MassMutual Equity Opports I (MFVZX) N-CSRS Certified semi-annual shareholder report (management investment company)

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)

Eric Wietsma

1295 State Street, Springfield, MA 01111

(Name and address of agent for service)

Registrant’s telephone number, including area code: 413-788-8411

Date of fiscal year end: 12/31/2012

Date of reporting period: 6/30/2012

Item 1. Reports to Stockholders.

Table of Contents

President’s Letter to Shareholders	1
Portfolio Summaries	3
Portfolio of Investments
MassMutual Select PIMCO Total Return Fund	21
MassMutual Select Strategic Bond Fund	32
MassMutual Select Diversified Value Fund	46
MassMutual Select Fundamental Value Fund	51
MassMutual Select Large Cap Value Fund	53
MM S&P 500® Index Fund (formerly known as MassMutual Select Indexed Equity Fund)	56
MassMutual Select Focused Value Fund	63
MassMutual Select Fundamental Growth Fund (formerly known as MassMutual Select NASDAQ-100® Fund)	64
MassMutual Select Blue Chip Growth Fund	66
MassMutual Select Growth Opportunities Fund	69
MassMutual Select Mid-Cap Value Fund	71
MassMutual Select Small Cap Value Equity Fund	74
MassMutual Select Small Company Value Fund	77
MassMutual Select Mid Cap Growth Equity II Fund	83
MassMutual Select Small Cap Growth Equity Fund	87
MassMutual Select Small Company Growth Fund	91
MassMutual Select Diversified International Fund	95
MassMutual Select Overseas Fund	97
Statements of Assets and Liabilities	102
Statements of Operations	114
Statements of Changes in Net Assets	120
Financial Highlights	132
Notes to Financial Statements	150
Other Information
Proxy Voting	214
Quarterly Reporting	214
Trustees’ Approval of Investment Advisory Contracts	214
Fund Expenses	217

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

MassMutual Select Funds – President’s Letter to Shareholders

To Our Shareholders

Eric Wietsma

“The first six months of 2012 remind us that it is impossible to predict what the financial markets will do, particularly over short periods of time. Our longstanding belief is that investors should avoid being swayed by the latest news out of Wall Street (or even Europe). Knowing that unexpected events affect the markets all the time, it is critical to plan ahead and maintain an investment strategy that relies on solid investment fundamentals. If you work with one, your financial professional can likely provide invaluable assistance in this effort.”

June 30, 2012

Welcome to the MassMutual Select Funds Semiannual Report covering the six months ended June 30, 2012. Investors continued to navigate numerous economic and geo-political challenges and drove major U.S. and international stock indexes higher during the period, with U.S. stocks leading the way. On the U.S. economic front, the unemployment level remained in a tight range of between 8.1% and 8.3%, with some storm clouds on the horizon in the form of increased jobless claims in June 2012 – and the creation of fewer-than-projected new jobs during the period. Conversely, the housing market showed some signs of recovery, including a 5.9% increase in pending sales of existing homes throughout the country in June that largely reversed the 5.5% dip that occurred in May. The price of crude oil rose to a peak of nearly $110 per barrel in late February, dropped 29% to slightly more than $78 in mid-June, and rebounded somewhat by the end of the quarter to about $85. Oil’s overall decline during the period undermined the performance of energy stocks, but provided consumers with some relief in the form of lower prices at the gas pump. The price of gold rose in January and February before reversing course to finish essentially flat for the six-month period.

For the first half of 2012, the technology-heavy NASDAQ Composite^® Index returned 13.30%, the large-cap stock S&P 500^® Index advanced 9.48%, the small-cap stock Russell 2000^® Index gained 8.53%, and the blue-chip stock Dow Jones Industrial Average^SM (the “Dow”) rose 6.82%. Foreign stocks from both developed and emerging markets trailed their U.S. counterparts significantly, as indicated by the MSCI^® EAFE^® Index’s return of 2.96%, representing foreign developed markets, and the 3.94% advance of the MSCI Emerging Markets Index. U.S. fixed-income investments advanced modestly, with the Barclays U.S. Aggregate Bond Index returning 2.37%.*

Key events that defined the period

The year started off with a significant rally that lifted stocks here and abