. Class A

    74,200       2,176,286  

News Corp. Class A

    177,400       2,680,514  

The Walt Disney Co. (a)

    28,300       2,669,539  
              7,526,339  

Consumer, Cyclical — 10.9%

Apparel — 3.3%

NIKE, Inc. Class B

    216,548       17,999,470  

Lodging — 0.4%

Las Vegas Sands Corp. (a)

    62,400       2,341,248  

Retail — 7.2%

McDonald’s Corp.

    65,917       15,209,688  

The TJX Cos., Inc.

    400,732       24,893,472  
              40,103,160  
              60,443,878  

Consumer, Non-cyclical — 34.1%

Agriculture — 0.5%

Philip Morris International, Inc.

    34,900       2,897,049  

Beverages — 4.9%

The Coca-Cola Co.

    144,025       8,068,280  

PepsiCo, Inc.

    117,029       19,106,155  
              27,174,435  

Cosmetics & Personal Care — 6.0%

Colgate-Palmolive Co.

    254,343       17,867,596  

The Procter & Gamble Co.

    125,375       15,828,594  
              33,696,190  

Food — 1.0%

Conagra Brands, Inc.

    106,800       3,484,884  

Tyson Foods, Inc. Class A

    33,900       2,235,027  
              5,719,911  

Health Care – Products — 10.6%

Baxter International, Inc.

    172,687       9,300,922  

Danaher Corp.

    75,534       19,509,677  

Medtronic PLC

    174,467       14,088,210  

 

   

Number of
Shares

    

Value

  

Stryker Corp.

    78,413     $ 15,881,769  
              58,780,578  

Health Care – Services — 5.2%

Elevance Health, Inc.

    14,650       6,654,616  

UnitedHealth Group, Inc.

    43,932       22,187,417  
              28,842,033  

Household Products & Wares — 0.6%

Kimberly-Clark Corp.

    30,200       3,398,708  

Pharmaceuticals — 5.3%

AbbVie, Inc.

    26,600       3,569,986  

Becton Dickinson and Co.

    21,100       4,701,713  

CVS Health Corp.

    27,600       2,632,212  

Johnson & Johnson

    86,806       14,180,628  

Pfizer, Inc.

    31,800       1,391,568  

Sanofi ADR

    74,100       2,817,282  
              29,293,389  
              189,802,293  

Energy — 2.4%

Oil & Gas — 1.8%

EOG Resources, Inc.

    18,600       2,078,178  

TotalEnergies SE

    138,800       6,533,305  

TotalEnergies SE Sponsored ADR

    37,900       1,763,108  
              10,374,591  

Pipelines — 0.6%

TC Energy Corp.

    80,400       3,239,316  
              13,613,907  

Financial — 19.9%

Banks — 3.3%

Fifth Third Bancorp

    75,100       2,400,196  

The Goldman Sachs Group, Inc.

    10,400       3,047,720  

Huntington Bancshares, Inc.

    247,600       3,263,368  

State Street Corp.

    33,000       2,006,730  

Wells Fargo & Co.

    190,000       7,641,800  
              18,359,814  

Diversified Financial Services — 5.5%

American Express Co.

    93,372       12,596,817  

Visa, Inc. Class A

    101,856       18,094,718  
              30,691,535  

Insurance — 8.6%

American International Group, Inc.

    101,000       4,795,480  

Chubb Ltd.

    120,000       21,825,600  

Equitable Holdings, Inc.

    109,800       2,893,230  

Marsh & McLennan Cos., Inc.

    121,758       18,177,252  
              47,691,562  

Real Estate Investment Trusts (REITS) — 2.5%

American Tower Corp.

    33,223       7,132,978  

 

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

 

133

 

 

MassMutual Equity Opportunities Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Equity Residential

    57,900     $ 3,892,038  

Weyerhaeuser Co.

    102,400       2,924,544  
              13,949,560  
              110,692,471  

Industrial — 12.4%

Aerospace & Defense — 4.9%

The Boeing Co. (a)

    11,700       1,416,636  

L3 Harris Technologies, Inc.

    21,900       4,551,477  

Lockheed Martin Corp.

    10,551       4,075,746  

Northrop Grumman Corp.

    36,337       17,090,018  
              27,133,877  

Electronics — 3.3%

Honeywell International, Inc.

    111,039       18,540,181  

Miscellaneous - Manufacturing — 1.2%

General Electric Co.

    107,200       6,636,752  

Transportation — 3.0%

Union Pacific Corp.

    59,482       11,588,283  

United Parcel Service, Inc. Class B

    30,700       4,959,278  
              16,547,561  
              68,858,371  

Technology — 6.6%

Computers — 2.5%

Accenture PLC Class A

    54,967       14,143,009  

Semiconductors — 1.1%

QUALCOMM, Inc.

    51,700       5,841,066  

Software — 3.0%

Microsoft Corp.

    71,129       16,565,944  
              36,550,019  

Utilities — 2.5%

Electric — 2.5%

Sempra Energy

    43,800       6,567,372  

The Southern Co.

    107,200       7,289,600  
              13,856,972  
                 

TOTAL COMMON STOCK (Cost $521,725,154)

            543,236,666  
                 

PREFERRED STOCK — 0.8%

Consumer, Cyclical — 0.7%

Auto Manufacturers — 0.7%

Dr Ing hc F Porsche AG (a)

     14,292       1,155,567  

Volkswagen AG 6.014%

    19,400       2,396,266  
              3,551,833  

 

   

Number of
Shares

    

Value

  

Consumer, Non-cyclical — 0.1%

Pharmaceuticals — 0.1%

Becton Dickinson and Co. Convertible 6.000%

    14,700     $ 692,958  
                 

TOTAL PREFERRED STOCK (Cost $5,980,277)

            4,244,791  
                 

TOTAL EQUITIES (Cost $527,705,431)

            547,481,457  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $527,705,431)

            547,481,457  
 

 

        

SHORT-TERM INVESTMENTS — 1.6%

Mutual Fund — 0.0%

T. Rowe Price Government Reserve Investment Fund

    158       158  
   

Principal
Amount

          

Repurchase Agreement — 1.6%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (b)

  $ 9,104,118       9,104,118  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $9,104,276)

            9,104,276  
                 

TOTAL INVESTMENTS — 100.0% (Cost $536,809,707) (c)

            556,585,733  
                 

Other Assets/(Liabilities) — 0.0%

            253,025  
                 

NET ASSETS — 100.0%

          $ 556,838,758  

 

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 $9,104,748. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $9,286,310.

(c)

See Note 6 for aggregate cost for federal tax purposes.

 

 

 

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

 

134

 

 

MassMutual Equity Opportunities Fund — Portfolio of Investments (Continued)

 

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

 

United States

    83.2 %

Ireland

    8.1 %

Switzerland

    3.9 %

France

    2.0 %

Germany

    0.6 %

Canada

    0.6 %

Total Long-Term Investments

    98.4 %

Short-Term Investments and Other Assets and Liabilities

    1.6 %

Net Assets

    100.0 %

 

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

 

135

 

 

MassMutual Fundamental Growth Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 98.9%

COMMON STOCK — 98.9%

Basic Materials — 0.6%

Chemicals — 0.6%

Celanese Corp.

    1,790     $ 161,709  

Communications — 10.2%

Internet — 8.7%

CDW Corp.

    4,314       673,329  

Etsy, Inc. (a)

    5,620       562,731  

Match Group, Inc. (a)

    8,378       400,049  

Palo Alto Networks, Inc. (a)

    3,753       614,704  
              2,250,813  

Telecommunications — 1.5%

Ciena Corp. (a)

    3,990       161,315  

Nice Ltd. Sponsored ADR (a) (b)

    1,270       239,065  
              400,380  
              2,651,193  

Consumer, Cyclical — 16.5%

Apparel — 0.8%

Tapestry, Inc.

    7,110       202,137  

Auto Parts & Equipment — 0.5%

Aptiv PLC (a)

    1,740       136,085  

Distribution & Wholesale — 2.5%

Copart, Inc. (a)

    2,530       269,192  

WESCO International, Inc. (a)

    3,250       387,985  
              657,177  

Entertainment — 1.5%

Live Nation Entertainment, Inc. (a)

    2,910       221,276  

Vail Resorts, Inc.

    810       174,669  
              395,945  

Lodging — 3.3%

Hilton Worldwide Holdings, Inc.

    7,150       862,433  

Retail — 7.9%

Chipotle Mexican Grill, Inc. (a)

    220       330,608  

Freshpet, Inc. (a) (b)

    7,591       380,233  

Lululemon Athletica, Inc. (a)

    2,643       738,877  

Wingstop, Inc.

    4,688       587,969  
              2,037,687  
              4,291,464  

Consumer, Non-cyclical — 25.8%

Biotechnology — 2.4%

Sarepta Therapeutics, Inc. (a)

    1,180       130,437  

Seagen, Inc. (a)

    3,535       483,694  
              614,131  

Commercial Services — 9.7%

CoStar Group, Inc. (a)

    2,910       202,681  

 

   

Number of
Shares

    

Value

  

FTI Consulting, Inc. (a)

    850     $ 140,854  

Gartner, Inc. (a)

    3,439       951,537  

Global Payments, Inc.

    2,290       247,434  

Shift4 Payments, Inc. Class A (a)

    11,507       513,327  

TransUnion

    7,838       466,283  
              2,522,116  

Health Care – Products — 6.1%

Align Technology, Inc. (a)

    1,575       326,198  

Avantor, Inc. (a)

    8,590       168,364  

The Cooper Cos., Inc.

    755       199,245  

IDEXX Laboratories, Inc. (a)

    773       251,843  

Insulet Corp. (a)

    750       172,050  

Omnicell, Inc. (a)

    5,214       453,775  
              1,571,475  

Health Care – Services — 5.1%

ICON PLC (a)

    6,235       1,145,868  

Quest Diagnostics, Inc.

    1,550       190,170  
              1,336,038  

Pharmaceuticals — 2.5%

Ascendis Pharma A/S ADR (a)

    2,780       287,063  

DexCom, Inc. (a)

    4,580       368,873  
              655,936  
              6,699,696  

Energy — 2.1%

Oil & Gas — 1.5%

Devon Energy Corp.

    6,560       394,453  

Pipelines — 0.6%

Cheniere Energy, Inc.

    828       137,373  
              531,826  

Financial — 9.4%

Banks — 0.8%

First Republic Bank

    1,570       204,964  

Diversified Financial Services — 3.8%

Hamilton Lane, Inc. Class A

    9,076       541,020  

LPL Financial Holdings, Inc.

    1,280       279,655  

Tradeweb Markets, Inc. Class A

    3,050       172,081  
              992,756  

Insurance — 1.0%

Arthur J Gallagher & Co.

    1,460       249,981  

Private Equity — 2.1%

Ares Management Corp. Class A

    8,800       545,160  

Real Estate Investment Trusts (REITS) — 1.7%

Essex Property Trust, Inc.

    1,190       288,254  

Lamar Advertising Co. Class A

    2,040       168,279  
              456,533  
              2,449,394  

 

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

 

136

 

 

MassMutual Fundamental Growth Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Industrial — 12.3%

Aerospace & Defense — 3.8%

Hexcel Corp.

    9,324     $ 482,237  

Teledyne Technologies, Inc. (a)

    615       207,544  

TransDigm Group, Inc.

    564       295,999  
              985,780  

Electrical Components & Equipment — 0.9%

AMETEK, Inc.

    2,050       232,490  

Electronics — 2.8%

Agilent Technologies, Inc.

    6,020       731,731  

Environmental Controls — 0.8%

Waste Connections, Inc.

    1,660       224,316  

Machinery – Construction & Mining — 2.0%

BWX Technologies, Inc.

    10,206       514,076  

Machinery – Diversified — 2.0%

IDEX Corp.

    1,150       229,828  

Rockwell Automation, Inc.

    1,355       291,474  
              521,302  
              3,209,695  

Technology — 22.0%

Computers — 5.8%

Fortinet, Inc. (a)

    8,700       427,431  

Genpact Ltd.

    3,630       158,885  

NetApp, Inc.

    3,450       213,383  

Varonis Systems, Inc. (a)

    16,737       443,865  

Zscaler, Inc. (a)

    1,640       269,567  
              1,513,131  

Semiconductors — 3.8%

Marvell Technology, Inc.

    4,640       199,102  

Microchip Technology, Inc.

    4,320       263,650  

ON Semiconductor Corp. (a)

    4,474       278,864  

Synaptics, Inc. (a)

    2,575       254,951  
              996,567  

Software — 12.4%

Ceridian HCM Holding, Inc. (a)

    15,292       854,517  

Electronic Arts, Inc.

    4,968       574,847  

HubSpot, Inc. (a)

    539       145,595  

Lightspeed Commerce, Inc. (a) (b)

    7,100       124,818  

MongoDB, Inc. (a)

    2,467       489,847  

MSCI, Inc.

    625       263,619  

Splunk, Inc. (a)

    130       9,776  

 

   

Number of
Shares

    

Value

  

ZoomInfo Technologies, Inc. (a)

    17,980     $ 749,047  
              3,212,066  
              5,721,764  
                 

TOTAL COMMON STOCK (Cost $31,181,141)

            25,716,741  
                 

TOTAL EQUITIES (Cost $31,181,141)

            25,716,741  
                 

MUTUAL FUNDS — 0.4%

Diversified Financial Services — 0.4%

State Street Navigator Securities Lending Government Money Market Portfolio (c)

    94,068       94,068  
                 

TOTAL MUTUAL FUNDS (Cost $94,068)

            94,068  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $31,275,209)

            25,810,809  
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 1.0%

Repurchase Agreement — 1.0%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (d)

  $ 256,360       256,360  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $256,360)

            256,360  
                 

TOTAL INVESTMENTS — 100.3% (Cost $31,531,569) (e)

            26,067,169  
                 

Other Assets/(Liabilities) — (0.3)%

            (65,528 )
                 

NET ASSETS — 100.0%

          $ 26,001,641  

 

Abbreviation Legend

ADR

American Depositary Receipt

 

 

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

 

137

 

 

MassMutual Fundamental Growth Fund — Portfolio of Investments (Continued)

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $637,254 or 2.45% of net assets. The Fund received $559,462 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

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

(d)

Maturity value of $256,377. Collateralized by U.S. Government Agency obligations with rates ranging from 0.000% - 3.500%, maturity dates ranging from 3/30/23 - 9/15/25, and an aggregate market value, including accrued interest, of $261,602.

(e)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

138

 

 

MassMutual Blue Chip Growth Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 99.5%

COMMON STOCK — 99.4%

Basic Materials — 0.5%

Chemicals — 0.5%

Linde PLC

    24,403     $ 6,578,806  

The Sherwin-Williams Co.

    27,032       5,534,801  
              12,113,607  

Communications — 29.0%

Internet — 26.1%

Alibaba Group Holding Ltd. Sponsored ADR (a)

    177,882       14,228,781  

Alphabet, Inc. Class A (a)

    716,367       68,520,503  

Alphabet, Inc. Class C (a)

    1,731,058       166,441,227  

Amazon.com, Inc. (a)

    1,983,827       224,172,452  

Booking Holdings, Inc. (a)

    4,633       7,612,992  

DoorDash, Inc., Class A (a)

    60,019       2,967,940  

Meta Platforms, Inc. Class A (a)

    659,173       89,436,593  

Netflix, Inc. (a)

    225,441       53,077,829  

Opendoor Technologies, Inc. (a)

    335,690       1,043,996  

Sea Ltd. ADR (a) (b)

    170,153       9,537,076  

Shopify, Inc. Class A (a)

    713,379       19,218,430  

Spotify Technology SA (a)

    21,355       1,842,936  

Tencent Holdings Ltd.

    142,100       4,799,001  
              662,899,756  

Media — 2.6%

FactSet Research Systems, Inc.

    62,290       24,922,852  

The Walt Disney Co. (a)

    430,076       40,569,069  
              65,491,921  

Telecommunications — 0.3%

T-Mobile US, Inc. (a)

    51,897       6,963,020  
              735,354,697  

Consumer, Cyclical — 9.4%

Apparel — 0.4%

NIKE, Inc. Class B

    109,534       9,104,466  

Auto Manufacturers — 4.6%

Tesla, Inc. (a)

    436,616       115,812,394  

Retail — 4.4%

Carvana Co. (a) (b)

    125,871       2,555,181  

Chipotle Mexican Grill, Inc. (a)

    9,673       14,536,197  

Dollar General Corp.

    63,524       15,236,867  

Lululemon Athletica, Inc. (a)

    32,029       8,954,027  

Ross Stores, Inc.

    146,672       12,360,049  

Starbucks Corp.

    350,838       29,561,610  

The TJX Cos., Inc.

    52,257       3,246,205  

Yum China Holdings, Inc.

    179,829       8,511,307  

 

   

Number of
Shares

    

Value

  

Yum! Brands, Inc.

    164,896     $ 17,535,041  
              112,496,484  
              237,413,344  

Consumer, Non-cyclical — 19.9%

Beverages — 1.9%

Monster Beverage Corp. (a)

    548,311       47,681,125  

Biotechnology — 4.2%

Illumina, Inc. (a)

    125,001       23,848,941  

Regeneron Pharmaceuticals, Inc. (a)

    55,645       38,332,171  

Vertex Pharmaceuticals, Inc. (a)

    150,181       43,483,407  
              105,664,519  

Commercial Services — 2.4%

Adyen NV Sponsored ADR (a)

    169,585       2,123,204  

Affirm Holdings, Inc. (a) (b)

    71,534       1,341,978  

Ant International Co. Ltd., Class C (Acquired 6/07/18, Cost $3,358,253) (a) (c) (d) (e)

    881,113       1,735,793  

Block, Inc. (a)

    311,892       17,150,941  

Cintas Corp.

    6,206       2,409,107  

PayPal Holdings, Inc. (a)

    284,139       24,455,844  

S&P Global, Inc.

    28,305       8,642,932  

TransUnion

    32,791       1,950,736  
              59,810,535  

Health Care – Products — 3.2%

Align Technology, Inc. (a)

    8,665       1,794,608  

Danaher Corp.

    79,933       20,645,895  

Intuitive Surgical, Inc. (a)

    181,067       33,939,198  

Stryker Corp.

    60,068       12,166,173  

Teleflex, Inc.

    12,711       2,560,758  

Thermo Fisher Scientific, Inc.

    21,968       11,141,950  
              82,248,582  

Health Care – Services — 3.1%

Humana, Inc.

    28,044       13,606,668  

UnitedHealth Group, Inc.

    128,093       64,692,089  
              78,298,757  

Pharmaceuticals — 5.1%

AstraZeneca PLC Sponsored ADR

    80,602       4,420,214  

Eli Lilly & Co.

    96,547       31,218,472  

Novartis AG Sponsored ADR

    511,996       38,916,816  

Novo Nordisk A/S Sponsored ADR

    167,150       16,653,154  

Roche Holding AG Sponsored ADR

    745,332       30,275,386  

Zoetis, Inc.

    59,341       8,799,677  
              130,283,719  
              503,987,237  

Financial — 8.1%

Banks — 0.6%

The Goldman Sachs Group, Inc.

    55,917       16,386,477  

 

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

 

139

 

 

MassMutual Blue Chip Growth Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Diversified Financial Services — 7.0%

The Charles Schwab Corp.

    141,292     $ 10,154,656  

Mastercard, Inc. Class A

    115,065       32,717,582  

SEI Investments Co.

    357,726       17,546,460  

Visa, Inc. Class A (b)

    654,135       116,207,083  
              176,625,781  

Insurance — 0.5%

Chubb Ltd.

    32,613       5,931,653  

Marsh & McLennan Cos., Inc.

    45,611       6,809,266  
              12,740,919  
              205,753,177  

Industrial — 4.1%

Aerospace & Defense — 2.1%

The Boeing Co. (a)

    428,302       51,858,806  

Electronics — 0.1%

TE Connectivity Ltd.

    24,863       2,743,881  

Machinery – Diversified — 0.9%

Deere & Co.

    69,108       23,074,470  

Miscellaneous - Manufacturing — 0.2%

General Electric Co.

    68,443       4,237,306  

Transportation — 0.8%

Expeditors International of Washington, Inc.

    236,352       20,872,245  
              102,786,708  

Technology — 28.4%

Computers — 4.6%

Apple, Inc.

    785,605       108,570,611  

Crowdstrike Holdings, Inc. Class A (a)

    18,935       3,120,677  

Fortinet, Inc. (a)

    68,516       3,366,191  
              115,057,479  

Semiconductors — 6.0%

Advanced Micro Devices, Inc. (a)

    183,746       11,642,146  

ASML Holding NV

    29,294       12,167,263  

Marvell Technology, Inc.

    127,670       5,478,320  

Monolithic Power Systems, Inc.

    17,991       6,537,929  

NVIDIA Corp.

    659,620       80,071,272  

QUALCOMM, Inc.

    220,901       24,957,395  

Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR

    60,969       4,180,035  

Texas Instruments, Inc.

    51,657       7,995,470  
              153,029,830  

Software — 17.8%

Atlassian Corp. PLC Class A (a)

    43,402       9,140,027  

Autodesk, Inc. (a)

    240,723       44,967,057  

Bill.com Holdings, Inc. (a)

    58,028       7,681,166  

 

   

Number of
Shares

    

Value

  

Canva, Inc. (Acquired 8/16/21, Cost $2,302,739) (a) (c) (d) (e)

    1,351     $ 1,290,137  

Confluent, Inc. Class A (a)

    80,739       1,919,166  

Datadog, Inc. Class A (a)

    35,989       3,195,104  

Gusto, Inc. (Acquired 4/10/21, Cost $765,943) (a) (c) (d) (e)

    26,606       500,991  

HashiCorp, Inc. Class A (a)

    18,050       581,030  

Intuit, Inc.

    61,910       23,978,981  

Microsoft Corp.

    813,256       189,407,324  

MongoDB, Inc. (a)

    31,130       6,181,173  

MSCI, Inc.

    5,732       2,417,700  

Oracle Corp.

    722,555       44,126,434  

Paycom Software, Inc. (a)

    5,292       1,746,307  

Roper Technologies, Inc.

    21,681       7,797,355  

Salesforce, Inc. (a)

    251,373       36,157,492  

ServiceNow, Inc. (a)

    80,757       30,494,651  

Snowflake, Inc. Class A (a)

    21,165       3,597,203  

Synopsys, Inc. (a)

    63,437       19,380,638  

Veeva Systems, Inc. Class A (a)

    23,522       3,878,307  

Workday, Inc. Class A (a)

    87,829       13,369,329  
              451,807,572  
              719,894,881  
                 

TOTAL COMMON STOCK (Cost $2,098,105,348)

            2,517,303,651  
                 

PREFERRED STOCK — 0.1%

Technology — 0.1%

Software — 0.1%

Canva, Inc., Series A (Acquired 11/04/21-12/17/21, Cost $144,893) (a) (c) (d) (e)

    85       81,171  

Canva, Inc., Series A-3 (Acquired 11/04/21-12/17/21, Cost $17,043) (a) (c) (d) (e)

    10       9,550  

Databricks, Inc., Series G (Acquired 2/01/21, Cost $815,183) (a) (c) (d) (e)

    13,788       762,384  

Databricks, Inc., Series H (Acquired 8/31/21, Cost $2,202,319) (a) (c) (d) (e)

    29,970       1,657,140  

Gusto, Inc., Series E (Acquired 7/13/21, Cost $1,117,484) (a) (c) (d) (e)

    36,765       692,285  
              3,202,530  
                 

TOTAL PREFERRED STOCK (Cost $4,296,923)

            3,202,530  
                 

TOTAL EQUITIES (Cost $2,102,402,271)

            2,520,506,181  

 

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

 

140

 

 

MassMutual Blue Chip Growth Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

BONDS & NOTES — 0.1%

CORPORATE DEBT — 0.1%

Retail — 0.1%

Carvana Co.

                

10.250% 5/01/30 (b) (f)

  $ 3,685,000     $ 2,459,737  
                 

TOTAL CORPORATE DEBT (Cost $3,685,000)

            2,459,737  
                 

TOTAL BONDS & NOTES (Cost $3,685,000)

            2,459,737  
                 

MUTUAL FUNDS — 0.2%

Diversified Financial Services — 0.2%

State Street Navigator Securities Lending Government Money Market Portfolio (g)

    5,185,964       5,185,964  
                 

TOTAL MUTUAL FUNDS (Cost $5,185,964)

            5,185,964  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $2,111,273,235)

            2,528,151,882  
   

Number of
Shares

          

SHORT-TERM INVESTMENTS — 0.2%

Mutual Fund — 0.0%

T. Rowe Price Government Reserve Investment Fund

    101       101  
   

Principal
Amount

          

Repurchase Agreement — 0.2%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (h)

    5,924,441       5,924,441  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $5,924,542)

            5,924,542  
                 

TOTAL INVESTMENTS — 100.0% (Cost $2,117,197,777) (i)

            2,534,076,424  
                 

Other Assets/(Liabilities) — (0.0)%

            (926,406 )
                 

NET ASSETS — 100.0%

          $ 2,533,150,018  

 

 

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, 2022, was $14,048,803 or 0.55% of net assets. The Fund received $9,181,968 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

Investment is 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, 2022, these securities amounted to a value of $6,729,451 or 0.27% of net assets.

(e)

Restricted security. Certain securities are restricted as to resale. At September 30, 2022, these securities amounted to a value of $6,729,451 or 0.27% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(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, 2022, the aggregate market value of these securities amounted to $2,459,737 or 0.10% of net assets.

(g)

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

(h)

Maturity value of $5,924,851. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $6,043,096.

(i)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

141

 

 

MassMutual Growth Opportunities Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 98.1%

COMMON STOCK — 98.1%

Communications — 26.0%

Internet — 23.8%

Airbnb, Inc. Class A (a)

    44,318     $ 4,655,162  

Amazon.com, Inc. (a)

    184,739       20,875,507  

DoorDash, Inc., Class A (a)

    35,849       1,772,733  

Match Group, Inc. (a)

    115,167       5,499,224  

Meta Platforms, Inc. Class A (a)

    15,189       2,060,844  

Netflix, Inc. (a)

    18,889       4,447,226  

Sea Ltd. ADR (a) (b)

    80,321       4,501,992  

Shopify, Inc. Class A (a)

    98,848       2,662,965  

Uber Technologies, Inc. (a)

    349,047       9,249,745  
              55,725,398  

Media — 2.2%

Charter Communications, Inc. Class A (a)

    17,042       5,169,691  
              60,895,089  

Consumer, Cyclical — 3.9%

Apparel — 1.6%

NIKE, Inc. Class B

    43,547       3,619,627  

Entertainment — 1.1%

Warner Music Group Corp. Class A

    112,425       2,609,384  

Retail — 1.2%

Floor & Decor Holdings, Inc. Class A (a)

    40,035       2,812,859  
              9,041,870  

Consumer, Non-cyclical — 19.6%

Biotechnology — 1.2%

Sarepta Therapeutics, Inc. (a)

    24,763       2,737,302  

Commercial Services — 6.1%

Block, Inc. (a)

    93,384       5,135,186  

CoStar Group, Inc. (a)

    81,120       5,650,008  

S&P Global, Inc.

    11,300       3,450,455  
              14,235,649  

Health Care – Products — 7.4%

10X Genomics, Inc. Class A (a)

    34,900       993,952  

Align Technology, Inc. (a)

    19,278       3,992,667  

Edwards Lifesciences Corp. (a)

    108,310       8,949,655  

Intuitive Surgical, Inc. (a)

    18,043       3,381,980  
              17,318,254  

Health Care – Services — 1.8%

Catalent, Inc. (a)

    59,195       4,283,350  

Pharmaceuticals — 3.1%

DexCom, Inc. (a)

    90,171       7,262,373  
              45,836,928  

 

   

Number of
Shares

    

Value

  

Financial — 11.9%

Diversified Financial Services — 10.7%

Mastercard, Inc. Class A

    28,350     $ 8,061,039  

Visa, Inc. Class A (b)

    95,534       16,971,615  
              25,032,654  

Private Equity — 1.2%

KKR & Co., Inc.

    66,621       2,864,703  
              27,897,357  

Industrial — 5.8%

Aerospace & Defense — 1.6%

The Boeing Co. (a)

    31,770       3,846,712  

Environmental Controls — 2.0%

Waste Management, Inc.

    28,883       4,627,345  

Transportation — 2.2%

Canadian Pacific Railway Ltd. (b)

    75,604       5,044,299  
              13,518,356  

Technology — 30.9%

Semiconductors — 3.2%

Lam Research Corp.

    8,522       3,119,052  

NVIDIA Corp.

    35,386       4,295,507  
              7,414,559  

Software — 27.7%

Atlassian Corp. PLC Class A (a)

    30,371       6,395,829  

Cloudflare, Inc. Class A (a)

    69,290       3,832,430  

Coupa Software, Inc. (a)

    31,948       1,878,542  

Datadog, Inc. Class A (a)

    54,190       4,810,988  

Gitlab, Inc. Class A (a) (b)

    44,841       2,296,756  

Intuit, Inc.

    12,612       4,884,880  

Microsoft Corp.

    59,395       13,833,096  

ServiceNow, Inc. (a)

    34,527       13,037,740  

Snowflake, Inc. Class A (a)

    44,452       7,555,062  

Twilio, Inc. Class A (a)

    25,774       1,782,014  

Veeva Systems, Inc. Class A (a)

    26,944       4,442,527  
              64,749,864  
              72,164,423  
                 

TOTAL COMMON STOCK (Cost $274,336,749)

            229,354,023  
                 

TOTAL EQUITIES (Cost $274,336,749)

            229,354,023  
                 

 

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

 

142

 

 

MassMutual Growth Opportunities Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 2.9%

Diversified Financial Services — 2.9%

State Street Navigator Securities Lending Government Money Market Portfolio (c)

    6,702,873     $ 6,702,873  
                 

TOTAL MUTUAL FUNDS (Cost $6,702,873)

            6,702,873  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $281,039,622)

            236,056,896  
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 2.5%

Repurchase Agreement — 2.5%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (d)

  $ 5,911,529       5,911,529  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $5,911,529)

            5,911,529  
                 

TOTAL INVESTMENTS — 103.5% (Cost $286,951,151) (e)

            241,968,425  
                 

Other Assets/(Liabilities) — (3.5)%

            (8,145,877 )
                 

NET ASSETS — 100.0%

          $ 233,822,548  

 

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, 2022, was $12,422,337 or 5.31% of net assets. The Fund received $5,999,994 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

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

(d)

Maturity value of $5,911,938. Collateralized by U.S. Government Agency obligations with rates ranging from 0.000% - 3.500%, maturity dates ranging from 3/30/23 - 9/15/25, and an aggregate market value, including accrued interest, of $6,029,807.

(e)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

143

 

 

MassMutual Mid Cap Value Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 96.9%

COMMON STOCK — 96.6%

Basic Materials — 3.4%

Chemicals — 2.5%

Akzo Nobel NV

    5,854     $ 330,143  

Axalta Coating Systems Ltd. (a)

    14,673       309,013  

Celanese Corp.

    572       51,675  

CF Industries Holdings, Inc.

    151       14,534  

Huntsman Corp.

    1,047       25,693  

LyondellBasell Industries NV Class A

    7,600       572,128  

The Mosaic Co.

    8,300       401,139  

Olin Corp.

    19,163       821,709  
              2,526,034  

Forest Products & Paper — 0.2%

Mondi PLC

    10,745       165,974  

Iron & Steel — 0.7%

Cleveland-Cliffs, Inc. (a)

    20,900       281,523  

United States Steel Corp.

    24,204       438,576  
              720,099  
              3,412,107  

Communications — 7.2%

Advertising — 0.5%

The Interpublic Group of Cos., Inc.

    18,167       465,075  

Internet — 1.1%

F5, Inc. (a)

    2,828       409,297  

GoDaddy, Inc. Class A (a)

    2,875       203,780  

IAC, Inc. (a)

    9,700       537,186  
              1,150,263  

Media — 4.9%

Altice USA, Inc. Class A (a)

    39,300       229,119  

DISH Network Corp. Class A (a)

    38,400       531,072  

Fox Corp. Class A

    16,300       500,084  

Fox Corp. Class B

    18,609       530,356  

Liberty Broadband Corp. Class C (a)

    11,900       878,220  

Liberty Global PLC Class A (a)

    34,900       544,091  

Liberty Media Corp-Liberty SiriusXM Class C (a)

    19,800       746,658  

News Corp. Class A

    37,317       563,860  

Warner Bros Discovery, Inc. (a)

    34,927       401,661  
              4,925,121  

Telecommunications — 0.7%

Corning, Inc.

    18,805       545,721  

Juniper Networks, Inc.

    5,391       140,813  
              686,534  
              7,226,993  

 

   

Number of
Shares

    

Value

  

Consumer, Cyclical — 8.6%

Airlines — 1.1%

Alaska Air Group, Inc. (a)

    672     $ 26,309  

Southwest Airlines Co. (a)

    18,305       564,526  

United Airlines Holdings, Inc. (a)

    15,520       504,865  
              1,095,700  

Apparel — 0.5%

PVH Corp.

    2,653       118,854  

Ralph Lauren Corp.

    248       21,063  

Tapestry, Inc.

    13,342       379,313  
              519,230  

Auto Manufacturers — 1.1%

Cummins, Inc.

    4,779       972,574  

PACCAR, Inc.

    1,936       162,024  
              1,134,598  

Auto Parts & Equipment — 0.8%

Aptiv PLC (a)

    1,431       111,918  

BorgWarner, Inc.

    16,954       532,356  

Cie Generale des Etablissements Michelin SCA

    8,113       180,749  
              825,023  

Distribution & Wholesale — 0.7%

LKQ Corp.

    15,400       726,110  

Food Services — 0.3%

Sodexo SA

    4,237       318,662  

Home Builders — 0.0%

Toll Brothers, Inc.

    345       14,490  

Home Furnishing — 0.2%

Dolby Laboratories, Inc. Class A

    2,380       155,057  

Leisure Time — 0.1%

Polaris, Inc.

    386       36,921  

Lodging — 0.0%

Boyd Gaming Corp.

    660       31,449  

Retail — 3.8%

Advance Auto Parts, Inc.

    3,695       577,676  

Bath & Body Works, Inc.

    12,076       393,678  

Beacon Roofing Supply, Inc. (a)

    2,091       114,420  

Dick’s Sporting Goods, Inc. (b)

    753       78,794  

Dollar Tree, Inc. (a)

    8,563       1,165,424  

Macy’s, Inc.

    14,624       229,158  

MSC Industrial Direct Co., Inc. Class A

    7,301       531,586  

Ross Stores, Inc.

    7,600       640,452  

Williams-Sonoma, Inc.

    1,226       144,484  
              3,875,672  
              8,732,912  

 

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

 

144

 

 

MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Consumer, Non-cyclical — 19.0%

Agriculture — 0.0%

Archer-Daniels-Midland Co.

    205     $ 16,492  

Beverages — 0.7%

Brown-Forman Corp. Class B

    1,380       91,867  

Molson Coors Beverage Co. Class B

    13,500       647,865  
              739,732  

Biotechnology — 0.9%

Corteva, Inc.

    11,697       668,483  

Incyte Corp. (a)

    1,815       120,952  

United Therapeutics Corp. (a)

    600       125,628  
              915,063  

Commercial Services — 1.3%

Euronet Worldwide, Inc. (a)

    601       45,532  

FleetCor Technologies, Inc. (a)

    3,300       581,361  

Gartner, Inc. (a)

    77       21,305  

Global Payments, Inc.

    6,000       648,300  
              1,296,498  

Cosmetics & Personal Care — 0.0%

Coty, Inc. Class A (a)

    1,719       10,864  

Food — 3.9%

Campbell Soup Co.

    3,008       141,737  

Conagra Brands, Inc.

    19,948       650,903  

The J.M. Smucker Co.

    3,822       525,181  

Kellogg Co.

    602       41,935  

Koninklijke Ahold Delhaize NV

    25,115       639,527  

The Kraft Heinz Co.

    12,000       400,200  

The Kroger Co.

    14,180       620,375  

Orkla ASA

    14,211       103,185  

Post Holdings, Inc. (a)

    10,100       827,291  
              3,950,334  

Health Care – Products — 3.9%

Baxter International, Inc.

    3,825       206,015  

Henry Schein, Inc. (a)

    16,964       1,115,722  

Hologic, Inc. (a)

    12,247       790,176  

Koninklijke Philips NV

    33,100       509,409  

Zimmer Biomet Holdings, Inc.

    12,303       1,286,279  
              3,907,601  

Health Care – Services — 3.9%

Centene Corp. (a)

    6,700       521,327  

Encompass Health Corp.

    532       24,062  

HCA Healthcare, Inc.

    193       35,472  

IQVIA Holdings, Inc. (a)

    78       14,129  

Laboratory Corp. of America Holdings

    5,864       1,201,006  

Molina Healthcare, Inc. (a)

    911       300,484  

Quest Diagnostics, Inc.

    10,135       1,243,463  

 

   

Number of
Shares

    

Value

  

Universal Health Services, Inc. Class B

    6,156     $ 542,836  
              3,882,779  

Household Products & Wares — 0.6%

Avery Dennison Corp.

    204       33,191  

Kimberly-Clark Corp.

    4,822       542,668  
              575,859  

Pharmaceuticals — 3.8%

AmerisourceBergen Corp.

    9,556       1,293,213  

Becton Dickinson and Co.

    865       192,748  

Cardinal Health, Inc.

    10,566       704,541  

Dentsply Sirona, Inc.

    8,092       229,408  

Embecta Corp.

    10,187       293,284  

Jazz Pharmaceuticals PLC (a)

    678       90,371  

McKesson Corp.

    51       17,333  

Organon & Co.

    14,500       339,300  

Perrigo Co. PLC

    19,100       681,106  

Premier, Inc. Class A

    625       21,213  
              3,862,517  
              19,157,739  

Energy — 6.3%

Oil & Gas — 4.4%

APA Corp.

    15,727       537,706  

Chesapeake Energy Corp. (b)

    4,600       433,366  

Devon Energy Corp.

    18,197       1,094,186  

Diamondback Energy, Inc.

    4,770       574,594  

EQT Corp.

    10,146       413,449  

HF Sinclair Corp.

    8,373       450,802  

Marathon Oil Corp.

    26,736       603,699  

Phillips 66

    2,183       176,212  

Pioneer Natural Resources Co.

    592       128,186  

Range Resources Corp.

    2,320       58,603  
              4,470,803  

Oil & Gas Services — 0.2%

Baker Hughes Co.

    11,440       239,782  

Pipelines — 1.7%

Enterprise Products Partners LP (c)

    16,793       399,338  

Kinder Morgan, Inc.

    36,500       607,360  

The Williams Cos., Inc.

    24,400       698,572  
              1,705,270  
              6,415,855  

Financial — 27.3%

Banks — 7.9%

The Bank of New York Mellon Corp.

    23,313       898,017  

Comerica, Inc.

    6,723       478,005  

Cullen/Frost Bankers, Inc.

    309       40,856  

East West Bancorp, Inc.

    4,866       326,703  

 

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

 

145

 

 

MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

First Citizens BancShares, Inc. Class A

    994     $ 792,645  

First Hawaiian, Inc.

    22,176       546,195  

First Republic Bank

    6,310       823,771  

KeyCorp.

    33,807       541,588  

Northern Trust Corp.

    17,022       1,456,402  

Prosperity Bancshares, Inc.

    6,991       466,160  

Regions Financial Corp.

    28,243       566,837  

Truist Financial Corp.

    13,429       584,699  

Umpqua Holdings Corp.

    1,148       19,619  

US Bancorp

    6,094       245,710  

Westamerica Bancorp.

    4,195       219,357  
              8,006,564  

Diversified Financial Services — 2.3%

Affiliated Managers Group, Inc.

    1,872       209,383  

Ally Financial, Inc.

    15,800       439,714  

Ameriprise Financial, Inc.

    3,435       865,449  

Evercore, Inc. Class A

    201       16,532  

Stifel Financial Corp.

    3,858       200,269  

T. Rowe Price Group, Inc.

    5,506       578,185  
              2,309,532  

Insurance — 8.6%

Aflac, Inc.

    6,315       354,903  

Alleghany Corp. (a)

    1,400       1,175,118  

The Allstate Corp.

    11,619       1,446,914  

Arch Capital Group Ltd. (a)

    15,800       719,532  

Axis Capital Holdings Ltd.

    409       20,102  

Chubb Ltd.

    962       174,969  

Equitable Holdings, Inc.

    20,472       539,437  

Fidelity National Financial, Inc.

    18,400       666,080  

The Hanover Insurance Group, Inc.

    2,496       319,838  

The Hartford Financial Services Group, Inc.

    9,847       609,923  

Loews Corp.

    7,400       368,816  

Markel Corp. (a)

    500       542,110  

Old Republic International Corp.

    18,000       376,740  

Reinsurance Group of America, Inc.

    7,446       936,781  

Voya Financial, Inc.

    516       31,218  

Willis Towers Watson PLC

    2,000       401,880  
              8,684,361  

Private Equity — 0.3%

The Carlyle Group, Inc.

    11,190       289,150  

Real Estate — 0.9%

CBRE Group, Inc. Class A (a)

    7,972       538,190  

Jones Lang LaSalle, Inc. (a)

    2,671       403,508  
              941,698  

Real Estate Investment Trusts (REITS) — 7.1%

Annaly Capital Management, Inc.

    26,250       450,450  

Apartment Income REIT Corp.

    7,784       300,618  

 

   

Number of
Shares

    

Value

  

Camden Property Trust

    3,994     $ 477,083  

Duke Realty Corp.

    5,546       267,317  

Equinix, Inc.

    809       460,192  

Essex Property Trust, Inc.

    1,724       417,605  

First Industrial Realty Trust, Inc.

    694       31,098  

Gaming and Leisure Properties, Inc.

    15,237       674,085  

Healthcare Realty Trust, Inc.

    6,337       132,126  

Healthpeak Properties, Inc.

    22,975       526,587  

Host Hotels & Resorts, Inc.

    30,657       486,833  

JBG SMITH Properties

    33,143       615,797  

Mid-America Apartment Communities, Inc.

    3,299       511,576  

Public Storage

    754       220,779  

Realty Income Corp.

    7,901       459,838  

Regency Centers Corp.

    8,218       442,539  

SBA Communications Corp.

    319       90,803  

UDR, Inc.

    6,018       251,011  

VICI Properties, Inc.

    3,792       113,191  

Weyerhaeuser Co.

    3,507       100,160  

WP Carey, Inc.

    2,681       187,134  
              7,216,822  

Savings & Loans — 0.2%

Capitol Federal Financial, Inc.

    17,778       147,557  
              27,595,684  

Industrial — 12.7%

Building Materials — 1.7%

Builders FirstSource, Inc. (a)

    5,500       324,060  

Cie de Saint-Gobain

    7,934       282,957  

Louisiana-Pacific Corp.

    7,263       371,793  

Masco Corp.

    9,409       439,306  

Owens Corning

    3,507       275,685  
              1,693,801  

Electrical Components & Equipment — 0.8%

Emerson Electric Co.

    10,324       755,923  

Electronics — 2.1%

Agilent Technologies, Inc.

    165       20,056  

Atkore, Inc. (a)

    2,096       163,090  

Flex Ltd. (a)

    21,200       353,192  

Hubbell, Inc.

    365       81,395  

nVent Electric PLC

    24,017       759,177  

TE Connectivity Ltd.

    3,040       335,494  

Vontier Corp.

    27,302       456,217  
              2,168,621  

Engineering & Construction — 0.3%

Vinci SA

    3,471       278,810  

Environmental Controls — 0.2%

Republic Services, Inc.

    1,346       183,110  

 

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

 

146

 

 

MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Tetra Tech, Inc.

    166     $ 21,336  
              204,446  

Hand & Machine Tools — 0.1%

Stanley Black & Decker, Inc.

    1,579       118,757  

Machinery – Construction & Mining — 0.7%

Oshkosh Corp.

    10,363       728,415  

Machinery – Diversified — 0.4%

CNH Industrial NV

    25,400       283,718  

IMI PLC

    13,525       167,801  
              451,519  

Miscellaneous - Manufacturing — 1.4%

A.O. Smith Corp.

    6,160       299,253  

Parker-Hannifin Corp.

    2,332       565,067  

Textron, Inc.

    9,509       553,994  
              1,418,314  

Packaging & Containers — 2.5%

Amcor PLC

    20,429       219,203  

Berry Global Group, Inc. (a)

    3,000       139,590  

Graphic Packaging Holding Co.

    27,500       542,850  

Packaging Corp. of America

    4,887       548,761  

Sealed Air Corp.

    10,464       465,753  

Sonoco Products Co.

    3,578       202,980  

WestRock Co.

    13,281       410,250  
              2,529,387  

Shipbuilding — 1.2%

Huntington Ingalls Industries, Inc.

    5,317       1,177,715  

Transportation — 1.3%

Expeditors International of Washington, Inc.

    5,800       512,198  

FedEx Corp.

    2,200       326,634  

Heartland Express, Inc.

    16,793       240,308  

Kirby Corp. (a)

    318       19,325  

Knight-Swift Transportation Holdings, Inc.

    819       40,073  

Ryder System, Inc.

    1,979       149,395  
              1,287,933  
              12,813,641  

Technology — 3.2%

Computers — 2.1%

Amdocs Ltd.

    3,686       292,853  

Dell Technologies, Inc.

    2,542       86,860  

DXC Technology Co. (a)

    9,251       226,465  

Fortinet, Inc. (a)

    380       18,669  

HP, Inc.

    30,672       764,346  

Lumentum Holdings, Inc. (a)

    2,661       182,465  

Western Digital Corp. (a)

    17,100       556,605  
              2,128,263  

 

   

Number of
Shares

    

Value

  

Semiconductors — 0.2%

Applied Materials, Inc.

    1,708     $ 139,937  

Teradyne, Inc.

    1,100       82,665  
              222,602  

Software — 0.9%

Cadence Design Systems, Inc. (a)

    106       17,324  

DocuSign, Inc. (a)

    61       3,262  

Dropbox, Inc. Class A (a)

    736       15,250  

Electronic Arts, Inc.

    2,825       326,881  

Manhattan Associates, Inc. (a)

    229       30,464  

Open Text Corp.

    6,233       164,800  

SS&C Technologies Holdings, Inc

    3,500       167,125  

Synopsys, Inc. (a)

    448       136,868  

Teradata Corp. (a)

    409       12,703  
              874,677  
              3,225,542  

Utilities — 8.9%

Electric — 7.1%

CenterPoint Energy, Inc.

    16,900       476,242  

Constellation Energy Corp.

    2,519       209,556  

DTE Energy Co.

    4,649       534,867  

Duke Energy Corp.

    382       35,534  

Edison International

    19,279       1,090,806  

Entergy Corp.

    5,433       546,723  

Evergy, Inc.

    12,186       723,848  

Eversource Energy

    9,303       725,262  

NorthWestern Corp.

    10,222       503,740  

OGE Energy Corp.

    17,100       623,466  

PG&E Corp. (a)

    6,681       83,512  

Pinnacle West Capital Corp.

    6,400       412,864  

Vistra Corp.

    29,400       617,400  

Xcel Energy, Inc.

    9,680       619,520  
              7,203,340  

Gas — 1.8%

Atmos Energy Corp.

    839       85,452  

NiSource, Inc.

    25,100       632,269  

Spire, Inc.

    9,894       616,693  

UGI Corp.

    15,700       507,581  
              1,841,995  
              9,045,335  
                 

TOTAL COMMON STOCK (Cost $112,052,258)

            97,625,808  
                 

 

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

 

147

 

 

MassMutual Mid Cap Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

PREFERRED STOCK — 0.3%

Consumer, Non-cyclical — 0.3%

Household Products & Wares — 0.3%

Henkel AG & Co. KGaA

    5,365     $ 320,678  
                 

TOTAL PREFERRED STOCK (Cost $347,763)

            320,678  
                 

TOTAL EQUITIES (Cost $112,400,021)

            97,946,486  
                 

MUTUAL FUNDS — 0.7%

Diversified Financial Services — 0.7%

iShares Russell Mid-Cap Value ETF

    6,717       645,168  

State Street Navigator Securities Lending Government Money Market Portfolio (d)

    68,961       68,961  
              714,129  
                 

TOTAL MUTUAL FUNDS (Cost $776,228)

            714,129  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $113,176,249)

            98,660,615  

 

Currency Legend

EUR

Euro

GBP

British Pound

NOK

Norwegian Krone

USD

U.S. Dollar

 

 

   

Principal
Amount

    

Value

  

SHORT-TERM INVESTMENTS — 2.7%

Repurchase Agreement — 2.7%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (e)

  $ 2,750,893     $ 2,750,893  

TOTAL SHORT-TERM INVESTMENTS (Cost $2,750,893)

            2,750,893  
                 

TOTAL INVESTMENTS — 100.3% (Cost $115,927,142) (f)

            101,411,508  
                 

Other Assets/(Liabilities) — (0.3)%

            (350,453 )
                 

NET ASSETS — 100.0%

          $ 101,061,055  

 

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)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $494,945 or 0.49% of net assets. The Fund received $436,212 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

Security is a Master Limited Partnership

(d)

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

(e)

Maturity value of $2,751,083. Collateralized by U.S. Government Agency obligations with rates ranging from 0.000% - 3.500%, maturity dates ranging from 3/30/23 - 9/15/25, and an aggregate market value, including accrued interest, of $2,806,097.

(f)

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.

     12/30/22       GBP       8,137       USD       8,703     $ 395  

Bank of America N.A.

     12/30/22       USD       294,098       GBP       260,269       3,088  

JP Morgan Chase Bank N.A.

     12/30/22       EUR       71,062       USD       68,765       1,376  

JP Morgan Chase Bank N.A.

     12/30/22       USD       2,104,580       EUR       2,142,077       (9,726 )

UBS AG

     12/30/22       NOK       118,298       USD       11,066       (178 )

UBS AG

     12/30/22       USD       101,932       NOK       1,058,072       4,542  
                                            $ (503 )

 

 

 

 

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

 

148

 

 

MassMutual Small Cap Value Equity Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 97.1%

COMMON STOCK — 97.1%

Basic Materials — 8.4%

Chemicals — 4.6%

Axalta Coating Systems Ltd. (a)

    13,147     $ 276,876  

Cabot Corp.

    11,161       713,076  

Element Solutions, Inc.

    26,791       435,889  

H.B. Fuller Co.

    4,507       270,871  

Mativ Holdings, Inc.

    17,950       396,336  

Orion Engineered Carbons SA

    14,166       189,116  
              2,282,164  

Iron & Steel — 2.0%

ATI, Inc. (a)

    36,949       983,213  

Mining — 1.8%

Ferroglobe PLC (a)

    49,318       260,399  

Kaiser Aluminum Corp.

    10,123       621,046  
              881,445  
              4,146,822  

Communications — 3.8%

Internet — 1.8%

ePlus, Inc. (a)

    6,397       265,731  

Perficient, Inc. (a)

    20       1,300  

Shutterstock, Inc.

    6,244       313,262  

Ziff Davis, Inc. (a)

    4,441       304,120  
              884,413  

Media — 0.5%

WideOpenWest, Inc. (a)

    16,979       208,332  

Telecommunications — 1.5%

Ciena Corp. (a)

    9,344       377,778  

Infinera Corp. (a) (b)

    76,313       369,355  
              747,133  
              1,839,878  

Consumer, Cyclical — 11.5%

Apparel — 1.6%

Deckers Outdoor Corp. (a)

    1,228       383,885  

Kontoor Brands, Inc.

    11,260       378,449  
              762,334  

Auto Parts & Equipment — 5.2%

Adient PLC (a)

    23,361       648,268  

American Axle & Manufacturing Holdings, Inc. (a)

    84,879       579,724  

Gentherm, Inc. (a)

    16,770       833,972  

Visteon Corp. (a)

    4,503       477,588  
              2,539,552  

Food Services — 0.9%

Aramark

    14,871       463,975  

 

   

Number of
Shares

    

Value

  

Home Builders — 1.2%

Century Communities, Inc.

    6,502     $ 278,155  

TRI Pointe Homes, Inc. (a)

    19,888       300,508  
              578,663  

Lodging — 0.4%

Wyndham Hotels & Resorts, Inc.

    3,146       193,007  

Office Furnishings — 0.8%

Interface, Inc.

    43,348       389,698  

Retail — 0.6%

Five Below, Inc. (a)

    2,160       297,367  

Textiles — 0.8%

UniFirst Corp.

    2,411       405,603  
              5,630,199  

Consumer, Non-cyclical — 14.5%

Agriculture — 1.9%

Darling Ingredients, Inc. (a)

    14,016       927,159  

Beverages — 0.4%

C&C Group PLC (a)

    130,594       217,736  

Commercial Services — 5.2%

BrightView Holdings, Inc. (a)

    24,156       191,799  

Huron Consulting Group, Inc. (a)

    8,075       534,969  

ICF International, Inc.

    2,927       319,101  

Monro, Inc.

    9,074       394,356  

Sterling Check Corp. (a) (b)

    15,239       268,816  

WillScot Mobile Mini Holdings Corp. (a)

    20,246       816,521  
              2,525,562  

Food — 2.6%

Cranswick PLC

    8,523       254,598  

Post Holdings, Inc. (a)

    2,862       234,427  

SunOpta, Inc. (a)

    53,471       486,586  

United Natural Foods, Inc. (a)

    8,590       295,238  
              1,270,849  

Health Care – Products — 2.4%

Azenta, Inc.

    8,046       344,851  

Haemonetics Corp. (a)

    6,925       512,658  

ICU Medical, Inc. (a)

    2,271       342,013  
              1,199,522  

Health Care – Services — 0.6%

Syneos Health, Inc. (a)

    6,395       301,524  

Household Products & Wares — 0.8%

ACCO Brands Corp.

    39,851       195,270  

Spectrum Brands Holdings, Inc.

    5,201       202,995  
              398,265  

 

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

 

149

 

 

MassMutual Small Cap Value Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Pharmaceuticals — 0.6%

Owens & Minor, Inc.

    11,810     $ 284,621  
              7,125,238  

Energy — 2.0%

Oil & Gas — 1.2%

Brigham Minerals, Inc. Class A

    11,626       286,814  

Chord Energy Corp.

    2,342       320,315  
              607,129  

Oil & Gas Services — 0.8%

NOW, Inc. (a)

    37,377       375,639  
              982,768  

Financial — 23.8%

Banks — 12.8%

Atlantic Union Bankshares Corp.

    7,986       242,615  

Cadence Bank

    11,766       298,974  

Eastern Bankshares, Inc.

    17,866       350,888  

First Citizens BancShares, Inc. Class A

    622       496,001  

First Interstate BancSystem, Inc. Class A

    8,045       324,616  

Hancock Whitney Corp.

    8,641       395,844  

International Bancshares Corp.

    9,200       391,000  

OFG Bancorp

    34,003       854,495  

Old National Bancorp

    45,684       752,416  

Synovus Financial Corp.

    8,803       330,201  

Texas Capital Bancshares, Inc. (a)

    15,314       903,985  

Umpqua Holdings Corp.

    39,454       674,269  

Webster Financial Corp.

    6,384       288,557  
              6,303,861  

Diversified Financial Services — 0.7%

Air Lease Corp.

    10,652       330,319  

Insurance — 4.7%

Assured Guaranty Ltd.

    5,579       270,302  

Kemper Corp.

    9,589       395,642  

NMI Holdings, Inc. Class A (a)

    19,767       402,654  

ProAssurance Corp.

    14,210       277,237  

Reinsurance Group of America, Inc.

    3,526       443,606  

SiriusPoint Ltd. (a)

    34,165       169,117  

White Mountains Insurance Group Ltd.

    286       372,664  
              2,331,222  

Real Estate — 0.5%

Alexander & Baldwin, Inc.

    15,048       249,496  

Real Estate Investment Trusts (REITS) — 4.3%

Brandywine Realty Trust

    12,427       83,882  

Centerspace

    4,268       287,322  

Global Medical REIT, Inc.

    14,907       127,008  

LXP Industrial Trust

    22,179       203,159  

 

   

Number of
Shares

    

Value

  

Pebblebrook Hotel Trust

    19,323     $ 280,377  

Phillips Edison & Co., Inc.

    10,986       308,157  

Piedmont Office Realty Trust, Inc. Class A

    27,594       291,392  

PotlatchDeltic Corp.

    5,769       236,760  

RPT Realty

    36,728       277,664  
              2,095,721  

Savings & Loans — 0.8%

Banc of California, Inc.

    24,609       393,006  
              11,703,625  

Industrial — 22.5%

Aerospace & Defense — 0.5%

Hexcel Corp.

    5,285       273,340  

Building Materials — 3.9%

American Woodmark Corp. (a)

    5,513       241,800  

Apogee Enterprises, Inc.

    16,872       644,848  

The AZEK Co., Inc (a)

    7,436       123,586  

Gibraltar Industries, Inc. (a)

    16,352       669,287  

Tyman PLC

    98,564       215,976  
              1,895,497  

Electrical Components & Equipment — 1.0%

Belden, Inc.

    7,979       478,900  

Electronics — 3.5%

Coherent Corp. (a)

    19,467       678,425  

CTS Corp.

    8,746       364,271  

FARO Technologies, Inc. (a)

    7,787       213,675  

National Instruments Corp.

    7,154       269,992  

Vishay Precision Group, Inc. (a)

    6,748       199,673  
              1,726,036  

Engineering & Construction — 0.1%

Primoris Services Corp.

    1,934       31,428  

Environmental Controls — 1.3%

Clean Harbors, Inc. (a)

    3,174       349,077  

Harsco Corp. (a)

    72,160       269,878  
              618,955  

Hand & Machine Tools — 2.9%

Enerpac Tool Group Corp.

    37,637       671,068  

Kennametal, Inc.

    24,659       507,482  

Luxfer Holdings PLC

    17,139       248,515  
              1,427,065  

Machinery – Diversified — 0.4%

Thermon Group Holdings, Inc. (a)

    13,483       207,773  

Metal Fabricate & Hardware — 0.6%

Standex International Corp.

    3,893       317,863  

Miscellaneous - Manufacturing — 1.3%

John Bean Technologies Corp.

    2,881       247,766  

 

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

 

150

 

 

MassMutual Small Cap Value Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Materion Corp.

    4,931     $ 394,480  
              642,246  

Packaging & Containers — 1.9%

Sealed Air Corp.

    10,003       445,234  

TriMas Corp.

    19,587       491,046  
              936,280  

Transportation — 3.2%

Air Transport Services Group, Inc. (a)

    32,446       781,624  

Dorian LPG Ltd.

    10,019       135,958  

Kirby Corp. (a)

    11,161       678,254  
              1,595,836  

Trucking & Leasing — 1.9%

GATX Corp.

    3,571       304,071  

The Greenbrier Cos., Inc.

    25,178       611,070  
              915,141  
              11,066,360  

Technology — 9.1%

Computers — 3.7%

Science Applications International Corp.

    4,798       424,287  

Super Micro Computer, Inc. (a)

    17,391       957,722  

WNS Holdings Ltd. ADR (a)

    5,158       422,131  
              1,804,140  

Semiconductors — 3.0%

Cohu, Inc. (a)

    19,986       515,239  

Diodes, Inc. (a)

    8,046       522,266  

Photronics, Inc. (a)

    28,812       421,231  
              1,458,736  

Software — 2.4%

ACI Worldwide, Inc. (a)

    16,612       347,191  

Concentrix Corp.

    2,934       327,522  

Digital Turbine, Inc. (a)

    6,861       98,867  

Progress Software Corp.

    9,859       419,501  
              1,193,081  
              4,455,957  

Utilities — 1.5%

Gas — 1.5%

New Jersey Resources Corp.

    5,977       231,310  

Spire, Inc.

    2,796       174,275  

UGI Corp.

    9,747       315,120  
              720,705  
                 

TOTAL COMMON STOCK (Cost $47,608,592)

            47,671,552  
                 

TOTAL EQUITIES (Cost $47,608,592)

            47,671,552  

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 0.5%

Diversified Financial Services — 0.5%

State Street Navigator Securities Lending Government Money Market Portfolio (c)

    246,505     $ 246,505  
                 

TOTAL MUTUAL FUNDS (Cost $246,505)

            246,505  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $47,855,097)

            47,918,057  
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 4.7%

Repurchase Agreement — 4.7%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (d)

  $ 2,276,333       2,276,333  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $2,276,333)

            2,276,333  
                 

TOTAL INVESTMENTS — 102.3% (Cost $50,131,430) (e)

            50,194,390  
                 

Other Assets/(Liabilities) — (2.3)%

            (1,105,874 )
                 

NET ASSETS — 100.0%

          $ 49,088,516  

 

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, 2022, was $504,280 or 1.03% of net assets. The Fund received $272,858 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

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

(d)

Maturity value of $2,276,491. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $2,322,019.

(e)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

151

 

 

MassMutual Small Company Value Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 99.3%

COMMON STOCK — 99.3%

Basic Materials — 3.3%

Chemicals — 2.4%

AdvanSix, Inc.

    41,060     $ 1,318,026  

Element Solutions, Inc.

    21,814       354,914  

H.B. Fuller Co.

    23,950       1,439,395  

Innospec, Inc.

    10,460       896,108  

Minerals Technologies, Inc.

    12,451       615,204  
              4,623,647  

Iron & Steel — 0.9%

ATI, Inc. (a)

    66,736       1,775,845  
              6,399,492  

Communications — 2.2%

Advertising — 0.2%

Entravision Communications Corp. Class A

    100,543       399,156  

Internet — 0.9%

Criteo SA Sponsored ADR (a)

    63,861       1,726,163  

Solo Brands, Inc. Class A (a)

    28,928       109,926  
              1,836,089  

Media — 0.1%

Townsquare Media, Inc. Class A (a)

    11,915       86,503  

Telecommunications — 1.0%

A10 Networks, Inc.

    99,309       1,317,831  

Casa Systems, Inc. (a)

    203,780       637,831  
              1,955,662  
              4,277,410  

Consumer, Cyclical — 17.2%

Airlines — 0.6%

Alaska Air Group, Inc. (a)

    30,160       1,180,764  

Apparel — 0.6%

Tapestry, Inc.

    42,015       1,194,486  

Auto Manufacturers — 1.2%

Blue Bird Corp. (a) (b)

    81,556       680,993  

REV Group, Inc.

    149,770       1,651,963  
              2,332,956  

Auto Parts & Equipment — 2.3%

Dana, Inc.

    102,086       1,166,843  

The Goodyear Tire & Rubber Co. (a)

    174,550       1,761,210  

The Shyft Group, Inc.

    77,098       1,575,112  
              4,503,165  

Distribution & Wholesale — 1.1%

A-Mark Precious Metals, Inc.

    16,449       466,987  

H&E Equipment Services, Inc.

    44,448       1,259,656  

 

   

Number of
Shares

    

Value

  

KAR Auction Services, Inc. (a)

    37,063     $ 413,994  
              2,140,637  

Entertainment — 1.6%

Accel Entertainment, Inc. (a)

    51,853       404,972  

IMAX Corp. (a)

    89,000       1,256,680  

Penn Entertainment ,Inc. (a)

    9,281       255,320  

Six Flags Entertainment Corp. (a) (b)

    66,710       1,180,767  
              3,097,739  

Home Builders — 2.3%

KB Home

    56,280       1,458,778  

Skyline Champion Corp. (a)

    21,045       1,112,649  

Taylor Morrison Home Corp. (a)

    81,539       1,901,489  
              4,472,916  

Home Furnishing — 0.1%

MillerKnoll, Inc.

    12,905       201,318  

Vizio Holding Corp. Class A (a) (b)

    13,267       115,954  
              317,272  

Leisure Time — 1.2%

Brunswick Corp.

    17,118       1,120,373  

Malibu Boats, Inc. Class A (a)

    12,851       616,720  

OneWater Marine, Inc. Class A (a)

    17,981       541,408  
              2,278,501  

Lodging — 0.7%

Boyd Gaming Corp.

    5,690       271,128  

Hilton Grand Vacations, Inc. (a)

    33,310       1,095,566  
              1,366,694  

Retail — 5.4%

Beacon Roofing Supply, Inc. (a)

    18,090       989,885  

Citi Trends, Inc. (a)

    43,009       667,070  

Dave & Buster’s Entertainment, Inc. (a)

    15,340       476,000  

Dine Brands Global, Inc.

    24,190       1,537,516  

Genesco, Inc. (a)

    26,980       1,060,854  

GMS, Inc. (a)

    18,009       720,540  

MarineMax, Inc. (a)

    19,564       582,812  

Papa John’s International, Inc.

    19,220       1,345,592  

Penske Automotive Group, Inc.

    10,966       1,079,383  

Red Robin Gourmet Burgers, Inc. (a)

    23,754       159,864  

RH (a)

    1,401       344,744  

Sally Beauty Holdings, Inc. (a)

    134,460       1,694,196  
              10,658,456  

Textiles — 0.1%

UniFirst Corp.

    685       115,238  
              33,658,824  

 

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

 

152

 

 

MassMutual Small Company Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Consumer, Non-cyclical — 11.6%

Commercial Services — 5.2%

Adtalem Global Education, Inc. (a)

    48,619     $ 1,772,163  

AMN Healthcare Services, Inc. (a)

    2,627       278,357  

Barrett Business Services, Inc.

    4,781       372,918  

The Brink’s Co.

    23,923       1,158,830  

Deluxe Corp.

    29,106       484,615  

Euronet Worldwide, Inc. (a)

    4,079       309,025  

EVERTEC, Inc.

    42,525       1,333,159  

Herc Holdings, Inc.

    18,054       1,875,449  

Korn Ferry

    43,753       2,054,203  

Loomis AB

    19,207       471,324  
              10,110,043  

Cosmetics & Personal Care — 0.6%

Edgewell Personal Care Co.

    31,718       1,186,253  

Food — 1.4%

The Hain Celestial Group, Inc. (a)

    80,584       1,360,258  

Nomad Foods Ltd. (a)

    104,388       1,482,310  
              2,842,568  

Health Care – Products — 1.2%

Integra LifeSciences Holdings Corp. (a)

    35,660       1,510,558  

Patterson Cos., Inc.

    28,072       674,289  

Zimvie, Inc. (a)

    9,842       97,141  
              2,281,988  

Health Care – Services — 2.5%

Acadia Healthcare Co., Inc. (a)

    27,220       2,128,059  

National HealthCare Corp.

    576       36,484  

Pediatrix Medical Group, Inc. (a)

    94,880       1,566,469  

Syneos Health, Inc. (a)

    25,460       1,200,439  
              4,931,451  

Household Products & Wares — 0.5%

Spectrum Brands Holdings, Inc.

    24,977       974,852  

Pharmaceuticals — 0.2%

Embecta Corp.

    15,817       455,371  
              22,782,526  

Energy — 3.7%

Energy – Alternate Sources — 0.2%

Enviva, Inc.

    7,804       468,708  

Oil & Gas — 3.0%

Earthstone Energy, Inc. Class A (a) (b)

    12,162       149,836  

Helmerich & Payne, Inc.

    48,800       1,804,136  

HF Sinclair Corp.

    35,240       1,897,322  

Magnolia Oil & Gas Corp. Class A

    97,320       1,927,909  
              5,779,203  

Oil & Gas Services — 0.5%

ChampionX Corp.

    50,659       991,396  

 

   

Number of
Shares

    

Value

  

NCS Multistage Holdings, Inc. (a)

    897     $ 19,510  
              1,010,906  
              7,258,817  

Financial — 36.9%

Banks — 21.3%

1st Source Corp.

    31,748       1,469,932  

Ameris Bancorp

    21,164       946,242  

Associated Banc-Corp.

    103,929       2,086,894  

Bank of Marin Bancorp

    28,346       848,963  

BankUnited, Inc.

    86,767       2,964,828  

Carter Bankshares, Inc. (a)

    66,675       1,073,468  

ConnectOne Bancorp, Inc.

    14,238       328,328  

F.N.B. Corp.

    113,316       1,314,466  

First BanCorp

    272,540       3,728,347  

First Hawaiian, Inc.

    3,844       94,678  

First Interstate BancSystem, Inc. Class A

    10,886       439,250  

First Merchants Corp.

    6,492       251,111  

First Mid Bancshares, Inc.

    4,018       128,455  

HarborOne Bancorp, Inc.

    125,437       1,683,365  

Heritage Financial Corp.

    78,132       2,068,154  

Home BancShares, Inc.

    46,070       1,037,036  

Independent Bank Corp.

    1,680       125,210  

Independent Bank Group, Inc.

    35,592       2,184,993  

Old National Bancorp

    86,890       1,431,078  

Origin Bancorp, Inc.

    8,957       344,576  

PacWest Bancorp

    9,714       219,536  

Premier Financial Corp.

    65,598       1,685,869  

QCR Holdings, Inc.

    5,227       266,263  

Sandy Spring Bancorp, Inc.

    36,129       1,273,909  

SouthState Corp.

    17,300       1,368,776  

Synovus Financial Corp.

    45,377       1,702,091  

Texas Capital Bancshares, Inc. (a)

    38,700       2,284,461  

Towne Bank

    12,529       336,153  

TriCo Bancshares

    42,678       1,905,573  

UMB Financial Corp.

    15,201       1,281,292  

Umpqua Holdings Corp.

    76,284       1,303,694  

Valley National Bancorp

    95,849       1,035,169  

Veritex Holdings, Inc.

    24,711       657,066  

Webster Financial Corp.

    40,202       1,817,130  
              41,686,356  

Diversified Financial Services — 1.4%

Enact Holdings, Inc.

    4,304       95,420  

Moelis & Co. Class A

    45,851       1,550,222  

Stifel Financial Corp.

    19,945       1,035,345  
              2,680,987  

Insurance — 2.8%

Axis Capital Holdings Ltd.

    21,104       1,037,261  

 

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

 

153

 

 

MassMutual Small Company Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

The Hanover Insurance Group, Inc.

    14,370     $ 1,841,372  

ProAssurance Corp.

    14,631       285,451  

Selective Insurance Group, Inc.

    27,762       2,259,827  
              5,423,911  

Investment Companies — 0.5%

Compass Diversified Holdings (b)

    60,272       1,088,512  

Private Equity — 0.1%

Patria Investments Ltd. Class A

    14,892       194,341  

Real Estate Investment Trusts (REITS) — 7.1%

Broadstone Net Lease, Inc. (b)

    99,420       1,543,993  

CareTrust REIT, Inc.

    24,056       435,654  

Cousins Properties, Inc.

    49,979       1,167,010  

Easterly Government Properties, Inc.

    14,287       225,306  

Four Corners Property Trust, Inc.

    22,365       541,009  

Getty Realty Corp.

    10,417       280,113  

Highwoods Properties, Inc.

    8,706       234,714  

Independence Realty Trust, Inc.

    111,740       1,869,410  

Kite Realty Group Trust

    27,803       478,768  

National Health Investors, Inc.

    7,631       431,380  

National Storage Affiliates Trust

    30,354       1,262,119  

NETSTREIT Corp. (b)

    86,362       1,538,107  

Physicians Realty Trust

    136,124       2,047,305  

Sabra Health Care REIT, Inc.

    15,326       201,077  

STAG Industrial, Inc.

    49,348       1,402,964  

Summit Hotel Properties, Inc.

    34,808       233,910  
              13,892,839  

Savings & Loans — 3.7%

Berkshire Hills Bancorp, Inc.

    75,280       2,055,144  

Pacific Premier Bancorp, Inc.

    92,162       2,853,336  

Provident Financial Services, Inc.

    15,803       308,158  

WSFS Financial Corp.

    43,836       2,036,621  
              7,253,259  
              72,220,205  

Industrial — 16.2%

Aerospace & Defense — 0.4%

Spirit AeroSystems Holdings, Inc. Class A

    35,840       785,613  

Building Materials — 1.4%

Hayward Holdings, Inc. (a)

    38,530       341,761  

Masonite International Corp. (a)

    19,907       1,419,170  

Mohawk Industries, Inc. (a)

    3,939       359,198  

Tecnoglass, Inc.

    28,276       593,513  
              2,713,642  

Electrical Components & Equipment — 1.2%

Belden, Inc.

    38,409       2,305,308  

Graham Corp.

    10,385       91,284  
              2,396,592  

 

   

Number of
Shares

    

Value

  

Electronics — 2.7%

Advanced Energy Industries, Inc.

    3,235     $ 250,421  

Avnet, Inc.

    32,453       1,172,202  

Coherent Corp. (a)

    39,641       1,381,489  

RADA Electronic Industries Ltd. (a)

    7,692       74,074  

TTM Technologies, Inc. (a)

    149,540       1,970,937  

Vontier Corp.

    28,198       471,189  
              5,320,312  

Engineering & Construction — 2.8%

Arcosa, Inc.

    34,760       1,987,577  

Dycom Industries, Inc. (a)

    20,143       1,924,261  

Fluor Corp. (a)

    23,880       594,373  

Great Lakes Dredge & Dock Corp. (a)

    139,940       1,060,745  
              5,566,956  

Environmental Controls — 0.1%

CECO Environmental Corp. (a)

    17,463       154,547  

Charah Solutions, Inc. (a) (b)

    29,837       54,602  
              209,149  

Hand & Machine Tools — 0.1%

Luxfer Holdings PLC

    10,396       150,742  

Machinery – Construction & Mining — 0.7%

Terex Corp.

    45,649       1,357,601  

Machinery – Diversified — 2.4%

Cactus, Inc. Class A

    32,650       1,254,740  

DXP Enterprises, Inc. (a)

    11,209       265,429  

Enovis Corp. (a)

    14,528       669,305  

Esab Corp.

    10,923       364,391  

Gates Industrial Corp. PLC (a)

    72,474       707,346  

Ichor Holdings Ltd. (a)

    58,200       1,409,022  
              4,670,233  

Metal Fabricate & Hardware — 0.9%

Hillman Solutions Corp. (a)

    26,839       202,366  

The Timken Co.

    25,178       1,486,509  
              1,688,875  

Miscellaneous - Manufacturing — 0.0%

DIRTT Environmental Solutions (a)

    61,401       26,403  

Packaging & Containers — 1.1%

Graphic Packaging Holding Co.

    55,539       1,096,340  

Karat Packaging, Inc. (a)

    5,242       83,820  

O-I Glass, Inc. (a)

    40,691       526,948  

Pactiv Evergreen, Inc.

    60,333       526,707  
              2,233,815  

Transportation — 2.4%

ArcBest Corp.

    30,780       2,238,630  

Kirby Corp. (a)

    18,820       1,143,691  

 

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

 

154

 

 

MassMutual Small Company Value Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Star Bulk Carriers Corp.

    76,510     $ 1,337,395  
              4,719,716  
              31,839,649  

Technology — 5.9%

Computers — 0.3%

Unisys Corp. (a)

    80,062       604,468  

Semiconductors — 1.8%

Cohu, Inc. (a)

    21,603       556,926  

Kulicke & Soffa Industries, Inc.

    48,172       1,856,067  

Magnachip Semiconductor Corp. (a)

    107,980       1,105,715  
              3,518,708  

Software — 3.8%

ACI Worldwide, Inc. (a)

    59,970       1,253,373  

Change Healthcare, Inc. (a)

    85,640       2,354,244  

CommVault Systems, Inc. (a)

    23,197       1,230,369  

Digital Turbine, Inc. (a)

    16,064       231,482  

Donnelley Financial Solutions, Inc. (a)

    19,314       714,038  

IBEX Holdings Ltd. (a)

    10,326       191,754  

Teradata Corp. (a)

    44,637       1,386,425  
              7,361,685  
              11,484,861  

Utilities — 2.3%

Electric — 1.4%

ALLETE, Inc.

    4,748       237,637  

IDACORP, Inc.

    22,120       2,190,101  

PNM Resources, Inc.

    5,924       270,905  
              2,698,643  

Gas — 0.9%

Northwest Natural Holding Co.

    3,063       132,873  

Southwest Gas Holdings, Inc.

    23,961       1,671,280  
              1,804,153  
              4,502,796  
                 

TOTAL COMMON STOCK (Cost $219,991,062)

            194,424,580  
                 

TOTAL EQUITIES (Cost $219,991,062)

            194,424,580  
                 

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 1.6%

Diversified Financial Services — 1.6%

State Street Navigator Securities Lending Government Money Market Portfolio (c)

    3,166,453     $ 3,166,453  
                 

TOTAL MUTUAL FUNDS (Cost $3,166,453)

            3,166,453  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $223,157,515)

            197,591,033  
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 0.8%

Repurchase Agreement — 0.8%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (d)

  $ 1,594,316       1,594,316  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $1,594,316)

            1,594,316  
                 

TOTAL INVESTMENTS — 101.7% (Cost $224,751,831) (e)

            199,185,349  
                 

Other Assets/(Liabilities) — (1.7)%

            (3,300,238 )
                 

NET ASSETS — 100.0%

          $ 195,885,111  

 

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, 2022, was $5,492,315 or 2.80% of net assets. The Fund received $2,469,247 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

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

(d)

Maturity value of $1,594,427. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 9/15/25, and an aggregate market value, including accrued interest, of $1,626,300.

(e)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

155

 

 

MassMutual Small Company Value Fund — Portfolio of Investments (Continued)

 

Forward contracts

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

UBS AG

     12/30/22       SEK       124,077       USD       11,106     $ 141  

UBS AG

     12/30/22       USD       404,183       SEK       4,554,940       (8,696 )
                                            $ (8,555 )

 

 

Currency Legend

SEK

Swedish Krona

USD

U.S. Dollar

 

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

 

156

 

 

MassMutual Mid Cap Growth Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 96.5%

COMMON STOCK — 95.9%

Basic Materials — 0.8%

Chemicals — 0.8%

RPM International, Inc.

    371,000     $ 30,908,010  

The Sherwin-Williams Co.

    54,305       11,118,949  
              42,026,959  
              42,026,959  

Communications — 4.5%

Advertising — 1.2%

The Trade Desk, Inc. Class A (a)

    1,018,069       60,829,623  

Internet — 1.8%

Chewy, Inc. Class A (a) (b)

    183,563       5,639,055  

Lyft, Inc. Class A (a)

    342,525       4,511,054  

Match Group, Inc. (a)

    225,000       10,743,750  

Okta, Inc. (a)

    132,869       7,556,260  

Palo Alto Networks, Inc. (a)

    245,967       40,286,935  

Roku, Inc. (a) (b)

    99,692       5,622,629  

Spotify Technology SA (a)

    200,000       17,260,000  
              91,619,683  

Media — 0.8%

Liberty Media Corp-Liberty Formula One Class C (a)

    644,000       37,674,000  

Telecommunications — 0.7%

Arista Networks, Inc. (a)

    154,342       17,423,669  

Corning, Inc.

    665,000       19,298,300  
              36,721,969  
              226,845,275  

Consumer, Cyclical — 15.4%

Airlines — 0.8%

Azul SA ADR (a) (b)

    250,624       2,040,079  

Southwest Airlines Co. (a)

    1,258,000       38,796,720  
              40,836,799  

Apparel — 0.2%

Deckers Outdoor Corp. (a)

    37,000       11,566,570  

On Holding AG, Class A (a)

    105,000       1,685,250  
              13,251,820  

Auto Manufacturers — 0.3%

Rivian Automotive, Inc. Class A (a) (b)

    453,462       14,923,434  

Auto Parts & Equipment — 0.0%

BorgWarner, Inc.

    6,769       212,547  

Entertainment — 1.5%

Caesars Entertainment, Inc. (a)

    600,481       19,371,517  

DraftKings, Inc. Class A (a)

    602,000       9,114,280  

Live Nation Entertainment, Inc. (a)

    303,063       23,044,911  

 

   

Number of
Shares

    

Value

  

Vail Resorts, Inc.

    112,000     $ 24,151,680  
              75,682,388  

Leisure Time — 0.4%

Planet Fitness, Inc. Class A (a)

    332,039       19,145,369  

Lodging — 2.0%

Hilton Worldwide Holdings, Inc.

    502,000       60,551,240  

MGM Resorts International

    1,360,000       40,419,200  
              100,970,440  

Retail — 9.3%

Advance Auto Parts, Inc.

    84,183       13,161,170  

Bath & Body Works, Inc.

    599,000       19,527,400  

Burlington Stores, Inc. (a)

    448,204       50,149,546  

Carvana Co. (a) (b)

    40,237       816,811  

Casey’s General Stores, Inc.

    225,000       45,567,000  

Chipotle Mexican Grill, Inc. (a)

    44,780       67,293,593  

Darden Restaurants, Inc.

    83,510       10,548,983  

Dollar General Corp.

    312,816       75,032,046  

Dollar Tree, Inc. (a)

    299,000       40,693,900  

Domino’s Pizza, Inc.

    90,000       27,918,000  

Five Below, Inc. (a)

    150,000       20,650,500  

Floor & Decor Holdings, Inc. Class A (a)

    78,600       5,522,436  

Leslie’s, Inc. (a) (b)

    808,675       11,895,609  

Lululemon Athletica, Inc. (a)

    29,000       8,107,240  

O’Reilly Automotive, Inc. (a)

    72,212       50,790,310  

Ross Stores, Inc.

    329,397       27,758,285  

Warby Parker, Inc. Class A (a)

    150,000       2,001,000  

Yum! Brands, Inc.

    19,000       2,020,460  
              479,454,289  

Toys, Games & Hobbies — 0.9%

Mattel, Inc. (a)

    2,362,376       44,743,401  
              789,220,487  

Consumer, Non-cyclical — 29.9%

Beverages — 0.4%

The Boston Beer Co., Inc. Class A (a)

    60,000       19,419,000  

Biotechnology — 3.7%

Alnylam Pharmaceuticals, Inc. (a)

    237,000       47,437,920  

Apellis Pharmaceuticals, Inc. (a)

    127,000       8,674,100  

Argenx SE ADR (a)

    97,000       34,245,850  

BioMarin Pharmaceutical, Inc. (a)

    88,633       7,513,419  

CRISPR Therapeutics AG (a) (b)

    90,152       5,891,433  

Exelixis, Inc. (a)

    352,000       5,519,360  

Horizon Therapeutics PLC (a)

    148,950       9,218,516  

Illumina, Inc. (a)

    17,020       3,247,246  

Ionis Pharmaceuticals, Inc. (a)

    629,000       27,820,670  

Karuna Therapeutics, Inc. (a)

    20,809       4,680,568  

Moderna, Inc. (a)

    43,077       5,093,855  

Sarepta Therapeutics, Inc. (a)

    76,842       8,494,115  

 

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

 

157

 

 

MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Seagen, Inc. (a)

    120,000     $ 16,419,600  

Ultragenyx Pharmaceutical, Inc. (a)

    101,000       4,182,410  
              188,439,062  

Commercial Services — 8.4%

Block, Inc. (a)

    191,326       10,521,017  

Bright Horizons Family Solutions, Inc. (a)

    428,464       24,700,950  

Cintas Corp.

    77,038       29,905,381  

Clarivate PLC (a)

    1,499,000       14,075,610  

CoStar Group, Inc. (a)

    607,000       42,277,550  

Dlocal Ltd. (a) (b)

    466,908       9,580,952  

Equifax, Inc.

    288,263       49,416,926  

FleetCor Technologies, Inc. (a)

    262,000       46,156,540  

Global Payments, Inc.

    163,619       17,679,033  

MarketAxess Holdings, Inc.

    150,000       33,373,500  

Moody’s Corp.

    26,854       6,528,476  

Multiplan Corp. (a) (b)

    2,475,000       7,078,500  

Paylocity Holding Corp. (a)

    117,000       28,264,860  

Quanta Services, Inc.

    146,648       18,681,489  

TransUnion

    683,609       40,667,899  

United Rentals, Inc. (a)

    60,000       16,207,200  

Verisk Analytics, Inc.

    210,000       35,811,300  
              430,927,183  

Cosmetics & Personal Care — 0.0%

Olaplex Holdings, Inc. (a) (b)

    122,982       1,174,478  

Food — 0.4%

TreeHouse Foods, Inc. (a)

    424,000       17,986,080  

Health Care – Products — 10.6%

Alcon, Inc.

    660,367       38,420,152  

Align Technology, Inc. (a)

    32,357       6,701,458  

Avantor, Inc. (a)

    2,472,000       48,451,200  

Bruker Corp.

    1,030,000       54,651,800  

The Cooper Cos., Inc.

    178,000       46,974,200  

Edwards Lifesciences Corp. (a)

    66,387       5,485,558  

Exact Sciences Corp. (a)

    325,377       10,571,499  

Hologic, Inc. (a)

    1,952,600       125,981,752  

ICU Medical, Inc. (a)

    132,000       19,879,200  

IDEXX Laboratories, Inc. (a)

    35,938       11,708,600  

Inspire Medical Systems, Inc. (a)

    37,329       6,621,045  

Insulet Corp. (a)

    61,826       14,182,885  

Novocure Ltd. (a) (b)

    72,685       5,522,606  

Quidelortho Corp. (a)

    334,000       23,874,320  

ResMed, Inc.

    20,610       4,499,163  

Teleflex, Inc.

    442,220       89,089,641  

West Pharmaceutical Services, Inc.

    120,000       29,529,600  
              542,144,679  

Health Care – Services — 4.3%

Acadia Healthcare Co., Inc. (a)

    724,000       56,602,320  

 

   

Number of
Shares

    

Value

  

agilon health, Inc. (a)

    195,000     $ 4,566,900  

Amedisys, Inc. (a)

    114,612       11,093,295  

Catalent, Inc. (a)

    794,000       57,453,840  

Humana, Inc.

    47,919       23,249,820  

Molina Healthcare, Inc. (a)

    131,432       43,351,531  

Signify Health, Inc. Class A (a)

    885,357       25,808,157  
              222,125,863  

Household Products & Wares — 1.2%

Avery Dennison Corp.

    281,000       45,718,700  

Reynolds Consumer Products, Inc. (b)

    615,000       15,996,150  
              61,714,850  

Pharmaceuticals — 0.9%

Alkermes PLC (a)

    336,000       7,502,880  

Ascendis Pharma A/S ADR (a) (b)

    35,000       3,614,100  

Dentsply Sirona, Inc.

    300,000       8,505,000  

DexCom, Inc. (a)

    182,960       14,735,598  

Neurocrine Biosciences, Inc. (a)

    75,000       7,965,750  

Perrigo Co. PLC

    131,000       4,671,460  
              46,994,788  
              1,530,925,983  

Energy — 3.2%

Energy – Alternate Sources — 0.2%

Shoals Technologies Group, Inc. Class A (a)

    376,000       8,102,800  

Oil & Gas — 2.3%

Coterra Energy, Inc.

    2,346,452       61,289,325  

Pioneer Natural Resources Co.

    112,000       24,251,360  

SM Energy Co.

    288,939       10,866,996  

Venture Global LNG, Inc., Series B (Acquired 3/08/18, Cost $652,320) (a) (c) (d) (e)

    216       3,195,772  

Venture Global LNG, Inc., Series C (Acquired 10/16/17-3/08/18, Cost $4,872,708) (a) (c) (d) (e)

    1,328       19,648,079  
              119,251,532  

Pipelines — 0.7%

Cheniere Energy, Inc.

    222,000       36,832,020  
              164,186,352  

Financial — 6.2%

Banks — 0.4%

SVB Financial Group (a)

    57,825       19,416,478  

Diversified Financial Services — 2.1%

Apollo Global Management, Inc.

    205,570       9,559,005  

Cboe Global Markets, Inc.

    180,000       21,126,600  

Intercontinental Exchange, Inc.

    19,000       1,716,650  

LPL Financial Holdings, Inc.

    140,196       30,630,022  

Raymond James Financial, Inc.

    151,000       14,921,820  

 

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

 

158

 

 

MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Tradeweb Markets, Inc. Class A

    548,000     $ 30,918,160  
              108,872,257  

Insurance — 2.4%

Aon PLC Class A

    163,564       43,813,889  

Assurant, Inc.

    315,000       45,760,050  

Axis Capital Holdings Ltd.

    531,000       26,098,650  

Kemper Corp.

    190,000       7,839,400  
              123,511,989  

Private Equity — 1.3%

KKR & Co., Inc.

    1,537,733       66,122,519  
              317,923,243  

Industrial — 16.6%

Building Materials — 1.1%

Builders FirstSource, Inc. (a)

    240,134       14,148,695  

Martin Marietta Materials, Inc.

    131,000       42,193,790  
              56,342,485  

Electrical Components & Equipment — 0.1%

Littelfuse, Inc.

    32,000       6,358,080  

Electronics — 5.6%

Agilent Technologies, Inc.

    886,444       107,747,268  

Amphenol Corp. Class A

    536,028       35,892,435  

Coherent Corp. (a)

    107,435       3,744,110  

Fortive Corp.

    908,000       52,936,400  

Keysight Technologies, Inc. (a)

    385,000       60,583,600  

National Instruments Corp.

    667,000       25,172,580  
              286,076,393  

Engineering & Construction — 0.3%

MasTec, Inc. (a)

    199,857       12,690,919  

Environmental Controls — 0.8%

Waste Connections, Inc.

    319,082       43,117,551  

Machinery – Construction & Mining — 0.3%

BWX Technologies, Inc.

    299,000       15,060,630  

Machinery – Diversified — 3.3%

Cognex Corp.

    375,000       15,543,750  

Enovis Corp. (a)

    438,000       20,178,660  

Esab Corp.

    449,000       14,978,640  

IDEX Corp.

    148,000       29,577,800  

Ingersoll Rand, Inc.

    2,039,000       88,207,140  
              168,485,990  

Miscellaneous - Manufacturing — 1.8%

Textron, Inc.

    1,612,000       93,915,120  

Packaging & Containers — 1.8%

Ball Corp.

    1,123,000       54,263,360  

Sealed Air Corp.

    804,000       35,786,040  
              90,049,400  

 

   

Number of
Shares

    

Value

  

Transportation — 1.5%

J.B. Hunt Transport Services, Inc.

    401,000     $ 62,724,420  

Knight-Swift Transportation Holdings, Inc.

    226,248       11,070,315  

XPO Logistics, Inc. (a)

    118,054       5,255,764  
              79,050,499  
              851,147,067  

Technology — 19.3%

Computers — 3.3%

Crowdstrike Holdings, Inc. Class A (a)

    170,000       28,017,700  

EPAM Systems, Inc. (a)

    80,742       29,243,945  

Fortinet, Inc. (a)

    1,188,000       58,366,440  

Genpact Ltd.

    428,885       18,772,296  

KBR, Inc.

    486,868       21,042,435  

Leidos Holdings, Inc.

    163,000       14,257,610  

Thoughtworks Holding, Inc. (a)

    77,269       810,552  
              170,510,978  

Semiconductors — 7.0%

KLA Corp.

    247,219       74,815,886  

Lam Research Corp.

    10,574       3,870,084  

Lattice Semiconductor Corp. (a)

    390,000       19,191,900  

Marvell Technology, Inc.

    2,045,064       87,753,696  

Microchip Technology, Inc.

    2,000,184       122,071,229  

Monolithic Power Systems, Inc.

    24,184       8,788,466  

SiTime Corp. (a)

    47,342       3,727,236  

Wolfspeed, Inc. (a)

    341,827       35,331,239  
              355,549,736  

Software — 9.0%

Atlassian Corp. PLC Class A (a)

    200,442       42,211,081  

Autodesk, Inc. (a)

    37,023       6,915,896  

Bill.com Holdings, Inc. (a)

    175,992       23,296,061  

Black Knight, Inc. (a)

    599,000       38,773,270  

Broadridge Financial Solutions, Inc.

    88,000       12,700,160  

CCC Intelligent Solutions Holdings, Inc. (a)

    2,211,000       20,120,100  

Clear Secure Inc. Class A (a) (b)

    255,000       5,829,300  

DocuSign, Inc. (a)

    187,000       9,998,890  

Doximity, Inc. Class A (a) (b)

    300,000       9,066,000  

Fair Isaac Corp. (a)

    120,137       49,497,645  

HubSpot, Inc. (a)

    34,079       9,205,420  

MongoDB, Inc. (a)

    19,000       3,772,640  

MSCI, Inc.

    44,124       18,611,062  

Paycom Software, Inc. (a)

    81,944       27,040,701  

PTC, Inc. (a)

    259,000       27,091,400  

Roper Technologies, Inc.

    96,000       34,525,440  

SentinelOne Inc. Class A (a)

    337,000       8,613,720  

Synopsys, Inc. (a)

    150,000       45,826,500  

Veeva Systems, Inc. Class A (a)

    390,056       64,312,433  

 

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

 

159

 

 

MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Vimeo, Inc. (a)

    536,000     $ 2,144,000  

Workday, Inc. Class A (a)

    22,845       3,477,466  
              463,029,185  
              989,089,899  
                 

TOTAL COMMON STOCK (Cost $4,751,897,997)

            4,911,365,265  
                 

PREFERRED STOCK — 0.6%

Consumer, Cyclical — 0.1%

Auto Manufacturers — 0.1%

Nuro, Inc., Series D (Acquired 10/29/21, Cost $3,125,294) (a) (c) (d) (e)

    149,925       3,125,295  

Consumer, Non-cyclical — 0.2%

Commercial Services — 0.1%

Redwood Materials, Inc., Series C (Acquired 5/28/21, Cost $3,678,889) (a) (c) (d) (e)

    77,608       6,053,424  

Health Care – Services — 0.1%

Caris Life Sciences, Inc., Series D (Acquired 5/11/21, Cost $5,006,003) (a) (c) (d) (e)

    618,025       4,066,605  
              10,120,029  

Financial — 0.1%

Investment Companies — 0.1%

Maplebear, Inc., Series E (Acquired 11/19/21-12/01/21, Cost $10,196,716) (a) (c) (d) (e)

    84,807       4,111,443  

Maplebear, Inc. Series I (Acquired 2/26/21, Cost $1,765,375) (a) (c) (d) (e)

    14,123       684,683  
              4,796,126  

Industrial — 0.1%

Electrical Components & Equipment — 0.1%

Sila Nanotechnologies, Inc., Series F (Acquired 1/07/21, Cost $7,310,568) (a) (c) (d) (e)

    177,128       5,521,080  

Technology — 0.1%

Software — 0.1%

Databricks, Inc., Series G (Acquired 2/01/21, Cost $2,400,675) (a) (c) (d) (e)

    40,605       2,245,184  

 

   

Number of
Shares

    

Value

  

Databricks, Inc., Series H (Acquired 8/31/21, Cost $3,616,301) (a) (c) (d) (e)

    49,212     $ 2,721,094  
              4,966,278  
                 

TOTAL PREFERRED STOCK (Cost $37,099,821)

            28,528,808  
                 

TOTAL EQUITIES (Cost $4,788,997,818)

            4,939,894,073  
 

MUTUAL FUNDS — 0.5%

Diversified Financial Services — 0.5%

State Street Navigator Securities Lending Government Money Market Portfolio (f)

    25,184,258       25,184,258  
                 

TOTAL MUTUAL FUNDS (Cost $25,184,258)

            25,184,258  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $4,814,182,076)

            4,965,078,331  
                 

SHORT-TERM INVESTMENTS — 3.6%

Mutual Fund — 2.0%

T. Rowe Price Government Reserve Investment Fund

    104,697,257       104,697,257  
   

Principal
Amount

          

Repurchase Agreement — 1.6%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (g)

  $ 84,415,685       84,415,685  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $189,112,942)

            189,112,942  
                 

TOTAL INVESTMENTS — 100.6% (Cost $5,003,295,018) (h)

            5,154,191,273  
                 

Other Assets/(Liabilities) — (0.6)%

            (32,773,315 )
                 

NET ASSETS — 100.0%

          $ 5,121,417,958  

 

Abbreviation Legend

ADR

American Depositary Receipt

 

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

 

160

 

 

MassMutual Mid Cap Growth Fund — Portfolio of Investments (Continued)

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $78,799,801 or 1.54% of net assets. The Fund received $55,792,459 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

Investment is valued using significant unobservable inputs.

(d)

Restricted security. Certain securities are restricted as to resale. At September 30, 2022, these securities amounted to a value of $51,372,659 or 1.00% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(e)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $51,372,659 or 1.00% of net assets.

(f)

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

(g)

Maturity value of $84,421,524. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 9/15/25, and an aggregate market value, including accrued interest, of $86,104,154.

(h)

See Note 6 for aggregate cost for federal tax purposes.

 

 

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

 

161

 

 

MassMutual Small Cap Growth Equity Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 94.6%

COMMON STOCK — 94.6%

Basic Materials — 2.5%

Chemicals — 1.5%

Cabot Corp.

    73,212     $ 4,677,514  

Methanex Corp. (a)

    44,471       1,417,291  

Olin Corp.

    35,627       1,527,686  
              7,622,491  

Mining — 1.0%

Livent Corp. (a) (b)

    172,099       5,274,834  
              12,897,325  

Communications — 3.6%

Internet — 1.6%

Bumble, Inc. Class A (a) (b)

    22,129       475,552  

Cargurus, Inc. (b)

    145,744       2,065,193  

Criteo SA Sponsored ADR (b)

    48,482       1,310,468  

Perficient, Inc. (b)

    41,869       2,722,322  

Ziff Davis, Inc. (b)

    24,006       1,643,931  
              8,217,466  

Media — 0.6%

The New York Times Co. Class A

    48,786       1,402,598  

World Wrestling Entertainment, Inc. Class A

    25,876       1,815,719  
              3,218,317  

Telecommunications — 1.4%

Calix, Inc. (b)

    94,607       5,784,272  

Viavi Solutions, Inc. (b)

    130,558       1,703,782  
              7,488,054  
              18,923,837  

Consumer, Cyclical — 9.4%

Apparel — 1.8%

Carter’s, Inc.

    15,496       1,015,453  

Crocs, Inc. (b)

    16,715       1,147,652  

Deckers Outdoor Corp. (b)

    4,013       1,254,504  

On Holding AG, Class A (a) (b)

    61,592       988,551  

Oxford Industries, Inc.

    33,186       2,979,439  

Steven Madden Ltd.

    83,298       2,221,558  
              9,607,157  

Auto Parts & Equipment — 0.2%

Visteon Corp. (b)

    10,008       1,061,449  

Distribution & Wholesale — 0.4%

WESCO International, Inc. (b)

    17,761       2,120,308  

Entertainment — 0.8%

Cinemark Holdings, Inc. (b)

    100,661       1,219,005  

DraftKings, Inc. Class A (b)

    66,117       1,001,011  

Red Rock Resorts, Inc. Class A

    67,686       2,318,922  
              4,538,938  

 

   

Number of
Shares

    

Value

  

Food Services — 0.4%

Sovos Brands, Inc. (b)

    134,880     $ 1,920,691  

Home Builders — 1.0%

Century Communities, Inc.

    38,320       1,639,330  

Skyline Champion Corp. (b)

    67,750       3,581,942  
              5,221,272  

Leisure Time — 0.6%

Acushnet Holdings Corp.

    32,690       1,421,688  

Planet Fitness, Inc. Class A (b)

    27,672       1,595,568  
              3,017,256  

Lodging — 0.3%

Boyd Gaming Corp.

    32,524       1,549,769  

Retail — 3.9%

BJ’s Wholesale Club Holdings, Inc. (b)

    35,102       2,555,777  

Boot Barn Holdings, Inc. (b)

    41,707       2,438,191  

Denny’s Corp. (b)

    99,693       938,111  

Nu Skin Enterprises, Inc. Class A

    42,767       1,427,135  

Ollie’s Bargain Outlet Holdings, Inc. (b)

    24,646       1,271,734  

Patrick Industries, Inc.

    31,569       1,383,985  

Rush Enterprises, Inc. Class A

    40,888       1,793,348  

Sweetgreen, Inc. Class A (a) (b)

    39,051       722,443  

Texas Roadhouse, Inc.

    29,419       2,567,102  

Victoria’s Secret & Co. (b)

    47,575       1,385,384  

Wingstop, Inc.

    32,606       4,089,444  
              20,572,654  
              49,609,494  

Consumer, Non-cyclical — 29.0%

Beverages — 1.1%

Celsius Holdings, Inc. (a) (b)

    37,812       3,428,792  

MGP Ingredients, Inc. (a)

    21,833       2,317,792  
              5,746,584  

Biotechnology — 6.2%

Akero Therapeutics, Inc. (a) (b)

    28,598       973,762  

Amicus Therapeutics, Inc. (b)

    143,662       1,499,831  

Apellis Pharmaceuticals, Inc. (b)

    31,484       2,150,357  

Blueprint Medicines Corp. (b)

    17,525       1,154,722  

Celldex Therapeutics, Inc. (b)

    15,803       444,222  

Crinetics Pharmaceuticals, Inc. (b)

    81,307       1,596,869  

Cytokinetics, Inc. (b)

    63,615       3,082,147  

Fate Therapeutics, Inc. (a) (b)

    16,573       371,401  

Halozyme Therapeutics, Inc. (b)

    105,261       4,162,020  

Immatics NV (b)

    82,413       824,130  

Intellia Therapeutics, Inc. (b)

    14,725       824,011  

Intra-Cellular Therapies, Inc. (b)

    48,298       2,247,306  

Karuna Therapeutics, Inc. (b)

    10,441       2,348,494  

 

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

 

162

 

 

MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Kymera Therapeutics, Inc. (b)

    43,930     $ 956,356  

Mirati Therapeutics, Inc. (b)

    6,023       420,646  

Myriad Genetics, Inc. (b)

    72,557       1,384,388  

PTC Therapeutics, Inc. (b)

    23,619       1,185,674  

Relay Therapeutics, Inc. (b)

    31,100       695,707  

Revolution Medicines, Inc. (b)

    79,679       1,571,270  

Rocket Pharmaceuticals, Inc. (b)

    82,515       1,316,939  

Sage Therapeutics, Inc. (b)

    12,972       507,984  

Syndax Pharmaceuticals, Inc. (b)

    65,193       1,566,588  

Veracyte, Inc. (b)

    55,446       920,404  

Zentalis Pharmaceuticals, Inc. (b)

    29,986       649,497  
              32,854,725  

Commercial Services — 5.8%

AMN Healthcare Services, Inc. (b)

    18,643       1,975,412  

Cross Country Healthcare, Inc. (b)

    59,714       1,694,086  

Driven Brands Holdings, Inc. (b)

    35,559       994,941  

H&R Block, Inc.

    41,647       1,771,663  

HealthEquity, Inc. (b)

    46,966       3,154,706  

Herc Holdings, Inc.

    27,293       2,835,197  

Paylocity Holding Corp. (b)

    18,289       4,418,257  

R1 RCM, Inc. (b)

    147,622       2,735,436  

TriNet Group, Inc. (b)

    51,068       3,637,063  

WillScot Mobile Mini Holdings Corp. (b)

    182,470       7,359,015  
              30,575,776  

Cosmetics & Personal Care — 1.0%

elf Beauty, Inc. (b)

    136,819       5,147,131  

Food — 1.1%

Grocery Outlet Holding Corp. (b)

    37,281       1,241,084  

Performance Food Group Co. (b)

    105,049       4,511,855  
              5,752,939  

Health Care – Products — 8.5%

AtriCure, Inc. (b)

    42,930       1,678,563  

Axonics Inc. (b)

    65,677       4,626,288  

CONMED Corp.

    12,728       1,020,404  

Glaukos Corp. (b)

    24,478       1,303,209  

Globus Medical, Inc. Class A (b)

    93,821       5,588,917  

Haemonetics Corp. (b)

    62,196       4,604,370  

ICU Medical, Inc. (b)

    10,640       1,602,384  

Inari Medical, Inc. (b)

    51,684       3,754,326  

Inspire Medical Systems, Inc. (b)

    35,847       6,358,182  

Integra LifeSciences Holdings Corp. (b)

    31,866       1,349,844  

iRhythm Technologies, Inc. (b)

    9,766       1,223,484  

Lantheus Holdings, Inc. (b)

    7,087       498,429  

Omnicell, Inc. (b)

    14,749       1,283,605  

Repligen Corp. (b)

    23,703       4,435,068  

Shockwave Medical, Inc. (b)

    18,228       5,068,660  

 

   

Number of
Shares

    

Value

  

Tandem Diabetes Care, Inc. (b)

    9,211     $ 440,746  
              44,836,479  

Health Care – Services — 2.6%

Acadia Healthcare Co., Inc. (b)

    73,857       5,774,140  

Amedisys, Inc. (b)

    16,435       1,590,744  

Medpace Holdings, Inc. (b)

    20,974       3,296,483  

Surgery Partners, Inc. (a) (b)

    68,725       1,608,165  

Tenet Healthcare Corp. (b)

    26,874       1,386,161  
              13,655,693  

Pharmaceuticals — 2.7%

Aclaris Therapeutics, Inc. (b)

    56,675       892,065  

Alkermes PLC (b)

    20,210       451,289  

Ascendis Pharma A/S ADR (b)

    5,936       612,951  

BellRing Brands, Inc. (b)

    73,063       1,505,828  

Covetrus, Inc. (b)

    127,465       2,661,469  

Harmony Biosciences Holdings, Inc. (b)

    24,989       1,106,763  

Myovant Sciences Ltd. (a) (b)

    52,064       935,069  

Option Care Health, Inc. (b)

    59,931       1,886,029  

Owens & Minor, Inc.

    127,095       3,062,990  

Pacira BioSciences, Inc. (b)

    14,861       790,457  

Y-mAbs Therapeutics, Inc. (b)

    30,864       445,059  
              14,349,969  
              152,919,296  

Energy — 6.0%

Energy – Alternate Sources — 0.6%

First Solar, Inc. (b)

    18,242       2,412,869  

Maxeon Solar Technologies Ltd. (a) (b)

    33,208       789,354  
              3,202,223  

Oil & Gas — 5.0%

Brigham Minerals, Inc. Class A

    130,131       3,210,332  

Chord Energy Corp. (a)

    37,782       5,167,444  

Magnolia Oil & Gas Corp. Class A

    51,617       1,022,533  

Matador Resources Co.

    77,851       3,808,471  

PBF Energy, Inc. Class A (b)

    31,112       1,093,898  

PDC Energy, Inc.

    36,779       2,125,459  

SM Energy Co.

    141,489       5,321,401  

Viper Energy Partners LP (c)

    163,693       4,691,441  
              26,440,979  

Oil & Gas Services — 0.1%

Aris Water Solution, Inc. Class A

    53,506       682,736  

Pipelines — 0.3%

New Fortress Energy, Inc.

    31,184       1,363,053  
              31,688,991  

 

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

 

163

 

 

MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Financial — 13.3%

Banks — 3.8%

Ameris Bancorp

    101,601     $ 4,542,581  

Atlantic Union Bankshares Corp.

    59,662       1,812,532  

Cadence Bank

    71,844       1,825,556  

First Interstate BancSystem, Inc. Class A

    55,941       2,257,219  

National Bank Holdings Corp. Class A

    51,412       1,901,730  

Pinnacle Financial Partners, Inc.

    24,255       1,967,080  

Seacoast Banking Corp. of Florida

    63,288       1,913,196  

Synovus Financial Corp.

    54,023       2,026,403  

Wintrust Financial Corp.

    24,208       1,974,162  
              20,220,459  

Diversified Financial Services — 3.2%

Air Lease Corp.

    60,430       1,873,934  

Cohen & Steers, Inc.

    9,279       581,144  

Hamilton Lane, Inc. Class A

    49,196       2,932,574  

Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a)

    106,544       3,188,862  

LPL Financial Holdings, Inc.

    17,318       3,783,637  

PJT Partners, Inc. Class A

    14,200       948,844  

PRA Group, Inc. (b)

    58,513       1,922,737  

StepStone Group, Inc. Class A

    69,726       1,708,984  
              16,940,716  

Insurance — 2.1%

Assured Guaranty Ltd.

    48,710       2,360,000  

The Hanover Insurance Group, Inc.

    6,158       789,086  

Kemper Corp.

    36,597       1,509,992  

Kinsale Capital Group, Inc.

    11,850       3,026,727  

MGIC Investment Corp.

    125,527       1,609,256  

Selective Insurance Group, Inc.

    19,808       1,612,371  
              10,907,432  

Real Estate — 0.4%

McGrath RentCorp

    22,400       1,878,464  

Real Estate Investment Trusts (REITS) — 3.8%

Centerspace

    21,849       1,470,875  

Douglas Emmett, Inc.

    67,789       1,215,457  

Essential Properties Realty Trust, Inc.

    165,160       3,212,362  

Independence Realty Trust, Inc.

    74,407       1,244,829  

National Storage Affiliates Trust

    86,793       3,608,853  

Outfront Media, Inc.

    57,523       873,774  

Phillips Edison & Co., Inc. (a)

    123,759       3,471,440  

PotlatchDeltic Corp.

    40,774       1,673,365  

Ryman Hospitality Properties, Inc.

    25,887       1,905,024  

Xenia Hotels & Resorts, Inc.

    100,153       1,381,110  
              20,057,089  
              70,004,160  

 

   

Number of
Shares

    

Value

  

Industrial — 16.0%

Aerospace & Defense — 1.5%

Curtiss-Wright Corp.

    36,887     $ 5,133,195  

Mercury Systems, Inc. (b)

    34,081       1,383,688  

Spirit AeroSystems Holdings, Inc. Class A

    56,640       1,241,549  
              7,758,432  

Building Materials — 0.5%

The AZEK Co., Inc (b)

    73,032       1,213,792  

Louisiana-Pacific Corp.

    24,613       1,259,939  
              2,473,731  

Electrical Components & Equipment — 1.2%

Acuity Brands, Inc.

    13,910       2,190,408  

Novanta, Inc. (b)

    34,585       3,999,755  
              6,190,163  

Electronics — 0.2%

Coherent Corp. (b)

    23,265       810,785  

Engineering & Construction — 1.5%

Comfort Systems USA, Inc.

    29,701       2,890,798  

Fluor Corp. (b)

    204,778       5,096,925  
              7,987,723  

Environmental Controls — 2.7%

Casella Waste Systems, Inc. Class A (b)

    93,346       7,130,701  

Clean Harbors, Inc. (b)

    41,528       4,567,250  

Evoqua Water Technologies Corp. (b)

    75,688       2,503,002  
              14,200,953  

Hand & Machine Tools — 0.7%

Enerpac Tool Group Corp.

    29,251       521,545  

Kennametal, Inc.

    64,947       1,336,609  

Regal Rexnord Corp.

    10,960       1,538,346  
              3,396,500  

Machinery – Diversified — 4.5%

Albany International Corp. Class A

    20,759       1,636,432  

Applied Industrial Technologies, Inc.

    39,496       4,059,399  

Cactus, Inc. Class A

    48,294       1,855,938  

Chart Industries, Inc. (a) (b)

    49,497       9,124,772  

Enovis Corp. (b)

    28,136       1,296,225  

Flowserve Corp.

    59,759       1,452,144  

The Middleby Corp. (b)

    10,193       1,306,437  

Zurn Elkay Water Solutions Corp.

    128,088       3,138,156  
              23,869,503  

Metal Fabricate & Hardware — 1.5%

Advanced Drainage Systems, Inc.

    29,183       3,629,490  

Helios Technologies, Inc.

    28,802       1,457,381  

Valmont Industries, Inc.

    11,166       2,999,411  
              8,086,282  

 

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

 

164

 

 

MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Packaging & Containers — 0.7%

Graphic Packaging Holding Co.

    194,425     $ 3,837,950  

Transportation — 0.7%

CryoPort, Inc. (b)

    25,285       615,943  

Kirby Corp. (b)

    31,247       1,898,880  

Saia, Inc. (b)

    7,032       1,336,080  
              3,850,903  

Trucking & Leasing — 0.3%

GATX Corp.

    19,014       1,619,042  
              84,081,967  

Technology — 13.7%

Computers — 3.9%

CyberArk Software Ltd. (b)

    30,554       4,581,267  

Exlservice Holdings, Inc. (b)

    34,410       5,070,658  

Globant SA (b)

    13,479       2,521,651  

KBR, Inc.

    60,883       2,631,363  

Rapid7, Inc. (b)

    60,369       2,589,830  

Tenable Holdings, Inc. (b)

    21,503       748,304  

Varonis Systems, Inc. (b)

    27,199       721,318  

WNS Holdings Ltd. ADR (b)

    21,632       1,770,363  
              20,634,754  

Semiconductors — 3.5%

Cirrus Logic, Inc. (b)

    21,876       1,505,069  

FormFactor, Inc. (b)

    51,099       1,280,030  

Impinj, Inc. (b)

    38,769       3,102,683  

Lattice Semiconductor Corp. (b)

    75,544       3,717,520  

MACOM Technology Solutions Holdings, Inc. (b)

    25,286       1,309,562  

MKS Instruments, Inc.

    10,763       889,455  

Nova Ltd. (b)

    12,779       1,090,049  

Power Integrations, Inc.

    26,204       1,685,441  

Synaptics, Inc. (b)

    17,810       1,763,368  

Tower Semiconductor Ltd. (b)

    47,614       2,092,159  
              18,435,336  

Software — 6.3%

Box, Inc. Class A (b)

    42,204       1,029,356  

Confluent, Inc. Class A (a) (b)

    28,878       686,430  

DoubleVerify Holdings, Inc. (b)

    64,205       1,756,007  

Doximity, Inc. Class A (a) (b)

    21,800       658,796  

Duolingo, Inc. (b)

    12,949       1,233,133  

Evolent Health, Inc. Class A (b)

    51,667       1,856,395  

Five9, Inc. (b)

    23,238       1,742,385  

Gitlab, Inc. Class A (a) (b)

    13,641       698,692  

HashiCorp, Inc. Class A (a) (b)

    18,056       581,223  

Jamf Holding Corp. (a) (b)

    177,788       3,939,782  

Manhattan Associates, Inc. (b)

    50,114       6,666,665  

New Relic, Inc. (b)

    22,393       1,284,910  

 

   

Number of
Shares

    

Value

  

PowerSchool Holdings, Inc. Class A (b)

    61,036     $ 1,018,691  

Privia Health Group, Inc. (b)

    42,934       1,462,332  

RingCentral, Inc. Class A (b)

    51,257       2,048,230  

Samsara, Inc. Class A (b)

    51,990       627,519  

Sprout Social, Inc. Class A (b)

    44,246       2,684,847  

Verra Mobility Corp. (b)

    212,499       3,266,110  
              33,241,503  
              72,311,593  

Utilities — 1.1%

Electric — 0.8%

Ameresco, Inc. Class A (b)

    9,730       646,850  

Atlantica Sustainable Infrastructure PLC

    62,055       1,632,047  

Portland General Electric Co.

    47,732       2,074,433  
              4,353,330  

Gas — 0.3%

ONE Gas, Inc.

    22,060       1,552,803  
              5,906,133  
                 

TOTAL COMMON STOCK (Cost $525,086,485)

            498,342,796  
                 

TOTAL EQUITIES (Cost $525,086,485)

            498,342,796  
                 

MUTUAL FUNDS — 2.5%

Diversified Financial Services — 2.5%

iShares Russell 2000 ETF (a)

    15,178       2,503,156  

iShares Russell 2000 Growth ETF

    10,241       2,115,688  

State Street Navigator Securities Lending Government Money Market Portfolio (d)

    8,359,079       8,359,079  
              12,977,923  
                 

TOTAL MUTUAL FUNDS (Cost $13,545,744)

            12,977,923  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $538,632,229)

            511,320,719  
                 

 

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

 

165

 

 

MassMutual Small Cap Growth Equity Fund — Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

SHORT-TERM INVESTMENTS — 3.9%

Repurchase Agreement — 3.9%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (e)

  $ 20,746,302     $ 20,746,302  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $20,746,302)

            20,746,302  
                 

TOTAL INVESTMENTS — 101.0% (Cost $559,378,531) (f)

            532,067,021  
                 

Other Assets/(Liabilities) — (1.0)%

            (5,485,059 )
                 

NET ASSETS — 100.0%

          $ 526,581,962  

 

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, 2022, was $26,470,437 or 5.03% of net assets. The Fund received $18,820,026 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(b)

Non-income producing security.

(c)

Security is a Master Limited Partnership

(d)

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

(e)

Maturity value of $20,747,737. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 9/15/25, and an aggregate market value, including accrued interest, of $21,161,413.

(f)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

166

 

 

MassMutual Overseas Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 97.1%

COMMON STOCK — 96.7%

Australia — 0.4%

Brambles Ltd.

    71,200     $ 516,601  

Orica Ltd.

    126,529       1,062,315  
              1,578,916  

Belgium — 0.9%

Anheuser-Busch InBev SA

    47,500       2,148,805  

KBC Group NV

    32,414       1,520,497  
              3,669,302  

Canada — 3.6%

Canadian National Railway Co.

    42,192       4,556,314  

Intact Financial Corp.

    16,363       2,315,708  

Open Text Corp.

    66,300       1,752,353  

Restaurant Brands International, Inc.

    14,400       765,792  

Suncor Energy, Inc.

    62,604       1,762,982  

The Toronto-Dominion Bank

    47,683       2,924,461  
              14,077,610  

Cayman Islands — 2.0%

Alibaba Group Holding Ltd. (a)

    253,240       2,540,224  

NetEase, Inc.

    91,800       1,394,043  

Tencent Holdings Ltd.

    71,500       2,414,698  

Trip.com Group Ltd. (a)

    13,599       371,485  

Vipshop Holdings Ltd. ADR (a)

    151,204       1,271,625  
              7,992,075  

Denmark — 2.5%

Carlsberg A/S Class B

    20,100       2,345,258  

DSV A/S

    11,555       1,339,296  

Novo Nordisk A/S Class B

    61,346       6,114,601  
              9,799,155  

Finland — 0.2%

UPM-Kymmene OYJ

    30,500       969,210  

France — 17.1%

Accor SA (a)

    116,355       2,429,340  

Air Liquide SA

    57,859       6,588,219  

BNP Paribas SA

    94,631       3,995,070  

Capgemini SE

    48,388       7,732,914  

Cie de Saint-Gobain

    49,484       1,764,789  

Cie Generale des Etablissements Michelin SCA

    73,876       1,645,877  

Danone SA

    30,700       1,446,488  

Dassault Systemes SE

    46,444       1,596,452  

Edenred

    26,000       1,195,043  

Engie SA

    291,966       3,349,972  

EssilorLuxottica SA

    29,143       3,948,748  

Kering SA

    3,770       1,667,165  

L’Oreal SA

    6,990       2,225,741  

 

   

Number of
Shares

    

Value

  

Legrand SA

    32,980     $ 2,130,801  

LVMH Moet Hennessy Louis Vuitton SE

    11,018       6,476,766  

Pernod Ricard SA

    27,276       4,985,589  

Publicis Groupe SA

    49,669       2,350,229  

Schneider Electric SE

    66,115       7,417,502  

Valeo

    112,730       1,694,373  

Worldline SA (a) (b)

    78,600       3,073,665  
              67,714,743  

Germany — 14.5%

adidas AG

    19,945       2,314,629  

Allianz SE Registered

    20,440       3,234,644  

Bayer AG Registered

    149,468       6,897,638  

Bayerische Motoren Werke AG

    49,385       3,376,409  

Beiersdorf AG

    46,606       4,611,931  

Continental AG

    61,080       2,744,233  

Daimler Truck Holding AG (a)

    103,061       2,358,645  

Deutsche Boerse AG

    33,802       5,565,061  

Fresenius Medical Care AG & Co. KGaA

    41,800       1,188,080  

Fresenius SE & Co. KGaA

    118,300       2,533,898  

Henkel AG & Co. KGaA

    33,400       1,906,423  

Mercedes-Benz Group AG

    69,173       3,537,345  

Merck KGaA

    31,804       5,190,522  

MTU Aero Engines AG

    9,028       1,362,357  

SAP SE

    85,681       7,063,097  

Siemens AG Registered

    24,600       2,434,748  

thyssenkrupp AG (a)

    290,817       1,242,586  
              57,562,246  

Hong Kong — 1.4%

AIA Group Ltd.

    666,000       5,529,503  

India — 1.7%

Axis Bank Ltd.

    92,205       825,501  

HDFC Bank Ltd.

    101,812       1,765,059  

Housing Development Finance Corp. Ltd.

    77,779       2,166,696  

Tata Consultancy Services Ltd.

    56,278       2,059,807  
              6,817,063  

Ireland — 2.1%

Linde PLC (a)

    13,222       3,615,780  

Ryanair Holdings PLC Sponsored ADR (a)

    81,060       4,735,525  
              8,351,305  

Israel — 0.9%

Check Point Software Technologies Ltd. (a)

    33,636       3,767,905  

Italy — 2.4%

Eni SpA

    253,547       2,693,607  

 

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

 

167

 

 

MassMutual Overseas Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Intesa Sanpaolo SpA

    4,189,027     $ 6,894,794  
              9,588,401  

Japan — 10.3%

Daikin Industries Ltd.

    28,700       4,434,726  

Denso Corp.

    45,300       2,067,671  

Fujitsu Ltd.

    1,000       107,842  

Hitachi Ltd.

    127,200       5,385,937  

Hoya Corp.

    33,600       3,230,468  

Koito Manufacturing Co. Ltd.

    119,600       1,639,039  

Komatsu Ltd.

    62,200       1,124,819  

Kose Corp.

    27,500       2,799,383  

Kubota Corp.

    232,500       3,224,114  

Kyocera Corp.

    70,000       3,538,406  

Olympus Corp.

    185,000       3,560,479  

Shin-Etsu Chemical Co. Ltd.

    12,600       1,251,226  

SMC Corp.

    5,500       2,218,825  

Sony Group Corp.

    48,700       3,134,445  

Terumo Corp.

    111,100       3,135,084  
              40,852,464  

Mexico — 0.2%

Grupo Televisa SAB Sponsored ADR

    154,900       833,362  

Netherlands — 5.2%

Akzo Nobel NV

    54,711       3,085,488  

CNH Industrial NV

    231,697       2,586,685  

EXOR NV (a) (c)

    47,100       3,022,580  

ING Groep NV

    271,634       2,329,075  

Koninklijke Philips NV

    108,370       1,673,942  

Prosus NV (a)

    62,523       3,258,319  

QIAGEN NV (a)

    57,697       2,427,990  

Randstad NV (d)

    47,932       2,072,720  
              20,456,799  

Portugal — 0.4%

Galp Energia SGPS SA

    183,193       1,755,713  

Republic of Korea — 0.4%

NAVER Corp.

    11,965       1,594,651  

Singapore — 1.0%

DBS Group Holdings, Ltd.

    166,500       3,849,475  

Spain — 0.9%

Amadeus IT Group SA (a)

    76,189       3,526,709  

Sweden — 1.4%

Hennes & Mauritz AB Class B (d)

    185,694       1,716,188  

SKF AB Class B

    147,700       1,975,038  

Volvo AB Class B

    119,200       1,681,941  
              5,373,167  

 

   

Number of
Shares

    

Value

  

Switzerland — 13.2%

Cie Financiere Richemont SA Registered

    53,641     $ 5,033,312  

Credit Suisse Group AG Registered (a)

    706,794       2,785,551  

Holcim AG (a)

    59,184       2,414,574  

Julius Baer Group Ltd. (a)

    42,123       1,832,913  

Nestle SA Registered

    97,122       10,516,333  

Novartis AG Registered

    73,059       5,569,525  

Roche Holding AG

    31,372       10,229,124  

Schindler Holding AG

    5,120       794,207  

Sika AG Registered

    10,981       2,198,926  

The Swatch Group AG

    5,445       1,222,836  

UBS Group AG Registered

    368,817       5,327,918  

Zurich Insurance Group AG

    10,549       4,193,486  
              52,118,705  

Taiwan — 0.8%

Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR

    44,851       3,074,984  

United Kingdom — 12.6%

Ashtead Group PLC

    29,900       1,334,912  

Compass Group PLC

    300,387       6,004,499  

Diageo PLC

    110,636       4,637,391  

Experian PLC

    143,285       4,200,717  

Glencore PLC

    484,100       2,556,308  

Informa PLC

    207,700       1,196,576  

Liberty Global PLC Class A (a)

    91,600       1,428,044  

Lloyds Banking Group PLC

    8,184,497       3,739,205  

London Stock Exchange Group PLC

    30,203       2,546,823  

Prudential PLC

    405,505       3,984,118  

Reckitt Benckiser Group PLC

    49,510       3,272,185  

RELX PLC

    176,591       4,311,050  

Rio Tinto PLC

    44,984       2,436,492  

Rolls-Royce Holdings PLC (a)

    1,886,927       1,450,095  

Schroders PLC

    451,964       1,956,767  

Smiths Group PLC

    45,558       763,531  

Tesco PLC

    935,867       2,142,872  

WPP PLC

    217,044       1,796,137  
              49,757,722  

United States — 0.6%

Yum China Holdings, Inc.

    46,695       2,210,074  
                 

TOTAL COMMON STOCK (Cost $433,518,282)

            382,821,259  
                 

 

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

 

168

 

 

MassMutual Overseas Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

PREFERRED STOCK — 0.4%

Republic of Korea — 0.4%

Samsung Electronics Co. Ltd. 1.760%

    52,500     $ 1,708,272  
                 

TOTAL PREFERRED STOCK (Cost $2,997,578)

            1,708,272  
                 

TOTAL EQUITIES (Cost $436,515,860)

            384,529,531  
                 

MUTUAL FUNDS — 0.7%

United States — 0.7%

State Street Navigator Securities Lending Government Money Market Portfolio (e)

    2,564,482       2,564,482  
                 

TOTAL MUTUAL FUNDS (Cost $2,564,482)

            2,564,482  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $439,080,342)

            387,094,013  
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 2.4%

Repurchase Agreement — 2.4%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (f)

  $ 9,671,698       9,671,698  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $9,671,698)

            9,671,698  
                 

TOTAL INVESTMENTS — 100.2% (Cost $448,752,040) (g)

            396,765,711  
                 

Other Assets/(Liabilities) — (0.2)%

            (782,917 )
                 

NET ASSETS — 100.0%

          $ 395,982,794  

 

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)

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, 2022, the aggregate market value of these securities amounted to $3,073,665 or 0.78% of net assets.

(c)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $3,022,580 or 0.76% of net assets.

(d)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $2,441,007 or 0.62% of net assets. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(e)

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

(f)

Maturity value of $9,672,367. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 9/15/25, and an aggregate market value, including accrued interest, of $9,865,186.

(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

    29.2 %

Financial

    18.3 %

Consumer, Cyclical

    14.8 %

Industrial

    14.5 %

Technology

    7.6 %

Basic Materials

    5.5 %

Communications

    4.8 %

Energy

    1.6 %

Utilities

    0.8 %

Mutual Funds

    0.7 %

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.

 

169

 

 

MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 96.8%

COMMON STOCK — 96.2%

Australia — 2.7%

Australia & New Zealand Banking Group Ltd.

    124,850     $ 1,812,792  

BHP Group Ltd.

    127,425       3,173,508  

BHP Group Ltd. (a)

    231,810       5,821,930  

Challenger Ltd.

    203,981       765,048  

Downer EDI Ltd.

    601,763       1,745,342  

IGO Ltd.

    598,148       5,213,933  

Incitec Pivot Ltd.

    337,901       760,909  

Macquarie Group Ltd.

    17,949       1,741,860  

Rio Tinto Ltd.

    13,665       813,243  

Scentre Group

    884,324       1,423,458  

South32 Ltd.

    1,884,742       4,356,369  

Treasury Wine Estates Ltd.

    191,187       1,539,360  

Woodside Energy Group Ltd.

    19,231       394,766  

Worley Ltd.

    544,386       4,425,956  
              33,988,474  

Austria — 0.4%

BAWAG Group AG (b)

    63,163       2,710,405  

Erste Group Bank AG

    105,757       2,315,987  
              5,026,392  

Belgium — 0.2%

KBC Group NV

    32,966       1,546,391  

Umicore SA

    44,802       1,298,978  
              2,845,369  

Bermuda — 0.3%

China Resources Gas Group Ltd.

    685,900       2,164,952  

Credicorp Ltd.

    3,470       426,116  

Hongkong Land Holdings Ltd.

    309,100       1,355,957  
              3,947,025  

Brazil — 1.4%

Ambev SA

    879,200       2,532,792  

B3 SA - Brasil Bolsa Balcao

    1,023,000       2,474,840  

Banco BTG Pactual SA

    518,300       2,383,795  

EDP - Energias do Brasil SA

    314,707       1,273,565  

Klabin SA

    363,900       1,224,389  

Localiza Rent a Car SA

    127,600       1,445,046  

Multiplan Empreendimentos Imobiliarios SA

    384,600       1,723,244  

Raia Drogasil SA

    489,558       2,062,835  

Rede D’Or Sao Luiz SA (b)

    76,319       420,477  

Suzano SA

    222,127       1,832,408  

WEG SA

    42,300       252,027  
              17,625,418  

Canada — 4.1%

BRP, Inc.

    15,174       934,706  

 

   

Number of
Shares

    

Value

  

Canadian Pacific Railway Ltd.

    80,794     $ 5,390,576  

Constellation Software, Inc.

    2,271       3,160,000  

Definity Financial Corp.

    93,903       2,638,951  

The Descartes Systems Group, Inc. (c)

    16,908       1,074,165  

Element Fleet Management Corp.

    278,000       3,280,414  

Magna International, Inc.

    79,328       3,761,734  

Manulife Financial Corp. (a)

    293,473       4,605,998  

National Bank of Canada

    120,184       7,532,871  

Shopify, Inc. Class A (c)

    40,160       1,081,910  

Sun Life Financial, Inc.

    151,358       6,018,819  

TC Energy Corp. (a)

    44,072       1,775,195  

TELUS International CDA, Inc. (c)

    67,461       1,765,946  

TMX Group Ltd.

    58,708       5,400,107  

Waste Connections, Inc.

    26,034       3,517,974  
              51,939,366  

Cayman Islands — 6.2%

Alibaba Group Holding Ltd. (c)

    531,280       5,329,213  

Alibaba Group Holding Ltd. Sponsored ADR (c)

    101,001       8,079,070  

Baidu, Inc. Class A (c)

    236,050       3,483,263  

Baidu, Inc. Sponsored ADR (c)

    35,744       4,199,563  

Bizlink Holding, Inc.

    202,000       1,787,137  

Budweiser Brewing Co. APAC Ltd. (b)

    960,200       2,502,736  

Chailease Holding Co. Ltd.

    137,000       779,443  

China Resources Mixc Lifestyle Services Ltd. (b)

    238,000       911,834  

CK Hutchison Holdings Ltd.

    279,000       1,532,141  

ENN Energy Holdings Ltd.

    88,300       1,174,956  

JD Health International, Inc. (b) (c)

    266,850       1,521,130  

JD.com, Inc. Class A

    49,050       1,238,577  

JOYY, Inc. ADR

    91,826       2,387,476  

Kanzhun Ltd. ADR (c)

    23,981       404,799  

KE Holdings, Inc. ADR (c)

    201,587       3,531,804  

Kingdee International Software Group Co. Ltd. (c)

    559,000       722,756  

Li Auto, Inc. ADR (c)

    24,600       566,046  

Li Auto, Inc. Class A (c)

    5,200       60,148  

Li Ning Co. Ltd.

    54,000       410,358  

Longfor Group Holdings Ltd. (b)

    635,759       1,801,663  

Meituan Class B (b) (c)

    137,500       2,881,874  

Pinduoduo, Inc. ADR (c)

    13,600       851,088  

Sea Ltd. ADR (c)

    39,839       2,232,976  

Silergy Corp.

    108,000       1,415,703  

Sunny Optical Technology Group Co. Ltd.

    61,800       580,867  

Tencent Holdings Ltd.

    306,700       10,357,872  

Tingyi Cayman Islands Holding Corp.

    1,008,000       1,725,327  

Tongcheng Travel Holdings Ltd. (c)

    1,510,800       2,950,947  

 

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

 

170

 

 

MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Trip.com Group Ltd. (c)

    78,750     $ 2,151,218  

Trip.com Group Ltd. ADR (c)

    100,741       2,751,237  

Weibo Corp. Sponsored ADR (c)

    54,531       932,480  

Wuxi Biologics Cayman, Inc. (b) (c)

    325,500       1,950,216  

XP, Inc. Class A (a) (c)

    133,868       2,544,831  

Zhongsheng Group Holdings Ltd.

    686,500       2,699,239  
              78,449,988  

Chile — 0.2%

Banco de Chile

    26,165,703       2,302,180  

China — 3.6%

Beijing Capital International Airport Co. Ltd. Class H (c)

    2,302,000       1,237,065  

China Construction Bank Corp. Class H

    4,234,000       2,436,514  

China Oilfield Services Ltd. Class A

    936,500       1,889,140  

Foshan Haitian Flavouring & Food Co. Ltd. Class A

    30,700       356,892  

Fuyao Glass Industry Group Co. Ltd. Class A

    699,800       3,531,938  

Glodon Co. Ltd. Class A

    88,000       566,092  

Gree Electric Appliances, Inc. of Zhuhai Class A

    374,600       1,712,000  

Hisense Home Appliances Group Co. Ltd. Class A

    610,455       963,408  

Hongfa Technology Co. Ltd. Class A

    140,420       686,344  

Huayu Automotive Systems Co. Ltd. Class

    536,900       1,249,839  

Hundsun Technologies, Inc. Class A

    311,100       1,485,110  

Inner Mongolia Yili Industrial Group Co. Ltd. Class A

    392,500       1,822,492  

Kweichow Moutai Co. Ltd. Class A

    8,698       2,287,896  

Midea Group Co. Ltd. Class A

    204,400       1,420,258  

NARI Technology Co. Ltd. Class A

    1,351,038       4,716,548  

PICC Property & Casualty Co. Ltd. Class H

    2,008,000       2,076,964  

Ping An Bank Co. Ltd. Class A

    743,500       1,236,112  

Ping An Insurance Group Co. of China Ltd. Class H

    417,500       2,075,939  

Pony Testing International Group Co. Ltd. Class A

    89,980       444,073  

Sangfor Technologies, Inc. Class A

    18,700       263,004  

Shandong Pharmaceutical Glass Co. Ltd. Class A

    314,700       1,281,769  

Shenzhen Inovance Technology Co. Ltd. Class A

    361,500       2,920,098  

Sinopharm Group Co. Ltd. Class H

    278,800       556,589  

Songcheng Performance Development Co. Ltd. Class A

    774,400       1,309,367  

Tsingtao Brewery Co. Ltd. Class H

    312,000       2,950,760  

Weichai Power Co. Ltd. Class A

    942,000       1,276,789  

WuXi AppTec Co. Ltd. Class A

    55,500       555,545  

 

   

Number of
Shares

    

Value

  

Yifeng Pharmacy Chain Co. Ltd. Class A

    155,916     $ 1,088,835  

Zhejiang Sanhua Intelligent Controls Co. Ltd. Class A

    267,500       927,021  
              45,324,401  

Cyprus — 0.0%

Ozon Holdings PLC ADR (c) (d) (e)

    18,310       —  

TCS Group Holding, PLC (c) (d) (e)

    10,848       —  
              —  

Denmark — 0.4%

Carlsberg A/S Class B

    17,873       2,085,413  

Genmab A/S (c)

    9,725       3,134,746  
              5,220,159  

Finland — 0.9%

Kojamo OYJ

    48,463       615,905  

Metso Outotec OYJ

    126,296       836,923  

Sampo OYJ Class A

    188,398       8,040,353  

Stora Enso OYJ Class R

    164,709       2,100,667  
              11,593,848  

France — 7.2%

Air Liquide SA

    22,644       2,578,400  

Alstom SA

    84,796       1,363,537  

AXA SA

    486,349       10,648,491  

BNP Paribas SA

    127,280       5,373,424  

Capgemini SE

    11,522       1,841,337  

Dassault Aviation SA

    53,834       6,114,125  

Engie SA

    608,697       6,984,093  

EssilorLuxottica SA

    53,658       7,270,422  

Faurecia SE (c)

    67,740       723,743  

Ipsen SA

    7,577       699,778  

Kering SA

    11,074       4,897,130  

L’Oreal SA

    11,040       3,515,334  

Legrand SA

    36,870       2,382,130  

LVMH Moet Hennessy Louis Vuitton SE

    2,253       1,324,392  

Safran SA

    44,185       4,017,503  

Sanofi

    150,086       11,454,606  

Teleperformance

    14,620       3,693,631  

Thales SA

    44,099       4,864,116  

TotalEnergies SE (a)

    252,291       11,875,317  
              91,621,509  

Germany — 5.3%

BASF SE

    41,407       1,604,678  

Bayer AG Registered

    185,836       8,575,946  

Beiersdorf AG

    11,212       1,109,492  

Covestro AG (b)

    112,709       3,258,626  

Daimler Truck Holding AG (c)

    120,267       2,752,420  

 

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

 

171

 

 

MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Deutsche Boerse AG

    12,099     $ 1,991,943  

Deutsche Post AG Registered

    66,069       2,010,373  

Deutsche Telekom AG Registered

    465,270       7,975,694  

Evotec SE (c)

    139,643       2,456,626  

Fresenius SE & Co. KGaA

    145,833       3,123,634  

GEA Group AG

    44,667       1,460,628  

HeidelbergCement AG

    25,120       1,006,227  

Infineon Technologies AG

    73,375       1,626,030  

KION Group AG

    43,577       844,410  

Knorr-Bremse AG

    15,515       672,668  

Mercedes-Benz Group AG

    40,176       2,054,506  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen Registered

    24,404       5,903,013  

SAP SE

    40,141       3,309,016  

Siemens AG Registered

    105,022       10,394,393  

Siemens Healthineers AG (b)

    65,775       2,849,158  

Stroeer SE & Co KGaA

    17,577       662,038  

Vonovia SE

    29,809       648,755  

Zalando SE (b) (c)

    47,146       934,795  
              67,225,069  

Hong Kong — 1.5%

AIA Group Ltd.

    1,073,400       8,911,964  

Beijing Enterprises Holdings Ltd.

    261,500       731,599  

China Overseas Land & Investment Ltd.

    821,000       2,117,432  

Fosun International Ltd.

    1,282,000       793,111  

Galaxy Entertainment Group Ltd.

    851,000       4,968,843  

Guangdong Investment Ltd.

    1,626,000       1,301,003  

Hong Kong Exchanges & Clearing Ltd.

    17,300       587,389  
              19,411,341  

Hungary — 0.3%

OTP Bank Nyrt

    176,604       3,223,358  

India — 4.9%

Ashok Leyland Ltd.

    473,907       884,548  

Asian Paints Ltd.

    15,770       653,135  

Axis Bank Ltd.

    434,853       3,893,190  

HDFC Asset Management Co. Ltd. (b)

    27,091       626,963  

HDFC Bank Ltd.

    134,097       2,324,767  

HDFC Life Insurance Co. Ltd. (b)

    466,313       3,027,071  

Hindalco Industries Ltd.

    299,070       1,420,476  

Hindustan Unilever Ltd.

    24,504       808,113  

Housing Development Finance Corp. Ltd.

    335,833       9,355,327  

ICICI Bank Ltd.

    371,651       3,914,781  

ICICI Bank Ltd. Sponsored ADR

    108,482       2,274,868  

Indus Towers Ltd.

    538,693       1,305,615  

Infosys Ltd.

    123,614       2,118,724  

 

   

Number of
Shares

    

Value

  

Kotak Mahindra Bank Ltd.

    217,230     $ 4,804,976  

Maruti Suzuki India Ltd.

    29,058       3,150,239  

NTPC Ltd.

    2,750,137       5,370,853  

Petronet LNG Ltd.

    1,244,771       3,042,210  

Reliance Industries Ltd.

    167,603       4,844,367  

Shree Cement Ltd.

    3,524       913,037  

Shriram Transport Finance Co. Ltd.

    229,312       3,353,011  

Tata Consultancy Services Ltd.

    11,420       417,979  

Tech Mahindra Ltd.

    110,890       1,359,305  

Voltas Ltd.

    184,348       2,042,530  
              61,906,085  

Indonesia — 0.9%

Bank Central Asia Tbk PT

    10,082,500       5,628,437  

Bank Rakyat Indonesia Persero Tbk PT

    11,581,564       3,406,953  

Sarana Menara Nusantara Tbk PT

    24,941,000       2,017,207  

Sumber Alfaria Trijaya Tbk PT

    723,400       113,218  
              11,165,815  

Ireland — 0.4%

DCC PLC

    26,790       1,393,736  

Linde PLC (c)

    15,602       4,266,631  
              5,660,367  

Italy — 1.5%

Amplifon SpA

    35,622       932,859  

Banca Mediolanum SpA

    372,244       2,331,416  

DiaSorin SpA

    15,651       1,748,876  

Enel SpA

    718,046       2,942,569  

Ermenegildo Zegna NV (a)

    104,719       1,125,729  

Intesa Sanpaolo SpA

    640,689       1,054,521  

Leonardo SpA

    209,300       1,481,155  

Moncler SpA

    44,712       1,835,864  

Prysmian SpA

    143,264       4,103,602  

UniCredit SpA

    179,830       1,818,467  
              19,375,058  

Japan — 14.3%

Asahi Group Holdings Ltd.

    88,800       2,754,694  

Asahi Kasei Corp.

    251,200       1,661,346  

Asics Corp.

    74,500       1,187,119  

Astellas Pharma, Inc.

    567,800       7,505,384  

Central Japan Railway Co.

    13,900       1,628,387  

Chugai Pharmaceutical Co. Ltd.

    117,800       2,941,356  

CyberAgent, Inc.

    199,400       1,660,846  

Dai-ichi Life Holdings, Inc.

    40,800       648,538  

Daiichi Sankyo Co. Ltd.

    125,300       3,485,455  

Daikin Industries Ltd.

    11,900       1,838,789  

Denso Corp.

    31,600       1,442,349  

DIC Corp.

    58,200       969,658  

Disco Corp.

    6,800       1,481,830  

 

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

 

172

 

 

MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Electric Power Development Co. Ltd.

    97,900     $ 1,382,279  

Fujitsu General Ltd. (a)

    124,100       2,583,819  

Fujitsu Ltd.

    31,200       3,364,684  

Hamamatsu Photonics KK

    41,000       1,760,364  

Hikari Tsushin, Inc.

    10,400       1,216,984  

Hitachi Ltd.

    94,500       4,001,344  

Honda Motor Co. Ltd.

    37,800       823,438  

Keyence Corp.

    6,900       2,290,820  

Kirin Holdings Co. Ltd.

    95,500       1,470,813  

MatsukiyoCocokara & Co.

    61,900       2,647,445  

Mitsubishi Corp.

    69,300       1,903,238  

Mitsubishi Electric Corp.

    522,500       4,720,003  

Mitsubishi Estate Co. Ltd.

    135,700       1,780,510  

Mitsubishi HC Capital, Inc.

    242,200       1,041,921  

Mitsubishi UFJ Financial Group, Inc.

    972,400       4,384,966  

Mitsui Fudosan Co. Ltd.

    286,900       5,468,933  

Murata Manufacturing Co. Ltd.

    96,200       4,418,940  

Nippon Sanso Holdings Corp.

    51,200       808,683  

Nippon Shokubai Co. Ltd.

    25,000       934,476  

Nippon Steel Corp.

    96,100       1,337,613  

Nippon Telegraph & Telephone Corp.

    675,700       18,229,042  

NSK Ltd. (a)

    142,400       697,768  

NTT Data Corp.

    413,900       5,349,145  

Omron Corp.

    20,300       925,227  

ORIX Corp.

    167,700       2,358,530  

Otsuka Holdings Co. Ltd.

    253,400       8,037,381  

Outsourcing, Inc.

    171,200       1,280,583  

Pan Pacific International Holding Corp.

    88,100       1,548,092  

Panasonic Holdings Corp.

    250,000       1,755,629  

Persol Holdings Co. Ltd.

    190,300       3,468,205  

Pola Orbis Holdings, Inc.

    25,600       286,879  

Recruit Holdings Co. Ltd.

    77,200       2,228,240  

Renesas Electronics Corp. (c)

    122,000       1,016,763  

Seven & i Holdings Co. Ltd.

    190,900       7,668,253  

Shimadzu Corp.

    60,100       1,564,397  

SMC Corp.

    2,300       927,872  

SoftBank Group Corp.

    29,000       985,134  

Sompo Holdings, Inc.

    58,400       2,327,543  

Sony Group Corp.

    75,200       4,840,046  

Stanley Electric Co. Ltd.

    214,600       3,366,679  

Sumitomo Corp.

    299,700       3,739,940  

Sumitomo Mitsui Trust Holdings, Inc.

    46,200       1,305,927  

Sumitomo Rubber Industries Ltd.

    66,600       530,821  

Suzuki Motor Corp.

    111,000       3,443,243  

Taiheiyo Cement Corp. (a)

    76,900       1,086,843  

Takeda Pharmaceutical Co. Ltd.

    71,700       1,862,203  

TechnoPro Holdings, Inc.

    91,400       1,921,410  

THK Co. Ltd.

    43,300       749,172  

 

   

Number of
Shares

    

Value

  

Tokio Marine Holdings, Inc.

    198,300     $ 3,524,507  

Tokyo Electron Ltd.

    15,600       3,862,419  

Tosoh Corp.

    21,300       237,845  

Toyota Motor Corp.

    726,900       9,461,935  

Welcia Holdings Co. Ltd.

    36,300       762,716  

Z Holdings Corp. (a)

    1,316,200       3,420,125  
              182,317,538  

Luxembourg — 0.3%

Millicom International Cellular SA (a) (c)

    91,856       1,052,086  

Samsonite International SA (b) (c)

    496,500       1,191,712  

Tenaris SA

    150,076       1,945,710  
              4,189,508  

Malaysia — 0.2%

CIMB Group Holdings Bhd

    2,906,624       3,203,580  

Mexico — 0.8%

Gruma SAB de CV Class B

    217,575       2,071,875  

Grupo Aeroportuario del Pacifico SAB de CV ADR

    16,900       2,142,582  

Grupo Aeroportuario del Sureste SAB de CV ADR

    2,138       419,411  

Grupo Financiero Banorte SAB de CV Class O

    228,000       1,460,527  

Grupo Mexico SAB de CV Series B

    757,282       2,557,676  

Orbia Advance Corp. SAB de CV

    445,479       749,857  

Wal-Mart de Mexico SAB de CV

    338,700       1,189,516  
              10,591,444  

Netherlands — 5.3%

Adyen NV (b) (c)

    1,644       2,045,215  

AerCap Holdings NV (c)

    52,597       2,226,431  

Airbus SE

    39,699       3,429,687  

Akzo Nobel NV

    154,224       8,697,634  

ASML Holding NV

    34,496       14,308,641  

Heineken NV

    5,821       510,307  

ING Groep NV

    1,103,115       9,458,452  

Koninklijke DSM NV

    9,957       1,129,322  

Koninklijke Philips NV

    431,785       6,669,587  

NXP Semiconductor NV

    31,803       4,691,260  

Prosus NV (c)

    26,528       1,369,545  

Prosus NV (c)

    170,474       8,884,069  

Shop Apotheke Europe NV (b) (c)

    3,995       162,193  

Signify NV (b)

    59,799       1,547,661  

Stellantis NV

    160,491       1,896,404  

X5 Retail Group NV GDR (d) (e)

    53,349       —  

Yandex N.V. (c) (d) (e)

    66,647       —  
              67,026,408  

Norway — 0.9%

DNB Bank ASA

    232,842       3,686,344  

 

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

 

173

 

 

MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Equinor ASA

    179,775     $ 5,929,623  

Storebrand ASA

    313,171       2,154,175  
              11,770,142  

Philippines — 0.3%

Bank of the Philippine Islands

    367,000       560,737  

SM Investments Corp.

    175,930       2,169,234  

Universal Robina Corp.

    331,770       645,084  
              3,375,055  

Poland — 0.2%

Powszechna Kasa Oszczednosci Bank Polski SA

    110,844       483,909  

Powszechny Zaklad Ubezpieczen SA

    342,217       1,584,746  
              2,068,655  

Portugal — 0.6%

Banco Comercial Portugues SA

    4,512,532       534,234  

Galp Energia SGPS SA

    582,580       5,583,420  

Jeronimo Martins SGPS SA

    82,866       1,543,896  
              7,661,550  

Republic of Korea — 3.2%

Amorepacific Corp.

    10,324       729,425  

CJ CheilJedang Corp.

    5,413       1,553,713  

Hyundai Motor Co.

    19,767       2,421,187  

Kangwon Land, Inc. (c)

    125,254       2,047,442  

KT Corp.

    112,382       2,831,762  

KT Corp. Sponsored ADR

    149,163       1,822,772  

LG Chem Ltd.

    4,726       1,751,338  

LG H&H Co. Ltd.

    2,464       1,080,670  

NAVER Corp.

    38,067       5,073,428  

POSCO Holdings, Inc.

    1,931       284,327  

Samsung Electronics Co. Ltd.

    568,956       20,905,338  
              40,501,402  

Russia — 0.0%

Gazprom PJSC (c) (d) (e)

    496,602       —  

Novatek PJSC (d) (e)

    73,140       —  
              —  

Saudi Arabia — 0.8%

Nahdi Medical Co.

    32,793       1,645,571  

The Saudi British Bank

    276,186       2,862,155  

The Saudi National Bank

    363,663       6,071,218  
              10,578,944  

Singapore — 1.3%

DBS Group Holdings, Ltd.

    77,400       1,789,486  

Jardine Cycle & Carriage Ltd.

    106,100       2,482,091  

United Overseas Bank Ltd.

    329,600       5,984,378  

Wilmar International Ltd.

    1,101,700       2,933,074  

 

   

Number of
Shares

    

Value

  

Yangzijiang Shipbuilding Holdings Ltd.

    3,846,100     $ 2,750,128  
              15,939,157  

South Africa — 0.5%

Capitec Bank Holdings Ltd.

    21,010       1,800,979  

Clicks Group Ltd.

    80,140       1,257,583  

FirstRand Ltd.

    954,991       3,177,638  
              6,236,200  

Spain — 0.7%

Amadeus IT Group SA (c)

    67,137       3,107,702  

Fluidra SA (a)

    137,086       2,043,723  

Iberdrola SA

    363,169       3,376,156  

Indra Sistemas SA

    101,848       773,964  
              9,301,545  

Sweden — 1.4%

Assa Abloy AB Class B

    93,110       1,739,983  

Elekta AB

    235,915       1,193,757  

Essity AB Class B

    109,377       2,159,015  

Olink Holding AB ADR (a) (c)

    29,221       354,743  

Svenska Handelsbanken AB Class A

    312,311       2,552,065  

Swedbank AB Class A

    331,663       4,336,397  

Telefonaktiebolaget LM Ericsson Class B (a)

    945,075       5,503,862  
              17,839,822  

Switzerland — 7.0%

ABB Ltd. Registered

    135,698       3,494,356  

Alcon, Inc.

    85,852       4,971,691  

Barry Callebaut AG Registered

    2,252       4,234,378  

Holcim AG (c)

    44,979       1,835,042  

Julius Baer Group Ltd. (c)

    161,101       7,010,045  

Lonza Group AG Registered

    7,300       3,550,055  

Nestle SA Registered

    178,492       19,327,045  

Novartis AG Registered

    133,944       10,210,986  

Partners Group Holding AG

    4,743       3,810,374  

PolyPeptide Group AG (b) (c)

    18,229       528,624  

Roche Holding AG

    62,713       20,448,140  

UBS Group AG Registered

    185,143       2,674,570  

Zurich Insurance Group AG

    18,519       7,361,755  
              89,457,061  

Taiwan — 2.9%

Hon Hai Precision Industry Co. Ltd.

    1,217,000       3,885,235  

Largan Precision Co. Ltd.

    11,000       573,629  

MediaTek, Inc.

    181,000       3,150,151  

Taiwan Semiconductor Manufacturing Co. Ltd.

    2,229,000       29,298,612  

Vanguard International Semiconductor Corp.

    251,000       507,414  
              37,415,041  

 

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

 

174

 

 

MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Thailand — 0.7%

Airports of Thailand PCL (c)

    150,100     $ 288,501  

Bangkok Dusit Medical Services PCL

    3,213,700       2,492,066  

Bumrungrad Hospital PCL

    12,100       72,468  

CP ALL PCL

    2,539,300       3,786,734  

Land & Houses PCL

    8,595,000       2,020,124  
              8,659,893  

United Arab Emirates — 0.2%

First Abu Dhabi Bank PJSC

    516,473       2,510,021  

United Kingdom — 11.1%

Amcor PLC

    280,026       2,973,673  

Antofagasta PLC

    145,756       1,797,936  

Ashtead Group PLC

    108,511       4,844,568  

ASOS PLC (a) (c)

    138,436       866,162  

AstraZeneca PLC Sponsored ADR

    354,400       19,435,296  

Atlassian Corp. PLC Class A (c)

    5,700       1,200,363  

boohoo Group PLC (a) (c)

    564,651       224,636  

Bridgepoint Group PLC (b)

    657,881       1,370,987  

British American Tobacco PLC

    62,661       2,240,720  

Bunzl PLC

    48,767       1,484,083  

Burberry Group PLC

    193,959       3,867,760  

Close Brothers Group PLC

    42,247       435,682  

Compass Group PLC

    175,361       3,505,328  

Diageo PLC

    87,510       3,668,047  

Direct Line Insurance Group PLC

    1,022,195       2,102,685  

Dr. Martens Plc

    280,761       687,962  

Fresnillo PLC

    187,815       1,604,839  

Great Portland Estates PLC

    388,313       1,900,312  

GSK PLC ADR

    163,418       4,809,392  

Haleon PLC ADR (a) (c)

    203,999       1,242,354  

HSBC Holdings PLC

    515,632       2,671,957  

Imperial Brands PLC

    157,581       3,251,807  

Informa PLC

    252,887       1,456,902  

InterContinental Hotels Group PLC

    35,826       1,718,774  

Investec PLC

    213,326       858,841  

Johnson Matthey PLC

    82,519       1,677,801  

Kingfisher PLC

    946,979       2,300,396  

Lloyds Banking Group PLC

    9,018,811       4,120,373  

London Stock Exchange Group PLC

    38,643       3,258,513  

Melrose Industries PLC

    1,500,024       1,674,816  

Mondi PLC

    56,319       869,937  

National Grid PLC

    246,034       2,539,032  

Network International Holdings PLC (b) (c)

    560,012       1,896,214  

Next PLC

    57,747       3,068,140  

Persimmon PLC

    95,989       1,321,475  

Prudential PLC

    366,261       3,598,542  

Rightmove PLC

    118,746       629,849  

 

   

Number of
Shares

    

Value

  

Rolls-Royce Holdings PLC (c)

    2,401,817     $ 1,845,786  

Shell PLC

    196,579       4,890,943  

Shell PLC ADR

    52,880       2,631,309  

Smith & Nephew PLC

    275,760       3,181,400  

Smiths Group PLC

    118,834       1,991,603  

Standard Chartered PLC

    325,846       2,049,518  

Taylor Wimpey PLC

    1,143,706       1,115,294  

Unilever PLC

    251,047       11,046,030  

Unilever PLC

    117,536       5,183,764  

Vodafone Group PLC

    1,860,830       2,095,811  

Vodafone Group PLC Sponsored ADR

    228,204       2,585,551  

Wizz Air Holdings Plc (b) (c)

    17,580       309,188  

WPP PLC

    622,205       5,149,027  
              141,251,378  

United States — 1.1%

Autoliv, Inc.

    21,746       1,468,540  

Broadcom, Inc.

    10,005       4,442,320  

Canva, Inc. (Acquired 8/16/21, Cost $652,842) (c) (d) (e) (f)

    383       365,746  

Mastercard, Inc. Class A

    7,933       2,255,669  

MercadoLibre, Inc. (c)

    600       496,668  

Southern Copper Corp.

    11,900       533,596  

Yum China Holdings, Inc.

    101,000       4,780,330  

Yum China Holdings, Inc.

    6,150       290,205  
              14,633,074  
                 

TOTAL COMMON STOCK (Cost $1,449,344,888)

            1,224,378,640  
                 

PREFERRED STOCK — 0.6%

Germany — 0.6%

Dr Ing hc F Porsche AG (a) (c)

    59,265       4,791,820  

Sartorius AG 0.130% 0.357%

    4,258       1,487,186  

Volkswagen AG 6.014% 6.014%

    15,707       1,940,110  
              8,219,116  

United States — 0.0%

Canva, Inc., Series A , (Acquired 11/04/21, Cost $39,209) (d) (e) (f)

    23       21,964  
                 

TOTAL PREFERRED STOCK (Cost $8,763,724)

            8,241,080  
                 

TOTAL EQUITIES (Cost $1,458,108,612)

            1,232,619,720  
                 

 

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

 

175

 

 

MassMutual Select T. Rowe Price International Equity Fund — Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 2.0%

United States — 2.0%

State Street Navigator Securities Lending Government Money Market Portfolio (g)

    25,119,089     $ 25,119,089  
                 

TOTAL MUTUAL FUNDS (Cost $25,119,089)

            25,119,089  
                 

RIGHTS — 0.0%

Brazil — 0.0%

Localiza Rent a Car SA (c)

    391       797  

Russia — 0.0%

Moscow Exchange (c) (d) (e)

    1,181,630       —  

Moscow Exchange (c) (d) (e)

    83,990       —  
              —  
                 

TOTAL RIGHTS (Cost $2,619,126)

            797  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $1,485,846,827)

            1,257,739,606  
                 

SHORT-TERM INVESTMENTS — 3.3%

Mutual Fund — 3.2%

T. Rowe Price Government Reserve Investment Fund

    40,804,373       40,804,373  
   

Principal
Amount

          

Repurchase Agreement — 0.1%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (h)

  $ 796,077       796,077  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $41,600,450)

            41,600,450  
                 

TOTAL INVESTMENTS — 102.1% (Cost $1,527,447,277) (i)

            1,299,340,056  
                 

Other Assets/(Liabilities) — (2.1)%

            (26,344,138 )
                 

NET ASSETS — 100.0%

          $ 1,272,995,918  

 

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)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $35,499,222 or 2.79% of net assets. The Fund received $12,253,302 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(b)

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, 2022, the aggregate market value of these securities amounted to $34,448,742 or 2.71% of net assets.

(c)

Non-income producing security.

(d)

Investment is valued using significant unobservable inputs.

(e)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $387,710 or 0.03% of net assets.

(f)

Restricted security. Certain securities are restricted as to resale. At September 30, 2022, these securities amounted to a value of $387,710 or 0.03% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(g)

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

(h)

Maturity value of $796,132. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $812,005.

(i)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

Financial

    22.7 %

Consumer, Non-cyclical

    22.2 %

Consumer, Cyclical

    10.9 %

Industrial

    10.7 %

Communications

    9.9 %

Technology

    9.4 %

Basic Materials

    5.2 %

Energy

    3.5 %

Utilities

    2.3 %

Mutual Funds

    2.0 %

Total Long-Term Investments

    98.8 %

Short-Term Investments and Other Assets and Liabilities

    1.2 %

Net Assets

    100.0 %

 

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

 

176

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

MassMutual Funds – Financial Statements

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
Total Return
Bond Fund

    

MassMutual
Strategic Bond
Fund

  

Assets:

               

Investments, at value (Note 2) (a)

  $ 873,322,276     $ 404,057,811  

Repurchase agreements, at value (Note 2) (b)

    15,693,982       972,044  

Total investments (c)

    889,016,258       405,029,855  

Cash

    23,641       3,556,764  

Foreign currency, at value (d)

    —       1,465,668  

Receivables from:

                

Investments sold

               

Regular delivery

    3,045,922       69,357  

Delayed delivery

    49,071,402       3,119,710  

Open forward contracts (Note 2)

    52,891       575,582  

Fund shares sold

    387,111       151,838  

Premiums for closed swap agreements, at value

    —       135,613  

Cash collateral pledged for open derivatives (Note 2)

     6,144,894       4,698,304  

Variation margin on open derivative instruments (Note 2)

    —       115,765  

Interest and dividends

    3,979,100       3,291,365  

Foreign tax reclaims

    14,304       2,326  

Prepaid expenses

    41,068       36,530  

Total assets

    951,776,591       422,248,677  

Liabilities:

                

Payables for:

                

Investments purchased

               

Regular delivery

    10,936,246       —  

Delayed delivery

    202,984,650       9,147,916  

Written options outstanding, at value (Note 2) (e)

    —       1,176,532  

Open forward contracts (Note 2)

    667       1,803,338  

Foreign currency overdraft

    59       —  

Interest and dividends

    —       21,413  

Fund shares repurchased

    485,282       192,275  

Cash collateral held for securities on loan (Note 2)

    16,726,548       2,470,330  

Cash collateral held for open derivatives (Note 2)

     —       30,000  

Trustees’ fees and expenses (Note 3)

    130,800       44,840  

Variation margin on open derivative instruments (Note 2)

    105,026       —  

Affiliates (Note 3):

                

Administration fees

    84,965       120,847  

Investment advisory fees

    182,908       137,607  

Service fees

    54,960       26,410  

Distribution fees

    11,748       3,553  

Accrued expense and other liabilities

    178,616       216,996  

Total liabilities

    231,882,475       15,392,057  

Net assets

  $ 719,894,116     $ 406,856,620  

Net assets consist of:

                

Paid-in capital

  $ 851,225,751     $ 491,982,477  

Accumulated earnings (loss)

    (131,331,635 )     (85,125,857 )

Net assets

  $ 719,894,116     $ 406,856,620  

 

(a)

Cost of investments:

  $ 952,376,391     $ 458,490,670  

(b)

Cost of repurchase agreements:

  $ 15,693,982     $ 972,044  

(c)

Securities on loan with market value of:

  $ 31,021,740     $ 3,125,444  

(d)

Cost of foreign currency:

  $ —     $ 1,514,626  

(e)

Premiums on written options:

  $ —     $ 730,188  

 

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

 

178

 

 

 
 

 

 

 

MassMutual
Diversified
Value Fund

    

MassMutual
Fundamental
Value Fund

    

MM S&P 500
Index Fund

    

MassMutual
Equity
Opportunities Fund

    

MassMutual
Fundamental
Growth Fund

    

MassMutual
Blue Chip
Growth Fund

  
                                               
  $ 275,599,295     $ 418,301,008     $ 2,233,300,140     $ 547,481,615     $ 25,810,809     $ 2,528,151,983  
    3,266,398       10,027,512       11,486,546       9,104,118       256,360       5,924,441  
    278,865,693       428,328,520       2,244,786,686       556,585,733       26,067,169       2,534,076,424  
    434       62,842       11,582       —       3       —  
    —       268,087       —       957       —       1  
                                               
                                               
    9,424,467       428,730       —       950,672       306,153       6,544,621  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    51,187       136,307       1,053,344       159,729       47,919       768,907  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    561,139       759,044       1,793,080       959,603       6,325       435,013  
    17,106       82,264       —       81,695       —       2,195,482  
    43,066       39,143       39,300       34,735       37,649       38,249  
    288,963,092       430,104,937       2,247,683,992       558,773,124       26,465,218       2,544,058,697  
                                               
                                               
                                               
    10,469,533       427,592       2,596,095       1,222,853       229,741       —  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    103,826       284,472       20,816,005       76,162       210       3,372,710  
    95,114       2,886,035       —       —       94,068       5,185,964  
    —       —       —       —       —       —  
    114,123       152,210       383,762       100,105       12,791       229,057  
    —       —       291,885       —       —       —  
                                               
    39,918       47,418       343,088       59,974       23,608       208,437  
    123,820       225,650       199,219       340,295       14,968       1,393,179  
    22,340       19,960       397,714       33,537       6,694       119,696  
    968       898       148,631       2,647       766       21,865  
    77,952       90,396       274,496       98,793       80,731       377,771  
    11,047,594       4,134,631       25,450,895       1,934,366       463,577       10,908,679  
  $ 277,915,498     $ 425,970,306     $ 2,222,233,097     $ 556,838,758     $ 26,001,641     $ 2,533,150,018  
                                               
  $ 237,681,802     $ 338,053,136     $ 908,110,704     $ 450,202,185     $ 33,823,786     $ 1,867,468,321  
    40,233,696       87,917,170       1,314,122,393       106,636,573       (7,822,145 )     665,681,697  
  $ 277,915,498     $ 425,970,306     $ 2,222,233,097     $ 556,838,758     $ 26,001,641     $ 2,533,150,018  

 

  $ 266,114,676     $ 394,877,959     $ 1,448,610,235     $ 527,705,589     $ 31,275,209     $ 2,111,273,336  
  $ 3,266,398     $ 10,027,512     $ 11,486,546     $ 9,104,118     $ 256,360     $ 5,924,441  
  $ 93,234     $ 4,483,728     $ 875,955     $ —     $ 637,254     $ 14,048,803  
  $ —     $ 283,981     $ —     $ 955     $ —     $ 1  
  $ —     $ —     $ —     $ —     $ —     $ —  

 

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

 

179

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
Total Return
Bond Fund

    

MassMutual
Strategic Bond
Fund

  

Class I shares:

               

Net assets

  $ 553,148,930     $ 261,784,392  

Shares outstanding (a)

    65,669,583       30,771,884  

Net asset value, offering price and redemption price per share

  $ 8.42     $ 8.51  

Class R5 shares:

                

Net assets

  $ 25,777,109     $ 53,494,357  

Shares outstanding (a)

    3,065,943       6,285,462  

Net asset value, offering price and redemption price per share

  $ 8.41     $ 8.51  

Service Class shares:

                

Net assets

  $ 49,613,742     $ 33,007,097  

Shares outstanding (a)

    5,875,445       3,880,262  

Net asset value, offering price and redemption price per share

  $ 8.44     $ 8.51  

Administrative Class shares:

                

Net assets

  $ 9,164,509     $ 20,187,952  

Shares outstanding (a)

    1,091,500       2,378,492  

Net asset value, offering price and redemption price per share

  $ 8.40     $ 8.49  

Class R4 shares:

                

Net assets

  $ 53,395,321     $ 18,820,890  

Shares outstanding (a)

    6,312,414       2,233,927  

Net asset value, offering price and redemption price per share

  $ 8.46     $ 8.43  

Class A shares:

                

Net assets

  $ 11,148,694     $ 14,285,204  

Shares outstanding (a)

    1,335,036       1,685,544  

Net asset value, and redemption price per share

  $ 8.35     $ 8.48  

Offering price per share (100/[100-maximum sales charge] of net asset value)

  $ 8.72     $ 8.86  

Class R3 shares:

                

Net assets

  $ 17,645,811     $ 5,276,728  

Shares outstanding (a)

    2,107,348       631,319  

Net asset value, offering price and redemption price per share

  $ 8.37     $ 8.36  

 

(a)

Authorized unlimited number of shares with no par value.

 

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

 

180

 

 

 
 

 

 

 

MassMutual
Diversified
Value Fund

    

MassMutual
Fundamental
Value Fund

    

MM S&P 500
Index Fund

    

MassMutual
Equity
Opportunities Fund

    

MassMutual
Fundamental
Growth Fund

    

MassMutual
Blue Chip
Growth Fund

  
                                               
  $ 168,929,107     $ 277,620,740     $ 900,470,762     $ 355,034,578     $ 2,653,933     $ 1,748,402,304  
    15,542,653       32,495,314       56,540,779       21,315,984       890,798       93,295,049  
  $ 10.87     $ 8.54     $ 15.93     $ 16.66     $ 2.98     $ 18.74  
                                               
  $ 48,258,955     $ 69,771,116     $ 300,070,119     $ 84,470,832     $ 4,939,175     $ 333,396,486  
    4,428,236       8,097,561       18,749,092       5,044,467       1,648,044       17,873,503  
  $ 10.90     $ 8.62     $ 16.00     $ 16.75     $ 3.00     $ 18.65  
                                               
  $ 11,979,334     $ 26,310,541     $ 244,212,074     $ 34,750,254     $ 4,211,009     $ 121,094,390  
    1,099,494       3,075,110       15,220,793       2,136,382       1,527,179       6,590,348  
  $ 10.90     $ 8.56     $ 16.04     $ 16.27     $ 2.76     $ 18.37  
                                               
  $ 16,694,929     $ 24,363,553     $ 213,738,638     $ 34,103,898     $ 4,609,568     $ 171,168,299  
    1,518,812       2,816,248       13,708,006       2,141,537       1,850,682       9,536,595  
  $ 10.99     $ 8.65     $ 15.59     $ 15.92     $ 2.49     $ 17.95  
                                               
  $ 8,853,003     $ 3,936,960     $ 333,262,904     $ 6,353,720     $ 1,220,162     $ 48,674,177  
    830,739       475,352       21,795,322       439,377       642,179       2,909,856  
  $ 10.66     $ 8.28     $ 15.29     $ 14.46     $ 1.90     $ 16.73  
                                               
  $ 21,804,938     $ 22,657,304     $ 18,171,856     $ 38,061,716     $ 7,266,709     $ 80,083,855  
    2,008,048       2,669,890       1,199,740       2,567,367       3,654,701       4,792,051  
  $ 10.86     $ 8.49     $ 15.15     $ 14.83     $ 1.99     $ 16.71  
  $ 11.49     $ 8.98     $ 16.03     $ 15.69     $ 2.11     $ 17.68  
                                               
  $ 1,395,232     $ 1,310,092     $ 212,306,744     $ 4,063,760     $ 1,101,085     $ 30,330,507  
    129,470       159,203       14,518,936       308,690       851,558       2,022,654  
  $ 10.78     $ 8.23     $ 14.62     $ 13.16     $ 1.29     $ 15.00  

 

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

 

181

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
Growth
Opportunities
Fund

    

MassMutual
Mid Cap
Value Fund

  

Assets:

                

Investments, at value (Note 2) (a)

  $ 236,056,896     $ 98,660,615  

Repurchase agreements, at value (Note 2) (b)

    5,911,529       2,750,893  

Total investments (c)

    241,968,425       101,411,508  

Cash

    —       363  

Foreign currency, at value (d)

    —       —  

Receivables from:

                

Investments sold

               

Regular delivery

    2,123,186       569,694  

Open forward contracts (Note 2)

    —       9,401  

Fund shares sold

    87,793       10,829  

Investment adviser (Note 3)

    —       32,198  

Interest and dividends

    32,972       169,849  

Foreign tax reclaims

    10,968       1,721  

Prepaid expenses

    38,523       44,962  

Total assets

    244,261,867       102,250,525  

Liabilities:

                

Payables for:

                

Investments purchased

               

Regular delivery

    2,597,419       916,579  

Open forward contracts (Note 2)

    —       9,904  

Foreign currency overdraft

    —       25  

Fund shares repurchased

    744,350       895  

Cash collateral held for securities on loan (Note 2)

    6,702,873       68,961  

Trustees’ fees and expenses (Note 3)

    82,885       16,877  

Affiliates (Note 3):

                

Administration fees

    37,278       27,513  

Investment advisory fees

    150,427       62,975  

Service fees

    12,374       1,190  

Distribution fees

    1,052       82  

Due to custodian

    29,341       —  

Accrued expense and other liabilities

    81,320       84,469  

Total liabilities

    10,439,319       1,189,470  

Net assets

  $ 233,822,548     $ 101,061,055  

Net assets consist of:

                

Paid-in capital

  $ 255,410,891     $ 108,175,707  

Accumulated earnings (loss)

    (21,588,343 )     (7,114,652 )

Net assets

   $ 233,822,548     $ 101,061,055  

 

(a)

Cost of investments:

  $ 281,039,622     $ 113,176,249  

(b)

Cost of repurchase agreements:

  $ 5,911,529     $ 2,750,893  

(c)

Securities on loan with market value of:

  $ 12,422,337     $ 494,945  

(d)

Cost of foreign currency:

  $ —     $ —  

 

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

 

182

 

 

 
 

 

 

 

MassMutual
Small Cap Value
Equity Fund

    

MassMutual
Small Company
Value Fund

    

MassMutual
Mid Cap
Growth Fund

    

MassMutual
Small Cap Growth
Equity Fund

    

MassMutual
Overseas Fund

    

MassMutual Select
T. Rowe Price
International
Equity Fund

  
                                               
  $ 47,918,057     $ 197,591,033     $ 5,069,775,588     $ 511,320,719     $ 387,094,013     $ 1,298,543,979  
    2,276,333       1,594,316       84,415,685       20,746,302       9,671,698       796,077  
    50,194,390       199,185,349       5,154,191,273       532,067,021       396,765,711       1,299,340,056  
    —       —       5       17,675       23,197       203,820  
    60       —       —       11       29,448       3,812,285  
                                               
                                               
    276,954       207,259       30,677,811       1,911,637       303,873       4,146,220  
    —       141       —       —       —       —  
    8,395       36,650       3,374,428       1,659,497       262,081       617,764  
    —       23,906       —       —       72,510       126,870  
    42,684       169,599       705,666       303,411       452,421       3,736,012  
    —       —       32,171       —       3,208,219       3,218,995  
    37,829       38,851       59,378       50,185       39,201       8,577  
    50,560,312       199,661,755       5,189,040,732       536,009,437       401,156,661       1,315,210,599  
                                               
                                               
                                               
    1,063,986       263,589       32,951,496       131,252       967,272       15,535,739  
    —       8,696       —       —       —       —  
    —       —       —       —       —       —  
    8,088       10,486       5,217,436       219,458       829,829       437,224  
    246,505       3,166,453       25,184,258       8,359,079       2,564,482       25,119,089  
    16,871       54,923       468,462       91,363       88,137       47,362  
                                               
    22,179       30,610       315,309       49,089       53,801       32,936  
    32,280       147,741       3,123,102       365,381       277,302       —  
    4,425       8,072       117,820       23,280       22,996       —  
    433       232       13,625       2,320       2,848       —  
    —       —       —       —       —       —  
    77,029       85,842       231,266       186,253       367,200       1,042,331  
    1,471,796       3,776,644       67,622,774       9,427,475       5,173,867       42,214,681  
  $ 49,088,516     $ 195,885,111     $ 5,121,417,958     $ 526,581,962     $ 395,982,794     $ 1,272,995,918  
                                               
  $ 43,568,226     $ 197,633,188     $ 4,320,179,799     $ 585,628,115     $ 429,828,715     $ 1,513,587,468  
    5,520,290       (1,748,077 )     801,238,159       (59,046,153 )     (33,845,921 )     (240,591,550 )
  $ 49,088,516     $ 195,885,111     $ 5,121,417,958     $ 526,581,962     $ 395,982,794     $ 1,272,995,918  

 

  $ 47,855,097     $ 223,157,515     $ 4,918,879,333     $ 538,632,229     $ 439,080,342     $ 1,526,651,200  
  $ 2,276,333     $ 1,594,316     $ 84,415,685     $ 20,746,302     $ 9,671,698     $ 796,077  
  $ 504,280     $ 5,492,315     $ 78,799,801     $ 26,470,437     $ 2,441,007     $ 35,499,222  
  $ 62     $ —     $ —     $ 12     $ 29,704     $ 3,824,637  

 

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

 

183

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
Growth
Opportunities
Fund

    

MassMutual
Mid Cap
Value Fund

  

Class I shares:

               

Net assets

  $ 146,814,187     $ 97,583,652  

Shares outstanding (a)

    32,164,168       9,240,256  

Net asset value, offering price and redemption price per share

  $ 4.56     $ 10.56  

Class R5 shares:

                

Net assets

  $ 33,626,104     $ 782,397  

Shares outstanding (a)

    7,647,326       73,028  

Net asset value, offering price and redemption price per share

  $ 4.40     $ 10.71  

Service Class shares:

                

Net assets

  $ 14,637,206     $ 88,418  

Shares outstanding (a)

    3,655,045       8,343  

Net asset value, offering price and redemption price per share

  $ 4.00     $ 10.60  

Administrative Class shares:

                

Net assets

  $ 22,601,669     $ 841,233  

Shares outstanding (a)

    6,432,032       77,242  

Net asset value, offering price and redemption price per share

  $ 3.51     $ 10.89  

Class R4 shares:

                

Net assets

  $ 637,840     $ 255,326  

Shares outstanding (a)

    238,146       24,365  

Net asset value, offering price and redemption price per share

  $ 2.68     $ 10.48  

Class A shares:

                

Net assets

  $ 14,094,579     $ 1,390,331  

Shares outstanding (a)

    5,439,605       130,519  

Net asset value, and redemption price per share

  $ 2.59     $ 10.65  

Offering price per share (100/[100-maximum sales charge] of net asset value)

  $ 2.74     $ 11.27  

Class R3 shares:

                

Net assets

  $ 1,410,963     $ 119,698  

Shares outstanding (a)

    833,623       11,460  

Net asset value, offering price and redemption price per share

  $ 1.69     $ 10.44  

 

(a)

Authorized unlimited number of shares with no par value.

 

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

 

184

 

 

 
 

 

 

 

MassMutual
Small Cap Value
Equity Fund

    

MassMutual
Small Company
Value Fund

    

MassMutual
Mid Cap
Growth Fund

    

MassMutual
Small Cap Growth
Equity Fund

    

MassMutual
Overseas Fund

    

MassMutual Select
T. Rowe Price
International
Equity Fund

  
                                               
  $ 31,862,720     $ 132,528,131     $ 3,824,988,373     $ 368,199,152     $ 232,440,544     $ 1,272,995,918  
    3,667,279       14,965,996       206,209,245       30,786,558       33,498,924       151,767,928  
  $ 8.69     $ 8.86     $ 18.55     $ 11.96     $ 6.94     $ 8.39  
                                               
  $ 6,512,723     $ 35,441,827     $ 834,944,781     $ 88,121,261     $ 86,220,183     $ —  
    748,784       3,968,827       45,835,794       7,570,805       12,370,892       —  
  $ 8.70     $ 8.93     $ 18.22     $ 11.64     $ 6.97     $ —  
                                               
  $ 2,189,326     $ 7,189,010     $ 158,487,439     $ 17,932,145     $ 30,650,933     $ —  
    250,569       811,550       9,067,443       1,712,130       4,431,201       —  
  $ 8.74     $ 8.86     $ 17.48     $ 10.47     $ 6.92     $ —  
                                               
  $ 2,188,714     $ 9,380,321     $ 136,292,494     $ 18,392,624     $ 13,633,077     $ —  
    254,273       1,089,753       8,390,865       1,991,195       1,949,717       —  
  $ 8.61     $ 8.61     $ 16.24     $ 9.24     $ 6.99     $ —  
                                               
  $ 1,193,383     $ 627,521     $ 59,610,584     $ 11,840,257     $ 16,143,896     $ —  
    143,692       78,385       4,146,859       1,629,678       2,436,772       —  
  $ 8.31     $ 8.01     $ 14.37     $ 7.27     $ 6.63     $ —  
                                               
  $ 4,520,796     $ 10,386,659     $ 87,758,068     $ 18,688,278     $ 12,858,190     $ —  
    540,607       1,275,287       6,199,943       2,620,458       1,888,026       —  
  $ 8.36     $ 8.14     $ 14.15     $ 7.13     $ 6.81     $ —  
  $ 8.85     $ 8.61     $ 14.97     $ 7.54     $ 7.21     $ —  
                                               
  $ 620,854     $ 331,642     $ 19,336,219     $ 3,408,245     $ 4,035,971     $ —  
    76,245       45,728       1,571,686       655,832       602,186       —  
  $ 8.14     $ 7.25     $ 12.30     $ 5.20     $ 6.70     $ —  

 

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

 

185

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
Total Return
Bond Fund

    

MassMutual
Strategic Bond
Fund

  

Investment income (Note 2):

                

Dividends (a)

  $ 844     $ —  

Interest (b)

    18,043,590       14,174,426  

Securities lending net income

    154,511       6,694  

Non cash income

    —       —  

Total investment income

    18,198,945       14,181,120  

Expenses (Note 3):

                

Investment advisory fees

    2,433,628       1,966,150  

Custody fees

    178,740       193,916  

Audit fees

    56,475       65,807  

Legal fees

    38,864       85,576  

Proxy fees

    1,332       1,337  

Accounting & Administration fees

    78,419       125,780  

Shareholder reporting fees

    27,294       28,641  

Trustees’ fees

    42,202       26,287  

Registration and filing fees

    101,275       98,032  

Transfer agent fees

    2,959       2,718  
      2,961,188       2,594,244  

Administration fees:

                

Class R5

    31,100       65,910  

Service Class

    118,268       73,682  

Administrative Class

    42,987       88,834  

Class R4

    133,098       55,282  

Class A

    34,394       57,770  

Class R3

    39,497       14,016  

Distribution and Service fees:

                

Class R4

    166,372       69,103  

Class A

    28,662       48,142  

Class R3

    98,744       35,040  

Total expenses

    3,654,310       3,102,023  

Expenses waived (Note 3):

                

Advisory fees waived

    (243,363 )     (252,307 )

Net expenses:

    3,410,947       2,849,716  

Net investment income (loss)

    14,787,998       11,331,404  

 

 

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

 

186

 

 

 
 

 

 

 

MassMutual
Diversified
Value Fund

    

MassMutual
Fundamental
Value Fund

    

MM S&P 500
Index Fund

    

MassMutual
Equity
Opportunities Fund

    

MassMutual
Fundamental
Growth Fund

    

MassMutual
Blue Chip
Growth Fund

  
                                               
  $ 9,156,185     $ 11,524,566     $ 45,698,730     $ 13,568,727     $ 250,523     $ 16,689,086  
    2,745       6,507       61,400       —       796       179,807  
    5,519       9,753       3,473       7,644       1,576       68,974  
    —       —       113,275       —       —       350,651  
    9,164,449       11,540,826       45,876,878       13,576,371       252,895       17,288,518  
                                               
    1,802,361       3,333,973       2,966,050       4,925,333       271,192       21,544,826  
    52,804       51,759       230,358       58,652       35,479       353,299  
    49,845       49,748       53,941       52,102       52,704       52,620  
    9,766       13,879       84,144       19,233       1,028       92,612  
    1,337       1,337       1,337       1,337       1,337       1,337  
    30,803       31,646       75,954       35,745       26,288       78,347  
    14,496       27,474       70,875       18,694       14,331       68,467  
    20,272       30,600       161,460       37,098       2,378       182,221  
    100,513       102,819       108,236       102,394       99,417       111,792  
    2,968       2,968       2,968       2,967       2,968       2,968  
    2,085,165       3,646,203       3,755,323       5,253,555       507,122       22,488,489  
                                               
    61,766       101,114       438,115       137,287       8,316       481,161  
    29,862       61,802       846,442       88,542       10,836       348,116  
    60,889       119,822       1,071,065       137,643       18,715       770,026  
    23,154       14,939       1,080,554       16,712       2,785       196,458  
    78,859       88,179       72,363       144,387       30,225       344,629  
    2,371       3,131       651,201       7,610       2,702       87,287  
                                               
    28,942       18,673       1,080,554       20,890       3,481       245,572  
    65,716       73,482       51,688       120,322       25,186       287,193  
    5,928       7,828       1,302,402       19,026       6,756       218,216  
    2,442,652       4,135,173       10,349,707       5,945,974       616,124       25,467,147  
                                               
    —       —       —       —       (3,775 )     —  
    2,442,652       4,135,173       10,349,707       5,945,974       612,349       25,467,147  
    6,721,797       7,405,653       35,527,171       7,630,397       (359,454 )     (8,178,629 )

 

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

 

187

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
Total Return
Bond Fund

    

MassMutual
Strategic Bond
Fund

  

Realized and unrealized gain (loss):

                

Net realized gain (loss) on:

                

Investment transactions

  $ (55,524,266 )   $ (15,217,884 )

Futures contracts

    (753,509 )     (22,401,574 )

Written options

    (2,358,289 )     2,251,186  

Swap agreements

    15,526       3,552,280  

Foreign currency transactions

    43,207       (228,452 )

Forward contracts

    138,550       (2,541,719 )

Net realized gain (loss)

    (58,438,781 )     (34,586,163 )

Net change in unrealized appreciation (depreciation) on:

                

Investment transactions

    (89,522,651 )     (62,284,751 )*

Futures contracts

    (1,702,501 )     (3,851,488 )

Written options

    53,377       (480,143 )

Swap agreements

    (3,846,884 )     1,639,219  

Translation of assets and liabilities in foreign currencies

    (2,067 )     9,780  

Forward contracts

    52,224       (1,180,378 )

Net change in unrealized appreciation (depreciation)

    (94,968,502 )     (66,147,761 )

Net realized gain (loss) and change in unrealized appreciation (depreciation)

    (153,407,283 )     (100,733,924 )

Net increase (decrease) in net assets resulting from operations

  $ (138,619,285 )   $ (89,402,520 )

 

(a)

Net of foreign withholding tax of:

  $ —     $ —  

(b)

Net of foreign withholding tax of:

  $ —     $ 26,418  

*

Net of net increase (decrease) in accrued foreign capital gains tax of:

  $ —     $ 4,077  

 

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

 

188

 

 

 
 

 

 

 

MassMutual
Diversified
Value Fund

    

MassMutual
Fundamental
Value Fund

    

MM S&P 500
Index Fund

    

MassMutual
Equity
Opportunities Fund

    

MassMutual
Fundamental
Growth Fund

    

MassMutual
Blue Chip
Growth Fund

  
                                               
                                               
  $ 31,438,954     $ 69,872,024     $ 563,413,164     $ 91,683,265     $ (1,530,616 )   $ 321,056,019  
    —       —       (2,024,579 )     —       —       —  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    (2,109 )     82       —       (16,588 )     1       (1,240 )
    —       —       —       —       —       —  
    31,436,845       69,872,106       561,388,585       91,666,677       (1,530,615 )     321,054,779  
                                               
    (63,531,195 )     (109,676,818 )     (996,755,380 )     (134,604,817 )     (13,385,532 )     (1,559,109,735 )
    —       —       (1,426,502 )     —       —       —  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    4,623       (20,851 )     —       2,795       —       —  
    —       —       —       —       —       —  
    (63,526,572 )     (109,697,669 )     (998,181,882 )     (134,602,022 )     (13,385,532 )     (1,559,109,735 )
    (32,089,727 )     (39,825,563 )     (436,793,297 )     (42,935,345 )     (14,916,147 )     (1,238,054,956 )
  $ (25,367,930 )   $ (32,419,910 )   $ (401,266,126 )   $ (35,304,948 )   $ (15,275,601 )   $ (1,246,233,585 )

 

  $ 88,576     $ 118,965     $ 10,004     $ 136,703     $ 335     $ 552,042  
  $ —     $ —     $ —     $ —     $ —     $ —  
  $ —     $ —     $ —     $ —     $ —     $ —  

 

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

 

189

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
Growth
Opportunities
Fund

    

MassMutual
Mid Cap
Value Fund

  

Investment income (Note 2):

                

Dividends (a)

  $ 812,468     $ 2,479,207  

Interest

    7,884       3,164  

Securities lending net income

    29,265       2,882  

Non cash income

    —       —  

Total investment income

    849,617       2,485,253  

Expenses (Note 3):

                

Investment advisory fees

    2,594,889       835,677  

Custody fees

    42,729       48,274  

Audit fees

    49,413       51,680  

Legal fees

    9,602       3,182  

Proxy fees

    1,337       1,337  

Accounting & Administration fees

    29,148       41,098  

Shareholder reporting fees

    15,559       16,938  

Trustees’ fees

    20,791       6,063  

Registration and filing fees

    100,942       99,941  

Transfer agent fees

    2,968       2,968  
      2,867,378       1,107,158  

Administration fees:

                

Class R5

    55,515       990  

Service Class

    44,470       651  

Administrative Class

    105,244       2,950  

Class R4

    3,392       565  

Class A

    77,374       4,548  

Class R3

    4,173       270  

Distribution and Service fees:

                

Class R4

    4,241       706  

Class A

    64,479       3,790  

Class R3

    10,432       676  

Total expenses

    3,236,698       1,122,304  

Expenses waived (Note 3):

                

Class I fees reimbursed by adviser

    —       (365,521 )

Class R5 fees reimbursed by adviser

    —       (3,141 )

Service Class fees reimbursed by adviser

    —       (1,010 )

Administrative Class fees reimbursed by adviser

    —       (3,121 )

Class R4 fees reimbursed by adviser

    —       (900 )

Class A fees reimbursed by adviser

    —       (4,805 )

Class R3 fees reimbursed by adviser

    —       (429 )

Advisory fees waived

    (73,133 )     —  

Net expenses:

     3,163,565       743,377  

Net investment income (loss)

     (2,313,948 )     1,741,876  

 

 

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

 

190

 

 

 
 

 

 

 

MassMutual
Small Cap Value
Equity Fund

    

MassMutual
Small Company
Value Fund

    

MassMutual
Mid Cap
Growth Fund

    

MassMutual
Small Cap Growth
Equity Fund

    

MassMutual
Overseas Fund

    

MassMutual Select
T. Rowe Price
International
Equity Fund

  
                                               
  $ 741,303     $ 4,198,012     $ 34,180,136     $ 4,712,893     $ 12,779,588     $ 42,316,521  
    1,547       1,921       946,424       21,256       11,923       207,088  
    1,000       27,875       263,892       114,533       80,156       271,262  
    5,743       —       —       —       1,328,018       5,910,137  
    749,593       4,227,808       35,390,452       4,848,682       14,199,685       48,705,008  
                                               
    449,998       2,207,447       48,463,244       5,226,397       4,456,361       —  
    43,677       43,932       481,702       84,164       272,958       957,947  
    51,648       49,537       57,594       54,850       74,919       84,414  
    1,452       7,153       185,178       17,139       14,691       42,540  
    1,337       1,337       1,337       1,337       1,337       1,337  
    26,617       30,001       146,129       35,687       39,868       44,283  
    13,805       15,823       592,035       107,703       46,079       40,347  
    3,292       13,885       369,012       34,075       29,968       79,107  
    100,155       101,491       134,211       106,675       102,246       25,663  
    2,968       2,968       2,968       2,968       2,968       2,968  
    694,949       2,473,574       50,433,410       5,670,995       5,041,395       1,278,606  
                                               
    9,033       55,566       1,229,423       117,094       123,268       —  
    5,572       17,460       472,964       52,337       82,943       —  
    7,698       38,729       572,958       73,250       52,377       —  
    2,840       1,519       186,589       29,201       39,542       —  
    16,722       39,453       375,884       75,274       57,340       —  
    1,431       758       51,208       8,474       12,135       —  
                                               
    3,549       1,899       233,236       36,501       49,428       —  
    13,935       32,878       313,239       62,729       47,784       —  
    3,578       1,894       128,018       21,184       30,336       —  
    759,307       2,663,730       53,996,929       6,147,039       5,536,548       1,278,606  
                                               
    —       (156,822 )     —       —       (378,113 )     (1,278,606 )
    —       (50,029 )     —       —       (143,755 )     —  
    —       (8,195 )     —       —       (47,434 )     —  
    —       (11,805 )     —       —       (20,459 )     —  
    —       (711 )     —       —       (22,329 )     —  
    —       (12,237 )     —       —       (22,089 )     —  
    —       (359 )     —       —       (7,389 )     —  
    —       —       (1,497,063 )     —       —       —  
    759,307       2,423,572       52,499,866       6,147,039       4,894,980       —  
    (9,714 )     1,804,236       (17,109,414 )     (1,298,357 )     9,304,705       48,705,008  

 

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

 

191

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
Growth
Opportunities
Fund

    

MassMutual
Mid Cap
Value Fund

  

Realized and unrealized gain (loss):

                

Net realized gain (loss) on:

                

Investment transactions

  $ 35,962,382     $ 7,925,042  

Written options

    —       —  

Foreign currency transactions

    (60 )     (3,436 )

Forward contracts

    —       522,470  

Net realized gain (loss)

    35,962,322       8,444,076  

Net change in unrealized appreciation (depreciation) on:

                

Investment transactions

    (256,082,499 )     (20,260,633 )

Translation of assets and liabilities in foreign currencies

    (74 )     (330 )

Forward contracts

    —       (38,924 )

Net change in unrealized appreciation (depreciation)

     (256,082,573 )     (20,299,887 )

Net realized gain (loss) and change in unrealized appreciation (depreciation)

     (220,120,251 )     (11,855,811 )

Net increase (decrease) in net assets resulting from operations

   $ (222,434,199 )   $ (10,113,935 )

 

(a)

Net of foreign withholding tax of:

  $ 7,067     $ 17,523  

*

Net of net increase (decrease) in accrued foreign capital gains tax of:

   $ —     $ —  

 

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

 

192

 

 

 
 

 

 

 

MassMutual
Small Cap Value
Equity Fund

    

MassMutual
Small Company
Value Fund

    

MassMutual
Mid Cap
Growth Fund

    

MassMutual
Small Cap Growth
Equity Fund

    

MassMutual
Overseas Fund

    

MassMutual Select
T. Rowe Price
International
Equity Fund

  
                                               
                                               
  $ 9,238,514     $ 25,649,138     $ 769,437,185     $ (21,760,546 )   $ 35,721,888     $ (11,663,786 )
    —       —       —       —       —       16,350  
    (108 )     (75 )     (1,304 )     —       (161,784 )     (353,858 )
    —       145,723       —       —       307,193       —  
    9,238,406       25,794,786       769,435,881       (21,760,546 )     35,867,297       (12,001,294 )
                                               
    (16,694,657 )     (76,349,772 )     (2,767,704,752 )     (172,539,430 )     (181,819,734 )*     (476,086,442 )*
    26       —       —       (1 )     (330,699 )     (987,557 )
    —       (14,881 )     —       —       (130,292 )     —  
    (16,694,631 )     (76,364,653 )     (2,767,704,752 )     (172,539,431 )     (182,280,725 )     (477,073,999 )
    (7,456,225 )     (50,569,867 )     (1,998,268,871 )     (194,299,977 )     (146,413,428 )     (489,075,293 )
  $ (7,465,939 )   $ (48,765,631 )   $ (2,015,378,285 )   $ (195,598,334 )   $ (137,108,723 )   $ (440,370,285 )

 

  $ 2,380     $ 11,121     $ 88,004     $ 4,271     $ 1,673,786     $ 4,990,499  
  $ —     $ —     $ —     $ —     $ 575,834     $ 1,197,831  

 

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

 

193

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
Total Return Bond
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 14,787,998     $ 13,180,083  

Net realized gain (loss)

    (58,438,781 )     4,466,855  

Net change in unrealized appreciation (depreciation)

    (94,968,502 )     (16,898,443 )

Net increase (decrease) in net assets resulting from operations

     (138,619,285 )     748,495  

Distributions to shareholders (Note 2):

                

Class I

    (12,175,679 )     (36,195,787 )

Class R5

    (629,319 )     (2,183,127 )

Service Class

    (1,020,606 )     (4,814,337 )

Administrative Class

    (271,077 )     (1,077,493 )

Class R4

    (1,037,468 )     (5,283,413 )

Class A

    (151,047 )     (595,039 )

Class R3

    (234,819 )     (1,444,165 )

Total distributions

    (15,520,015 )     (51,593,361 )

Net fund share transactions (Note 5):

                

Class I

    (7,978,138 )     96,163,136  

Class R5

    (8,311,019 )     3,833,656  

Service Class

    (10,451,111 )     (17,605,651 )

Administrative Class

    (7,623,068 )     (175,722 )

Class R4

    (14,311,651 )     (16,602,248 )

Class A

    1,690,277       968,248  

Class R3

    (999,369 )     (3,848,267 )

Increase (decrease) in net assets from fund share transactions

     (47,984,079 )     62,733,152  

Total increase (decrease) in net assets

    (202,123,379 )     11,888,286  

Net assets

                

Beginning of year

    922,017,495       910,129,209  

End of year

   $ 719,894,116     $ 922,017,495  

 

 

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

 

194

 

 

 
 

 

 

 

MassMutual
Strategic Bond
Fund

    

MassMutual
Diversified Value
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 11,331,404     $ 15,753,495     $ 6,721,797     $ 6,805,227  
    (34,586,163 )     20,775,833       31,436,845       43,114,317  
    (66,147,761 )     (24,654,966 )     (63,526,572 )     76,405,646  
    (89,402,520 )     11,874,362       (25,367,930 )     126,325,190  
                               
    (20,295,777 )     (23,040,523 )     (28,645,872 )     (4,826,890 )
    (4,546,406 )     (4,697,559 )     (8,493,887 )     (1,427,247 )
    (2,619,511 )     (1,923,985 )     (1,877,787 )     (310,576 )
    (1,912,369 )     (3,735,392 )     (2,424,318 )     (339,296 )
    (1,635,600 )     (2,384,840 )     (1,549,573 )     (199,786 )
    (1,094,081 )     (3,173,070 )     (3,138,699 )     (504,355 )
    (396,988 )     (702,974 )     (130,528 )     (24,615 )
    (32,500,732 )     (39,658,343 )     (46,260,664 )     (7,632,765 )
                               
    (62,180,026 )     (7,328,067 )     (15,793,942 )     (41,004,875 )
    (13,402,075 )     (3,524,026 )     (10,349,015 )     (13,881,575 )
    13,880,105       (7,247,620 )     (312,742 )     (3,425,423 )
    (23,921,417 )     (16,752,042 )     (717,783 )     (637,603 )
    (16,414,746 )     (6,478,544 )     (1,474,661 )     (871,873 )
    (11,353,295 )     (27,857,171 )     102,357       (10,390,898 )
    (4,675,194 )     (3,711,171 )     559,826       (900,942 )
    (118,066,648 )     (72,898,641 )     (27,985,960 )     (71,113,189 )
    (239,969,900 )     (100,682,622 )     (99,614,554 )     47,579,236  
                               
    646,826,520       747,509,142       377,530,052       329,950,816  
  $ 406,856,620     $ 646,826,520     $ 277,915,498     $ 377,530,052  

 

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

 

195

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
Fundamental Value
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 7,405,653     $ 6,635,888  

Net realized gain (loss)

    69,872,106       74,837,269  

Net change in unrealized appreciation (depreciation)

    (109,697,669 )     123,978,956  

Net increase (decrease) in net assets resulting from operations

    (32,419,910 )     205,452,113  

Distributions to shareholders (Note 2):

                

Class I

    (42,679,244 )     (5,157,291 )

Class R5

    (13,424,402 )     (2,353,725 )

Service Class

    (3,658,666 )     (360,826 )

Administrative Class

    (5,544,501 )     (834,960 )

Class R4

    (1,143,867 )     (115,118 )

Class A

    (3,738,569 )     (375,447 )

Class R3

    (189,182 )     (10,379 )

Total distributions

    (70,378,431 )     (9,207,746 )

Net fund share transactions (Note 5):

                

Class I

    (10,069,823 )     (19,247,814 )

Class R5

    (24,357,743 )     (69,565,446 )

Service Class

    2,258,758       279,092  

Administrative Class

    (16,813,679 )     (28,849,743 )

Class R4

    (4,217,325 )     (1,209,026 )

Class A

    (5,570,490 )     (12,884,956 )

Class R3

    (75,885 )     332,463  

Increase (decrease) in net assets from fund share transactions

    (58,846,187 )     (131,145,430 )

Total increase (decrease) in net assets

     (161,644,528 )     65,098,937  

Net assets

                

Beginning of year

    587,614,834       522,515,897  

End of year

   $ 425,970,306     $ 587,614,834  

 

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

 

196

 

 

 
 

 

 

 

MM S&P 500
Index Fund

    

MassMutual
Equity
Opportunities
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 35,527,171     $ 39,543,942     $ 7,630,397     $ 8,893,421  
    561,388,585       428,951,911       91,666,677       82,440,199  
    (998,181,882 )     412,353,799       (134,602,022 )     82,435,725  
    (401,266,126 )     880,849,652       (35,304,948 )     173,769,345  
                               
    (184,016,801 )     (184,594,221 )     (51,816,002 )     (29,303,320 )
    (60,703,846 )     (62,427,564 )     (19,138,493 )     (11,320,812 )
    (45,847,810 )     (56,637,356 )     (5,530,550 )     (3,060,907 )
    (43,469,722 )     (56,802,753 )     (6,343,270 )     (3,107,276 )
    (59,838,315 )     (81,258,599 )     (1,104,425 )     (641,099 )
    (2,886,746 )     (3,735,318 )     (6,388,911 )     (4,112,745 )
    (36,541,127 )     (33,665,725 )     (456,521 )     (280,015 )
    (433,304,367 )     (479,121,536 )     (90,778,172 )     (51,826,174 )
                               
    (255,288,917 )     119,039,680       (1,791,654 )     (38,652,063 )
    (52,512,755 )     292,712       (58,102,852 )     (18,198,761 )
    (33,680,700 )     (55,563,343 )     (4,247,306 )     (8,411,791 )
    (74,032,960 )     (46,621,732 )     (9,342,480 )     (1,296,344 )
    (41,857,468 )     (128,706,061 )     (849,806 )     (1,300,240 )
    (1,953,696 )     (1,424,408 )     (6,175,857 )     (11,829,692 )
    17,760,894       29,862,549       1,650,535       (689,241 )
    (441,565,602 )     (83,120,603 )     (78,859,420 )     (80,378,132 )
    (1,276,136,095 )     318,607,513       (204,942,540 )     41,565,039  
                               
    3,498,369,192       3,179,761,679       761,781,298       720,216,259  
  $ 2,222,233,097     $ 3,498,369,192     $ 556,838,758     $ 761,781,298  

 

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

 

197

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
Fundamental
Growth Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ (359,454 )   $ (564,496 )

Net realized gain (loss)

    (1,530,615 )     17,886,297  

Net change in unrealized appreciation (depreciation)

    (13,385,532 )     (376,347 )

Net increase (decrease) in net assets resulting from operations

    (15,275,601 )     16,945,454  

Distributions to shareholders (Note 2):

                

Class I

    (3,135,065 )     (6,380,932 )

Class R5

    (2,856,640 )     (6,053,760 )

Service Class

    (1,845,774 )     (3,030,485 )

Administrative Class

    (2,350,670 )     (6,751,917 )

Class R4

    (569,215 )     (841,305 )

Class A

    (4,304,968 )     (7,726,774 )

Class R3

    (735,465 )     (1,759,650 )

Total distributions

    (15,797,797 )     (32,544,823 )

Net fund share transactions (Note 5):

                

Class I

    (4,177,932 )     3,998,568  

Class R5

    (134,116 )     1,326,428  

Service Class

    1,394,111       1,716,809  

Administrative Class

    1,212,754       (2,357,880 )

Class R4

    591,480       473,520  

Class A

    2,080,096       1,341,065  

Class R3

    777,393       (274,762 )

Increase (decrease) in net assets from fund share transactions

    1,743,786       6,223,748  

Total increase (decrease) in net assets

    (29,329,612 )     (9,375,621 )

Net assets

                

Beginning of year

    55,331,253       64,706,874  

End of year

   $ 26,001,641     $ 55,331,253  

 

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

 

198

 

 

 
 

 

 

 

MassMutual
Blue Chip Growth
Fund

    

MassMutual
Growth
Opportunities
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ (8,178,629 )   $ (10,923,488 )   $ (2,313,948 )   $ (3,465,501 )
    321,054,779       798,397,828       35,962,322       118,471,910  
    (1,559,109,735 )     89,559,232       (256,082,573 )     15,322,375  
    (1,246,233,585 )     877,033,572       (222,434,199 )     130,328,784  
                               
    (505,752,573 )     (127,404,610 )     (63,212,251 )     (47,724,289 )
    (109,320,598 )     (28,785,200 )     (16,825,851 )     (21,391,483 )
    (38,828,325 )     (9,281,346 )     (7,030,586 )     (6,439,381 )
    (63,222,321 )     (18,063,967 )     (13,489,206 )     (11,015,116 )
    (25,050,959 )     (6,486,894 )     (871,903 )     (691,469 )
    (28,345,519 )     (10,446,481 )     (12,095,384 )     (9,735,160 )
    (11,466,411 )     (3,093,658 )     (1,142,314 )     (479,063 )
    (781,986,706 )     (203,562,156 )     (114,667,495 )     (97,475,961 )
                               
    310,223,790       (374,006,009 )     41,322,162       33,930,008  
    (10,020,589 )     (85,488,562 )     1,550,921       (34,648,348 )
    13,091,552       (6,808,938 )     4,561,394       (3,278,486 )
    (27,500,331 )     (96,534,878 )     4,741,775       (8,087,089 )
    (19,969,685 )     (11,561,211 )     (236,423 )     (119,268 )
    6,353,988       (90,410,401 )     3,069,711       (3,377,993 )
    1,097,524       (13,043,278 )     1,166,309       1,659,825  
    273,276,249       (677,853,277 )     56,175,849       (13,921,351 )
    (1,754,944,042 )     (4,381,861 )     (280,925,845 )     18,931,472  
                               
    4,288,094,060       4,292,475,921       514,748,393       495,816,921  
  $ 2,533,150,018     $ 4,288,094,060     $ 233,822,548     $ 514,748,393  

 

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

 

199

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
Mid Cap Value
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 1,741,876     $ 1,514,512  

Net realized gain (loss)

    8,444,076       29,432,448  

Net change in unrealized appreciation (depreciation)

    (20,299,887 )     5,223,076  

Net increase (decrease) in net assets resulting from operations

    (10,113,935 )     36,170,036  

Distributions to shareholders (Note 2):

                

Class I

    (26,888,446 )     (1,535,817 )

Class R5

    (232,404 )     (9,182 )

Service Class

    (134,310 )     (2,890 )

Administrative Class

    (217,970 )     (10,657 )

Class R4

    (64,772 )     (9,681 )

Class A

    (345,700 )     (33,097 )

Class R3

    (33,429 )     (3,107 )

Total distributions

    (27,917,031 )     (1,604,431 )

Net fund share transactions (Note 5):

                

Class I

    19,458,604       (15,118,386 )

Class R5

    102,804       (78,209 )

Service Class

    (358,287 )     284,050  

Administrative Class

    17,849       (37,094 )

Class R4

    72,072       (951,165 )

Class A

    333,445       (2,624,903 )

Class R3

    20,617       (356,301 )

Increase (decrease) in net assets from fund share transactions

    19,647,104       (18,882,008 )

Total increase (decrease) in net assets

    (18,383,862 )     15,683,597  

Net assets

                

Beginning of year

    119,444,917       103,761,320  

End of year

   $ 101,061,055     $ 119,444,917  

 

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

 

200

 

 

 
 

 

 

 

MassMutual
Small Cap Value
Equity Fund

    

MassMutual
Small Company
Value Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ (9,714 )   $ (47,141 )   $ 1,804,236     $ 1,012,014  
    9,238,406       15,364,222       25,794,786       44,645,407  
    (16,694,631 )     23,244,043       (76,364,653 )     69,536,582  
    (7,465,939 )     38,561,124       (48,765,631 )     115,194,003  
                               
    (9,194,395 )     (1,714,290 )     (24,481,352 )     (812,256 )
    (2,283,497 )     (392,010 )     (8,756,926 )     (380,666 )
    (701,615 )     (102,703 )     (1,250,165 )     (31,805 )
    (618,052 )     (119,788 )     (2,095,447 )     (88,859 )
    (353,982 )     (87,302 )     (113,169 )     (6,237 )
    (1,433,744 )     (190,647 )     (1,983,118 )     (31,978 )
    (177,490 )     (26,075 )     (57,144 )     —  
    (14,762,775 )     (2,632,815 )     (38,737,321 )     (1,351,801 )
                               
    8,892,953       (38,627,240 )     9,672,869       29,888,794  
    (1,280,738 )     (4,505,136 )     (12,319,821 )     (12,033,263 )
    97,714       (720,319 )     1,464,061       1,296,461  
    601,427       (2,046,395 )     (1,110,615 )     (6,925,230 )
    241,957       (1,861,118 )     117,088       (811,423 )
    249,890       (665,065 )     1,183,657       (4,188,434 )
    210,790       (379,380 )     114,824       90,947  
    9,013,993       (48,804,653 )     (877,937 )     7,317,852  
    (13,214,721 )     (12,876,344 )     (88,380,889 )     121,160,054  
                               
    62,303,237       75,179,581       284,266,000       163,105,946  
  $ 49,088,516     $ 62,303,237     $ 195,885,111     $ 284,266,000  

 

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

 

201

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual Mid
Cap Growth Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ (17,109,414 )   $ (30,632,373 )

Net realized gain (loss)

    769,435,881       1,647,676,829  

Net change in unrealized appreciation (depreciation)

    (2,767,704,752 )     828,830,012  

Net increase (decrease) in net assets resulting from operations

    (2,015,378,285 )     2,445,874,468  

Distributions to shareholders (Note 2):

                

Class I

    (1,191,184,730 )     (375,441,053 )

Class R5

    (296,057,142 )     (93,364,700 )

Service Class

    (60,589,689 )     (21,000,941 )

Administrative Class

    (48,166,646 )     (16,747,973 )

Class R4

    (26,566,357 )     (12,555,638 )

Class A

    (35,773,353 )     (14,060,398 )

Class R3

    (7,898,792 )     (2,425,094 )

Total distributions

    (1,666,236,709 )     (535,595,797 )

Net fund share transactions (Note 5):

                

Class I

    (5,330,556 )     (1,050,859,042 )

Class R5

    (202,318,073 )     (133,644,713 )

Service Class

    (41,632,499 )     (79,897,288 )

Administrative Class

    (7,318,752 )     (67,420,563 )

Class R4

    (45,705,671 )     (56,872,643 )

Class A

    (7,838,409 )     (67,523,371 )

Class R3

    3,117,602       (5,336,176 )

Increase (decrease) in net assets from fund share transactions

     (307,026,358 )     (1,461,553,796 )

Total increase (decrease) in net assets

    (3,988,641,352 )     448,724,875  

Net assets

                

Beginning of year

    9,110,059,310       8,661,334,435  

End of year

   $ 5,121,417,958     $ 9,110,059,310  

 

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

 

202

 

 

 
 

 

 

 

MassMutual
Small Cap Growth
Equity Fund

    

MassMutual
Overseas Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ (1,298,357 )   $ (3,403,677 )   $ 9,304,705     $ 7,891,034  
    (21,760,546 )     182,434,815       35,867,297       57,353,956  
    (172,539,431 )     33,560,588       (182,280,725 )     118,601,925  
    (195,598,334 )     212,591,726       (137,108,723 )     183,846,915  
                               
    (106,892,194 )     (29,012,613 )     (36,687,508 )     (9,459,279 )
    (33,194,542 )     (11,622,191 )     (14,531,662 )     (3,249,074 )
    (7,598,507 )     (2,891,135 )     (4,314,842 )     (923,098 )
    (7,499,285 )     (2,733,082 )     (1,831,463 )     (421,047 )
    (5,183,552 )     (1,628,809 )     (2,008,900 )     (395,010 )
    (9,396,325 )     (4,198,556 )     (2,031,119 )     (637,174 )
    (1,924,436 )     (582,672 )     (623,942 )     (131,963 )
    (171,688,841 )     (52,669,058 )     (62,029,436 )     (15,216,645 )
                               
    123,189,907       48,500,540       (32,486,555 )     (89,876,994 )
    (1,391,715 )     (14,434,041 )     (28,533,311 )     (11,110,200 )
    (3,835,779 )     (4,142,715 )     305,435       (2,927,620 )
    3,495,946       (6,527,416 )     159,356       (4,219,010 )
    4,261,260       (1,752,684 )     2,592,594       (1,874,361 )
    3,820,832       (11,314,222 )     (4,725,515 )     (14,609,910 )
    1,815,321       46,831       (726,116 )     (734,871 )
    131,355,772       10,376,293       (63,414,112 )     (125,352,966 )
    (235,931,403 )     170,298,961       (262,552,271 )     43,277,304  
                               
    762,513,365       592,214,404       658,535,065       615,257,761  
  $ 526,581,962     $ 762,513,365     $ 395,982,794     $ 658,535,065  

 

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

 

203

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual Select T. Rowe Price
International Equity Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 48,705,008     $ 39,053,643  

Net realized gain (loss)

    (12,001,294 )     61,703,034  

Net change in unrealized appreciation (depreciation)

    (477,073,999 )     231,627,276  

Net increase (decrease) in net assets resulting from operations

     (440,370,285 )     332,383,953  

Distributions to shareholders (Note 2):

                

Class I

    (71,743,166 )     (23,974,243 )

Total distributions

     (71,743,166 )     (23,974,243 )

Net fund share transactions (Note 5):

                

Class I

    85,010,969       77,255,606  

Increase (decrease) in net assets from fund share transactions

     85,010,969       77,255,606  

Total increase (decrease) in net assets

     (427,102,482 )     385,665,316  

Net assets

                

Beginning of year

    1,700,098,400       1,314,433,084  

End of year

  $ 1,272,995,918     $ 1,700,098,400  

 

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

 

204

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

MassMutual 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

Ratio of
expenses
to average
daily net
assets
after expense
waiversj

Net
investment
income (loss)
to average
daily net
assets

Class I

                          

9/30/22

$ 10.21

$ 0.18

$ (1.78)

$ (1.60)

$ (0.17)

$ (0.02)

$ (0.19)

$ 8.42

(15.97%)

$ 553,149

0.37%

0.34%

1.92%

9/30/21

10.80

0.16

(0.13)

0.03

(0.24)

(0.38)

(0.62)

10.21

0.24%

677,869

0.36%

0.33%

1.55%

9/30/20

10.30

0.22

0.59

0.81

(0.31)

—

(0.31)

10.80

8.06%

616,932

0.36%

N/A

2.08%

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

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

2.62%

Class R5

                          

9/30/22

$ 10.19

$ 0.16

$ (1.76)

$ (1.60)

$ (0.16)

$ (0.02)

$ (0.18)

$ 8.41

(15.99%)

$ 25,777

0.47%

0.44%

1.74%

9/30/21

10.79

0.15

(0.14)

0.01

(0.23)

(0.38)

(0.61)

10.19

0.06%

39,879

0.46%

0.43%

1.45%

9/30/20

10.28

0.21

0.59

0.80

(0.29)

—

(0.29)

10.79

8.04%

38,177

0.46%

N/A

2.04%

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

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

2.49%

Service Class

                        

9/30/22

$ 10.24

$ 0.16

$ (1.79)

$ (1.63)

$ (0.15)

$ (0.02)

$ (0.17)

$ 8.44

(16.22%)

$ 49,614

0.57%

0.54%

1.67%

9/30/21

10.82

0.14

(0.12)

0.02

(0.22)

(0.38)

(0.60)

10.24

0.11%

70,920

0.55%

0.53%

1.33%

9/30/20

10.32

0.20

0.59

0.79

(0.29)

—

(0.29)

10.82

7.82%

93,185

0.56%

N/A

1.93%

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

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

2.41%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

442%

435%

316%

217%

243%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

206

 

 

 
 

 

   

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

                      

9/30/22

$ 10.18

$ 0.14

$ (1.76)

$ (1.62)

$ (0.14)

$ (0.02)

$ (0.16)

$ 8.40

(16.20%)

$ 9,165

0.67%

0.64%

1.44%

9/30/21

10.77

0.13

(0.13)

0.00d

(0.21)

(0.38)

(0.59)

10.18

(0.07%)

19,333

0.66%

0.63%

1.24%

9/30/20

10.25

0.19

0.59

0.78

(0.26)

—

(0.26)

10.77

7.79%

20,596

0.66%

N/A

1.84%

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

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

2.30%

Class R4

                          

9/30/22

$ 10.25

$ 0.13

$ (1.78)

$ (1.65)

$ (0.12)

$ (0.02)

$ (0.14)

$ 8.46

(16.35%)

$ 53,395

0.82%

0.79%

1.41%

9/30/21

10.83

0.11

(0.13)

(0.02)

(0.18)

(0.38)

(0.56)

10.25

(0.20%)

79,970

0.80%

0.78%

1.07%

9/30/20

10.32

0.18

0.59

0.77

(0.26)

—

(0.26)

10.83

7.64%

102,120

0.81%

N/A

1.72%

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

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

2.15%

Class A

                          

9/30/22

$ 10.12

$ 0.13

$ (1.77)

$ (1.64)

$ (0.11)

$ (0.02)

$ (0.13)

$ 8.35

(16.40%)

$ 11,149

0.92%

0.89%

1.42%

9/30/21

10.72

0.10

(0.13)

(0.03)

(0.19)

(0.38)

(0.57)

10.12

(0.33%)

11,662

0.91%

0.88%

0.98%

9/30/20

10.23

0.16

0.58

0.74

(0.25)

—

(0.25)

10.72

7.45%

11,334

0.91%

N/A

1.56%

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

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

2.07%

Class R3

                          

9/30/22

$ 10.15

$ 0.11

$ (1.78)

$ (1.67)

$ (0.09)

$ (0.02)

$ (0.11)

$ 8.37

(16.62%)

$ 17,646

1.07%

1.04%

1.20%

9/30/21

10.73

0.09

(0.12)

(0.03)

(0.17)

(0.38)

(0.55)

10.15

(0.37%)

22,384

1.05%

1.03%

0.83%

9/30/20

10.23

0.15

0.58

0.73

(0.23)

—

(0.23)

10.73

7.33%

27,785

1.06%

N/A

1.43%

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

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

1.91%

 

 

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

 

207

 

 

MassMutual 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

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

                          

9/30/22

$ 10.90

$ 0.23

$ (1.97)

$ (1.74)

$ (0.44)

$ (0.21)

$ (0.65)

$ 8.51

(17.05%)

$ 261,784

0.51%

0.46%

2.35%

9/30/21

11.30

0.25

(0.05)

0.20

(0.33)

(0.27)

(0.60)

10.90

1.79%

400,718

0.46%

0.46%k

2.28%

9/30/20

11.05

0.30

0.41

0.71

(0.31)

(0.15)

(0.46)

11.30

6.70%

423,904

0.47%

0.47%n

2.76%

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%

Class R5

                          

9/30/22

$ 10.90

$ 0.22

$ (1.98)

$ (1.76)

$ (0.42)

$ (0.21)

$ (0.63)

$ 8.51

(17.14%)

$ 53,494

0.61%

0.56%

2.25%

9/30/21

11.31

0.24

(0.06)

0.18

(0.32)

(0.27)

(0.59)

10.90

1.61%

83,071

0.56%

0.56%k

2.19%

9/30/20

11.05

0.29

0.42

0.71

(0.30)

(0.15)

(0.45)

11.31

6.66%

89,644

0.57%

0.57%n

2.65%

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%

Service Class

                        

9/30/22

$ 10.91

$ 0.21

$ (1.98)

$ (1.77)

$ (0.42)

$ (0.21)

$ (0.63)

$ 8.51

(17.25%)

$ 33,007

0.72%

0.67%

2.20%

9/30/21

11.31

0.23

(0.05)

0.18

(0.31)

(0.27)

(0.58)

10.91

1.59%

29,022

0.66%

0.66%k

2.08%

9/30/20

11.05

0.28

0.42

0.70

(0.29)

(0.15)

(0.44)

11.31

6.53%

37,611

0.67%

0.67%n

2.57%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

118%

120%

193%

262%

294%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

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.

 

208

 

 

   

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

                        

9/30/22

$ 10.85

$ 0.20

$ (1.97)

$ (1.77)

$ (0.38)

$ (0.21)

$ (0.59)

$ 8.49

(17.29%)

$ 20,188

0.81%

0.76%

1.98%

9/30/21

11.25

0.22

(0.05)

0.17

(0.30)

(0.27)

(0.57)

10.85

1.49%

50,859

0.76%

0.76%k

1.98%

9/30/20

11.00

0.27

0.41

0.68

(0.28)

(0.15)

(0.43)

11.25

6.40%

70,366

0.77%

0.77%n

2.47%

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%

Class R4

                          

9/30/22

$ 10.78

$ 0.18

$ (1.95)

$ (1.77)

$ (0.37)

$ (0.21)

$ (0.58)

$ 8.43

(17.40%)

$ 18,821

0.96%

0.91%

1.86%

9/30/21

11.18

0.20

(0.05)

0.15

(0.28)

(0.27)

(0.55)

10.78

1.31%

41,556

0.91%

0.91%k

1.83%

9/30/20

10.93

0.25

0.41

0.66

(0.26)

(0.15)

(0.41)

11.18

6.29%

49,770

0.92%

0.92%n

2.33%

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%

Class A

                          

9/30/22

$ 10.80

$ 0.17

$ (1.96)

$ (1.79)

$ (0.32)

$ (0.21)

$ (0.53)

$ 8.48

(17.46%)

$ 14,285

1.06%

1.01%

1.76%

9/30/21

11.21

0.19

(0.05)

0.14

(0.28)

(0.27)

(0.55)

10.80

1.21%

30,068

1.01%

1.01%k

1.72%

9/30/20

10.97

0.24

0.41

0.65

(0.26)

(0.15)

(0.41)

11.21

6.09%

60,452

1.02%

1.02%n

2.20%

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%

Class R3

                          

9/30/22

$ 10.67

$ 0.16

$ (1.94)

$ (1.78)

$ (0.32)

$ (0.21)

$ (0.53)

$ 8.36

(17.61%)

$ 5,277

1.21%

1.16%

1.60%

9/30/21

11.07

0.17

(0.05)

0.12

(0.25)

(0.27)

(0.52)

10.67

1.03%

11,534

1.16%

1.16%k

1.59%

9/30/20

10.82

0.22

0.41

0.63

(0.23)

(0.15)

(0.38)

11.07

6.02%

15,761

1.17%

1.17%n

2.09%

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%

 

 

 

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

 

209

 

 

MassMutual 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

                        

9/30/22

$ 13.48

$ 0.25

$ (1.15)

$ (0.90)

$ (0.26)

$ (1.45)

$ (1.71)

$ 10.87

(8.47%)

$ 168,929

0.58%

1.97%

9/30/21

9.87

0.23

3.62

3.85

(0.24)

—

(0.24)

13.48

39.59%

230,230

0.57%

1.84%

9/30/20

11.48

0.25

(1.01)

(0.76)

(0.28)

(0.57)

(0.85)

9.87

(7.64%)

197,915

0.58%

2.42%

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%

Class R5

                        

9/30/22

$ 13.50

$ 0.24

$ (1.15)

$ (0.91)

$ (0.24)

$ (1.45)

$ (1.69)

$ 10.90

(8.48%)

$ 48,259

0.68%

1.86%

9/30/21

9.89

0.22

3.62

3.84

(0.23)

—

(0.23)

13.50

39.38%

70,251

0.67%

1.74%

9/30/20

11.50

0.24

(1.02)

(0.78)

(0.26)

(0.57)

(0.83)

9.89

(7.75%)

62,821

0.68%

2.33%

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%

Service Class

                      

9/30/22

$ 13.50

$ 0.23

$ (1.15)

$ (0.92)

$ (0.23)

$ (1.45)

$ (1.68)

$ 10.90

(8.57%)

$ 11,979

0.78%

1.77%

9/30/21

9.89

0.20

3.63

3.83

(0.22)

—

(0.22)

13.50

39.28%

15,170

0.77%

1.65%

9/30/20

11.51

0.23

(1.02)

(0.79)

(0.26)

(0.57)

(0.83)

9.89

(7.88%)

13,967

0.78%

2.25%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

43%

60%

52%

42%

75%

 

c

Per share amount calculated on the average shares method.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

210

 

 

   

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

                      

9/30/22

$ 13.61

$ 0.21

$ (1.17)

$ (0.96)

$ (0.21)

$ (1.45)

$ (1.66)

$ 10.99

(8.76%)

$ 16,695

0.88%

1.66%

9/30/21

9.96

0.19

3.67

3.86

(0.21)

—

(0.21)

13.61

39.24%

21,354

0.87%

1.54%

9/30/20

11.59

0.22

(1.03)

(0.81)

(0.25)

(0.57)

(0.82)

9.96

(7.99%)

16,359

0.88%

2.12%

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%

Class R4

                        

9/30/22

$ 13.24

$ 0.19

$ (1.12)

$ (0.93)

$ (0.20)

$ (1.45)

$ (1.65)

$ 10.66

(8.83%)

$ 8,853

1.03%

1.51%

9/30/21

9.70

0.17

3.57

3.74

(0.20)

—

(0.20)

13.24

39.00%

12,608

1.02%

1.39%

9/30/20

11.31

0.20

(1.01)

(0.81)

(0.23)

(0.57)

(0.80)

9.70

(8.14%)

9,823

1.03%

2.00%

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%

Class A

                        

9/30/22

$ 13.45

$ 0.18

$ (1.15)

$ (0.97)

$ (0.17)

$ (1.45)

$ (1.62)

$ 10.86

(8.93%)

$ 21,805

1.13%

1.42%

9/30/21

9.85

0.16

3.63

3.79

(0.19)

—

(0.19)

13.45

38.84%

26,835

1.12%

1.29%

9/30/20

11.46

0.19

(1.02)

(0.83)

(0.21)

(0.57)

(0.78)

9.85

(8.22%)

27,575

1.13%

1.87%

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%

Class R3

                        

9/30/22

$ 13.35

$ 0.16

$ (1.14)

$ (0.98)

$ (0.14)

$ (1.45)

$ (1.59)

$ 10.78

(9.09%)

$ 1,395

1.28%

1.31%

9/30/21

9.77

0.14

3.61

3.75

(0.17)

—

(0.17)

13.35

38.73%

1,082

1.27%

1.14%

9/30/20

11.39

0.18

(1.02)

(0.84)

(0.21)

(0.57)

(0.78)

9.77

(8.38%)

1,492

1.28%

1.76%

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%

 

 

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

 

211

 

 

MassMutual 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

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

                        

9/30/22

$ 10.48

$ 0.14

$ (0.77)

$ (0.63)

$ (0.08)

$ (1.23)

$ (1.31)

$ 8.54

(7.69%)

$ 277,621

0.66%

1.43%

9/30/21

7.52

0.12

2.99

3.11

(0.15)

—

(0.15)

10.48

41.76%

353,238

0.65%

1.19%

9/30/20

10.33

0.15

(0.72)

(0.57)

(0.23)

(2.01)

(2.24)

7.52

(8.51%)

268,368

0.66%

1.85%

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%

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%

1.91%

Class R5

                        

9/30/22

$ 10.56

$ 0.13

$ (0.78)

$ (0.65)

$ (0.06)

$ (1.23)

$ (1.29)

$ 8.62

(7.73%)

$ 69,771

0.76%

1.31%

9/30/21

7.57

0.11

3.02

3.13

(0.14)

—

(0.14)

10.56

41.74%

112,193

0.75%

1.11%

9/30/20

10.39

0.14

(0.73)

(0.59)

(0.22)

(2.01)

(2.23)

7.57

(8.68%)

132,370

0.76%

1.75%

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%

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%

1.80%

Service Class

                      

9/30/22

$ 10.49

$ 0.12

$ (0.76)

$ (0.64)

$ (0.06)

$ (1.23)

$ (1.29)

$ 8.56

(7.76%)

$ 26,311

0.86%

1.23%

9/30/21

7.53

0.10

2.99

3.09

(0.13)

—

(0.13)

10.49

41.43%

29,948

0.85%

0.99%

9/30/20

10.34

0.13

(0.72)

(0.59)

(0.21)

(2.01)

(2.22)

7.53

(8.76%)

21,654

0.86%

1.64%

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%

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%

1.69%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

30%

38%

54%

103%

46%

 

c

Per share amount calculated on the average shares method.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

212

 

 

   

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

                      

9/30/22

$ 10.59

$ 0.11

$ (0.78)

$ (0.67)

$ (0.04)

$ (1.23)

$ (1.27)

$ 8.65

(7.94%)

$ 24,364

0.96%

1.09%

9/30/21

7.60

0.09

3.02

3.11

(0.12)

—

(0.12)

10.59

41.33%

47,797

0.95%

0.92%

9/30/20

10.41

0.13

(0.73)

(0.60)

(0.20)

(2.01)

(2.21)

7.60

(8.78%)

56,880

0.96%

1.53%

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%

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%

1.60%

Class R4

                        

9/30/22

$ 10.19

$ 0.09

$ (0.74)

$ (0.65)

$ (0.03)

$ (1.23)

$ (1.26)

$ 8.28

(8.06%)

$ 3,937

1.11%

0.95%

9/30/21

7.32

0.07

2.91

2.98

(0.11)

—

(0.11)

10.19

41.10%

9,329

1.10%

0.74%

9/30/20

10.11

0.11

(0.70)

(0.59)

(0.19)

(2.01)

(2.20)

7.32

(8.98%)

7,609

1.11%

1.41%

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%

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%

1.45%

Class A

                        

9/30/22

$ 10.41

$ 0.09

$ (0.77)

$ (0.68)

$ (0.01)

$ (1.23)

$ (1.24)

$ 8.49

(8.13%)

$ 22,657

1.21%

0.87%

9/30/21

7.46

0.06

2.98

3.04

(0.09)

—

(0.09)

10.41

40.98%

33,431

1.20%

0.65%

9/30/20

10.26

0.11

(0.73)

(0.62)

(0.17)

(2.01)

(2.18)

7.46

(9.06%)

34,647

1.21%

1.33%

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%

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%

1.34%

Class R3

                        

9/30/22

$ 10.14

$ 0.07

$ (0.74)

$ (0.67)

$ (0.01)

$ (1.23)

$ (1.24)

$ 8.23

(8.26%)

$ 1,310

1.36%

0.73%

9/30/21

7.27

0.05

2.90

2.95

(0.08)

—

(0.08)

10.14

40.82%

1,678

1.35%

0.49%

9/30/20

10.05

0.09

(0.71)

(0.62)

(0.15)

(2.01)

(2.16)

7.27

(9.23%)

989

1.36%

1.15%

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%

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%

1.21%

 

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

 

213

 

 

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

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

                        

9/30/22

$ 21.46

$ 0.27

$ (2.98)

$ (2.71)

$ (0.29)

$ (2.53)

$ (2.82)

$ 15.93

(15.56%)

$ 900,471

0.12%

1.36%

9/30/21

19.31

0.28

4.91

5.19

(0.39)

(2.65)

(3.04)

21.46

29.93%

1,495,161

0.12%

1.36%

9/30/20

17.92

0.32

2.30

2.62

(0.40)

(0.83)

(1.23)

19.31

15.04%

1,210,251

0.12%

1.79%

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%

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%

1.86%

Class R5

                        

9/30/22

$ 21.55

$ 0.25

$ (3.01)

$ (2.76)

$ (0.26)

$ (2.53)

$ (2.79)

$ 16.00

(15.68%)

$ 300,070

0.22%

1.27%

9/30/21

19.38

0.26

4.93

5.19

(0.37)

(2.65)

(3.02)

21.55

29.78%

471,641

0.22%

1.26%

9/30/20

17.98

0.30

2.31

2.61

(0.38)

(0.83)

(1.21)

19.38

14.93%

416,360

0.22%

1.70%

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%

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%

1.75%

Service Class

                      

9/30/22

$ 21.60

$ 0.22

$ (3.02)

$ (2.80)

$ (0.23)

$ (2.53)

$ (2.76)

$ 16.04

(15.84%)

$ 244,212

0.37%

1.12%

9/30/21

19.41

0.23

4.95

5.18

(0.34)

(2.65)

(2.99)

21.60

29.63%

371,149

0.37%

1.11%

9/30/20

18.00

0.28

2.31

2.59

(0.35)

(0.83)

(1.18)

19.41

14.80%

381,745

0.37%

1.54%

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%

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%

1.59%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

2%

4%

6%

4%

3%q

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

214

 

 

   

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

                    

9/30/22

$ 21.05

$ 0.19

$ (2.92)

$ (2.73)

$ (0.20)

$ (2.53)

$ (2.73)

$ 15.59

(15.88%)

$ 213,739

0.47%

1.01%

9/30/21

18.99

0.20

4.83

5.03

(0.32)

(2.65)

(2.97)

21.05

29.45%

368,149

0.47%

1.01%

9/30/20

17.63

0.25

2.27

2.52

(0.33)

(0.83)

(1.16)

18.99

14.68%

370,740

0.47%

1.45%

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%

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%

1.50%

Class R4

                        

9/30/22

$ 20.69

$ 0.16

$ (2.87)

$ (2.71)

$ (0.16)

$ (2.53)

$ (2.69)

$ 15.29

(16.01%)

$ 333,263

0.62%

0.87%

9/30/21

18.71

0.17

4.75

4.92

(0.29)

(2.65)

(2.94)

20.69

29.26%

494,937

0.62%

0.87%

9/30/20

17.39

0.22

2.24

2.46

(0.31)

(0.83)

(1.14)

18.71

14.51%

561,315

0.62%

1.29%

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%

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%

1.35%

Class A

                        

9/30/22

$ 20.51

$ 0.14

$ (2.83)

$ (2.69)

$ (0.14)

$ (2.53)

$ (2.67)

$ 15.15

(16.06%)

$ 18,172

0.72%

0.77%

9/30/21

18.57

0.15

4.72

4.87

(0.28)

(2.65)

(2.93)

20.51

29.14%

25,655

0.72%

0.76%

9/30/20

17.26

0.21

2.21

2.42

(0.28)

(0.83)

(1.11)

18.57

14.40%

23,908

0.72%

1.20%

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%

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%

1.25%

Class R3

                        

9/30/22

$ 19.92

$ 0.11

$ (2.74)

$ (2.63)

$ (0.14)

$ (2.53)

$ (2.67)

$ 14.62

(16.25%)

$ 212,307

0.87%

0.63%

9/30/21

18.12

0.11

4.60

4.71

(0.26)

(2.65)

(2.91)

19.92

28.96%

271,678

0.87%

0.60%

9/30/20

16.87

0.17

2.17

2.34

(0.26)

(0.83)

(1.09)

18.12

14.25%

215,443

0.87%

1.04%

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%

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%

1.10%

 

 

 

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

 

215

 

 

MassMutual 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

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

                        

9/30/22

$ 20.17

$ 0.23

$ (1.29)

$ (1.06)

$ (0.25)

$ (2.20)

$ (2.45)

$ 16.66

(6.98%)

$ 355,035

0.74%

1.17%

9/30/21

17.22

0.24

3.99

4.23

(0.24)

(1.04)

(1.28)

20.17

25.67%

432,817

0.73%

1.25%

9/30/20

18.33

0.27

0.26

0.53

(0.29)

(1.35)

(1.64)

17.22

2.73%

402,371

0.74%

1.64%

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%

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%

1.50%

Class R5

                        

9/30/22

$ 20.26

$ 0.21

$ (1.29)

$ (1.08)

$ (0.23)

$ (2.20)

$ (2.43)

$ 16.75

(7.05%)

$ 84,471

0.83%

1.06%

9/30/21

17.30

0.22

4.00

4.22

(0.22)

(1.04)

(1.26)

20.26

25.48%

165,143

0.83%

1.15%

9/30/20

18.41

0.26

0.25

0.51

(0.27)

(1.35)

(1.62)

17.30

2.61%

156,171

0.84%

1.50%

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%

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%

1.38%

Service Class

                      

9/30/22

$ 19.75

$ 0.18

$ (1.25)

$ (1.07)

$ (0.21)

$ (2.20)

$ (2.41)

$ 16.27

(7.18%)

$ 34,750

0.94%

0.96%

9/30/21

16.88

0.20

3.91

4.11

(0.20)

(1.04)

(1.24)

19.75

25.44%

46,987

0.93%

1.04%

9/30/20

18.00

0.23

0.25

0.48

(0.25)

(1.35)

(1.60)

16.88

2.52%

48,504

0.94%

1.41%

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%

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%

1.28%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

25%

25%

41%

33%

35%

 

c

Per share amount calculated on the average shares method.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

216

 

 

   

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

                      

9/30/22

$ 19.38

$ 0.16

$ (1.23)

$ (1.07)

$ (0.19)

$ (2.20)

$ (2.39)

$ 15.92

(7.30%)

$ 34,104

1.04%

0.86%

9/30/21

16.59

0.18

3.83

4.01

(0.18)

(1.04)

(1.22)

19.38

25.26%

51,726

1.03%

0.95%

9/30/20

17.71

0.21

0.25

0.46

(0.23)

(1.35)

(1.58)

16.59

2.42%

45,175

1.04%

1.30%

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%

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%

1.19%

Class R4

                        

9/30/22

$ 17.80

$ 0.12

$ (1.09)

$ (0.97)

$ (0.17)

$ (2.20)

$ (2.37)

$ 14.46

(7.41%)

$ 6,354

1.19%

0.71%

9/30/21

15.34

0.13

3.54

3.67

(0.17)

(1.04)

(1.21)

17.80

25.07%

8,727

1.18%

0.79%

9/30/20

16.48

0.18

0.23

0.41

(0.20)

(1.35)

(1.55)

15.34

2.28%

8,716

1.19%

1.18%

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%

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%

1.04%

Class A

                        

9/30/22

$ 18.18

$ 0.11

$ (1.12)

$ (1.01)

$ (0.14)

$ (2.20)

$ (2.34)

$ 14.83

(7.46%)

$ 38,062

1.29%

0.61%

9/30/21

15.64

0.12

3.61

3.73

(0.15)

(1.04)

(1.19)

18.18

24.94%

53,123

1.28%

0.70%

9/30/20

16.78

0.16

0.24

0.40

(0.19)

(1.35)

(1.54)

15.64

2.19%

55,832

1.29%

1.05%

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%

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%

0.92%

Class R3

                        

9/30/22

$ 16.40

$ 0.07

$ (0.98)

$ (0.91)

$ (0.13)

$ (2.20)

$ (2.33)

$ 13.16

(7.66%)

$ 4,064

1.44%

0.49%

9/30/21

14.22

0.09

3.27

3.36

(0.14)

(1.04)

(1.18)

16.40

24.79%

3,259

1.43%

0.55%

9/30/20

15.42

0.13

0.22

0.35

(0.20)

(1.35)

(1.55)

14.22

2.00%

3,447

1.44%

0.92%

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%

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%

0.78%

 

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

 

217

 

 

MassMutual Fundamental 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

                          

9/30/22

$ 6.15

$ (0.02)

$ (1.42)

$ (1.44)

$ —

$ (1.73)

$ (1.73)

$ 2.98

(31.76%)

$ 2,654

1.18%

1.18%k

(0.59%)

9/30/21

8.33

(0.04)

1.93

1.89

—

(4.07)

(4.07)

6.15

28.46%

13,386

1.04%

N/A

(0.61%)

9/30/20

8.03

0.00d

1.67

1.67

(0.02)

(1.35)

(1.37)

8.33

23.25%

12,278

0.89%

N/A

(0.01%)

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%

Class R5

                          

9/30/22

$ 6.19

$ (0.03)

$ (1.43)

$ (1.46)

$ —

$ (1.73)

$ (1.73)

$ 3.00

(31.94%)

$ 4,939

1.32%

1.31%

(0.71%)

9/30/21

8.37

(0.05)

1.94

1.89

(0.00)d

(4.07)

(4.07)

6.19

28.29%

10,813

1.14%

N/A

(0.71%)

9/30/20

8.05

(0.01)

1.69

1.68

(0.01)

(1.35)

(1.36)

8.37

23.34%

12,351

0.99%

N/A

(0.17%)

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%

Service Class

                        

9/30/22

$ 5.84

$ (0.03)

$ (1.32)

$ (1.35)

$ —

$ (1.73)

$ (1.73)

$ 2.76

(31.97%)

$ 4,211

1.43%

1.42%

(0.80%)

9/30/21

8.11

(0.05)

1.85

1.80

(0.00)d

(4.07)

(4.07)

5.84

28.05%

6,641

1.24%

N/A

(0.81%)

9/30/20

7.83

(0.02)

1.66

1.64

(0.01)

(1.35)

(1.36)

8.11

23.35%

6,285

1.09%

N/A

(0.30%)

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

67%

78%

164%

123%

47%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

e

Amount is less than 0.005%.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

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.

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.

 

218

 

 

   

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

                      

9/30/22

$ 5.46

$ (0.03)

$ (1.21)

$ (1.24)

$ —

$ (1.73)

$ (1.73)

$ 2.49

(32.21%)

$ 4,610

1.52%

1.51%

(0.90%)

9/30/21

7.80

(0.05)

1.78

1.73

(0.00)d

(4.07)

(4.07)

5.46

28.26%

8,032

1.34%

N/A

(0.91%)

9/30/20

7.59

(0.03)

1.59

1.56

—

(1.35)

(1.35)

7.80

23.08%

13,485

1.19%

N/A

(0.41%)

9/30/19

9.38

0.00d

(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%

Class R4

                          

9/30/22

$ 4.59

$ (0.03)

$ (0.93)

$ (0.96)

$ —

$ (1.73)

$ (1.73)

$ 1.90

(32.23%)

$ 1,220

1.69%

1.68%

(1.05%)

9/30/21

7.14

(0.05)

1.57

1.52

(0.00)d

(4.07)

(4.07)

4.59

27.79%

1,699

1.49%

N/A

(1.06%)

9/30/20

7.06

(0.04)

1.47

1.43

—

(1.35)

(1.35)

7.14

22.94%

1,662

1.34%

N/A

(0.59%)

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%

Class A

                          

9/30/22

$ 4.72

$ (0.03)

$ (0.97)

$ (1.00)

$ —

$ (1.73)

$ (1.73)

$ 1.99

(32.20%)

$ 7,267

1.77%

1.76%

(1.15%)

9/30/21

7.25

(0.06)

1.60

1.54

(0.00)d

(4.07)

(4.07)

4.72

27.60%

13,199

1.59%

N/A

(1.16%)

9/30/20

7.15

(0.04)

1.49

1.45

—

(1.35)

(1.35)

7.25

22.92%

15,843

1.44%

N/A

(0.67%)

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

0.00d

1.79

1.79

(0.03)

(0.56)

(0.59)

8.95

24.31%

18,868

1.33%

1.25%

0.00%e

Class R3

                          

9/30/22

$ 3.70

$ (0.02)

$ (0.66)

$ (0.68)

$ —

$ (1.73)

$ (1.73)

$ 1.29

(32.59%)

$ 1,101

1.94%

1.93%

(1.30%)

9/30/21

6.45

(0.05)

1.37

1.32

(0.00)d

(4.07)

(4.07)

3.70

27.69%

1,562

1.74%

N/A

(1.32%)

9/30/20

6.51

(0.05)

1.34

1.29

—

(1.35)

(1.35)

6.45

22.70%

2,803

1.59%

N/A

(0.82%)

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%

1.40%

(0.15%)

 

 

 

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

 

219

 

 

MassMutual 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

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

                        

9/30/22

$ 33.66

$ (0.04)

$ (8.56)

$ (8.60)

$ —

$ (6.32)

$ (6.32)

$ 18.74

(31.96%)

$ 1,748,402

0.64%

(0.15%)

9/30/21

28.98

(0.05)

6.11

6.06

—

(1.38)

(1.38)

33.66

21.60%

2,790,281

0.63%

(0.15%)

9/30/20

22.73

0.01

7.59

7.60

(0.09)

(1.26)

(1.35)

28.98

34.96%

2,729,246

0.64%

0.06%

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%

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%

0.30%

Class R5

                        

9/30/22

$ 33.56

$ (0.06)

$ (8.53)

$ (8.59)

$ —

$ (6.32)

$ (6.32)

$ 18.65

(32.04%)

$ 333,396

0.74%

(0.25%)

9/30/21

28.93

(0.08)

6.09

6.01

—

(1.38)

(1.38)

33.56

21.46%

616,307

0.73%

(0.25%)

9/30/20

22.69

(0.01)

7.58

7.57

(0.07)

(1.26)

(1.33)

28.93

34.84%

604,630

0.74%

(0.04%)

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%

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%

0.19%

Service Class

                      

9/30/22

$ 33.18

$ (0.09)

$ (8.40)

$ (8.49)

$ —

$ (6.32)

$ (6.32)

$ 18.37

(32.12%)

$ 121,094

0.84%

(0.35%)

9/30/21

28.64

(0.11)

6.03

5.92

—

(1.38)

(1.38)

33.18

21.36%

207,565

0.83%

(0.35%)

9/30/20

22.47

(0.04)

7.51

7.47

(0.04)

(1.26)

(1.30)

28.64

34.72%

184,567

0.84%

(0.17%)

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%

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%

0.09%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

16%

20%

28%

25%

17%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

220

 

 

   

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

                      

9/30/22

$ 32.58

$ (0.11)

$ (8.20)

$ (8.31)

$ —

$ (6.32)

$ (6.32)

$ 17.95

(32.16%)

$ 171,168

0.94%

(0.46%)

9/30/21

28.18

(0.14)

5.92

5.78

—

(1.38)

(1.38)

32.58

21.21%

347,256

0.93%

(0.45%)

9/30/20

22.13

(0.06)

7.40

7.34

(0.03)

(1.26)

(1.29)

28.18

34.60%

388,847

0.94%

(0.24%)

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%

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%

(0.01%)

Class R4

                        

9/30/22

$ 30.82

$ (0.14)

$ (7.63)

$ (7.77)

$ —

$ (6.32)

$ (6.32)

$ 16.73

(32.26%)

$ 48,674

1.08%

(0.59%)

9/30/21

26.76

(0.17)

5.61

5.44

—

(1.38)

(1.38)

30.82

21.05%

128,730

1.08%

(0.60%)

9/30/20

21.09

(0.09)

7.02

6.93

—

(1.26)

(1.26)

26.76

34.34%

121,843

1.09%

(0.38%)

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%

(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%

(0.16%)

Class A

                        

9/30/22

$ 30.82

$ (0.16)

$ (7.63)

$ (7.79)

$ —

$ (6.32)

$ (6.32)

$ 16.71

(32.34%)

$ 80,084

1.19%

(0.70%)

9/30/21

26.79

(0.20)

5.61

5.41

—

(1.38)

(1.38)

30.82

20.91%

142,265

1.18%

(0.69%)

9/30/20

21.13

(0.11)

7.03

6.92

—

(1.26)

(1.26)

26.79

34.23%

202,794

1.18%

(0.48%)

9/30/19

21.82

(0.04)

0.54

0.50

—

(1.19)

(1.19)

21.13

3.27%

181,457

1.19%

(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%

(0.26%)

Class R3

                        

9/30/22

$ 28.32

$ (0.18)

$ (6.82)

$ (7.00)

$ —

$ (6.32)

$ (6.32)

$ 15.00

(32.41%)

$ 30,331

1.34%

(0.85%)

9/30/21

24.76

(0.23)

5.17

4.94

—

(1.38)

(1.38)

28.32

20.72%

55,690

1.33%

(0.85%)

9/30/20

19.64

(0.13)

6.51

6.38

—

(1.26)

(1.26)

24.76

34.06%

60,548

1.33%

(0.62%)

9/30/19

20.41

(0.07)

0.49

0.42

—

(1.19)

(1.19)

19.64

3.10%

61,141

1.34%

(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%

(0.41%)

 

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

 

221

 

 

MassMutual 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
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

                          

9/30/22

$ 11.31

$ (0.04)

$ (4.23)

$ (4.27)

$ —

$ (2.48)

$ (2.48)

$ 4.56

(47.25%)

$ 146,814

0.78%

0.76%

(0.53%)

9/30/21

10.57

(0.06)

2.82

2.76

—

(2.02)

(2.02)

11.31

28.69%

304,938

0.76%

0.74%

(0.54%)

9/30/20

10.21

(0.02)

3.53

3.51

(0.06)

(3.09)

(3.15)

10.57

45.81%

248,333

0.77%

0.76%

(0.23%)

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%)

Class R5

                          

9/30/22

$ 11.00

$ (0.04)

$ (4.08)

$ (4.12)

$ —

$ (2.48)

$ (2.48)

$ 4.40

(47.21%)

$ 33,626

0.88%

0.86%

(0.63%)

9/30/21

10.33

(0.07)

2.76

2.69

—

(2.02)

(2.02)

11.00

28.64%

82,696

0.86%

0.84%

(0.64%)

9/30/20

10.05

(0.03)

3.45

3.42

(0.05)

(3.09)

(3.14)

10.33

45.51%

112,882

0.87%

0.86%

(0.31%)

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%)

Service Class

                        

9/30/22

$ 10.27

$ (0.05)

$ (3.74)

$ (3.79)

$ —

$ (2.48)

$ (2.48)

$ 4.00

(47.38%)

$ 14,637

0.98%

0.96%

(0.73%)

9/30/21

9.77

(0.07)

2.59

2.52

—

(2.02)

(2.02)

10.27

28.53%

30,819

0.96%

0.94%

(0.74%)

9/30/20

9.66

(0.03)

3.27

3.24

(0.04)

(3.09)

(3.13)

9.77

45.46%

31,955

0.97%

0.96%

(0.37%)

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%)

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

29%

26%

47%

33%

28%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

222

 

 

   

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

                        

9/30/22

$ 9.34

$ (0.05)

$ (3.30)

$ (3.35)

$ —

$ (2.48)

$ (2.48)

$ 3.51

(47.40%)

$ 22,602

1.08%

1.06%

(0.83%)

9/30/21

9.06

(0.08)

2.38

2.30

—

(2.02)

(2.02)

9.34

28.30%

51,978

1.06%

1.04%

(0.84%)

9/30/20

9.17

(0.04)

3.05

3.01

(0.03)

(3.09)

(3.12)

9.06

45.29%

57,076

1.07%

1.06%

(0.52%)

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%)

Class R4

                          

9/30/22

$ 7.76

$ (0.05)

$ (2.55)

$ (2.60)

$ —

$ (2.48)

$ (2.48)

$ 2.68

(47.38%)

$ 638

1.23%

1.21%

(0.99%)

9/30/21

7.84

(0.08)

2.02

1.94

—

(2.02)

(2.02)

7.76

28.08%

2,721

1.21%

1.19%

(0.99%)

9/30/20

8.32

(0.04)

2.66

2.62

(0.01)

(3.09)

(3.10)

7.84

45.05%

2,777

1.22%

1.21%

(0.60%)

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%)

Class A

                          

9/30/22

$ 7.60

$ (0.05)

$ (2.48)

$ (2.53)

$ —

$ (2.48)

$ (2.48)

$ 2.59

(47.50%)

$ 14,095

1.33%

1.31%

(1.08%)

9/30/21

7.72

(0.08)

1.98

1.90

—

(2.02)

(2.02)

7.60

27.99%

38,900

1.31%

1.29%

(1.09%)

9/30/20

8.24

(0.05)

2.63

2.58

(0.01)

(3.09)

(3.10)

7.72

44.93%

41,810

1.32%

1.31%

(0.77%)

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%)

Class R3

                          

9/30/22

$ 5.90

$ (0.03)

$ (1.70)

$ (1.73)

$ —

$ (2.48)

$ (2.48)

$ 1.69

(47.66%)

$ 1,411

1.48%

1.46%

(1.23%)

9/30/21

6.40

(0.07)

1.59

1.52

—

(2.02)

(2.02)

5.90

27.84%

2,696

1.46%

1.44%

(1.24%)

9/30/20

7.33

(0.05)

2.21

2.16

(0.00)d

(3.09)

(3.09)

6.40

44.85%

984

1.47%

1.46%

(0.92%)

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%)

 

 

 

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

 

223

 

 

MassMutual 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

                          

9/30/22

$ 15.11

$ 0.19

$ (1.12)

$ (0.93)

$ (0.16)

$ (3.46)

$ (3.62)

$ 10.56

(9.37%)

$ 97,584

0.93%

0.61%

1.47%

9/30/21

11.24

0.18

3.87

4.05

(0.18)

—

(0.18)

15.11

36.36%

114,786

0.93%

0.70%

1.28%

9/30/20

12.42

0.20

(1.15)

(0.95)

(0.23)

—

(0.23)

11.24

(7.88%)

97,457

1.00%

0.80%

1.75%

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%

Class R5

                          

9/30/22

$ 15.28

$ 0.18

$ (1.15)

$ (0.97)

$ (0.14)

$ (3.46)

$ (3.60)

$ 10.71

(9.51%)

$ 782

1.03%

0.71%

1.36%

9/30/21

11.36

0.17

3.91

4.08

(0.16)

—

(0.16)

15.28

36.22%

1,001

1.03%

0.79%

1.18%

9/30/20

12.55

0.20

(1.17)

(0.97)

(0.22)

—

(0.22)

11.36

(7.96%)

843

1.10%

0.90%

1.67%

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%

Service Class

                        

9/30/22

$ 15.16

$ 0.15

$ (1.12)

$ (0.97)

$ (0.13)

$ (3.46)

$ (3.59)

$ 10.60

(9.60%)

$ 88

1.12%

0.81%

1.15%

9/30/21

11.28

0.16

3.88

4.04

(0.16)

—

(0.16)

15.16

36.08%

569

1.13%

0.87%

1.07%

9/30/20

12.46

0.18

(1.16)

(0.98)

(0.20)

—

(0.20)

11.28

(8.05%)

203

1.20%

1.00%

1.55%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

82%

134%

74%

54%

98%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

224

 

 

   

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

                        

9/30/22

$ 15.46

$ 0.15

$ (1.16)

$ (1.01)

$ (0.10)

$ (3.46)

$ (3.56)

$ 10.89

(9.63%)

$ 841

1.23%

0.91%

1.17%

9/30/21

11.50

0.14

3.97

4.11

(0.15)

—

(0.15)

15.46

35.93%

1,124

1.23%

1.00%

0.98%

9/30/20

12.71

0.17

(1.19)

(1.02)

(0.19)

—

(0.19)

11.50

(8.19%)

873

1.30%

1.10%

1.46%

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%

Class R4

                          

9/30/22

$ 14.96

$ 0.13

$ (1.12)

$ (0.99)

$ (0.03)

$ (3.46)

$ (3.49)

$ 10.48

(9.79%)

$ 255

1.38%

1.06%

1.04%

9/30/21

11.14

0.11

3.84

3.95

(0.13)

—

(0.13)

14.96

35.64%

276

1.38%

1.20%

0.81%

9/30/20

12.31

0.15

(1.14)

(0.99)

(0.18)

—

(0.18)

11.14

(8.27%)

934

1.45%

1.25%

1.29%

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%

Class A

                          

9/30/22

$ 15.13

$ 0.12

$ (1.14)

$ (1.02)

$ —

$ (3.46)

$ (3.46)

$ 10.65

(9.87%)

$ 1,390

1.48%

1.16%

0.93%

9/30/21

11.27

0.10

3.88

3.98

(0.12)

—

(0.12)

15.13

35.51%

1,544

1.48%

1.26%

0.73%

9/30/20

12.47

0.14

(1.17)

(1.03)

(0.17)

—

(0.17)

11.27

(8.41%)

3,071

1.55%

1.35%

1.23%

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%

Class R3

                          

9/30/22

$ 14.92

$ 0.10

$ (1.12)

$ (1.02)

$ —

$ (3.46)

$ (3.46)

$ 10.44

(10.05%)

$ 120

1.63%

1.31%

0.77%

9/30/21

11.10

0.07

3.84

3.91

(0.09)

—

(0.09)

14.92

35.39%

144

1.63%

1.42%

0.52%

9/30/20

12.28

0.12

(1.15)

(1.03)

(0.15)

—

(0.15)

11.10

(8.53%)

381

1.70%

1.50%

1.05%

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%

 

 

 

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

 

225

 

 

MassMutual 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

                          

9/30/22

$ 13.05

$ 0.01bb

$ (1.25)

$ (1.24)

$ —

$ (3.12)

$ (3.12)

$ 8.69

(13.54%)

$ 31,863

1.16%

N/A

0.10%

9/30/21

8.72

0.00d

4.68

4.68

—

(0.35)

(0.35)

13.05

54.27%

37,021

1.03%

N/A

0.04%

9/30/20

11.17

0.02

(1.39)

(1.37)

(0.03)

(1.05)

(1.08)

8.72

(14.27%)

51,492

1.05%

N/A

0.22%

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%

Class R5

                          

9/30/22

$ 13.07

$ (0.00)d

$ (1.25)

$ (1.25)

$ —

$ (3.12)

$ (3.12)

$ 8.70

(13.61%)

$ 6,513

1.25%

N/A

(0.02%)

9/30/21

8.74

(0.01)

4.69

4.68

—

(0.35)

(0.35)

13.07

54.14%

11,028

1.13%

N/A

(0.07%)

9/30/20

11.19

0.01

(1.40)

(1.39)

(0.01)

(1.05)

(1.06)

8.74

(14.38%)

10,194

1.15%

N/A

0.11%

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%

Service Class

                        

9/30/22

$ 13.13

$ (0.01)

$ (1.26)

$ (1.27)

$ —

$ (3.12)

$ (3.12)

$ 8.74

(13.72%)

$ 2,189

1.36%

N/A

(0.12%)

9/30/21

8.79

(0.02)

4.71

4.69

—

(0.35)

(0.35)

13.13

53.95%

3,143

1.23%

N/A

(0.15%)

9/30/20

11.24

0.00d

(1.40)

(1.40)

(0.00)d

(1.05)

(1.05)

8.79

(14.38%)

2,572

1.25%

N/A

0.02%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

47%

23%

77%

30%

24%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

e

Amount is less than 0.005%.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

bb

The amount shown for a share outstanding does not correspond with the aggregate net investment income (loss) as shown on the Statement of Operations for the period due to the timing of class-specific expenses. See Note 3 for each fund’s expense structure.

 

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

 

226

 

 

   

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

                      

9/30/22

$ 12.99

$ (0.02)

$ (1.24)

$ (1.26)

$ —

$ (3.12)

$ (3.12)

$ 8.61

(13.80%)

$ 2,189

1.46%

N/A

(0.21%)

9/30/21

8.70

(0.03)

4.67

4.64

—

(0.35)

(0.35)

12.99

53.93%

2,550

1.33%

N/A

(0.25%)

9/30/20

11.16

(0.01)

(1.40)

(1.41)

—

(1.05)

(1.05)

8.70

(14.58%)

3,126

1.35%

N/A

(0.08%)

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%)

Class R4

                          

9/30/22

$ 12.65

$ (0.04)

$ (1.18)

$ (1.22)

$ —

$ (3.12)

$ (3.12)

$ 8.31

(13.88%)

$ 1,193

1.61%

N/A

(0.36%)

9/30/21

8.50

(0.05)

4.55

4.50

—

(0.35)

(0.35)

12.65

53.54%

1,492

1.48%

N/A

(0.41%)

9/30/20

10.93

(0.02)

(1.36)

(1.38)

—

(1.05)

(1.05)

8.50

(14.62%)

2,332

1.50%

N/A

(0.24%)

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%)

Class A

                          

9/30/22

$ 12.73

$ (0.05)

$ (1.20)

$ (1.25)

$ —

$ (3.12)

$ (3.12)

$ 8.36

(14.05%)

$ 4,521

1.71%

N/A

(0.47%)

9/30/21

8.56

(0.06)

4.58

4.52

—

(0.35)

(0.35)

12.73

53.40%

6,375

1.58%

N/A

(0.50%)

9/30/20

11.01

(0.03)

(1.37)

(1.40)

—

(1.05)

(1.05)

8.56

(14.70%)

4,715

1.60%

N/A

(0.34%)

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%)

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%)

Class R3

                          

9/30/22

$ 12.49

$ (0.06)

$ (1.17)

$ (1.23)

$ —

$ (3.12)

$ (3.12)

$ 8.14

(14.19%)

$ 621

1.86%

N/A

(0.61%)

9/30/21

8.41

(0.08)

4.51

4.43

—

(0.35)

(0.35)

12.49

53.27%

695

1.73%

N/A

(0.66%)

9/30/20

10.86

(0.04)

(1.36)

(1.40)

—

(1.05)

(1.05)

8.41

(14.92%)

748

1.75%

N/A

(0.47%)

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%)

 

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

 

227

 

 

MassMutual 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

                          

9/30/22

$ 12.69

$ 0.09

$ (2.16)

$ (2.07)

$ (0.04)

$ (1.72)

$ (1.76)

$ 8.86

(19.24%)

$ 132,528

0.95%

0.86%

0.77%

9/30/21

7.36

0.05

5.35

5.40

(0.07)

—

(0.07)

12.69

73.67%

179,847

0.96%

0.94%

0.48%

9/30/20

9.22

0.05

(1.41)

(1.36)

(0.07)

(0.43)

(0.50)

7.36

(15.96%)

86,121

1.00%

N/A

0.67%

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%

Class R5

                          

9/30/22

$ 12.78

$ 0.07

$ (2.18)

$ (2.11)

$ (0.02)

$ (1.72)

$ (1.74)

$ 8.93

(19.35%)

$ 35,442

1.05%

0.96%

0.66%

9/30/21

7.42

0.05

5.37

5.42

(0.06)

—

(0.06)

12.78

73.32%

65,854

1.06%

1.04%

0.40%

9/30/20

9.28

0.04

(1.41)

(1.37)

(0.06)

(0.43)

(0.49)

7.42

(15.95%)

48,006

1.10%

N/A

0.55%

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%

Service Class

                        

9/30/22

$ 12.69

$ 0.06

$ (2.16)

$ (2.10)

$ (0.01)

$ (1.72)

$ (1.73)

$ 8.86

(19.41%)

$ 7,189

1.15%

1.06%

0.58%

9/30/21

7.37

0.03

5.34

5.37

(0.05)

—

(0.05)

12.69

73.14%

8,737

1.16%

1.14%

0.28%

9/30/20

9.23

0.04

(1.42)

(1.38)

(0.05)

(0.43)

(0.48)

7.37

(16.11%)

4,281

1.20%

N/A

0.44%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

42%

66%

57%

146%

65%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

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.

 

228

 

 

   

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

                      

9/30/22

$ 12.38

$ 0.05

$ (2.10)

$ (2.05)

$ —

$ (1.72)

$ (1.72)

$ 8.61

(19.50%)

$ 9,380

1.25%

1.16%

0.47%

9/30/21

7.19

0.02

5.22

5.24

(0.05)

—

(0.05)

12.38

73.10%

14,862

1.26%

1.24%

0.20%

9/30/20

9.01

0.03

(1.38)

(1.35)

(0.04)

(0.43)

(0.47)

7.19

(16.15%)

12,971

1.30%

N/A

0.36%

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%

Class R4

                          

9/30/22

$ 11.65

$ 0.03

$ (1.95)

$ (1.92)

$ —

$ (1.72)

$ (1.72)

$ 8.01

(19.62%)

$ 628

1.40%

1.31%

0.33%

9/30/21

6.78

0.00d

4.91

4.91

(0.04)

—

(0.04)

11.65

72.68%

780

1.41%

1.40%

0.02%

9/30/20

8.52

0.02

(1.30)

(1.28)

(0.03)

(0.43)

(0.46)

6.78

(16.25%)

882

1.45%

N/A

0.28%

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

0.00d

0.88

0.88

(0.04)

(2.31)

(2.35)

11.26

7.95%

663

1.40%

1.38%

0.02%

Class A

                          

9/30/22

$ 11.83

$ 0.02

$ (1.99)

$ (1.97)

$ —

$ (1.72)

$ (1.72)

$ 8.14

(19.76%)

$ 10,387

1.50%

1.41%

0.22%

9/30/21

6.87

(0.01)

4.99

4.98

(0.02)

—

(0.02)

11.83

72.61%

13,826

1.51%

1.49%

(0.06%)

9/30/20

8.64

0.01

(1.33)

(1.32)

(0.02)

(0.43)

(0.45)

6.87

(16.45%)

10,694

1.55%

N/A

0.11%

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%)

Class R3

                          

9/30/22

$ 10.73

$ 0.01

$ (1.77)

$ (1.76)

$ —

$ (1.72)

$ (1.72)

$ 7.25

(19.84%)

$ 332

1.65%

1.56%

0.08%

9/30/21

6.23

(0.02)

4.52

4.50

—

—

—

10.73

72.23%

359

1.66%

1.64%

(0.23%)

9/30/20

7.86

(0.00)d

(1.20)

(1.20)

(0.00)d

(0.43)

(0.43)

6.23

(16.47%)

151

1.70%

N/A

(0.04%)

9/30/19

10.57

0.00d

(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%)

 

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

 

229

 

 

MassMutual 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

                          

9/30/22

$ 31.23

$ (0.05)

$ (6.68)

$ (6.73)

$ —

$ (5.95)

$ (5.95)

$ 18.55

(26.70%)

$ 3,824,988

0.71%

0.69%

(0.19%)

9/30/21

25.51

(0.08)

7.39

7.31

—

(1.59)

(1.59)

31.23

29.56%

6,514,823

0.70%

N/A

(0.26%)

9/30/20

23.34

0.01

3.43

3.44

(0.01)

(1.26)

(1.27)

25.51

15.23%

6,188,463

0.71%

N/A

0.03%

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%

Class R5

                          

9/30/22

$ 30.80

$ (0.07)

$ (6.56)

$ (6.63)

$ —

$ (5.95)

$ (5.95)

$ 18.22

(26.76%)

$ 834,945

0.81%

0.79%

(0.30%)

9/30/21

25.20

(0.11)

7.30

7.19

—

(1.59)

(1.59)

30.80

29.44%

1,668,653

0.80%

N/A

(0.36%)

9/30/20

23.08

(0.02)

3.40

3.38

—

(1.26)

(1.26)

25.20

15.13%

1,471,580

0.81%

N/A

(0.07%)

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%)

Service Class

                        

9/30/22

$ 29.82

$ (0.09)

$ (6.30)

$ (6.39)

$ —

$ (5.95)

$ (5.95)

$ 17.48

(26.85%)

$ 158,487

0.91%

0.89%

(0.39%)

9/30/21

24.47

(0.13)

7.07

6.94

—

(1.59)

(1.59)

29.82

29.29%

325,714

0.90%

N/A

(0.46%)

9/30/20

22.47

(0.04)

3.30

3.26

—

(1.26)

(1.26)

24.47

15.00%

335,782

0.91%

N/A

(0.17%)

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%)

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

22%

29%

37%

37%

34%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

230

 

 

   

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
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

                      

9/30/22

$ 28.15

$ (0.10)

$ (5.86)

$ (5.96)

$ —

$ (5.95)

$ (5.95)

$ 16.24

(26.93%)

$ 136,292

1.01%

0.99%

(0.49%)

9/30/21

23.20

(0.15)

6.69

6.54

—

(1.59)

(1.59)

28.15

29.16%

246,666

1.00%

N/A

(0.56%)

9/30/20

21.38

(0.06)

3.14

3.08

—

(1.26)

(1.26)

23.20

14.92%

261,188

1.01%

N/A

(0.27%)

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%)

Class R4

                          

9/30/22

$ 25.63

$ (0.13)

$ (5.18)

$ (5.31)

$ —

$ (5.95)

$ (5.95)

$ 14.37

(27.06%)

$ 59,611

1.16%

1.14%

(0.66%)

9/30/21

21.28

(0.17)

6.11

5.94

—

(1.59)

(1.59)

25.63

28.97%

155,374

1.15%

N/A

(0.72%)

9/30/20

19.74

(0.08)

2.88

2.80

—

(1.26)

(1.26)

21.28

14.73%

176,500

1.16%

N/A

(0.42%)

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%)

Class A

                          

9/30/22

$ 25.35

$ (0.14)

$ (5.11)

$ (5.25)

$ —

$ (5.95)

$ (5.95)

$ 14.15

(27.14%)

$ 87,758

1.26%

1.24%

(0.74%)

9/30/21

21.08

(0.20)

6.06

5.86

—

(1.59)

(1.59)

25.35

28.86%

167,114

1.25%

N/A

(0.81%)

9/30/20

19.58

(0.10)

2.86

2.76

—

(1.26)

(1.26)

21.08

14.64%

196,756

1.26%

N/A

(0.52%)

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%)

Class R3

                          

9/30/22

$ 22.84

$ (0.14)

$ (4.45)

$ (4.59)

$ —

$ (5.95)

$ (5.95)

$ 12.30

(27.25%)

$ 19,336

1.41%

1.39%

(0.89%)

9/30/21

19.16

(0.21)

5.48

5.27

—

(1.59)

(1.59)

22.84

28.65%

31,715

1.40%

N/A

(0.96%)

9/30/20

17.93

(0.12)

2.61

2.49

—

(1.26)

(1.26)

19.16

14.48%

31,065

1.41%

N/A

(0.67%)

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%)

 

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

 

231

 

 

MassMutual 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

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

                        

9/30/22

$ 20.88

$ (0.02)

$ (4.41)

$ (4.43)

$ —

$ (4.49)

$ (4.49)

$ 11.96

(26.63%)

$ 368,199

0.87%

(0.12%)

9/30/21

16.42

(0.07)

5.93

5.86

—

(1.40)

(1.40)

20.88

36.62%

487,031

0.86%

(0.37%)

9/30/20

15.30

(0.03)

2.97

2.94

(0.14)

(1.68)

(1.82)

16.42

20.54%

342,888

0.87%

(0.19%)

9/30/19

19.08

(0.01)

(1.04)

(1.05)

—

(2.73)

(2.73)

15.30

(2.31%)

269,356

0.86%

(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%

(0.15%)

Class R5

                        

9/30/22

$ 20.47

$ (0.04)

$ (4.30)

$ (4.34)

$ —

$ (4.49)

$ (4.49)

$ 11.64

(26.73%)

$ 88,121

0.97%

(0.24%)

9/30/21

16.13

(0.09)

5.83

5.74

—

(1.40)

(1.40)

20.47

36.53%

155,912

0.96%

(0.47%)

9/30/20

15.06

(0.04)

2.91

2.87

(0.12)

(1.68)

(1.80)

16.13

20.40%

134,136

0.97%

(0.29%)

9/30/19

18.85

(0.02)

(1.04)

(1.06)

—

(2.73)

(2.73)

15.06

(2.40%)

128,280

0.96%

(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%

(0.25%)

Service Class

                    

9/30/22

$ 18.89

$ (0.05)

$ (3.88)

$ (3.93)

$ —

$ (4.49)

$ (4.49)

$ 10.47

(26.82%)

$ 17,932

1.06%

(0.34%)

9/30/21

14.99

(0.10)

5.40

5.30

—

(1.40)

(1.40)

18.89

36.36%

36,258

1.06%

(0.57%)

9/30/20

14.12

(0.05)

2.71

2.66

(0.11)

(1.68)

(1.79)

14.99

20.26%

31,977

1.07%

(0.39%)

9/30/19

17.89

(0.03)

(1.01)

(1.04)

—

(2.73)

(2.73)

14.12

(2.43%)

34,404

1.06%

(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%

(0.34%)

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

75%

81%

79%

71%

85%

 

c

Per share amount calculated on the average shares method.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

232

 

 

   

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

                    

9/30/22

$ 17.21

$ (0.05)

$ (3.43)

$ (3.48)

$ —

$ (4.49)

$ (4.49)

$ 9.24

(26.83%)

$ 18,393

1.17%

(0.43%)

9/30/21

13.77

(0.11)

4.95

4.84

—

(1.40)

(1.40)

17.21

36.23%

29,715

1.16%

(0.67%)

9/30/20

13.10

(0.06)

2.51

2.45

(0.10)

(1.68)

(1.78)

13.77

20.16%

29,067

1.17%

(0.49%)

9/30/19

16.87

(0.04)

(1.00)

(1.04)

—

(2.73)

(2.73)

13.10

(2.60%)

28,372

1.16%

(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%

(0.45%)

Class R4

                        

9/30/22

$ 14.53

$ (0.05)

$ (2.72)

$ (2.77)

$ —

$ (4.49)

$ (4.49)

$ 7.27

(26.91%)

$ 11,840

1.32%

(0.58%)

9/30/21

11.82

(0.12)

4.23

4.11

—

(1.40)

(1.40)

14.53

36.02%

17,129

1.31%

(0.82%)

9/30/20

11.48

(0.07)

2.18

2.11

(0.09)

(1.68)

(1.77)

11.82

20.01%

15,517

1.32%

(0.65%)

9/30/19

15.23

(0.06)

(0.96)

(1.02)

—

(2.73)

(2.73)

11.48

(2.76%)

12,843

1.31%

(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%

(0.60%)

Class A

                        

9/30/22

$ 14.36

$ (0.06)

$ (2.68)

$ (2.74)

$ —

$ (4.49)

$ (4.49)

$ 7.13

(27.06%)

$ 18,688

1.42%

(0.69%)

9/30/21

11.71

(0.13)

4.18

4.05

—

(1.40)

(1.40)

14.36

35.83%

31,656

1.41%

(0.91%)

9/30/20

11.38

(0.08)

2.16

2.08

(0.07)

(1.68)

(1.75)

11.71

19.94%

34,699

1.42%

(0.74%)

9/30/19

15.14

(0.07)

(0.96)

(1.03)

—

(2.73)

(2.73)

11.38

(2.87%)

33,997

1.41%

(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%

(0.70%)

Class R3

                        

9/30/22

$ 11.72

$ (0.06)

$ (1.97)

$ (2.03)

$ —

$ (4.49)

$ (4.49)

$ 5.20

(27.10%)

$ 3,408

1.57%

(0.83%)

9/30/21

9.78

(0.12)

3.46

3.34

—

(1.40)

(1.40)

11.72

35.63%

4,813

1.56%

(1.07%)

9/30/20

9.79

(0.08)

1.82

1.74

(0.07)

(1.68)

(1.75)

9.78

19.66%

3,930

1.57%

(0.90%)

9/30/19

13.51

(0.07)

(0.92)

(0.99)

—

(2.73)

(2.73)

9.79

(2.94%)

2,728

1.56%

(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%

(0.85%)

 

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

 

233

 

 

MassMutual 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

                          

9/30/22

$ 10.17

$ 0.16

$ (2.40)

$ (2.24)

$ (0.15)

$ (0.84)

$ (0.99)

$ 6.94

(24.66%)

$ 232,441

0.91%

0.79%

1.75%

9/30/21

7.99

0.12

2.27

2.39

(0.05)

(0.16)

(0.21)

10.17

30.17%

383,223

0.88%

0.79%

1.23%

9/30/20

8.35

0.05

(0.07)

(0.02)

(0.19)

(0.15)

(0.34)

7.99

(0.59%)

370,549

0.89%

0.83%

0.68%

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)

0.00d

(0.19)

—

(0.19)

9.42

(0.02%)

362,074

0.92%

N/A

1.68%

Class R5

                          

9/30/22

$ 10.21

$ 0.15

$ (2.42)

$ (2.27)

$ (0.13)

$ (0.84)

$ (0.97)

$ 6.97

(24.74%)

$ 86,220

1.00%

0.89%

1.64%

9/30/21

8.02

0.11

2.28

2.39

(0.04)

(0.16)

(0.20)

10.21

30.07%

158,046

0.98%

0.89%

1.11%

9/30/20

8.38

0.05

(0.08)

(0.03)

(0.18)

(0.15)

(0.33)

8.02

(0.67%)

132,845

0.99%

0.94%

0.58%

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%

Service Class

                        

9/30/22

$ 10.14

$ 0.14

$ (2.40)

$ (2.26)

$ (0.12)

$ (0.84)

$ (0.96)

$ 6.92

(24.79%)

$ 30,651

1.10%

0.99%

1.61%

9/30/21

7.97

0.10

2.26

2.36

(0.03)

(0.16)

(0.19)

10.14

29.91%

45,454

1.08%

0.99%

1.02%

9/30/20

8.33

0.04

(0.08)

(0.04)

(0.17)

(0.15)

(0.32)

7.97

(0.79%)

37,997

1.09%

1.03%

0.49%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

17%

27%

34%

27%

46%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

 

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

 

234

 

 

   

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

                      

9/30/22

$ 10.24

$ 0.13

$ (2.43)

$ (2.30)

$ (0.11)

$ (0.84)

$ (0.95)

$ 6.99

(24.93%)

$ 13,633

1.20%

1.09%

1.47%

9/30/21

8.05

0.08

2.30

2.38

(0.03)

(0.16)

(0.19)

10.24

29.72%

19,735

1.18%

1.09%

0.81%

9/30/20

8.40

0.03

(0.07)

(0.04)

(0.16)

(0.15)

(0.31)

8.05

(0.77%)

19,034

1.19%

1.14%

0.38%

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%

Class R4

                          

9/30/22

$ 9.75

$ 0.11

$ (2.29)

$ (2.18)

$ (0.10)

$ (0.84)

$ (0.94)

$ 6.63

(24.94%)

$ 16,144

1.35%

1.24%

1.34%

9/30/21

7.68

0.07

2.18

2.25

(0.02)

(0.16)

(0.18)

9.75

29.46%

20,875

1.33%

1.24%

0.70%

9/30/20

8.03

0.02

(0.06)

(0.04)

(0.16)

(0.15)

(0.31)

7.68

(0.90%)

18,019

1.34%

1.28%

0.28%

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%

Class A

                          

9/30/22

$ 9.98

$ 0.11

$ (2.36)

$ (2.25)

$ (0.08)

$ (0.84)

$ (0.92)

$ 6.81

(25.07%)

$ 12,858

1.45%

1.34%

1.22%

9/30/21

7.85

0.06

2.24

2.30

(0.01)

(0.16)

(0.17)

9.98

29.45%

24,231

1.43%

1.34%

0.59%

9/30/20

8.21

0.01

(0.08)

(0.07)

(0.14)

(0.15)

(0.29)

7.85

(1.17%)

30,721

1.44%

1.38%

0.17%

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%

Class R3

                          

9/30/22

$ 9.85

$ 0.10

$ (2.34)

$ (2.24)

$ (0.07)

$ (0.84)

$ (0.91)

$ 6.70

(25.23%)

$ 4,036

1.61%

1.49%

1.16%

9/30/21

7.76

0.05

2.21

2.26

(0.01)

(0.16)

(0.17)

9.85

29.29%

6,971

1.58%

1.49%

0.51%

9/30/20

8.11

(0.00)d

(0.07)

(0.07)

(0.13)

(0.15)

(0.28)

7.76

(1.19%)

6,093

1.59%

1.53%

(0.03%)

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%

 

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

 

235

 

 

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

                          

9/30/22

$ 11.71

$ 0.32

$ (3.16)

$ (2.84)

$ (0.32)

$ (0.16)

$ (0.48)

$ 8.39

(25.28%)

$ 1,272,996

0.08%

0.00%

3.03%

9/30/21

9.51

0.27

2.10

2.37

(0.17)

—

(0.17)

11.71

25.11%

1,700,098

0.07%

0.00%

2.39%

9/30/20

9.43

0.15

0.16

0.31

(0.23)

—

(0.23)

9.51

3.11%

1,314,433

0.65%

0.55%

1.63%

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

Period ended
September 30,
 

2022

2021

2020

2019

2018b

Portfolio turnover rate

32%

28%

30%

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.

 

236

 

 

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 Trust consists of 51 series, including the following 16 series listed below (each individually referred to as a “Fund” or collectively as the “Funds”):

 

MassMutual Total Return Bond Fund (“Total Return Bond Fund”)

MassMutual Strategic Bond Fund (“Strategic Bond Fund”)

MassMutual Diversified Value Fund (“Diversified Value Fund”)

MassMutual Fundamental Value Fund (“Fundamental Value Fund”)

MM S&P 500® Index Fund (“S&P 500 Index Fund”)

MassMutual Equity Opportunities Fund (“Equity Opportunities Fund”)

MassMutual Fundamental Growth Fund (“Fundamental Growth Fund”)

MassMutual Blue Chip Growth Fund (“Blue Chip Growth Fund”)

MassMutual Growth Opportunities Fund (“Growth Opportunities Fund”)

MassMutual Mid Cap Value Fund (“Mid Cap Value Fund”)

MassMutual Small Cap Value Equity Fund (“Small Cap Value Equity Fund”)

MassMutual Small Company Value Fund (“Small Company Value Fund”)

MassMutual Mid Cap Growth Fund (“Mid Cap Growth Fund”)

MassMutual Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)

MassMutual 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.

 

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; instead, MML Investment Advisers, LLC (“MML Advisers”) will determine the fair value of a Fund’s securities in accordance with MML Advisers’ fair valuation policy and procedures. 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.

 

237

 

 

Notes to Financial Statements (Continued)

 

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities 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.

 

The Board of Trustees (“Trustees”) have designated MML Advisers as the Funds’ “valuation designee,” responsible for determining the fair value, in good faith, of securities and other instruments held by the Funds for which market quotations are not readily available or for which such market quotations or values are considered by MML Advisers or a 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). It is possible that a significant amount of a Fund’s assets will be subject to fair valuation in accordance with MML Advisers’ fair valuation policy and procedures. The fair value determined for an investment by MML Advisers 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.

 

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 may be fair valued using 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.

 

238

 

 

Notes to Financial Statements (Continued)

 

Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.

 

Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indexes or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

 

Investments in series of preferred stock issued by Private Companies are typically valued utilizing the 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)

 

239

 

 

Notes to Financial Statements (Continued)

 

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, Fundamental Growth Fund, Growth Opportunities Fund, and Small Cap Growth Equity Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 2022. 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.

 

The following is the aggregate value by input level, as of September 30, 2022, for the remaining Funds’ investments:

 

 
   

Level 1

    

Level 2

    

Level 3

    

Total

  

Total Return Bond Fund

                                

Asset Investments

                                

Common Stock

   $ 435,604     $ —     $ —     $ 435,604  

Bank Loans (Less Unfunded Loan Commitments)

     —       15,814,089       —       15,814,089  

Corporate Debt

     —       212,105,271       — +,**     212,105,271  

Municipal Obligations

     —       1,311,924       —       1,311,924  

Non-U.S. Government Agency Obligations

     —       124,043,491       —       124,043,491  

Sovereign Debt Obligations

     —       7,798,598       —       7,798,598  

U.S. Government Agency Obligations and Instrumentalities

     —       272,885,886       —       272,885,886  

U.S. Treasury Obligations

     —       206,641,734       —       206,641,734  

Rights

     —       —       — +,**     —  

Mutual Funds

     16,726,548       —       —       16,726,548  

Short-Term Investments

     —       31,253,725       —       31,253,725  

Unfunded Loan Commitments***

     —       (612 )     —       (612 )

Total Investments

   $ 17,162,152     $ 871,854,106     $ —     $ 889,016,258  

Asset Derivatives

                                

Forward Contracts

     —       52,891       —       52,891  

Futures Contracts

     353,178       —       —       353,178  

Swap Agreements

     —       1,566,903       —       1,566,903  

Total

   $ 353,178     $ 1,619,794     $ —     $ 1,972,972  

Liability Derivatives

                                

Forward Contracts

     —       (667 )     —       (667 )

Futures Contracts

     (2,226,929 )     —       —       (2,226,929 )

Swap Agreements

     —       (5,506,563 )     —       (5,506,563 )

Total

   $ (2,226,929 )   $ (5,507,230 )   $ —     $ (7,734,159 )

 

 

240

 

 

Notes to Financial Statements (Continued)

 

   

Level 1

    

Level 2

    

Level 3

    

Total

  

Strategic Bond Fund

                                

Asset Investments

                                

Bank Loans (Less Unfunded Loan Commitments)

   $ —     $ 13,983,599     $ —     $ 13,983,599  

Corporate Debt

     —       110,260,470       —       110,260,470  

Municipal Obligations

     —       101,446       —       101,446  

Non-U.S. Government Agency Obligations

     —       37,993,442       —       37,993,442  

Sovereign Debt Obligations

     —       16,519,825       —       16,519,825  

U.S. Government Agency Obligations and Instrumentalities

     —       83,524,423       —       83,524,423  

U.S. Treasury Obligations

     —       138,137,635       —       138,137,635  

Purchased Options

     85,012       6       —       85,018  

Mutual Funds

     2,470,330       —       —       2,470,330  

Short-Term Investments

     —       1,959,965       —       1,959,965  

Unfunded Loan Commitments***

     —       (6,298 )     —       (6,298 )

Total Investments

   $ 2,555,342     $ 402,474,513     $ —     $ 405,029,855  

Asset Derivatives

                                

Forward Contracts

   $ —     $ 575,582     $ —     $ 575,582  

Futures Contracts

     7,060,927       —       —       7,060,927  

Swap Agreements

     —       5,562,451       —       5,562,451  

Total

   $ 7,060,927     $ 6,138,033     $ —     $ 13,198,960  

Liability Derivatives

                                

Forward Contracts

   $ —     $ (1,803,338 )   $ —     $ (1,803,338 )

Futures Contracts

     (12,997,576 )     —       —       (12,997,576 )

Swap Agreements

     —       (659,637 )     —       (659,637 )

Written Options

     (1,059,744 )     (116,788 )     —       (1,176,532 )

Total

   $ (14,057,320 )   $ (2,579,763 )   $ —     $ (16,637,083 )
                                 

Diversified Value Fund

                                

Asset Investments

                                

Common Stock

   $ 264,983,275     $ 4,249,190 *   $ —     $ 269,232,465  

Preferred Stock

     1,160,364       1,548,309 *     —       2,708,673  

Mutual Funds

     3,658,052       —       —       3,658,052  

Short-Term Investments

     105       3,266,398       —       3,266,503  

Total Investments

   $ 269,801,796     $ 9,063,897     $ —     $ 278,865,693  
                                 

S&P 500 Index Fund

                                

Asset Investments

                                

Common Stock

   $ 2,225,022,779     $ 942,893     $ —     $ 2,225,965,672  

Short-Term Investments

     —       18,821,014       —       18,821,014  

Total Investments

   $ 2,225,022,779     $ 19,763,907     $ —     $ 2,244,786,686  

Liability Derivatives

                                

Futures Contracts

   $ (2,158,892 )   $ —     $ —     $ (2,158,892 )
                                 

Equity Opportunities Fund

                                

Asset Investments

                                

Common Stock

   $ 536,703,361     $ 6,533,305 *   $ —     $ 543,236,666  

Preferred Stock

     1,848,525       2,396,266 *     —       4,244,791  

Short-Term Investments

     158       9,104,118       —       9,104,276  

Total Investments

   $ 538,552,044     $ 18,033,689     $ —     $ 556,585,733  
                                 

 

241

 

 

Notes to Financial Statements (Continued)

 

   

Level 1

    

Level 2

    

Level 3

    

Total

  

Blue Chip Growth Fund

                                

Asset Investments

                                

Common Stock

   $ 2,508,977,729     $ 4,799,001 *   $ 3,526,921 **   $ 2,517,303,651  

Preferred Stock

     —       —       3,202,530 **     3,202,530  

Corporate Debt

     —       2,459,737       —       2,459,737  

Mutual Funds

     5,185,964       —       —       5,185,964  

Short-Term Investments

     101       5,924,441       —       5,924,542  

Total Investments

   $ 2,514,163,794     $ 13,183,179     $ 6,729,451     $ 2,534,076,424  
                                 

Mid Cap Value Fund

                                

Asset Investments

                                

Common Stock

   $ 95,158,000     $ 2,467,808 *   $ —     $ 97,625,808  

Preferred Stock

     —       320,678 *     —       320,678  

Mutual Funds

     714,129       —       —       714,129  

Short-Term Investments

     —       2,750,893       —       2,750,893  

Total Investments

   $ 95,872,129     $ 5,539,379     $ —     $ 101,411,508  

Asset Derivatives

                                

Forward Contracts

   $ —     $ 9,401     $ —     $ 9,401  

Liability Derivatives

                                

Forward Contracts

   $ —     $ (9,904 )   $ —     $ (9,904 )
                                 

Small Cap Value Equity Fund

                                

Asset Investments

                                

Common Stock

   $ 46,983,242     $ 688,310 *   $ —     $ 47,671,552  

Mutual Funds

     246,505       —       —       246,505  

Short-Term Investments

     —       2,276,333       —       2,276,333  

Total Investments

   $ 47,229,747     $ 2,964,643     $ —     $ 50,194,390  
                                 

Small Company Value Fund

                                

Asset Investments

                                

Common Stock

   $ 193,953,256     $ 471,324 *   $ —     $ 194,424,580  

Mutual Funds

     3,166,453       —       —       3,166,453  

Short-Term Investments

     —       1,594,316       —       1,594,316  

Total Investments

   $ 197,119,709     $ 2,065,640     $ —     $ 199,185,349  

Asset Derivatives

                                

Forward Contracts

   $     $ 141     $     $ 141  

Liability Derivatives

                                

Forward Contracts

   $     $ (8,696 )   $     $ (8,696 )
                                 

Mid Cap Growth Fund

                                

Asset Investments

                                

Common Stock

   $ 4,888,521,414     $ —     $ 22,843,851     $ 4,911,365,265  

Preferred Stock

     —       —       28,528,808       28,528,808  

Mutual Funds

     25,184,258       —       —       25,184,258  

Short-Term Investments

     104,697,257       84,415,685       —       189,112,942  

Total Investments

   $ 5,018,402,929     $ 84,415,685     $ 51,372,659     $ 5,154,191,273  
                                 

 

242

 

 

Notes to Financial Statements (Continued)

 

   

Level 1

    

Level 2

    

Level 3

    

Total

  

Overseas Fund

                                

Asset Investments

                                

Common Stock*

                                

Australia

   $ —     $ 1,578,916     $ —     $ 1,578,916  

Belgium

     —       3,669,302       —       3,669,302  

Canada

     14,077,610       —       —       14,077,610  

Cayman Islands

     1,271,625       6,720,450       —       7,992,075  

Denmark

     —       9,799,155       —       9,799,155  

Finland

     —       969,210       —       969,210  

France

     —       67,714,743       —       67,714,743  

Germany

     —       57,562,246       —       57,562,246  

Hong Kong

     —       5,529,503       —       5,529,503  

India

     —       6,817,063       —       6,817,063  

Ireland

     4,735,525       3,615,780       —       8,351,305  

Israel

     3,767,905       —       —       3,767,905  

Italy

     —       9,588,401       —       9,588,401  

Japan

     —       40,852,464       —       40,852,464  

Mexico

     833,362       —       —       833,362  

Netherlands

     —       20,456,799       —       20,456,799  

Portugal

     —       1,755,713       —       1,755,713  

Republic of Korea

     —       1,594,651       —       1,594,651  

Singapore

     —       3,849,475       —       3,849,475  

Spain

     —       3,526,709       —       3,526,709  

Sweden

     —       5,373,167       —       5,373,167  

Switzerland

     —       52,118,705       —       52,118,705  

Taiwan

     3,074,984       —       —       3,074,984  

United Kingdom

     1,428,044       48,329,678       —       49,757,722  

United States

     2,210,074       —       —       2,210,074  

Preferred Stock*

                                

Republic of Korea

     —       1,708,272       —       1,708,272  

Mutual Funds

     2,564,482       —       —       2,564,482  

Short-Term Investments

     —       9,671,698       —       9,671,698  

Total Investments

   $ 33,963,611     $ 362,802,100     $ —     $ 396,765,711  
                                 

MM Select T. Rowe Price International Equity Fund

                                

Asset Investments

                                

Common Stock*

                                

Australia

   $ —     $ 33,988,474     $ —     $ 33,988,474  

Austria

     —       5,026,392       —       5,026,392  

Belgium

     —       2,845,369       —       2,845,369  

Bermuda

     426,116       3,520,909       —       3,947,025  

Brazil

     17,625,418       —       —       17,625,418  

Canada

     51,939,366       —       —       51,939,366  

Cayman Islands

     28,481,370       49,968,618       —       78,449,988  

Chile

     2,302,180       —       —       2,302,180  

China

     —       45,324,401       —       45,324,401  

Cyprus

     —       —       — +,**     —  

Denmark

     —       5,220,159       —       5,220,159  

Finland

     —       11,593,848       —       11,593,848  

France

     —       91,621,509       —       91,621,509  

Germany

     —       67,225,069       —       67,225,069  

Hong Kong

     —       19,411,341       —       19,411,341  

Hungary

     —       3,223,358       —       3,223,358  

 

243

 

 

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)

                                

India

   $ 2,274,868     $ 59,631,217     $ —     $ 61,906,085  

Indonesia

     —       11,165,815       —       11,165,815  

Ireland

     —       5,660,367       —       5,660,367  

Italy

     1,125,729       18,249,329       —       19,375,058  

Japan

     —       182,317,538       —       182,317,538  

Luxembourg

     —       4,189,508       —       4,189,508  

Malaysia

     —       3,203,580       —       3,203,580  

Mexico

     10,591,444       —       —       10,591,444  

Netherlands

     6,917,691       60,108,717       — +,**     67,026,408  

Norway

     —       11,770,142       —       11,770,142  

Philippines

     —       3,375,055       —       3,375,055  

Poland

     —       2,068,655       —       2,068,655  

Portugal

     —       7,661,550       —       7,661,550  

Republic of Korea

     1,822,772       38,678,630       —       40,501,402  

Russia

     —       —       — +,**     —  

Saudi Arabia

     —       10,578,944       —       10,578,944  

Singapore

     —       15,939,157       —       15,939,157  

South Africa

     —       6,236,200       —       6,236,200  

Spain

     —       9,301,545       —       9,301,545  

Sweden

     354,743       17,485,079       —       17,839,822  

Switzerland

     —       89,457,061       —       89,457,061  

Taiwan

     —       37,415,041       —       37,415,041  

Thailand

     6,567,301       2,092,592       —       8,659,893  

United Arab Emirates

     —       2,510,021       —       2,510,021  

United Kingdom

     31,904,265       109,347,113       —       141,251,378  

United States

     12,508,583       1,758,745       365,746 **     14,633,074  

Preferred Stock*

                                

Germany

     4,791,820       3,427,296       —       8,219,116  

United States

     —       —       21,964 **     21,964  

Mutual Funds

     25,119,089       —       —       25,119,089  

Rights

     797       —       — +,**     797  

Short-Term Investments

     40,804,373       796,077       —       41,600,450  

Total Investments

   $ 245,557,925     $ 1,053,394,421     $ 387,710     $ 1,299,340,056  
 

 

*

Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their respective foreign markets, as applicable.

**

Level 3 investments at September 30, 2022 in relation to net assets were not significant.

***

Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment.

+

Represents a security at $0 value as of September 30, 2022.

 

For certain Fund(s) the Statement of Assets and Liabilities shows receivables from investments sold on a delayed delivery basis, cash collateral pledged for open derivatives, and cash collateral pledged for when-issued securities, as well as, any applicable liabilities for investments purchased on a delayed delivery basis, amounts due to custodian, cash collateral held for open derivatives, and cash collateral held for securities on loan. These amounts approximate fair value and would be categorized at Level 2 for each applicable Fund as of September 30, 2022.

 

The Funds, with the exception of the MM Select T. Rowe Price International Equity Fund, had no Level 3 transfers during the year ended September 30, 2022. The MM Select T. Rowe Price International Equity Fund had Level 3 transfers during the year ended September 30, 2022; however, none of the transfers individually or collectively had a material impact on the MM Select T. Rowe Price International Equity Fund.

 

244

 

 

Notes to Financial Statements (Continued)

 

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

 

Asset Valuation Inputs

 

 
   

Investments in Securities

  
   

Balance
as of
9/30/21

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

   

(Sales)

   

Transfers
into
Level 3

   

Transfers
(out) of
Level 3

   

Balance
as of
9/30/22

    

Net Change
in Unrealized
Appreciation
(Depreciation)
from
Investments
Still held as of
9/30/22

  

Mid Cap Growth Fund

                                                                

Common Stock

   $ 7,087,099     $ —     $ —     $ 15,756,752     $ —     $ —     $ —     $ —     $ 22,843,851     $ 15,756,752  

Preferred Stock

     129,638,365       —       —       (94,773,577 )     13,322,011       (19,657,991 )     —       —       28,528,808       (9,154,163 )
    $ 136,725,464     $ —     $ —     $ (79,016,825 )   $ 13,322,011     $ (19,657,991 )   $ —     $ —     $ 51,372,659     $ 6,602,589  

 

The Mid Cap Growth Fund may fair value certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments, but may include defaulted securities and new debt issuances. There may not be a secondary market for such investments, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the valuation designee. Valuations are reviewed by the valuation designee utilizing available market information to determine if the carrying value of these investments should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment, also referred to as enterprise value (EV) to earnings before interest, taxes, depreciation, and amortization (EBITDA) ratios. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment, and the fact that comparable public companies are not identical to the investments being fair valued by the Mid Cap Growth Fund. All market variables are assessed on a regular frequency and calibrated as necessary.

 

The table excludes securities which were classified as level 3 based upon a broker quote.

 

 

Security Description

  

Fair Value

 

Valuation Technique(s)

Unobservable Input
Description

  

Range of
Unobservable Inputs
Utilized (a)

  

Weighted
Average of
Unobservable
Inputs Based
on Fair Value

MassMutual Mid Cap Growth Fund

              

Common Stock

   $ 22,843,851  

Market

EV/ EBITDA

     10.1x - 14x  

12.05x
                       

Preferred Stock

   $ 28,528,808  

Market

Recent Transactions

   $ 8.10 - $125.00  

$53.93

           

EV / Sales

     5.3x - 16.8x  

7.92x
           

EV/ GMV

     0.29x - 0.41x  

0.33x
           

EV/ GP

     14.1x - 23.2x  

18.7x
           

EV/ EBITDA

     4.3x  

—
                       

Total

   $ 51,372,659                
 

 

(a)

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

245

 

 

Notes to Financial Statements (Continued)

 

Abbreviation Legend

EV/ GP - financial ratio of comparable public companies’ enterprise value to gross profit; measures the value of a comparable company in terms of its gross profit for a given year

EV/ GMV - financial ratio of comparable public companies’ enterprise value to gross market value; measures the value of a comparable company in terms of its gross profit for a given year

EV/ Sales - financial ratio of comparable public companies’ enterprise value to sales; measures the value of a comparable company in terms of its sales for a given year

EV/ EBITDA - financial ratio of comparable public companies’ enterprise value to earnings; measures the value of a comparable company in terms of its expected earnings for a given year

 

Derivative Instruments

 

Derivatives are financial instruments whose values are based on the values of one or more underlying indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than the derivatives’ original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price.

 

At September 30, 2022, 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/
Inflation Rate
Risk

    

Total

  

Total Return Bond Fund

                                        

Asset Derivatives

                                        

Forward Contracts*

   $ —     $ —     $ 52,891     $ —     $ 52,891  

Futures Contracts^^

     —       —       —       353,178       353,178  

Swap Agreements^^,^^^

     —       —       —       1,566,903       1,566,903  

Total Value

   $ —     $ —     $ 52,891     $ 1,920,081     $ 1,972,972  

Liability Derivatives

                                        

Forward Contracts^

   $ —     $ —     $ (667 )   $ —     $ (667 )

Futures Contracts^^

     —       —       —       (2,226,929 )     (2,226,929 )

Swap Agreements^^,^^^

     —       —       —       (5,506,563 )     (5,506,563 )

Total Value

   $ —     $ —     $ (667 )   $ (7,733,492 )   $ (7,734,159 )

Realized Gain (Loss)#

                                        

Purchased Options

   $ —     $ —     $     $ 216,912     $ 216,912  

Forward Contracts

     —       —       138,550       —       138,550  

Futures Contracts

     —       —       —       (753,509 )     (753,509 )

Swap Agreements

     —       —       —       15,526       15,526  

Written Options

     —       —       —       (2,358,289 )     (2,358,289 )

Total Realized Gain (Loss)

   $ —     $ —     $ 138,550     $ (2,879,360 )   $ (2,740,810 )

Change in Appreciation (Depreciation)##

                                        

Purchased Options

   $ —     $ —     $ —     $ (143,612 )   $ (143,612 )

Forward Contracts

     —       —       52,224       —       52,224  

Futures Contracts

     —       —       —       (1,702,501 )     (1,702,501 )

Swap Agreements

     —       —       —       (3,846,884 )     (3,846,884 )

Written Options

     —       —       —       53,377       53,377  

Total Change in Appreciation (Depreciation)

   $ —     $ —     $ 52,224     $ (5,639,620 )   $ (5,587,396 )
                                         

 

 

246

 

 

Notes to Financial Statements (Continued)

 

   

Credit
Risk

    

Equity
Risk

    

Foreign
Exchange
Risk

    

Interest/
Inflation Rate
Risk

    

Total

  

Strategic Bond Fund

                                        

Asset Derivatives

                                        

Purchased Options*

   $ —     $ —     $ 6     $ —     $ 6  

Purchased Options*,^^^

     —       —       —       85,012       85,012  

Forward Contracts*

     —       —       575,582       —       575,582  

Futures Contracts^^

     —       —       —       7,060,927       7,060,927  

Swap Agreements^^,^^^

     90,624       —       —       5,471,827       5,562,451  

Total Value

   $ 90,624     $ —     $ 575,588     $ 12,617,766     $ 13,283,978  

Liability Derivatives

                                        

Forward Contracts^

   $ —     $ —     $ (1,803,338 )   $ —     $ (1,803,338 )

Futures Contracts^^

     —       —       —       (12,997,576 )     (12,997,576 )

Swap Agreements^^,^^^

     (215,644 )     —       —       (443,993 )     (659,637 )

Written Options^

     —       —       (116,788 )     —       (116,788 )

Written Options^,^^^

     —       —       —       (1,059,744 )     (1,059,744 )

Total Value

   $ (215,644 )   $ —     $ (1,920,126 )   $ (14,501,313 )   $ (16,637,083 )

Realized Gain (Loss)#

                                        

Purchased Options

   $ —     $ —     $ (54,298 )   $ (1,714,836 )   $ (1,769,134 )

Forward Contracts

     —       —       (2,541,719 )     —       (2,541,719 )

Futures Contracts

     —       —       —       (22,401,574 )     (22,401,574 )

Swap Agreements

     (601,431 )     —       —       4,153,711       3,552,280  

Written Options

     —       —       21,334       2,229,852       2,251,186  

Total Realized Gain (Loss)

   $ (601,431 )   $ —     $ (2,574,683 )   $ (17,732,847 )   $ (20,908,961 )

Change in Appreciation (Depreciation)##

                                        

Purchased Options

   $ —     $ —     $ (21,359 )   $ (78,525 )   $ (99,884 )

Forward Contracts

     —       —       (1,180,378 )     —       (1,180,378 )

Futures Contracts

     —       —       —       (3,851,488 )     (3,851,488 )

Swap Agreements

     (124,957 )     —       —       1,764,176       1,639,219  

Written Options

     —       —       (18,763 )     (461,380 )     (480,143 )

Total Change in Appreciation (Depreciation)

   $ (124,957 )   $ —     $ (1,220,500 )   $ (2,627,217 )   $ (3,972,674 )
                                         

S&P 500 Index Fund

                                        

Liability Derivatives

                                        

Futures Contracts^^

   $ —     $ (2,158,892 )   $ —     $ —     $ (2,158,892 )

Realized Gain (Loss)#

                                        

Futures Contracts

   $ —     $ (2,024,579 )   $ —     $ —     $ (2,024,579 )

Change in Appreciation (Depreciation)##

                                        

Futures Contracts

   $ —     $ (1,426,502 )   $ —     $ —     $ (1,426,502 )
                                         

Mid Cap Value Fund

                                        

Asset Derivatives

                                        

Forward Contracts *,^^^

   $ —     $ —     $ 9,401     $ —     $ 9,401  

Liability Derivatives

                                        

Forward Contracts ^,^^^

   $ —     $ —     $ (9,904 )   $ —     $ (9,904 )

Realized Gain (Loss)#

                                        

Forward Contracts

   $ —     $ —     $ 522,470     $ —     $ 522,470  

Change in Appreciation (Depreciation)##

                                        

Forward Contracts

   $ —     $ —     $ (38,924 )   $ —     $ (38,924 )
                                         

 

247

 

 

Notes to Financial Statements (Continued)

 

   

Credit
Risk

    

Equity
Risk

    

Foreign
Exchange
Risk

    

Interest/
Inflation Rate
Risk

    

Total

  

Small Company Value Fund

                                        

Asset Derivatives

                                        

Forward Contracts*,^^^

   $ —     $ —     $ 141     $ —     $ 141  

Liability Derivatives

                                        

Forward Contracts^,^^^

   $ —     $ —     $ (8,696 )   $ —     $ (8,696 )

Realized Gain (Loss)#

                                        

Forward Contracts

   $ —     $ —     $ 145,723     $ —     $ 145,723  

Change in Appreciation (Depreciation)##

                                        

Forward Contracts

   $ —     $ —     $ (14,881 )   $ —     $ (14,881 )
                                         

Overseas Fund

                                        

Realized Gain (Loss)#

                                        

Forward Contracts

   $ —       —     $ 307,193     $ —     $ 307,193  

Change in Appreciation (Depreciation)##

                                        

Forward Contracts

   $ —     $ —     $ (130,292 )   $ —     $ (130,292 )
                                         

MM Select T. Rowe Price International Equity Fund

                                        

Realized Gain (Loss)#

                                        

Written Options

   $ —     $ 16,350     $ —     $ —     $ 16,350  
 

 

*

Statements of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts, as applicable.

 

^

Statements 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 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, exchange-traded purchased and written options, or forward contracts, which are not subject to a master netting agreement or similar agreement.

 

#

Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

 

##

Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

 

For the year ended September 30, 2022, the average number of contracts, notional amounts, or shares/units for each derivative type was as follows:

 

 
   

Average 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

     213     $ 7,762,453     $ 105,540,000       510     $ 3,710,000       1,353     $ 41,670,000  

Strategic Bond Fund

     4,433       39,462,205       238,432,642       2,151,192       9,706,667       1,207,604       9,706,667  

S&P 500 Index Fund

     115       —       —       —       —       —       —  

Mid Cap Value Fund

     —       3,196,596       —       —       —       —       —  

Small Company Value Fund

     —       658,987       —       —       —       —       —  

Overseas Fund

     —       3,533,841       —       —       —       —       —  

MM Select T. Rowe Price International Equity Fund

     —       —       —       —       —       88       —  

 

†

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

 

248

 

 

Notes to Financial Statements (Continued)

 

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, 2022.

 

The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of the Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on a Fund’s derivatives exposure as of September 30, 2022. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.

 

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, 2022.

 

 

Counterparty

  

Derivative
Assets Subject
to an MNA by
Counterparty†

   

Financial
Instruments
Available for
Offset

   

Collateral
Received***

   

Net Amount*

 

Total Return Bond Fund

                                

Citibank N.A.

   $ 47,011     $ (667 )   $ —     $ 46,344  

Goldman Sachs International

     5,880       —       —       5,880  
    $ 52,891     $ (667 )   $ —     $ 52,224  
                                 

Strategic Bond Fund

                                

BNP Paribas SA

   $ 10,668     $ (10,668 )   $ —     $ —  

Citibank N.A.

     238,293       (238,293 )     —       —  

Citigroup Global Markets, Inc.

     1       (1 )     —       —  

Goldman Sachs & Co.

     4       (4 )     —       —  

Goldman Sachs International

     265,185       (265,185 )     —       —  

Morgan Stanley & Co. LLC

     61,437       (61,437 )     —       —  
    $ 575,588     $ (575,588 )   $ —     $ —  
 

 

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, 2022.

 

 

Counterparty

  

Derivative
Liabilities Subject
to an MNA by
Counterparty†

   

Financial
Instruments
Available for
Offset

   

Collateral
Pledged***

   

Net Amount**

 

Total Return Bond Fund

                                

Citibank N.A.

   $ (667 )   $ 667     $ —     $ —  
                                 

Strategic Bond Fund

                                

BNP Paribas SA

   $ (340,549 )   $ 10,668     $ —     $ (329,881 )

Citibank N.A.

     (1,094,532 )     238,293       —       (856,239 )

Citigroup Global Markets, Inc.

     (3,140 )     1       3,139       —  

Goldman Sachs & Co.

     (71,040 )     4       —       (71,036 )

Goldman Sachs International

     (303,395 )     265,185       —       (38,210 )

Morgan Stanley & Co. LLC

     (107,470 )     61,437       —       (46,033 )
    $ (1,920,126 )   $ 575,588     $ 3,139     $ (1,341,399 )
 

 

*

Represents the net amount receivable from the counterparty in the event of default.

 

249

 

 

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 an MNA or similar agreement.

 

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. The Fund(s) and counterparties may not be permitted to sell, re-pledge, or use the collateral they receive. In the event that cash collateral is restricted for use, the balance will be reflected as restricted cash within the Statement of Assets and Liabilities.

 

Further details regarding the derivatives and other investments held by the Fund(s) during the year ended September 30, 2022, are discussed below.

 

Foreign Currency Exchange Transactions

 

A Fund may enter into foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

 

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. 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/(depreciation) on the contract.

 

250

 

 

Notes to Financial Statements (Continued)

 

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.

 

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed income security, during a specified future period at a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

 

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

 

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

 

251

 

 

Notes to Financial Statements (Continued)

 

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 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

 

252

 

 

Notes to Financial Statements (Continued)

 

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.

 

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

 

A Fund’s current exposure to a counterparty is the fair value of the transaction.

 

Options, Rights, and Warrants

 

A Fund may purchase and sell put and call options on portfolio securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

 

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date in the case of an American-style option or only on the expiration date in the case of a European-style option.

 

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price.

 

Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

 

253

 

 

Notes to Financial Statements (Continued)

 

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.

 

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

 

254

 

 

Notes to Financial Statements (Continued)

 

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 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

 

255

 

 

Notes to Financial Statements (Continued)

 

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.

 

The Total Return Bond Fund and Strategic Bond Fund entered into certain loan agreements which are unfunded. The Total Return Bond Fund and Strategic Bond Fund are obligated to fund these commitments at the borrower’s discretion. These commitments are disclosed in the Total Return Bond Fund’s and Strategic Bond Fund’s Portfolio of Investments. At September 30, 2022, the Total Return Bond Fund and 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.

 

256

 

 

Notes to Financial Statements (Continued)

 

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.

 

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) and/or securities (U.S. Treasury and Agency obligations) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At September 30, 2022, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan and all of the Funds’ cash collateral was invested in the State Street Navigator Securities Lending Government Money Market Portfolio.

 

Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement.

 

The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Funds in securities lending transactions during the year ended September 30, 2022, is reflected as securities lending income on the Statement of Operations.

 

257

 

 

Notes to Financial Statements (Continued)

 

Accounting for Investment Transactions

 

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain.

 

Foreign Currency Translation

 

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

 

Allocation of Operating Activity

 

In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among the classes to which the expense relates based on relative net assets or another alternative method.

 

Foreign Securities

 

Each of the 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, public health, and diplomatic risks. In addition, fluctuations in currency exchange rates may favorably or unfavorably 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, less stringent investor protection and disclosure standards, less reliable settlement practices, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, greater risk of new or inconsistent government treatment of or restrictions on issuers and instruments, and greater volatility in currency exchange rates, and are more susceptible to environmental problems.

 

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.

 

258

 

 

Notes to Financial Statements (Continued)

 

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.

 

The Funds’ subadvisory fees, if applicable, 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

0.35% on any excess over $200 million

Brandywine Global Investment Management,

LLC; Western Asset Management Company, LLC; and Western Asset Management Company Limited

Diversified Value Fund

0.50% on the first $400 million; and

Brandywine Global Investment Management, LLC;

 

0.475% on any excess over $400 million

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; and
 

0.60% on any excess over $300 million

Westfield Capital Management Company, L.P.

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.;

 

 

259

 

 

Notes to Financial Statements (Continued)

 

Fund

Investment Advisory Fee

Investment Subadviser(s)
 

0.65% on any excess over $300 million

PanAgora Asset Management, Inc.; and

Thompson, Siegel & Walmsley LLC

Small Cap Value Equity Fund

0.75% on the first $300 million; and

0.70% on any excess over $300 million

Barrow, Hanley, Mewhinney & Strauss, LLC;

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.

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
 

0.78% on any excess over $1 billion

Management Company LLP

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**

0.00%

T. Rowe Price Associates, Inc.

 

*

Effective March 7, 2022, T. Rowe Price Investment Management, Inc. was added as as a sub-subadviser of the Fund.

**

T. Rowe Price International Ltd, T. Rowe Price Hong Kong Limited, and T. Rowe Price Singapore Private Ltd. each serves as a sub-subadviser of the 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 R5

    

Service
Class

    

Administrative
Class

    

Class R4

    

Class A

    

Class R3

  

Total Return Bond Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Strategic Bond Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Diversified Value Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Fundamental Value Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

S&P 500 Index Fund

     None       0.10 %     0.25 %     0.35 %     0.25 %     0.35 %     0.25 %

Equity Opportunities Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Fundamental Growth Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Blue Chip Growth Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Growth Opportunities Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Mid Cap Value Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Small Cap Value Equity Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Small Company Value Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Mid Cap Growth Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Small Cap Growth Equity Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     0.20 %

Overseas Fund

     None       0.10 %     0.20 %     0.30 %     0.20 %     0.30 %     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 R4 shares and Class A shares of each Fund pay an annual fee of 0.25% of the average daily net assets of the class; 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

 

260

 

 

Notes to Financial Statements (Continued)

 

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.

 

Expense Caps and Waivers

 

MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses#, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), 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 R4

    

Class A

    

Class R3

  

Mid Cap Value Fund*

     0.61 %     0.71 %     0.81 %     0.91 %     1.06 %     1.16 %     1.31 %

Small Company Value Fund*

     0.86 %     0.96 %     1.06 %     1.16 %     1.31 %     1.41 %     1.56 %

MM Select T. Rowe Price International Equity Fund*

     0.00 %     N/A       N/A       N/A       N/A       N/A       N/A  

 

#

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, 2023.

 

Effective February 1, 2022, MML Advisers has agreed to cap the fees and expenses of the Fund noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses#, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), 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 R4

    

Class A

    

Class R3

  

Overseas Fund*

     0.79 %     0.89 %     0.99 %     1.09 %     1.24 %     1.34 %     1.49 %

 

#

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, 2023.

 

Prior to February 1, 2022, 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 applicable class of shares of the Fund, as follows:

 

 
   

Class I

    

Class R5

    

Service
Class

    

Administrative
Class

    

Class R4

    

Class A

    

Class R3

  

Overseas Fund*

     0.79 %     0.89 %     0.99 %     1.09 %     1.24 %     1.34 %     1.49 %

 

#

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, 2022.

 

MML Advisers has agreed to waive 0.03% of the investment advisory fees of the Total Return Bond Fund through January 31, 2023.

 

MML Advisers has agreed to waive 0.05% of the investment advisory fees of the Strategic Bond Fund through January 31, 2023.

 

261

 

 

Notes to Financial Statements (Continued)

 

MML Advisers has agreed to waive 0.02% of the investment advisory fees of the Growth Opportunities Fund through January 31, 2023.

 

Effective March 31, 2022, MML Advisers has agreed to waive 0.05% of the investment advisory fees of the Mid Cap Growth Fund through January 31, 2024.

 

Effective July 1, 2022, MML Advisers has agreed to waive 0.05% of the investment advisory fees of the Fundamental Growth Fund through January 31, 2024.

 

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

 

Rebated Brokerage Commissions

 

The Funds listed below have entered into agreements with certain brokers whereby the brokers will rebate to the Funds, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Funds and are included with realized gain or loss on investment transactions presented in the Statements of Operations. For the year ended September 30, 2022, brokerage commissions rebated under these agreements were as follows:

 

 
   

Rebated
Commissions

  

Diversified Value Fund

   $ 5,421  

Fundamental Value Fund

     773  

Equity Opportunities Fund

     337  

Fundamental Growth Fund

     2,378  

Blue Chip Growth Fund

     22,861  

Growth Opportunities Fund

     5,269  

Mid Cap Value Fund

     1,792  

Small Cap Value Equity Fund

     480  

Mid Cap Growth Fund

     83,365  

Small Cap Growth Equity Fund

     14,031  

 

Deferred Compensation

 

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

 

Other

 

Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.

 

The following table shows beneficial ownership of Funds’ shares by related parties at September 30, 2022:

 

 
   

Total % Ownership
by Related Party

  

Total Return Bond Fund

     80.8 %

Strategic Bond Fund

     95.4 %

Diversified Value Fund

     93.8 %

 

 

262

 

 

Notes to Financial Statements (Continued)

 

   

Total % Ownership
by Related Party

  

Fundamental Value Fund

     96.6 %

S&P 500 Index Fund

     92.6 %

Equity Opportunities Fund

     88.4 %

Fundamental Growth Fund

     90.5 %

Blue Chip Growth Fund

     87.6 %

Growth Opportunities Fund

     91.5 %

Mid Cap Value Fund

     96.5 %

Small Cap Value Equity Fund

     89.3 %

Small Company Value Fund

     91.5 %

Mid Cap Growth Fund

     71.1 %

Small Cap Growth Equity Fund

     82.9 %

Overseas Fund

     83.2 %

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, 2022, 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

   $ 3,776,593,685     $ 224,974,737     $ 3,856,277,715     $ 140,629,620  

Strategic Bond Fund

     531,045,186       45,161,011       478,007,852       147,084,807  

Diversified Value Fund

     —       152,074,989       —       220,412,742  

Fundamental Value Fund

     —       160,122,944       —       287,547,521  

S&P 500 Index Fund

     —       56,010,393       —       877,807,804  

Equity Opportunities Fund

     —       172,727,295       —       329,533,858  

Fundamental Growth Fund

     —       27,621,698       —       41,393,771  

Blue Chip Growth Fund

     —       556,933,914       —       1,038,939,179  

Growth Opportunities Fund

     —       102,823,456       —       160,068,314  

Mid Cap Value Fund

     —       94,247,762       —       99,856,925  

Small Cap Value Equity Fund

     —       27,034,942       —       32,745,534  

Small Company Value Fund

     —       108,192,287       —       143,159,735  

Mid Cap Growth Fund

     —       1,545,107,070       —       3,537,058,886  

Small Cap Growth Equity Fund

     —       475,674,049       —       523,709,298  

Overseas Fund

     —       94,719,179       —       207,558,573  

MM Select T. Rowe Price International Equity Fund

     —       556,982,177       —       494,572,891  

 

 

263

 

 

Notes to Financial Statements (Continued)

 

The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.

 

 
   

Purchases

    

Sales

    

Realized
Gains/(Losses)

  

Equity Opportunities Fund

   $ —     $ 5,055,917     $ 2,020,515  

Blue Chip Growth Fund

     —       2,525,761       609,593  

Mid Cap Value Fund

     50,474       —       —  

Mid Cap Growth Fund

     1,642,438       3,281,933       1,365,506  

Small Cap Growth Equity Fund

     81,579       56,485       19,180  

Overseas Fund

     —       294,018       3,566  

International Equity Fund

     —       3,585       (55,128 )

 

5. Capital Share Transactions

 

Changes in shares outstanding for each Fund were as follows:

 

 
   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Total Return Bond Fund Class I

                                

Sold

     19,268,431     $ 180,631,888       19,146,497     $ 197,586,295  

Issued as reinvestment of dividends

     1,213,926       12,175,679       3,517,569       36,195,787  

Redeemed

     (21,180,830 )     (200,785,705 )     (13,402,414 )     (137,618,946 )

Net increase (decrease)

     (698,473 )   $ (7,978,138 )     9,261,652     $ 96,163,136  

Total Return Bond Fund Class R5

                                

Sold

     378,114     $ 3,440,340       966,646     $ 9,943,955  

Issued as reinvestment of dividends

     62,806       629,319       212,366       2,183,127  

Redeemed

     (1,286,666 )     (12,380,678 )     (807,001 )     (8,293,426 )

Net increase (decrease)

     (845,746 )   $ (8,311,019 )     372,011     $ 3,833,656  

Total Return Bond Fund Service Class

                                

Sold

     609,708     $ 5,754,384       2,109,996     $ 22,504,731  

Issued as reinvestment of dividends

     101,251       1,020,606       466,054       4,814,337  

Redeemed

     (1,764,330 )     (17,226,101 )     (4,257,688 )     (44,924,719 )

Net increase (decrease)

     (1,053,371 )   $ (10,451,111 )     (1,681,638 )   $ (17,605,651 )

Total Return Bond Fund Administrative Class

                                

Sold

     486,547     $ 4,764,503       473,476     $ 4,887,313  

Issued as reinvestment of dividends

     27,027       271,077       104,814       1,077,493  

Redeemed

     (1,321,362 )     (12,658,648 )     (591,870 )     (6,140,528 )

Net increase (decrease)

     (807,788 )   $ (7,623,068 )     (13,580 )   $ (175,722 )

Total Return Bond Fund Class R4

                                

Sold

     687,484     $ 6,518,995       1,619,080     $ 16,849,147  

Issued as reinvestment of dividends

     102,618       1,037,468       509,982       5,283,413  

Redeemed

     (2,280,633 )     (21,868,114 )     (3,756,435 )     (38,734,808 )

Net increase (decrease)

     (1,490,531 )   $ (14,311,651 )     (1,627,373 )   $ (16,602,248 )

Total Return Bond Fund Class A

                                

Sold

     371,616     $ 3,438,059       485,232     $ 4,955,544  

Issued as reinvestment of dividends

     15,120       151,047       58,109       595,039  

Redeemed

     (203,610 )     (1,898,829 )     (448,655 )     (4,582,335 )

Net increase (decrease)

     183,126     $ 1,690,277       94,686     $ 968,248  

 

 

264

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Total Return Bond Fund Class R3

                                

Sold

     521,332     $ 4,807,515       457,819     $ 4,729,647  

Issued as reinvestment of dividends

     23,412       234,819       140,483       1,444,165  

Redeemed

     (643,656 )     (6,041,703 )     (980,562 )     (10,022,079 )

Net increase (decrease)

     (98,912 )   $ (999,369 )     (382,260 )   $ (3,848,267 )

Strategic Bond Fund Class I

                                

Sold

     8,671,159     $ 83,748,590       9,792,877     $ 107,787,429  

Issued as reinvestment of dividends

     1,975,931       20,292,814       2,100,242       23,039,656  

Redeemed

     (16,636,543 )     (166,221,430 )     (12,641,185 )     (138,155,152 )

Net increase (decrease)

     (5,989,453 )   $ (62,180,026 )     (748,066 )   $ (7,328,067 )

Strategic Bond Fund Class R5

                                

Sold

     750,285     $ 7,330,910       1,720,310     $ 18,754,867  

Issued as reinvestment of dividends

     442,257       4,546,406       427,829       4,697,559  

Redeemed

     (2,525,557 )     (25,279,391 )     (2,458,439 )     (26,976,452 )

Net increase (decrease)

     (1,333,015 )   $ (13,402,075 )     (310,300 )   $ (3,524,026 )

Strategic Bond Fund Service Class

                                

Sold

     1,963,475     $ 21,120,432       703,441     $ 7,620,821  

Issued as reinvestment of dividends

     254,816       2,619,511       175,067       1,923,985  

Redeemed

     (999,065 )     (9,859,838 )     (1,543,663 )     (16,792,426 )

Net increase (decrease)

     1,219,226     $ 13,880,105       (665,155 )   $ (7,247,620 )

Strategic Bond Fund Administrative Class

                                

Sold

     300,891     $ 2,938,333       2,372,820     $ 25,699,371  

Issued as reinvestment of dividends

     186,209       1,912,369       341,132       3,735,392  

Redeemed

     (2,794,950 )     (28,772,119 )     (4,280,361 )     (46,186,805 )

Net increase (decrease)

     (2,307,850 )   $ (23,921,417 )     (1,566,409 )   $ (16,752,042 )

Strategic Bond Fund Class R4

                                

Sold

     296,853     $ 2,867,133       653,572     $ 7,092,970  

Issued as reinvestment of dividends

     160,353       1,635,600       218,994       2,384,840  

Redeemed

     (2,078,364 )     (20,917,479 )     (1,470,051 )     (15,956,354 )

Net increase (decrease)

     (1,621,158 )   $ (16,414,746 )     (597,485 )   $ (6,478,544 )

Strategic Bond Fund Class A

                                

Sold

     140,027     $ 1,346,776       1,496,947     $ 16,640,515  

Issued as reinvestment of dividends

     106,519       1,093,950       290,574       3,173,070  

Redeemed

     (1,344,105 )     (13,794,021 )     (4,394,795 )     (47,670,756 )

Net increase (decrease)

     (1,097,559 )   $ (11,353,295 )     (2,607,274 )   $ (27,857,171 )

Strategic Bond Fund Class R3

                                

Sold

     168,015     $ 1,599,808       319,656     $ 3,425,685  

Issued as reinvestment of dividends

     39,151       396,988       65,090       702,974  

Redeemed

     (656,488 )     (6,671,990 )     (727,933 )     (7,839,830 )

Net increase (decrease)

     (449,322 )   $ (4,675,194 )     (343,187 )   $ (3,711,171 )

Diversified Value Fund Class I

                                

Sold

     3,280,888     $ 42,214,632       4,766,409     $ 58,517,759  

Issued as reinvestment of dividends

     2,269,879       28,645,872       438,410       4,826,890  

Redeemed

     (7,093,566 )     (86,654,446 )     (8,179,237 )     (104,349,524 )

Net increase (decrease)

     (1,542,799 )   $ (15,793,942 )     (2,974,418 )   $ (41,004,875 )

Diversified Value Fund Class R5

                                

Sold

     529,104     $ 6,772,798       645,349     $ 8,129,226  

Issued as reinvestment of dividends

     670,394       8,493,887       129,280       1,427,247  

Redeemed

     (1,973,294 )     (25,615,700 )     (1,925,876 )     (23,438,048 )

Net increase (decrease)

     (773,796 )   $ (10,349,015 )     (1,151,247 )   $ (13,881,575 )

 

265

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Diversified Value Fund Service Class

                                

Sold

     119,767     $ 1,525,851       164,512     $ 2,075,082  

Issued as reinvestment of dividends

     148,207       1,877,787       28,106       310,576  

Redeemed

     (291,952 )     (3,716,380 )     (481,322 )     (5,811,081 )

Net increase (decrease)

     (23,978 )   $ (312,742 )     (288,704 )   $ (3,425,423 )

Diversified Value Fund Administrative Class

                                

Sold

     197,859     $ 2,566,448       347,161     $ 4,457,155  

Issued as reinvestment of dividends

     189,400       2,424,318       30,457       339,296  

Redeemed

     (437,980 )     (5,708,549 )     (450,291 )     (5,434,054 )

Net increase (decrease)

     (50,721 )   $ (717,783 )     (72,673 )   $ (637,603 )

Diversified Value Fund Class R4

                                

Sold

     102,763     $ 1,297,321       271,872     $ 3,106,319  

Issued as reinvestment of dividends

     123,743       1,536,882       18,255       198,248  

Redeemed

     (348,040 )     (4,308,864 )     (350,322 )     (4,176,440 )

Net increase (decrease)

     (121,534 )   $ (1,474,661 )     (60,195 )   $ (871,873 )

Diversified Value Fund Class A

                                

Sold

     157,190     $ 2,007,522       421,139     $ 5,205,137  

Issued as reinvestment of dividends

     247,566       3,136,659       45,661       504,096  

Redeemed

     (391,831 )     (5,041,824 )     (1,271,123 )     (16,100,131 )

Net increase (decrease)

     12,925     $ 102,357       (804,323 )   $ (10,390,898 )

Diversified Value Fund Class R3

                                

Sold

     61,871     $ 732,416       30,422     $ 403,152  

Issued as reinvestment of dividends

     10,368       130,528       2,246       24,615  

Redeemed

     (23,859 )     (303,118 )     (104,228 )     (1,328,709 )

Net increase (decrease)

     48,380     $ 559,826       (71,560 )   $ (900,942 )

Fundamental Value Fund Class I

                                

Sold

     4,154,703     $ 41,232,959       6,014,795     $ 58,173,128  

Issued as reinvestment of dividends

     4,341,734       42,679,244       600,383       5,157,291  

Redeemed

     (9,716,082 )     (93,982,026 )     (8,589,850 )     (82,578,233 )

Net increase (decrease)

     (1,219,645 )   $ (10,069,823 )     (1,974,672 )   $ (19,247,814 )

Fundamental Value Fund Class R5

                                

Sold

     598,274     $ 6,029,023       1,298,021     $ 13,009,525  

Issued as reinvestment of dividends

     1,353,266       13,424,402       271,793       2,353,725  

Redeemed

     (4,483,140 )     (43,811,168 )     (8,416,442 )     (84,928,696 )

Net increase (decrease)

     (2,531,600 )   $ (24,357,743 )     (6,846,628 )   $ (69,565,446 )

Fundamental Value Fund Service Class

                                

Sold

     660,330     $ 6,723,705       715,166     $ 7,256,979  

Issued as reinvestment of dividends

     371,015       3,658,211       41,902       360,779  

Redeemed

     (810,851 )     (8,123,158 )     (778,059 )     (7,338,666 )

Net increase (decrease)

     220,494     $ 2,258,758       (20,991 )   $ 279,092  

Fundamental Value Fund Administrative Class

                                

Sold

     197,766     $ 2,026,958       594,754     $ 5,712,661  

Issued as reinvestment of dividends

     555,561       5,544,501       95,972       834,960  

Redeemed

     (2,451,430 )     (24,385,138 )     (3,661,979 )     (35,397,364 )

Net increase (decrease)

     (1,698,103 )   $ (16,813,679 )     (2,971,253 )   $ (28,849,743 )

Fundamental Value Fund Class R4

                                

Sold

     227,033     $ 2,098,750       50,328     $ 473,808  

Issued as reinvestment of dividends

     119,651       1,143,866       13,737       115,118  

Redeemed

     (787,028 )     (7,459,941 )     (187,920 )     (1,797,952 )

Net increase (decrease)

     (440,344 )   $ (4,217,325 )     (123,855 )   $ (1,209,026 )

 

266

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Fundamental Value Fund Class A

                                

Sold

     276,458     $ 2,756,626       393,724     $ 3,933,994  

Issued as reinvestment of dividends

     380,538       3,733,076       43,766       375,073  

Redeemed

     (1,199,674 )     (12,060,192 )     (1,869,795 )     (17,194,023 )

Net increase (decrease)

     (542,678 )   $ (5,570,490 )     (1,432,305 )   $ (12,884,956 )

Fundamental Value Fund Class R3

                                

Sold

     36,870     $ 351,938       78,733     $ 805,088  

Issued as reinvestment of dividends

     19,872       189,182       1,242       10,379  

Redeemed

     (62,987 )     (617,005 )     (50,502 )     (483,004 )

Net increase (decrease)

     (6,245 )   $ (75,885 )     29,473     $ 332,463  

S&P 500 Index Fund Class I

                                

Sold

     12,415,578     $ 241,988,303       17,260,205     $ 347,463,609  

Issued as reinvestment of dividends

     8,976,077       184,009,587       10,266,209       184,586,442  

Redeemed

     (34,517,227 )     (681,286,807 )     (20,521,046 )     (413,010,371 )

Net increase (decrease)

     (13,125,572 )   $ (255,288,917 )     7,005,368     $ 119,039,680  

S&P 500 Index Fund Class R5

                                

Sold

     2,177,188     $ 43,135,931       1,891,528     $ 38,627,265  

Issued as reinvestment of dividends

     2,943,930       60,703,846       3,454,763       62,427,564  

Redeemed

     (8,254,438 )     (156,352,532 )     (4,944,523 )     (100,762,117 )

Net increase (decrease)

     (3,133,320 )   $ (52,512,755 )     401,768     $ 292,712  

S&P 500 Index Fund Service Class

                                

Sold

     1,764,830     $ 35,213,022       2,704,969     $ 55,210,299  

Issued as reinvestment of dividends

     2,214,870       45,847,810       3,123,958       56,637,356  

Redeemed

     (5,944,281 )     (114,741,532 )     (8,306,556 )     (167,410,998 )

Net increase (decrease)

     (1,964,581 )   $ (33,680,700 )     (2,477,629 )   $ (55,563,343 )

S&P 500 Index Fund Administrative Class

                                

Sold

     1,481,165     $ 28,550,360       1,845,338     $ 37,527,075  

Issued as reinvestment of dividends

     2,159,450       43,469,722       3,211,009       56,802,753  

Redeemed

     (7,419,879 )     (146,053,042 )     (7,090,273 )     (140,951,560 )

Net increase (decrease)

     (3,779,264 )   $ (74,032,960 )     (2,033,926 )   $ (46,621,732 )

S&P 500 Index Fund Class R4

                                

Sold

     2,805,251     $ 52,122,826       2,912,407     $ 56,820,281  

Issued as reinvestment of dividends

     3,028,215       59,837,538       4,668,157       81,225,926  

Redeemed

     (7,958,794 )     (153,817,832 )     (13,658,676 )     (266,752,268 )

Net increase (decrease)

     (2,125,328 )   $ (41,857,468 )     (6,078,112 )   $ (128,706,061 )

S&P 500 Index Fund Class A

                                

Sold

     420,533     $ 7,396,269       272,433     $ 5,131,189  

Issued as reinvestment of dividends

     147,358       2,886,746       216,289       3,735,318  

Redeemed

     (618,869 )     (12,236,711 )     (525,326 )     (10,290,915 )

Net increase (decrease)

     (50,978 )   $ (1,953,696 )     (36,604 )   $ (1,424,408 )

S&P 500 Index Fund Class R3

                                

Sold

     2,786,022     $ 50,256,371       3,895,891     $ 74,728,360  

Issued as reinvestment of dividends

     1,929,310       36,541,127       2,006,301       33,665,725  

Redeemed

     (3,837,904 )     (69,036,604 )     (4,151,692 )     (78,531,536 )

Net increase (decrease)

     877,428     $ 17,760,894       1,750,500     $ 29,862,549  

Equity Opportunities Fund Class I

                                

Sold

     2,195,204     $ 42,163,425       2,342,051     $ 44,627,814  

Issued as reinvestment of dividends

     2,666,804       51,816,002       1,667,804       29,303,320  

Redeemed

     (5,006,569 )     (95,771,081 )     (5,915,556 )     (112,583,197 )

Net increase (decrease)

     (144,561 )   $ (1,791,654 )     (1,905,701 )   $ (38,652,063 )

 

267

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Equity Opportunities Fund Class R5

                                

Sold

     1,027,695     $ 19,913,069       842,306     $ 15,151,904  

Issued as reinvestment of dividends

     978,951       19,138,493       641,043       11,320,812  

Redeemed

     (5,111,865 )     (97,154,414 )     (2,362,507 )     (44,671,477 )

Net increase (decrease)

     (3,105,219 )   $ (58,102,852 )     (879,158 )   $ (18,198,761 )

Equity Opportunities Fund Service Class

                                

Sold

     147,025     $ 2,787,131       376,730     $ 6,983,511  

Issued as reinvestment of dividends

     290,928       5,530,550       177,650       3,060,907  

Redeemed

     (681,168 )     (12,564,987 )     (1,048,051 )     (18,456,209 )

Net increase (decrease)

     (243,215 )   $ (4,247,306 )     (493,671 )   $ (8,411,791 )

Equity Opportunities Fund Administrative Class

                                

Sold

     130,689     $ 2,377,512       620,927     $ 11,214,685  

Issued as reinvestment of dividends

     340,670       6,343,270       183,645       3,107,276  

Redeemed

     (998,655 )     (18,063,262 )     (858,899 )     (15,618,305 )

Net increase (decrease)

     (527,296 )   $ (9,342,480 )     (54,327 )   $ (1,296,344 )

Equity Opportunities Fund Class R4

                                

Sold

     69,873     $ 1,187,174       58,146     $ 972,979  

Issued as reinvestment of dividends

     65,235       1,104,425       41,202       641,099  

Redeemed

     (185,953 )     (3,141,405 )     (177,306 )     (2,914,318 )

Net increase (decrease)

     (50,845 )   $ (849,806 )     (77,958 )   $ (1,300,240 )

Equity Opportunities Fund Class A

                                

Sold

     111,063     $ 1,913,973       286,817     $ 4,880,640  

Issued as reinvestment of dividends

     367,584       6,384,936       258,475       4,112,340  

Redeemed

     (832,793 )     (14,474,766 )     (1,193,610 )     (20,822,672 )

Net increase (decrease)

     (354,146 )   $ (6,175,857 )     (648,318 )   $ (11,829,692 )

Equity Opportunities Fund Class R3

                                

Sold

     162,725     $ 2,434,201       88,794     $ 1,445,005  

Issued as reinvestment of dividends

     29,567       456,521       19,486       280,015  

Redeemed

     (82,307 )     (1,240,187 )     (151,917 )     (2,414,261 )

Net increase (decrease)

     109,985     $ 1,650,535       (43,637 )   $ (689,241 )

Fundamental Growth Fund Class I

                                

Sold

     759,136     $ 3,067,412       1,285,417     $ 8,075,228  

Issued as reinvestment of dividends

     741,150       3,135,065       1,160,169       6,380,932  

Redeemed

     (2,786,328 )     (10,380,409 )     (1,742,122 )     (10,457,592 )

Net increase (decrease)

     (1,286,042 )   $ (4,177,932 )     703,464     $ 3,998,568  

Fundamental Growth Fund Class R5

                                

Sold

     114,385     $ 480,384       237,897     $ 1,631,222  

Issued as reinvestment of dividends

     669,002       2,856,640       1,092,737       6,053,760  

Redeemed

     (881,784 )     (3,471,140 )     (1,059,599 )     (6,358,554 )

Net increase (decrease)

     (98,397 )   $ (134,116 )     271,035     $ 1,326,428  

Fundamental Growth Fund Service Class

                                

Sold

     142,141     $ 531,470       96,110     $ 571,166  

Issued as reinvestment of dividends

     457,949       1,799,739       579,443       3,030,485  

Redeemed

     (209,547 )     (937,098 )     (314,225 )     (1,884,842 )

Net increase (decrease)

     390,543     $ 1,394,111       361,328     $ 1,716,809  

Fundamental Growth Fund Administrative Class

                                

Sold

     103,196     $ 343,927       228,849     $ 1,235,015  

Issued as reinvestment of dividends

     662,161       2,350,670       1,380,760       6,751,917  

Redeemed

     (386,854 )     (1,481,843 )     (1,865,226 )     (10,344,812 )

Net increase (decrease)

     378,503     $ 1,212,754       (255,617 )   $ (2,357,880 )

 

268

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Fundamental Growth Fund Class R4

                                

Sold

     151,138     $ 336,164       43,223     $ 201,697  

Issued as reinvestment of dividends

     199,206       539,848       187,400       772,086  

Redeemed

     (78,108 )     (284,532 )     (93,402 )     (500,263 )

Net increase (decrease)

     272,236     $ 591,480       137,221     $ 473,520  

Fundamental Growth Fund Class A

                                

Sold

     212,935     $ 564,827       189,500     $ 906,932  

Issued as reinvestment of dividends

     1,515,834       4,304,968       1,822,352       7,726,774  

Redeemed

     (868,878 )     (2,789,699 )     (1,402,788 )     (7,292,641 )

Net increase (decrease)

     859,891     $ 2,080,096       609,064     $ 1,341,065  

Fundamental Growth Fund Class R3

                                

Sold

     298,513     $ 505,343       204,225     $ 737,635  

Issued as reinvestment of dividends

     397,548       735,465       530,015       1,759,650  

Redeemed

     (267,063 )     (463,415 )     (746,314 )     (2,772,047 )

Net increase (decrease)

     428,998     $ 777,393       (12,074 )   $ (274,762 )

Blue Chip Growth Fund Class I

                                

Sold

     9,673,480     $ 241,938,987       9,208,665     $ 288,635,407  

Issued as reinvestment of dividends

     17,779,562       505,650,751       4,344,635       127,384,702  

Redeemed

     (17,057,755 )     (437,365,948 )     (24,822,276 )     (790,026,118 )

Net increase (decrease)

     10,395,287     $ 310,223,790       (11,268,976 )   $ (374,006,009 )

Blue Chip Growth Fund Class R5

                                

Sold

     1,236,217     $ 30,016,798       2,679,809     $ 82,658,186  

Issued as reinvestment of dividends

     3,858,828       109,320,598       983,773       28,785,200  

Redeemed

     (5,586,636 )     (149,357,985 )     (6,199,890 )     (196,931,948 )

Net increase (decrease)

     (491,591 )   $ (10,020,589 )     (2,536,308 )   $ (85,488,562 )

Blue Chip Growth Fund Service Class

                                

Sold

     772,920     $ 17,294,659       1,223,525     $ 37,332,066  

Issued as reinvestment of dividends

     1,390,201       38,828,325       320,599       9,281,346  

Redeemed

     (1,829,132 )     (43,031,432 )     (1,731,897 )     (53,422,350 )

Net increase (decrease)

     333,989     $ 13,091,552       (187,773 )   $ (6,808,938 )

Blue Chip Growth Fund Administrative Class

                                

Sold

     569,232     $ 12,944,622       1,382,931     $ 43,389,745  

Issued as reinvestment of dividends

     2,315,836       63,222,321       634,937       18,063,967  

Redeemed

     (4,007,587 )     (103,667,274 )     (5,159,799 )     (157,988,590 )

Net increase (decrease)

     (1,122,519 )   $ (27,500,331 )     (3,141,931 )   $ (96,534,878 )

Blue Chip Growth Fund Class R4

                                

Sold

     410,114     $ 9,072,831       1,076,100     $ 30,583,742  

Issued as reinvestment of dividends

     983,162       25,050,959       240,790       6,486,894  

Redeemed

     (2,660,512 )     (54,093,475 )     (1,692,637 )     (48,631,847 )

Net increase (decrease)

     (1,267,236 )   $ (19,969,685 )     (375,747 )   $ (11,561,211 )

Blue Chip Growth Fund Class A

                                

Sold

     423,196     $ 8,776,808       1,018,552     $ 28,655,216  

Issued as reinvestment of dividends

     1,109,963       28,270,753       387,337       10,446,481  

Redeemed

     (1,357,136 )     (30,693,573 )     (4,359,478 )     (129,512,098 )

Net increase (decrease)

     176,023     $ 6,353,988       (2,953,589 )   $ (90,410,401 )

Blue Chip Growth Fund Class R3

                                

Sold

     286,428     $ 5,575,165       357,619     $ 9,388,348  

Issued as reinvestment of dividends

     501,154       11,466,411       124,694       3,093,658  

Redeemed

     (731,417 )     (15,944,052 )     (961,576 )     (25,525,284 )

Net increase (decrease)

     56,165     $ 1,097,524       (479,263 )   $ (13,043,278 )

 

269

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Growth Opportunities Fund Class I

                                

Sold

     6,817,009     $ 44,270,684       5,964,565     $ 64,460,451  

Issued as reinvestment of dividends

     7,852,454       63,212,251       4,781,993       47,724,289  

Redeemed

     (9,466,676 )     (66,160,773 )     (7,289,756 )     (78,254,732 )

Net increase (decrease)

     5,202,787     $ 41,322,162       3,456,802     $ 33,930,008  

Growth Opportunities Fund Class R5

                                

Sold

     931,257     $ 5,867,268       1,827,378     $ 19,490,118  

Issued as reinvestment of dividends

     2,168,280       16,825,851       2,200,770       21,391,483  

Redeemed

     (2,968,007 )     (21,142,198 )     (7,435,247 )     (75,529,949 )

Net increase (decrease)

     131,530     $ 1,550,921       (3,407,099 )   $ (34,648,348 )

Growth Opportunities Fund Service Class

                                

Sold

     618,173     $ 4,088,158       347,551     $ 3,384,510  

Issued as reinvestment of dividends

     994,425       7,030,586       709,183       6,439,381  

Redeemed

     (959,196 )     (6,557,350 )     (1,325,612 )     (13,102,377 )

Net increase (decrease)

     653,402     $ 4,561,394       (268,878 )   $ (3,278,486 )

Growth Opportunities Fund Administrative Class

                                

Sold

     1,065,357     $ 5,048,692       539,808     $ 4,962,892  

Issued as reinvestment of dividends

     2,172,175       13,489,206       1,331,937       11,015,116  

Redeemed

     (2,368,525 )     (13,796,123 )     (2,609,272 )     (24,065,097 )

Net increase (decrease)

     869,007     $ 4,741,775       (737,527 )   $ (8,087,089 )

Growth Opportunities Fund Class R4

                                

Sold

     29,591     $ 127,103       34,506     $ 256,709  

Issued as reinvestment of dividends

     183,946       871,903       100,504       691,469  

Redeemed

     (325,831 )     (1,235,429 )     (138,783 )     (1,067,446 )

Net increase (decrease)

     (112,294 )   $ (236,423 )     (3,773 )   $ (119,268 )

Growth Opportunities Fund Class A

                                

Sold

     396,938     $ 1,438,351       683,345     $ 4,932,367  

Issued as reinvestment of dividends

     2,635,032       12,094,799       1,444,315       9,734,684  

Redeemed

     (2,707,665 )     (10,463,439 )     (2,427,204 )     (18,045,044 )

Net increase (decrease)

     324,305     $ 3,069,711       (299,544 )   $ (3,377,993 )

Growth Opportunities Fund Class R3

                                

Sold

     128,656     $ 301,790       402,025     $ 2,286,504  

Issued as reinvestment of dividends

     380,771       1,142,314       91,599       479,063  

Redeemed

     (133,099 )     (277,795 )     (190,176 )     (1,105,742 )

Net increase (decrease)

     376,328     $ 1,166,309       303,448     $ 1,659,825  

Mid Cap Value Fund Class I

                                

Sold

     1,257,943     $ 15,822,348       1,378,441     $ 19,471,679  

Issued as reinvestment of dividends

     2,209,404       26,888,446       120,645       1,535,817  

Redeemed

     (1,823,408 )     (23,252,190 )     (2,569,512 )     (36,125,882 )

Net increase (decrease)

     1,643,939     $ 19,458,604       (1,070,426 )   $ (15,118,386 )

Mid Cap Value Fund Class R5

                                

Sold

     31,538     $ 403,759       26,384     $ 378,441  

Issued as reinvestment of dividends

     18,803       232,404       713       9,182  

Redeemed

     (42,869 )     (533,359 )     (35,750 )     (465,832 )

Net increase (decrease)

     7,472     $ 102,804       (8,653 )   $ (78,209 )

Mid Cap Value Fund Service Class

                                

Sold

     504     $ 6,628       21,295     $ 311,554  

Issued as reinvestment of dividends

     8,620       105,510       125       1,602  

Redeemed

     (38,303 )     (470,425 )     (1,891 )     (29,106 )

Net increase (decrease)

     (29,179 )   $ (358,287 )     19,529     $ 284,050  

 

270

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Mid Cap Value Fund Administrative Class

                                

Sold

     11,380     $ 145,965       12,029     $ 184,500  

Issued as reinvestment of dividends

     14,968       188,296       723       9,443  

Redeemed

     (21,782 )     (316,412 )     (15,951 )     (231,037 )

Net increase (decrease)

     4,566     $ 17,849       (3,199 )   $ (37,094 )

Mid Cap Value Fund Class R4

                                

Sold

     7,390     $ 90,949       7,013     $ 97,079  

Issued as reinvestment of dividends

     1,257       15,233       622       7,872  

Redeemed

     (2,759 )     (34,110 )     (72,997 )     (1,056,116 )

Net increase (decrease)

     5,888     $ 72,072       (65,362 )   $ (951,165 )

Mid Cap Value Fund Class A

                                

Sold

     25,694     $ 318,289       142,864     $ 1,953,163  

Issued as reinvestment of dividends

     28,037       345,700       2,584       33,097  

Redeemed

     (25,277 )     (330,544 )     (315,794 )     (4,611,163 )

Net increase (decrease)

     28,454     $ 333,445       (170,346 )   $ (2,624,903 )

Mid Cap Value Fund Class R3

                                

Sold

     1,287     $ 15,692       5,118     $ 70,621  

Issued as reinvestment of dividends

     2,760       33,429       246       3,107  

Redeemed

     (2,251 )     (28,504 )     (30,021 )     (430,029 )

Net increase (decrease)

     1,796     $ 20,617       (24,657 )   $ (356,301 )

Small Cap Value Equity Fund Class I

                                

Sold

     1,167,883     $ 12,820,652       907,032     $ 11,357,203  

Issued as reinvestment of dividends

     879,846       9,194,395       152,789       1,714,290  

Redeemed

     (1,217,492 )     (13,122,094 )     (4,127,369 )     (51,698,733 )

Net increase (decrease)

     830,237     $ 8,892,953       (3,067,548 )   $ (38,627,240 )

Small Cap Value Equity Fund Class R5

                                

Sold

     120,937     $ 1,244,751       809,584     $ 10,404,197  

Issued as reinvestment of dividends

     218,099       2,283,497       34,845       392,010  

Redeemed

     (433,913 )     (4,808,986 )     (1,166,710 )     (15,301,343 )

Net increase (decrease)

     (94,877 )   $ (1,280,738 )     (322,281 )   $ (4,505,136 )

Small Cap Value Equity Fund Service Class

                                

Sold

     28,655     $ 318,523       29,025     $ 363,192  

Issued as reinvestment of dividends

     66,630       701,615       9,089       102,703  

Redeemed

     (84,191 )     (922,424 )     (91,348 )     (1,186,214 )

Net increase (decrease)

     11,094     $ 97,714       (53,234 )   $ (720,319 )

Small Cap Value Equity Fund Administrative Class

                                

Sold

     21,006     $ 225,176       40,323     $ 521,611  

Issued as reinvestment of dividends

     59,543       618,051       10,705       119,788  

Redeemed

     (22,610 )     (241,800 )     (213,856 )     (2,687,794 )

Net increase (decrease)

     57,939     $ 601,427       (162,828 )   $ (2,046,395 )

Small Cap Value Equity Fund Class R4

                                

Sold

     23,940     $ 233,301       36,336     $ 451,536  

Issued as reinvestment of dividends

     35,292       353,982       7,995       87,302  

Redeemed

     (33,450 )     (345,326 )     (200,794 )     (2,399,956 )

Net increase (decrease)

     25,782     $ 241,957       (156,463 )   $ (1,861,118 )

Small Cap Value Equity Fund Class A

                                

Sold

     46,544     $ 461,230       152,503     $ 1,865,323  

Issued as reinvestment of dividends

     141,955       1,433,744       17,347       190,647  

Redeemed

     (148,716 )     (1,645,084 )     (219,908 )     (2,721,035 )

Net increase (decrease)

     39,783     $ 249,890       (50,058 )   $ (665,065 )

 

271

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Small Cap Value Equity Fund Class R3

                                

Sold

     22,511     $ 225,025       21,846     $ 274,446  

Issued as reinvestment of dividends

     18,019       177,490       2,414       26,075  

Redeemed

     (19,924 )     (191,725 )     (57,525 )     (679,901 )

Net increase (decrease)

     20,606     $ 210,790       (33,265 )   $ (379,380 )

Small Company Value Fund Class I

                                

Sold

     2,118,392     $ 24,273,570       4,737,139     $ 55,347,151  

Issued as reinvestment of dividends

     2,185,835       24,481,352       85,053       812,256  

Redeemed

     (3,510,738 )     (39,082,053 )     (2,348,073 )     (26,270,613 )

Net increase (decrease)

     793,489     $ 9,672,869       2,474,119     $ 29,888,794  

Small Company Value Fund Class R5

                                

Sold

     588,489     $ 6,674,727       2,238,221     $ 24,968,017  

Issued as reinvestment of dividends

     774,949       8,756,926       39,529       380,666  

Redeemed

     (2,546,690 )     (27,751,474 )     (3,598,862 )     (37,381,946 )

Net increase (decrease)

     (1,183,252 )   $ (12,319,821 )     (1,321,112 )   $ (12,033,263 )

Small Company Value Fund Service Class

                                

Sold

     146,974     $ 1,680,344       317,513     $ 3,700,087  

Issued as reinvestment of dividends

     111,423       1,250,165       3,323       31,805  

Redeemed

     (135,183 )     (1,466,448 )     (213,621 )     (2,435,431 )

Net increase (decrease)

     123,214     $ 1,464,061       107,215     $ 1,296,461  

Small Company Value Fund Administrative Class

                                

Sold

     98,759     $ 1,121,612       319,890     $ 3,595,272  

Issued as reinvestment of dividends

     192,067       2,095,447       9,514       88,859  

Redeemed

     (401,496 )     (4,327,674 )     (933,127 )     (10,609,361 )

Net increase (decrease)

     (110,670 )   $ (1,110,615 )     (603,723 )   $ (6,925,230 )

Small Company Value Fund Class R4

                                

Sold

     7,196     $ 73,173       73,265     $ 751,995  

Issued as reinvestment of dividends

     9,904       100,625       673       5,920  

Redeemed

     (5,716 )     (56,710 )     (137,064 )     (1,569,338 )

Net increase (decrease)

     11,384     $ 117,088       (63,126 )   $ (811,423 )

Small Company Value Fund Class A

                                

Sold

     198,112     $ 2,088,446       299,765     $ 3,244,014  

Issued as reinvestment of dividends

     191,789       1,983,094       3,577       31,978  

Redeemed

     (283,124 )     (2,887,883 )     (691,731 )     (7,464,426 )

Net increase (decrease)

     106,777     $ 1,183,657       (388,389 )   $ (4,188,434 )

Small Company Value Fund Class R3

                                

Sold

     16,157     $ 149,603       16,202     $ 161,460  

Issued as reinvestment of dividends

     6,198       57,144       —       —  

Redeemed

     (10,084 )     (91,923 )     (7,013 )     (70,513 )

Net increase (decrease)

     12,271     $ 114,824       9,189     $ 90,947  

Mid Cap Growth Fund Class I

                                

Sold

     20,610,345     $ 476,359,783       21,183,859     $ 619,721,055  

Issued as reinvestment of dividends

     46,250,992       1,175,700,217       13,500,310       369,233,487  

Redeemed

     (69,265,310 )     (1,657,390,556 )     (68,670,135 )     (2,039,813,584 )

Net increase (decrease)

     (2,403,973 )   $ (5,330,556 )     (33,985,966 )   $ (1,050,859,042 )

Mid Cap Growth Fund Class R5

                                

Sold

     8,992,426     $ 210,964,292       8,395,381     $ 240,160,574  

Issued as reinvestment of dividends

     11,851,698       296,055,421       3,401,006       91,793,143  

Redeemed

     (29,181,230 )     (709,337,786 )     (16,010,155 )     (465,598,430 )

Net increase (decrease)

     (8,337,106 )   $ (202,318,073 )     (4,213,768 )   $ (133,644,713 )

 

272

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Mid Cap Growth Fund Service Class

                                

Sold

     714,735     $ 16,317,851       1,066,469     $ 29,688,014  

Issued as reinvestment of dividends

     2,525,623       60,589,689       803,095       21,000,941  

Redeemed

     (5,095,676 )     (118,540,039 )     (4,669,869 )     (130,586,243 )

Net increase (decrease)

     (1,855,318 )   $ (41,632,499 )     (2,800,305 )   $ (79,897,288 )

Mid Cap Growth Fund Administrative Class

                                

Sold

     441,681     $ 8,788,650       869,031     $ 23,069,316  

Issued as reinvestment of dividends

     2,158,971       48,166,646       677,781       16,747,973  

Redeemed

     (2,971,122 )     (64,274,048 )     (4,042,762 )     (107,237,852 )

Net increase (decrease)

     (370,470 )   $ (7,318,752 )     (2,495,950 )   $ (67,420,563 )

Mid Cap Growth Fund Class R4

                                

Sold

     615,731     $ 11,433,813       1,821,605     $ 43,245,580  

Issued as reinvestment of dividends

     1,343,771       26,566,357       557,533       12,555,638  

Redeemed

     (3,875,215 )     (83,705,841 )     (4,612,065 )     (112,673,861 )

Net increase (decrease)

     (1,915,713 )   $ (45,705,671 )     (2,232,927 )   $ (56,872,643 )

Mid Cap Growth Fund Class A

                                

Sold

     229,031     $ 4,280,448       588,035     $ 13,908,258  

Issued as reinvestment of dividends

     1,836,269       35,770,513       630,794       14,060,392  

Redeemed

     (2,458,058 )     (47,889,370 )     (3,959,939 )     (95,492,021 )

Net increase (decrease)

     (392,758 )   $ (7,838,409 )     (2,741,110 )   $ (67,523,371 )

Mid Cap Growth Fund Class R3

                                

Sold

     268,929     $ 4,468,724       393,431     $ 8,615,707  

Issued as reinvestment of dividends

     466,005       7,898,792       120,591       2,425,094  

Redeemed

     (552,097 )     (9,249,914 )     (746,836 )     (16,376,977 )

Net increase (decrease)

     182,837     $ 3,117,602       (232,814 )   $ (5,336,176 )

Small Cap Growth Equity Fund Class I

                                

Sold

     8,410,974     $ 128,433,942       7,016,670     $ 144,369,320  

Issued as reinvestment of dividends

     6,689,062       106,891,206       1,541,584       29,012,613  

Redeemed

     (7,633,386 )     (112,135,241 )     (6,121,222 )     (124,881,393 )

Net increase (decrease)

     7,466,650     $ 123,189,907       2,437,032     $ 48,500,540  

Small Cap Growth Equity Fund Class R5

                                

Sold

     1,375,497     $ 18,571,896       1,671,272     $ 32,751,480  

Issued as reinvestment of dividends

     2,133,325       33,194,542       629,588       11,622,191  

Redeemed

     (3,555,151 )     (53,158,153 )     (2,999,349 )     (58,807,712 )

Net increase (decrease)

     (46,329 )   $ (1,391,715 )     (698,489 )   $ (14,434,041 )

Small Cap Growth Equity Fund Service Class

                                

Sold

     157,740     $ 2,016,421       293,630     $ 5,450,566  

Issued as reinvestment of dividends

     542,363       7,598,507       169,568       2,891,135  

Redeemed

     (907,393 )     (13,450,707 )     (677,279 )     (12,484,416 )

Net increase (decrease)

     (207,290 )   $ (3,835,779 )     (214,081 )   $ (4,142,715 )

Small Cap Growth Equity Fund Administrative Class

                                

Sold

     146,697     $ 1,698,408       203,401     $ 3,468,903  

Issued as reinvestment of dividends

     606,248       7,499,285       175,761       2,733,082  

Redeemed

     (487,977 )     (5,701,747 )     (763,539 )     (12,729,401 )

Net increase (decrease)

     264,968     $ 3,495,946       (384,377 )   $ (6,527,416 )

Small Cap Growth Equity Fund Class R4

                                

Sold

     269,555     $ 2,345,814       241,546     $ 3,516,902  

Issued as reinvestment of dividends

     532,192       5,183,552       123,958       1,628,809  

Redeemed

     (350,548 )     (3,268,106 )     (499,572 )     (6,898,395 )

Net increase (decrease)

     451,199     $ 4,261,260       (134,068 )   $ (1,752,684 )

 

273

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Small Cap Growth Equity Fund Class A

                                

Sold

     135,438     $ 1,176,763       504,453     $ 6,982,978  

Issued as reinvestment of dividends

     976,336       9,343,532       322,918       4,197,930  

Redeemed

     (695,452 )     (6,699,463 )     (1,587,189 )     (22,495,130 )

Net increase (decrease)

     416,322     $ 3,820,832       (759,818 )   $ (11,314,222 )

Small Cap Growth Equity Fund Class R3

                                

Sold

     103,693     $ 748,306       134,796     $ 1,555,386  

Issued as reinvestment of dividends

     275,707       1,924,436       54,866       582,672  

Redeemed

     (134,122 )     (857,421 )     (180,997 )     (2,091,227 )

Net increase (decrease)

     245,278     $ 1,815,321       8,665     $ 46,831  

Overseas Fund Class I

                                

Sold

     9,543,684     $ 84,880,892       9,326,183     $ 89,997,203  

Issued as reinvestment of dividends

     3,877,276       36,679,034       1,033,783       9,459,111  

Redeemed

     (17,598,167 )     (154,046,481 )     (19,054,553 )     (189,333,308 )

Net increase (decrease)

     (4,177,207 )   $ (32,486,555 )     (8,694,587 )   $ (89,876,994 )

Overseas Fund Class R5

                                

Sold

     2,624,329     $ 22,012,321       2,048,201     $ 19,758,875  

Issued as reinvestment of dividends

     1,528,040       14,531,662       353,544       3,249,074  

Redeemed

     (7,259,037 )     (65,077,294 )     (3,483,345 )     (34,118,149 )

Net increase (decrease)

     (3,106,668 )   $ (28,533,311 )     (1,081,600 )   $ (11,110,200 )

Overseas Fund Service Class

                                

Sold

     661,295     $ 6,299,812       412,087     $ 3,976,372  

Issued as reinvestment of dividends

     456,597       4,314,842       101,106       923,098  

Redeemed

     (1,168,642 )     (10,309,219 )     (798,474 )     (7,827,090 )

Net increase (decrease)

     (50,750 )   $ 305,435       (285,281 )   $ (2,927,620 )

Overseas Fund Administrative Class

                                

Sold

     155,540     $ 1,373,856       382,828     $ 3,680,866  

Issued as reinvestment of dividends

     191,576       1,831,463       45,617       421,047  

Redeemed

     (324,641 )     (3,045,963 )     (866,637 )     (8,320,923 )

Net increase (decrease)

     22,475     $ 159,356       (438,192 )   $ (4,219,010 )

Overseas Fund Class R4

                                

Sold

     494,669     $ 4,073,590       721,382     $ 6,841,308  

Issued as reinvestment of dividends

     221,488       2,008,900       44,888       395,010  

Redeemed

     (419,701 )     (3,489,896 )     (973,710 )     (9,110,679 )

Net increase (decrease)

     296,456     $ 2,592,594       (207,440 )   $ (1,874,361 )

Overseas Fund Class A

                                

Sold

     223,843     $ 1,944,155       264,898     $ 2,542,503  

Issued as reinvestment of dividends

     217,687       2,031,016       70,638       637,155  

Redeemed

     (980,502 )     (8,700,686 )     (1,819,906 )     (17,789,568 )

Net increase (decrease)

     (538,972 )   $ (4,725,515 )     (1,484,370 )   $ (14,609,910 )

Overseas Fund Class R3

                                

Sold

     104,735     $ 893,761       205,906     $ 2,014,268  

Issued as reinvestment of dividends

     67,894       623,942       14,811       131,963  

Redeemed

     (278,087 )     (2,243,819 )     (297,944 )     (2,881,102 )

Net increase (decrease)

     (105,458 )   $ (726,116 )     (77,227 )   $ (734,871 )

 

274

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM Select T. Rowe Price International Equity Fund Class I

                                

Sold

     28,306,280     $ 303,954,011       26,565,354     $ 299,651,877  

Issued as reinvestment of dividends

     6,457,531       71,743,166       2,226,021       23,974,243  

Redeemed

     (28,231,952 )     (290,686,208 )     (21,745,375 )     (246,370,514 )

Net increase (decrease)

     6,531,859     $ 85,010,969       7,046,000     $ 77,255,606  
 

 

Unless waived, 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 the following amounts during the year ended September 30, 2022:

 

 
   

Front-End
Sales Charges
Retained by
Distributor

  

Diversified Value Fund

   $ 730  

Fundamental Value Fund

    730  

S&P 500 Index Fund

     72  

Equity Opportunities Fund

     948  

Blue Chip Growth Fund

     2,541  

Mid Cap Growth Fund

     353  

Small Cap Growth Equity Fund

     204  

 

Unless waived, redemptions of Class A shares made within 18 months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1.00% of the amount redeemed. The Distributor receives all contingent deferred sales charges. For the year ended September 30, 2022, no amounts have been retained by the Distributor.

 

With respect to Class A shares, the Distributor may pay an up-front concession to financial intermediaries through which sales are made as described in the Funds’ Prospectus.

 

6. Federal Income Tax Information

 

At September 30, 2022, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

 

 
   

Federal
Income
Tax Cost

    

Tax Basis
Unrealized
Appreciation

    

Tax Basis
Unrealized
(Depreciation)

    

Net Unrealized
Appreciation
(Depreciation)

  

Total Return Bond Fund

   $ 970,946,424     $ 1,863,766     $ (89,555,119 )   $ (87,691,353 )

Strategic Bond Fund

     451,301,290       679,020       (50,706,701 )     (50,027,681 )

Diversified Value Fund

     271,912,452       27,635,543       (20,682,302 )     6,953,241  

Fundamental Value Fund

     409,875,190       54,996,296       (36,542,966 )     18,453,330  

S&P 500 Index Fund

     1,488,200,396       852,981,927       (98,554,529 )     754,427,398  

Equity Opportunities Fund

     538,148,395       65,007,630       (46,570,292 )     18,437,338  

Fundamental Growth Fund

     33,079,588       948,526       (7,960,945 )     (7,012,419 )

Blue Chip Growth Fund

     2,133,505,318       748,563,713       (347,992,607 )     400,571,106  

Growth Opportunities Fund

     290,036,620       22,499,516       (70,567,711 )     (48,068,195 )

Mid Cap Value Fund

     116,860,661       3,304,863       (18,754,519 )     (15,449,656 )

 

 

275

 

 

Notes to Financial Statements (Continued)

 

   

Federal
Income
Tax Cost

    

Tax Basis
Unrealized
Appreciation

    

Tax Basis
Unrealized
(Depreciation)

    

Net Unrealized
Appreciation
(Depreciation)

  

Small Cap Value Equity Fund

   $ 52,261,678     $ 4,900,208     $ (6,967,496 )   $ (2,067,288 )

Small Company Value Fund

     227,350,773       10,928,876       (39,102,855 )     (28,173,979 )

Mid Cap Growth Fund

     5,055,056,521       727,201,932       (628,067,180 )     99,134,752  

Small Cap Growth Equity Fund

     565,112,495       41,590,494       (74,635,968 )     (33,045,474 )

Overseas Fund

     470,913,216       25,386,377       (99,533,882 )     (74,147,505 )

MM Select T. Rowe Price International Equity Fund

     1,565,674,800       56,714,241       (323,048,985 )     (266,334,744 )

 

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. Capital losses may be carried forward indefinitely, and retain the character of the original loss.

 

At September 30, 2022, the following Fund had accumulated capital loss carryforwards:

 

 
   

Short Term
Capital Loss
Carryforward

    

Long Term
Capital Loss
Carryforward

  

Total Return Bond Fund

   $ 36,914,682     $ 21,099,505  

 

The following Fund(s) elected to defer to the fiscal year beginning October 1, 2022, post-October capital losses:

 

 
   

Post-October
Loss

  

Strategic Bond Fund

   $ 36,444,508  

Fundamental Growth Fund

     558,057  

Small Cap Growth Equity Fund

     25,213,098  

MM Select T. Rowe Price International Equity Fund

     9,477,776  

 

The following Fund(s) elected to defer to the fiscal year beginning October 1, 2022, late year ordinary losses:

 

 
   

Amount

  

Fundamental Growth Fund

   $ 239,500  

Blue Chip Growth Fund

     4,335,079  

Growth Opportunities Fund

     1,463,203  

Mid Cap Growth Fund

     9,137,771  

Small Cap Growth Equity Fund

     705,925  

 

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.

 

276

 

 

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, 2022, was as follows:

 

 
   

Ordinary
Income

    

Long Term
Capital Gain

  

Total Return Bond Fund

   $ 15,520,015     $ —  

Strategic Bond Fund

     24,543,559       7,957,173  

Diversified Value Fund

     19,350,206       26,910,458  

Fundamental Value Fund

     9,848,859       60,529,572  

S&P 500 Index Fund

     42,035,877       391,268,490  

Equity Opportunities Fund

     13,075,519       77,702,653  

Fundamental Growth Fund

     9,232,807       6,564,990  

Blue Chip Growth Fund

     37,765,672       744,221,034  

Growth Opportunities Fund

     9,742,882       104,924,613  

Mid Cap Value Fund

     17,733,220       10,183,811  

Small Cap Value Equity Fund

     3,627,991       11,134,784  

Small Company Value Fund

     16,833,062       21,904,259  

Mid Cap Growth Fund

     203,027,887       1,463,208,822  

Small Cap Growth Equity Fund

     42,925,417       128,763,424  

Overseas Fund

     14,112,279       47,917,157  

MM Select T. Rowe Price International Equity Fund

     54,455,017       17,288,149  

 

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2021, was as follows:

 

 
   

Ordinary
Income

    

Long Term
Capital Gain

  

Total Return Bond Fund

   $ 51,593,361     $ —  

Strategic Bond Fund

     21,393,604       18,264,739  

Diversified Value Fund

     7,632,765       —  

Fundamental Value Fund

     9,207,746       —  

S&P 500 Index Fund

     59,183,283       419,938,253  

Equity Opportunities Fund

     13,151,452       38,674,722  

Fundamental Growth Fund

     14,953,658       17,591,165  

Blue Chip Growth Fund

     —       203,562,156  

Growth Opportunities Fund

     4,069,271       93,406,690  

Mid Cap Value Fund

     1,604,431       —  

Small Cap Value Equity Fund

     26,515       2,606,300  

Small Company Value Fund

     1,351,801       —  

Mid Cap Growth Fund

     14,252,104       521,343,693  

Small Cap Growth Equity Fund

     6,970,464       45,698,594  

Overseas Fund

     5,244,641       9,972,004  

MM Select T. Rowe Price International Equity Fund

     23,974,243       —  

 

 

277

 

 

Notes to Financial Statements (Continued)

 

The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2022:

 

 
   

Amount

  

Overseas Fund

   $ 1,601,994  

MM Select T. Rowe Price International Equity Fund

     4,040,098  

 

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, 2022, 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, 2022, 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

  

Total Return Bond Fund

   $ 14,501,233     $ (58,014,187 )   $ (125,130 )   $ (87,693,551 )   $ (131,331,635 )

Strategic Bond Fund

     1,435,360       —       (36,481,768 )     (50,079,449 )     (85,125,857 )

Diversified Value Fund

     4,179,651       29,205,957       (108,809 )     6,956,897       40,233,696  

Fundamental Value Fund

     6,504,986       63,123,610       (143,977 )     18,432,551       87,917,170  

S&P 500 Index Fund

     22,700,764       537,331,780       (337,549 )     754,427,398       1,314,122,393  

Equity Opportunities Fund

     5,584,722       82,705,656       (89,494 )     18,435,689       106,636,573  

Fundamental Growth Fund

     —       —       (809,726 )     (7,012,419 )     (7,822,145 )

Blue Chip Growth Fund

     —       269,621,836       (4,511,245 )     400,571,106       665,681,697  

Growth Opportunities Fund

     —       28,020,548       (1,540,622 )     (48,068,269 )     (21,588,343 )

Mid Cap Value Fund

     3,121,076       5,229,263       (15,104 )     (15,449,887 )     (7,114,652 )

Small Cap Value Equity Fund

     704,792       6,898,738       (15,977 )     (2,067,263 )     5,520,290  

Small Company Value Fund

     3,967,197       22,509,754       (51,049 )     (28,173,979 )     (1,748,077 )

Mid Cap Growth Fund

     —       711,603,693       (9,500,286 )     99,134,752       801,238,159  

Small Cap Growth Equity Fund

     —       —       (26,000,678 )     (33,045,475 )     (59,046,153 )

Overseas Fund

     8,986,988       31,806,250       (79,818 )     (74,559,341 )     (33,845,921 )

MM Select T. Rowe Price International Equity Fund

     35,803,184       —       (9,501,032 )     (266,893,702 )     (240,591,550 )

 

During the year ended September 30, 2022, 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

   $ —     $ (1,455,179 )   $ 1,455,179  

Strategic Bond Fund

     —       3,775,714       (3,775,714 )

Diversified Value Fund

     —       900,902       (900,902 )

Fundamental Value Fund

     —       118,323       (118,323 )

S&P 500 Index Fund

     —       1,401,288       (1,401,288 )

Equity Opportunities Fund

     —       84,317       (84,317 )

 

 

278

 

 

Notes to Financial Statements (Continued)

 

   

Paid-in
Capital

    

Accumulated
Net Realized
Gain (Loss) on
Investments

    

Undistributed
Net Investment
Income (Loss)

  

Fundamental Growth Fund

   $ (170,180 )   $ 47,706     $ 122,474  

Blue Chip Growth Fund

     (3,881,397 )     1,240       3,880,157  

Growth Opportunities Fund

     (866,828 )     60       866,768  

Mid Cap Value Fund

     (39,130 )     (422,186 )     461,316  

Small Cap Value Equity Fund

     —       (13,020 )     13,020  

Small Company Value Fund

     (18 )     542,600       (542,582 )

Mid Cap Growth Fund

     (7,732,929 )     33,690       7,699,239  

Small Cap Growth Equity Fund

     (4,185,933 )     3,576,594       609,339  

Overseas Fund

     —       (279,790 )     279,790  

MM Select T. Rowe Price International Equity Fund

     —       1,157,052       (1,157,052 )

 

The Funds did not have any unrecognized tax benefits at September 30, 2022, 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, 2022, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

 

7. 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 January 2021, FASB issued Accounting Standards Update 2021-01 — Reference Rate Reform (Topic 848) — Scope (“ASU 2021-01”) as an update to Accounting Standards Update 2020-04 — Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) in order to make certain clarifications. ASU 2020-04 and ASU 2021-01 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates. The temporary relief provided by ASU 2020-04 and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not believe the impact of adopting ASU 2020-04 and ASU 2021-01 will have a material impact on the financial statements.

 

In June 2022, FASB issued Accounting Standards Update 2022-03 — Fair Value Measurement (Topic 820) — Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies the guidance in Topic 820 to indicate that a contractual sale restriction should not be considered in the fair value of an equity security subject to such a restriction, and requires entities with investments in equity securities subject to contractual sale restrictions to disclose certain qualitative and quantitative information about such securities. ASU 2022-03 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. ASU 2022-03 will only be applicable to an equity security in which the contractual arrangement that restricts its sale is executed or modified on or after the adoption date. Management is currently evaluating the impact of applying this update.

 

279

 

 

Notes to Financial Statements (Continued)

 

9. Coronavirus (COVID-19) Pandemic

 

The global pandemic outbreak of the novel coronavirus known as COVID-19 and efforts to contain its spread have produced, and will likely continue to produce, substantial market volatility, severe market dislocations and liquidity constraints in many markets, exchange trading suspensions and closures, higher default rates, and global business disruption, and they may result in future significant adverse effects, such as declines in global financial markets and a substantial economic downturn or recession throughout the world. Such factors may have a significant adverse effect on a Fund’s performance and have the potential to impair the ability of a Fund’s investment adviser, subadviser, or other service providers to serve the Fund and could lead to disruptions that negatively impact the Fund.

 

10. Russia-Ukraine War

 

In February 2022, Russia commenced a large-scale military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the regional and the global financial markets and economies. One or more of the Funds hold positions in securities or other instruments that are economically tied to Russia. Investments in Russia are subject to political, economic, legal, market, and currency risks, as well as the risks related to the economic sanctions on Russia, Russian individuals, and Russian corporate and banking entities imposed by the United States and/or other countries. Such sanctions — which affect companies in many sectors, including energy, financial services, and defense, among others — could adversely affect the global energy and financial markets and, thus, could affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. Such sanctions may also result in a decline in the value and liquidity of Russian securities and a weakening of the ruble, and will impair a Fund’s ability to buy, sell, receive, or deliver Russian securities. In addition, certain transactions have been or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet shareholder redemptions.

 

280

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of MassMutual Select Funds and Shareholders of MassMutual Total Return Bond Fund, MassMutual Strategic Bond Fund, MassMutual Diversified Value Fund, MassMutual Fundamental Value Fund, MM S&P 500® Index Fund, MassMutual Equity Opportunities Fund, MassMutual Fundamental Growth Fund, MassMutual Blue Chip Growth Fund, MassMutual Growth Opportunities Fund, MassMutual Mid Cap Value Fund, MassMutual Small Cap Value Equity Fund, MassMutual Small Company Value Fund, MassMutual Mid Cap Growth Fund, MassMutual Small Cap Growth Equity Fund, MassMutual 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, 2022, 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 five years in the period then ended (except for the MassMutual Select T. Rowe Price International Equity Fund’s financial highlights which are for each of the four years in the period then ended and the period February 9, 2018 (commencement of operations) to 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 the Funds, as of September 30, 2022, 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 five years in the period then ended (except for the MassMutual Select T. Rowe Price International Equity Fund’s financial highlights which are for each of the four years in the period then ended and the period February 9, 2018 (commencement of operations) to 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

 

281

 

 

Report of Independent Registered Public Accounting Firm (Continued)

 

the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2022, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

/s/ Deloitte & Touche LLP

 

Boston, Massachusetts
November 28, 2022

 

We have served as the auditor of one or more MassMutual investment companies since 1995.

 

282

 

 

Trustees and Principal Officers (Unaudited)

 

The following table lists the Trust’s Trustees and Principal Officers; their address and year of birth; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during at least 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 Funds, c/o Massachusetts Mutual Life Insurance Company, 1295 State Street, Springfield, Massachusetts 01111-0001, Attention: Investment Management Solutions.

 

Independent Trustees

 

Name, Address*,
and Year of Birth

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

Year of birth: 1948

Trustee

Since

2003

Retired.

108

Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-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).

Nabil N. El-Hage

Year of birth: 1958

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).

108

Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

Maria D. Furman

Year of birth: 1954

Trustee

Since

2012

Retired.

108

Trustee (since 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (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).

R. Bradford Malt

Year of birth: 1954

Trustee

Since

2022

Chairman (2004-2019), Management Committee (1993-2019), Partner (1987-2019), Associate (1979-1987),

Ropes & Gray LLP (counsel to the Trust and MassMutual).

108

Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

 

283

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*,
and Year of Birth

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

Year of birth: 1951

Trustee

Since

2012

Retired.

108

Director (since 2020), Lead Director (2020-2022), Chairperson (since 2020) of the Nominating and Governance Committee, Member (since 2020) and Chairperson (2020-2022) of the Compensation Committee, and Member (2020-2022) of the Audit Committee, Lyra Therapeutics (a clinical-stage specialty pharmaceutical company); Chairperson (since 2017), Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (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).

Cynthia R. Plouché

Year of birth: 1957

Trustee

Since

2022

Retired; Assessor (2014-2018), Moraine Township (property assessment).

108

Trustee (since 2014), Northern Trust Funds (open-end investment companies); Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

Jason J. Price

Year of birth: 1973

Trustee

Since

2022

Co-Founder and Chairman of the Board (2017-2021), NXTHVN (arts organization); Principal (2012-2017), Exaltare Capital Partners, LLC (private equity firm).

108

Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

Susan B. Sweeney

Year of birth: 1952

Chairperson

 

 

Trustee

Since

2022

 

Since

2009

Retired.

110^

Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Chairperson (since 2022), Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2009), MML Series Investment Fund (open-end investment company); Chairperson (since 2022), Trustee (since 2012), MML Series Investment Fund II (open-end investment company).

 

284

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Interested Trustees

 

Name, Address*, and Year of Birth

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

Michael R. Fanning^^ Year of birth: 1963

Trustee

Since

2021

Head of MassMutual U.S. (since 2016), Executive Vice President (2016-2018), Member of MassMutual’s Executive Leadership Team (since 2008), MassMutual.

108

Director (since 2016), MML Advisers; Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company); Trustee (since 2021), MML Series Investment Fund II (open-end investment company).

Clifford M, Noreen^^^
Year of birth: 1957

Trustee

Since

2021

Head of Global Investment Strategy (since 2019), Deputy Chief Investment Officer and Managing Director (2016-2018), MassMutual; President (2008-2016), Vice Chairman (2007-2008), Member of the Board of Managers (2006-2016), Managing Director (2000-2016), Barings LLC.

110^

Chairman (since 2009), Trustee (since 2005), President (2005-2009), CI Subsidiary Trust and PI Subsidiary Trust; Chairman and Trustee (since 2009), President (2005-2009), Vice President (1993-2005), Barings Corporate Investors (closed-end investment company); Chairman and Trustee (since 2009), President (2005-2009), Vice President (1993-2005), Barings Participation Investors (closed-end investment company); Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company); Trustee (since 2021), MML Series Investment Fund II (open-end investment company).

 

Principal Officers

 

Name, Address*, and Year of Birth

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

Andrea Anastasio

Year of birth: 1974

Vice President

 

Since

2021

Vice President (since 2021), MML Advisers; Head of Investment Management Solutions (since 2021), MassMutual; Head of Investment Strategy and Research, North America (2019-2021), Head of Investment Product Management (2016- 2019), State Street Global Advisors; Vice President (since 2021), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); Vice President (since 2021), MML Series Investment Fund (open-end investment company); Vice President (since 2021), MML Series Investment Fund II (open-end investment company).

108

 

285

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*, and Year of Birth

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

Andrew M. Goldberg

Year of birth: 1966

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 (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Renee Hitchcock

Year of birth: 1970

Chief Financial Officer and Treasurer

 

Assistant Treasurer

Since

2016

 

 

2007-

2016

Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Paul LaPiana
Year of birth: 1969

President

Since

2021

President (since 2021), MML Advisers; Head of MassMutual U.S. Product (since 2019), Head of Field Management (2016-2019), MassMutual; President (since 2021), MassMutual Premier Funds (open-end investment company); President (since 2021), MassMutual Advantage Funds (open-end investment company); President (since 2021), MML Series Investment Fund (open-end investment company); President (since 2021), MML Series Investment Fund II (open-end investment company).

108

Jill Nareau Robert

Year of birth: 1972

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 (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company); Vice President and Assistant Secretary (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Douglas Steele

Year of birth: 1975

Vice President

Since

2016

Head of Product Management (since 2021), Vice President (since 2017), Head of Investment Management (2017-2021), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Product Management (since 2021), Head

of Manager Research (2021), Head of Investment Management (2017-2021), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

 

286

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*,
and Year of Birth

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

Philip S. Wellman

Year of birth: 1964

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), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

 

*

The address of each Trustee and Principal Officer is the same as that for the Trust; 1295 State Street, Springfield, Massachusetts 01111-0001.

 

**

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, 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, and any such Chairperson may not serve more than two consecutive terms. 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.

 

^^

Mr. Fanning is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

 

^^^

Mr. Noreen is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

 

#

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.

 

287

 

 

Federal Tax Information (Unaudited)

 

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2022, qualified for the dividends received deduction, as follows:

 

 
   

Dividends
Received
Deductions

  

Diversified Value Fund

     52.49 %

Fundamental Value Fund

     77.36 %

S&P 500 Index Fund

     100.00 %

Equity Opportunities Fund

     72.39 %

Fundamental Growth Fund

     2.38 %

Blue Chip Growth Fund

     45.22 %

Growth Opportunities Fund

     6.26 %

Mid Cap Value Fund

     14.04 %

Small Cap Value Equity Fund

     18.74 %

Small Company Value Fund

     18.40 %

Mid Cap Growth Fund

     17.09 %

Small Cap Growth Equity Fund

     5.52 %

Overseas Fund

     0.17 %

MM Select T. Rowe Price International Equity Fund

     0.76 %

 

For the year ended September 30, 2022, the following Fund(s) earned the following foreign sources of income:

 

 
   

Amount

  

Overseas Fund

   $ 10,455,344  

MM Select T. Rowe Price International Equity Fund

     51,373,867  

 

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the 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, 2022.

 

The Fund(s) intend to pass through the maximum amount allowable as Section 163(j) Interest Dividends as defined in the Treasury Regulations §1.163(j)-1(b).

 

288

 

 

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 Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.

 

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

 

Quarterly Reporting

 

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s EDGAR database on its website at http://www.sec.gov. In addition, the Funds make the complete schedule of portfolio holdings from their filings on Form N-PORT available to shareholders at http://www.massmutual.com/funds.

 

Trustees’ Approval of Investment Advisory Contracts

 

At their meetings in May and June 2022, 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 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, Mid Cap Growth Fund, Small Cap Growth Equity 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 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 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.

 

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. Throughout the discussion, MML Advisers responded to Committee members’ questions and provided additional information concerning each Fund.

 

289

 

 

Other Information (Unaudited) (Continued)

 

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, 2021. 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 but one of the Funds were at or within the top fifty percent of their peer groups, and in most cases in the top forty percent. All of the Funds with total net expense ratios at or below the 50th comparative percentile of their peer groups had net advisory fees below the medians of their peer groups, or within the top three comparative quintiles of their peer groups, except the Small Company Value Fund, Overseas Fund, Fundamental Value Fund, Equity Opportunities Fund, and Growth 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/or general favorable investment performance over time. In their consideration of these Funds, the Committee took into account MML Advisers’ proposal to implement a five basis point contractual advisory fee waiver for the Fundamental Growth Fund, which MML Advisers believes will improve the Fund’s total net expense profile, as well as the advisory fee waivers and expense caps currently in place for certain Funds.

 

The Small Cap Value Equity Fund has a total net expense ratio higher than the 60th comparative percentile of its peer group. The Committee considered MML Advisers’ statement that although the Fund’s total net expense ratio and net advisory fee were each at the 67th comparative percentile of its peer group, the Fund’s total net expense ratio was only four basis points above the peer group median.

 

The Committee determined on the basis of these factors that the levels of the Funds’ net advisory fees, and the total net expenses of the Funds generally, were consistent with the continuation of their advisory agreements.

 

The Committee considered that the large majority of the Funds achieved three-year investment performance above the medians of their performance categories, or at or within the top sixty percent of their performance categories, except those Funds referred to below.

 

The Committee considered that each of the Fundamental Growth Fund, Small Cap Value Equity Fund, Diversified Value Fund, and Fundamental Value Fund had experienced three-year investment performance outside the top sixty percent of its performance category. The Committee considered MML Advisers’ statement that a contributor to the underperformance of the first three of those Funds was a relatively low exposure to high-growth stocks during recent high-growth equity markets, particularly in 2020, due to a general value-investing orientation of their subadvisers, and MML Advisers’ confidence in each Fund’s investment strategy and subadviser(s) over time. The Committee also noted that the Diversified Value Fund had experienced favorable performance for the one-year period, at the 27th comparative percentile of its performance category. As to the Fundamental Value Fund, the Committee considered MML Advisers’ statements that the Fund’s performance for the three-year period had been less than one percentage point below the median of its performance category, and that the Fund’s performance had improved for the one-year period to the 29th comparative percentile of its performance category.

 

As to the Equity Opportunities Fund, Mid Cap Value Fund, and Mid Cap Growth Fund, the Committee noted that each Fund had experienced three-year investment performance outside the top sixty percent of its performance category. The Committee considered MML Advisers’ statement that each Fund’s underperformance was due in part to the Fund’s lower risk profile during a period in which investors preferred higher momentum, more speculative stocks. The Committee also noted that each of the Equity Opportunities Fund and Mid Cap Growth Fund ranked in the top half of its respective performance category for six of the last 10 years, and that the Mid Cap Growth Fund experienced improved performance for the one-year period to the 42nd percentile of its performance category. As to the Mid Cap Value Fund, the Committee noted that the Fund had experienced a subadviser change in the past year, which MML Advisers believes should lead to improving performance. As to the Blue Chip Growth Fund, the Committee noted that the Fund had experienced performance for the one- and three-year periods in the 71st and 80th comparative percentiles of its performance category, respectively. The Committee considered MML Advisers’ statements that the Fund’s longer-term performance is competitive, with the Fund ranking in the 56th and 22nd comparative percentiles of its performance category for the five- and ten-year periods, respectively, and that a relatively narrow set of stocks was an outsized contributor to the Fund’s more recent underperformance. The Committee also noted MML Advisers’ positive opinion on the Fund’s new lead portfolio manager.

 

290

 

 

Other Information (Unaudited) (Continued)

 

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 (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.

 

 

291

 

 

Other Information (Unaudited) (Continued)

 

Submission of Matters to a Vote of Security Holders

 

A Special Meeting of Shareholders of the Trust was held on May 25, 2022 and on the adjournment dates of June 9, 2022, July 28, 2022, and September 14, 2022. The Notice of Meeting of Shareholders, and a Proxy Statement and voting instruction card, were first mailed, or otherwise made available, on or about April 8, 2022 to shareholders of record as of February 25, 2022. The results of the vote on the matters submitted to shareholders at the Special Meeting are as follows:

 

Proposal 1:

To elect Allan W. Blair, Nabil N. El-Hage, Michael R. Fanning, Maria D. Furman, R. Bradford Malt, C. Ann Merrifield, Clifford M. Noreen, Cynthia R. Plouché, Jason J. Price, and Susan B. Sweeney as Trustees of each Trust of which the Funds are series for an indefinite term of office.*

 

This matter was approved by the Trust’s shareholders on June 9, 2022. The results of the votes were as follows:

 

   

Shares Voted

    

Shares For

    

% of Shares Outstanding

    

Withhold

    

% of Shares Outstanding

  

Allan W. Blair

     1,062,272,572.058       1,055,134,595.262       42.213 %     7,137,976.796       0.285 %

Nabil N. El-Hage

     1,062,272,572.058       1,055,187,057.064       42.215 %     7,085,514.994       0.283 %

Michael R. Fanning

     1,062,272,572.058       1,054,435,784.031       42.185 %     7,836,788.027       0.313 %

Maria D. Furman

     1,062,272,572.058       1,055,334,004.749       42.221 %     6,938,567.309       0.277 %

R. Bradford Malt

     1,062,272,572.058       1,054,410,988.847       42.184 %     7,861,583.211       0.314 %

C. Ann Merrifield

     1,062,272,572.058       1,054,614,232.611       42.192 %     7,658,339.447       0.306 %

Clifford M. Noreen

     1,062,272,572.058       1,054,519,598.373       42.188 %     7,752,973.685       0.310 %

Cynthia R. Plouché

     1,062,272,572.058       1,055,673,410.167       42.234 %     6,599,161.891       0.264 %

Jason J. Price

     1,062,272,572.058       1,055,486,383.752       42.227 %     6,786,188.306       0.271 %

Susan B. Sweeney

     1,062,272,572.058       1,055,272,106.456       42.218 %     7,000,465.602       0.280 %

 

*

Denotes Trust-wide proposal and voting results.

 

Proposal 2:

To change the status of certain Funds from diversified funds to non-diversified funds.

 

This matter was approved by the following Fund’s shareholders on September 14, 2022. The results of the votes were as follows:

 

   

Shares Voted

    

Shares For

    

% of Shares Outstanding

    

Against

    

% of Shares Outstanding

    

Abstain

    

% of Shares Outstanding

    

Broker
Non-Vote

    

% of Shares Outstanding

  

Blue Chip Growth Fund

     76,580,926.865       71,611,265.587       48.765 %     1,065,213.725       0.725 %     2,799,778.734       1.906 %     1,104,668.819       0.752 %

 

 

292

 

 

Other Information (Unaudited) (Continued)

 

Fund Expenses September 30, 2022

 

 

Expense Examples:

 

The following information is in regards to expenses for the six months ended September 30, 2022:

 

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended September 30, 2022.

 

Actual Expenses:

 

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes:

 

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning 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

0.34%

$895.70

$1.62

$1,023.40

$1.72

Class R5

1,000

0.45%

895.60

2.14

1,022.80

2.28

Service Class

1,000

0.54%

894.10

2.56

1,022.40

2.74

Administrative Class

1,000

0.65%

894.60

3.09

1,021.80

3.29

Class R4

1,000

0.79%

893.30

3.75

1,021.10

4.00

Class A

1,000

0.89%

893.00

4.22

1,020.60

4.51

Class R3

1,000

1.04%

892.30

4.93

1,019.90

5.27

 

293

 

 

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

0.48%

886.50

2.27

1,022.70

2.43

Class R5

1,000

0.58%

885.50

2.74

1,022.20

2.94

Service Class

1,000

0.68%

885.50

3.21

1,021.70

3.45

Administrative Class

1,000

0.78%

885.30

3.69

1,021.20

3.95

Class R4

1,000

0.93%

884.50

4.39

1,020.40

4.71

Class A

1,000

1.03%

883.20

4.86

1,019.90

5.22

Class R3

1,000

1.18%

883.70

5.57

1,019.20

5.97

Diversified Value Fund

            

Class I

$1,000

0.59%

$839.40

$2.72

$1,022.10

$2.99

Class R5

1,000

0.69%

839.10

3.18

1,021.60

3.50

Service Class

1,000

0.79%

838.50

3.64

1,021.10

4.00

Administrative Class

1,000

0.89%

837.70

4.10

1,020.60

4.51

Class R4

1,000

1.04%

837.40

4.79

1,019.90

5.27

Class A

1,000

1.14%

837.30

5.25

1,019.40

5.77

Class R3

1,000

1.29%

836.30

5.94

1,018.60

6.53

Fundamental Value Fund

            

Class I

1,000

0.66%

844.70

3.05

1,021.80

3.35

Class R5

1,000

0.76%

845.10

3.52

1,021.30

3.85

Service Class

1,000

0.86%

845.00

3.98

1,020.80

4.36

Administrative Class

1,000

0.96%

843.90

4.44

1,020.30

4.86

Class R4

1,000

1.11%

843.20

5.13

1,019.50

5.62

Class A

1,000

1.21%

843.10

5.59

1,019.00

6.12

Class R3

1,000

1.37%

842.40

6.33

1,018.20

6.93

S&P 500 Index Fund

            

Class I

1,000

0.13%

797.30

0.59

1,024.40

0.66

Class R5

1,000

0.23%

796.40

1.04

1,023.90

1.17

Service Class

1,000

0.38%

796.00

1.71

1,023.20

1.93

Administrative Class

1,000

0.48%

795.80

2.16

1,022.70

2.43

Class R4

1,000

0.63%

795.10

2.84

1,021.90

3.19

Class A

1,000

0.73%

794.90

3.28

1,021.40

3.70

Class R3

1,000

0.88%

794.10

3.96

1,020.70

4.46

Equity Opportunities Fund

            

Class I

1,000

0.74%

851.70

3.44

1,021.40

3.75

Class R5

1,000

0.84%

851.10

3.90

1,020.90

4.26

Service Class

1,000

0.94%

850.50

4.36

1,020.40

4.76

Administrative Class

1,000

1.04%

850.00

4.82

1,019.90

5.27

Class R4

1,000

1.19%

849.60

5.52

1,019.10

6.02

Class A

1,000

1.29%

848.80

5.98

1,018.60

6.53

Class R3

1,000

1.44%

847.90

6.67

1,017.80

7.28

Fundamental Growth Fund

            

Class I

1,000

1.25%

750.60

5.49

1,018.80

6.33

Class R5

1,000

1.41%

750.00

6.19

1,018.00

7.13

Service Class

1,000

1.52%

748.00

6.66

1,017.40

7.69

Administrative Class

1,000

1.61%

747.70

7.05

1,017.00

8.14

Class R4

1,000

1.77%

748.00

7.76

1,016.20

8.95

Class A

1,000

1.86%

748.10

8.15

1,015.70

9.40

Class R3

1,000

2.02%

745.70

8.84

1,014.90

10.20

 

294

 

 

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%

724.10

2.81

1,021.80

3.29

Class R5

1,000

0.75%

723.70

3.24

1,021.30

3.80

Service Class

1,000

0.85%

723.20

3.67

1,020.80

4.31

Administrative Class

1,000

0.95%

723.20

4.10

1,020.30

4.81

Class R4

1,000

1.09%

722.70

4.71

1,019.60

5.52

Class A

1,000

1.20%

722.10

5.18

1,019.10

6.07

Class R3

1,000

1.35%

721.80

5.83

1,018.30

6.83

Growth Opportunities Fund

            

Class I

$1,000

0.78%

$662.80

$3.25

$1,021.20

$3.95

Class R5

1,000

0.88%

663.70

3.67

1,020.70

4.46

Service Class

1,000

0.98%

662.30

4.08

1,020.20

4.96

Administrative Class

1,000

1.09%

662.30

4.54

1,019.60

5.52

Class R4

1,000

1.23%

663.40

5.13

1,018.90

6.23

Class A

1,000

1.33%

662.40

5.54

1,018.40

6.73

Class R3

1,000

1.47%

660.20

6.12

1,017.70

7.44

Mid Cap Value Fund

            

Class I

1,000

0.61%

835.40

2.81

1,022.00

3.09

Class R5

1,000

0.71%

835.40

3.27

1,021.50

3.60

Service Class

1,000

0.81%

834.60

3.73

1,021.00

4.10

Administrative Class

1,000

0.91%

834.50

4.18

1,020.50

4.61

Class R4

1,000

1.06%

833.70

4.87

1,019.80

5.37

Class A

1,000

1.16%

833.30

5.33

1,019.30

5.87

Class R3

1,000

1.31%

833.30

6.02

1,018.50

6.63

Small Cap Value Equity Fund

            

Class I

1,000

1.20%

821.40

5.48

1,019.10

6.07

Class R5

1,000

1.29%

821.50

5.89

1,018.60

6.53

Service Class

1,000

1.40%

820.70

6.39

1,018.00

7.08

Administrative Class

1,000

1.50%

820.80

6.85

1,017.50

7.59

Class R4

1,000

1.65%

819.30

7.53

1,016.80

8.34

Class A

1,000

1.75%

818.80

7.98

1,016.30

8.85

Class R3

1,000

1.90%

818.10

8.66

1,015.50

9.60

Small Company Value Fund

            

Class I

1,000

0.86%

805.50

3.89

1,020.80

4.36

Class R5

1,000

0.96%

804.50

4.34

1,020.30

4.86

Service Class

1,000

1.06%

804.00

4.79

1,019.80

5.37

Administrative Class

1,000

1.16%

803.90

5.25

1,019.30

5.87

Class R4

1,000

1.31%

803.40

5.92

1,018.50

6.63

Class A

1,000

1.41%

802.00

6.37

1,018.00

7.13

Class R3

1,000

1.56%

802.00

7.05

1,017.20

7.89

Mid Cap Growth Fund

            

Class I

1,000

0.67%

795.10

3.02

1,021.70

3.40

Class R5

1,000

0.77%

794.90

3.46

1,021.20

3.90

Service Class

1,000

0.87%

794.20

3.91

1,020.70

4.41

Administrative Class

1,000

0.97%

793.70

4.36

1,020.20

4.91

Class R4

1,000

1.12%

793.60

5.04

1,019.50

5.67

Class A

1,000

1.22%

793.30

5.48

1,019.00

6.17

Class R3

1,000

1.37%

792.00

6.15

1,018.20

6.93

 

295

 

 

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*

Small Cap Growth Equity Fund

            

Class I

1,000

0.88%

799.50

3.97

1,020.70

4.46

Class R5

1,000

0.98%

798.90

4.42

1,020.20

4.96

Service Class

1,000

1.07%

798.00

4.82

1,019.70

5.42

Administrative Class

1,000

1.18%

798.60

5.32

1,019.20

5.97

Class R4

1,000

1.33%

798.00

5.99

1,018.40

6.73

Class A

1,000

1.43%

796.60

6.44

1,017.90

7.23

Class R3

1,000

1.58%

797.50

7.12

1,017.10

7.99

Overseas Fund

            

Class I

$1,000

0.79%

$782.40

$3.53

$1,021.10

$4.00

Class R5

1,000

0.89%

782.30

3.98

1,020.60

4.51

Service Class

1,000

0.99%

781.90

4.42

1,020.10

5.01

Administrative Class

1,000

1.08%

781.00

4.82

1,019.70

5.47

Class R4

1,000

1.24%

780.90

5.54

1,018.90

6.28

Class A

1,000

1.34%

780.10

5.98

1,018.40

6.78

Class R3

1,000

1.48%

779.10

6.60

1,017.60

7.49

MM Select T. Rowe Price International Equity Fund

            

Class I

1,000

0.00%

794.50

0.00

1,025.10

0.00

 

*

Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2022, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 365 days in the year, unless stated otherwise.

 

 

 

296

 

 

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Underwriter:
MML Distributors, LLC
1295 State Street
Springfield, Massachusetts 01111-0001

 

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com. Investment Adviser: MML Investment Advisers, LLC

MM202311-303387

 

 

 

 

 

 

 

 

 

Table of Contents

  

President’s Letter to Shareholders (Unaudited)

1

Economic and Market Overview (Unaudited)

3

Portfolio Manager Report (Unaudited)

6

Portfolio of Investments

  

MassMutual 20/80 Allocation Fund

47

MassMutual 40/60 Allocation Fund

48

MassMutual 60/40 Allocation Fund

49

MassMutual 80/20 Allocation Fund

50

MassMutual RetireSMARTSM by JPMorgan In Retirement Fund

51

MassMutual RetireSMARTSM by JPMorgan 2020 Fund

52

MassMutual RetireSMARTSM by JPMorgan 2025 Fund

53

MassMutual RetireSMARTSM by JPMorgan 2030 Fund

54

MassMutual RetireSMARTSM by JPMorgan 2035 Fund

55

MassMutual RetireSMARTSM by JPMorgan 2040 Fund

56

MassMutual RetireSMARTSM by JPMorgan 2045 Fund

57

MassMutual RetireSMARTSM by JPMorgan 2050 Fund

58

MassMutual RetireSMARTSM by JPMorgan 2055 Fund

59

MassMutual RetireSMARTSM by JPMorgan 2060 Fund

60

MassMutual Select T. Rowe Price Retirement Balanced Fund

61

MassMutual Select T. Rowe Price Retirement 2005 Fund

62

MassMutual Select T. Rowe Price Retirement 2010 Fund

63

MassMutual Select T. Rowe Price Retirement 2015 Fund

64

MassMutual Select T. Rowe Price Retirement 2020 Fund

65

MassMutual Select T. Rowe Price Retirement 2025 Fund

66

MassMutual Select T. Rowe Price Retirement 2030 Fund

67

MassMutual Select T. Rowe Price Retirement 2035 Fund

68

MassMutual Select T. Rowe Price Retirement 2040 Fund

69

MassMutual Select T. Rowe Price Retirement 2045 Fund

70

MassMutual Select T. Rowe Price Retirement 2050 Fund

71

MassMutual Select T. Rowe Price Retirement 2055 Fund

72

MassMutual Select T. Rowe Price Retirement 2060 Fund

73

Statements of Assets and Liabilities

74

Statements of Operations

90

Statements of Changes in Net Assets

98

Financial Highlights

116

Notes to Financial Statements

157

Report of Independent Registered Public Accounting Firm

207

Trustees and Principal Officers (Unaudited)

209

Federal Tax Information (Unaudited)

214

Other Information (Unaudited)

  

Proxy Voting

216

Quarterly Reporting

216

Trustees’ Approval of Investment Advisory Contracts

216

Submission of Matters to a Vote of Security Holders

219

Fund Expenses

220

 

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the applicable MassMutual 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.

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

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

 

To Our
Shareholders

 

Paul LaPiana

“At MassMutual, our goal is to help you build the future you want for yourself and your family. We want to help you with your retirement plans today, so you can feel more comfortable about tomorrow.”

 

September 30, 2022

 

Continued market volatility challenges retirement investors

I am pleased to present you with the MassMutual Funds Annual Report. During the fiscal year ended September 30, 2022, U.S. stocks were down over 15%, with investors concerned that stimulus-fueled recovery from the COVID-19 pandemic was over and that domestic monetary policy had turned toward combating heightened inflation. Stocks in foreign developed markets and emerging markets also experienced significant losses in the fiscal year, hurt by elevated energy prices, a strengthening U.S. dollar, and concerns that consumer spending and corporate earnings growth would slow. U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by aggressive interest rate hikes by the U.S. Federal Reserve Board that were aimed at reducing demand-driven inflationary pressures.

 

Suggestions for retirement investors under any market conditions

 

●

You are likely in it for the long term. Retirement planning involves what financial professionals refer to as “long-term investing,” since most people save and invest for retirement throughout their working years. Even in retirement, many individuals will systematically withdraw their retirement savings over a number of years, keeping a portion of their funds invested. Although the financial markets will go up and down, individuals who take a long-term approach to investing don’t focus on current headlines – because they realize that they have time to ride out the downturns.

 

●

Keep contributing. While you have no control over the investment markets, you can control how often and how much you contribute to your retirement account. Saving as much as possible and increasing your contributions regularly is one way retirement investors can help boost their retirement savings, regardless of the performance of the stock and bond markets.

 

●

Invest continually.1 Financial professionals often advise their clients to stay in the market, regardless of short-term results. Here’s why: Those who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions.

 

●

Monitor your asset allocation and diversify. Stocks, bonds, and short-term/money market investments are asset classes that tend to behave differently, depending upon the economic and market environment. These broad asset classes contain an even greater array of asset sub-categories (such as small-cap stocks, international stocks, and high-yield bonds). Most financial professionals agree that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing asset types by selecting a number of investments that represent a mix of asset classes and sub-categories.

 

Is this a good time to track your progress?

 

If you work with a financial professional, you may wish to consider checking in with him or her to help you determine if:

 

●

you are saving enough for retirement – and, if in retirement, you are withdrawing an appropriate amount each year, based on your personal circumstances;

 

1 Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels.

 

(Continued)

 

1

 

 

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

 

●

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

 

●

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

 

Get to where you want to be

 

At MassMutual, our goal is to help you build the future you want for yourself and your family. We want to help you with your retirement plans today, so you can feel more comfortable about tomorrow. That’s why we continue to encourage you to maintain perspective when it comes to retirement investing, regardless of any headline-making events. MassMutual’s view is that changing market conditions have the potential to reward patient investors. Thank you for your continued confidence and trust in MassMutual.

 

Sincerely,

 

 

Paul LaPiana
President
MassMutual Funds
MML Investment Advisers, LLC

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com.

 

MML Distributors, LLC (MMLD) serves as the exclusive wholesale marketing agent for all MassMutual Funds, as well as the distributor for all MassMutual Funds, except the MassMutual Global Floating Rate Fund, MassMutual Global Credit Income Opportunities Fund, MassMutual Emerging Markets Debt Blended Total Return Fund, MassMutual Global Emerging Markets Equity Fund, MassMutual High Yield Fund, and MassMutual Short-Duration Bond Fund. MMLD Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. Investment advisory services are provided to all MassMutual Funds by MML Investment Advisers, LLC (MML Advisers). MMLD and MML Advisers are subsidiaries of MassMutual.

 

The information provided is the opinion of MML Advisers 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.

 

MM202310-303203

 

2

 

 

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

 

September 30, 2022

 

Continued market volatility challenges retirement investors

During the fiscal year ended September 30, 2022, U.S. stocks were down over 15%, with investors concerned that stimulus-fueled recovery from the COVID-19 pandemic was over and that domestic monetary policy had turned toward combating heightened inflation. Stocks in foreign developed markets and emerging markets also experienced significant losses in the fiscal year, hurt by elevated energy prices, a strengthening U.S. dollar, and concerns that consumer spending and corporate earnings growth would slow. U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by aggressive interest rate hikes by the U.S. Federal Reserve Board (the “Fed”) that were aimed at reducing demand-driven inflationary pressures.

 

Market Highlights

●

For the reporting period from October 1, 2021 through September 30, 2022, U.S. stocks were down over 15%, in a market environment where the Fed aggressively raised interest rates in an effort to combat heightened inflation.

 

●

In the fourth quarter of 2021, expectations for strong economic and earnings growth in 2022, bolstered by the possibility of a $2 trillion economic stimulus and social spending plan, allowed investors to look past sharp increases in COVID-19 Omicron variant cases and heightened inflationary pressures.

 

●

In the first quarter of 2022, investors in both stocks and bonds were challenged by a sharp rise in energy prices after Russia’s invasion of Ukraine, a stalled domestic economic stimulus plan, and the Fed raising interest rates for the first time since 2018.

 

●

The second quarter of 2022 was another difficult quarter, as Fed interest rate hikes, investor concerns over high inflation, and concern about the potential of an impending global recession dominated the narrative.

 

●

The third quarter of 2022 was an extension of the difficult second quarter, with continued inflationary pressures, weakening economic data, and aggressive Fed interest rate hikes.

 

●

Foreign stocks in developed markets and emerging markets also experienced losses in the fiscal year, against the backdrop of Russia’s invasion of Ukraine (and the resulting economic sanctions that kept energy prices elevated), the strengthening U.S. dollar, and threatened consumer spending and corporate earnings growth.

 

●

U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by an increase in short-term interest rates, heighted inflationary pressures, and the reversal of monetary and fiscal policy support.

 

Market Environment

For the fiscal year beginning on October 1, 2021, global stock investors experienced significant losses. U.S. stocks fell sharply in the period in response, with the S&P 500 Index® (“S&P 500”)1 entering bear market territory after declining more than 20% from its previous highs. Investors sought safety from high inflation, rising interest rates, and the increasing possibility of a recession. Consumer sentiment fell sharply, down 17.2% in the period2, as high inflation – driven by rising energy, food, and housing costs – overwhelmed low unemployment and strong wage growth. As of August 2022, more Americans are borrowing to make ends meet in these inflationary times, resulting in consumer loan levels at record highs, having increased by 12.4% year-over-year3.

 

1 The S&P 500 Index measures the performance of 500 widely held stocks in the U.S. equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity, and industry group representation. Included are the stocks of industrial, financial, utility, and transportation companies. Since mid-1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

2 June 24, 2022, University of Michigan: Consumer Sentiment (UMCSENT), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/UMCSENT

 

3 Board of Governors of the Federal Reserve System (US), Consumer Loans, All Commercial Banks [CONSUMER], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/CONSUMER, October 11, 2022.

 

3

 

 

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

 

As a result, the broad market S&P 500 fell 15.47% for the period. The technology-heavy NASDAQ Composite Index4 performed even worse, dropping 26.25%. The more economically sensitive Dow Jones Industrial AverageSM5 was down 13.40%. During the reporting period, small-cap stocks underperformed their larger-cap peers, while value stocks outperformed their growth brethren. The communication services, consumer discretionary, and information technology sectors were all down by 20% or more. The energy sector was the strongest performer for the fiscal year, up 45.70%, aided by an 18% increase in the price of West Texas Intermediate (WTI) crude oil. The utilities sector also ended the period positively, gaining 5.58% for the period.

 

Developed international markets, as measured by the MSCI EAFE® Index6, trailed their domestic peers, ending the fiscal year down 25.13%. Emerging-market stocks, as measured by the MSCI Emerging Markets Index7, also fell sharply, ending down 28.11% for the period. Investors sold off developed international and emerging-market stocks on concerns that higher interest rates and commodity prices would impair consumer spending and corporate earnings growth.

 

Bond yields rose sharply during the fiscal year, with the 10-year U.S. Treasury bond yield rising from a low of 1.52% on October 1, 2021 to close the period at 3.83%. Rising yields generally produce falling bond prices; consequently, bond index returns suffered. The Bloomberg U.S. Aggregate Bond Index8 ended the period down 14.60%. Investment-grade corporate bonds fared even worse. The Bloomberg U.S. Corporate Bond Index9, which tracks investment-grade corporate bonds, ended the period with an 18.53% loss. The Bloomberg U.S. Corporate High-Yield Bond Index10 also ended in negative territory, declining 14.14% for the period.

 

4 The NASDAQ Composite Index measures the performance of all domestic and international based common type stocks listed on the NASDAQ Stock Market. It includes common stocks, ordinary shares, ADRs, shares of beneficial interest or limited partnership interests and tracking stocks. The index is market capitalization-weighted. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

5 The Dow Jones Industrial Average Index measures the performance of stocks of 30 U.S. blue-chip companies covering all industries with the exception of transportation and utilities. It is price-weighted. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

6 The MSCI EAFE Index 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. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

7 The MSCI Emerging Markets Index measures the performance of the large- and mid-cap segments of emerging market equity securities. It is free float-adjusted market-capitalization weighted. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

8 The Bloomberg U.S. Aggregate Bond Index measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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). It rolls up into other Bloomberg flagship indexes, such as the multi-currency Global Aggregate Index and the U.S. Universal Index, which includes high yield and emerging markets debt. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

9 The Bloomberg U.S. Corporate Bond Index measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

10 The Bloomberg U.S. Corporate High-Yield Bond Index measures the performance of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, putable, and callable bonds, SEC Rule 144A securities, original issue zeros, pay-in-kind bonds, fixed-rate and fixed-to-floating capital securities. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

4

 

 

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

 

Review and maintain your strategy

MassMutual is committed to helping people secure their long-term future and protect the ones they love. While the current market volatility, including the reality of market sell-offs, can test an investor’s mettle, we’d like to remind you that, as a retirement investor, it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. As described in this report, financial markets can reverse suddenly with little or no notice. That’s why we continue to believe that retirement investors should create and maintain a plan that focuses on their goals, how long they have to invest, and how comfortable they are with market volatility. Our multi-managed and sub-advised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to market volatility, how long you have to save and invest, and your specific financial goals. Thank you for your confidence in MassMutual.

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com.

 

MML Distributors, LLC (MMLD) serves as the exclusive wholesale marketing agent for all MassMutual Funds, as well as the distributor for all MassMutual Funds, except the MassMutual Global Floating Rate Fund, MassMutual Global Credit Income Opportunities Fund, MassMutual Emerging Markets Debt Blended Total Return Fund, MassMutual Global Emerging Markets Equity Fund, MassMutual High Yield Fund, and MassMutual Short-Duration Bond Fund. MMLD Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. Investment advisory services are provided to all MassMutual Funds by MML Investment Advisers, LLC (MML Advisers). MMLD and MML Advisers are subsidiaries of MassMutual.

 

The information provided is the opinion of MML Advisers 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.

 

5

 

 

MassMutual Target Allocation Funds – Portfolio Manager Report (Unaudited)

 

What are the investment approaches of the Funds that constitute the MassMutual Target Allocation Series, and who is the Series’ investment adviser?

The MassMutual (“MM”) Target Allocation Series (the “Series”) comprises four Funds – each of which has a “fund of funds” structure. The four Funds are MM 20/80 Allocation Fund, MM 40/60 Allocation Fund, MM 60/40 Allocation Fund, and MM 80/20 Allocation 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 Funds (advised by MML Investment Advisers, LLC (MML Advisers), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (MassMutual)), and may also include 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 20/80 Allocation Fund: The Fund typically invests approximately 20% of its assets in equity and similar funds and approximately 80% in fixed income funds, including money market funds.

 

●

MM 40/60 Allocation Fund: The Fund typically invests approximately 40% of its assets in equity and similar funds and approximately 60% in fixed income funds, including money market funds.

 

●

MM 60/40 Allocation Fund: The Fund typically invests approximately 60% of its assets in equity and similar funds and approximately 40% in fixed income funds, including money market funds.

 

●

MM 80/20 Allocation Fund: The Fund typically invests approximately 80% of its assets in equity and similar funds and approximately 20% in fixed income funds, including money market funds.

 

How did each Fund perform during the 12 months ended September 30, 2022?

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 U.S. Aggregate Bond Index, which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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 U.S.
Aggregate Bond
Index Return

S&P 500
Index Return

MM 20/80 Allocation Fund

-15.64%

-15.90 %

-14.60%*

-15.47%

MM 40/60 Allocation Fund

-16.37%

-15.90 %

-14.60%

-15.47%*

MM 60/40 Allocation Fund

-16.53%

-15.90 %

-14.60%

-15.47%*

MM 80/20 Allocation Fund

-17.91%

-15.90 %

-14.60%

-15.47%*

 

*

Benchmark return

 

For the year ended September 30, 2022, all of the MM Target Allocation Series Funds underperformed the Bloomberg U.S. Aggregate Bond Index. The MM 20/80 Allocation Fund outperformed the Lipper Balanced Fund Index, whereas the other three Funds underperformed. Finally, all of the Funds underperformed the S&P 500 Index.

 

For a discussion on the economic and market environment during the 12-month period ended September 30, 2022, please see the Economic and Market Overview, beginning on page 3.

 

6

 

 

MassMutual Target Allocation Funds – Portfolio Manager Report (Unaudited) (Continued)

 

Investment adviser discussion of factors that contributed to the Funds’ performance

For the fiscal year ending September 30, 2022, global stock investors experienced significant losses. U.S. equities fell sharply in response, with the S&P 500 Index entering bear market territory after declining more than 20% from its previous highs. U.S. fixed income was also down sharply, as monetary tightening by the U.S. Federal Reserve to fight inflation drove interest rates significantly higher, increasing the possibility of a recession. As a result, the Series’ allocation to equities versus fixed income was only a small performance driver. Allocations within markets made more of a difference to the Series’ performance, as U.S. equities outperformed international developed- and emerging-market equities by a wide margin, and U.S. large-cap equities outperformed U.S. small-cap stocks. U.S. value equities outperformed their U.S. growth counterparts, and shorter-duration bonds outperformed their longer-duration counterparts. Duration is a measure of a fixed income investment’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.

 

Throughout the fiscal year, the Funds maintained a neutral position relative to overall risk, which had little impact on performance. The Funds’ positions in international bonds and U.S. small- and mid-cap equities detracted from performance, while their positions in commodities and shorter-duration bonds contributed. An underweight position in international developed- and emerging-market equities contributed to performance. Those Series Funds with higher equity allocations – the MM 80/20 Allocation, MM 60/40 Allocation, and MM 40/60 Allocation Funds – underperformed their counterpart with a higher fixed income allocation, the MM 20/80 Allocation Fund.

 

Manager selection of Underlying Funds contributed to overall performance in the 12-month period ending September 30, 2022. Strong performance by the MassMutual Equity Opportunities, MassMutual Fundamental Value, MassMutual Diversified Value, and MassMutual International Equity Funds was a significant driver of outperformance. Weak performance by the MassMutual Blue Chip Growth, MassMutual Strategic Emerging Markets, MassMutual Strategic Bond, and MassMutual Core Bonds Funds detracted from performance. There were no changes to the Underlying Funds during the year.

 

Investment adviser outlook

Despite the stock market sell-off in 2022, MML Advisers views the stock markets as extended and valuations high relative to market history. While, in MML Advisers’ observation, the prospect of positive economic and corporate earnings growth supports a bull case, MML Advisers believes that more clarity on the persistency of inflation, labor costs, China’s COVID-19 policy, and the impact of monetary policy tightening is needed for the allocation to stocks to increase. Against this backdrop, MML Advisers believes that diversification across global assets could be a sensible approach for what Fund management believes could be a bumpy ride. Looking ahead to 2023, Fund management expects to closely monitor how trends unfold as they manage the positioning of each Fund within the Series.

 

7

 

 

MassMutual Target Allocation Funds – Portfolio Manager Report (Unaudited) (Continued)

 

MassMutual 20/80
Allocation Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Fixed Income Funds

79.9%

Equity Funds

20.1%

Total Long-Term Investments

100.0%

Other Assets & Liabilities

(0.0)%

Net Assets

100.0%
   

 

MassMutual 40/60
Allocation Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Fixed Income Funds

60.8%

Equity Funds

39.3%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

MassMutual 60/40
Allocation Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

60.4%

Fixed Income Funds

39.7%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

MassMutual 80/20
Allocation Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

75.8%

Fixed Income Funds

24.3%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

8

 

 

MassMutual RetireSMARTSM by JPMorgan (target-date) Funds – Portfolio Manager Report (Unaudited)

 

What are the investment approaches of the Funds that constitute the MassMutual RetireSMARTSM 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 who plan to retire around the year specified in the Fund’s name (the target retirement year) and then withdraw their investment in the Fund over time throughout retirement (or designed for investors who are retired or expect to retire soon for the MM RetireSMART by JPMorgan In Retirement Fund). Each Fund is advised by MML Investment Advisers, LLC (MML Advisers) and subadvised by J.P. Morgan Investment Management Inc. (J.P. Morgan). J.P. Morgan has responsibility for determining each Fund’s strategic asset allocation (its “glide path” for each Fund with a target retirement year in its name) and tactical asset allocation (adjusting the Fund’s specific exposures in response to changes in market conditions). MML Advisers has overall responsibility for each Fund and for implementing those allocations through the selection of, and allocations to, Underlying Funds.

 

Each Fund with a specified target retirement year in its name seeks to help investors save for retirement and then, after reaching the target retirement year, withdraw a portion of their investment in the Fund each year until 35 years after the target retirement year, the target maturity year. Each Fund assumes a person will be at or around age 65 at the target retirement year.

 

Underlying Funds will include a combination of MassMutual Funds advised by MML Advisers and J.P. Morgan Funds advised by J.P. Morgan or its affiliates, and may also include other, non-affiliated mutual funds. 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 Funds will typically invest 80% or more of their assets in mutual funds advised by MML Advisers, J.P. Morgan, or affiliates of J.P. Morgan, including typically a 15% to 35% allocation to mutual funds advised or subadvised by J.P. Morgan or its affiliates. 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’s assets are allocated to the Underlying Funds according to an asset allocation strategy, as follows:

 

●

MM RetireSMART by JPMorgan In Retirement Fund: The Fund’s 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.

 

●

MM RetireSMART by JPMorgan 2020/2025/2030/2035/2040/2045/2050/2055/2060 Funds: Each Fund’s asset allocation strategy is designed with two main goals in mind: promoting asset accumulation prior to retirement, during the Fund’s “Savings Phase,” and supporting investors withdrawing their investments in the Fund throughout retirement, during the Fund’s “Spending Phase.” As a result, the Fund’s asset allocation strategy will change over time, generally becoming more conservative as it approaches the target retirement year and then remaining relatively stable afterwards. The asset allocation strategy during the Savings Phase will generally start with a greater emphasis on equity investments and gradually shift to more emphasis on fixed income investments. During the Spending Phase, a Fund will generally have a greater emphasis on fixed income investments.

 

9

 

 

MassMutual RetireSMARTSM by JPMorgan (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

 

How did each Fund perform during the 12 months ended September 30, 2022?

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, 2022, each of the Funds underperformed 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

-16.26%

-13.31%

MM RetireSMART by JPMorgan 2020 Fund

-16.29%

-14.75%

MM RetireSMART by JPMorgan 2025 Fund

-17.48%

-15.16%

MM RetireSMART by JPMorgan 2030 Fund

-18.23%

-16.23%

MM RetireSMART by JPMorgan 2035 Fund

-19.06%

-17.42%

MM RetireSMART by JPMorgan 2040 Fund

-19.49%

-18.21%

MM RetireSMART by JPMorgan 2045 Fund

-19.74%

-18.70%

MM RetireSMART by JPMorgan 2050 Fund

-19.78%

-18.88%

MM RetireSMART by JPMorgan 2055 Fund

-19.85%

-18.94%

 

 

Fund’s Class I
Shares Return

S&P Target Date
Index* Return

MM RetireSMART by JPMorgan 2060 Fund

-19.60%

-18.99%

 

*

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 13 multi-asset class indexes: the S&P Target Date Retirement Income Index and 12 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

Discussion of factors that contributed to the Funds’ performance

At the end of 2021, the Funds held a pro-risk tilt, with an overweight allocation to stocks. Within equities, Fund management preferred U.S. large-cap and developed international stocks. In MML Advisers’ view, this position was supported at the time by a broad market anticipation for strong growth across regions, driven by earnings expectations and reasonable valuations, concurrent with the pandemic’s fading impact on the global economy. Inflation levels were elevated at that time, but considered to be transitory by the U.S. Federal Reserve Board (the “Fed”) and the market.

 

Entering 2022, Fund management’s positive macro-outlook shifted, as concerns over the Russian invasion of Ukraine increased and the Fed signaled interest rate hikes to combat inflation, which was no longer viewed as temporary. Tensions in Europe pushed energy and commodity prices to historically high levels, exacerbating inflation and dampening global growth. Throughout the first quarter, the Funds eliminated their overweight allocation to international equity, initiated an underweight allocation to emerging-markets equity, and maintained their slight overweight allocation to U.S. large-cap equities. As expected, the Fed raised the federal funds rate – the Fed’s overnight bank lending rate – by 0.25%. At quarter-end, the S&P 500® Index (the “S&P 500”) was down 4.6% and the Bloomberg U.S. Aggregate Bond Index had fallen 5.9%.

 

10

 

 

MassMutual RetireSMARTSM by JPMorgan (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

 

The second quarter of 2022 remained challenging for markets. Inflation continued to dominate headlines as the escalation of war in Europe contributed to a further squeeze in food and energy prices. China’s zero-tolerance policy toward COVID-19 resulted in rolling lockdowns, which disrupted their domestic economic activity, with spill-over effects on the global economy. In the U.S., the Fed increased the federal funds rate in June by 0.75% – the largest single move since 1994 – in an effort to control inflation. During the second quarter, the S&P 500 fell 15.4% and the Bloomberg U.S. Aggregate Bond Index was down 5.4%. By quarter-end, the Funds had added underweight positions to all risk assets, including U.S. large-cap, real estate investment trusts (REITs), U.S. high-yield, and emerging-markets debt.

 

Through the third quarter of 2022, Fed policy, slowing global growth, and elevated geopolitical risk led markets to post broad negative returns. A strong U.S. dollar, coupled with slowing global growth, weighed on emerging markets over the quarter. Inflation and a tight labor market continued to dominate headlines, as both remained resilient, despite global central bank efforts to tighten financial conditions. On the international front, Europe’s reliance on outside energy production came into acute focus, given Russia’s indefinite halt of natural gas supply, which continued to raise the odds of a recession in Europe. The Funds continued to hold a diversified underweight allocation across risk assets throughout the third quarter.

 

The strategic asset allocation (glide path) detracted over the past year. Relative to the S&P Target Date Indexes, having more total stocks versus bonds, particularly in the vintages further from retirement, detracted from performance. Within stocks, holding a lower allocation to U.S. mid-cap equities detracted from performance. Diversification in fixed income, relative to the S&P Target Date Indexes, contributed to performance, as U.S. core fixed income underperformed U.S. high-yield.

 

Active asset allocation over the one-year period added value, primarily driven by the Funds’ diversified underweight allocations across risk assets. As market volatility continued, the Funds were positioned to protect participant capital. Specifically, underweight allocations to emerging-markets equity and U.S. REITs were particularly additive, as both asset classes declined by more than 10%.

 

Outlook

As we head into 2023, Fund management expects sub-trend global growth to continue, with recession in Europe and the U.K. seeming highly probable. In Fund management’s view, the U.S. may narrowly avoid recession; however, Fund management expects continued volatility across capital markets as goods, inventories, and earnings decrease. Fund management also expects continued tightening in monetary policy, in spite of slower global growth, as inflation endures across regions. Fund management’s opinion is that geopolitical risk continues to be elevated, with no signs of abatement in the near term, and they expect meaningful downgrades to earnings globally.

 

11

 

 

MassMutual RetireSMARTSM by JPMorgan (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

 

MassMutual RetireSMART
by JPMorgan In Retirement Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Fixed Income Funds

65.6%

Equity Funds

34.6%

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 9/30/22

Fixed Income Funds

65.5%

Equity Funds

34.6%

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 9/30/22

Fixed Income Funds

54.1%

Equity Funds

46.0%

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 9/30/22

Equity Funds

59.0%

Fixed Income Funds

41.1%

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 9/30/22

Equity Funds

71.2%

Fixed Income Funds

28.9%

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 9/30/22

Equity Funds

81.1%

Fixed Income Funds

19.0%

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 9/30/22

Equity Funds

88.6%

Fixed Income Funds

11.5%

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 9/30/22

Equity Funds

90.0%

Fixed Income Funds

10.1%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

12

 

 

MassMutual RetireSMARTSM by JPMorgan (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

 

MassMutual RetireSMART
by JPMorgan 2055 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

90.0%

Fixed Income Funds

10.1%

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 9/30/22

Equity Funds

90.2%

Fixed Income Funds

10.1%

Total Long-Term Investments

100.3%

Other Assets & Liabilities

(0.3)%

Net Assets

100.0%
   

 

13

 

 

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 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, 2022?

The Fund’s Class I shares returned -14.93%, underperforming the -13.31% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the fiscal year ended September 30, 2022, the Fund’s total allocation to equities, bonds, and cash detracted from performance. The Fund held less fixed income exposure relative to the benchmark and underperformed in a market environment where equities underperformed bonds and both asset classes lagged cash.

 

Conversely, the Fund’s structural composition contributed to performance, due in part to a larger allocation to domestic equities relative to the benchmark. The Fund’s dedicated allocation to real assets equities and diversified international developed equities also was beneficial.

 

Security selection within the underlying allocation to U.S. large-cap growth stocks weighed on the Fund’s relative performance. Conversely, the allocation to U.S. mid-cap growth and value stocks added value.

 

Subadviser outlook

T. Rowe Price observes that, as of the end of the fiscal year, valuations have improved as risk assets have pulled back from their recent highs, but uncertainty around corporate fundamentals suggests limited near-term upside, particularly as earnings estimates have not seen significant downward revision to reflect rising recession risks. Fund management continues to assess when to add to equities and other risk assets as they evaluate long-term valuations and possible early indications of stabilization or improvement in macroeconomic conditions. Given the range of potential paths for growth and inflation, Fund management expects their positioning to remain cautious, as they expect that a firm commitment from major central banks to bring down inflation could result in a low ceiling for stocks in the near term, and possibly exacerbate economic contraction through overtightening. In T. Rowe Price’s opinion, other key risks to global markets include the Russia-Ukraine conflict and the associated impact of energy supply shortages, which could weigh on European manufacturing, broader geopolitical instability, and unexpected supply chain disruptions. In T. Rowe Price’s view, these conditions could contribute to a less compelling risk/reward trade-off between stocks and bonds or cash in the near term, and they believe that a more modest allocation to equities may be prudent.

 

14

 

 

MassMutual Select T. Rowe Price Retirement Balanced Fund – Portfolio Manager Report (Unaudited) (Continued)

 

MassMutual Select
T. Rowe Price Retirement Balanced Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Fixed Income Funds

62.8%

Equity Funds

37.2%

Total Long-Term Investments

100.0%

Other Assets & Liabilities

(0.0)%

Net Assets

100.0%
   

 

15

 

 

MassMutual Select T. Rowe Price Retirement (target-date) Funds – Portfolio Manager Report (Unaudited)

 

What are the investment approaches of the Funds that constitute the MassMutual Select T. Rowe Price Retirement (target date) Series, and who is the Series’ subadviser?

The MassMutual (“MM”) Select 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 pursues its investment objective by investing in a diversified portfolio of other stock and bond series of both the MassMutual Funds and T. Rowe Price Funds that represent various asset classes and sectors (“Underlying Funds”). Each Fund’s allocation among Underlying Funds will change over time in relation to its target retirement date. Each Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price). The 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 or would plan to retire and likely stopped or would stop making new investments in the Fund. Each Fund is primarily designed for an investor who retired or anticipates retiring at or about the target date and who plans to withdraw the value of the account in the Fund gradually after retirement.

 

Each Fund’s assets are allocated to the Underlying Funds according to an asset allocation strategy that becomes increasingly conservative over time, 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 and bonds will remain unchanged.

 

During the second quarter of 2020, each Fund began to shift its asset allocation strategy so that the overall allocation to stocks at 30 years past retirement will increase from 20% to 30%. The transition may take up to two years from the start of the transition to fully implement.

 

How did each Fund perform during the 12 months ended September 30, 2022?

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

-15.62%

-13.31%

MM Select T. Rowe Price Retirement 2010 Fund

-16.02%

-13.60%

MM Select T. Rowe Price Retirement 2015 Fund

-16.38%

-13.95%

MM Select T. Rowe Price Retirement 2020 Fund

-16.84%

-14.75%

MM Select T. Rowe Price Retirement 2025 Fund

-17.83%

-15.16%

MM Select T. Rowe Price Retirement 2030 Fund

-19.32%

-16.23%

MM Select T. Rowe Price Retirement 2035 Fund

-20.63%

-17.42%

MM Select T. Rowe Price Retirement 2040 Fund

-21.66%

-18.21%

MM Select T. Rowe Price Retirement 2045 Fund

-21.99%

-18.70%

MM Select T. Rowe Price Retirement 2050 Fund

-22.18%

-18.88%

MM Select T. Rowe Price Retirement 2055 Fund

-22.22%

-18.94%

MM Select T. Rowe Price Retirement 2060 Fund

-22.19%

-18.99%

 

*

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.

 

16

 

 

MassMutual Select T. Rowe Price Retirement (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

 

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.

 

For the year ended September 30, 2022, each of the MM Select T. Rowe Price Retirement (target-date) Funds underperformed 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 13 multi-asset class indexes: the S&P Target Date Retirement Income Index and 12 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

Subadviser discussion of factors that contributed to the Funds’ performance

For the fiscal year ended September 30, 2022, the Funds’ total allocation to equities, bonds, and cash detracted from performance across the Series. The Funds held less fixed income exposure relative to the S&P Target Date Indexes – and underperformed in a market environment where equities underperformed bonds and both asset classes lagged cash. This impact was most pronounced in vintages in or near retirement, where the S&P Target Date Indexes typically had more than double the cash allocation exposure.

 

Conversely, the Funds’ structural composition contributed to performance, due in part to a larger allocation to domestic equities relative to the benchmarks. The Funds’ dedicated allocation to real assets equities and diversified international developed equities also was beneficial.

 

Security selection within the underlying allocation to U.S. large-cap growth stocks weighed on the Funds’ relative performance. Conversely, the allocations to U.S. mid-cap growth and value stocks added value.

 

Subadviser outlook

T. Rowe Price observes that, as of the end of the fiscal year, valuations have improved as risk assets have pulled back from their recent highs, but uncertainty around corporate fundamentals suggests limited near-term upside, particularly as earnings estimates have not seen significant downward revision to reflect rising recession risks. Fund management continues to assess when to add to equities and other risk assets as they evaluate long-term valuations and possible early indications of stabilization or improvement in macroeconomic conditions. Given the range of potential paths for growth and inflation, Fund management expects their positioning to remain cautious, as they expect that a firm commitment from major central banks to bring down inflation could result in a low ceiling for stocks in the near term, and possibly exacerbate economic contraction through overtightening. In T. Rowe Price’s opinion, other key risks to global markets include the Russia-Ukraine conflict and the associated impact of energy supply shortages, which could weigh on European manufacturing, broader geopolitical instability, and unexpected supply chain disruptions. In T. Rowe Price’s view, these conditions could contribute to a less compelling risk/reward trade-off between stocks and bonds or cash in the near term, and they believe that a more modest allocation to equities may be prudent.

 

17

 

 

MassMutual Select T. Rowe Price Retirement (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

 

MassMutual Select
T. Rowe Price Retirement 2005 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Fixed Income Funds

59.6%

Equity Funds

40.4%

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 9/30/22

Fixed Income Funds

56.1%

Equity Funds

43.9%

Total Long-Term Investments

100.0%

Other Assets & Liabilities

(0.0)%

Net Assets

100.0%
   

 

MassMutual Select
T. Rowe Price Retirement 2015 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Fixed Income Funds

53.1%

Equity Funds

46.9%

Total Long-Term Investments

100.0%

Other Assets & Liabilities

(0.0)%

Net Assets

100.0%
   

 

MassMutual Select
T. Rowe Price Retirement 2020 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

50.5%

Fixed Income Funds

49.5%

Total Long-Term Investments

100.0%

Other Assets & Liabilities

(0.0)%

Net Assets

100.0%
   

 

MassMutual Select
T. Rowe Price Retirement 2025 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

57.8%

Fixed Income Funds

42.2%

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 9/30/22

Equity Funds

69.1%

Fixed Income Funds

31.0%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

MassMutual Select
T. Rowe Price Retirement 2035 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

80.2%

Fixed Income Funds

19.9%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

MassMutual Select
T. Rowe Price Retirement 2040 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

89.4%

Fixed Income Funds

10.7%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

18

 

 

MassMutual Select T. Rowe Price Retirement (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

 

MassMutual Select
T. Rowe Price Retirement 2045 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

94.2%

Fixed Income Funds

5.9%

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 9/30/22

Equity Funds

95.7%

Fixed Income Funds

4.4%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

MassMutual Select
T. Rowe Price Retirement 2055 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

96.2%

Fixed Income Funds

3.9%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

MassMutual Select
T. Rowe Price Retirement 2060 Fund
Asset Allocation
(% of Net Assets) on 9/30/22

Equity Funds

96.2%

Fixed Income Funds

3.9%

Total Long-Term Investments

100.1%

Other Assets & Liabilities

(0.1)%

Net Assets

100.0%
   

 

19

 

 

MassMutual 20/80 Allocation Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - CLASS R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-15.46%

1.50%

  

2.40%

Class R5

06/20/2011

-15.64%

1.41%

2.86%

  

Service Class

06/20/2011

-15.66%

1.31%

2.77%

  

Administrative Class

06/20/2011

-15.72%

1.21%

2.67%

  

Class R4

04/01/2014

-15.92%

1.04%

  

1.94%

Class A

06/20/2011

-15.90%

0.97%

2.41%

  

Class A (sales load deducted)*

06/20/2011

-20.53%

-0.17%

1.83%

  

Class R3

04/01/2014

-16.05%

0.81%

  

1.69%

Bloomberg U.S. Aggregate Bond Index#

 

-14.60%

-0.27%

0.89%

1.05%

S&P 500 Index

 

-15.47%

9.24%

11.70%

10.12%

Lipper Balanced Fund Index

 

-15.90%

4.06%

6.12%

5.00%

 

* 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.

 

20

 

 

MassMutual 40/60 Allocation Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - CLASS R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-16.39%

2.96%

  

3.75%

Class R5

06/20/2011

-16.37%

2.87%

4.87%

  

Service Class

06/20/2011

-16.40%

2.77%

4.78%

  

Administrative Class

06/20/2011

-16.55%

2.67%

4.66%

  

Class R4

04/01/2014

-16.65%

2.53%

  

3.30%

Class A

06/20/2011

-16.82%

2.39%

4.40%

  

Class A (sales load deducted)*

06/20/2011

-21.39%

1.24%

3.81%

  

Class R3

04/01/2014

-17.01%

2.23%

  

3.04%

S&P 500 Index#

 

-15.47%

9.24%

11.70%

10.12%

Bloomberg U.S. Aggregate Bond Index

 

-14.60%

-0.27%

0.89%

1.05%

Lipper Balanced Fund Index

 

-15.90%

4.06%

6.12%

5.00%

 

* 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.

 

21

 

 

MassMutual 60/40 Allocation Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - CLASS R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-16.45%

4.30%

  

4.94%

Class R5

06/20/2011

-16.53%

4.19%

6.59%

  

Service Class

06/20/2011

-16.66%

4.08%

6.49%

  

Administrative Class

06/20/2011

-16.62%

3.99%

6.40%

  

Class R4

04/01/2014

-16.78%

3.84%

  

4.49%

Class A

06/20/2011

-16.84%

3.74%

6.13%

  

Class A (sales load deducted)*

06/20/2011

-21.41%

2.57%

5.53%

  

Class R3

04/01/2014

-17.00%

3.56%

  

4.22%

S&P 500 Index#

 

-15.47%

9.24%

11.70%

10.12%

Bloomberg U.S. Aggregate Bond Index

 

-14.60%

-0.27%

0.89%

1.05%

Lipper Balanced Fund Index

 

-15.90%

4.06%

6.12%

5.00%

 

* 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.

 

22

 

 

MassMutual 80/20 Allocation Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - CLASS R5

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-17.85%

4.79%

  

5.42%

Class R5

06/20/2011

-17.91%

4.70%

7.34%

  

Service Class

06/20/2011

-18.04%

4.58%

7.24%

  

Administrative Class

06/20/2011

-18.10%

4.47%

7.13%

  

Class R4

04/01/2014

-18.17%

4.31%

  

4.94%

Class A

06/20/2011

-18.30%

4.22%

6.87%

  

Class A (sales load deducted)*

06/20/2011

-22.79%

3.04%

6.27%

  

Class R3

04/01/2014

-18.47%

4.06%

  

4.68%

S&P 500 Index#

 

-15.47%

9.24%

11.70%

10.12%

Bloomberg U.S. Aggregate Bond Index

 

-14.60%

-0.27%

0.89%

1.05%

Lipper Balanced Fund Index

 

-15.90%

4.06%

6.12%

5.00%

 

* 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.

 

23

 

 

MassMutual RetireSMARTSM by JPMorgan In Retirement Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - SERVICE CLASS

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-16.12%

1.75%

  

2.55%

Class R5

04/01/2014

-16.20%

1.66%

  

2.45%

Service Class

12/31/2003

-16.26%

1.57%

2.97%

  

Administrative Class

12/31/2003

-16.45%

1.46%

2.87%

  

Class R4

04/01/2014

-16.47%

1.31%

  

2.10%

Class A

12/31/2003

-16.64%

1.19%

2.59%

  

Class A (sales load deducted)*

12/31/2003

-21.22%

0.05%

2.01%

  

Class R3

12/31/2003

-16.67%

1.05%

2.43%

  

S&P Target Date Retirement Income Index

 

-13.31%

1.88%

3.23%

2.82%

 

* 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 RetireSMARTSM by JPMorgan 2020 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-16.09%

2.35%

  

3.38%

Class R5

04/01/2014

-16.24%

2.24%

  

3.27%

Service Class

12/31/2003

-16.29%

2.13%

4.73%

  

Administrative Class

12/31/2003

-16.43%

2.02%

4.63%

  

Class R4

04/01/2014

-16.51%

1.88%

  

2.91%

Class A

12/31/2003

-16.60%

1.76%

4.34%

  

Class A (sales load deducted)*

12/31/2003

-21.19%

0.61%

3.75%

  

Class R3

12/31/2003

-16.70%

1.63%

4.17%

  

S&P Target Date 2020 Index

 

-14.75%

2.64%

5.11%

3.98%

 

* 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 RetireSMARTSM by JPMorgan 2025 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-17.29%

3.01%

  

3.99%

Class R5

04/01/2014

-17.42%

2.93%

  

3.90%

Service Class

04/01/2010

-17.48%

2.80%

5.52%

  

Administrative Class

04/01/2010

-17.50%

2.71%

5.44%

  

Class R4

04/01/2014

-17.65%

2.54%

  

3.52%

Class A

04/01/2010

-17.74%

2.44%

5.15%

  

Class A (sales load deducted)*

04/01/2010

-22.27%

1.29%

4.56%

  

Class R3

04/01/2014

-17.85%

2.30%

  

3.27%

S&P Target Date 2025 Index

 

-15.16%

3.24%

5.80%

4.51%

 

* 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 RetireSMARTSM by JPMorgan 2030 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-18.08%

3.40%

  

4.35%

Class R5

04/01/2014

-18.18%

3.27%

  

4.23%

Service Class

12/31/2003

-18.23%

3.19%

5.97%

  

Administrative Class

12/31/2003

-18.33%

3.08%

5.86%

  

Class R4

04/01/2014

-18.47%

2.91%

  

3.86%

Class A

12/31/2003

-18.55%

2.83%

5.58%

  

Class A (sales load deducted)*

12/31/2003

-23.03%

1.67%

4.99%

  

Class R3

12/31/2003

-18.67%

2.66%

5.40%

  

S&P Target Date 2030 Index

 

-16.23%

3.58%

6.34%

4.90%

 

* 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.

 

27

 

 

MassMutual RetireSMARTSM by JPMorgan 2035 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-18.91%

3.67%

  

4.59%

Class R5

04/01/2014

-19.03%

3.56%

  

4.48%

Service Class

04/01/2010

-19.06%

3.46%

6.27%

  

Administrative Class

04/01/2010

-19.17%

3.36%

6.16%

  

Class R4

04/01/2014

-19.29%

3.20%

  

4.13%

Class A

04/01/2010

-19.34%

3.11%

5.89%

  

Class A (sales load deducted)*

04/01/2010

-23.78%

1.95%

5.29%

  

Class R3

04/01/2014

-19.50%

2.95%

  

3.86%

S&P Target Date 2035 Index

 

-17.42%

3.92%

6.83%

5.28%

 

* 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.

 

28

 

 

MassMutual RetireSMARTSM by JPMorgan 2040 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-19.31%

3.93%

  

4.77%

Class R5

04/01/2014

-19.36%

3.83%

  

4.68%

Service Class

12/31/2003

-19.49%

3.72%

6.44%

  

Administrative Class

12/31/2003

-19.56%

3.61%

6.34%

  

Class R4

04/01/2014

-19.70%

3.44%

  

4.29%

Class A

12/31/2003

-19.73%

3.36%

6.06%

  

Class A (sales load deducted)*

12/31/2003

-24.15%

2.20%

5.46%

  

Class R3

12/31/2003

-19.88%

3.21%

5.87%

  

S&P Target Date 2040 Index

 

-18.21%

4.16%

7.18%

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.

 

29

 

 

MassMutual RetireSMARTSM by JPMorgan 2045 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-19.49%

4.23%

  

5.00%

Class R5

04/01/2014

-19.57%

4.12%

  

4.90%

Service Class

04/01/2010

-19.74%

4.00%

6.83%

  

Administrative Class

04/01/2010

-19.76%

3.91%

6.73%

  

Class R4

04/01/2014

-19.92%

3.74%

  

4.51%

Class A

04/01/2010

-19.94%

3.65%

6.46%

  

Class A (sales load deducted)*

04/01/2010

-24.34%

2.49%

5.86%

  

Class R3

04/01/2014

-20.09%

3.48%

  

4.26%

S&P Target Date 2045 Index

 

-18.70%

4.27%

7.40%

5.69%

 

* 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.

 

30

 

 

MassMutual RetireSMARTSM by JPMorgan 2050 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

10 Years

Since Inception
04/01/2014

Class I

04/01/2014

-19.60%

4.30%

  

5.11%

Class R5

04/01/2014

-19.73%

4.19%

  

5.02%

Service Class

12/17/2007

-19.78%

4.11%

6.95%

  

Administrative Class

12/17/2007

-19.88%

4.00%

6.84%

  

Class R4

04/01/2014

-19.97%

3.83%

  

4.65%

Class A

12/17/2007

-20.08%

3.73%

6.57%

  

Class A (sales load deducted)*

12/17/2007

-24.47%

2.56%

5.97%

  

Class R3

12/17/2007

-20.23%

3.59%

6.38%

  

S&P Target Date 2050 Index

 

-18.88%

4.35%

7.61%

5.82%

 

* 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.

 

31

 

 

MassMutual RetireSMARTSM by JPMorgan 2055 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Service Class

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

Since Inception
09/17/2013

Since Inception
04/01/2014

Class I

04/01/2014

-19.58%

4.32%

  

5.16%

Class R5

04/01/2014

-19.69%

4.21%

  

5.04%

Service Class

09/17/2013

-19.85%

4.11%

5.62%

  

Administrative Class

09/17/2013

-19.92%

4.00%

5.52%

  

Class R4

04/01/2014

-19.98%

3.86%

  

4.69%

Class A

09/17/2013

-19.98%

3.76%

5.27%

  

Class A (sales load deducted)*

09/17/2013

-24.38%

2.59%

4.61%

  

Class R3

04/01/2014

-20.23%

3.58%

  

4.42%

S&P Target Date 2055 Index

 

-18.94%

4.39%

6.46%

5.88%

 

* 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.

 

32

 

 

MassMutual RetireSMARTSM by JPMorgan 2060 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Year

Since Inception
11/23/2015

Class I

11/23/2015

-19.60%

4.31%

6.02%

Class R5

11/23/2015

-19.72%

4.19%

5.90%

Service Class

11/23/2015

-19.75%

4.10%

5.80%

Administrative Class

11/23/2015

-19.96%

3.97%

5.68%

Class R4

11/23/2015

-20.02%

3.84%

5.54%

Class A

11/23/2015

-20.10%

3.71%

5.42%

Class A (sales load deducted)*

11/23/2015

-24.50%

2.54%

4.55%

Class R3

11/23/2015

-20.18%

3.58%

5.29%

S&P Target Date 2060 Index

 

-18.99%

4.44%

6.38%

 

* 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.

 

33

 

 

MassMutual Select T. Rowe Price Retirement Balanced Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-14.93%

2.49%

Class M5

02/16/2018

-15.09%

2.34%

Class M4

02/16/2018

-15.28%

2.08%

Class M3

02/16/2018

-15.55%

1.82%

S&P Target Date Retirement Income Index

 

-13.31%

1.66%

 

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.

 

34

 

 

MassMutual Select T. Rowe Price Retirement 2005 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-15.62%

2.22%

Class M5

02/16/2018

-15.73%

2.06%

Class M4

02/16/2018

-15.93%

1.82%

Class M3

02/16/2018

-16.17%

1.55%

S&P Target Date Retirement Income Index

 

-13.31%

1.66%

 

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.

 

35

 

 

MassMutual Select T. Rowe Price Retirement 2010 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-16.02%

2.41%

Class M5

02/16/2018

-16.10%

2.27%

Class M4

02/16/2018

-16.40%

2.00%

Class M3

02/16/2018

-16.57%

1.74%

S&P Target Date 2010 Index

 

-13.60%

2.06%

 

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.

 

36

 

 

MassMutual Select T. Rowe Price Retirement 2015 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-16.38%

2.62%

Class M5

02/16/2018

-16.50%

2.47%

Class M4

02/16/2018

-16.68%

2.21%

Class M3

02/16/2018

-16.89%

1.96%

S&P Target Date 2015 Index

 

-13.95%

2.26%

 

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.

 

37

 

 

MassMutual Select T. Rowe Price Retirement 2020 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-16.84%

2.82%

Class M5

02/16/2018

-16.98%

2.67%

Class M4

02/16/2018

-17.15%

2.42%

Class M3

02/16/2018

-17.37%

2.16%

S&P Target Date 2020 Index

 

-14.75%

2.19%

 

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.

 

38

 

 

MassMutual Select T. Rowe Price Retirement 2025 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-17.83%

3.08%

Class M5

02/16/2018

-17.99%

2.92%

Class M4

02/16/2018

-18.16%

2.66%

Class M3

02/16/2018

-18.37%

2.40%

S&P Target Date 2025 Index

  

-15.16%

2.66%

 

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.

 

39

 

 

MassMutual Select T. Rowe Price Retirement 2030 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-19.32%

3.17%

Class M5

02/16/2018

-19.51%

3.01%

Class M4

02/16/2018

-19.66%

2.76%

Class M3

02/16/2018

-19.91%

2.49%

S&P Target Date 2030 Index

 

-16.23%

2.86%

 

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.

 

40

 

 

MassMutual Select T. Rowe Price Retirement 2035 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-20.63%

3.26%

Class M5

02/16/2018

-20.78%

3.09%

Class M4

02/16/2018

-20.92%

2.85%

Class M3

02/16/2018

-21.16%

2.58%

S&P Target Date 2035 Index

 

-17.42%

3.07%

 

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.

 

41

 

 

MassMutual Select T. Rowe Price Retirement 2040 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-21.66%

3.36%

Class M5

02/16/2018

-21.80%

3.20%

Class M4

02/16/2018

-22.03%

2.94%

Class M3

02/16/2018

-22.18%

2.69%

S&P Target Date 2040 Index

 

-18.21%

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.

 

42

 

 

MassMutual Select T. Rowe Price Retirement 2045 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-21.99%

3.52%

Class M5

02/16/2018

-22.11%

3.34%

Class M4

02/16/2018

-22.35%

3.08%

Class M3

02/16/2018

-22.50%

2.83%

S&P Target Date 2045 Index

 

-18.70%

3.29%

 

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.

 

43

 

 

MassMutual Select T. Rowe Price Retirement 2050 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-22.18%

3.48%

Class M5

02/16/2018

-22.30%

3.31%

Class M4

02/16/2018

-22.51%

3.05%

Class M3

02/16/2018

-22.64%

2.80%

S&P Target Date 2050 Index

 

-18.88%

3.33%

 

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 T. Rowe Price Retirement 2055 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-22.22%

3.46%

Class M5

02/16/2018

-22.33%

3.29%

Class M4

02/16/2018

-22.52%

3.03%

Class M3

02/16/2018

-22.72%

2.77%

S&P Target Date 2055 Index

 

-18.94%

3.35%

 

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.

 

45

 

 

MassMutual Select T. Rowe Price Retirement 2060 Fund – Portfolio Manager Report (Unaudited)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/16/2018

Class I

02/16/2018

-22.19%

3.46%

Class M5

02/16/2018

-22.34%

3.29%

Class M4

02/16/2018

-22.54%

3.03%

Class M3

02/16/2018

-22.76%

2.77%

S&P Target Date 2060 Index

 

-18.99%

3.38%

 

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.

 

46

 

 

MassMutual 20/80 Allocation Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.0%

Equity Funds — 20.1%

DFA Commodity Strategy Portfolio

    143,356     $ 739,715  

Invesco Real Estate Fund, Class R6

    21,983       382,731  

MassMutual Blue Chip Growth Fund, Class I (a)

    165,770       3,106,536  

MassMutual Diversified Value Fund, Class I (a)

    216,232       2,350,436  

MassMutual Equity Opportunities Fund, Class I (a)

    263,528       4,390,370  

MassMutual Fundamental Value Fund, Class I (a)

    321,660       2,746,981  

MassMutual Growth Opportunities Fund, Class I (a)

    157,290       717,241  

MassMutual International Equity Fund, Class I (a)

    70,427       502,848  

MassMutual Mid Cap Growth Fund, Class I (a)

    55,205       1,024,044  

MassMutual Mid Cap Value Fund, Class I (a)

    103,164       1,089,407  

MassMutual Overseas Fund, Class I (a)

    413,574       2,870,205  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    14,732       176,193  

MassMutual Small Cap Value Equity Fund, Class I (a)

    82,566       717,500  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    89,468       734,534  

MM Equity Asset Fund, Class I (a)

    900,264       6,301,846  

Vanguard Developed Markets Index Fund, Admiral Shares

    156,596       1,829,042  

Vanguard Emerging Markets Stock Index Fund, Admiral Shares

    11,966       364,259  

Vanguard Mid-Cap Index Fund, Admiral Shares

    4,764       1,109,193  

Vanguard Small-Cap Index Fund, Admiral Shares

    7,901       647,046  
              31,800,127  

Fixed Income Funds — 79.9%

Invesco International Bond Fund, Class R6

    1,561,526       6,121,181  

MassMutual Core Bond Fund, Class I (a)

    2,842,951       25,870,850  

MassMutual Global Floating Rate Fund, Class I (a)

    59,408       502,000  

MassMutual High Yield Fund, Class I (a)

    197,181       1,433,505  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    175,750       1,643,259  

MassMutual Short-Duration Bond Fund, Class I (a)

    3,236,147       28,057,391  

 

   

Number of
Shares

    

Value

  

MassMutual Strategic Bond Fund, Class I (a)

    2,502,209     $ 21,293,795  

MassMutual Total Return Bond Fund, Class I (a)

    4,132,178       34,792,943  

Vanguard Long-Term Treasury Index Fund, Admiral Shares

    10,989       231,978  

Vanguard Total Bond Market Index Fund, Institutional Shares

    702,834       6,599,613  
              126,546,515  
                 

TOTAL MUTUAL FUNDS (Cost $187,882,833)

            158,346,642  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $187,882,833)

            158,346,642  
                 

TOTAL INVESTMENTS — 100.0% (Cost $187,882,833) (b)

            158,346,642  
                 

Other Assets/(Liabilities) — (0.0)%

            (70,401 )
                 

NET ASSETS — 100.0%

          $ 158,276,241  

 

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.

 

47

 

 

MassMutual 40/60 Allocation Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 39.3%

DFA Commodity Strategy Portfolio

    135,261     $ 697,949  

Invesco Real Estate Fund, Class R6

    33,270       579,232  

MassMutual Blue Chip Growth Fund, Class I (a)

    319,654       5,990,319  

MassMutual Diversified Value Fund, Class I (a)

    425,847       4,628,956  

MassMutual Equity Opportunities Fund, Class I (a)

    446,900       7,445,347  

MassMutual Fundamental Value Fund, Class I (a)

    685,645       5,855,407  

MassMutual Growth Opportunities Fund, Class I (a)

    305,827       1,394,572  

MassMutual International Equity Fund, Class I (a)

    273,129       1,950,143  

MassMutual Mid Cap Growth Fund, Class I (a)

    87,503       1,623,178  

MassMutual Mid Cap Value Fund, Class I (a)

    245,377       2,591,176  

MassMutual Overseas Fund, Class I (a)

    634,679       4,404,672  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    32,298       386,287  

MassMutual Small Cap Value Equity Fund, Class I (a)

    212,284       1,844,744  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    133,679       1,097,501  

MM Equity Asset Fund, Class I (a)

    2,412,323       16,886,259  

Vanguard Developed Markets Index Fund, Institutional Shares

    393,235       4,596,917  

Vanguard Emerging Markets Stock Index Fund, Admiral Shares

    24,804       755,045  

Vanguard Mid-Cap Index Fund, Admiral Shares

    10,578       2,463,100  

Vanguard Small-Cap Index Fund, Admiral Shares

    18,228       1,492,707  
              66,683,511  

Fixed Income Funds — 60.8%

Invesco International Bond Fund, Class R6

    1,246,162       4,884,954  

MassMutual Core Bond Fund, Class I (a)

    2,195,950       19,983,148  

MassMutual Global Floating Rate Fund, Class I (a)

    99,844       843,680  

MassMutual High Yield Fund, Class I (a)

    281,654       2,047,623  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    96,866       905,701  

MassMutual Short-Duration Bond Fund, Class I (a)

    2,231,419       19,346,403  

 

   

Number of
Shares

    

Value

  

MassMutual Strategic Bond Fund, Class I (a)

    2,039,373     $ 17,355,061  

MassMutual Total Return Bond Fund, Class I (a)

    3,633,416       30,593,366  

Vanguard Long-Term Treasury Index Fund, Admiral Shares

    11,768       248,419  

Vanguard Total Bond Market Index Fund, Institutional Shares

    740,078       6,949,337  
              103,157,692  
                 

TOTAL MUTUAL FUNDS (Cost $202,662,688)

            169,841,203  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $202,662,688)

            169,841,203  
                 

TOTAL INVESTMENTS — 100.1% (Cost $202,662,688) (b)

            169,841,203  
                 

Other Assets/(Liabilities) — (0.1)%

            (183,923 )
                 

NET ASSETS — 100.0%

          $ 169,657,280  

 

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.

 

48

 

 

MassMutual 60/40 Allocation Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 60.4%

DFA Commodity Strategy Portfolio

    102,979     $ 531,373  

Invesco Real Estate Fund, Class R6

    39,379       685,597  

MassMutual Blue Chip Growth Fund, Class I (a)

    438,117       8,210,320  

MassMutual Diversified Value Fund, Class I (a)

    611,779       6,650,039  

MassMutual Equity Opportunities Fund, Class I (a)

    643,458       10,720,004  

MassMutual Fundamental Value Fund, Class I (a)

    934,241       7,978,415  

MassMutual Growth Opportunities Fund, Class I (a)

    390,709       1,781,631  

MassMutual International Equity Fund, Class I (a)

    272,993       1,949,169  

MassMutual Mid Cap Growth Fund, Class I (a)

    138,039       2,560,631  

MassMutual Mid Cap Value Fund, Class I (a)

    379,585       4,008,413  

MassMutual Overseas Fund, Class I (a)

    637,553       4,424,617  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    69,786       834,643  

MassMutual Small Cap Value Equity Fund, Class I (a)

    259,782       2,257,501  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    32,846       269,666  

MM Equity Asset Fund, Class I (a)

    4,308,684       30,160,787  

Vanguard Developed Markets Index Fund, Institutional Shares

    491,818       5,749,357  

Vanguard Emerging Markets Stock Index Fund, Admiral Shares

    42,222       1,285,235  

Vanguard Mid-Cap Index Fund, Admiral Shares

    15,992       3,723,833  

Vanguard Small-Cap Index Fund, Admiral Shares

    12,868       1,053,720  
              94,834,951  

Fixed Income Funds — 39.7%

Invesco International Bond Fund, Class R6

    922,500       3,616,199  

MassMutual Core Bond Fund, Class I (a)

    1,340,171       12,195,555  

MassMutual Global Floating Rate Fund, Class I (a)

    266,507       2,251,981  

MassMutual High Yield Fund, Class I (a)

    543,376       3,950,346  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    45,311       423,661  

MassMutual Short-Duration Bond Fund, Class I (a)

    1,235,402       10,710,938  

 

   

Number of
Shares

    

Value

  

MassMutual Strategic Bond Fund, Class I (a)

    960,683     $ 8,175,411  

MassMutual Total Return Bond Fund, Class I (a)

    1,933,960       16,283,943  

Vanguard Long-Term Treasury Index Fund, Admiral Shares

    12,912       272,565  

Vanguard Total Bond Market Index Fund, Institutional Shares

    478,114       4,489,487  
              62,370,086  
                 

TOTAL MUTUAL FUNDS (Cost $187,041,018)

            157,205,037  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $187,041,018)

            157,205,037  
                 

TOTAL INVESTMENTS — 100.1% (Cost $187,041,018) (b)

            157,205,037  
                 

Other Assets/(Liabilities) — (0.1)%

            (150,011 )
                 

NET ASSETS — 100.0%

          $ 157,055,026  

 

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.

 

49

 

 

MassMutual 80/20 Allocation Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 75.8%

DFA Commodity Strategy Portfolio

    57,861     $ 298,565  

Invesco Real Estate Fund, Class R6

    50,093       872,127  

MassMutual Blue Chip Growth Fund, Class I (a)

    394,000       7,383,551  

MassMutual Diversified Value Fund, Class I (a)

    456,696       4,964,284  

MassMutual Equity Opportunities Fund, Class I (a)

    471,375       7,853,104  

MassMutual Fundamental Value Fund, Class I (a)

    748,295       6,390,439  

MassMutual Growth Opportunities Fund, Class I (a)

    339,469       1,547,978  

MassMutual International Equity Fund, Class I (a)

    192,310       1,373,095  

MassMutual Mid Cap Growth Fund, Class I (a)

    157,222       2,916,472  

MassMutual Mid Cap Value Fund, Class I (a)

    337,024       3,558,971  

MassMutual Overseas Fund, Class I (a)

    874,726       6,070,597  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    77,447       926,270  

MassMutual Small Cap Value Equity Fund, Class I (a)

    299,738       2,604,724  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    244,147       2,004,445  

MM Equity Asset Fund, Class I (a)

    3,446,162       24,123,131  

Vanguard Developed Markets Index Fund, Institutional Shares

    495,498       5,792,367  

Vanguard Emerging Markets Stock Index Fund, Admiral Shares

    46,876       1,426,904  

Vanguard Mid-Cap Index Fund, Admiral Shares

    17,460       4,065,460  

Vanguard Small-Cap Index Fund, Admiral Shares

    25,421       2,081,736  
              86,254,220  

Fixed Income Funds — 24.3%

Invesco International Bond Fund, Class R6

    655,653       2,570,158  

MassMutual Core Bond Fund, Class I (a)

    431,890       3,930,195  

MassMutual Global Floating Rate Fund, Class I (a)

    209,815       1,772,935  

MassMutual High Yield Fund, Class I (a)

    538,176       3,912,539  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    14,650       136,977  

MassMutual Short-Duration Bond Fund, Class I (a)

    621,984       5,392,597  

 

   

Number of
Shares

    

Value

  

MassMutual Strategic Bond Fund, Class I (a)

    327,873     $ 2,790,199  

MassMutual Total Return Bond Fund, Class I (a)

    717,003       6,037,165  

Vanguard Long-Term Treasury Index Fund, Admiral Shares

    6,180       130,452  

Vanguard Total Bond Market Index Fund, Admiral Shares

    99,127       930,800  
              27,604,017  
                 

TOTAL MUTUAL FUNDS (Cost $135,839,192)

            113,858,237  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $135,839,192)

            113,858,237  
                 

TOTAL INVESTMENTS — 100.1% (Cost $135,839,192) (b)

            113,858,237  
                 

Other Assets/(Liabilities) — (0.1)%

            (103,383 )
                 

NET ASSETS — 100.0%

          $ 113,754,854  

 

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.

 

50

 

 

MassMutual RetireSMARTSM by JPMorgan In Retirement Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.2%

Equity Funds — 34.6%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    59,784     $ 814,857  

JPMorgan Large Cap Value Fund, Class R6

    62,804       1,048,819  

MassMutual Blue Chip Growth Fund, Class I (a)

    79,243       1,485,007  

MassMutual Diversified Value Fund, Class I (a)

    82,457       896,307  

MassMutual Equity Opportunities Fund, Class I (a)

    142,862       2,380,089  

MassMutual Fundamental Value Fund, Class I (a)

    140,653       1,201,178  

MassMutual Growth Opportunities Fund, Class I (a)

    97,947       446,639  

MassMutual International Equity Fund, Class I (a)

    208,259       1,486,972  

MassMutual Mid Cap Growth Fund, Class I (a)

    37,683       699,012  

MassMutual Mid Cap Value Fund, Class I (a)

    66,028       697,253  

MassMutual Overseas Fund, Class I (a)

    372,909       2,587,988  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    42,197       504,671  

MassMutual Small Cap Value Equity Fund, Class I (a)

    76,416       664,053  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    184,405       1,513,967  

MM Equity Asset Fund, Class I (a)

    1,060,367       7,422,572  

Vanguard Developed Markets Index Fund, Admiral Shares

    283,515       3,311,452  

Vanguard Mid-Cap Index Fund, Admiral Shares

    2,563       596,735  

Vanguard Real Estate Index Fund, Admiral Shares

    4,400       499,949  

Vanguard Small-Cap Index Fund, Admiral Shares

    6,101       499,571  
              28,757,091  

Fixed Income Funds — 65.6%

JPMorgan Emerging Markets Debt Fund, Class R6

    120,160       656,076  

JPMorgan U.S. Government Money Market Fund, Class IM

    11,674,820       11,674,820  

MassMutual Core Bond Fund, Class I (a)

    1,786,003       16,252,626  

MassMutual Global Floating Rate Fund, Class I (a)

    21,078       178,107  

MassMutual High Yield Fund, Class I (a)

    599,909       4,361,340  

 

   

Number of
Shares

    

Value

  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    665,043     $ 6,218,155  

MassMutual Strategic Bond Fund, Class I (a)

    645,508       5,493,275  

MassMutual Total Return Bond Fund, Class I (a)

    651,675       5,487,106  

Vanguard Total Bond Market Index Fund, Institutional Shares

    436,121       4,095,179  
              54,416,684  
                 

TOTAL MUTUAL FUNDS (Cost $97,846,315)

            83,173,775  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $97,846,315)

            83,173,775  
                 

TOTAL INVESTMENTS — 100.2% (Cost $97,846,315) (b)

            83,173,775  
                 

Other Assets/(Liabilities) — (0.2)%

            (137,969 )
                 

NET ASSETS — 100.0%

          $ 83,035,806  

 

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.

 

51

 

 

MassMutual RetireSMARTSM by JPMorgan 2020 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 34.6%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    117,180     $ 1,597,162  

JPMorgan Large Cap Value Fund, Class R6

    122,418       2,044,386  

MassMutual Blue Chip Growth Fund, Class I (a)

    154,052       2,886,943  

MassMutual Diversified Value Fund, Class I (a)

    160,730       1,747,134  

MassMutual Equity Opportunities Fund, Class I (a)

    278,489       4,639,628  

MassMutual Fundamental Value Fund, Class I (a)

    273,458       2,335,332  

MassMutual Growth Opportunities Fund, Class I (a)

    190,931       870,646  

MassMutual International Equity Fund, Class I (a)

    407,159       2,907,114  

MassMutual Mid Cap Growth Fund, Class I (a)

    73,454       1,362,569  

MassMutual Mid Cap Value Fund, Class I (a)

    128,708       1,359,160  

MassMutual Overseas Fund, Class I (a)

    724,643       5,029,025  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    82,254       983,753  

MassMutual Small Cap Value Equity Fund, Class I (a)

    148,957       1,294,436  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    360,607       2,960,581  

MM Equity Asset Fund, Class I (a)

    2,061,511       14,430,574  

Vanguard Developed Markets Index Fund, Institutional Shares

    547,535       6,400,687  

Vanguard Mid-Cap Index Fund, Admiral Shares

    4,958       1,154,451  

Vanguard Real Estate Index Fund, Admiral Shares

    8,512       967,178  

Vanguard Small-Cap Index Fund, Admiral Shares

    11,802       966,503  
              55,937,262  

Fixed Income Funds — 65.5%

JPMorgan Emerging Markets Debt Fund, Class R6

    233,920       1,277,201  

JPMorgan U.S. Government Money Market Fund, Class IM

    22,726,427       22,726,427  

MassMutual Core Bond Fund, Class I (a)

    3,476,364       31,634,913  

MassMutual Global Floating Rate Fund, Class I (a)

    40,771       344,517  

MassMutual High Yield Fund, Class I (a)

    1,167,790       8,489,836  

 

   

Number of
Shares

    

Value

  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    1,294,400     $ 12,102,642  

MassMutual Strategic Bond Fund, Class I (a)

    1,256,423       10,692,160  

MassMutual Total Return Bond Fund, Class I (a)

    1,268,424       10,680,131  

Vanguard Total Bond Market Index Fund, Institutional Shares

    843,690       7,922,245  
              105,870,072  
                 

TOTAL MUTUAL FUNDS (Cost $190,821,773)

            161,807,334  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $190,821,773)

            161,807,334  
                 

TOTAL INVESTMENTS — 100.1% (Cost $190,821,773) (b)

            161,807,334  
                 

Other Assets/(Liabilities) — (0.1)%

            (215,857 )
                 

NET ASSETS — 100.0%

          $ 161,591,477  

 

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.

 

52

 

 

MassMutual RetireSMARTSM by JPMorgan 2025 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 46.0%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    171,915     $ 2,343,205  

JPMorgan Large Cap Value Fund, Class R6

    139,706       2,333,093  

MassMutual Blue Chip Growth Fund, Class I (a)

    174,905       3,277,716  

MassMutual Diversified Value Fund, Class I (a)

    183,370       1,993,229  

MassMutual Equity Opportunities Fund, Class I (a)

    317,389       5,287,700  

MassMutual Fundamental Value Fund, Class I (a)

    310,639       2,652,861  

MassMutual Growth Opportunities Fund, Class I (a)

    217,436       991,507  

MassMutual International Equity Fund, Class I (a)

    459,422       3,280,272  

MassMutual Mid Cap Growth Fund, Class I (a)

    81,922       1,519,645  

MassMutual Mid Cap Value Fund, Class I (a)

    143,541       1,515,798  

MassMutual Overseas Fund, Class I (a)

    819,827       5,689,596  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    91,153       1,090,195  

MassMutual Small Cap Value Equity Fund, Class I (a)

    165,412       1,437,432  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    533,290       4,378,314  

MM Equity Asset Fund, Class I (a)

    2,343,868       16,407,076  

Vanguard Developed Markets Index Fund, Institutional Shares

    627,229       7,332,311  

Vanguard Mid-Cap Index Fund, Admiral Shares

    5,568       1,296,456  

Vanguard Real Estate Index Fund, Admiral Shares

    12,566       1,427,693  

Vanguard Small-Cap Index Fund, Admiral Shares

    13,184       1,079,671  
              65,333,770  

Fixed Income Funds — 54.1%

JPMorgan Emerging Markets Debt Fund, Class R6

    422,877       2,308,909  

JPMorgan U.S. Government Money Market Fund, Class IM

    9,984,624       9,984,624  

MassMutual Core Bond Fund, Class I (a)

    2,933,751       26,697,133  

MassMutual Global Floating Rate Fund, Class I (a)

    34,386       290,558  

MassMutual High Yield Fund, Class I (a)

    1,002,136       7,285,532  

 

   

Number of
Shares

    

Value

  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    591,707     $ 5,532,456  

MassMutual Strategic Bond Fund, Class I (a)

    1,059,146       9,013,330  

MassMutual Total Return Bond Fund, Class I (a)

    1,069,262       9,003,189  

Vanguard Total Bond Market Index Fund, Institutional Shares

    718,965       6,751,079  
              76,866,810  
                 

TOTAL MUTUAL FUNDS (Cost $171,438,920)

            142,200,580  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $171,438,920)

            142,200,580  
                 

TOTAL INVESTMENTS — 100.1% (Cost $171,438,920) (b)

            142,200,580  
                 

Other Assets/(Liabilities) — (0.1)%

            (144,847 )
                 

NET ASSETS — 100.0%

          $ 142,055,733  

 

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.

 

53

 

 

MassMutual RetireSMARTSM by JPMorgan 2030 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 59.0%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    493,153     $ 6,721,680  

JPMorgan Large Cap Value Fund, Class R6

    385,711       6,441,379  

MassMutual Blue Chip Growth Fund, Class I (a)

    487,014       9,126,647  

MassMutual Diversified Value Fund, Class I (a)

    505,973       5,499,928  

MassMutual Equity Opportunities Fund, Class I (a)

    875,961       14,593,512  

MassMutual Fundamental Value Fund, Class I (a)

    864,079       7,379,233  

MassMutual Growth Opportunities Fund, Class I (a)

    599,986       2,735,934  

MassMutual International Equity Fund, Class I (a)

    1,278,625       9,129,380  

MassMutual Mid Cap Growth Fund, Class I (a)

    221,940       4,116,982  

MassMutual Mid Cap Value Fund, Class I (a)

    388,877       4,106,542  

MassMutual Overseas Fund, Class I (a)

    2,301,178       15,970,176  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    248,659       2,973,963  

MassMutual Small Cap Value Equity Fund, Class I (a)

    451,552       3,923,985  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    1,517,550       12,459,089  

MM Equity Asset Fund, Class I (a)

    6,522,952       45,660,666  

Vanguard Developed Markets Index Fund, Institutional Shares

    1,737,668       20,313,341  

Vanguard Mid-Cap Index Fund, Admiral Shares

    15,072       3,509,582  

Vanguard Real Estate Index Fund, Institutional Shares

    271,594       4,774,623  

Vanguard Small-Cap Index Fund, Admiral Shares

    35,952       2,944,088  
              182,380,730  

Fixed Income Funds — 41.1%

JPMorgan Emerging Markets Debt Fund, Class R6

    531,505       2,902,018  

JPMorgan U.S. Government Money Market Fund, Class IM

    16,314,743       16,314,743  

MassMutual Core Bond Fund, Class I (a)

    5,272,277       47,977,718  

MassMutual High Yield Fund, Class I (a)

    1,865,812       13,564,456  

MassMutual Inflation-Protected and Income Fund, Class I (a)

    198,617       1,857,071  

 

   

Number of
Shares

    

Value

  

MassMutual Strategic Bond Fund, Class I (a)

    1,903,460     $ 16,198,443  

MassMutual Total Return Bond Fund, Class I (a)

    1,921,645       16,180,252  

Vanguard Total Bond Market Index Fund, Institutional Shares

    1,285,683       12,072,561  
              127,067,262  
                 

TOTAL MUTUAL FUNDS (Cost $374,525,840)

            309,447,992  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $374,525,840)

            309,447,992  
                 

TOTAL INVESTMENTS — 100.1% (Cost $374,525,840) (b)

            309,447,992  
                 

Other Assets/(Liabilities) — (0.1)%

            (305,860 )
                 

NET ASSETS — 100.0%

          $ 309,142,132  

 

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.

 

54

 

 

MassMutual RetireSMARTSM by JPMorgan 2035 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 71.2%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    500,571     $ 6,822,777  

JPMorgan Large Cap Value Fund, Class R6

    207,442       3,464,280  

MassMutual Blue Chip Growth Fund, Class I (a)

    392,444       7,354,394  

MassMutual Diversified Value Fund, Class I (a)

    272,534       2,962,450  

MassMutual Equity Opportunities Fund, Class I (a)

    294,705       4,909,785  

MassMutual Fundamental Value Fund, Class I (a)

    406,281       3,469,640  

MassMutual Growth Opportunities Fund, Class I (a)

    539,287       2,459,150  

MassMutual International Equity Fund, Class I (a)

    863,972       6,168,761  

MassMutual Mid Cap Growth Fund, Class I (a)

    119,106       2,209,417  

MassMutual Mid Cap Value Fund, Class I (a)

    208,695       2,203,818  

MassMutual Overseas Fund, Class I (a)

    1,414,156       9,814,244  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    133,162       1,592,613  

MassMutual Small Cap Value Equity Fund, Class I (a)

    241,534       2,098,930  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    446,463       3,665,464  

MM Equity Asset Fund, Class I (a)

    3,503,296       24,523,070  

Vanguard Developed Markets Index Fund, Admiral Shares

    731,797       8,547,391  

Vanguard Mid-Cap Index Fund, Admiral Shares

    8,108       1,887,889  

Vanguard Real Estate Index Fund, Admiral Shares

    24,550       2,789,353  

Vanguard Small-Cap Index Fund, Admiral Shares

    19,247       1,576,165  
              98,519,591  

Fixed Income Funds — 28.9%

JPMorgan Emerging Markets Debt Fund, Class R6

    49,481       270,168  

JPMorgan U.S. Government Money Market Fund, Class IM

    7,302,162       7,302,162  

MassMutual Core Bond Fund, Class I (a)

    675,853       6,150,261  

MassMutual High Yield Fund, Class I (a)

    511,843       3,721,095  

MassMutual Strategic Bond Fund, Class I (a)

    1,230,679       10,473,078  

 

   

Number of
Shares

    

Value

  

MassMutual Total Return Bond Fund, Class I (a)

    1,241,958     $ 10,457,290  

Vanguard Total Bond Market Index Fund, Admiral Shares

    164,698       1,546,515  
              39,920,569  
                 

TOTAL MUTUAL FUNDS (Cost $168,853,818)

            138,440,160  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $168,853,818)

            138,440,160  
                 

TOTAL INVESTMENTS — 100.1% (Cost $168,853,818) (b)

            138,440,160  
                 

Other Assets/(Liabilities) — (0.1)%

            (147,323 )

 

                

NET ASSETS — 100.0%

          $ 138,292,837  

 

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.

 

55

 

 

MassMutual RetireSMARTSM by JPMorgan 2040 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 81.1%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    901,798     $ 12,291,508  

JPMorgan Large Cap Value Fund, Class R6

    379,760       6,341,987  

MassMutual Blue Chip Growth Fund, Class I (a)

    720,090       13,494,495  

MassMutual Diversified Value Fund, Class I (a)

    498,791       5,421,859  

MassMutual Equity Opportunities Fund, Class I (a)

    539,889       8,994,559  

MassMutual Fundamental Value Fund, Class I (a)

    745,430       6,365,970  

MassMutual Growth Opportunities Fund, Class I (a)

    986,500       4,498,440  

MassMutual International Equity Fund, Class I (a)

    1,626,120       11,610,500  

MassMutual Mid Cap Growth Fund, Class I (a)

    215,987       4,006,555  

MassMutual Mid Cap Value Fund, Class I (a)

    378,444       3,996,370  

MassMutual Overseas Fund, Class I (a)

    2,671,514       18,540,308  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    242,314       2,898,074  

MassMutual Small Cap Value Equity Fund, Class I (a)

    440,458       3,827,579  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    807,023       6,625,655  

MM Equity Asset Fund, Class I (a)

    6,433,007       45,031,049  

Vanguard Developed Markets Index Fund, Institutional Shares

    1,370,561       16,021,854  

Vanguard Mid-Cap Index Fund, Admiral Shares

    14,680       3,418,195  

Vanguard Real Estate Index Fund, Admiral Shares

    47,790       5,429,910  

Vanguard Small-Cap Index Fund, Admiral Shares

    34,922       2,859,800  
              181,674,667  

Fixed Income Funds — 19.0%

JPMorgan Emerging Markets Debt Fund, Class R6

    366,122       1,999,027  

JPMorgan U.S. Government Money Market Fund, Class IM

    9,023,525       9,023,525  

MassMutual Core Bond Fund, Class I (a)

    587,412       5,345,450  

MassMutual High Yield Fund, Class I (a)

    638,198       4,639,696  

MassMutual Strategic Bond Fund, Class I (a)

    1,181,868       10,057,701  

 

   

Number of
Shares

    

Value

  

MassMutual Total Return Bond Fund, Class I (a)

    1,192,159     $ 10,037,981  

Vanguard Total Bond Market Index Fund, Admiral Shares

    142,636       1,339,354  
              42,442,734  
                 

TOTAL MUTUAL FUNDS (Cost $274,997,968)

            224,117,401  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $274,997,968)

            224,117,401  
                 

TOTAL INVESTMENTS — 100.1% (Cost $274,997,968) (b)

            224,117,401  
                 

Other Assets/(Liabilities) — (0.1)%

            (205,553 )
                 

NET ASSETS — 100.0%

          $ 223,911,848  

 

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.

 

56

 

 

MassMutual RetireSMARTSM by JPMorgan 2045 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 88.6%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    448,065     $ 6,107,130  

JPMorgan Large Cap Value Fund, Class R6

    187,227       3,126,690  

MassMutual Blue Chip Growth Fund, Class I (a)

    353,854       6,631,222  

MassMutual Diversified Value Fund, Class I (a)

    245,385       2,667,336  

MassMutual Equity Opportunities Fund, Class I (a)

    265,825       4,428,636  

MassMutual Fundamental Value Fund, Class I (a)

    366,614       3,130,881  

MassMutual Growth Opportunities Fund, Class I (a)

    486,392       2,217,950  

MassMutual International Equity Fund, Class I (a)

    801,624       5,723,596  

MassMutual Mid Cap Growth Fund, Class I (a)

    106,489       1,975,366  

MassMutual Mid Cap Value Fund, Class I (a)

    186,583       1,970,321  

MassMutual Overseas Fund, Class I (a)

    1,312,110       9,106,041  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    119,472       1,428,886  

MassMutual Small Cap Value Equity Fund, Class I (a)

    216,488       1,881,282  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    399,600       3,280,714  

MM Equity Asset Fund, Class I (a)

    3,158,146       22,107,022  

Vanguard Developed Markets Index Fund, Admiral Shares

    679,205       7,933,120  

Vanguard Mid-Cap Index Fund, Admiral Shares

    7,260       1,690,518  

Vanguard Real Estate Index Fund, Admiral Shares

    24,197       2,749,220  

Vanguard Small-Cap Index Fund, Admiral Shares

    17,271       1,414,357  
              89,570,288  

Fixed Income Funds — 11.5%

JPMorgan Emerging Markets Debt Fund, Class R6

    80,803       441,186  

JPMorgan U.S. Government Money Market Fund, Class IM

    4,075,772       4,075,772  

MassMutual Core Bond Fund, Class I (a)

    132,690       1,207,475  

MassMutual High Yield Fund, Class I (a)

    145,466       1,057,534  

MassMutual Strategic Bond Fund, Class I (a)

    266,871       2,271,070  

 

   

Number of
Shares

    

Value

  

MassMutual Total Return Bond Fund, Class I (a)

    269,422     $ 2,268,531  

Vanguard Total Bond Market Index Fund, Admiral Shares

    32,389       304,137  
              11,625,705  
                 

TOTAL MUTUAL FUNDS (Cost $124,884,882)

            101,195,993  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $124,884,882)

            101,195,993  
                 

TOTAL INVESTMENTS — 100.1% (Cost $124,884,882) (b)

            101,195,993  
                 

Other Assets/(Liabilities) — (0.1)%

            (121,650 )
                 

NET ASSETS — 100.0%

          $ 101,074,343  

 

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.

 

57

 

 

MassMutual RetireSMARTSM by JPMorgan 2050 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 90.0%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    706,929     $ 9,635,446  

JPMorgan Large Cap Value Fund, Class R6

    294,670       4,920,996  

MassMutual Blue Chip Growth Fund, Class I (a)

    558,365       10,463,758  

MassMutual Diversified Value Fund, Class I (a)

    386,251       4,198,553  

MassMutual Equity Opportunities Fund, Class I (a)

    418,434       6,971,114  

MassMutual Fundamental Value Fund, Class I (a)

    578,488       4,940,290  

MassMutual Growth Opportunities Fund, Class I (a)

    765,583       3,491,057  

MassMutual International Equity Fund, Class I (a)

    1,262,496       9,014,221  

MassMutual Mid Cap Growth Fund, Class I (a)

    168,112       3,118,475  

MassMutual Mid Cap Value Fund, Class I (a)

    294,562       3,110,575  

MassMutual Overseas Fund, Class I (a)

    2,074,487       14,396,937  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    188,055       2,249,143  

MassMutual Small Cap Value Equity Fund, Class I (a)

    340,776       2,961,344  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    632,391       5,191,926  

MM Equity Asset Fund, Class I (a)

    4,979,512       34,856,582  

Vanguard Developed Markets Index Fund, Admiral Shares

    1,065,684       12,447,193  

Vanguard Mid-Cap Index Fund, Admiral Shares

    11,390       2,652,135  

Vanguard Real Estate Index Fund, Admiral Shares

    38,041       4,322,192  

Vanguard Small-Cap Index Fund, Admiral Shares

    27,097       2,218,957  
              141,160,894  

Fixed Income Funds — 10.1%

JPMorgan Emerging Markets Debt Fund, Class R6

    99,737       544,566  

JPMorgan U.S. Government Money Market Fund, Class IM

    6,323,586       6,323,586  

MassMutual Core Bond Fund, Class I (a)

    166,861       1,518,434  

MassMutual High Yield Fund, Class I (a)

    184,527       1,341,512  

MassMutual Strategic Bond Fund, Class I (a)

    335,796       2,857,625  

 

   

Number of
Shares

    

Value

  

MassMutual Total Return Bond Fund, Class I (a)

    339,006     $ 2,854,432  

Vanguard Total Bond Market Index Fund, Admiral Shares

    40,513       380,413  
              15,820,568  
                 

TOTAL MUTUAL FUNDS (Cost $193,502,717)

            156,981,462  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $193,502,717)

            156,981,462  
                 

TOTAL INVESTMENTS — 100.1% (Cost $193,502,717) (b)

            156,981,462  
                 

Other Assets/(Liabilities) — (0.1)%

            (139,888 )
                 

NET ASSETS — 100.0%

          $ 156,841,574  

 

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.

 

58

 

 

MassMutual RetireSMARTSM by JPMorgan 2055 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 90.0%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    236,915     $ 3,229,149  

JPMorgan Large Cap Value Fund, Class R6

    98,825       1,650,376  

MassMutual Blue Chip Growth Fund, Class I (a)

    187,390       3,511,680  

MassMutual Diversified Value Fund, Class I (a)

    129,537       1,408,068  

MassMutual Equity Opportunities Fund, Class I (a)

    140,330       2,337,900  

MassMutual Fundamental Value Fund, Class I (a)

    194,145       1,657,994  

MassMutual Growth Opportunities Fund, Class I (a)

    256,766       1,170,851  

MassMutual International Equity Fund, Class I (a)

    423,196       3,021,617  

MassMutual Mid Cap Growth Fund, Class I (a)

    56,383       1,045,907  

MassMutual Mid-Cap Value Fund, Class I (a)

    98,792       1,043,240  

MassMutual Overseas Fund, Class I (a)

    695,876       4,829,382  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    63,077       754,402  

MassMutual Small Cap Value Equity Fund, Class I (a)

    114,296       993,233  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    212,249       1,742,565  

MM Equity Asset Fund, Class I (a)

    1,671,138       11,697,963  

Vanguard Developed Markets Index Fund, Admiral Shares

    358,575       4,188,154  

Vanguard Mid-Cap Index Fund, Admiral Shares

    3,832       892,369  

Vanguard Real Estate Index Fund, Admiral Shares

    12,800       1,454,319  

Vanguard Small-Cap Index Fund, Admiral Shares

    9,117       746,607  
              47,375,776  

Fixed Income Funds — 10.1%

JPMorgan Emerging Markets Debt Fund, Class R6

    33,470       182,744  

JPMorgan U.S. Government Money Market Fund, Class IM

    2,122,120       2,122,120  

MassMutual Core Bond Fund, Class I (a)

    55,998       509,578  

MassMutual High Yield Fund, Class I (a)

    61,924       450,188  

MassMutual Strategic Bond Fund, Class I (a)

    112,692       959,010  

 

   

Number of
Shares

    

Value

  

MassMutual Total Return Bond Fund, Class I (a)

    113,769     $ 957,939  

Vanguard Total Bond Market Index Fund, Admiral Shares

    13,632       128,001  
              5,309,580  
                 

TOTAL MUTUAL FUNDS (Cost $65,220,986)

            52,685,356  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $65,220,986)

            52,685,356  
                 

TOTAL INVESTMENTS — 100.1% (Cost $65,220,986) (b)

            52,685,356  
                 

Other Assets/(Liabilities) — (0.1)%

            (64,784 )
                 

NET ASSETS — 100.0%

          $ 52,620,572  

 

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.

 

59

 

 

MassMutual RetireSMARTSM by JPMorgan 2060 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.3%

Equity Funds — 90.2%

JPMorgan Emerging Markets Research Enhanced Equity Fund, Class R6

    78,042     $ 1,063,709  

JPMorgan Large Cap Value Fund, Class R6

    32,555       543,663  

MassMutual Blue Chip Growth Fund, Class I (a)

    61,685       1,155,979  

MassMutual Diversified Value Fund, Class I (a)

    42,672       463,844  

MassMutual Equity Opportunities Fund, Class I (a)

    46,227       770,138  

MassMutual Fundamental Value Fund, Class I (a)

    63,908       545,772  

MassMutual Growth Opportunities Fund, Class I (a)

    84,580       385,683  

MassMutual International Equity Fund, Class I (a)

    139,407       995,368  

MassMutual Mid Cap Growth Fund, Class I (a)

    18,573       344,527  

MassMutual Mid Cap Value Fund, Class I (a)

    32,542       343,647  

MassMutual Overseas Fund, Class I (a)

    229,073       1,589,770  

MassMutual Small Cap Growth Equity Fund, Class I (a)

    20,779       248,512  

MassMutual Small Cap Value Equity Fund, Class I (a)

    37,649       327,174  

MassMutual Strategic Emerging Markets Fund, Class I (a)

    69,767       572,787  

MM Equity Asset Fund, Class I (a)

    550,104       3,850,731  

Vanguard Developed Markets Index Fund, Admiral Shares

    118,107       1,379,492  

Vanguard Mid-Cap Index Fund, Admiral Shares

    1,262       293,925  

Vanguard Real Estate Index Fund, Admiral Shares

    4,216       479,027  

Vanguard Small-Cap Index Fund, Admiral Shares

    3,003       245,911  
              15,599,659  

Fixed Income Funds — 10.1%

JPMorgan Emerging Markets Debt Fund, Class R6

    11,021       60,175  

JPMorgan U.S. Government Money Market Fund, Class IM

    698,687       698,687  

MassMutual Core Bond Fund, Class I (a)

    18,439       167,798  

MassMutual High Yield Fund, Class I (a)

    20,391       148,240  

MassMutual Strategic Bond Fund, Class I (a)

    37,108       315,792  

 

   

Number of
Shares

    

Value

  

MassMutual Total Return Bond Fund, Class I (a)

    37,463     $ 315,439  

Vanguard Total Bond Market Index Fund, Admiral Shares

    4,490       42,162  
              1,748,293  
                 

TOTAL MUTUAL FUNDS (Cost $21,405,228)

            17,347,952  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $21,405,228)

            17,347,952  
                 

TOTAL INVESTMENTS — 100.3% (Cost $21,405,228) (b)

            17,347,952  
                 

Other Assets/(Liabilities) — (0.3)%

            (49,260 )
                 

NET ASSETS — 100.0%

          $ 17,298,692  

 

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.

 

60

 

 

MassMutual Select T. Rowe Price Retirement Balanced Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.0%

Equity Funds — 37.2%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    2,004,251     $ 16,815,662  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    2,168,614       24,353,536  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    262,556       2,714,833  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    773,426       8,515,421  

MM S&P 500 Index Fund, Class I (a)

    409,753       6,527,362  
              58,926,814  

Fixed Income Funds — 62.8%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    3,925,924       33,880,728  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    926,416       6,308,894  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    3,299,041       32,495,550  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    879,580       4,811,303  

State Street Institutional U.S. Government Money Market Fund

    4,893,152       4,893,152  

T. Rowe Price Dynamic Global Bond Fund, Class I

    759,099       7,583,401  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional Floating Rate Fund

    386,673     $ 3,510,992  

T. Rowe Price Institutional High Yield Fund

    805,426       5,774,901  
              99,258,921  
                 

TOTAL MUTUAL FUNDS (Cost $185,289,644)

            158,185,735  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $185,289,644)

            158,185,735  
                 

TOTAL INVESTMENTS — 100.0% (Cost $185,289,644) (b)

            158,185,735  
                 

Other Assets/(Liabilities) — (0.0)%

            (54,665 )
                 

NET ASSETS — 100.0%

          $ 158,131,070  

 

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.

 

61

 

 

MassMutual Select T. Rowe Price Retirement 2005 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.0%

Equity Funds — 40.4%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    331,747     $ 2,783,353  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    363,376       4,080,715  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    44,245       457,498  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    131,895       1,452,168  

MM S&P 500 Index Fund, Class I (a)

    68,297       1,087,971  
              9,861,705  

Fixed Income Funds — 59.6%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    602,760       5,201,816  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    139,057       946,977  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    429,844       4,233,959  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    141,284       772,825  

State Street Institutional U.S. Government Money Market Fund

    800,107       800,107  

T. Rowe Price Dynamic Global Bond Fund, Class I

    115,947       1,158,315  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional Floating Rate Fund

    58,570     $ 531,814  

T. Rowe Price Institutional High Yield Fund

    121,838       873,582  
              14,519,395  
                 

TOTAL MUTUAL FUNDS (Cost $29,043,176)

            24,381,100  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $29,043,176)

            24,381,100  
                 

TOTAL INVESTMENTS — 100.0% (Cost $29,043,176) (b)

            24,381,100  
                 

Other Assets/(Liabilities) — (0.0)%

            (1,860 )
                 

NET ASSETS — 100.0%

          $ 24,379,240  

 

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.

 

62

 

 

MassMutual Select T. Rowe Price Retirement 2010 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.0%

Equity Funds — 43.9%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    1,523,963     $ 12,786,049  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    1,676,648       18,828,760  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    202,832       2,097,283  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    601,372       6,621,101  

MM S&P 500 Index Fund, Class I (a)

    312,847       4,983,657  
              45,316,850  

Fixed Income Funds — 56.1%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    2,470,066       21,316,665  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    561,875       3,826,371  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    1,598,390       15,744,144  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    605,537       3,312,288  

State Street Institutional U.S. Government Money Market Fund

    3,294,316       3,294,317  

T. Rowe Price Dynamic Global Bond Fund, Class I

    476,984       4,765,075  

T. Rowe Price Institutional Floating Rate Fund

    240,056       2,179,710  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional High Yield Fund

    494,652     $ 3,546,651  
              57,985,221  
                 

TOTAL MUTUAL FUNDS (Cost $122,372,166)

            103,302,071  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $122,372,166)

            103,302,071  
                 

TOTAL INVESTMENTS — 100.0% (Cost $122,372,166) (b)

            103,302,071  
                 

Other Assets/(Liabilities) — (0.0)%

            (39,129 )
                 

NET ASSETS — 100.0%

          $ 103,262,942  

 

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.

 

63

 

 

MassMutual Select T. Rowe Price Retirement 2015 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.0%

Equity Funds — 46.9%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    1,810,764     $ 15,192,313  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    1,980,010       22,235,508  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    239,712       2,478,619  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    722,564       7,955,434  

MM S&P 500 Index Fund, Class I (a)

    358,409       5,709,460  
              53,571,334  

Fixed Income Funds — 53.1%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    2,638,510       22,770,341  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    591,427       4,027,616  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    1,533,748       15,107,415  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    671,445       3,672,806  

State Street Institutional U.S. Government Money Market Fund

    3,860,173       3,860,173  

T. Rowe Price Dynamic Global Bond Fund, Class I

    514,446       5,139,320  

T. Rowe Price Institutional Floating Rate Fund

    258,927       2,351,056  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional High Yield Fund

    525,469     $ 3,767,609  
              60,696,336  
                 

TOTAL MUTUAL FUNDS (Cost $134,502,281)

            114,267,670  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $134,502,281)

            114,267,670  
                 

TOTAL INVESTMENTS — 100.0% (Cost $134,502,281) (b)

            114,267,670  
                 

Other Assets/(Liabilities) — (0.0)%

            (36,236 )
                 

NET ASSETS — 100.0%

          $ 114,231,434  

 

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.

 

64

 

 

MassMutual Select T. Rowe Price Retirement 2020 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.0%

Equity Funds — 50.5%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    8,858,855     $ 74,325,793  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    9,440,751       106,019,636  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    1,161,833       12,013,357  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    3,472,421       38,231,353  

MM S&P 500 Index Fund, Class I (a)

    1,762,055       28,069,532  
              258,659,671  

Fixed Income Funds — 49.5%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    11,548,304       99,661,860  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    2,504,178       17,053,450  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    5,820,223       57,329,199  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    3,025,247       16,548,103  

State Street Institutional U.S. Government Money Market Fund

    15,064,448       15,064,448  

T. Rowe Price Dynamic Global Bond Fund, Class I

    2,206,497       22,042,910  

T. Rowe Price Institutional Floating Rate Fund

    1,090,120       9,898,286  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional High Yield Fund

    2,211,119     $ 15,853,722  
              253,451,978  
                 

TOTAL MUTUAL FUNDS (Cost $598,638,492)

            512,111,649  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $598,638,492)

            512,111,649  
                 

TOTAL INVESTMENTS — 100.0% (Cost $598,638,492) (b)

            512,111,649  
                 

Other Assets/(Liabilities) — (0.0)%

            (253,598 )
                 

NET ASSETS — 100.0%

          $ 511,858,051  

 

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.

 

65

 

 

MassMutual Select T. Rowe Price Retirement 2025 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.0%

Equity Funds — 57.8%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    10,258,571     $ 86,069,408  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    11,215,659       125,951,849  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    1,377,795       14,246,400  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    4,129,756       45,468,612  

MM S&P 500 Index Fund, Class I (a)

    2,086,592       33,239,405  
              304,975,674  

Fixed Income Funds — 42.2%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    10,585,261       91,350,803  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    2,107,509       14,352,134  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    3,920,675       38,618,648  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    3,304,491       18,075,564  

State Street Institutional U.S. Government Money Market Fund

    18,039,995       18,039,995  

T. Rowe Price Dynamic Global Bond Fund, Class I

    2,026,835       20,248,082  

T. Rowe Price Institutional Floating Rate Fund

    978,652       8,886,162  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional High Yield Fund

    1,851,126     $ 13,272,570  
              222,843,958  
                 

TOTAL MUTUAL FUNDS (Cost $623,607,680)

            527,819,632  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $623,607,680)

            527,819,632  
                 

TOTAL INVESTMENTS — 100.0% (Cost $623,607,680) (b)

            527,819,632  
                 

Other Assets/(Liabilities) — (0.0)%

            (247,854 )
                 

NET ASSETS — 100.0%

          $ 527,571,778  

 

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.

 

66

 

 

MassMutual Select T. Rowe Price Retirement 2030 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 69.1%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    27,285,577     $ 228,925,991  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    29,922,920       336,034,396  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    3,683,865       38,091,163  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    10,821,690       119,146,811  

MM S&P 500 Index Fund, Class I (a)

    5,523,928       87,996,174  
              810,194,535  

Fixed Income Funds — 31.0%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    19,343,894       166,937,807  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    3,118,868       21,239,488  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    2,504,069       24,665,077  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    7,567,574       41,394,630  

State Street Institutional U.S. Government Money Market Fund

    38,935,707       38,935,707  

T. Rowe Price Dynamic Global Bond Fund, Class I

    3,599,810       35,962,097  

T. Rowe Price Institutional Floating Rate Fund

    1,637,847       14,871,647  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional High Yield Fund

    2,728,339     $ 19,562,191  
              363,568,644  
                 

TOTAL MUTUAL FUNDS (Cost $1,355,298,450)

            1,173,763,179  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $1,355,298,450)

            1,173,763,179  
                 

TOTAL INVESTMENTS — 100.1% (Cost $1,355,298,450) (b)

            1,173,763,179  
                 

Other Assets/(Liabilities) — (0.1)%

            (636,439 )
                 

NET ASSETS — 100.0%

          $ 1,173,126,740  

 

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.

 

67

 

 

MassMutual Select T. Rowe Price Retirement 2035 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 80.2%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    16,806,438     $ 141,006,016  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    18,183,534       204,201,090  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    2,235,119       23,111,135  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    6,596,448       72,626,897  

MM S&P 500 Index Fund, Class I (a)

    3,196,031       50,912,772  
              491,857,910  

Fixed Income Funds — 19.9%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    6,572,102       56,717,237  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    851,100       5,795,993  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    33,130       326,326  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    3,044,208       16,651,820  

State Street Institutional U.S. Government Money Market Fund

    20,611,783       20,611,783  

T. Rowe Price Dynamic Global Bond Fund, Class I

    1,196,095       11,948,987  

T. Rowe Price Institutional Floating Rate Fund

    521,696       4,737,001  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Institutional High Yield Fund

    760,861     $ 5,455,371  
              122,244,518  
                 

TOTAL MUTUAL FUNDS (Cost $720,002,967)

            614,102,428  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $720,002,967)

            614,102,428  
                 

TOTAL INVESTMENTS — 100.1% (Cost $720,002,967) (b)

            614,102,428  
                 

Other Assets/(Liabilities) — (0.1)%

            (317,059 )
                 

NET ASSETS — 100.0%

          $ 613,785,369  

 

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.

 

68

 

 

MassMutual Select T. Rowe Price Retirement 2040 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 89.4%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    31,104,501     $ 260,966,760  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    34,012,438       381,959,678  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    4,183,309       43,255,420  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    12,380,163       136,305,591  

MM S&P 500 Index Fund, Class I (a)

    6,036,269       96,157,761  
              918,645,210  

Fixed Income Funds — 10.7%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    5,155,975       44,496,064  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I (a)

    346,102       2,356,952  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    54,388       535,724  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    2,814,978       15,397,932  

State Street Institutional U.S. Government Money Market Fund

    31,349,451       31,349,451  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Dynamic Global Bond Fund, Class I

    903,384     $ 9,024,805  

T. Rowe Price Institutional High Yield Fund

    842,681       6,042,021  
              109,202,949  
                 

TOTAL MUTUAL FUNDS (Cost $1,191,433,428)

            1,027,848,159  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $1,191,433,428)

            1,027,848,159  
                 

TOTAL INVESTMENTS — 100.1% (Cost $1,191,433,428) (b)

            1,027,848,159  
                 

Other Assets/(Liabilities) — (0.1)%

            (593,438 )
                 

NET ASSETS — 100.0%

          $ 1,027,254,721  

 

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.

 

69

 

 

MassMutual Select T. Rowe Price Retirement 2045 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 94.2%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    15,164,567     $ 127,230,715  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    16,430,222       184,511,397  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    2,036,053       21,052,785  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    6,127,429       67,462,988  

MM S&P 500 Index Fund, Class I (a)

    2,979,229       47,459,123  
              447,717,008  

Fixed Income Funds — 5.9%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    931,788       8,041,326  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    24,427       240,606  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    567,878       3,106,295  

State Street Institutional U.S. Government Money Market Fund

    15,124,853       15,124,853  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Dynamic Global Bond Fund, Class I

    146,515     $ 1,463,685  
              27,976,765  
                 

TOTAL MUTUAL FUNDS (Cost $560,331,673)

            475,693,773  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $560,331,673)

            475,693,773  
                 

TOTAL INVESTMENTS — 100.1% (Cost $560,331,673) (b)

            475,693,773  
                 

Other Assets/(Liabilities) — (0.1)%

            (258,820 )
                 

NET ASSETS — 100.0%

          $ 475,434,953  

 

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.

 

70

 

 

MassMutual Select T. Rowe Price Retirement 2050 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 95.7%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    22,788,378     $ 191,194,494  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    24,600,211       276,260,366  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    3,045,122       31,486,565  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    9,123,299       100,447,523  

MM S&P 500 Index Fund, Class I (a)

    4,504,562       71,757,681  
              671,146,629  

Fixed Income Funds — 4.4%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    597,665       5,157,848  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    38,322       377,475  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    343,016       1,876,296  

State Street Institutional U.S. Government Money Market Fund

    22,016,715       22,016,715  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Dynamic Global Bond Fund, Class I

    93,869     $ 937,754  
              30,366,088  
                 

TOTAL MUTUAL FUNDS (Cost $818,940,116)

            701,512,717  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $818,940,116)

            701,512,717  
                 

TOTAL INVESTMENTS — 100.1% (Cost $818,940,116) (b)

            701,512,717  
                 

Other Assets/(Liabilities) — (0.1)%

            (413,435 )
                 

NET ASSETS — 100.0%

          $ 701,099,282  

 

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.

 

71

 

 

MassMutual Select T. Rowe Price Retirement 2055 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 96.2%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    9,579,697     $ 80,373,659  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    10,405,983       116,859,191  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    1,288,939       13,327,629  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    3,872,211       42,633,047  

MM S&P 500 Index Fund, Class I (a)

    1,903,690       30,325,790  
              283,519,316  

Fixed Income Funds — 3.9%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    246,694       2,128,967  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    14,886       146,626  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    145,834       797,710  

State Street Institutional U.S. Government Money Market Fund

    7,958,488       7,958,488  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Dynamic Global Bond Fund, Class I

    40,963     $ 409,222  
              11,441,013  
                 

TOTAL MUTUAL FUNDS (Cost $350,485,595)

            294,960,329  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $350,485,595)

            294,960,329  
                 

TOTAL INVESTMENTS — 100.1% (Cost $350,485,595) (b)

            294,960,329  
                 

Other Assets/(Liabilities) — (0.1)%

            (160,959 )
                 

NET ASSETS — 100.0%

          $ 294,799,370  

 

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.

 

72

 

 

MassMutual Select T. Rowe Price Retirement 2060 Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 100.1%

Equity Funds — 96.2%

MassMutual Select T. Rowe Price International Equity Fund, Class I (a)

    4,223,121     $ 35,431,987  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I (a)

    4,615,511       51,832,191  

MassMutual Select T. Rowe Price Real Assets Fund, Class I (a)

    571,278       5,907,018  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I (a)

    1,709,998       18,827,080  

MM S&P 500 Index Fund, Class I (a)

    842,405       13,419,519  
              125,417,795  

Fixed Income Funds — 3.9%

MassMutual Select T. Rowe Price Bond Asset Fund, Class I (a)

    106,354       917,837  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I (a)

    6,139       60,468  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I (a)

    65,366       357,552  

State Street Institutional U.S. Government Money Market Fund

    3,536,896       3,536,896  

 

   

Number of
Shares

    

Value

  

T. Rowe Price Dynamic Global Bond Fund, Class I

    20,173     $ 201,531  
              5,074,284  
                 

TOTAL MUTUAL FUNDS (Cost $160,209,946)

            130,492,079  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $160,209,946)

            130,492,079  
                 

TOTAL INVESTMENTS — 100.1% (Cost $160,209,946) (b)

            130,492,079  
                 

Other Assets/(Liabilities) — (0.1)%

            (69,342 )
                 

NET ASSETS — 100.0%

          $ 130,422,737  

 

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.

 

73

 

 

MassMutual Funds – Financial Statements

Statements of Assets and Liabilities

September 30, 2022

 

   

MassMutual
20/80 Allocation
Fund

    

MassMutual
40/60 Allocation
Fund

  

Assets:

                

Investments, at value - unaffiliated issuers (Note 2) (a)

  $ 18,024,758     $ 22,667,660  

Investments, at value - affiliated issuers (Note 2 & 7) (b)

    140,321,884       147,173,543  

Total investments

    158,346,642       169,841,203  

Receivables from:

                

Investments sold

               

Regular delivery

    —       —  

Fund shares sold

    78,384       123,273  

Investment adviser (Note 3)

    13,676       10,830  

Dividends

    139,369       113,757  

Prepaid expenses

    34,954       35,618  

Total assets

    158,613,025       170,124,681  

Liabilities:

                

Payables for:

                

Investments purchased

               

Regular delivery

    179,536       227,655  

Fund shares repurchased

    91       7,252  

Trustees’ fees and expenses (Note 3)

    21,897       36,115  

Affiliates (Note 3):

                

Administration fees

    54,626       57,205  

Service fees

    14,711       62,281  

Distribution fees

    2,936       10,286  

Accrued expense and other liabilities

    62,987       66,607  

Total liabilities

    336,784       467,401  

Net assets

  $ 158,276,241     $ 169,657,280  

Net assets consist of:

                

Paid-in capital

  $ 188,088,915     $ 201,312,422  

Accumulated earnings (loss)

    (29,812,674 )     (31,655,142 )

Net assets

  $ 158,276,241     $ 169,657,280  

 

(a)

Cost of investments - unaffiliated issuers:

  $ 21,164,226     $ 26,058,079  

(b)

Cost of investments - affiliated issuers:

  $ 166,718,607     $ 176,604,609  

 

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

 

74

 

 

 
 

 

 

 

MassMutual
60/40 Allocation
Fund

    

MassMutual
80/20 Allocation
Fund

    

MassMutual
RetireSMART
by JPMorgan In
Retirement Fund

    

MassMutual
RetireSMART
by JPMorgan
2020 Fund

    

MassMutual
RetireSMART
by JPMorgan
2025 Fund

  
                                       
  $ 21,407,366     $ 18,168,569     $ 23,197,458     $ 45,056,240     $ 34,857,041  
    135,797,671       95,689,668       59,976,317       116,751,094       107,343,539  
    157,205,037       113,858,237       83,173,775       161,807,334       142,200,580  
                                       
                                       
    —       —       —       —       203,812  
    75,249       56,680       46,650       60,076       52,946  
    10,794       10,625       15,251       14,209       15,483  
    94,676       62,002       57,639       112,216       78,752  
    34,953       34,953       32,011       32,385       33,750  
    157,420,709       114,022,497       83,325,326       162,026,220       142,585,323  
                                       
                                       
                                       
    167,874       95,849       83,839       112,278       78,752  
    86       21,408       19,419       57,948       238,782  
    29,447       11,006       33,731       58,518       15,718  
                                       
    55,982       44,252       41,628       49,908       47,032  
    42,172       31,811       24,365       47,383       46,793  
    6,474       9,727       11,005       23,069       26,366  
    63,648       53,590       75,533       85,639       76,147  
    365,683       267,643       289,520       434,743       529,590  
  $ 157,055,026     $ 113,754,854     $ 83,035,806     $ 161,591,477     $ 142,055,733  
                                       
  $ 182,545,212     $ 132,821,763     $ 95,393,977     $ 190,575,159     $ 168,101,145  
    (25,490,186 )     (19,066,909 )     (12,358,171 )     (28,983,682 )     (26,045,412 )
  $ 157,055,026     $ 113,754,854     $ 83,035,806     $ 161,591,477     $ 142,055,733  

 

  $ 24,740,808     $ 19,873,598     $ 24,983,847     $ 48,561,560     $ 38,694,850  
  $ 162,300,210     $ 115,965,594     $ 72,862,468     $ 142,260,213     $ 132,744,070  

 

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

 

75

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
20/80 Allocation
Fund

    

MassMutual
40/60 Allocation
Fund

  

Class I shares:

                

Net assets

  $ 13,143,070     $ 30,477,364  

Shares outstanding (a)

    1,570,580       3,755,892  

Net asset value, offering price and redemption price per share

  $ 8.37     $ 8.11  

Class R5 shares:

                

Net assets

  $ 2,488,417     $ 5,503,150  

Shares outstanding (a)

    297,957       677,574  

Net asset value, offering price and redemption price per share

  $ 8.35     $ 8.12  

Service Class shares:

                

Net assets

  $ 103,035,241     $ 12,833,857  

Shares outstanding (a)

    12,340,819       1,571,690  

Net asset value, offering price and redemption price per share

  $ 8.35     $ 8.17  

Administrative Class shares:

                

Net assets

  $ 18,214,540     $ 28,220,282  

Shares outstanding (a)

    2,174,558       3,458,200  

Net asset value, offering price and redemption price per share

  $ 8.38     $ 8.16  

Class R4 shares:

                

Net assets

  $ 3,066,307     $ 32,057,569  

Shares outstanding (a)

    360,292       3,973,970  

Net asset value, offering price and redemption price per share

  $ 8.51     $ 8.07  

Class A shares:

                

Net assets

  $ 14,202,381     $ 45,255,831  

Shares outstanding (a)

    1,687,472       5,529,162  

Net asset value, and redemption price per share

    8.42       8.18  

Offering price per share (100/[100-maximum sales charge] of net asset value)

  $ 8.91     $ 8.66  

Class R3 shares:

                

Net assets

  $ 4,126,285     $ 15,309,227  

Shares outstanding (a)

    500,418       1,907,610  

Net asset value, offering price and redemption price per share

  $ 8.25     $ 8.03  

 

(a)

Authorized unlimited number of shares with no par value.

 

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

 

76

 

 

 
 

 

 

 

MassMutual
60/40 Allocation
Fund

    

MassMutual
80/20 Allocation
Fund

    

MassMutual
RetireSMART
by JPMorgan In
Retirement Fund

    

MassMutual
RetireSMART
by JPMorgan
2020 Fund

    

MassMutual
RetireSMART
by JPMorgan
2025 Fund

  
                                       
  $ 28,472,785     $ 33,246,165     $ 14,100,038     $ 37,477,934     $ 44,023,145  
    3,548,238       3,751,466       1,498,635       3,741,005       4,492,789  
  $ 8.02     $ 8.86     $ 9.41     $ 10.02     $ 9.80  
                                       
  $ 8,300,085     $ 3,300,521     $ 3,825,825     $ 23,949,940     $ 1,186,260  
    1,034,248       371,926       405,404       2,396,591       119,688  
  $ 8.03     $ 8.87     $ 9.44     $ 9.99     $ 9.91  
                                       
  $ 20,361,358     $ 12,945,343     $ 5,973,488     $ 9,053,151     $ 3,810,763  
    2,524,529       1,457,182       632,312       899,081       388,055  
  $ 8.07     $ 8.88     $ 9.45     $ 10.07     $ 9.82  
                                       
  $ 37,870,533     $ 17,295,981     $ 22,751,126     $ 19,965,507     $ 24,363,396  
    4,693,759       1,947,172       2,409,216       1,990,184       2,494,771  
  $ 8.07     $ 8.88     $ 9.44     $ 10.03     $ 9.77  
                                       
  $ 8,037,485     $ 12,041,197     $ 9,503,731     $ 15,666,183     $ 21,217,878  
    1,005,936       1,379,318       1,025,388       1,603,593       2,212,420  
  $ 7.99     $ 8.73     $ 9.27     $ 9.77     $ 9.59  
                                       
  $ 44,420,495     $ 20,773,090     $ 10,306,987     $ 20,469,755     $ 8,654,945  
    5,483,613       2,341,656       1,093,962       2,052,505       886,263  
    8.10       8.87       9.42       9.97       9.77  
  $ 8.57     $ 9.39     $ 9.97     $ 10.55     $ 10.34  
                                       
  $ 9,592,285     $ 14,152,557     $ 16,574,611     $ 35,009,007     $ 38,799,346  
    1,207,488       1,633,253       1,806,214       3,662,788       4,060,046  
  $ 7.94     $ 8.67     $ 9.18     $ 9.56     $ 9.56  

 

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

 

77

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
RetireSMART
by JPMorgan
2030 Fund

    

MassMutual
RetireSMART
by JPMorgan
2035 Fund

  

Assets:

                

Investments, at value - unaffiliated issuers (Note 2) (a)

  $ 75,994,015     $ 34,206,700  

Investments, at value - affiliated issuers (Note 2 & 7) (b)

    233,453,977       104,233,460  

Total investments

    309,447,992       138,440,160  

Receivables from:

                

Investments sold

               

Regular delivery

    —       48,994  

Fund shares sold

    152,331       86,952  

Investment adviser (Note 3)

    11,516       11,100  

Dividends

    133,938       37,773  

Prepaid expenses

    31,921       33,751  

Total assets

    309,777,698       138,658,730  

Liabilities:

                

Payables for:

                

Investments purchased

               

Regular delivery

    204,280       37,773  

Fund shares repurchased

    78,062       121,643  

Trustees’ fees and expenses (Note 3)

    57,863       16,845  

Affiliates (Note 3):

                

Administration fees

    71,630       46,357  

Service fees

    81,177       45,648  

Distribution fees

    47,616       27,947  

Accrued expense and other liabilities

    94,938       69,680  

Total liabilities

    635,566       365,893  

Net assets

  $ 309,142,132     $ 138,292,837  

Net assets consist of:

                

Paid-in capital

  $ 366,756,607     $ 163,189,382  

Accumulated earnings (loss)

    (57,614,475 )     (24,896,545 )

Net assets

  $ 309,142,132     $ 138,292,837  

 

(a)

Cost of investments - unaffiliated issuers:

  $ 84,911,465     $ 37,673,836  

(b)

Cost of investments - affiliated issuers:

  $ 289,614,375     $ 131,179,982  

 

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

 

78

 

 

 
 

 

 

 

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

  
                                       
  $ 58,725,160     $ 27,842,130     $ 43,445,484     $ 14,593,839     $ 4,806,751  
    165,392,241       73,353,863       113,535,978       38,091,517       12,541,201  
    224,117,401       101,195,993       156,981,462       52,685,356       17,347,952  
                                       
                                       
    5,022       50,962       —       4,451       —  
    149,951       56,401       138,796       58,410       18,753  
    13,375       15,034       14,946       17,662       16,278  
    47,906       15,040       21,283       7,140       2,349  
    32,212       33,750       30,384       39,045       17,126  
    224,365,867       101,367,180       157,186,871       52,812,064       17,402,458  
                                       
                                       
                                       
    47,906       15,040       36,780       7,140       18,462  
    152,105       106,086       121,295       62,203       2,161  
    35,942       10,277       18,515       2,841       874  
                                       
    59,285       42,376       50,219       35,046       28,464  
    50,975       36,223       33,701       18,644       1,732  
    29,613       20,978       19,409       13,716       898  
    78,193       61,857       65,378       51,902       51,175  
    454,019       292,837       345,297       191,492       103,766  
  $ 223,911,848     $ 101,074,343     $ 156,841,574     $ 52,620,572     $ 17,298,692  
                                       
  $ 262,332,325     $ 118,015,772     $ 184,824,449     $ 62,142,309     $ 20,480,977  
    (38,420,477 )     (16,941,429 )     (27,982,875 )     (9,521,737 )     (3,182,285 )
  $ 223,911,848     $ 101,074,343     $ 156,841,574     $ 52,620,572     $ 17,298,692  

 

  $ 65,563,244     $ 30,806,194     $ 48,160,739     $ 16,206,145     $ 5,352,992  
  $ 209,434,724     $ 94,078,688     $ 145,341,978     $ 49,014,841     $ 16,052,236  

 

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

 

79

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
RetireSMART
by JPMorgan
2030 Fund

    

MassMutual
RetireSMART
by JPMorgan
2035 Fund

  

Class I shares:

                

Net assets

  $ 56,716,674     $ 41,191,145  

Shares outstanding (a)

    5,661,462       4,122,991  

Net asset value, offering price and redemption price per share

  $ 10.02     $ 9.99  

Class R5 shares:

                

Net assets

  $ 68,660,859     $ 2,624,094  

Shares outstanding (a)

    6,893,888       262,322  

Net asset value, offering price and redemption price per share

  $ 9.96     $ 10.00  

Service Class shares:

                

Net assets

  $ 15,661,402     $ 6,293,191  

Shares outstanding (a)

    1,560,289       620,056  

Net asset value, offering price and redemption price per share

  $ 10.04     $ 10.15  

Administrative Class shares:

                

Net assets

  $ 48,874,028     $ 20,431,896  

Shares outstanding (a)

    4,887,246       2,026,251  

Net asset value, offering price and redemption price per share

  $ 10.00     $ 10.08  

Class R4 shares:

                

Net assets

  $ 22,702,059     $ 18,897,162  

Shares outstanding (a)

    2,313,892       1,908,697  

Net asset value, offering price and redemption price per share

  $ 9.81     $ 9.90  

Class A shares:

                

Net assets

  $ 26,416,674     $ 7,392,000  

Shares outstanding (a)

    2,658,275       737,018  

Net asset value, and redemption price per share

    9.94       10.03  

Offering price per share (100/[100-maximum sales charge] of net asset value)

  $ 10.52     $ 10.61  

Class R3 shares:

                

Net assets

  $ 70,110,436     $ 41,463,349  

Shares outstanding (a)

    7,300,921       4,208,396  

Net asset value, offering price and redemption price per share

  $ 9.60     $ 9.85  

 

(a)

Authorized unlimited number of shares with no par value.

 

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

 

80

 

 

 
 

 

 

 

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

  
                                       
  $ 46,252,489     $ 26,481,230     $ 26,438,601     $ 12,870,592     $ 11,504,559  
    4,636,380       2,657,414       3,633,807       1,498,910       1,347,342  
  $ 9.98     $ 9.97     $ 7.28     $ 8.59     $ 8.54  
                                       
  $ 47,871,339     $ 1,198,683     $ 41,661,861     $ 876,892     $ 194,306  
    4,802,893       120,283       5,739,283       102,100       22,759  
  $ 9.97     $ 9.97     $ 7.26     $ 8.59     $ 8.54  
                                       
  $ 11,683,022     $ 3,250,613     $ 4,477,649     $ 2,665,679     $ 1,215,462  
    1,166,002       325,914       612,406       309,105       143,166  
  $ 10.02     $ 9.97     $ 7.31     $ 8.62     $ 8.49  
                                       
  $ 43,753,637     $ 17,419,020     $ 34,706,078     $ 8,852,150     $ 1,788,337  
    4,397,047       1,758,857       4,775,914       1,036,007       211,268  
  $ 9.95     $ 9.90     $ 7.27     $ 8.54     $ 8.46  
                                       
  $ 15,650,361     $ 15,863,671     $ 12,419,078     $ 5,975,899     $ 923,375  
    1,606,123       1,634,831       1,736,818       704,132       109,168  
  $ 9.74     $ 9.70     $ 7.15     $ 8.49     $ 8.46  
                                       
  $ 15,261,594     $ 6,266,837     $ 8,581,787     $ 1,265,166     $ 329,228  
    1,543,655       635,753       1,187,030       145,933       38,821  
    9.89       9.86       7.23       8.67       8.48  
  $ 10.47     $ 10.43     $ 7.65     $ 9.17     $ 8.97  
                                       
  $ 43,439,406     $ 30,594,289     $ 28,556,520     $ 20,114,194     $ 1,343,425  
    4,564,648       3,166,128       4,039,428       2,387,908       159,589  
  $ 9.52     $ 9.66     $ 7.07     $ 8.42     $ 8.42  

 

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

 

81

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

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)

  $ 21,762,446     $ 3,363,818  

Investments, at value - affiliated issuers (Note 2 & 7) (b)

    136,423,289       21,017,282  

Total investments

    158,185,735       24,381,100  

Receivables from:

                

Investments sold

               

Regular delivery

    44,809       —  

Fund shares sold

    19,337       61,082  

Investment adviser (Note 3)

    16,304       3,015  

Dividends

    72,450       10,994  

Total assets

    158,338,635       24,456,191  

Liabilities:

                

Payables for:

                

Investments purchased

               

Regular delivery

    72,450       71,967  

Fund shares repurchased

    62,531       —  

Affiliates (Note 3):

                

Investment advisory fees

    61,772       1,611  

Service fees

    7,899       2,402  

Distribution fees

    2,913       971  

Total liabilities

    207,565       76,951  

Net assets

  $ 158,131,070     $ 24,379,240  

Net assets consist of:

                

Paid-in capital

  $ 179,243,282     $ 28,379,614  

Accumulated earnings (loss)

    (21,112,212 )     (4,000,374 )

Net assets

  $ 158,131,070     $ 24,379,240  

 

(a)

Cost of investments - unaffiliated issuers:

  $ 23,003,306     $ 3,558,168  

(b)

Cost of investments - affiliated issuers:

  $ 162,286,338     $ 25,485,008  

 

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

 

82

 

 

 
 

 

 

 

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

  
                                       
  $ 13,785,753     $ 15,118,158     $ 62,859,366     $ 60,446,809     $ 109,331,642  
    89,516,318       99,149,512       449,252,283       467,372,823       1,064,431,537  
    103,302,071       114,267,670       512,111,649       527,819,632       1,173,763,179  
                                       
                                       
    152,129       —       655,193       39,330       636,065  
    17,244       38,705       259,952       192,107       724,737  
    12,783       13,277       64,942       70,608       158,114  
    45,472       49,665       207,598       187,139       314,064  
    103,529,699       114,369,317       513,299,334       528,308,816       1,175,596,159  
                                       
                                       
                                       
    45,472       77,501       207,598       187,139       314,064  
    168,270       9,619       909,647       225,774       1,348,237  
                                       
    33,511       39,986       223,374       235,110       592,676  
    13,465       7,450       75,621       64,183       159,346  
    6,039       3,327       25,043       24,832       55,096  
    266,757       137,883       1,441,283       737,038       2,469,419  
  $ 103,262,942     $ 114,231,434     $ 511,858,051     $ 527,571,778     $ 1,173,126,740  
                                       
  $ 117,354,729     $ 127,964,862     $ 561,727,839     $ 579,822,679     $ 1,244,866,205  
    (14,091,787 )     (13,733,428 )     (49,869,788 )     (52,250,901 )     (71,739,465 )
  $ 103,262,942     $ 114,231,434     $ 511,858,051     $ 527,571,778     $ 1,173,126,740  

 

  $ 14,457,111     $ 15,850,975     $ 66,120,260     $ 63,261,810     $ 113,183,767  
  $ 107,915,055     $ 118,651,306     $ 532,518,232     $ 560,345,870     $ 1,242,114,683  

 

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

 

83

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
Select
T. Rowe Price
Retirement
Balanced Fund

    

MassMutual
Select
T. Rowe Price
Retirement
2005 Fund

  

Class I shares:

                

Net assets

  $ 20,187,224     $ 15,172,768  

Shares outstanding (a)

    1,482,489       1,218,370  

Net asset value, offering price and redemption price per share

  $ 13.62     $ 12.45  

Class M5 shares:

                

Net assets

  $ 126,516,586     $ 5,680,762  

Shares outstanding (a)

    9,279,899       457,289  

Net asset value, offering price and redemption price per share

  $ 13.63     $ 12.42  

Class M4 shares:

                

Net assets

  $ 7,314,092     $ 2,072,962  

Shares outstanding (a)

    535,904       166,957  

Net asset value, offering price and redemption price per share

  $ 13.65     $ 12.42  

Class M3 shares:

                

Net assets

  $ 4,113,168     $ 1,452,748  

Shares outstanding (a)

    303,072       117,694  

Net asset value, offering price and redemption price per share

  $ 13.57     $ 12.34  

 

(a)

Authorized unlimited number of shares with no par value.

 

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

 

84

 

 

 
 

 

 

 

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

  
                                       
  $ 63,307,726     $ 65,437,964     $ 267,728,472     $ 356,557,480     $ 627,370,203  
    4,785,746       4,823,394       19,854,259       25,435,211       43,670,085  
  $ 13.23     $ 13.57     $ 13.48     $ 14.02     $ 14.37  
                                       
  $ 20,741,428     $ 39,275,015     $ 137,210,611     $ 83,947,015     $ 322,959,100  
    1,570,672       2,901,405       10,191,480       6,000,800       22,522,655  
  $ 13.21     $ 13.54     $ 13.46     $ 13.99     $ 14.34  
                                       
  $ 10,566,728     $ 5,065,964     $ 70,875,716     $ 51,635,280     $ 143,393,004  
    800,253       373,672       5,266,879       3,696,028       10,014,914  
  $ 13.20     $ 13.56     $ 13.46     $ 13.97     $ 14.32  
                                       
  $ 8,647,060     $ 4,452,491     $ 36,043,252     $ 35,432,003     $ 79,404,433  
    655,974       330,170       2,679,216       2,545,201       5,548,207  
  $ 13.18     $ 13.49     $ 13.45     $ 13.92     $ 14.31  

 

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

 

85

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

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)

  $ 42,753,142     $ 46,416,277  

Investments, at value - affiliated issuers (Note 2 & 7) (b)

    571,349,286       981,431,882  

Total investments

    614,102,428       1,027,848,159  

Receivables from:

                

Investments sold

               

Regular delivery

    —       690,317  

Fund shares sold

    480,632       560,287  

Investment adviser (Note 3)

    89,377       151,699  

Dividends

    111,676       106,849  

Total assets

    614,784,113       1,029,357,311  

Liabilities:

                

Payables for:

                

Investments purchased

           

Regular delivery

    574,753       106,849  

Fund shares repurchased

    11,001       1,239,525  

Affiliates (Note 3):

                

Investment advisory fees

    311,521       572,241  

Service fees

    76,997       138,332  

Distribution fees

    24,472       45,643  

Total liabilities

    998,744       2,102,590  

Net assets

  $ 613,785,369     $ 1,027,254,721  

Net assets consist of:

                

Paid-in capital

  $ 661,984,177     $ 1,069,497,407  

Accumulated earnings (loss)

    (48,198,808 )     (42,242,686 )

Net assets

  $ 613,785,369     $ 1,027,254,721  

 

(a)

Cost of investments - unaffiliated issuers:

  $ 43,745,622     $ 47,192,980  

(b)

Cost of investments - affiliated issuers:

  $ 676,257,345     $ 1,144,240,448  

 

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

 

86

 

 

 
 

 

 

 

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

  
                               
  $ 16,588,538     $ 22,954,469     $ 8,367,710     $ 3,738,427  
    459,105,235       678,558,248       286,592,619       126,753,652  
    475,693,773       701,512,717       294,960,329       130,492,079  
                               
                               
    —       —       —       —  
    583,100       722,900       697,320       440,173  
    72,160       101,632       41,750       17,497  
    33,092       47,260       17,442       7,570  
    476,382,125       702,384,509       295,716,841       130,957,319  
                               
                               
                               
    584,912       169,582       709,081       439,567  
    26,174       593,053       2,552       6,885  
                               
    256,847       404,626       156,606       66,850  
    60,277       86,875       36,229       16,908  
    18,962       31,091       13,003       4,372  
    947,172       1,285,227       917,471       534,582  
  $ 475,434,953     $ 701,099,282     $ 294,799,370     $ 130,422,737  
                               
  $ 509,955,379     $ 736,924,881     $ 321,920,665     $ 149,822,527  
    (34,520,426 )     (35,825,599 )     (27,121,295 )     (19,399,790 )
  $ 475,434,953     $ 701,099,282     $ 294,799,370     $ 130,422,737  

 

  $ 16,565,415     $ 22,940,059     $ 8,362,648     $ 3,735,596  
  $ 543,766,258     $ 796,000,057     $ 342,122,947     $ 156,474,350  

 

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

 

87

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MassMutual
Select
T. Rowe Price
Retirement
2035 Fund

    

MassMutual
Select
T. Rowe Price
Retirement
2040 Fund

  

Class I shares:

                

Net assets

  $ 412,007,542     $ 542,665,826  

Shares outstanding (a)

    27,990,604       36,316,256  

Net asset value, offering price and redemption price per share

  $ 14.72     $ 14.94  

Class M5 shares:

                

Net assets

  $ 98,488,110     $ 295,086,838  

Shares outstanding (a)

    6,708,285       19,789,368  

Net asset value, offering price and redemption price per share

  $ 14.68     $ 14.91  

Class M4 shares:

                

Net assets

  $ 67,260,110     $ 123,660,536  

Shares outstanding (a)

    4,592,168       8,313,391  

Net asset value, offering price and redemption price per share

  $ 14.65     $ 14.87  

Class M3 shares:

                

Net assets

  $ 36,029,607     $ 65,841,521  

Shares outstanding (a)

    2,458,979       4,424,794  

Net asset value, offering price and redemption price per share

  $ 14.65     $ 14.88  

 

(a)

Authorized unlimited number of shares with no par value.

 

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

 

88

 

 

 
 

 

 

 

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

  
                               
  $ 333,390,181     $ 364,456,826     $ 215,507,286     $ 70,208,313  
    22,065,169       23,970,644       14,241,875       4,653,653  
  $ 15.11     $ 15.20     $ 15.13     $ 15.09  
                               
  $ 65,767,959     $ 221,154,582     $ 32,886,588     $ 36,563,564  
    4,363,488       14,576,073       2,178,683       2,431,675  
  $ 15.07     $ 15.17     $ 15.09     $ 15.04  
                               
  $ 48,714,663     $ 70,887,402     $ 27,141,570     $ 17,032,085  
    3,244,769       4,686,878       1,804,862       1,137,823  
  $ 15.01     $ 15.12     $ 15.04     $ 14.97  
                               
  $ 27,562,150     $ 44,600,472     $ 19,263,926     $ 6,618,775  
    1,831,842       2,950,192       1,281,874       442,594  
  $ 15.05     $ 15.12     $ 15.03     $ 14.95  

 

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

 

89

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
20/80 Allocation
Fund

    

MassMutual
40/60 Allocation
Fund

  

Investment income (Note 2):

                

Dividends - unaffiliated issuers

  $ 1,240,569     $ 1,292,374  

Dividends - affiliated issuers (Note 7)

    4,836,638       4,535,254  

Total investment income

    6,077,207       5,827,628  

Expenses (Note 3):

                

Custody fees

    7,906       8,003  

Audit fees

    43,224       43,234  

Legal fees

    6,553       7,388  

Proxy fees

    1,337       1,337  

Accounting & Administration fees

    33,942       33,948  

Shareholder reporting fees

    17,036       18,111  

Trustees’ fees

    9,556       10,988  

Registration and filing fees

    99,181       99,373  

Transfer agent fees

    2,968       2,968  
      221,703       225,350  

Administration fees:

                

Class R5

    5,458       8,155  

Service Class

    232,980       30,905  

Administrative Class

    64,685       108,814  

Class R4

    7,354       70,188  

Class A

    51,699       162,342  

Class R3

    10,842       33,652  

Distribution and Service fees:

                

Class R4

    9,192       87,735  

Class A

    43,083       135,284  

Class R3

    27,106       84,130  

Total expenses

    674,102       946,555  

Expenses waived (Note 3):

                

Class I fees reimbursed by adviser

    (12,781 )     (20,147 )

Class R5 fees reimbursed by adviser

    (4,153 )     (3,844 )

Service Class fees reimbursed by adviser

    (92,468 )     (7,443 )

Administrative Class fees reimbursed by adviser

    (17,059 )     (17,389 )

Class R4 fees reimbursed by adviser

    (2,911 )     (17,031 )

Class A fees reimbursed by adviser

    (13,627 )     (26,078 )

Class R3 fees reimbursed by adviser

    (4,285 )     (8,211 )

Net expenses:

    526,818       846,412  

Net investment income (loss)

    5,550,389       4,981,216  

Realized and unrealized gain (loss):

                

Net realized gain (loss) on:

                

Investment transactions - unaffiliated issuers

    136,761       46,095  

Investment transactions - affiliated issuers (Note 7)

    (1,792,190 )     (2,876,477 )

Realized gain distributions - affiliated issuers (Note 7)

    7,082,985       14,010,369  

Net realized gain (loss)

    5,427,556       11,179,987  

Net change in unrealized appreciation (depreciation) on:

                

Investment transactions - unaffiliated issuers

    (5,068,736 )     (6,546,835 )

Investment transactions - affiliated issuers (Note 7)

    (36,166,443 )     (45,072,500 )

Net change in unrealized appreciation (depreciation)

    (41,235,179 )     (51,619,335 )

Net realized gain (loss) and change in unrealized appreciation (depreciation)

    (35,807,623 )     (40,439,348 )

Net increase (decrease) in net assets resulting from operations

  $ (30,257,234 )   $ (35,458,132 )

 

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

 

90

 

 

 
 

 

 

 

MassMutual
60/40 Allocation
Fund

    

MassMutual
80/20 Allocation
Fund

    

MassMutual
RetireSMART
by JPMorgan In
Retirement Fund

    

MassMutual
RetireSMART
by JPMorgan
2020 Fund

    

MassMutual
RetireSMART
by JPMorgan
2025 Fund

  
                                       
  $ 1,166,623     $ 872,002     $ 790,580     $ 1,674,402     $ 1,629,664  
    3,405,998       2,072,223       2,383,039       5,163,906       3,821,964  
    4,572,621       2,944,225       3,173,619       6,838,308       5,451,628  
                                       
    7,877       8,194       10,027       9,645       9,878  
    41,803       41,758       43,177       43,949       41,806  
    7,329       5,240       1,884       5,019       4,666  
    1,337       1,337       1,337       1,337       1,337  
    33,951       33,945       31,227       34,195       34,182  
    17,330       14,038       21,729       23,547       19,721  
    10,171       6,968       5,504       11,875       9,043  
    99,182       99,172       100,454       102,285       100,490  
    2,968       2,968       2,968       2,968       2,968  
    221,948       213,620       218,307       234,820       224,091  
                                       
    15,971       5,801       4,492       30,698       1,351  
    48,593       30,023       17,213       36,973       13,067  
    144,765       63,820       83,333       86,796       92,895  
    19,233       26,746       22,930       38,042       50,298  
    158,336       79,503       37,874       78,567       34,294  
    23,531       34,393       39,654       85,423       100,578  
                                       
    24,041       33,434       28,663       47,553       62,874  
    131,947       66,252       31,562       65,473       28,578  
    58,826       85,982       99,134       213,558       251,442  
    847,191       639,574       583,162       917,903       859,468  
                                       
    (17,251 )     (25,355 )     (25,628 )     (33,020 )     (61,059 )
    (8,242 )     (3,719 )     (6,986 )     (21,684 )     (1,568 )
    (13,370 )     (9,742 )     (13,369 )     (12,698 )     (7,505 )
    (26,202 )     (13,754 )     (43,323 )     (20,198 )     (35,790 )
    (5,273 )     (8,661 )     (17,785 )     (13,461 )     (29,113 )
    (28,992 )     (16,918 )     (19,604 )     (18,511 )     (13,188 )
    (6,414 )     (11,127 )     (30,897 )     (30,248 )     (58,031 )
    741,447       550,298       425,570       768,083       653,214  
    3,831,174       2,393,927       2,748,049       6,070,225       4,798,414  
                                       
                                       
    731,408       87,180       (699,559 )     (242,711 )     181,045  
    197,863       324,973       (1,100,530 )     (1,120,306 )     (43,249 )
    19,085,809       15,710,895       5,162,041       11,267,199       12,035,174  
    20,015,080       16,123,048       3,361,952       9,904,182       12,172,970  
                                       
    (7,110,272 )     (5,786,542 )     (3,510,282 )     (8,304,626 )     (8,782,803 )
    (48,184,805 )     (37,640,045 )     (19,418,121 )     (41,246,354 )     (39,821,736 )
    (55,295,077 )     (43,426,587 )     (22,928,403 )     (49,550,980 )     (48,604,539 )
    (35,279,997 )     (27,303,539 )     (19,566,451 )     (39,646,798 )     (36,431,569 )
  $ (31,448,823 )   $ (24,909,612 )   $ (16,818,402 )   $ (33,576,573 )   $ (31,633,155 )

 

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

 

91

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
RetireSMART
by JPMorgan
2030 Fund

    

MassMutual
RetireSMART
by JPMorgan
2035 Fund

  

Investment income (Note 2):

                

Dividends - unaffiliated issuers

  $ 3,763,583     $ 1,614,471  

Dividends - affiliated issuers (Note 7)

    7,278,361       2,806,906  

Total investment income

    11,041,944       4,421,377  

Expenses (Note 3):

                

Custody fees

    9,478       9,502  

Audit fees

    43,375       43,215  

Legal fees

    10,706       4,964  

Proxy fees

    1,337       1,337  

Accounting & Administration fees

    34,460       34,294  

Shareholder reporting fees

    27,612       17,465  

Trustees’ fees

    20,000       8,323  

Registration and filing fees

    100,058       100,157  

Transfer agent fees

    2,968       2,968  
      249,994       222,225  

Administration fees:

                

Class R5

    79,593       3,322  

Service Class

    60,482       14,746  

Administrative Class

    194,101       83,424  

Class R4

    55,354       43,495  

Class A

    100,144       32,029  

Class R3

    165,153       97,786  

Distribution and Service fees:

                

Class R4

    69,192       54,369  

Class A

    83,453       26,691  

Class R3

    412,884       244,464  

Total expenses

    1,470,350       822,551  

Expenses waived (Note 3):

                

Class I fees reimbursed by adviser

    (16,307 )     (40,066 )

Class R5 fees reimbursed by adviser

    (20,320 )     (2,720 )

Service Class fees reimbursed by adviser

    (7,584 )     (6,051 )

Administrative Class fees reimbursed by adviser

    (16,436 )     (22,570 )

Class R4 fees reimbursed by adviser

    (7,053 )     (17,840 )

Class A fees reimbursed by adviser

    (8,417 )     (8,608 )

Class R3 fees reimbursed by adviser

    (21,097 )     (40,022 )

Net expenses:

    1,373,136       684,674  

Net investment income (loss)

    9,668,808       3,736,703  

Realized and unrealized gain (loss):

                

Net realized gain (loss) on:

                

Investment transactions - unaffiliated issuers

    993,846       772,104  

Investment transactions - affiliated issuers (Note 7)

    3,911,269       2,408,395  

Realized gain distributions - affiliated issuers (Note 7)

    30,983,017       16,236,548  

Net realized gain (loss)

    35,888,132       19,417,047  

Net change in unrealized appreciation (depreciation) on:

                

Investment transactions - unaffiliated issuers

    (21,016,356 )     (9,616,013 )

Investment transactions - affiliated issuers (Note 7)

    (94,958,959 )     (45,897,568 )

Net change in unrealized appreciation (depreciation)

    (115,975,315 )     (55,513,581 )

Net realized gain (loss) and change in unrealized appreciation (depreciation)

    (80,087,183 )     (36,096,534 )

Net increase (decrease) in net assets resulting from operations

  $ (70,418,375 )   $ (32,359,831 )

 

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

 

92

 

 

 
 

 

 

 

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

  
                                       
  $ 2,817,426     $ 1,267,116     $ 1,985,401     $ 638,785     $ 223,448  
    3,974,980       1,433,805       2,218,870       701,479       253,669  
    6,792,406       2,700,921       4,204,271       1,340,264       477,117  
                                       
    9,283       9,517       10,532       10,784       11,521  
    43,289       43,176       43,217       41,704       41,675  
    8,319       3,613       5,749       1,879       660  
    1,337       1,337       1,337       1,337       1,337  
    34,482       34,294       34,406       34,289       34,289  
    21,406       14,776       16,682       12,667       13,101  
    14,378       5,972       9,233       3,068       1,045  
    101,227       100,127       99,426       100,794       94,651  
    2,968       2,968       2,968       2,968       2,968  
    236,689       215,780       223,550       209,490       201,247  
                                       
    55,384       1,344       48,123       1,051       240  
    43,742       7,806       21,071       6,058       4,691  
    173,502       68,334       129,191       31,960       6,576  
    38,309       36,634       29,453       13,858       2,046  
    61,966       25,978       34,879       8,230       1,396  
    101,811       72,454       65,448       46,743       2,922  
                                       
    47,886       45,794       36,815       17,322       2,558  
    51,639       21,648       29,066       6,859       1,163  
    254,529       181,134       163,622       116,858       7,304  
    1,065,457       676,906       781,218       458,429       230,143  
                                       
    (23,424 )     (48,216 )     (28,644 )     (48,503 )     (128,034 )
    (25,160 )     (2,121 )     (47,071 )     (3,523 )     (2,285 )
    (9,896 )     (6,120 )     (10,175 )     (10,158 )     (22,193 )
    (26,094 )     (35,681 )     (42,002 )     (35,726 )     (20,724 )
    (8,680 )     (28,850 )     (14,388 )     (23,385 )     (9,684 )
    (9,327 )     (13,493 )     (11,285 )     (9,240 )     (4,407 )
    (23,020 )     (56,937 )     (31,989 )     (78,955 )     (13,908 )
    939,856       485,488       595,664       248,939       28,908  
    5,852,550       2,215,433       3,608,607       1,091,325       448,209  
                                       
                                       
    1,582,550       953,671       1,003,846       357,727       105,904  
    4,131,357       3,264,292       2,755,179       1,512,334       224,382  
    29,337,864       13,832,891       21,529,485       6,789,416       2,468,796  
    35,051,771       18,050,854       25,288,510       8,659,477       2,799,082  
                                       
    (17,061,338 )     (8,027,345 )     (12,185,454 )     (4,024,002 )     (1,327,976 )
    (77,959,787 )     (36,464,981 )     (55,139,907 )     (18,526,791 )     (6,032,053 )
    (95,021,125 )     (44,492,326 )     (67,325,361 )     (22,550,793 )     (7,360,029 )
    (59,969,354 )     (26,441,472 )     (42,036,851 )     (13,891,316 )     (4,560,947 )
  $ (54,116,804 )   $ (24,226,039 )   $ (38,428,244 )   $ (12,799,991 )   $ (4,112,738 )

 

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

 

93

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
Select
T. Rowe Price
Retirement
Balanced Fund

    

MassMutual
Select
T. Rowe Price
Retirement
2005 Fund

  

Investment income (Note 2):

                

Dividends - unaffiliated issuers

  $ 807,985     $ 123,064  

Dividends - affiliated issuers (Note 7)

    4,944,424       724,361  

Total investment income

    5,752,409       847,425  

Expenses (Note 3):

               

Investment advisory fees:

                

Class I

    96,835       71,530  

Class M5

    793,676       39,711  

Class M4

    55,573       14,478  

Class M3

    30,959       9,005  

Distribution and Service fees:

                

Class M4

    25,446       6,339  

Class M3

    28,350       7,886  

Total expenses

    1,030,839       148,949  

Expenses waived (Note 3):

                

Class I fees reimbursed by adviser

    (30,184 )     (24,648 )

Class M5 fees reimbursed by adviser

    (179,317 )     (10,091 )

Class M4 fees reimbursed by adviser

    (12,602 )     (3,679 )

Class M3 fees reimbursed by adviser

    (6,974 )     (2,289 )

Net expenses:

    801,762       108,242  

Net investment income (loss)

    4,950,647       739,183  

Realized and unrealized gain (loss):

                

Net realized gain (loss) on:

                

Investment transactions - unaffiliated issuers

    (51,142 )     5,175  

Investment transactions - affiliated issuers (Note 7)

    886,336       60,874  

Realized gain distributions - unaffiliated issuers

    99,750       15,419  

Realized gain distributions - affiliated issuers (Note 7)

    8,243,405       1,309,628  

Net realized gain (loss)

    9,178,349       1,391,096  

Net change in unrealized appreciation (depreciation) on:

                

Investment transactions - unaffiliated issuers

    (1,539,707 )     (244,603 )

Investment transactions - affiliated issuers (Note 7)

    (41,526,722 )     (6,460,013 )

Net change in unrealized appreciation (depreciation)

    (43,066,429 )     (6,704,616 )

Net realized gain (loss) and change in unrealized appreciation (depreciation)

    (33,888,080 )     (5,313,520 )

Net increase (decrease) in net assets resulting from operations

  $ (28,937,433 )   $ (4,574,337 )

 

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

 

94

 

 

 
 

 

 

 

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

  
                                       
  $ 543,886     $ 580,740     $ 2,488,911     $ 2,087,199     $ 3,349,889  
    3,430,272       3,512,147       16,564,117       14,335,873       28,971,191  
    3,974,158       4,092,887       19,053,028       16,423,072       32,321,080  
                                       
                                       
    307,537       331,798       1,421,931       1,953,942       3,493,681  
    173,791       319,333       1,352,227       934,446       3,487,189  
    96,671       53,189       630,827       530,723       1,535,833  
    66,351       37,434       291,824       302,450       680,778  
                                       
    42,326       22,609       255,451       204,092       560,167  
    58,100       31,830       236,368       232,653       496,748  
    744,776       796,193       4,188,628       4,158,306       10,254,396  
                                       
    (104,625 )     (105,470 )     (476,406 )     (639,013 )     (1,105,400 )
    (43,593 )     (75,748 )     (321,762 )     (221,546 )     (762,870 )
    (24,241 )     (12,622 )     (149,959 )     (125,635 )     (335,751 )
    (16,642 )     (8,877 )     (69,347 )     (71,534 )     (148,607 )
    555,675       593,476       3,171,154       3,100,578       7,901,768  
    3,418,483       3,499,411       15,881,874       13,322,494       24,419,312  
                                       
                                       
    (57,190 )     (48,558 )     (256,951 )     (140,591 )     (430,732 )
    1,412,720       2,825,792       19,006,786       17,986,615       36,874,127  
    70,467       73,795       338,540       278,036       491,796  
    7,072,923       7,923,395       41,651,434       44,829,260       121,946,435  
    8,498,920       10,774,424       60,739,809       62,953,320       158,881,626  
                                       
    (997,949 )     (1,081,264 )     (4,530,411 )     (3,742,081 )     (5,210,292 )
    (32,383,778 )     (37,508,805 )     (184,274,756 )     (195,358,520 )     (474,931,008 )
    (33,381,727 )     (38,590,069 )     (188,805,167 )     (199,100,601 )     (480,141,300 )
    (24,882,807 )     (27,815,645 )     (128,065,358 )     (136,147,281 )     (321,259,674 )
  $ (21,464,324 )   $ (24,316,234 )   $ (112,183,484 )   $ (122,824,787 )   $ (296,840,362 )

 

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

 

95

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MassMutual
Select
T. Rowe Price
Retirement
2035 Fund

    

MassMutual
Select
T. Rowe Price
Retirement
2040 Fund

  

Investment income (Note 2):

                

Dividends - unaffiliated issuers

  $ 1,048,785     $ 844,756  

Dividends - affiliated issuers (Note 7)

    12,852,218       21,959,484  

Total investment income

    13,901,003       22,804,240  

Expenses (Note 3):

                

Investment advisory fees:

                

Class I

    2,358,795       3,099,569  

Class M5

    1,217,349       3,485,556  

Class M4

    752,318       1,434,750  

Class M3

    304,329       597,868  

Distribution and Service fees:

                

Class M4

    262,829       484,936  

Class M3

    212,676       404,234  

Total expenses

    5,108,296       9,506,913  

Expenses waived (Note 3):

                

Class I fees reimbursed by adviser

    (742,403 )     (948,552 )

Class M5 fees reimbursed by adviser

    (269,732 )     (757,435 )

Class M4 fees reimbursed by adviser

    (166,414 )     (311,625 )

Class M3 fees reimbursed by adviser

    (67,266 )     (129,800 )

Net expenses:

    3,862,481       7,359,501  

Net investment income (loss)

    10,038,522       15,444,739  

Realized and unrealized gain (loss):

                

Net realized gain (loss) on:

                

Investment transactions - unaffiliated issuers

    (16,504 )     52,580  

Investment transactions - affiliated issuers (Note 7)

    16,597,736       38,735,322  

Realized gain distributions - unaffiliated issuers

    153,313       150,491  

Realized gain distributions - affiliated issuers (Note 7)

    66,499,665       130,697,880  

Net realized gain (loss)

    83,234,210       169,636,273  

Net change in unrealized appreciation (depreciation) on:

                

Investment transactions - unaffiliated issuers

    (1,521,025 )     (1,339,287 )

Investment transactions - affiliated issuers (Note 7)

    (254,377,000 )     (475,470,481 )

Net change in unrealized appreciation (depreciation)

    (255,898,025 )     (476,809,768 )

Net realized gain (loss) and change in unrealized appreciation (depreciation)

    (172,663,815 )     (307,173,495 )

Net increase (decrease) in net assets resulting from operations

  $ (162,625,293 )   $ (291,728,756 )

 

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

 

96

 

 

 
 

 

 

 

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

  
                               
  $ 147,379     $ 195,835     $ 70,367     $ 29,476  
    9,196,666       14,343,717       5,297,035       1,940,475  
    9,344,045       14,539,552       5,367,402       1,969,951  
                               
                               
    1,894,741       2,078,037       1,098,718       391,369  
    990,650       2,518,757       635,226       286,114  
    667,651       1,019,569       374,810       160,831  
    248,264       423,107       162,903       51,988  
                               
    220,438       334,065       122,647       52,627  
    163,962       277,266       106,612       34,024  
    4,185,706       6,650,801       2,500,916       976,953  
                               
    (572,431 )     (605,925 )     (303,293 )     (108,032 )
    (200,822 )     (489,975 )     (115,572 )     (52,219 )
    (135,321 )     (198,405 )     (68,307 )     (29,347 )
    (50,309 )     (82,385 )     (29,706 )     (9,488 )
    3,226,823       5,274,111       1,984,038       777,867  
    6,117,222       9,265,441       3,383,364       1,192,084  
                               
                               
    99,012       122,663       37,315       6,440  
    12,894,570       21,699,959       6,556,373       2,293,087  
    25,808       36,644       13,185       5,003  
    58,970,118       92,611,083       34,125,956       12,509,152  
    71,989,508       114,470,349       40,732,829       14,813,682  
                               
    (88,200 )     (157,317 )     (47,548 )     (9,538 )
    (213,851,849 )     (328,740,267 )     (126,668,426 )     (49,823,733 )
    (213,940,049 )     (328,897,584 )     (126,715,974 )     (49,833,271 )
    (141,950,541 )     (214,427,235 )     (85,983,145 )     (35,019,589 )
  $ (135,833,319 )   $ (205,161,794 )   $ (82,599,781 )   $ (33,827,505 )

 

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

 

97

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
20/80 Allocation
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 5,550,389     $ 4,853,510  

Net realized gain (loss)

    5,427,556       12,231,136  

Net change in unrealized appreciation (depreciation)

    (41,235,179 )     (568,220 )

Net increase (decrease) in net assets resulting from operations

    (30,257,234 )     16,516,426  

Distributions to shareholders (Note 2):

                

Class I

    (1,238,827 )     (1,021,241 )

Class R5

    (600,769 )     (374,459 )

Service Class

    (8,033,664 )     (6,084,666 )

Administrative Class

    (1,380,292 )     (1,730,543 )

Class R4

    (245,146 )     (166,392 )

Class A

    (1,138,922 )     (1,019,820 )

Class R3

    (352,697 )     (350,793 )

Total distributions

    (12,990,317 )     (10,747,914 )

Net fund share transactions (Note 5):

                

Class I

    (2,103,974 )     640,552  

Class R5

    (2,305,651 )     10,857  

Service Class

    6,779,177       5,939,309  

Administrative Class

    (3,903,293 )     (8,031,556 )

Class R4

    (345,473 )     (2,723,094 )

Class A

    (1,622,237 )     (2,836,256 )

Class R3

    (318,660 )     (1,397,985 )

Increase (decrease) in net assets from fund share transactions

    (3,820,111 )     (8,398,173 )

Total increase (decrease) in net assets

    (47,067,662 )     (2,629,661 )

Net assets

                

Beginning of year

    205,343,903       207,973,564  

End of year

  $ 158,276,241     $ 205,343,903  

 

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

 

98

 

 

 
 

 

 

 

MassMutual
40/60 Allocation
Fund

    

MassMutual
60/40 Allocation
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 4,981,216     $ 4,354,969     $ 3,831,174     $ 3,278,539  
    11,179,987       17,886,148       20,015,080       22,260,237  
    (51,619,335 )     6,944,147       (55,295,077 )     14,518,027  
    (35,458,132 )     29,185,264       (31,448,823 )     40,056,803  
                               
    (4,148,911 )     (2,350,248 )     (3,794,867 )     (1,097,223 )
    (1,032,740 )     (542,748 )     (3,219,903 )     (691,355 )
    (1,343,448 )     (932,924 )     (3,146,970 )     (1,000,979 )
    (3,071,255 )     (2,544,613 )     (6,382,082 )     (2,459,971 )
    (2,964,646 )     (1,469,659 )     (1,207,371 )     (353,565 )
    (4,443,631 )     (3,312,929 )     (6,723,767 )     (2,120,316 )
    (1,638,358 )     (432,892 )     (1,497,170 )     (540,657 )
    (18,642,989 )     (11,586,013 )     (25,972,130 )     (8,264,066 )
                               
    (6,098,250 )     7,292,276       8,957,790       3,482,192  
    (936,236 )     (1,499,097 )     (7,481,634 )     2,615,974  
    (155,878 )     (2,067,919 )     3,069,423       (4,198,629 )
    (7,212,434 )     (12,663,811 )     (9,391,568 )     (8,045,715 )
    8,541,664       798,555       128,550       (1,056,129 )
    (2,901,611 )     (12,990,498 )     2,953,733       (10,730,727 )
    13,071,702       (1,984,417 )     (1,229,515 )     (3,691,482 )
    4,308,957       (23,114,911 )     (2,993,221 )     (21,624,516 )
    (49,792,164 )     (5,515,660 )     (60,414,174 )     10,168,221  
                               
    219,449,444       224,965,104       217,469,200       207,300,979  
  $ 169,657,280     $ 219,449,444     $ 157,055,026     $ 217,469,200  

 

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

 

99

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
80/20 Allocation
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 2,393,927     $ 1,722,728  

Net realized gain (loss)

    16,123,048       13,817,211  

Net change in unrealized appreciation (depreciation)

    (43,426,587 )     15,323,675  

Net increase (decrease) in net assets resulting from operations

    (24,909,612 )     30,863,614  

Distributions to shareholders (Note 2):

                

Class I

    (4,471,193 )     (1,893,092 )

Class R5

    (1,041,225 )     (336,870 )

Service Class

    (1,807,424 )     (567,307 )

Administrative Class

    (2,483,791 )     (1,097,631 )

Class R4

    (1,513,090 )     (587,085 )

Class A

    (3,033,006 )     (1,301,110 )

Class R3

    (1,933,462 )     (913,691 )

Total distributions

    (16,283,191 )     (6,696,786 )

Net fund share transactions (Note 5):

                

Class I

    6,133,707       1,992,320  

Class R5

    (2,472,773 )     249,411  

Service Class

    1,534,430       2,812,159  

Administrative Class

    75,659       (3,618,048 )

Class R4

    1,838,245       (1,578,998 )

Class A

    (4,488,481 )     (3,601,539 )

Class R3

    169,252       (2,021,783 )

Increase (decrease) in net assets from fund share transactions

    2,790,039       (5,766,478 )

Total increase (decrease) in net assets

    (38,402,764 )     18,400,350  

Net assets

                

Beginning of year

    152,157,618       133,757,268  

End of year

  $ 113,754,854     $ 152,157,618  

 

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

 

100

 

 

 
 

 

 

 

MassMutual
RetireSMART by
JPMorgan In
Retirement Fund

    

MassMutual
RetireSMART by
JPMorgan 2020
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 2,748,049     $ 3,910,486     $ 6,070,225     $ 7,231,280  
    3,361,952       19,360,760       9,904,182       32,904,933  
    (22,928,403 )     (985,861 )     (49,550,980 )     2,530,103  
    (16,818,402 )     22,285,385       (33,576,573 )     42,666,316  
                               
    (2,168,614 )     (1,281,353 )     (5,427,736 )     (2,564,369 )
    (583,890 )     (337,121 )     (3,589,231 )     (2,435,234 )
    (1,226,005 )     (998,395 )     (2,853,464 )     (1,803,008 )
    (3,703,959 )     (1,758,950 )     (3,361,305 )     (2,359,066 )
    (1,429,001 )     (776,122 )     (2,185,392 )     (1,462,041 )
    (1,511,593 )     (4,185,695 )     (2,911,317 )     (4,612,594 )
    (2,558,247 )     (1,581,636 )     (5,025,570 )     (2,920,677 )
    (13,181,309 )     (10,919,272 )     (25,354,015 )     (18,156,989 )
                               
    1,483,711       (3,324,278 )     (594,904 )     3,910,094  
    (1,426,083 )     435,730       (6,616,765 )     (7,984,930 )
    (1,786,063 )     (7,121,702 )     (15,164,374 )     (8,369,506 )
    (1,422,162 )     (595,186 )     (15,337,082 )     (7,158,402 )
    965,450       (3,246,708 )     (2,784,252 )     (7,645,267 )
    (783,912 )     (64,029,196 )     (4,218,129 )     (62,556,049 )
    (743,759 )     (7,370,747 )     (2,272,463 )     (11,559,220 )
    (3,712,818 )     (85,252,087 )     (46,987,969 )     (101,363,280 )
    (33,712,529 )     (73,885,974 )     (105,918,557 )     (76,853,953 )
                               
    116,748,335       190,634,309       267,510,034       344,363,987  
  $ 83,035,806     $ 116,748,335     $ 161,591,477     $ 267,510,034  

 

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

 

101

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
RetireSMART by
JPMorgan 2025
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 4,798,414     $ 5,264,263  

Net realized gain (loss)

    12,172,970       32,017,363  

Net change in unrealized appreciation (depreciation)

    (48,604,539 )     6,087,986  

Net increase (decrease) in net assets resulting from operations

    (31,633,155 )     43,369,612  

Distributions to shareholders (Note 2):

                

Class I

    (6,727,045 )     (3,213,506 )

Class R5

    (170,263 )     (33,951 )

Service Class

    (1,005,276 )     (561,635 )

Administrative Class

    (4,048,008 )     (2,465,327 )

Class R4

    (3,159,331 )     (1,910,226 )

Class A

    (1,319,721 )     (4,502,094 )

Class R3

    (6,859,146 )     (3,819,675 )

Total distributions

     (23,288,790 )     (16,506,414 )

Net fund share transactions (Note 5):

                

Class I

    3,796,983       1,684,826  

Class R5

    229,396       819,887  

Service Class

    (3,127,399 )     (2,100,359 )

Administrative Class

    (872,659 )     (8,795,084 )

Class R4

    (452,825 )     (3,749,374 )

Class A

    (1,813,979 )     (62,530,974 )

Class R3

    (5,089,454 )     (12,799,337 )

Increase (decrease) in net assets from fund share transactions

     (7,329,937 )     (87,470,415 )

Total increase (decrease) in net assets

    (62,251,882 )     (60,607,217 )

Net assets

                

Beginning of year

    204,307,615       264,914,832  

End of year

  $ 142,055,733     $ 204,307,615  

 

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

 

102

 

 

 
 

 

 

 

MassMutual
RetireSMART by
JPMorgan 2030
Fund

    

MassMutual
RetireSMART by
JPMorgan 2035
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 9,668,808     $ 8,231,055     $ 3,736,703     $ 2,788,974  
    35,888,132       50,277,386       19,417,047       26,891,204  
    (115,975,315 )     29,694,014       (55,513,581 )     16,592,101  
    (70,418,375 )     88,202,455       (32,359,831 )     46,272,279  
                               
    (7,590,627 )     (2,771,252 )     (7,493,815 )     (2,098,478 )
    (9,879,698 )     (3,683,540 )     (507,462 )     (115,358 )
    (4,887,084 )     (2,484,660 )     (1,116,572 )     (375,163 )
    (8,294,775 )     (3,495,256 )     (4,300,099 )     (1,243,039 )
    (3,261,072 )     (1,617,889 )     (3,138,533 )     (1,043,751 )
    (3,907,101 )     (4,508,898 )     (1,587,976 )     (1,894,666 )
    (9,912,512 )     (4,084,867 )     (7,197,154 )     (2,182,956 )
    (47,732,869 )     (22,646,362 )     (25,341,611 )     (8,953,411 )
                               
    11,540,005       6,664,481       4,176,558       3,346,152  
    14,286,906       (2,990,481 )     251,733       787,383  
    (21,407,161 )     (11,081,271 )     689,935       (1,656,107 )
    (8,251,960 )     (3,876,626 )     (3,135,451 )     (1,214,423 )
    (2,558,212 )     (6,053,147 )     2,298,212       (4,455,903 )
    (962,124 )     (68,752,181 )     (3,140,448 )     (36,356,681 )
    8,851,699       (13,903,673 )     4,710,453       (10,743,198 )
    1,499,153       (99,992,898 )     5,850,992       (50,292,777 )
    (116,652,091 )     (34,436,805 )     (51,850,450 )     (12,973,909 )
                               
    425,794,223       460,231,028       190,143,287       203,117,196  
  $ 309,142,132     $ 425,794,223     $ 138,292,837     $ 190,143,287  

 

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

 

103

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
RetireSMART by
JPMorgan 2040
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 5,852,550     $ 3,764,293  

Net realized gain (loss)

    35,051,771       37,862,229  

Net change in unrealized appreciation (depreciation)

    (95,021,125 )     32,747,288  

Net increase (decrease) in net assets resulting from operations

     (54,116,804 )     74,373,810  

Distributions to shareholders (Note 2):

                

Class I

    (7,184,429 )     (883,182 )

Class R5

    (7,743,505 )     (1,113,580 )

Service Class

    (3,883,802 )     (525,453 )

Administrative Class

    (8,831,913 )     (1,007,829 )

Class R4

    (2,703,434 )     (398,076 )

Class A

    (3,004,403 )     (900,085 )

Class R3

    (7,294,397 )     (875,634 )

Total distributions

    (40,645,883 )     (5,703,839 )

Net fund share transactions (Note 5):

                

Class I

    12,439,829       3,870,335  

Class R5

    4,018,713       86,549  

Service Class

    (9,323,196 )     (3,077,408 )

Administrative Class

    (1,620,308 )     295,247  

Class R4

    710,885       (8,693,510 )

Class A

    (3,716,959 )     (36,179,265 )

Class R3

    8,645,354       (13,335,325 )

Increase (decrease) in net assets from fund share transactions

    11,154,318       (57,033,377 )

Total increase (decrease) in net assets

    (83,608,369 )     11,636,594  

Net assets

                

Beginning of year

    307,520,217       295,883,623  

End of year

  $ 223,911,848     $ 307,520,217  

 

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

 

104

 

 

 
 

 

 

 

MassMutual
RetireSMART by
JPMorgan 2045
Fund

    

MassMutual
RetireSMART by
JPMorgan 2050
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 2,215,433     $ 1,421,719     $ 3,608,607     $ 2,105,122  
    18,050,854       20,969,325       25,288,510       23,782,150  
    (44,492,326 )     15,567,728       (67,325,361 )     23,878,457  
    (24,226,039 )     37,958,772       (38,428,244 )     49,765,729  
                               
    (5,197,007 )     (1,026,207 )     (4,001,187 )     (439,469 )
    (233,390 )     (43,936 )     (6,771,126 )     (1,003,491 )
    (750,930 )     (167,829 )     (1,792,181 )     (233,370 )
    (4,119,090 )     (832,689 )     (6,326,202 )     (693,031 )
    (3,070,820 )     (795,600 )     (2,086,826 )     (279,871 )
    (1,394,259 )     (1,232,845 )     (1,613,009 )     (519,288 )
    (6,234,573 )     (1,619,261 )     (4,577,472 )     (546,001 )
    (21,000,069 )     (5,718,367 )     (27,168,003 )     (3,714,521 )
                               
    7,715,151       3,379,864       10,073,048       3,190,555  
    387,622       168,831       7,904,319       (2,908,732 )
    35,405       (723,264 )     (5,029,138 )     (137,559 )
    (1,062,181 )     2,121,410       3,181,675       3,017,064  
    3,364,801       (3,160,347 )     1,281,405       (2,853,407 )
    (2,516,569 )     (23,562,563 )     (2,365,207 )     (19,246,407 )
    4,216,865       (11,948,690 )     5,682,779       (6,081,271 )
    12,141,094       (33,724,759 )     20,728,881       (25,019,757 )
    (33,085,014 )     (1,484,354 )     (44,867,366 )     21,031,451  
                               
    134,159,357       135,643,711       201,708,940       180,677,489  
  $ 101,074,343     $ 134,159,357     $ 156,841,574     $ 201,708,940  

 

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

 

105

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual
RetireSMART by
JPMorgan 2055
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 1,091,325     $ 643,885  

Net realized gain (loss)

    8,659,477       8,513,792  

Net change in unrealized appreciation (depreciation)

    (22,550,793 )     7,891,642  

Net increase (decrease) in net assets resulting from operations

    (12,799,991 )     17,049,319  

Distributions to shareholders (Note 2):

                

Class I

    (2,006,510 )     (578,530 )

Class R5

    (140,902 )     (41,165 )

Service Class

    (427,079 )     (143,426 )

Administrative Class

    (1,486,503 )     (443,948 )

Class R4

    (978,197 )     (417,683 )

Class A

    (278,324 )     (613,895 )

Class R3

    (3,173,283 )     (1,317,852 )

Class M5

    —       —  

Class M4

    —       —  

Class M3

    —       —  

Total distributions

    (8,490,798 )     (3,556,499 )

Net fund share transactions (Note 5):

                

Class I

    3,926,497       2,423,753  

Class R5

    (330,743 )     682,992  

Service Class

    439,012       209,875  

Administrative Class

    1,567,180       1,697,156  

Class R4

    588,767       (608,359 )

Class A

    (4,415,857 )     (6,251,387 )

Class R3

    4,398,521       (5,132,943 )

Class M5

    —       —  

Class M4

    —       —  

Class M3

    —       —  

Increase (decrease) in net assets from fund share transactions

    6,173,377       (6,978,913 )

Total increase (decrease) in net assets

    (15,117,412 )     6,513,907  

Net assets

                

Beginning of year

    67,737,984       61,224,077  

End of year

  $ 52,620,572     $ 67,737,984  

 

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

 

106

 

 

 
 

 

 

 

MassMutual
RetireSMART by
JPMorgan 2060
Fund

    

MassMutual Select
T. Rowe Price
Retirement
Balanced Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 448,209     $ 253,947     $ 4,950,647     $ 2,493,205  
    2,799,082       2,246,314       9,178,349       13,616,655  
    (7,360,029 )     2,564,704       (43,066,429 )     8,169,359  
    (4,112,738 )     5,064,965       (28,937,433 )     24,279,219  
                               
    (1,805,036 )     (679,980 )     (2,585,460 )     (825,060 )
    (29,013 )     (55,034 )     —       —  
    (294,339 )     (79,066 )     —       —  
    (264,001 )     (70,351 )     —       —  
    (126,810 )     (49,037 )     —       —  
    (59,676 )     (85,769 )     —       —  
    (163,129 )     (109,042 )     —       —  
    —       —       (14,662,986 )     (5,404,774 )
    —       —       (981,001 )     (780,868 )
    —       —       (532,352 )     (202,562 )
    (2,742,004 )     (1,128,279 )     (18,761,799 )     (7,213,264 )
                               
    1,165,849       1,688,197       1,445,857       4,724,907  
    (1,094,424 )     397,580       —       —  
    (175,190 )     312,652       —       —  
    300,268       643,251       —       —  
    243,735       84,937       —       —  
    (150,516 )     (885,058 )     —       —  
    304,892       (741,244 )     —       —  
    —       —       11,700,499       13,444,076  
    —       —       (4,323,266 )     (7,425,851 )
    —       —       (776,293 )     (354,901 )
    594,614       1,500,315       8,046,797       10,388,231  
    (6,260,128 )     5,437,001       (39,652,435 )     27,454,186  
                               
    23,558,820       18,121,819       197,783,505       170,329,319  
  $ 17,298,692     $ 23,558,820     $ 158,131,070     $ 197,783,505  

 

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

 

107

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual Select
T. Rowe Price
Retirement 2005
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 739,183     $ 523,707  

Net realized gain (loss)

    1,391,096       3,810,753  

Net change in unrealized appreciation (depreciation)

    (6,704,616 )     19,058  

Net increase (decrease) in net assets resulting from operations

    (4,574,337 )     4,353,518  

Distributions to shareholders (Note 2):

                

Class I

    (2,750,646 )     (1,057,591 )

Class M5

    (1,254,316 )     (390,897 )

Class M4

    (435,381 )     (141,796 )

Class M3

    (252,072 )     (55,596 )

Total distributions

    (4,692,415 )     (1,645,880 )

Net fund share transactions (Note 5):

                

Class I

    3,300,787       (3,940,725 )

Class M5

    249,065       (1,350,703 )

Class M4

    (176,218 )     (643,232 )

Class M3

    372,464       268,454  

Increase (decrease) in net assets from fund share transactions

    3,746,098       (5,666,206 )

Total increase (decrease) in net assets

    (5,520,654 )     (2,958,568 )

Net assets

                

Beginning of year

    29,899,894       32,858,462  

End of year

  $ 24,379,240     $ 29,899,894  

 

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

 

108

 

 

 
 

 

 

 

MassMutual Select
T. Rowe Price
Retirement 2010
Fund

    

MassMutual Select
T. Rowe Price
Retirement 2015
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 3,418,483     $ 2,149,729     $ 3,499,411     $ 1,994,474  
    8,498,920       12,144,895       10,774,424       11,252,183  
    (33,381,727 )     6,664,737       (38,590,069 )     9,859,173  
    (21,464,324 )     20,959,361       (24,316,234 )     23,105,830  
                               
    (8,034,238 )     (3,326,410 )     (7,318,355 )     (3,224,766 )
    (4,122,512 )     (1,167,166 )     (6,292,593 )     (2,462,179 )
    (2,002,161 )     (1,260,759 )     (911,386 )     (510,957 )
    (1,406,657 )     (526,947 )     (672,724 )     (285,443 )
    (15,565,568 )     (6,281,282 )     (15,195,058 )     (6,483,345 )
                               
    7,923,247       (3,974,695 )     7,283,459       5,060,245  
    (3,276,299 )     687,672       (9,817,010 )     3,921,071  
    (11,183,029 )     (6,556,405 )     (4,509,670 )     (2,387,102 )
    (1,981,825 )     (2,013,476 )     (784,711 )     (985,897 )
    (8,517,906 )     (11,856,904 )     (7,827,932 )     5,608,317  
    (45,547,798 )     2,821,175       (47,339,224 )     22,230,802  
                               
    148,810,740       145,989,565       161,570,658       139,339,856  
  $ 103,262,942     $ 148,810,740     $ 114,231,434     $ 161,570,658  

 

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

 

109

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual Select
T. Rowe Price
Retirement 2020
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 15,881,874     $ 8,885,449  

Net realized gain (loss)

    60,739,809       68,350,257  

Net change in unrealized appreciation (depreciation)

    (188,805,167 )     51,903,112  

Net increase (decrease) in net assets resulting from operations

    (112,183,484 )     129,138,818  

Distributions to shareholders (Note 2):

                

Class I

    (34,844,854 )     (12,360,165 )

Class M5

    (34,353,981 )     (10,865,930 )

Class M4

    (12,573,464 )     (6,678,707 )

Class M3

    (5,847,991 )     (2,294,268 )

Total distributions

    (87,620,290 )     (32,199,070 )

Net fund share transactions (Note 5):

                

Class I

    53,228,140       2,723,752  

Class M5

    (78,657,276 )     (8,789,345 )

Class M4

    (39,379,155 )     (37,955,502 )

Class M3

    (5,415,025 )     (18,352,574 )

Increase (decrease) in net assets from fund share transactions

    (70,223,316 )     (62,373,669 )

Total increase (decrease) in net assets

    (270,027,090 )     34,566,079  

Net assets

                

Beginning of year

    781,885,141       747,319,062  

End of year

  $ 511,858,051     $ 781,885,141  

 

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

 

110

 

 

 
 

 

 

 

MassMutual Select
T. Rowe Price
Retirement 2025
Fund

    

MassMutual Select
T. Rowe Price
Retirement 2030
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 13,322,494     $ 6,612,046     $ 24,419,312     $ 11,531,579  
    62,953,320       56,088,076       158,881,626       112,428,148  
    (199,100,601 )     59,024,566       (480,141,300 )     181,743,340  
    (122,824,787 )     121,724,688       (296,840,362 )     305,703,067  
                               
    (39,896,413 )     (12,461,008 )     (57,773,560 )     (15,761,035 )
    (20,726,297 )     (6,426,451 )     (64,993,323 )     (16,203,011 )
    (9,222,674 )     (3,433,898 )     (22,804,375 )     (9,523,116 )
    (5,178,774 )     (1,990,274 )     (10,071,168 )     (3,085,222 )
    (75,024,158 )     (24,311,631 )     (155,642,426 )     (44,572,384 )
                               
    95,751,574       43,287,653       245,256,169       62,113,425  
    (67,154,610 )     11,256,355       (169,919,501 )     57,784,752  
    (23,823,246 )     (5,003,142 )     (79,993,542 )     (58,359,309 )
    (1,689,685 )     (12,633,520 )     (3,403,119 )     (33,002,711 )
    3,084,033       36,907,346       (8,059,993 )     28,536,157  
    (194,764,912 )     134,320,403       (460,542,781 )     289,666,840  
                               
    722,336,690       588,016,287       1,633,669,521       1,344,002,681  
  $ 527,571,778     $ 722,336,690     $ 1,173,126,740     $ 1,633,669,521  

 

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

 

111

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual Select
T. Rowe Price
Retirement 2035
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 10,038,522     $ 4,148,036  

Net realized gain (loss)

    83,234,210       42,634,045  

Net change in unrealized appreciation (depreciation)

    (255,898,025 )     99,978,517  

Net increase (decrease) in net assets resulting from operations

    (162,625,293 )     146,760,598  

Distributions to shareholders (Note 2):

                

Class I

    (32,763,576 )     (8,473,120 )

Class M5

    (20,742,335 )     (5,490,596 )

Class M4

    (9,244,410 )     (2,391,669 )

Class M3

    (3,608,202 )     (1,372,936 )

Total distributions

    (66,358,523 )     (17,728,321 )

Net fund share transactions (Note 5):

                

Class I

    171,342,119       61,811,417  

Class M5

    (81,585,427 )     17,600,348  

Class M4

    (21,868,048 )     27,195,717  

Class M3

    4,198,299       (26,034,441 )

Increase (decrease) in net assets from fund share transactions

    72,086,943       80,573,041  

Total increase (decrease) in net assets

    (156,896,873 )     209,605,318  

Net assets

                

Beginning of year

    770,682,242       561,076,924  

End of year

  $ 613,785,369     $ 770,682,242  

 

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

 

112

 

 

 
 

 

 

 

MassMutual Select
T. Rowe Price
Retirement 2040
Fund

    

MassMutual Select
T. Rowe Price
Retirement 2045
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 15,444,739     $ 5,637,091     $ 6,117,222     $ 1,893,224  
    169,636,273       69,096,997       71,989,508       28,073,508  
    (476,809,768 )     213,921,745       (213,940,049 )     89,318,652  
    (291,728,756 )     288,655,833       (135,833,319 )     119,285,384  
                               
    (36,056,081 )     (9,279,529 )     (21,166,192 )     (4,711,717 )
    (53,396,718 )     (11,348,863 )     (16,777,545 )     (3,915,508 )
    (16,502,684 )     (6,713,026 )     (7,420,678 )     (1,690,198 )
    (6,931,706 )     (1,914,156 )     (2,571,996 )     (814,412 )
    (112,887,189 )     (29,255,574 )     (47,936,411 )     (11,131,835 )
                               
    296,917,672       38,354,894       190,273,471       48,406,423  
    (159,456,975 )     89,308,820       (90,582,508 )     19,957,383  
    (64,617,604 )     (53,092,819 )     (14,537,787 )     14,363,561  
    117,669       (29,142,186 )     2,860,943       (22,159,855 )
    72,960,762       45,428,709       88,014,119       60,567,512  
    (331,655,183 )     304,828,968       (95,755,611 )     168,721,061  
                               
    1,358,909,904       1,054,080,936       571,190,564       402,469,503  
  $ 1,027,254,721     $ 1,358,909,904     $ 475,434,953     $ 571,190,564  

 

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

 

113

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MassMutual Select
T. Rowe Price
Retirement 2050
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 9,265,441     $ 2,600,288  

Net realized gain (loss)

    114,470,349       37,523,451  

Net change in unrealized appreciation (depreciation)

    (328,897,584 )     149,233,866  

Net increase (decrease) in net assets resulting from operations

    (205,161,794 )     189,357,605  

Distributions to shareholders (Note 2):

                

Class I

    (20,743,294 )     (5,153,642 )

Class M5

    (31,856,014 )     (7,799,608 )

Class M4

    (10,328,244 )     (4,085,747 )

Class M3

    (4,275,899 )     (1,220,747 )

Total distributions

    (67,203,451 )     (18,259,744 )

Net fund share transactions (Note 5):

                

Class I

    217,391,343       50,555,390  

Class M5

    (93,244,315 )     59,353,995  

Class M4

    (47,277,199 )     (21,630,882 )

Class M3

    885,289       (11,460,628 )

Increase (decrease) in net assets from fund share transactions

    77,755,118       76,817,875  

Total increase (decrease) in net assets

    (194,610,127 )     247,915,736  

Net assets

                

Beginning of year

    895,709,409       647,793,673  

End of year

  $ 701,099,282     $ 895,709,409  

 

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

 

114

 

 

 
 

 

 

 

MassMutual Select
T. Rowe Price
Retirement 2055
Fund

    

MassMutual Select
T. Rowe Price
Retirement 2060
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                               
                               
  $ 3,383,364     $ 930,049     $ 1,192,084     $ 240,505  
    40,732,829       14,304,856       14,813,682       5,236,544  
    (126,715,974 )     50,214,000       (49,833,271 )     14,212,964  
    (82,599,781 )     65,448,905       (33,827,505 )     19,690,013  
                               
    (9,025,508 )     (2,253,961 )     (4,688,197 )     (924,535 )
    (11,205,031 )     (2,902,228 )     (2,856,276 )     (471,099 )
    (3,746,457 )     (931,634 )     (1,576,504 )     (386,399 )
    (1,509,059 )     (521,858 )     (472,782 )     (168,503 )
    (25,486,055 )     (6,609,681 )     (9,593,759 )     (1,950,536 )
                               
    163,059,428       25,438,797       36,639,255       19,809,591  
    (81,677,025 )     20,833,986       15,997,233       13,312,034  
    (7,108,746 )     8,304,445       4,230,614       1,889,455  
    4,716,926       (6,861,974 )     2,524,638       (1,095,127 )
    78,990,583       47,715,254       59,391,740       33,915,953  
    (29,095,253 )     106,554,478       15,970,476       51,655,430  
                               
    323,894,623       217,340,145       114,452,261       62,796,831  
  $ 294,799,370     $ 323,894,623     $ 130,422,737     $ 114,452,261  

 

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

 

115

 

 

MassMutual 20/80 Allocation 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

                          

9/30/22

$ 10.60

$ 0.32

$ (1.84)

$ (1.52)

$ (0.33)

$ (0.38)

$ (0.71)

$ 8.37

(15.46%)

$ 13,143

0.12%

0.04%

3.35%

9/30/21

10.34

0.28

0.56

0.84

(0.38)

(0.20)

(0.58)

10.60

8.35%

18,990

0.12%

0.03%

2.67%

9/30/20

10.15

0.25

0.45

0.70

(0.31)

(0.20)

(0.51)

10.34

7.09%

17,848

0.11%

0.02%

2.49%

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%

Class R5

                        

9/30/22

$ 10.59

$ 0.45

$ (1.99)

$ (1.54)

$ (0.32)

$ (0.38)

$ (0.70)

$ 8.35

(15.64%)

$ 2,488

0.22%

0.14%

4.59%

9/30/21

10.32

0.27

0.57

0.84

(0.37)

(0.20)

(0.57)

10.59

8.37%

6,108

0.22%

0.13%

2.62%

9/30/20

10.14

0.28

0.40

0.68

(0.30)

(0.20)

(0.50)

10.32

6.89%

5,946

0.21%

0.12%

2.85%

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%

Service Class

                        

9/30/22

$ 10.58

$ 0.28

$ (1.82)

$ (1.54)

$ (0.31)

$ (0.38)

$ (0.69)

$ 8.35

(15.66%)

$ 103,035

0.32%

0.24%

2.95%

9/30/21

10.32

0.24

0.59

0.83

(0.37)

(0.20)

(0.57)

10.58

8.21%

123,549

0.32%

0.23%

2.27%

9/30/20

10.13

0.05

0.63

0.68

(0.29)

(0.20)

(0.49)

10.32

6.90%

114,464

0.31%

0.22%

0.51%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

27%

26%

33%

39%

62%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

116

 

 

 
 

 

   

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

                      

9/30/22

$ 10.60

$ 0.28

$ (1.84)

$ (1.56)

$ (0.28)

$ (0.38)

$ (0.66)

$ 8.38

(15.72%)

$ 18,215

0.42%

0.34%

2.88%

9/30/21

10.33

0.25

0.57

0.82

(0.35)

(0.20)

(0.55)

10.60

8.11%

26,944

0.42%

0.33%

2.40%

9/30/20

10.14

0.22

0.44

0.66

(0.27)

(0.20)

(0.47)

10.33

6.72%

34,036

0.41%

0.32%

2.17%

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%

Class R4

                        

9/30/22

$ 10.76

$ 0.27

$ (1.87)

$ (1.60)

$ (0.27)

$ (0.38)

$ (0.65)

$ 8.51

(15.92%)

$ 3,066

0.57%

0.49%

2.80%

9/30/21

10.21

0.26

0.55

0.81

(0.06)

(0.20)

(0.26)

10.76

8.00%

4,254

0.57%

0.48%

2.46%

9/30/20

10.04

0.39

0.25

0.64

(0.27)

(0.20)

(0.47)

10.21

6.51%

6,643

0.56%

0.47%

3.94%

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%

Class A

                        

9/30/22

$ 10.65

$ 0.26

$ (1.84)

$ (1.58)

$ (0.27)

$ (0.38)

$ (0.65)

$ 8.42

(15.90%)

$ 14,202

0.67%

0.59%

2.69%

9/30/21

10.38

0.22

0.57

0.79

(0.32)

(0.20)

(0.52)

10.65

7.76%

19,773

0.67%

0.58%

2.08%

9/30/20

10.19

0.23

0.41

0.64

(0.25)

(0.20)

(0.45)

10.38

6.45%

22,073

0.66%

0.57%

2.30%

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

0.00d

0.23

(0.23)

—

(0.23)

10.05

2.30%

27,681

0.67%

0.58%

2.25%

Class R3

                        

9/30/22

$ 10.45

$ 0.24

$ (1.81)

$ (1.57)

$ (0.25)

$ (0.38)

$ (0.63)

$ 8.25

(16.05%)

$ 4,126

0.82%

0.74%

2.49%

9/30/21

10.20

0.21

0.56

0.77

(0.32)

(0.20)

(0.52)

10.45

7.64%

5,725

0.82%

0.73%

2.06%

9/30/20

10.01

0.21

0.41

0.62

(0.23)

(0.20)

(0.43)

10.20

6.32%

6,964

0.81%

0.72%

2.11%

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%

 

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

 

117

 

 

MassMutual 40/60 Allocation 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

                          

9/30/22

$ 10.57

$ 0.27

$ (1.85)

$ (1.58)

$ (0.33)

$ (0.55)

$ (0.88)

$ 8.11

(16.39%)

$ 30,477

0.11%

0.06%

2.83%

9/30/21

9.80

0.22

1.11

1.33

(0.33)

(0.23)

(0.56)

10.57

13.89%

47,449

0.11%

0.05%

2.09%

9/30/20

9.93

0.18

0.71

0.89

(0.24)

(0.78)

(1.02)

9.80

9.29%

36,725

0.10%

0.04%

1.94%

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%

Class R5

                        

9/30/22

$ 10.57

$ 0.34

$ (1.92)

$ (1.58)

$ (0.32)

$ (0.55)

$ (0.87)

$ 8.12

(16.37%)

$ 5,503

0.21%

0.16%

3.59%

9/30/21

9.81

0.23

1.08

1.31

(0.32)

(0.23)

(0.55)

10.57

13.66%

8,580

0.21%

0.15%

2.23%

9/30/20

9.94

0.22

0.65

0.87

(0.22)

(0.78)

(1.00)

9.81

9.12%

9,331

0.20%

0.14%

2.34%

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%

Service Class

                        

9/30/22

$ 10.62

$ 0.23

$ (1.82)

$ (1.59)

$ (0.31)

$ (0.55)

$ (0.86)

$ 8.17

(16.40%)

$ 12,834

0.31%

0.26%

2.43%

9/30/21

9.85

0.21

1.10

1.31

(0.31)

(0.23)

(0.54)

10.62

13.62%

16,971

0.31%

0.25%

2.06%

9/30/20

9.98

0.13

0.73

0.86

(0.21)

(0.78)

(0.99)

9.85

8.98%

17,683

0.30%

0.24%

1.37%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

32%

24%

52%

43%

52%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

118

 

 

   

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

                      

9/30/22

$ 10.61

$ 0.22

$ (1.83)

$ (1.61)

$ (0.29)

$ (0.55)

$ (0.84)

$ 8.16

(16.55%)

$ 28,220

0.41%

0.36%

2.30%

9/30/21

9.84

0.21

1.09

1.30

(0.30)

(0.23)

(0.53)

10.61

13.46%

44,399

0.41%

0.35%

2.02%

9/30/20

9.96

0.19

0.67

0.86

(0.20)

(0.78)

(0.98)

9.84

8.94%

53,133

0.40%

0.34%

1.98%

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%

Class R4

                        

9/30/22

$ 10.51

$ 0.20

$ (1.80)

$ (1.60)

$ (0.29)

$ (0.55)

$ (0.84)

$ 8.07

(16.65%)

$ 32,058

0.56%

0.51%

2.14%

9/30/21

9.75

0.17

1.10

1.27

(0.28)

(0.23)

(0.51)

10.51

13.27%

32,786

0.56%

0.50%

1.65%

9/30/20

9.88

0.18

0.67

0.85

(0.20)

(0.78)

(0.98)

9.75

8.87%

29,626

0.55%

0.49%

1.96%

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%

Class A

                        

9/30/22

$ 10.64

$ 0.20

$ (1.84)

$ (1.64)

$ (0.27)

$ (0.55)

$ (0.82)

8.18

(16.82%)

$ 45,256

0.66%

0.61%

2.10%

9/30/21

9.86

0.18

1.10

1.28

(0.27)

(0.23)

(0.50)

10.64

13.26%

61,814

0.66%

0.60%

1.73%

9/30/20

9.99

0.16

0.67

0.83

(0.18)

(0.78)

(0.96)

9.86

8.56%

69,682

0.65%

0.59%

1.67%

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%

Class R3

                        

9/30/22

$ 10.50

$ 0.21

$ (1.83)

$ (1.62)

$ (0.30)

$ (0.55)

$ (0.85)

$ 8.03

(16.91%)

$ 15,309

0.81%

0.76%

2.25%

9/30/21

9.74

0.17

1.08

1.25

(0.26)

(0.23)

(0.49)

10.50

13.07%

7,450

0.81%

0.75%

1.69%

9/30/20

9.86

0.14

0.68

0.82

(0.16)

(0.78)

(0.94)

9.74

8.56%

8,785

0.80%

0.74%

1.46%

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%

 

 

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

 

119

 

 

MassMutual 60/40 Allocation 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

                          

9/30/22

$ 10.96

$ 0.19

$ (1.73)

$ (1.54)

$ (0.38)

$ (1.02)

$ (1.40)

$ 8.02

(16.45%)

$ 28,473

0.12%

0.06%

2.05%

9/30/21

9.50

0.19

1.70

1.89

(0.28)

(0.15)

(0.43)

10.96

20.32%

28,917

0.11%

0.05%

1.81%

9/30/20

9.90

0.16

0.71

0.87

(0.21)

(1.06)

(1.27)

9.50

9.14%

21,696

0.11%

0.04%

1.73%

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%

Class R5

                        

9/30/22

$ 10.96

$ 0.32

$ (1.86)

$ (1.54)

$ (0.37)

$ (1.02)

$ (1.39)

$ 8.03

(16.42%)

$ 8,300

0.21%

0.16%

3.24%

9/30/21

9.50

0.16

1.72

1.88

(0.27)

(0.15)

(0.42)

10.96

20.21%

20,602

0.21%

0.15%

1.56%

9/30/20

9.91

0.18

0.67

0.85

(0.20)

(1.06)

(1.26)

9.50

8.93%

15,435

0.21%

0.14%

1.92%

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%

Service Class

                        

9/30/22

$ 11.01

$ 0.19

$ (1.75)

$ (1.56)

$ (0.36)

$ (1.02)

$ (1.38)

$ 8.07

(16.55%)

$ 20,361

0.32%

0.26%

2.00%

9/30/21

9.54

0.17

1.71

1.88

(0.26)

(0.15)

(0.41)

11.01

20.15%

24,617

0.31%

0.25%

1.60%

9/30/20

9.93

0.07

0.79

0.86

(0.19)

(1.06)

(1.25)

9.54

8.94%

25,087

0.31%

0.24%

0.76%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

26%

28%

58%

44%

55%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return 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.

 

120

 

 

   

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

                      

9/30/22

$ 11.00

$ 0.19

$ (1.76)

$ (1.57)

$ (0.34)

$ (1.02)

$ (1.36)

$ 8.07

(16.62%)

$ 37,871

0.41%

0.36%

1.98%

9/30/21

9.53

0.16

1.71

1.87

(0.25)

(0.15)

(0.40)

11.00

20.00%

61,143

0.41%

0.35%

1.53%

9/30/20

9.92

0.16

0.68

0.84

(0.17)

(1.06)

(1.23)

9.53

8.78%

59,725

0.41%

0.34%

1.71%

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%

Class R4

                        

9/30/22

$ 10.91

$ 0.16

$ (1.74)

$ (1.58)

$ (0.32)

$ (1.02)

$ (1.34)

$ 7.99

(16.78%)

$ 8,037

0.56%

0.51%

1.72%

9/30/21

9.43

0.13

1.71

1.84

(0.21)

(0.15)

(0.36)

10.91

19.83%

10,735

0.56%

0.50%

1.26%

9/30/20

9.84

0.20

0.62

0.82

(0.17)

(1.06)

(1.23)

9.43

8.59%

10,218

0.56%

0.49%

2.13%

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%

Class A

                        

9/30/22

$ 11.04

$ 0.16

$ (1.76)

$ (1.60)

$ (0.32)

$ (1.02)

$ (1.34)

$ 8.10

(16.84%)

$ 44,420

0.66%

0.61%

1.69%

9/30/21

9.57

0.14

1.70

1.84

(0.22)

(0.15)

(0.37)

11.04

19.60%

57,203

0.66%

0.60%

1.31%

9/30/20

9.96

0.13

0.69

0.82

(0.15)

(1.06)

(1.21)

9.57

8.51%

59,454

0.66%

0.59%

1.43%

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%

Class R3

                        

9/30/22

$ 10.84

$ 0.15

$ (1.74)

$ (1.59)

$ (0.29)

$ (1.02)

$ (1.31)

$ 7.94

(17.00%)

$ 9,592

0.81%

0.76%

1.53%

9/30/21

9.40

0.12

1.68

1.80

(0.21)

(0.15)

(0.36)

10.84

19.50%

14,252

0.81%

0.75%

1.13%

9/30/20

9.80

0.11

0.68

0.79

(0.13)

(1.06)

(1.19)

9.40

8.33%

15,686

0.81%

0.74%

1.16%

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%

 

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

 

121

 

 

MassMutual 80/20 Allocation 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

                          

9/30/22

$ 12.13

$ 0.20

$ (2.08)

$ (1.88)

$ (0.41)

$ (0.98)

$ (1.39)

$ 8.86

(17.85%)

$ 33,246

0.16%

0.09%

1.91%

9/30/21

10.28

0.18

2.24

2.42

(0.23)

(0.34)

(0.57)

12.13

24.09%

38,991

0.16%

0.08%

1.51%

9/30/20

10.59

0.16

0.86

1.02

(0.19)

(1.14)

(1.33)

10.28

9.81%

30,942

0.18%

0.07%

1.58%

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%

Class R5

                        

9/30/22

$ 12.14

$ 0.32

$ (2.21)

$ (1.89)

$ (0.40)

$ (0.98)

$ (1.38)

$ 8.87

(17.91%)

$ 3,301

0.25%

0.19%

2.90%

9/30/21

10.29

0.15

2.26

2.41

(0.22)

(0.34)

(0.56)

12.14

23.96%

7,435

0.26%

0.18%

1.32%

9/30/20

10.60

0.15

0.86

1.01

(0.18)

(1.14)

(1.32)

10.29

9.71%

6,025

0.28%

0.17%

1.54%

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%

Service Class

                        

9/30/22

$ 12.16

$ 0.20

$ (2.11)

$ (1.91)

$ (0.39)

$ (0.98)

$ (1.37)

$ 8.88

(18.04%)

$ 12,945

0.35%

0.29%

1.85%

9/30/21

10.31

0.13

2.27

2.40

(0.21)

(0.34)

(0.55)

12.16

23.83%

15,973

0.36%

0.28%

1.13%

9/30/20

10.61

0.05

0.95

1.00

(0.16)

(1.14)

(1.30)

10.31

9.64%

11,041

0.38%

0.27%

0.51%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

28%

29%

62%

38%

64%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

122

 

 

   

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

                      

9/30/22

$ 12.15

$ 0.18

$ (2.10)

$ (1.92)

$ (0.37)

$ (0.98)

$ (1.35)

$ 8.88

(18.10%)

$ 17,296

0.45%

0.39%

1.69%

9/30/21

10.29

0.14

2.25

2.39

(0.19)

(0.34)

(0.53)

12.15

23.77%

23,648

0.46%

0.38%

1.23%

9/30/20

10.59

0.14

0.84

0.98

(0.14)

(1.14)

(1.28)

10.29

9.49%

23,105

0.48%

0.37%

1.38%

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%

Class R4

                        

9/30/22

$ 11.96

$ 0.16

$ (2.05)

$ (1.89)

$ (0.36)

$ (0.98)

$ (1.34)

$ 8.73

(18.17%)

$ 12,041

0.60%

0.54%

1.48%

9/30/21

10.14

0.11

2.22

2.33

(0.17)

(0.34)

(0.51)

11.96

23.47%

14,161

0.61%

0.53%

0.98%

9/30/20

10.46

0.15

0.81

0.96

(0.14)

(1.14)

(1.28)

10.14

9.37%

13,465

0.63%

0.52%

1.51%

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%

Class A

                        

9/30/22

$ 12.13

$ 0.17

$ (2.11)

$ (1.94)

$ (0.34)

$ (0.98)

$ (1.32)

$ 8.87

(18.30%)

$ 20,773

0.70%

0.64%

1.61%

9/30/21

10.27

0.10

2.26

2.36

(0.16)

(0.34)

(0.50)

12.13

23.49%

32,829

0.71%

0.63%

0.88%

9/30/20

10.58

0.11

0.85

0.96

(0.13)

(1.14)

(1.27)

10.27

9.19%

31,252

0.73%

0.62%

1.11%

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%

Class R3

                        

9/30/22

$ 11.88

$ 0.13

$ (2.04)

$ (1.91)

$ (0.32)

$ (0.98)

$ (1.30)

$ 8.67

(18.38%)

$ 14,153

0.85%

0.79%

1.27%

9/30/21

10.08

0.10

2.20

2.30

(0.16)

(0.34)

(0.50)

11.88

23.30%

19,120

0.86%

0.78%

0.86%

9/30/20

10.44

0.10

0.82

0.92

(0.14)

(1.14)

(1.28)

10.08

8.98%

17,928

0.88%

0.77%

1.08%

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%

 

 

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

 

123

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 12.78

$ 0.33

$ (2.12)

$ (1.79)

$ (0.42)

$ (1.16)

$ (1.58)

$ 9.41

(16.12%)

$ 14,100

0.22%

0.06%

2.97%

9/30/21

12.02

0.34

1.16

1.50

(0.44)

(0.30)

(0.74)

12.78

12.84%

17,522

0.14%

0.06%

2.69%

9/30/20

11.78

0.29

0.33

0.62

(0.28)

(0.10)

(0.38)

12.02

5.27%

19,693

0.12%

0.06%

2.52%

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%

Class R5

                        

9/30/22

$ 12.81

$ 0.32

$ (2.12)

$ (1.80)

$ (0.41)

$ (1.16)

$ (1.57)

$ 9.44

(16.20%)

$ 3,826

0.32%

0.16%

2.91%

9/30/21

12.05

0.27

1.22

1.49

(0.43)

(0.30)

(0.73)

12.81

12.68%

6,568

0.24%

0.16%

2.14%

9/30/20

11.80

0.37

0.25

0.62

(0.27)

(0.10)

(0.37)

12.05

5.26%

5,758

0.22%

0.16%

3.16%

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%

Service Class

                        

9/30/22

$ 12.82

$ 0.35

$ (2.16)

$ (1.81)

$ (0.40)

$ (1.16)

$ (1.56)

$ 9.45

(16.26%)

$ 5,973

0.42%

0.26%

3.10%

9/30/21

12.06

0.40

1.08

1.48

(0.42)

(0.30)

(0.72)

12.82

12.58%

10,332

0.34%

0.26%

3.18%

9/30/20

11.81

0.28

0.32

0.60

(0.25)

(0.10)

(0.35)

12.06

5.13%

16,755

0.32%

0.26%

2.39%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

58%

28%

74%

39%

80%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

124

 

 

   

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

                      

9/30/22

$ 12.82

$ 0.31

$ (2.15)

$ (1.84)

$ (0.38)

$ (1.16)

$ (1.54)

$ 9.44

(16.45%)

$ 22,751

0.52%

0.36%

2.82%

9/30/21

12.05

0.25

1.22

1.47

(0.40)

(0.30)

(0.70)

12.82

12.54%

32,436

0.44%

0.36%

1.99%

9/30/20

11.81

0.31

0.27

0.58

(0.24)

(0.10)

(0.34)

12.05

4.95%

30,972

0.42%

0.36%

2.69%

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%

Class R4

                        

9/30/22

$ 12.60

$ 0.27

$ (2.08)

$ (1.81)

$ (0.36)

$ (1.16)

$ (1.52)

$ 9.27

(16.47%)

$ 9,504

0.67%

0.51%

2.48%

9/30/21

11.86

0.26

1.16

1.42

(0.38)

(0.30)

(0.68)

12.60

12.27%

11,952

0.59%

0.51%

2.08%

9/30/20

11.62

0.34

0.23

0.57

(0.23)

(0.10)

(0.33)

11.86

4.90%

14,384

0.57%

0.51%

2.93%

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%

Class A

                        

9/30/22

$ 12.65

$ 0.29

$ (2.15)

$ (1.86)

$ (0.21)

$ (1.16)

$ (1.37)

$ 9.42

(16.64%)

$ 10,307

0.77%

0.61%

2.59%

9/30/21

11.91

0.30

1.12

1.42

(0.38)

(0.30)

(0.68)

12.65

12.20%

14,697

0.69%

0.61%

2.45%

9/30/20

11.68

0.23

0.32

0.55

(0.22)

(0.10)

(0.32)

11.91

4.74%

74,154

0.67%

0.61%

2.02%

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%

Class R3

                        

9/30/22

$ 12.48

$ 0.26

$ (2.08)

$ (1.82)

$ (0.32)

$ (1.16)

$ (1.48)

$ 9.18

(16.67%)

$ 16,575

0.92%

0.76%

2.36%

9/30/21

11.76

0.24

1.13

1.37

(0.35)

(0.30)

(0.65)

12.48

11.95%

23,241

0.84%

0.76%

1.94%

9/30/20

11.52

0.25

0.28

0.53

(0.19)

(0.10)

(0.29)

11.76

4.62%

28,918

0.82%

0.76%

2.23%

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%

 

 

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

 

125

 

 

MassMutual RetireSMARTSM 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

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

                          

9/30/22

$ 13.37

$ 0.35

$ (2.25)

$ (1.90)

$ (0.44)

$ (1.01)

$ (1.45)

$ 10.02

(16.09%)

$ 37,478

0.11%

0.04%

3.03%

9/30/21

12.46

0.30

1.31

1.61

(0.45)

(0.25)

(0.70)

13.37

13.31%

51,145

0.09%

0.04%

2.25%

9/30/20

12.53

0.31

0.39

0.70

(0.36)

(0.41)

(0.77)

12.46

5.74%

43,646

0.07%

0.04%

2.58%

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%

Class R5

                        

9/30/22

$ 13.34

$ 0.35

$ (2.26)

$ (1.91)

$ (0.43)

$ (1.01)

$ (1.44)

$ 9.99

(16.24%)

$ 23,950

0.21%

0.14%

2.98%

9/30/21

12.43

0.32

1.28

1.60

(0.44)

(0.25)

(0.69)

13.34

13.22%

39,112

0.19%

0.14%

2.47%

9/30/20

12.51

0.35

0.33

0.68

(0.35)

(0.41)

(0.76)

12.43

5.57%

44,058

0.17%

0.14%

2.91%

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%

Service Class

                        

9/30/22

$ 13.43

$ 0.46

$ (2.40)

$ (1.94)

$ (0.41)

$ (1.01)

$ (1.42)

$ 10.07

(16.29%)

$ 9,053

0.31%

0.24%

3.81%

9/30/21

12.51

0.32

1.28

1.60

(0.43)

(0.25)

(0.68)

13.43

13.11%

29,244

0.29%

0.24%

2.40%

9/30/20

12.58

0.28

0.40

0.68

(0.34)

(0.41)

(0.75)

12.51

5.49%

35,285

0.27%

0.24%

2.33%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

52%

30%

69%

46%

62%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

126

 

 

   

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

                      

9/30/22

$ 13.38

$ 0.33

$ (2.28)

$ (1.95)

$ (0.39)

$ (1.01)

$ (1.40)

$ 10.03

(16.43%)

$ 19,966

0.41%

0.34%

2.82%

9/30/21

12.46

0.28

1.30

1.58

(0.41)

(0.25)

(0.66)

13.38

13.02%

42,876

0.39%

0.34%

2.17%

9/30/20

12.53

0.35

0.31

0.66

(0.32)

(0.41)

(0.73)

12.46

5.40%

46,758

0.37%

0.34%

2.84%

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%

Class R4

                        

9/30/22

$ 13.06

$ 0.30

$ (2.21)

$ (1.91)

$ (0.37)

$ (1.01)

$ (1.38)

$ 9.77

(16.51%)

$ 15,666

0.56%

0.49%

2.63%

9/30/21

12.17

0.26

1.27

1.53

(0.39)

(0.25)

(0.64)

13.06

12.89%

23,718

0.54%

0.49%

2.05%

9/30/20

12.26

0.36

0.27

0.63

(0.31)

(0.41)

(0.72)

12.17

5.23%

29,367

0.52%

0.49%

2.98%

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%

Class A

                        

9/30/22

$ 13.24

$ 0.31

$ (2.27)

$ (1.96)

$ (0.30)

$ (1.01)

$ (1.31)

$ 9.97

(16.60%)

$ 20,470

0.66%

0.59%

2.62%

9/30/21

12.35

0.30

1.23

1.53

(0.39)

(0.25)

(0.64)

13.24

12.69%

31,861

0.64%

0.59%

2.35%

9/30/20

12.44

0.24

0.38

0.62

(0.30)

(0.41)

(0.71)

12.35

5.10%

88,011

0.62%

0.59%

2.04%

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%

Class R3

                        

9/30/22

$ 12.81

$ 0.27

$ (2.16)

$ (1.89)

$ (0.35)

$ (1.01)

$ (1.36)

$ 9.56

(16.70%)

$ 35,009

0.81%

0.74%

2.43%

9/30/21

11.96

0.23

1.24

1.47

(0.37)

(0.25)

(0.62)

12.81

12.57%

49,554

0.79%

0.74%

1.85%

9/30/20

12.05

0.25

0.34

0.59

(0.27)

(0.41)

(0.68)

11.96

4.97%

57,238

0.77%

0.74%

2.14%

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%

 

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

 

127

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 13.47

$ 0.34

$ (2.35)

$ (2.01)

$ (0.46)

$ (1.20)

$ (1.66)

$ 9.80

(17.29%)

$ 44,023

0.13%

0.01%

2.91%

9/30/21

12.23

0.28

1.77

2.05

(0.43)

(0.38)

(0.81)

13.47

17.23%

56,362

0.10%

0.01%

2.16%

9/30/20

12.50

0.31

0.42

0.73

(0.32)

(0.68)

(1.00)

12.23

6.02%

49,478

0.09%

0.01%

2.59%

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%

Class R5

                        

9/30/22

$ 13.61

$ 0.33

$ (2.39)

$ (2.06)

$ (0.44)

$ (1.20)

$ (1.64)

$ 9.91

(17.42%)

$ 1,186

0.23%

0.11%

2.81%

9/30/21

12.35

0.16

1.90

2.06

(0.42)

(0.38)

(0.80)

13.61

17.13%

1,376

0.20%

0.11%

1.21%

9/30/20

12.62

0.28

0.44

0.72

(0.31)

(0.68)

(0.99)

12.35

5.87%

468

0.19%

0.11%

2.32%

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%

Service Class

                        

9/30/22

$ 13.49

$ 0.42

$ (2.46)

$ (2.04)

$ (0.43)

$ (1.20)

$ (1.63)

$ 9.82

(17.48%)

$ 3,811

0.32%

0.21%

3.50%

9/30/21

12.25

0.27

1.76

2.03

(0.41)

(0.38)

(0.79)

13.49

16.97%

8,867

0.30%

0.21%

2.04%

9/30/20

12.52

0.28

0.42

0.70

(0.29)

(0.68)

(0.97)

12.25

5.76%

9,970

0.29%

0.21%

2.37%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

54%

35%

73%

47%

67%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

128

 

 

   

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

                      

9/30/22

$ 13.42

$ 0.32

$ (2.36)

$ (2.04)

$ (0.41)

$ (1.20)

$ (1.61)

$ 9.77

(17.50%)

$ 24,363

0.43%

0.31%

2.73%

9/30/21

12.19

0.28

1.72

2.00

(0.39)

(0.38)

(0.77)

13.42

16.86%

34,778

0.40%

0.31%

2.12%

9/30/20

12.47

0.27

0.42

0.69

(0.29)

(0.68)

(0.97)

12.19

5.64%

39,673

0.39%

0.31%

2.30%

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%

Class R4

                        

9/30/22

$ 13.20

$ 0.28

$ (2.30)

$ (2.02)

$ (0.39)

$ (1.20)

$ (1.59)

$ 9.59

(17.65%)

$ 21,218

0.58%

0.46%

2.47%

9/30/21

12.00

0.25

1.70

1.95

(0.37)

(0.38)

(0.75)

13.20

16.65%

29,432

0.55%

0.46%

1.90%

9/30/20

12.29

0.36

0.30

0.66

(0.27)

(0.68)

(0.95)

12.00

5.49%

30,218

0.54%

0.46%

3.02%

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%

Class A

                        

9/30/22

$ 13.25

$ 0.29

$ (2.37)

$ (2.08)

$ (0.20)

$ (1.20)

$ (1.40)

$ 9.77

(17.74%)

$ 8,655

0.68%

0.56%

2.48%

9/30/21

12.05

0.30

1.65

1.95

(0.37)

(0.38)

(0.75)

13.25

16.60%

13,796

0.65%

0.56%

2.33%

9/30/20

12.34

0.22

0.44

0.66

(0.27)

(0.68)

(0.95)

12.05

5.46%

69,042

0.64%

0.56%

1.89%

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%

Class R3

                        

9/30/22

$ 13.16

$ 0.29

$ (2.33)

$ (2.04)

$ (0.36)

$ (1.20)

$ (1.56)

$ 9.56

(17.85%)

$ 38,799

0.83%

0.71%

2.49%

9/30/21

11.97

0.21

1.70

1.91

(0.34)

(0.38)

(0.72)

13.16

16.35%

59,696

0.80%

0.71%

1.63%

9/30/20

12.25

0.24

0.39

0.63

(0.23)

(0.68)

(0.91)

11.97

5.27%

66,066

0.79%

0.71%

2.02%

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%

 

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

 

129

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 13.80

$ 0.32

$ (2.49)

$ (2.17)

$ (0.45)

$ (1.16)

$ (1.61)

$ 10.02

(18.08%)

$ 56,717

0.07%

0.04%

2.68%

9/30/21

12.05

0.25

2.14

2.39

(0.36)

(0.28)

(0.64)

13.80

20.27%

65,036

0.06%

0.04%

1.88%

9/30/20

12.51

0.28

0.45

0.73

(0.30)

(0.89)

(1.19)

12.05

5.91%

50,325

0.06%

0.04%

2.41%

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%

Class R5

                        

9/30/22

$ 13.73

$ 0.32

$ (2.50)

$ (2.18)

$ (0.43)

$ (1.16)

$ (1.59)

$ 9.96

(18.18%)

$ 68,661

0.17%

0.14%

2.69%

9/30/21

11.99

0.25

2.11

2.36

(0.34)

(0.28)

(0.62)

13.73

20.17%

79,905

0.16%

0.14%

1.90%

9/30/20

12.45

0.29

0.43

0.72

(0.29)

(0.89)

(1.18)

11.99

5.84%

72,808

0.16%

0.14%

2.50%

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%

Service Class

                        

9/30/22

$ 13.82

$ 0.43

$ (2.63)

$ (2.20)

$ (0.42)

$ (1.16)

$ (1.58)

$ 10.04

(18.23%)

$ 15,661

0.27%

0.24%

3.46%

9/30/21

12.06

0.27

2.10

2.37

(0.33)

(0.28)

(0.61)

13.82

20.11%

45,510

0.26%

0.24%

2.03%

9/30/20

12.52

0.24

0.47

0.71

(0.28)

(0.89)

(1.17)

12.06

5.67%

50,072

0.26%

0.24%

2.00%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

58%

32%

70%

39%

63%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

130

 

 

   

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

                      

9/30/22

$ 13.77

$ 0.32

$ (2.53)

$ (2.21)

$ (0.40)

$ (1.16)

$ (1.56)

$ 10.00

(18.33%)

$ 48,874

0.37%

0.34%

2.63%

9/30/21

12.03

0.22

2.12

2.34

(0.32)

(0.28)

(0.60)

13.77

19.86%

76,955

0.36%

0.34%

1.68%

9/30/20

12.48

0.28

0.42

0.70

(0.26)

(0.89)

(1.15)

12.03

5.66%

70,563

0.36%

0.34%

2.33%

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%

Class R4

                        

9/30/22

$ 13.53

$ 0.27

$ (2.46)

$ (2.19)

$ (0.37)

$ (1.16)

$ (1.53)

$ 9.81

(18.47%)

$ 22,702

0.52%

0.49%

2.27%

9/30/21

11.82

0.20

2.08

2.28

(0.29)

(0.28)

(0.57)

13.53

19.74%

33,601

0.51%

0.49%

1.55%

9/30/20

12.29

0.29

0.38

0.67

(0.25)

(0.89)

(1.14)

11.82

5.42%

34,745

0.51%

0.49%

2.50%

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%

Class A

                        

9/30/22

$ 13.64

$ 0.27

$ (2.50)

$ (2.23)

$ (0.31)

$ (1.16)

$ (1.47)

$ 9.94

(18.55%)

$ 26,417

0.62%

0.59%

2.27%

9/30/21

11.92

0.25

2.05

2.30

(0.30)

(0.28)

(0.58)

13.64

19.67%

37,483

0.61%

0.59%

1.88%

9/30/20

12.39

0.19

0.47

0.66

(0.24)

(0.89)

(1.13)

11.92

5.34%

92,603

0.61%

0.59%

1.66%

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%

Class R3

                        

9/30/22

$ 13.28

$ 0.24

$ (2.41)

$ (2.17)

$ (0.35)

$ (1.16)

$ (1.51)

$ 9.60

(18.67%)

$ 70,110

0.77%

0.74%

2.05%

9/30/21

11.62

0.18

2.03

2.21

(0.27)

(0.28)

(0.55)

13.28

19.41%

87,304

0.76%

0.74%

1.38%

9/30/20

12.09

0.20

0.43

0.63

(0.21)

(0.89)

(1.10)

11.62

5.21%

89,115

0.76%

0.74%

1.78%

9/30/19

13.50

0.25

0.00d

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%

 

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

 

131

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 14.28

$ 0.31

$ (2.58)

$ (2.27)

$ (0.50)

$ (1.52)

$ (2.02)

$ 9.99

(18.91%)

$ 41,191

0.13%

0.05%

2.56%

9/30/21

12.07

0.21

2.59

2.80

(0.31)

(0.28)

(0.59)

14.28

23.66%

53,885

0.12%

0.05%

1.54%

9/30/20

12.73

0.26

0.48

0.74

(0.30)

(1.10)

(1.40)

12.07

5.75%

42,470

0.12%

0.05%

2.23%

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%

Class R5

                        

9/30/22

$ 14.30

$ 0.30

$ (2.59)

$ (2.29)

$ (0.49)

$ (1.52)

$ (2.01)

$ 10.00

(19.03%)

$ 2,624

0.23%

0.15%

2.46%

9/30/21

12.09

0.18

2.61

2.79

(0.30)

(0.28)

(0.58)

14.30

23.52%

3,537

0.22%

0.15%

1.30%

9/30/20

12.75

0.23

0.50

0.73

(0.29)

(1.10)

(1.39)

12.09

5.67%

2,270

0.22%

0.15%

1.91%

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%

Service Class

                        

9/30/22

$ 14.47

$ 0.30

$ (2.63)

$ (2.33)

$ (0.47)

$ (1.52)

$ (1.99)

$ 10.15

(19.06%)

$ 6,293

0.33%

0.25%

2.42%

9/30/21

12.23

0.20

2.60

2.80

(0.28)

(0.28)

(0.56)

14.47

23.36%

8,127

0.32%

0.25%

1.43%

9/30/20

12.87

0.23

0.50

0.73

(0.27)

(1.10)

(1.37)

12.23

5.60%

8,234

0.32%

0.25%

1.89%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

63%

34%

92%

50%

62%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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 (loss) and net change in unrealized appreciation (depreciation) on investments due to the timing of the commencement of operations of the share class in relation to fluctuating market values of the investments of the Fund.

 

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

 

132

 

 

   

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

                      

9/30/22

$ 14.39

$ 0.29

$ (2.62)

$ (2.33)

$ (0.46)

$ (1.52)

$ (1.98)

$ 10.08

(19.17%)

$ 20,432

0.43%

0.35%

2.35%

9/30/21

12.16

0.17

2.61

2.78

(0.27)

(0.28)

(0.55)

14.39

23.29%

32,891

0.42%

0.35%

1.24%

9/30/20

12.81

0.22

0.49

0.71

(0.26)

(1.10)

(1.36)

12.16

5.46%

28,848

0.42%

0.35%

1.83%

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%

Class R4

                        

9/30/22

$ 14.16

$ 0.25

$ (2.56)

$ (2.31)

$ (0.43)

$ (1.52)

$ (1.95)

$ 9.90

(19.29%)

$ 18,897

0.58%

0.50%

2.02%

9/30/21

11.97

0.17

2.54

2.71

(0.24)

(0.28)

(0.52)

14.16

23.08%

24,087

0.57%

0.50%

1.22%

9/30/20

12.63

0.30

0.38

0.68

(0.24)

(1.10)

(1.34)

11.97

5.30%

24,244

0.57%

0.50%

2.47%

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%

Class A

                        

9/30/22

$ 14.21

$ 0.27

$ (2.62)

$ (2.35)

$ (0.31)

$ (1.52)

$ (1.83)

$ 10.03

(19.34%)

$ 7,392

0.68%

0.60%

2.16%

9/30/21

12.03

0.19

2.52

2.71

(0.25)

(0.28)

(0.53)

14.21

22.92%

13,939

0.67%

0.60%

1.42%

9/30/20

12.69

0.17

0.51

0.68

(0.24)

(1.10)

(1.34)

12.03

5.26%

42,080

0.67%

0.60%

1.48%

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%

Class R3

                        

9/30/22

$ 14.10

$ 0.22

$ (2.55)

$ (2.33)

$ (0.40)

$ (1.52)

$ (1.92)

$ 9.85

(19.50%)

$ 41,463

0.83%

0.75%

1.85%

9/30/21

11.93

0.14

2.53

2.67

(0.22)

(0.28)

(0.50)

14.10

22.76%

53,677

0.82%

0.75%

1.02%

9/30/20

12.58

0.18

0.48

0.66

(0.21)

(1.10)

(1.31)

11.93

5.12%

54,970

0.82%

0.75%

1.51%

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%

 

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

 

133

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 14.28

$ 0.27

$ (2.60)

$ (2.33)

$ (0.49)

$ (1.48)

$ (1.97)

$ 9.98

(19.31%)

$ 46,252

0.09%

0.04%

2.25%

9/30/21

11.54

0.19

2.81

3.00

(0.26)

—

(0.26)

14.28

26.26%

51,708

0.08%

0.04%

1.36%

9/30/20

12.19

0.23

0.47

0.70

(0.27)

(1.08)

(1.35)

11.54

5.59%

38,583

0.09%

0.04%

2.06%

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%

Class R5

                        

9/30/22

$ 14.26

$ 0.27

$ (2.60)

$ (2.33)

$ (0.48)

$ (1.48)

$ (1.96)

$ 9.97

(19.36%)

$ 47,871

0.19%

0.14%

2.19%

9/30/21

11.53

0.18

2.80

2.98

(0.25)

—

(0.25)

14.26

26.08%

62,894

0.18%

0.14%

1.35%

9/30/20

12.18

0.24

0.45

0.69

(0.26)

(1.08)

(1.34)

11.53

5.51%

51,048

0.19%

0.14%

2.15%

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%

Service Class

                        

9/30/22

$ 14.33

$ 0.34

$ (2.71)

$ (2.37)

$ (0.46)

$ (1.48)

$ (1.94)

$ 10.02

(19.49%)

$ 11,683

0.29%

0.24%

2.72%

9/30/21

11.58

0.18

2.81

2.99

(0.24)

—

(0.24)

14.33

26.04%

27,788

0.28%

0.24%

1.31%

9/30/20

12.23

0.19

0.48

0.67

(0.24)

(1.08)

(1.32)

11.58

5.32%

25,091

0.29%

0.24%

1.67%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

61%

33%

89%

40%

59%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

134

 

 

   

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

                      

9/30/22

$ 14.24

$ 0.27

$ (2.63)

$ (2.36)

$ (0.45)

$ (1.48)

$ (1.93)

$ 9.95

(19.56%)

$ 43,754

0.39%

0.34%

2.22%

9/30/21

11.51

0.15

2.81

2.96

(0.23)

—

(0.23)

14.24

25.89%

65,351

0.38%

0.34%

1.08%

9/30/20

12.17

0.23

0.42

0.65

(0.23)

(1.08)

(1.31)

11.51

5.18%

52,611

0.39%

0.34%

1.99%

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%

Class R4

                        

9/30/22

$ 13.97

$ 0.23

$ (2.56)

$ (2.33)

$ (0.42)

$ (1.48)

$ (1.90)

$ 9.74

(19.70%)

$ 15,650

0.54%

0.49%

1.87%

9/30/21

11.29

0.14

2.74

2.88

(0.20)

—

(0.20)

13.97

25.69%

21,449

0.53%

0.49%

1.07%

9/30/20

11.96

0.24

0.38

0.62

(0.21)

(1.08)

(1.29)

11.29

5.04%

24,740

0.54%

0.49%

2.15%

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%

Class A

                        

9/30/22

$ 14.10

$ 0.24

$ (2.62)

$ (2.38)

$ (0.35)

$ (1.48)

$ (1.83)

$ 9.89

(19.73%)

$ 15,262

0.64%

0.59%

1.93%

9/30/21

11.41

0.15

2.74

2.89

(0.20)

—

(0.20)

14.10

25.54%

25,723

0.63%

0.59%

1.13%

9/30/20

12.07

0.15

0.48

0.63

(0.21)

(1.08)

(1.29)

11.41

5.03%

49,795

0.64%

0.59%

1.34%

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%

Class R3

                        

9/30/22

$ 13.70

$ 0.19

$ (2.50)

$ (2.31)

$ (0.39)

$ (1.48)

$ (1.87)

$ 9.52

(19.88%)

$ 43,439

0.79%

0.74%

1.64%

9/30/21

11.09

0.11

2.68

2.79

(0.18)

—

(0.18)

13.70

25.36%

52,607

0.78%

0.74%

0.85%

9/30/20

11.75

0.15

0.45

0.60

(0.18)

(1.08)

(1.26)

11.09

4.92%

54,015

0.79%

0.74%

1.34%

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%

 

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

 

135

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 14.76

$ 0.27

$ (2.59)

$ (2.32)

$ (0.53)

$ (1.94)

$ (2.47)

$ 9.97

(19.49%)

$ 26,481

0.18%

0.02%

2.15%

9/30/21

11.96

0.17

3.18

3.35

(0.24)

(0.31)

(0.55)

14.76

28.57%

30,290

0.16%

0.02%

1.24%

9/30/20

12.75

0.24

0.48

0.72

(0.29)

(1.22)

(1.51)

11.96

5.41%

21,522

0.18%

0.02%

2.04%

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%

Class R5

                        

9/30/22

$ 14.76

$ 0.25

$ (2.59)

$ (2.34)

$ (0.51)

$ (1.94)

$ (2.45)

$ 9.97

(19.57%)

$ 1,199

0.28%

0.12%

2.01%

9/30/21

11.96

0.17

3.17

3.34

(0.23)

(0.31)

(0.54)

14.76

28.46%

1,327

0.26%

0.12%

1.17%

9/30/20

12.76

0.20

0.50

0.70

(0.28)

(1.22)

(1.50)

11.96

5.25%

935

0.28%

0.12%

1.70%

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%

Service Class

                        

9/30/22

$ 14.77

$ 0.29

$ (2.66)

$ (2.37)

$ (0.49)

$ (1.94)

$ (2.43)

$ 9.97

(19.74%)

$ 3,251

0.38%

0.22%

2.32%

9/30/21

11.97

0.16

3.17

3.33

(0.22)

(0.31)

(0.53)

14.77

28.30%

4,642

0.36%

0.22%

1.14%

9/30/20

12.75

0.20

0.48

0.68

(0.24)

(1.22)

(1.46)

11.97

5.15%

4,391

0.38%

0.22%

1.69%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

63%

34%

95%

46%

58%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

136

 

 

   

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

                      

9/30/22

$ 14.67

$ 0.25

$ (2.60)

$ (2.35)

$ (0.48)

$ (1.94)

$ (2.42)

$ 9.90

(19.76%)

$ 17,419

0.48%

0.32%

1.99%

9/30/21

11.90

0.12

3.17

3.29

(0.21)

(0.31)

(0.52)

14.67

28.11%

26,780

0.46%

0.32%

0.87%

9/30/20

12.69

0.19

0.49

0.68

(0.25)

(1.22)

(1.47)

11.90

5.12%

19,671

0.48%

0.32%

1.59%

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%

Class R4

                        

9/30/22

$ 14.42

$ 0.20

$ (2.53)

$ (2.33)

$ (0.45)

$ (1.94)

$ (2.39)

$ 9.70

(19.92%)

$ 15,864

0.63%

0.47%

1.67%

9/30/21

11.70

0.12

3.10

3.22

(0.19)

(0.31)

(0.50)

14.42

27.98%

19,388

0.61%

0.47%

0.90%

9/30/20

12.51

0.24

0.40

0.64

(0.23)

(1.22)

(1.45)

11.70

4.89%

18,225

0.63%

0.47%

2.04%

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%

Class A

                        

9/30/22

$ 14.50

$ 0.20

$ (2.58)

$ (2.38)

$ (0.32)

$ (1.94)

$ (2.26)

$ 9.86

(19.94%)

$ 6,267

0.73%

0.57%

1.60%

9/30/21

11.77

0.14

3.09

3.23

(0.19)

(0.31)

(0.50)

14.50

27.88%

11,723

0.71%

0.57%

1.04%

9/30/20

12.58

0.14

0.49

0.63

(0.22)

(1.22)

(1.44)

11.77

4.79%

28,190

0.73%

0.57%

1.18%

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%

Class R3

                        

9/30/22

$ 14.36

0.18

$ (2.53)

$ (2.35)

$ (0.41)

$ (1.94)

$ (2.35)

$ 9.66

(20.09%)

$ 30,594

0.88%

0.72%

1.50%

9/30/21

11.66

0.10

3.06

3.16

(0.15)

(0.31)

(0.46)

14.36

27.59%

40,009

0.86%

0.72%

0.72%

9/30/20

12.47

0.14

0.47

0.61

(0.20)

(1.22)

(1.42)

11.66

4.62%

42,710

0.88%

0.72%

1.25%

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%

 

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

 

137

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 10.46

$ 0.19

$ (1.91)

$ (1.72)

$ (0.36)

$ (1.10)

$ (1.46)

$ 7.28

(19.60%)

$ 26,439

0.12%

0.02%

2.08%

9/30/21

8.31

0.12

2.23

2.35

(0.17)

(0.03)

(0.20)

10.46

28.53%

26,674

0.12%

0.02%

1.21%

9/30/20

8.80

0.16

0.33

0.49

(0.19)

(0.79)

(0.98)

8.31

5.29%

18,528

0.13%

0.02%

2.02%

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%

Class R5

                        

9/30/22

$ 10.44

$ 0.18

$ (1.91)

$ (1.73)

$ (0.35)

$ (1.10)

$ (1.45)

$ 7.26

(19.73%)

$ 41,662

0.22%

0.12%

2.04%

9/30/21

8.29

0.13

2.21

2.34

(0.16)

(0.03)

(0.19)

10.44

28.49%

50,534

0.22%

0.12%

1.31%

9/30/20

8.78

0.16

0.32

0.48

(0.18)

(0.79)

(0.97)

8.29

5.20%

42,985

0.23%

0.12%

1.93%

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%

Service Class

                        

9/30/22

$ 10.50

$ 0.22

$ (1.97)

$ (1.75)

$ (0.34)

$ (1.10)

$ (1.44)

$ 7.31

(19.78%)

$ 4,478

0.32%

0.22%

2.39%

9/30/21

8.34

0.12

2.23

2.35

(0.16)

(0.03)

(0.19)

10.50

28.34%

12,565

0.32%

0.22%

1.19%

9/30/20

8.82

0.13

0.34

0.47

(0.16)

(0.79)

(0.95)

8.34

5.13%

10,119

0.33%

0.22%

1.59%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

60%

36%

92%

40%

65%

 

c

Per share amount calculated on the average shares method.

d

Amount is less than $0.005 per share.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

138

 

 

   

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

                      

9/30/22

$ 10.45

$ 0.18

$ (1.93)

$ (1.75)

$ (0.33)

$ (1.10)

$ (1.43)

$ 7.27

(19.88%)

$ 34,706

0.42%

0.32%

1.95%

9/30/21

8.30

0.09

2.23

2.32

(0.14)

(0.03)

(0.17)

10.45

28.20%

46,558

0.42%

0.32%

0.91%

9/30/20

8.79

0.16

0.30

0.46

(0.16)

(0.79)

(0.95)

8.30

4.98%

34,367

0.43%

0.32%

1.97%

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%

Class R4

                        

9/30/22

$ 10.29

$ 0.15

$ (1.88)

$ (1.73)

$ (0.31)

$ (1.10)

$ (1.41)

$ 7.15

(19.97%)

$ 12,419

0.57%

0.47%

1.72%

9/30/21

8.18

0.08

2.19

2.27

(0.13)

(0.03)

(0.16)

10.29

27.93%

16,268

0.57%

0.47%

0.86%

9/30/20

8.68

0.16

0.28

0.44

(0.15)

(0.79)

(0.94)

8.18

4.78%

15,258

0.58%

0.47%

1.93%

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%

Class A

                        

9/30/22

$ 10.35

$ 0.15

$ (1.91)

$ (1.76)

$ (0.26)

$ (1.10)

$ (1.36)

$ 7.23

(20.08%)

$ 8,582

0.67%

0.57%

1.67%

9/30/21

8.23

0.10

2.18

2.28

(0.13)

(0.03)

(0.16)

10.35

27.87%

14,761

0.67%

0.57%

1.00%

9/30/20

8.72

0.10

0.34

0.44

(0.14)

(0.79)

(0.93)

8.23

4.81%

26,813

0.68%

0.57%

1.22%

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%

Class R3

                        

9/30/22

$ 10.20

$ 0.13

$ (1.87)

$ (1.74)

$ (0.29)

$ (1.10)

$ (1.39)

$ 7.07

(20.23%)

$ 28,557

0.82%

0.72%

1.47%

9/30/21

8.11

0.07

2.16

2.23

(0.11)

(0.03)

(0.14)

10.20

27.70%

34,349

0.82%

0.72%

0.71%

9/30/20

8.60

0.10

0.32

0.42

(0.12)

(0.79)

(0.91)

8.11

4.59%

32,608

0.83%

0.72%

1.23%

9/30/19

9.96

0.16

(0.16)aa

0.00d

(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%

 

 

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

 

139

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 12.33

$ 0.23

$ (2.26)

$ (2.03)

$ (0.44)

$ (1.27)

$ (1.71)

$ 8.59

(19.58%)

$ 12,871

0.34%

0.00%

2.15%

9/30/21

10.15

0.14

2.67

2.81

(0.21)

(0.42)

(0.63)

12.33

28.46%

13,996

0.33%

0.00%

1.20%

9/30/20

10.73

0.21

0.40

0.61

(0.23)

(0.96)

(1.19)

10.15

5.43%

9,429

0.39%

0.00%

2.09%

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%

Class R5

                        

9/30/22

$ 12.33

$ 0.21

$ (2.26)

$ (2.05)

$ (0.42)

$ (1.27)

$ (1.69)

$ 8.59

(19.69%)

$ 877

0.44%

0.10%

1.97%

9/30/21

10.15

0.10

2.70

2.80

(0.20)

(0.42)

(0.62)

12.33

28.35%

1,523

0.43%

0.10%

0.79%

9/30/20

10.73

0.17

0.43

0.60

(0.22)

(0.96)

(1.18)

10.15

5.34%

643

0.49%

0.10%

1.72%

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%

Service Class

                        

9/30/22

$ 12.38

$ 0.23

$ (2.31)

$ (2.08)

$ (0.41)

$ (1.27)

$ (1.68)

$ 8.62

(19.85%)

$ 2,666

0.54%

0.20%

2.12%

9/30/21

10.18

0.13

2.68

2.81

(0.19)

(0.42)

(0.61)

12.38

28.34%

3,260

0.53%

0.20%

1.11%

9/30/20

10.75

0.18

0.40

0.58

(0.19)

(0.96)

(1.15)

10.18

5.15%

2,498

0.59%

0.20%

1.77%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

64%

38%

89%

50%

62%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

140

 

 

   

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

                      

9/30/22

$ 12.28

$ 0.20

$ (2.27)

$ (2.07)

$ (0.40)

$ (1.27)

$ (1.67)

$ 8.54

(19.92%)

$ 8,852

0.64%

0.30%

1.87%

9/30/21

10.11

0.10

2.67

2.77

(0.18)

(0.42)

(0.60)

12.28

28.13%

10,954

0.63%

0.30%

0.85%

9/30/20

10.69

0.16

0.42

0.58

(0.20)

(0.96)

(1.16)

10.11

5.13%

7,482

0.69%

0.30%

1.61%

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%

Class R4

                        

9/30/22

$ 12.20

$ 0.19

$ (2.25)

$ (2.06)

$ (0.38)

$ (1.27)

$ (1.65)

$ 8.49

(19.98%)

$ 5,976

0.79%

0.45%

1.76%

9/30/21

10.04

0.11

2.63

2.74

(0.16)

(0.42)

(0.58)

12.20

28.02%

7,822

0.78%

0.45%

0.92%

9/30/20

10.64

0.22

0.33

0.55

(0.19)

(0.96)

(1.15)

10.04

4.85%

6,887

0.84%

0.45%

2.20%

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%

Class A

                        

9/30/22

$ 12.23

$ 0.14

$ (2.26)

$ (2.12)

$ (0.17)

$ (1.27)

$ (1.44)

$ 8.67

(19.98%)

$ 1,265

0.89%

0.55%

1.27%

9/30/21

10.08

0.11

2.62

2.73

(0.16)

(0.42)

(0.58)

12.23

27.80%

6,298

0.88%

0.55%

0.96%

9/30/20

10.67

0.13

0.42

0.55

(0.18)

(0.96)

(1.14)

10.08

4.83%

10,137

0.94%

0.55%

1.29%

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%

Class R3

                        

9/30/22

$ 12.12

$ 0.15

$ (2.23)

$ (2.08)

$ (0.35)

$ (1.27)

$ (1.62)

$ 8.42

(20.23%)

$ 20,114

1.04%

0.70%

1.46%

9/30/21

9.99

0.09

2.60

2.69

(0.14)

(0.42)

(0.56)

12.12

27.60%

23,885

1.03%

0.70%

0.76%

9/30/20

10.58

0.11

0.42

0.53

(0.16)

(0.96)

(1.12)

9.99

4.69%

24,149

1.09%

0.70%

1.17%

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%

 

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

 

141

 

 

MassMutual RetireSMARTSM 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

                          

9/30/22

$ 12.03

$ 0.24

$ (2.27)

$ (2.03)

$ (0.41)

$ (1.05)

$ (1.46)

$ 8.54

(19.60%)

$ 11,505

0.95%

0.00%

2.31%

9/30/21

9.91

0.15

2.59

2.74

(0.20)

(0.42)

(0.62)

12.03

28.43%

14,808

1.07%

0.00%

1.29%

9/30/20

10.53

0.20

0.39

0.59

(0.23)

(0.98)

(1.21)

9.91

5.39%

10,758

1.32%

0.00%

2.06%

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%

Class R5

                        

9/30/22

$ 12.00

$ 0.22

$ (2.26)

$ (2.04)

$ (0.37)

$ (1.05)

$ (1.42)

$ 8.54

(19.72%)

$ 194

1.05%

0.10%

2.05%

9/30/21

9.89

0.13

2.59

2.72

(0.19)

(0.42)

(0.61)

12.00

28.27%

1,352

1.17%

0.10%

1.12%

9/30/20

10.51

0.25

0.33

0.58

(0.22)

(0.98)

(1.20)

9.89

5.33%

764

1.42%

0.10%

2.51%

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%

Service Class

                        

9/30/22

$ 11.97

$ 0.21

$ (2.24)

$ (2.03)

$ (0.40)

$ (1.05)

$ (1.45)

$ 8.49

(19.75%)

$ 1,215

1.15%

0.20%

1.97%

9/30/21

9.87

0.12

2.58

2.70

(0.18)

(0.42)

(0.60)

11.97

28.15%

2,047

1.27%

0.21%

1.03%

9/30/20

10.49

0.12

0.45

0.57

(0.21)

(0.98)

(1.19)

9.87

5.23%

1,453

1.52%

0.20%

1.20%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

78%

38%

77%

51%

58%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

142

 

 

   

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

                      

9/30/22

$ 11.95

$ 0.19

$ (2.25)

$ (2.06)

$ (0.38)

$ (1.05)

$ (1.43)

$ 8.46

(19.96%)

$ 1,788

1.25%

0.30%

1.81%

9/30/21

9.85

0.09

2.60

2.69

(0.17)

(0.42)

(0.59)

11.95

28.08%

2,210

1.37%

0.33%

0.79%

9/30/20

10.48

0.12

0.43

0.55

(0.20)

(0.98)

(1.18)

9.85

5.07%

1,304

1.62%

0.30%

1.29%

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%

Class R4

                        

9/30/22

$ 11.94

$ 0.18

$ (2.25)

$ (2.07)

$ (0.36)

$ (1.05)

$ (1.41)

$ 8.46

(20.02%)

$ 923

1.40%

0.45%

1.74%

9/30/21

9.85

0.11

2.57

2.68

(0.17)

(0.42)

(0.59)

11.94

27.90%

1,019

1.52%

0.45%

0.92%

9/30/20

10.47

0.12

0.42

0.54

(0.18)

(0.98)

(1.16)

9.85

4.97%

769

1.77%

0.45%

1.26%

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%

Class A

                        

9/30/22

$ 11.89

$ 0.20

$ (2.28)

$ (2.08)

$ (0.28)

$ (1.05)

$ (1.33)

$ 8.48

(20.10%)

$ 329

1.50%

0.55%

1.86%

9/30/21

9.83

0.12

2.52

2.64

(0.16)

(0.42)

(0.58)

11.89

27.59%

613

1.62%

0.59%

1.04%

9/30/20

10.46

0.07

0.46

0.53

(0.18)

(0.98)

(1.16)

9.83

4.89%

1,190

1.87%

0.55%

0.74%

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%

Class R3

                        

9/30/22

$ 11.87

$ 0.14

$ (2.22)

$ (2.08)

$ (0.32)

$ (1.05)

$ (1.37)

$ 8.42

(20.18%)

$ 1,343

1.65%

0.70%

1.34%

9/30/21

9.80

0.12

2.51

2.63

(0.14)

(0.42)

(0.56)

11.87

27.53%

1,510

1.77%

0.70%

1.03%

9/30/20

10.41

0.08

0.43

0.51

(0.14)

(0.98)

(1.12)

9.80

4.66%

1,885

2.02%

0.70%

0.89%

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%

 

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

 

143

 

 

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

                          

9/30/22

$ 17.72

$ 0.46

$ (2.83)

$ (2.37)

$ (0.65)

$ (1.08)

$ (1.73)

$ 13.62

(14.93%)

$ 20,187

0.40%

0.27%

2.90%

9/30/21

16.19

0.25

2.00

2.25

(0.36)

(0.36)

(0.72)

17.72

14.19%

25,173

0.40%

0.27%

1.42%

9/30/20

15.46

0.31

0.91

1.22

(0.38)

(0.11)

(0.49)

16.19

8.01%

18,598

0.19%

0.06%

2.03%

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

                        

9/30/22

$ 17.73

$ 0.42

$ (2.83)

$ (2.41)

$ (0.61)

$ (1.08)

$ (1.69)

$ 13.63

(15.09%)

$ 126,517

0.55%

0.42%

2.66%

9/30/21

16.20

0.23

2.00

2.23

(0.34)

(0.36)

(0.70)

17.73

14.02%

152,253

0.55%

0.42%

1.30%

9/30/20

15.48

0.34

0.85

1.19

(0.36)

(0.11)

(0.47)

16.20

7.85%

126,059

0.33%

0.20%

2.17%

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

                        

9/30/22

$ 17.66

$ 0.40

$ (2.85)

$ (2.45)

$ (0.48)

$ (1.08)

$ (1.56)

$ 13.65

(15.28%)

$ 7,314

0.80%

0.67%

2.50%

9/30/21

16.13

0.22

1.97

2.19

(0.30)

(0.36)

(0.66)

17.66

13.80%

14,092

0.80%

0.67%

1.27%

9/30/20

15.42

0.30

0.84

1.14

(0.32)

(0.11)

(0.43)

16.13

7.52%

19,598

0.58%

0.45%

1.94%

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

                        

9/30/22

$ 17.65

$ 0.33

$ (2.81)

$ (2.48)

$ (0.52)

$ (1.08)

$ (1.60)

$ 13.57

(15.55%)

$ 4,113

1.05%

0.92%

2.11%

9/30/21

16.11

0.13

2.01

2.14

(0.24)

(0.36)

(0.60)

17.65

13.47%

6,265

1.05%

0.92%

0.74%

9/30/20

15.39

0.28

0.82

1.10

(0.27)

(0.11)

(0.38)

16.11

7.27%

6,073

0.83%

0.70%

1.79%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

34%

38%

50%

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.

 

144

 

 

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

                          

9/30/22

$ 17.52

$ 0.39

$ (2.66)

$ (2.27)

$ (0.62)

$ (2.18)

$ (2.80)

$ 12.45

(15.62%)

$ 15,173

0.42%

0.28%

2.65%

9/30/21

16.24

0.30

1.84

2.14

(0.38)

(0.48)

(0.86)

17.52

13.48%

17,418

0.42%

0.28%

1.74%

9/30/20

15.74

0.34

0.85

1.19

(0.43)

(0.26)

(0.69)

16.24

7.74%

19,736

0.62%

0.06%

2.21%

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

                        

9/30/22

$ 17.48

$ 0.41

$ (2.69)

$ (2.28)

$ (0.60)

$ (2.18)

$ (2.78)

$ 12.42

(15.73%)

$ 5,681

0.57%

0.43%

2.79%

9/30/21

16.20

0.24

1.87

2.11

(0.35)

(0.48)

(0.83)

17.48

13.33%

7,783

0.57%

0.43%

1.39%

9/30/20

15.71

0.41

0.75

1.16

(0.41)

(0.26)

(0.67)

16.20

7.55%

8,440

0.77%

0.20%

2.63%

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

                        

9/30/22

$ 17.46

$ 0.36

$ (2.68)

$ (2.32)

$ (0.54)

$ (2.18)

$ (2.72)

$ 12.42

(15.93%)

$ 2,073

0.82%

0.68%

2.46%

9/30/21

16.17

0.21

1.86

2.07

(0.30)

(0.48)

(0.78)

17.46

13.07%

3,096

0.82%

0.68%

1.22%

9/30/20

15.69

0.36

0.76

1.12

(0.38)

(0.26)

(0.64)

16.17

7.29%

3,455

1.02%

0.45%

2.30%

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

                        

9/30/22

$ 17.39

$ 0.29

$ (2.64)

$ (2.35)

$ (0.52)

$ (2.18)

$ (2.70)

$ 12.34

(16.17%)

$ 1,453

1.07%

0.93%

2.01%

9/30/21

16.11

0.12

1.90

2.02

(0.26)

(0.48)

(0.74)

17.39

12.77%

1,603

1.07%

0.93%

0.72%

9/30/20

15.64

0.32

0.76

1.08

(0.35)

(0.26)

(0.61)

16.11

7.01%

1,227

1.27%

0.69%

2.07%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

37%

54%

59%

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.

 

145

 

 

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

                          

9/30/22

$ 17.63

$ 0.39

$ (2.90)

$ (2.51)

$ (0.62)

$ (1.27)

$ (1.89)

$ 13.23

(16.02%)

$ 63,308

0.42%

0.28%

2.51%

9/30/21

16.05

0.27

2.05

2.32

(0.37)

(0.37)

(0.74)

17.63

14.74%

75,734

0.42%

0.28%

1.55%

9/30/20

15.66

0.37

0.85

1.22

(0.43)

(0.40)

(0.83)

16.05

8.02%

72,187

0.20%

0.05%

2.40%

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

                        

9/30/22

$ 17.61

$ 0.47

$ (2.99)

$ (2.52)

$ (0.61)

$ (1.27)

$ (1.88)

$ 13.21

(16.10%)

$ 20,741

0.57%

0.43%

2.98%

9/30/21

16.03

0.21

2.08

2.29

(0.34)

(0.37)

(0.71)

17.61

14.57%

32,649

0.57%

0.43%

1.20%

9/30/20

15.65

0.39

0.80

1.19

(0.41)

(0.40)

(0.81)

16.03

7.81%

28,892

0.34%

0.20%

2.53%

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

                        

9/30/22

$ 17.56

$ 0.38

$ (2.96)

$ (2.58)

$ (0.51)

$ (1.27)

$ (1.78)

$ 13.20

(16.40%)

$ 10,567

0.82%

0.68%

2.45%

9/30/21

15.99

0.23

2.02

2.25

(0.31)

(0.37)

(0.68)

17.56

14.35%

26,545

0.82%

0.68%

1.37%

9/30/20

15.61

0.33

0.82

1.15

(0.37)

(0.40)

(0.77)

15.99

7.56%

30,398

0.60%

0.45%

2.16%

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

                        

9/30/22

$ 17.56

$ 0.35

$ (2.95)

$ (2.60)

$ (0.51)

$ (1.27)

$ (1.78)

$ 13.18

(16.57%)

$ 8,647

1.07%

0.93%

2.28%

9/30/21

15.99

0.15

2.04

2.19

(0.25)

(0.37)

(0.62)

17.56

13.97%

13,883

1.07%

0.93%

0.90%

9/30/20

15.59

0.25

0.87

1.12

(0.32)

(0.40)

(0.72)

15.99

7.34%

14,512

0.85%

0.70%

1.62%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

34%

33%

53%

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.

 

146

 

 

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

                          

9/30/22

$ 17.97

$ 0.36

$ (2.99)

$ (2.63)

$ (0.62)

$ (1.15)

$ (1.77)

$ 13.57

(16.38%)

$ 65,438

0.44%

0.30%

2.29%

9/30/21

16.17

0.24

2.32

2.56

(0.35)

(0.41)

(0.76)

17.97

16.19%

78,555

0.44%

0.32%

1.35%

9/30/20

15.64

0.35

0.93

1.28

(0.41)

(0.34)

(0.75)

16.17

8.40%

65,346

0.20%

0.06%

2.29%

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

                        

9/30/22

$ 17.94

$ 0.42

$ (3.07)

$ (2.65)

$ (0.60)

$ (1.15)

$ (1.75)

$ 13.54

(16.50%)

$ 39,275

0.59%

0.45%

2.64%

9/30/21

16.14

0.21

2.32

2.53

(0.32)

(0.41)

(0.73)

17.94

16.05%

64,169

0.59%

0.47%

1.21%

9/30/20

15.62

0.36

0.89

1.25

(0.39)

(0.34)

(0.73)

16.14

8.19%

53,926

0.35%

0.21%

2.30%

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

                        

9/30/22

$ 17.92

$ 0.35

$ (3.04)

$ (2.69)

$ (0.52)

$ (1.15)

$ (1.67)

$ 13.56

(16.68%)

$ 5,066

0.84%

0.70%

2.21%

9/30/21

16.12

0.19

2.30

2.49

(0.28)

(0.41)

(0.69)

17.92

15.74%

11,856

0.84%

0.72%

1.07%

9/30/20

15.60

0.31

0.89

1.20

(0.34)

(0.34)

(0.68)

16.12

7.89%

12,857

0.60%

0.46%

2.03%

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

                        

9/30/22

$ 17.87

$ 0.32

$ (3.04)

$ (2.72)

$ (0.51)

$ (1.15)

$ (1.66)

$ 13.49

(16.89%)

$ 4,452

1.09%

0.95%

2.01%

9/30/21

16.08

0.13

2.31

2.44

(0.24)

(0.41)

(0.65)

17.87

15.46%

6,990

1.09%

0.97%

0.76%

9/30/20

15.56

0.30

0.87

1.17

(0.31)

(0.34)

(0.65)

16.08

7.65%

7,211

0.85%

0.70%

1.96%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

35%

35%

57%

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.

 

147

 

 

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

                          

9/30/22

$ 18.31

$ 0.34

$ (3.04)

$ (2.70)

$ (0.64)

$ (1.49)

$ (2.13)

$ 13.48

(16.84%)

$ 267,728

0.47%

0.31%

2.16%

9/30/21

16.22

0.22

2.62

2.84

(0.34)

(0.41)

(0.75)

18.31

17.87%

303,954

0.47%

0.35%

1.25%

9/30/20

15.63

0.33

0.99

1.32

(0.39)

(0.34)

(0.73)

16.22

8.63%

265,328

0.12%

0.07%

2.11%

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

                        

9/30/22

$ 18.29

$ 0.47

$ (3.19)

$ (2.72)

$ (0.62)

$ (1.49)

$ (2.11)

$ 13.46

(16.98%)

$ 137,211

0.62%

0.47%

2.89%

9/30/21

16.20

0.19

2.62

2.81

(0.31)

(0.41)

(0.72)

18.29

17.71%

282,667

0.62%

0.50%

1.05%

9/30/20

15.61

0.34

0.96

1.30

(0.37)

(0.34)

(0.71)

16.20

8.49%

257,134

0.26%

0.21%

2.17%

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

                        

9/30/22

$ 18.24

$ 0.33

$ (3.09)

$ (2.76)

$ (0.53)

$ (1.49)

$ (2.02)

$ 13.46

(17.15%)

$ 70,876

0.87%

0.72%

2.07%

9/30/21

16.17

0.19

2.57

2.76

(0.28)

(0.41)

(0.69)

18.24

17.38%

139,862

0.87%

0.75%

1.08%

9/30/20

15.58

0.30

0.96

1.26

(0.33)

(0.34)

(0.67)

16.17

8.24%

159,246

0.51%

0.46%

1.92%

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

                        

9/30/22

$ 18.24

$ 0.30

$ (3.10)

$ (2.80)

$ (0.50)

$ (1.49)

$ (1.99)

$ 13.45

(17.37%)

$ 36,043

1.12%

0.97%

1.86%

9/30/21

16.16

0.12

2.58

2.70

(0.21)

(0.41)

(0.62)

18.24

17.02%

55,402

1.12%

1.00%

0.66%

9/30/20

15.56

0.25

0.97

1.22

(0.28)

(0.34)

(0.62)

16.16

8.01%

65,611

0.76%

0.71%

1.65%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

35%

35%

53%

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.

 

148

 

 

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

                          

9/30/22

$ 19.04

$ 0.31

$ (3.31)

$ (3.00)

$ (0.66)

$ (1.36)

$ (2.02)

$ 14.02

(17.83%)

$ 356,557

0.50%

0.34%

1.88%

9/30/21

16.46

0.20

3.07

3.27

(0.33)

(0.36)

(0.69)

19.04

20.22%

377,165

0.51%

0.39%

1.06%

9/30/20

15.62

0.29

1.15

1.44

(0.36)

(0.24)

(0.60)

16.46

9.35%

284,762

0.14%

0.08%

1.89%

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

                        

9/30/22

$ 19.01

$ 0.45

$ (3.48)

$ (3.03)

$ (0.63)

$ (1.36)

$ (1.99)

$ 13.99

(17.99%)

$ 83,947

0.65%

0.50%

2.63%

9/30/21

16.43

0.17

3.07

3.24

(0.30)

(0.36)

(0.66)

19.01

20.08%

195,342

0.66%

0.54%

0.93%

9/30/20

15.60

0.32

1.09

1.41

(0.34)

(0.24)

(0.58)

16.43

9.15%

158,255

0.27%

0.22%

2.07%

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

0.00d

0.22

0.22

—

—

—

15.22

1.47%b

147,045

0.24%a

0.15%a

0.05%a

Class M4

                        

9/30/22

$ 18.96

$ 0.30

$ (3.36)

$ (3.06)

$ (0.57)

$ (1.36)

$ (1.93)

$ 13.97

(18.16%)

$ 51,635

0.90%

0.75%

1.81%

9/30/21

16.40

0.14

3.04

3.18

(0.26)

(0.36)

(0.62)

18.96

19.73%

98,755

0.91%

0.79%

0.76%

9/30/20

15.58

0.26

1.11

1.37

(0.31)

(0.24)

(0.55)

16.40

8.85%

89,755

0.53%

0.48%

1.69%

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

                        

9/30/22

$ 18.90

$ 0.26

$ (3.36)

$ (3.10)

$ (0.52)

$ (1.36)

$ (1.88)

$ 13.92

(18.37%)

$ 35,432

1.15%

1.00%

1.57%

9/30/21

16.35

0.10

3.02

3.12

(0.21)

(0.36)

(0.57)

18.90

19.41%

51,074

1.16%

1.04%

0.57%

9/30/20

15.53

0.25

1.08

1.33

(0.27)

(0.24)

(0.51)

16.35

8.62%

55,244

0.77%

0.72%

1.59%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

38%

40%

42%

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.

 

149

 

 

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

                          

9/30/22

$ 19.67

$ 0.25

$ (3.65)

$ (3.40)

$ (0.69)

$ (1.21)

$ (1.90)

$ 14.37

(19.32%)

$ 627,370

0.53%

0.37%

1.44%

9/30/21

16.54

0.17

3.54

3.71

(0.31)

(0.27)

(0.58)

19.67

22.79%

582,489

0.54%

0.43%

0.88%

9/30/20

15.60

0.27

1.23

1.50

(0.34)

(0.22)

(0.56)

16.54

9.78%

432,292

0.13%

0.09%

1.74%

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

                        

9/30/22

$ 19.65

$ 0.37

$ (3.81)

$ (3.44)

$ (0.66)

$ (1.21)

$ (1.87)

$ 14.34

(19.51%)

$ 322,959

0.69%

0.54%

2.09%

9/30/21

16.52

0.13

3.55

3.68

(0.28)

(0.27)

(0.55)

19.65

22.65%

646,934

0.69%

0.58%

0.67%

9/30/20

15.58

0.28

1.20

1.48

(0.32)

(0.22)

(0.54)

16.52

9.65%

489,123

0.27%

0.23%

1.77%

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

0.00d

0.22

0.22

—

—

—

15.22

1.47%b

409,120

0.19%a

0.15%a

0.00%a

Class M4

                        

9/30/22

$ 19.58

$ 0.24

$ (3.71)

$ (3.47)

$ (0.58)

$ (1.21)

$ (1.79)

$ 14.32

(19.66%)

$ 143,393

0.94%

0.79%

1.41%

9/30/21

16.48

0.14

3.48

3.62

(0.25)

(0.27)

(0.52)

19.58

22.29%

291,355

0.94%

0.83%

0.73%

9/30/20

15.55

0.23

1.20

1.43

(0.28)

(0.22)

(0.50)

16.48

9.34%

298,652

0.52%

0.48%

1.51%

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

                        

9/30/22

$ 19.59

$ 0.21

$ (3.73)

$ (3.52)

$ (0.55)

$ (1.21)

$ (1.76)

$ 14.31

(19.91%)

$ 79,404

1.19%

1.04%

1.19%

9/30/21

16.46

0.06

3.52

3.58

(0.18)

(0.27)

(0.45)

19.59

22.06%

112,891

1.19%

1.08%

0.34%

9/30/20

15.53

0.20

1.19

1.39

(0.24)

(0.22)

(0.46)

16.46

9.06%

123,936

0.77%

0.73%

1.30%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

34%

27%

34%

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.

 

150

 

 

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

                          

9/30/22

$ 20.26

$ 0.22

$ (4.01)

$ (3.79)

$ (0.75)

$ (1.00)

$ (1.75)

$ 14.72

(20.63%)

$ 412,008

0.57%

0.39%

1.24%

9/30/21

16.64

0.14

4.02

4.16

(0.28)

(0.26)

(0.54)

20.26

25.35%

372,474

0.57%

0.44%

0.71%

9/30/20

15.58

0.25

1.30

1.55

(0.32)

(0.17)

(0.49)

16.64

10.08%

250,301

0.15%

0.09%

1.59%

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

                        

9/30/22

$ 20.22

$ 0.36

$ (4.17)

$ (3.81)

$ (0.73)

$ (1.00)

$ (1.73)

$ 14.68

(20.78%)

$ 98,488

0.72%

0.56%

1.98%

9/30/21

16.62

0.12

3.99

4.11

(0.25)

(0.26)

(0.51)

20.22

25.09%

233,159

0.72%

0.61%

0.62%

9/30/20

15.56

0.26

1.27

1.53

(0.30)

(0.17)

(0.47)

16.62

9.95%

176,646

0.29%

0.23%

1.68%

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

                        

9/30/22

$ 20.16

$ 0.20

$ (4.04)

$ (3.84)

$ (0.67)

$ (1.00)

$ (1.67)

$ 14.65

(20.92%)

$ 67,260

0.97%

0.81%

1.10%

9/30/21

16.58

0.06

4.00

4.06

(0.22)

(0.26)

(0.48)

20.16

24.81%

120,031

0.97%

0.86%

0.30%

9/30/20

15.53

0.22

1.27

1.49

(0.27)

(0.17)

(0.44)

16.58

9.66%

75,337

0.55%

0.49%

1.38%

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

                        

9/30/22

$ 20.13

$ 0.15

$ (4.05)

$ (3.90)

$ (0.58)

$ (1.00)

$ (1.58)

$ 14.65

(21.16%)

$ 36,030

1.22%

1.06%

0.86%

9/30/21

16.55

0.05

3.95

4.00

(0.16)

(0.26)

(0.42)

20.13

24.44%

45,019

1.22%

1.12%

0.25%

9/30/20

15.50

0.19

1.25

1.44

(0.22)

(0.17)

(0.39)

16.55

9.39%

58,793

0.79%

0.73%

1.19%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

27%

21%

27%

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.

 

151

 

 

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

                          

9/30/22

$ 20.77

$ 0.17

$ (4.26)

$ (4.09)

$ (0.83)

$ (0.91)

$ (1.74)

$ 14.94

(21.66%)

$ 542,666

0.59%

0.41%

0.95%

9/30/21

16.73

0.12

4.41

4.53

(0.25)

(0.24)

(0.49)

20.77

27.48%

416,707

0.59%

0.47%

0.63%

9/30/20

15.56

0.23

1.38

1.61

(0.31)

(0.13)

(0.44)

16.73

10.45%

300,976

0.14%

0.09%

1.49%

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

                        

9/30/22

$ 20.74

$ 0.32

$ (4.44)

$ (4.12)

$ (0.80)

$ (0.91)

$ (1.71)

$ 14.91

(21.80%)

$ 295,087

0.74%

0.58%

1.69%

9/30/21

16.71

0.07

4.43

4.50

(0.23)

(0.24)

(0.47)

20.74

27.28%

602,095

0.74%

0.64%

0.36%

9/30/20

15.54

0.23

1.36

1.59

(0.29)

(0.13)

(0.42)

16.71

10.32%

405,437

0.29%

0.25%

1.47%

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

                        

9/30/22

$ 20.66

$ 0.18

$ (4.35)

$ (4.17)

$ (0.71)

$ (0.91)

$ (1.62)

$ 14.87

(22.03%)

$ 123,661

0.99%

0.83%

0.96%

9/30/21

16.66

0.09

4.35

4.44

(0.20)

(0.24)

(0.44)

20.66

26.97%

249,137

0.99%

0.89%

0.48%

9/30/20

15.50

0.19

1.35

1.54

(0.25)

(0.13)

(0.38)

16.66

10.03%

249,598

0.54%

0.50%

1.22%

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

                        

9/30/22

$ 20.67

$ 0.14

$ (4.35)

$ (4.21)

$ (0.67)

$ (0.91)

$ (1.58)

$ 14.88

(22.18%)

$ 65,842

1.24%

1.08%

0.78%

9/30/21

16.65

0.01

4.38

4.39

(0.13)

(0.24)

(0.37)

20.67

26.62%

90,972

1.24%

1.15%

0.04%

9/30/20

15.49

0.15

1.35

1.50

(0.21)

(0.13)

(0.34)

16.65

9.76%

98,070

0.78%

0.74%

0.96%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

29%

18%

22%

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.

 

152

 

 

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

                          

9/30/22

$ 21.07

$ 0.16

$ (4.37)

$ (4.21)

$ (0.85)

$ (0.90)

$ (1.75)

$ 15.11

(21.99%)

$ 333,390

0.61%

0.42%

0.88%

9/30/21

16.76

0.10

4.69

4.79

(0.24)

(0.24)

(0.48)

21.07

28.97%

247,138

0.61%

0.47%

0.50%

9/30/20

15.54

0.22

1.41

1.63

(0.29)

(0.12)

(0.41)

16.76

10.60%

154,476

0.18%

0.10%

1.39%

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

                        

9/30/22

$ 21.02

$ 0.36

$ (4.59)

$ (4.23)

$ (0.82)

$ (0.90)

$ (1.72)

$ 15.07

(22.11%)

$ 65,768

0.76%

0.60%

1.88%

9/30/21

16.74

0.07

4.66

4.73

(0.21)

(0.24)

(0.45)

21.02

28.65%

198,343

0.76%

0.67%

0.37%

9/30/20

15.53

0.22

1.38

1.60

(0.27)

(0.12)

(0.39)

16.74

10.40%

141,319

0.31%

0.25%

1.40%

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

                        

9/30/22

$ 20.96

$ 0.15

$ (4.42)

$ (4.27)

$ (0.78)

$ (0.90)

$ (1.68)

$ 15.01

(22.35%)

$ 48,715

1.01%

0.85%

0.82%

9/30/21

16.70

0.03

4.65

4.68

(0.18)

(0.24)

(0.42)

20.96

28.38%

90,570

1.01%

0.92%

0.16%

9/30/20

15.50

0.18

1.38

1.56

(0.24)

(0.12)

(0.36)

16.70

10.12%

60,056

0.56%

0.50%

1.15%

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

                        

9/30/22

$ 20.95

$ 0.11

$ (4.44)

$ (4.33)

$ (0.67)

$ (0.90)

$ (1.57)

$ 15.05

(22.50%)

$ 27,562

1.26%

1.10%

0.57%

9/30/21

16.67

0.01

4.61

4.62

(0.10)

(0.24)

(0.34)

20.95

28.02%

35,140

1.26%

1.17%

0.03%

9/30/20

15.47

0.14

1.38

1.52

(0.20)

(0.12)

(0.32)

16.67

9.86%

46,619

0.81%

0.74%

0.92%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

23%

18%

22%

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.

 

153

 

 

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

                          

9/30/22

$ 21.08

$ 0.16

$ (4.46)

$ (4.30)

$ (0.86)

$ (0.72)

$ (1.58)

$ 15.20

(22.18%)

$ 364,457

0.61%

0.43%

0.86%

9/30/21

16.78

0.10

4.70

4.80

(0.24)

(0.26)

(0.50)

21.08

29.03%

258,313

0.61%

0.48%

0.49%

9/30/20

15.55

0.22

1.41

1.63

(0.29)

(0.11)

(0.40)

16.78

10.57%

161,863

0.16%

0.10%

1.39%

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

0.00d

0.25

0.25

—

—

—

15.25

1.67%b

46,555

0.08%a

0.00%a

0.06%a

Class M5

                        

9/30/22

$ 21.04

$ 0.28

$ (4.60)

$ (4.32)

$ (0.83)

$ (0.72)

$ (1.55)

$ 15.17

(22.30%)

$ 221,155

0.76%

0.61%

1.46%

9/30/21

16.76

0.05

4.71

4.76

(0.22)

(0.26)

(0.48)

21.04

28.76%

415,859

0.76%

0.67%

0.27%

9/30/20

15.53

0.21

1.40

1.61

(0.27)

(0.11)

(0.38)

16.76

10.44%

280,003

0.30%

0.25%

1.34%

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

                        

9/30/22

$ 20.96

$ 0.16

$ (4.52)

$ (4.36)

$ (0.76)

$ (0.72)

$ (1.48)

$ 15.12

(22.51%)

$ 70,887

1.01%

0.86%

0.87%

9/30/21

16.71

0.06

4.64

4.70

(0.19)

(0.26)

(0.45)

20.96

28.47%

160,626

1.01%

0.92%

0.32%

9/30/20

15.49

0.17

1.39

1.56

(0.23)

(0.11)

(0.34)

16.71

10.16%

147,994

0.55%

0.50%

1.09%

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

                        

9/30/22

$ 20.95

$ 0.13

$ (4.52)

$ (4.39)

$ (0.72)

$ (0.72)

$ (1.44)

$ 15.12

(22.64%)

$ 44,600

1.26%

1.11%

0.67%

9/30/21

16.69

(0.01)

4.65

4.64

(0.12)

(0.26)

(0.38)

20.95

28.09%

60,911

1.26%

1.17%

(0.07%)

9/30/20

15.47

0.13

1.39

1.52

(0.19)

(0.11)

(0.30)

16.69

9.91%

57,934

0.80%

0.74%

0.84%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

27%

15%

22%

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.

 

154

 

 

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

                          

9/30/22

$ 21.03

$ 0.11

$ (4.39)

$ (4.28)

$ (0.85)

$ (0.77)

$ (1.62)

$ 15.13

(22.22%)

$ 215,507

0.61%

0.44%

0.60%

9/30/21

16.75

0.10

4.70

4.80

(0.24)

(0.28)

(0.52)

21.03

29.06%

112,730

0.61%

0.48%

0.48%

9/30/20

15.54

0.21

1.41

1.62

(0.29)

(0.12)

(0.41)

16.75

10.55%

67,777

0.22%

0.10%

1.32%

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

0.00d

0.25

0.25

—

—

—

15.25

1.67%b

16,170

0.24%a

0.00%a

0.06%a

Class M5

                        

9/30/22

$ 20.98

$ 0.43

$ (4.72)

$ (4.29)

$ (0.83)

$ (0.77)

$ (1.60)

$ 15.09

(22.33%)

$ 32,887

0.76%

0.62%

2.19%

9/30/21

16.73

0.07

4.67

4.74

(0.21)

(0.28)

(0.49)

20.98

28.76%

140,685

0.76%

0.67%

0.34%

9/30/20

15.52

0.21

1.39

1.60

(0.27)

(0.12)

(0.39)

16.73

10.43%

94,767

0.36%

0.24%

1.34%

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

                        

9/30/22

$ 20.92

$ 0.14

$ (4.47)

$ (4.33)

$ (0.78)

$ (0.77)

$ (1.55)

$ 15.04

(22.52%)

$ 27,142

1.01%

0.87%

0.77%

9/30/21

16.69

0.02

4.67

4.69

(0.18)

(0.28)

(0.46)

20.92

28.46%

49,056

1.01%

0.92%

0.11%

9/30/20

15.50

0.17

1.38

1.55

(0.24)

(0.12)

(0.36)

16.69

10.07%

32,270

0.61%

0.50%

1.07%

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

                        

9/30/22

$ 20.87

$ 0.09

$ (4.47)

$ (4.38)

$ (0.69)

$ (0.77)

$ (1.46)

$ 15.03

(22.72%)

$ 19,264

1.26%

1.12%

0.49%

9/30/21

16.64

(0.01)

4.64

4.63

(0.12)

(0.28)

(0.40)

20.87

28.16%

21,424

1.26%

1.18%

(0.03%)

9/30/20

15.46

0.13

1.37

1.50

(0.20)

(0.12)

(0.32)

16.64

9.79%

22,526

0.86%

0.74%

0.86%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

22%

17%

24%

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.

 

155

 

 

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

                          

9/30/22

$ 21.00

$ 0.19

$ (4.45)

$ (4.26)

$ (0.85)

$ (0.80)

$ (1.65)

$ 15.09

(22.19%)

$ 70,208

0.61%

0.44%

1.05%

9/30/21

16.73

0.08

4.71

4.79

(0.24)

(0.28)

(0.52)

21.00

29.03%

55,382

0.61%

0.48%

0.41%

9/30/20

15.51

0.17

1.46

1.63

(0.29)

(0.12)

(0.41)

16.73

10.58%

27,484

0.49%

0.12%

1.10%

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

0.00d

0.25

0.25

—

—

—

15.25

1.67%b

3,616

2.35%a

0.00%a

0.06%a

Class M5

                        

9/30/22

$ 20.95

$ 0.17

$ (4.46)

$ (4.29)

$ (0.82)

$ (0.80)

$ (1.62)

$ 15.04

(22.34%)

$ 36,564

0.76%

0.62%

0.94%

9/30/21

16.70

0.03

4.72

4.75

(0.22)

(0.28)

(0.50)

20.95

28.82%

33,062

0.76%

0.67%

0.13%

9/30/20

15.49

0.17

1.43

1.60

(0.27)

(0.12)

(0.39)

16.70

10.41%

15,067

0.64%

0.27%

1.07%

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

                        

9/30/22

$ 20.87

$ 0.13

$ (4.45)

$ (4.32)

$ (0.78)

$ (0.80)

$ (1.58)

$ 14.97

(22.54%)

$ 17,032

1.01%

0.87%

0.69%

9/30/21

16.65

0.04

4.64

4.68

(0.18)

(0.28)

(0.46)

20.87

28.44%

19,688

1.01%

0.92%

0.19%

9/30/20

15.46

0.15

1.40

1.55

(0.24)

(0.12)

(0.36)

16.65

10.10%

14,447

0.88%

0.52%

0.96%

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

                        

9/30/22

$ 20.80

$ 0.08

$ (4.45)

$ (4.37)

$ (0.68)

$ (0.80)

$ (1.48)

$ 14.95

(22.76%)

$ 6,619

1.26%

1.12%

0.44%

9/30/21

16.61

0.00d

4.62

4.62

(0.15)

(0.28)

(0.43)

20.80

28.14%

6,320

1.26%

1.18%

0.03%

9/30/20

15.42

0.09

1.42

1.51

(0.20)

(0.12)

(0.32)

16.61

9.87%

5,798

1.13%

0.77%

0.61%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

23%

19%

31%

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.

 

156

 

 

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 Trust consists of 51 series, including the following 27 series listed below (each individually referred to as a “Fund” or collectively as the “Funds”):

 

MassMutual 20/80 Allocation Fund (“20/80 Allocation Fund”)

MassMutual 40/60 Allocation Fund (“40/60 Allocation Fund”)

MassMutual 60/40 Allocation Fund (“60/40 Allocation Fund”)

MassMutual 80/20 Allocation Fund (“80/20 Allocation Fund”)

MassMutual RetireSMARTSM by JPMorgan In Retirement Fund (“MM RetireSMART by JPMorgan In Retirement Fund”)

MassMutual RetireSMARTSM by JPMorgan 2020 Fund (“MM RetireSMART by JPMorgan 2020 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2025 Fund (“MM RetireSMART by JPMorgan 2025 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2030 Fund (“MM RetireSMART by JPMorgan 2030 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2035 Fund (“MM RetireSMART by JPMorgan 2035 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2040 Fund (“MM RetireSMART by JPMorgan 2040 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2045 Fund (“MM RetireSMART by JPMorgan 2045 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2050 Fund (“MM RetireSMART by JPMorgan 2050 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2055 Fund (“MM RetireSMART by JPMorgan 2055 Fund”)

MassMutual RetireSMARTSM by JPMorgan 2060 Fund (“MM RetireSMART by JPMorgan 2060 Fund”)

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’ Prospectuses.

 

The 20/80 Allocation Fund, 40/60 Allocation Fund, 60/40 Allocation Fund, and 80/20 Allocation Fund (the “MM Target Allocation Funds”) invest their investable assets in shares of MassMutual Funds advised by MML Investment Advisers, LLC (“MML Advisers”) and non-affiliated mutual funds (together, the “MM Target Allocation 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 MassMutual 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”).

 

157

 

 

Notes to Financial Statements (Continued)

 

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 (the “MM Select T. Rowe Price Retirement Funds”) invest their investable assets primarily in shares of MassMutual Funds and T. Rowe Price Funds (together, the “MM Select T. Rowe Price Underlying Funds”). The MM Target Allocation Underlying Funds, MM RetireSMART by JPMorgan Underlying Funds, and MM Select T. Rowe Price Underlying Funds are hereinafter collectively referred to as the “Underlying Funds.”

 

The financial statements included herein are those of the MM Target Allocation Funds, MM RetireSMART by JPMorgan Funds, and MM Select T. Rowe Price Retirement 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 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 Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

 

Investment Valuation

 

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes; instead, MML Advisers will determine the fair value of a Fund’s securities in accordance with MML Advisers’ fair valuation policy and procedures. 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.

 

158

 

 

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, 2022. 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, 2022.

 

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.

 

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, public health, and diplomatic risks. In addition, fluctuations in currency exchange rates may favorably or unfavorably 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, less stringent investor protection and disclosure standards,

 

159

 

 

Notes to Financial Statements (Continued)

 

less reliable settlement practices, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, greater risk of new or inconsistent government treatment of or restrictions on issuers and instruments, and greater volatility in currency exchange rates, and are more susceptible to environmental problems.

 

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 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.

 

With respect to the MM Target Allocation Funds and MM RetireSMART by JPMorgan Funds, MML Advisers does not receive advisory fees in return for these services.

 

With respect to the MM Select T. Rowe Price Retirement Funds, in return for these services, MML Advisers receives all-inclusive advisory fees based on each share class of each Fund’s average daily net assets. The all-inclusive advisory fees are computed and accrued daily and payable monthly, and include investment management services and ordinary, recurring operating expenses, but do not cover interest; expenses related to borrowings, securities lending, leverage, taxes, and brokerage; short sale dividend and loan expense; acquired fund fees and expenses; payments pursuant to a Rule 12b-1 plan or similar plan; non-recurring or unusual expenses; and extraordinary legal and other expenses.

 

The applicable all-inclusive fee rate for each class of an MM Select T. Rowe Price Retirement Fund with a specified target retirement year in its name (“Annual Fee Rate”) shall be determined on each June 1 by calculating the “Years to Target Date” by subtracting the calendar year in which such June 1 falls (e.g., 2030) from the target year in the name of the Fund (e.g., 2060); and (ii) identifying the Annual Fee Rate shown in the table below next to the Years to Target Date so determined. The applicable Annual Fee Rate determined as of any June 1 shall be in effect from, and including, that June 1 through, and including, the following May 31.

 

 

Annual Fee Rate (%)

Years to Target Date

Class I

Class M5

Class M4

Class M3

All Prior Years

0.614%

0.764%

0.764%

0.764%

31

0.613%

0.763%

0.763%

0.763%

30

0.613%

0.763%

0.763%

0.763%

29

0.613%

0.763%

0.763%

0.763%

28

0.613%

0.763%

0.763%

0.763%

 

160

 

 

Notes to Financial Statements (Continued)

 

 

Annual Fee Rate (%)

Years to Target Date

Class I

Class M5

Class M4

Class M3

27

0.613%

0.763%

0.763%

0.763%

26

0.613%

0.763%

0.763%

0.763%

25

0.610%

0.760%

0.760%

0.760%

24

0.608%

0.758%

0.758%

0.758%

23

0.605%

0.755%

0.755%

0.755%

22

0.603%

0.753%

0.753%

0.753%

21

0.599%

0.749%

0.749%

0.749%

20

0.595%

0.745%

0.745%

0.745%

19

0.591%

0.741%

0.741%

0.741%

18

0.586%

0.736%

0.736%

0.736%

17

0.582%

0.732%

0.732%

0.732%

16

0.578%

0.728%

0.728%

0.728%

15

0.573%

0.723%

0.723%

0.723%

14

0.567%

0.717%

0.717%

0.717%

13

0.562%

0.712%

0.712%

0.712%

12

0.556%

0.706%

0.706%

0.706%

11

0.551%

0.701%

0.701%

0.701%

10

0.544%

0.694%

0.694%

0.694%

9

0.537%

0.687%

0.687%

0.687%

8

0.531%

0.681%

0.681%

0.681%

7

0.524%

0.674%

0.674%

0.674%

6

0.517%

0.667%

0.667%

0.667%

5

0.510%

0.660%

0.660%

0.660%

4

0.502%

0.652%

0.652%

0.652%

3

0.495%

0.645%

0.645%

0.645%

2

0.487%

0.637%

0.637%

0.637%

1

0.480%

0.630%

0.630%

0.630%

0

0.474%

0.624%

0.624%

0.624%

(1)

0.469%

0.619%

0.619%

0.619%

(2)

0.463%

0.613%

0.613%

0.613%

(3)

0.458%

0.608%

0.608%

0.608%

(4)

0.452%

0.602%

0.602%

0.602%

(5)

0.446%

0.596%

0.596%

0.596%

(6)

0.440%

0.590%

0.590%

0.590%

(7)

0.433%

0.583%

0.583%

0.583%

(8)

0.427%

0.577%

0.577%

0.577%

Thereafter

0.421%

0.571%

0.571%

0.571%

 

The all-inclusive fee rate for each class of the MM Select T. Rowe Price Retirement Balanced Fund is as shown below.

 

 
   

Annual Fee Rate (%)

  
   

Class I

    

Class M5

    

Class M4

    

Class M3

  

MM Select T. Rowe Price Retirement Balanced Fund

     0.396 %     0.546 %     0.546 %     0.546 %

 

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, and with the unaffiliated investment subadviser, T. Rowe Price Associates, Inc. (“T. Rowe Price”), for each of the MM Select T. Rowe Price Retirement Funds.

 

161

 

 

Notes to Financial Statements (Continued)

 

MML Advisers pays a subadvisory fee to T. Rowe Price based upon the aggregate net assets under management which includes the average daily net assets of the specified Fund which it manages. The Funds’ subadvisory fees are paid monthly by MML Advisers out of the advisory fees.

 

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
R4

Class
A

Class
R3

Class
M5

Class
M4

Class
M3

20/80 Allocation Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

40/60 Allocation Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

60/40 Allocation Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

80/20 Allocation Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan In Retirement Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2020 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2025 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2030 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2035 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2040 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2045 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2050 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2055 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM RetireSMART by JPMorgan 2060 Fund

None

0.10%

0.20%

0.30%

0.20%

0.30%

0.20%

N/A

N/A

N/A

MM Select T. Rowe Price Retirement Balanced Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2005 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2010 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2015 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2020 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2025 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2030 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2035 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2040 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

 

 

162

 

 

Notes to Financial Statements (Continued)

 

 

Class
I

Class
R5

Service
Class

Administrative
Class

Class
R4

Class
A

Class
R3

Class
M5

Class
M4

Class
M3

MM Select T. Rowe Price Retirement 2045 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2050 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2055 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

MM Select T. Rowe Price Retirement 2060 Fund*

None

N/A

N/A

N/A

N/A

N/A

N/A

0.15%

0.15%

0.15%

 

*

Pursuant to the Fund’s investment advisory agreement, MML Advisers has agreed to pay all of the fees payable by the Fund under the Administrative and Shareholder Services Agreement. As a component of the all-inclusive advisory fees that it receives, MML Advisers receives administrative services fees from the Fund, which are equal to the fees payable under the Administrative and Shareholder Services Agreement.

 

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 R4 shares, Class A shares, and Class M4 shares of each applicable Fund pay an annual fee of 0.25% of the average daily net assets of the class; and Class R3 shares and Class M3 shares of each applicable 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.

 

Expense Caps and Waivers

 

MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses#, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), 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
R4

Class
A

Class
R3

20/80 Allocation Fund*

0.04%

0.14%

0.24%

0.34%

0.49%

0.59%

0.74%

40/60 Allocation Fund*

0.06%

0.16%

0.26%

0.36%

0.51%

0.61%

0.76%

60/40 Allocation Fund*

0.06%

0.16%

0.26%

0.36%

0.51%

0.61%

0.76%

80/20 Allocation Fund*

0.09%

0.19%

0.29%

0.39%

0.54%

0.64%

0.79%

MM RetireSMART by JPMorgan In Retirement Fund*

0.06%

0.16%

0.26%

0.36%

0.51%

0.61%

0.76%

MM RetireSMART by JPMorgan 2020 Fund*

0.04%

0.14%

0.24%

0.34%

0.49%

0.59%

0.74%

MM RetireSMART by JPMorgan 2025 Fund*

0.01%

0.11%

0.21%

0.31%

0.46%

0.56%

0.71%

MM RetireSMART by JPMorgan 2030 Fund*

0.04%

0.14%

0.24%

0.34%

0.49%

0.59%

0.74%

MM RetireSMART by JPMorgan 2035 Fund*

0.05%

0.15%

0.25%

0.35%

0.50%

0.60%

0.75%

MM RetireSMART by JPMorgan 2040 Fund*

0.04%

0.14%

0.24%

0.34%

0.49%

0.59%

0.74%

MM RetireSMART by JPMorgan 2045 Fund*

0.02%

0.12%

0.22%

0.32%

0.47%

0.57%

0.72%

MM RetireSMART by JPMorgan 2050 Fund*

0.02%

0.12%

0.22%

0.32%

0.47%

0.57%

0.72%

MM RetireSMART by JPMorgan 2055 Fund*

0.00%

0.10%

0.20%

0.30%

0.45%

0.55%

0.70%

MM RetireSMART by JPMorgan 2060 Fund*

0.00%

0.10%

0.20%

0.30%

0.45%

0.55%

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, 2023.

 

163

 

 

Notes to Financial Statements (Continued)

 

Effective February 1, 2022, MML Advisers has agreed to cap the fees and expenses of the Fund noted below (other than extraordinary legal and other expenses, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the applicable class of shares of the Fund, 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%

 

*

Expense caps in effect through January 31, 2023.

 

Prior to February 1, 2022, MML Advisers had agreed to cap the fees and expenses of the Fund noted below (other than extraordinary legal and other expenses, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), based upon the average daily net assets of the applicable class of shares of the Fund, as follows:

 

 
 

Class I

Class M5

Class M4

Class M3

MM Select T. Rowe Price Retirement Balanced Fund

0.33%

0.48%

0.73%

0.98%

 

MML Advisers has agreed to cap the fees and expenses of the Funds noted below (other than extraordinary legal and other expenses, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable), 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 2005 Fund*

0.34%

0.49%

0.74%

0.99%

MM Select T. Rowe Price Retirement 2010 Fund*

0.34%

0.49%

0.74%

0.99%

MM Select T. Rowe Price Retirement 2015 Fund*

0.36%

0.51%

0.76%

1.01%

MM Select T. Rowe Price Retirement 2020 Fund*

0.37%

0.53%

0.78%

1.03%

MM Select T. Rowe Price Retirement 2025 Fund*

0.39%

0.55%

0.80%

1.05%

MM Select T. Rowe Price Retirement 2030 Fund*

0.41%

0.58%

0.83%

1.08%

MM Select T. Rowe Price Retirement 2035 Fund*

0.42%

0.59%

0.84%

1.09%

MM Select T. Rowe Price Retirement 2040 Fund*

0.43%

0.60%

0.85%

1.10%

MM Select T. Rowe Price Retirement 2045 Fund*

0.44%

0.62%

0.87%

1.12%

MM Select T. Rowe Price Retirement 2050 Fund*

0.45%

0.63%

0.88%

1.13%

MM Select T. Rowe Price Retirement 2055 Fund*

0.46%

0.64%

0.89%

1.14%

MM Select T. Rowe Price Retirement 2060 Fund*

0.46%

0.64%

0.89%

1.14%

 

*

Expense caps in effect through January 31, 2023.

 

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.

 

164

 

 

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 related parties at September 30, 2022:

 

 
 

Total % Ownership
by Related Party

20/80 Allocation Fund

92.9%

40/60 Allocation Fund

93.4%

60/40 Allocation Fund

94.3%

80/20 Allocation Fund

91.0%

MM RetireSMART by JPMorgan In Retirement Fund

90.6%

MM RetireSMART by JPMorgan 2020 Fund

98.3%

MM RetireSMART by JPMorgan 2025 Fund

99.3%

MM RetireSMART by JPMorgan 2030 Fund

95.1%

MM RetireSMART by JPMorgan 2035 Fund

99.9%

MM RetireSMART by JPMorgan 2040 Fund

98.7%

MM RetireSMART by JPMorgan 2045 Fund

100.0%

MM RetireSMART by JPMorgan 2050 Fund

99.9%

MM RetireSMART by JPMorgan 2055 Fund

100.0%

MM RetireSMART by JPMorgan 2060 Fund

95.0%

MM Select T. Rowe Price Retirement Balanced Fund

95.8%

MM Select T. Rowe Price Retirement 2005 Fund

94.6%

MM Select T. Rowe Price Retirement 2010 Fund

96.8%

MM Select T. Rowe Price Retirement 2015 Fund

89.9%

MM Select T. Rowe Price Retirement 2020 Fund

94.5%

MM Select T. Rowe Price Retirement 2025 Fund

95.3%

MM Select T. Rowe Price Retirement 2030 Fund

92.5%

MM Select T. Rowe Price Retirement 2035 Fund

90.6%

MM Select T. Rowe Price Retirement 2040 Fund

92.1%

MM Select T. Rowe Price Retirement 2045 Fund

90.1%

MM Select T. Rowe Price Retirement 2050 Fund

92.8%

MM Select T. Rowe Price Retirement 2055 Fund

93.1%

MM Select T. Rowe Price Retirement 2060 Fund

92.1%

 

 

165

 

 

Notes to Financial Statements (Continued)

 

4. Purchases and Sales of Investments

 

Cost of purchases and proceeds from sales of investments in Underlying Funds for the year ended September 30, 2022, 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

  

20/80 Allocation Fund

   $ —     $ 49,531,260     $ —     $ 53,706,250  

40/60 Allocation Fund

     —       71,259,751       —       66,595,271  

60/40 Allocation Fund

     —       50,860,240       —       56,920,805  

80/20 Allocation Fund

     —       43,437,500       —       38,831,035  

MM RetireSMART by JPMorgan In Retirement Fund

     —       59,261,219       —       68,274,182  

MM RetireSMART by JPMorgan 2020 Fund

     —       110,872,198       —       165,915,139  

MM RetireSMART by JPMorgan 2025 Fund

     —       96,885,348       —       110,692,699  

MM RetireSMART by JPMorgan 2030 Fund

     —       221,146,058       —       226,771,559  

MM RetireSMART by JPMorgan 2035 Fund

     —       106,599,975       —       106,125,098  

MM RetireSMART by JPMorgan 2040 Fund

     —       175,548,042       —       169,870,939  

MM RetireSMART by JPMorgan 2045 Fund

     —       83,181,272       —       75,992,167  

MM RetireSMART by JPMorgan 2050 Fund

     —       131,651,824       —       112,949,591  

MM RetireSMART by JPMorgan 2055 Fund

     —       45,537,236       —       39,966,716  

MM RetireSMART by JPMorgan 2060 Fund

     —       17,248,728       —       16,457,238  

MM Select T. Rowe Price Retirement Balanced Fund

     —       66,161,313       —       63,605,499  

MM Select T. Rowe Price Retirement 2005 Fund

     —       11,442,375       —       10,329,539  

MM Select T. Rowe Price Retirement 2010 Fund

     —       44,436,811       —       57,991,708  

MM Select T. Rowe Price Retirement 2015 Fund

     —       50,946,852       —       62,497,121  

MM Select T. Rowe Price Retirement 2020 Fund

     —       236,918,895       —       337,063,850  

MM Select T. Rowe Price Retirement 2025 Fund

     —       250,129,267       —       263,762,588  

MM Select T. Rowe Price Retirement 2030 Fund

     —       500,593,838       —       517,779,292  

MM Select T. Rowe Price Retirement 2035 Fund

     —       279,453,300       —       197,148,778  

MM Select T. Rowe Price Retirement 2040 Fund

     —       470,084,838       —       363,995,885  

MM Select T. Rowe Price Retirement 2045 Fund

     —       233,723,359       —       128,618,639  

MM Select T. Rowe Price Retirement 2050 Fund

     —       345,944,034       —       233,663,623  

MM Select T. Rowe Price Retirement 2055 Fund

     —       163,181,776       —       72,197,116  

MM Select T. Rowe Price Retirement 2060 Fund

     —       93,072,794       —       29,564,292  

 

5. Capital Share Transactions

 

Changes in shares outstanding for each Fund were as follows:

 

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

20/80 Allocation Fund Class I

                                

Sold

     423,951     $ 4,033,587       615,986     $ 6,449,363  

Issued as reinvestment of dividends

     124,256       1,238,827       99,828       1,021,241  

Redeemed

     (768,339 )     (7,376,388 )     (651,575 )     (6,830,052 )

Net increase (decrease)

     (220,132 )   $ (2,103,974 )     64,239     $ 640,552  

20/80 Allocation Fund Class R5

                                

Sold

     322,000     $ 3,418,809       126,991     $ 1,317,054  

Issued as reinvestment of dividends

     60,379       600,769       36,640       374,459  

Redeemed

     (661,324 )     (6,325,229 )     (162,700 )     (1,680,656 )

Net increase (decrease)

     (278,945 )   $ (2,305,651 )     931     $ 10,857  

 

166

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

20/80 Allocation Fund Service Class

                                

Sold

     1,337,448     $ 12,737,043       1,559,590     $ 16,274,460  

Issued as reinvestment of dividends

     806,593       8,033,664       595,369       6,084,666  

Redeemed

     (1,480,152 )     (13,991,530 )     (1,568,488 )     (16,419,817 )

Net increase (decrease)

     663,889     $ 6,779,177       586,471     $ 5,939,309  

20/80 Allocation Fund Administrative Class

                                

Sold

     256,571     $ 2,459,877       439,757     $ 4,609,186  

Issued as reinvestment of dividends

     138,029       1,380,292       168,833       1,730,543  

Redeemed

     (761,541 )     (7,743,462 )     (1,360,972 )     (14,371,285 )

Net increase (decrease)

     (366,941 )   $ (3,903,293 )     (752,382 )   $ (8,031,556 )

20/80 Allocation Fund Class R4

                                

Sold

     66,574     $ 642,276       57,700     $ 611,704  

Issued as reinvestment of dividends

     24,105       245,146       15,984       166,392  

Redeemed

     (125,883 )     (1,232,895 )     (328,611 )     (3,501,190 )

Net increase (decrease)

     (35,204 )   $ (345,473 )     (254,927 )   $ (2,723,094 )

20/80 Allocation Fund Class A

                                

Sold

     177,692     $ 1,720,692       417,925     $ 4,408,912  

Issued as reinvestment of dividends

     113,100       1,138,922       98,820       1,019,820  

Redeemed

     (459,164 )     (4,481,851 )     (787,909 )     (8,264,988 )

Net increase (decrease)

     (168,372 )   $ (1,622,237 )     (271,164 )   $ (2,836,256 )

20/80 Allocation Fund Class R3

                                

Sold

     344,254     $ 3,277,658       78,669     $ 817,184  

Issued as reinvestment of dividends

     35,734       352,697       34,595       350,793  

Redeemed

     (427,407 )     (3,949,015 )     (248,227 )     (2,565,962 )

Net increase (decrease)

     (47,419 )   $ (318,660 )     (134,963 )   $ (1,397,985 )

40/60 Allocation Fund Class I

                                

Sold

     1,388,047     $ 13,549,712       1,774,313     $ 17,979,487  

Issued as reinvestment of dividends

     420,782       4,148,911       236,206       2,350,248  

Redeemed

     (2,543,747 )     (23,796,873 )     (1,267,232 )     (13,037,459 )

Net increase (decrease)

     (734,918 )   $ (6,098,250 )     743,287     $ 7,292,276  

40/60 Allocation Fund Class R5

                                

Sold

     538,833     $ 5,647,066       151,980     $ 1,552,334  

Issued as reinvestment of dividends

     104,528       1,032,740       54,493       542,748  

Redeemed

     (777,160 )     (7,616,042 )     (346,473 )     (3,594,179 )

Net increase (decrease)

     (133,799 )   $ (936,236 )     (140,000 )   $ (1,499,097 )

40/60 Allocation Fund Service Class

                                

Sold

     193,014     $ 1,845,937       220,392     $ 2,281,990  

Issued as reinvestment of dividends

     135,156       1,343,448       93,106       932,924  

Redeemed

     (353,931 )     (3,345,263 )     (510,566 )     (5,282,833 )

Net increase (decrease)

     (25,761 )   $ (155,878 )     (197,068 )   $ (2,067,919 )

40/60 Allocation Fund Administrative Class

                                

Sold

     193,470     $ 1,843,868       346,012     $ 3,577,044  

Issued as reinvestment of dividends

     308,979       3,071,255       254,207       2,544,613  

Redeemed

     (1,227,855 )     (12,127,557 )     (1,817,227 )     (18,785,468 )

Net increase (decrease)

     (725,406 )   $ (7,212,434 )     (1,217,008 )   $ (12,663,811 )

40/60 Allocation Fund Class R4

                                

Sold

     1,655,895     $ 15,864,204       564,138     $ 5,824,766  

Issued as reinvestment of dividends

     301,285       2,964,646       148,002       1,469,659  

Redeemed

     (1,102,485 )     (10,287,186 )     (632,927 )     (6,495,870 )

Net increase (decrease)

     854,695     $ 8,541,664       79,213     $ 798,555  

 

167

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

40/60 Allocation Fund Class A

                                

Sold

     380,461     $ 3,580,805       489,022     $ 5,085,574  

Issued as reinvestment of dividends

     444,808       4,443,631       329,317       3,312,929  

Redeemed

     (1,105,489 )     (10,926,047 )     (2,073,497 )     (21,389,001 )

Net increase (decrease)

     (280,220 )   $ (2,901,611 )     (1,255,158 )   $ (12,990,498 )

40/60 Allocation Fund Class R3

                                

Sold

     1,872,290     $ 19,355,867       112,053     $ 1,145,520  

Issued as reinvestment of dividends

     167,009       1,638,358       43,594       432,892  

Redeemed

     (841,536 )     (7,922,523 )     (347,982 )     (3,562,829 )

Net increase (decrease)

     1,197,763     $ 13,071,702       (192,335 )   $ (1,984,417 )

60/40 Allocation Fund Class I

                                

Sold

     1,234,145     $ 12,093,525       1,324,400     $ 13,802,997  

Issued as reinvestment of dividends

     383,320       3,794,867       109,832       1,097,223  

Redeemed

     (707,895 )     (6,930,602 )     (1,079,496 )     (11,418,028 )

Net increase (decrease)

     909,570     $ 8,957,790       354,736     $ 3,482,192  

60/40 Allocation Fund Class R5

                                

Sold

     644,350     $ 7,118,216       375,184     $ 3,957,691  

Issued as reinvestment of dividends

     324,915       3,219,903       69,135       691,355  

Redeemed

     (1,814,154 )     (17,819,753 )     (189,198 )     (2,033,072 )

Net increase (decrease)

     (844,889 )   $ (7,481,634 )     255,121     $ 2,615,974  

60/40 Allocation Fund Service Class

                                

Sold

     305,096     $ 2,990,863       304,693     $ 3,166,826  

Issued as reinvestment of dividends

     315,644       3,146,970       99,600       1,000,979  

Redeemed

     (333,038 )     (3,068,410 )     (796,540 )     (8,366,434 )

Net increase (decrease)

     287,702     $ 3,069,423       (392,247 )   $ (4,198,629 )

60/40 Allocation Fund Administrative Class

                                

Sold

     404,343     $ 3,819,249       800,325     $ 8,316,287  

Issued as reinvestment of dividends

     639,487       6,382,082       244,773       2,459,971  

Redeemed

     (1,907,803 )     (19,592,899 )     (1,751,607 )     (18,821,973 )

Net increase (decrease)

     (863,973 )   $ (9,391,568 )     (706,509 )   $ (8,045,715 )

60/40 Allocation Fund Class R4

                                

Sold

     205,498     $ 1,953,469       200,230     $ 2,104,590  

Issued as reinvestment of dividends

     122,080       1,207,371       35,427       353,565  

Redeemed

     (305,696 )     (3,032,290 )     (334,841 )     (3,514,284 )

Net increase (decrease)

     21,882     $ 128,550       (99,184 )   $ (1,056,129 )

60/40 Allocation Fund Class A

                                

Sold

     332,144     $ 3,196,807       389,012     $ 4,151,546  

Issued as reinvestment of dividends

     669,698       6,723,767       209,725       2,120,316  

Redeemed

     (698,211 )     (6,966,841 )     (1,632,730 )     (17,002,589 )

Net increase (decrease)

     303,631     $ 2,953,733       (1,033,993 )   $ (10,730,727 )

60/40 Allocation Fund Class R3

                                

Sold

     148,165     $ 1,379,297       204,509     $ 2,113,598  

Issued as reinvestment of dividends

     151,843       1,497,170       54,392       540,657  

Redeemed

     (406,930 )     (4,105,982 )     (612,561 )     (6,345,737 )

Net increase (decrease)

     (106,922 )   $ (1,229,515 )     (353,660 )   $ (3,691,482 )

 

168

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

80/20 Allocation Fund Class I

                                

Sold

     876,254     $ 9,538,289       1,133,608     $ 12,697,745  

Issued as reinvestment of dividends

     400,286       4,471,193       173,201       1,893,092  

Redeemed

     (739,056 )     (7,875,775 )     (1,102,794 )     (12,598,517 )

Net increase (decrease)

     537,484     $ 6,133,707       204,015     $ 1,992,320  

80/20 Allocation Fund Class R5

                                

Sold

     308,793     $ 3,597,966       187,092     $ 2,161,751  

Issued as reinvestment of dividends

     93,050       1,041,225       30,792       336,870  

Redeemed

     (642,285 )     (7,111,964 )     (191,092 )     (2,249,210 )

Net increase (decrease)

     (240,442 )   $ (2,472,773 )     26,792     $ 249,411  

80/20 Allocation Fund Service Class

                                

Sold

     443,848     $ 4,823,322       543,749     $ 6,294,363  

Issued as reinvestment of dividends

     161,233       1,807,424       51,714       567,307  

Redeemed

     (461,582 )     (5,096,316 )     (353,074 )     (4,049,511 )

Net increase (decrease)

     143,499     $ 1,534,430       242,389     $ 2,812,159  

80/20 Allocation Fund Administrative Class

                                

Sold

     368,149     $ 4,124,673       381,941     $ 4,543,880  

Issued as reinvestment of dividends

     221,372       2,483,791       100,058       1,097,631  

Redeemed

     (588,613 )     (6,532,805 )     (780,438 )     (9,259,559 )

Net increase (decrease)

     908     $ 75,659       (298,439 )   $ (3,618,048 )

80/20 Allocation Fund Class R4

                                

Sold

     424,491     $ 4,200,012       175,865     $ 2,032,505  

Issued as reinvestment of dividends

     137,055       1,513,090       54,309       587,085  

Redeemed

     (365,828 )     (3,874,857 )     (374,989 )     (4,198,588 )

Net increase (decrease)

     195,718     $ 1,838,245       (144,815 )   $ (1,578,998 )

80/20 Allocation Fund Class A

                                

Sold

     276,585     $ 2,783,968       307,327     $ 3,623,235  

Issued as reinvestment of dividends

     270,081       3,033,006       118,606       1,301,110  

Redeemed

     (911,845 )     (10,305,455 )     (761,299 )     (8,525,884 )

Net increase (decrease)

     (365,179 )   $ (4,488,481 )     (335,366 )   $ (3,601,539 )

80/20 Allocation Fund Class R3

                                

Sold

     145,996     $ 1,522,676       199,256     $ 2,264,624  

Issued as reinvestment of dividends

     176,089       1,933,462       84,916       913,691  

Redeemed

     (298,674 )     (3,286,886 )     (452,535 )     (5,200,098 )

Net increase (decrease)

     23,411     $ 169,252       (168,363 )   $ (2,021,783 )

MM RetireSMART by JPMorgan In Retirement Fund Class I

                                

Sold

     326,376     $ 3,627,768       285,890     $ 3,556,472  

Issued as reinvestment of dividends

     190,731       2,168,614       105,722       1,281,353  

Redeemed

     (389,315 )     (4,312,671 )     (658,698 )     (8,162,103 )

Net increase (decrease)

     127,792     $ 1,483,711       (267,086 )   $ (3,324,278 )

MM RetireSMART by JPMorgan In Retirement Fund Class R5

                                

Sold

     25,753     $ 275,531       99,622     $ 1,242,945  

Issued as reinvestment of dividends

     49,925       570,147       27,747       337,121  

Redeemed

     (183,020 )     (2,271,761 )     (92,620 )     (1,144,336 )

Net increase (decrease)

     (107,342 )   $ (1,426,083 )     34,749     $ 435,730  

 

169

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan In Retirement Fund Service Class

                                

Sold

     104,816     $ 1,133,320       89,204     $ 1,120,546  

Issued as reinvestment of dividends

     107,168       1,226,005       82,037       998,395  

Redeemed

     (385,402 )     (4,145,388 )     (755,069 )     (9,240,643 )

Net increase (decrease)

     (173,418 )   $ (1,786,063 )     (583,828 )   $ (7,121,702 )

MM RetireSMART by JPMorgan In Retirement Fund Administrative Class

                                

Sold

     183,237     $ 1,970,479       297,386     $ 3,672,887  

Issued as reinvestment of dividends

     323,773       3,703,959       144,413       1,758,950  

Redeemed

     (628,407 )     (7,096,600 )     (480,666 )     (6,027,023 )

Net increase (decrease)

     (121,397 )   $ (1,422,162 )     (38,867 )   $ (595,186 )

MM RetireSMART by JPMorgan In Retirement Fund Class R4

                                

Sold

     751,231     $ 8,053,513       71,878     $ 888,601  

Issued as reinvestment of dividends

     127,135       1,429,001       64,731       776,122  

Redeemed

     (801,273 )     (8,517,064 )     (401,228 )     (4,911,431 )

Net increase (decrease)

     77,093     $ 965,450       (264,619 )   $ (3,246,708 )

MM RetireSMART by JPMorgan In Retirement Fund Class A

                                

Sold

     52,812     $ 569,104       509,268     $ 6,265,641  

Issued as reinvestment of dividends

     131,835       1,508,190       346,594       4,176,453  

Redeemed

     (252,796 )     (2,861,206 )     (5,917,774 )     (74,471,290 )

Net increase (decrease)

     (68,149 )   $ (783,912 )     (5,061,912 )   $ (64,029,196 )

MM RetireSMART by JPMorgan In Retirement Fund Class R3

                                

Sold

     364,136     $ 3,762,568       261,713     $ 3,207,151  

Issued as reinvestment of dividends

     229,439       2,558,247       132,911       1,581,636  

Redeemed

     (649,003 )     (7,064,574 )     (992,850 )     (12,159,534 )

Net increase (decrease)

     (55,428 )   $ (743,759 )     (598,226 )   $ (7,370,747 )

MM RetireSMART by JPMorgan 2020 Fund Class I

                                

Sold

     666,104     $ 7,748,692       1,144,273     $ 14,769,325  

Issued as reinvestment of dividends

     448,203       5,427,736       202,557       2,564,369  

Redeemed

     (1,197,840 )     (13,771,332 )     (1,026,214 )     (13,423,600 )

Net increase (decrease)

     (83,533 )   $ (594,904 )     320,616     $ 3,910,094  

MM RetireSMART by JPMorgan 2020 Fund Class R5

                                

Sold

     276,373     $ 3,239,613       494,973     $ 6,414,846  

Issued as reinvestment of dividends

     296,876       3,589,231       192,661       2,435,234  

Redeemed

     (1,108,675 )     (13,445,609 )     (1,301,102 )     (16,835,010 )

Net increase (decrease)

     (535,426 )   $ (6,616,765 )     (613,468 )   $ (7,984,930 )

MM RetireSMART by JPMorgan 2020 Fund Service Class

                                

Sold

     135,551     $ 1,604,963       242,063     $ 3,190,490  

Issued as reinvestment of dividends

     234,082       2,853,464       141,523       1,803,008  

Redeemed

     (1,647,808 )     (19,622,801 )     (1,027,042 )     (13,363,004 )

Net increase (decrease)

     (1,278,175 )   $ (15,164,374 )     (643,456 )   $ (8,369,506 )

MM RetireSMART by JPMorgan 2020 Fund Administrative Class

                                

Sold

     230,012     $ 2,678,038       415,118     $ 5,407,164  

Issued as reinvestment of dividends

     276,651       3,361,305       185,753       2,359,066  

Redeemed

     (1,722,111 )     (21,376,425 )     (1,149,396 )     (14,924,632 )

Net increase (decrease)

     (1,215,448 )   $ (15,337,082 )     (548,525 )   $ (7,158,402 )

 

170

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan 2020 Fund Class R4

                                

Sold

     223,131     $ 2,570,365       229,725     $ 2,904,104  

Issued as reinvestment of dividends

     184,421       2,185,392       117,812       1,462,041  

Redeemed

     (620,282 )     (7,540,009 )     (943,885 )     (12,011,412 )

Net increase (decrease)

     (212,730 )   $ (2,784,252 )     (596,348 )   $ (7,645,267 )

MM RetireSMART by JPMorgan 2020 Fund Class A

                                

Sold

     85,568     $ 989,774       537,618     $ 6,869,712  

Issued as reinvestment of dividends

     240,406       2,911,317       366,079       4,612,594  

Redeemed

     (679,637 )     (8,119,220 )     (5,621,623 )     (74,038,355 )

Net increase (decrease)

     (353,663 )   $ (4,218,129 )     (4,717,926 )   $ (62,556,049 )

MM RetireSMART by JPMorgan 2020 Fund Class R3

                                

Sold

     644,883     $ 7,055,806       343,043     $ 4,321,845  

Issued as reinvestment of dividends

     432,493       5,025,570       239,400       2,920,677  

Redeemed

     (1,282,920 )     (14,353,839 )     (1,499,699 )     (18,801,742 )

Net increase (decrease)

     (205,544 )   $ (2,272,463 )     (917,256 )   $ (11,559,220 )

MM RetireSMART by JPMorgan 2025 Fund Class I

                                

Sold

     680,009     $ 7,840,753       863,739     $ 11,356,222  

Issued as reinvestment of dividends

     556,875       6,727,045       255,852       3,213,506  

Redeemed

     (928,540 )     (10,770,815 )     (979,583 )     (12,884,902 )

Net increase (decrease)

     308,344     $ 3,796,983       140,008     $ 1,684,826  

MM RetireSMART by JPMorgan 2025 Fund Class R5

                                

Sold

     22,491     $ 256,692       63,844     $ 829,287  

Issued as reinvestment of dividends

     13,922       170,263       2,673       33,951  

Redeemed

     (17,844 )     (197,559 )     (3,263 )     (43,351 )

Net increase (decrease)

     18,569     $ 229,396       63,254     $ 819,887  

MM RetireSMART by JPMorgan 2025 Fund Service Class

                                

Sold

     121,698     $ 1,423,126       61,564     $ 807,346  

Issued as reinvestment of dividends

     82,875       1,005,276       44,574       561,635  

Redeemed

     (473,798 )     (5,555,801 )     (262,634 )     (3,469,340 )

Net increase (decrease)

     (269,225 )   $ (3,127,399 )     (156,496 )   $ (2,100,359 )

MM RetireSMART by JPMorgan 2025 Fund Administrative Class

                                

Sold

     385,967     $ 4,532,380       430,375     $ 5,542,338  

Issued as reinvestment of dividends

     335,378       4,048,008       196,440       2,465,327  

Redeemed

     (817,664 )     (9,453,047 )     (1,289,318 )     (16,802,749 )

Net increase (decrease)

     (96,319 )   $ (872,659 )     (662,503 )   $ (8,795,084 )

MM RetireSMART by JPMorgan 2025 Fund Class R4

                                

Sold

     286,564     $ 3,239,691       446,282     $ 5,747,965  

Issued as reinvestment of dividends

     266,161       3,159,331       154,549       1,910,226  

Redeemed

     (569,428 )     (6,851,847 )     (889,691 )     (11,407,565 )

Net increase (decrease)

     (16,703 )   $ (452,825 )     (288,860 )   $ (3,749,374 )

MM RetireSMART by JPMorgan 2025 Fund Class A

                                

Sold

     193,654     $ 2,221,071       766,755     $ 9,748,190  

Issued as reinvestment of dividends

     109,158       1,319,721       362,780       4,502,094  

Redeemed

     (458,106 )     (5,354,771 )     (5,816,794 )     (76,781,258 )

Net increase (decrease)

     (155,294 )   $ (1,813,979 )     (4,687,259 )   $ (62,530,974 )

 

171

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan 2025 Fund Class R3

                                

Sold

     500,081     $ 5,772,128       560,258     $ 7,201,658  

Issued as reinvestment of dividends

     578,831       6,859,146       309,536       3,819,675  

Redeemed

     (1,554,963 )     (17,720,728 )     (1,854,093 )     (23,820,670 )

Net increase (decrease)

     (476,051 )   $ (5,089,454 )     (984,299 )   $ (12,799,337 )

MM RetireSMART by JPMorgan 2030 Fund Class I

                                

Sold

     1,203,134     $ 14,332,736       1,549,695     $ 20,256,456  

Issued as reinvestment of dividends

     605,796       7,590,627       217,866       2,771,252  

Redeemed

     (859,968 )     (10,383,358 )     (1,231,880 )     (16,363,227 )

Net increase (decrease)

     948,962     $ 11,540,005       535,681     $ 6,664,481  

MM RetireSMART by JPMorgan 2030 Fund Class R5

                                

Sold

     1,281,379     $ 16,763,225       809,595     $ 10,828,705  

Issued as reinvestment of dividends

     792,277       9,879,698       290,959       3,683,540  

Redeemed

     (1,000,087 )     (12,356,017 )     (1,353,355 )     (17,502,726 )

Net increase (decrease)

     1,073,569     $ 14,286,906       (252,801 )   $ (2,990,481 )

MM RetireSMART by JPMorgan 2030 Fund Service Class

                                

Sold

     416,104     $ 4,909,520       529,922     $ 7,049,742  

Issued as reinvestment of dividends

     388,790       4,887,084       194,875       2,484,660  

Redeemed

     (2,538,103 )     (31,203,765 )     (1,581,653 )     (20,615,673 )

Net increase (decrease)

     (1,733,209 )   $ (21,407,161 )     (856,856 )   $ (11,081,271 )

MM RetireSMART by JPMorgan 2030 Fund Administrative Class

                                

Sold

     593,909     $ 7,077,979       837,105     $ 11,009,820  

Issued as reinvestment of dividends

     661,465       8,294,775       274,784       3,495,256  

Redeemed

     (1,955,644 )     (23,624,714 )     (1,391,908 )     (18,381,702 )

Net increase (decrease)

     (700,270 )   $ (8,251,960 )     (280,019 )   $ (3,876,626 )

MM RetireSMART by JPMorgan 2030 Fund Class R4

                                

Sold

     364,708     $ 4,261,776       352,659     $ 4,601,570  

Issued as reinvestment of dividends

     264,697       3,261,072       129,328       1,617,889  

Redeemed

     (799,032 )     (10,081,060 )     (938,033 )     (12,272,606 )

Net increase (decrease)

     (169,627 )   $ (2,558,212 )     (456,046 )   $ (6,053,147 )

MM RetireSMART by JPMorgan 2030 Fund Class A

                                

Sold

     372,786     $ 4,382,292       738,006     $ 9,420,283  

Issued as reinvestment of dividends

     313,069       3,907,101       357,282       4,508,898  

Redeemed

     (776,370 )     (9,251,517 )     (6,114,598 )     (82,681,362 )

Net increase (decrease)

     (90,515 )   $ (962,124 )     (5,019,310 )   $ (68,752,181 )

MM RetireSMART by JPMorgan 2030 Fund Class R3

                                

Sold

     1,065,678     $ 12,199,652       653,877     $ 8,513,868  

Issued as reinvestment of dividends

     820,572       9,912,512       331,833       4,084,867  

Redeemed

     (1,157,250 )     (13,260,465 )     (2,082,719 )     (26,502,408 )

Net increase (decrease)

     729,000     $ 8,851,699       (1,097,009 )   $ (13,903,673 )

MM RetireSMART by JPMorgan 2035 Fund Class I

                                

Sold

     706,972     $ 8,595,786       703,560     $ 9,562,168  

Issued as reinvestment of dividends

     590,064       7,493,815       161,546       2,098,478  

Redeemed

     (946,853 )     (11,913,043 )     (610,058 )     (8,314,494 )

Net increase (decrease)

     350,183     $ 4,176,558       255,048     $ 3,346,152  

 

172

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan 2035 Fund Class R5

                                

Sold

     31,149     $ 376,615       56,642     $ 750,936  

Issued as reinvestment of dividends

     38,740       492,774       8,543       111,139  

Redeemed

     (54,922 )     (617,656 )     (5,612 )     (74,692 )

Net increase (decrease)

     14,967     $ 251,733       59,573     $ 787,383  

MM RetireSMART by JPMorgan 2035 Fund Service Class

                                

Sold

     96,635     $ 1,182,111       70,952     $ 976,059  

Issued as reinvestment of dividends

     86,422       1,116,572       28,465       375,163  

Redeemed

     (124,554 )     (1,608,748 )     (211,228 )     (3,007,329 )

Net increase (decrease)

     58,503     $ 689,935       (111,811 )   $ (1,656,107 )

MM RetireSMART by JPMorgan 2035 Fund Administrative Class

                                

Sold

     511,058     $ 6,316,851       615,738     $ 8,406,883  

Issued as reinvestment of dividends

     334,899       4,300,099       94,744       1,243,039  

Redeemed

     (1,105,064 )     (13,752,401 )     (796,934 )     (10,864,345 )

Net increase (decrease)

     (259,107 )   $ (3,135,451 )     (86,452 )   $ (1,214,423 )

MM RetireSMART by JPMorgan 2035 Fund Class R4

                                

Sold

     295,268     $ 3,449,835       293,320     $ 3,998,036  

Issued as reinvestment of dividends

     248,498       3,138,533       80,786       1,043,751  

Redeemed

     (336,147 )     (4,290,156 )     (698,757 )     (9,497,690 )

Net increase (decrease)

     207,619     $ 2,298,212       (324,651 )   $ (4,455,903 )

MM RetireSMART by JPMorgan 2035 Fund Class A

                                

Sold

     98,528     $ 1,191,771       576,840     $ 7,489,927  

Issued as reinvestment of dividends

     124,061       1,587,976       145,968       1,894,666  

Redeemed

     (466,347 )     (5,920,195 )     (3,241,003 )     (45,741,274 )

Net increase (decrease)

     (243,758 )   $ (3,140,448 )     (2,518,195 )   $ (36,356,681 )

MM RetireSMART by JPMorgan 2035 Fund Class R3

                                

Sold

     630,921     $ 7,485,737       472,713     $ 6,381,523  

Issued as reinvestment of dividends

     571,656       7,197,154       169,353       2,182,956  

Redeemed

     (800,783 )     (9,972,438 )     (1,444,042 )     (19,307,677 )

Net increase (decrease)

     401,794     $ 4,710,453       (801,976 )   $ (10,743,198 )

MM RetireSMART by JPMorgan 2040 Fund Class I

                                

Sold

     1,075,427     $ 12,911,956       880,821     $ 12,009,397  

Issued as reinvestment of dividends

     561,722       7,184,429       68,783       883,182  

Redeemed

     (622,851 )     (7,656,556 )     (671,888 )     (9,022,244 )

Net increase (decrease)

     1,014,298     $ 12,439,829       277,716     $ 3,870,335  

MM RetireSMART by JPMorgan 2040 Fund Class R5

                                

Sold

     558,573     $ 6,714,498       744,446     $ 10,190,324  

Issued as reinvestment of dividends

     605,434       7,743,505       86,727       1,113,580  

Redeemed

     (770,478 )     (10,439,290 )     (850,104 )     (11,217,355 )

Net increase (decrease)

     393,529     $ 4,018,713       (18,931 )   $ 86,549  

MM RetireSMART by JPMorgan 2040 Fund Service Class

                                

Sold

     521,544     $ 6,514,305       390,578     $ 5,328,872  

Issued as reinvestment of dividends

     302,006       3,883,802       40,701       525,453  

Redeemed

     (1,597,050 )     (19,721,303 )     (658,350 )     (8,931,733 )

Net increase (decrease)

     (773,500 )   $ (9,323,196 )     (227,071 )   $ (3,077,408 )

 

173

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan 2040 Fund Administrative Class

                                

Sold

     805,936     $ 9,988,039       835,431     $ 11,198,935  

Issued as reinvestment of dividends

     690,533       8,831,913       78,492       1,007,829  

Redeemed

     (1,687,925 )     (20,440,260 )     (895,395 )     (11,911,517 )

Net increase (decrease)

     (191,456 )   $ (1,620,308 )     18,528     $ 295,247  

MM RetireSMART by JPMorgan 2040 Fund Class R4

                                

Sold

     227,577     $ 2,706,756       215,837     $ 2,861,206  

Issued as reinvestment of dividends

     215,585       2,703,434       31,543       398,076  

Redeemed

     (371,938 )     (4,699,305 )     (903,189 )     (11,952,792 )

Net increase (decrease)

     71,224     $ 710,885       (655,809 )   $ (8,693,510 )

MM RetireSMART by JPMorgan 2040 Fund Class A

                                

Sold

     225,774     $ 2,727,256       597,044     $ 7,565,347  

Issued as reinvestment of dividends

     236,010       3,004,403       70,650       900,085  

Redeemed

     (742,122 )     (9,448,618 )     (3,209,113 )     (44,644,697 )

Net increase (decrease)

     (280,338 )   $ (3,716,959 )     (2,541,419 )   $ (36,179,265 )

MM RetireSMART by JPMorgan 2040 Fund Class R3

                                

Sold

     912,147     $ 10,629,034       493,967     $ 6,414,595  

Issued as reinvestment of dividends

     594,490       7,294,397       70,673       875,634  

Redeemed

     (783,064 )     (9,278,077 )     (1,596,340 )     (20,625,554 )

Net increase (decrease)

     723,573     $ 8,645,354       (1,031,700 )   $ (13,335,325 )

MM RetireSMART by JPMorgan 2045 Fund Class I

                                

Sold

     592,449     $ 7,567,213       525,252     $ 7,283,265  

Issued as reinvestment of dividends

     404,436       5,197,007       78,039       1,026,207  

Redeemed

     (392,045 )     (5,049,069 )     (350,179 )     (4,929,608 )

Net increase (decrease)

     604,840     $ 7,715,151       253,112     $ 3,379,864  

MM RetireSMART by JPMorgan 2045 Fund Class R5

                                

Sold

     21,658     $ 276,808       28,352     $ 390,936  

Issued as reinvestment of dividends

     16,774       215,718       3,044       40,056  

Redeemed

     (8,061 )     (104,904 )     (19,682 )     (262,161 )

Net increase (decrease)

     30,371     $ 387,622       11,714     $ 168,831  

MM RetireSMART by JPMorgan 2045 Fund Service Class

                                

Sold

     78,611     $ 937,620       46,531     $ 663,690  

Issued as reinvestment of dividends

     58,302       750,930       12,734       167,829  

Redeemed

     (125,387 )     (1,653,145 )     (111,768 )     (1,554,783 )

Net increase (decrease)

     11,526     $ 35,405       (52,503 )   $ (723,264 )

MM RetireSMART by JPMorgan 2045 Fund Administrative Class

                                

Sold

     436,888     $ 5,335,791       651,275     $ 8,846,530  

Issued as reinvestment of dividends

     321,804       4,119,090       63,564       832,689  

Redeemed

     (824,739 )     (10,517,062 )     (543,064 )     (7,557,809 )

Net increase (decrease)

     (66,047 )   $ (1,062,181 )     171,775     $ 2,121,410  

MM RetireSMART by JPMorgan 2045 Fund Class R4

                                

Sold

     255,261     $ 3,074,716       333,371     $ 4,599,616  

Issued as reinvestment of dividends

     244,492       3,070,820       61,722       795,600  

Redeemed

     (209,554 )     (2,780,735 )     (607,999 )     (8,555,563 )

Net increase (decrease)

     290,199     $ 3,364,801       (212,906 )   $ (3,160,347 )

 

174

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan 2045 Fund Class A

                                

Sold

     124,962     $ 1,514,932       453,468     $ 5,894,716  

Issued as reinvestment of dividends

     109,182       1,394,259       95,054       1,232,845  

Redeemed

     (406,878 )     (5,425,760 )     (2,135,096 )     (30,690,124 )

Net increase (decrease)

     (172,734 )   $ (2,516,569 )     (1,586,574 )   $ (23,562,563 )

MM RetireSMART by JPMorgan 2045 Fund Class R3

                                

Sold

     533,627     $ 6,223,059       357,666     $ 4,891,336  

Issued as reinvestment of dividends

     497,572       6,234,573       125,817       1,619,261  

Redeemed

     (650,613 )     (8,240,767 )     (1,361,566 )     (18,459,287 )

Net increase (decrease)

     380,586     $ 4,216,865       (878,083 )   $ (11,948,690 )

MM RetireSMART by JPMorgan 2050 Fund Class I

                                

Sold

     1,231,698     $ 11,292,625       727,345     $ 7,255,731  

Issued as reinvestment of dividends

     425,658       4,001,187       47,153       439,469  

Redeemed

     (574,106 )     (5,220,764 )     (454,192 )     (4,504,645 )

Net increase (decrease)

     1,083,250     $ 10,073,048       320,306     $ 3,190,555  

MM RetireSMART by JPMorgan 2050 Fund Class R5

                                

Sold

     858,393     $ 7,586,241       1,076,622     $ 10,688,801  

Issued as reinvestment of dividends

     721,868       6,771,126       107,786       1,003,491  

Redeemed

     (682,322 )     (6,453,048 )     (1,525,906 )     (14,601,024 )

Net increase (decrease)

     897,939     $ 7,904,319       (341,498 )   $ (2,908,732 )

MM RetireSMART by JPMorgan 2050 Fund Service Class

                                

Sold

     455,042     $ 4,161,020       404,635     $ 3,962,019  

Issued as reinvestment of dividends

     189,649       1,792,181       24,906       233,370  

Redeemed

     (1,229,167 )     (10,982,339 )     (445,648 )     (4,332,948 )

Net increase (decrease)

     (584,476 )   $ (5,029,138 )     (16,107 )   $ (137,559 )

MM RetireSMART by JPMorgan 2050 Fund Administrative Class

                                

Sold

     946,201     $ 8,542,156       1,083,935     $ 10,593,161  

Issued as reinvestment of dividends

     672,285       6,326,202       74,280       693,031  

Redeemed

     (1,299,460 )     (11,686,683 )     (842,002 )     (8,269,128 )

Net increase (decrease)

     319,026     $ 3,181,675       316,213     $ 3,017,064  

MM RetireSMART by JPMorgan 2050 Fund Class R4

                                

Sold

     303,105     $ 2,667,840       344,634     $ 3,369,310  

Issued as reinvestment of dividends

     225,116       2,086,826       30,421       279,871  

Redeemed

     (371,598 )     (3,473,261 )     (659,614 )     (6,502,588 )

Net increase (decrease)

     156,623     $ 1,281,405       (284,559 )   $ (2,853,407 )

MM RetireSMART by JPMorgan 2050 Fund Class A

                                

Sold

     225,995     $ 2,031,725       502,567     $ 4,703,972  

Issued as reinvestment of dividends

     171,963       1,613,009       56,079       519,288  

Redeemed

     (637,062 )     (6,009,941 )     (2,391,017 )     (24,469,667 )

Net increase (decrease)

     (239,104 )   $ (2,365,207 )     (1,832,371 )   $ (19,246,407 )

MM RetireSMART by JPMorgan 2050 Fund Class R3

                                

Sold

     1,009,350     $ 8,760,808       551,292     $ 5,375,087  

Issued as reinvestment of dividends

     498,635       4,577,472       59,803       546,001  

Redeemed

     (837,554 )     (7,655,501 )     (1,262,865 )     (12,002,359 )

Net increase (decrease)

     670,431     $ 5,682,779       (651,770 )   $ (6,081,271 )

 

175

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan 2055 Fund Class I

                                

Sold

     403,186     $ 4,250,814       404,976     $ 4,843,286  

Issued as reinvestment of dividends

     180,930       2,006,510       52,641       578,530  

Redeemed

     (220,175 )     (2,330,827 )     (251,863 )     (2,998,063 )

Net increase (decrease)

     363,941     $ 3,926,497       205,754     $ 2,423,753  

MM RetireSMART by JPMorgan 2055 Fund Class R5

                                

Sold

     20,162     $ 215,789       64,369     $ 736,277  

Issued as reinvestment of dividends

     9,869       109,550       2,696       29,652  

Redeemed

     (51,453 )     (656,082 )     (6,858 )     (82,937 )

Net increase (decrease)

     (21,422 )   $ (330,743 )     60,207     $ 682,992  

MM RetireSMART by JPMorgan 2055 Fund Service Class

                                

Sold

     88,583     $ 939,606       49,235     $ 589,535  

Issued as reinvestment of dividends

     26,957       300,838       8,839       97,676  

Redeemed

     (69,870 )     (801,432 )     (39,916 )     (477,336 )

Net increase (decrease)

     45,670     $ 439,012       18,158     $ 209,875  

MM RetireSMART by JPMorgan 2055 Fund Administrative Class

                                

Sold

     322,959     $ 3,346,192       449,762     $ 5,104,756  

Issued as reinvestment of dividends

     134,404       1,486,503       40,469       443,948  

Redeemed

     (313,419 )     (3,265,515 )     (338,394 )     (3,851,548 )

Net increase (decrease)

     143,944     $ 1,567,180       151,837     $ 1,697,156  

MM RetireSMART by JPMorgan 2055 Fund Class R4

                                

Sold

     170,486     $ 1,769,505       212,365     $ 2,471,970  

Issued as reinvestment of dividends

     88,927       978,197       38,284       417,683  

Redeemed

     (196,555 )     (2,158,935 )     (295,071 )     (3,498,012 )

Net increase (decrease)

     62,858     $ 588,767       (44,422 )   $ (608,359 )

MM RetireSMART by JPMorgan 2055 Fund Class A

                                

Sold

     83,704     $ 922,581       255,117     $ 2,896,529  

Issued as reinvestment of dividends

     24,762       278,324       56,063       613,895  

Redeemed

     (477,313 )     (5,616,762 )     (801,732 )     (9,761,811 )

Net increase (decrease)

     (368,847 )   $ (4,415,857 )     (490,552 )   $ (6,251,387 )

MM RetireSMART by JPMorgan 2055 Fund Class R3

                                

Sold

     548,413     $ 5,661,983       323,607     $ 3,767,844  

Issued as reinvestment of dividends

     290,062       3,173,283       121,349       1,317,852  

Redeemed

     (421,357 )     (4,436,745 )     (891,831 )     (10,218,639 )

Net increase (decrease)

     417,118     $ 4,398,521       (446,875 )   $ (5,132,943 )

MM RetireSMART by JPMorgan 2060 Fund Class I

                                

Sold

     180,852     $ 1,860,657       179,662     $ 2,088,609  

Issued as reinvestment of dividends

     37,118       409,416       8,069       86,576  

Redeemed

     (101,256 )     (1,104,224 )     (42,237 )     (486,988 )

Net increase (decrease)

     116,714     $ 1,165,849       145,494     $ 1,688,197  

MM RetireSMART by JPMorgan 2060 Fund Class R5

                                

Sold

     3,642     $ 37,494       59,539     $ 684,498  

Issued as reinvestment of dividends

     207       2,290       4,064       43,480  

Redeemed

     (93,773 )     (1,134,208 )     (28,218 )     (330,398 )

Net increase (decrease)

     (89,924 )   $ (1,094,424 )     35,385     $ 397,580  

 

176

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM RetireSMART by JPMorgan 2060 Fund Service Class

                                

Sold

     181,904     $ 1,899,588       66,564     $ 768,465  

Issued as reinvestment of dividends

     24,323       267,065       6,326       67,620  

Redeemed

     (234,100 )     (2,341,843 )     (48,979 )     (523,433 )

Net increase (decrease)

     (27,873 )   $ (175,190 )     23,911     $ 312,652  

MM RetireSMART by JPMorgan 2060 Fund Administrative Class

                                

Sold

     123,649     $ 1,284,482       103,851     $ 1,212,381  

Issued as reinvestment of dividends

     22,762       249,474       6,022       64,312  

Redeemed

     (120,113 )     (1,233,688 )     (57,188 )     (633,442 )

Net increase (decrease)

     26,298     $ 300,268       52,685     $ 643,251  

MM RetireSMART by JPMorgan 2060 Fund Class R4

                                

Sold

     39,226     $ 398,864       33,390     $ 379,265  

Issued as reinvestment of dividends

     10,262       112,476       4,032       43,062  

Redeemed

     (25,718 )     (267,605 )     (30,080 )     (337,390 )

Net increase (decrease)

     23,770     $ 243,735       7,342     $ 84,937  

MM RetireSMART by JPMorgan 2060 Fund Class A

                                

Sold

     13,231     $ 138,834       51,334     $ 555,115  

Issued as reinvestment of dividends

     3,152       34,668       7,016       74,723  

Redeemed

     (29,102 )     (324,018 )     (127,851 )     (1,514,896 )

Net increase (decrease)

     (12,719 )   $ (150,516 )     (69,501 )   $ (885,058 )

MM RetireSMART by JPMorgan 2060 Fund Class R3

                                

Sold

     53,991     $ 551,892       30,374     $ 348,769  

Issued as reinvestment of dividends

     13,655       149,244       9,711       103,328  

Redeemed

     (35,288 )     (396,244 )     (105,113 )     (1,193,341 )

Net increase (decrease)

     32,358     $ 304,892       (65,028 )   $ (741,244 )

MM Select T. Rowe Price Retirement Balanced Fund Class I

                                

Sold

     305,970     $ 5,129,030       464,519     $ 8,092,154  

Issued as reinvestment of dividends

     159,695       2,585,460       49,672       825,060  

Redeemed

     (403,719 )     (6,268,633 )     (242,666 )     (4,192,307 )

Net increase (decrease)

     61,946     $ 1,445,857       271,525     $ 4,724,907  

MM Select T. Rowe Price Retirement Balanced Fund Class M5

                                

Sold

     939,621     $ 15,021,860       1,365,518     $ 23,265,930  

Issued as reinvestment of dividends

     903,450       14,662,986       324,806       5,404,774  

Redeemed

     (1,149,916 )     (17,984,347 )     (887,330 )     (15,226,628 )

Net increase (decrease)

     693,155     $ 11,700,499       802,994     $ 13,444,076  

MM Select T. Rowe Price Retirement Balanced Fund Class M4

                                

Sold

     65,162     $ 1,048,778       119,741     $ 2,040,070  

Issued as reinvestment of dividends

     60,258       981,001       47,012       780,868  

Redeemed

     (387,506 )     (6,353,045 )     (583,425 )     (10,246,789 )

Net increase (decrease)

     (262,086 )   $ (4,323,266 )     (416,672 )   $ (7,425,851 )

MM Select T. Rowe Price Retirement Balanced Fund Class M3

                                

Sold

     441,659     $ 6,880,981       90,024     $ 1,551,047  

Issued as reinvestment of dividends

     32,800       532,352       12,181       202,562  

Redeemed

     (526,393 )     (8,189,626 )     (124,296 )     (2,108,510 )

Net increase (decrease)

     (51,934 )   $ (776,293 )     (22,091 )   $ (354,901 )

 

177

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM Select T. Rowe Price Retirement 2005 Fund Class I

                                

Sold

     233,822     $ 3,354,818       338,862     $ 5,732,743  

Issued as reinvestment of dividends

     184,236       2,750,646       64,096       1,057,591  

Redeemed

     (193,687 )     (2,804,677 )     (624,550 )     (10,731,059 )

Net increase (decrease)

     224,371     $ 3,300,787       (221,592 )   $ (3,940,725 )

MM Select T. Rowe Price Retirement 2005 Fund Class M5

                                

Sold

     86,908     $ 1,386,710       264,139     $ 4,508,274  

Issued as reinvestment of dividends

     84,126       1,254,316       23,719       390,897  

Redeemed

     (158,881 )     (2,391,961 )     (363,714 )     (6,249,874 )

Net increase (decrease)

     12,153     $ 249,065       (75,856 )   $ (1,350,703 )

MM Select T. Rowe Price Retirement 2005 Fund Class M4

                                

Sold

     31,602     $ 497,323       69,605     $ 1,191,175  

Issued as reinvestment of dividends

     29,162       435,381       8,599       141,796  

Redeemed

     (71,163 )     (1,108,922 )     (114,533 )     (1,976,203 )

Net increase (decrease)

     (10,399 )   $ (176,218 )     (36,329 )   $ (643,232 )

MM Select T. Rowe Price Retirement 2005 Fund Class M3

                                

Sold

     14,692     $ 214,246       52,916     $ 909,683  

Issued as reinvestment of dividends

     15,742       234,087       3,079       50,687  

Redeemed

     (4,908 )     (75,869 )     (40,002 )     (691,916 )

Net increase (decrease)

     25,526     $ 372,464       15,993     $ 268,454  

MM Select T. Rowe Price Retirement 2010 Fund Class I

                                

Sold

     1,143,144     $ 17,306,645       790,104     $ 13,509,877  

Issued as reinvestment of dividends

     503,398       8,034,238       201,357       3,326,410  

Redeemed

     (1,156,618 )     (17,417,636 )     (1,194,114 )     (20,810,982 )

Net increase (decrease)

     489,924     $ 7,923,247       (202,653 )   $ (3,974,695 )

MM Select T. Rowe Price Retirement 2010 Fund Class M5

                                

Sold

     534,947     $ 9,126,725       605,052     $ 10,129,993  

Issued as reinvestment of dividends

     258,465       4,122,512       70,652       1,167,166  

Redeemed

     (1,076,399 )     (16,525,536 )     (624,441 )     (10,609,487 )

Net increase (decrease)

     (282,987 )   $ (3,276,299 )     51,263     $ 687,672  

MM Select T. Rowe Price Retirement 2010 Fund Class M4

                                

Sold

     116,771     $ 1,933,606       139,338     $ 2,385,404  

Issued as reinvestment of dividends

     125,292       2,002,161       76,410       1,260,759  

Redeemed

     (953,754 )     (15,118,796 )     (604,431 )     (10,202,568 )

Net increase (decrease)

     (711,691 )   $ (11,183,029 )     (388,683 )   $ (6,556,405 )

MM Select T. Rowe Price Retirement 2010 Fund Class M3

                                

Sold

     46,966     $ 730,513       86,201     $ 1,468,587  

Issued as reinvestment of dividends

     87,971       1,406,657       31,859       526,947  

Redeemed

     (269,373 )     (4,118,995 )     (235,465 )     (4,009,010 )

Net increase (decrease)

     (134,436 )   $ (1,981,825 )     (117,405 )   $ (2,013,476 )

MM Select T. Rowe Price Retirement 2015 Fund Class I

                                

Sold

     1,408,416     $ 21,902,134       1,439,929     $ 24,674,475  

Issued as reinvestment of dividends

     444,615       7,318,355       192,638       3,224,766  

Redeemed

     (1,401,511 )     (21,937,030 )     (1,303,125 )     (22,838,996 )

Net increase (decrease)

     451,520     $ 7,283,459       329,442     $ 5,060,245  

 

178

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM Select T. Rowe Price Retirement 2015 Fund Class M5

                                

Sold

     240,413     $ 3,934,063       432,279     $ 7,469,217  

Issued as reinvestment of dividends

     382,761       6,292,593       147,172       2,462,179  

Redeemed

     (1,298,852 )     (20,043,666 )     (343,439 )     (6,010,325 )

Net increase (decrease)

     (675,678 )   $ (9,817,010 )     236,012     $ 3,921,071  

MM Select T. Rowe Price Retirement 2015 Fund Class M4

                                

Sold

     198,709     $ 3,285,817       102,467     $ 1,789,487  

Issued as reinvestment of dividends

     55,236       911,386       30,505       510,957  

Redeemed

     (541,783 )     (8,706,873 )     (268,944 )     (4,687,546 )

Net increase (decrease)

     (287,838 )   $ (4,509,670 )     (135,972 )   $ (2,387,102 )

MM Select T. Rowe Price Retirement 2015 Fund Class M3

                                

Sold

     63,261     $ 1,058,577       122,810     $ 2,105,488  

Issued as reinvestment of dividends

     40,920       672,724       17,052       285,443  

Redeemed

     (165,128 )     (2,516,012 )     (197,141 )     (3,376,828 )

Net increase (decrease)

     (60,947 )   $ (784,711 )     (57,279 )   $ (985,897 )

MM Select T. Rowe Price Retirement 2020 Fund Class I

                                

Sold

     7,537,641     $ 118,800,632       4,104,039     $ 71,590,126  

Issued as reinvestment of dividends

     2,115,656       34,844,854       728,783       12,360,165  

Redeemed

     (6,399,516 )     (100,417,346 )     (4,585,926 )     (81,226,539 )

Net increase (decrease)

     3,253,781     $ 53,228,140       246,896     $ 2,723,752  

MM Select T. Rowe Price Retirement 2020 Fund Class M5

                                

Sold

     2,073,917     $ 36,474,873       3,066,608     $ 52,991,805  

Issued as reinvestment of dividends

     2,087,119       34,353,981       640,680       10,865,930  

Redeemed

     (9,427,089 )     (149,486,130 )     (4,118,856 )     (72,647,080 )

Net increase (decrease)

     (5,266,053 )   $ (78,657,276 )     (411,568 )   $ (8,789,345 )

MM Select T. Rowe Price Retirement 2020 Fund Class M4

                                

Sold

     1,015,694     $ 16,572,201       1,201,362     $ 21,180,014  

Issued as reinvestment of dividends

     762,490       12,573,464       394,024       6,678,707  

Redeemed

     (4,180,320 )     (68,524,820 )     (3,774,885 )     (65,814,223 )

Net increase (decrease)

     (2,402,136 )   $ (39,379,155 )     (2,179,499 )   $ (37,955,502 )

MM Select T. Rowe Price Retirement 2020 Fund Class M3

                                

Sold

     385,892     $ 6,387,993       802,491     $ 13,839,761  

Issued as reinvestment of dividends

     354,209       5,847,991       135,036       2,294,268  

Redeemed

     (1,097,789 )     (17,651,009 )     (1,961,788 )     (34,486,603 )

Net increase (decrease)

     (357,688 )   $ (5,415,025 )     (1,024,261 )   $ (18,352,574 )

MM Select T. Rowe Price Retirement 2025 Fund Class I

                                

Sold

     8,539,331     $ 140,810,463       7,073,901     $ 127,891,009  

Issued as reinvestment of dividends

     2,295,536       39,896,413       712,872       12,461,008  

Redeemed

     (5,208,866 )     (84,955,302 )     (5,281,785 )     (97,064,364 )

Net increase (decrease)

     5,626,001     $ 95,751,574       2,504,988     $ 43,287,653  

MM Select T. Rowe Price Retirement 2025 Fund Class M5

                                

Sold

     1,563,591     $ 27,503,087       2,163,008     $ 39,540,510  

Issued as reinvestment of dividends

     1,193,224       20,726,297       367,856       6,426,451  

Redeemed

     (7,032,570 )     (115,383,994 )     (1,885,963 )     (34,710,606 )

Net increase (decrease)

     (4,275,755 )   $ (67,154,610 )     644,901     $ 11,256,355  

MM Select T. Rowe Price Retirement 2025 Fund Class M4

                                

Sold

     1,489,503     $ 26,528,455       1,395,092     $ 25,464,651  

Issued as reinvestment of dividends

     530,954       9,222,674       196,560       3,433,898  

Redeemed

     (3,531,937 )     (59,574,375 )     (1,857,569 )     (33,901,691 )

Net increase (decrease)

     (1,511,480 )   $ (23,823,246 )     (265,917 )   $ (5,003,142 )

 

179

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM Select T. Rowe Price Retirement 2025 Fund Class M3

                                

Sold

     556,793     $ 9,492,429       1,110,932     $ 19,886,024  

Issued as reinvestment of dividends

     298,488       5,178,774       114,056       1,990,274  

Redeemed

     (1,011,720 )     (16,360,888 )     (1,902,958 )     (34,509,818 )

Net increase (decrease)

     (156,439 )   $ (1,689,685 )     (677,970 )   $ (12,633,520 )

MM Select T. Rowe Price Retirement 2030 Fund Class I

                                

Sold

     17,006,579     $ 292,539,511       7,281,570     $ 135,233,928  

Issued as reinvestment of dividends

     3,174,371       57,773,560       881,983       15,761,035  

Redeemed

     (6,119,019 )     (105,056,902 )     (4,693,823 )     (88,881,538 )

Net increase (decrease)

     14,061,931     $ 245,256,169       3,469,730     $ 62,113,425  

MM Select T. Rowe Price Retirement 2030 Fund Class M5

                                

Sold

     4,535,657     $ 84,779,466       6,781,304     $ 123,964,061  

Issued as reinvestment of dividends

     3,573,025       64,993,323       906,716       16,203,011  

Redeemed

     (18,516,774 )     (319,692,290 )     (4,370,000 )     (82,382,320 )

Net increase (decrease)

     (10,408,092 )   $ (169,919,501 )     3,318,020     $ 57,784,752  

MM Select T. Rowe Price Retirement 2030 Fund Class M4

                                

Sold

     2,073,734     $ 37,649,230       2,608,926     $ 49,133,927  

Issued as reinvestment of dividends

     1,252,988       22,804,376       533,508       9,523,116  

Redeemed

     (8,189,081 )     (140,447,148 )     (6,390,327 )     (117,016,352 )

Net increase (decrease)

     (4,862,359 )   $ (79,993,542 )     (3,247,893 )   $ (58,359,309 )

MM Select T. Rowe Price Retirement 2030 Fund Class M3

                                

Sold

     966,388     $ 17,088,642       1,077,433     $ 19,661,188  

Issued as reinvestment of dividends

     552,753       10,071,168       172,455       3,085,222  

Redeemed

     (1,734,460 )     (30,562,929 )     (3,015,357 )     (55,749,121 )

Net increase (decrease)

     (215,319 )   $ (3,403,119 )     (1,765,469 )   $ (33,002,711 )

MM Select T. Rowe Price Retirement 2035 Fund Class I

                                

Sold

     11,256,790     $ 198,143,268       5,514,941     $ 104,574,394  

Issued as reinvestment of dividends

     1,726,216       32,763,576       465,300       8,473,120  

Redeemed

     (3,378,692 )     (59,564,725 )     (2,634,738 )     (51,236,097 )

Net increase (decrease)

     9,604,314     $ 171,342,119       3,345,503     $ 61,811,417  

MM Select T. Rowe Price Retirement 2035 Fund Class M5

                                

Sold

     1,713,564     $ 32,461,820       1,902,709     $ 37,039,466  

Issued as reinvestment of dividends

     1,094,005       20,742,335       301,681       5,490,596  

Redeemed

     (7,630,090 )     (134,789,582 )     (1,303,922 )     (24,929,714 )

Net increase (decrease)

     (4,822,521 )   $ (81,585,427 )     900,468     $ 17,600,348  

MM Select T. Rowe Price Retirement 2035 Fund Class M4

                                

Sold

     1,974,053     $ 36,677,551       2,258,492     $ 43,817,075  

Issued as reinvestment of dividends

     487,832       9,244,410       131,483       2,391,669  

Redeemed

     (3,822,459 )     (67,790,009 )     (980,018 )     (19,013,027 )

Net increase (decrease)

     (1,360,574 )   $ (21,868,048 )     1,409,957     $ 27,195,717  

MM Select T. Rowe Price Retirement 2035 Fund Class M3

                                

Sold

     576,007     $ 10,520,197       638,967     $ 11,825,316  

Issued as reinvestment of dividends

     190,005       3,608,202       75,478       1,372,936  

Redeemed

     (543,110 )     (9,930,100 )     (2,031,739 )     (39,232,693 )

Net increase (decrease)

     222,902     $ 4,198,299       (1,317,294 )   $ (26,034,441 )

MM Select T. Rowe Price Retirement 2040 Fund Class I

                                

Sold

     17,842,756     $ 323,377,353       4,927,804     $ 95,246,646  

Issued as reinvestment of dividends

     1,844,301       36,056,081       501,325       9,279,529  

Redeemed

     (3,433,976 )     (62,515,762 )     (3,359,159 )     (66,171,281 )

Net increase (decrease)

     16,253,081     $ 296,917,672       2,069,970     $ 38,354,894  

 

180

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM Select T. Rowe Price Retirement 2040 Fund Class M5

                                

Sold

     4,171,443     $ 82,602,986       6,572,217     $ 124,438,168  

Issued as reinvestment of dividends

     2,732,688       53,396,718       613,121       11,348,863  

Redeemed

     (16,150,828 )     (295,456,679 )     (2,416,172 )     (46,478,211 )

Net increase (decrease)

     (9,246,697 )   $ (159,456,975 )     4,769,166     $ 89,308,820  

MM Select T. Rowe Price Retirement 2040 Fund Class M4

                                

Sold

     2,395,284     $ 45,742,603       2,075,384     $ 40,928,370  

Issued as reinvestment of dividends

     844,992       16,502,684       363,456       6,713,026  

Redeemed

     (6,988,390 )     (126,862,891 )     (5,360,898 )     (100,734,215 )

Net increase (decrease)

     (3,748,114 )   $ (64,617,604 )     (2,922,058 )   $ (53,092,819 )

MM Select T. Rowe Price Retirement 2040 Fund Class M3

                                

Sold

     855,996     $ 15,886,397       908,834     $ 17,290,393  

Issued as reinvestment of dividends

     354,201       6,931,706       103,356       1,914,156  

Redeemed

     (1,186,981 )     (22,700,434 )     (2,502,386 )     (48,346,735 )

Net increase (decrease)

     23,216     $ 117,669       (1,490,196 )   $ (29,142,186 )

MM Select T. Rowe Price Retirement 2045 Fund Class I

                                

Sold

     11,288,128     $ 205,849,243       3,867,260     $ 76,044,553  

Issued as reinvestment of dividends

     1,064,698       21,166,192       252,233       4,711,717  

Redeemed

     (2,017,855 )     (36,741,964 )     (1,604,391 )     (32,349,847 )

Net increase (decrease)

     10,334,971     $ 190,273,471       2,515,102     $ 48,406,423  

MM Select T. Rowe Price Retirement 2045 Fund Class M5

                                

Sold

     1,343,450     $ 25,847,325       1,461,159     $ 29,441,322  

Issued as reinvestment of dividends

     844,791       16,777,545       209,722       3,915,508  

Redeemed

     (7,258,926 )     (133,207,378 )     (679,177 )     (13,399,447 )

Net increase (decrease)

     (5,070,685 )   $ (90,582,508 )     991,704     $ 19,957,383  

MM Select T. Rowe Price Retirement 2045 Fund Class M4

                                

Sold

     1,940,581     $ 38,287,849       1,528,719     $ 30,317,779  

Issued as reinvestment of dividends

     374,404       7,420,678       90,627       1,690,198  

Redeemed

     (3,391,168 )     (60,246,314 )     (893,982 )     (17,644,416 )

Net increase (decrease)

     (1,076,183 )   $ (14,537,787 )     725,364     $ 14,363,561  

MM Select T. Rowe Price Retirement 2045 Fund Class M3

                                

Sold

     422,286     $ 7,951,088       524,290     $ 10,038,412  

Issued as reinvestment of dividends

     129,246       2,571,996       43,621       814,412  

Redeemed

     (397,067 )     (7,662,141 )     (1,687,466 )     (33,012,679 )

Net increase (decrease)

     154,465     $ 2,860,943       (1,119,555 )   $ (22,159,855 )

MM Select T. Rowe Price Retirement 2050 Fund Class I

                                

Sold

     12,533,874     $ 231,236,518       3,708,242     $ 72,939,736  

Issued as reinvestment of dividends

     1,034,578       20,743,294       276,039       5,153,642  

Redeemed

     (1,853,714 )     (34,588,469 )     (1,375,033 )     (27,537,988 )

Net increase (decrease)

     11,714,738     $ 217,391,343       2,609,248     $ 50,555,390  

MM Select T. Rowe Price Retirement 2050 Fund Class M5

                                

Sold

     3,013,172     $ 59,185,787       4,626,361     $ 89,309,701  

Issued as reinvestment of dividends

     1,590,415       31,856,014       417,762       7,799,608  

Redeemed

     (9,794,915 )     (184,286,116 )     (1,986,442 )     (37,755,314 )

Net increase (decrease)

     (5,191,328 )   $ (93,244,315 )     3,057,681     $ 59,353,995  

 

181

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM Select T. Rowe Price Retirement 2050 Fund Class M4

                                

Sold

     2,415,289     $ 47,389,056       1,783,070     $ 35,187,896  

Issued as reinvestment of dividends

     516,154       10,328,244       219,310       4,085,747  

Redeemed

     (5,909,371 )     (104,994,499 )     (3,195,050 )     (60,904,525 )

Net increase (decrease)

     (2,977,928 )   $ (47,277,199 )     (1,192,670 )   $ (21,630,882 )

MM Select T. Rowe Price Retirement 2050 Fund Class M3

                                

Sold

     579,263     $ 11,001,966       820,918     $ 15,631,320  

Issued as reinvestment of dividends

     213,368       4,275,899       65,421       1,220,747  

Redeemed

     (749,277 )     (14,392,576 )     (1,450,967 )     (28,312,695 )

Net increase (decrease)

     43,354     $ 885,289       (564,628 )   $ (11,460,628 )

MM Select T. Rowe Price Retirement 2055 Fund Class I

                                

Sold

     9,407,027     $ 172,120,699       1,970,847     $ 38,801,235  

Issued as reinvestment of dividends

     451,953       9,025,508       120,986       2,253,961  

Redeemed

     (978,561 )     (18,086,779 )     (776,180 )     (15,616,399 )

Net increase (decrease)

     8,880,419     $ 163,059,428       1,315,653     $ 25,438,797  

MM Select T. Rowe Price Retirement 2055 Fund Class M5

                                

Sold

     1,111,691     $ 21,879,145       1,494,776     $ 29,803,216  

Issued as reinvestment of dividends

     561,937       11,205,031       155,950       2,902,228  

Redeemed

     (6,200,220 )     (114,761,201 )     (610,625 )     (11,871,458 )

Net increase (decrease)

     (4,526,592 )   $ (81,677,025 )     1,040,101     $ 20,833,986  

MM Select T. Rowe Price Retirement 2055 Fund Class M4

                                

Sold

     1,404,133     $ 27,210,498       845,856     $ 16,904,947  

Issued as reinvestment of dividends

     188,075       3,746,457       50,088       931,634  

Redeemed

     (2,131,753 )     (38,065,701 )     (484,615 )     (9,532,136 )

Net increase (decrease)

     (539,545 )   $ (7,108,746 )     411,329     $ 8,304,445  

MM Select T. Rowe Price Retirement 2055 Fund Class M3

                                

Sold

     364,367     $ 6,750,865       442,031     $ 8,218,717  

Issued as reinvestment of dividends

     75,680       1,509,059       28,072       521,858  

Redeemed

     (184,672 )     (3,542,998 )     (797,050 )     (15,602,549 )

Net increase (decrease)

     255,375     $ 4,716,926       (326,947 )   $ (6,861,974 )

MM Select T. Rowe Price Retirement 2060 Fund Class I

                                

Sold

     2,425,971     $ 43,805,340       1,493,589     $ 29,764,354  

Issued as reinvestment of dividends

     235,469       4,688,197       49,706       924,535  

Redeemed

     (645,198 )     (11,854,282 )     (548,443 )     (10,879,298 )

Net increase (decrease)

     2,016,242     $ 36,639,255       994,852     $ 19,809,591  

MM Select T. Rowe Price Retirement 2060 Fund Class M5

                                

Sold

     1,076,260     $ 20,001,196       898,238     $ 17,720,639  

Issued as reinvestment of dividends

     143,748       2,856,276       25,355       471,099  

Redeemed

     (366,788 )     (6,860,239 )     (247,150 )     (4,879,704 )

Net increase (decrease)

     853,220     $ 15,997,233       676,443     $ 13,312,034  

MM Select T. Rowe Price Retirement 2060 Fund Class M4

                                

Sold

     1,055,966     $ 19,445,369       575,616     $ 11,433,668  

Issued as reinvestment of dividends

     79,541       1,576,504       20,830       386,399  

Redeemed

     (941,124 )     (16,791,259 )     (520,718 )     (9,930,612 )

Net increase (decrease)

     194,383     $ 4,230,614       75,728     $ 1,889,455  

MM Select T. Rowe Price Retirement 2060 Fund Class M3

                                

Sold

     209,526     $ 3,852,887       198,040     $ 3,731,566  

Issued as reinvestment of dividends

     23,830       472,782       9,098       168,503  

Redeemed

     (94,635 )     (1,801,031 )     (252,373 )     (4,995,196 )

Net increase (decrease)

     138,721     $ 2,524,638       (45,235 )   $ (1,095,127 )
 

 

182

 

 

Notes to Financial Statements (Continued)

 

Unless waived, 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 $26 for the MM RetireSMART by JPMorgan 2040 Fund during the year ended September 30, 2022.

 

Unless waived, redemptions of Class A shares made within 18 months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1.00% of the amount redeemed. The Distributor receives all contingent deferred sales charges. For the year ended September 30, 2022, no amounts have been retained by the Distributor.

 

With respect to Class A shares, the Distributor may pay an up-front concession to financial intermediaries through which sales are made as described in the Funds’ Prospectus.

 

6. Federal Income Tax Information

 

At September 30, 2022, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

 

 
   

Federal Income
Tax Cost

    

Tax Basis
Unrealized
Appreciation

    

Tax Basis
Unrealized
(Depreciation)

    

Net Unrealized
Appreciation
(Depreciation)

  

20/80 Allocation Fund

   $ 192,745,226     $ 399,813     $ (34,798,397 )   $ (34,398,584 )

40/60 Allocation Fund

     210,048,867       599,792       (40,807,456 )     (40,207,664 )

60/40 Allocation Fund

     197,081,767       221,421       (40,098,151 )     (39,876,730 )

80/20 Allocation Fund

     146,320,698       808,484       (33,270,945 )     (32,462,461 )

MM RetireSMART by JPMorgan In Retirement Fund

     101,499,310       37,930       (18,363,465 )     (18,325,535 )

MM RetireSMART by JPMorgan 2020 Fund

     197,296,301       61,397       (35,550,364 )     (35,488,967 )

MM RetireSMART by JPMorgan 2025 Fund

     178,022,353       139,341       (35,961,114 )     (35,821,773 )

MM RetireSMART by JPMorgan 2030 Fund

     393,495,500       265,925       (84,313,433 )     (84,047,508 )

MM RetireSMART by JPMorgan 2035 Fund

     177,501,424       183,000       (39,244,264 )     (39,061,264 )

MM RetireSMART by JPMorgan 2040 Fund

     287,009,697       309,489       (63,201,785 )     (62,892,296 )

MM RetireSMART by JPMorgan 2045 Fund

     131,444,523       170,134       (30,418,664 )     (30,248,530 )

MM RetireSMART by JPMorgan 2050 Fund

     202,895,828       196,309       (46,110,675 )     (45,914,366 )

MM RetireSMART by JPMorgan 2055 Fund

     68,978,829       75,050       (16,368,523 )     (16,293,473 )

MM RetireSMART by JPMorgan 2060 Fund

     22,866,809       15,096       (5,533,953 )     (5,518,857 )

MM Select T. Rowe Price Retirement Balanced Fund

    187,913,980       193,667       (29,921,912 )     (29,728,245 )

MM Select T. Rowe Price Retirement 2005 Fund

    29,488,915       21,691       (5,129,506 )     (5,107,815 )

MM Select T. Rowe Price Retirement 2010 Fund

    125,010,091       192,794       (21,900,814 )     (21,708,020 )

MM Select T. Rowe Price Retirement 2015 Fund

    137,036,161       196,003       (22,964,494 )     (22,768,491 )

MM Select T. Rowe Price Retirement 2020 Fund

    611,812,731       702,434       (100,403,516 )     (99,701,082 )

MM Select T. Rowe Price Retirement 2025 Fund

    634,344,927       575,254       (107,100,549 )     (106,525,295 )

MM Select T. Rowe Price Retirement 2030 Fund

    1,375,546,418       1,156,133       (202,939,372 )     (201,783,239 )

MM Select T. Rowe Price Retirement 2035 Fund

    727,276,044       434,885       (113,608,501 )     (113,173,616 )

MM Select T. Rowe Price Retirement 2040 Fund

    1,202,393,845       433,240       (174,978,926 )     (174,545,686 )

MM Select T. Rowe Price Retirement 2045 Fund

    564,885,002       23,123       (89,214,352 )     (89,191,229 )

MM Select T. Rowe Price Retirement 2050 Fund

    824,924,897       14,410       (123,426,590 )     (123,412,180 )

MM Select T. Rowe Price Retirement 2055 Fund

    352,630,937       5,062       (57,675,670 )     (57,670,608 )

MM Select T. Rowe Price Retirement 2060 Fund

    160,877,654       2,831       (30,388,406 )     (30,385,575 )

 

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. Capital losses may be carried forward indefinitely, and retain the character of the original loss.

 

At September 30, 2022, for federal income tax purposes, there were no unused capital losses.

 

183

 

 

Notes to Financial Statements (Continued)

 

The following Fund(s) elected to defer to the fiscal year beginning October 1, 2022, late year ordinary losses:

 

 
   

Amount

  

MM Select T. Rowe Price Retirement 2030 Fund

   $ 2,603,189  

MM Select T. Rowe Price Retirement 2035 Fund

     1,830,737  

MM Select T. Rowe Price Retirement 2040 Fund

     4,734,635  

MM Select T. Rowe Price Retirement 2045 Fund

     2,178,724  

MM Select T. Rowe Price Retirement 2050 Fund

     3,574,783  

MM Select T. Rowe Price Retirement 2060 Fund

     560,467  

 

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, 2022, was as follows:

 

 
   

Ordinary
Income

    

Long Term
Capital Gain

  

20/80 Allocation Fund

   $ 5,773,608     $ 7,216,709  

40/60 Allocation Fund

     6,696,300       11,946,689  

60/40 Allocation Fund

     8,155,101       17,817,029  

80/20 Allocation Fund

     4,486,636       11,796,555  

MM RetireSMART by JPMorgan In Retirement Fund

     3,851,393       9,329,916  

MM RetireSMART by JPMorgan 2020 Fund

     9,288,244       16,065,771  

MM RetireSMART by JPMorgan 2025 Fund

     7,124,617       16,164,173  

MM RetireSMART by JPMorgan 2030 Fund

     13,540,089       34,192,780  

MM RetireSMART by JPMorgan 2035 Fund

     6,080,813       19,260,798  

MM RetireSMART by JPMorgan 2040 Fund

     9,354,902       31,290,981  

MM RetireSMART by JPMorgan 2045 Fund

     4,166,318       16,833,751  

MM RetireSMART by JPMorgan 2050 Fund

     6,883,238       20,284,765  

MM RetireSMART by JPMorgan 2055 Fund

     2,039,207       6,451,591  

MM RetireSMART by JPMorgan 2060 Fund

     783,889       1,958,115  

MM Select T. Rowe Price Retirement Balanced Fund

     7,115,125       11,646,674  

MM Select T. Rowe Price Retirement 2005 Fund

     1,357,592       3,334,823  

MM Select T. Rowe Price Retirement 2010 Fund

     5,310,387       10,255,181  

MM Select T. Rowe Price Retirement 2015 Fund

     5,206,666       9,988,392  

MM Select T. Rowe Price Retirement 2020 Fund

     25,271,795       62,348,495  

MM Select T. Rowe Price Retirement 2025 Fund

     23,345,921       51,678,237  

MM Select T. Rowe Price Retirement 2030 Fund

     54,756,932       100,885,494  

MM Select T. Rowe Price Retirement 2035 Fund

     27,736,963       38,621,560  

MM Select T. Rowe Price Retirement 2040 Fund

     52,502,131       60,385,058  

MM Select T. Rowe Price Retirement 2045 Fund

     22,858,059       25,078,352  

MM Select T. Rowe Price Retirement 2050 Fund

     35,715,171       31,488,280  

MM Select T. Rowe Price Retirement 2055 Fund

     11,815,181       13,670,874  

MM Select T. Rowe Price Retirement 2060 Fund

     4,846,160       4,747,599  

 

 

184

 

 

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, 2021, was as follows:

 

 
   

Ordinary
Income

    

Long Term
Capital Gain

  

20/80 Allocation Fund

   $ 6,912,673     $ 3,835,241  

40/60 Allocation Fund

     6,528,736       5,057,277  

60/40 Allocation Fund

     5,152,629       3,111,437  

80/20 Allocation Fund

     2,329,878       4,366,908  

MM RetireSMART by JPMorgan In Retirement Fund

     6,142,449       4,776,823  

MM RetireSMART by JPMorgan 2020 Fund

     11,260,302       6,896,687  

MM RetireSMART by JPMorgan 2025 Fund

     8,314,627       8,191,787  

MM RetireSMART by JPMorgan 2030 Fund

     11,888,107       10,758,255  

MM RetireSMART by JPMorgan 2035 Fund

     4,345,039       4,608,372  

MM RetireSMART by JPMorgan 2040 Fund

     5,383,008       320,831  

MM RetireSMART by JPMorgan 2045 Fund

     2,178,218       3,540,149  

MM RetireSMART by JPMorgan 2050 Fund

     3,156,541       557,980  

MM RetireSMART by JPMorgan 2055 Fund

     985,575       2,570,924  

MM RetireSMART by JPMorgan 2060 Fund

     348,416       779,863  

MM Select T. Rowe Price Retirement Balanced Fund

     3,760,652       3,452,612  

MM Select T. Rowe Price Retirement 2005 Fund

     804,782       841,098  

MM Select T. Rowe Price Retirement 2010 Fund

     3,131,794       3,149,488  

MM Select T. Rowe Price Retirement 2015 Fund

     2,982,450       3,500,895  

MM Select T. Rowe Price Retirement 2020 Fund

     13,720,482       18,478,588  

MM Select T. Rowe Price Retirement 2025 Fund

     9,784,845       14,526,786  

MM Select T. Rowe Price Retirement 2030 Fund

     17,254,192       27,318,192  

MM Select T. Rowe Price Retirement 2035 Fund

     6,229,193       11,499,128  

MM Select T. Rowe Price Retirement 2040 Fund

     8,110,897       21,144,677  

MM Select T. Rowe Price Retirement 2045 Fund

     2,687,176       8,444,659  

MM Select T. Rowe Price Retirement 2050 Fund

     3,928,942       14,330,802  

MM Select T. Rowe Price Retirement 2055 Fund

     1,378,034       5,231,647  

MM Select T. Rowe Price Retirement 2060 Fund

     422,073       1,528,463  

 

The following Fund(s) have elected to pass through the foreign tax credit for the year ended September 30, 2022:

 

 
   

Amount

  

20/80 Allocation Fund

   $ 16,804  

40/60 Allocation Fund

     35,053  

60/40 Allocation Fund

     32,402  

80/20 Allocation Fund

     46,848  

MM RetireSMART by JPMorgan In Retirement Fund

     29,290  

MM RetireSMART by JPMorgan 2020 Fund

     64,002  

MM RetireSMART by JPMorgan 2025 Fund

     76,456  

MM RetireSMART by JPMorgan 2030 Fund

     313,670  

MM RetireSMART by JPMorgan 2035 Fund

     107,484  

MM RetireSMART by JPMorgan 2045 Fund

     96,217  

MM RetireSMART by JPMorgan 2050 Fund

     149,584  

MM RetireSMART by JPMorgan 2055 Fund

     47,108  

MM RetireSMART by JPMorgan 2060 Fund

     17,131  

MM Select T. Rowe Price Retirement Balanced Fund

     51,445  

MM Select T. Rowe Price Retirement 2005 Fund

     8,143  

MM Select T. Rowe Price Retirement 2010 Fund

     43,596  

 

 

185

 

 

Notes to Financial Statements (Continued)

 

   

Amount

  

MM Select T. Rowe Price Retirement 2015 Fund

   $ 49,759  

MM Select T. Rowe Price Retirement 2020 Fund

     264,456  

MM Select T. Rowe Price Retirement 2025 Fund

     285,652  

MM Select T. Rowe Price Retirement 2030 Fund

     759,038  

MM Select T. Rowe Price Retirement 2035 Fund

     401,922  

MM Select T. Rowe Price Retirement 2040 Fund

     768,558  

MM Select T. Rowe Price Retirement 2045 Fund

     342,200  

MM Select T. Rowe Price Retirement 2050 Fund

     536,247  

MM Select T. Rowe Price Retirement 2055 Fund

     198,600  

MM Select T. Rowe Price Retirement 2060 Fund

     72,764  

 

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, 2022, 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, 2022, 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

  

20/80 Allocation Fund

   $ 1,332,743     $ 3,272,268     $ (19,101 )   $ (34,398,584 )   $ (29,812,674 )

40/60 Allocation Fund

     932,404       7,653,087       (32,969 )     (40,207,664 )     (31,655,142 )

60/40 Allocation Fund

     568,379       13,844,710       (26,545 )     (39,876,730 )     (25,490,186 )

80/20 Allocation Fund

     492,395       12,912,102       (8,945 )     (32,462,461 )     (19,066,909 )

MM RetireSMART by JPMorgan In Retirement Fund

     3,877,541       2,122,032       (32,209 )     (18,325,535 )     (12,358,171 )

MM RetireSMART by JPMorgan 2020 Fund

     2,043,946       4,516,664       (55,325 )     (35,488,967 )     (28,983,682 )

MM RetireSMART by JPMorgan 2025 Fund

     1,263,528       8,525,878       (13,045 )     (35,821,773 )     (26,045,412 )

MM RetireSMART by JPMorgan 2030 Fund

     2,631,893       23,853,271       (52,131 )     (84,047,508 )     (57,614,475 )

MM RetireSMART by JPMorgan 2035 Fund

     916,469       13,262,571       (14,321 )     (39,061,264 )     (24,896,545 )

MM RetireSMART by JPMorgan 2040 Fund

     1,656,575       22,847,024       (31,780 )     (62,892,296 )     (38,420,477 )

MM RetireSMART by JPMorgan 2045 Fund

     645,703       12,669,855       (8,457 )     (30,248,530 )     (16,941,429 )

MM RetireSMART by JPMorgan 2050 Fund

     1,112,798       16,834,365       (15,672 )     (45,914,366 )     (27,982,875 )

MM RetireSMART by JPMorgan 2055 Fund

     324,589       6,449,064       (1,917 )     (16,293,473 )     (9,521,737 )

MM RetireSMART by JPMorgan 2060 Fund

     152,120       2,185,008       (556 )     (5,518,857 )     (3,182,285 )

MM Select T. Rowe Price Retirement Balanced Fund

     115,374       8,500,659       —       (29,728,245 )     (21,112,212 )

MM Select T. Rowe Price Retirement 2005 Fund

     26,986       1,080,455       —       (5,107,815 )     (4,000,374 )

MM Select T. Rowe Price Retirement 2010 Fund

     73,182       7,543,051       —       (21,708,020 )     (14,091,787 )

MM Select T. Rowe Price Retirement 2015 Fund

     78,570       8,956,493       —       (22,768,491 )     (13,733,428 )

MM Select T. Rowe Price Retirement 2020 Fund

     —       49,831,294       —       (99,701,082 )     (49,869,788 )

MM Select T. Rowe Price Retirement 2025 Fund

     —       54,274,394       —       (106,525,295 )     (52,250,901 )

MM Select T. Rowe Price Retirement 2030 Fund

     17,739       132,629,224       (2,603,189 )     (201,783,239 )     (71,739,465 )

MM Select T. Rowe Price Retirement 2035 Fund

     —       66,805,545       (1,830,737 )     (113,173,616 )     (48,198,808 )

MM Select T. Rowe Price Retirement 2040 Fund

     —       137,037,635       (4,734,635 )     (174,545,686 )     (42,242,686 )

MM Select T. Rowe Price Retirement 2045 Fund

     —       56,849,527       (2,178,724 )     (89,191,229 )     (34,520,426 )

MM Select T. Rowe Price Retirement 2050 Fund

     —       91,161,364       (3,574,783 )     (123,412,180 )     (35,825,599 )

MM Select T. Rowe Price Retirement 2055 Fund

     —       30,549,313       —       (57,670,608 )     (27,121,295 )

MM Select T. Rowe Price Retirement 2060 Fund

     —       11,546,252       (560,467 )     (30,385,575 )     (19,399,790 )

 

 

186

 

 

Notes to Financial Statements (Continued)

 

During the year ended September 30, 2022, 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)

  

20/80 Allocation Fund

   $ —     $ (1,403,778 )   $ 1,403,778  

40/60 Allocation Fund

     —       (2,478,735 )     2,478,735  

60/40 Allocation Fund

     (1 )     (3,215,104 )     3,215,105  

80/20 Allocation Fund

     —       (2,586,959 )     2,586,959  

MM RetireSMART by JPMorgan In Retirement Fund

     —       (1,158,471 )     1,158,471  

MM RetireSMART by JPMorgan 2020 Fund

     —       (2,521,357 )     2,521,357  

MM RetireSMART by JPMorgan 2025 Fund

     —       (2,216,935 )     2,216,935  

MM RetireSMART by JPMorgan 2030 Fund

     —       (5,132,587 )     5,132,587  

MM RetireSMART by JPMorgan 2035 Fund

     —       (2,871,508 )     2,871,508  

MM RetireSMART by JPMorgan 2040 Fund

     —       (5,165,510 )     5,165,510  

MM RetireSMART by JPMorgan 2045 Fund

     —       (2,424,649 )     2,424,649  

MM RetireSMART by JPMorgan 2050 Fund

     —       (3,774,418 )     3,774,418  

MM RetireSMART by JPMorgan 2055 Fund

     —       (1,189,249 )     1,189,249  

MM RetireSMART by JPMorgan 2060 Fund

     —       (431,487 )     431,487  

MM Select T. Rowe Price Retirement Balanced Fund

     —       (1,911,067 )     1,911,067  

MM Select T. Rowe Price Retirement 2005 Fund

     —       (299,149 )     299,149  

MM Select T. Rowe Price Retirement 2010 Fund

     —       (1,600,296 )     1,600,296  

MM Select T. Rowe Price Retirement 2015 Fund

     —       (1,785,825 )     1,785,825  

MM Select T. Rowe Price Retirement 2020 Fund

     —       (9,457,020 )     9,457,020  

MM Select T. Rowe Price Retirement 2025 Fund

     —       (10,395,365 )     10,395,365  

MM Select T. Rowe Price Retirement 2030 Fund

     —       (27,724,225 )     27,724,225  

MM Select T. Rowe Price Retirement 2035 Fund

     —       (15,867,704 )     15,867,704  

MM Select T. Rowe Price Retirement 2040 Fund

     —       (32,018,199 )     32,018,199  

MM Select T. Rowe Price Retirement 2045 Fund

     —       (14,562,113 )     14,562,113  

MM Select T. Rowe Price Retirement 2050 Fund

     —       (22,874,947 )     22,874,947  

MM Select T. Rowe Price Retirement 2055 Fund

     —       (9,801,875 )     9,801,875  

MM Select T. Rowe Price Retirement 2060 Fund

     —       (3,093,308 )     3,093,308  

 

The Funds did not have any unrecognized tax benefits at September 30, 2022, 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, 2022, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

 

7. Investment in Affiliated Issuers

 

A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended September 30, 2022, was as follows:

 

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

20/80 Allocation Fund

                                                        

Barings Global Floating Rate Fund, Class Y*

   $ 1,559,442     $ 11,859     $ (1,545,740 )   $ (25,561 )   $ —     $ —     $ —     $ 10,473     $ —  

 

187

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

20/80 Allocation Fund (Continued)

MassMutual Blue Chip Growth Fund, Class I

   $ 3,483,144     $ 2,568,355     $ (884,127 )   $ (2,054,245 )   $ (6,591 )   $ 3,106,536       165,770     $ —     $ 647,438  

MassMutual Core Bond Fund, Class I

     34,993,204       4,834,827       (7,291,606 )     (6,522,148 )     (143,427 )     25,870,850       2,842,951       809,728       526,742  

MassMutual Diversified Value Fund, Class I

     2,709,426       502,095       (310,703 )     (617,933 )     67,551       2,350,436       216,232       51,803       292,242  

MassMutual Equity Opportunities Fund, Class I

     3,997,912       1,773,282       (582,538 )     (832,078 )     33,792       4,390,370       263,528       50,516       439,769  

MassMutual Fundamental Value Fund, Class I

     3,237,834       653,317       (530,186 )     (631,697 )     17,713       2,746,981       321,660       23,736       377,169  

MassMutual Global Floating Rate Fund, Class I

     —       1,583,012       (999,999 )     (48,126 )     (32,887 )     502,000       59,408       27,666       —  

MassMutual Global Floating Rate Fund, Class Y

     —       12,700       (13,191 )     —       491       —       —       12,702       —  

MassMutual Growth Opportunities Fund, Class I

     1,450,735       386,028       (139,760 )     (932,202 )     (47,560 )     717,241       157,290       —       318,405  

MassMutual High Yield Fund, Class I

     1,290,445       2,686,780       (2,158,592 )     (186,392 )     (198,736 )     1,433,505       197,181       159,547       —  

MassMutual Inflation-Protected and Income Fund, Class I

     6,106,746       741,516       (4,404,405 )     (825,081 )     24,483       1,643,259       175,750       106,528       326,055  

MassMutual International Equity Fund, Class I

     767,125       231,275       (278,250 )     (98,422 )     (118,880 )     502,848       70,427       15,837       78,549  

MassMutual Mid Cap Growth Fund, Class I

     1,472,740       350,956       (140,866 )     (662,188 )     3,402       1,024,044       55,205       —       280,626  

MassMutual Mid-Cap Value Fund, Class I

     2,267,697       610,219       (1,140,865 )     (717,148 )     69,504       1,089,407       103,164       23,255       518,879  

MassMutual Overseas Fund, Class I

     2,736,115       2,175,382       (864,865 )     (1,220,125 )     43,698       2,870,205       413,574       38,658       224,021  

MassMutual Short-Duration Bond Fund, Class I

     40,778,792       3,341,740       (10,385,507 )     (4,273,188 )     (1,404,446 )     28,057,391       3,236,147       1,729,010       —  

MassMutual Small Cap Growth Equity Fund, Class I

     265,439       77,127       (42,935 )     (122,212 )     (1,226 )     176,193       14,732       —       56,937  

MassMutual Small Cap Value Equity Fund, Class I

     873,974       248,986       (85,870 )     (313,424 )     (6,166 )     717,500       82,566       —       208,607  

MassMutual Strategic Bond Fund, Class I

     25,626,277       7,416,217       (6,084,742 )     (5,418,451 )     (245,506 )     21,293,795       2,502,209       1,017,428       479,459  

MassMutual Strategic Emerging Markets Fund, Class I

     1,263,154       262,659       (190,779 )     (560,701 )     (39,799 )     734,534       89,468       16,964       154,657  

MassMutual Total Return Bond Fund, Class I

     37,143,911       13,073,019       (8,818,640 )     (6,406,961 )     (198,386 )     34,792,943       4,132,178       613,046       72,910  

MM Equity Asset Fund, Class I

     10,432,793       3,331,439       (4,155,012 )     (3,698,160 )     390,786       6,301,846       900,264       129,741       2,080,520  
    $ 182,456,905     $ 46,872,790     $ (51,049,178 )   $ (36,166,443 )   $ (1,792,190 )   $ 140,321,884             $ 4,836,638     $ 7,082,985  

40/60 Allocation Fund

                                                        

Barings Global Floating Rate Fund, Class Y*

   $ 2,129,513     $ 16,194     $ (2,109,642 )   $ (36,065 )   $ —     $ —       —     $ 14,303     $ —  

MassMutual Blue Chip Growth Fund, Class I

     8,376,584       4,753,977       (2,527,610 )     (4,607,999 )     (4,633 )     5,990,319       319,654       —       1,668,598  

MassMutual Core Bond Fund, Class I

     26,555,894       6,844,985       (8,041,550 )     (4,651,117 )     (725,064 )     19,983,148       2,195,950       662,371       430,884  

MassMutual Diversified Value Fund, Class I

     5,397,509       1,516,617       (1,158,716 )     (1,384,718 )     258,264       4,628,956       425,847       109,498       617,731  

MassMutual Equity Opportunities Fund, Class I

     8,630,146       2,801,982       (2,348,578 )     (2,008,620 )     370,417       7,445,347       446,900       118,122       1,028,315  

 

188

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

40/60 Allocation Fund (Continued)

MassMutual Fundamental Value Fund, Class I

   $ 6,732,322     $ 1,978,295     $ (1,515,736 )   $ (1,426,979 )   $ 87,505     $ 5,855,407       685,645     $ 51,964     $ 825,706  

MassMutual Global Floating Rate Fund, Class I

     —       2,162,806       (1,200,001 )     (81,156 )     (37,969 )     843,680       99,844       38,887       —  

MassMutual Global Floating Rate Fund, Class Y

     —       12,447       (14,277 )     —       1,830       —       —       17,329       —  

MassMutual Growth Opportunities Fund, Class I

     2,944,392       1,007,350       (508,193 )     (1,859,759 )     (189,218 )     1,394,572       305,827       —       676,784  

MassMutual High Yield Fund, Class I

     1,466,621       2,217,822       (1,217,292 )     (289,409 )     (130,119 )     2,047,623       281,654       184,377       —  

MassMutual Inflation-Protected and Income Fund, Class I

     3,832,941       862,604       (3,269,169 )     (426,493 )     (94,182 )     905,701       96,866       71,125       217,695  

MassMutual International Equity Fund, Class I

     1,683,708       1,931,383       (1,033,162 )     (327,439 )     (304,347 )     1,950,143       273,129       40,664       201,679  

MassMutual Mid Cap Growth Fund, Class I

     2,439,138       831,080       (513,583 )     (1,140,707 )     7,250       1,623,178       87,503       —       492,432  

MassMutual Mid Cap Value Fund, Class I

     4,019,697       1,334,654       (1,513,583 )     (1,336,625 )     87,033       2,591,176       245,377       42,723       953,282  

MassMutual Overseas Fund, Class I

     5,388,214       3,696,306       (2,579,532 )     (2,176,428 )     76,112       4,404,672       634,679       85,215       493,814  

MassMutual Short-Duration Bond Fund, Class I

     26,476,282       4,718,774       (8,015,169 )     (2,964,727 )     (868,757 )     19,346,403       2,231,419       1,183,510       —  

MassMutual Small Cap Growth Equity Fund, Class I

     597,449       237,753       (153,964 )     (290,924 )     (4,027 )     386,287       32,298       —       136,481  

MassMutual Small Cap Value Equity Fund, Class I

     2,242,617       753,702       (302,317 )     (823,959 )     (25,299 )     1,844,744       212,284       —       553,977  

MassMutual Strategic Bond Fund, Class I

     23,119,765       6,245,422       (6,700,039 )     (4,445,864 )     (864,223 )     17,355,061       2,039,373       987,740       465,469  

MassMutual Strategic Emerging Markets Fund, Class I

     1,944,067       694,984       (569,014 )     (849,439 )     (123,097 )     1,097,501       133,679       27,981       255,103  

MassMutual Total Return Bond Fund, Class I

     33,433,186       13,374,232       (9,983,061 )     (5,348,393 )     (882,598 )     30,593,366       3,633,416       592,515       70,468  

MM Equity Asset Fund, Class I

     23,108,280       10,117,702       (8,232,688 )     (8,595,680 )     488,645       16,886,259       2,412,323       306,930       4,921,951  
    $ 190,518,325     $ 68,111,071     $ (63,506,876 )   $ (45,072,500 )   $ (2,876,477 )   $ 147,173,543             $ 4,535,254     $ 14,010,369  

60/40 Allocation Fund

                                                        

Barings Global Floating Rate Fund, Class Y*

   $ 3,636,669     $ 27,655     $ (3,607,223 )   $ (57,101 )   $ —     $ —       —     $ 24,425     $ —  

MassMutual Blue Chip Growth Fund, Class I

     11,813,796       5,401,984       (3,269,130 )     (5,954,898 )     218,568       8,210,320       438,117       —       2,110,494  

MassMutual Core Bond Fund, Class I

     17,508,095       1,994,226       (4,116,705 )     (2,868,206 )     (321,855 )     12,195,555       1,340,171       388,855       252,957  

MassMutual Diversified Value Fund, Class I

     8,517,510       1,160,544       (1,470,756 )     (1,808,448 )     251,189       6,650,039       611,779       154,829       873,467  

MassMutual Equity Opportunities Fund , Class I

     14,092,888       1,912,011       (3,046,061 )     (2,725,321 )     486,487       10,720,004       643,458       167,054       1,454,297  

MassMutual Fundamental Value Fund, Class I

     9,805,210       1,893,415       (1,959,891 )     (1,852,022 )     91,703       7,978,415       934,241       69,812       1,109,288  

MassMutual Global Floating Rate Fund, Class I

     —       3,700,188       (1,200,000 )     (217,710 )     (30,497 )     2,251,981       266,507       73,072       —  

MassMutual Global Floating Rate Fund, Class Y

     —       21,257       (19,894 )     —       (1,363 )     —       —       29,593       —  

 

189

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

60/40 Allocation Fund (Continued)

                                                        

MassMutual Growth Opportunities Fund, Class I

   $ 3,995,702     $ 911,498     $ (589,016 )   $ (2,386,733 )   $ (149,820 )   $ 1,781,631       390,709     $ —     $ 842,115  

MassMutual High Yield Fund, Class I

     3,883,987       2,170,232       (1,105,997 )     (824,498 )     (173,378 )     3,950,346       543,376       406,716       —  

MassMutual Inflation-Protected and Income Fund, Class I

     1,990,383       180,519       (1,512,996 )     (198,427 )     (35,818 )     423,661       45,311       32,646       99,924  

MassMutual International Equity Fund, Class I

     3,231,405       477,780       (920,704 )     (461,303 )     (378,009 )     1,949,169       272,993       61,387       304,457  

MassMutual Mid Cap Growth Fund, Class I

     4,047,813       815,797       (598,147 )     (1,753,325 )     48,493       2,560,631       138,039       —       741,268  

MassMutual Mid-Cap Value Fund, Class I

     4,894,347       1,206,861       (575,287 )     (1,639,823 )     122,315       4,008,413       379,585       48,571       1,083,761  

MassMutual Overseas Fund, Class I

     6,369,737       2,449,442       (2,377,570 )     (2,141,436 )     124,444       4,424,617       637,553       84,369       488,905  

MassMutual Short-Duration Bond Fund, Class I

     14,351,051       822,730       (2,589,755 )     (1,659,753 )     (213,335 )     10,710,938       1,235,402       575,613       —  

MassMutual Small Cap Growth Equity Fund, Class I

     1,299,312       299,640       (180,335 )     (599,154 )     15,180       834,643       69,786       —       270,294  

MassMutual Small Cap Value Equity Fund, Class I

     3,948,706       982,244       (1,358,644 )     (1,141,737 )     (173,068 )     2,257,501       259,782       —       923,880  

MassMutual Strategic Bond Fund, Class I

     11,149,866       2,744,475       (3,432,836 )     (1,897,642 )     (388,452 )     8,175,411       960,683       419,185       197,539  

MassMutual Strategic Emerging Markets Fund, Class I

     775,023       242,967       (457,806 )     (232,593 )     (57,925 )     269,666       32,846       9,244       84,271  

MassMutual Total Return Bond Fund, Class I

     21,917,982       3,767,381       (5,900,576 )     (3,053,176 )     (447,668 )     16,283,943       1,933,960       348,817       41,485  

MM Equity Asset Fund, Class I

     42,281,088       11,895,559       (10,515,033 )     (14,711,499 )     1,210,672       30,160,787       4,308,684       511,810       8,207,407  
    $ 189,510,570     $ 45,078,405     $ (50,804,362 )   $ (48,184,805 )   $ 197,863     $ 135,797,671             $ 3,405,998     $ 19,085,809  

80/20 Allocation Fund

                                                                

Barings Global Floating Rate Fund, Class Y*

   $ 2,919,474     $ 22,201     $ (2,895,513 )   $ (46,162 )   $ —     $ —       —     $ 19,608     $ —  

MassMutual Blue Chip Growth Fund, Class I

     10,463,108       5,028,755       (2,809,018 )     (5,475,514 )     176,220       7,383,551       394,000       —       1,888,811  

MassMutual Core Bond Fund, Class I

     5,553,330       1,232,980       (1,852,377 )     (867,891 )     (135,847 )     3,930,195       431,890       122,946       79,978  

MassMutual Diversified Value Fund, Class I

     6,101,531       1,204,430       (1,184,740 )     (1,426,171 )     269,234       4,964,284       456,696       111,719       630,262  

MassMutual Equity Opportunities Fund, Class I

     9,751,065       2,029,867       (2,312,298 )     (1,924,839 )     309,309       7,853,104       471,375       116,455       1,013,808  

MassMutual Fundamental Value Fund, Class I

     7,582,006       1,899,626       (1,686,793 )     (1,523,068 )     118,668       6,390,439       748,295       54,166       860,687  

MassMutual Global Floating Rate Fund, Class I

     —       2,969,744       (1,000,000 )     (171,395 )     (25,414 )     1,772,935       209,815       57,939       —  

MassMutual Global Floating Rate Fund, Class Y

     —       17,064       (16,291 )     —       (773 )     —       —       23,757       —  

MassMutual Growth Opportunities Fund, Class I

     3,282,271       916,450       (512,522 )     (1,956,938 )     (181,283 )     1,547,978       339,469       —       699,260  

MassMutual High Yield Fund, Class I

     3,302,143       1,525,355       (46,471 )     (866,452 )     (2,036 )     3,912,539       538,176       350,989       —  

MassMutual Inflation-Protected and Income Fund, Class I

     625,407       114,891       (531,403 )     (52,353 )     (19,565 )     136,977       14,650       10,315       31,573  

 

190

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

80/20 Allocation Fund (Continued)

                                                                

MassMutual International Equity Fund, Class I

   $ 2,297,789     $ 681,954     $ (1,022,180 )   $ (216,272 )   $ (368,196 )   $ 1,373,095       192,310     $ 43,353     $ 215,015  

MassMutual Mid Cap Growth Fund, Class I

     4,294,852       1,017,689       (523,228 )     (1,948,969 )     76,128       2,916,472       157,222       —       799,735  

MassMutual Mid-Cap Value Fund, Class I

     4,208,767       1,189,437       (504,064 )     (1,439,491 )     104,322       3,558,971       337,024       42,220       942,062  

MassMutual Overseas Fund, Class I

     7,760,610       3,784,146       (2,832,659 )     (2,753,812 )     112,312       6,070,597       874,726       104,469       605,382  

MassMutual Short-Duration Bond Fund, Class I

     6,637,743       695,581       (1,042,238 )     (831,945 )     (66,544 )     5,392,597       621,984       275,135       —  

MassMutual Small Cap Growth Equity Fund, Class I

     1,356,496       351,196       (154,922 )     (636,029 )     9,529       926,270       77,447       —       284,996  

MassMutual Small Cap Value Equity Fund, Class I

     3,175,407       877,625       (302,685 )     (1,134,928 )     (10,695 )     2,604,724       299,738       —       745,223  

MassMutual Strategic Bond Fund, Class I

     4,073,596       1,086,449       (1,548,579 )     (648,082 )     (173,185 )     2,790,199       327,873       153,152       72,173  

MassMutual Strategic Emerging Markets Fund, Class I

     3,424,859       801,813       (624,485 )     (1,469,899 )     (127,843 )     2,004,445       244,147       44,949       409,797  

MassMutual Total Return Bond Fund, Class I

     8,822,195       3,162,073       (4,665,748 )     (869,011 )     (412,344 )     6,037,165       717,003       140,992       16,768  

MM Equity Asset Fund, Class I

     32,928,612       11,182,327       (9,279,960 )     (11,380,824 )     672,976       24,123,131       3,446,162       400,059       6,415,365  

 

   $ 128,561,261     $ 41,791,653     $ (37,348,174 )   $ (37,640,045 )   $ 324,973     $ 95,689,668             $ 2,072,223     $ 15,710,895  

MM RetireSMART by JPMorgan In Retirement Fund

                                        

Barings Global Floating Rate Fund, Class Y*

   $ 1,464,503     $ 11,087     $ (1,420,762 )   $ (55,143 )   $ 315     $ —       —     $ 11,087     $ —  

MassMutual Blue Chip Growth Fund, Class I

     1,778,027       1,592,850       (939,725 )     (953,719 )     7,574       1,485,007       79,243       —       312,217  

MassMutual Core Bond Fund, Class I

     22,877,013       7,263,241       (9,683,302 )     (3,433,792 )     (770,534 )     16,252,626       1,786,003       492,849       320,607  

MassMutual Diversified Value Fund, Class I

     1,931,872       1,014,463       (1,677,309 )     (622,796 )     250,077       896,307       82,457       36,134       203,854  

MassMutual Equity Opportunities Fund, Class I

     2,816,597       1,538,884       (1,448,828 )     (840,704 )     314,140       2,380,089       142,862       34,532       300,622  

MassMutual Fundamental Value Fund, Class I

     1,761,881       1,185,471       (1,410,838 )     (610,006 )     274,670       1,201,178       140,653       12,550       199,424  

MassMutual Global Floating Rate Fund, Class I

     —       1,371,900       (1,134,850 )     (14,832 )     (44,111 )     178,107       21,078       22,265       —  

MassMutual Global Floating Rate Fund, Class Y

     —       8,331       (41,340 )     —       33,009       —       —       11,390       —  

MassMutual Growth Opportunities Fund, Class I

     538,449       614,017       (283,711 )     (272,349 )     (149,767 )     446,639       97,947       —       112,760  

MassMutual High Yield Fund, Class I

     12,606,632       2,058,381       (8,262,949 )     (1,897,395 )     (143,329 )     4,361,340       599,909       967,968       —  

MassMutual Inflation-Protected and Income Fund, Class I

     8,797,706       2,160,551       (3,262,098 )     (1,472,296 )     (5,708 )     6,218,155       665,043       144,241       441,485  

MassMutual International Equity Fund, Class I

     1,838,547       1,346,623       (1,146,617 )     (408,987 )     (142,594 )     1,486,972       208,259       37,633       186,650  

MassMutual Mid Cap Growth Fund, Class I

     806,815       587,720       (342,084 )     (422,527 )     69,088       699,012       37,683       —       137,299  

MassMutual Mid-Cap Value Fund, Class I

     798,961       440,380       (300,139 )     (304,950 )     63,001       697,253       66,028       7,544       168,335  

 

191

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM RetireSMART by JPMorgan In Retirement Fund (Continued)

                                        

MassMutual Overseas Fund, Class I

   $ 4,911,840     $ 2,447,280     $ (3,367,486 )   $ (1,606,054 )   $ 202,408     $ 2,587,988       372,909     $ 67,656     $ 392,058  

MassMutual Small Cap Growth Equity Fund, Class I

     459,540       650,055       (317,494 )     (177,931 )     (109,499 )     504,671       42,197       —       119,781  

MassMutual Small Cap Value Equity Fund, Class I

     611,330       772,235       (436,397 )     (290,249 )     7,134       664,053       76,416       —       178,892  

MassMutual Strategic Bond Fund, Class I

     7,695,134       2,674,565       (3,278,454 )     (1,233,795 )     (364,175 )     5,493,275       645,508       284,660       134,145  

MassMutual Strategic Emerging Markets Fund, Class I

     2,478,194       1,783,331       (1,635,359 )     (536,060 )     (576,139 )     1,513,967       184,405       30,363       276,810  

MassMutual Total Return Bond Fund, Class I

     7,695,134       2,310,390       (3,278,841 )     (889,481 )     (350,096 )     5,487,106       651,675       118,460       14,089  

MM Equity Asset Fund, Class I

     8,830,242       6,413,068       (4,779,689 )     (3,375,055 )     334,006       7,422,572       1,060,367       103,707       1,663,013  
    $ 90,698,417     $ 38,244,823     $ (48,448,272 )   $ (19,418,121 )   $ (1,100,530 )   $ 59,976,317             $ 2,383,039     $ 5,162,041  

MM RetireSMART by JPMorgan 2020 Fund

                                                

Barings Global Floating Rate Fund, Class Y*

   $ 3,366,161     $ 24,979     $ (3,311,648 )   $ (83,170 )   $ 3,678     $ —       —     $ 24,980     $ —  

MassMutual Blue Chip Growth Fund, Class I

     4,067,993       3,254,075       (2,469,415 )     (1,985,180 )     19,470       2,886,943       154,052       —       680,539  

MassMutual Core Bond Fund, Class I

     52,339,321       13,596,564       (25,627,624 )     (6,787,662 )     (1,885,686 )     31,634,913       3,476,364       1,072,994       698,001  

MassMutual Diversified Value Fund, Class I

     4,426,230       1,715,035       (3,632,022 )     (1,595,358 )     833,249       1,747,134       160,730       79,015       445,764  

MassMutual Equity Opportunities Fund, Class I

     6,453,314       2,581,969       (3,335,802 )     (1,643,088 )     583,235       4,639,628       278,489       75,675       658,791  

MassMutual Fundamental Value Fund, Class I

     4,030,871       2,150,815       (3,169,383 )     (1,431,988 )     755,017       2,335,332       273,458       27,347       434,533  

MassMutual Global Floating Rate Fund, Class I

     —       2,892,118       (2,427,588 )     (27,629 )     (92,384 )     344,517       40,771       45,594       —  

MassMutual Global Floating Rate Fund, Class Y

     —       17,991       (50,893 )     —       32,902       —       —       24,434       —  

MassMutual Growth Opportunities Fund, Class I

     1,233,777       1,171,217       (649,034 )     (662,362 )     (222,952 )     870,646       190,931       —       246,815  

MassMutual High Yield Fund, Class I

     28,885,751       3,007,363       (19,130,416 )     (3,690,298 )     (582,564 )     8,489,836       1,167,790       2,081,779       —  

MassMutual Inflation-Protected and Income Fund, Class I

     20,158,305       3,300,010       (8,336,591 )     (3,204,799 )     185,717       12,102,642       1,294,400       315,306       965,072  

MassMutual International Equity Fund, Class I

     4,210,086       2,588,182       (2,761,230 )     (688,062 )     (441,862 )     2,907,114       407,159       82,358       408,466  

MassMutual Mid Cap Growth Fund, Class I

     1,848,585       1,067,796       (820,404 )     (909,381 )     175,973       1,362,569       73,454       —       300,348  

MassMutual Mid-Cap Value Fund, Class I

     1,830,512       745,961       (717,759 )     (703,031 )     203,477       1,359,160       128,708       16,498       368,104  

MassMutual Overseas Fund, Class I

     11,230,700       5,319,795       (8,649,354 )     (3,382,154 )     510,038       5,029,025       724,643       147,507       854,787  

MassMutual Small Cap Growth Equity Fund, Class I

     1,052,879       1,267,244       (735,299 )     (418,615 )     (182,456 )     983,753       82,254       —       262,120  

MassMutual Small Cap Value Equity Fund, Class I

     1,400,643       1,472,173       (999,340 )     (688,141 )     109,101       1,294,436       148,957       —       391,289  

MassMutual Strategic Bond Fund, Class I

     17,605,362       4,974,962       (8,575,341 )     (2,426,059 )     (886,764 )     10,692,160       1,256,423       619,976       292,162  

 

192

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM RetireSMART by JPMorgan 2020 Fund (Continued)

                                                

MassMutual Strategic Emerging Markets Fund, Class I

   $ 5,674,990     $ 3,149,388     $ (3,503,244 )   $ (1,625,618 )   $ (734,935 )   $ 2,960,581       360,607     $ 66,479     $ 606,086  

MassMutual Total Return Bond Fund, Class I

     17,605,362       4,338,077       (8,726,701 )     (1,738,915 )     (797,692 )     10,680,131       1,268,424       257,996       30,684  

MM Equity Asset Fund, Class I

     20,202,269       12,773,315       (12,285,298 )     (7,554,844 )     1,295,132       14,430,574       2,061,511       225,968       3,623,638  
    $ 207,623,111     $ 71,409,029     $ (119,914,386 )   $ (41,246,354 )   $ (1,120,306 )   $ 116,751,094             $ 5,163,906     $ 11,267,199  

MM RetireSMART by JPMorgan 2025 Fund

                                                        

Barings Global Floating Rate Fund, Class Y

   $ 2,057,828     $ 28,022     $ (2,026,349 )   $ (59,501 )   $ —     $ —       —     $ 15,687     $ —  

MassMutual Blue Chip Growth Fund, Class I

     4,554,999       3,191,152       (2,187,160 )     (2,306,197 )     24,922       3,277,716       174,905       —       801,532  

MassMutual Core Bond Fund, Class I

     36,738,296       12,051,643       (15,173,717 )     (5,510,674 )     (1,408,415 )     26,697,133       2,933,751       808,233       525,770  

MassMutual Diversified Value Fund, Class I

     4,944,685       1,398,914       (3,478,418 )     (1,696,242 )     824,290       1,993,229       183,370       93,050       524,944  

MassMutual Equity Opportunities Fund, Class I

     7,204,736       1,916,591       (2,599,624 )     (1,464,157 )     230,154       5,287,700       317,389       89,131       775,933  

MassMutual Fundamental Value Fund, Class I

     4,513,424       1,902,945       (2,984,607 )     (1,510,018 )     731,117       2,652,861       310,639       32,220       511,978  

MassMutual Global Floating Rate Fund, Class I

     —       1,981,455       (1,591,615 )     (23,391 )     (75,891 )     290,558       34,386       36,840       —  

MassMutual Global Floating Rate Fund, Class Y

     —       16,151       (44,990 )     —       28,839       —       —       16,153       —  

MassMutual Growth Opportunities Fund, Class I

     1,377,094       1,238,861       (591,474 )     (795,532 )     (237,442 )     991,507       217,436       —       290,017  

MassMutual High Yield Fund, Class I

     16,722,405       2,260,142       (8,830,041 )     (2,746,345 )     (120,629 )     7,285,532       1,002,136       1,327,115       —  

MassMutual Inflation-Protected and Income Fund, Class I

     6,155,961       2,545,851       (1,991,316 )     (1,131,918 )     (46,122 )     5,532,456       591,707       103,733       317,499  

MassMutual International Equity Fund, Class I

     4,686,905       2,511,864       (2,586,657 )     (898,766 )     (433,074 )     3,280,272       459,422       96,616       479,179  

MassMutual Mid Cap Growth Fund, Class I

     2,097,235       1,048,770       (734,439 )     (997,650 )     105,729       1,519,645       81,922       —       366,906  

MassMutual Mid-Cap Value Fund, Class I

     2,077,797       686,580       (648,999 )     (766,469 )     166,889       1,515,798       143,541       20,097       448,413  

MassMutual Overseas Fund, Class I

     12,525,152       4,427,759       (7,840,317 )     (3,988,913 )     565,915       5,689,596       819,827       173,614       1,006,069  

MassMutual Small Cap Growth Equity Fund, Class I

     1,192,746       1,198,489       (621,706 )     (536,243 )     (143,091 )     1,090,195       91,153       —       291,542  

MassMutual Small Cap Value Equity Fund, Class I

     1,582,634       1,370,522       (861,562 )     (797,993 )     143,831       1,437,432       165,412       —       433,635  

MassMutual Strategic Bond Fund, Class I

     12,365,444       4,340,513       (5,058,981 )     (1,991,732 )     (641,914 )     9,013,330       1,059,146       466,984       220,064  

MassMutual Strategic Emerging Markets Fund, Class I

     6,471,157       3,478,808       (2,497,016 )     (2,733,434 )     (341,201 )     4,378,314       533,290       81,586       743,818  

MassMutual Total Return Bond Fund, Class I

     12,365,444       3,846,601       (5,173,025 )     (1,417,367 )     (618,464 )     9,003,189       1,069,262       194,332       23,112  

MM Equity Asset Fund, Class I

     22,626,948       11,520,395       (10,492,381 )     (8,449,194 )     1,201,308       16,407,076       2,343,868       266,573       4,274,763  
    $ 162,260,890     $ 62,962,028     $ (78,014,394 )   $ (39,821,736 )   $ (43,249 )   $ 107,343,539             $ 3,821,964     $ 12,035,174  

 

193

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM RetireSMART by JPMorgan 2030 Fund

                                                        

MassMutual Blue Chip Growth Fund, Class I

   $ 11,833,758     $ 8,705,870     $ (5,302,170 )   $ (6,297,383 )   $ 186,572     $ 9,126,647       487,014     $ —     $ 2,152,778  

MassMutual Core Bond Fund, Class I

     61,141,813       25,008,462       (26,170,167 )     (9,546,784 )     (2,455,606 )     47,977,718       5,272,277       1,380,773       898,217  

MassMutual Diversified Value Fund, Class I

     12,861,927       3,867,274       (8,894,332 )     (3,950,357 )     1,615,416       5,499,928       505,973       248,812       1,403,668  

MassMutual Equity Opportunities Fund, Class I

     18,756,945       5,481,002       (6,329,980 )     (3,532,738 )     218,283       14,593,512       875,961       237,642       2,068,800  

MassMutual Fundamental Value Fund, Class I

     11,724,657       5,149,762       (7,400,819 )     (4,188,946 )     2,094,579       7,379,233       864,079       86,509       1,374,612  

MassMutual Growth Opportunities Fund, Class I

     3,591,139       3,378,738       (1,484,693 )     (2,197,172 )     (552,078 )     2,735,934       599,986       —       775,048  

MassMutual High Yield Fund, Class I

     29,983,563       5,013,483       (16,196,190 )     (4,874,115 )     (362,285 )     13,564,456       1,865,812       2,420,575       —  

MassMutual International Equity Fund, Class I

     12,179,451       6,447,732       (5,905,927 )     (2,615,257 )     (976,619 )     9,129,380       1,278,625       258,435       1,281,748  

MassMutual Mid Cap Growth Fund, Class I

     5,485,186       2,895,154       (1,871,263 )     (2,540,842 )     148,747       4,116,982       221,940       —       992,270  

MassMutual Mid-Cap Value Fund, Class I

     5,434,357       1,982,370       (1,687,180 )     (1,812,794 )     189,789       4,106,542       388,877       54,487       1,215,772  

MassMutual Overseas Fund, Class I

     35,777,659       12,434,421       (22,455,002 )     (13,119,848 )     3,332,946       15,970,176       2,301,178       521,867       3,024,157  

MassMutual Premier Inflation-Protected and Income Fund, Class I

     —       2,482,744       (418,497 )     (182,766 )     (24,410 )     1,857,071       198,617       —       —  

MassMutual Small Cap Growth Equity Fund, Class I

     3,126,114       3,124,749       (1,523,237 )     (1,585,695 )     (167,968 )     2,973,963       248,659       —       755,469  

MassMutual Small Cap Value Equity Fund, Class I

     4,158,561       3,570,101       (2,096,200 )     (2,060,200 )     351,723       3,923,985       451,552       —       1,128,220  

MassMutual Strategic Bond Fund, Class I

     20,588,259       9,180,301       (8,990,752 )     (3,381,516 )     (1,197,849 )     16,198,443       1,903,460       798,882       376,470  

MassMutual Strategic Emerging Markets Fund, Class I

     16,990,386       9,216,754       (5,273,435 )     (8,087,385 )     (387,231 )     12,459,089       1,517,550       223,253       2,035,382  

MassMutual Total Return Bond Fund, Class I

     20,588,259       8,335,918       (9,192,676 )     (2,494,297 )     (1,056,952 )     16,180,252       1,921,645       332,431       39,536  

MM Equity Asset Fund, Class I

     58,860,073       30,980,828       (24,643,583 )     (22,490,864 )     2,954,212       45,660,666       6,522,952       714,695       11,460,870  
    $ 333,082,107     $ 147,255,663     $ (155,836,103 )   $ (94,958,959 )   $ 3,911,269     $ 233,453,977             $ 7,278,361     $ 30,983,017  

MM RetireSMART by JPMorgan 2035 Fund

                                                        

MassMutual Blue Chip Growth Fund, Class I

   $ 9,659,995     $ 6,496,484     $ (3,998,139 )   $ (4,941,074 )   $ 137,128     $ 7,354,394       392,444     $ —     $ 1,691,458  

MassMutual Core Bond Fund, Class I

     6,254,943       4,093,444       (2,856,127 )     (1,047,472 )     (294,527 )     6,150,261       675,853       148,560       96,640  

MassMutual Diversified Value Fund, Class I

     6,369,167       1,786,358       (4,088,476 )     (1,783,018 )     678,419       2,962,450       272,534       118,198       666,814  

MassMutual Equity Opportunities Fund, Class I

     6,383,644       1,836,252       (2,232,835 )     (1,174,758 )     97,482       4,909,785       294,705       77,586       675,425  

MassMutual Fundamental Value Fund, Class I

     6,377,513       2,308,791       (4,147,801 )     (2,080,045 )     1,011,182       3,469,640       406,281       45,349       720,588  

MassMutual Growth Opportunities Fund, Class I

     3,261,242       2,815,061       (1,219,096 )     (2,012,943 )     (385,114 )     2,459,150       539,287       —       675,169  

MassMutual High Yield Fund, Class I

     10,349,549       1,561,576       (6,553,440 )     (1,490,955 )     (145,635 )     3,721,095       511,843       774,668       —  

 

194

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM RetireSMART by JPMorgan 2035 Fund (Continued)

MassMutual International Equity Fund, Class I

   $ 8,922,230     $ 3,728,599     $ (4,041,007 )   $ (1,708,183 )   $ (732,878 )   $ 6,168,761       863,972     $ 179,010     $ 887,828  

MassMutual Mid Cap Growth Fund, Class I

     2,937,680       1,412,090       (872,572 )     (1,354,355 )     86,574       2,209,417       119,106       —       524,093  

MassMutual Mid-Cap Value Fund, Class I

     2,910,387       1,008,257       (854,799 )     (933,704 )     73,677       2,203,818       208,695       28,785       642,292  

MassMutual Overseas Fund, Class I

     23,599,269       6,622,258       (14,414,685 )     (8,294,313 )     2,301,715       9,814,244       1,414,156       320,844       1,859,252  

MassMutual Small Cap Growth Equity Fund, Class I

     1,676,740       1,543,368       (716,159 )     (838,807 )     (72,529 )     1,592,613       133,162       —       387,240  

MassMutual Small Cap Value Equity Fund, Class I

     2,219,180       1,759,234       (991,500 )     (1,053,971 )     165,987       2,098,930       241,534       —       578,777  

MassMutual Strategic Bond Fund, Class I

     11,737,204       7,417,732       (5,837,037 )     (1,982,408 )     (862,413 )     10,473,078       1,230,679       477,482       225,011  

MassMutual Strategic Emerging Markets Fund, Class I

     4,894,612       2,792,374       (1,606,102 )     (2,286,720 )     (128,700 )     3,665,464       446,463       63,028       574,623  

MassMutual Total Return Bond Fund, Class I

     11,737,204       6,942,498       (5,995,927 )     (1,406,405 )     (820,080 )     10,457,290       1,241,958       198,759       23,639  

MM Equity Asset Fund, Class I

     31,981,431       16,100,245       (13,348,276 )     (11,508,437 )     1,298,107       24,523,070       3,503,296       374,637       6,007,699  
    $ 151,271,990     $ 70,224,621     $ (73,773,978 )   $ (45,897,568 )   $ 2,408,395     $ 104,233,460             $ 2,806,906     $ 16,236,548  

MM RetireSMART by JPMorgan 2040 Fund

                                                

MassMutual Blue Chip Growth Fund, Class I

   $ 17,425,443     $ 11,521,217     $ (6,623,551 )   $ (9,020,970 )   $ 192,356     $ 13,494,495       720,090     $ —     $ 3,076,706  

MassMutual Core Bond Fund, Class I

     5,249,146       4,465,701       (3,112,608 )     (855,756 )     (401,033 )     5,345,450       587,412       125,474       81,623  

MassMutual Diversified Value Fund, Class I

     11,469,626       3,316,097       (7,315,356 )     (3,096,166 )     1,047,658       5,421,859       498,791       214,149       1,208,120  

MassMutual Equity Opportunities Fund, Class I

     11,495,330       3,470,759       (3,980,851 )     (2,176,883 )     186,204       8,994,559       539,889       140,565       1,223,687  

MassMutual Fundamental Value Fund, Class I

     11,509,078       4,241,960       (7,420,524 )     (3,564,806 )     1,600,262       6,365,970       745,430       82,437       1,309,921  

MassMutual Growth Opportunities Fund, Class I

     5,865,429       5,063,855       (2,020,050 )     (3,711,415 )     (699,379 )     4,498,440       986,500       —       1,224,927  

MassMutual High Yield Fund, Class I

     14,868,449       1,738,724       (9,894,577 )     (2,014,519 )     (58,381 )     4,639,696       638,198       1,060,481       —  

MassMutual International Equity Fund, Class I

     16,092,842       6,843,146       (6,812,921 )     (2,760,219 )     (1,752,348 )     11,610,500       1,626,120       326,239       1,618,029  

MassMutual Mid Cap Growth Fund , Class I

     5,358,896       2,414,363       (1,420,849 )     (2,569,083 )     223,228       4,006,555       215,987       —       964,810  

MassMutual Mid-Cap Value Fund, Class I

     5,308,874       1,789,303       (1,518,075 )     (1,701,479 )     117,747       3,996,370       378,444       52,992       1,182,414  

MassMutual Overseas Fund, Class I

     44,061,217       12,036,261       (26,050,741 )     (15,198,105 )     3,691,676       18,540,308       2,671,514       604,264       3,501,646  

MassMutual Small Cap Growth Equity Fund, Class I

     3,046,551       2,695,222       (1,178,508 )     (1,608,368 )     (56,823 )     2,898,074       242,314       —       701,472  

MassMutual Small Cap Value Equity Fund, Class I

     4,059,060       3,030,031       (1,642,038 )     (1,918,238 )     298,764       3,827,579       440,458       —       1,049,147  

MassMutual Strategic Bond Fund, Class I

     9,821,574       9,360,370       (6,463,357 )     (1,526,959 )     (1,133,927 )     10,057,701       1,181,868       403,250       190,030  

MassMutual Strategic Emerging Markets Fund, Class I

     8,893,437       4,723,455       (2,496,990 )     (4,251,114 )     (243,133 )     6,625,655       807,023       115,724       1,055,038  

 

195

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM RetireSMART by JPMorgan 2040 Fund (Continued)

MassMutual Total Return Bond Fund, Class I

   $ 9,821,574     $ 8,977,504     $ (6,639,375 )   $ (1,149,492 )   $ (972,230 )   $ 10,037,981       1,192,159     $ 167,795     $ 19,956  

MM Equity Asset Fund, Class I

     57,699,866       28,585,898       (22,509,216 )     (20,836,215 )     2,090,716       45,031,049       6,433,007       681,610       10,930,338  
    $ 242,046,392     $ 114,273,866     $ (117,099,587 )   $ (77,959,787 )   $ 4,131,357     $ 165,392,241             $ 3,974,980     $ 29,337,864  

MM RetireSMART by JPMorgan 2045 Fund

                                                        

MassMutual Blue Chip Growth Fund, Class I

   $ 8,413,227     $ 5,454,023     $ (3,001,376 )   $ (4,377,360 )   $ 142,708     $ 6,631,222       353,854     $ —     $ 1,460,038  

MassMutual Core Bond Fund, Class I

     230,403       1,788,669       (627,381 )     (132,134 )     (52,082 )     1,207,475       132,690       5,462       3,553  

MassMutual Diversified Value Fund, Class I

     5,541,471       1,679,917       (3,575,920 )     (1,497,613 )     519,481       2,667,336       245,385       101,724       573,874  

MassMutual Equity Opportunities Fund, Class I

     5,553,847       1,738,850       (1,902,485 )     (1,053,960 )     92,384       4,428,636       265,825       66,789       581,430  

MassMutual Fundamental Value Fund, Class I

     5,556,346       2,238,902       (3,718,639 )     (1,747,875 )     802,147       3,130,881       366,614       39,155       622,166  

MassMutual Growth Opportunities Fund, Class I

     2,833,639       2,457,141       (958,494 )     (1,787,767 )     (326,569 )     2,217,950       486,392       —       579,955  

MassMutual High Yield Fund, Class I

     5,345,441       545,532       (4,205,839 )     (570,662 )     (56,938 )     1,057,534       145,466       344,153       —  

MassMutual International Equity Fund, Class I

     7,757,333       3,507,486       (3,362,287 )     (1,554,858 )     (624,078 )     5,723,596       801,624       154,678       767,149  

MassMutual Mid Cap Growth Fund, Class I

     2,596,536       1,169,159       (660,847 )     (1,223,205 )     93,723       1,975,366       106,489       —       458,684  

MassMutual Mid-Cap Value Fund, Class I

     2,572,320       931,805       (769,304 )     (814,626 )     50,126       1,970,321       186,583       25,208       562,461  

MassMutual Overseas Fund, Class I

     21,784,728       6,588,503       (13,618,336 )     (7,312,878 )     1,664,024       9,106,041       1,312,110       292,927       1,697,478  

MassMutual Small Cap Growth Equity Fund, Class I

     1,479,761       1,279,962       (536,804 )     (766,024 )     (28,009 )     1,428,886       119,472       —       329,987  

MassMutual Small Cap Value Equity Fund, Class I

     1,960,909       1,454,882       (759,184 )     (919,463 )     144,138       1,881,282       216,488       —       492,231  

MassMutual Strategic Bond Fund, Class I

     431,294       3,586,914       (1,371,605 )     (254,911 )     (120,622 )     2,271,070       266,871       17,521       8,257  

MassMutual Strategic Emerging Markets Fund, Class I

     4,307,963       2,370,571       (1,227,515 )     (2,086,339 )     (83,966 )     3,280,714       399,600       55,102       502,373  

MassMutual Total Return Bond Fund, Class I

     431,294       3,583,015       (1,409,100 )     (231,140 )     (105,538 )     2,268,531       269,422       7,291       867  

MM Equity Asset Fund, Class I

     27,849,409       13,766,606       (10,528,190 )     (10,134,166 )     1,153,363       22,107,022       3,158,146       323,795       5,192,388  
    $ 104,645,921     $ 54,141,937     $ (52,233,306 )   $ (36,464,981 )   $ 3,264,292     $ 73,353,863             $ 1,433,805     $ 13,832,891  

MM RetireSMART by JPMorgan 2050 Fund

                                                

MassMutual Blue Chip Growth Fund, Class I

   $ 12,650,523     $ 8,722,678     $ (4,209,069 )   $ (6,830,736 )   $ 130,362     $ 10,463,758       558,365     $ —     $ 2,270,086  

MassMutual Core Bond Fund, Class I

     346,744       2,416,002       (989,921 )     (168,004 )     (86,387 )     1,518,434       166,861       8,385       5,454  

MassMutual Diversified Value Fund, Class I

     8,325,684       2,807,058       (5,366,837 )     (2,256,811 )     689,459       4,198,553       386,251       158,353       893,344  

MassMutual Equity Opportunities Fund, Class I

     8,344,378       2,971,306       (2,810,430 )     (1,650,644 )     116,504       6,971,114       418,434       104,125       906,463  

MassMutual Fundamental Value Fund, Class I

     8,355,026       3,390,584       (5,289,033 )     (2,558,106 )     1,041,819       4,940,290       578,488       60,849       966,878  

MassMutual Growth Opportunities Fund, Class I

     4,257,864       3,947,894       (1,380,327 )     (2,824,407 )     (509,967 )     3,491,057       765,583       —       906,332  

 

196

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM RetireSMART by JPMorgan 2050 Fund (Continued)

                                                

MassMutual High Yield Fund, Class I

   $ 8,031,944     $ 853,642     $ (6,609,582 )   $ (831,596 )   $ (102,896 )   $ 1,341,512       184,527     $ 523,255     $ —  

MassMutual International Equity Fund, Class I

     11,655,581       5,728,960       (4,941,255 )     (2,124,961 )     (1,304,104 )     9,014,221       1,262,496       240,575       1,193,166  

MassMutual Mid Cap Growth Fund, Class I

     3,901,346       1,912,473       (911,437 )     (1,911,988 )     128,081       3,118,475       168,112       —       716,008  

MassMutual Mid-Cap Value Fund, Class I

     3,864,766       1,542,189       (1,088,320 )     (1,264,727 )     56,667       3,110,575       294,562       39,318       877,320  

MassMutual Overseas Fund, Class I

     32,756,086       10,392,390       (19,763,271 )     (10,889,371 )     1,901,103       14,396,937       2,074,487       457,033       2,648,458  

MassMutual Small Cap Growth Equity Fund, Class I

     2,223,382       2,055,306       (779,709 )     (1,212,244 )     (37,592 )     2,249,143       188,055       —       515,403  

MassMutual Small Cap Value Equity Fund, Class I

     2,946,276       2,355,216       (1,121,799 )     (1,439,528 )     221,179       2,961,344       340,776       —       768,199  

MassMutual Strategic Bond Fund, Class I

     649,075       4,905,404       (2,177,111 )     (319,724 )     (200,019 )     2,857,625       335,796       26,975       12,711  

MassMutual Strategic Emerging Markets Fund, Class I

     6,473,052       3,855,078       (1,717,971 )     (3,202,200 )     (216,033 )     5,191,926       632,391       85,756       781,835  

MassMutual Total Return Bond Fund, Class I

     649,075       4,895,597       (2,225,352 )     (289,547 )     (175,341 )     2,854,432       339,006       11,224       1,335  

MM Equity Asset Fund, Class I

     41,876,518       21,931,026       (14,687,993 )     (15,365,313 )     1,102,344       34,856,582       4,979,512       503,022       8,066,493  
    $ 157,307,320     $ 84,682,803     $ (76,069,417 )   $ (55,139,907 )   $ 2,755,179     $ 113,535,978             $ 2,218,870     $ 21,529,485  

MM RetireSMART by JPMorgan 2055 Fund

                                                

MassMutual Blue Chip Growth Fund, Class I

   $ 4,249,517     $ 3,027,688     $ (1,588,022 )   $ (2,252,561 )   $ 75,058     $ 3,511,680       187,390     $ —     $ 718,705  

MassMutual Core Bond Fund, Class I

     116,441       810,185       (333,395 )     (55,638 )     (28,015 )     509,578       55,998       2,696       1,754  

MassMutual Diversified Value Fund, Class I

     2,796,332       999,830       (1,878,784 )     (775,332 )     266,022       1,408,068       129,537       49,842       281,180  

MassMutual Equity Opportunities Fund, Class I

     2,802,504       1,053,814       (1,018,113 )     (550,768 )     50,463       2,337,900       140,330       32,735       284,980  

MassMutual Fundamental Value Fund, Class I

     2,806,542       1,226,468       (1,879,897 )     (888,315 )     393,196       1,657,994       194,145       19,276       306,299  

MassMutual Growth Opportunities Fund, Class I

     1,429,901       1,348,173       (527,377 )     (894,087 )     (185,759 )     1,170,851       256,766       —       283,571  

MassMutual High Yield Fund, Class I

     2,697,370       309,239       (2,252,932 )     (267,595 )     (35,894 )     450,188       61,924       167,647       —  

MassMutual International Equity Fund, Class I

     3,914,425       2,078,549       (1,848,653 )     (778,668 )     (344,036 )     3,021,617       423,196       74,870       371,329  

MassMutual Mid Cap Growth Fund, Class I

     1,310,220       683,209       (371,597 )     (606,424 )     30,499       1,045,907       56,383       —       224,949  

MassMutual Mid-Cap Value Fund, Class I

     1,297,971       550,581       (416,472 )     (427,066 )     38,226       1,043,240       98,792       12,349       275,534  

MassMutual Overseas Fund, Class I

     11,003,866       3,880,352       (7,121,329 )     (3,676,718 )     743,211       4,829,382       695,876       143,491       831,513  

MassMutual Small Cap Growth Equity Fund, Class I

     746,702       714,663       (303,525 )     (381,072 )     (22,366 )     754,402       63,077       —       161,723  

MassMutual Small Cap Value Equity Fund, Class I

     989,492       822,768       (424,804 )     (475,244 )     81,021       993,233       114,296       —       241,379  

MassMutual Strategic Bond Fund, Class I

     217,968       1,640,190       (728,308 )     (106,317 )     (64,523 )     959,010       112,692       8,704       4,102  

 

197

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM RetireSMART by JPMorgan 2055 Fund (Continued)

MassMutual Strategic Emerging Markets Fund, Class I

   $ 2,173,847     $ 1,394,800     $ (719,794 )   $ (1,055,788 )   $ (50,500 )   $ 1,742,565       212,249     $ 26,691     $ 243,335  

MassMutual Total Return Bond Fund, Class I

     217,968       1,637,238       (744,165 )     (96,381 )     (56,721 )     957,939       113,769       3,623       431  

MM Select Equity Asset Fund, Class I

     14,066,851       7,830,410       (5,582,933 )     (5,238,817 )     622,452       11,697,963       1,671,138       159,555       2,558,632  
    $ 52,837,917     $ 30,008,157     $ (27,740,100 )   $ (18,526,791 )   $ 1,512,334     $ 38,091,517             $ 701,479     $ 6,789,416  

MM RetireSMART by JPMorgan 2060 Fund

                                                

MassMutual Blue Chip Growth Fund, Class I

   $ 1,477,247     $ 1,126,671     $ (709,819 )   $ (728,487 )   $ (9,633 )   $ 1,155,979       61,685     $ —     $ 261,113  

MassMutual Core Bond Fund, Class I

     40,456       283,725       (128,225 )     (17,776 )     (10,382 )     167,798       18,439       970       630  

MassMutual Diversified Value Fund, Class I

     973,075       410,538       (744,226 )     (271,618 )     96,075       463,844       42,672       18,084       102,025  

MassMutual Equity Opportunities Fund, Class I

     975,255       437,095       (474,833 )     (212,286 )     44,907       770,138       46,227       11,868       103,322  

MassMutual Fundamental Value Fund, Class I

     975,582       506,644       (768,071 )     (283,255 )     114,872       545,772       63,908       6,995       111,159  

MassMutual High Yield Fund, Class I

     938,982       128,899       (815,486 )     (88,383 )     (15,772 )     148,240       20,391       59,135       —  

MassMutual Mid Cap Growth Fund , Class I

     455,955       270,103       (185,301 )     (214,439 )     18,209       344,527       18,573       —       81,661  

MassMutual Overseas Fund, Class I

     3,822,904       1,572,245       (2,801,281 )     (1,172,441 )     168,343       1,589,770       229,073       52,640       305,042  

MassMutual Small Cap Growth Equity Fund, Class I

     259,843       271,529       (144,996 )     (110,257 )     (27,607 )     248,512       20,779       —       58,794  

MassMutual Small Cap Value Equity Fund, Class I

     344,327       313,491       (195,368 )     (160,339 )     25,063       327,174       37,649       —       87,598  

MassMutual Strategic Bond Fund, Class I

     75,731       573,752       (275,949 )     (33,943 )     (23,799 )     315,792       37,108       3,126       1,473  

MassMutual Strategic Emerging Markets Fund, Class I

     756,085       560,046       (362,724 )     (323,200 )     (57,420 )     572,787       69,767       9,794       89,288  

MassMutual Growth Opportunities Fund, Class I

     497,623       500,528       (244,541 )     (264,979 )     (102,948 )     385,683       84,580       —       103,301  

MassMutual International Equity Fund, Class I

     1,361,435       891,935       (871,499 )     (194,448 )     (192,055 )     995,368       139,407       27,467       136,227  

MassMutual Mid-Cap Value Fund, Class I

     451,678       224,677       (198,255 )     (159,663 )     25,210       343,647       32,542       4,483       100,019  

MassMutual Total Return Bond Fund, Class I

     75,731       572,641       (281,311 )     (30,647 )     (20,975 )     315,439       37,463       1,300       155  

MM Equity Asset Fund, Class I

     4,889,843       2,942,485       (2,407,999 )     (1,765,892 )     192,294       3,850,731       550,104       57,807       926,989  
    $ 18,371,752     $ 11,587,004     $ (11,609,884 )   $ (6,032,053 )   $ 224,382     $ 12,541,201             $ 253,669     $ 2,468,796  

MM Select T. Rowe Price Retirement Balanced Fund

                                                

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 44,120,683     $ 6,699,911     $ (9,285,816 )   $ (6,756,753 )   $ (897,297 )   $ 33,880,728       3,925,924     $ 1,330,497     $ 113,380  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     8,105,476       2,158,804       (1,373,453 )     (2,252,536 )     (329,397 )     6,308,894       926,416       449,071       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     22,137,853       5,109,394       (3,979,637 )     (6,761,541 )     309,593       16,815,662       2,004,251       602,712       306,554  

 

198

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM Select T. Rowe Price Retirement Balanced Fund (Continued)

                                                

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

   $ 24,107,539     $ 16,277,618     $ (5,045,868 )   $ (11,482,493 )   $ 496,740     $ 24,353,536       2,168,614     $ 217,769     $ 4,100,029  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     40,496,798       7,416,678       (11,249,390 )     (4,358,239 )     189,703       32,495,550       3,299,041       1,935,255       529,404  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     2,159,709       1,654,074       (456,675 )     (710,193 )     67,918       2,714,833       262,556       60,238       131,103  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     12,063,959       2,853,267       (2,392,778 )     (4,359,630 )     350,603       8,515,421       773,426       119,250       1,454,413  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     2,571,128       4,522,297       (798,521 )     (713,214 )     (770,387 )     4,811,303       879,580       48,324       —  

MM S&P 500 Index Fund, Class I

     14,579,963       4,270,709       (9,660,047 )     (4,132,123 )     1,468,860       6,527,362       409,753       181,308       1,608,522  
    $ 170,343,108     $ 50,962,752     $ (44,242,185 )   $ (41,526,722 )   $ 886,336     $ 136,423,289             $ 4,944,424     $ 8,243,405  

MM Select T. Rowe Price Retirement 2005 Fund

                                                

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 7,051,411     $ 1,198,218     $ (1,883,221 )   $ (1,015,969 )   $ (148,623 )   $ 5,201,816       602,760     $ 206,192     $ 17,571  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     1,329,741       259,538       (234,695 )     (365,276 )     (42,331 )     946,977       139,057       73,293       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     3,441,794       1,092,591       (696,959 )     (1,114,171 )     60,098       2,783,353       331,747       95,613       48,631  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

     3,846,427       2,893,804       (866,941 )     (1,878,489 )     85,914       4,080,715       363,376       34,853       656,199  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     5,174,412       1,103,846       (1,509,678 )     (569,250 )     34,629       4,233,959       429,844       248,809       68,063  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     327,019       312,518       (74,273 )     (128,942 )     21,176       457,498       44,245       9,124       19,858  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     1,903,008       533,640       (330,580 )     (693,325 )     39,425       1,452,168       131,895       19,113       233,108  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     418,385       715,439       (128,551 )     (184,340 )     (48,108 )     772,825       141,284       7,359       —  

MM S&P 500 Index Fund, Class I

     2,317,988       778,142       (1,556,602 )     (510,251 )     58,694       1,087,971       68,297       30,005       266,198  
    $ 25,810,185     $ 8,887,736     $ (7,281,500 )   $ (6,460,013 )   $ 60,874     $ 21,017,282             $ 724,361     $ 1,309,628  

MM Select T. Rowe Price Retirement 2010 Fund

                                                        

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 32,524,950     $ 3,350,581     $ (9,315,106 )   $ (4,781,915 )   $ (461,845 )   $ 21,316,665       2,470,066     $ 958,384     $ 81,670  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     5,982,738       977,678       (1,376,341 )     (1,491,363 )     (266,341 )     3,826,371       561,875       326,421       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     19,239,674       3,739,685       (4,909,245 )     (5,901,667 )     617,602       12,786,049       1,523,963       518,906       263,929  

 

199

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM Select T. Rowe Price Retirement 2010 Fund (Continued)

                                       

MassMutual Select T. Rowe Price Large Cap Blend Fund Class I

   $ 21,441,836     $ 12,936,313     $ (6,341,569 )   $ (9,661,237 )   $ 453,417     $ 18,828,760       1,676,648     $ 191,270     $ 3,601,103  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     22,796,923       3,204,804       (8,064,883 )     (2,411,580 )     218,880       15,744,144       1,598,390       1,080,309       295,526  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     1,802,988       1,395,190       (590,785 )     (606,090 )     95,980       2,097,283       202,832       49,815       108,420  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     10,666,083       2,134,317       (2,751,676 )     (3,868,548 )     440,925       6,621,101       601,372       105,775       1,290,062  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     2,183,646       3,148,523       (932,779 )     (256,817 )     (830,285 )     3,312,288       605,537       37,958       —  

MM S&P 500 Index Fund, Class I

     12,858,398       3,294,472       (8,909,039 )     (3,404,561 )     1,144,387       4,983,657       312,847       161,434       1,432,213  
    $ 129,497,236     $ 34,181,563     $ (43,191,423 )   $ (32,383,778 )   $ 1,412,720     $ 89,516,318             $ 3,430,272     $ 7,072,923  

MM Select T. Rowe Price Retirement 2015 Fund

                                                

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 33,500,301     $ 4,333,795     $ (9,551,091 )   $ (4,888,370 )   $ (624,294 )   $ 22,770,341       2,638,510     $ 978,503     $ 83,384  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     5,975,617       1,187,421       (1,339,330 )     (1,561,287 )     (234,805 )     4,027,616       591,427       319,136       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     22,585,742       4,327,092       (5,475,957 )     (7,013,208 )     768,644       15,192,313       1,810,764       596,111       303,197  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

     24,972,217       14,768,613       (6,804,303 )     (11,762,916 )     1,061,897       22,235,508       1,980,010       216,931       4,084,242  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     21,096,655       3,583,100       (7,508,963 )     (2,246,788 )     183,411       15,107,415       1,533,748       999,043       273,295  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     2,141,866       1,615,701       (672,145 )     (718,626 )     111,823       2,478,619       239,712       58,039       126,319  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     12,457,609       2,646,385       (3,220,717 )     (4,678,295 )     750,452       7,955,434       722,564       118,980       1,451,117  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     2,637,531       3,209,220       (971,268 )     (381,482 )     (821,195 )     3,672,806       671,445       44,848       —  

MM S&P 500 Index Fund, Class I

     14,947,394       3,662,489       (10,272,449 )     (4,257,833 )     1,629,859       5,709,460       358,409       180,556       1,601,841  
    $ 140,314,932     $ 39,333,816     $ (45,816,223 )   $ (37,508,805 )   $ 2,825,792     $ 99,149,512             $ 3,512,147     $ 7,923,395  

MM Select T. Rowe Price Retirement 2020 Fund

                                                

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 157,176,305     $ 15,258,813     $ (48,459,690 )   $ (21,873,997 )   $ (2,439,571 )   $ 99,661,860       11,548,304     $ 4,589,280     $ 391,081  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     26,347,495       5,283,381       (6,868,591 )     (6,585,436 )     (1,123,399 )     17,053,450       2,504,178       1,441,672       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     118,204,237       19,927,500       (32,611,056 )     (35,676,131 )     4,481,243       74,325,793       8,858,855       3,199,238       1,627,211  

 

200

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM Select T. Rowe Price Retirement 2020 Fund (Continued)

                                        

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

   $ 135,946,305     $ 64,472,310     $ (40,845,597 )   $ (63,141,662 )   $ 9,588,280     $ 106,019,636       9,440,751     $ 1,177,139     $ 22,162,427  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     83,562,636       14,826,104       (32,894,921 )     (8,891,379 )     726,759       57,329,199       5,820,223       4,085,396       1,117,590  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     11,830,221       6,524,925       (3,511,046 )     (3,446,145 )     615,402       12,013,357       1,161,833       324,495       706,244  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     61,545,915       16,013,143       (20,757,963 )     (22,843,637 )     4,273,895       38,231,353       3,472,421       588,465       7,177,089  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     11,874,604       15,273,356       (5,059,676 )     (1,371,001 )     (4,169,180 )     16,548,103       3,025,247       203,739       —  

MM S&P 500 Index Fund, Class I

     78,334,271       21,205,118       (58,077,846 )     (20,445,368 )     7,053,357       28,069,532       1,762,055       954,693       8,469,792  
    $ 684,821,989     $ 178,784,650     $ (249,086,386 )   $ (184,274,756 )   $ 19,006,786     $ 449,252,283             $ 16,564,117     $ 41,651,434  

MM Select T. Rowe Price Retirement 2025 Fund

                                                

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 127,144,924     $ 15,208,924     $ (29,676,663 )   $ (19,122,893 )   $ (2,203,489 )   $ 91,350,803       10,585,261     $ 3,776,030     $ 321,779  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     19,290,365       4,852,653       (3,675,838 )     (5,468,016 )     (647,030 )     14,352,134       2,107,509       1,074,128       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     127,109,159       22,362,783       (27,062,437 )     (40,014,813 )     3,674,716       86,069,408       10,258,571       3,506,421       1,783,452  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

     146,926,049       72,447,159       (31,658,514 )     (69,529,840 )     7,766,995       125,951,849       11,215,659       1,289,150       24,271,290  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     46,133,605       15,623,185       (17,983,164 )     (5,193,212 )     38,234       38,618,648       3,920,675       2,444,375       668,677  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     12,596,497       8,052,356       (2,960,338 )     (3,899,844 )     457,729       14,246,400       1,377,795       350,826       763,553  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     67,883,784       18,177,410       (18,697,990 )     (25,871,607 )     3,977,015       45,468,612       4,129,756       661,862       8,072,265  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     12,790,157       15,184,748       (3,834,183 )     (2,441,551 )     (3,623,607 )     18,075,564       3,304,491       224,460       —  

MM S&P 500 Index Fund, Class I

     82,226,480       22,604,481       (56,320,864 )     (23,816,744 )     8,546,052       33,239,405       2,086,592       1,008,621       8,948,244  
    $ 642,101,020     $ 194,513,699     $ (191,869,991 )   $ (195,358,520 )   $ 17,986,615     $ 467,372,823             $ 14,335,873     $ 44,829,260  

MM Select T. Rowe Price Retirement 2030 Fund

                                        

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 220,015,462     $ 23,852,817     $ (39,294,601 )   $ (35,753,963 )   $ (1,881,908 )   $ 166,937,807       19,343,894     $ 6,587,420     $ 561,355  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     27,678,942       7,079,456       (4,778,885 )     (7,740,665 )     (999,360 )     21,239,488       3,118,868       1,552,176       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     342,929,604       51,119,237       (68,798,454 )     (97,431,487 )     1,107,091       228,925,991       27,285,577       9,460,392       4,811,787  

 

201

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM Select T. Rowe Price Retirement 2030 Fund (Continued)

                                        

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

   $ 422,668,355     $ 169,945,028     $ (86,279,029 )   $ (192,057,581 )   $ 21,757,623     $ 336,034,396       29,922,920     $ 3,727,318     $ 70,175,578  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     36,127,574       15,261,233       (23,038,314 )     (3,032,148 )     (653,268 )     24,665,077       2,504,069       1,858,850       508,502  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     32,691,410       20,813,783       (6,427,700 )     (10,102,737 )     1,116,407       38,091,163       3,683,865       917,084       1,995,983  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     177,144,249       40,750,105       (40,669,458 )     (64,693,429 )     6,615,344       119,146,811       10,821,690       1,777,034       21,673,211  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     33,075,470       30,462,845       (7,974,529 )     (7,301,416 )     (6,867,740 )     41,394,630       7,567,574       586,336       —  

MM S&P 500 Index Fund, Class I

     193,813,107       43,137,971       (108,817,260 )     (56,817,582 )     16,679,938       87,996,174       5,523,928       2,504,581       22,220,019  
    $ 1,486,144,173     $ 402,422,475     $ (386,078,230 )   $ (474,931,008 )   $ 36,874,127     $ 1,064,431,537             $ 28,971,191     $ 121,946,435  

MM Select T. Rowe Price Retirement 2035 Fund

                                        

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 68,896,960     $ 9,388,303     $ (9,318,515 )   $ (11,741,748 )   $ (507,763 )   $ 56,717,237       6,572,102     $ 2,078,288     $ 177,104  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     7,138,412       1,731,985       (746,460 )     (2,194,850 )     (133,094 )     5,795,993       851,100       398,569       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     181,999,418       39,297,522       (24,626,546 )     (56,663,257 )     998,879       141,006,016       16,806,438       5,071,453       2,579,465  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

     248,230,801       96,867,293       (38,110,791 )     (112,403,831 )     9,617,618       204,201,090       18,183,534       2,199,719       41,414,921  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund Class I

     6,367,710       9,040,663       (14,557,991 )     (165,266 )     (358,790 )     326,326       33,130       352,751       96,498  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     17,268,800       13,728,062       (2,395,464 )     (5,849,386 )     359,123       23,111,135       2,235,119       487,809       1,061,688  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     95,573,546       26,937,528       (16,665,758 )     (35,461,766 )     2,243,347       72,626,897       6,596,448       966,633       11,789,327  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     13,274,357       11,098,217       (1,962,080 )     (4,140,413 )     (1,618,261 )     16,651,820       3,044,208       239,633       —  

MM S&P 500 Index Fund, Class I

     82,560,915       26,071,399       (37,959,736 )     (25,756,483 )     5,996,677       50,912,772       3,196,031       1,057,363       9,380,662  
    $ 721,310,919     $ 234,160,972     $ (146,343,341 )   $ (254,377,000 )   $ 16,597,736     $ 571,349,286             $ 12,852,218     $ 66,499,665  

MM Select T. Rowe Price Retirement 2040 Fund

                                        

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 70,468,132     $ 6,362,914     $ (21,888,506 )   $ (10,162,390 )   $ (284,086 )   $ 44,496,064       5,155,975     $ 2,024,048     $ 172,482  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     4,379,347       792,450       (1,608,248 )     (912,701 )     (293,896 )     2,356,952       346,102       243,837       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     347,320,194       75,273,265       (55,873,544 )     (105,779,868 )     26,713       260,966,760       31,104,501       9,780,335       4,974,518  

 

202

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM Select T. Rowe Price Retirement 2040 Fund (Continued)

                                

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

   $ 515,989,799     $ 170,048,810     $ (98,919,330 )   $ (230,939,187 )   $ 25,779,586     $ 381,959,678       34,012,438     $ 4,566,617     $ 85,977,355  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     11,111,660       14,913,230       (24,552,148 )     (298,672 )     (638,346 )     535,724       54,388       624,538       170,847  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     32,833,279       25,517,525       (4,829,342 )     (11,110,745 )     844,703       43,255,420       4,183,309       927,528       2,018,714  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     185,600,886       45,706,110       (31,315,928 )     (70,254,327 )     6,568,850       136,305,591       12,380,163       1,871,076       22,820,173  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     14,751,557       8,372,471       (2,200,654 )     (3,925,515 )     (1,599,927 )     15,397,932       2,814,978       279,914       —  

MM S&P 500 Index Fund, Class I

     126,333,730       52,044,572       (48,465,190 )     (42,087,076 )     8,331,725       96,157,761       6,036,269       1,641,591       14,563,791  
    $ 1,308,788,584     $ 399,031,347     $ (289,652,890 )   $ (475,470,481 )   $ 38,735,322     $ 981,431,882             $ 21,959,484     $ 130,697,880  

MM Select T. Rowe Price Retirement 2045 Fund

                                        

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 17,805,199     $ 1,688,791     $ (9,532,734 )   $ (1,870,838 )   $ (49,092 )   $ 8,041,326       931,788     $ 400,489     $ 34,128  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     399,663       146       (398,477 )     (3,353 )     2,021       —       —       —       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     153,325,766       41,213,885       (17,640,477 )     (49,500,722 )     (167,737 )     127,230,715       15,164,567       4,378,552       2,227,039  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

     227,377,125       90,318,431       (37,153,316 )     (105,178,798 )     9,147,955       184,511,397       16,430,222       2,055,859       38,706,422  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     —       6,392,873       (5,737,187 )     (13,072 )     (402,008 )     240,606       24,427       267,317       73,126  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     14,542,969       13,187,421       (1,678,848 )     (5,256,565 )     257,808       21,052,785       2,036,053       419,120       912,192  

MassMutual Select T. Rowe Price Small And Mid Cap Blend Fund, Class I

     85,010,543       23,772,007       (10,848,620 )     (32,675,560 )     2,204,618       67,462,988       6,127,429       873,319       10,651,252  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     4,926,821       1,061,947       (1,737,832 )     148,193       (1,292,834 )     3,106,295       567,878       84,456       —  

MM S&P 500 Index Fund, Class I

     54,852,004       26,996,041       (18,081,627 )     (19,501,134 )     3,193,839       47,459,123       2,979,229       717,554       6,365,959  
    $ 558,240,090     $ 204,631,542     $ (102,809,118 )   $ (213,851,849 )   $ 12,894,570     $ 459,105,235             $ 9,196,666     $ 58,970,118  

MM Select T. Rowe Price Retirement 2050 Fund

                                                

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 23,875,712     $ 1,618,013     $ (18,407,501 )   $ (1,353,926 )   $ (574,450 )   $ 5,157,848       597,665     $ 565,276     $ 48,171  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     411,281       56       (409,923 )     (2,797 )     1,383       —       —       —       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     243,090,454       60,133,686       (35,996,424 )     (75,375,859 )     (657,363 )     191,194,494       22,788,378       6,863,647       3,491,019  

 

203

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM Select T. Rowe Price Retirement 2050 Fund (Continued)

                                

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

   $ 360,982,294     $ 132,721,107     $ (69,548,077 )   $ (164,501,432 )   $ 16,606,474     $ 276,260,366       24,600,211     $ 3,230,363     $ 60,819,238  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     —       9,877,239       (8,856,500 )     (20,632 )     (622,632 )     377,475       38,322       415,402       113,636  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     22,963,725       19,696,283       (3,672,132 )     (8,083,979 )     582,668       31,486,565       3,045,122       654,589       1,424,675  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     134,660,513       34,088,079       (21,181,285 )     (51,067,038 )     3,947,254       100,447,523       9,123,299       1,373,344       16,749,702  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     7,157,283       558,611       (4,994,633 )     1,827,392       (2,672,357 )     1,876,296       343,016       117,908       —  

MM S&P 500 Index Fund, Class I

     86,697,540       41,573,410       (31,440,255 )     (30,161,996 )     5,088,982       71,757,681       4,504,562       1,123,188       9,964,642  
    $ 879,838,802     $ 300,266,484     $ (194,506,730 )   $ (328,740,267 )   $ 21,699,959     $ 678,558,248             $ 14,343,717     $ 92,611,083  

MM Select T. Rowe Price Retirement 2055 Fund

                                        

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 8,683,916     $ 895,616     $ (6,720,161 )   $ (439,843 )   $ (290,561 )   $ 2,128,967       246,694     $ 206,980     $ 17,638  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     109,482       83       (109,164 )     (1,026 )     625       —       —       —       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     87,891,211       31,696,462       (9,038,985 )     (30,220,158 )     45,129       80,373,659       9,579,697       2,542,187       1,293,019  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

     130,622,596       63,512,193       (19,896,251 )     (62,384,418 )     5,005,071       116,859,191       10,405,983       1,190,610       22,416,063  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     —       3,825,261       (3,438,601 )     (7,471 )     (232,563 )     146,626       14,886       153,642       42,030  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     8,312,395       8,877,453       (745,746 )     (3,239,559 )     123,086       13,327,629       1,288,939       241,817       526,299  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     48,999,792       17,363,524       (5,523,030 )     (19,365,681 )     1,158,442       42,633,047       3,872,211       505,727       6,167,993  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     2,690,482       337,220       (1,885,919 )     595,710       (939,783 )     797,710       145,834       43,197       —  

MM S&P 500 Index Fund, Class I

     31,297,328       19,015,708       (10,068,193 )     (11,605,980 )     1,686,927       30,325,790       1,903,690       412,875       3,662,914  
    $ 318,607,202     $ 145,523,520     $ (57,426,050 )   $ (126,668,426 )   $ 6,556,373     $ 286,592,619             $ 5,297,035     $ 34,125,956  

 

204

 

 

Notes to Financial Statements (Continued)

 

   

Beginning
Value as of
9/30/21

    

Purchases

    

Sales

    

Change in
Unrealized
Appreciation/
(Depreciation)

    

Net Realized
Gain (Loss)

    

Value as of
9/30/22

    

Number of
Shares Held
as of 9/30/22

    

Dividend
Income

    

Realized
Gains
Distributions

  

MM Select T. Rowe Price Retirement 2060 Fund

                                        

MassMutual Select T. Rowe Price Bond Asset Fund, Class I

   $ 2,822,848     $ 584,129     $ (2,214,906 )   $ (155,350 )   $ (118,884 )   $ 917,837       106,354     $ 75,857     $ 6,464  

MassMutual Select T. Rowe Price Emerging Markets Bond Fund, Class I

     68,372       63       (68,201 )     (509 )     275       —       —       —       —  

MassMutual Select T. Rowe Price International Equity Fund, Class I

     31,125,517       20,391,312       (3,972,310 )     (12,420,871 )     308,339       35,431,987       4,223,121       931,321       473,692  

MassMutual Select T. Rowe Price Large Cap Blend Fund, Class I

     46,239,600       36,620,821       (8,530,000 )     (24,103,900 )     1,605,670       51,832,191       4,615,511       437,439       8,235,818  

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, Class I

     —       1,549,677       (1,400,194 )     (2,939 )     (86,076 )     60,468       6,139       55,789       15,261  

MassMutual Select T. Rowe Price Real Assets Fund, Class I

     2,929,894       4,663,268       (372,180 )     (1,368,103 )     54,139       5,907,018       571,278       88,310       192,203  

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund, Class I

     17,150,646       10,758,408       (1,990,616 )     (7,387,261 )     295,903       18,827,080       1,709,998       183,747       2,241,029  

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund, Class I

     898,120       241,092       (640,046 )     142,633       (284,247 )     357,552       65,366       16,443       —  

MM S&P 500 Index Fund, Class I

     11,077,476       10,527,952       (4,176,442 )     (4,527,435 )     517,968       13,419,519       842,405       151,569       1,344,685  
    $ 112,312,473     $ 85,336,722     $ (23,364,897 )   $ (49,823,733 )   $ 2,293,087     $ 126,753,652             $ 1,940,475     $ 12,509,152  
 

 

*

Fund advised by Barings LLC.

 

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. Coronavirus (COVID-19) Pandemic

 

The global pandemic outbreak of the novel coronavirus known as COVID-19 and efforts to contain its spread have produced, and will likely continue to produce, substantial market volatility, severe market dislocations and liquidity constraints in many markets, exchange trading suspensions and closures, higher default rates, and global business disruption, and they may result in future significant adverse effects, such as declines in global financial markets and a substantial economic downturn or recession throughout the world. Such factors may have a significant adverse effect on a Fund’s performance and have the potential to impair the ability of a Fund’s investment adviser, subadviser, or other service providers to serve the Fund and could lead to disruptions that negatively impact the Fund.

 

205

 

 

Notes to Financial Statements (Continued)

 

10. Russia-Ukraine War

 

In February 2022, Russia commenced a large-scale military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the regional and the global financial markets and economies. One or more of the Underlying Funds hold positions in securities or other instruments that are economically tied to Russia. Investments in Russia are subject to political, economic, legal, market, and currency risks, as well as the risks related to the economic sanctions on Russia, Russian individuals, and Russian corporate and banking entities imposed by the United States and/or other countries. Such sanctions — which affect companies in many sectors, including energy, financial services, and defense, among others — could adversely affect the global energy and financial markets and, thus, could affect the value of an Underlying Fund’s investments, even beyond any direct exposure the Underlying Fund may have to Russian issuers or the adjoining geographic regions. Such sanctions may also result in a decline in the value and liquidity of Russian securities and a weakening of the ruble, and will impair an Underlying Fund’s ability to buy, sell, receive, or deliver Russian securities. In addition, certain transactions have been or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause an Underlying Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet shareholder redemptions.

 

206

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of MassMutual Select Funds and Shareholders of MassMutual 20/80 Allocation Fund, MassMutual 40/60 Allocation Fund, MassMutual 60/40 Allocation Fund, MassMutual 80/20 Allocation 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, MassMutual RetireSMARTSM by JPMorgan 2055 Fund, MassMutual RetireSMARTSM by JPMorgan 2060 Fund, 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, 2022, 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, 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, 2022, 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 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

Financial Highlights

MassMutual 20/80 Allocation Fund, MassMutual 40/60 Allocation Fund, MassMutual 60/40 Allocation Fund, MassMutual 80/20 Allocation 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, MassMutual RetireSMARTSM by JPMorgan 2055 Fund, and MassMutual RetireSMARTSM by JPMorgan 2060 Fund.

For each of the five years in the period ended September 30, 2022

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

For each of the four years in the period ended September 30, 2022, and for the period from February 16, 2018 (commencement of operations) through September 30, 2018

 

207

 

 

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, 2022, 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
December 2, 2022

 

We have served as the auditor of one or more MassMutual investment companies since 1995.

 

208

 

 

Trustees and Principal Officers (Unaudited)

 

The following table lists the Trust’s Trustees and Principal Officers; their address and year of birth; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during at least 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, 1295 State Street, Springfield, Massachusetts 01111-0001, Attention: Investment Management Solutions.

 

Independent Trustees

 

Name, Address*,
and Year of Birth

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

Year of birth: 1948

Trustee

Since

2003

Retired.

108

Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-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).

Nabil N. El-Hage

Year of birth: 1958

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).

108

Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

Maria D. Furman

Year of birth: 1954

Trustee

Since

2012

Retired.

108

Trustee (since 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (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).

R. Bradford Malt
Year of birth: 1954

Trustee

Since 2022

Chairman (2004-2019), Management Committee (1993-2019), Partner (1987-2019), Associate (1979-1987), Ropes & Gray LLP (counsel to the Trust and MassMutual).

108

Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

 

209

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*,
and Year of Birth

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

Year of birth: 1951

Trustee

Since

2012

Retired.

108

Director (since 2020). Lead Director (2020 -2022), Chairperson (since 2020) of the Nominating and Governance Committee, Member (since 2020) and Chairperson (2020-2022) of the Compensation Committee, and Member (2020-2022) of the Audit Committee, Lyra Therapeutics (a clinical-stage specialty pharmaceutical company); Chairperson (since 2017), Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (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).

Cynthia R. Plouché

Year of birth: 1957

Trustee

Since 2022

Retired; Assessor (2014-2018), Moraine Township (property assessment).

108

Trustee (since 2014), Northern Trust Funds (open- end investment companies); Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

Jason J. Price

Year of birth: 1973

Trustee

Since 2022

Co-Founder and Chairman of the Board (2017-2021), NXTHVN (arts organization); Principal (2012-2017), Exaltare Capital Partners, LLC (private equity firm).

108

Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

Susan B. Sweeney

Year of birth: 1952

Chairperson

 

 

Trustee

Since

2022

 

Since

2009

Retired.

110^

Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Chairperson (since 2022), Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2009), MML Series Investment Fund (open-end investment company); Chairperson (since 2022), Trustee (since 2012), MML Series Investment Fund II (open-end investment company).

 

210

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Interested Trustees

 

Name, Address*,
and Year of Birth

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

Michael R. Fanning^^ Year of birth: 1963

Trustee

Since

2021

Head of MassMutual U.S. (since 2016), Executive Vice President (2016-2018), Member of MassMutual’s Executive Leadership Team (since 2008), MassMutual.

108

Director (since 2016), MML Advisers; Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company); Trustee (since 2021), MML Series Investment Fund II (open-end investment company).

Clifford M, Noreen^^^
Year of birth: 1957

Trustee

Since

2021

Head of Global Investment Strategy (since 2019), Deputy Chief Investment Officer and Managing Director (2016-2018), MassMutual; President (2008-2016), Vice Chairman (2007-2008), Member of the Board of Managers (2006-2016), Managing Director (2000-2016), Barings LLC.

110^

Chairman (since 2009), Trustee (since 2005), President (2005-2009), CI Subsidiary Trust and PI Subsidiary Trust; Chairman and Trustee (since 2009), President (2005-2009), Vice President (1993-2005), Barings Corporate Investors (closed-end investment company); Chairman and Trustee (since 2009), President (2005-2009), Vice President (1993-2005), Barings Participation Investors (closed-end investment company); Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company); Trustee (since 2021), MML Series Investment Fund II (open-end investment company).

 

Principal Officers

 

Name, Address*,
and Year of Birth

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

Andrea Anastasio

Year of birth: 1974

Vice President

 

Since 2021

Vice President (since 2021), MML Advisers; Head of Investment Management Solutions (since 2021), MassMutual; Head of Investment Strategy and Research, North America (2019-2021), Head of Investment Product Management (2016- 2019), State Street Global Advisors; Vice President (since 2021), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); Vice President (since 2021), MML Series Investment Fund (open-end investment company); Vice President (since 2021), MML Series Investment Fund II (open-end investment company).

108

 

211

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*,
and Year of Birth

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

Andrew M. Goldberg

Year of birth: 1966

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 (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Renee Hitchcock

Year of birth: 1970

Chief Financial Officer and Treasurer

 

Assistant Treasurer

Since

2016

 

 

2007-

2016

Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Paul LaPiana
Year of birth: 1969

President

Since

2021

President (since 2021), MML Advisers; Head of MassMutual U.S. Product (since 2019), Head of Field Management (2016-2019), MassMutual; President (since 2021), MassMutual Premier Funds (open-end investment company); President (since 2021), MassMutual Advantage Funds (open-end investment company); President (since 2021), MML Series Investment Fund (open-end investment company); President (since 2021), MML Series Investment Fund II (open-end investment company).

108

Jill Nareau Robert

Year of birth: 1972

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 (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company); Vice President and Assistant Secretary (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Douglas Steele

Year of birth: 1975

Vice President

Since

2016

Head of Product Management (since 2021), Vice President (since 2017), Head of Investment Management (2017-2021), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Product Management (since 2021), Head

of Manager Research (2021), Head of Investment Management (2017-2021), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

 

212

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*,
and Year of Birth

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

Philip S. Wellman

Year of birth: 1964

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), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

 

*

The address of each Trustee and Principal Officer is the same as that for the Trust; 1295 State Street, Springfield, Massachusetts 01111-0001.

 

**

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, 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, and any such Chairperson may not serve more than two consecutive terms. 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.

 

^^

Mr. Fanning is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

 

^^^

Mr. Noreen is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

 

#

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.

 

213

 

 

Federal Tax Information (Unaudited)

 

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2022, qualified for the dividends received deduction, as follows:

 

 
   

Dividends
Received
Deductions

  

20/80 Allocation Fund

     6.08 %

40/60 Allocation Fund

     12.71 %

60/40 Allocation Fund

     19.11 %

80/20 Allocation Fund

     22.15 %

MM RetireSMART by JPMorgan In Retirement Fund

     5.37 %

MM RetireSMART by JPMorgan 2020 Fund

     6.73 %

MM RetireSMART by JPMorgan 2025 Fund

     10.14 %

MM RetireSMART by JPMorgan 2030 Fund

     13.18 %

MM RetireSMART by JPMorgan 2035 Fund

     14.87 %

MM RetireSMART by JPMorgan 2040 Fund

     16.31 %

MM RetireSMART by JPMorgan 2045 Fund

     18.42 %

MM RetireSMART by JPMorgan 2050 Fund

     18.28 %

MM RetireSMART by JPMorgan 2055 Fund

     18.45 %

MM RetireSMART by JPMorgan 2060 Fund

     17.49 %

MM Select T. Rowe Price Retirement Balanced Fund

     8.74 %

MM Select T. Rowe Price Retirement 2005 Fund

     9.47 %

MM Select T. Rowe Price Retirement 2010 Fund

     10.54 %

MM Select T. Rowe Price Retirement 2015 Fund

     10.78 %

MM Select T. Rowe Price Retirement 2020 Fund

     11.94 %

MM Select T. Rowe Price Retirement 2025 Fund

     14.01 %

MM Select T. Rowe Price Retirement 2030 Fund

     16.17 %

MM Select T. Rowe Price Retirement 2035 Fund

     16.88 %

MM Select T. Rowe Price Retirement 2040 Fund

     17.10 %

MM Select T. Rowe Price Retirement 2045 Fund

     17.68 %

MM Select T. Rowe Price Retirement 2050 Fund

     17.77 %

MM Select T. Rowe Price Retirement 2055 Fund

     19.75 %

MM Select T. Rowe Price Retirement 2060 Fund

     17.69 %

 

For the year ended September 30, 2022, the following Fund(s) earned the following foreign sources of income:

 

 
   

Amount

  

20/80 Allocation Fund

   $ 114,906  

40/60 Allocation Fund

     253,728  

60/40 Allocation Fund

     274,961  

80/20 Allocation Fund

     320,594  

MM RetireSMART by JPMorgan In Retirement Fund

     262,554  

MM RetireSMART by JPMorgan 2020 Fund

     583,121  

MM RetireSMART by JPMorgan 2025 Fund

     685,433  

MM RetireSMART by JPMorgan 2030 Fund

     1,873,926  

MM RetireSMART by JPMorgan 2035 Fund

     959,353  

MM RetireSMART by JPMorgan 2040 Fund

     1,767,666  

MM RetireSMART by JPMorgan 2045 Fund

     820,601  

MM RetireSMART by JPMorgan 2050 Fund

     1,300,752  

MM RetireSMART by JPMorgan 2055 Fund

     400,645  

MM RetireSMART by JPMorgan 2060 Fund

     156,191  

 

 

214

 

 

Federal Tax Information (Unaudited) (Continued)

 

   

Amount

  

MM Select T. Rowe Price Retirement Balanced Fund

   $ 518,419  

MM Select T. Rowe Price Retirement 2005 Fund

     82,956  

MM Select T. Rowe Price Retirement 2010 Fund

     440,378  

MM Select T. Rowe Price Retirement 2015 Fund

     501,281  

MM Select T. Rowe Price Retirement 2020 Fund

     2,627,767  

MM Select T. Rowe Price Retirement 2025 Fund

     2,811,634  

MM Select T. Rowe Price Retirement 2030 Fund

     7,326,871  

MM Select T. Rowe Price Retirement 2035 Fund

     3,911,053  

MM Select T. Rowe Price Retirement 2040 Fund

     7,459,153  

MM Select T. Rowe Price Retirement 2045 Fund

     3,314,381  

MM Select T. Rowe Price Retirement 2050 Fund

     5,164,037  

MM Select T. Rowe Price Retirement 2055 Fund

     1,879,313  

MM Select T. Rowe Price Retirement 2060 Fund

     692,966  

 

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the 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, 2022.

 

The Fund(s) intend to pass through the maximum amount allowable as Section 163(j) Interest Dividends as defined in the Treasury Regulations §1.163(j)-1(b).

 

215

 

 

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

 

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s EDGAR database on its website at http://www.sec.gov. In addition, the Funds make the complete schedule of portfolio holdings from their filings on Form N-PORT available to shareholders at http://www.massmutual.com/funds.

 

Trustees’ Approval of Investment Advisory Contracts

 

At their meetings in May and June 2022, 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, J.P. Morgan, or T. Rowe Price (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the 20/80 Allocation Fund, 40/60 Allocation Fund, 60/40 Allocation Fund, 80/20 Allocation 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, MM RetireSMART by JPMorgan 2060 Fund, 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, as applicable. In preparation for the meetings, the Trustees requested, and MML Advisers, J.P. Morgan, 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 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, J.P. Morgan, 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 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 each of J.P. Morgan and T. Rowe Price and its personnel with responsibility for providing services to the Funds, as applicable, and

 

216

 

 

Other Information (Unaudited) (Continued)

 

the fees payable to J.P. Morgan and T. Rowe Price 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.

 

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. 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, 2021. 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, except the MM RetireSMART by JPMorgan In Retirement Fund, were within the top sixty percent of their peer groups, and in the majority of cases in the top forty percent. All of the Funds had net advisory fees at or below the medians of their peer groups, or within the top three comparative quintiles of their peer groups, except the MM Select T. Rowe Price Retirement 2015 Fund, MM Select T. Rowe Price Retirement 2020 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, 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/or general favorable investment performance over time. In their consideration of these Funds, the Committee took into account the expense caps currently in place for the Funds.

 

The MM RetireSMART by JPMorgan In Retirement Fund had a total net expense ratio higher than the 60th comparative percentile of its peer group. The Committee considered MML Advisers’ statement that the Fund’s total net expense ratio, at the 75th percentile of its peer group, was only three basis points above the peer group median. The Committee also considered that the Fund’s net advisory fee was in the 1st comparative percentile of its peer group.

 

The Committee determined on the basis of these factors that the levels of the Funds’ net advisory fees, and the total net expenses of the Funds generally, were consistent with the continuation of their advisory agreements.

 

The Committee considered that each of the MM Target Allocation Funds, MM RetireSMART by JPMorgan In Retirement Fund, and MM Select T. Rowe Price Retirement Funds achieved three-year investment performance above the medians of their performance categories.

 

As to the 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 Committee noted that although each Fund had experienced relatively unfavorable three-year performance compared to its performance category, all but one Fund, the MM RetireSMART by JPMorgan 2020 Fund, experienced improved performance above the median of the relevant performance category for the one-year period. The Committee considered MML Advisers’ statement that the Funds’ underperformance for the three-year period (and for the one-year period for the MM RetireSMART by JPMorgan 2020 Fund) was due in substantial part to a strategic asset allocation underweight to large capitalization U.S. equities (and overweight to non-U.S. equities) in 2020. The Committee also considered MML Advisers’ statements that J.P. Morgan had been serving as the Funds’ subadviser to determine the Funds’ strategic asset allocations and tactical asset allocations, and that MML Advisers considers J.P. Morgan to be a premier subadviser that brings significant resources in this regard.

 

217

 

 

Other Information (Unaudited) (Continued)

 

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 J.P. Morgan and T. Rowe Price generally appear well suited to the Funds, as applicable, given their investment objectives and policies; (iv) 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 (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 2022, the Trustees, including the Independent Trustees, reviewed and approved a proposal to make changes to the existing subadvisory agreement between MML Advisers and J.P. Morgan for each of the MM RetireSMART by JPMorgan Funds, in order to require J.P. Morgan to furnish to MML Advisers a “sample withdrawal amount” each year, which would be made available to investors. 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 June 22, 2022.

 

218

 

 

Other Information (Unaudited) (Continued)

 

Submission of Matters to a Vote of Security Holders

 

 

A Special Meeting of Shareholders of the Trust was held on May 25, 2022 and on the adjournment dates of June 9, 2022, July 28, 2022, and September 14, 2022. The Notice of Meeting of Shareholders, and a Proxy Statement and voting instruction card, were first mailed, or otherwise made available, on or about April 8, 2022 to shareholders of record as of February 25, 2022. The results of the vote on the matters submitted to shareholders at the Special Meeting are as follows:

 

Proposal 1:

To elect Allan W. Blair, Nabil N. El-Hage, Michael R. Fanning, Maria D. Furman, R. Bradford Malt, C. Ann Merrifield, Clifford M. Noreen, Cynthia R. Plouché, Jason J. Price, and Susan B. Sweeney as Trustees of each Trust of which the Funds are series for an indefinite term of office.*

 

This matter was approved by the Trust’s shareholders on June 9, 2022. The results of the votes were as follows:

 

   

Shares Voted

    

Shares For

    

% of Shares
Outstanding

    

Withhold

    

% of Shares
Outstanding

  

Allan W. Blair

     1,062,272,572.058       1,055,134,595.262       42.213 %     7,137,976.796       0.285 %

Nabil N. El-Hage

     1,062,272,572.058       1,055,187,057.064       42.215 %     7,085,514.994       0.283 %

Michael R. Fanning

     1,062,272,572.058       1,054,435,784.031       42.185 %     7,836,788.027       0.313 %

Maria D. Furman

     1,062,272,572.058       1,055,334,004.749       42.221 %     6,938,567.309       0.277 %

R. Bradford Malt

     1,062,272,572.058       1,054,410,988.847       42.184 %     7,861,583.211       0.314 %

C. Ann Merrifield

     1,062,272,572.058       1,054,614,232.611       42.192 %     7,658,339.447       0.306 %

Clifford M. Noreen

     1,062,272,572.058       1,054,519,598.373       42.188 %     7,752,973.685       0.310 %

Cynthia R. Plouché

     1,062,272,572.058       1,055,673,410.167       42.234 %     6,599,161.891       0.264 %

Jason J. Price

     1,062,272,572.058       1,055,486,383.752       42.227 %     6,786,188.306       0.271 %

Susan B. Sweeney

     1,062,272,572.058       1,055,272,106.456       42.218 %     7,000,465.602       0.280 %

 

*

Denotes Trust-wide proposal and voting results.

 

219

 

 

Other Information (Unaudited) (Continued)

 

Fund Expenses September 30, 2022

 

 

Expense Examples:

 

The following information is in regards to expenses for the six months ended September 30, 2022:

 

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended September 30, 2022.

 

Actual Expenses:

 

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes:

 

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 
 

Beginning
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*

20/80 Allocation Fund

            

Class I

$1,000

0.04%

$881.10

$0.19

$1,024.90

$0.20

Class R5

1,000

0.14%

879.90

0.66

1,024.40

0.71

Service Class

1,000

0.24%

879.90

1.13

1,023.90

1.22

Administrative Class

1,000

0.34%

880.30

1.60

1,023.40

1.72

Class R4

1,000

0.49%

879.10

2.31

1,022.60

2.48

Class A

1,000

0.59%

878.90

2.78

1,022.10

2.99

Class R3

1,000

0.74%

878.60

3.48

1,021.40

3.75

40/60 Allocation Fund

            

Class I

1,000

0.06%

858.20

0.28

1,024.80

0.30

Class R5

1,000

0.16%

858.40

0.75

1,024.30

0.81

Service Class

1,000

0.26%

858.20

1.21

1,023.80

1.32

Administrative Class

1,000

0.36%

857.10

1.68

1,023.30

1.83

Class R4

1,000

0.51%

857.60

2.37

1,022.50

2.59

Class A

1,000

0.61%

855.60

2.84

1,022.00

3.09

Class R3

1,000

0.76%

855.00

3.53

1,021.30

3.85

 

 

220

 

 

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*

60/40 Allocation Fund

            

Class I

$1,000

0.06%

$837.20

$0.28

$1,024.80

$0.30

Class R5

1,000

0.16%

837.20

0.74

1,024.30

0.81

Service Class

1,000

0.26%

837.00

1.20

1,023.80

1.32

Administrative Class

1,000

0.36%

837.10

1.66

1,023.30

1.83

Class R4

1,000

0.51%

835.80

2.35

1,022.50

2.59

Class A

1,000

0.61%

835.90

2.81

1,022.00

3.09

Class R3

1,000

0.76%

834.90

3.50

1,021.30

3.85

80/20 Allocation Fund

            

Class I

1,000

0.09%

820.40

0.41

1,024.60

0.46

Class R5

1,000

0.19%

819.80

0.87

1,024.10

0.96

Service Class

1,000

0.29%

819.20

1.32

1,023.60

1.47

Administrative Class

1,000

0.39%

819.20

1.78

1,023.10

1.98

Class R4

1,000

0.54%

818.90

2.46

1,022.40

2.74

Class A

1,000

0.64%

818.30

2.92

1,021.90

3.24

Class R3

1,000

0.79%

817.00

3.60

1,021.10

4.00

MM RetireSMART by JPMorgan In Retirement Fund

Class I

1,000

0.06%

864.10

0.28

1,024.80

0.30

Class R5

1,000

0.16%

863.70

0.75

1,024.30

0.81

Service Class

1,000

0.26%

863.80

1.21

1,023.80

1.32

Administrative Class

1,000

0.36%

862.10

1.68

1,023.30

1.83

Class R4

1,000

0.51%

862.30

2.38

1,022.50

2.59

Class A

1,000

0.61%

861.80

2.85

1,022.00

3.09

Class R3

1,000

0.76%

861.20

3.55

1,021.30

3.85

MM RetireSMART by JPMorgan 2020 Fund

            

Class I

1,000

0.04%

864.50

0.19

1,024.90

0.20

Class R5

1,000

0.14%

863.40

0.65

1,024.40

0.71

Service Class

1,000

0.24%

863.60

1.12

1,023.90

1.22

Administrative Class

1,000

0.34%

862.40

1.59

1,023.40

1.72

Class R4

1,000

0.49%

862.30

2.29

1,022.60

2.48

Class A

1,000

0.59%

861.70

2.75

1,022.10

2.99

Class R3

1,000

0.74%

861.30

3.45

1,021.40

3.75

MM RetireSMART by JPMorgan 2025 Fund

            

Class I

1,000

0.01%

848.50

0.05

1,025.00

0.05

Class R5

1,000

0.11%

847.70

0.51

1,024.50

0.56

Service Class

1,000

0.21%

847.30

0.97

1,024.00

1.07

Administrative Class

1,000

0.31%

847.40

1.44

1,023.50

1.57

Class R4

1,000

0.46%

846.40

2.13

1,022.80

2.33

Class A

1,000

0.56%

846.60

2.59

1,022.30

2.84

Class R3

1,000

0.71%

845.30

3.28

1,021.50

3.60

MM RetireSMART by JPMorgan 2030 Fund

            

Class I

1,000

0.04%

835.00

0.18

1,024.90

0.20

Class R5

1,000

0.14%

834.20

0.64

1,024.40

0.71

Service Class

1,000

0.24%

833.90

1.10

1,023.90

1.22

Administrative Class

1,000

0.34%

833.30

1.56

1,023.40

1.72

Class R4

1,000

0.49%

832.80

2.25

1,022.60

2.48

Class A

1,000

0.59%

832.50

2.71

1,022.10

2.99

Class R3

1,000

0.74%

831.90

3.40

1,021.40

3.75

 

221

 

 

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 2035 Fund

            

Class I

$1,000

0.05%

$820.20

$0.23

$1,024.80

$0.25

Class R5

1,000

0.15%

819.70

0.68

1,024.30

0.76

Service Class

1,000

0.25%

819.20

1.14

1,023.80

1.27

Administrative Class

1,000

0.35%

818.80

1.60

1,023.30

1.78

Class R4

1,000

0.50%

818.20

2.28

1,022.60

2.54

Class A

1,000

0.60%

818.10

2.73

1,022.10

3.04

Class R3

1,000

0.75%

816.70

3.42

1,021.30

3.80

MM RetireSMART by JPMorgan 2040 Fund

            

Class I

1,000

0.04%

811.40

0.18

1,024.90

0.20

Class R5

1,000

0.14%

810.60

0.64

1,024.40

0.71

Service Class

1,000

0.24%

810.00

1.09

1,023.90

1.22

Administrative Class

1,000

0.34%

809.60

1.54

1,023.40

1.72

Class R4

1,000

0.49%

809.00

2.22

1,022.60

2.48

Class A

1,000

0.59%

808.70

2.68

1,022.10

2.99

Class R3

1,000

0.74%

808.10

3.35

1,021.40

3.75

MM RetireSMART by JPMorgan 2045 Fund

            

Class I

1,000

0.02%

804.70

0.09

1,025.00

0.10

Class R5

1,000

0.12%

804.00

0.54

1,024.50

0.61

Service Class

1,000

0.22%

802.70

0.99

1,024.00

1.12

Administrative Class

1,000

0.32%

802.90

1.45

1,023.50

1.62

Class R4

1,000

0.47%

802.30

2.12

1,022.70

2.38

Class A

1,000

0.57%

802.30

2.58

1,022.20

2.89

Class R3

1,000

0.72%

801.00

3.25

1,021.50

3.65

MM RetireSMART by JPMorgan 2050 Fund

            

Class I

1,000

0.02%

803.50

0.09

1,025.00

0.10

Class R5

1,000

0.12%

802.20

0.54

1,024.50

0.61

Service Class

1,000

0.22%

802.40

0.99

1,024.00

1.12

Administrative Class

1,000

0.32%

802.40

1.45

1,023.50

1.62

Class R4

1,000

0.47%

800.70

2.12

1,022.70

2.38

Class A

1,000

0.57%

800.70

2.57

1,022.20

2.89

Class R3

1,000

0.72%

799.80

3.25

1,021.50

3.65

MM RetireSMART by JPMorgan 2055 Fund

            

Class I

1,000

0.00%

803.60

0.00

1,025.10

  

Class R5

1,000

0.10%

802.80

0.45

1,024.60

0.51

Service Class

1,000

0.20%

801.90

0.90

1,024.10

1.01

Administrative Class

1,000

0.30%

801.10

1.35

1,023.60

1.52

Class R4

1,000

0.45%

801.70

2.03

1,022.80

2.28

Class A

1,000

0.55%

801.30

2.48

1,022.30

2.79

Class R3

1,000

0.70%

799.60

3.16

1,021.60

3.55

MM RetireSMART by JPMorgan 2060 Fund

            

Class I

1,000

0.00%

803.40

0.00

1,025.10

  

Class R5

1,000

0.10%

802.60

0.45

1,024.60

0.51

Service Class

1,000

0.20%

802.50

0.90

1,024.10

1.01

Administrative Class

1,000

0.30%

801.10

1.35

1,023.60

1.52

Class R4

1,000

0.45%

801.10

2.03

1,022.80

2.28

Class A

1,000

0.55%

800.80

2.48

1,022.30

2.79

Class R3

1,000

0.70%

800.40

3.16

1,021.60

3.55

 

222

 

 

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 Balanced Fund

Class I

$1,000

0.28%

$869.20

$1.31

$1,023.70

$1.42

Class M5

1,000

0.43%

868.20

2.01

1,022.90

2.18

Class M4

1,000

0.68%

867.80

3.18

1,021.70

3.45

Class M3

1,000

0.93%

866.00

4.35

1,020.40

4.71

MM Select T. Rowe Price Retirement 2005 Fund

            

Class I

1,000

0.28%

863.40

1.31

1,023.70

1.42

Class M5

1,000

0.43%

863.10

2.01

1,022.90

2.18

Class M4

1,000

0.68%

862.50

3.17

1,021.70

3.45

Class M3

1,000

0.93%

860.50

4.34

1,020.40

4.71

MM Select T. Rowe Price Retirement 2010 Fund

            

Class I

1,000

0.28%

859.10

1.30

1,023.70

1.42

Class M5

1,000

0.43%

858.90

2.00

1,022.90

2.18

Class M4

1,000

0.68%

857.10

3.17

1,021.70

3.45

Class M3

1,000

0.93%

856.40

4.33

1,020.40

4.71

MM Select T. Rowe Price Retirement 2015 Fund

            

Class I

1,000

0.30%

855.60

1.40

1,023.60

1.52

Class M5

1,000

0.45%

854.80

2.09

1,022.80

2.28

Class M4

1,000

0.70%

853.90

3.25

1,021.60

3.55

Class M3

1,000

0.95%

852.70

4.41

1,020.30

4.81

MM Select T. Rowe Price Retirement 2020 Fund

            

Class I

1,000

0.31%

850.50

1.44

1,023.50

1.57

Class M5

1,000

0.47%

849.70

2.18

1,022.70

2.38

Class M4

1,000

0.72%

849.20

3.34

1,021.50

3.65

Class M3

1,000

0.97%

847.50

4.49

1,020.20

4.91

MM Select T. Rowe Price Retirement 2025 Fund

            

Class I

1,000

0.34%

840.50

1.57

1,023.40

1.72

Class M5

1,000

0.50%

839.70

2.31

1,022.60

2.54

Class M4

1,000

0.75%

838.50

3.46

1,021.30

3.80

Class M3

1,000

1.00%

837.50

4.61

1,020.10

5.06

MM Select T. Rowe Price Retirement 2030 Fund

            

Class I

1,000

0.37%

825.40

1.69

1,023.20

1.88

Class M5

1,000

0.54%

824.60

2.47

1,022.40

2.74

Class M4

1,000

0.79%

823.50

3.61

1,021.10

4.00

Class M3

1,000

1.04%

822.40

4.75

1,019.90

5.27

MM Select T. Rowe Price Retirement 2035 Fund

            

Class I

1,000

0.39%

812.40

1.77

1,023.10

1.98

Class M5

1,000

0.56%

811.50

2.54

1,022.30

2.84

Class M4

1,000

0.81%

810.70

3.68

1,021.00

4.10

Class M3

1,000

1.06%

809.40

4.81

1,019.80

5.37

MM Select T. Rowe Price Retirement 2040 Fund

            

Class I

1,000

0.41%

801.90

1.85

1,023.00

2.08

Class M5

1,000

0.58%

801.60

2.62

1,022.20

2.94

Class M4

1,000

0.83%

800.30

3.75

1,020.90

4.20

Class M3

1,000

1.08%

799.60

4.87

1,019.70

5.47

MM Select T. Rowe Price Retirement 2045 Fund

            

Class I

1,000

0.42%

798.20

1.89

1,023.00

2.13

Class M5

1,000

0.60%

797.40

2.70

1,022.10

3.04

Class M4

1,000

0.85%

795.90

3.83

1,020.80

4.31

Class M3

1,000

1.10%

795.50

4.95

1,019.60

5.57

 

223

 

 

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

0.43%

$796.20

$1.94

$1,022.90

$2.18

Class M5

1,000

0.61%

795.50

2.75

1,022.00

3.09

Class M4

1,000

0.86%

794.50

3.87

1,020.80

4.36

Class M3

1,000

1.11%

793.70

4.99

1,019.50

5.62

MM Select T. Rowe Price Retirement 2055 Fund

            

Class I

1,000

0.44%

795.50

1.98

1,022.90

2.23

Class M5

1,000

0.62%

794.60

2.79

1,022.00

3.14

Class M4

1,000

0.87%

794.10

3.91

1,020.70

4.41

Class M3

1,000

1.12%

793.10

5.03

1,019.50

5.67

MM Select T. Rowe Price Retirement 2060 Fund

            

Class I

1,000

0.44%

795.90

1.98

1,022.90

2.23

Class M5

1,000

0.62%

794.90

2.79

1,022.00

3.14

Class M4

1,000

0.87%

793.70

3.91

1,020.70

4.41

Class M3

1,000

1.12%

792.70

5.03

1,019.50

5.67

 

*

Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2022, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 365 days in the year, unless stated otherwise.

 

224

 

 

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Underwriter:
MML Distributors, LLC
1295 State Street
Springfield, Massachusetts 01111-0001

 

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001.

All rights reserved. www.MassMutual.com. Investment Adviser: MML Investment Advisers, LLC

MM202311-
303391

 

 

 

 

 

 

 

 

 

Table of Contents

  

President’s Letter to Shareholders (Unaudited)

1

Economic and Market Overview (Unaudited)

3

Portfolio Manager Report (Unaudited)

6

Portfolio of Investments

  

MM Equity Asset Fund

30

MassMutual Select T. Rowe Price Bond Asset Fund

35

MassMutual Select T. Rowe Price Emerging Markets Bond Fund

66

MassMutual Select T. Rowe Price Large Cap Blend Fund

74

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

81

MassMutual Select T. Rowe Price Real Assets Fund

88

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund

94

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund

108

Statements of Assets and Liabilities

112

Statements of Operations

116

Statements of Changes in Net Assets

118

Financial Highlights

122

Notes to Financial Statements

130

Report of Independent Registered Public Accounting Firm

162

Trustees and Principal Officers (Unaudited)

164

Federal Tax Information (Unaudited)

169

Other Information (Unaudited)

  

Proxy Voting

170

Quarterly Reporting

170

Trustees’ Approval of Investment Advisory Contracts

170

Submission of Matters to a Vote of Security Holders

173

Fund Expenses

174

 

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for the applicable MassMutual 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.

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

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

 

To Our Shareholders

 

Paul LaPiana

“At MassMutual, our goal is to help you build the future you want for yourself and your family. We want to help you with your retirement plans today, so you can feel more comfortable about tomorrow.”

 

September 30, 2022

 

Continued market volatility challenges retirement investors

I am pleased to present you with the MassMutual Funds Annual Report. During the fiscal year ended September 30, 2022, U.S. stocks were down over 15%, with investors concerned that stimulus-fueled recovery from the COVID-19 pandemic was over and that domestic monetary policy had turned toward combating heightened inflation. Stocks in foreign developed markets and emerging markets also experienced significant losses in the fiscal year, hurt by elevated energy prices, a strengthening U.S. dollar, and concerns that consumer spending and corporate earnings growth would slow. U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by aggressive interest rate hikes by the U.S. Federal Reserve Board that were aimed at reducing demand-driven inflationary pressures.

 

Suggestions for retirement investors under any market conditions

●

You are likely in it for the long term. Retirement planning involves what financial professionals refer to as “long-term investing,” since most people save and invest for retirement throughout their working years. Even in retirement, many individuals will systematically withdraw their retirement savings over a number of years, keeping a portion of their funds invested. Although the financial markets will go up and down, individuals who take a long-term approach to investing don’t focus on current headlines – because they realize that they have time to ride out the downturns.

 

●

Keep contributing. While you have no control over the investment markets, you can control how often and how much you contribute to your retirement account. Saving as much as possible and increasing your contributions regularly is one way retirement investors can help boost their retirement savings, regardless of the performance of the stock and bond markets.

 

●

Invest continually.1 Financial professionals often advise their clients to stay in the market, regardless of short-term results. Here’s why: Those who can invest in all market conditions have the potential to be rewarded even during market downturns, when more favorable prices may enable them to accumulate larger positions.

 

●

Monitor your asset allocation and diversify. Stocks, bonds, and short-term/money market investments are asset classes that tend to behave differently, depending upon the economic and market environment. These broad asset classes contain an even greater array of asset sub-categories (such as small-cap stocks, international stocks, and high-yield bonds). Most financial professionals agree that investors can take advantage of different opportunities in the market and reduce the risk of over-exposure to one or two poorly performing asset types by selecting a number of investments that represent a mix of asset classes and sub-categories.

 

Is this a good time to track your progress?

If you work with a financial professional, you may wish to consider checking in with him or her to help you determine if:

 

●

you are saving enough for retirement – and, if in retirement, you are withdrawing an appropriate amount each year, based on your personal circumstances;

 

●

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

 

●

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

 

1 Systematic investing and asset allocation do not ensure a profit or protect against loss in a declining market. Systematic investing involves continuous investment in securities regardless of fluctuating price levels. Investors should consider their ability to continue investing through periods of low price levels.

 

(Continued)

 

1

 

 

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

 

Get to where you want to be

At MassMutual, our goal is to help you build the future you want for yourself and your family. We want to help you with your retirement plans today, so you can feel more comfortable about tomorrow. That’s why we continue to encourage you to maintain perspective when it comes to retirement investing, regardless of any headline-making events. MassMutual’s view is that changing market conditions have the potential to reward patient investors. Thank you for your continued confidence and trust in MassMutual.

 

Sincerely,

 

 

Paul LaPiana
President
MassMutual Funds
MML Investment Advisers, LLC

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com.

 

MML Distributors, LLC (MMLD) serves as the exclusive wholesale marketing agent for all MassMutual Funds, as well as the distributor for all MassMutual Funds, except the MassMutual Global Floating Rate Fund, MassMutual Global Credit Income Opportunities Fund, MassMutual Emerging Markets Debt Blended Total Return Fund, MassMutual Global Emerging Markets Equity Fund, MassMutual High Yield Fund, and MassMutual Short-Duration Bond Fund. MMLD Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. Investment advisory services are provided to all MassMutual Funds by MML Investment Advisers, LLC (MML Advisers). MMLD and MML Advisers are subsidiaries of MassMutual.

 

The information provided is the opinion of MML Advisers 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.

 

MM202310-303203

 

2

 

 

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

 

September 30, 2022

 

Continued market volatility challenges retirement investors

 

During the fiscal year ended September 30, 2022, U.S. stocks were down over 15%, with investors concerned that stimulus-fueled recovery from the COVID-19 pandemic was over and that domestic monetary policy had turned toward combating heightened inflation. Stocks in foreign developed markets and emerging markets also experienced significant losses in the fiscal year, hurt by elevated energy prices, a strengthening U.S. dollar, and concerns that consumer spending and corporate earnings growth would slow. U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by aggressive interest rate hikes by the U.S. Federal Reserve Board (the “Fed”) that were aimed at reducing demand-driven inflationary pressures.

 

Market Highlights

 

●

For the reporting period from October 1, 2021 through September 30, 2022, U.S. stocks were down over 15%, in a market environment where the Fed aggressively raised interest rates in an effort to combat heightened inflation.

 

●

In the fourth quarter of 2021, expectations for strong economic and earnings growth in 2022, bolstered by the possibility of a $2 trillion economic stimulus and social spending plan, allowed investors to look past sharp increases in COVID-19 Omicron variant cases and heightened inflationary pressures.

 

●

In the first quarter of 2022, investors in both stocks and bonds were challenged by a sharp rise in energy prices after Russia’s invasion of Ukraine, a stalled domestic economic stimulus plan, and the Fed raising interest rates for the first time since 2018.

 

●

The second quarter of 2022 was another difficult quarter, as Fed interest rate hikes, investor concerns over high inflation, and concern about the potential of an impending global recession dominated the narrative.

 

●

The third quarter of 2022 was an extension of the difficult second quarter, with continued inflationary pressures, weakening economic data, and aggressive Fed interest rate hikes.

 

●

Foreign stocks in developed markets and emerging markets also experienced losses in the fiscal year, against the backdrop of Russia’s invasion of Ukraine (and the resulting economic sanctions that kept energy prices elevated), the strengthening U.S. dollar, and threatened consumer spending and corporate earnings growth.

 

●

U.S. bond investors experienced negative returns in the rising interest rate environment, fueled by an increase in short-term interest rates, heighted inflationary pressures, and the reversal of monetary and fiscal policy support.

 

Market Environment

 

For the fiscal year beginning on October 1, 2021, global stock investors experienced significant losses. U.S. stocks fell sharply in the period in response, with the S&P 500 Index® (“S&P 500”)1 entering bear market territory after declining more than 20% from its previous highs. Investors sought safety from high inflation, rising interest rates, and the increasing possibility of a recession. Consumer sentiment fell sharply, down 17.2% in the period2 , as high inflation – driven by rising energy, food, and housing costs – overwhelmed low unemployment and strong wage growth. As of August 2022, more Americans are borrowing to make ends meet in these inflationary times, resulting in consumer loan levels at record highs, having increased by 12.4% year-over-year3.

 

1 The S&P 500 Index measures the performance of 500 widely held stocks in the U.S. equity market. Standard and Poor’s chooses member companies for the index based on market size, liquidity, and industry group representation. Included are the stocks of industrial, financial, utility, and transportation companies. Since mid-1989, this composition has been more flexible and the number of issues in each sector has varied. It is market capitalization-weighted. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

2 June 24, 2022, University of Michigan: Consumer Sentiment (UMCSENT), retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/UMCSENT

 

3 Board of Governors of the Federal Reserve System (US), Consumer Loans, All Commercial Banks [CONSUMER], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/CONSUMER, October 11, 2022.

 

3

 

 

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

 

As a result, the broad market S&P 500 fell 15.47% for the period. The technology-heavy NASDAQ Composite Index4 performed even worse, dropping 26.25%. The more economically sensitive Dow Jones Industrial AverageSM5 was down 13.40%. During the reporting period, small-cap stocks underperformed their larger-cap peers, while value stocks outperformed their growth brethren. The communication services, consumer discretionary, and information technology sectors were all down by 20% or more. The energy sector was the strongest performer for the fiscal year, up 45.70%, aided by an 18% increase in the price of West Texas Intermediate (WTI) crude oil. The utilities sector also ended the period positively, gaining 5.58% for the period.

 

Developed international markets, as measured by the MSCI EAFE® Index6 , trailed their domestic peers, ending the fiscal year down 25.13%. Emerging-market stocks, as measured by the MSCI Emerging Markets Index7 , also fell sharply, ending down 28.11% for the period. Investors sold off developed international and emerging-market stocks on concerns that higher interest rates and commodity prices would impair consumer spending and corporate earnings growth.

 

Bond yields rose sharply during the fiscal year, with the 10-year U.S. Treasury bond yield rising from a low of 1.52% on October 1, 2021 to close the period at 3.83%. Rising yields generally produce falling bond prices; consequently, bond index returns suffered. The Bloomberg U.S. Aggregate Bond Index8 ended the period down 14.60%. Investment-grade corporate bonds fared even worse. The Bloomberg U.S. Corporate Bond Index9 , which tracks investment-grade corporate bonds, ended the period with an 18.53% loss. The Bloomberg U.S. Corporate High-Yield Bond Index10 also ended in negative territory, declining 14.14% for the period.

 

4 The NASDAQ Composite Index measures the performance of all domestic and international based common type stocks listed on the NASDAQ Stock Market. It includes common stocks, ordinary shares, ADRs, shares of beneficial interest or limited partnership interests and tracking stocks. The index is market capitalization-weighted. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

5 The Dow Jones Industrial Average Index measures the performance of stocks of 30 U.S. blue-chip companies covering all industries with the exception of transportation and utilities. It is price-weighted. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

6 The MSCI EAFE Index 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. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

7 The MSCI Emerging Markets Index measures the performance of the large- and mid-cap segments of emerging market equity securities. It is free float-adjusted market-capitalization weighted. The Index does not reflect any deduction for fees or expenses and cannot be purchased directly by investors.

 

8 The Bloomberg U.S. Aggregate Bond Index measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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). It rolls up into other Bloomberg flagship indexes, such as the multi-currency Global Aggregate Index and the U.S. Universal Index, which includes high yield and emerging markets debt. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

9 The Bloomberg U.S. Corporate Bond Index measures the performance of the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

10 The Bloomberg U.S. Corporate High-Yield Bond Index measures the performance of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, putable, and callable bonds, SEC Rule 144A securities, original issue zeros, pay-in-kind bonds, fixed-rate and fixed-to-floating capital securities. The Index does not reflect any deduction for fees, expenses, or taxes and cannot be purchased directly by investors.

 

4

 

 

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

 

Review and maintain your strategy

 

MassMutual is committed to helping people secure their long-term future and protect the ones they love. While the current market volatility, including the reality of market sell-offs, can test an investor’s mettle, we’d like to remind you that, as a retirement investor, it’s important to maintain perspective and have realistic expectations about the future performance of your investment accounts. As described in this report, financial markets can reverse suddenly with little or no notice. That’s why we continue to believe that retirement investors should create and maintain a plan that focuses on their goals, how long they have to invest, and how comfortable they are with market volatility. Our multi-managed and sub-advised mutual funds tap into the deep expertise of seasoned asset managers who are committed to helping long-term investors prepare for retirement – in all market conditions. As always, we recommend that you work with a personal financial professional, who can help you define an investment strategy that aligns with your comfort level with respect to market volatility, how long you have to save and invest, and your specific financial goals. Thank you for your confidence in MassMutual.

 

© 2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001. All rights reserved. www.MassMutual.com.

 

MML Distributors, LLC (MMLD) serves as the exclusive wholesale marketing agent for all MassMutual Funds, as well as the distributor for all MassMutual Funds, except the MassMutual Global Floating Rate Fund, MassMutual Global Credit Income Opportunities Fund, MassMutual Emerging Markets Debt Blended Total Return Fund, MassMutual Global Emerging Markets Equity Fund, MassMutual High Yield Fund, and MassMutual Short-Duration Bond Fund. MMLD Member FINRA and SIPC (www.FINRA.org and www.SIPC.org), 1295 State Street, Springfield, MA 01111-0001. Investment advisory services are provided to all MassMutual Funds by MML Investment Advisers, LLC (MML Advisers). MMLD and MML Advisers are subsidiaries of MassMutual.

 

The information provided is the opinion of MML Advisers 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.

 

5

 

 

MM Equity Asset Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MM 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 or its affiliates (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s®, S&P®, and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); and 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 MassMutual. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or 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, 2022?

The Fund’s Class I shares returned -14.16%, outperforming the -15.47% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, stock selection in the pharma/medical technology, industrial cyclical, and health services & systems sectors contributed the most to the Fund’s performance – while stock choices in the basic materials, telecommunications, and real estate investment trust (REIT) sectors detracted the most from the Fund’s performance.

 

On the positive side, the Fund’s underweight allocations to PayPal (PYPL), a company that engages in the development of technology platforms for digital payments; Intel (INTC), a company that designs, manufactures, and sells computer products and technologies; and Adobe (ADBE), a company that develops, markets and supports computer software products and technologies were the top individual contributors to the Fund’s performance. In particular, the Fund’s underweight allocation to PayPal was additive, as the company underperformed during the fiscal year, given the competitive pressures it faced from its more innovative competitors.

 

On the negative side, the Fund’s overweight allocations to Stanley Black & Decker (SWK), a manufacturer of industrial tools and household hardware; Charter Communications (CHTR), a cable telecommunications company; and Shopify (SHOP), a provider of a cloud-based commerce platform were the top individual detractors. The Fund’s overweight position in Stanley Black & Decker was the largest detractor over the period. As multiples for earlier-cycle names have compressed, the company underperformed; additionally, Stanley Black & Decker did not execute as well as peers with regard to supply chain issues, leading to a lack of volume growth.

 

Derivatives may generally 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. During the reporting period, the Fund used futures to hedge cash positions, which were less than 5% of the Fund’s market value. The positions had a negligible impact on performance over the period.

 

6

 

 

MM Equity Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

 

Subadviser outlook

Looking ahead, Fund management expects to continue to focus on fundamentals of the economy and company earnings. As of the end of the fiscal year, J.P. Morgan analysts’ estimates for benchmark earnings projected the potential for +10% for 2022 and +6% for 2023. While subject to revision, this forecast reflects J.P. Morgan’s expectations for a recovery in the underlying economy – and includes its best analysis of earnings expectations. J.P. Morgan believes that inflation and other uncertainties – such as the tightening liquidity, lingering supply chain constraints, and economic impacts of the war in Ukraine – will be integral to investor sentiment moving forward.

 

MM Equity Asset Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Apple, Inc.

6.8%

Microsoft Corp.

6.5%

Amazon.com, Inc.

3.6%

Alphabet, Inc. Class A

2.4%

Tesla, Inc.

2.3%

UnitedHealth Group, Inc.

1.9%

Alphabet, Inc. Class C

1.7%

Visa, Inc. Class A

1.4%

Berkshire Hathaway, Inc. Class B

1.4%

Exxon Mobil Corp.

1.4%
 

29.4%
   

 

MM Equity Asset Fund
Sector Table
(% of Net Assets) on 9/30/22

Technology

22.5%

Consumer, Non-cyclical

21.1%

Financial

15.5%

Communications

12.2%

Consumer, Cyclical

9.6%

Industrial

7.8%

Energy

4.5%

Utilities

3.0%

Basic Materials

2.1%

Mutual Funds

0.1%

Total Long-Term Investments

98.4%

Short-Term Investments and Other Assets and Liabilities

1.6%

Net Assets

100.0%
   

 

7

 

 

MM Equity Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

5 Years

Since Inception
09/15/2016

Class I

09/15/2016

-14.16%

8.63%

10.24%

S&P 500 Index

  

-15.47%

9.24%

11.03%

 

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.

 

8

 

 

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). In addition, T. Rowe Price International Ltd serves as a sub-subadviser for the Fund.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class I shares returned -14.50%, outperforming the -14.60% return of the Bloomberg U.S. Aggregate Bond Index (the “benchmark”), which measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market securities, 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). (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.)

 

For a discussion on the economic and market environment during the 12-month period ended September 30, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, the U.S. dollar-hedged international bond allocation fell to a lesser extent than the U.S. core bond allocation.

 

The core bond allocation underperformed the benchmark. Sector allocation detracted in aggregate from relative results due to the Fund’s underweight position in Treasuries and government-related agency bonds, which outperformed the benchmark amid increasing risk-off sentiment. The Fund’s allocations to MBS and investment-grade (IG) and high-yield corporate bonds also hurt performance, as credit spreads widened amid increasing recession concerns. Interest rate management was an overall negative, as Fund management made tactical adjustments during a period of elevated rate volatility. Conversely, security selection was a modest contributor, led by the Fund’s agency MBS and IG corporate holdings.

 

The U.S. dollar-hedged international bond allocation underperformed the Bloomberg Aggregate ex-USD Hedged Index. In country and duration positioning, a long duration exposure in Hungary, where the central bank raised rates to fight inflation, was a significant detractor for 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.) Conversely, a short position in Poland was beneficial, as the central bank was also raising rates. Overall, inflation-linked exposures in Europe and Japan contributed.

 

Within sector allocation and security selection, exposure to U.S. corporate credit held back relative performance as the sector underperformed due to volatility and waning risk appetite. In currencies, overweights in the euro and the yen had a negative impact on relative results. However, the Fund’s overweight allocation to the Mexican peso was beneficial.

 

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, 2022, the Fund held interest rate futures, interest rate swaps, credit default swaps, currency forwards, and inflation swaps generating gross exposure of approximately 76.6%. The use of futures, swaps, and options detracted from the Fund’s performance. The use of currency forwards added to returns.

 

Subadviser outlook

T. Rowe Price observes that valuations have improved as risk assets have pulled back from their recent highs, but uncertainty around corporate fundamentals suggests limited near-term upside, particularly as earnings estimates did not see significant downward revision to reflect rising recession risks. Fund management expects to continue to assess when to add to equities and other risk assets as they evaluate long-term valuations and possible early indications of stabilization or improvement

 

9

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

 

in macroeconomic conditions. Given the range of potential paths for growth and inflation, Fund management expects their positioning to remain cautious, as they expect that a firm commitment from major central banks to bring down inflation could result in a low ceiling for stocks in the near term, and possibly exacerbate economic contraction through overtightening. In T. Rowe Price’s opinion, other key risks to global markets include the Russia-Ukraine conflict and the associated impact of energy supply shortages, which could weigh on European manufacturing, broader geopolitical instability, and unexpected supply chain disruptions. In T. Rowe Price’s view, these conditions could contribute to a less compelling risk/reward trade-off between stocks and bonds or cash in the near term, and they believe that a more modest allocation to equities may be prudent.

 

MassMutual Select
T. Rowe Price Bond Asset Fund
Portfolio Characteristics
(% of Net Assets) on 9/30/22

Corporate Debt

27.8%

U.S. Government Agency Obligations and Instrumentalities*

20.8%

Sovereign Debt Obligations

18.1%

U.S. Treasury Obligations

17.2%

Non-U.S. Government Agency Obligations

9.5%

Mutual Funds

2.6%

Bank Loans

1.7%

Municipal Obligations

0.1%

Total Long-Term Investments

97.8%

Short-Term Investments and Other Assets and Liabilities

2.2%

Net Assets

100.0%
   

 

* May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

 

10

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-14.50%

-0.26%

Bloomberg U.S. Aggregate Bond Index

  

-14.60%

0.02%

 

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 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, 2022?

The Fund’s Class I shares returned -25.84%, underperforming the -24.28% return of the J.P. Morgan Emerging Markets Bond Index Global Diversified (the “benchmark”), which measures the performance of fixed rate, U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, including Brady bonds, loans, and Eurobonds. The Index limits the weights of those index countries with larger debt stocks by only including a specified portion of a country’s eligible amounts of debt outstanding.

 

For a discussion on the economic and market environment during the 12-month period ended September 30, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, security selection within China was a source of weakness for the Fund, as its holdings of higher-yielding property developers, such as Times China and Shimao, hindered results – as they were dragged lower by tightening domestic financial conditions, liquidity concerns, and recent defaults in the most heavily indebted areas of the Chinese property sector. Consequently, during the period, the Fund eliminated its positions in the Chinese property sector. An underweight allocation to high-quality Chinese sovereign bonds also detracted from the Fund’s relative results amid weaker investor risk appetite and resilient growth in China.

 

The Fund’s selection of longer-maturity and euro-denominated issues in Romania detracted from relative performance, as did its overweight allocation. High inflation and concerns about a European energy crisis weighed on the country. Euro-denominated issues underperformed amid U.S. dollar strength.

 

Turning to the positive, the Fund’s significant underweight allocation to Russia and lack of exposure to Belarus aided the Fund’s relative performance, as Russia’s invasion of Ukraine (and Belarus’s support of the former) was met with heavy economic sanctions. The two countries’ assets were removed from major indexes at a price of zero. Fund management eliminated the Fund’s small Russian holdings early in the reporting period. Additionally, the Fund’s underweight allocations to lower-rated Nigeria, Ghana, and Kenya proved beneficial, as investor sentiment was weak and concerns increased about rising food and fuel prices adding pressure to countries with stretched fundamentals. Finally, the Fund’s overweight allocation to higher-yielding Oman was positive, supported by increased oil prices and fiscal reform efforts. These efforts were recognized by a one-notch credit rating upgrade from S&P and Fitch.

 

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, 2022, the Fund held interest rate futures, currency forwards, and credit default swaps generating gross exposure of approximately 12.0%. The estimated return impact from employing currency forwards and interest rate futures was positive; credit default swaps had a somewhat negative effect on the Fund’s performance during the reporting period.

 

Subadviser outlook

T. Rowe Price believes that exogenous risks remain a cause for caution. Nevertheless, in Fund management’s observation, recent volatility has moved absolute valuations to below historical averages and increased value dispersion across major markets in the asset class, which created some potential opportunities. In terms of fundamentals, T. Rowe Price observes that, as of the end of the fiscal year, stressed fiscal conditions persisted in some markets due to the lingering effects of the coronavirus pandemic, though strong export demand supported fiscal consolidation in 2022 in many markets. In T. Rowe Price’s view, growth recoveries

 

12

 

 

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

 

were slowing in some markets as inflation pressures built and the monetary policy trajectory became less accommodative for growth. T. Rowe Price believes that emerging-market debt continues to offer a substantial yield premium and broadly sound fundamentals, making the asset class potentially compelling on a risk-adjusted basis relative to other credit sectors.

 

MassMutual Select
T. Rowe Price Emerging
Markets Bond Fund
Portfolio Characteristics
(% of Net Assets) on 9/30/22

Sovereign Debt Obligations

62.5%

Corporate Debt

31.9%

Mutual Funds

0.9%

Total Long-Term Investments

95.3%

Short-Term Investments and Other Assets and Liabilities

4.7%

Net Assets

100.0%
   

 

13

 

 

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-25.84%

-3.84%

J.P. Morgan Emerging Markets Bond Index Global Diversified

 

-24.28%

-2.70%

 

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 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, 2022?

The Fund’s Class I shares returned -22.96%, significantly underperforming the -17.22% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, within the Fund’s large-cap growth allocation, unfavorable stock selection and an overweight allocation to the communications services sector were notable detractors from the Fund’s relative returns, driven by Fund holdings in the interactive media and services industry. Security selection in the consumer discretionary and information technology sectors also weighed on the Fund’s relative performance. Conversely, favorable stock selection in the health care sector, led by Fund holdings in the health care providers and services industry, contributed to relative returns.

 

Within the Fund’s large-cap value allocation, an underweight allocation to the energy sector was a notable detractor from relative performance. Stock selection within the health care sector also weighed on the Fund’s relative returns, driven by the pharmaceuticals industry; however, an overweight allocation to the sector moderated the negative impact. Unfavorable stock selection within the materials sector further hurt the Fund’s relative returns, although this was partially offset by an overweight allocation. Additionally, a lack of exposure to the energy sector was a notable detractor from relative results. Security selection in the information technology sector also had a negative impact on the Fund’s relative performance, driven by Fund holdings in the technology hardware, storage, and peripherals industry.

 

Conversely, the financial sector contributed to relative performance due to strong stock selection, led by Fund holdings in the banking industry. The consumer discretionary sector also had a positive impact on relative returns due to favorable security selection. Within the large-cap core allocation, security selection in the industrials and business services sector contributed to relative performance, led by holdings within the machinery industry. Relative returns were also lifted by an underweight allocation to and favorable stock selection within the communication services sector. Stock selection within the financial sector further aided the Fund’s relative performance.

 

Subadviser outlook

T. Rowe Price notes that the volatility that gripped global equity and bond markets in the first two quarters of 2022 persisted throughout the third quarter, with most major indexes trending lower over the period. Over the course of the Fund’s fiscal year, central banks raised policy rates, tightening financial conditions, in an effort to combat persistently high inflation. These hawkish moves contributed to elevated equity market volatility and were a catalyst for a sell-off late in the third quarter of 2022. On the other hand, in Fund management’s view, signs suggesting easing inflationary pressures have emerged in recent months, as key input costs – such as oil, lumber, and copper – have declined sharply, while labor participation and employment data suggest a resilient labor in the U.S. in the face of an uncertain growth outlook. Despite conflicting signals, Fund management believes that markets have begun to price in higher recession probabilities, as hopes for a soft landing have diminished. In Fund management’s opinion, it now appears more likely that inflation will take longer to fade and that it will probably settle at high levels, likely above the Fed’s 2% long-term inflation target.

 

15

 

 

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 9/30/22

Microsoft Corp.

6.3%

Amazon.com, Inc.

4.7%

Apple, Inc.

4.5%

Alphabet, Inc. Class C

3.5%

UnitedHealth Group, Inc.

2.4%

Elevance Health, Inc.

2.0%

Becton Dickinson and Co.

1.9%

Alphabet, Inc. Class A

1.8%

The Southern Co.

1.7%

Tesla, Inc.

1.6%

 

30.4%
   

 

MassMutual Select
T. Rowe Price Large Cap Blend Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

24.2%

Technology

21.0%

Communications

13.2%

Financial

11.1%

Consumer, Cyclical

10.1%

Industrial

7.2%

Utilities

5.8%

Energy

2.5%

Basic Materials

0.8%

Corporate Debt

0.0%

Total Long-Term Investments

95.9%

Short-Term Investments and Other Assets and Liabilities

4.1%

Net Assets

100.0%
   

 

16

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-22.96%

7.17%

Russell 1000 Index

  

-17.22%

9.04%

 

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 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, 2022?

The Fund’s Class I shares returned -4.82%, underperforming the -4.09% return of the Bloomberg U.S. 1-5 Year Treasury TIPS Index (the “benchmark”), which measures the performance of inflation-protected securities with maturities of 1-5 years issued by the U.S. Treasury.

 

For a discussion on the economic and market environment during the 12-month period ended September 30, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, interest rate management was the largest detractor from the Fund’s relative results. The Fund’s tactical duration moves were ill-timed, as inflation continued to surprise to the upside, and the significant repricing of Federal Reserve (the “Fed”) rate expectations drove daily interest rate volatility to its highest level since March 2020. (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’s positioning on the yield curve was beneficial, however, which partially offset the negative impact of duration positioning. (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 Fund’s out-of-benchmark positions in mortgage-backed securities (MBS), investment-grade corporates, and asset-backed securities (ABS) also weighed on relative performance, as short-dated Treasury inflation-protected securities (TIPS) outperformed most short-duration credit sectors, and the Fund’s position in nominal Treasuries also lagged.

 

On the positive side, the Fund’s exposure to breakeven spreads via inflation swaps – which are generally used to ensure that the Fund remains inflation hedged when investing outside of the benchmark – contributed to relative results, as inflation expectations increased during the first half of the reporting period. (Breakeven spreads represent the yield differential between nominal Treasuries and TIPS.) Five-year breakeven spreads started the 12-month period at 2.51%, but rose to 3.73% by late March – the highest level since the data series began in 2003. However, breakeven spreads pulled back as the Fed became increasingly hawkish, and finished the period at 2.14%.

 

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, 2022, the Fund held currency forwards, inflation swaps, interest rate future options, and credit default swaps generating gross exposure of approximately 82.4%. The estimated return impact from employing swaps benefited the Fund’s performance; the use of currency forwards, futures, and options detracted.

 

Subadviser outlook

In T. Rowe Price’s view, inflation has potentially peaked, and Fund management expects it to slowly move lower before decelerating more quickly in the first half of 2023, assuming that U.S. markets see the lagged effect of declining shelter prices in tandem with goods price deflation due to the strong dollar. Improving data on inventories and supply chain backlogs as of the end of the fiscal year also potentially point to an eventual easing of inflationary pressures, in Fund management’s opinion.

 

18

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

 

Assuming that inflation has peaked, Fund management believes that TIPS appear fairly valued across the breakeven curve. As a result, they expect to trim the Fund’s TIPS allocation and add exposure to out-of-benchmark sectors where they see opportunities such as agency MBS. (“Agency” refers to debt issued by U.S. federal government agencies or government-sponsored entities for financing purposes.) This is consistent with Fund management’s general investment process of using short-term, high-quality spread sectors to add yield to the Fund’s portfolio in periods when they expect inflation to moderate.

 

MassMutual Select
T. Rowe Price Limited
Duration Inflation Focused Bond
Fund Portfolio Characteristics
(% of Net Assets) on 9/30/22

U.S. Treasury Obligations

79.4%

Mutual Funds

6.2%

Non-U.S. Government Agency Obligations

5.9%

Corporate Debt

5.3%

U.S. Government Agency Obligations and Instrumentalities*

2.9%

Municipal Obligations

0.4%

Purchased Options

0.0%

Total Long-Term Investments

100.1%

Short-Term Investments and Other Assets and Liabilities

(0.1)%

Net Assets

100.0%
   

 

* May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

 

19

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-4.82%

2.62%

Bloomberg U.S. 1-5 Year Treasury TIPS Index

  

-4.09%

2.49%

 

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 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). In addition, T. Rowe Price Japan, Inc. serves as a sub-subadviser for the Fund.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class I shares returned -12.24%, significantly outperforming the -20.66% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, multi-asset overlays, which the Fund typically employs in an effort to efficiently implement desired positions, had a positive impact on the Fund’s performance, relative to the benchmark.

 

Despite the Fund’s significant outperformance, its return for the fiscal year was negative on an absolute basis. Security selection within the Fund’s allocation to commodities – which includes exposure to natural resources, precious metals, and global metals and mining – negatively contributed to the Fund’s performance. The Fund’s underlying natural resources portfolio was the largest driver of underperformance, as the portfolio trailed its style-specific benchmark. The Fund’s performance was also held back by selection within its allocation to real estate, which includes exposure to global and U.S. real estate investment trusts (REITs).

 

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, 2022, the Fund held currency forwards, equity total return swaps, index futures, and interest rate futures generating gross exposure of approximately 16.8%. Employing currency forwards, options, and swaps was a drag on the Fund’s performance; the use of futures enhanced the Fund’s performance during the reporting period.

 

Subadviser outlook

T. Rowe Price notes that the volatility that gripped global equity and bond markets in the first two quarters of 2022 persisted throughout the third quarter, with most major indexes trending lower over the period. Over the course of the Fund’s fiscal year, central banks raised policy rates, tightening financial conditions, in an effort to combat persistently high inflation. These hawkish moves contributed to elevated equity market volatility and were a catalyst for a sell-off late in the third quarter of 2022. On the other hand, in Fund management’s view, signs suggesting easing inflationary pressures have emerged in recent months, as key input costs – such as oil, lumber, and copper – have declined sharply, while labor participation and employment data suggest a resilient labor market in the U.S. in the face of an uncertain growth outlook. Despite conflicting signals, Fund management believes that markets have begun to price in higher recession probabilities, as hopes for a soft landing have diminished. In Fund management’s opinion, it now appears more likely that inflation will take longer to fade and that it will probably settle at high levels, likely above the Fed’s 2% long-term inflation target.

 

21

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio Manager Report (Unaudited) (Continued)

 

MassMutual Select
T. Rowe Price Real Assets Fund
Largest Holdings
(% of Net Assets) on 9/30/22

BHP Group Ltd.

3.9%

Prologis, Inc.

2.3%

Equinix, Inc.

2.0%

Public Storage

2.0%

ConocoPhillips

1.7%

Rio Tinto PLC

1.6%

Reliance Steel & Aluminum Co.

1.5%

Nutrien Ltd.

1.5%

Boliden AB

1.4%

Equity LifeStyle Properties, Inc.

1.4%
 

19.3%
   

 

MassMutual Select
T. Rowe Price Real Assets Fund
Sector Table
(% of Net Assets) on 9/30/22

Financial

33.3%

Basic Materials

28.0%

Energy

11.6%

Industrial

11.0%

Mutual Funds

5.2%

Consumer, Cyclical

4.0%

Utilities

1.8%

Consumer, Non-cyclical

1.1%

Technology

0.4%

Total Long-Term Investments

96.4%

Short-Term Investments and Other Assets and Liabilities

3.6%

Net Assets

100.0%
   

 

22

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-12.24%

4.14%

MSCI ACWI

  

-20.66%

4.07%

 

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 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 and sub-subadviser currently consider 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). In addition, T. Rowe Price Investment Management, Inc. serves as a sub-subadviser for the Fund.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class I shares returned -21.64%, underperforming the -21.11% 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, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, the Fund’s allocations to small-cap growth and value stocks underperformed their benchmarks, while mid-cap stocks outperformed their benchmarks.

 

Within the small-cap growth allocation, security selection in the information technology (IT) sector was a significant detractor from relative performance, driven by holdings in the IT services industry. An underweight allocation to the energy sector also weighed on the Fund’s relative returns. Stock selection in the health care sector had a further negative impact on relative performance, but the impact was moderated by a favorable overweight allocation to the sector. Conversely, an underweight exposure to the communication services sector contributed to the Fund’s relative results. The real estate sector also aided relative returns due to the Fund’s underweight allocation to the sector, although the impact was partially offset by weak stock selection within the sector.

 

In the small-cap value allocation, security selection in the financial sector was a notable detractor from relative performance, driven by holdings in the banking industry. Stock selection, coupled with an underweight allocation to the top-performing energy sector, also had a negative impact on the Fund’s relative performance. The utilities sector further weighed on relative results, due to weak security selection. Conversely, an underweight allocation to the communication services sector contributed to relative performance. An underweight allocation to the health care sector, coupled with positive stock selection in that market segment (led by holdings within the biotechnology industry), also aided the Fund’s relative performance.

 

Within the small-cap core stock allocation, favorable stock selection, coupled with an underweight to the health care sector, contributed to relative returns, driven by holdings in biotechnology. The real estate sector also lifted relative returns due to security selection and an underweight allocation. The communication services sector further bolstered relative performance, owing to an underweight allocation. Conversely, unfavorable stock selection in the industrial and business services sector detracted from relative performance, driven by holdings in the professional services industry. The consumer discretionary sector also weighed on relative results due to less-than-favorable stock picks.

 

In the mid-cap value allocation, a favorable overweight to the energy sector contributed to relative returns, although the impact was partially offset by weak stock choices. An underweight allocation to the consumer discretionary sector also aided relative results. Positive security selection in the utilities sector further contributed, led by holdings within the electric utilities industry. Conversely, an unfavorable stock selection and an overweight allocation to the health care sector was a notable detractor from relative returns, driven by holdings within the health care equipment and supplies industry. An overweight allocation to the communication services sector also had a negative impact.

 

24

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio Manager Report (Unaudited) (Continued)

 

Within the mid-cap growth allocation, favorable stock selection in the consumer discretionary sector contributed to relative returns, led by holdings within the multiline retail industry. Strong stock selection in the health care sector was also beneficial; however, an unfavorable overweight to the sector moderated the impact. Security selection, coupled with an underweight allocation in the communication services sector, lifted relative performance. Conversely, an underweight allocation to the energy sector was a notable detractor from relative returns. Stock choices in the materials sector further weighed on relative results, driven by holdings within the chemicals industry; however, an overweight allocation mostly offset the negative impact.

 

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 warrants had a negligible impact on the Fund’s performance during the reporting period.

 

Subadviser outlook

T. Rowe Price notes that the volatility that gripped global equity and bond markets in the first two quarters of 2022 persisted throughout the third quarter, with most major indexes trending lower over the period. Over the course of the Fund’s fiscal year, central banks raised policy rates, tightening financial conditions, in an effort to combat persistently high inflation. These hawkish moves contributed to elevated equity market volatility and were a catalyst for a sell-off late in the third quarter of 2022. On the other hand, in Fund management’s view, signs suggesting easing inflationary pressures have emerged in recent months, as key input costs – such as oil, lumber, and copper – have declined sharply, while labor participation and employment data suggest a resilient labor in the U.S. in the face of an uncertain growth outlook. Despite conflicting signals, Fund management believes that markets have begun to price in higher recession probabilities, as hopes for a soft landing have diminished. In Fund management’s opinion, it now appears more likely that inflation will take longer to fade and that it will probably settle at high levels, likely above the Fed’s 2% long-term inflation target.

 

MassMutual Select
T. Rowe Price Small and
Mid Cap Blend Fund
Largest Holdings
(% of Net Assets) on 9/30/22

Textron, Inc.

1.1%

Ingersoll Rand, Inc.

1.0%

Hologic, Inc.

0.9%

Paylocity Holding Corp.

0.9%

Veeva Systems, Inc. Class A

0.9%

J.B. Hunt Transport Services, Inc.

0.8%

Atlassian Corp. PLC Class A

0.7%

Select Medical Holdings Corp.

0.7%

Marvell Technology, Inc.

0.7%

PG&E Corp.

0.7%

 

8.4%
   

 

MassMutual Select
T. Rowe Price Small and
Mid Cap Blend Fund
Sector Table
(% of Net Assets) on 9/30/22

Consumer, Non-cyclical

26.2%

Financial

17.3%

Industrial

15.6%

Technology

12.7%

Consumer, Cyclical

9.8%

Energy

4.1%

Communications

3.5%

Basic Materials

2.8%

Utilities

2.7%

Mutual Funds

0.9%

Diversified

0.2%

Total Long-Term Investments

95.8%

Short-Term Investments and Other Assets and Liabilities

4.2%

Net Assets

100.0%
   

 

25

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-21.64%

7.52%

Russell 2500 Index

  

-21.11%

5.83%

 

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 T. Rowe Price U.S. Treasury Long-Term Index Fund – Portfolio Manager Report (Unaudited)

 

What is the investment approach of MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index 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 80% of its net assets (plus the amount of any borrowings for investment purposes) in securities that are held in its benchmark index, the Bloomberg U.S. Long Treasury Bond Index*, and at least 80% 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. The Fund is subadvised by T. Rowe Price Associates, Inc. (T. Rowe Price).

 

* Bloomberg® and Bloomberg U.S. Long Treasury Bond Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by MassMutual. Bloomberg is not affiliated with MassMutual, and Bloomberg does not approve, endorse, review, or recommend the Fund. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the Fund.

 

How did the Fund perform during the 12 months ended September 30, 2022?

The Fund’s Class I shares returned -26.97%, underperforming the -26.65% return of the Bloomberg U.S. Long Treasury Bond Index (the “benchmark”), which measures the performance of public obligations of the U.S. Treasury with maturities of 10 years and greater, including securities that roll up to the U.S. Aggregate, U.S. Universal, and Global Aggregate Indexes.

 

For a discussion on the economic and market environment during the 12-month period ended September 30, 2022, please see the Economic and Market Overview, beginning on page 3.

 

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

For the one-year period ended September 30, 2022, the Fund generated deep losses on an absolute basis, as yields across the Treasury curve increased in response to 40-year highs in inflation, strong job growth, and, consequently, rapid monetary tightening by the Federal Reserve (the “Fed”).

 

In this environment, Fund management’s tactical adjustments to the Fund’s duration during the fiscal year dampened relative performance. (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.) In March and April of 2022, Fund management generally favored a neutral to modestly long duration posture versus the benchmark, reflecting Fund management’s expectation that heightened macroeconomic and geopolitical uncertainty would exert downward pressure on yields. This positioning detracted from results, however, as long-term U.S. interest rates actually climbed amid thin liquidity and elevated volatility in the Treasury market. The Fund’s neutral to slightly long duration bias through part of September 2022 also impeded performance, as long-term yields increased due in part to strong inflation, and turmoil in the U.K. gilt market rippled across sovereign bonds.

 

The Fund’s allocation to Ginnie Mae mortgage-backed securities (MBS) detracted slightly, as the Fed’s quantitative tightening pressured MBS performance. This was largely offset, however, by the Fund’s use of higher-coupon Ginnie Mae MBS and collateralized mortgage obligations that outperformed in the rising rate environment. Tactical use of Treasury inflation-protected securities (TIPS) had a net neutral impact on relative 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. As of September 30, 2022, the Fund held interest rate futures and interest rate future options generating gross exposure of approximately 26.5%. Employing futures had a negative impact on the Fund’s performance; the use of options had a negligible return impact on the Fund’s returns during the reporting period.

 

Subadviser outlook

T. Rowe Price notes that, as of the end of the fiscal year, the Fed signaled rapid increases to its policy interest rate through 2022, consequently hampering risk assets and lessening the odds of a soft landing for the U.S. economy. In T. Rowe Price’s view, as the Fed pursues its longer-run inflation goal of 2%, considerable headwinds to the global economy could test the central bank’s tightening bias beyond 2022. Still, Fund management believes that the bar for a dovish pivot is high, as Fund management observed Fed officials’ pledge to keep the policy rate in restrictive territory until inflation and the labor market cool meaningfully.

 

27

 

 

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund – Portfolio Manager Report (Unaudited) (Continued)

 

Against this backdrop, Fund management believes that there are increased recession risks in the U.S. over the next 12 months, particularly in light of slowed consumer spending and the rate-sensitive housing sector already in contraction as of the end of the fiscal year. In the near term, however, they expect positive economic growth – albeit below potential – thanks to a strong labor market, easing supply bottlenecks, and leftover household savings from previous years’ stimulus.

 

MassMutual Select
T. Rowe Price U.S. Treasury
Long-Term Index Fund
Portfolio Characteristics
(% of Net Assets) on 9/30/22

U.S. Treasury Obligations

96.3%

U.S. Government Agency Obligations and Instrumentalities*

3.0%

Mutual Funds

0.3%

Purchased Options

0.0%

Total Long-Term Investments

99.6%

Short-Term Investments and Other Assets and Liabilities

0.4%

Net Assets

100.0%
   

 

* May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

 

28

 

 

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund – Portfolio Manager Report (Unaudited) (Continued)

 

GROWTH OF $10,000 INVESTMENT - Class I

 

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 09/30/2022)

 

Inception Date
of Class

1 Year

Since Inception
02/09/2018

Class I

02/09/2018

-26.97%

-1.31%

Bloomberg U.S. Long Treasury Bond Index

  

-26.65%

-0.92%

 

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

 

 

MM Equity Asset Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 98.3%

COMMON STOCK — 98.3%

Basic Materials — 2.1%

Chemicals — 1.8%

Air Products & Chemicals, Inc.

    2,230     $ 518,988  

Celanese Corp.

    2,206       199,290  

DuPont de Nemours, Inc.

    11,115       560,196  

Eastman Chemical Co.

    11,868       843,221  

Linde PLC

    8,283       2,233,014  

PPG Industries, Inc.

    10,605       1,173,868  
              5,528,577  

Iron & Steel — 0.2%

Nucor Corp.

    3,694       395,221  

Mining — 0.1%

Freeport-McMoRan, Inc.

    11,921       325,801  
              6,249,599  

Communications — 12.2%

Advertising — 0.0%

The Interpublic Group of Cos., Inc.

    3,916       100,250  

Internet — 10.0%

Alphabet, Inc. Class A (a)

    74,566       7,132,238  

Alphabet, Inc. Class C (a)

    54,600       5,249,790  

Amazon.com, Inc. (a)

    95,738       10,818,394  

Booking Holdings, Inc. (a)

    838       1,377,010  

Expedia Group, Inc. (a)

    5,719       535,813  

Meta Platforms, Inc. Class A (a)

    26,335       3,573,133  

Netflix, Inc. (a)

    5,991       1,410,521  

Uber Technologies, Inc. (a)

    10,713       283,894  
              30,380,793  

Media — 1.3%

Charter Communications, Inc. Class A (a)

    4,393       1,332,617  

Comcast Corp. Class A

    66,566       1,952,381  

Fox Corp. Class A

    3,233       99,188  

The Walt Disney Co. (a)

    5,774       544,661  
              3,928,847  

Telecommunications — 0.9%

Corning, Inc.

    8,919       258,829  

Motorola Solutions, Inc.

    2,451       548,951  

T-Mobile US, Inc. (a)

    11,705       1,570,460  

Verizon Communications, Inc.

    9,035       343,059  
              2,721,299  
              37,131,189  

Consumer, Cyclical — 9.6%

Airlines — 0.1%

Southwest Airlines Co. (a)

    7,318       225,687  

 

   

Number of
Shares

    

Value

  

Apparel — 0.4%

NIKE, Inc. Class B

    16,042     $ 1,333,411  

Auto Manufacturers — 2.5%

General Motors Co.

    10,860       348,497  

Rivian Automotive, Inc. Class A (a)

    3,089       101,659  

Tesla, Inc. (a)

    26,318       6,980,850  
              7,431,006  

Auto Parts & Equipment — 0.1%

Magna International, Inc.

    8,689       412,032  

Home Builders — 0.5%

Lennar Corp. Class A

    15,826       1,179,828  

PulteGroup, Inc.

    2,409       90,338  

Toll Brothers, Inc.

    7,725       324,450  
              1,594,616  

Leisure Time — 0.0%

Royal Caribbean Cruises Ltd. (a)

    2,103       79,704  

Lodging — 0.3%

Marriott International, Inc. Class A

    6,589       923,382  

Retail — 5.7%

AutoNation, Inc. (a)

    4,423       450,571  

AutoZone, Inc. (a)

    354       758,243  

Best Buy Co., Inc.

    14,613       925,587  

Burlington Stores, Inc. (a)

    1,712       191,556  

Chipotle Mexican Grill, Inc. (a)

    1,028       1,544,837  

Costco Wholesale Corp.

    5,624       2,656,047  

The Home Depot, Inc.

    5,448       1,503,321  

Lowe’s Cos., Inc.

    16,916       3,176,994  

McDonald’s Corp.

    9,985       2,303,939  

O’Reilly Automotive, Inc. (a)

    2,103       1,479,145  

Target Corp.

    5,686       843,746  

The TJX Cos., Inc.

    13,173       818,307  

Yum! Brands, Inc.

    4,468       475,127  
              17,127,420  
              29,127,258  

Consumer, Non-cyclical — 21.1%

Agriculture — 0.8%

Altria Group, Inc.

    27,037       1,091,754  

Philip Morris International, Inc.

    15,151       1,257,685  
              2,349,439  

Beverages — 2.0%

The Coca-Cola Co.

    65,719       3,681,578  

Constellation Brands, Inc. Class A

    5,224       1,199,848  

PepsiCo, Inc.

    8,060       1,315,876  
              6,197,302  

Biotechnology — 1.6%

Biogen, Inc. (a)

    3,400       907,800  

BioMarin Pharmaceutical, Inc. (a)

    2,295       194,547  

 

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

 

30

 

 

MM Equity Asset Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Regeneron Pharmaceuticals, Inc. (a)

    2,802     $ 1,930,214  

Vertex Pharmaceuticals, Inc. (a)

    5,932       1,717,551  
              4,750,112  

Commercial Services — 1.1%

Affirm Holdings, Inc. (a) (b)

    8,018       150,418  

Booz Allen Hamilton Holding Corp.

    3,576       330,243  

Cintas Corp.

    1,021       396,342  

FleetCor Technologies, Inc. (a)

    6,025       1,061,424  

S&P Global, Inc.

    4,771       1,456,825  
              3,395,252  

Cosmetics & Personal Care — 1.4%

Colgate-Palmolive Co.

    16,834       1,182,588  

The Procter & Gamble Co.

    23,532       2,970,915  
              4,153,503  

Food — 0.5%

The Hershey Co.

    1,928       425,066  

Mondelez International, Inc. Class A

    17,768       974,220  
              1,399,286  

Health Care – Products — 4.2%

Abbott Laboratories

    15,760       1,524,937  

Baxter International, Inc.

    21,559       1,161,168  

Boston Scientific Corp. (a)

    33,794       1,308,842  

Danaher Corp.

    7,358       1,900,498  

Intuitive Surgical, Inc. (a)

    7,139       1,338,134  

Medtronic PLC

    14,361       1,159,651  

Thermo Fisher Scientific, Inc.

    7,045       3,573,153  

Zimmer Biomet Holdings, Inc.

    6,825       713,554  
              12,679,937  

Health Care – Services — 3.3%

Centene Corp. (a)

    23,963       1,864,561  

Elevance Health, Inc.

    4,052       1,840,580  

Humana, Inc.

    1,257       609,884  

Town Health International Medical Group Ltd.

    62,000       3,351  

UnitedHealth Group, Inc.

    11,596       5,856,444  
              10,174,820  

Household Products & Wares — 0.4%

Avery Dennison Corp.

    2,369       385,436  

Kimberly-Clark Corp.

    8,646       973,021  
              1,358,457  

Pharmaceuticals — 5.8%

AbbVie, Inc.

    29,802       3,999,726  

Bristol-Myers Squibb Co.

    46,141       3,280,164  

DexCom, Inc. (a)

    1,630       131,280  

Eli Lilly & Co.

    10,411       3,366,397  

Johnson & Johnson

    18,065       2,951,098  

McKesson Corp.

    2,486       844,917  

 

   

Number of
Shares

    

Value

  

Merck & Co., Inc.

    22,149     $ 1,907,472  

Neurocrine Biosciences, Inc. (a)

    2,355       250,125  

Pfizer, Inc.

    22,325       976,942  
              17,708,121  
              64,166,229  

Energy — 4.5%

Oil & Gas — 4.4%

Chevron Corp.

    3,529       507,012  

ConocoPhillips

    33,463       3,424,603  

Coterra Energy, Inc.

    23,564       615,492  

Diamondback Energy, Inc.

    14,468       1,742,815  

EOG Resources, Inc.

    15,886       1,774,943  

Exxon Mobil Corp.

    47,201       4,121,119  

Phillips 66

    9,776       789,119  

Pioneer Natural Resources Co.

    2,563       554,966  

Untrade Brightoil (a) (d)

    52,000       9,937  
              13,540,006  

Oil & Gas Services — 0.1%

Baker Hughes Co.

    11,350       237,896  
              13,777,902  

Financial — 15.5%

Banks — 4.5%

Bank of America Corp.

    92,499       2,793,470  

Citigroup, Inc.

    15,012       625,550  

Fifth Third Bancorp

    37,368       1,194,281  

Morgan Stanley

    17,602       1,390,734  

State Street Corp.

    8,520       518,101  

SVB Financial Group (a)

    969       325,371  

Truist Financial Corp.

    23,028       1,002,639  

US Bancorp

    58,134       2,343,963  

Wells Fargo & Co.

    81,998       3,297,960  
              13,492,069  

Diversified Financial Services — 5.0%

American Express Co.

    19,160       2,584,876  

Ameriprise Financial, Inc.

    2,117       533,378  

Capital One Financial Corp.

    2,805       258,537  

CME Group, Inc.

    2,396       424,403  

Intercontinental Exchange, Inc.

    14,943       1,350,100  

Mastercard, Inc. Class A

    13,923       3,958,866  

Raymond James Financial, Inc.

    6,144       607,150  

T. Rowe Price Group, Inc.

    10,267       1,078,138  

Visa, Inc. Class A

    24,644       4,378,006  
              15,173,454  

Insurance — 3.4%

Aon PLC Class A

    3,604       965,403  

Berkshire Hathaway, Inc. Class B (a)

    16,247       4,338,274  

Globe Life, Inc.

    1,484       147,955  

The Progressive Corp.

    19,374       2,251,453  

 

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

 

31

 

 

MM Equity Asset Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Prudential Financial, Inc.

    3,749     $ 321,589  

The Travelers Cos., Inc.

    14,905       2,283,446  
              10,308,120  

Real Estate Investment Trusts (REITS) — 2.6%

Camden Property Trust

    8,652       1,033,481  

Duke Realty Corp.

    5,307       255,797  

Equinix, Inc.

    1,478       840,745  

Equity LifeStyle Properties, Inc.

    9,123       573,289  

Host Hotels & Resorts, Inc.

    27,601       438,304  

Kimco Realty Corp.

    17,697       325,802  

Prologis, Inc.

    17,771       1,805,534  

SBA Communications Corp.

    2,764       786,773  

Sun Communities, Inc.

    5,287       715,490  

UDR, Inc.

    4,193       174,890  

Ventas, Inc.

    25,041       1,005,897  
              7,956,002  
              46,929,645  

Industrial — 7.8%

Aerospace & Defense — 1.0%

Northrop Grumman Corp.

    1,686       792,959  

Raytheon Technologies Corp.

    26,358       2,157,666  
              2,950,625  

Building Materials — 0.4%

Martin Marietta Materials, Inc.

    1,767       569,133  

Masco Corp.

    15,628       729,671  
              1,298,804  

Electronics — 0.9%

Honeywell International, Inc.

    15,689       2,619,592  

Machinery – Diversified — 1.4%

Deere & Co.

    7,624       2,545,578  

Dover Corp.

    5,336       622,071  

Ingersoll Rand, Inc.

    3,932       170,098  

Otis Worldwide Corp.

    16,760       1,069,288  
              4,407,035  

Miscellaneous - Manufacturing — 2.0%

Eaton Corp. PLC

    13,956       1,861,172  

Parker-Hannifin Corp.

    5,643       1,367,356  

Textron, Inc.

    16,076       936,588  

Trane Technologies PLC

    12,746       1,845,748  
              6,010,864  

Transportation — 2.1%

FedEx Corp.

    4,757       706,272  

Norfolk Southern Corp.

    7,855       1,646,801  

Union Pacific Corp.

    5,241       1,021,052  

United Parcel Service, Inc. Class B

    17,810       2,877,027  
              6,251,152  
              23,538,072  

 

   

Number of
Shares

    

Value

  

Technology — 22.5%

Computers — 8.5%

Accenture PLC Class A

    11,131     $ 2,864,006  

Apple, Inc.

    150,073       20,740,089  

Fortinet, Inc. (a)

    6,849       336,491  

Leidos Holdings, Inc.

    10,391       908,901  

Seagate Technology Holdings PLC

    19,133       1,018,450  
              25,867,937  

Semiconductors — 5.5%

Advanced Micro Devices, Inc. (a)

    26,099       1,653,633  

Analog Devices, Inc.

    16,823       2,344,117  

Applied Materials, Inc.

    3,639       298,143  

Lam Research Corp.

    5,944       2,175,504  

Microchip Technology, Inc.

    12,681       773,921  

Micron Technology, Inc.

    8,121       406,862  

NVIDIA Corp.

    22,098       2,682,476  

NXP Semiconductor NV

    14,274       2,105,558  

QUALCOMM, Inc.

    6,348       717,197  

Teradyne, Inc.

    5,139       386,196  

Texas Instruments, Inc.

    20,437       3,163,239  
              16,706,846  

Software — 8.5%

Adobe, Inc. (a)

    5,003       1,376,826  

Intuit, Inc.

    5,426       2,101,598  

Microsoft Corp.

    85,265       19,858,218  

Oracle Corp.

    10,985       670,854  

Salesforce, Inc. (a)

    4,939       710,426  

Workday, Inc. Class A (a)

    3,905       594,419  

ZoomInfo Technologies, Inc. (a)

    8,043       335,071  
              25,647,412  
              68,222,195  

Utilities — 3.0%

Electric — 3.0%

Ameren Corp.

    11,955       962,975  

CenterPoint Energy, Inc.

    33,000       929,940  

Evergy, Inc.

    6,376       378,734  

Exelon Corp.

    52,517       1,967,287  

FirstEnergy Corp.

    23,273       861,101  

NextEra Energy, Inc.

    30,803       2,415,263  

Sempra Energy

    10,692       1,603,159  
              9,118,459  
              9,118,459  
                 

TOTAL COMMON STOCK (Cost $281,848,922)

            298,260,548  
                 

TOTAL EQUITIES (Cost $281,848,922)

            298,260,548  
                 

 

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

 

32

 

 

MM Equity Asset Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

RIGHTS — 0.0%

Consumer, Non-cyclical — 0.0%

Biotechnology — 0.0%

Tobira Therapeutics Inc.,CVR (a) (c) (d)

    505     $ —  
                 

TOTAL RIGHTS (Cost $30)

            —  
                 

MUTUAL FUNDS — 0.1%

Diversified Financial Services — 0.1%

State Street Navigator Securities Lending Government Money Market Portfolio (e)

    146,204       146,204  
                 

TOTAL MUTUAL FUNDS (Cost $146,204)

            146,204  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $281,995,156)

            298,406,752  
                 
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 1.4%

Repurchase Agreement — 1.4%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (f)

  $ 4,174,155       4,174,155  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $4,174,155)

            4,174,155  
                 

TOTAL INVESTMENTS — 99.8% (Cost $286,169,311) (g)

            302,580,907  
                 

Other Assets/(Liabilities) — 0.2%

            693,402  
                 

NET ASSETS — 100.0%

          $ 303,274,309  

 

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, 2022, was $149,001 or 0.05% of net assets. The Fund received $6,654 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

Investment is 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, 2022, these securities amounted to a value of $9,937 or 0.00% of net assets.

(e)

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

(f)

Maturity value of $4,174,444. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $4,257,705.

(g)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

33

 

 

MM 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

     12/16/22       24     $ 4,745,766     $ (423,966 )

 

 

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

 

34

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments

September 30, 2022

 

   

Principal
Amount

    

Value

  

BONDS & NOTES — 95.2%

BANK LOANS — 1.7%

Advertising — 0.1%

Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. USD LIBOR + 3.500%

                

6.306% VRN 8/21/26

  $ 145,370     $ 129,425  

Lamar Media Corp., 2020 Term Loan B, 3 mo. USD LIBOR + 1.500%

                

5.102% VRN 2/05/27

    305,000       294,801  
              424,226  

Aerospace & Defense — 0.0%

TransDigm, Inc., 2020 Term Loan G, 3 mo. USD LIBOR + 2.250%

                

5.924% VRN 8/22/24

    134,191       130,604  

Airlines — 0.1%

American Airlines, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 4.750%

                

7.460% VRN 4/20/28

    200,000       193,400  

Mileage Plus Holdings LLC, 2020 Term Loan B, 3 mo. USD LIBOR + 5.250%

                

8.777% VRN 6/21/27

    228,000       228,529  
              421,929  

Auto Parts & Equipment — 0.0%

Clarios Global LP, 2021 USD Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 4/30/26

    128,229       121,016  

Computers — 0.0%

Peraton Corp., Term Loan B, 1 mo. USD LIBOR + 3.750%

                

6.865% VRN 2/01/28

    140,905       133,296  

Cosmetics & Personal Care — 0.0%

Sunshine Luxembourg VII SARL, 2021 Term Loan B3, 3 mo. USD LIBOR + 3.750%

                

7.424% VRN 10/01/26

    234,410       217,547  

Entertainment — 0.2%

Churchill Downs, Inc., 2021 Incremental Term Loan B1, 1 mo. USD LIBOR + 2.000%

                

5.120% VRN 3/17/28

    296,809       286,917  

Delta 2 (LUX) S.A.R.L., 2018 USD Term Loan, 1 mo. USD LIBOR + 2.500%

                

5.615% VRN 2/01/24

    315,000       310,669  

 

   

Principal
Amount

    

Value

  

SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, 1 mo. USD LIBOR + 3.000%

                

6.125% VRN 8/25/28

  $ 128,451     $ 123,046  

UFC Holdings, LLC, 2021 Term Loan B, 3 mo. USD LIBOR + 2.750%

                

5.520% VRN 4/29/26

    354,895       340,404  
              1,061,036  

Environmental Controls — 0.1%

Filtration Group Corp., 2018 1st Lien Term Loan, 1 mo. USD LIBOR + 3.000%

                

6.115% VRN 3/29/25

    468,730       449,249  

GFL Environmental, Inc., 2020 Term Loan, 3 mo. USD LIBOR + 3.000%

                

5.806% VRN 5/30/25

    130,906       129,319  

Madison IAQ LLC, Term Loan, 3 mo. USD LIBOR + 3.250%

                

6.815% VRN 6/21/28

    128,363       118,346  
              696,914  

Health Care – Products — 0.1%

Avantor Funding, Inc., 2021 Term Loan B5, 1 mo. USD LIBOR + 2.250%

                

5.365% VRN 11/08/27

    113,518       110,272  

Maravai Intermediate Holdings, LLC, 2022 Term Loan B, 3 mo. USD SOFR + 3.000%

                

5.553% VRN 10/19/27

    240,448       232,485  

Medline Borrower LP, USD Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 10/23/28

    229,425       210,568  
              553,325  

Health Care – Services — 0.1%

ICON Luxembourg SARL, LUX Term Loan, 3 mo. USD LIBOR + 2.250%

                

5.938% VRN 7/03/28

    91,713       89,512  

PRA Health Sciences, Inc., US Term Loan, 3 mo. USD LIBOR + 2.250%

                

5.938% VRN 7/03/28

    23,889       23,315  

RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. USD LIBOR + 3.750%

                

6.871% VRN 11/16/25

    84,589       78,471  

 

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

  

Surgery Center Holdings, Inc., 2021 Term Loan, 1 mo. USD LIBOR + 3.750%

                

6.510% VRN 8/31/26

  $ 145,494     $ 137,856  
              329,154  

Insurance — 0.2%

Alliant Holdings Intermediate LLC

                

2018 Term Loan B, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 5/09/25

    75,359       72,098  

2021 Term Loan B4, 1 mo. USD LIBOR + 3.500%

                

6.493% VRN 11/06/27

    68,752       65,056  

Asurion LLC

                

2018 Term Loan B7, 1 mo. USD LIBOR + 3.000%

                

6.115% VRN 11/03/24

    171,504       160,099  

2021 Second Lien Term Loan B4, 1 mo. USD LIBOR + 5.250%

                

8.365% VRN 1/20/29

    335,000       254,600  

Hub International Ltd., 2021 Term Loan B, 3 mo. USD LIBOR + 3.250%

                

5.982% VRN 4/25/25

    484,398       465,933  
              1,017,786  

Lodging — 0.0%

Caesars Resort Collection, LLC

                

2017 1st Lien Term Loan B, 1 mo. USD LIBOR + 2.750%

                

5.865% VRN 12/23/24

    138,219       134,778  

2020 Term Loan B1, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 7/21/25

    15,508       15,257  
              150,035  

Machinery – Construction & Mining — 0.0%

Brookfield WEC Holdings, Inc., 2021 Term Loan, 1 mo. USD LIBOR + 2.750%

                

5.865% VRN 8/01/25

    136,306       130,063  

Machinery – Diversified — 0.1%

Vertical U.S. Newco, Inc., Term Loan B, 6 mo. USD LIBOR + 3.500%

                

6.871% VRN 7/30/27

    286,617       274,198  

Packaging & Containers — 0.1%

Charter NEX US, Inc., 2021 Term Loan, 3 mo. USD LIBOR + 3.750%

                

6.556% VRN 12/01/27

    312,149       295,567  

 

   

Principal
Amount

    

Value

  

Pharmaceuticals — 0.1%

Gainwell Acquisition Corp., Term Loan B, 3 mo. USD LIBOR + 4.000%

                

7.674% VRN 10/01/27

  $ 285,639     $ 271,571  

PetVet Care Centers, LLC, 2021 Term Loan B3, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 2/14/25

    289,810       266,987  
              538,558  

Retail — 0.1%

IRB Holding Corp, 2022 Term Loan B, 1 mo. USD SOFR + 3.000%

                

5.695% VRN 12/15/27

    170,116       159,058  

KFC Holding Co., 2021 Term Loan B, 1 mo. USD LIBOR + 1.750%

                

4.743% VRN 3/15/28

    402,284       397,424  

WOOF Holdings, Inc., 1st Lien Term Loan, 3 mo. USD LIBOR + 3.750%

                

7.315% VRN 12/21/27

    126,558       119,281  
              675,763  

Software — 0.4%

Applied Systems, Inc., 2017 1st Lien Term Loan, 3 mo. USD LIBOR + 3.000%

                

6.674% VRN 9/19/24

    482,227       469,631  

Ascend Learning LLC, 2021 Term Loan, 1 mo. USD LIBOR + 3.500%

                

6.615% VRN 12/11/28

    218,114       200,883  

Athenahealth, Inc.

                

2022 Delayed Draw Term Loan, 3 mo. SOFR + 3.500%

                

3.500% VRN 2/15/29 (a)

    34,058       30,448  

2022 Term Loan B, 1 mo. SOFR CME + 3.500%,

                

6.576% VRN 2/15/29

    200,440       179,193  

CDK Global, Inc., 2022 USD Term Loan B, 3 mo. SOFR CME + 4.500%,

                

6.610% VRN 7/06/29

    130,000       124,992  

Epicor Software Corp., 2020 Term Loan, 1 mo. USD LIBOR + 3.250%

                

6.365% VRN 7/30/27

    295,157       275,880  

RealPage, Inc., 1st Lien Term Loan, 1 mo. USD LIBOR

                

6.115% VRN 4/24/28

    207,203       193,793  

 

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

  

The Ultimate Software Group, Inc.

                

2021 Term Loan, 3 mo. USD LIBOR + 3.250%

                

5.535% VRN 5/04/26

  $ 864,703     $ 820,750  

2021 2nd Lien Term Loan, 3 mo. USD LIBOR + 5.250%

                

7.535% VRN 5/03/27

    95,000       89,300  
              2,384,870  

Telecommunications — 0.0%

Intelsat Jackson Holdings S.A., 2021 Exit Term Loan B, 6 mo. SOFR + 4.500%

                

7.445% VRN 2/01/29

    542       508  

Iridium Satellite LLC, 2021 Term Loan B2, 1 mo. USD LIBOR + 2.500%

                

5.615% VRN 11/04/26

    150,707       146,249  
              146,757  
                 

TOTAL BANK LOANS (Cost $10,234,224)

            9,702,644  
                 

CORPORATE DEBT — 27.8%

Agriculture — 0.5%

BAT Capital Corp.

                

3.557% 8/15/27

    770,000       676,026  

4.742% 3/16/32

    145,000       121,244  

4.906% 4/02/30

    470,000       414,831  

BAT International Finance PLC

                

1.668% 3/25/26

    205,000       177,269  

3.950% 6/15/25 (b)

    786,000       749,436  

Bunge Finance Europe BV

                

1.850% 6/16/23 EUR (c)

    220,000       212,956  

Darling Ingredients, Inc.

                

6.000% 6/15/30 (b)

    90,000       85,652  

Reynolds American, Inc.

                

4.450% 6/12/25

    395,000       381,671  
              2,819,085  

Airlines — 0.2%

American Airlines, Inc. /AAdvantage Loyalty IP Ltd.

                

5.500% 4/20/26 (b)

    115,000       108,005  

5.750% 4/20/29 (b)

    105,000       91,612  

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.

                

6.500% 6/20/27 (b)

    498,750       486,488  

United Airlines Pass Through Trust

                

2.900% 11/01/29

    144,717       116,500  

2.700% 11/01/33

    91,005       72,664  
              875,269  

 

   

Principal
Amount

    

Value

  

Apparel — 0.0%

Wolverine World Wide, Inc.

                

4.000% 8/15/29 (b) (d)

  $ 160,000     $ 122,058  

Auto Manufacturers — 1.4%

American Honda Finance Corp.

                

0.750% 11/25/26 GBP (c)

    130,000       115,740  

1.950% 10/18/24 EUR (c)

    200,000       191,492  

BMW Finance NV

                

0.000% 3/24/23 EUR (b) (c)

    117,000       113,370  

0.000% 4/14/23 EUR (b) (c)

    84,000       81,381  

0.500% 11/22/22 EUR (b) (c)

    105,000       102,688  

Ford Motor Co.

                

6.100% 8/19/32

    195,000       171,912  

9.625% 4/22/30

    145,000       161,085  

Ford Motor Credit Co. LLC

                

4.950% 5/28/27

    265,000       235,482  

General Motors Co.

                

4.200% 10/01/27 (d)

    400,000       366,403  

5.600% 10/15/32

    135,000       120,468  

General Motors Financial Co., Inc.

                

0.850% 2/26/26 EUR (b) (c)

    150,000       129,716  

0.955% 9/07/23 EUR (b) (c)

    110,000       104,937  

4.000% 10/06/26

    620,000       573,650  

4.350% 4/09/25

    750,000       724,434  

5.100% 1/17/24

    435,000       433,494  

Hyundai Capital America

                

1.800% 10/15/25 (b)

    300,000       266,852  

2.100% 9/15/28 (b)

    470,000       369,331  

Mercedes-Benz International Finance BV

                

0.625% 2/27/23 EUR (b) (c)

    112,000       109,106  

0.750% 5/11/23 EUR (b) (c)

    80,000       77,700  

RCI Banque SA

                

0.250% 3/08/23 EUR (b) (c)

    55,000       53,384  

0.750% 4/10/23 EUR (b) (c)

    68,000       65,756  

Stellantis NV

                

2.375% 4/14/23 EUR (b) (c)

    53,000       51,802  

Toyota Motor Credit Corp.

                

2.375% 2/01/23 EUR (b) (c)

    81,000       79,447  

Volkswagen Bank GmbH

                

0.750% 6/15/23 EUR (b) (c)

    80,000       76,956  

2.500% 7/31/26 EUR (b) (c)

    700,000       644,077  

Volkswagen Financial Services AG

                

0.875% 4/12/23 EUR (b) (c)

    72,000       69,755  

2.500% 4/06/23 EUR (b) (c)

    67,000       65,550  

 

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

  

Volkswagen Group of America Finance LLC

                

3.200% 9/26/26 (b)

  $ 1,320,000     $ 1,210,401  

3.350% 5/13/25 (b)

    500,000       474,349  

4.600% 6/08/29 (b)

    215,000       197,490  

Volkswagen International Finance NV

                

0.875% 1/16/23 EUR (b) (c)

    120,000       116,695  

Volkswagen Leasing GmbH

                

1.500% 6/19/26 EUR (b) (c)

    145,000       130,423  

1.625% 8/15/25 EUR (b) (c)

    150,000       138,598  
              7,823,924  

Auto Parts & Equipment — 0.1%

Aptiv PLC

                

3.100% 12/01/51

    105,000       58,808  

Clarios Global LP / Clarios US Finance Co.

                

6.250% 5/15/26 (b)

    125,000       119,375  

Continental AG

                

0.000% 9/12/23 EUR (b) (c)

    45,000       42,704  

The Goodyear Tire & Rubber Co.

                

5.000% 7/15/29 (d)

    260,000       213,200  

Tenneco, Inc.

                

7.875% 1/15/29 (b)

    170,000       165,481  

5.125% 4/15/29 (b)

    79,000       78,014  
              677,582  

Banks — 8.8%

ABN AMRO Bank NV

                

2.500% 11/29/23 EUR (b) (c)

    114,000       111,446  

Arion Banki HF

                

1.000% 3/20/23 EUR (b) (c)

    150,000       145,712  

Banco Bilbao Vizcaya Argentaria SA 1 year CMT + 2.300%

                

5.862% VRN 9/14/26

    400,000       390,260  

Banco de Bogota SA

                

6.250% 5/12/26 (b)

    250,000       233,750  

Banco de Credito del Peru SA 5 year CMT + 3.000%

                

3.125% VRN 7/01/30 (b)

    200,000       174,851  

Banco de Sabadell SA

                

0.875% 3/05/23 EUR (b) (c)

    300,000       292,301  

1 mo. EURIBOR ICE Swap + 1.150% 0.875% VRN 6/16/28 EUR (b) (c)

    200,000       153,368  

Banco Santander SA

                

1.125% 1/17/25 EUR (b) (c)

    200,000       184,983  

1.375% 12/14/22 EUR (b) (c)

    100,000       98,001  

2.746% 5/28/25

    1,200,000       1,097,378  

3.490% 5/28/30

    200,000       160,370  

1 year CMT + 2.000% 4.175% VRN 3/24/28

    200,000       180,302  

 

   

Principal
Amount

    

Value

  

Bangkok Bank PCL 5 year CMT + 1.900%

                

3.733% VRN 9/25/34 (b)

  $ 250,000     $ 204,902  

Bank Hapoalim BM 5 year CMT + 2.155%

                

3.255% VRN 1/21/32 (b)

    200,000       165,992  

Bank of America Corp.

                

0.750% 7/26/23 EUR (b) (c)

    110,000       106,100  

SOFR + .960% 1.734% VRN 7/22/27

    585,000       501,619  

SOFR + 1.530% 1.898% VRN 7/23/31

    1,240,000       922,827  

SOFR + 1.220% 2.299% VRN 7/21/32

    935,000       697,784  

2.375% 6/19/24 EUR (b) (c)

    150,000       144,884  

2.375% 6/19/24 EUR (b) (c)

    150,000       144,884  

3 mo. USD LIBOR + .990% 2.496% VRN 2/13/31

    1,735,000       1,368,488  

SOFR + 2.150% 2.592% VRN 4/29/31

    585,000       463,755  

3 mo. USD LIBOR + 1.040% 3.419% VRN 12/20/28

    55,000       48,807  

3 mo. USD LIBOR + 1.060% 3.559% VRN 4/23/27

    495,000       457,134  

3.950% 4/21/25

    1,365,000       1,316,275  

4.250% 10/22/26

    700,000       665,356  

Bank of Ireland Group PLC 1 year CMT + 2.650%

                

6.253% VRN 9/16/26 (b)

    355,000       347,394  

Banque Federative du Credit Mutuel SA

                

0.750% 6/15/23 EUR (b) (c)

    100,000       96,692  

Barclays PLC

                

1 year CMT + 1.050% 2.279% VRN 11/24/27

    295,000       247,171  

SOFR + 2.714% 2.852% VRN 5/07/26

    670,000       608,284  

3 mo. USD LIBOR + 1.610% 3.932% VRN 5/07/25

    475,000       456,929  

1 year CMT + 2.650% 5.501% VRN 8/09/28

    225,000       211,019  

BBVA Bancomer SA 5 year CMT + 2.650%

                

5.125% VRN 1/18/33 (b)

    300,000       248,150  

BNP Paribas SA

                

SOFR + 1.004% 1.323% VRN 1/13/27 (b)

    890,000       758,781  

3 mo. EURIBOR + 1.800% 2.125% VRN 1/23/27 EUR (b) (c)

    200,000       182,186  

SOFR + 1.228% 2.591% VRN 1/20/28 (b)

    680,000       580,953  

2.875% 10/24/22 EUR (b) (c)

    96,000       94,164  

2.875% 9/26/23 EUR (b) (c)

    153,000       150,164  

4.500% 3/21/23 EUR (b) (c)

    157,000       155,620  

 

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

  

BPCE SA

                

0.375% 10/05/23 EUR (b) (c)

  $ 100,000     $ 95,600  

4.625% 7/18/23 EUR (b) (c)

    100,000       98,722  

CaixaBank SA

                

1.125% 1/12/23 EUR (b) (c)

    100,000       97,743  

1.125% 5/17/24 EUR (b) (c)

    100,000       94,555  

1.750% 10/24/23 EUR (b) (c)

    100,000       96,304  

5 year EUR Swap + 2.350% 2.750% VRN 7/14/28 EUR (b) (c)

    200,000       190,941  

Citigroup, Inc.

                

0.750% 10/26/23 EUR (b) (c)

    110,000       105,252  

SOFR + 1.167% 2.561% VRN 5/01/32

    300,000       230,196  

SOFR + 1.280% 3.070% VRN 2/24/28

    570,000       507,618  

SOFR + 2.842% 3.106% VRN 4/08/26

    475,000       445,263  

5.610% 9/29/26

    630,000       626,664  

Commerzbank AG

                

0.500% 8/28/23 EUR (b) (c)

    142,000       136,241  

Cooperatieve Rabobank UA

                

0.750% 8/29/23 EUR (b) (c)

    100,000       96,143  

2.375% 5/22/23 EUR (b) (c)

    130,000       127,558  

3.875% 7/25/23 EUR (b) (c)

    118,000       116,245  

4.625% 5/23/29 GBP (b) (c)

    150,000       139,752  

Credit Agricole SA

                

1.000% 9/16/24 EUR (b) (c)

    200,000       189,655  

Credit Suisse AG

                

1.000% 6/07/23 EUR (b) (c)

    111,000       107,446  

Credit Suisse Group AG 1 mo. BPSW + 1.230%

                

2.125% VRN 9/12/25 GBP (b) (c)

    250,000       249,393  

Danske Bank A/S

                

0.250% 11/28/22 EUR (b) (c)

    109,000       106,609  

0.875% 5/22/23 EUR (b) (c)

    110,000       106,306  

5 year EUR Swap + 1.700% 1.375% VRN 2/12/30 EUR (b) (c)

    200,000       175,801  

3 mo. USD LIBOR + 1.591% 3.244% VRN 12/20/25 (b)

    1,040,000       967,128  

1 year CMT + 1.450% 3.773% VRN 3/28/25 (b)

    355,000       341,422  

3.875% 9/12/23 (b)

    5,000       4,920  

5.375% 1/12/24 (b)

    200,000       198,913  

Deutsche Bank AG

                

1.125% 8/30/23 EUR (b) (c)

    114,000       109,971  

2.375% 1/11/23 EUR (b) (c)

    100,000       98,133  

Discover Bank

                

4.650% 9/13/28

    405,000       367,534  

DNB Bank ASA

                

0.050% 11/14/23 EUR (b) (c)

    109,000       103,345  

 

   

Principal
Amount

    

Value

  

DNB Boligkreditt AS

                

1.875% 11/21/22 EUR (b) (c)

  $ 100,000     $ 98,119  

Fifth Third Bancorp SOFR + 2.127%

                

4.772% VRN 7/28/30

    140,000       130,810  

The Goldman Sachs Group, Inc.

                

1.375% 5/15/24 EUR (b) (c)

    40,000       38,149  

SOFR + .818% 1.542% VRN 9/10/27

    605,000       511,336  

1.625% 7/27/26 EUR (b) (c)

    140,000       125,598  

2.000% 7/27/23 EUR (b) (c)

    130,000       126,375  

SOFR + 1.248% 2.383% VRN 7/21/32

    510,000       384,356  

SOFR + 1.281% 2.615% VRN 4/22/32

    250,000       194,026  

SOFR + 1.264% 2.650% VRN 10/21/32

    520,000       398,217  

3.250% 2/01/23 EUR (b) (c)

    134,000       131,896  

3.500% 11/16/26

    745,000       687,621  

SOFR + 1.846% 3.615% VRN 3/15/28

    550,000       500,746  

SOFR + 1.725% 4.482% VRN 8/23/28

    335,000       314,689  

Heta Asset Resolution AG

                

2.375% 12/13/22 EUR (b) (c)

    1,100,000       1,080,323  

HSBC Continental Europe SA

                

0.600% 3/20/23 EUR (b) (c)

    100,000       97,394  

HSBC Holdings PLC

                

SOFR + 1.538% 1.645% VRN 4/18/26

    940,000       836,059  

SOFR + 1.929% 2.099% VRN 6/04/26

    610,000       546,316  

SOFR + 1.430% 2.999% VRN 3/10/26

    560,000       517,849  

SOFR + 2.110% 4.755% VRN 6/09/28

    970,000       891,713  

SOFR + 2.610% 5.210% VRN 8/11/28

    440,000       411,531  

ING Groep NV

                

1.000% 9/20/23 EUR (b) (c)

    100,000       96,088  

SOFR + 1.005% 1.726% VRN 4/01/27

    260,000       222,979  

Intesa Sanpaolo SpA

                

1.000% 7/04/24 EUR (b) (c)

    300,000       280,347  

2.125% 8/30/23 EUR (b) (c)

    114,000       110,642  

JP Morgan Chase & Co.

                

1.500% 10/26/22 EUR (b) (c)

    111,000       108,785  

SOFR + .885% 1.578% VRN 4/22/27

    630,000       544,346  

3 mo. TSFR + 1.105% 1.764% VRN 11/19/31

    955,000       697,725  

SOFR + 1.890% 2.182% VRN 6/01/28

    675,000       574,204  

 

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

  

SOFR + 1.510% 2.739% VRN 10/15/30

  $ 445,000     $ 361,690  

2.750% 2/01/23 EUR (b) (c)

    114,000       112,054  

SOFR + 1.170% 2.947% VRN 2/24/28

    570,000       504,225  

SOFR + 2.515% 2.956% VRN 5/13/31

    2,320,000       1,836,751  

SOFR + 2.580% 5.717% VRN 9/14/33

    340,000       321,298  

KBC Group NV

                

0.750% 10/18/23 EUR (b) (c)

    100,000       95,601  

Kreditanstalt fuer Wiederaufbau

                

4.700% 6/02/37 CAD (c)

    65,000       49,342  

4.700% 6/02/37 CAD (c)

    75,000       56,933  

Landsbankinn HF

                

0.375% 5/23/25 EUR (b) (c)

    265,000       228,268  

1.000% 5/30/23 EUR (b) (c)

    100,000       96,272  

Lloyds Bank Corporate Markets PLC

                

0.250% 10/04/22 EUR (b) (c)

    100,000       98,005  

Mitsubishi UFJ Financial Group, Inc. 1 year CMT + 1.900%

                

5.354% VRN 9/13/28

    430,000       419,213  

Morgan Stanley

                

3 mo. EURIBOR + .698% 0.406% VRN 10/29/27 EUR (c)

    100,000       84,226  

3 mo. EURIBOR + .753% 0.637% VRN 7/26/24 EUR (c)

    100,000       95,767  

1.000% 12/02/22 EUR (c)

    110,000       107,733  

SOFR + .858% 1.512% VRN 7/20/27

    730,000       621,974  

SOFR + .879% 1.593% VRN 5/04/27

    670,000       577,685  

1.875% 3/30/23 EUR (c)

    113,000       110,587  

SOFR + 1.178% 2.239% VRN 7/21/32

    460,000       345,546  

SOFR + 1.485% 3.217% VRN 4/22/42

    165,000       115,011  

SOFR + 1.669% 4.679% VRN 7/17/26

    215,000       209,441  

National Australia Bank Ltd.

                

0.625% 11/10/23 EUR (b) (c)

    56,000       53,533  

The Nationale-Nederlanden Bank NV

                

0.375% 2/26/25 EUR (b) (c)

    100,000       90,884  

Natwest Group PLC

                

2.500% 3/22/23 EUR (b) (c)

    114,000       111,792  

Nordea Bank Abp

                

1.000% 2/22/23 EUR (b) (c)

    111,000       108,385  

5.375% 9/22/27 (b)

    320,000       312,028  

The PNC Financial Services Group, Inc.

                

2.550% 1/22/30

    145,000       119,342  

SOFR + 1.850% 4.626% VRN 6/06/33

    320,000       285,333  

 

   

Principal
Amount

    

Value

  

QNB Finance Ltd.

                

2.750% 2/12/27 (b)

  $ 200,000     $ 180,750  

Santander Holdings SOFR + 1.249%

                

2.490% VRN 1/06/28

    365,000       304,510  

Santander UK Group Holdings PLC

                

1.125% 9/08/23 EUR (b) (c)

    111,000       106,815  

1 year CMT + 1.250% 1.532% VRN 8/21/26

    1,465,000       1,270,377  

Shinhan Bank Co. Ltd.

                

3.875% 3/24/26 (b)

    200,000       187,192  

4.000% 4/23/29 (b)

    500,000       451,542  

Standard Chartered PLC

                

1 year CMT + 1.000% 1.456% VRN 1/14/27 (b)

    295,000       249,684  

5 year EUR Swap + 2.800% 2.500% VRN 9/09/30 EUR (b) (c)

    300,000       267,612  

3 mo. USD LIBOR + 1.209% 2.819% VRN 1/30/26 (b)

    200,000       183,896  

1 year CMT + 1.650% 3.971% VRN 3/30/26 (b)

    285,000       268,003  

1 year CMT + 3.850% 4.644% VRN 4/01/31 (b)

    1,030,000       899,798  

The Toronto-Dominion Bank

                

0.625% 7/20/23 EUR (b) (c)

    110,000       106,012  

4.456% 6/08/32

    120,000       109,396  

Truist Financial Corp. SOFR + 1.368%

                

4.123% VRN 6/06/28

    525,000       493,728  

UBS Group AG

                

1 year CMT + 1.080% 1.364% VRN 1/30/27 (b)

    235,000       200,972  

1 year CMT + 1.750% 4.751% VRN 5/12/28 (b)

    200,000       187,826  

UniCredit SpA

                

2.000% 3/04/23 EUR (b) (c)

    313,000       306,500  

5 mo. EURIBOR ICE Swap5 + 4.739% 4.875% VRN 2/20/29 EUR (b) (c)

    200,000       190,375  

Wells Fargo & Co.

                

2.250% 5/02/23 EUR (b) (c)

    114,000       111,640  

SOFR + 2.100% 2.393% VRN 6/02/28

    1,105,000       948,088  

SOFR + 1.262% 2.572% VRN 2/11/31

    1,225,000       980,162  

3 mo. TSFR + 1.432% 2.879% VRN 10/30/30

    2,145,000       1,761,754  

SOFR + 2.530% 3.068% VRN 4/30/41

    335,000       229,683  

4.300% 7/22/27

    290,000       271,604  
              49,355,486  

 

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

  

Beverages — 0.1%

Anheuser-Busch InBev Worldwide, Inc.

                

4.500% 6/01/50

  $ 380,000     $ 312,291  

Biotechnology — 0.1%

CSL Finance PLC

                

4.050% 4/27/29 (b)

    260,000       239,588  

4.250% 4/27/32 (b)

    230,000       209,875  

 

             449,463  

Building Materials — 0.2%

Boral Finance Pty Ltd.

                

3.000% 11/01/22 (b)

    170,000       170,000  

3.750% 5/01/28 (b)

    135,000       119,711  

Cie de Saint-Gobain

                

1.750% 4/03/23 EUR (b) (c)

    100,000       97,681  

CRH Finance UK PLC

                

4.125% 12/02/29 GBP (b) (c)

    150,000       142,095  

Holcim Finance Luxembourg SA

                

1.375% 5/26/23 EUR (b) (c)

    111,000       107,944  

Johnson Controls International PLC

                

1.000% 9/15/23 EUR (c)

    111,000       106,602  

Martin Marietta Materials, Inc.

                

2.400% 7/15/31

    155,000       119,600  
              863,633  

Chemicals — 0.4%

Avient Corp.

                

7.125% 8/01/30 (b) (d)

    65,000       59,991  

BASF SE

                

0.101% 6/05/23 EUR (b) (c)

    100,000       96,274  

Braskem Netherlands Finance BV

                

4.500% 1/31/30 (b)

    300,000       242,460  

Celanese US Holdings LLC

                

6.050% 3/15/25

    265,000       258,974  

6.165% 7/15/27

    285,000       268,885  

Eastman Chemical Co.

                

1.500% 5/26/23 EUR (c)

    111,000       107,317  

Equate Petrochemical BV

                

2.625% 4/28/28 (b)

    200,000       169,250  

Evonik Industries AG

                

1.000% 1/23/23 EUR (b) (c)

    84,000       82,222  

LANXESS AG

                

2.625% 11/21/22 EUR (b) (c)

    60,000       58,801  

Methanex Corp.

                

5.125% 10/15/27 (d)

    100,000       84,000  

The Sherwin-Williams Co.

                

2.950% 8/15/29

    145,000       123,988  

Westlake Corp.

                

1.625% 7/17/29 EUR (c)

    575,000       422,731  
              1,974,893  

 

   

Principal
Amount

    

Value

  

Commercial Services — 0.4%

Abertis Infraestructuras SA

                

3.000% 3/27/31 EUR (b) (c)

  $ 100,000     $ 84,843  

Adani Ports & Special Economic Zone Ltd.

                

4.200% 8/04/27 (b)

    250,000       218,850  

Equifax, Inc.

                

5.100% 12/15/27

    305,000       295,230  

Holding d’Infrastructures de Transport SASU

                

0.625% 3/27/23 EUR (b) (c)

    100,000       96,783  

Transurban Finance Co.

                

2.450% 3/16/31 (b) (d)

    920,000       711,298  

3.375% 3/22/27 (b)

    560,000       508,079  

Verisure Holding AB

                

3.875% 7/15/26 EUR (b) (c)

    100,000       84,118  
              1,999,201  

Computers — 0.0%

Capgemini SE

                

2.500% 7/01/23 EUR (b) (c)

    100,000       97,808  

International Business Machines Corp.

                

0.375% 1/31/23 EUR (c)

    109,000       106,354  
              204,162  

Diversified Financial Services — 1.5%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

                

2.450% 10/29/26

    525,000       443,069  

3.000% 10/29/28

    265,000       213,082  

3.300% 1/30/32

    180,000       135,186  

3.500% 1/15/25

    150,000       140,979  

4.450% 4/03/26

    270,000       251,969  

4.875% 1/16/24

    540,000       531,336  

6.500% 7/15/25

    150,000       149,751  

Ally Financial, Inc.

                

4.750% 6/09/27

    1,065,000       982,983  

Capital One Financial Corp.

                

1.650% 6/12/29 EUR (c)

    300,000       231,188  

SOFR + 1.790% 3.273% VRN 3/01/30

    265,000       221,675  

3.650% 5/11/27

    510,000       468,201  

3.750% 3/09/27

    115,000       105,915  

SOFR + 2.160% 4.985% VRN 7/24/26

    525,000       513,342  

SOFR + 2.600% 5.247% VRN 7/26/30

    140,000       130,427  

Discover Financial Services

                

4.100% 2/09/27

    510,000       469,104  

Encore Capital Group, Inc.

                

5.375% 2/15/26 GBP (b) (c)

    140,000       138,067  

 

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

  

FCA Bank SpA

                

0.500% 9/18/23 EUR (b) (c)

  $ 109,000     $ 103,997  

0.500% 9/13/24 EUR (b) (c)

    160,000       147,809  

0.625% 11/24/22 EUR (b) (c)

    109,000       106,614  

Intercontinental Exchange, Inc.

                

2.650% 9/15/40

    130,000       87,502  

4.350% 6/15/29

    175,000       165,513  

Iqera Group SAS

                

4.250% 9/30/24 EUR (b) (c)

    100,000       88,628  

LeasePlan Corp. NV

                

0.125% 9/13/23 EUR (c)

    108,000       102,639  

0.750% 10/03/22 EUR (b) (c)

    109,000       106,825  

5 mo. EURIBOR ICE Swap + 7.556% 7.375% VRN EUR (b) (c) (e)

    200,000       175,429  

LSEGA Financing PLC

                

2.000% 4/06/28 (b)

    1,520,000       1,277,825  

2.500% 4/06/31 (b) (d)

    435,000       353,139  

3.200% 4/06/41 (b)

    200,000       142,331  

Navient Corp.

                

6.750% 6/15/26

    155,000       140,693  
              8,125,218  

Electric — 1.5%

Ausgrid Finance Pty Ltd.

                

3.850% 5/01/23 (b)

    585,000       580,525  

4.350% 8/01/28 (b)

    260,000       238,877  

Duke Energy Corp.

                

4.500% 8/15/32

    940,000       849,664  

E.ON International Finance BV

                

0.750% 11/30/22 EUR (b) (c)

    79,000       77,302  

E.ON SE

                

0.000% 10/24/22 EUR (b) (c)

    85,000       83,238  

0.375% 4/20/23 EUR (b) (c)

    104,000       100,726  

Edison International

                

4.950% 4/15/25

    30,000       29,395  

EDP - Energias de Portugal SA

                

2.875% 6/01/26 EUR (b) (c)

    200,000       189,687  

Enel Finance International NV

                

4.875% 4/17/23 EUR (b) (c)

    120,000       119,254  

5.250% 9/29/23 EUR (c)

    26,000       26,108  

5.625% 8/14/24 GBP (b) (c)

    150,000       164,317  

Engie SA

                

0.375% 2/28/23 EUR (b) (c)

    100,000       97,251  

3.000% 2/01/23 EUR (b) (c)

    84,000       82,586  

Interchile SA

                

4.500% 6/30/56 (b)

    280,000       205,450  

Minejesa Capital BV

                

5.625% 8/10/37 (b)

    300,000       214,500  

 

   

Principal
Amount

    

Value

  

NextEra Energy Capital Holdings, Inc.

                

2.440% 1/15/32

  $ 595,000     $ 462,435  

3.000% 1/15/52

    425,000       271,213  

5.000% 7/15/32

    125,000       119,292  

NRG Energy, Inc.

                

4.450% 6/15/29 (b)

    230,000       199,482  

Pacific Gas and Electric Co.

                

2.100% 8/01/27

    540,000       436,730  

2.500% 2/01/31

    465,000       338,212  

4.550% 7/01/30

    510,000       436,872  

Sempra Energy

                

3.700% 4/01/29

    145,000       129,512  

Southern California Edison Co.

                

4.700% 6/01/27

    340,000       330,145  

State Grid Overseas Investment BVI Ltd.

                

1.375% 5/02/25 EUR (b) (c)

    100,000       92,422  

Vistra Corp. 5 year CMT + 6.930%

                

8.000% VRN (b) (e)

    265,000       243,421  

Vistra Operations Co. LLC

                

3.550% 7/15/24 (b)

    1,285,000       1,224,702  

4.375% 5/01/29 (b)

    195,000       162,337  

5.125% 5/13/25 (b)

    485,000       469,553  

Xcel Energy, Inc.

                

4.600% 6/01/32

    205,000       190,207  
              8,165,415  

Electrical Components & Equipment — 0.0%

Schneider Electric SE

                

1.500% 9/08/23 EUR (b) (c)

    100,000       97,099  

Electronics — 0.1%

Arrow Electronics, Inc.

                

4.000% 4/01/25

    375,000       360,749  

Sensata Technologies BV

                

5.875% 9/01/30 (b) (d)

    345,000       322,803  
              683,552  

Engineering & Construction — 0.0%

Cellnex Telecom SA

                

1.750% 10/23/30 EUR (b) (c)

    200,000       137,892  

Infrastrutture Wireless Italiane SpA

                

1.625% 10/21/28 EUR (b) (c)

    155,000       121,976  
              259,868  

Entertainment — 0.2%

Cirsa Finance International Sarl

                

6.250% 12/20/23 EUR (b) (c)

    84,917       80,934  

International Game Technology PLC

                

3.500% 6/15/26 EUR (b) (c)

    100,000       86,980  

3.500% 6/15/26 EUR (b) (c)

    100,000       86,980  

 

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

  

Warnermedia Holdings, Inc.

                

3.755% 3/15/27 (b)

  $ 705,000     $ 631,040  

4.279% 3/15/32 (b)

    145,000       119,266  
              1,005,200  

Environmental Controls — 0.0%

Madison IAQ LLC

                

4.125% 6/30/28 (b) (d)

    155,000       124,495  

Food — 0.1%

Bellis Acquisition Co. PLC

                

3.250% 2/16/26 GBP (b) (c)

    100,000       84,023  

Chobani LLC / Chobani Finance Corp., Inc.

                

4.625% 11/15/28 (b)

    185,000       157,350  

Mondelez International Holdings Netherlands BV

                

0.250% 9/09/29 EUR (b) (c)

    198,000       151,410  

Nestle Finance International Ltd.

                

0.750% 5/16/23 EUR (b) (c)

    39,000       37,871  

Tesco Corporate Treasury Services PLC

                

0.875% 5/29/26 EUR (b) (c)

    150,000       129,923  

1.875% 11/02/28 GBP (b) (c)

    150,000       124,308  
              684,885  

Forest Products & Paper — 0.1%

Celulosa Arauco y Constitucion SA

                

4.200% 1/29/30 (b)

    200,000       164,000  

Suzano Austria GmbH

                

5.000% 1/15/30

    200,000       173,342  
              337,342  

Gas — 0.1%

APA Infrastructure Ltd.

                

4.250% 7/15/27 (b)

    885,000       820,002  

Health Care – Products — 0.3%

Abbott Ireland Financing DAC

                

0.875% 9/27/23 EUR (b) (c)

    111,000       106,956  

Avantor Funding, Inc.

                

4.625% 7/15/28 (b) (d)

    90,000       79,681  

Becton Dickinson Euro Finance SARL

                

0.632% 6/04/23 EUR (c)

    109,000       105,342  

1.213% 2/12/36 EUR (c)

    100,000       66,127  

Medline Borrower LP

                

3.875% 4/01/29 (b)

    230,000       184,575  

Medtronic Global Holdings SCA

                

0.375% 3/07/23 EUR (c)

    160,000       155,763  

0.375% 10/15/28 EUR (c)

    100,000       81,450  

PerkinElmer, Inc.

                

1.900% 9/15/28

    410,000       329,575  

2.250% 9/15/31

    220,000       165,352  

3.300% 9/15/29

    195,000       164,037  

 

   

Principal
Amount

    

Value

  

Thermo Fisher Scientific, Inc.

                

0.875% 10/01/31 EUR (c)

  $ 140,000     $ 107,848  

2.375% 4/15/32 EUR (c)

    100,000       87,331  
              1,634,037  

Health Care – Services — 0.8%

Centene Corp.

                

2.450% 7/15/28

    230,000       187,271  

2.625% 8/01/31

    315,000       237,860  

3.375% 2/15/30

    515,000       421,012  

4.625% 12/15/29

    875,000       786,275  

Charles River Laboratories International, Inc.

                

4.000% 3/15/31 (b) (d)

    110,000       88,704  

Fresenius Medical Care AG & Co. KGaA

                

0.250% 11/29/23 EUR (b) (c)

    72,000       68,265  

Hca, Inc.

                

3.125% 3/15/27 (b)

    235,000       208,134  

3.375% 3/15/29 (b)

    90,000       76,305  

HCA, Inc.

                

3.500% 9/01/30

    499,000       412,034  

5.375% 9/01/26

    170,000       164,759  

5.875% 2/15/26

    625,000       618,569  

Humana, Inc.

                

3.700% 3/23/29

    170,000       152,484  

4.875% 4/01/30

    645,000       618,433  

Tenet Healthcare Corp.

                

6.125% 6/15/30 (b)

    100,000       91,845  

UnitedHealth Group, Inc.

                

2.000% 5/15/30

    190,000       152,778  
              4,284,728  

Holding Company – Diversified — 0.0%

CK Hutchison Finance 16 Ltd.

                

1.250% 4/06/23 EUR (b) (c)

    111,000       108,192  

Insurance — 0.8%

AIA Group Ltd.

                

3.900% 4/06/28 (b)

    640,000       604,333  

Allianz SE 10 mo. EURIBOR ICE Swap + 3.200%

                

3.375% VRN EUR (b) (c) (e)

    400,000       371,179  

Aon Corp.

                

2.800% 5/15/30

    145,000       119,919  

Berkshire Hathaway Finance Corp.

                

1.500% 3/18/30 EUR (c)

    167,000       137,020  

2.500% 1/15/51

    375,000       222,538  

Berkshire Hathaway, Inc.

                

0.750% 3/16/23 EUR (c)

    160,000       156,072  

CNO Financial Group, Inc.

                

5.250% 5/30/25

    217,000       214,221  

 

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

  

CNP Assurances

                

1.875% 10/20/22 EUR (b) (c)

  $ 100,000     $ 97,965  

Corebridge Financial, Inc.

                

3.900% 4/05/32 (b)

    145,000       121,985  

Equitable Holdings, Inc.

                

4.350% 4/20/28

    1,150,000       1,077,810  

Hannover Rueck SE 3 mo. EURIBOR + 3.000%

                

1.750% VRN 10/08/40 EUR (b) (c)

    300,000       223,228  

Jackson Financial, Inc.

                

5.170% 6/08/27

    430,000       412,581  

Legal & General Group PLC 5 Year UK Gilt + 4.580%

                

5.375% VRN 10/27/45 GBP (b) (c)

    185,000       190,223  

Marsh & McLennan Cos., Inc.

                

2.250% 11/15/30

    185,000       147,210  

Trinity Acquisition PLC

                

4.400% 3/15/26

    545,000       523,347  
              4,619,631  

Internet — 0.2%

Booking Holdings, Inc.

                

2.150% 11/25/22 EUR (c)

    100,000       97,961  

Go Daddy Operating Co. LLC/GD Finance Co., Inc.

                

5.250% 12/01/27 (b)

    50,000       46,055  

Match Group Holdings II LLC

                

5.000% 12/15/27 (b) (d)

    148,000       132,090  

MercadoLibre, Inc.

                

3.125% 1/14/31 (d)

    200,000       145,000  

Netflix, Inc.

                

4.625% 5/15/29 EUR (c)

    100,000       91,416  

NortonLifeLock, Inc.

                

6.750% 9/30/27 (b)

    30,000       28,891  

7.125% 9/30/30 (b)

    22,000       21,279  

Tencent Holdings Ltd.

                

3.240% 6/03/50 (b)

    350,000       212,588  

3.840% 4/22/51 (b)

    200,000       130,620  

United Group BV

                

4.625% 8/15/28 EUR (b) (c)

    100,000       69,069  
              974,969  

Investment Companies — 0.1%

Criteria Caixa SA

                

1.500% 5/10/23 EUR (b) (c)

    100,000       97,226  

JAB Holdings BV

                

2.000% 5/18/28 EUR (b) (c)

    300,000       250,744  
              347,970  

Iron & Steel — 0.1%

ABJA Investment Co. Pte Ltd.

                

5.450% 1/24/28 (b)

    200,000       185,752  

 

   

Principal
Amount

    

Value

  

Nucor Corp.

                

3.125% 4/01/32

  $ 150,000     $ 122,387  
              308,139  

Leisure Time — 0.1%

Deuce Finco Plc

                

5.500% 6/15/27 GBP (b) (c)

    100,000       83,183  

Royal Caribbean Cruises Ltd.

                

8.250% 1/15/29 (b) (f)

    205,000       199,619  
              282,802  

Lodging — 0.1%

Las Vegas Sands Corp.

                

3.500% 8/18/26

    210,000       183,658  

Marriott International, Inc.

                

2.850% 4/15/31

    155,000       121,647  

5.000% 10/15/27

    335,000       323,675  
              628,980  

Machinery – Diversified — 0.1%

Highland Holdings Sarl

                

0.318% 12/15/26 EUR (c)

    122,000       102,979  

TK Elevator Midco GmbH

                

4.375% 7/15/27 EUR (b) (c)

    100,000       82,079  

TK Elevator US Newco, Inc.

                

5.250% 7/15/27 (b)

    285,000       242,310  
              427,368  

Media — 0.3%

Altice Financing SA

                

4.250% 8/15/29 EUR (b) (c)

    100,000       75,717  

CCO Holdings LLC/CCO Holdings Capital Corp.

                

4.250% 2/01/31 (b)

    235,000       179,856  

5.375% 6/01/29 (b)

    80,000       70,026  

6.375% 9/01/29 (b)

    130,000       119,353  

Charter Communications Operating LLC/Charter Communications Operating Capital

                

2.250% 1/15/29

    355,000       277,028  

2.800% 4/01/31

    89,000       67,250  

4.200% 3/15/28

    485,000       435,650  

6.484% 10/23/45

    105,000       92,287  

Comcast Corp.

                

3.250% 11/01/39

    295,000       216,680  

DISH DBS Corp.

                

5.750% 12/01/28 (b)

    105,000       79,124  

Sirius XM Radio, Inc.

                

4.000% 7/15/28 (b)

    155,000       131,840  

Univision Communications, Inc.

                

7.375% 6/30/30 (b)

    65,000       62,029  

 

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

  

Ziggo BV

                

2.875% 1/15/30 EUR (b) (c)

  $ 100,000     $ 71,789  
              1,878,629  

Mining — 0.0%

Arconic Corp.

                

6.125% 2/15/28 (b) (d)

    165,000       145,749  

Hudbay Minerals, Inc.

                

6.125% 4/01/29 (b) (d)

    100,000       80,573  
              226,322  

Miscellaneous - Manufacturing — 0.1%

Parker Hannifin Corp.

                

4.250% 9/15/27

    260,000       247,756  

Parker-Hannifin Corp.

                

4.500% 9/15/29

    175,000       164,892  

Siemens Financieringsmaatschappij NV

                

0.000% 2/20/23 EUR (b) (c)

    100,000       97,218  

0.375% 9/06/23 EUR (b) (c)

    107,000       102,652  
              612,518  

Oil & Gas — 1.0%

Aker BP ASA

                

2.875% 1/15/26 (b)

    180,000       163,523  

BP Capital Markets PLC

                

1.109% 2/16/23 EUR (b) (c)

    150,000       146,666  

2.213% 9/25/26 EUR (b) (c)

    160,000       149,283  

Chesapeake Energy Corp.

                

6.750% 4/15/29 (b)

    60,000       57,315  

Continental Resources, Inc.

                

5.750% 1/15/31 (b)

    160,000       144,617  

Ecopetrol SA

                

4.625% 11/02/31

    225,000       157,050  

Eni SpA

                

3.250% 7/10/23 EUR (b) (c)

    117,000       115,013  

4.750% 9/12/28 (b)

    875,000       824,540  

Leviathan Bond Ltd.

                

6.500% 6/30/27 (b)

    300,000       275,250  

Occidental Petroleum Corp.

                

6.200% 3/15/40

    55,000       53,213  

8.500% 7/15/27

    225,000       240,795  

8.875% 7/15/30

    160,000       178,128  

OMV AG

                

0.000% 6/16/23 EUR (b) (c)

    71,000       68,307  

Petroleos Mexicanos

                

5.125% 3/15/23 EUR (b) (c)

    850,000       830,534  

Saudi Arabian Oil Co.

                

4.250% 4/16/39 (b)

    200,000       171,250  

TotalEnergies Capital International SA

                

2.125% 3/15/23 EUR (b) (c)

    100,000       98,003  

 

   

Principal
Amount

    

Value

  

Wintershall Dea Finance BV

                

0.452% 9/25/23 EUR (b) (c)

  $ 100,000     $ 94,722  

Woodside Finance Ltd.

                

3.700% 9/15/26 (b)

    2,000,000       1,851,828  
              5,620,037  

Packaging & Containers — 0.1%

Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC

                

3.000% 9/01/29 EUR (b) (c)

    180,000       125,641  

6.000% 6/15/27 (b)

    240,000       226,009  

Graphic Packaging International LLC

                

2.625% 2/01/29 EUR (b) (c)

    100,000       74,801  

Sealed Air Corp.

                

5.000% 4/15/29 (b) (d)

    85,000       75,862  

Trivium Packaging Finance BV

                

3.750% 8/15/26 EUR (b) (c)

    100,000       88,082  
              590,395  

Pharmaceuticals — 1.2%

AbbVie, Inc.

                

2.950% 11/21/26

    410,000       375,781  

3.200% 11/21/29

    475,000       416,481  

4.050% 11/21/39

    270,000       217,794  

4.250% 11/21/49

    325,000       260,937  

4.700% 5/14/45

    530,000       448,355  

4.875% 11/14/48

    980,000       861,800  

Astrazeneca Finance LLC

                

1.750% 5/28/28

    445,000       374,211  

Bayer Capital Corp. BV

                

0.625% 12/15/22 EUR (b) (c)

    100,000       97,766  

1.250% 11/13/23 EUR (b) (c)

    56,000       53,768  

Becton Dickinson and Co.

                

1.957% 2/11/31

    800,000       617,342  

2.823% 5/20/30

    510,000       426,672  

3.020% 5/24/25 GBP (c)

    150,000       151,789  

4.669% 6/06/47

    246,000       211,231  

Cardinal Health, Inc.

                

4.500% 11/15/44

    95,000       73,464  

4.900% 9/15/45

    105,000       86,024  

Cigna Corp.

                

3.400% 3/01/27

    135,000       124,143  

CVS Health Corp.

                

3.250% 8/15/29

    135,000       118,094  

5.050% 3/25/48

    728,000       638,689  

GlaxoSmithKline Capital PLC

                

0.125% 5/12/23 EUR (b) (c)

    100,000       96,658  

Roche Finance Europe BV

                

0.500% 2/27/23 EUR (b) (c)

    92,000       89,753  

 

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

  

Sanofi

                

0.500% 3/21/23 EUR (b) (c)

  $ 100,000     $ 97,505  

2.500% 11/14/23 EUR (b) (c)

    100,000       97,892  

Teva Pharmaceutical Finance Netherlands BV

                

6.000% 1/31/25 EUR (c)

    100,000       95,563  

7.125% 1/31/25

    200,000       194,681  

Utah Acquisition Sub, Inc.

                

3.950% 6/15/26

    685,000       624,731  
              6,851,124  

Pipelines — 2.1%

Boardwalk Pipelines LP

                

3.400% 2/15/31

    990,000       796,051  

4.950% 12/15/24

    1,415,000       1,400,597  

Cheniere Corpus Christi Holdings LLC

                

3.700% 11/15/29

    465,000       403,107  

5.125% 6/30/27

    140,000       135,611  

5.875% 3/31/25

    760,000       763,412  

7.000% 6/30/24

    290,000       294,699  

Cheniere Energy Partners LP

                

3.250% 1/31/32

    95,000       73,794  

Cheniere Energy, Inc.

                

4.625% 10/15/28

    255,000       233,159  

Energy Transfer LP

                

2.900% 5/15/25

    185,000       172,103  

4.500% 4/15/24

    105,000       103,369  

5.875% 1/15/24

    600,000       601,315  

6.000% 6/15/48

    568,000       490,806  

6.250% 4/15/49

    105,000       94,030  

Enterprise Products Operating LLC

                

2.800% 1/31/30

    145,000       121,041  

Gray Oak Pipeline LLC

                

2.000% 9/15/23 (b)

    55,000       53,158  

2.600% 10/15/25 (b)

    170,000       152,481  

3.450% 10/15/27 (b)

    70,000       61,970  

Kinetik Holdings LP

                

5.875% 6/15/30 (b)

    145,000       132,771  

MPLX LP

                

4.950% 9/01/32

    520,000       472,193  

NuStar Logistics LP

                

5.750% 10/01/25

    150,000       139,016  

Sabine Pass Liquefaction LLC

                

4.500% 5/15/30

    95,000       86,509  

5.000% 3/15/27

    290,000       278,137  

5.875% 6/30/26

    1,715,000       1,716,876  

Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp

                

7.500% 10/01/25 (b)

    195,000       191,588  

 

   

Principal
Amount

    

Value

  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

                

4.000% 1/15/32

  $ 125,000     $ 103,088  

4.875% 2/01/31

    25,000       21,500  

5.500% 3/01/30

    150,000       135,360  

6.875% 1/15/29

    345,000       340,518  

Transcanada Trust 3 mo. CDOR + 3.080%

                

4.650% VRN 5/18/77 CAD (c)

    650,000       423,354  

Transcontinental Gas Pipe Line Co. LLC

                

4.000% 3/15/28

    125,000       114,742  

4.600% 3/15/48

    110,000       90,264  

Venture Global Calcasieu Pass LLC

                

3.875% 8/15/29 (b)

    55,000       47,183  

3.875% 11/01/33 (b)

    180,000       139,950  

4.125% 8/15/31 (b)

    65,000       53,916  

The Williams Cos., Inc.

                

3.750% 6/15/27

    1,170,000       1,076,758  
              11,514,426  

Real Estate — 0.2%

Akelius Residential Property AB

                

1.750% 2/07/25 EUR (b) (c)

    170,000       157,067  

Blackstone Property Partners Europe Holdings SARL

                

0.500% 9/12/23 EUR (b) (c)

    100,000       94,328  

1.750% 3/12/29 EUR (b) (c)

    280,000       209,925  

Country Garden Holdings Co. Ltd.

                

5.125% 1/17/25 (b)

    250,000       81,847  

Cushman & Wakefield US Borrower LLC

                

6.750% 5/15/28 (b)

    85,000       78,842  

Dar Al-Arkan Sukuk Co. Ltd.

                

6.750% 2/15/25 (b)

    300,000       289,610  

EMG SUKUK Ltd.

                

4.564% 6/18/24 (b)

    200,000       194,974  

Howard Hughes Corp.

                

4.125% 2/01/29 (b)

    195,000       150,638  

5.375% 8/01/28 (b)

    10,000       8,300  

Vonovia Finance BV

                

2.250% 12/15/23 EUR (b) (c)

    100,000       96,360  
              1,361,891  

Real Estate Investment Trusts (REITS) — 1.9%

Brixmor Operating Partnership LP

                

4.050% 7/01/30

    585,000       492,661  

4.125% 6/15/26

    2,000,000       1,871,722  

4.125% 5/15/29

    160,000       139,021  

Crown Castle, Inc.

                

2.100% 4/01/31

    155,000       116,112  

2.250% 1/15/31

    715,000       545,565  

 

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

  

2.900% 3/15/27

  $ 135,000     $ 119,883  

3.800% 2/15/28

    665,000       602,014  

Digital Dutch Finco BV

                

0.125% 10/15/22 EUR (b) (c)

    108,000       105,768  

Essex Portfolio LP

                

4.000% 3/01/29

    760,000       688,536  

Extra Space Storage LP

                

2.350% 3/15/32

    775,000       570,731  

GLP Capital LP/GLP Financing II, Inc.

                

3.350% 9/01/24

    125,000       118,388  

Healthcare Realty Holdings LP

                

2.050% 3/15/31

    230,000       167,363  

3.625% 1/15/28

    850,000       748,721  

Highwoods Realty LP

                

3.050% 2/15/30

    675,000       546,845  

4.125% 3/15/28

    405,000       365,416  

Inmobiliaria Colonial Socimi SA

                

1.625% 11/28/25 EUR (b) (c)

    200,000       181,664  

Klepierre SA

                

1.000% 4/17/23 EUR (b) (c)

    100,000       97,129  

MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc.

                

5.750% 2/01/27

    55,000       51,425  

Prologis LP

                

2.250% 6/30/29 GBP (c)

    150,000       131,090  

Realty Income Corp.

                

3.950% 8/15/27

    650,000       610,701  

Regency Centers LP

                

3.600% 2/01/27

    305,000       283,440  

4.125% 3/15/28

    815,000       748,465  

SBA Tower Trust

                

1.840% 4/15/27 (b)

    635,000       536,073  

2.593% 10/15/56 (b)

    515,000       401,835  

Scentre Group Trust 1 / Scentre Group Trust 2

                

1.375% 3/22/23 EUR (b) (c)

    111,000       108,083  
              10,348,651  

Retail — 0.3%

AutoZone, Inc.

                

4.750% 8/01/32

    135,000       126,555  

Bath & Body Works, Inc.

                

6.625% 10/01/30 (b)

    145,000       126,150  

Lowe S Cos., Inc.

                

3.350% 4/01/27

    45,000       41,695  

3.750% 4/01/32

    340,000       293,939  

Next Group PLC

                

3.625% 5/18/28 GBP (b) (c)

    250,000       223,642  

 

   

Principal
Amount

    

Value

  

O’Reilly Automotive, Inc.

                

4.700% 6/15/32

  $ 135,000     $ 126,347  

PetSmart, Inc. / PetSmart Finance Corp.

                

4.750% 2/15/28 (b)

    255,000       218,342  

Ross Stores, Inc.

                

1.875% 4/15/31

    535,000       398,622  

Yum! Brands, Inc.

                

5.375% 4/01/32

    250,000       221,660  
              1,776,952  

Savings & Loans — 0.0%

Nationwide Building Society

                

3 mo. EURIBOR + .930% 1.500% VRN 3/08/26 EUR (b) (c)

    140,000       127,814  

5 year EUR Swap + 1.500% 2.000% VRN 7/25/29 EUR (b) (c)

    150,000       137,574  
              265,388  

Semiconductors — 0.4%

Broadcom, Inc.

                

4.110% 9/15/28

    135,000       121,684  

Entegris Escrow Corp.

                

5.950% 6/15/30 (b)

    185,000       168,851  

Micron Technology, Inc.

                

4.185% 2/15/27

    262,000       244,699  

4.975% 2/06/26

    435,000       425,130  

NXP BV / NXP Funding LLC

                

5.350% 3/01/26

    1,115,000       1,101,486  

NXP BV / NXP Funding LLC / NXP USA, Inc.

                

2.700% 5/01/25

    45,000       41,735  

3.150% 5/01/27

    95,000       84,658  
              2,188,243  

Software — 0.2%

Central Parent, Inc. / CDK Global, Inc.

                

7.250% 6/15/29 (b) (d)

    129,000       122,640  

Fidelity National Information Services, Inc.

                

0.125% 12/03/22 EUR (c)

    109,000       106,602  

0.750% 5/21/23 EUR (c)

    110,000       106,409  

Fiserv, Inc.

                

3.000% 7/01/31 GBP (c)

    250,000       212,029  

3.500% 7/01/29

    150,000       130,465  

Oracle Corp.

                

2.300% 3/25/28

    355,000       296,645  

SAP SE

                

1.125% 2/20/23 EUR (b) (c)

    106,000       103,674  

Workday, Inc.

                

3.500% 4/01/27

    140,000       129,394  

3.700% 4/01/29

    110,000       99,005  
              1,306,863  

 

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

  

Telecommunications — 1.6%

Altice France SA

                

3.375% 1/15/28 EUR (b) (c)

  $ 135,000     $ 100,230  

5.500% 1/15/28 (b)

    290,000       229,648  

America Movil SAB de CV

                

5.750% 6/28/30 GBP (c)

    140,000       148,954  

AT&T, Inc.

                

1.650% 2/01/28 (d)

    415,000       341,232  

2.300% 6/01/27

    450,000       393,498  

2.500% 3/15/23 EUR (c)

    113,000       110,820  

Axiata SPV2 Bhd

                

2.163% 8/19/30 (b)

    250,000       202,851  

CK Hutchison Group Telecom Finance SA

                

0.375% 10/17/23 EUR (b) (c)

    109,000       103,589  

Deutsche Telekom International Finance BV

                

0.625% 4/03/23 EUR (b) (c)

    112,000       108,877  

NBN Co., Ltd.

                

2.625% 5/05/31 (b)

    480,000       381,789  

NTT Finance Corp.

                

1.591% 4/03/28 (b)

    765,000       631,608  

Orange SA

                

0.750% 9/11/23 EUR (b) (c)

    100,000       96,114  

PLT VII Finance Sarl

                

4.625% 1/05/26 EUR (b) (c)

    100,000       87,592  

Rogers Communications, Inc.

                

3.200% 3/15/27 (b)

    185,000       169,047  

3.800% 3/15/32 (b)

    295,000       253,927  

4.550% 3/15/52 (b)

    145,000       115,605  

Sprint Capital Corp.

                

6.875% 11/15/28

    110,000       113,025  

T-Mobile USA, Inc.

                

2.050% 2/15/28

    270,000       223,842  

3.750% 4/15/27

    2,765,000       2,552,930  

Tele2 AB

                

0.750% 3/23/31 EUR (b) (c)

    130,000       97,717  

Telefonica Emisiones SA

                

3.987% 1/23/23 EUR (b) (c)

    100,000       98,525  

Verizon Communications, Inc.

                

2.100% 3/22/28

    365,000       308,115  

2.355% 3/15/32

    718,000       550,310  

2.550% 3/21/31

    370,000       295,738  

2.650% 11/20/40

    530,000       345,486  

Vmed O2 UK Financing I PLC

                

4.500% 7/15/31 GBP (b) (c)

    155,000       122,444  

4.500% 7/15/31 GBP (b) (c)

    150,000       118,494  

 

   

Principal
Amount

    

Value

  

Vodafone Group PLC

                

1.750% 8/25/23 EUR (b) (c)

  $ 113,000     $ 109,648  

4.875% 6/19/49

    38,000       29,872  

5.250% 5/30/48

    408,000       337,880  
              8,779,407  

Toys, Games & Hobbies — 0.0%

Hasbro, Inc.

                

3.550% 11/19/26

    245,000       227,430  

Transportation — 0.0%

Deutsche Post AG

                

2.750% 10/09/23 EUR (b) (c)

    62,000       60,777  

InPost SA

                

2.250% 7/15/27 EUR (b) (c)

    100,000       73,406  
              134,183  

Water — 0.0%

Veolia Environnement SA

                

0.314% 10/04/23 EUR (b) (c)

    100,000       95,598  
                 

TOTAL CORPORATE DEBT (Cost $182,208,672)

            155,174,996  
                 

MUNICIPAL OBLIGATIONS — 0.1%

Commonwealth of Puerto Rico, General Obligation,

                

0.000% 11/01/43

    736,326       368,163  
                 

TOTAL MUNICIPAL OBLIGATIONS (Cost $392,294)

            368,163  
                 

NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.5%

Automobile Asset-Backed Securities — 0.9%

AmeriCredit Automobile Receivables Trust, Series 2020-3, Class D

                

1.490% 9/18/26

    275,000       257,374  

CarMax Auto Owner Trust, Series 2022-1, Class D

                

2.470% 7/17/28

    280,000       262,232  

Exeter Automobile Receivables Trust

                

Series 2021-2A, Class D, 1.400% 4/15/27

    235,000       216,694  

Series 2022-1A, Class D, 3.020% 6/15/28

    995,000       918,375  

Series 2022-2A, Class C, 3.850% 7/17/28

    820,000       787,968  

Series 2022-3A, Class C, 5.300% 9/15/27

    520,000       509,253  

 

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

  

GMF Floorplan Owner Revolving Trust, Series 2020-2, Class C

                

1.310% 10/15/25 (b)

  $ 290,000     $ 278,012  

Santander Bank NA - SBCLN, Series 2021-1A, Class B

                

1.833% 12/15/31 (b)

    155,022       150,242  

Santander Consumer Auto Receivables Trust, Series 2021-AA, Class D

                

1.570% 1/15/27 (b)

    735,000       667,341  

Santander Drive Auto Receivables Trust, Series 2021-4, Class D

                

1.670% 10/15/27

    310,000       287,772  

Santander Retail Auto Lease Trust, Series 2021-A, Class D

                

1.380% 3/22/27 (b)

    715,000       671,081  
              5,006,344  

Commercial Mortgage-Backed Securities — 2.8%

Austin Fairmont Hotel Trust, Series 2019-FAIR, Class B, 1 mo. USD LIBOR + 1.250%

                

4.068% FRN 9/15/32 (b)

    235,000       226,239  

Aventura Mall Trust, Series 2018-AVM, Class A,

                

4.249% VRN 7/05/40 (b) (g)

    380,000       343,652  

Barclays Commercial Mortgage Trust, Series 2019-BWAY, Class D, 1 mo. USD LIBOR + 2.160%

                

4.978% FRN 11/15/34 (b)

    245,000       237,295  

Benchmark Mortgage Trust, Series 2018-B1, Class AM,

                

3.878% VRN 1/15/51 (g)

    290,000       264,407  

BX Commercial Mortgage Trust

                

Series 2021-LGCY, Class C, 1 mo. USD LIBOR + 1.004% 3.822% FRN 10/15/23 (b)

    385,000       355,296  

Series 2021-21M, Class C, 1 mo. USD LIBOR + 1.177% 3.995% FRN 10/15/36 (b)

    340,000       315,892  

Series 2021-ARIA, Class B, 1 mo. USD LIBOR + 1.297% 4.115% FRN 10/15/36 (b)

    475,000       444,203  

Series 2022-CSMO, Class B, 1 mo. TSFR + 3.141% 5.986% FRN 6/15/27 (b)

    675,000       668,265  

Bxsc Commercial Mortgage Trust

                

Series 2018, Class B, 1 mo. TSFR + 2.092% 4.938% FRN 3/15/35 (b)

    920,000       878,621  

Series 2022, Class C, 1 mo. TSFR + 2.391% 5.237% FRN 3/15/35 (b)

    170,000       164,085  

 

   

Principal
Amount

    

Value

  

Cantor Commercial Real Estate Lending, Series 2019-CF2, Class B

                

3.267% 11/15/52

  $ 295,000     $ 242,761  

Citigroup Commercial Mortgage Trust

                

Series 2013-375P, Class D, 3.635% VRN 5/10/35 (b) (g)

    315,000       303,645  

Series 2013-375P, Class C, 3.635% VRN 5/10/35 (b) (g)

    390,000       375,929  

Cold Storage Trust, Series 2020-ICE5, Class C, 1 mo. USD LIBOR + 1.650%

                

4.468% FRN 11/15/37 (b)

    285,067       276,575  

Commercial Mortgage Trust

                

Series 2015-LC23, Class AM, 4.158% VRN 10/10/48 (g)

    1,650,000       1,546,259  

Series 2015-CR26, Class B, 4.619% VRN 10/10/48 (g)

    627,000       588,893  

Credit Suisse Mortgage Trust

                

Series 2020-NET, Class A, 2.257% 8/15/37 (b)

    298,544       269,698  

Series 2020-NET, Class C, 3.526% 8/15/37 (b)

    480,000       436,594  

DC Office Trust, Series 2019-MTC, Class D,

                

3.174% VRN 9/15/45 (b) (g)

    520,000       405,540  

Great Wolf Trust

                

Series 2019-WOLF, Class A, 1 mo. USD LIBOR + 1.034% 3.852% FRN 12/15/36 (b)

    710,000       692,376  

Series 2019-WOLF, Class C, 1 mo. USD LIBOR + 1.633% 4.451% FRN 12/15/36 (b)

    435,000       416,637  

Series 2019-WOLF, Class D, 1 mo. USD LIBOR + 1.933% 4.751% FRN 12/15/36 (b)

    820,000       783,348  

GS Mortgage Securities Trust, Series 2019-GSA1, Class B

                

3.511% 11/10/52

    870,000       727,516  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX

                

4.248% 7/05/33 (b)

    115,000       112,125  

Manhattan West Mortgage Trust, Series 2020-1MW, Class D,

                

2.413% VRN 9/10/39 (b) (g)

    290,000       227,538  

SMRT, Series 2022-MINI, Class C, 1 mo. TSFR + 1.550%

                

4.396% FRN 1/15/39 (b)

    580,000       546,674  

VNDO Trust, Series 2016,Class D,

                

4.033% VRN 1/10/35 (b) (g)

    750,000       636,770  

 

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

  

Wells Fargo Commercial Mortgage Trust

                

Series 2014-LC18, Class AS, 3.808% 12/15/47

  $ 1,695,000     $ 1,593,477  

Series 2017-C39, Class B, 4.025% 9/15/50

    1,010,000       913,098  

Series 2021-SAVE, Class C, 1 mo. USD LIBOR + 1.800% 4.618% FRN 2/15/40 (b)

    368,154       353,216  
              15,346,624  

Other Asset-Backed Securities — 3.2%

522 Funding CLO Ltd.

                

Series 2019-5A, Class AR, 3 mo. TSFR + 1.330% 3.658% FRN 4/15/35 (b)

    825,000       789,926  

Series 2019-5A, Class BR, 3 mo. TSFR + 1.850% 4.178% FRN 4/15/35 (b)

    465,000       430,559  

AGL CLO 17 Ltd., Series 2022-17A, Class A, 3 mo. TSFR + 1.330%

                

3.804% FRN 1/21/35 (b)

    630,000       602,608  

Amur Equipment Finance Receivables X LLC, Series 2022-1A, Class C

                

2.370% 4/20/28 (b)

    175,000       160,106  

Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I

                

4.194% 6/05/49 (b)

    1,386,000       1,336,756  

Benefit Street Partners CLO Ltd., Series 2020-20A, Class AR, 3 mo. USD LIBOR + 1.170%

                

3.682% FRN 7/15/34 (b)

    470,000       449,503  

Carlyle U.S. CLO Ltd., Series 2019-4A, Class A11R, 3 mo. TSFR + 1.320%

                

3.648% FRN 4/15/35 (b)

    865,000       827,796  

CBAM Ltd., Series 2019-9A, Class A, 3 mo. USD LIBOR + 1.280%

                

3.792% FRN 2/12/30 (b)

    1,159,279       1,140,780  

Cedar Funding VIII Clo Ltd., Series 2017-8A, Class A1R, 3 mo. USD LIBOR + 1.150%

                

3.890% FRN 10/17/34 (b)

    490,000       467,869  

CIFC Funding Ltd.

                

Series 2021-3A, Class A, 3 mo. USD LIBOR + 1.140% 3.652% FRN 7/15/36 (b)

    585,000       560,279  

Series 2020-1A, Class A1R, 3 mo. USD LIBOR + 1.150% 3.662% FRN 7/15/36 (b)

    925,000       886,439  

Series 2020-3A, Class A1R, 3 mo. USD LIBOR + 1.130% 3.840% FRN 10/20/34 (b)

    610,000       584,340  

 

   

Principal
Amount

    

Value

  

Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2

                

4.940% 1/25/52 CAD (b) (c)

  $ 275,000     $ 184,122  

Driven Brands Funding LLC

                

Series 2020-2A, Class A2, 3.237% 1/20/51 (b)

    556,525       477,102  

Series 2020-1A, Class A2, 3.786% 7/20/50 (b)

    269,500       236,597  

Dryden 86 CLO Ltd., Series 2020-86A, Class A1R, 3 mo. USD LIBOR + 1.100%

                

3.840% FRN 7/17/34 (b)

    600,000       573,495  

Hardee’s Funding LLC

                

Series 2021-1A, Class A2, 2.865% 6/20/51 (b)

    296,250       240,747  

Series 2018-1A, Class AII, 4.959% 6/20/48 (b)

    312,000       292,948  

HPEFS Equipment Trust

                

Series 2022-1A, Class C, 1.960% 5/21/29 (b)

    330,000       306,585  

Series 2022-1A, Class D, 2.400% 11/20/29 (b)

    350,000       324,200  

HPS Loan Management Ltd.

                

Series 2021-16A, Class A1, 3 mo. USD LIBOR + 1.140% 3.923% FRN 1/23/35 (b)

    290,000       276,039  

Series 11A-17, Class BR, 3 mo. USD LIBOR + 1.550% 4.413% FRN 5/06/30 (b)

    265,000       251,404  

Jack in the Box Funding LLC, Series 2022-1A, Class A2I

                

3.445% 2/26/52 (b)

    964,260       839,580  

Madison Park Funding XXXIII Ltd., Series 2019-33A, Class AR, 3 mo. TSFR + 1.290%

                

3.618% FRN 10/15/32 (b)

    465,000       452,125  

Morgan Stanley Eaton Vance CLO, Series 2021-1A, Class B, 3 mo. USD LIBOR + 1.650%

                

4.433% FRN 10/20/34 (b)

    440,000       408,006  

Neuberger Berman Loan Advisers CLO Ltd.

                

Series 2019-32A, Class AR, 3 mo. USD LIBOR + .990% 3.728% FRN 1/20/32 (b)

    1,445,000       1,405,382  

Series 2021-43A, Class A, 3 mo. USD LIBOR + 1.130% 3.870% FRN 7/17/35 (b)

    685,000       656,360  

OZLM Ltd., Series 2014-7RA, Class A1R, 3 mo. USD LIBOR + 1.010%

                

3.750% FRN 7/17/29 (b)

    279,936       274,090  

 

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

  

Palmer Square CLO Ltd., Series 2022-1A, Class A, 3 mo. TSFR + 1.320%

                

1.786% FRN 4/20/35 (b)

  $ 480,000     $ 462,865  

Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I

                

3.251% 12/05/51 (b)

    631,825       547,657  

Regatta XIX Funding Ltd., Series 2022-1A, Class B, 3 mo. TSFR + 1.850%

                

2.929% FRN 4/20/35 (b)

    420,000       385,730  

Symphony CLO Ltd.

                

Series 2022-31A, Class B, 3 mo. TSFR + 1.850% 2.155% FRN 4/22/35 (b)

    410,000       386,938  

Series 2021-26A, Class AR, 3 mo. USD LIBOR + 1.080% 3.790% FRN 4/20/33 (b)

    425,000       405,674  

Wellfleet CLO Ltd., Series 2017-2A, Class A1R, 3 mo. USD LIBOR + 1.060%

                

3.770% FRN 10/20/29 (b)

    517,190       508,527  
              18,133,134  

Student Loans Asset-Backed Securities — 0.8%

Navient Private Education Refi Loan Trust

                

Series 2020-HA, Class A, 1.310% 1/15/69 (b)

    175,015       157,170  

Series 2020-DA, Class A, 1.690% 5/15/69 (b)

    162,287       147,070  

Series 2022-A, Class A, 2.230% 7/15/70 (b)

    978,347       868,176  

Series 2019-FA, Class A2, 2.600% 8/15/68 (b)

    337,462       311,524  

Series 2020-CA, Class B, 2.830% 11/15/68 (b)

    470,000       379,278  

SMB Private Education Loan Trust

                

Series 2021-A, Class APT1, 1.070% 1/15/53 (b)

    463,764       396,021  

Series 2020-BA, Class A1A, 1.290% 7/15/53 (b)

    202,880       182,050  

Series 2021-A, Class B, 2.310% 1/15/53 (b)

    570,000       508,846  

Series 2016-B, Class A2A, 2.430% 2/17/32 (b)

    344,401       333,037  

Series 2018-A, Class A2A, 3.500% 2/15/36 (b)

    716,405       692,387  

Series 2018-C, Class A2A, 3.630% 11/15/35 (b)

    520,999       494,467  
              4,470,026  

 

   

Principal
Amount

    

Value

  

Whole Loan Collateral Collateralized Mortgage Obligations — 1.8%

Angel Oak Mortgage Trust

                

Series 2021-4, Class A3, 1.446% VRN 1/20/65 (b) (g)

  $ 299,152     $ 242,660  

Series 2020-5, Class A3, 2.041% VRN 5/25/65 (b) (g)

    73,768       66,258  

Series 2022-1, Class A1, 2.881% STEP 12/25/66 (b)

    315,334       274,494  

Series 2020-5, Class M1, 2.970% VRN 5/25/65 (b) (g)

    275,000       223,030  

Series 2019-1, Class A2, 4.022% VRN 11/25/48 (b) (g)

    6,458       6,431  

Bayview MSR Opportunity Master Fund Trust

                

Series 2021-2, Class A20, 2.500% VRN 6/25/51 (b) (g)

    963,527       744,776  

Series 2021-4, Class A20, 2.500% VRN 10/25/51 (b) (g)

    437,385       338,085  

BINOM Securitization Trust, Series 2021-INV1, Class A1,

                

2.034% VRN 6/25/56 (b) (g)

    304,486       269,876  

CIM Trust, Series 2021-INV1, Class A29,

                

2.500% VRN 7/01/51 (b) (g)

    611,255       475,537  

Citigroup Mortgage Loan Trust, Series 2022-INV1, Class A4B,

                

3.000% VRN 11/27/51 (b) (g)

    227,180       188,630  

COLT Mortgage Loan Trust, Series 2020-3, Class A1,

                

1.506% VRN 4/27/65 (b) (g)

    50,802       48,650  

Ellington Financial Mortgage Trust

                

Series 2021-3, Class A1, 1.241% VRN 9/25/66 (b) (g)

    343,595       279,727  

Series 2020-1, Class A3, 3.999% VRN 5/25/65 (b) (g)

    430,000       394,732  

Flagstar Mortgage Trust

                

Series 2020-1INV, Class A11, 1 mo. USD LIBOR + .850% 3.934% FRN 3/25/50 (b)

    93,072       86,631  

Series 2018-6RR, Class 2A4, 4.000% VRN 9/25/48 (b) (g)

    16,251       15,817  

Galton Funding Mortgage Trust

                

Series 2019-H1, Class A3, 2.964% VRN 10/25/59 (b) (g)

    353,866       343,633  

Series 2018-1, Class A23, 3.500% VRN 11/25/57 (b) (g)

    25,106       23,760  

Series 2019-1, Class A22, 4.000% VRN 2/25/59 (b) (g)

    11,818       11,483  

GCAT Trust, Series 2021-NQM4, Class A3,

                

1.556% VRN 8/25/66 (b) (g)

    197,102       159,563  

 

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

  

GS Mortgage-Backed Securities Trust

                

Series 2021-GR1, Class A4, 2.500% VRN 11/25/51 (b) (g)

  $ 462,573     $ 357,555  

Series 2021-GR2, Class A4, 2.500% VRN 2/25/52 (b) (g)

    474,455       369,407  

Series 2020-INV1, Class A14, 2.940% VRN 10/25/50 (b) (g)

    254,458       217,857  

Hundred Acre Wood Trust

                

Series 2021,Class A, 2.500% VRN 7/25/51 (b) (g)

    867,740       674,532  

Series 2021-INV2, Class A27, 2.500% VRN 10/25/51 (b) (g)

    277,524       216,079  

Imperial Fund Mortgage Trust, Series 2021-NQM2, Class A1,

                

1.073% VRN 9/25/56 (b) (g)

    218,475       180,843  

JP Morgan Mortgage Trust

                

Series 2020-LTV1, Class B1, 3.253% VRN 6/25/50 (b) (g)

    358,493       314,858  

Series 2020-INV1, Class A11, 1 mo. USD LIBOR + .830% 3.274% FRN 8/25/50 (b)

    65,161       62,378  

Series 2019-INV3, Class A15, 3.500% VRN 5/25/50 (b) (g)

    104,577       95,718  

Series 2019-INV3, Class A3, 3.500% VRN 5/25/50 (b) (g)

    121,478       111,923  

Series 2020-LTV1, Class A15, 3.500% VRN 6/25/50 (b) (g)

    13,118       12,656  

Series 2020-LTV1, Class A3, 3.500% VRN 6/25/50 (b) (g)

    30,688       29,606  

Series 2020-INV1, Class A3, 3.500% VRN 8/25/50 (b) (g)

    102,886       91,564  

Series 2020-5, Class B2, 3.598% VRN 12/25/50 (b) (g)

    338,381       275,034  

New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1,

                

2.710% VRN 11/25/59 (b) (g)

    241,272       223,807  

Onslow Bay Financial LLC

                

Series 2021-NQM3, Class A1, 1.054% VRN 7/25/61 (b) (g)

    329,432       252,181  

Series 2019-EXP3, Class 1A8, 3.500% VRN 10/25/59 (b) (g)

    58,084       55,229  

Series 2020-EXP1, Class 1A8, 3.500% VRN 2/25/60 (b) (g)

    277,550       247,342  

Series 2019-INV2, Class A25, 4.000% VRN 5/27/49 (b) (g)

    114,904       108,457  

Series 2019-EXP2, Class 1A3, 4.000% VRN 6/25/59 (b) (g)

    89,414       85,501  

Sequoia Mortgage Trust

                

Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (b) (g)

    60,776       58,627  

Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (b) (g)

    75,551       73,401  

 

   

Principal
Amount

    

Value

  

Series 2018-CH1, Class A19, 4.000% VRN 3/25/48 (b) (g)

  $ 88,597     $ 84,315  

Series 2018-CH2, Class A21, 4.000% VRN 6/25/48 (b) (g)

    23,732       22,674  

Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (b) (g)

    12,557       12,431  

Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (b) (g)

    10,631       10,523  

SG Residential Mortgage Trust, Series 2019-3, Class A1,

                

2.703% VRN 9/25/59 (b) (g)

    19,517       19,146  

TRK Trust, Series 2021-INV1, Class A1,

                

1.153% VRN 7/25/56 (b) (g)

    314,421       271,981  

Verus Securitization Trust

                

Series 2021-5, Class A2, 1.218% VRN 9/25/66 (b) (g)

    303,441       235,514  

Series 2019-4, Class A1, 2.642% STEP 11/25/59 (b)

    131,590       128,035  

Series 2022-1, Class A1, 2.724% STEP 1/25/67 (b)

    770,331       664,922  

Series 2019-INV2, Class A2, 3.117% VRN 7/25/59 (b) (g)

    225,291       219,780  

Series 2020-INV1, Class A3, 3.889% VRN 3/25/60 (b) (g)

    100,000       95,662  
              10,073,311  
                 

TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $58,250,898)

            53,029,439  
                 

SOVEREIGN DEBT OBLIGATIONS — 18.1%

1Malaysia Development Berhad Global Investments Ltd.

                

4.400% 3/09/23 (b)

    1,000,000       957,817  

Albania Government International Bond

                

3.500% 10/09/25 EUR (b) (c)

    160,000       141,612  

3.500% 6/16/27 EUR (b) (c)

    105,000       89,039  

3.500% 11/23/31 EUR (b) (c)

    490,000       350,410  

Australia Government International Bond

                

1.250% 5/21/32 AUD (c)

    1,464,000       739,195  

3.000% 3/21/47 AUD (b) (c)

    808,000       427,224  

Bonos de la Tesoreria de la Republica en pesos

                

4.500% 3/01/26 CLP (c)

    445,000,000       420,596  

4.700% 9/01/30 CLP (b) (c)

    535,000,000       483,631  

5.000% 10/01/28 CLP (b) (c)

    385,000,000       365,834  

Brazil Notas do Tesouro Nacional Serie B

                

6.000% 5/15/25 BRL (c)

    950,000       713,299  

 

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

  

Bundesobligation Bonds

                

0.000% 4/16/27 EUR (b) (c)

  $ 3,888,000     $ 3,493,513  

Bundesrepublik Deutschland Bundesanleihe

                

0.000% 2/15/32 EUR (b) (c)

    8,730,000       7,052,166  

Canadian Government International Bond

                

1.250% 3/01/27 CAD (c)

    8,569,000       5,666,210  

Canadian Government Real Return Bond

                

4.000% 12/01/31 CAD (c)

    4,122,913       3,676,244  

Croatia Government International Bond

                

1.125% 3/04/33 EUR (b) (c)

    184,000       129,454  

Cyprus Government International Bond

                

0.000% 2/09/26 EUR (b) (c)

    245,000       218,610  

0.950% 1/20/32 EUR (b) (c)

    610,000       452,895  

2.375% 9/25/28 EUR (b) (c)

    1,177,000       1,071,236  

2.750% 2/26/34 EUR (b) (c)

    93,000       80,772  

2.750% 5/03/49 EUR (b) (c)

    99,000       76,640  

3.750% 7/26/23 EUR (b) (c)

    120,000       118,998  

3.750% 7/26/23 EUR (b) (c)

    100,000       99,165  

4.250% 11/04/25 EUR (b) (c)

    460,000       467,734  

4.250% 11/04/25 EUR (b) (c)

    10,000       10,168  

Czech Republic Government International Bond

                

2.400% 9/17/25 CZK (b) (c)

    22,450,000       814,165  

2.750% 7/23/29 CZK (c)

    51,630,000       1,748,154  

French Republic Government Bond OAT

                

0.000% 5/25/32 EUR (b) (c)

    2,943,000       2,237,198  

0.750% 5/25/52 EUR (b) (c)

    3,224,000       1,790,863  

1.250% 5/25/36 EUR (b) (c)

    1,802,000       1,432,200  

Hellenic Republic Government Bond

                

0.750% 6/18/31 EUR (b) (c)

    585,000       410,505  

Hungary Government International Bond

                

2.250% 4/20/33 HUF (c)

    1,351,620,000       1,640,124  

4.750% 11/24/32 HUF (c)

    53,110,000       83,997  

Iceland Government International Bond

                

0.000% 4/15/28 EUR (b) (c)

    346,000       279,976  

Indonesia Government International Bond

                

3.750% 6/14/28 EUR (b) (c)

    1,280,000       1,193,334  

Ireland Government International Bond

                

0.200% 10/18/30 EUR (b) (c)

    897,000       733,268  

1.350% 3/18/31 EUR (b) (c)

    1,176,000       1,056,728  

1.500% 5/15/50 EUR (b) (c)

    73,000       51,220  

2.000% 2/18/45 EUR (b) (c)

    191,000       156,395  

Israel Government International Bond

                

1.500% 1/18/27 EUR (b) (c)

    530,000       476,038  

1.750% 8/31/25 ILS (c)

    4,274,000       1,150,833  

5.500% 1/31/42 ILS (c)

    3,274,000       1,159,117  

 

   

Principal
Amount

    

Value

  

Italy Buoni Poliennali Del Tesoro

                

2.800% 3/01/67 EUR (b) (c)

  $ 1,064,000     $ 737,504  

Ivory Coast Government International Bond

                

4.875% 1/30/32 EUR (b) (c)

    105,000       68,716  

4.875% 1/30/32 EUR (b) (c)

    270,000       176,698  

Japan Government CPI Linked Bond

                

0.005% 3/10/31 JPY (c)

    337,210,426       2,472,053  

0.100% 3/10/24 JPY (c)

    109,247,000       775,969  

0.100% 9/10/24 JPY (c)

    287,524,200       2,049,203  

0.100% 3/10/25 JPY (c)

    304,451,700       2,177,209  

0.200% 3/10/30 JPY (c)

    85,104,696       642,416  

Japan Government Ten Year Bond

                

0.400% 3/20/25 JPY (c)

    364,500,000       2,545,985  

Japan Government Thirty Year Bond

                

0.700% 12/20/51 JPY (c)

    20,300,000       118,222  

1.000% 3/20/52 JPY (c)

    329,400,000       2,073,242  

1.300% 6/20/52 JPY (c)

    30,400,000       205,696  

1.700% 9/20/44 JPY (c)

    280,250,000       2,161,099  

2.200% 9/20/39 JPY (c)

    240,750,000       2,013,148  

2.500% 9/20/37 JPY (c)

    273,300,000       2,361,261  

Japan Government Twenty Year Bond

                

0.600% 6/20/37 JPY (c)

    252,900,000       1,722,544  

Latvia Government International Bond

                

0.375% 10/07/26 EUR (b) (c)

    2,114,000       1,857,351  

Malaysia Government International Bond

                

3.844% 4/15/33 MYR (c)

    590,000       119,177  

4.065% 6/15/50 MYR (c)

    2,885,000       532,502  

4.642% 11/07/33 MYR (c)

    3,255,000       699,169  

4.736% 3/15/46 MYR (c)

    5,640,000       1,173,784  

4.921% 7/06/48 MYR (c)

    6,150,000       1,298,252  

4.935% 9/30/43 MYR (c)

    325,000       69,320  

Mexican Bonos

                

8.500% 5/31/29 MXN (c)

    4,567,000       213,595  

Morocco Government International Bond

                

1.375% 3/30/26 EUR (b) (c)

    160,000       138,055  

New South Wales Treasury Corp.

                

4.000% 5/20/26 AUD (b) (c)

    860,000       549,563  

4.000% 5/20/26 AUD (b) (c)

    680,000       434,538  

North Macedonia Government International Bond

                

1.625% 3/10/28 EUR (b) (c)

    400,000       290,997  

Norway Government International Bond

                

3.000% 3/14/24 NOK (b) (c)

    2,700,000       247,850  

Philippine Government International Bond

                

0.250% 4/28/25 EUR (c)

    125,000       111,885  

 

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

 

53

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Portugal Obrigacoes do Tesouro OT

                

4.100% 2/15/45 EUR (b) (c)

  $ 217,000     $ 232,169  

Province of Ontario Canada

                

3.500% 6/02/43 CAD (c)

    140,000       91,265  

3.500% 6/02/43 CAD (c)

    62,000       40,418  

Republic of Poland Government Bond

                

3.750% 5/25/27 PLN (c)

    7,848,000       1,351,903  

Romanian Government International Bond

                

1.375% 12/02/29 EUR (b) (c)

    110,000       71,073  

2.000% 1/28/32 EUR (b) (c)

    110,000       66,128  

2.000% 1/28/32 EUR (b) (c)

    380,000       228,442  

2.124% 7/16/31 EUR (b) (c)

    642,000       399,006  

2.125% 3/07/28 EUR (b) (c)

    430,000       326,728  

2.875% 10/28/24 EUR (b) (c)

    100,000       94,758  

2.875% 5/26/28 EUR (b) (c)

    560,000       432,166  

3.624% 5/26/30 EUR (b) (c)

    622,000       457,664  

Serbia Government International Bond

                

1.000% 9/23/28 EUR (b) (c)

    850,000       554,390  

1.500% 6/26/29 EUR (b) (c)

    450,000       290,694  

1.650% 3/03/33 EUR (b) (c)

    435,000       235,244  

2.050% 9/23/36 EUR (b) (c)

    280,000       143,381  

2.050% 9/23/36 EUR (b) (c)

    375,000       192,029  

Serbia Treasury Bonds

                

4.500% 8/20/32 RSD (c)

    75,180,000       486,601  

Singapore Government International Bond

                

0.500% 11/01/25 SGD (c)

    955,000       607,210  

1.625% 7/01/31 SGD (c)

    2,512,000       1,501,516  

2.375% 6/01/25 SGD (c)

    480,000       325,013  

2.875% 7/01/29 SGD (c)

    990,000       662,068  

Slovenia Government International Bond

                

0.000% 2/12/31 EUR (b) (c)

    155,000       116,030  

1.500% 3/25/35 EUR (b) (c)

    342,000       265,538  

1.750% 11/03/40 EUR (b) (c)

    450,000       326,148  

3.125% 8/07/45 EUR (b) (c)

    1,035,000       934,705  

Spain Government International Bond

                

0.800% 7/30/29 EUR (c)

    1,954,000       1,662,890  

Sweden Government International Bond

                

2.250% 6/01/32 SEK (b) (c)

    32,145,000       2,926,712  

Thailand Government International Bond

                

2.000% 12/17/31 THB (c)

    91,434,000       2,216,268  

3.650% 6/20/31 THB (c)

    19,528,000       536,837  

United Kingdom Gilt

                

0.625% 6/07/25 GBP (b) (c)

    1,393,000       1,409,462  

0.625% 10/22/50 GBP (b) (c)

    732,000       375,973  

4.250% 6/07/32 GBP (b) (c)

    4,456,000       5,040,325  

4.250% 12/07/46 GBP (b) (c)

    976,000       1,144,333  

 

   

Principal
Amount

    

Value

  

4.750% 12/07/30 GBP (b) (c)

  $ 1,326,000     $ 1,546,474  
              101,045,141  
                 

TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $134,883,553)

            101,045,141  
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (h) — 20.8%

Collateralized Mortgage Obligations — 0.1%

Federal Home Loan Mortgage Corp. REMICS Series 4977, Class IO 4.500% 5/25/50

    265,602       52,453  

Government National Mortgage Association Series 2022-63, Class LM 3.500% 10/20/50

    260,000       223,050  
              275,503  

Pass-Through Securities — 19.7%

Federal Home Loan Mortgage Corp.

                

Pool #SB8147 1.500% 4/01/37

    342,362       293,668  

Pool #RB5148 2.000% 3/01/42

    889,149       746,351  

Pool #RA5258 2.000% 5/01/51

    868,522       705,424  

Pool #SD8146 2.000% 5/01/51

    536,617       436,685  

Pool #RA6505 2.000% 12/01/51

    1,500,393       1,217,231  

Pool #SD8199 2.000% 3/01/52

    4,691,519       3,804,644  

Pool #SD8204 2.000% 4/01/52

    225,493       182,866  

Pool #RA7324 2.000% 5/01/52

    149,480       121,550  

Pool #RB5149 2.500% 3/01/42

    692,376       597,736  

Pool #QC1292 2.500% 5/01/51

    19,807       16,705  

Pool #QC2902 2.500% 6/01/51

    40,104       34,096  

Pool #QC3425 2.500% 6/01/51

    251,904       212,276  

Pool #QC3551 2.500% 7/01/51

    22,523       18,980  

Pool #QC5137 2.500% 8/01/51

    63,675       53,658  

Pool #QC5575 2.500% 8/01/51

    79,256       66,738  

Pool #RA6623 2.500% 1/01/52

    1,124,011       949,207  

Pool #SD0854 2.500% 1/01/52

    92,945       78,171  

Pool #SD8200 2.500% 3/01/52

    697,298       586,895  

Pool #SD7554 2.500% 4/01/52

    364,783       308,395  

Pool #SD8212 2.500% 5/01/52

    2,824,436       2,375,919  

Pool #ZS4693 3.000% 12/01/46

    73,493       65,083  

Pool #G08756 3.000% 4/01/47

    31,359       27,768  

Pool #SD0080 3.000% 9/01/49

    142,425       126,094  

Pool #SD7531 3.000% 12/01/50

    166,901       147,190  

Pool #SB0015 3.500% 6/01/33

    155,050       147,113  

Pool #U90690 3.500% 6/01/42

    50,695       47,734  

Pool #U99051 3.500% 6/01/43

    51,495       47,211  

Pool #ZT0179 3.500% 11/01/47

    310,760       286,095  

Pool #RA1202 3.500% 8/01/49

    117,827       107,343  

 

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

 

54

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Pool #SD0212 3.500% 12/01/49

  $ 163,872     $ 149,189  

Pool #SD0617 3.500% 11/01/50

    112,550       102,394  

Pool #SB8171 4.000% 6/01/37

    71,879       69,378  

Pool #RA1906 4.000% 12/01/49

    202,537       190,416  

Pool #SD8039 4.000% 1/01/50

    252,590       236,447  

Pool #SD1035 4.000% 5/01/52

    229,592       213,466  

Pool #SD8244 4.000% 9/01/52

    349,966       324,921  

Pool #SD0422 4.500% 7/01/45

    125,501       123,697  

Pool #RA2607 4.500% 5/01/50

    53,978       51,848  

Pool #ZS3941 5.000% 12/01/41

    37,844       38,033  

Pool #SD8246 5.000% 9/01/52

    2,060,002       2,007,415  

Federal National Mortgage Association

                

Pool #MA4581 1.500% 4/01/37

    705,512       605,167  

Pool #MA4601 1.500% 5/01/37

    586,448       503,037  

Pool #MA4519 1.500% 1/01/42

    608,905       490,261  

Pool #MA4586 2.000% 4/01/42

    1,037,372       870,769  

Pool #MA4158 2.000% 10/01/50

    281,016       229,211  

Pool #MA4325 2.000% 5/01/51

    2,419,234       1,968,711  

Pool #CB2357 2.000% 12/01/51

    1,219,945       989,710  

Pool #CB2766 2.000% 2/01/52

    374,037       303,330  

Pool #CB2848 2.000% 2/01/52

    605,458       491,004  

Pool #FS0733 2.000% 2/01/52

    543,673       442,088  

Pool #MA4547 2.000% 2/01/52

    602,051       488,240  

Pool #FS1618 2.000% 3/01/52

    282,012       229,318  

Pool #MA4562 2.000% 3/01/52

    4,466,466       3,622,135  

Pool #MA4577 2.000% 4/01/52

    2,102,966       1,704,768  

Pool #BM3859 2.500% 8/01/31

    97,921       89,849  

Pool #BC9043 2.500% 11/01/31

    306,869       281,188  

Pool #BM1890 2.500% 1/01/32

    72,443       66,539  

Pool #CB3210 2.500% 3/01/37

    1,676,119       1,519,091  

Pool #MA4628 2.500% 6/01/37

    216,327       195,993  

Pool #BT0163 2.500% 6/01/51

    55,195       46,926  

Pool #BT1265 2.500% 6/01/51

    343,250       289,252  

Pool #CB1331 2.500% 8/01/51

    757,333       638,667  

Pool #FM8320 2.500% 8/01/51

    83,471       70,339  

Pool #CB1783 2.500% 10/01/51

    1,546,493       1,301,758  

Pool #CB1866 2.500% 10/01/51

    1,169,165       984,142  

Pool #CB2635 2.500% 1/01/52

    1,248,211       1,050,972  

Pool #CB2538 2.500% 1/01/52

    1,121,818       947,355  

Pool #CB2804 2.500% 2/01/52

    765,079       646,096  

Pool #FS2573 2.500% 3/01/52

    89,221       75,694  

Pool #MA4578 2.500% 4/01/52

    386,015       324,716  

Pool #FS1629 2.500% 4/01/52

    82,992       69,800  

Pool #CB3665 2.500% 5/01/52

    999,900       840,805  

Pool #BV7868 2.500% 7/01/52

    906,956       762,294  

Pool #AS7056 3.000% 4/01/31

    233,698       221,851  

Pool #BM5111 3.000% 11/01/33

    109,134       102,783  

Pool #CA4885 3.000% 12/01/34

    401,379       375,638  

Pool #BO7256 3.000% 1/01/35

    199,827       187,011  

 

   

Principal
Amount

    

Value

  

Pool #FM2547 3.000% 2/01/35

  $ 124,509     $ 116,524  

Pool #FM8540 3.000% 11/01/35

    228,379       215,945  

Pool #AL9412 3.000% 11/01/36

    226,711       207,782  

Pool #CA5597 3.000% 4/01/40

    865,915       781,171  

Pool #BM4221 3.000% 1/01/43

    125,814       112,558  

Pool #BM5468 3.000% 2/01/43

    197,229       176,448  

Pool #AB9248 3.000% 5/01/43

    50,280       44,982  

Pool #AU1629 3.000% 7/01/43

    14,089       12,604  

Pool #AS0406 3.000% 9/01/43

    79,208       70,837  

Pool #BM5469 3.000% 3/01/44

    359,564       321,678  

Pool #BM3380 3.000% 6/01/46

    320,973       286,551  

Pool #MA2670 3.000% 7/01/46

    114,251       101,284  

Pool #BD8462 3.000% 11/01/46

    1,259,264       1,117,135  

Pool #MA2806 3.000% 11/01/46

    214,572       190,018  

Pool #AS8295 3.000% 11/01/46

    284,967       253,427  

Pool #BM1418 3.000% 4/01/47

    1,425,334       1,264,461  

Pool #FM1000 3.000% 4/01/47

    178,907       158,435  

Pool #MA2956 3.000% 4/01/47

    140,614       124,392  

Pool #BM4744 3.000% 6/01/47

    124,795       110,983  

Pool #FM1572 3.000% 9/01/48

    255,628       226,377  

Pool #FM5499 3.000% 2/01/49

    166,763       147,681  

Pool #FM1445 3.000% 8/01/49

    123,941       109,729  

Pool #CA4108 3.000% 9/01/49

    791,500       699,259  

Pool #FM2870 3.000% 3/01/50

    219,427       193,650  

Pool #CA5540 3.000% 4/01/50

    14,335       12,620  

Pool #CA6314 3.000% 7/01/50

    199,692       174,860  

Pool #BQ1348 3.000% 8/01/50

    132,831       116,397  

Pool #CA6738 3.000% 8/01/50

    248,168       217,463  

Pool #BQ5052 3.000% 9/01/50

    6,914       6,069  

Pool #FM7072 3.000% 4/01/51

    696,842       613,455  

Pool #FM3462 3.500% 12/01/33

    336,435       319,550  

Pool #AS4449 3.500% 2/01/35

    111,516       104,861  

Pool #FM3340 3.500% 5/01/35

    10,667       10,098  

Pool #FM8137 3.500% 9/01/35

    113,634       108,037  

Pool #MA1283 3.500% 12/01/42

    42,150       38,607  

Pool #MA1373 3.500% 3/01/43

    64,956       59,496  

Pool #MA1437 3.500% 5/01/43

    61,363       56,205  

Pool #MA1546 3.500% 8/01/43

    147,562       135,020  

Pool #AL6167 3.500% 1/01/44

    585,084       535,902  

Pool #AS5182 3.500% 6/01/45

    366,136       337,419  

Pool #BC1747 3.500% 1/01/46

    959,254       883,117  

Pool #BM5785 3.500% 9/01/46

    97,315       89,683  

Pool #BM4582 3.500% 8/01/47

    110,302       101,892  

Pool #BM3122 3.500% 10/01/47

    1,103,733       1,016,819  

Pool #CA0858 3.500% 12/01/47

    50,715       46,388  

Pool #MA3210 3.500% 12/01/47

    35,179       32,189  

Pool #MA3238 3.500% 1/01/48

    214,370       196,083  

Pool #BH9277 3.500% 2/01/48

    385,220       352,237  

Pool #FM1001 3.500% 11/01/48

    45,663       41,782  

 

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

 

55

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Pool #FM8196 3.500% 12/01/48

  $ 760,995     $ 697,264  

Pool #FM3972 3.500% 7/01/50

    256,489       233,346  

Pool #FM8086 3.500% 7/01/51

    121,146       109,562  

Pool #MA4514 3.500% 1/01/52

    533,041       480,574  

Pool #FS1883 4.000% 6/01/37

    144,664       139,631  

Pool #BF0198 4.000% 11/01/40

    105,512       102,013  

Pool #MA0639 4.000% 2/01/41

    337,085       325,347  

Pool #BM3385 4.000% 6/01/45

    560,773       529,973  

Pool #FM2673 4.000% 10/01/45

    831,864       802,618  

Pool #AL8387 4.000% 3/01/46

    599,143       566,236  

Pool #MA3088 4.000% 8/01/47

    31,884       30,033  

Pool #MA3121 4.000% 9/01/47

    291,928       274,982  

Pool #MA3467 4.000% 9/01/48

    4,106       3,821  

Pool #BM5527 4.000% 10/01/48

    109,826       103,622  

Pool #BM5147 4.000% 10/01/48

    25,176       23,809  

Pool #FM3664 4.000% 3/01/49

    390,240       366,368  

Pool #CA3503 4.000% 5/01/49

    54,923       51,478  

Pool #CA4571 4.000% 11/01/49

    87,971       82,397  

Pool #CA4823 4.000% 12/01/49

    113,851       106,610  

Pool #FS1792 4.000% 5/01/52

    228,618       212,489  

Pool #AL0065 4.500% 4/01/41

    192,571       189,845  

Pool #AI1888 4.500% 5/01/41

    213,028       210,017  

Pool #AL0160 4.500% 5/01/41

    280,410       276,436  

Pool #AL6536 4.500% 3/01/45

    288,031       281,594  

Pool #BM4185 4.500% 9/01/46

    161,883       158,165  

Pool #FM2899 4.500% 11/01/46

    360,159       355,037  

Pool #FM5708 4.500% 5/01/47

    179,493       176,956  

Pool #BM3148 4.500% 11/01/47

    143,359       139,394  

Pool #BM4343 4.500% 5/01/48

    151,073       146,847  

Pool #CA2207 4.500% 8/01/48

    32,771       31,691  

Pool #CA5186 4.500% 1/01/50

    28,833       27,720  

Pool #CA5696 4.500% 5/01/50

    95,275       90,926  

Pool #MA4656 4.500% 7/01/52

    895,000       852,905  

Pool #MA4701 4.500% 8/01/52

    221,130       210,730  

Pool #AD6438 5.000% 6/01/40

    49,911       50,159  

Pool #AL9893 5.000% 2/01/45

    270,209       272,093  

Pool #FM4212 5.000% 12/01/47

    439,908       441,639  

Pool #FS2620 5.000% 8/01/52

    47,943       46,779  

Pool #MA4761 5.000% 9/01/52

    425,001       414,151  

Pool #BM3279 5.500% 5/01/44

    666,166       682,159  

Pool #BM4971 6.000% 7/01/41

    191,759       199,936  

Government National Mortgage Association Pool #AA5821 3.000% 11/15/42

    42,254       38,140  

Government National Mortgage Association II

                

Pool #MA7254 2.000% 3/20/51

    543,958       455,929  

Pool #MA7471 2.000% 7/20/51 (f)

    530,004       443,902  

Pool #MA7533 2.000% 8/20/51

    2,625,279       2,198,380  

 

   

Principal
Amount

    

Value

  

Pool #MA7826 2.000% 1/20/52

  $ 821,498     $ 686,694  

Pool #MA7935 2.000% 3/20/52

    481,195       401,594  

Pool #MA8041 2.000% 5/20/52

    811,340       676,745  

Pool #MA6819 2.500% 8/20/50

    335,401       290,908  

Pool #MA7649 2.500% 10/20/51

    2,550,551       2,199,647  

Pool #MA7705 2.500% 11/20/51

    643,379       554,662  

Pool #MA7767 2.500% 12/20/51

    1,362,732       1,174,396  

Pool #MA7936 2.500% 3/20/52

    454,859       391,391  

Pool #MA2600 3.000% 2/20/45

    82,285       74,137  

Pool #MA2891 3.000% 6/20/45

    668,898       602,245  

Pool #MA3662 3.000% 5/20/46

    106,859       96,077  

Pool #MA3802 3.000% 7/20/46

    50,884       45,734  

Pool #MA3873 3.000% 8/20/46

    294,259       264,477  

Pool #MA4195 3.000% 1/20/47

    358,327       321,837  

Pool #MA6144 3.000% 9/20/49

    14,016       12,160  

Pool #MA6209 3.000% 10/20/49

    84,826       73,590  

Pool #MA6399 3.000% 1/20/50

    42,634       36,987  

Pool #MA6531 3.000% 3/20/50

    136,743       118,246  

Pool #MA6589 3.000% 4/20/50

    65,049       56,250  

Pool #MA6757 3.000% 7/20/50

    110,289       95,370  

Pool #MA7473 3.000% 7/20/51

    877,800       780,798  

Pool #MA7650 3.000% 10/20/51

    308,239       273,984  

Pool #MA8098 3.000% 6/20/52

    1,052,372       930,817  

Pool #MA0318 3.500% 8/20/42

    165,668       156,066  

Pool #MA1012 3.500% 5/20/43

    352,067       324,940  

Pool #MA1090 3.500% 6/20/43

    139,721       128,955  

Pool #AL1773 3.500% 1/20/45

    173,080       159,581  

Pool #MA3310 3.500% 12/20/45

    75,587       69,692  

Pool #MA3597 3.500% 4/20/46

    111,608       102,869  

Pool #MA3663 3.500% 5/20/46

    86,955       80,146  

Pool #MA3736 3.500% 6/20/46

    234,181       215,844  

Pool #MA3803 3.500% 7/20/46

    16,782       15,462  

Pool #MA3937 3.500% 9/20/46

    111,883       103,087  

Pool #786092 3.500% 1/20/47

    156,732       144,509  

Pool #MA4382 3.500% 4/20/47

    20,279       18,685  

Pool #MA4586 3.500% 7/20/47

    38,470       35,421  

Pool #MA4719 3.500% 9/20/47

    13,495       12,426  

Pool #BC1919 3.500% 9/20/47

    52,202       47,951  

Pool #MA4900 3.500% 12/20/47

    185,171       170,441  

Pool #785087 3.500% 2/20/48

    612,176       564,050  

Pool #MA784472 3.500% 2/20/48

    301,405       276,863  

Pool #784504 3.500% 2/20/48

    126,332       116,045  

Pool #784474 3.500% 2/20/48

    165,051       151,612  

Pool #784891 3.500% 4/20/48

    475,508       437,829  

Pool #MA3245 4.000% 11/20/45

    162,871       154,337  

Pool #MA4511 4.000% 6/20/47

    101,699       96,180  

Pool #MA4720 4.000% 9/20/47

    357,556       338,038  

Pool #MA4838 4.000% 11/20/47

    88,787       83,940  

Pool #MA6934 4.000% 10/20/50

    851,749       797,870  

 

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

 

56

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Pool #MA2894 4.500% 6/20/45

  $ 153,102     $ 150,228  

Pool #MA2963 4.500% 7/20/45

    57,500       56,420  

Pool #MA3312 4.500% 12/20/45

    2,744       2,692  

Pool #MA4588 4.500% 7/20/47

    271,746       264,691  

Pool #MA4654 4.500% 8/20/47

    41,752       40,668  

Pool #MA5079 4.500% 3/20/48

    64,238       62,430  

Pool #MA5265 4.500% 6/20/48

    223       216  

Pool #MA5399 4.500% 8/20/48

    54,043       52,353  

Pool #MA5711 4.500% 1/20/49

    87,199       84,424  

Pool #MA4781 5.000% 10/20/47

    292,128       293,354  

Pool #MA5194 5.000% 5/20/48

    60,832       60,555  

Pool #BF2644 5.000% 5/20/48

    4,670       4,618  

Pool #MA5266 5.000% 6/20/48

    424,699       422,500  

Pool #BF2878 5.000% 6/20/48

    15,798       15,622  

Pool #MA5988 5.000% 6/20/49

    147,127       146,112  

Pool #MA5081 5.500% 3/20/48

    47,034       48,639  

Pool #MA5140 5.500% 4/20/48

    36,630       37,880  

Pool #MA5195 5.500% 5/20/48

    109,663       112,207  

Pool #MA5469 5.500% 9/20/48

    403       410  

Pool #MA5531 5.500% 10/20/48

    10,190       10,395  

Pool #MA5598 5.500% 11/20/48

    49,208       50,180  

Pool #MA5654 5.500% 12/20/48

    137,783       140,462  

Pool #MA5713 5.500% 1/20/49

    33,725       34,370  

Pool #MA5820 5.500% 3/20/49

    35,814       36,477  

Government National Mortgage Association II TBA

                

2.000% 10/20/52 (f)

    1,370,000       1,141,167  

2.500% 10/20/52 (f)

    950,000       816,332  

3.000% 10/20/52 (f)

    1,150,000       1,015,773  

3.500% 10/20/52 (f)

    895,000       813,471  

4.000% 10/20/52 (f)

    270,000       251,986  

4.500% 10/20/52 (f)

    1,825,000       1,745,299  

5.000% 10/20/52 (f)

    1,225,000       1,197,437  

5.500% 10/20/52 (f)

    3,975,000       3,968,789  

Uniform Mortgage Backed Securities TBA

                

1.500% 10/18/37 (f)

    475,000       407,090  

2.000% 10/13/52 (f)

    4,225,000       3,420,930  

2.500% 10/18/37 (f)

    580,000       524,900  

2.500% 10/13/52 (f)

    3,730,000       3,132,326  

3.000% 10/18/37 (f)

    435,000       403,802  

3.000% 10/13/52 (f)

    3,115,000       2,710,050  

3.500% 10/13/52 (f)

    1,125,000       1,012,148  

4.000% 10/18/37 (f)

    380,000       366,403  

4.000% 10/13/52 (f)

    875,000       811,426  

4.500% 10/13/52 (f)

    215,000       204,653  

5.000% 10/13/52 (f)

    1,665,000       1,620,773  
              110,280,644  

 

   

Principal
Amount

    

Value

  

Whole Loans — 1.0%

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes

                

Series 2021-HQA1, Class M1, 30 day SOFR + .700% 2.981% FRN 8/25/33 (b)

  $ 36,798     $ 36,701  

Series 2022-DNA1, Class M1B, 30 day SOFR + 1.850% 4.131% FRN 1/25/42 (b)

    535,000       486,227  

Series 2021-DNA2, Class M2, 30 day SOFR + 2.300% 4.581% FRN 8/25/33 (b)

    260,000       250,537  

Series 2022-DNA2, Class M1B, 30 day SOFR + 2.400% 4.681% FRN 2/25/42 (b)

    1,325,000       1,243,360  

Series 2022-DNA5, Class M1A, 30 day SOFR + 2.950% 5.231% FRN 6/25/42 (b)

    785,789       785,585  

Federal National Mortgage Association Connecticut Avenue Securities Trust

                

Series 2022-R01, Class 1M1, 30 day SOFR + 1.000% 3.281% FRN 12/25/41 (b)

    88,783       86,785  

Series 2022-R02, Class 2M1, 30 day SOFR + 1.200% 3.481% FRN 1/25/42 (b)

    1,038,171       1,022,072  

Series 2021-R03, Class 1M2, 30 day SOFR + 1.650% 3.931% FRN 12/25/41 (b)

    345,000       313,486  

Series 2017-C04, Class 2ED2, 1 mo. USD LIBOR + 1.100% 4.184% FRN 11/25/29

    500,582       496,250  

Series 2022-R03, Class 1M1, 30 day SOFR + 2.100% 4.381% FRN 3/25/42 (b)

    264,682       261,873  

Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 4.434% FRN 9/25/29

    29,081       29,065  

Series 2017-C06, Class 1M2B, 1 mo. USD LIBOR + 2.650% 5.734% FRN 2/25/30

    401,496       403,744  
              5,415,685  
                 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $126,633,023)

            115,971,832  
                 

 

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

 

57

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

U.S. TREASURY OBLIGATIONS — 17.2%

U.S. Treasury Bonds & Notes — 17.2%

U.S. Treasury Bond

                

2.250% 2/15/52

  $ 10,545,000     $ 7,659,955  

2.875% 5/15/52 (i)

    9,080,000       7,617,269  

3.000% 8/15/52

    8,900,000       7,685,985  

3.250% 5/15/42

    6,685,000       5,933,982  

3.375% 8/15/42 (d)

    6,545,000       5,931,406  

U.S. Treasury Note

                

0.625% 10/15/24

    1,205,000       1,120,085  

1.000% 12/15/24

    8,465,000       7,888,983  

1.125% 1/15/25

    11,130,000       10,368,291  

1.750% 3/15/25

    2,110,000       1,986,697  

2.750% 7/31/27

    6,325,000       5,959,830  

3.000% 7/15/25 (i)

    12,600,000       12,180,657  

3.125% 8/31/27 (d)

    10,465,000       10,043,947  

3.250% 6/30/27

    12,240,000       11,804,906  
              96,181,993  
                 

TOTAL U.S. TREASURY OBLIGATIONS (Cost $103,470,196)

            96,181,993  
                 

TOTAL BONDS & NOTES (Cost $616,072,860)

            531,474,208  
                 
   

Number of
Shares

          

MUTUAL FUNDS — 2.6%

Diversified Financial Services— 2.6%

State Street Navigator Securities Lending Government Money Market Portfolio (j)

    14,276,024       14,276,024  
                 

TOTAL MUTUAL FUNDS (Cost $14,276,024)

            14,276,024  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $630,348,884)

            545,750,232  
                 
   

Principal
Amount

          

SHORT-TERM INVESTMENTS — 7.5%

Commercial Paper — 0.2%

Rogers Communications, Inc. (b)

  $ 1,200,000       1,195,330  

 

 

   

Number of
Shares

    

Value

  

Mutual Fund — 6.6%

T. Rowe Price Government Reserve Investment Fund

    37,014,156     $ 37,014,156  
   

Principal
Amount

          

Repurchase Agreement — 0.5%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (k)

  $ 3,082,003       3,082,003  

U.S. Treasury Bill — 0.2%

U.S. Treasury Bill

                

1.465% 1/26/23 (l)

    900,000       890,296  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $42,186,871)

            42,181,785  
                 

TOTAL INVESTMENTS — 105.3% (Cost $672,535,755) (m)

            587,932,017  
                 

Less Unfunded Loan Commitments — (0.0)%

            (34,001 )
                 

NET INVESTMENTS — 105.3% (Cost $672,501,754)

            587,898,016  
                 

Other Assets/(Liabilities) — (5.3)%

            (29,407,268 )
                 

NET ASSETS — 100.0%

          $ 558,490,748  

 

Abbreviation Legend

CLO

Collateralized Loan Obligation

FRN

Floating Rate Note

REMICS

Real Estate Mortgage Investment Conduits

STEP

Step Up Bond

TBA

To Be Announced

VRN

Variable Rate Note

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Unfunded or partially unfunded loan commitments.

(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, 2022, the aggregate market value of these securities amounted to $155,939,627 or 27.92% of net assets.

(c)

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

(d)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $14,463,396 or 2.59% of net assets. The Fund received $496,881 of non-cash collateral (U.S. Treasury and/or Agency

 

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

 

58

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

Notes to Portfolio of Investments (continued)

obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(e)

Security is perpetual and has no stated maturity date.

(f)

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

(g)

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, 2022.

 

(h)

May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

(i)

All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2).

(j)

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

(k)

Maturity value of $3,082,216. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $3,143,736.

(l)

The rate shown represents yield-to-maturity.

(m)

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.*

     10/21/22       JPY       11,305,037       USD       80,165     $ (1,931 )

Barclays Bank PLC*

     10/07/22       USD       617,271       CLP       573,012,760       25,477  

Barclays Bank PLC*

     10/07/22       USD       446,039       TWD       13,041,742       35,204  

Barclays Bank PLC*

     11/25/22       USD       1,176,515       SEK       11,723,503       117,384  

Barclays Bank PLC*

     12/02/22       USD       243,935       BRL       1,275,880       10,510  

Barclays Bank PLC*

     12/16/22       USD       213,319       SGD       305,473       432  

BNP Paribas SA*

     10/07/22       USD       1,220,072       CLP       1,146,025,520       36,484  

BNP Paribas SA*

     10/07/22       CLP       970,734,082       USD       1,023,722       (21,170 )

BNP Paribas SA*

     10/21/22       JPY       204,697,459       USD       1,475,373       (58,814 )

BNP Paribas SA*

     10/21/22       USD       5,691,074       JPY       784,081,474       265,029  

BNP Paribas SA*

     10/21/22       USD       4,464,584       AUD       6,508,598       300,640  

BNP Paribas SA*

     10/21/22       USD       3,251,818       CAD       4,196,226       214,184  

BNP Paribas SA*

     11/18/22       USD       1,747,257       PLN       8,142,918       116,181  

BNP Paribas SA*

     11/25/22       USD       7,836,546       GBP       6,456,436       622,246  

BNP Paribas SA*

     12/09/22       MYR       890,000       USD       192,378       25  

BNP Paribas SA*

     12/09/22       USD       2,482,532       MYR       11,075,026       88,294  

BNP Paribas SA*

     12/16/22       SGD       200,000       USD       139,667       (285 )

BNP Paribas SA*

     1/19/23       USD       643,812       CLP       640,463,728       (4,484 )

Citibank N.A.*

     10/07/22       USD       870,467       INR       68,719,850       26,004  

Citibank N.A.*

     10/07/22       INR       4,687,005       USD       57,180       416  

Citibank N.A.*

     10/07/22       CLP       166,243,623       USD       181,323       (9,631 )

Citibank N.A.*

     10/14/22       ZAR       5,874,836       USD       338,371       (14,089 )

Citibank N.A.*

     10/14/22       USD       1,656,970       CNH       11,107,000       101,203  

Citibank N.A.*

     10/14/22       CNH       12,651,203       USD       1,749,673       22,392  

Citibank N.A.*

     10/14/22       USD       1,870,879       HUF       796,017,425       32,062  

Citibank N.A.*

     10/20/22       USD       4,063,105       ILS       14,266,780       57,420  

Citibank N.A.*

     10/20/22       ILS       14,019,167       USD       4,052,952       (116,788 )

Citibank N.A.*

     10/21/22       CAD       238,000       USD       173,231       (944 )

Citibank N.A.*

     10/21/22       USD       383,605       AUD       557,534       26,916  

Citibank N.A.*

     10/21/22       USD       101,733       CHF       100,000       234  

Citibank N.A.*

     11/18/22       USD       397,524       RSD       46,140,575       11,637  

Citibank N.A.*

     11/25/22       EUR       1,583,000       USD       1,556,627       380  

Citibank N.A.*

     11/25/22       USD       3,519,552       GBP       3,109,000       45,615  

Citibank N.A.*

     12/09/22       USD       1,418,491       THB       53,896,000       (16,209 )

 

 

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

 

59

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

Citibank N.A.*

     12/16/22       USD       187,778       RSD       22,154,963     $ 2,600  

Citibank N.A.*

     12/16/22       USD       594,493       SGD       854,394       (944 )

Citibank N.A.*

     1/13/23       CNH       1,564,000       USD       219,898       (378 )

Citibank N.A.*

     1/13/23       USD       1,754,243       CNH       12,651,203       (21,454 )

Citibank N.A.*

     1/19/23       USD       4,075,339       ILS       14,019,167       107,933  

Citibank N.A.*

     1/19/23       USD       807,718       INR       66,322,450       208  

Deutsche Bank AG*

     10/07/22       INR       106,125,875       USD       1,328,215       (24,088 )

Deutsche Bank AG*

     11/25/22       USD       1,640,539       EUR       1,642,000       25,501  

Deutsche Bank AG*

     11/25/22       EUR       642,000       USD       656,246       (24,788 )

Deutsche Bank AG*

     1/19/23       CLP       144,073,997       USD       146,399       (563 )

Deutsche Bank AG*

     1/19/23       USD       47,474       INR       3,905,835       (82 )

Goldman Sachs International*

     10/07/22       TWD       25,522,000       USD       801,052       2,933  

Goldman Sachs International*

     10/07/22       INR       98,379,966       USD       1,230,965       (22,023 )

Goldman Sachs International*

     10/07/22       USD       426,967       TWD       12,480,258       33,818  

Goldman Sachs International*

     10/07/22       USD       961,210       INR       76,276,837       23,883  

Goldman Sachs International*

     10/07/22       CLP       427,750,646       USD       475,959       (34,188 )

Goldman Sachs International*

     10/14/22       USD       24,893       CNH       166,903       1,515  

Goldman Sachs International*

     10/14/22       USD       715,889       MXN       14,476,000       (1,582 )

Goldman Sachs International*

     11/25/22       GBP       2,844,000       USD       3,296,614       (118,782 )

Goldman Sachs International*

     12/09/22       USD       885,410       THB       32,120,852       30,359  

Goldman Sachs International*

     12/16/22       USD       2,519,050       SGD       3,516,947       68,047  

Goldman Sachs International*

     1/19/23       CLP       135,065,414       USD       135,447       1,270  

Goldman Sachs International*

     1/19/23       USD       805,217       TWD       25,522,000       (6,011 )

Goldman Sachs International*

     1/19/23       USD       48,608       INR       4,023,006       (374 )

HSBC Bank USA*

     10/14/22       HUF       22,790,730       USD       56,694       (4,047 )

HSBC Bank USA*

     10/14/22       USD       52,871       CNH       354,097       3,273  

HSBC Bank USA*

     10/14/22       CNH       8,694,538       USD       1,208,330       9,522  

HSBC Bank USA*

     11/25/22       EUR       494,000       USD       505,812       (19,924 )

HSBC Bank USA*

     11/25/22       USD       17,922,269       EUR       17,343,180       863,870  

HSBC Bank USA*

     11/25/22       USD       7,837,048       GBP       6,456,436       622,748  

HSBC Bank USA*

     12/09/22       USD       430,286       THB       15,640,883       13,929  

HSBC Bank USA*

     12/09/22       USD       3,456,827       MYR       15,500,944       105,779  

HSBC Bank USA*

     1/13/23       USD       1,211,538       CNH       8,694,538       (8,810 )

JP Morgan Chase Bank N.A.*

     10/14/22       CNH       3,928,258       USD       543,463       6,772  

JP Morgan Chase Bank N.A.*

     10/21/22       JPY       23,756,000       USD       164,400       (2 )

JP Morgan Chase Bank N.A.*

     10/21/22       USD       296,327       NOK       2,939,186       26,374  

JP Morgan Chase Bank N.A.*

     12/09/22       MYR       133,555       USD       29,388       (516 )

JP Morgan Chase Bank N.A.*

     1/13/23       USD       544,850       CNH       3,928,258       (6,512 )

Morgan Stanley & Co. LLC*

     10/21/22       USD       7,155,674       JPY       986,662,772       327,714  

Morgan Stanley & Co. LLC*

     11/25/22       USD       268,195       EUR       259,631       12,828  

Morgan Stanley & Co. LLC*

     11/25/22       GBP       71,000       USD       81,314       (1,980 )

Morgan Stanley & Co. LLC*

     12/02/22       USD       238,815       BRL       1,256,837       8,873  

Royal Bank of Canada*

     11/25/22       USD       31,335       EUR       31,127       719  

State Street Bank and Trust*

     10/14/22       ZAR       21,608,618       USD       1,256,737       (63,972 )

State Street Bank and Trust*

     10/14/22       CNY       11,838,000       USD       1,714,365       (44,844 )

State Street Bank and Trust*

     10/14/22       CZK       3,305,000       USD       134,986       (3,434 )

State Street Bank and Trust*

     10/14/22       USD       122,044       MXN       2,589,874       (6,317 )

State Street Bank and Trust*

     10/14/22       USD       2,874,249       CZK       71,276,340       37,163  

State Street Bank and Trust*

     10/14/22       USD       2,072,537       CNY       14,074,000       87,671  

 

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

 

60

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

State Street Bank and Trust*

     10/20/22       ILS       517,000       USD       155,840     $ (10,682 )

State Street Bank and Trust*

     10/20/22       USD       101,370       ILS       344,000       4,785  

State Street Bank and Trust*

     10/21/22       CAD       1,456,000       USD       1,077,779       (23,786 )

State Street Bank and Trust*

     10/21/22       JPY       269,431,909       USD       1,982,952       (118,414 )

State Street Bank and Trust*

     10/21/22       AUD       154,000       USD       105,674       (7,151 )

State Street Bank and Trust*

     10/21/22       USD       120,820       AUD       173,000       10,141  

State Street Bank and Trust*

     10/21/22       USD       4,003,263       CAD       5,245,697       205,920  

State Street Bank and Trust*

     10/21/22       USD       7,696,677       JPY       1,055,300,013       393,731  

State Street Bank and Trust*

     11/25/22       EUR       3,471,477       USD       3,466,033       (51,558 )

State Street Bank and Trust*

     11/25/22       SEK       1,987,000       USD       187,694       (8,183 )

State Street Bank and Trust*

     11/25/22       GBP       893,000       USD       1,040,907       (43,086 )

State Street Bank and Trust*

     11/25/22       USD       17,380,079       EUR       16,824,696       831,651  

UBS AG*

     10/07/22       CLP       650,167,724       USD       682,770       (11,291 )

UBS AG*

     10/07/22       USD       1,250,123       CLP       1,146,025,520       66,534  

UBS AG*

     10/07/22       USD       806,732       INR       64,196,159       17,858  

UBS AG*

     10/14/22       ZAR       5,491,971       USD       317,646       (14,497 )

UBS AG*

     10/14/22       USD       1,098,665       ZAR       18,758,493       63,223  

UBS AG*

     10/14/22       USD       1,691,998       CNH       11,410,000       93,789  

UBS AG*

     10/14/22       USD       823,765       MXN       17,213,000       (29,359 )

UBS AG*

     10/20/22       ILS       74,613       USD       22,135       (1,186 )

UBS AG*

     10/21/22       JPY       30,161,652       USD       218,720       (9,994 )

UBS AG*

     10/21/22       CHF       4,488,000       USD       4,630,302       (75,022 )

UBS AG*

     10/21/22       USD       6,586,766       CAD       8,598,612       362,259  

UBS AG*

     10/21/22       USD       856,809       JPY       115,411,725       58,130  

UBS AG*

     10/21/22       CAD       55,820       USD       42,956       (2,548 )

UBS AG*

     11/25/22       USD       2,331,176       SEK       23,272,029       228,720  

UBS AG*

     11/25/22       USD       35,770,143       EUR       34,600,076       1,738,213  

UBS AG*

     11/25/22       EUR       2,658,000       USD       2,633,871       (19,517 )

UBS AG*

     12/02/22       USD       245,409       BRL       1,275,880       11,983  

UBS AG*

     12/09/22       USD       1,716,050       THB       61,084,517       89,993  

UBS AG*

     12/09/22       THB       58,756,000       USD       1,628,718       (64,646 )

UBS AG*

     1/19/23       USD       840,148       INR       68,837,555       2,016  

UBS AG*

     1/19/23       USD       668,670       CLP       650,167,724       10,552  
                                            $ 7,620,289  

 

Futures contracts

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

Long

                                

Euro-BOBL

     12/08/22       71     $ 8,547,583     $ (214,952 )

Euro-BTP

     12/08/22       40       4,587,354       (197,514 )

Euro-Bund

     12/08/22       28       3,977,915       (177,555 )

Australia 3 Year Bond

     12/15/22       106       7,275,748       (50,525 )

Canada 10 Year Bond

     12/19/22       43       3,894,854       (47,625 )

Korea 3 Year Bond

     12/20/22       161       11,603,826       (139,033 )

U.S. Treasury Long Bond

     12/20/22       237       30,997,505       (1,039,224 )

 

 

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

 

61

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

U.S. Treasury Ultra 10 Year

     12/20/22       93     $ 11,665,523     $ (646,476 )

UK Long Gilt

     12/28/22       4       477,783       (47,241 )

 

                           $ (2,560,145 )

Short

                                

Euro-Schatz

     12/08/22       78     $ (8,268,730 )   $ 76,619  

U.S. Treasury Note 10 Year

     12/20/22       20       (2,276,143 )     34,893  

U.S. Treasury Note 2 Year

     12/30/22       229       (47,055,872 )     21,419  

 

                           $ 132,931  

 

Centrally Cleared Credit Default Swaps - Buy Protection

 

Reference
Obligation/Index

  

Rate Paid
by Fund

    

Payment
Frequency

    

Termination
Date

    

Notional
Amount

    

Value

    

Upfront
Premium
Paid/
(Received)

    

Unrealized
Appreciation
(Depreciation)

  

BASF Chemicals Co.

     1.000%       Quarterly       6/20/2027       EUR       139,000     $ 2,439     $ 2,621     $ (182 )

iTraxx Europe Crossover Series 38†

     1.000%       Quarterly       12/20/2027       EUR       8,025,000       176,432       123,033       53,399  

iTraxx Europe Crossover Series 38†

     5.000%       Quarterly       12/20/2027       EUR       3,735,000       197,425       142,275       55,150  

Lanxess Chemicals Co.

     1.000%       Quarterly       12/20/2027       EUR       400,000       32,724       33,676       (952 )
                                            $ 409,020     $ 301,605     $ 107,415  

 

Centrally Cleared Credit Default Swaps - 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)

  

Republic of Indonesia

     1.000%       Quarterly       12/20/27       NR**       USD       2,070,000     $ (87,970 )   $ (28,281 )   $ (59,689 )

Republic of Mexico

     1.000%       Quarterly       12/20/27       NR**       USD       5,176,000       (219,968 )     (181,872 )     (38,096 )

CDX.NA.IG Series 39†

     1.000%       Quarterly       12/20/27       BBB+**       USD       5,015,000       (17,485 )     (13,233 )     (4,252 )
                                                    $ (325,423 )   $ (223,386 )   $ (102,037 )

 

 

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

 

62

 

 

MassMutual Select T. Rowe Price Bond Asset Fund – Portfolio of Investments (Continued)

 

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**       12/20/24       USD       151,000     $ (473 )   $ (4,578 )   $ 4,105  

Republic of Greece

     1.000%       Quarterly  

Bank of America N.A.*

     BB**       12/20/24       USD       303,000       (950 )     (9,187 )     8,237  

Republic of Greece

     1.000%       Quarterly  

Bank of America N.A.*

     BB**       12/20/24       USD       152,000       (476 )     (10,490 )     10,014  

Republic of Greece

     1.000%       Quarterly  

Bank of America N.A.*

     BB**       12/20/29       USD       225,000       (17,305 )     (11,045 )     (6,260 )

Republic of Greece

     1.000%       Quarterly  

Bank of America N.A.*

     BB**       12/20/29       USD       225,000       (17,305 )     (11,239 )     (6,066 )

Republic of Greece

     1.000%       Quarterly  

Barclays Bank PLC*

     BB**       6/20/24       USD       135,000       (91 )     (8,192 )     8,101  

Republic of Greece

     1.000%       Quarterly  

Barclays Bank PLC*

     BB**       6/20/24       USD       67,500       (46 )     (3,879 )     3,833  

Republic of Greece

     1.000%       Quarterly  

Barclays Bank PLC*

     BB**       6/20/24       USD       67,500       (46 )     (3,879 )     3,833  

Republic of Greece

     1.000%       Quarterly  

Barclays Bank PLC*

     BB**       12/20/24       USD       450,000       (1,410 )     (2,504 )     1,094  

Republic of Greece

     1.000%       Quarterly  

Citibank N.A.*

     BB**       6/20/25       USD       150,000       (1,187 )     (9,034 )     7,847  

Republic of Greece

     1.000%       Quarterly  

Citibank N.A.*

     BB**       6/20/25       USD       75,000       (594 )     (4,350 )     3,756  

Republic of Greece

     1.000%       Quarterly  

Citibank N.A.*

     BB**       12/20/25       USD       300,000       (3,768 )     (281 )     (3,487 )

Barclays Bank PLC

     1.000%       Quarterly  

JP Morgan Chase Bank N.A.*

     A+**       6/20/24       EUR       100,000       80       1,278       (1,198 )

Republic of Greece

     1.000%       Quarterly  

Morgan Stanley & Co. LLC*

     BB**       12/20/24       USD       134,000       (420 )     (993 )     573  

Republic of Greece

     1.000%       Quarterly  

Morgan Stanley & Co. LLC*

     BB**       6/20/25       USD       94,000       (744 )     (4,498 )     3,754  
                                                      $ (44,735 )   $ (82,871 )   $ 38,136  

 

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 CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.558%

     Quarterly       7/17/25       CNY       30,000,000     $ 30,245     $ —     $ 30,245  

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.600%

     Quarterly       8/06/25       CNY       7,500,000       8,775       —       8,775  

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.855%

     Quarterly       11/24/25       CNY       26,575,000       57,122       —       57,122  

 

 

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

 

63

 

 

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)

  

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.605%

     Quarterly       1/15/26       CNY       58,525,000     $ 61,853     $ —     $ 61,853  

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.780%

     Quarterly       6/28/26       CNY       9,775,000       17,509       —       17,509  

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.560%

     Quarterly       7/28/26       CNY       2,800,000       1,899       —       1,899  

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.255%

     Quarterly       1/26/27       CNY       24,350,000       (25,407 )     —       (25,407 )

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.355%

     Quarterly       4/15/27       CNY       37,000,000       (19,687 )     —       (19,687 )

3-Month CNREPOFIX=CFXS-Reuters

     Quarterly  

Fixed 2.440%

     Quarterly       7/27/27       CNY       5,400,000       (1,452 )     —       (1,452 )

6-Month PRIBOR

     Semi-Annually  

Fixed 6.180%

     Annually       6/21/27       CZK       6,266,000       6,420       —       6,420  

6-Month PRIBOR

     Semi-Annually  

Fixed 6.180%

     Annually       6/21/27       CZK       6,266,000       6,420       —       6,420  

6-Month PRIBOR

     Semi-Annually  

Fixed 6.333%

     Annually       6/22/27       CZK       12,494,000       15,869       —       15,869  

6-Month PRIBOR

     Semi-Annually  

Fixed 6.285%

     Annually       6/22/27       CZK       6,304,000       7,523       —       7,523  

6-Month EURIBOR

     Semi-Annually  

Fixed -0.001%

     Annually       10/20/25       EUR       690,000       (59,537 )     —       (59,537 )

6-Month EURIBOR

     Semi-Annually  

Fixed -0.001%

     Annually       11/04/25       EUR       1,030,000       (88,106 )     —       (88,106 )

6-Month EURIBOR

     Semi-Annually  

Fixed -0.057%

     Annually       5/19/28       EUR       1,060,000       (163,846 )     —       (163,846 )

6-Month EURIBOR

     Semi-Annually  

Fixed -0.101%

     Annually       6/01/28       EUR       500,000       (78,796 )     —       (78,796 )

6-Month EURIBOR

     Semi-Annually  

Fixed -0.100%

     Annually       6/03/28       EUR       365,000       (57,524 )     —       (57,524 )

6-Month EURIBOR

     Semi-Annually  

Fixed 0.830%

     Annually       3/02/32       EUR       4,300,000       (778,373 )     —       (778,373 )

6-Month EURIBOR

     Semi-Annually  

Fixed 1.222%

     Annually       4/04/32       EUR       1,350,000       (205,465 )     —       (205,465 )

6-Month EURIBOR

     Semi-Annually  

Fixed 1.626%

     Annually       4/21/32       EUR       946,000       (113,076 )     —       (113,076 )

6-Month EURIBOR

     Semi-Annually  

Fixed 1.640%

     Annually       5/02/32       EUR       950,000       (112,615 )     —       (112,615 )

28 Day-MXN-TIIE-Banxico

     Monthly  

Fixed 5.499%

     Monthly       5/04/27       MXN       15,000,000       (106,130 )     —       (106,130 )

Fixed 3.090%

     Annually  

6-Month WIBOR

     Semi-Annually       2/20/28       PLN       1,070,000       37,001       —       37,001  

Fixed 2.850%

     Annually  

6-Month WIBOR

     Semi-Annually       4/06/28       PLN       100,000       3,733       —       3,733  

 

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

 

64

 

 

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 2.920%

     Annually  

6-Month WIBOR

     Semi-Annually       5/07/28       PLN       200,000     $ 7,408     $ —     $ 7,408  

Fixed 3.030%

     Annually  

6-Month WIBOR

     Semi-Annually       5/18/28       PLN       300,000       10,853       —       10,853  

Fixed 1.715%

     Annually  

6-Month WIBOR

     Semi-Annually       9/24/29       PLN       1,700,000       96,419       —       96,419  

Fixed 1.780%

     Annually  

6-Month WIBOR

     Semi-Annually       10/22/29       PLN       823,529       46,416       —       46,416  

Fixed 1.775%

     Annually  

6-Month WIBOR

     Semi-Annually       10/22/29       PLN       1,176,471       66,373       —       66,373  
                                              $ (1,328,176 )   $ —     $ (1,328,176 )

 

*

Contracts are subject to a master netting agreement or similar agreement.

**

Rating 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. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. 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

CNH

Offshore Chinese Yuan

CNY

Chinese Yuan Renminbi

CZK

Czech Koruna

EUR

Euro

GBP

British Pound

HUF

Hungarian Forint

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

RSD

Serbian dinar

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.

 

65

 

 

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments

September 30, 2022

 

   

Principal
Amount

    

Value

  

BONDS & NOTES — 94.4%

CORPORATE DEBT — 31.9%

Bermuda — 0.3%

Ooredoo International Finance Ltd.

                

2.625% 4/08/31 (a)

  $ 260,000     $ 214,760  

Brazil — 0.8%

Globo Comunicacao e Participacoes SA

                

4.875% 1/22/30 (a)

    850,000       639,625  

British Virgin Islands — 0.3%

State Grid Overseas Investment BVI Ltd.

                

3.500% 5/04/27 (a)

    200,000       190,770  

Canada — 0.3%

MEGlobal Canada ULC

                

5.875% 5/18/30 (a)

    200,000       198,000  

Cayman Islands — 2.3%

Cosan Overseas Ltd.

                

8.250% (a) (b)

    100,000       98,250  

DP World Crescent Ltd.

                

3.875% 7/18/29 (a)

    300,000       271,154  

H World Group Ltd., Convertible,

                

3.000% 5/01/26

    129,000       140,392  

Health & Happiness H&H International Holdings Ltd.

                

5.625% 10/24/24 (a)

    200,000       159,000  

Lamar Funding Ltd.

                

3.958% 5/07/25 (a)

    500,000       464,343  

Lima Metro Line 2 Finance Ltd.

                

5.875% 7/05/34 (a)

    96,012       90,911  

Sea Ltd., Convertible,

                

0.250% 9/15/26 (c)

    305,000       211,213  

Tencent Holdings Ltd.

                

3.290% 6/03/60 (a)

    200,000       113,940  

3.840% 4/22/51 (a)

    275,000       179,603  
              1,728,806  

Chile — 3.1%

AES Andes SA 5 year USD Swap + 4.644%

                

7.125% VRN 3/26/79 (a)

    650,000       570,001  

Agrosuper SA

                

4.600% 1/20/32 (a)

    200,000       161,964  

Banco Santander Chile

                

3.177% 10/26/31 (a)

    375,000       297,566  

Celulosa Arauco y Constitucion SA

                

4.200% 1/29/30 (a)

    200,000       164,000  

5.150% 1/29/50 (a)

    250,000       176,375  

Corp. Nacional del Cobre de Chile

                

3.150% 1/14/30 (a)

    200,000       166,716  

 

   

Principal
Amount

    

Value

  

Empresa De Los Ferrocarr

                

3.068% 8/18/50 (a)

  $ 450,000     $ 252,931  

Empresa de Transporte de Pasajeros Metro SA

                

3.693% 9/13/61 (a)

    200,000       117,026  

4.700% 5/07/50 (a)

    200,000       150,720  

VTR Comunicaciones SpA

                

4.375% 4/15/29 (a)

    250,000       155,000  

5.125% 1/15/28 (a)

    200,000       135,000  
              2,347,299  

Colombia — 1.8%

Banco Davivienda SA 10 year CMT + 5.097%

                

6.650% VRN (a) (b)

    400,000       292,493  

Banco de Bogota SA

                

6.250% 5/12/26 (a)

    250,000       233,750  

Bancolombia SA 5 year CMT + 2.944%

                

4.625% VRN 12/18/29 (c)

    200,000       168,000  

Ecopetrol SA

                

4.625% 11/02/31

    355,000       247,790  

5.875% 5/28/45

    745,000       452,513  
              1,394,546  

Hong Kong — 0.2%

Lenovo Group Ltd.

                

3.421% 11/02/30 (a)

    200,000       151,642  

India — 1.4%

Adani International Container Terminal Pvt Ltd.

                

3.000% 2/16/31 (a)

    515,625       395,957  

Adani Ports & Special Economic Zone Ltd.

                

4.200% 8/04/27 (a)

    200,000       175,080  

4.375% 7/03/29 (a)

    200,000       166,396  

Bharti Airtel Ltd.

                

3.250% 6/03/31 (a)

    400,000       320,492  
              1,057,925  

Indonesia — 0.9%

Bank Negara Indonesia Persero Tbk PT

                

3.750% 3/30/26 (a)

    213,000       188,545  

Pertamina Persero PT

                

5.625% 5/20/43 (a)

    200,000       169,226  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara

                

4.000% 6/30/50 (a)

    200,000       120,300  

6.150% 5/21/48 (a)

    200,000       165,440  
              643,511  

Ireland — 0.4%

LCPR Senior Secured Financing DAC

                

5.125% 7/15/29 (a) (c)

    400,000       301,227  

 

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)

 

   

Principal
Amount

    

Value

  

Israel — 0.8%

ICL Group Ltd.

                

6.375% 5/31/38 (a)

  $ 150,000     $ 142,722  

ICL Group Ltd.

                

6.375% 5/31/38 (a)

    200,000       190,296  

Leviathan Bond Ltd.

                

6.125% 6/30/25 (a)

    300,000       282,000  
              615,018  

Jamaica — 0.2%

TransJamaican Highway Ltd.

                

5.750% 10/10/36 (a)

    144,155       115,950  

Kazakhstan — 1.0%

KazMunayGas National Co. JSC

                

3.500% 4/14/33 (a)

    400,000       262,744  

5.750% 4/19/47 (a)

    500,000       332,682  

6.375% 10/24/48 (a)

    230,000       159,879  
              755,305  

Mauritius — 0.5%

Greenko Power II Ltd.

                

4.300% 12/13/28 (a)

    254,150       199,508  

HTA Group Ltd/Mauritius

                

7.000% 12/18/25 (a)

    200,000       173,500  
              373,008  

Mexico — 9.0%

Axtel SAB de CV

                

6.375% 11/14/24 (a)

    200,000       139,915  

Banco Mercantil Del Norte SA

                

5 year CMT + 4.967% 6.750% VRN (a) (b)

    200,000       186,038  

10 year CMT + 7.760% 8.375% VRN (a) (b)

    200,000       183,000  

BBVA Bancomer SA

                

5 year CMT + 2.650% 5.125% VRN 1/18/33 (a)

    600,000       496,299  

5 year CMT + 4.308% 5.875% VRN 9/13/34 (a)

    200,000       171,147  

Cemex SAB de CV

                

5.450% 11/19/29 (a)

    200,000       178,750  

Cometa Energia SA de CV

                

6.375% 4/24/35 (a)

    350,400       316,041  

Industrias Penoles SAB de CV

                

4.750% 8/06/50 (a)

    200,000       142,400  

Infraestructura Energetica Nova SAPI de CV

                

4.875% 1/14/48 (a)

    300,000       206,178  

Mexico City Airport Trust

                

5.500% 7/31/47 (a)

    1,742,000       1,088,227  

 

   

Principal
Amount

    

Value

  

Petroleos Mexicanos

                

4.500% 1/23/26

  $ 500,000     $ 430,750  

6.500% 3/13/27

    1,200,000       1,005,000  

6.500% 6/02/41

    3,585,000       2,078,583  

6.750% 9/21/47

    400,000       223,208  
              6,845,536  

Netherlands — 0.7%

Minejesa Capital BV

                

5.625% 8/10/37 (a)

    500,000       357,500  

Petrobras Global Finance BV

                

5.500% 6/10/51 (c)

    185,000       131,500  
              489,000  

Panama — 0.7%

Aeropuerto Internacional de Tocumen SA

                

4.000% 8/11/41 (a)

    200,000       147,642  

Banco General SA 10 year CMT + 3.665%

                

5.250% VRN (a) (b)

    200,000       170,827  

Banco Nacional de Panama

                

2.500% 8/11/30 (a)

    310,000       227,479  
              545,948  

Paraguay — 0.2%

Telfon Celuar Del Paragu SA

                

5.875% 4/15/27 (a)

    200,000       177,576  

Peru — 0.2%

Consorcio Transmantaro SA

                

4.700% 4/16/34 (a)

    200,000       172,613  

Philippines — 1.2%

Globe Telecom, Inc.

                

3.000% 7/23/35 (a)

    400,000       285,000  

International Container Terminal Services, Inc.

                

4.750% 6/17/30 (a)

    400,000       359,000  

Manila Water Co., Inc.

                

4.375% 7/30/30 (a)

    300,000       261,750  
              905,750  

Qatar — 0.4%

Qatar Energy

                

3.125% 7/12/41 (a)

    450,000       328,179  

Saudi Arabia — 1.1%

Saudi Arabian Oil Co.

                

3.500% 4/16/29 (a)

    200,000       180,471  

4.250% 4/16/39 (a)

    800,000       685,000  
              865,471  

Sri Lanka — 0.2%

SriLankan Airlines Ltd.

                

7.000% 6/25/24 (a)

    300,000       174,000  

 

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)

 

   

Principal
Amount

    

Value

  

Thailand — 1.2%

Bangkok Bank PCL 5 year CMT + 1.900%

                

3.733% VRN 9/25/34 (a)

  $ 375,000     $ 307,354  

Bangkok Bank PCL/Hong Kong 5 year CMT + 2.150%

                

3.466% VRN 9/23/36 (a)

    200,000       154,405  

Thaioil Treasury Center Co. Ltd.

                

3.500% 10/17/49 (a)

    600,000       345,156  

3.500% 10/17/49 (a)

    200,000       115,052  
              921,967  

United Arab Emirates — 1.4%

Acwa Power Management And Investments One Ltd.

                

5.950% 12/15/39 (a)

    299,400       267,647  

Emirates NBD Bank PJSC 6 year CMT + 3.656

                

6.125% (a) (b)

    200,000       192,904  

Oztel Holdings SPC Ltd.

                

6.625% 4/24/28 (a)

    200,000       193,396  

Ruwais Power Co. PJSC

                

6.000% 8/31/36 (a)

    400,000       429,800  
              1,083,747  

United States — 0.9%

Citgo Holding, Inc.

                

9.250% 8/01/24 (a) (c)

    165,000       163,795  

Kosmos Energy Ltd.

                

7.125% 4/04/26 (a)

    200,000       164,000  

MercadoLibre, Inc., Convertible,

                

2.000% 8/15/28

    90,000       177,165  

Periama Holdings LLC

                

5.950% 4/19/26 (a)

    200,000       172,500  
              677,460  

Venezuela — 0.4%

Petroleos de Venezuela SA

                

5.375% 4/12/27 (a) (d)

    900,000       18,000  

6.000% 5/16/24 (a) (d)

    2,400,000       48,000  

6.000% 11/15/26 (a) (d)

    1,750,000       35,000  

8.500% 10/27/20 (a) (d)

    250,000       42,500  

9.000% 11/17/21 (a) (d)

    4,990,000       99,800  

9.750% 5/17/35 (a) (d)

    150,000       3,000  

12.750% 2/17/22 (a) (d)

    1,500,000       30,000  
              276,300  
                 

TOTAL CORPORATE DEBT (Cost $33,759,610)

            24,190,939  
                 

 

   

Principal
Amount

    

Value

  

SOVEREIGN DEBT OBLIGATIONS — 62.5%

Albania — 1.1%

Albania Government International Bond

                

3.500% 6/16/27 EUR (a) (e)

  $ 190,000     $ 161,118  

3.500% 11/23/31 EUR (a) (e)

    600,000       429,074  

3.500% 11/23/31 EUR (a) (e)

    390,000       278,898  
              869,090  

Angola — 2.4%

Angolan Government International Bond

                

8.000% 11/26/29 (a)

    200,000       150,044  

8.250% 5/09/28 (a)

    925,000       727,328  

8.750% 4/14/32 (a)

    200,000       147,900  

9.125% 11/26/49 (a)

    300,000       201,606  

9.500% 11/12/25 (a)

    600,000       559,620  
              1,786,498  

Argentina — 0.8%

Argentine Republic Government International Bond

                

0.000% 12/15/35

    845,000       2,788  

0.500% STEP 7/09/30

    396,224       79,577  

1.500% STEP 7/09/35

    649,923       118,244  

3.875% STEP 1/09/38

    1,677,891       393,901  
              594,510  

Austria — 0.2%

Republic of Austria Government Bond

                

0.850% 6/30/20 EUR (a) (e)

    400,000       166,742  

Bahamas — 1.1%

Bahamas Government International Bond

                

6.000% 11/21/28 (a)

    1,075,000       645,017  

9.000% 6/16/29 (a)

    300,000       208,113  
              853,130  

Bahrain — 2.9%

Bahrain Government International Bond

                

5.625% 5/18/34 (a)

    900,000       703,436  

6.750% 9/20/29 (a)

    350,000       326,291  

7.000% 10/12/28 (a)

    1,075,000       1,030,119  

7.500% 9/20/47 (a)

    200,000       158,430  
              2,218,276  

Barbados — 0.1%

Barbados Government International Bond

                

6.500% 10/01/29 (a)

    75,000       65,986  

Benin — 0.3%

Benin Government International Bond

                

4.875% 1/19/32 EUR (a) (e)

    340,000       226,678  

 

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

 

68

 

 

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Brazil — 0.2%

Brazilian Government International Bond

                

5.000% 1/27/45

  $ 240,000     $ 174,292  

Chile — 0.6%

Bonos de la Tesoreria de la Republica en pesos

                

4.700% 9/01/30 CLP (a) (e)

    165,000,000       56,025  

5.800% 6/01/24 CLP (a) (e)

    100,000,000       99,984  

Chile Government International Bond

                

3.500% 1/31/34

    200,000       163,435  

4.000% 1/31/52

    200,000       146,129  
              465,573  

Colombia — 2.6%

Colombia Government International Bond

                

3.000% 1/30/30

    800,000       572,969  

3.125% 4/15/31

    400,000       277,300  

4.125% 5/15/51

    925,000       496,648  

4.500% 1/28/26

    200,000       183,050  

5.000% 6/15/45

    350,000       211,924  

5.625% 2/26/44

    400,000       264,326  
              2,006,217  

Costa Rica — 0.2%

Costa Rica Government International Bond

                

5.625% 4/30/43 (a)

    200,000       142,376  

Dominican Republic — 5.6%

Dominican Republic International Bond

                

4.500% 1/30/30 (a)

    655,000       514,965  

4.875% 9/23/32 (a)

    1,225,000       921,021  

4.875% 9/23/32 (a)

    950,000       714,261  

5.500% 2/22/29 (a)

    165,000       142,083  

5.875% 1/30/60 (a)

    1,175,000       774,387  

6.500% 2/15/48 (a)

    300,000       220,944  

6.850% 1/27/45 (a)

    1,250,000       971,416  
              4,259,077  

Ecuador — 1.5%

Ecuador Government International Bond

                

0.000% 7/31/30 (a)

    165,446       47,456  

1.500% STEP 7/31/40 (a)

    408,900       119,603  

2.500% STEP 7/31/35 (a)

    1,358,550       447,102  

2.500% STEP 7/31/35 (a)

    50,000       16,455  

5.500% STEP 7/31/30 (a)

    1,002,100       471,805  
              1,102,421  

 

   

Principal
Amount

    

Value

  

Egypt — 1.7%

Egypt Government International Bond

                

5.875% 2/16/31 (a)

  $ 200,000     $ 115,949  

5.875% 2/16/31 (a)

    200,000       115,950  

6.588% 2/21/28 (a)

    250,000       174,962  

7.600% 3/01/29 (a)

    275,000       192,026  

8.500% 1/31/47 (a)

    550,000       304,963  

8.500% 1/31/47 (a)

    640,000       354,866  
              1,258,716  

El Salvador — 0.8%

El Salvador Government International Bond

                

5.875% 1/30/25 (a)

    715,000       386,100  

6.375% 1/18/27 (a)

    125,000       46,225  

7.650% 6/15/35 (a)

    100,000       33,132  

7.650% 6/15/35 (a)

    360,000       119,273  
              584,730  

Ghana — 0.2%

Ghana Government International Bond

                

8.125% 1/18/26 (a)

    100,000       50,000  

8.125% 1/18/26 (a)

    200,000       100,000  
              150,000  

Guatemala — 0.9%

Guatemala Government Bond

                

4.875% 2/13/28 (a)

    400,000       361,142  

5.250% 8/10/29 (a)

    200,000       179,173  

5.375% 4/24/32 (a)

    200,000       173,634  
              713,949  

Hungary — 0.3%

Hungary Government International Bond

                

2.125% 9/22/31 (a)

    355,000       242,339  

India — 2.1%

Export Import Bank of India

                

2.250% 1/13/31 (a)

    205,000       153,717  

3.250% 1/15/30 (a)

    1,500,000       1,251,537  

Export-Import Bank of India

                

2.250% 1/13/31 (a)

    200,000       149,968  
              1,555,222  

Indonesia — 5.2%

Indonesia Government International Bond

                

4.625% 4/15/43 (a)

    1,400,000       1,187,208  

Perusahaan Penerbit SBSN Indonesia

                

3.800% 6/23/50 (a)

    200,000       145,065  

4.450% 2/20/29 (a)

    775,000       742,062  

4.550% 3/29/26 (a)

    1,350,000       1,321,347  

 

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

 

69

 

 

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Perusahaan Penerbit SBSN Indonesia III

                

2.800% 6/23/30 (a)

  $ 650,000     $ 548,438  
              3,944,120  

Ivory Coast — 2.6%

Ivory Coast Government International Bond

                

6.125% 6/15/33 (a)

    2,200,000       1,672,000  

6.625% 3/22/48 EUR (a) (e)

    525,000       302,284  
              1,974,284  

Jamaica — 1.2%

Jamaica Government International Bond

                

6.750% 4/28/28

    200,000       207,172  

8.000% 3/15/39

    500,000       546,721  

8.000% 3/15/39

    175,000       191,352  
              945,245  

Jordan — 1.6%

Jordan Government International Bond

                

5.850% 7/07/30 (a)

    1,200,000       975,000  

7.750% 1/15/28 (a)

    240,000       226,548  
              1,201,548  

Lebanon — 0.1%

Lebanon Government International Bond

                

6.000% 1/27/23 (a) (d)

    1,000,000       56,700  

Mongolia — 0.7%

Mongolia Government International Bond

                

4.450% 7/07/31 (a)

    750,000       519,451  

Morocco — 2.2%

Morocco Government International Bond

                

3.000% 12/15/32 (a)

    600,000       420,000  

3.000% 12/15/32 (a)

    625,000       437,500  

4.000% 12/15/50 (a)

    1,425,000       811,652  
              1,669,152  

Nigeria — 0.6%

Nigeria Government International Bond

                

7.875% 2/16/32 (a)

    750,000       480,195  

Oman — 3.6%

Oman Government International Bond

                

4.750% 6/15/26 (a)

    600,000       558,750  

4.750% 6/15/26 (a)

    550,000       512,188  

5.375% 3/08/27 (a)

    200,000       187,819  

5.625% 1/17/28 (a)

    200,000       185,814  

6.500% 3/08/47 (a)

    390,000       304,919  

6.750% 10/28/27 (a)

    200,000       197,250  

6.750% 10/28/27 (a)

    400,000       394,500  

6.750% 1/17/48 (a)

    300,000       240,178  

7.000% 1/25/51 (a)

    200,000       164,797  
              2,746,215  

 

   

Principal
Amount

    

Value

  

Pakistan — 0.3%

Pakistan Government International Bond

                

7.875% 3/31/36 (a)

  $ 562,000     $ 202,567  

Panama — 0.9%

Panama Government International Bond

                

2.252% 9/29/32

    650,000       458,939  

4.500% 1/19/63

    360,000       237,418  
              696,357  

Paraguay — 1.3%

Paraguay Government International Bond

                

4.950% 4/28/31 (a)

    400,000       356,637  

5.400% 3/30/50 (a)

    600,000       443,830  

5.400% 3/30/50 (a)

    200,000       147,943  
              948,410  

Peru — 0.9%

Peruvian Government International Bond

                

2.780% 12/01/60

    670,000       363,538  

3.300% 3/11/41

    300,000       206,875  

3.550% 3/10/51

    130,000       87,201  
              657,614  

Philippines — 0.7%

Philippine Government International Bond

                

2.650% 12/10/45

    900,000       556,177  

Qatar — 1.4%

Qatar Government International Bond

                

4.400% 4/16/50 (a)

    200,000       175,752  

4.400% 4/16/50 (a)

    200,000       175,752  

4.817% 3/14/49 (a)

    800,000       740,000  
              1,091,504  

Romania — 1.9%

Romanian Government International Bond

                

2.625% 12/02/40 EUR (a) (e)

    50,000       24,995  

2.875% 4/13/42 EUR (a) (e)

    125,000       62,784  

3.000% 2/14/31 (a)

    174,000       123,328  

3.000% 2/14/31 (a)

    500,000       354,391  

3.375% 1/28/50 EUR (a) (e)

    700,000       352,385  

4.000% 2/14/51 (a)

    160,000       88,806  

4.000% 2/14/51 (a)

    722,000       400,736  
              1,407,425  

Saudi Arabia — 1.1%

Saudi Government International Bond

                

2.750% 2/03/32 (a)

    200,000       169,011  

3.750% 1/21/55 (a)

    400,000       295,319  

5.000% 4/17/49 (a)

    400,000       360,000  
              824,330  

 

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

 

70

 

 

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Senegal — 1.8%

Senegal Government International Bond

                

4.750% 3/13/28 EUR (a) (e)

  $ 300,000     $ 236,947  

6.250% 5/23/33 (a)

    200,000       149,988  

6.250% 5/23/33 (a)

    1,350,000       1,012,416  
              1,399,351  

Serbia — 1.5%

Serbia Government Bond

                

2.125% 12/01/30 (a)

    200,000       130,400  

2.125% 12/01/30 (a)

    1,500,000       978,000  
              1,108,400  

South Africa — 1.8%

Republic of South Africa Government International Bond

                

5.650% 9/27/47

    210,000       134,723  

5.875% 4/20/32

    425,000       350,673  

6.250% 3/08/41

    400,000       298,360  

7.300% 4/20/52

    760,000       579,500  
              1,363,256  

Sri Lanka — 0.8%

Sri Lanka Government International Bond

                

6.125% 6/03/25 (a)

    200,000       53,686  

6.125% 6/03/25 (a)

    500,000       134,215  

6.825% 7/18/26 (a)

    200,000       50,163  

6.850% 11/03/25 (a)

    1,400,000       359,827  
              597,891  

Suriname — 0.6%

Suriname Government International Bond

                

9.250% 10/26/26 (a)

    631,000       490,918  

Turkey — 1.6%

Republic of Turkey

                

8.600% 9/24/27

    275,000       256,768  

Turkey Government International Bond

                

4.250% 4/14/26

    200,000       164,375  

4.875% 10/09/26

    400,000       327,403  

4.875% 4/16/43

    450,000       253,350  

6.000% 1/14/41

    350,000       215,390  
              1,217,286  

Ukraine — 0.3%

Ukraine Government International Bond

                

0.000% FRN 8/01/41 (a) (f)

    115,000       32,056  

7.750% 9/01/27 (a)

    800,000       157,200  

8.994% 2/01/26 (a)

    300,000       62,250  
              251,506  

 

   

Principal
Amount

    

Value

  

Uzbekistan — 1.4%

Republic of Uzbekistan International Bond

                

3.900% 10/19/31 (a)

  $ 298,000     $ 208,600  

3.900% 10/19/31 (a)

    450,000       315,000  

5.375% 2/20/29 (a)

    200,000       167,200  

5.375% 2/20/29 (a)

    400,000       334,400  
              1,025,200  

Venezuela — 0.2%

Venezuela Government International Bond

                

7.750% 10/13/19 (a) (d)

    1,000,000       65,000  

9.250% 9/15/27 (d)

    300,000       22,650  

11.750% 10/21/26 (a) (d)

    300,000       21,750  

12.750% 8/23/22 (a) (d)

    255,000       17,850  
              127,250  

Zambia — 0.6%

Zambia Government International Bond

                

5.375% 9/20/22 (a) (d)

    1,025,000       481,750  
                 

TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $65,457,035)

            47,419,924  
                 

TOTAL BONDS & NOTES (Cost $99,216,645)

            71,610,863  
                 
   

Number of
Shares

          

MUTUAL FUNDS — 0.9%

Diversified Financial Services — 0.9%

United States — 0.9%

State Street Navigator Securities Lending Government Money Market Portfolio (g)

    693,325       693,325  
                 

TOTAL MUTUAL FUNDS (Cost $693,325)

            693,325  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $99,909,970)

            72,304,188  
                 

 

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

 

71

 

 

MassMutual Select T. Rowe Price Emerging Markets Bond Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

SHORT-TERM INVESTMENTS — 3.4%

Mutual Fund — 1.7%

T. Rowe Price Government Reserve Investment Fund

    1,319,119     $ 1,319,119  
                 
   

Principal
Amount

          

Repurchase Agreement — 1.4%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830% due 10/03/22 (h)

  $ 1,038,451       1,038,451  

U.S. Treasury Bill — 0.3%

U.S. Treasury Bill

                

1.962% 3/23/23 (i) (j)

    30,000       29,478  

2.491% 3/23/23 (i) (j)

    20,000       19,652  

2.698% 3/23/23 (i) (j)

    210,000       206,348  
              255,478  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $2,614,433)

            2,613,048  
                 

TOTAL INVESTMENTS — 98.7% (Cost $102,524,403) (k)

            74,917,236  
                 

Other Assets/(Liabilities) — 1.3%

            975,588  
                 

NET ASSETS — 100.0%

          $ 75,892,824  

 

Abbreviation Legend

FRN

Floating Rate Note

STEP

Step Up Bond

VRN

Variable Rate Note

 

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $57,801,581 or 76.16% of net assets.

(b)

Security is perpetual and has no stated maturity date.

(c)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $887,271 or 1.17% of net assets. The Fund received $214,377 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(d)

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, 2022, these securities amounted to a value of $942,000 or 1.24% of net assets.

(e)

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

(f)

Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2022.

(g)

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

(h)

Maturity value of $1,038,523. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $1,059,227.

(i)

The rate shown represents yield-to-maturity.

(j)

All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2).

(k)

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 Emerging Markets Bond Fund – Portfolio of Investments (Continued)

 

Forward contracts

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

Barclays Bank PLC*

     11/25/22       EUR       88,242       USD       88,583     $ (1,791 )

BNP Paribas SA*

     11/25/22       EUR       75,424       USD       75,501       (1,315 )

BNP Paribas SA*

     12/09/22       USD       66,821       CLP       61,271,200       4,269  

Citibank N.A.*

     11/25/22       EUR       112,000       USD       108,172       1,989  

Deutsche Bank AG*

     11/25/22       EUR       75,908       USD       77,269       (2,608 )

Goldman Sachs International*

     12/09/22       CLP       8,922,832       USD       9,167       (57 )

HSBC Bank USA*

     11/25/22       USD       834,708       EUR       807,737       40,234  

HSBC Bank USA*

     11/25/22       EUR       113,000       USD       113,537       (2,392 )

Morgan Stanley & Co. LLC*

     11/25/22       USD       821,929       EUR       795,681       39,313  

Morgan Stanley & Co. LLC*

     11/25/22       EUR       280,082       USD       283,352       (7,869 )

Morgan Stanley & Co. LLC*

     12/09/22       USD       74,513       CLP       67,720,800       5,377  

UBS AG*

     11/25/22       USD       1,665,950       EUR       1,611,456       80,955  
                                            $ 156,105  

 

Futures contracts

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

Long

                                

U.S. Treasury Ultra Bond

     12/20/22       7     $ 1,031,080     $ (72,080 )
                                 

Short

                                

U.S. Treasury Note 10 Year

     12/20/22       35     $ (4,068,732 )   $ 146,544  

 

Centrally Cleared Credit Default Swaps - 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.EM Series 38†

     1.000%  

Quarterly

     12/20/27       Not Rated       USD       225,000     $ (22,175 )   $ (18,113 )   $ (4,062 )

 

*

Contracts are subject to a master netting agreement or similar 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

CLP

Chilean Peso

EUR

Euro

USD

U.S. Dollar

 

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

 

73

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 95.9%

COMMON STOCK — 95.1%

Basic Materials — 0.8%

Chemicals — 0.8%

Air Products & Chemicals, Inc.

    1,679     $ 390,754  

CF Industries Holdings, Inc.

    2,172       209,055  

FMC Corp.

    1,499       158,444  

Linde PLC

    9,091       2,450,843  

Nutrien Ltd.

    121,689       10,146,429  

PPG Industries, Inc.

    600       66,414  

RPM International, Inc.

    3,107       258,844  

The Sherwin-Williams Co.

    8,423       1,724,609  
              15,405,392  

Forest Products & Paper — 0.0%

International Paper Co.

    3,468       109,936  

West Fraser Timber Co. Ltd.

    786       56,977  
              166,913  
              15,572,305  

Communications — 13.2%

Advertising — 0.2%

The Trade Desk, Inc. Class A (a)

    68,243       4,077,520  

Internet — 12.2%

Alphabet, Inc. Class A (a)

    348,089       33,294,713  

Alphabet, Inc. Class C (a)

    667,889       64,217,527  

Amazon.com, Inc. (a)

    778,219       87,938,747  

Booking Holdings, Inc. (a)

    3,302       5,425,879  

Coupang, Inc. (a)

    202,820       3,381,009  

DoorDash, Inc., Class A (a)

    34,226       1,692,476  

Expedia Group, Inc. (a)

    42,683       3,998,970  

Match Group, Inc. (a)

    61,342       2,929,081  

Meta Platforms, Inc. Class A (a)

    66,242       8,987,715  

Netflix, Inc. (a)

    30,716       7,231,775  

NortonLifeLock, Inc.

    7,000       140,980  

Sea Ltd. ADR (a)

    54,758       3,069,186  

Spotify Technology SA (a)

    47,254       4,078,020  
              226,386,078  

Media — 0.3%

Charter Communications, Inc. Class A (a)

    382       115,880  

Comcast Corp. Class A

    9,105       267,049  

The Walt Disney Co. (a)

    47,754       4,504,635  
              4,887,564  

Telecommunications — 0.5%

Arista Networks, Inc. (a)

    2,400       270,936  

Cisco Systems, Inc.

    9,361       374,440  

Corning, Inc.

    11,843       343,684  

Motorola Solutions, Inc.

    28,477       6,377,994  

 

   

Number of
Shares

    

Value

  

T-Mobile US, Inc. (a)

    11,629     $ 1,560,263  

Verizon Communications, Inc.

    16,114       611,848  
              9,539,165  
              244,890,327  

Consumer, Cyclical — 9.6%

Airlines — 0.0%

Southwest Airlines Co. (a)

    9,219       284,314  

United Airlines Holdings, Inc. (a)

    3,699       120,328  
              404,642  

Apparel — 0.0%

NIKE, Inc. Class B

    8,579       713,087  

Auto Manufacturers — 3.5%

Cummins, Inc.

    15,295       3,112,686  

Ferrari NV

    42,788       7,915,780  

PACCAR, Inc.

    5,428       454,269  

Rivian Automotive, Inc. Class A (a) (b)

    766,190       25,215,313  

Tesla, Inc. (a)

    109,081       28,933,735  
              65,631,783  

Auto Parts & Equipment — 0.0%

Aptiv PLC (a)

    546       42,703  

Magna International, Inc.

    3,080       146,053  
              188,756  

Home Builders — 0.0%

NVR, Inc. (a)

    57       227,264  

Leisure Time — 0.1%

Peloton Interactive, Inc. Class A (a) (b)

    147,210       1,020,165  

Lodging — 0.7%

Hilton Worldwide Holdings, Inc.

    4,790       577,770  

Las Vegas Sands Corp. (a)

    147,539       5,535,663  

Marriott International, Inc. Class A

    10,790       1,512,110  

MGM Resorts International

    6,657       197,846  

Wynn Resorts Ltd. (a)

    70,391       4,436,745  
              12,260,134  

Retail — 5.3%

AutoZone, Inc. (a)

    184       394,115  

Burlington Stores, Inc. (a)

    1,455       162,800  

Carvana Co. (a)

    43,162       876,189  

Chipotle Mexican Grill, Inc. (a)

    6,811       10,235,298  

Costco Wholesale Corp.

    7,103       3,354,534  

Dollar General Corp.

    45,377       10,884,127  

Dollar Tree, Inc. (a)

    1,631       221,979  

Floor & Decor Holdings, Inc. Class A (a)

    33,000       2,318,580  

The Home Depot, Inc.

    12,886       3,555,763  

Lowe’s Cos., Inc.

    2,888       542,395  

Lululemon Athletica, Inc. (a)

    6,105       1,706,714  

McDonald’s Corp.

    62,230       14,358,950  

 

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

 

74

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

O’Reilly Automotive, Inc. (a)

    4,841     $ 3,404,917  

Ross Stores, Inc.

    197,602       16,651,921  

Starbucks Corp.

    6,374       537,073  

The TJX Cos., Inc.

    68,133       4,232,422  

Ulta Beauty, Inc. (a)

    4,065       1,630,837  

Walmart, Inc.

    132,801       17,224,290  

Yum! Brands, Inc.

    55,402       5,891,449  
              98,184,353  
              178,630,184  

Consumer, Non-cyclical — 24.1%

Agriculture — 1.2%

Altria Group, Inc.

    8,055       325,261  

Darling Ingredients, Inc. (a)

    2,254       149,102  

Philip Morris International, Inc.

    261,175       21,680,137  
              22,154,500  

Beverages — 1.6%

The Coca-Cola Co.

    109,351       6,125,843  

Constellation Brands, Inc. Class A

    9,566       2,197,119  

Keurig Dr Pepper, Inc.

    412,374       14,771,237  

Monster Beverage Corp. (a)

    55,887       4,859,933  

PepsiCo, Inc.

    6,623       1,081,271  
              29,035,403  

Biotechnology — 0.7%

Amgen, Inc.

    1,118       251,997  

Argenx SE ADR (a)

    11,880       4,194,234  

Biogen, Inc. (a)

    1,521       406,107  

Corteva, Inc.

    2,680       153,162  

Illumina, Inc. (a)

    422       80,513  

Moderna, Inc. (a)

    21,506       2,543,085  

Regeneron Pharmaceuticals, Inc. (a)

    6,008       4,138,731  

Vertex Pharmaceuticals, Inc. (a)

    6,564       1,900,541  
              13,668,370  

Commercial Services — 1.1%

Ant International Co. Ltd., Class C (Acquired 6/07/18, Cost $1,171,890) (a) (c) (d) (e)

    307,471       605,718  

Block, Inc. (a)

    35,571       1,842,096  

Booz Allen Hamilton Holding Corp.

    16,209       1,496,901  

Bright Horizons Family Solutions, Inc. (a)

    2,800       161,420  

Cintas Corp.

    5,537       2,149,408  

CoStar Group, Inc. (a)

    3,400       236,810  

FleetCor Technologies, Inc. (a)

    4,100       722,297  

Global Payments, Inc.

    37,105       4,009,195  

S&P Global, Inc.

    2,100       641,235  

TransUnion

    66,307       3,944,603  

United Rentals, Inc. (a)

    1,283       346,564  

Verisk Analytics, Inc.

    24,437       4,167,242  

 

   

Number of
Shares

    

Value

  

WillScot Mobile Mini Holdings Corp. (a)

    4,756     $ 191,809  
              20,515,298  

Cosmetics & Personal Care — 0.8%

Colgate-Palmolive Co.

    1,300       91,325  

The Estee Lauder Cos., Inc. Class A

    1,891       408,267  

The Procter & Gamble Co.

    112,328       14,181,410  
              14,681,002  

Food — 0.8%

Conagra Brands, Inc.

    5,696       185,860  

The Hershey Co.

    7,672       1,691,446  

Mondelez International, Inc. Class A

    217,396       11,919,823  

Sysco Corp.

    18,872       1,334,439  
              15,131,568  

Health Care – Products — 4.5%

Abbott Laboratories

    87,823       8,497,753  

Align Technology, Inc. (a)

    9,103       1,885,322  

Avantor, Inc. (a)

    134,375       2,633,750  

The Cooper Cos., Inc.

    468       123,505  

Danaher Corp.

    76,826       19,843,388  

Insulet Corp. (a)

    9,319       2,137,779  

Intuitive Surgical, Inc. (a)

    53,820       10,088,021  

Medtronic PLC

    4,499       363,294  

PerkinElmer, Inc.

    29,170       3,510,026  

ResMed, Inc.

    4,135       902,670  

Steris PLC

    15,032       2,499,521  

Stryker Corp.

    60,101       12,172,857  

Thermo Fisher Scientific, Inc.

    34,272       17,382,416  

Waters Corp. (a)

    4,666       1,257,627  

West Pharmaceutical Services, Inc.

    3,349       824,122  

Zimmer Biomet Holdings, Inc.

    3,600       376,380  
              84,498,431  

Health Care – Services — 6.4%

Centene Corp. (a)

    230,790       17,957,770  

Charles River Laboratories International, Inc. (a)

    400       78,720  

Elevance Health, Inc.

    80,003       36,340,563  

HCA Healthcare, Inc.

    45,958       8,446,621  

Humana, Inc.

    17,724       8,599,508  

Molina Healthcare, Inc. (a)

    1,067       351,939  

Quest Diagnostics, Inc.

    16,961       2,080,945  

UnitedHealth Group, Inc.

    87,160       44,019,286  
              117,875,352  

Household Products & Wares — 0.0%

Avery Dennison Corp.

    1,794       291,884  

Kimberly-Clark Corp.

    1,732       194,919  
              486,803  

 

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

 

75

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Pharmaceuticals — 7.0%

AbbVie, Inc.

    118,028     $ 15,840,538  

AstraZeneca PLC Sponsored ADR

    294,990       16,177,252  

Becton Dickinson and Co.

    156,123       34,788,888  

Bristol-Myers Squibb Co.

    2,161       153,625  

Cigna Corp.

    37,197       10,321,052  

CVS Health Corp.

    4,299       409,996  

DexCom, Inc. (a)

    4,324       348,255  

Elanco Animal Health, Inc. (a)

    27,840       345,494  

Eli Lilly & Co.

    56,457       18,255,371  

Johnson & Johnson

    150,225       24,540,756  

McKesson Corp.

    292       99,242  

Merck & Co., Inc.

    6,430       553,752  

Pfizer, Inc.

    17,078       747,333  

Sanofi ADR

    111,875       4,253,487  

Viatris, Inc.

    33,200       282,864  

Zoetis, Inc.

    14,350       2,127,961  
              129,245,866  
              447,292,593  

Energy — 2.5%

Oil & Gas — 2.0%

Chevron Corp.

    8,654       1,243,320  

ConocoPhillips

    11,775       1,205,054  

EOG Resources, Inc.

    4,702       525,354  

Exxon Mobil Corp.

    273,111       23,845,321  

Hess Corp.

    3,100       337,869  

Marathon Petroleum Corp.

    4,468       443,806  

Pioneer Natural Resources Co.

    1,173       253,990  

TotalEnergies SE

    193,738       9,119,232  

TotalEnergies SE Sponsored ADR

    11,088       515,814  
              37,489,760  

Oil & Gas Services — 0.1%

Halliburton Co.

    18,851       464,112  

Pipelines — 0.4%

TC Energy Corp.

    132,449       5,336,370  

The Williams Cos., Inc.

    83,218       2,382,531  
              7,718,901  
              45,672,773  

Financial — 11.1%

Banks — 3.3%

Bank of America Corp.

    864,057       26,094,521  

The Bank of New York Mellon Corp.

    4,522       174,187  

Citigroup, Inc.

    4,300       179,181  

Citizens Financial Group, Inc.

    2,275       78,169  

Fifth Third Bancorp

    13,986       446,993  

First Republic Bank

    2,400       313,320  

The Goldman Sachs Group, Inc.

    7,545       2,211,062  

 

   

Number of
Shares

    

Value

  

Huntington Bancshares, Inc.

    46,327     $ 610,590  

JP Morgan Chase & Co.

    54,445       5,689,503  

Morgan Stanley

    3,489       275,666  

Signature Bank

    1,620       244,620  

State Street Corp.

    4,199       255,341  

SVB Financial Group (a)

    642       215,571  

US Bancorp

    1,900       76,608  

Wells Fargo & Co.

    577,736       23,236,542  
              60,101,874  

Diversified Financial Services — 2.4%

American Express Co.

    3,600       485,676  

Apollo Global Management, Inc.

    3,116       144,894  

Blue Owl Capital, Inc. (b)

    7,112       65,644  

The Charles Schwab Corp.

    57,238       4,113,695  

CME Group, Inc.

    1,827       323,617  

Intercontinental Exchange, Inc.

    4,775       431,421  

Maplebear, Inc. (Non-Voting) (Acquired 8/07/20, Cost $14,781) (a) (c) (d) (e)

    319       15,465  

Maplebear, Inc. (Voting) (Acquired 8/07/20, Cost $282,637) (a) (c) (d) (e)

    6,100       295,728  

Mastercard, Inc. Class A

    56,773       16,142,835  

Visa, Inc. Class A

    128,299       22,792,317  
              44,811,292  

Insurance — 4.3%

The Allstate Corp.

    26,003       3,238,154  

American International Group, Inc.

    123,465       5,862,118  

Assurant, Inc.

    2,321       337,172  

Berkshire Hathaway, Inc. Class B (a)

    7,327       1,956,455  

Chubb Ltd.

    127,518       23,192,974  

Corebridge Financial, Inc. (a)

    59,473       1,171,023  

Equitable Holdings, Inc.

    14,525       382,734  

The Hartford Financial Services Group, Inc.

    90,051       5,577,759  

Marsh & McLennan Cos., Inc.

    1,821       271,857  

MetLife, Inc.

    133,349       8,104,952  

The Progressive Corp.

    133,662       15,532,861  

RenaissanceRe Holdings Ltd.

    3,463       486,170  

The Travelers Cos., Inc.

    89,748       13,749,394  

Voya Financial, Inc.

    3,464       209,572  
              80,073,195  

Private Equity — 0.0%

Ares Management Corp. Class A

    1,294       80,163  

Real Estate Investment Trusts (REITS) — 1.1%

Alexandria Real Estate Equities, Inc.

    947       132,760  

American Homes 4 Rent Class A

    1,700       55,777  

American Tower Corp.

    1,641       352,323  

AvalonBay Communities, Inc.

    15,270       2,812,581  

 

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

 

76

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Camden Property Trust

    491     $ 58,650  

Equinix, Inc.

    846       481,239  

Equity LifeStyle Properties, Inc.

    1,601       100,607  

Equity Residential

    32,146       2,160,854  

Essex Property Trust, Inc.

    697       168,834  

Extra Space Storage, Inc.

    1,237       213,642  

Prologis, Inc.

    98,071       9,964,013  

Public Storage

    854       250,060  

Rexford Industrial Realty, Inc.

    3,032       157,664  

SBA Communications Corp.

    3,344       951,869  

Simon Property Group, Inc.

    2,665       239,184  

Sun Communities, Inc.

    196       26,525  

Welltower, Inc.

    4,199       270,080  

Weyerhaeuser Co.

    83,825       2,394,042  
              20,790,704  
              205,857,228  

Industrial — 7.2%

Aerospace & Defense — 2.1%

Airbus SE

    55,833       4,823,540  

The Boeing Co. (a)

    4,283       518,586  

L3 Harris Technologies, Inc.

    75,680       15,728,575  

Northrop Grumman Corp.

    20,238       9,518,336  

Raytheon Technologies Corp.

    626       51,244  

Teledyne Technologies, Inc. (a)

    23,611       7,968,004  

TransDigm Group, Inc.

    183       96,042  
              38,704,327  

Building Materials — 0.0%

Vulcan Materials Co.

    1,328       209,439  

Electrical Components & Equipment — 0.3%

AMETEK, Inc.

    498       56,478  

Emerson Electric Co.

    16,454       1,204,762  

Generac Holdings, Inc. (a)

    22,835       4,067,827  
              5,329,067  

Electronics — 1.1%

Agilent Technologies, Inc.

    2,664       323,809  

Amphenol Corp. Class A

    97       6,495  

Fortive Corp.

    3,170       184,811  

Honeywell International, Inc.

    50,577       8,444,842  

Hubbell, Inc.

    38,758       8,643,034  

Mettler-Toledo International, Inc. (a)

    1,490       1,615,339  

TE Connectivity Ltd.

    16,990       1,875,016  
              21,093,346  

Environmental Controls — 0.5%

Republic Services, Inc.

    65,027       8,846,273  

Waste Connections, Inc.

    3,828       517,278  
              9,363,551  

 

   

Number of
Shares

    

Value

  

Hand & Machine Tools — 0.0%

Stanley Black & Decker, Inc.

    3,300     $ 248,193  

Machinery – Diversified — 0.3%

Dover Corp.

    7,909       922,031  

IDEX Corp.

    6,245       1,248,063  

Ingersoll Rand, Inc.

    56,188       2,430,693  

Otis Worldwide Corp.

    3,630       231,594  

Rockwell Automation, Inc.

    1,200       258,132  
              5,090,513  

Miscellaneous - Manufacturing — 1.6%

Eaton Corp. PLC

    85,704       11,429,485  

General Electric Co.

    202,746       12,552,005  

Siemens AG Registered

    38,652       3,825,523  

Textron, Inc.

    3,948       230,011  

Trane Technologies PLC

    3,898       564,469  
              28,601,493  

Packaging & Containers — 0.1%

Ball Corp.

    3,180       153,658  

Packaging Corp. of America

    11,446       1,285,271  

Sealed Air Corp.

    5,691       253,306  

WestRock Co.

    2,187       67,557  
              1,759,792  

Transportation — 1.2%

Canadian Pacific Railway Ltd.

    5,180       345,610  

CSX Corp.

    379,339       10,105,591  

FedEx Corp.

    26,430       3,924,062  

J.B. Hunt Transport Services, Inc.

    1,258       196,776  

Norfolk Southern Corp.

    8,714       1,826,890  

Old Dominion Freight Line, Inc.

    18,538       4,611,698  

Saia, Inc. (a)

    906       172,140  

Union Pacific Corp.

    4,028       784,735  

United Parcel Service, Inc. Class B

    1,969       318,072  
              22,285,574  
              132,685,295  

Technology — 20.8%

Computers — 4.7%

Accenture PLC Class A

    19,633       5,051,571  

Apple, Inc.

    599,040       82,787,328  

Cognizant Technology Solutions Corp. Class A

    2,257       129,642  

Fortinet, Inc. (a)

    6,725       330,399  

Pure Storage, Inc. Class A (a)

    5,105       139,724  
              88,438,664  

Semiconductors — 4.1%

Advanced Micro Devices, Inc. (a)

    134,653       8,531,614  

Analog Devices, Inc.

    16,229       2,261,349  

Applied Materials, Inc.

    26,358       2,159,511  

ASML Holding NV

    31,836       13,223,082  

 

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

 

77

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Broadcom, Inc.

    18,267     $ 8,110,731  

KLA Corp.

    50,728       15,351,815  

Lam Research Corp.

    400       146,400  

Marvell Technology, Inc.

    5,708       244,930  

Monolithic Power Systems, Inc.

    500       181,700  

NVIDIA Corp.

    127,300       15,452,947  

ON Semiconductor Corp. (a)

    6,500       405,145  

QUALCOMM, Inc.

    55,970       6,323,491  

Texas Instruments, Inc.

    20,545       3,179,955  
              75,572,670  

Software — 12.0%

Activision Blizzard, Inc.

    4,010       298,103  

Adobe, Inc. (a)

    2,000       550,400  

Atlassian Corp. PLC Class A (a)

    27,839       5,862,615  

Bill.com Holdings, Inc. (a)

    8,378       1,108,996  

Black Knight, Inc. (a)

    92,927       6,015,165  

Broadridge Financial Solutions, Inc.

    16,296       2,351,839  

Cadence Design Systems, Inc. (a)

    13,117       2,143,711  

Canva, Inc. (Acquired 12/17/21-12/22/21, Cost $872,531) (a) (c) (d) (e)

    512       488,934  

Celonis SE, Escrow Shares (Acquired 8/12/22, Cost $479) (a) (c) (d) (e)

    479       479  

Celonis SE (Acquired 6/17/21, Cost $435,243) (a) (c) (d) (e)

    1,177       435,243  

Ceridian HCM Holding, Inc. (a)

    45,433       2,538,796  

The Descartes Systems Group, Inc. (a)

    1,800       114,354  

Electronic Arts, Inc.

    12,713       1,471,021  

Epic Games, Inc. (Acquired 6/18/20-3/29/21, Cost $2,419,150) (a) (c) (d) (e)

    3,660       3,037,727  

Fiserv, Inc. (a)

    223,517       20,914,486  

HashiCorp, Inc. Class A (a)

    8,525       274,420  

Intuit, Inc.

    51,738       20,039,162  

Microsoft Corp.

    505,254       117,673,657  

MongoDB, Inc. (a)

    8,964       1,779,892  

MSCI, Inc.

    639       269,524  

Roper Technologies, Inc.

    18,182       6,538,974  

Salesforce, Inc. (a)

    92,650       13,326,776  

SentinelOne Inc. Class A (a)

    114,058       2,915,322  

ServiceNow, Inc. (a)

    27,765       10,484,342  

Stripe, Inc., Class B (Acquired 12/17/19, Cost $295,694) (a) (c) (d) (e)

    18,846       434,212  

Synopsys, Inc. (a)

    1,950       595,745  

Veeva Systems, Inc. Class A (a)

    681       112,283  

Workday, Inc. Class A (a)

    919       139,890  

Zoom Video Communications, Inc. Class A (a)

    1,670       122,895  
              222,038,963  
              386,050,297  

 

   

Number of
Shares

    

Value

  

Utilities — 5.8%

Electric — 5.7%

Ameren Corp.

    95,798     $ 7,716,529  

American Electric Power Co., Inc.

    112,862       9,756,920  

CMS Energy Corp.

    2,389       139,135  

Dominion Energy, Inc.

    276,744       19,125,778  

DTE Energy Co.

    53,077       6,106,509  

Duke Energy Corp.

    21,011       1,954,443  

Exelon Corp.

    113,347       4,245,979  

FirstEnergy Corp.

    36,310       1,343,470  

NextEra Energy, Inc.

    15,092       1,183,364  

PG&E Corp. (a)

    37,247       465,588  

Sempra Energy

    86,442       12,961,113  

The Southern Co.

    468,519       31,859,292  

WEC Energy Group, Inc.

    29,863       2,670,648  

Xcel Energy, Inc.

    77,355       4,950,720  
              104,479,488  

Gas — 0.1%

NiSource, Inc.

    87,006       2,191,681  
              106,671,169  
                 

TOTAL COMMON STOCK (Cost $1,961,198,750)

            1,763,322,171  
                 

PREFERRED STOCK — 0.8%

Consumer, Cyclical — 0.5%

Auto Manufacturers — 0.4%

Dr Ing hc F Porsche AG

    44,875       3,628,329  

Nuro, Inc., Series C (Acquired 10/30/20-3/21/21, Cost $1,236,023) (a) (c) (d) (e)

    94,681       1,973,694  

Nuro, Inc., Series D (Acquired 10/29/21, Cost $487,977) (a) (c) (d) (e)

    23,409       487,977  

Waymo LLC, Series A-2 (Acquired 5/08/20, Cost $748,934) (a) (c) (d) (e)

    8,722       799,999  
              6,889,999  

Auto Parts & Equipment — 0.1%

GM Cruise Holdings, LLC, Class F (Acquired 5/07/19, Cost $921,625) (a) (c) (d) (e)

    50,500       1,464,500  

GM Cruise Holdings, LLC, Class G (Acquired 1/21/21, Cost $979,851) (a) (c) (d) (e)

    37,186       1,078,394  
              2,542,894  

 

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

 

78

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Consumer, Non-cyclical — 0.1%

Commercial Services — 0.1%

Redwood Materials, Inc., Series C, (Acquired 5/28/21, Cost $1,059,705) (a) (c) (d) (e)

    22,355     $ 1,743,690  

Financial — 0.0%

Investment Companies — 0.0%

Maplebear, Inc., Series A (Acquired 11/18/20, Cost $53,081) (a) (c) (d) (e)

    870       42,178  

Maplebear, Inc., Series G (Acquired 7/02/20, Cost $599,129) (a) (c) (d) (e)

    12,458       603,964  

Maplebear, Inc., Series I, (Acquired 2/26/21, Cost $240,750) (a) (c) (d) (e)

    1,926       93,372  
              739,514  
              739,514  

Industrial — 0.0%

Electrical Components & Equipment — 0.0%

Sila Nanotechnologies, Inc., Series F (Acquired 1/07/21, Cost $760,988) (a) (c) (d) (e)

    18,438       574,712  

Technology — 0.2%

Software — 0.2%

Canva, Inc., Series A (Acquired 12/17/21, Cost $49,421) (a) (c) (d) (e)

    29       27,694  

Canva, Inc., Series A-3 (Acquired 12/17/21, Cost $13,633) (a) (c) (d) (e)

    8       7,640  

Celonis SE, Series D (Acquired 6/17/21, Cost $1,135,255) (a) (c) (d) (e)

    3,070       1,135,255  

Formagrid, Inc., Series F (Acquired 12/08/21, Cost $1,130,824) (a) (c) (d) (e)

    6,038       635,258  

Rappi, Inc., Series E (Acquired 9/08/20-9/24/20, Cost $1,092,516) (a) (c) (d) (e)

    18,286       942,278  
              2,748,125  
              2,748,125  
                 

TOTAL PREFERRED STOCK (Cost $14,139,138)

            15,238,934  
                 

TOTAL EQUITIES (Cost $1,975,337,888)

            1,778,561,105  
                 

 

 

   

Principal
Amount

    

Value

  

BONDS & NOTES — 0.0%

CORPORATE DEBT — 0.0%

Commercial Services — 0.0%

Redwood Materials, Inc., Promissory Note (Acquired 6/17/22, Cost $50,373), 0.010% 9/24/23 (a) (c) (d) (e)

  $ 50,373     $ 50,373  

Software — 0.0%

Celonis SE, Series D Unfunded Commitment (Acquired 8/31/22, Cost $0), 3.000% 1/01/24 (a) (c) (d) (e)

    170,734       —  
                 

TOTAL CORPORATE DEBT (Cost $50,373)

            50,373  
                 

TOTAL BONDS & NOTES (Cost $50,373)

            50,373  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $1,975,388,261)

            1,778,611,478  
                 
   

Number of

Shares

          

SHORT-TERM INVESTMENTS — 4.1%

Mutual Fund — 4.0%

T. Rowe Price Government Reserve Investment Fund

    74,827,930       74,827,930  
                 
   

Principal
Amount

          

Repurchase Agreement — 0.1%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (f)

  $ 997,435       997,435  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $75,825,365)

            75,825,365  
                 

TOTAL INVESTMENTS — 100.0% (Cost $2,051,213,626) (g)

            1,854,436,843  
                 

Other Assets/(Liabilities) — (0.0)%

            (576,372 )
                 

NET ASSETS — 100.0%

          $ 1,853,860,471  

 

Abbreviation Legend

ADR

American Depositary Receipt

 

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

 

79

 

 

MassMutual Select T. Rowe Price Large Cap Blend Fund – Portfolio of Investments (Continued)

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Non-income producing security.

(b)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $25,197,620 or 1.36% of net assets. The Fund received $25,836,077 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

Investment is valued using significant unobservable inputs.

(d)

Restricted security. Certain securities are restricted as to resale. At September 30, 2022, these securities amounted to a value of $16,974,484 or 0.92% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(e)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $16,974,484 or 0.92% of net assets.

(f)

Maturity value of $997,504. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $1,017,435.

(g)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

80

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments

September 30, 2022

 

   

Principal
Amount

    

Value

  

BONDS & NOTES — 93.9%

CORPORATE DEBT — 5.3%

Agriculture — 0.1%

Imperial Brands Finance PLC

                

3.125% 7/26/24 (a)

  $ 200,000     $ 191,350  

Auto Manufacturers — 0.3%

Nissan Motor Acceptance Co. LLC

                

1.125% 9/16/24 (a)

    120,000       109,087  

Toyota Motor Credit Corp.

                

4.400% 9/20/24

    395,000       392,613  
              501,700  

Banks — 1.3%

Bank of Montreal

                

4.250% 9/14/24 (b)

    495,000       487,209  

Citigroup, Inc.

                

5.610% 9/29/26

    485,000       482,432  

Credit Suisse AG

                

4.750% 8/09/24

    500,000       487,265  

Mitsubishi UFJ Financial Group, Inc. 1 year CMT + 1.550%

                

5.063% VRN 9/12/25

    400,000       395,808  

Nordea Bank Abp

                

4.750% 9/22/25 (a)

    490,000       482,127  

Santander Holdings SOFR + 2.328%

                

5.807% VRN 9/09/26

    230,000       224,833  
              2,559,674  

Chemicals — 0.2%

Celanese US Holdings LLC

                

5.900% 7/05/24

    480,000       473,465  

Diversified Financial Services — 0.2%

AerCap Ireland Capital DAC/AerCap Global Aviation Trust

                

1.750% 10/29/24

    440,000       400,389  

Electric — 0.8%

Edison International

                

4.700% 8/15/25

    500,000       484,662  

Enel Finance International NV

                

1.375% 7/12/26 (a)

    340,000       287,352  

4.250% 6/15/25 (a)

    200,000       191,980  

NextEra Energy Capital Holdings, Inc.

                

4.255% 9/01/24

    495,000       488,018  
              1,452,012  

Entertainment — 0.3%

Warnermedia Holdings, Inc.

                

3.428% 3/15/24 (a)

    100,000       96,641  

3.528% 3/15/24 (a)

    110,000       106,258  

3.638% 3/15/25 (a)

    293,000       277,514  
              480,413  

 

   

Principal
Amount

    

Value

  

Food — 0.3%

Mondelez International Holdings BV

                

4.250% 9/15/25 (a)

  $ 200,000     $ 195,798  

Nestle Holdings, Inc.

                

4.000% 9/12/25 (a)

    320,000       315,131  
              510,929  

Health Care – Services — 0.5%

HCA, Inc.

                

5.375% 2/01/25

    495,000       488,956  

Health Care Service Corp. A Mutual Legal Reserve Co.

                

1.500% 6/01/25 (a)

    545,000       495,723  
              984,679  

Machinery – Diversified — 0.1%

John Deere Capital Corp.

                

4.050% 9/08/25

    260,000       255,666  

Media — 0.2%

Charter Communications Operating LLC/Charter Communications Operating Capital

                

4.908% 7/23/25

    488,000       475,948  

Pharmaceuticals — 0.1%

Viatris, Inc.

                

1.650% 6/22/25

    235,000       208,944  

Pipelines — 0.2%

Energy Transfer LP

                

2.900% 5/15/25

    505,000       469,793  

Retail — 0.3%

Dollar General Corp.

                

4.250% 9/20/24

    285,000       281,658  

The Home Depot, Inc.

                

4.000% 9/15/25

    75,000       73,819  

Lowe’s Cos, Inc.

                

4.400% 9/08/25

    145,000       142,923  
              498,400  

Telecommunications — 0.3%

Sprint Corp.

                

7.125% 6/15/24

    475,000       482,234  

Trucking & Leasing — 0.1%

DAE Funding LLC

                

1.550% 8/01/24 (a)

    200,000       182,774  
                 

TOTAL CORPORATE DEBT (Cost $10,302,245)

            10,128,370  
                 

MUNICIPAL OBLIGATIONS — 0.4%

California State University, Revenue Bond

                

0.563% 11/01/24

    125,000       115,228  

 

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

 

81

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

City & County of Denver Co. Airport System Revenue

                

Revenue Bond, 0.877% 11/15/23

  $ 20,000     $ 19,294  

Revenue Bond, 1.115% 11/15/24

    30,000       27,968  

City of Atlanta GA Water & Wastewater Revenue

                

Revenue Bond, 0.271% 11/01/22

    15,000       14,965  

Revenue Bond, 0.407% 11/01/23

    15,000       14,420  

Revenue Bond, 0.616% 11/01/24

    15,000       13,851  

Dallas Area Rapid Transit

                

Revenue Bond, 0.397% 12/01/22

    15,000       14,928  

Revenue Bond, 0.541% 12/01/23

    10,000       9,592  

Revenue Bond, 0.761% 12/01/24

    10,000       9,242  

New York Transportation Development Corp., Revenue Bond

                

1.610% 12/01/22

    15,000       14,922  

State of Illinois, General Obligation

                

2.840% 10/01/23

    485,000       473,646  

Tobacco Settlement Finance Authority

                

Revenue Bond, 1.193% 6/01/23

    50,000       48,961  

Revenue Bond, 1.497% 6/01/24

    65,000       61,641  
                 

TOTAL MUNICIPAL OBLIGATIONS (Cost $870,000)

            838,658  
                 

NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.9%

Automobile Asset-Backed Securities — 0.2%

AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C

                

1.060% 8/18/26

    120,000       113,540  

Santander Drive Auto Receivables Trust, Series 2020-4, Class C

                

1.010% 1/15/26

    180,878       179,239  

Santander Retail Auto Lease Trust, Series 2022-A, Class B

                

1.610% 1/20/26 (a)

    180,000       166,773  
              459,552  

Commercial Mortgage-Backed Securities — 0.6%

BX Commercial Mortgage Trust, Series 2019-IMC, Class C, 1 mo. USD LIBOR + 1.600%

                

4.418% FRN 4/15/34 (a)

    210,000       201,203  

Commercial Mortgage Pass-Through Certificates

                

Series 2014-UBS4, Class AM, 3.968% 8/10/47

    250,000       238,196  

Series 2014-UBS2, Class AM, 4.199% 3/10/47

    100,000       96,565  

 

   

Principal
Amount

    

Value

  

Extended Stay America Trust, Series 2021-ESH, Class B, 1 mo. USD LIBOR + 1.380%

                

4.198% FRN 7/15/38 (a)

  $ 258,410     $ 250,035  

Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class C

                

3.750% 12/10/36 (a)

    295,000       273,406  

New Orleans Hotel Trust, Series 2019-HNLA, Class C, 1 mo. USD LIBOR + 1.589%

                

4.407% FRN 4/15/32 (a)

    100,000       96,077  
              1,155,482  

Other Asset-Backed Securities — 1.1%

BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A

                

3.280% 9/26/33 (a)

    41,547       39,421  

Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A

                

2.730% 4/25/28 (a)

    197,646       190,367  

HPEFS Equipment Trust, Series 2021-2A, Class C

                

0.880% 9/20/28 (a)

    360,000       340,302  

Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, 3 mo. USD LIBOR + 1.070%

                

3.582% FRN 7/15/33 (a)

    475,000       460,483  

Magnetite XXV Ltd., Series 2020-25A, Class A, 3 mo. USD LIBOR + 1.200%

                

3.983% FRN 1/25/32 (a)

    250,000       243,894  

MVW Owner Trust, Series 2018-1A, Class A

                

3.450% 1/21/36 (a)

    60,281       59,350  

OZLM VIII Ltd., Series 2014-8A, Class A1R3, 3 mo. USD LIBOR + .980%

                

3.720% FRN 10/17/29 (a)

    722,470       704,560  

Sierra Receivables Funding LLC, Series 2019-3A, Class A

                

2.340% 8/20/36 (a)

    41,001       39,760  
              2,078,137  

Student Loans Asset-Backed Securities — 0.6%

Navient Private Education Refi Loan Trust

                

Series 2021-EA, Class A, 0.970% 12/16/69 (a)

    173,789       145,852  

Series 2019-GA, Class A, 2.400% 10/15/68 (a)

    118,185       108,287  

Nelnet Student Loan Trust, Series 2021-CA, Class AFX

                

1.320% 4/20/62 (a)

    529,841       474,431  

 

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

 

82

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

SMB Private Education Loan Trust

                

Series 2016-B, Class A2A, 2.430% 2/17/32 (a)

  $ 96,678     $ 93,488  

Series 2017-B, Class A2A, 2.820% 10/15/35 (a)

    189,921       182,087  

Series 2017-A, Class A2A, 2.880% 9/15/34 (a)

    61,809       59,910  
              1,064,055  

Whole Loan Collateral Collateralized Mortgage Obligations — 3.4%

Angel Oak Mortgage Trust, Series 2019-2, Class A1,

                

3.628% VRN 3/25/49 (a) (c)

    432       430  

Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A5,

                

2.500% VRN 6/25/51 (a) (c)

    353,969       303,736  

COLT Mortgage Loan Trust, Series 2021-6, Class A1,

                

1.907% VRN 12/25/66 (a) (c)

    560,681       485,181  

Credit Suisse Mortgage Trust, Series 2021-RPL6, Class A1,

                

2.000% VRN 10/25/60 (a) (c)

    301,922       268,320  

Flagstar Mortgage Trust, Series 2021-5INV, Class A5,

                

2.500% VRN 7/25/51 (a) (c)

    372,331       319,492  

FWD Securitization Trust, Series 2020-INV1, Class A3,

                

2.440% VRN 1/25/50 (a) (c)

    62,001       56,902  

Galton Funding Mortgage Trust

                

Series 2020-H1, Class A3, 2.617% VRN 1/25/60 (a) (c)

    154,702       142,544  

Series 2018-1, Class A33, 3.500% VRN 11/25/57 (a) (c)

    58,322       55,097  

Series 2018-2, Class A31, 4.500% VRN 10/25/58 (a) (c)

    21,750       21,125  

GS Mortgage-Backed Securities Trust

                

Series 2021-PJ6, Class A8, 2.500% VRN 11/25/51 (a) (c)

    649,177       556,644  

Series 2022-GR1, Class A5, 2.500% VRN 6/25/52 (a) (c)

    714,660       614,579  

JP Morgan Mortgage Trust, Series 2019-INV2, Class A3,

                

3.500% VRN 2/25/50 (a) (c)

    19,764       18,503  

Metlife Securitization Trust, Series 2018-1A, Class A,

                

3.750% VRN 3/25/57 (a) (c)

    90,113       85,109  

New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A3,

                

3.065% VRN 11/25/59 (a) (c)

    44,949       41,708  

NYMT Loan Trust, Series 2022-CP1, Class A1

                

2.042% 7/25/61 (a)

    310,732       284,814  

 

   

Principal
Amount

    

Value

  

Oceanview Mortgage Trust, Series 2022-1, Class A5,

                

2.500% VRN 12/25/51 (a) (c)

  $ 338,412     $ 290,386  

Onslow Bay Financial LLC

                

Series 2022-NQM1, Class A1, 2.305% VRN 11/25/61 (a) (c)

    273,522       228,102  

Series 2020-INV1, Class A21, 3.500% VRN 12/25/49 (a) (c)

    31,917       28,459  

Series 2020-EXP1, Class 1A9, 3.500% VRN 2/25/60 (a) (c)

    63,930       56,316  

Series 2020-EXP1, Class 2A1, 1 mo. USD LIBOR + .750% 3.834% FRN 2/25/60 (a)

    20,135       19,139  

Series 2019-EXP3, Class 2A1, 1 mo. USD LIBOR + .900% 3.984% FRN 10/25/59 (a)

    35,093       34,047  

Series 2019-EXP1, Class 1A3, 4.000% VRN 1/25/59 (a) (c)

    41,239       40,178  

Series 2019-EXP2, Class 1A3, 4.000% VRN 6/25/59 (a) (c)

    77,715       74,314  

Series 2019-EXP3, Class 2A2, 1 mo. USD LIBOR + 1.100% 4.184% FRN 10/25/59 (a)

    19,706       19,183  

Sequoia Mortgage Trust

                

Series 2017-CH1, Class A2, 3.500% VRN 8/25/47 (a) (c)

    16,621       16,033  

Series 2017-CH1, Class A13, 4.000% VRN 8/25/47 (a) (c)

    45,191       43,905  

Series 2018-CH2, Class A3, 4.000% VRN 6/25/48 (a) (c)

    8,543       8,170  

Series 2018-CH3, Class A2, 4.000% VRN 8/25/48 (a) (c)

    3,982       3,941  

Series 2018-CH4, Class A2, 4.000% VRN 10/25/48 (a) (c)

    2,037       2,016  

SG Residential Mortgage Trust

                

Series 2021-1, Class A1, 1.160% VRN 7/25/61 (a) (c)

    400,351       330,298  

Series 2019-3, Class A3, 3.082% VRN 9/25/59 (a) (c)

    44,130       43,225  

Starwood Mortgage Residential Trust

                

Series 2021-3, Class A1, 1.127% VRN 6/25/56 (a) (c)

    362,913       307,060  

Series 2020-1, Class A3, 2.562% VRN 2/25/50 (a) (c)

    115,819       109,875  

Towd Point Mortgage Trust

                

Series 2017-6, Class A1, 2.750% VRN 10/25/57 (a) (c)

    73,558       70,939  

Series 2018-2, Class A1, 3.250% VRN 3/25/58 (a) (c)

    84,800       82,011  

Series 2018-5, Class A1A, 3.250% VRN 7/25/58 (a) (c)

    56,379       55,029  

Series 2018-3, Class A1, 3.750% VRN 5/25/58 (a) (c)

    47,262       45,283  

 

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

 

83

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

Verus Securitization Trust

                

Series 2021-3, Class A1, 1.046% VRN 6/25/66 (a) (c)

  $ 353,250     $ 290,505  

Series 2021-8, Class A2, 2.286% VRN 11/25/66 (a) (c)

    146,839       123,214  

Series 2020-1, Class A1, 2.417% STEP 1/25/60 (a)

    55,645       52,465  

Series 2020-1, Class A3, 2.724% STEP 1/25/60 (a)

    129,880       123,121  

Series 2019-4, Class A3, 3.000% STEP 11/25/59 (a)

    190,459       183,028  

Series 2019-INV3, Class A3, 3.100% VRN 11/25/59 (a) (c)

    222,191       213,246  

Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3,

                

2.500% VRN 12/25/50 (a) (c)

    291,544       250,534  
              6,398,206  
                 

TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $12,349,559)

            11,155,432  
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (d) — 2.9%

Collateralized Mortgage Obligations — 0.0%

Government National Mortgage Association Series 2019-65, Class B 3.500% 5/20/49

    54,983       51,125  

Pass-Through Securities — 2.0%

Government National Mortgage Association II TBA

                

2.000% 10/20/52 (e)

    2,290,000       1,907,498  

5.500% 10/20/52 (e)

    1,910,000       1,907,016  
              3,814,514  

Whole Loans — 0.9%

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2022-DNA1, Class M1A, 30 day SOFR + 1.000%

                

3.281% FRN 1/25/42 (a)

    602,203       583,929  

Federal National Mortgage Association Connecticut Avenue Securities Trust

                

Series 2022-R01, Class 1M1, 30 day SOFR + 1.000% 3.281% FRN 12/25/41 (a)

    337,376       329,782  

Series 2018-C03, Class 1EB2, 1 mo. USD LIBOR + .850% 3.934% FRN 10/25/30

    282,056       279,930  

 

   

Principal
Amount

    

Value

  

Series 2018-C03, Class 1ED2, 1 mo. USD LIBOR + .850% 3.934% FRN 10/25/30

  $ 15,909     $ 15,748  

Series 2017-C04, Class 2ED2, 1 mo. USD LIBOR + 1.100% 4.184% FRN 11/25/29

    247,684       245,540  

Series 2017-C05, Class 1ED3, 1 mo. USD LIBOR + 1.200% 4.284% FRN 1/25/30

    12,999       12,924  

Series 2017-C02, Class 2ED3, 1 mo. USD LIBOR + 1.350% 4.434% FRN 9/25/29

    16,533       16,525  

Series 2017-C06, Class 1M2B, 1 mo. USD LIBOR + 2.650% 5.734% FRN 2/25/30

    158,282       159,168  
              1,643,546  
                 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $5,523,161)

            5,509,185  
                 

U.S. TREASURY OBLIGATIONS — 79.4%

U.S. Treasury Bonds & Notes — 79.4%

U.S. Treasury Inflation Index

                

0.125% 4/15/25

    20,232,806       19,199,036  

0.125% 10/15/25

    13,755,416       13,002,898  

0.125% 4/15/26

    2,685,868       2,508,349  

0.125% 7/15/26

    1,625,627       1,520,046  

0.125% 10/15/26

    12,225,240       11,388,575  

0.125% 4/15/27 (b)

    40,614,390       37,463,073  

0.250% 1/15/25

    8,464,397       8,100,858  

0.375% 7/15/25

    12,750,968       12,190,374  

0.375% 1/15/27

    11,237,376       10,511,556  

0.375% 7/15/27

    5,069,152       4,729,690  

0.500% 4/15/24

    8,712,737       8,471,265  

0.625% 1/15/24 (f)

    6,070,897       5,931,694  

0.625% 1/15/26

    14,286,980       13,636,997  

0.625% 7/15/32

    2,251,542       2,040,767  
              150,695,178  
                 

TOTAL U.S. TREASURY OBLIGATIONS (Cost $163,419,499)

            150,695,178  
                 

TOTAL BONDS & NOTES (Cost $192,464,464)

            178,326,823  
                 

 

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

 

84

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 6.2%

Diversified Financial Services — 6.2%

State Street Navigator Securities Lending Government Money Market Portfolio (g)

    11,737,424     $ 11,737,424  
                 

TOTAL MUTUAL FUNDS (Cost $11,737,424)

            11,737,424  
                 

TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $16,865)

            6,047  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $204,218,753)

            190,070,294  
                 

SHORT-TERM INVESTMENTS — 7.7%

Mutual Fund — 7.3%

T. Rowe Price Government Reserve Investment Fund

    13,894,851       13,894,851  
 
   

Principal
Amount

          

Repurchase Agreement — 0.4%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (h)

  $ 666,805       666,805  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $14,561,656)

            14,561,656  
                 

TOTAL INVESTMENTS — 107.8% (Cost $218,780,409) (i)

            204,631,950  
                 

Other Assets/(Liabilities) — (7.8)%

            (14,734,912 )
                 

NET ASSETS — 100.0%

          $ 189,897,038  

 

Abbreviation Legend

FRN

Floating Rate Note

STEP

Step Up Bond

TBA

To Be Announced

VRN

Variable Rate Note

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $14,373,338 or 7.57% of net assets.

(b)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $11,502,544 or 6.06% of net assets. (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, 2022.

(d)

May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

(e)

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

(f)

All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2).

(g)

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

(h)

Maturity value of $666,851. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $680,154.

(i)

See Note 6 for aggregate cost for federal tax purposes.

 

(#) 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 10 Year Future

     10/21/22       116.00       43       USD       4,818,688     $ 6,047     $ 16,865     $ (10,818 )

 

 

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

 

85

 

 

MassMutual Select T. Rowe Price Limited Duration Inflation Focused Bond Fund – Portfolio of Investments (Continued)

 

Forward contracts

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

Bank of America N.A.*

     10/21/22       USD       504,123       AUD       725,000     $ 40,297  

Goldman Sachs International*

     10/21/22       NZD       325,000       USD       206,090       (24,193 )

Goldman Sachs International*

     10/21/22       USD       203,460       NZD       325,000       21,563  

HSBC Bank USA*

     10/21/22       NZD       810,000       USD       508,150       (54,808 )

HSBC Bank USA*

     10/21/22       AUD       725,000       USD       510,132       (46,306 )

HSBC Bank USA*

     10/21/22       USD       503,857       NZD       810,000       50,515  
                                            $ (12,932 )

 

Futures contracts

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

Long

                                

U.S. Treasury Ultra 10 Year

     12/20/22       23     $ 2,739,471     $ (14,330 )

U.S. Treasury Note 2 Year

     12/30/22       51       10,545,620       (70,698 )

U.S. Treasury Note 5 Year

     12/30/22       42       4,591,660       (76,332 )

3 Month SOFR

     6/20/23       77       18,405,364       (6,214 )

 

                           $ (167,574 )

Short

                                

U.S. Treasury Note 10 Year

     12/20/22       132     $ (15,337,499 )   $ 545,249  

 

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 3.135%

     Maturity  

U.S. Consumer Price Index

     Maturity       8/03/23       USD       4,650,000     $ 251,334     $ —     $ 251,334  

Fixed 2.960%

     Maturity  

U.S. Consumer Price Index

     Maturity       8/02/24       USD       1,376,000       78,050       —       78,050  

Fixed 2.952%

     Maturity  

U.S. Consumer Price Index

     Maturity       8/03/24       USD       3,133,000       177,588       —       177,588  

Fixed 3.112%

     Maturity  

U.S. Consumer Price Index

     Maturity       8/22/24       USD       1,370,000       (12,128 )     —       (12,128 )

Fixed 3.129%

     Maturity  

U.S. Consumer Price Index

     Maturity       8/22/24       USD       1,370,000       (12,559 )     —       (12,559 )

Fixed 3.320%

     Maturity  

U.S. Consumer Price Index

     Maturity       8/30/24       USD       1,370,000       (21,439 )     —       (21,439 )

Fixed 2.962%

     Maturity  

U.S. Consumer Price Index

     Maturity       9/15/25       USD       4,046,000       (50,998 )     —       (50,998 )

Fixed 2.715%

     Maturity  

U.S. Consumer Price Index

     Maturity       10/03/25       USD       1,383,000       (6,674 )     —       (6,674 )

Fixed 2.739%

     Maturity  

U.S. Consumer Price Index

     Maturity       10/03/25       USD       891,000       (4,903 )     —       (4,903 )
                                              $ 398,271     $ —     $ 398,271  

 

 

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

 

86

 

 

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

                                                          

Rate/
Reference

  

Frequency

    

Rate/
Reference

    

Frequency

    

Counterparty

    

Termination
Date

    

Notional
Amount

    

Value

    

Upfront
Premium
Paid/
(Received)

    

Unrealized
Appreciation
(Depreciation)

  

Fixed 1.600%

     Maturity       U.S. Consumer Price Index       Maturity       Bank of America N.A.*       2/21/23       USD       3,638,000     $ 372,697     $ —     $ 372,697  

Fixed 1.740%

     Maturity       U.S. Consumer Price Index       Maturity       Barclays Bank PLC*       12/16/22       USD       2,800,000       280,806       —       280,806  

Fixed 1.422%

     Maturity       U.S. Consumer Price Index       Maturity       Citibank N.A.*       10/07/22       USD       3,420,000       380,864       —       380,864  

Fixed 1.434%

     Maturity       U.S. Consumer Price Index       Maturity       Citibank N.A.*       10/08/22       USD       1,710,000       189,688       —       189,688  

Fixed 1.435%

     Maturity       U.S. Consumer Price Index       Maturity       Citibank N.A.*       10/08/22       USD       1,710,000       189,636       —       189,636  

Fixed 1.593%

     Maturity       U.S. Consumer Price Index       Maturity       Citibank N.A.*       2/18/23       USD       1,311,000       134,221       —       134,221  

Fixed 1.596%

     Maturity       U.S. Consumer Price Index       Maturity       Citibank N.A.*       2/18/23       USD       1,789,000       182,968       —       182,968  

Fixed 1.592%

     Maturity       U.S. Consumer Price Index       Maturity       Citibank N.A.*       2/20/23       USD       2,867,000       294,300       —       294,300  

Fixed 1.487%

     Maturity       U.S. Consumer Price Index       Maturity       Citibank N.A.*       2/26/23       USD       2,061,000       218,499       —       218,499  

Fixed 1.605%

     Maturity       U.S. Consumer Price Index       Maturity       Goldman Sachs International*       2/21/23       USD       2,993,000       306,162       —       306,162  

Fixed 1.565%

     Maturity       U.S. Consumer Price Index       Maturity       HSBC Bank USA*       2/25/23       USD       2,241,000       232,142       —       232,142  

Fixed 2.290%

     Maturity       U.S. Consumer Price Index       Maturity       UBS AG*       6/05/23       USD       1,700,000       132,920       —       132,920  
                                                            $ 2,914,903     $ —     $ 2,914,903  

 

*

Contracts are subject to a master netting agreement or similar agreement.

 

Currency Legend

AUD

Australian Dollar

NZD

New Zealand Dollar

USD

U.S. Dollar

 

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

 

87

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 91.2%

COMMON STOCK — 90.1%

Australia — 8.6%

ALS Ltd.

    175,484     $ 1,129,790  

BHP Group Ltd.

    330,686       8,235,703  

BlueScope Steel Ltd.

    93,462       904,188  

Goodman Group

    63,133       630,789  

IGO Ltd.

    138,188       1,204,556  

Northern Star Resources Ltd.

    339,276       1,710,452  

OZ Minerals Ltd.

    23,473       385,315  

Perseus Mining Ltd.

    1,156,865       1,139,523  

Rio Tinto Ltd.

    20,282       1,207,039  

Scentre Group

    281,941       453,828  

South32 Ltd.

    225,315       520,790  

Tietto Minerals Ltd. (a)

    1,875,595       523,781  
              18,045,754  

Austria — 0.0%

Mayr Melnhof Karton AG

    183       23,488  

Belgium — 0.2%

Warehouses De Pauw CVA

    17,574       426,905  

Bermuda — 0.4%

Hongkong Land Holdings Ltd.

    170,100       746,193  

Brazil — 0.5%

Vale SA

    81,541       1,088,957  

Canada — 7.9%

Canadian Apartment Properties

    9,555       291,212  

Canadian National Railway Co.

    6,270       677,134  

Canadian Natural Resources Ltd. (b)

    11,123       517,761  

Canadian Pacific Railway Ltd.

    9,333       622,698  

ERO Copper Corp. (a) (b)

    21,559       238,322  

Franco-Nevada Corp.

    9,191       1,097,850  

K92 Mining, Inc. (a)

    464,336       2,655,557  

Karora Resources, Inc. (a)

    291,722       601,880  

Nutrien Ltd.

    37,340       3,113,409  

Orla Mining Ltd. (a)

    119,037       388,646  

Rhyolite Resources Ltd. (a)

    214,075       33,320  

Summit Industrial Income REIT

    74,237       919,532  

TC Energy Corp.

    18,415       741,940  

Toromont Industries Ltd.

    18,291       1,273,292  

Victoria Gold Corp. (a)

    95,922       568,720  

Wesdome Gold Mines Ltd. (a)

    321,351       2,172,815  

West Fraser Timber Co. Ltd.

    2,903       210,010  

Wheaton Precious Metals Corp.

    14,778       478,532  
              16,602,630  

Cayman Islands — 0.5%

China Resources Mixc Lifestyle Services Ltd. (c)

    51,600       197,692  

 

   

Number of
Shares

    

Value

  

H World Group Ltd.

    50,700     $ 172,644  

Wharf Real Estate Investment Co. Ltd.

    132,000       596,117  
              966,453  

Denmark — 0.3%

Bakkafrost P/F

    10,041       397,666  

ROCKWOOL International A/S Class B

    1,394       218,534  
              616,200  

Finland — 1.1%

Kojamo OYJ

    39,531       502,390  

Metso Outotec OYJ

    182,791       1,211,298  

UPM-Kymmene OYJ

    20,751       659,412  
              2,373,100  

France — 2.0%

Air Liquide SA

    2,811       320,079  

Gecina SA

    2,033       158,017  

Legrand SA

    4,183       270,259  

Schneider Electric SE

    3,720       417,350  

TotalEnergies SE

    56,062       2,638,834  

Verallia SA (c)

    17,005       381,239  
              4,185,778  

Hong Kong — 0.3%

Sun Hung Kai Properties Ltd.

    51,000       560,754  

Ireland — 0.8%

Linde PLC

    5,960       1,606,756  

Japan — 2.5%

Daiwa Office Investment Corp.

    100       464,942  

Hoshino Resorts REIT, Inc.

    44       204,309  

Industrial & Infrastructure Fund Investment Corp. (b)

    494       558,755  

Katitas Co. Ltd. (b)

    11,700       260,642  

Kyoritsu Maintenance Co. Ltd. (b)

    10,800       446,990  

Mitsui Fudosan Co. Ltd.

    62,000       1,181,854  

Mitsui Fudosan Logistics Park, Inc.

    92       314,816  

Nippon Steel Corp.

    78,500       1,092,639  

Shin-Etsu Chemical Co. Ltd.

    2,100       208,538  

Tokyo Tatemono Co. Ltd.

    30,900       440,121  
              5,173,606  

Kazakhstan — 0.3%

NAC Kazatomprom JSC

    27,627       692,584  

Luxembourg — 0.5%

Ardagh Metal Packaging SA (b)

    45,374       219,610  

Shurgard Self Storage SA

    9,386       382,421  

Tenaris SA ADR

    14,119       364,835  
              966,866  

Mexico — 0.5%

Grupo Mexico SAB de CV Series B

    336,409       1,136,202  

 

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

 

88

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Netherlands — 0.3%

Akzo Nobel NV

    8,068     $ 455,004  

Koninklijke DSM NV

    1,482       168,088  
              623,092  

Norway — 1.7%

Aker BP ASA

    20,985       601,721  

Equinor ASA

    62,186       2,051,117  

Norsk Hydro ASA

    137,882       741,733  

TGS ASA

    17,174       209,209  
              3,603,780  

Portugal — 0.3%

Galp Energia SGPS SA

    77,286       740,705  

Republic of Korea — 0.3%

POSCO Holdings, Inc.

    5,021       739,310  

Russia — 0.0%

Alrosa PJSC (d) (e)

    688,100       —  

MMC Norlisk Nickel PJSC (d) (e)

    2,654       —  

Polyus PJSC (d) (e)

    2,282       —  
              —  

Singapore — 0.6%

CapitaLand Mall Trust

    273,900       364,152  

Digital Core REIT Management Pte Ltd. (b)

    685,900       478,830  

Lendlease Global Commercial REIT

    671,000       354,105  
              1,197,087  

South Africa — 0.2%

Impala Platinum Holdings Ltd. (b)

    11,401       105,790  

Sibanye Stillwater Ltd.

    98,905       228,913  
              334,703  

Spain — 0.3%

Cellnex Telecom SA (c)

    13,541       417,488  

Iberdrola SA

    20,448       190,092  
              607,580  

Sweden — 3.3%

Alfa Laval AB

    14,096       348,244  

Boliden AB

    98,282       3,039,566  

Epiroc AB Class A

    78,234       1,119,035  

Epiroc AB Class B

    34,720       436,692  

Fabege AB

    35,791       241,479  

Sandvik AB

    103,496       1,409,356  

Svenska Cellulosa AB Class B

    28,847       365,827  
              6,960,199  

Switzerland — 0.1%

Sika AG Registered

    1,420       284,352  

United Kingdom — 4.3%

Big Yellow Group PLC

    17,870       210,431  

Central Asia Metals PLC

    250,514       604,882  

 

   

Number of
Shares

    

Value

  

Derwent London PLC

    18,654     $ 417,021  

Great Portland Estates PLC

    75,276       368,383  

InterContinental Hotels Group PLC

    11,111       533,057  

Mondi PLC

    14,626       225,922  

Persimmon PLC

    12,977       178,654  

Rio Tinto PLC

    60,773       3,291,679  

Shell PLC

    38,008       945,650  

TechnipFMC PLC (a)

    44,367       375,345  

The UNITE Group PLC

    45,783       434,144  

The Weir Group PLC

    101,904       1,569,652  
              9,154,820  

United States — 52.3%

Acadia Realty Trust

    69,502       877,115  

AGCO Corp.

    2,941       282,836  

Air Products & Chemicals, Inc.

    3,626       843,879  

Alaska Air Group, Inc. (a)

    7,499       293,586  

Albemarle Corp.

    1,609       425,484  

Alexandria Real Estate Equities, Inc.

    15,765       2,210,095  

Allegiant Travel Co. (a)

    4,480       326,950  

Ameren Corp.

    4,000       322,200  

American Homes 4 Rent Class A

    59,488       1,951,801  

American Tower Corp.

    13,950       2,995,065  

Apartment Income REIT Corp.

    12,552       484,758  

Apple Hospitality REIT, Inc.

    96,611       1,358,351  

AvalonBay Communities, Inc.

    14,930       2,749,957  

Avery Dennison Corp.

    2,505       407,564  

Baker Hughes Co.

    13,450       281,912  

Ball Corp.

    21,806       1,053,666  

Cactus, Inc. Class A

    11,505       442,137  

Camden Property Trust

    14,069       1,680,542  

Caterpillar, Inc.

    12,837       2,106,295  

CF Industries Holdings, Inc.

    8,395       808,019  

ChampionX Corp.

    18,500       362,045  

Chevron Corp.

    13,837       1,987,962  

CMS Energy Corp.

    4,340       252,762  

ConocoPhillips

    34,959       3,577,704  

Crown Castle, Inc.

    10,007       1,446,512  

Crown Holdings, Inc.

    5,366       434,807  

CSX Corp.

    20,517       546,573  

CubeSmart

    54,519       2,184,031  

Cummins, Inc.

    3,364       684,608  

Darling Ingredients, Inc. (a)

    14,256       943,034  

Deere & Co.

    3,179       1,061,436  

Delta Air Lines, Inc. (a)

    18,083       507,409  

Devon Energy Corp.

    28,734       1,727,775  

Dominion Energy, Inc.

    4,582       316,662  

Douglas Emmett, Inc.

    42,298       758,403  

EastGroup Properties, Inc.

    7,347       1,060,466  

Element Solutions, Inc.

    22,581       367,393  

 

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

 

89

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Entegris, Inc.

    2,488     $ 206,554  

EOG Resources, Inc.

    19,547       2,183,986  

Equinix, Inc.

    7,337       4,173,579  

Equitrans Midstream Corp.

    53,160       397,637  

Equity LifeStyle Properties, Inc.

    47,815       3,004,695  

Equity Residential

    37,442       2,516,851  

Essex Property Trust, Inc.

    8,138       1,971,268  

Extra Space Storage, Inc.

    2,400       414,504  

Federal Realty Investment Trust

    2,065       186,098  

FMC Corp.

    8,497       898,133  

Frontier Group Holdings, Inc. (a)

    57,385       556,635  

Halliburton Co.

    14,206       349,752  

Hess Corp.

    14,039       1,530,111  

Hilton Worldwide Holdings, Inc.

    10,248       1,236,114  

Host Hotels & Resorts, Inc.

    29,355       466,157  

The Howard Hughes Corp. (a)

    3,614       200,180  

Hubbell, Inc.

    3,184       710,032  

International Paper Co.

    16,333       517,756  

JetBlue Airways Corp. (a)

    30,447       201,864  

Kilroy Realty Corp.

    17,539       738,567  

Kimco Realty Corp.

    13,891       255,733  

Liberty Energy, Inc. (a)

    17,855       226,401  

Magnolia Oil & Gas Corp. Class A

    29,573       585,841  

Marriott International, Inc. Class A

    3,111       435,976  

Martin Marietta Materials, Inc.

    2,750       885,748  

Newmont Corp.

    275       11,558  

NextEra Energy, Inc.

    5,623       440,900  

Norfolk Southern Corp.

    4,471       937,345  

Nucor Corp.

    18,462       1,975,249  

Packaging Corp. of America

    7,932       890,684  

Pebblebrook Hotel Trust

    48,732       707,101  

Pioneer Natural Resources Co.

    8,314       1,800,231  

Prologis, Inc.

    46,688       4,743,501  

Public Storage

    14,148       4,142,676  

Quanta Services, Inc.

    3,793       483,190  

Rayonier, Inc.

    26,457       792,916  

Regency Centers Corp.

    31,581       1,700,637  

Reliance Steel & Aluminum Co.

    17,931       3,127,346  

Rexford Industrial Realty, Inc.

    37,703       1,960,556  

Royal Gold, Inc.

    1,988       186,514  

RPM International, Inc.

    10,239       853,011  

SBA Communications Corp.

    8,640       2,459,376  

Sempra Energy

    4,180       626,749  

The Sherwin-Williams Co.

    6,148       1,258,803  

Shoals Technologies Group, Inc. Class A (a)

    22,116       476,600  

Simon Property Group, Inc.

    25,480       2,286,830  

SL Green Realty Corp. (b)

    12,339       495,534  

The Southern Co.

    8,652       588,336  

 

   

Number of
Shares

    

Value

  

Southern Copper Corp.

    19,073     $ 855,233  

Southwest Airlines Co. (a)

    16,219       500,194  

Steel Dynamics, Inc.

    27,357       1,940,979  

Sun Country Airlines Holdings, Inc. (a)

    36,393       495,309  

Terreno Realty Corp.

    30,495       1,615,930  

Union Pacific Corp.

    5,170       1,007,219  

United Airlines Holdings, Inc. (a)

    14,314       465,634  

Ventas, Inc.

    29,270       1,175,776  

Vulcan Materials Co.

    7,816       1,232,661  

Welltower, Inc.

    33,247       2,138,447  

WestRock Co.

    8,442       260,773  

Weyerhaeuser Co.

    7,632       217,970  

Xcel Energy, Inc.

    4,001       256,063  
              110,079,797  
                 

TOTAL COMMON STOCK (Cost $220,843,423)

            189,537,651  
                 

PREFERRED STOCK — 1.1%

United States — 1.1%

Jetti Holdings, Inc., Series C, (Acquired 5/24/21-6/30/21, Cost $130,426)

                

(d) (e) (f)

    2,253       299,406  

KoBold Metals, Inc., Series B-1, (Acquired 1/10/22,Cost $670,800) (d) (e) (f)

    24,472       670,800  

Lilac Solutions, Inc., Series B, (Acquired 9/08/21,Cost $329,342)

                

(d) (e) (f)

    25,087       342,438  

NextEra Energy, Inc. Convertible 5.279%

    18,013       896,687  
              2,209,331  
                 

TOTAL PREFERRED STOCK (Cost $1,992,987)

            2,209,331  
                 

TOTAL EQUITIES (Cost $222,836,410)

            191,746,982  
                 

MUTUAL FUNDS — 5.2%

United States — 5.2%

Industrial Select Sector SPDR Fund (b)

    29,594       2,451,567  

iShares MSCI Global Metals & Mining Producers ETF

    34,821       1,184,959  

SPDR S&P Homebuilders ETF (b)

    18,861       1,031,508  

SPDR S&P Oil & Gas Exploration & Production ETF

    6,166       769,023  

 

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

 

90

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

State Street Navigator Securities Lending Government Money Market Portfolio (g)

    5,007,776     $ 5,007,776  

VanEck Oil Services ETF (b)

    2,574       543,655  
              10,988,488  
                 

TOTAL MUTUAL FUNDS (Cost $12,080,514)

            10,988,488  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $234,916,924)

            202,735,470  
                 

SHORT-TERM INVESTMENTS — 4.9%

Mutual Fund — 3.9%

T. Rowe Price Government Reserve Investment Fund

    8,257,913       8,257,913  
   

Principal
Amount

          

Repurchase Agreement — 0.2%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (h)

  $ 508,779       508,779  

U.S. Treasury Bill — 0.8%

U.S. Treasury Bill

                

3.324% 2/16/23 (i)

    1,490,000       1,469,968  

3.607% 2/16/23 (i) (j)

    100,000       98,654  
              1,568,622  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $10,336,893)

            10,335,314  
                 

TOTAL INVESTMENTS — 101.3% (Cost $245,253,817) (k)

            213,070,784  
                 

Other Assets/(Liabilities) — (1.3)%

            (2,731,384 )
                 

NET ASSETS — 100.0%

          $ 210,339,400  

 

Abbreviation Legend

ADR

American Depositary Receipt

ETF

Exchange-Traded Fund

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)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $7,316,254 or 3.48% of net assets. The Fund received $2,537,338 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

(c)

Security is exempt from registration under Regulation S or Rule 144A of the Securities Act of 1933. These securities are considered restricted and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $996,419 or 0.47% of net assets.

(d)

Investment is valued using significant unobservable inputs.

(e)

This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2022, these securities amounted to a value of $1,312,644 or 0.62% of net assets.

(f)

Restricted security. Certain securities are restricted as to resale. At September 30, 2022, these securities amounted to a value of $1,312,644 or 0.62% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(g)

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

(h)

Maturity value of $508,814. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $518,969.

(i)

The rate shown represents yield-to-maturity.

(j)

All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2).

(k)

See Note 6 for aggregate cost for federal tax purposes.

 

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

 

Financial

    33.3 %

Basic Materials

    28.0 %

Energy

    11.6 %

Industrial

    11.0 %

Mutual Funds

    5.2 %

Consumer, Cyclical

    4.0 %

Utilities

    1.8 %

Consumer, Non-cyclical

    1.1 %

Technology

    0.4 %

Total Long-Term Investments

    96.4 %

Short-Term Investments and Other Assets and Liabilities

    3.6 %

Net Assets

     100.0 %

 

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

 

91

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

 

Forward contracts

 

Counterparty

  

Settlement
Date

    

Currency Purchased

    

Currency Sold

    

Unrealized
Appreciation
(Depreciation)

  

Bank of America N.A.*

     10/14/22       NOK       11,199,430       USD       1,118,794     $ (90,243 )

Bank of America N.A.*

     10/14/22       CAD       1,159,170       USD       889,147       (50,008 )

BNP Paribas SA*

     10/04/22       USD       1,145,313       BRL       6,139,450       7,187  

BNP Paribas SA*

     10/04/22       BRL       6,139,450       USD       1,135,547       2,579  

BNP Paribas SA*

     11/03/22       BRL       6,139,450       USD       1,137,504       (7,597 )

Deutsche Bank AG*

     10/14/22       USD       1,076,361       SEK       11,506,470       39,072  

JP Morgan Chase Bank N.A.*

     10/04/22       BRL       6,139,450       USD       1,195,248       (57,122 )

JP Morgan Chase Bank N.A.*

     10/04/22       USD       1,135,547       BRL       6,139,450       (2,579 )

Morgan Stanley & Co. LLC*

     10/14/22       NOK       11,191,470       EUR       1,114,977       (65,659 )

Wells Fargo Bank N.A.*

     10/14/22       USD       869,637       CAD       1,159,170       30,498  
                                            $ (193,872 )

 

Futures contracts

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

Long

                                

Hang Seng Index

     10/28/22       8     $ 906,619     $ (29,637 )

S&P TSX 60 Index

     12/15/22       6       1,033,633       (64,147 )

Xae Energy

     12/16/22       122       10,125,312       (932,612 )

 

                           $ (1,026,396 )

Short

                                

Nasdaq 100 E Mini Index

     12/16/22       17     $ (4,256,923 )   $ 504,853  

S&P 500 E Mini Index

     12/16/22       23       (4,654,444 )     512,719  

U.S. Treasury Note 10 Year

     12/20/22       14       (1,642,793 )     73,918  

U.S. Treasury Ultra Long Bond

     12/20/22       5       (738,588 )     53,587  

 

                           $ 1,145,077  

 

OTC Total Return Swaps

 

Paid by the Fund

 

Received by the Fund

                                          

Rate/
Reference

  

No. of
Contracts/
Notional

    

Frequency

    

Rate/
Reference

    

No. of
Contracts/
Notional

    

Frequency

    

Counterparty

    

Termination
Date

    

Value

    

Upfront
Premium
Received
(Paid)/
Received

    

Unrealized
Appreciation
(Depreciation)

  

1Day-SOFR+42 bp

     USD       549,162       Monthly       Xtrackers Harvest CSI 300 China A-Shares ETF       18,509       Monthly       Citibank N.A.*       1/16/24     $ (47,754 )   $ —     $ (47,754 )

1Day-SOFR+42 bp

     USD       271,774       Monthly       iShares MSCI China ETF       5,730       Monthly       Citibank N.A.*       1/16/24       (27,905 )     —       (27,905 )

1Day-SOFR+42 bp

     USD       651,892       Monthly       KraneShares CSI China Internet ETF       23,534       Monthly       Citibank N.A.*       1/18/24       (72,014 )     —       (72,014 )

 

 

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

 

92

 

 

MassMutual Select T. Rowe Price Real Assets Fund – Portfolio of Investments (Continued)

 

OTC Total Return Swaps (Continued)

 

Paid by the Fund

 

Received by the Fund

                                          

Rate/
Reference

  

No. of
Contracts/
Notional

    

Frequency

    

Rate/
Reference

    

No. of
Contracts/
Notional

    

Frequency

    

Counterparty

    

Termination
Date

    

Value

    

Upfront
Premium
Received
(Paid)/
Received

    

Unrealized
Appreciation
(Depreciation)

  

1Day-SOFR+42 bp

     USD       681,223       Monthly       Xtrackers Harvest CSI 300 China A-Shares ETF       22,960       Monthly       Citibank N.A.*       1/18/24     $ (59,237 )   $ —     $ (59,237 )

1Day-SOFR+42 bp

     USD       660,605       Monthly       iShares MSCI China ETF       13,928       Monthly       Citibank N.A.*       1/18/24       (67,829 )     —       (67,829 )
                                                                    $ (274,739 )   $ —     $ (274,739 )

 

* Contracts are subject to a master netting agreement or similar agreement.

 

Currency Legend

BRL

Brazilian Real

CAD

Canadian Dollar

EUR

Euro

NOK

Norwegian Krone

SEK

Swedish Krona

USD

United States Dollar

 

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

September 30, 2022

 

   

Number of
Shares

    

Value

  

EQUITIES — 94.9%

COMMON STOCK — 92.5%

Basic Materials — 2.8%

Chemicals — 0.9%

AgroFresh Solutions, Inc. (a)

    60,688     $ 91,032  

Element Solutions, Inc.

    104,768       1,704,575  

Hawkins, Inc.

    7,626       297,338  

Orion Engineered Carbons SA

    30,529       407,562  

PPG Industries, Inc.

    5,230       578,909  

Quaker Chemical Corp. (b)

    8,488       1,225,497  

RPM International, Inc.

    16,600       1,382,946  
              5,687,859  

Forest Products & Paper — 0.1%

Clearwater Paper Corp. (a)

    12,119       455,675  

West Fraser Timber Co. Ltd.

    4,079       295,084  
              750,759  

Iron & Steel — 0.2%

Carpenter Technology Corp.

    15,525       483,448  

Reliance Steel & Aluminum Co.

    3,543       617,935  
              1,101,383  

Mining — 1.6%

AngloGold Ashanti Ltd. Sponsored ADR

    92,915       1,284,085  

Cameco Corp.

    109,756       2,909,632  

Constellium SE (a)

    98,584       999,642  

ERO Copper Corp. (a) (b)

    13,723       151,700  

Franco-Nevada Corp.

    20,493       2,447,855  

Freeport-McMoRan, Inc.

    22,586       617,275  

Fresnillo PLC

    217,635       1,859,644  

Gold Fields Ltd. Sponsored ADR (b)

    87,788       710,205  
              10,980,038  
              18,520,039  

Communications — 3.4%

Advertising — 0.5%

Advantage Solutions, Inc. (a)

    67,419       143,603  

Boston Omaha Corp. Class A (a)

    19,960       459,878  

The Trade Desk, Inc. Class A (a)

    39,900       2,384,025  
              2,987,506  

Internet — 0.6%

Bumble, Inc. Class A (a)

    14,599       313,733  

Deliveroo PLC (a) (c)

    146,067       136,979  

Farfetch Ltd. Class A (a)

    59,019       439,692  

Figs, Inc. Class A (a) (b)

    28,884       238,293  

Match Group, Inc. (a)

    9,900       472,725  

Open Lending Corp. Class A (a)

    100,599       808,816  

Opendoor Technologies, Inc. (a)

    41,650       129,531  

Poshmark, Inc. Class A (a)

    12,732       199,510  

 

   

Number of
Shares

    

Value

  

Rover Group, Inc., Earnout Shares 16.00 (Acquired 8/02/21, Cost $0) (a) (d) (e) (f)

    15,883     $ 331  

Spotify Technology SA (a)

    8,900       768,070  

Upwork, Inc. (a)

    16,133       219,731  
              3,727,411  

Media — 1.6%

Cable One, Inc.

    1,947       1,660,888  

DISH Network Corp. Class A (a)

    44,484       615,214  

Fox Corp. Class A

    9,710       297,903  

Liberty Media Corp-Liberty Formula One Class C (a)

    28,800       1,684,800  

News Corp. Class A

    237,060       3,581,977  

Paramount Global Class B (b)

    79,776       1,518,935  

Saga Communications, Inc. Class A

    4,594       120,133  

Scholastic Corp.

    45,652       1,404,255  
              10,884,105  

Telecommunications — 0.7%

Arista Networks, Inc. (a)

    8,377       945,680  

Corning, Inc.

    62,724       1,820,250  

DigitalBridge Group, Inc. (b)

    33,452       418,485  

Harmonic, Inc. (a)

    73,709       963,377  

Infinera Corp. (a) (b)

    6,488       31,402  

Motorola Solutions, Inc.

    3,587       803,380  
              4,982,574  
              22,581,596  

Consumer, Cyclical — 9.7%

Airlines — 0.5%

Allegiant Travel Co. (a)

    8,061       588,292  

Southwest Airlines Co. (a)

    85,972       2,651,376  

Sun Country Airlines Holdings, Inc. (a)

    10,891       148,227  
              3,387,895  

Apparel — 0.7%

adidas AG

    2,881       334,342  

Deckers Outdoor Corp. (a)

    1,700       531,437  

On Holding AG, Class A (a)

    10,472       168,076  

Ralph Lauren Corp.

    30,181       2,563,272  

Skechers U.S.A., Inc. Class A (a)

    17,306       548,946  

Steven Madden Ltd.

    15,878       423,466  
              4,569,539  

Auto Manufacturers — 1.0%

Blue Bird Corp. (a)

    13,328       111,289  

General Motors Co.

    51,862       1,664,252  

PACCAR, Inc.

    33,495       2,803,196  

Rivian Automotive, Inc. Class A (a)

    56,788       1,868,893  
              6,447,630  

 

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

  

Auto Parts & Equipment — 0.1%

Dorman Products, Inc. (a)

    6,010     $ 493,541  

Visteon Corp. (a)

    3,371       357,529  
              851,070  

Distribution & Wholesale — 0.5%

IAA, Inc. (a)

    12,177       387,837  

Pool Corp.

    328       104,373  

SiteOne Landscape Supply, Inc. (a)

    20,584       2,143,618  

ThredUp, Inc. Class A (a)

    25,521       46,959  

Univar Solutions, Inc. (a)

    24,942       567,181  
              3,249,968  

Entertainment — 0.6%

Cinemark Holdings, Inc. (a)

    16,212       196,327  

DraftKings, Inc. Class A (a)

    27,300       413,322  

Genius Sports Ltd. (a)

    15,822       58,067  

Madison Square Garden Entertainment Corp. (a)

    14,049       619,421  

Madison Square Garden Sports Corp. (a)

    4,604       629,183  

Marriott Vacations Worldwide Corp.

    6,456       786,728  

Red Rock Resorts, Inc. Class A

    4,601       157,630  

Vail Resorts, Inc.

    5,000       1,078,200  
              3,938,878  

Food Services — 0.2%

Compass Group PLC

    67,998       1,359,226  

Home Builders — 0.4%

Cavco Industries, Inc. (a)

    5,028       1,034,561  

Horizon Global Corp. (a)

    39,691       48,820  

LCI Industries

    3,585       363,734  

Meritage Home Corp. (a)

    9,457       664,543  

Skyline Champion Corp. (a)

    12,796       676,525  
              2,788,183  

Housewares — 0.1%

The Scotts Miracle-Gro Co.

    17,639       754,067  

Leisure Time — 0.0%

Rad Power Bikes, Inc., Class A (Acquired 1/22/21, Cost $69,082) (a) (d) (e) (f)

    14,321       87,072  

Lodging — 0.7%

Hilton Worldwide Holdings, Inc.

    22,200       2,677,764  

MGM Resorts International

    59,800       1,777,256  

Wyndham Hotels & Resorts, Inc.

    5,900       361,965  
              4,816,985  

Retail — 4.9%

Bath & Body Works, Inc.

    44,428       1,448,353  

Beacon Roofing Supply, Inc. (a)

    25,958       1,420,422  

Best Buy Co., Inc.

    19,236       1,218,408  

BJ’s Restaurants, Inc. (a)

    25,908       617,906  

 

   

Number of
Shares

    

Value

  

Burlington Stores, Inc. (a)

    37,955     $ 4,246,785  

Casey’s General Stores, Inc.

    9,900       2,004,948  

Chipotle Mexican Grill, Inc. (a)

    1,520       2,284,195  

Chuy’s Holdings, Inc. (a)

    16,292       377,649  

Dollar General Corp.

    9,900       2,374,614  

Dollar Tree, Inc. (a)

    13,200       1,796,520  

Domino’s Pizza, Inc.

    3,950       1,225,290  

Dutch Bros, Inc., Class A (a) (b)

    4,763       148,367  

Fiesta Restaurant Group, Inc. (a)

    31,292       198,391  

Five Below, Inc. (a)

    8,839       1,216,865  

Floor & Decor Holdings, Inc. Class A (a)

    19,500       1,370,070  

Framebridge Future Contingency Payments (Acquired 5/19/20-11/10/20, Cost $10,553) (a) (d) (e) (f)

    10,553       3,170  

Hibbett, Inc.

    3,006       149,729  

LL Flooring Holdings, Inc. (a)

    26,112       180,956  

Lululemon Athletica, Inc. (a)

    1,300       363,428  

O’Reilly Automotive, Inc. (a)

    2,300       1,617,705  

Ollie’s Bargain Outlet Holdings, Inc. (a)

    26,296       1,356,874  

Papa John’s International, Inc.

    22,992       1,609,670  

Petco Health & Wellness Co., Inc. (a)

    19,082       212,955  

Red Robin Gourmet Burgers, Inc. (a)

    8,196       55,159  

RH (a)

    1,026       252,468  

Ross Stores, Inc.

    8,700       733,149  

Rush Enterprises, Inc. Class A

    12,573       551,452  

Ruth’s Hospitality Group, Inc.

    14,708       247,977  

Sweetgreen, Inc. Class A (a) (b)

    38,118       705,183  

Warby Parker, Inc. Class A (a)

    61,400       819,076  

Wingstop, Inc.

    8,415       1,055,409  

Winmark Corp.

    2,566       555,128  

Yum! Brands, Inc.

    800       85,072  
              32,503,343  

Textiles — 0.0%

Bombas LLC. (Acquired 2/12/21, Cost $183,470) (a) (d) (e) (f)

    41,514       203,419  
              64,957,275  

Consumer, Non-cyclical — 25.1%

Agriculture — 0.3%

Bunge Ltd.

    19,961       1,648,180  

Pax Labs, Inc., Class A (Acquired 4/18/19, Cost $218,578) (a) (d) (e) (f)

    58,048       38,312  
              1,686,492  

Beverages — 1.0%

The Boston Beer Co., Inc. Class A (a)

    6,441       2,084,630  

Carlsberg A/S Class B

    13,881       1,619,628  

Coca-Cola Consolidated, Inc.

    2,004       825,107  

Constellation Brands, Inc. Class A

    2,952       678,015  

 

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

  

Monster Beverage Corp. (a)

    14,621     $ 1,271,442  
              6,478,822  

Biotechnology — 4.8%

Abcam PLC (a)

    28,992       432,491  

Abcam PLC Sponsored ADR (a) (b)

    27,805       416,797  

ACADIA Pharmaceuticals, Inc. (a)

    5,227       85,514  

Akero Therapeutics, Inc. (a) (b)

    3,405       115,940  

Allogene Therapeutics, Inc. (a) (b)

    10,030       108,324  

Alnylam Pharmaceuticals, Inc. (a)

    15,497       3,101,880  

Apellis Pharmaceuticals, Inc. (a)

    34,534       2,358,672  

Argenx SE ADR (a)

    12,559       4,433,955  

Avid Bioservices, Inc. (a)

    10,600       202,672  

Avidity Biosciences, Inc. (a) (b)

    31,121       508,206  

BeiGene Ltd. ADR (a)

    759       102,328  

Bicycle Therapeutics PLC ADR (a) (b)

    831       19,329  

Blueprint Medicines Corp. (a)

    19,944       1,314,110  

C4 Therapeutics, Inc. (a)

    10,842       95,084  

Cerevel Therapeutics Holdings, Inc. (a)

    20,056       566,783  

Certara, Inc. (a)

    10,621       141,047  

CinCor Pharma, Inc. (a)

    1,598       52,446  

Corteva, Inc.

    28,662       1,638,033  

CRISPR Therapeutics AG (a) (b)

    11,753       768,059  

Day One Biopharmaceuticals, Inc. (a)

    4,153       83,185  

Denali Therapeutics, Inc. (a)

    8,819       270,655  

DICE Therapeutics, Inc. (a)

    5,194       105,334  

Entrada Therapeutics, Inc. (a) (b)

    6,271       98,831  

Exelixis, Inc. (a)

    27,657       433,662  

Exscientia PLC (a) (b)

    1,673       13,735  

Fate Therapeutics, Inc. (a) (b)

    6,240       139,838  

Generation Bio Co., (a)

    34,221       181,714  

HilleVax, Inc. (a)

    7,986       136,481  

Icosavax, Inc. (a) (b)

    22,585       71,369  

Ideaya Biosciences, Inc. (a)

    4,901       73,123  

IGM Biosciences, Inc. (a) (b)

    9,048       205,752  

Imago Biosciences, Inc. (a) (b)

    3,324       50,026  

Incyte Corp. (a)

    1,863       124,150  

Insmed, Inc. (a)

    66,182       1,425,560  

Intellia Therapeutics, Inc. (a)

    5,830       326,247  

Ionis Pharmaceuticals, Inc. (a)

    49,558       2,191,950  

Iovance Biotherapeutics, Inc. (a)

    4,659       44,633  

IVERIC bio, Inc. (a)

    3,670       65,840  

Karuna Therapeutics, Inc. (a)

    7,565       1,701,595  

Kymera Therapeutics, Inc. (a)

    22,224       483,817  

MacroGenics, Inc. (a)

    20,074       69,456  

MeiraGTx Holdings PLC (a)

    5,622       47,281  

Mirati Therapeutics, Inc. (a)

    1,414       98,754  

Monte Rosa Therapeutics, Inc. (a)

    18,919       154,568  

NeoGenomics, Inc. (a)

    17,674       152,173  

 

   

Number of
Shares

    

Value

  

Nkarta, Inc. (a)

    25,929     $ 341,226  

Nurix Therapeutics, Inc. (a)

    15,020       195,711  

Olink Holding AB ADR (a) (b)

    17,080       207,351  

Pardes Biosciences, Inc. (a)

    882       1,632  

Pliant Therapeutics, Inc. (a)

    1,800       37,602  

Prothena Corp. PLC (a)

    13,401       812,503  

PTC Therapeutics, Inc. (a)

    2,845       142,819  

RAPT Therapeutics, Inc. (a)

    13,234       318,410  

Relay Therapeutics, Inc. (a)

    20,964       468,965  

Replimune Group, Inc. (a)

    16,190       279,601  

Revolution Medicines, Inc. (a)

    4,846       95,563  

Rocket Pharmaceuticals, Inc. (a)

    1,734       27,675  

Sage Therapeutics, Inc. (a)

    2,521       98,722  

Sana Biotechnology, Inc. (a) (b)

    4,453       26,718  

Scholar Rock Holding Corp. (a)

    27,439       190,152  

Seagen, Inc. (a)

    5,300       725,199  

Seer, Inc. (a)

    15,259       118,105  

Senti Biosciences, Inc. (a)

    5,462       11,853  

Syndax Pharmaceuticals, Inc. (a)

    6,228       149,659  

Tenaya Therapeutics, Inc. (a)

    15,277       44,303  

Twist Bioscience Corp. (a)

    3,772       132,925  

Ultragenyx Pharmaceutical, Inc. (a)

    18,563       768,694  

Ventyx Biosciences, Inc. (a)

    1,275       44,510  

Verve Therapeutics, Inc. (a)

    8,509       292,284  

Xencor, Inc. (a)

    28,938       751,809  

Zai Lab Ltd. ADR (a)

    2,756       94,255  

Zentalis Pharmaceuticals, Inc. (a)

    17,253       373,700  
              31,963,345  

Commercial Services — 5.5%

ABM Industries, Inc.

    5,382       205,754  

Altus Group Ltd. (b)

    3,533       114,531  

American Public Education, Inc. (a)

    14,556       133,042  

Ashtead Group PLC

    21,484       959,172  

Booz Allen Hamilton Holding Corp.

    31,689       2,926,479  

Bright Horizons Family Solutions, Inc. (a)

    34,507       1,989,329  

Clarivate PLC (a)

    114,480       1,074,967  

CoStar Group, Inc. (a)

    47,048       3,276,893  

Equifax, Inc.

    11,300       1,937,159  

FleetCor Technologies, Inc. (a)

    11,700       2,061,189  

FTI Consulting, Inc. (a)

    1,765       292,478  

Global Payments, Inc.

    10,404       1,124,152  

Green Dot Corp. Class A (a)

    14,521       275,609  

Herc Holdings, Inc.

    1,211       125,799  

Huron Consulting Group, Inc. (a)

    4,914       325,553  

Legalzoom.com Inc. (a) (b)

    14,353       123,005  

MarketAxess Holdings, Inc.

    6,575       1,462,872  

Monro, Inc.

    24,527       1,065,943  

Multiplan Corp. (a) (b)

    150,201       429,575  

 

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)

 

   

Number of
Shares

    

Value

  

Paylocity Holding Corp. (a)

    24,364     $ 5,885,855  

Payoneer Global, Inc. (a)

    137,986       834,815  

PROG Holdings, Inc. (a)

    11,025       165,155  

Rent the Runway, Inc. Class A (a)

    14,550       32,010  

Rentokil Initial PLC

    251,406       1,327,523  

SEACOR Marine Holdings Inc. (a)

    50,253       282,422  

Strategic Education, Inc.

    29,766       1,827,930  

Toast, Inc., Class A (a)

    150,164       2,510,742  

TransUnion

    23,400       1,392,066  

United Rentals, Inc. (a)

    2,600       702,312  

Verisk Analytics, Inc.

    9,200       1,568,876  

WillScot Mobile Mini Holdings Corp. (a)

    5,865       236,535  
              36,669,742  

Cosmetics & Personal Care — 0.0%

Olaplex Holdings, Inc. (a)

    5,448       52,028  

Food — 1.9%

Cal-Maine Foods, Inc.

    6,797       377,845  

Campbell Soup Co.

    31,486       1,483,621  

Flowers Foods, Inc.

    150,541       3,716,857  

Grocery Outlet Holding Corp. (a)

    904       30,094  

Nomad Foods Ltd. (a)

    62,204       883,297  

Post Holdings, Inc. (a)

    13,821       1,132,078  

The Simply Good Foods Co. (a)

    16,404       524,764  

Sysco Corp.

    37,690       2,665,060  

TreeHouse Foods, Inc. (a)

    25,430       1,078,741  

Utz Brands, Inc.

    48,242       728,454  
              12,620,811  

Health Care – Products — 5.6%

Adaptive Biotechnologies Corp. (a)

    3,894       27,725  

Alcon, Inc.

    21,000       1,221,780  

AtriCure, Inc. (a)

    7,996       312,644  

Atrion Corp.

    940       531,100  

Avantor, Inc. (a)

    109,800       2,152,080  

Bruker Corp.

    62,613       3,322,246  

The Cooper Cos., Inc.

    7,800       2,058,420  

Cvrx, Inc. (a) (b)

    4,148       38,701  

Dentsply Sirona, Inc.

    69,615       1,973,585  

Exact Sciences Corp. (a)

    10,000       324,900  

Hologic, Inc. (a)

    92,455       5,965,197  

ICU Medical, Inc. (a)

    10,524       1,584,914  

Koninklijke Philips NV

    112,001       1,730,029  

Lantheus Holdings, Inc. (a)

    7,562       531,836  

Nevro Corp. (a)

    3,797       176,940  

Novocure Ltd. (a)

    1,539       116,933  

Pacific Biosciences of California, Inc. (a) (b)

    53,549       310,852  

Penumbra, Inc. (a)

    2,476       469,450  

 

   

Number of
Shares

    

Value

  

PROCEPT BioRobotics Corp. (a)

    17,229     $ 714,314  

Quidelortho Corp. (a)

    25,756       1,841,039  

Rapid Micro Biosystems, Inc., Class A (a) (b)

    16,139       52,129  

Repligen Corp. (a)

    8,616       1,612,140  

Sartorius Stedim Biotech

    933       285,211  

Shockwave Medical, Inc. (a)

    1,363       379,010  

Teleflex, Inc.

    16,740       3,372,440  

Utah Medical Products, Inc.

    3,032       258,660  

West Pharmaceutical Services, Inc.

    11,579       2,849,360  

Zimmer Biomet Holdings, Inc.

    27,268       2,850,869  
              37,064,504  

Health Care – Services — 3.2%

Acadia Healthcare Co., Inc. (a)

    31,900       2,493,942  

Agiliti, Inc. (a) (b)

    23,415       335,069  

agilon health, Inc. (a)

    9,461       221,577  

Catalent, Inc. (a)

    47,612       3,445,204  

Centene Corp. (a)

    23,839       1,854,912  

Charles River Laboratories International, Inc. (a)

    7,676       1,510,637  

dentalcorp Holdings Ltd. (a)

    18,724       107,761  

The Ensign Group, Inc.

    8,148       647,766  

Eurofins Scientific SE

    8,516       504,988  

Flame Biosciences, Inc. (Acquired 9/28/20, Cost $60,083) (a) (d) (e) (f)

    9,173       42,104  

Fresenius SE & Co. KGaA

    36,702       786,129  

Innovage Holding Corp. (a) (b)

    41,040       241,315  

ModivCare, Inc. (a)

    5,707       568,874  

Molina Healthcare, Inc. (a)

    9,312       3,071,470  

The Pennant Group, Inc. (a)

    29,722       309,406  

Select Medical Holdings Corp.

    222,692       4,921,493  

Surgery Partners, Inc. (a)

    6,977       163,262  

U.S. Physical Therapy, Inc.

    5,200       395,304  
              21,621,213  

Household Products & Wares — 0.6%

Avery Dennison Corp.

    12,500       2,033,750  

Kimberly-Clark Corp.

    7,540       848,552  

Reynolds Consumer Products, Inc.

    42,400       1,102,824  
              3,985,126  

Pharmaceuticals — 2.2%

Agios Pharmaceuticals, Inc. (a)

    7,849       221,970  

Alector, Inc. (a)

    2,225       21,049  

Alkermes PLC (a)

    45,730       1,021,151  

Arvinas, Inc. (a)

    10,884       484,229  

Ascendis Pharma A/S ADR (a)

    15,973       1,649,372  

BellRing Brands, Inc. (a)

    41,015       845,319  

Cardinal Health, Inc.

    47,994       3,200,240  

Centessa Pharmaceuticals PLC ADR (a) (b)

    3,637       14,621  

 

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

 

97

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Elanco Animal Health, Inc. (a)

    58,871     $ 730,589  

Embecta Corp.

    22,903       659,377  

Enanta Pharmaceuticals, Inc. (a)

    228       11,826  

Galapagos NV (a)

    12,860       550,278  

Gyroscope Therapeutics, Milesone Payment 1 (Acquired 2/18/22, Cost $31,900) (a) (d) (e) (f)

    31,900       11,076  

Gyroscope Therapeutics, Milesone Payment 2 (Acquired 2/18/22, Cost $21,260) (a) (d) (e) (f)

    21,260       3,076  

Gyroscope Therapeutics, Milesone Payment 3 (Acquired 2/18/22, Cost $21,260) (a) (d) (e) (f)

    21,260       2,564  

Immuneering Corp. Class A (a)

    8,525       122,078  

Kura Oncology, Inc. (a)

    18,875       257,832  

Longboard Pharmaceuticals, Inc. (a)

    3,060       11,383  

Lyell Immunopharma, Inc. (a)

    7,678       56,280  

Morphic Holding, Inc. (a)

    6,791       192,185  

Neurocrine Biosciences, Inc. (a)

    4,757       505,241  

Option Care Health, Inc. (a)

    52,921       1,665,424  

Patterson Cos., Inc.

    60,882       1,462,386  

Perrigo Co. PLC

    5,800       206,828  

Prometheus Biosciences, Inc. (a)

    2,850       168,179  

Reata Pharmaceuticals, Inc. Class A (a) (b)

    3,018       75,842  

Repare Therapeutics, Inc. (a) (b)

    12,511       151,758  

Viatris, Inc.

    64,758       551,738  
              14,853,891  
              166,995,974  

Diversified — 0.2%

Holding Companies-Diversified — 0.0%

Dynamics Special Purpose Corp., Founders Shares (Acquired 12/22/21, Cost $0) (a) (d) (e)

    607       1,251  

Holding Company – Diversified — 0.2%

Big Sky Growth Partners, Inc. (a)

    32,563       318,140  

Conyers Park III Acquisition Corp. (a)

    31,244       305,254  

KKR Acquisition Holdings I Corp. (a)

    24,852       245,041  

Post Holdings Partnering Corp. (a)

    21,493       208,912  

Professional Holding Corp. Class A (a)

    4,276       110,919  

Revolution Healthcare Acquisition Corp. (a)

    8,585       84,305  
              1,272,571  
              1,273,822  

Energy — 4.1%

Energy – Alternate Sources — 0.4%

Array Technologies, Inc. (a)

    16,428       272,376  

NextEra Energy Partners LP

    13,475       974,377  

REX American Resources Corp. (a)

    4,659       130,079  

 

   

Number of
Shares

    

Value

  

Shoals Technologies Group, Inc. Class A (a)

    47,563     $ 1,024,983  
              2,401,815  

Oil & Gas — 1.4%

Advantage Energy Ltd. (a)

    68,447       492,040  

Canadian Natural Resources Ltd.

    17,648       821,867  

Coterra Energy, Inc.

    29,700       775,764  

Devon Energy Corp.

    15,412       926,724  

Diamondback Energy, Inc.

    7,811       940,913  

Imperial Oil Ltd.

    22,829       987,811  

Kimbell Royalty Partners LP

    13,195       224,051  

Magnolia Oil & Gas Corp. Class A

    101,824       2,017,133  

Matador Resources Co.

    23,391       1,144,288  

Pioneer Natural Resources Co.

    4,900       1,060,997  

Venture Global LNG, Inc., Series B (Acquired 3/08/18, Cost $33,220) (a) (d) (e) (f)

    11       162,748  

Venture Global LNG, Inc., Series C (Acquired 3/08/18, Cost $27,180) (a) (d) (e) (f)

    9       133,157  
              9,687,493  

Oil & Gas Services — 1.7%

Aris Water Solution, Inc. Class A

    20,801       265,421  

ChampionX Corp.

    25,115       491,500  

Enerflex Ltd. (b)

    59,604       255,874  

Expro Group Holdings NV (a)

    126,425       1,610,654  

Liberty Energy, Inc. (a)

    72,364       917,575  

NexTier Oilfield Solutions, Inc. (a)

    68,274       505,228  

Nov, Inc.

    73,942       1,196,382  

Ranger Energy Services, Inc. (a)

    32,296       315,855  

TechnipFMC PLC (a)

    500,636       4,235,381  

Tidewater, Inc. (a)

    73,306       1,590,740  
              11,384,610  

Pipelines — 0.6%

Cheniere Energy, Inc.

    9,900       1,642,509  

Equitrans Midstream Corp.

    317,421       2,374,309  
              4,016,818  
              27,490,736  

Financial — 17.1%

Banks — 6.6%

BankUnited, Inc.

    45,328       1,548,858  

Blue Foundry Bancorp (a)

    20,556       229,199  

Burke & Herbert Bank & Trust Co.

    98       220,500  

Cadence Bank

    22,038       559,986  

Coastal Financial Corp. (a)

    5,001       198,740  

Columbia Banking System, Inc.

    25,983       750,649  

CRB Group, Inc. (Acquired 4/14/22, Cost $73,283) (a) (d) (e) (f)

    697       73,283  

 

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

 

98

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

CrossFirst Bankshares, Inc. (a)

    31,022     $ 404,837  

Dime Community Bancshares, Inc.

    15,759       461,424  

Dogwood State Bank, (Non-Voting) (Acquired 5/06/19, Cost $53,690) (a) (d) (e) (f)

    5,369       96,642  

Dogwood State Bank, (Voting) (Acquired 5/06/19, Cost $26,370) (a) (d) (e) (f)

    2,637       47,466  

East West Bancorp, Inc.

    16,539       1,110,428  

Eastern Bankshares, Inc.

    18,882       370,842  

Equity Bancshares, Inc. Class A

    9,517       281,989  

Farmers & Merchants Bank of Long Beach/Long Beach CA (b)

    31       241,800  

FB Financial Corp.

    31,018       1,185,198  

Fifth Third Bancorp

    108,199       3,458,040  

The First Bancshares, Inc.

    19,085       570,069  

Five Star Bancorp

    9,617       272,738  

Glacier Bancorp, Inc.

    11,500       564,995  

HarborOne Bancorp, Inc.

    35,190       472,250  

Heritage Commerce Corp.

    37,932       430,149  

Home BancShares, Inc.

    62,295       1,402,260  

Independent Bank Corp.

    11,472       855,008  

Independent Bank Group, Inc.

    10,746       659,697  

John Marshall Bancorp, Inc. (b)

    11,333       278,338  

Kearny Financial Corp.

    48,462       514,666  

Live Oak Bancshares, Inc.

    43,115       1,319,319  

Metropolitan Bank Holding Corp. (a)

    2,773       178,470  

National Bank Holdings Corp. Class A

    19,200       710,208  

Origin Bancorp, Inc.

    21,334       820,719  

P10, Inc.

    26,284       276,508  

PCSB Financial Corp.

    6,520       116,904  

Pinnacle Financial Partners, Inc.

    23,901       1,938,371  

Ponce Financial Group, Inc. (a) (b)

    21,067       192,974  

Popular, Inc.

    41,103       2,961,882  

Preferred Bank

    8,200       534,886  

Provident Bancorp, Inc.

    13,162       188,348  

Sandy Spring Bancorp, Inc.

    16,551       583,588  

Signature Bank

    15,310       2,311,810  

Southern First Bancshares, Inc. (a)

    4,406       183,554  

SouthState Corp.

    21,250       1,681,300  

State Street Corp.

    58,417       3,552,338  

SVB Financial Group (a)

    892       299,516  

Texas Capital Bancshares, Inc. (a)

    18,696       1,103,625  

Towne Bank

    26,103       700,343  

Veritex Holdings, Inc.

    22,550       599,605  

Walker & Dunlop, Inc.

    5,312       444,774  

Webster Financial Corp.

    55,883       2,525,912  

Westamerica Bancorp.

    19,125       1,000,046  

Western Alliance Bancorp

    36,684       2,411,606  
              43,896,657  

 

   

Number of
Shares

    

Value

  

Diversified Financial Services — 2.0%

Air Lease Corp.

    18,647     $ 578,243  

Apiture, Inc. (Acquired 7/01/20-6/30/22, Cost $97,636) (a) (d) (e) (f)

    6,130       101,865  

Assetmark Financial Holdings, Inc. (a)

    18,299       334,689  

Cboe Global Markets, Inc.

    14,094       1,654,213  

Columbia Financial, Inc. (a)

    8,780       185,521  

Encore Capital Group, Inc. (a)

    6,936       315,449  

Grasshopper Bancorp, Inc. (Acquired 5/02/19, Cost $83,390) (a) (d) (e) (f)

    8,339       33,356  

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

    24,261       726,132  

Houlihan Lokey, Inc.

    9,567       721,160  

Intercontinental Exchange, Inc.

    800       72,280  

Lazard Ltd. Class A

    29,058       924,916  

NerdWallet, Inc. Class A (a)

    13,527       119,984  

OneMain Holdings, Inc.

    24,825       732,834  

OTC Markets Group, Inc. Class A

    4,941       272,002  

PennyMac Financial Services, Inc.

    32,262       1,384,040  

PRA Group, Inc. (a)

    19,501       640,803  

Radian Group, Inc.

    39,075       753,757  

Raymond James Financial, Inc.

    6,750       667,035  

Stash Financial, Inc. (Acquired 1/06/21-1/26/21, Cost $15,690) (a) (d) (e) (f)

    487       17,050  

StepStone Group, Inc. Class A

    36,870       903,684  

TMX Group Ltd.

    4,110       378,048  

Tradeweb Markets, Inc. Class A

    24,100       1,359,722  

Virtus Investment Partners, Inc.

    3,026       482,708  
              13,359,491  

Insurance — 3.7%

Assurant, Inc.

    21,395       3,108,052  

Axis Capital Holdings Ltd.

    41,973       2,062,973  

Brown & Brown, Inc.

    40,229       2,433,050  

BRP Group, Inc. Class A (a)

    37,896       998,560  

CNA Financial Corp.

    47,099       1,737,953  

Essent Group Ltd.

    10,036       349,955  

The Hanover Insurance Group, Inc.

    5,690       729,117  

Jackson Financial, Inc., Class A

    36,895       1,023,836  

James River Group Holdings Ltd.

    23,853       544,087  

Kemper Corp.

    58,457       2,411,936  

Loews Corp.

    48,032       2,393,915  

Marsh & McLennan Cos., Inc.

    6,460       964,413  

Palomar Holdings, Inc. (a)

    7,618       637,779  

ProAssurance Corp.

    15,438       301,195  

RenaissanceRe Holdings Ltd.

    20,613       2,893,859  

Ryan Specialty Holdings, Inc. (a)

    11,082       450,151  

Selective Insurance Group, Inc.

    18,555       1,510,377  
              24,551,208  

 

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

 

99

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Investment Companies — 0.2%

Groupe Bruxelles Lambert NV

    16,707     $ 1,160,983  

Private Equity — 0.3%

KKR & Co., Inc.

    43,400       1,866,200  

Real Estate — 0.6%

eXp World Holdings, Inc. (b)

    7,225       80,992  

FirstService Corp.

    21,524       2,561,571  

McGrath RentCorp

    5,738       481,189  

The St. Joe Co.

    16,326       522,922  

Tricon Residential, Inc.

    78,293       677,234  
              4,323,908  

Real Estate Investment Trusts (REITS) — 3.4%

Apartment Investment and Management Co. Class A

    169,450       1,236,985  

Apple Hospitality REIT, Inc.

    37,771       531,060  

Community Healthcare Trust, Inc.

    7,072       231,608  

CubeSmart

    30,394       1,217,584  

EastGroup Properties, Inc.

    14,971       2,160,914  

Equity Commonwealth

    82,713       2,014,889  

Equity Residential

    13,587       913,318  

Essential Properties Realty Trust, Inc.

    26,009       505,875  

First Industrial Realty Trust, Inc.

    7,828       350,773  

Flagship Communities

    5,389       80,781  

Independence Realty Trust, Inc.

    3,600       60,228  

JBG SMITH Properties

    44,175       820,771  

NexPoint Diversified Real Estate Trust

    4,387       55,057  

NexPoint Residential Trust, Inc.

    2,076       95,932  

Omega Healthcare Investors, Inc.

    9,421       277,825  

Pebblebrook Hotel Trust

    28,341       411,228  

PennyMac Mortgage Investment Trust (b)

    31,955       376,430  

PotlatchDeltic Corp.

    12,807       525,599  

Rayonier, Inc.

    55,780       1,671,727  

Regency Centers Corp.

    27,555       1,483,837  

Rexford Industrial Realty, Inc.

    29,822       1,550,744  

Safehold, Inc. (b)

    12,797       338,609  

Saul Centers, Inc.

    15,030       563,625  

SBA Communications Corp.

    762       216,903  

Simon Property Group, Inc.

    1,846       165,678  

Terreno Realty Corp.

    26,874       1,424,053  

UMH Properties, Inc.

    5,163       83,382  

Vornado Realty Trust

    34,098       789,710  

Washington Real Estate Investment Trust

    34,829       611,597  

Weyerhaeuser Co.

    58,751       1,677,929  
              22,444,651  

 

   

Number of
Shares

    

Value

  

Savings & Loans — 0.3%

Capitol Federal Financial, Inc.

    24,111     $ 200,121  

FS Bancorp, Inc.

    6,123       166,913  

Pacific Premier Bancorp, Inc.

    29,909       925,983  

WSFS Financial Corp.

    20,974       974,452  
              2,267,469  
              113,870,567  

Industrial — 15.3%

Aerospace & Defense — 0.8%

Rolls-Royce Holdings PLC (a)

    1,658,880       1,274,842  

Spirit AeroSystems Holdings, Inc. Class A

    59,645       1,307,418  

Teledyne Technologies, Inc. (a)

    6,691       2,258,012  

Triumph Group, Inc. (a)

    62,533       537,159  
              5,377,431  

Building Materials — 1.5%

Gibraltar Industries, Inc. (a)

    9,742       398,740  

JELD-WEN Holding, Inc. (a)

    16,793       146,939  

Martin Marietta Materials, Inc.

    5,831       1,878,107  

Mohawk Industries, Inc. (a)

    15,049       1,372,318  

SPX Technologies, Inc. (a)

    24,424       1,348,693  

Summit Materials, Inc. Class A (a)

    80,689       1,933,308  

Trex Co., Inc. (a)

    12,897       566,694  

UFP Industries, Inc.

    12,972       936,060  

Vulcan Materials Co.

    7,301       1,151,441  
              9,732,300  

Electrical Components & Equipment — 0.5%

Belden, Inc.

    18,047       1,083,181  

Insteel Industries, Inc.

    5,411       143,554  

Littelfuse, Inc.

    8,811       1,750,658  

Novanta, Inc. (a)

    4,599       531,874  
              3,509,267  

Electronics — 2.4%

Agilent Technologies, Inc.

    31,000       3,768,050  

Amphenol Corp. Class A

    18,200       1,218,672  

Brady Corp. Class A

    14,070       587,141  

CTS Corp.

    18,843       784,811  

Fortive Corp.

    39,900       2,326,170  

Hubbell, Inc.

    4,137       922,551  

Keysight Technologies, Inc. (a)

    17,100       2,690,856  

Knowles Corp. (a)

    14,591       177,572  

National Instruments Corp.

    86,189       3,252,773  
              15,728,596  

Environmental Controls — 0.5%

Stericycle, Inc. (a)

    18,372       773,645  

Tetra Tech, Inc.

    4,525       581,598  

Waste Connections, Inc.

    12,379       1,672,774  
              3,028,017  

 

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

 

100

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Hand & Machine Tools — 0.6%

Cadre Holdings, Inc.

    7,823     $ 188,221  

Enerpac Tool Group Corp.

    42,488       757,561  

MSA Safety, Inc.

    5,893       643,987  

Regal Rexnord Corp.

    7,824       1,098,177  

Stanley Black & Decker, Inc.

    17,505       1,316,551  
              4,004,497  

Machinery – Construction & Mining — 0.1%

BWX Technologies, Inc.

    13,500       679,995  

Machinery – Diversified — 2.9%

Alamo Group, Inc.

    3,162       386,618  

Cactus, Inc. Class A

    20,572       790,582  

CIRCOR International, Inc. (a)

    21,597       356,134  

Cognex Corp.

    16,800       696,360  

CSW Industrials, Inc.

    8,700       1,042,260  

Enovis Corp. (a)

    19,833       913,706  

Esab Corp.

    24,146       805,511  

Graco, Inc.

    10,625       636,969  

Hydrofarm Holdings Group, Inc. (a)

    1,646       3,193  

IDEX Corp.

    13,133       2,624,630  

Ingersoll Rand, Inc.

    149,062       6,448,422  

Marel HF

    27,870       86,424  

The Middleby Corp. (a)

    6,834       875,914  

Mueller Water Products, Inc. Class A

    38,781       398,281  

Rockwell Automation, Inc.

    5,767       1,240,539  

Thermon Group Holdings, Inc. (a)

    24,000       369,840  

The Toro Co.

    15,591       1,348,310  

Zurn Elkay Water Solutions Corp.

    16,325       399,962  
              19,423,655  

Metal Fabricate & Hardware — 1.0%

AZZ, Inc.

    15,949       582,298  

Helios Technologies, Inc.

    17,979       909,737  

RBC Bearings, Inc. (a)

    12,740       2,647,499  

Strattec Security Corp. (a)

    3,912       81,370  

Valmont Industries, Inc.

    2,333       626,691  

Xometry, Inc. Class A (a)

    31,977       1,815,974  
              6,663,569  

Miscellaneous - Manufacturing — 2.0%

Alstom SA

    46,366       745,575  

ESCO Technologies, Inc.

    16,654       1,223,070  

Federal Signal Corp.

    16,027       598,128  

Haynes International, Inc.

    10,135       355,941  

John Bean Technologies Corp.

    8,402       722,572  

Myers Industries, Inc.

    27,235       448,560  

Textron, Inc.

    128,628       7,493,867  

Trane Technologies PLC

    11,463       1,659,957  
              13,247,670  

 

   

Number of
Shares

    

Value

  

Packaging & Containers — 0.9%

Ball Corp.

    71,902     $ 3,474,305  

Ranpak Holdings Corp. (a)

    8,272       28,290  

Sealed Air Corp.

    35,400       1,575,654  

WestRock Co.

    35,637       1,100,827  
              6,179,076  

Transportation — 2.1%

C.H. Robinson Worldwide, Inc.

    17,473       1,682,825  

International Seaways, Inc.

    9,303       326,814  

J.B. Hunt Transport Services, Inc.

    36,108       5,648,013  

Landstar System, Inc.

    8,353       1,205,923  

Matson, Inc.

    167       10,274  

Old Dominion Freight Line, Inc.

    12,317       3,064,100  

Saia, Inc. (a)

    11,044       2,098,360  

US Xpress Enterprises, Inc. Class A (a) (b)

    23,308       57,338  
              14,093,647  
              101,667,720  

Technology — 12.1%

Computers — 1.8%

Coalition, Inc. (Acquired 9/13/21, Cost $4,230) (a) (d) (e) (f)

    256       5,513  

Conduent, Inc. (a)

    49,081       163,930  

Crowdstrike Holdings, Inc. Class A (a)

    7,600       1,252,556  

Endava PLC Sponsored ADR (a)

    21,036       1,696,133  

Fortinet, Inc. (a)

    53,200       2,613,716  

Globant SA (a)

    7,624       1,426,298  

Leidos Holdings, Inc.

    7,200       629,784  

PAR Technology Corp. (a) (b)

    19,994       590,423  

Parsons Corp. (a)

    27,949       1,095,601  

Thoughtworks Holding, Inc. (a)

    3,392       35,582  

Western Digital Corp. (a)

    69,331       2,256,724  
              11,766,260  

Semiconductors — 3.0%

Entegris, Inc.

    43,053       3,574,260  

KLA Corp.

    8,400       2,542,092  

Lattice Semiconductor Corp. (a)

    55,818       2,746,804  

MACOM Technology Solutions Holdings, Inc. (a)

    5,815       301,159  

Marvell Technology, Inc.

    111,196       4,771,420  

MaxLinear, Inc. (a)

    9,875       322,123  

Microchip Technology, Inc.

    74,100       4,522,323  

Monolithic Power Systems, Inc.

    232       84,309  

Onto Innovation, Inc. (a)

    11,049       707,688  

Wolfspeed, Inc. (a)

    4,000       413,440  
              19,985,618  

 

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

 

101

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Software — 7.3%

Agilysys, Inc. (a)

    3,617     $ 200,201  

Alignment Healthcare, Inc. (a)

    54,053       639,987  

Amplitude, Inc. (a) (b)

    12,844       198,697  

Atlassian Corp. PLC Class A (a)

    23,377       4,922,962  

Bill.com Holdings, Inc. (a)

    13,631       1,804,335  

Black Knight, Inc. (a)

    26,700       1,728,291  

Blackline, Inc. (a)

    6,272       375,693  

Braze, Inc. (a)

    3,450       120,163  

Broadridge Financial Solutions, Inc.

    4,000       577,280  

CCC Intelligent Solutions Holdings, Inc. (a)

    97,484       887,104  

Ceridian HCM Holding, Inc. (a)

    35,194       1,966,641  

Checkr, Inc. (Acquired 6/29/18-12/02/19, Cost $116,452) (a) (d) (e) (f)

    15,444       118,919  

Clear Secure Inc. Class A (a) (b)

    53,952       1,233,343  

Clearwater Analytics Holdings, Inc. Class A (a)

    14,030       235,564  

Coupa Software, Inc. (a)

    8,670       509,796  

Databricks, Inc. (Acquired 7/24/20-8/28/20, Cost $24,732) (a) (d) (e) (f)

    1,545       85,428  

Datadog, Inc. Class A (a)

    10,618       942,666  

Definitive Healthcare Corp. (a)

    8,670       134,732  

The Descartes Systems Group, Inc. (a)

    37,567       2,386,631  

DocuSign, Inc. (a)

    8,200       438,454  

DoubleVerify Holdings, Inc. (a)

    37,466       1,024,695  

Doximity, Inc. Class A (a) (b)

    21,851       660,337  

Duolingo, Inc. (a)

    7,033       669,753  

Fair Isaac Corp. (a)

    3,000       1,236,030  

Five9, Inc. (a)

    2,371       177,778  

Ginkgo Bioworks, Inc., Earnout Shares 15.00 (Acquired 9/17/21, Cost $0) (a) (d) (e) (f)

    874       1,045  

Ginkgo Bioworks, Inc., Earnout Shares 17.50 (Acquired 9/17/21, Cost $0) (a) (d) (e) (f)

    874       954  

Ginkgo Bioworks, Inc., Earnout Shares 20.00 (Acquired 9/17/21, Cost $0) (a) (d) (e) (f)

    874       877  

Gusto, Inc. (Acquired 8/18/20-11/09/20, Cost $204,799) (a) (d) (e) (f)

    15,332       288,702  

HashiCorp, Inc. Class A (a)

    8,042       258,872  

HubSpot, Inc. (a)

    9,539       2,576,675  

Manhattan Associates, Inc. (a)

    4,889       650,384  

Megaport Ltd. (a) (b)

    48,400       234,711  

Monday.com Ltd. (a)

    3,371       382,069  

MongoDB, Inc. (a)

    800       158,848  

MSCI, Inc.

    2,407       1,015,248  

nCino, Inc. (a) (b)

    21,829       744,587  

 

   

Number of
Shares

    

Value

  

Outset Medical, Inc. (a)

    19,330     $ 307,927  

Paycom Software, Inc. (a)

    873       288,081  

Paycor HCM, Inc. (a)

    31,931       943,880  

Phreesia, Inc. (a)

    18,422       469,393  

Privia Health Group, Inc. (a)

    18,578       632,767  

Procore Technologies, Inc. (a)

    16,946       838,488  

PTC, Inc. (a)

    11,500       1,202,900  

Roper Technologies, Inc.

    10,146       3,648,907  

Schrodinger, Inc. (a)

    782       19,534  

SentinelOne Inc. Class A (a)

    15,567       397,892  

ServiceTitan, Inc. (Acquired 11/09/18-5/04/21, Cost $29,280) (a) (d) (e) (f)

    637       43,896  

Socure, Inc. (Acquired 12/22/21, Cost $62,185) (a) (d) (e) (f)

    3,870       47,291  

SS&C Technologies Holdings, Inc

    15,665       748,004  

Synopsys, Inc. (a)

    6,600       2,016,366  

Tanium, Inc., Class B (Acquired 9/24/20, Cost $30,277) (a) (d) (e) (f)

    2,657       20,432  

Themis Solutions, Inc. (Acquired 4/14/21, Cost $108,219) (a) (d) (e) (f)

    4,820       97,846  

Veeva Systems, Inc. Class A (a)

    34,661       5,714,906  

Vimeo, Inc. (a)

    47,482       189,928  

Workiva, Inc. (a)

    10,091       785,080  

Xero Ltd. (a)

    17,878       821,625  
              48,823,595  
              80,575,473  

Utilities — 2.7%

Electric — 1.9%

CenterPoint Energy, Inc.

    32,720       922,050  

FirstEnergy Corp.

    96,774       3,580,638  

IDACORP, Inc.

    20,229       2,002,873  

MGE Energy, Inc.

    16,698       1,095,890  

NorthWestern Corp.

    5,254       258,917  

PG&E Corp. (a)

    372,340       4,654,250  

PNM Resources, Inc.

    10,057       459,907  
              12,974,525  

Gas — 0.6%

Chesapeake Utilities Corp.

    12,906       1,489,223  

ONE Gas, Inc.

    13,960       982,644  

RGC Resources, Inc.

    7,280       153,317  

Southwest Gas Holdings, Inc.

    18,674       1,302,512  
              3,927,696  

Water — 0.2%

Artesian Resources Corp. Class A

    1,393       67,032  

California Water Service Group

    14,731       776,177  

 

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

 

102

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

SJW Group

    11,443     $ 659,118  
              1,502,327  
              18,404,548  
                 

TOTAL COMMON STOCK (Cost $639,383,864)

            616,337,750  
                 

PREFERRED STOCK — 2.4%

Communications — 0.1%

Internet — 0.1%

1661, Inc., Series F (Acquired 5/28/21, Cost $288,836) (a) (d) (e) (f)

    49,629       91,317  

Evolve Vacation Rental Network, Inc., Series 8 (Acquired 3/29/18, Cost $44,816) (a) (d) (e) (f)

    5,266       101,986  

Evolve Vacation Rental Network, Inc., Series 9 (Acquired 5/29/20, Cost $20,111) (a) (d) (e) (f)

    3,470       67,203  

Minted, Inc., Series E (Acquired 10/30/18, Cost $113,257) (a) (d) (e) (f)

    8,410       113,956  

SecurityScorecard, Inc., Series E (Acquired 3/05/21, Cost $262,495) (a) (d) (e) (f)

    51,969       253,609  
              628,071  

Consumer, Cyclical — 0.1%

Auto Manufacturers — 0.1%

Nuro, Inc., Series C, (Acquired 10/30/20-3/02/21, Cost $282,254)

                

(a) (d) (e) (f)

    21,621       450,705  

Nuro, Inc., Series D, (Acquired 10/29/21, Cost $252,025)

                

(a) (d) (e) (f)

    12,090       252,025  
              702,730  

Leisure Time — 0.0%

Rad Power Bikes, Inc., Series C, (Acquired 1/22/21, Cost $69,082)

                

(a) (d) (e) (f)

    14,321       87,072  

Rad Power Bikes, Inc., Series D, (Acquired 9/16/21, Cost $107,722)

                

(a) (d) (e) (f)

    11,240       68,339  
              155,411  

Retail — 0.0%

OfferUp, Inc., Series F, (Acquired 7/01/20, Cost $9,217)

                

(a) (d) (e) (f)

    4,025       2,737  
              860,878  

 

   

Number of
Shares

    

Value

  

Consumer, Non-cyclical — 1.1%

Agriculture — 0.1%

Farmer’s Business Network, Inc., Series E, (Acquired 2/11/19, Cost $191,081) (a) (d) (e) (f)

    8,198     $ 509,570  

Farmer’s Business Network, Inc., Series F, (Acquired 7/31/20, Cost $172,258) (a) (d) (e) (f)

    5,211       323,904  
              833,474  

Biotechnology — 0.3%

Genesis Therapeutics, Inc., Series A, (Acquired 11/24/20, Cost $25,262) (a) (d) (e) (f)

    4,946       25,262  

Inscripta, Inc., Series E, (Acquired 3/30/21, Cost $148,812) (a) (d) (e) (f)

    16,853       94,040  

Insitro, Inc., Series B, (Acquired 5/21/20, Cost $34,456) (a) (d) (e) (f)

    5,530       101,150  

Insitro, Inc., Series C, (Acquired 4/07/21, Cost $62,208) (a) (d) (e) (f)

    3,401       62,208  

Kardium, Inc., Series D-5, (Acquired 11/29/18, Cost $29,906) (a) (d) (e) (f)

    30,866       31,355  

Kardium, Inc., Series D-6, (Acquired 1/08/21, Cost $145,349) (a) (d) (e) (f)

    143,083       145,349  

Laronde, Inc., Series B, (Acquired 7/28/21, Cost $109,340) (a) (d) (e) (f)

    3,905       21,868  

National Resilience, Inc., Series B, (Acquired 10/23/20, Cost $263,720) (a) (d) (e) (f)

    19,306       1,172,453  

National Resilience, Inc., Series C, (Acquired 6/09/21, Cost $315,045) (a) (d) (e) (f)

    7,094       430,819  

Tessera Therapeutics, Inc., Series C, (Acquired 2/25/22, Cost $34,499) (a) (d) (e) (f)

    1,687       34,499  

Treeline Biosciences, Inc., Series A, (Acquired 4/09/21, Cost $40,640) (a) (d) (e) (f)

    5,192       40,640  
              2,159,643  

Commercial Services — 0.1%

Honor Technology, Inc., Series D, (Acquired 10/16/20, Cost $225,290) (a) (d) (e) (f)

    93,556       270,377  

Honor Technology, Inc., Series E, (Acquired 9/29/21, Cost $116,646) (a) (d) (e) (f)

    36,897       106,632  

 

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

 

103

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Redwood Materials, Inc., Series C, (Acquired 5/28/21, Cost $214,074) (a) (d) (e) (f)

    4,516     $ 352,248  
              729,257  

Food — 0.3%

Cava Group, Inc., Series E, (Acquired 6/23/20-3/26/21, Cost $475,884) (a) (d) (e) (f)

    18,159       1,061,575  

Cava Group, Inc., Series F, (Acquired 3/26/21, Cost $512,596) (a) (d) (e) (f)

    13,622       796,342  
              1,857,917  

Health Care – Products — 0.1%

Cleerly, Inc. Series C, (Acquired 7/08/22, Cost $200,211) (a) (d) (e) (f)

    16,995       200,211  

Prime Medicine, Inc., Series B, (Acquired 4/19/21, Cost $40,943) (a) (d) (e) (f)

    9,347       40,943  

Ring Therapeutics, Inc., Series B, (Acquired 4/12/21, Cost $50,885) (a) (d) (e) (f)

    5,531       50,885  

Tempus Labs, Inc., Series D, (Acquired 3/16/18, Cost $21,326) (a) (d) (e) (f)

    2,275       133,952  

Tempus Labs, Inc., Series E, (Acquired 8/23/18, Cost $29,149) (a) (d) (e) (f)

    1,741       105,226  

Tempus Labs, Inc., Series F, (Acquired 4/30/19, Cost $17,059) (a) (d) (e) (f)

    689       42,194  

Tempus Labs, Inc., Series G, (Acquired 2/06/20, Cost $19,176) (a) (d) (e) (f)

    500       30,990  

Tempus Labs, Inc., Series G-2, (Acquired 11/19/20, Cost $26,075) (a) (d) (e) (f)

    455       25,576  
              629,977  

Health Care – Services — 0.1%

Caris Life Sciences, Inc., Series C, (Acquired 8/14/20, Cost $125,312) (a) (d) (e) (f)

    45,403       298,752  

Caris Life Sciences, Inc., Series D, (Acquired 5/11/21, Cost $378,132) (a) (d) (e) (f)

    46,683       307,174  
              605,926  

Pharmaceuticals — 0.1%

Capsule Corporation, Series D, (Acquired 4/07/21, Cost $144,670) (a) (d) (e) (f)

    9,983       123,190  

Haul Hub, Inc., Series B, (Acquired 2/14/20-3/03/21, Cost $108,854) (a) (d) (e) (f)

    7,466       140,883  

 

   

Number of
Shares

    

Value

  

Haul Hub, Inc., Series C, (Acquired 4/14/22, Cost $43,061) (a) (d) (e) (f)

    2,282     $ 43,061  
              307,134  
              7,123,328  

Financial — 0.2%

Banks — 0.0%

CRB Group, Inc., Series D, (Acquired 1/28/22, Cost $255,280) (a) (d) (e) (f)

    2,428       255,280  

Diversified Financial Services — 0.2%

Color Health Inc., Series E, (Acquired 10/26/21, Cost $15,095) (a) (d) (e) (f)

    151       15,095  

Color Health, Inc., Series D, (Acquired 12/17/20, Cost $43,490) (a) (d) (e) (f)

    1,155       115,464  

Color Health, Inc., Series D-1, (Acquired 1/13/20, Cost $56,632) (a) (d) (e) (f)

    2,655       265,418  

Convoy, Inc., Series C, (Acquired 9/14/18, Cost $127,740) (a) (d) (e) (f)

    17,990       93,188  

Convoy, Inc., Series D, (Acquired 10/30/19, Cost $417,858) (a) (d) (e) (f)

    30,861       159,860  

Convoy, Inc., Series E, (Acquired 9/30/21, Cost $72,706) (a) (d) (e) (f)

    4,407       22,828  

Stash Financial, Inc., Series F, (Acquired 4/24/20, Cost $126,801) (a) (d) (e) (f)

    5,060       177,151  

Stash Financial, Inc., Series G, (Acquired 1/26/21, Cost $174,908) (a) (d) (e) (f)

    4,667       163,392  
              1,012,396  

Insurance — 0.0%

Go Maps, Inc., Series B-1, (Acquired 5/15/19-7/29/20, Cost $9,665) (a) (d) (e) (f)

    755       763  

Investment Companies — 0.0%

Maplebear, Inc., Series E, (Acquired 11/19/21-12/01/21, Cost $348,680) (a) (d) (e) (f)

    2,900       140,592  

Maplebear, Inc., Series I, (Acquired 2/26/21, Cost $58,500) (a) (d) (e) (f)

    468       22,689  
              163,281  
              1,431,720  

Industrial — 0.3%

Aerospace & Defense — 0.1%

ABL Space Systems Company, Series B (Acquired 3/24/21, Cost $328,985) (a) (d) (e) (f)

    7,305       496,712  

 

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

 

104

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Electrical Components & Equipment — 0.1%

CelLink, Inc., Series D (Acquired 1/20/22, Cost $223,836) (a) (d) (e) (f)

    10,749     $ 223,836  

Sila Nanotechnologies, Inc., Series F (Acquired 1/07/21, Cost $505,509) (a) (d) (e) (f)

    12,248       381,770  
              605,606  

Electronics — 0.1%

Sartorius AG 0.130%

    1,505       525,649  
              1,627,967  

Technology — 0.6%

Computers — 0.1%

Coalition, Inc., Series E (Acquired 9/07/21, Cost $253,711) (a) (d) (e) (f)

    15,355       330,667  

Mesosphere, Inc., Series D (Acquired 5/04/18, Cost $72,584) (a) (d) (e) (f)

    6,566       4,399  
              335,066  

Software — 0.5%

Checkr, Inc., Series C (Acquired 4/10/18, Cost $106,628) (a) (d) (e) (f)

    23,433       180,434  

Checkr, Inc., Series D (Acquired 9/06/19, Cost $308,786) (a) (d) (e) (f)

    30,627       235,828  

Databricks, Inc., Series F (Acquired 10/22/19, Cost $104,923) (a) (d) (e) (f)

    7,329       405,245  

Databricks, Inc., Series G (Acquired 2/01/21, Cost $128,414) (a) (d) (e) (f)

    2,172       120,097  

Databricks, Inc., Series H (Acquired 8/31/21, Cost $121,028) (a) (d) (e) (f)

    1,647       91,068  

DTX Company, Series A-1 (Acquired 4/02/22, Cost $31,212) (a) (d) (e) (f)

    17,154       31,212  

Eikon Therapeutics, Inc., Series B (Acquired 3/12/21, Cost $89,186) (a) (d) (e) (f)

    5,042       89,186  

Epirus, Inc., Series C-2 (Acquired 1/28/21, Cost $324,592) (a) (d) (e) (f)

    58,131       324,592  

Flexe, Inc., Series C (Acquired 11/18/20, Cost $134,849) (a) (d) (e) (f)

    11,083       226,033  

Flexe, Inc., Series D (Acquired 7/04/22, Cost $73,849) (a) (d) (e) (f)

    3,621       73,849  

Gusto, Inc., Series B (Acquired 8/18/20, Cost $49,238) (a) (d) (e) (f)

    3,644       68,617  

 

   

Number of
Shares

    

Value

  

Gusto, Inc., Series B-2 (Acquired 8/18/20, Cost $91,936) (a) (d) (e) (f)

    6,804     $ 128,119  

Gusto, Inc., Series C (Acquired 7/16/18, Cost $84,209) (a) (d) (e) (f)

    11,076       208,561  

Gusto, Inc., Series D (Acquired 7/16/19, Cost $187,638) (a) (d) (e) (f)

    14,095       265,409  

JetClosing, Inc., Series A (Acquired 5/25/18, Cost $22,781) (a) (d) (e) (f)

    11,678       —  

JetClosing, Inc., Series B-1 (Acquired 7/13/20-2/25/21, Cost $36,276) (a) (d) (e) (f)

    27,130       —  

JetClosing, Inc., Series B-2 (Acquired 2/06/20, Cost $5,769) (a) (d) (e) (f)

    5,185       —  

KoBold Metals, Inc., Series B-1 (Acquired 1/10/22, Cost $244,807) (a) (d) (e) (f)

    8,931       244,807  

Seismic Software, Inc., Series E (Acquired 12/13/18, Cost $117,981) (a) (d) (e) (f)

    18,715       193,700  

Seismic Software, Inc., Series F (Acquired 9/25/20-3/24/21, Cost $18,592) (a) (d) (e) (f)

    2,115       21,890  

ServiceTitan, Inc., Series A-1 (Acquired 11/09/18, Cost $263) (a) (d) (e) (f)

    10       689  

ServiceTitan, Inc., Series D (Acquired 11/09/18, Cost $124,743) (a) (d) (e) (f)

    4,744       326,909  

ServiceTitan, Inc., Series E (Acquired 4/23/20, Cost $7,435) (a) (d) (e) (f)

    220       15,160  

ServiceTitan, Inc., Series F (Acquired 3/25/21, Cost $25,650) (a) (d) (e) (f)

    239       16,469  

Socure, Inc., Series A (Acquired 12/22/21, Cost $75,555) (a) (d) (e) (f)

    4,702       57,458  

Socure, Inc., Series A-1 (Acquired 12/22/21, Cost $62,025) (a) (d) (e) (f)

    3,860       47,169  

Socure, Inc., Series B (Acquired 12/22/21, Cost $1,109) (a) (d) (e) (f)

    69       843  

Socure, Inc., Series E (Acquired 10/27/21, Cost $143,750) (a) (d) (e) (f)

    8,946       109,320  

Themis Solutions, Inc., Series AA (Acquired 4/14/21, Cost $24,473) (a) (d) (e) (f)

    1,090       22,127  

Themis Solutions, Inc., Series AB (Acquired 4/14/21, Cost $2,694) (a) (d) (e) (f)

    120       2,436  

 

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

 

105

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

   

Number of
Shares

    

Value

  

Themis Solutions, Inc., Series B (Acquired 4/14/21, Cost $2,694) (a) (d) (e) (f)

    120     $ 2,436  

Themis Solutions, Inc., Series E (Acquired 4/14/21, Cost $309,164) (a) (d) (e) (f)

    13,770       279,531  
              3,789,194  
              4,124,260  
                 

TOTAL PREFERRED STOCK (Cost $12,179,977)

            15,796,224  
                 

TOTAL EQUITIES (Cost $651,563,841)

            632,133,974  
                 

RIGHTS — 0.0%

Consumer, Non-cyclical — 0.0%

Pharmaceuticals — 0.0%

Progenic Pharmaceuticals, Inc., CVR (a) (d) (f)

    25,104       28,892  
                 

TOTAL RIGHTS (Cost $0)

            28,892  
                 

WARRANTS — 0.0%

Communications — 0.0%

Advertising — 0.0%

Advantage Solutions, Inc., Expires 10/28/25 (a)

    3,668       367  

Consumer, Non-cyclical — 0.0%

Pharmaceuticals — 0.0%

EQRx, Inc. (a)

    1,166       956  

Diversified — 0.0%

Holding Company – Diversified — 0.0%

Bluescape Opportunities Acquisition Corp. (a)

    15,355       2,157  

Financial — 0.0%

Banks — 0.0%

Dogwood State Bank (Acquired 5/06/19, Cost $0) (a) (d) (e) (f)

    800       6,456  

Diversified Financial Services — 0.0%

Grasshopper Bancorp, Inc. (Acquired 10/15/18, Cost $0) (a) (d) (e) (f)

    1,432       1,031  

Insurance — 0.0%

Hagerty Group, LLC. (Acquired 8/18/21, Cost $4,451) (a) (d) (e)

    3,040       6,870  
              14,357  
                 

TOTAL WARRANTS (Cost $12,309)

            17,837  
                 

 

   

Number of
Shares

    

Value

  

MUTUAL FUNDS — 0.9%

Diversified Financial Services — 0.9%

State Street Navigator Securities Lending Government Money Market Portfolio (g)

    5,671,215     $ 5,671,215  
                 

TOTAL MUTUAL FUNDS (Cost $5,671,215)

            5,671,215  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $657,247,365)

            637,851,918  
                 

SHORT-TERM INVESTMENTS — 5.2%

Mutual Fund — 5.1%

T. Rowe Price Government Reserve Investment Fund

    33,845,374       33,845,374  
                 
   

Principal
Amount

          

Repurchase Agreement — 0.1%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (h)

  $ 999,387       999,387  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $34,844,761)

            34,844,761  
                 

TOTAL INVESTMENTS — 101.0% (Cost $692,092,126) (i)

            672,696,679  
                 

Other Assets/(Liabilities) — (1.0)%

            (6,757,274 )
                 

NET ASSETS — 100.0%

          $ 665,939,405  

 

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, 2022, was $13,117,678 or 1.97% of net assets. The Fund received $7,817,077 of non-cash collateral (U.S. Treasury and/or Agency obligations) related to securities lending activity. This amount is not reflected on either the Portfolio of Investments or the Statement of Assets and Liabilities. (Note 2).

 

 

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

 

106

 

 

MassMutual Select T. Rowe Price Small and Mid Cap Blend Fund – Portfolio of Investments (Continued)

 

Notes to Portfolio of Investments (continued)

(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, 2022, the aggregate market value of these securities amounted to $136,979 or 0.02% 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, 2022, these securities amounted to a value of $17,082,669 or 2.57% of net assets.

(e)

Restricted security. Certain securities are restricted as to resale. At September 30, 2022, these securities amounted to a value of $17,053,779 or 2.56% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(f)

Investment is valued using significant unobservable inputs.

(g)

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

(h)

Maturity value of $999,456. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $1,019,397.

(i)

See Note 6 for aggregate cost for federal tax purposes.

 

 

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

 

107

 

 

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund – Portfolio of Investments

September 30, 2022

 

   

Principal
Amount

    

Value

  

BONDS & NOTES — 99.3%

U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (a) — 3.0%

Collateralized Mortgage Obligations — 0.7%

Government National Mortgage Association

                

Series 2020-7, Class KE, 2.500% 1/20/50

  $ 191,876     $ 168,582  

Series 2016-121, Class JF, 1 mo. USD LIBOR + 0.400% 3.414% FRN 9/20/46

    184,719       181,707  

Series 2019-78, Class FB, 1 mo. USD LIBOR + 0.400% 3.414% FRN 6/20/49

    101,959       100,205  

Series 2019-112, Class GF, 1 mo. USD LIBOR + 0.430% 3.444% FRN 9/20/49

    95,751       94,159  

Series 2019-103, Class CF, 1 mo. USD LIBOR + 0.450% 3.464% FRN 8/20/49

    192,334       189,418  

Series 2019-111, Class FB, 1 mo. USD LIBOR + 0.450% 3.464% FRN 9/20/49

    72,700       71,853  

Series 2019-125, Class DF, 1 mo. USD LIBOR + 0.450% 3.464% FRN 10/20/49

    153,587       151,390  
              957,314  

Pass-Through Securities — 2.3%

Government National Mortgage Association II

                

Pool #MA7534 2.500% 8/20/51

    93,501       80,732  

Pool #MA7705 2.500% 11/20/51

    178,190       153,619  

Pool #MA7767 2.500% 12/20/51

    537,548       463,257  

Pool #MA4484 3.000% 6/20/32

    139,143       129,611  

Pool #MA6381 3.000% 1/20/35

    72,261       67,220  

Pool #MA6630 3.000% 5/20/35

    32,924       30,606  

Pool #MA6209 3.000% 10/20/49

    18,016       15,630  

Pool #MA6399 3.000% 1/20/50

    40,829       35,421  

Pool #MA6464 3.000% 2/20/50

    92,631       80,361  

Pool #MA6531 3.000% 3/20/50

    56,562       48,911  

Pool #MA7650 3.000% 10/20/51

    205,493       182,656  

Pool #BQ0937 3.500% 9/20/49

    66,648       61,055  

Pool #BQ7205 3.500% 10/20/49

    38,726       35,428  

Pool #BS3713 3.500% 1/20/50

    131,190       120,180  

Pool #BS3771 3.500% 2/20/50

    91,506       83,672  

Pool #MA4588 4.500% 7/20/47

    111,319       108,429  

Pool #MA4781 5.000% 10/20/47

    51,368       51,583  

Pool #MA4840 5.000% 11/20/47

    39,838       40,005  

Pool #MA5653 5.000% 12/20/48

    123,790       123,013  

Pool #MA5820 5.500% 3/20/49

    16,577       16,884  

 

   

Principal
Amount

    

Value

  

Government National Mortgage Association II TBA

                

2.000% 10/20/52 (b)

  $ 580,000     $ 483,122  

5.500% 10/20/52 (b)

    490,000       489,234  
              2,900,629  
                 

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $4,173,509)

            3,857,943  
                 

U.S. TREASURY OBLIGATIONS — 96.3%

U.S. Treasury Bonds & Notes — 96.3%

U.S. Treasury Bond

                

1.125% 5/15/40

    3,490,000       2,179,614  

1.125% 8/15/40

    6,270,000       3,881,522  

1.250% 5/15/50

    3,770,000       2,108,844  

1.375% 11/15/40

    6,110,000       3,948,587  

1.375% 8/15/50

    7,400,000       4,286,219  

1.625% 11/15/50

    3,580,000       2,221,837  

1.750% 8/15/41

    6,940,000       4,746,310  

1.875% 2/15/41

    7,480,000       5,296,775  

1.875% 2/15/51

    6,875,000       4,550,391  

1.875% 11/15/51

    6,760,000       4,470,050  

2.000% 11/15/41

    7,760,000       5,554,463  

2.000% 2/15/50

    4,050,000       2,783,109  

2.000% 8/15/51

    3,700,000       2,526,985  

2.250% 5/15/41

    7,690,000       5,813,159  

2.250% 8/15/46

    2,505,000       1,805,557  

2.250% 8/15/49

    2,550,000       1,865,883  

2.250% 2/15/52

    13,760,000       9,995,351  

2.375% 2/15/42

    24,150,000       18,512,484  

2.375% 11/15/49

    2,220,000       1,671,938  

2.375% 5/15/51

    2,440,000       1,825,425  

2.500% 2/15/46

    1,700,000       1,291,734  

2.500% 5/15/46

    3,925,000       2,977,481  

2.875% 11/15/46

    1,700,000       1,389,484  

2.875% 5/15/49

    2,480,000       2,068,475  

2.875% 5/15/52

    3,985,000       3,343,042  

3.000% 11/15/45

    850,000       709,883  

3.000% 2/15/47

    1,560,000       1,305,525  

3.000% 5/15/47

    1,200,000       1,005,563  

3.000% 8/15/48

    2,330,000       1,972,491  

3.000% 2/15/49

    2,480,000       2,118,075  

3.000% 8/15/52

    2,030,000       1,753,095  

3.125% 5/15/48 (c)

    4,125,000       3,571,348  

3.250% 5/15/42

    1,945,000       1,726,492  

3.375% 8/15/42 (d)

    1,700,000       1,540,625  

3.375% 11/15/48

    2,330,000       2,123,212  

 

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

 

108

 

 

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund – Portfolio of Investments (Continued)

 

   

Principal
Amount

    

Value

  

U.S. Treasury Note

                

2.750% 8/15/32

  $ 3,325,000     $ 3,039,258  
              121,980,286  
                 

TOTAL U.S. TREASURY OBLIGATIONS (Cost $166,052,411)

            121,980,286  
                 

TOTAL BONDS & NOTES (Cost $170,225,920)

            125,838,229  
                 
   

Number of
Shares

          

MUTUAL FUNDS — 0.3%

Diversified Financial Services — 0.3%

State Street Navigator Securities Lending Government Money Market Portfolio (e)

    375,215       375,215  
                 

TOTAL MUTUAL FUNDS (Cost $375,215)

            375,215  
                 

TOTAL PURCHASED OPTIONS (#) — 0.0% (Cost $11,374)

            4,078  
                 

TOTAL LONG-TERM INVESTMENTS (Cost $170,612,509)

            126,217,522  
                 

SHORT-TERM INVESTMENTS — 1.3%

Mutual Fund — 0.5%

T. Rowe Price Government Reserve Investment Fund

    605,545       605,545  

 

   

Principal
Amount

    

Value

  

Repurchase Agreement — 0.8%

Fixed Income Clearing Corp., Repurchase Agreement, dated 9/30/22, 0.830%, due 10/03/22 (f)

  $ 1,003,737     $ 1,003,737  
                 

TOTAL SHORT-TERM INVESTMENTS (Cost $1,609,282)

            1,609,282  
                 

TOTAL INVESTMENTS — 100.9% (Cost $172,221,791) (g)

            127,826,804  
                 

Other Assets/(Liabilities) — (0.9)%

            (1,118,055 )
                 

NET ASSETS — 100.0%

          $ 126,708,749  

 

Abbreviation Legend

FRN

Floating Rate Note

TBA

To Be Announced

 

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

May contain securities that are issued by a U.S. Government Agency, but are unsecured and are not guaranteed by a U.S. Government Agency.

(b)

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

(c)

All or a portion of this security is pledged/held as collateral for open derivatives. (Note 2).

(d)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2022, was $367,765 or 0.29% of net assets. (Note 2).

(e)

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

(f)

Maturity value of $1,003,806. Collateralized by U.S. Government Agency obligations with a rate of 0.000%, maturity date of 3/30/23, and an aggregate market value, including accrued interest, of $1,023,909.

(g)

See Note 6 for aggregate cost for federal tax purposes.

 

 

(#) 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 10 Year Future

     10/21/22       116.00       29       USD       3,249,813     $ 4,078     $ 11,374     $ (7,296 )

 

 

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

 

109

 

 

MassMutual Select T. Rowe Price U.S. Treasury Long-Term Index Fund – Portfolio of Investments (Continued)

 

Futures contracts

 

 

  

Expiration
Date

    

Number of
Contracts

    

Notional
Amount

    

Value/ Net
Unrealized
Appreciation/
(Depreciation)

  

Long

                                

U.S. Treasury Note 10 Year

     12/20/22       133     $ 15,460,175     $ (555,862 )
                                 

Short

                                

U.S. Treasury Ultra 10 Year

     12/20/22       13     $ (1,553,381 )   $ 13,084  

U.S. Treasury Note 2 Year

     12/30/22       10       (2,055,596 )     1,690  

U.S. Treasury Note 5 Year

     12/30/22       138       (15,204,763 )     368,685  

 

                           $ 383,459  

 

Currency Legend

USD

U.S. Dollar

 

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

 

110

 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]

 

 

MassMutual Funds – Financial Statements

Statements of Assets and Liabilities
September 30, 2022

 

   

MM Equity
Asset Fund

    

MassMutual
Select T. Rowe
Price Bond
Asset Fund

  

Assets:

                

Investments, at value (Note 2) (a)

  $ 298,406,752     $ 584,816,013  

Repurchase agreements, at value (Note 2) (b)

    4,174,155       3,082,003  

Total investments (c)

    302,580,907       587,898,016  

Cash

    8,385       —  

Foreign currency, at value (d)

    —       526,196  

Receivables from:

                

Investments sold

                

Regular delivery

    539,886       4,178,690  

Delayed delivery

    —       2,396,642  

Open forward contracts (Note 2)

    —       8,771,169  

Fund shares sold

    100,351       74,318  

Investment adviser (Note 3)

    —       49,069  

Cash collateral pledged for open derivatives (Note 2)

    410,000       125,000  

Variation margin on open derivative instruments (Note 2)

    —       1,010,963  

Interest and dividends

    349,275       2,061,153  

Foreign tax reclaims

    279,073       55,515  

Open swap agreements, at value (Note 2)

    —       80  

Total assets

    304,267,877       607,146,811  

Liabilities:

                

Payables for:

                

Investments purchased

                

Regular delivery

    565,759       989,077  

Delayed delivery

    —       28,192,761  

Cash collateral held for open derivatives (Note 2)

    —       2,466,000  

Open forward contracts (Note 2)

    —       1,150,880  

Interest and dividends

    —       —  

Fund shares repurchased

    84,438       284,120  

Cash collateral held for securities on loan (Note 2)

    146,204       14,276,024  

Open swap agreements, at value (Note 2)

    —       44,815  

Trustees’ fees and expenses (Note 3)

    36,082       24,028  

Variation margin on open derivative instruments (Note 2)

    64,607       11,636  

Affiliates (Note 3):

                

Administration fees

    14,415       90,548  

Investment advisory fees

    48,178       —  

Due to custodian

    —       885,975  

Accrued expense and other liabilities

    33,885       240,199  

Total liabilities

    993,568       48,656,063  

Net assets

  $ 303,274,309     $ 558,490,748  

Net assets consist of:

                

Paid-in capital

  $ 246,308,004     $ 665,882,453  

Accumulated earnings (loss)

    56,966,305       (107,391,705 )

Net assets

  $ 303,274,309     $ 558,490,748  

 

(a)

Cost of investments:

  $ 281,995,156     $ 669,419,751  

(b)

Cost of repurchase agreements:

  $ 4,174,155     $ 3,082,003  

(c)

Securities on loan with market value of:

  $ 149,001     $ 14,463,396  

(d)

Cost of foreign currency:

  $ —     $ 533,727  

 

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

 

112

 

 

 
 

 

 

 

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 Index
Fund

  
                                               
  $ 73,878,785     $ 1,853,439,408     $ 203,965,145     $ 212,562,005     $ 671,697,292     $ 126,823,067  
    1,038,451       997,435       666,805       508,779       999,387       1,003,737  
    74,917,236       1,854,436,843       204,631,950       213,070,784       672,696,679       127,826,804  
    132,667       2,612       270,000       577,218       14,157       —  
    2,662       295       490       425,811       41,895       —  
                                               
                                               
    159,755       7,923,203       —       1,466,474       2,616,067       1,983,515  
    —       —       —       —       —       —  
    172,137       —       112,375       79,336       —       —  
    8,549       881,132       13,895       106,590       306,149       23,945  
    17,019       74,683       22,548       19,262       50,345       15,625  
    —       —       —       —       —       —  
    2,493       —       175,522       70,054       —       —  
    1,474,993       1,467,932       239,570       679,014       540,386       838,275  
    —       47,722       —       24,534       51,591       —  
    —       —       2,914,903       —       —       —  
    76,887,511       1,864,834,422       208,381,253       216,519,077       676,317,269       130,688,164  
                                               
                                               
                                               
    114,892       10,038,943       —       438,261       4,296,015       2,466,974  
    —       —       3,798,526       —       —       968,301  
    —       —       2,190,000       —       —       —  
    16,032       —       125,307       273,208       —       —  
    —       —       398,271       —       —       —  
    47,993       623,557       120,208       75,383       216,721       64,175  
    693,325       —       11,737,424       5,007,776       5,671,215       375,215  
    —       —       —       274,739       —       —  
    3,445       59,529       7,384       4,630       25,167       4,701  
    —       —       —       —       —       7,273  
                                               
    21,062       35,116       16,805       13,650       16,809       9,499  
    —       —       —       —       —       —  
    —       —       —       —       —       —  
    97,938       216,806       90,290       92,030       151,937       83,277  
    994,687       10,973,951       18,484,215       6,179,677       10,377,864       3,979,415  
  $ 75,892,824     $ 1,853,860,471     $ 189,897,038     $ 210,339,400     $ 665,939,405     $ 126,708,749  
                                               
  $ 108,407,030     $ 1,880,361,526     $ 199,840,826     $ 229,107,675     $ 641,049,497     $ 179,316,786  
    (32,514,206 )     (26,501,055 )     (9,943,788 )     (18,768,275 )     24,889,908       (52,608,037 )
  $ 75,892,824     $ 1,853,860,471     $ 189,897,038     $ 210,339,400     $ 665,939,405     $ 126,708,749  

 

  $ 101,485,952     $ 2,050,216,191     $ 218,113,604     $ 244,745,038     $ 691,092,739     $ 171,218,054  
  $ 1,038,451     $ 997,435     $ 666,805     $ 508,779     $ 999,387     $ 1,003,737  
  $ 887,271     $ 25,197,620     $ 11,502,544     $ 7,316,254     $ 13,117,678     $ 367,765  
  $ 2,640     $ 289     $ 502     $ 434,638     $ 42,301     $ —  

 

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

 

113

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Assets and Liabilities
September 30, 2022

 

   

MM Equity
Asset Fund

    

MassMutual
Select T. Rowe
Price Bond
Asset Fund

  

Class I shares:

                

Net assets

  $ 303,274,309     $ 558,490,748  

Shares outstanding (a)

    43,351,333       64,725,295  

Net asset value, offering price and redemption price per share

  $ 7.00     $ 8.63  

 

(a)

Authorized unlimited number of shares with no par value.

 

 

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

 

114

 

 

 

 

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 Index
Fund

  
                                               
  $ 75,892,824     $ 1,853,860,471     $ 189,897,038     $ 210,339,400     $ 665,939,405     $ 126,708,749  
    11,146,531       165,015,878       19,277,281       20,332,660       60,462,673       23,176,440  
  $ 6.81     $ 11.23     $ 9.85     $ 10.34     $ 11.01     $ 5.47  

 

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

 

115

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Operations
For the Year Ended September 30, 2022

 

   

MM Equity
Asset Fund

    

MassMutual
Select T. Rowe
Price Bond
Asset Fund

  

Investment income (Note 2):

                

Dividends (a)

  $ 5,455,044     $ 26,832  

Interest (b)

    6,154       15,190,431  

Securities lending net income

    483       28,490  

Non cash income

    —       —  

Total investment income

    5,461,681       15,245,753  

Expenses (Note 3):

                

Investment advisory fees

    686,915       —  

Custody fees

    52,181       261,002  

Audit fees

    51,651       68,796  

Legal fees

    9,504       18,102  

Proxy fees

    1,337       1,337  

Accounting & Administration fees

    18,971       123,319  

Shareholder reporting fees

    32,364       22,289  

Trustees’ fees

    19,187       34,794  

Registration and filing fees

    17       33  

Transfer agent fees

    2,968       2,966  

Total expenses

    875,095       532,638  

Expenses waived (Note 3):

                

Class I fees reimbursed by adviser

    —       (532,638 )

Net expenses:

    875,095       —  

Net investment income (loss)

    4,586,586       15,245,753  

Realized and unrealized gain (loss):

                

Net realized gain (loss) on:

                

Investment transactions

    44,722,405       (36,739,693 )

Futures contracts

    (1,435,975 )     (15,126,292 )

Written options

    —       (41,897 )

Swap agreements

    —       (194,223 )

Foreign currency transactions

    157       (337,566 )

Forward contracts

    —       22,620,409  

Net realized gain (loss)

    43,286,587       (29,819,262 )

Net change in unrealized appreciation (depreciation) on:

                

Investment transactions

    (96,988,132 )     (90,849,276 )*

Futures contracts

    (219,418 )     (1,789,849 )

Written options

    —       (16,420 )

Swap agreements

    —       (2,156,174 )

Translation of assets and liabilities in foreign currencies

    (34,192 )     (144,705 )

Forward contracts

    —       4,821,100  

Net change in unrealized appreciation (depreciation)

    (97,241,742 )     (90,135,324 )

Net realized gain (loss) and change in unrealized appreciation (depreciation)

    (53,955,155 )     (119,954,586 )

Net increase (decrease) in net assets resulting from operations

  $ (49,368,569 )   $ (104,708,833 )

 

(a)

Net of foreign withholding tax of:

  $ 8,217     $ (8,104 )

(b)

Net of foreign withholding tax of:

  $ —     $ 9,469  

*

Net of net increase (decrease) in accrued foreign capital gains tax of:

  $ —     $ 15,492  

 

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

 

116

 

 

 
 

 

 

 

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 Index
Fund

  
                                               
  $ —     $ 24,706,105     $ —     $ 6,375,378     $ 8,140,270     $ —  
    4,889,787       379,953       15,831,307       57,813       266,045       2,915,331  
    5,069       49,603       5,684       57,192       191,579       4,242  
    —       —       —       1,327,572       —       —  
    4,894,856       25,135,661       15,836,991       7,817,955       8,597,894       2,919,573  
                                               
    —       —       —       —       —       —  
    54,122       202,610       65,592       70,013       115,718       45,211  
    65,383       48,909       53,013       53,162       47,480       52,099  
    2,159       59,988       7,559       7,529       21,803       2,926  
    1,337       1,337       1,337       1,337       1,337       1,337  
    29,486       44,868       24,161       19,586       22,508       14,077  
    17,386       33,034       14,745       16,562       20,360       13,522  
    4,590       107,891       13,202       8,957       40,701       5,914  
    —       —       —       —       —       6  
    2,968       2,968       2,968       2,968       2,968       2,968  
    177,431       501,605       182,577       180,114       272,875       138,060  
                                               
    (177,431 )     (501,605 )     (182,577 )     (180,114 )     (272,875 )     (138,060 )
    —       —       —       —       —       —  
    4,894,856       25,135,661       15,836,991       7,817,955       8,597,894       2,919,573  
                                               
                                               
    (6,819,804 )     187,703,748       (9,409,388 )     6,991,811       52,162,823       (1,760,998 )
    155,665       —       (1,410,806 )     2,268,375       —       (961,343 )
    —       —       (151,844 )     —       —       (58,049 )
    (71,487 )     —       1,512,297       (456,653 )     —       —  
    (8,579 )     (8,293 )     (85 )     (68,738 )     (14,077 )     —  
    379,507       —       (226,913 )     (525,519 )     —       —  
    (6,364,698 )     187,695,455       (9,686,739 )     8,209,276       52,148,746       (2,780,390 )
                                               
    (25,569,773 )     (755,290,216 )     (17,976,406 )     (50,684,334 )     (250,125,324 )     (41,626,092 )
    162,099       —       393,090       61,466       —       (185,724 )
    —       —       —       —       —       (238 )
    9,720       —       1,131,978       (274,739 )     —       —  
    (5,197 )     19,474       1,650       (38,802 )     (7,947 )     —  
    130,872       —       4,390       (193,872 )     —       —  
    (25,272,279 )     (755,270,742 )     (16,445,298 )     (51,130,281 )     (250,133,271 )     (41,812,054 )
    (31,636,977 )     (567,575,287 )     (26,132,037 )     (42,921,005 )     (197,984,525 )     (44,592,444 )
  $ (26,742,121 )   $ (542,439,626 )   $ (10,295,046 )   $ (35,103,050 )   $ (189,386,631 )   $ (41,672,871 )

 

  $ —     $ 217,993     $ —     $ 250,361     $ 127,925     $ —  
  $ —     $ —     $ —     $ —     $ —     $ —  
  $ —     $ —     $ —     $ —     $ —     $ —  

 

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

 

117

 

 

MassMutual Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

 

   

MM Equity Asset
Fund

  
   

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 4,586,586     $ 5,254,652  

Net realized gain (loss)

    43,286,587       77,516,537  

Net change in unrealized appreciation (depreciation)

    (97,241,742 )     37,925,439  

Net increase (decrease) in net assets resulting from operations

    (49,368,569 )     120,696,628  

Distributions to shareholders (Note 2):

                

Class I

    (81,089,970 )     (54,878,368 )

Total distributions

    (81,089,970 )     (54,878,368 )

Net fund share transactions (Note 5):

                

Class I

    35,923,057       (91,092,057 )

Increase (decrease) in net assets from fund share transactions

    35,923,057       (91,092,057 )

Total increase (decrease) in net assets

    (94,535,482 )     (25,273,797 )

Net assets

                

Beginning of year

    397,809,791       423,083,588  

End of year

  $ 303,274,309     $ 397,809,791  

 

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

 

118

 

 

 
 

 

 

 

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, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                                               
                                               
  $ 15,245,753     $ 14,975,352     $ 4,894,856     $ 5,802,001     $ 25,135,661     $ 21,242,490  
    (29,819,262 )     8,477,749       (6,364,698 )     2,344,031       187,695,455       373,384,641  
    (90,135,324 )     (14,093,209 )     (25,272,279 )     792,592       (755,270,742 )     229,911,478  
    (104,708,833 )     9,359,892       (26,742,121 )     8,938,624       (542,439,626 )     624,538,609  
                                               
    (25,803,449 )     (25,814,917 )     (5,878,302 )     (6,332,004 )     (407,155,724 )     (15,903,325 )
    (25,803,449 )     (25,814,917 )     (5,878,302 )     (6,332,004 )     (407,155,724 )     (15,903,325 )
                                               
    (125,107,682 )     79,650,846       1,336,110       (5,408,000 )     493,829,914       (71,726,009 )
    (125,107,682 )     79,650,846       1,336,110       (5,408,000 )     493,829,914       (71,726,009 )
    (255,619,964 )     63,195,821       (31,284,313 )     (2,801,380 )     (455,765,436 )     536,909,275  
                                               
    814,110,712       750,914,891       107,177,137       109,978,517       2,309,625,907       1,772,716,632  
  $ 558,490,748     $ 814,110,712     $ 75,892,824     $ 107,177,137     $ 1,853,860,471     $ 2,309,625,907  

 

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

 

119

 

 

MassMutual 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, 2022

    

Year
Ended
September 30, 2021

  

Increase (Decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

  $ 15,836,991     $ 9,637,353  

Net realized gain (loss)

    (9,686,739 )     4,801,312  

Net change in unrealized appreciation (depreciation)

    (16,445,298 )     1,851,147  

Net increase (decrease) in net assets resulting from operations

    (10,295,046 )     16,289,812  

Distributions to shareholders (Note 2):

                

Class I

    (18,493,933 )     (6,011,297 )

Total distributions

    (18,493,933 )     (6,011,297 )

Net fund share transactions (Note 5):

                

Class I

    (54,174,044 )     76,140,858  

Increase (decrease) in net assets from fund share transactions

     (54,174,044 )     76,140,858  

Total increase (decrease) in net assets

    (82,963,023 )     86,419,373  

Net assets

                

Beginning of year

    272,860,061       186,440,688  

End of year

  $ 189,897,038     $ 272,860,061  

 

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

 

120

 

 

 

 

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 Index
Fund

  
 

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

    

Year
Ended
September 30, 2022

    

Year
Ended
September 30, 2021

  
                                               
                                               
  $ 7,817,955     $ 4,380,467     $ 8,597,894     $ 8,851,693     $ 2,919,573     $ 1,650,103  
    8,209,276       13,887,744       52,148,746       111,677,372       (2,780,390 )     (1,861,894 )
    (51,130,281 )     17,574,384       (250,133,271 )     159,208,298       (41,812,054 )     (9,138,987 )
    (35,103,050 )     35,842,595       (189,386,631 )     279,737,363       (41,672,871 )     (9,350,778 )
                                               
    (14,576,042 )     (2,480,008 )     (120,935,066 )     (46,818,583 )     (1,934,574 )     (33,769,639 )
    (14,576,042 )     (2,480,008 )     (120,935,066 )     (46,818,583 )     (1,934,574 )     (33,769,639 )
                                               
    97,651,890       29,418,630       65,387,523       (69,363,053 )     61,065,313       84,963,305  
    97,651,890       29,418,630       65,387,523       (69,363,053 )     61,065,313       84,963,305  
    47,972,798       62,781,217       (244,934,174 )     163,555,727       17,457,868       41,842,888  
                                               
    162,366,602       99,585,385       910,873,579       747,317,852       109,250,881       67,407,993  
  $ 210,339,400     $ 162,366,602     $ 665,939,405     $ 910,873,579     $ 126,708,749     $ 109,250,881  

 

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

 

121

 

 

MM 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

                          

9/30/22

$ 10.12

$ 0.10

$ (1.05)

$ (0.95)

$ (0.13)

$ (2.04)

$ (2.17)

$ 7.00

(14.16%)

$ 303,274

0.23%

N/A

1.20%

9/30/21

8.79

0.11

2.38

2.49

(0.14)

(1.02)

(1.16)

10.12

30.90%

397,810

0.22%

N/A

1.20%

9/30/20

7.90

0.12

1.25

1.37

(0.11)

(0.37)

(0.48)

8.79

17.91%

423,084

0.24%

N/A

1.48%

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%

 

 

Year ended September 30
 

2022

2021

2020

2019

2018

Portfolio turnover rate

39%

29%

60%

49%

37%

 

c

Per share amount calculated on the average shares method.

j

Computed after giving effect to an agreement by MML Advisers to waive certain fees and expenses of the Fund.

l

Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.

m

Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

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.

 

122

 

 

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

                          

9/30/22

$ 10.43

$ 0.21

$ (1.67)

$ (1.46)

$ (0.31)

$ (0.03)

$ (0.34)

$ 8.63

(14.50%)

$ 558,491

0.08%

0.00%

2.19%

9/30/21

10.65

0.20

(0.07)

0.13

(0.16)

(0.19)

(0.35)

10.43

1.26%

814,111

0.07%

0.00%

1.89%

9/30/20

10.59

0.24

0.18

0.42

(0.31)

(0.05)

(0.36)

10.65

4.15%

750,915

0.45%

0.33%

2.32%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

290%

255%

157%

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.

 

123

 

 

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

                          

9/30/22

$ 9.73

$ 0.44

$ (2.82)

$ (2.38)

$ (0.54)

$ —

$ (0.54)

$ 6.81

(25.84%)

$ 75,893

0.19%

0.00%

5.29%

9/30/21

9.50

0.51

0.31

0.82

(0.59)

—

(0.59)

9.73

8.74%

107,177

0.17%

0.00%

5.29%

9/30/20

9.91

0.50

(0.41)

0.09

(0.50)

—

(0.50)

9.50

0.88%

109,979

0.76%

0.58%

5.29%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

37%

49%

56%

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 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.

 

124

 

 

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

                          

9/30/22

$ 17.43

$ 0.16

$ (3.36)

$ (3.20)

$ (0.15)

$ (2.85)

$ (3.00)

$ 11.23

(22.96%)

$ 1,853,860

0.02%

0.00%

1.13%

9/30/21

13.00

0.16

4.39

4.55

(0.12)

—

(0.12)

17.43

35.17%

2,309,626

0.02%

0.00%

0.97%

9/30/20

11.36

0.11

1.65

1.76

(0.12)

—

(0.12)

13.00

15.60%

1,772,717

0.51%

0.44%

0.91%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

121%

65%

90%

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.

 

125

 

 

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

                          

9/30/22

$ 11.02

$ 0.63

$ (1.13)

$ (0.50)

$ (0.53)

$ (0.14)

$ (0.67)

$ 9.85

(4.82%)

$ 189,897

0.07%

0.00%

5.97%

9/30/21

10.64

0.42

0.30

0.72

(0.19)

(0.15)

(0.34)

11.02

6.96%

272,860

0.07%

0.00%

3.93%

9/30/20

10.27

0.15

0.41

0.56

(0.19)

(0.00)d

(0.19)

10.64

5.58%

186,441

0.37%

0.13%

1.48%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

176%

193%

156%

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.

d

Amount is less than $0.005 per share.

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.

 

126

 

 

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

                          

9/30/22

$ 12.85

$ 0.49

$ (1.86)

$ (1.37)

$ (0.36)

$ (0.78)

$ (1.14)

$ 10.34

(12.24%)

$ 210,339

0.09%

0.00%

3.93%

9/30/21

9.83

0.37

2.89

3.26

(0.24)

—

(0.24)

12.85

33.66%

162,367

0.13%

0.00%

3.04%

9/30/20

10.49

0.23

(0.60)

(0.37)

(0.29)

—

(0.29)

9.83

(3.77%)

99,585

0.69%

0.50%

2.33%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

43%

57%

32%

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.

 

127

 

 

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

                          

9/30/22

$ 16.20

$ 0.14

$ (3.18)

$ (3.04)

$ (0.16)

$ (1.99)

$ (2.15)

$ 11.01

(21.64%)

$ 665,939

0.03%

0.00%

1.04%

9/30/21

12.41

0.15

4.43

4.58

(0.10)

(0.69)

(0.79)

16.20

37.99%

910,874

0.04%

0.00%

0.97%

9/30/20

11.44

0.07

1.18

1.25

(0.07)

(0.21)

(0.28)

12.41

10.97%

747,318

0.61%

0.53%

0.58%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

34%

28%

41%

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.

 

128

 

 

MassMutual Select T. Rowe Price U.S. Treasury Long-Term 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

                          

9/30/22

$ 7.62

$ 0.15

$ (2.17)

$ (2.02)

$ (0.13)

$ —

$ (0.13)

$ 5.47

(26.97%)

$ 126,709

0.11%

0.00%

2.29%

9/30/21

13.07

0.14

(1.17)

(1.03)

(0.16)

(4.26)

(4.42)

7.62

(10.55%)

109,251

0.15%

0.00%

1.69%

9/30/20

12.25

0.25

1.45

1.70

(0.31)

(0.57)

(0.88)

13.07

15.26%

67,408

0.42%

0.13%

2.07%

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

  
 

2022

2021

2020

2019

Period ended
September 30, 2018b

Portfolio turnover rate

102%

116%

206%

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.

 

129

 

 

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 Trust consists of 51 series, including the following eight series listed below (each individually referred to as a “Fund” or collectively as the “Funds”):

 

MM 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 Index Fund (“MM Select T. Rowe Price U.S. Treasury Long-Term Index 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.

 

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; instead, MML Investment Advisers, LLC (“MML Advisers”) will determine the fair value of a Fund’s securities in accordance with MML Advisers’ fair valuation policy and procedures. 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.

 

130

 

 

Notes to Financial Statements (Continued)

 

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.

 

The Board of Trustees (“Trustees”) have designated MML Advisers as the Funds’ “valuation designee,” responsible for determining the fair value, in good faith, of securities and other instruments held by the Funds for which market quotations are not readily available or for which such market quotations or values are considered by MML Advisers or a 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). It is possible that a significant amount of a Fund’s assets will be subject to fair valuation in accordance with MML Advisers’ fair valuation policy and procedures. The fair value determined for an investment by MML Advisers 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.

 

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 may be fair valued using one or a combination of, but not limited to, the following inputs:

 

Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.

 

Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.

 

Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indexes or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

 

131

 

 

Notes to Financial Statements (Continued)

 

Investments in series of preferred stock issued by Private Companies are typically valued utilizing the 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.

 

132

 

 

Notes to Financial Statements (Continued)

 

The following is the aggregate value by input level, as of September 30, 2022, for the Funds’ investments:

 

 
   

Level 1

    

Level 2

    

Level 3

    

Total

  

Equity Asset Fund

                                

Asset Investments

                                

Common Stock

   $ 298,247,260     $ 13,288 *   $ —     $ 298,260,548  

Rights

     —       —       — +,**      —  

Mutual Funds

     146,204       —       —       146,204  

Short-Term Investments

     —       4,174,155       —       4,174,155  

Total Investments

   $ 298,393,464     $ 4,187,443     $ —     $ 302,580,907  

Liability Derivatives

                                

Futures Contracts

   $ (423,966 )     —     $ —     $ (423,966 )
                                 

MM Select T. Rowe Price Bond Asset Fund

                                

Asset Investments

                                

Bank Loans (Less Unfunded Loan Commitments)

   $ —     $ 9,672,196     $ —     $ 9,672,196  

Corporate Debt

     —       155,174,996       —       155,174,996  

Municipal Obligations

     —       368,163       —       368,163  

Non-U.S. Government Agency Obligations

     —       53,029,439       —       53,029,439  

Sovereign Debt Obligations

     —       101,045,141       —       101,045,141  

U.S. Government Agency Obligations and Instrumentalities

     —       115,971,832       —       115,971,832  

U.S. Treasury Obligations

     —       96,181,993       —       96,181,993  

Mutual Funds

     14,276,024       —       —       14,276,024  

Short-Term Investments

     37,014,156       5,167,629       —       42,181,785  

Unfunded Loan Commitments***

     —       (3,553 )     —       (3,553 )

Total Investments

   $ 51,290,180     $ 536,607,836     $ —     $ 587,898,016  

Asset Derivatives

                                

Forward Contracts

   $ —     $ 8,771,169     $ —     $ 8,771,169  

Futures Contracts

     132,931       —       —       132,931  

Swap Agreements

     —       890,938       —       890,938  

Total

   $ 132,931     $ 9,662,107     $ —     $ 9,795,038  

Liability Derivatives

                                

Forward Contracts

   $ —     $ (1,150,880 )   $ —     $ (1,150,880 )

Futures Contracts

     (2,560,145 )     —       —       (2,560,145 )

Swap Agreements

     —       (2,180,252 )     —       (2,180,252 )

Total

   $ (2,560,145 )   $ (3,331,132 )   $ —     $ (5,891,277 )
                                 

MM Select T. Rowe Price Emerging Markets Bond Fund

                                

Asset Investments

                                

Corporate Debt

   $ —     $ 24,190,939     $ —     $ 24,190,939  

Sovereign Debt Obligations

     —       47,419,924       —       47,419,924  

Mutual Funds

     693,325       —       —       693,325  

Short-Term Investments

     1,319,119       1,293,929       —       2,613,048  

Total Investments

   $ 2,012,444     $ 72,904,792     $ —     $ 74,917,236  

Asset Derivatives

                                

Forward Contract

   $ —     $ 172,137     $ —     $ 172,137  

Futures Contracts

     146,544       —       —       146,544  

Total

   $ 146,544     $ 172,137     $ —     $ 318,681  

Liability Derivatives

                                

Forward Contract

   $ —     $ (16,032 )   $ —     $ (16,032 )

Futures Contracts

     (72,080 )     —       —       (72,080 )

Swap Agreements

     —       (22,175 )     —       (22,175 )

Total

   $ (72,080 )   $ (38,207 )   $ —     $ (110,287 )

 

 

133

 

 

Notes to Financial Statements (Continued)

 

   

Level 1

    

Level 2

    

Level 3

    

Total

  

MM Select T. Rowe Price Large Cap Blend Fund

                                

Asset Investments

                                

Common Stock

   $ 1,738,398,274     $ 19,610,391 *   $ 5,313,506 **   $ 1,763,322,171  

Preferred Stock

     3,628,329       —       11,610,605 **     15,238,934  

Corporate Debt

     —       —       50,373 **     50,373  

Short-Term Investments

     74,827,930       997,435       —       75,825,365  

Total Investments

   $ 1,816,854,533     $ 20,607,826     $ 16,974,484     $ 1,854,436,843  
                                 

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

                                

Asset Investments

                                

Corporate Debt

   $ —     $ 10,128,370     $ —     $ 10,128,370  

Municipal Obligations

     —       838,658       —       838,658  

Non-U.S. Government Agency Obligations

     —       11,155,432       —       11,155,432  

U.S. Government Agency Obligations and Instrumentalities

     —       5,509,185       —       5,509,185  

U.S. Treasury Obligations

     —       150,695,178       —       150,695,178  

Mutual Funds

     11,737,424       —       —       11,737,424  

Purchased Options

     6,047       —       —       6,047  

Short-Term Investments

     13,894,851       666,805       —       14,561,656  

Total Investments

   $ 25,638,322     $ 178,993,628     $ —     $ 204,631,950  

Asset Derivatives

                                

Forward Contracts

   $ —     $ 112,375     $ —     $ 112,375  

Futures Contracts

     545,249       —       —       545,249  

Swap Agreements

     —       3,421,875       —       3,421,875  

Total

   $ 545,249     $ 3,534,250     $ —     $ 4,079,499  

Liability Derivatives

                                

Forward Contracts

   $ —     $ (125,307 )   $ —     $ (125,307 )

Futures Contracts

     (167,574 )     —       —       (167,574 )

Swap Agreements

     —       (108,701 )     —       (108,701 )

Total

   $ (167,574 )   $ (234,008 )   $ —     $ (401,582 )
                                 

MM Select T. Rowe Price Real Assets Fund

                                

Asset Investments

                                

Common Stock*

                                

Australia

   $ —     $ 18,045,754     $ —     $ 18,045,754  

Austria

     —       23,488       —       23,488  

Belgium

     —       426,905       —       426,905  

Bermuda

     —       746,193       —       746,193  

Brazil

     1,088,957       —       —       1,088,957  

Canada

     16,602,630       —       —       16,602,630  

Cayman Islands

     —       966,453       —       966,453  

Denmark

     —       616,200       —       616,200  

Finland

     —       2,373,100       —       2,373,100  

France

     —       4,185,778       —       4,185,778  

Hong Kong

     —       560,754       —       560,754  

Ireland

     1,606,756       —       —       1,606,756  

Japan

     —       5,173,606       —       5,173,606  

Kazakhstan

     —       692,584       —       692,584  

Luxembourg

     584,445       382,421       —       966,866  

Mexico

     1,136,202       —       —       1,136,202  

Netherlands

     —       623,092       —       623,092  

Norway

     —       3,603,780       —       3,603,780  

Portugal

     —       740,705       —       740,705  

Republic of Korea

     —       739,310       —       739,310  

Russia

     —       —       — +,**      —  

 

134

 

 

Notes to Financial Statements (Continued)

 

   

Level 1

    

Level 2

    

Level 3

    

Total

  

MM Select T. Rowe Price Real Assets Fund (Continued)

                                

Asset Investments (Continued)

                                

Common Stock* (Continued)

                                

Singapore

   $ —     $ 1,197,087     $ —     $ 1,197,087  

South Africa

     —       334,703       —       334,703  

Spain

     —       607,580       —       607,580  

Sweden

     —       6,960,199       —       6,960,199  

Switzerland

     —       284,352       —       284,352  

United Kingdom

     375,345       8,779,475       —       9,154,820  

United States

     110,079,797       —       —       110,079,797  

Preferred Stock

                                

United States

     896,687       —       1,312,644 **     2,209,331  

Mutual Funds

     10,988,488       —       —       10,988,488  

Short-Term Investments

     8,257,913       2,077,401       —       10,335,314  

Total Investments

   $ 151,617,220     $ 60,140,920     $ 1,312,644     $ 213,070,784  

Asset Derivatives

                                

Forward Contracts

   $ —     $ 79,336     $ —     $ 79,336  

Futures Contracts

     1,145,077       —       —       1,145,077  

Total

   $ 1,145,077     $ 79,336     $ —     $ 1,224,413  

Liability Derivatives

                                

Forward Contracts

   $ —     $ (273,208 )   $ —     $ (273,208 )

Futures Contracts

     (1,026,396 )     —       —       (1,026,396 )

Swap Agreements

     —       (274,739 )     —       (274,739 )

Total

   $ (1,026,396 )   $ (547,947 )   $ —     $ (1,574,343 )
                                 

MM Select T. Rowe Price Small and Mid Cap Blend Fund

                                

Asset Investments

                                

Common Stock

   $ 598,087,103     $ 16,483,053 *   $ 1,767,594     $ 616,337,750  

Preferred Stock

     —       525,649 *     15,270,575       15,796,224  

Rights

     —       —       28,892       28,892  

Warrants

     3,480       6,870       7,487       17,837  

Mutual Funds

     5,671,215       —       —       5,671,215  

Short-Term Investments

     33,845,374       999,387       —       34,844,761  

Total Investments

   $ 637,607,172     $ 18,014,959     $ 17,074,548     $ 672,696,679  
                                 

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

                                

Asset Investments

                                

U.S. Government Agency Obligations and Instrumentalities

   $ —     $ 3,857,943     $ —     $ 3,857,943  

U.S. Treasury Obligations

     —       121,980,286       —       121,980,286  

Mutual Funds

     375,215       —       —       375,215  

Purchased Options

     4,078       —       —       4,078  

Short-Term Investments

     605,545       1,003,737       —       1,609,282  

Total Investments

   $ 984,838     $ 126,841,966     $ —     $ 127,826,804  

Asset Derivatives

                                

Futures Contracts

   $ 383,459     $ —     $ —     $ 383,459  

Liability Derivatives

                                

Futures Contracts

   $ (555,862 )   $ —     $ —     $ (555,862 )
 

 

*

Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments after the close of trading in their respective foreign markets, as applicable.

**

Level 3 investments at September 30, 2022 in relation to net assets were not significant.

***

Unfunded loan commitments are valued at the unrealized appreciation (depreciation) on the commitment.

+

Represents a security at $0 value as of September 30, 2022.

 

135

 

 

Notes to Financial Statements (Continued)

 

For certain Fund(s) the Statement of Assets and Liabilities shows receivables from investments sold on a delayed delivery basis, cash collateral pledged for open derivatives, as well as, any applicable liabilities for investments purchased on a delayed delivery basis, amounts due to custodian, cash collateral held for open derivatives, and cash collateral held for securities on loan. These amounts approximate fair value and would be categorized at Level 2 for each applicable Fund as of September 30, 2022.

 

The Funds, with the exception of the MM Select T. Rowe Price Real Assets Fund and MM Select T. Rowe Price Small and Mid Cap Blend Fund, had no Level 3 transfers during the year ended September 30, 2022. The MM Select T. Rowe Price Small and Mid Cap Blend Fund had Level 3 transfers during the year ended September 30, 2022; however, none of the transfers individually or collectively had a material impact on the MM Select T. Rowe Price Small and Mid Cap Blend Fund.

 

The following table shows the Level 3 transfers for the MM Select T. Rowe Price Real Assets Fund for the year ended September 30, 2022:

 

 
   

Transfers In *

    

Transfers Out *

  
   

Level 3 -
Significant
Unobservable
Inputs

    

Level 2 -
Other
Significant
Observable
Inputs

  

MM Select T. Rowe Price Real Assets Fund

   $ 2,457,770     $ (2,457,770 )

 

*

Transfers into Level 3 were attributable to a lack of observable market data.

 

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

 

 

Asset Valuation Inputs
   

Investments in Securities

  
   

Balance
as of
9/30/21

    

Accrued
Discounts
(Premiums)

    

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

    

(Sales)

    

Transfers
into
Level 3

   

Transfers
(out) of
Level 3

    

Balance
as of
9/30/22

    

Net Change
in Unrealized
Appreciation
(Depreciation)
from
Investments
Still held as of
9/30/22

  

MM Select T. Rowe Price Small and Mid Cap Blend Fund

                                                        

Common Stock

   $ 2,687,443     $ —     $ 126,357     $ (651,946 )   $ 220,357     $ (637,029 )   $ 22,412     $ —     $ 1,767,594     $ (525,571 )

Preferred Stock

     20,626,567       —       126,696       (5,975,879 )     2,418,768       (1,925,577 )     —       —       15,270,575       (1,472,745 )

Warrants

     3,176       —       —       4,311       —       —       —       —       7,487       4,311  

Rights

     1,218       —       —       27,674       —       —       —       —       28,892       27,674  
    $ 23,318,404     $ —     $ 253,053     $ (6,595,840 )   $ 2,639,125     $ (2,562,606 )   $ 22,412     $ —     $ 17,074,548     $ (1,966,331 )
 

 

The MM Select T. Rowe Price Small and Mid Cap Blend Fund may fair value certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments, but may include defaulted securities and new debt issuances. There may not be a secondary market for such investments, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Valuation Committee. Valuations are reviewed by members of the Valuation Committee utilizing available market information to determine if the carrying value of these investments should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational

 

136

 

 

Notes to Financial Statements (Continued)

 

information released by the company, and/or news or corporate events that affect the investment, also referred to as enterprise value (EV) to earnings before interest, taxes, depreciation, and amortization (EBITDA) ratios. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment, and the fact that comparable public companies are not identical to the investments being fair valued by the MM Select T. Rowe Price Small and Mid Cap Blend Fund. All market variables are assessed on a regular frequency and calibrated as necessary.

 

The table excludes securities which were classified as level 3 based upon a broker quote.

 

Security Description

  

Fair Value

 

Valuation
Technique(s)

Unobservable Input
Description

  

Range of
Unobservable Inputs
Utilized (a)

    

Weighted
Average of
Unobservable
Inputs Based
on Fair Value

  

MM Select T. Rowe Price Small and Mid Cap Blend Fund

                  

Common Stock

   $ 1,767,594                      
         

Market approach

Transaction price

     $3.77 - $105.14  

$32.40

           

EV / Sales

     1.4x - 16.8x  

7.1x
           

EV / GP

     4.5x - 23.2x  

11.3x
           

EV/ EBITDA

     2.4x - 26.9x  

11.9x
           

Discount factor

     0.006244 - 0.3833  

0.3175
                             
           

PV of remaining future contingent payments less discount for timing and probability

     $0.12 - $0.35  

$0.28

Preferred Stock

   $ 15,270,575  

Market approach

Transaction price

     $0.00 - $125.00  

$42.03

           

Transaction price +/- capital structure adjustment

     $56.21 - $61.98  

$59.74

           

EV/ Sales

     0.8x - 16.8x  

5.98x
           

EV Sales LTM

     2.4x  

—

           

EV/ GMV

     0.29x - 0.6x  

0.36x
           

EV/ GP

     2.3x - 23.2x  

11.0x
           

EV/GP LTM

     3.4x  

—

           

EV/ EBITDA

     4.3x - 26.9x  

17.6x
           

Probability of zero outcome

     50% - 80%  

79.4%
           

Implied Discount

     30%  

—

Warrants

                            
    $ 7,487  

Black-Scholes option pricing model

Risk-free rate

     2.5% - 3.0%  

2.9%
           

Volatility

     37.7% - 41.1%  

38.2%
           

Time to Expiration

     1.6 - 6  

2.2

Rights

                            
    $ 28,892  

Market approach

PV of future payments

     $1.15  

$—

                             

Total

   $ 17,074,548                      
 

 

(a)

A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

 

Abbreviation Legend

EV/ GP - financial ratio of comparable public companies’ enterprise value to gross profit; measures the value of a comparable company in terms of its gross profit for a given year

EV/ GMV - financial ratio of comparable public companies’ enterprise value to gross market value; measures the value of a comparable company in terms of its gross profit for a given year

 

137

 

 

Notes to Financial Statements (Continued)

 

EV/ Sales - financial ratio of comparable public companies’ enterprise value to sales; measures the value of a comparable company in terms of its sales for a given year

EV/ EBITDA - financial ratio of comparable public companies’ enterprise value to earnings; measures the value of a comparable company in terms of its expected earnings for a given year

EV/ Sales LTM- financial ratio of comparable public companies’ enterprise value to sales last twelve months; measures the value of a comparable company in terms of its sales for the last twelve months

EV/ GP LTM- financial ratio of comparable public companies’ enterprise value to gross profit last twelve months; measures the value of a comparable company in terms of its gross profit for the last twelve months

PV - present value; current value of a future stream of cash flows assuming a specified rate of return

 

Derivative Instruments

 

Derivatives are financial instruments whose values are based on the values of one or more underlying indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Losses from derivatives can be substantially greater than the derivatives’ original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price.

 

At September 30, 2022, 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/
Inflation Rate
Risk

    

Total

  

Equity Asset Fund

                                        

Liability Derivatives

                                        

Futures Contracts^^

   $ —     $ (423,966 )   $ —     $ —     $ (423,966 )

Realized Gain (Loss)#

                                        

Futures Contracts

   $ —     $ (1,435,975 )   $ —     $ —     $ (1,435,975 )

Change in Appreciation (Depreciation)##

                                        

Futures Contracts

   $ —     $ (219,418 )   $ —     $ —     $ (219,418 )
                                         

MM Select T. Rowe Price Bond Asset Fund

Asset Derivatives

                                        

Forward Contracts*

   $ —     $ —     $ 8,771,169     $ —     $ 8,771,169  

Futures Contracts^^

     —       —       —       132,931       132,931  

Swap Agreements*

    80       —       —       —       80  

Swap Agreements^^,^^^

     409,020       —       —       481,838       890,858  

Total Value

   $ 409,100     $ —     $ 8,771,169     $ 614,769     $ 9,795,038  

Liability Derivatives

                                        

Forward Contracts^

   $ —     $ —     $ (1,150,880 )   $ —     $ (1,150,880 )

Futures Contracts^^

     —       —       —       (2,560,145 )     (2,560,145 )

Swap Agreements^

     (44,815 )     —       —       —       (44,815 )

Swap Agreements^^,^^^

     (325,423 )     —       —       (1,810,014 )     (2,135,437 )

Total Value

   $ (370,238 )   $ —     $ (1,150,880 )   $ (4,370,159 )   $ (5,891,277 )

Realized Gain (Loss)#

                                        

Purchased Options

   $ —     $ (85,314 )   $ 1,484     $ —     $ (83,830 )

Forward Contracts

     —       —       22,620,409       —       22,620,409  

Futures Contracts

     —       —       —       (15,126,292 )     (15,126,292 )

Swap Agreements

     (696,072 )     —       —       501,849       (194,223 )

Written Options

     —       —       (41,897 )     —       (41,897 )

Total Realized Gain (Loss)

   $ (696,072 )   $ (85,314 )   $ 22,579,996     $ (14,624,443 )   $ 7,174,167  

 

 

138

 

 

Notes to Financial Statements (Continued)

 

   

Credit
Risk

    

Equity
Risk

    

Foreign
Exchange
Risk

    

Interest/
Inflation Rate
Risk

    

Total

  

MM Select T. Rowe Price Bond Asset Fund (Continued)

                                        

Change in Appreciation (Depreciation)##

                                        

Purchased Options

   $ —     $ —     $ 31,326     $ —     $ 31,326  

Forward Contracts

     —       —       4,821,100       —       4,821,100  

Futures Contracts

     —       —       —       (1,789,849 )     (1,789,849 )

Swap Agreements

     (16,791 )     —       —       (2,139,383 )     (2,156,174 )

Written Options

     —       —       (16,420 )     —       (16,420 )

Total Change in Appreciation (Depreciation)

   $ (16,791 )   $ —     $ 4,836,006     $ (3,929,232 )   $ 889,983  
                                         

MM Select T. Rowe Price Emerging Markets Bond Fund

Asset Derivatives

                                        

Forward Contracts*

   $ —     $ —     $ 172,137     $ —     $ 172,137  

Futures Contracts^^

     —       —       —       146,544       146,544  

Total Value

   $ —     $ —     $ 172,137     $ 146,544     $ 318,681  

Liability Derivatives

                                        

Forward Contracts^

   $ —     $ —     $ (16,032 )   $ —     $ (16,032 )

Futures Contracts^^

     —       —       —       (72,080 )     (72,080 )

Swap Agreements^^,^^^

     (22,175 )     —       —       —       (22,175 )

Total Value

   $ (22,175 )   $ —     $ (16,032 )   $ (72,080 )   $ (110,287 )

Realized Gain (Loss)#

                                        

Forward Contracts

   $ —     $ —     $ 379,507     $ —     $ 379,507  

Futures Contracts

     —       —       —       155,665       155,665  

Swap Agreements

     (71,487 )     —       —       —       (71,487 )

Total Realized Gain (Loss)

   $ (71,487 )   $ —     $ 379,507     $ 155,665     $ 463,685  

Change in Appreciation (Depreciation)##

                                        

Forward Contracts

   $ —     $ —     $ 130,872     $ —     $ 130,872  

Futures Contracts

     —       —       —       162,099       162,099  

Swap Agreements

     9,720       —       —       —       9,720  

Total Change in Appreciation (Depreciation)

   $ 9,720     $ —     $ 130,872     $ 162,099     $ 302,691  
                                         

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

Asset Derivatives

                                        

Purchased Options*,^^^

   $ —     $ —     $ —     $ 6,047     $ 6,047  

Forward Contracts*

     —       —       112,375       —       112,375  

Futures Contracts^^

     —       —       —       545,249       545,249  

Swap Agreements*

     —       —       —       2,914,903       2,914,903  

Swap Agreements^^,^^^

     —       —       —       506,972       506,972  

Total Value

   $ —     $ —     $ 112,375     $ 3,973,171     $ 4,085,546  

Liability Derivatives

                                        

Forward Contracts^

   $ —     $ —     $ (125,307 )   $ —     $ (125,307 )

Futures Contracts^^

     —       —       —       (167,574 )     (167,574 )

Swap Agreements^^,^^^

     —       —       —       (108,701 )     (108,701 )

Total Value

   $ —     $ —     $ (125,307 )   $ (276,275 )   $ (401,582 )

Realized Gain (Loss)#

                                        

Purchased Options

   $ —     $ —     $ —     $ 75,989     $ 75,989  

Forward Contracts

     —       —       (226,913 )     —       (226,913 )

Futures Contracts

     —       —       —       (1,410,806 )     (1,410,806 )

Swap Agreements

     (617 )     —       —       1,512,914       1,512,297  

Written Options

     —       —       —       (151,844 )     (151,844 )

Total Realized Gain (Loss)

   $ (617 )   $ —     $ (226,913 )   $ 26,253     $ (201,277 )

 

139

 

 

Notes to Financial Statements (Continued)

 

   

Credit
Risk

    

Equity
Risk

    

Foreign
Exchange
Risk

    

Interest/
Inflation Rate
Risk

    

Total

  

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund (Continued)

Change in Appreciation (Depreciation)##

                                        

Purchased Options

   $ —     $ —     $ —     $ (10,818 )   $ (10,818 )

Forward Contracts

     —       —       4,390       —       4,390  

Futures Contracts

     —       —       —       393,090       393,090  

Swap Agreements

     385       —       —       1,131,593       1,131,978  

Total Change in Appreciation (Depreciation)

   $ 385     $ —     $ 4,390     $ 1,513,865     $ 1,518,640  
 

MM Select T. Rowe Price Real Assets Fund

Asset Derivatives

                                        

Forward Contracts*

   $ —     $ —     $ 79,336     $ —     $ 79,336  

Futures Contracts^^

     —       1,017,572       —       127,505       1,145,077  

Total Value

   $ —     $ 1,017,572     $ 79,336     $ 127,505     $ 1,224,413  

Liability Derivatives

                                        

Forward Contracts^

   $ —     $ —     $ (273,208 )   $ —     $ (273,208 )

Futures Contracts^^

     —       (1,026,396 )     —       —       (1,026,396 )

Swap Agreements^

     —       (274,739 )     —       —       (274,739 )

Total Value

   $ —     $ (1,301,135 )   $ (273,208 )   $ —     $ (1,574,343 )

Realized Gain (Loss)#

                                        

Purchased Options

   $ —     $ (379,126 )   $ —     $ —     $ (379,126 )

Forward Contracts

     —       —       (525,519 )     —       (525,519 )

Futures Contracts

     —       1,438,017       —       830,358       2,268,375  

Swap Agreements

     —       (441,907 )     —       (14,746 )     (456,653 )

Total Realized Gain (Loss)

   $ —     $ 616,984     $ (525,519 )   $ 815,612     $ 907,077  

Change in Appreciation (Depreciation)##

                                        

Forward Contracts

   $ —     $ —     $ (193,872 )   $ —     $ (193,872 )

Futures Contracts

     —       (15,464 )     —       76,930       61,466  

Swap Agreements

     —       (274,739 )     —       —       (274,739 )

Total Change in Appreciation (Depreciation)

   $ —     $ (290,203 )   $ (193,872 )   $ 76,930     $ (407,145 )
                                         

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

Asset Derivatives

                                        

Purchased Options*,^^^

   $ —     $ —     $ —     $ 4,078     $ 4,078  

Futures Contracts^^

     —       —       —       383,459       383,459  

Total Value

   $ —     $ —     $ —     $ 387,537     $ 387,537  

Liability Derivatives

                                        

Futures Contracts^^

   $ —     $ —     $ —     $ (555,862 )   $ (555,862 )

Realized Gain (Loss)#

                                        

Purchased Options

   $ —     $ —     $ —     $ 79,262     $ 79,262  

Futures Contracts

     —       —       —       (961,343 )     (961,343 )

Written Options

     —       —       —       (58,049 )     (58,049 )

Total Realized Gain (Loss)

   $ —     $ —     $ —     $ (940,130 )   $ (940,130 )

Change in Appreciation (Depreciation)##

                                        

Purchased Options

   $ —     $ —     $ —     $ (7,296 )   $ (7,296 )

Futures Contracts

     —       —       —       (185,724 )     (185,724 )

Written Options

     —       —       —       (238 )     (238 )

Total Change in Appreciation (Depreciation)

   $ —     $ —     $ —     $ (193,258 )   $ (193,258 )
 

 

*

Statements of Assets and Liabilities location: Investments, at value, or Receivables from: open forward contracts or open swap agreements, at value, as applicable.

 

140

 

 

Notes to Financial Statements (Continued)

 

^

Statements of Assets and Liabilities location: Payables for: open forward contracts and open swap agreements, 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 purchased options which are not subject to a master netting agreement or similar agreement.

#

Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

##

Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, forward contracts, futures contracts, swap agreements, or written options, as applicable.

 

For the year ended September 30, 2022, the average number of contracts, notional amounts, or shares/units for each derivative type was as follows:

 

 
   

Average Number of Contracts, Notional Amounts, or Shares/Units †

  

Fund Name

  

Futures
Contracts

    

Forward
Contracts

    

Swap
Agreements

    

Purchased
Options

    

Written
Options

  

Equity Asset Fund

     21     $ —     $ —       —       —  

MM Select T. Rowe Price Bond Asset Fund

     1,648       230,490,547       340,477,236       10,548,148       3,815,750  

MM Select T. Rowe Price Emerging Markets Bond Fund

     69       3,190,520       718,750       —       —  

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     527       13,395,845       47,457,000       91       106  

MM Select T. Rowe Price Real Assets Fund

     149       11,829,414       84,661       113       —  

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     291       —       —       48       45  

 

†

Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, 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, 2022.

 

The Portfolio of Investments included in a Fund’s financial statements shows the assets or liabilities of the Fund associated with individual derivatives transactions. The terms of many of those transactions contemplate that derivatives receivables and payables between the same two parties may be netted and that the parties will collateralize certain obligations. The following tables provide an illustration of the possible effect of netting provisions and of collateral (delivered or received) on a Fund’s derivatives exposure as of September 30, 2022. Netting arrangements vary among different counterparties, and the actual disposition of derivatives receivables and payables, and of collateral, in a bankruptcy or insolvency can be complicated and difficult to predict.

 

141

 

 

Notes to Financial Statements (Continued)

 

The following table presents derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”) or similar agreement and net of the related collateral received by the Fund(s) as of September 30, 2022.

 

 

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

                                

Barclays Bank PLC

   $ 189,007     $ (1,593 )   $ (100,000 )   $ 87,414  

BNP Paribas SA

     1,643,083       (84,753 )     (1,558,330 )     —  

Citibank N.A.

     435,020       (185,986 )     (249,034 )     —  

Deutsche Bank AG

     25,501       (25,501 )     —       —  

Goldman Sachs International

     161,825       (161,825 )     —       —  

HSBC Bank USA

     1,619,121       (32,781 )     (1,586,340 )     —  

JP Morgan Chase Bank N.A.

     33,226       (7,030 )     —       26,196  

Morgan Stanley & Co. LLC

     349,415       (3,144 )     (206,000 )     140,271  

Royal Bank of Canada

     719       —       —       719  

State Street Bank and Trust

     1,571,062       (381,427 )     —       1,189,635  

UBS AG

     2,743,270       (228,060 )     (2,515,210 )     —  
    $ 8,771,249     $ (1,112,100 )   $ (6,214,914 )   $ 1,444,235  
                                 

MM Select T. Rowe Price Emerging Markets Bond Fund

                                

BNP Paribas SA

   $ 4,269     $ (1,315 )   $ —     $ 2,954  

Citibank N.A.

     1,989       —       —       1,989  

HSBC Bank USA

     40,234       (2,392 )     —       37,842  

Morgan Stanley & Co. LLC

     44,690       (7,869 )     —       36,821  

UBS AG

     80,955       —       —       80,955  
    $ 172,137     $ (11,576 )   $ —     $ 160,561  
                         

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

                                

Bank of America N.A.

   $ 412,994     $ —     $ (260,000 )   $ 152,994  

Barclays Bank PLC

    280,806       —       (206,442 )     74,364  

Citibank N.A.

     1,590,176       —       (1,590,176 )     —  

Goldman Sachs International

     327,725       (24,193 )     (300,000 )     3,532  

HSBC Bank USA

     282,657       (101,114 )     —       181,543  

UBS AG

     132,920       —       —       132,920  
    $ 3,027,278     $ (125,307 )   $ (2,356,618 )   $ 545,353  
                                 

MM Select T. Rowe Price Real Assets Fund

                                

BNP Paribas SA

   $ 9,766     $ (7,597 )   $ —     $ 2,169  

Deutsche Bank AG

     39,072       —       —       39,072  

Wells Fargo Bank N.A.

     30,498       —       —       30,498  
    $ 79,336     $ (7,597 )   $ —     $ 71,739  
 

 

 

142

 

 

Notes to Financial Statements (Continued)

 

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, 2022.

 

 

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.

   $ (38,440 )   $ —     $ —     $ (38,440 )

Barclays Bank

     (1,593 )     1,593       —       —  

BNP Paribas SA

     (84,753 )     84,753       —       —  

Citibank N.A.

     (185,986 )     185,986       —       —  

Deutsche Bank AG

     (49,521 )     25,501       —       (24,020 )

Goldman Sachs International

     (182,960 )     161,825       —       (21,135 )

HSBC Bank USA

     (32,781 )     32,781       —       —  

JP Morgan Chase Bank N.A.

     (7,030 )     7,030       —       —  

Morgan Stanley & Co. LLC

     (3,144 )     3,144       —       —  

State Street Bank and Trust

     (381,427 )     381,427       —       —  

UBS AG

     (228,060 )     228,060       —       —  
    $ (1,195,695 )   $ 1,112,100     $ —     $ (83,595 )
                                 

T. Rowe Price Emerging Markets Bond Fund

                                

Barclays Bank PLC

   $ (1,791 )   $ —     $ —     $ (1,791 )

BNP Paribas SA

     (1,315 )     1,315       —       —  

Deutsche Bank AG

     (2,608 )     —       —       (2,608 )

Goldman Sachs International

     (57 )     —       —       (57 )

HSBC Bank USA

     (2,392 )     2,392       —       —  

Morgan Stanley & Co. LLC

     (7,869 )     7,869       —       —  
    $ (16,032 )   $ 11,576     $ —     $ (4,456 )
                                 
                                 

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

Goldman Sachs International

   $ (24,193 )   $ 24,193     $ —     $ —  

HSBC Bank USA

     (101,114 )     101,114       —       —  
    $ (125,307 )   $ 125,307     $ —     $ —  
                                 
                                 

MM Select T. Rowe Price Real Assets Fund

                                

Bank of America N.A.

   $ (140,251 )   $ —     $ —     $ (140,251 )

BNP Paribas SA

     (7,597 )     7,597       —       —  

Citibank N.A.

     (274,739 )     —       —       (274,739 )

JP Morgan Chase Bank N.A.

     (59,701 )     —       —       (59,701 )

Morgan Stanley & Co. LLC

     (65,659 )     —       —       (65,659 )
    $ (547,947 )   $ 7,597     $ —     $ (540,350 )
 

 

*

Represents the net amount receivable from the counterparty in the event of default.

**

Represents the net amount payable to the counterparty in the event of default.

***

The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

†

The amount presented here may be less than the total amount shown in the Statements of Assets and Liabilities as some derivatives held by the counterparty are not covered within an MNA or similar agreement.

 

143

 

 

Notes to Financial Statements (Continued)

 

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. The Fund(s) and counterparties may not be permitted to sell, re-pledge, or use the collateral they receive. In the event that cash collateral is restricted for use, the balance will be reflected as restricted cash within the Statement of Assets and Liabilities.

 

Further details regarding the derivatives and other investments held by the Fund(s) during the year ended September 30, 2022, are discussed below.

 

Foreign Currency Exchange Transactions

 

A Fund may enter into foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

 

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a futures contract or forward contract with respect to that currency. 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/(depreciation) 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.

 

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

 

144

 

 

Notes to Financial Statements (Continued)

 

a specified price. A Fund may use index futures contracts to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets, including commodities and precious metals. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures contracts may be closed out only on an exchange or board of trade which provides a market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

 

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

 

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.

 

Total Return Swaps. A Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund

 

145

 

 

Notes to Financial Statements (Continued)

 

may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

 

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 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 a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

 

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

 

146

 

 

Notes to Financial Statements (Continued)

 

to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

 

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

 

A Fund’s current exposure to a counterparty is the fair value of the transaction.

 

Options, Rights, and Warrants

 

A Fund may purchase and sell put and call options on portfolio securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

 

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date in the case of an American-style option or only on the expiration date in the case of a European-style option.

 

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price.

 

Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

 

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

 

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

 

147

 

 

Notes to Financial Statements (Continued)

 

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 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

 

148

 

 

Notes to Financial Statements (Continued)

 

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.

 

149

 

 

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, 2022, 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

 

150

 

 

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) and/or securities (U.S. Treasury and Agency obligations) adjusted daily to have value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the Agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At September 30, 2022, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan and all of the Funds’ cash collateral was invested in the State Street Navigator Securities Lending Government Money Market Portfolio.

 

Subject to the terms of the Lending Agreement and the agreement between the Agent and the applicable Borrower (“Borrowing Agreement”), security loans can be terminated by the Agent, the Fund, or the Borrower and the related securities must be returned within the earlier of the customary settlement period for such securities or the period of time specified in the Borrowing Agreement.

 

The Funds employ the Agent to implement their securities lending program and the Agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the Borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the Agent or Borrower, respectively. Income received by the Funds in securities lending transactions during the year ended September 30, 2022, is reflected as securities lending income on the Statement of Operations.

 

Accounting for Investment Transactions

 

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and realized capital gain distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain.

 

151

 

 

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, public health, and diplomatic risks. In addition, fluctuations in currency exchange rates may favorably or unfavorably 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, less stringent investor protection and disclosure standards, less reliable settlement practices, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, greater risk of new or inconsistent government treatment of or restrictions on issuers and instruments, and greater volatility in currency exchange rates, and are more susceptible to environmental problems.

 

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.

 

152

 

 

Notes to Financial Statements (Continued)

 

MML Advisers has also entered into investment subadvisory agreements for each Fund with the unaffiliated investment subadviser shown in the following table.

 

 

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*

0.00%

T. Rowe Price Associates, Inc.

MM Select T. Rowe Price Emerging Markets Bond Fund

0.00%

T. Rowe Price Associates, Inc.

MM Select T. Rowe Price Large Cap Blend Fund

0.00%

T. Rowe Price Associates, Inc.

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

0.00%

T. Rowe Price Associates, Inc.

MM Select T. Rowe Price Real Assets Fund**

0.00%

T. Rowe Price Associates, Inc.

MM Select T. Rowe Price Small and Mid Cap Blend Fund***

0.00%

T. Rowe Price Associates, Inc.

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

0.00%

T. Rowe Price Associates, Inc.

 

*

T. Rowe Price International Ltd serves as a sub-subadviser of the Fund.

**

T. Rowe Price Japan, Inc. serves as a sub-subadviser of the Fund.

***

T. Rowe Price Investment Management, Inc. serves as a sub-subadviser of the Fund.

 

MML Advisers pays any subadvisory fees to the subadvisers based upon the average daily net assets of the Fund. The Funds’ subadvisory fees, if applicable, are paid monthly by MML Advisers out of the advisory fees.

 

Expense Caps and Waivers

 

MML Advisers agreed to cap the fees and expenses of the Funds noted below (other than extraordinary legal and other expenses, Acquired Fund Fees and Expenses#, interest expense, expenses related to borrowings, securities lending, leverage, taxes, and brokerage, short sale dividend and loan expense, or other non-recurring or unusual expenses such as organizational expenses and shareholder meeting expenses, as applicable) through January 31, 2023, based upon the average daily net assets of the Funds, as follows:

 

 
 

Class I

MM Select T. Rowe Price Bond Asset Fund

0.00%

MM Select T. Rowe Price Emerging Markets Bond Fund

0.00%

MM Select T. Rowe Price Large Cap Blend Fund

0.00%

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

0.00%

MM Select T. Rowe Price Real Assets Fund

0.00%

MM Select T. Rowe Price Small and Mid Cap Blend Fund

0.00%

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

0.00%

 

#

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.

 

153

 

 

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, 2022, brokerage commissions rebated under these agreements were as follows:

 

 
   

Rebated
Commissions

  

Equity Asset Fund

  $ 2,557  

 

Deferred Compensation

 

Trustees of the Funds who are not officers or employees of MassMutual may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

 

Other

 

Certain officers and trustees of the Funds may also be employees of MassMutual. The compensation of a trustee who is not an employee of MassMutual is borne by the Funds.

 

The following table shows beneficial ownership of Funds’ shares by related parties at September 30, 2022:

 

 
 

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 Index Fund

100.0%

 

 

154

 

 

Notes to Financial Statements (Continued)

 

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, 2022, 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

   $ —     $ 145,009,544     $ —     $ 184,152,230  

MM Select T. Rowe Price Bond Asset Fund

     1,755,003,355       171,902,736       1,792,042,348       244,978,108  

MM Select T. Rowe Price Emerging Markets Bond Fund

     —       33,553,865       —       32,837,840  

MM Select T. Rowe Price Large Cap Blend Fund

     —       2,691,783,020       —       2,632,923,628  

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     430,698,057       15,391,164       496,990,195       22,817,831  

MM Select T. Rowe Price Real Assets Fund

     —       167,941,507       —       81,419,593  

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     —       272,613,596       —       323,168,470  

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     191,203,136       —       130,574,115       —  

 

The Funds may purchase from, or sell securities to, other affiliated Funds under procedures adopted by the Trustees. These procedures have been designed to ensure that cross trades conducted by the Funds comply with Rule 17a-7 under the 1940 Act. The cross trades disclosed in the table below are included within the respective purchases and sales amounts shown in the table above, as applicable.

 

 
   

Purchases

    

Sales

    

Realized
Gains/(Losses)

  

MM Select T. Rowe Price Bond Asset Fund

   $ —     $ 2,097,564     $ (213,837 )

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     839,208       577,619       111,230  

 

5.

Capital Share Transactions

 

Changes in shares outstanding for each Fund were as follows:

 

 
   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

Equity Asset Fund Class I

                                

Sold

     12,826,056     $ 108,281,336       8,481,878     $ 81,273,129  

Issued as reinvestment of dividends

     9,040,131       81,089,970       6,517,621       54,878,368  

Redeemed

     (17,806,773 )     (153,448,249 )     (23,818,829 )     (227,243,554 )

Net increase (decrease)

     4,059,414     $ 35,923,057       (8,819,330 )   $ (91,092,057 )

MM Select T. Rowe Price Bond Asset Fund Class I

                                

Sold

     6,595,443     $ 64,637,377       18,070,859     $ 189,555,100  

Issued as reinvestment of dividends

     2,547,231       25,803,449       2,470,327       25,814,917  

Redeemed

     (22,469,805 )     (215,548,508 )     (12,964,512 )     (135,719,171 )

Net increase (decrease)

     (13,327,131 )   $ (125,107,682 )     7,576,674     $ 79,650,846  

 

 

155

 

 

Notes to Financial Statements (Continued)

 

   

Year Ended September 30, 2022

    

Year Ended September 30, 2021

  
   

Shares

    

Amount

    

Shares

    

Amount

  

MM Select T. Rowe Price Emerging Markets Bond Fund Class I

                                

Sold

     2,286,899     $ 18,445,413       2,059,531     $ 19,927,162  

Issued as reinvestment of dividends

     650,255       5,878,302       658,213       6,332,004  

Redeemed

     (2,809,835 )     (22,987,605 )     (3,276,208 )     (31,667,166 )

Net increase (decrease)

     127,319     $ 1,336,110       (558,464 )   $ (5,408,000 )

MM Select T. Rowe Price Large Cap Blend Fund Class I

                                

Sold

     38,140,999     $ 536,673,778       20,764,352     $ 325,534,587  

Issued as reinvestment of dividends

     26,559,408       407,155,724       1,103,631       15,903,325  

Redeemed

     (32,177,412 )     (449,999,588 )     (25,710,532 )     (413,163,921 )

Net increase (decrease)

     32,522,995     $ 493,829,914       (3,842,549 )   $ (71,726,009 )

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund Class I

                                

Sold

     8,152,291     $ 88,123,958       13,823,027     $ 147,572,333  

Issued as reinvestment of dividends

     1,778,263       18,493,933       575,795       6,011,297  

Redeemed

     (15,414,432 )     (160,791,935 )     (7,155,431 )     (77,442,772 )

Net increase (decrease)

     (5,483,878 )   $ (54,174,044 )     7,243,391     $ 76,140,858  

MM Select T. Rowe Price Real Assets Fund Class I

                                

Sold

     8,825,504     $ 111,462,520       3,625,804     $ 43,104,715  

Issued as reinvestment of dividends

     1,155,912       14,576,042       227,733       2,480,008  

Redeemed

     (2,286,948 )     (28,386,672 )     (1,346,757 )     (16,166,093 )

Net increase (decrease)

     7,694,468     $ 97,651,890       2,506,780     $ 29,418,630  

MM Select T. Rowe Price Small and Mid Cap Blend Fund Class I

                                

Sold

     8,963,149     $ 120,798,855       7,958,789     $ 117,789,409  

Issued as reinvestment of dividends

     8,589,138       120,935,066       3,395,111       46,818,583  

Redeemed

     (13,303,227 )     (176,346,398 )     (15,343,600 )     (233,971,045 )

Net increase (decrease)

     4,249,060     $ 65,387,523       (3,989,700 )   $ (69,363,053 )

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund Class I

                                

Sold

     13,442,628     $ 92,251,410       7,053,603     $ 67,462,524  

Issued as reinvestment of dividends

     248,980       1,934,574       4,083,390       33,769,639  

Redeemed

     (4,852,378 )     (33,120,671 )     (1,957,953 )     (16,268,858 )

Net increase (decrease)

     8,839,230     $ 61,065,313       9,179,040     $ 84,963,305  
 

 

156

 

 

Notes to Financial Statements (Continued)

 

6.

Federal Income Tax Information

 

At September 30, 2022, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

 

 
   

Federal Income
Tax Cost

    

Tax Basis
Unrealized
Appreciation

    

Tax Basis
Unrealized
(Depreciation)

    

Net Unrealized
Appreciation
(Depreciation)

  

Equity Asset Fund

   $ 289,402,191     $ 36,927,965     $ (24,173,215 )   $ 12,754,750  

MM Select T. Rowe Price Bond Asset Fund

     680,595,809       2,316,389       (91,105,769 )     (88,789,380 )

MM Select T. Rowe Price Emerging Markets Bond Fund

     103,696,177       209,731       (28,762,165 )     (28,552,434 )

MM Select T. Rowe Price Large Cap Blend Fund

     2,090,452,609       59,429,006       (295,444,772 )     (236,015,766 )

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     221,463,383       526,794       (13,691,128 )     (13,164,334 )

MM Select T. Rowe Price Real Assets Fund

     246,720,858       6,920,845       (40,920,849 )     (34,000,004 )

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     700,508,564       74,366,965       (102,178,850 )     (27,811,885 )

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     173,465,012       6,089       (45,816,700 )     (45,810,611 )

 

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. Capital losses may be carried forward indefinitely, and retain the character of the original loss.

 

At September 30, 2022, the following Fund(s) had accumulated capital loss carryforwards:

 

 
   

Short Term
Capital Loss
Carryforward

    

Long Term
Capital Loss
Carryforward

  

MM Select T. Rowe Price Emerging Markets Bond Fund

   $ 2,679,272     $ 5,082,079  

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     2,492,591       7,337,675  

 

The following Fund(s) elected to defer to the fiscal year beginning October 1, 2022, post-October capital losses:

 

 
   

Post-October
Loss

  

MM Select T. Rowe Price Bond Asset Fund

   $ 50,762,880  

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     13,093,061  

 

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.

 

157

 

 

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, 2022, was as follows:

 

 
   

Ordinary
Income

    

Long Term
Capital Gain

  

Equity Asset Fund

   $ 15,272,413     $ 65,817,557  

MM Select T. Rowe Price Bond Asset Fund

     24,045,723       1,757,726  

MM Select T. Rowe Price Emerging Markets Bond Fund

     5,878,302       —  

MM Select T. Rowe Price Large Cap Blend Fund

     140,955,247       266,200,477  

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     15,969,168       2,524,765  

MM Select T. Rowe Price Real Assets Fund

     6,076,480       8,499,562  

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     25,974,162       94,960,904  

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     1,934,574       —  

 

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended September 30, 2021, was as follows:

 

 
   

Ordinary
Income

    

Long Term
Capital Gain

  

Equity Asset Fund

   $ 6,441,250     $ 48,437,118  

MM Select T. Rowe Price Bond Asset Fund

     15,115,881       10,699,036  

MM Select T. Rowe Price Emerging Markets Bond Fund

     6,332,004       —  

MM Select T. Rowe Price Large Cap Blend Fund

     15,903,325       —  

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     4,626,676       1,384,621  

MM Select T. Rowe Price Real Assets Fund

     2,480,008       —  

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     15,289,172       31,529,411  

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     13,043,146       20,726,493  

 

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, 2022, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses, deferred Trustee compensation, and other temporary basis adjustments.

 

158

 

 

Notes to Financial Statements (Continued)

 

At September 30, 2022, 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

  

Equity Asset Fund

   $ 3,239,827     $ 41,023,653     $ (30,365 )   $ 12,733,190     $ 56,966,305  

MM Select T. Rowe Price Bond Asset Fund

     32,364,349       —       (50,776,451 )     (88,979,603 )     (107,391,705 )

MM Select T. Rowe Price Emerging Markets Bond Fund

     3,805,330       (7,761,351 )     (2,057 )     (28,556,128 )     (32,514,206 )

MM Select T. Rowe Price Large Cap Blend Fund

     16,054,011       193,468,487       (26,119 )     (235,997,434 )     (26,501,055 )

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     16,304,561       —       (13,096,478 )     (13,151,871 )     (9,943,788 )

MM Select T. Rowe Price Real Assets Fund

     5,138,964       10,148,604       (1,695 )     (34,054,148 )     (18,768,275 )

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     5,077,220       47,644,453       (12,816 )     (27,818,949 )     24,889,908  

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     3,035,612       (9,830,266 )     (2,772 )     (45,810,611 )     (52,608,037 )

 

During the year ended September 30, 2022, 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)

  

Equity Asset Fund

   $ —     $ 235,435     $ (235,435 )

MM Select T. Rowe Price Bond Asset Fund

     13,983       (17,914,038 )     17,900,055  

MM Select T. Rowe Price Emerging Markets Bond Fund

     —       (61,854 )     61,854  

MM Select T. Rowe Price Large Cap Blend Fund

     —       3,912,681       (3,912,681 )

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

     —       (3,544,309 )     3,544,309  

MM Select T. Rowe Price Real Assets Fund

     (4,573 )     1,082,166       (1,077,593 )

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     (47,980 )     672,019       (624,039 )

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

     —       (116,615 )     116,615  

 

The Funds did not have any unrecognized tax benefits at September 30, 2022, 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, 2022, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

 

 

159

 

 

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 January 2021, FASB issued Accounting Standards Update 2021-01 — Reference Rate Reform (Topic 848) — Scope (“ASU 2021-01”) as an update to Accounting Standards Update 2020-04 — Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) in order to make certain clarifications. ASU 2020-04 and ASU 2021-01 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates. The temporary relief provided by ASU 2020-04 and ASU 2021-01 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management does not believe the impact of adopting ASU 2020-04 and ASU 2021-01 will have a material impact on the financial statements.

 

In June 2022, FASB issued Accounting Standards Update 2022-03 — Fair Value Measurement (Topic 820) — Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies the guidance in Topic 820 to indicate that a contractual sale restriction should not be considered in the fair value of an equity security subject to such a restriction, and requires entities with investments in equity securities subject to contractual sale restrictions to disclose certain qualitative and quantitative information about such securities. ASU 2022-03 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. ASU 2022-03 will only be applicable to an equity security in which the contractual arrangement that restricts its sale is executed or modified on or after the adoption date. Management is currently evaluating the impact of applying this update.

 

9.

Coronavirus (COVID-19) Pandemic

 

The global pandemic outbreak of the novel coronavirus known as COVID-19 and efforts to contain its spread have produced, and will likely continue to produce, substantial market volatility, severe market dislocations and liquidity constraints in many markets, exchange trading suspensions and closures, higher default rates, and global business disruption, and they may result in future significant adverse effects, such as declines in global financial markets and a substantial economic downturn or recession throughout the world. Such factors may have a significant adverse effect on a Fund’s performance and have the potential to impair the ability of a Fund’s investment adviser, subadviser, or other service providers to serve the Fund and could lead to disruptions that negatively impact the Fund.

 

10.

Russia-Ukraine War

 

In February 2022, Russia commenced a large-scale military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the regional and the global financial markets and economies. One or more of the Funds hold positions in securities or other instruments that are economically tied to Russia. Investments in Russia are subject to political, economic, legal, market, and currency risks, as well as the risks related to the economic sanctions on Russia, Russian individuals, and Russian corporate and banking entities imposed by the United States and/or other countries. Such sanctions — which affect companies in many sectors, including energy, financial services, and defense, among others — could adversely affect the global energy and financial markets and, thus, could affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. Such sanctions may also result in a decline in the value and liquidity of Russian securities and a weakening of the ruble, and will impair a Fund’s ability to buy, sell, receive, or deliver Russian securities. In addition, certain transactions have

 

160

 

 

Notes to Financial Statements (Continued)

 

been or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet shareholder redemptions.

 

11.

Subsequent Events

 

In preparation of these financial statements, management has evaluated the events and transactions subsequent to September 30, 2022, 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 November 1, 2022, T. Rowe Price Hong Kong Limited was added as a sub-subadviser of the MM Select T. Rowe Price Bond Asset Fund and the MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund.

 

Effective November 1, 2022, T. Rowe Price International Ltd was added as a sub-subadviser of the MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund.

 

161

 

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of MassMutual Select Funds and Shareholders of MM 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 Index 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, 2022, 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, 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, 2022, 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 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

Financial Highlights

MM Equity Asset Fund

For each of the five years in the period ended September 30, 2022

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 Index Fund

For each of the four years in the period ended September 30, 2022, 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 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.

 

162

 

 

Report of Independent Registered Public Accounting Firm (Continued)

 

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, 2022, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

/s/ Deloitte & Touche LLP

 

Boston, Massachusetts
November 28, 2022

 

We have served as the auditor of one or more MassMutual investment companies since 1995.

 

163

 

 

Trustees and Principal Officers (Unaudited)

 

The following table lists the Trust’s Trustees and Principal Officers; their address and year of birth; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during at least 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, 1295 State Street, Springfield, Massachusetts 01111-0001, Attention: Investment Management Solutions.

 

Independent Trustees

 

Name, Address*,
and Year of Birth

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

Year of birth: 1948

Trustee

Since

2003

Retired.

108

Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-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).

Nabil N. El-Hage

Year of birth: 1958

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).

108

Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

Maria D. Furman

Year of birth: 1954

Trustee

Since

2012

Retired.

108

Trustee (since 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (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).

R. Bradford Malt

Year of birth: 1954

Trustee

Since

2022

Chairman (2004-2019), Management Committee (1993-2019), Partner (1987-2019), Associate (1979-1987),

Ropes & Gray LLP (counsel to the Trust and MassMutual).

108

Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

 

164

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*, and Year of Birth

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

Year of birth: 1951

Trustee

Since

2012

Retired.

108

Director (since 2020), Lead Director (2020-2022), Chairperson (since 2020) of the Nominating and Governance Committee, Member (since 2020) and Chairperson (2020-2022) of the Compensation Committee, and Member (2020-2022) of the Audit Committee, Lyra Therapeutics (a clinical-stage specialty pharmaceutical company); Chairperson (since 2017), Director (since 2014), InVivo Therapeutics (research and clinical-stage biomaterials and biotechnology company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (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).

Cynthia R. Plouché

Year of birth: 1957

Trustee

Since

2022

Retired; Assessor (2014-2018), Moraine Township (property assessment).

108

Trustee (since 2014), Northern Trust Funds (open-end investment companies); Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

Jason J. Price

Year of birth: 1973

Trustee

Since

2022

Co-Founder and Chairman of the Board (2017-2021), NXTHVN (arts organization); Principal (2012-2017), Exaltare Capital Partners, LLC (private equity firm).

108

Trustee (since 2022), MassMutual Premier Funds (open-end investment company); Trustee (since 2022), MassMutual Advantage Funds (open-end investment company); Trustee (since 2022), MML Series Investment Fund (open-end investment company); Trustee (since 2022), MML Series Investment Fund II (open-end investment company).

 

165

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*, and Year of Birth

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

Susan B. Sweeney

Year of birth: 1952

Chairperson

 

 

Trustee

Since

2022

 

Since
2009

Retired.

110^

Trustee (since 2012), Barings Corporate Investors (closed-end investment company); Trustee (since 2012), Barings Participation Investors (closed-end investment company); Chairperson (since 2022), Trustee (since 2012), MassMutual Premier Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Chairperson (since 2022), Trustee (since 2009), MML Series Investment Fund (open-end investment company); Chairperson (since 2022), Trustee (since 2012), MML Series Investment Fund II (open-end investment company).

 

Interested Trustees

 

Name, Address*,
and Year of Birth

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

Michael R. Fanning^^

Year of birth: 1963

Trustee

Since

2021

Head of MassMutual U.S. (since 2016), Executive Vice President (2016-2018), Member of MassMutual’s Executive Leadership Team (since 2008), MassMutual.

108

Director (since 2016), MML Advisers; Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company); Trustee (since 2021), MML Series Investment Fund II (open-end investment company).

Clifford M, Noreen^^^

Year of birth: 1957

Trustee

Since

2021

Head of Global Investment Strategy (since 2019), Deputy Chief Investment Officer and Managing Director (2016-2018), MassMutual; President (2008-2016), Vice Chairman (2007-2008), Member of the Board of Managers (2006-2016), Managing Director (2000-2016), Barings LLC.

110^

Chairman (since 2009), Trustee (since 2005), President (2005-2009), CI Subsidiary Trust and PI Subsidiary Trust; Chairman and Trustee (since 2009), President (2005-2009), Vice President (1993-2005), Barings Corporate Investors (closed-end investment company); Chairman and Trustee (since 2009), President (2005-2009), Vice President (1993-2005), Barings Participation Investors (closed-end investment company); Trustee (since 2021), MassMutual Premier Funds (open-end investment company); Trustee (since 2021), MassMutual Advantage Funds (open-end investment company); Trustee (since 2021), MML Series Investment Fund (open-end investment company); Trustee (since 2021), MML Series Investment Fund II (open-end investment company).

 

166

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Principal Officers

 

Name, Address*,
and Year of Birth

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

Andrea Anastasio

Year of birth: 1974

Vice President

Since

2021

Vice President (since 2021), MML Advisers; Head of Investment Management Solutions (since 2021), MassMutual; Head of Investment Strategy and Research, North America (2019-2021), Head of Investment Product Management (2016- 2019), State Street Global Advisors; Vice President (since 2021), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); Vice President (since 2021), MML Series Investment Fund (open-end investment company); Vice President (since 2021), MML Series Investment Fund II (open-end investment company).

108

Andrew M. Goldberg

Year of birth: 1966

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 (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company); Vice President, Secretary, and Chief Legal Officer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Renee Hitchcock

Year of birth: 1970

Chief Financial Officer and Treasurer

 

Assistant Treasurer

Since

2016

 

 

2007-

2016

Head of Mutual Fund Administration (since 2018), Assistant Vice President (2015-2018), MassMutual; Chief Financial Officer and Treasurer (since 2016), Assistant Treasurer (2007-2016), MassMutual Premier Funds (open-end investment company); Chief Financial Officer and Treasurer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Paul LaPiana

Year of birth: 1969

President

Since
2021

President (since 2021), MML Advisers; Head of MassMutual U.S. Product (since 2019), Head of Field Management (2016-2019), MassMutual; President (since 2021), MassMutual Premier Funds (open-end investment company); President (since 2021), MassMutual Advantage Funds (open-end investment company); President (since 2021), MML Series Investment Fund (open-end investment company); President (since 2021), MML Series Investment Fund II (open-end investment company).

108

Jill Nareau Robert

Year of birth: 1972

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 (formerly known as “Assistant Clerk”) (2008-2017), MassMutual Premier Funds (open-end investment company); Vice President and Assistant Secretary (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

 

167

 

 

Trustees and Principal Officers (Unaudited) (Continued)

 

Name, Address*, and Year of Birth

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

Year of birth: 1975

Vice President

Since

2016

Head of Product Management (since 2021), Vice President (since 2017), Head of Investment Management (2017-2021), Head of Investment Due Diligence (2016-2017), MML Advisers; Head of Product Management (since 2021), Head of Manager Research (2021), Head of Investment Management (2017-2021), Assistant Vice President (2013-2017), MassMutual; Vice President (since 2016), MassMutual Premier Funds (open-end investment company); Vice President (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

Philip S. Wellman

Year of birth: 1964

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), MassMutual; Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company); Vice President and Chief Compliance Officer (since 2021), MassMutual Advantage Funds (open-end investment company); 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).

108

 

*

The address of each Trustee and Principal Officer is the same as that for the Trust; 1295 State Street, Springfield, Massachusetts 01111-0001.

 

**

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, 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, and any such Chairperson may not serve more than two consecutive terms. 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.

 

^^

Mr. Fanning is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

 

^^^

Mr. Noreen is an “Interested Person,” as that term is defined in the 1940 Act, as an employee of MassMutual.

 

#

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.

 

168

 

 

Federal Tax Information (Unaudited)

 

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended September 30, 2022, qualified for the dividends received deduction, as follows:

 

 
   

Dividends
Received
Deductions

  

Equity Asset Fund

     41.28 %

MM Select T. Rowe Price Bond Asset Fund

     0.04 %

MM Select T. Rowe Price Large Cap Blend Fund

     17.63 %

MM Select T. Rowe Price Real Assets Fund

     12.61 %

MM Select T. Rowe Price Small and Mid Cap Blend Fund

     28.60 %

 

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the 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, 2022.

 

The Fund(s) intend to pass through the maximum amount allowable as Section 163(j) Interest Dividends as defined in the Treasury Regulations §1.163(j)-1(b).

 

169

 

 

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 Securities and Exchange Commission’s (“SEC”) EDGAR database on its website at http://www.sec.gov.

 

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s EDGAR database on its website at http://www.sec.gov.

 

Quarterly Reporting

 

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s EDGAR database on its website at http://www.sec.gov. In addition, the Funds make the complete schedule of portfolio holdings from their filings on Form N-PORT available to shareholders at http://www.massmutual.com/funds.

 

Trustees’ Approval of Investment Advisory Contracts

 

At their meetings in May and June 2022, 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 Index 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 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 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.

 

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

 

170

 

 

Other Information (Unaudited) (Continued)

 

each Fund’s expenses and performance and a recommendation as to the action to be taken by the Committee. 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, 2021. 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 in the 1st comparative percentile of their peer groups, and that each Fund had net advisory fees in the first comparative percentile of their peer groups, except for the Equity Asset Fund which had a net advisory fee in the top comparative decile of its peer group. The Committee determined on the basis of these factors that the levels of the Funds’ net advisory fees, and the total net expenses of the Funds generally, were consistent with the continuation of their advisory agreements.

 

The Committee considered that the Equity Asset Fund had achieved three-year investment performance in the 9th comparative percentile of its performance category.

 

As to the 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, and MM Select T. Rowe Price Real Assets Fund, the Committee considered that each of the Funds had achieved three-year investment performance at or above the medians of their performance categories, or within the top sixty percent of their performance categories.

 

As to the MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund, MM Select T. Rowe Price Small and Mid Cap Blend Fund, and MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund, the Committee considered that although each Fund experienced three-year investment performance outside the top sixty percent of its performance category, each Fund also experienced improved performance for the one-year period to the 31st, 26th, and 50th comparative percentiles of its performance category, respectively. The Committee also considered MML Advisers’ statement that the three-year underperformance of each of the MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund and MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund was due in substantial part to differences in duration positioning relative to its respective 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 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 (in

 

171

 

 

Other Information (Unaudited) (Continued)

 

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 2022, the Trustees, including the Independent Trustees, reviewed and approved a proposal to make a change to the existing subadvisory agreement with T. Rowe Price Associates, Inc. (“T. Rowe Price”) for the MM Select Limited Duration Inflation Focused Bond Fund (the “Fund” and the “Amended Subadvisory Agreement”) intended to permit T. Rowe Price to delegate to its advisory affiliates. The Trustees considered, among other things, that any such delegation by T. Rowe Price would be subject to the consent of MML Advisers and the Board. At the same time, the Trustees, including the Independent Trustees, approved (i) a subadvisory agreement between T. Rowe Price and T. Rowe Price Hong Kong Limited (the “New Hong Kong Sub-Subadvisory Agreement”) for the Fund and the MM Select T. Rowe Price Bond Asset Fund and (ii) a subadvisory agreement between T. Rowe Price and T. Rowe Price International Ltd (the “New International Sub-Subadvisory Agreement”) for the Fund. The Trustees considered, among other things, that the New Hong Kong Sub-Subadvisory Agreement and New International Sub-Subadvisory Agreement would each not result in any changes in the fees payable by the respective Funds or MML Advisers and that the services provided would continue to be subject to the supervision of T. Rowe Price. The Trustees concluded that the Amended Subadvisory Agreement, New Hong Kong Sub-Subadvisory Agreement, and New International Sub-Subadvisory Agreement are in the best interests of each Fund and its respective shareholders. In their deliberations, the Trustees were advised by independent counsel.

 

Prior to the votes being taken to approve the Amended Subadvisory Agreement, New Hong Kong Sub-Subadvisory Agreement, and New International Sub-Subadvisory Agreement discussed above, the Independent Trustees met separately in executive session to discuss the appropriateness of such contracts. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

 

The Amended Subadvisory Agreement, New Hong Kong Sub-Subadvisory Agreement, and New International Sub-Subadvisory Agreement each became effective on November 1, 2022.

 

172

 

 

Other Information (Unaudited) (Continued)

 

Submission of Matters to a Vote of Security Holders

 

A Special Meeting of Shareholders of the Trust was held on May 25, 2022 and on the adjournment dates of June 9, 2022, July 28, 2022, and September 14, 2022. The Notice of Meeting of Shareholders, and a Proxy Statement and voting instruction card, were first mailed, or otherwise made available, on or about April 8, 2022 to shareholders of record as of February 25, 2022. The results of the vote on the matters submitted to shareholders at the Special Meeting are as follows:

 

Proposal 1:

To elect Allan W. Blair, Nabil N. El-Hage, Michael R. Fanning, Maria D. Furman, R. Bradford Malt, C. Ann Merrifield, Clifford M. Noreen, Cynthia R. Plouché, Jason J. Price, and Susan B. Sweeney as Trustees of each Trust of which the Funds are series for an indefinite term of office.*

 

This matter was approved by the Trust’s shareholders on June 9, 2022. The results of the votes were as follows:

 

 
 

Shares Voted

Shares For

% of Shares
Outstanding

Withhold

% of Shares
Outstanding

Allan W. Blair

1,062,272,572.058

1,055,134,595.262

42.213%

7,137,976.796

0.285%

Nabil N. El-Hage

1,062,272,572.058

1,055,187,057.064

42.215%

7,085,514.994

0.283%

Michael R. Fanning

1,062,272,572.058

1,054,435,784.031

42.185%

7,836,788.027

0.313%

Maria D. Furman

1,062,272,572.058

1,055,334,004.749

42.221%

6,938,567.309

0.277%

R. Bradford Malt

1,062,272,572.058

1,054,410,988.847

42.184%

7,861,583.211

0.314%

C. Ann Merrifield

1,062,272,572.058

1,054,614,232.611

42.192%

7,658,339.447

0.306%

Clifford M. Noreen

1,062,272,572.058

1,054,519,598.373

42.188%

7,752,973.685

0.310%

Cynthia R. Plouché

1,062,272,572.058

1,055,673,410.167

42.234%

6,599,161.891

0.264%

Jason J. Price

1,062,272,572.058

1,055,486,383.752

42.227%

6,786,188.306

0.271%

Susan B. Sweeney

1,062,272,572.058

1,055,272,106.456

42.218%

7,000,465.602

0.280%

 

*

Denotes Trust-wide proposal and voting results.

 

173

 

 

Other Information (Unaudited) (Continued)

 

Fund Expenses September 30, 2022

 

 

Expense Examples:

 

The following information is in regards to expenses for the six months ended September 30, 2022:

 

As a shareholder of the Funds, you incur ongoing costs, including advisory 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, 2022.

 

Actual Expenses:

 

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes:

 

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning 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

0.23%

$800.90

$1.04

$1,023.90

$1.17

MM Select T. Rowe Price Bond Asset Fund

            

Class I

1,000

0.00%

899.00

0.00

1,025.10

0.00

MM Select T. Rowe Price Emerging Markets Bond Fund

            

Class I

1,000

0.00%

822.50

0.00

1,025.10

0.00

MM Select T. Rowe Price Large Cap Blend Fund

            

Class I

1,000

0.00%

783.10

0.00

1,025.10

0.00

MM Select T. Rowe Price Limited Duration Inflation Focused Bond Fund

            

Class I

1,000

0.00%

944.40

0.00

1,025.10

0.00

MM Select T. Rowe Price Real Assets Fund

            

Class I

1,000

0.00%

766.50

0.00

1,025.10

0.00

 

174

 

 

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 Small and Mid Cap Blend Fund

            

Class I

$1,000

0.00%

$813.10

$0.00

$1,025.10

$0.00

MM Select T. Rowe Price U.S. Treasury Long-Term Index Fund

            

Class I

1,000

0.00%

789.30

0.00

1,025.10

0.00

 

*

Expenses are calculated using the annualized expense ratio for the six months ended September 30, 2022, multiplied by the average account value over the period, multiplied by 183 days in the period, divided by 365 days in the year, unless stated otherwise.

 

175

 

 

Underwriter:
MML Distributors, LLC
1295 State Street
Springfield, Massachusetts 01111-0001

 

 

©2022 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001.
All rights reserved. www.MassMutual.com. Investment Adviser: MML Investment Advisers, LLC

MM202311-303392

 

 

 

(b)Not applicable to this filing.

 

Item 2. Code of Ethics.

 

As of September 30, 2022, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer, Principal Financial Officer, and other senior financial officers pursuant to the Sarbanes-Oxley Act of 2002. For the year ended September 30, 2022, the Code of Ethics was amended to i) cover new registrants and ii) remove a registrant no longer subject to the Code of Ethics, and the Registrant did not grant any waivers, including implicit waivers, from any provisions 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 Nabil N. El-Hage, a member of the Audit Committee, is an audit committee financial expert as defined by the Securities and Exchange Commission (the “SEC”). Mr. El-Hage is “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 2022 and 2021 were $1,801,058 and $1,800,382, respectively.
(b)AUDIT-RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2022 and 2021. 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 2022 and 2021.
(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 2022 and 2021 were $104,206 and $68,184, 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 2022 and 2021.
(d)ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for the fiscal years ended 2022 and 2021. 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 2022 and 2021.
(e)(1) AUDIT COMMITTEE PRE-APPROVAL 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 2022 and 2021 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 2022 and 2021 were $1,321,868 and $2,420,119, respectively.

 

  * 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.

 

 

 

(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.
(i)Not applicable.
(j)Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

 

Not applicable to this filing.

 

Item 6. Investments.

 

(a) Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this formN-CSR.

 

(b) Not applicable to this filing.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to this filing.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to this filing.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable to this filing.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

Not applicable to this filing.

 

Item 11. Controls and Procedures.

 

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

Not applicable to this filing.

 

 

 

Item 13. Exhibits.

 

(a)(1) Code of Ethics (Item 2) is 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/ Paul LaPiana  
  Paul LaPiana, President and Principal Executive Officer  
   
Date

12/2/2022

  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title) /s/ Paul LaPiana    
  Paul LaPiana, President and Principal Executive Officer    
       
Date

12/2/2022

    
       
By (Signature and Title) /s/ Renee Hitchcock    
  Renée Hitchcock, Treasurer and Principal Financial Officer  
       
Date

12/2/2022

    

 EX-99.CODE ETH 2 fp0079598-2_ex99code.htm

Exhibit 13(a)(1)

 

MassMutual Select Funds

MassMutual Premier Funds

MassMutual Advantage Funds

MML Series Investment Fund

MML Series Investment Fund II

 

Section 7 – Corporate Governance

 

Code of Ethics for Principal Executive and Senior Financial Officers

 

This Code of Ethics (the “Code”) for Principal Executive and Senior Financial Officers has been adopted by those investment companies identified above (individually, a “Fund” and collectively, the “Funds”) to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406. The Code applies to each Fund’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Covered Officers”). A listing of positions currently within the ambit of Covered Officers for each Fund is attached as Exhibit A.1

 

1.Purposes of the Code

 

This Code sets forth standards and procedures that are reasonably designed to deter wrongdoing and to promote:

 

·honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; 
·full, fair, accurate, timely, and understandable disclosure in reports and documents that the Funds file with, or submit to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Funds;
·compliance with applicable governmental laws, rules and regulations;
·the prompt internal reporting of violations of this Code to an appropriate person identified in the Code; and
·accountability for adherence to this Code.

 

It is acknowledged that, as a result of each Covered Officer being employed by one of the Funds’ service providers, each Covered Officer will, in the normal course of his or her duties, be involved in establishing policies and implementing decisions that may have different effects on the Funds and the applicable service provider. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the relationship between each Fund and its service provider and is consistent with the expectations of each Fund’s Board of Trustees with respect to the performance by the Covered Officers of their duties as officers of the Funds.

 

 

1The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as covered persons under the Code of Ethics adopted by the Funds under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and, accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code.

 

1 

 

In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the following: (1) the duty at all times in performing any responsibilities as a financial officer, controller, accountant or principal executive officer of a Fund, to place the interests of the Fund ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that each Fund’s financial statements and reports to shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the Fund’s business and affairs in an honest and ethical manner. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

 

2.Prohibitions

 

The specific provisions and reporting requirements of this Code are concerned primarily with promoting honest and ethical conduct and avoiding conflicts of interest between personal and professional relationships.

 

No Covered Officer may use information concerning the business and affairs of a Fund (including the investment intentions of a Fund), or use his or her ability to influence such investment intentions, for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the interests of a Fund or its shareholders.

 

No Covered Officer may use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund and its shareholders.

 

No Covered Officer shall, in connection with carrying out his or her official duties and responsibilities on behalf of a Fund:

 

(i)employ any device, scheme or artifice to defraud a Fund or its shareholders;

 

(ii)intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public;

 

(iii)engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders;

 

(iv)engage in any manipulative practice with respect to any Fund;

 

(v)intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund;

 

(vi)intentionally mislead or omit to provide material information to the Fund’s independent auditors or to the Board of Trustees or the officers of the Fund or its investment adviser in connection with Fund related matters;

 

2 

 

(vii)fail to notify the Code Administrator (as defined in Section 7 below) promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws; or

 

(viii)retaliate against others for, or otherwise discourage, the reporting of actual or apparent violations of this Code.

 

3.Reports of Conflicts of Interests

 

If a Covered Officer becomes aware of an actual or apparent conflict of interest under this Code, he or she must immediately report the matter to the Code Administrator. Upon receipt of such report, the Code Administrator will take prompt steps to determine whether an actual conflict of interest exists or appears to exist, and if so, will take steps (if possible) to resolve the conflict or remedy the appearance thereof. If the Code Administrator determines that no actual or apparent conflict exists, the Code Administrator shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the Code Administrator may in his or her discretion refer the matter to the affected Fund’s Board of Trustees or any committee appointed by the Board to deal with such information.

 

If the Code Administrator is involved or believed to be involved in the conflict of interest or appearance of conflict of interest, the Covered Officer shall report the matter directly to Massachusetts Mutual Life Insurance Company’s (“MassMutual”) General Counsel or Chief Compliance & Ethics Officer, who shall take the same action as described above with respect to resolving the matter.

 

4.Waivers

 

Any Covered Officer requesting a waiver of any provision of this Code must submit a written request for such waiver to the Code Administrator, setting forth the basis of such request and all necessary facts upon which such request can be evaluated. The Code Administrator shall review such request and make a written determination thereon.

 

In determining whether to waive any of the provisions of this Code, the Code Administrator shall consider whether the proposed action:

 

(i)is prohibited by this Code;

 

(ii)is consistent with honest and ethical conduct; and

 

(iii)will result in a conflict of interest between the Covered Officer’s personal and professional obligations to a Fund.

 

In lieu of determining whether to waive any provision of this Code, the Code Administrator may in his or her discretion refer the matter to the affected Fund’s Board of Trustees or any committee appointed by the Board to deal with such information.

 

5.Reporting Requirements

 

(a)Each Covered Officer shall, upon becoming subject to this Code, be presented with a copy of this Code by the Code Administrator, and shall certify to the Code Administrator that he or she has received, read, understands and shall adhere to this Code. (See Exhibit B.)

 

3 

 

(b)At least annually, all Covered Officers shall be provided with a copy of the current Code by the Code Administrator, and shall certify that they (i) have read and understand the Code and shall adhere to the Code, (ii) have complied with the requirements of the Code, (iii) have disclosed or reported any violations of this Code to the Code Administrator, and (iv) will cooperate fully with any investigation or inquiry as to whether a possible violation of the Code has occurred. (See Exhibit C.)

 

(c)In the event that a Covered Officer ceases to be a Principal Executive or Senior Financial Officer during a given year, to the extent possible, Compliance will obtain from the former Covered Officer a certification that the Covered Officer (i) has read and understands the Code, (ii) has complied with the requirements of the Code during the relevant period, (iii) has disclosed or reported any violations of the Code to the Code Administrator, and (iv) will cooperate fully with any investigation or inquiry as to whether a possible violation of the Code has occurred. (See Exhibit D.)

 

(d)The Code Administrator shall submit a quarterly report to the Board of Trustees or any committee appointed by the Board to deal with such information, containing (i) a description of any report of a conflict of interest or apparent conflict and the disposition thereof; (ii) a description of any request for a waiver from this Code and the disposition thereof; (iii) any violation of the Code that has been reported or found and the sanction imposed; and (iv) any other significant information arising in connection with the Code, including any proposed amendments.

 

(e)Each Covered Officer shall notify the Code Administrator promptly if he or she knows of or has a reasonable belief that any violation of this Code has occurred or is likely to occur. Failure to do so is itself a violation of this Code.

 

(f)Any changes to or waivers of this Code, including “implicit” waivers as defined in applicable SEC rules, will, to the extent required, be disclosed by the Funds as provided by applicable SEC rules.2

 

6.Sanctions

 

Any violations of this Code shall be subject to the imposition of such sanctions by the Adviser or the appropriate affiliate of the Adviser, as may be deemed appropriate under the circumstances to achieve the purpose of this Code and may include, without limitation, a letter of censure, suspension from employment or termination of employment, in the sole discretion of the Adviser or the appropriate affiliate of the Adviser, and/or removal as an officer of the Fund, in the sole discretion of the Fund’s Board of Trustees or any committee appointed by the Board to deal with such matters.

 

7.Administration and Construction
   
(a)The administration of this Code of Ethics shall be the responsibility of the Code Administrator of this Code, acting under the terms of this Code and the oversight of the Board of Trustees of the Fund or any committee appointed by the Board to deal with such information.

 

2An "implicit waiver" is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the Code Administrator, MassMutual’s General Counsel or Chief Compliance & Ethics Officer, or an executive officer of the Trust.

 

4 

 

(b)The Code Administrator shall be the Chief Compliance Officer of the Funds or his or her designee.

 

(c)The duties of the Code Administrator will include:

 

(i)maintaining a current list of the names of all Covered Officers;

 

(ii)furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder;

 

(iii)maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder;

 

(iv)issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations;

 

(v)conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations to MassMutual’s General Counsel and Chief Compliance & Ethics Officer and to the Board of Trustees of the affected Fund(s) or any committee appointed by them to deal with such information; and

 

(vi)conducting educational training programs as needed to explain and reinforce the terms of this Code.

 

(d)In carrying out the duties and responsibilities described under this Code, the Code Administrator may consult with such other persons as the Code Administrator shall deem necessary or desirable, including legal counsel to the Trust, legal counsel to the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended (the “Disinterested Trustees”), legal counsel to the Trust’s investment adviser, and the Trust’s Chief Legal Officer.

 

8.Required Records

 

The Code Administrator shall maintain and cause to be maintained in an easily accessible place the following records for the period required by applicable SEC rules (currently six years following the end of the fiscal year of the Fund in which the applicable event or report occurred):

 

(i)a copy of any Code which has been in effect during the period;

 

(ii)a copy of each certification pursuant to the Code made by a Covered Officer during the period;

 

(iii)a copy of each report made by the Code Administrator pursuant to this Code during the period;

 

(iv)a list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports;

 

(v)a record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision;

 

5 

 

(vi)a record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision; and

 

(vii)a record of any violation of any such Code and of any action taken as a result of such violation, during the period.

 

9.Amendments and Modifications

 

This Code (other than Exhibits A and E and the names of the Funds identified on the first page that have adopted the Code) may not be amended or modified except by a writing that is approved or ratified by a majority vote of the Board of Trustees and the Disinterested Trustees. The Code Administrator must approve any permitted amendments or modifications not requiring Board of Trustees approval or ratification.

 

10.Confidentiality

 

This Code is for the internal use of the Funds. Reports and records prepared or maintained under this Code are considered confidential and shall be maintained and protected accordingly to the extent permitted by applicable laws, rules and regulations. Except as otherwise authorized by law or this Code, such matters shall not be disclosed to anyone other than the Trustees and their counsel, Fund counsel, Fund officers, the Funds’ Chief Legal Officer, the independent auditors of the Funds, and MassMutual or its counsel, except as such disclosure may be required pursuant to applicable judicial or regulatory process. This provision does not preclude Covered Officers or others from reporting such matters to the Securities and Exchange Commission or other regulatory authorities.

 

 

6 

 

EXHIBIT A

 

Positions Covered by this Code of Ethics

 

The following officers of the Funds:

 

·Principal Executive Officer (President);
·Principal Financial Officer (Chief Financial Officer);
·Comptroller or Principal Accounting Officer;
·Treasurer;
·Assistant Treasurer; and
·Other persons performing similar functions as the Principal Executive Officer, Principal Financial Officer, Comptroller, or Principal Accounting Officer

 

7 

 

EXHIBIT B

 

INITIAL CERTIFICATION

 

I certify that I have received, read and understand the Funds’ Code of Ethics for Principal Executive and Senior Financial Officers of the Funds (the “Code”) and will adhere to the Code’s requirements.

 

I also agree to cooperate fully with any investigation or inquiry as to whether a possible violation of the Code has occurred.

 

     
  Signature (may be electronic)  
     
     
  Date  

 

8 

 

EXHIBIT C

 

ANNUAL CERTIFICATION

 

I certify that I have received, read and understand the Funds’ Code of Ethics for Principal Executive and Senior Financial Officers (the “Code”) and will adhere to the Code’s requirements.

 

I certify that I have complied with the requirements of the Code and have disclosed or reported any violations of the Code to the Code Administrator during the prior year.

 

I also agree to cooperate fully with any investigation or inquiry as to whether a possible violation of the Code has occurred.

 

     
  Signature (may be electronic)  
     
     
  Date  

 

9 

 

EXHIBIT D

 

PARTIAL YEAR CERTIFICATION

 

I certify that I have received, read and understand the Funds’ Code of Ethics for Principal Executive and Senior Financial Officers (the “Code”).

 

I certify that I have complied with the requirements of the Code and have disclosed or reported any violations of the Code to the Code Administrator during the current year, up to and including the date on which I ceased to be a Covered Officer.

 

I also agree to cooperate fully with any investigation or inquiry as to whether a possible violation of the Code has occurred.

 

     
  Signature (may be electronic)  
     
     
  Date  

 

10 

 

EXHIBIT E

 

ADOPTION AND AMENDMENT DATES for Code of Ethics for Principal Executive and Senior Financial Officers of the Funds

 

THE MASSMUTUAL SELECT FUNDS

Adopted November 3, 2003, Amended May 13, 2008, Amended June 30, 2015, Amended January 1, 2016, Amended October 13, 2016, Amended September 20, 2017, Amended June 4, 2019, Amended October 1, 2021, Amended September 27, 2022.

 

THE MASSMUTUAL PREMIER FUNDS

Adopted December 12, 2003, Amended November 1, 2004, Amended May 21, 2008, Amended June 30, 2015, Amended January 1, 2016, Amended October 13, 2016, Amended September 20, 2017, Amended June 4, 2019, Amended October 1, 2021, Amended September 27, 2022.

 

THE MML SERIES INVESTMENT FUND

Adopted November 3, 2003, Amended May 13, 2008, Amended June 30, 2015, Amended January 1, 2016, Amended October 13, 2016, Amended September 20, 2017, Amended June 4, 2019, Amended October 1, 2021, Amended September 27, 2022.

 

THE MML SERIES INVESTMENT FUND II

Adopted April 27, 2005, Amended May 21, 2008, Amended June 30, 2015, Amended January 1, 2016, Amended October 13, 2016, Amended September 20, 2017, Amended June 4, 2019, Amended October 1, 2021, Amended September 27, 2022.

 

THE MASSMUTUAL ADVANTAGE FUNDS

Adopted September 29, 2021, Amended September 27, 2022.

 

11 

 

 EX-99.CERT 3 fp0079598-2_ex99cert.htm

EX-99.CERT

 

CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

 

I, Paul LaPiana, certify that:

 

1. I have reviewed this report on Form N-CSR of MassMutual Select Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

d) Disclosed in this report any change in the registrant’s internal control over financial reporting 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; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: 12/2/2022   /s/ Paul LaPiana  
      Paul LaPiana  
      President and Principal Executive Officer  

 

 

 

 

EX-99.CERT

 

CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:

 

I, Renée Hitchcock, certify that:

 

1. I have reviewed this report on Form N-CSR of MassMutual Select Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

d) Disclosed in this report any change in the registrant’s internal control over financial reporting 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; and

 

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: 12/2/2022   /s/ Renee Hitchcock  
    Renée Hitchcock  
    Treasurer and Principal Financial Officer  
 EX-99.906 CERT 4 fp0079598-2_ex99906cert.htm

EX-99.906.CERT

 

CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

 

In connection with the Certified Shareholder Report of the MassMutual Select Funds (the “Trust”) on Form N-CSR for the period ending September 30, 2022, as filed with the Securities and Exchange Commission on the date hereof ("the Report"), the undersigned hereby certifies that:

 

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and

 

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust.

 

Date: 12/2/2022     /s/ Paul LaPiana  
   

Paul LaPiana

President and Principal Executive Officer

  
             

 

This certification is being furnished to the Commission solely pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

 

 

 

 

EX-99.906.CERT

 

CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

 

In connection with the Certified Shareholder Report of the MassMutual Select Funds (the “Trust”) on Form N-CSR for the period ending September 30, 2022, as filed with the Securities and Exchange Commission on the date hereof ("the Report"), the undersigned hereby certifies that:

 

1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and

 

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust.

 

Date: 12/2/2022   /s/ Renee Hitchcock  
 

Renée Hitchcock

Treasurer and Principal Financial Officer

  

 

 

This certification is being furnished to the Commission solely pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

 

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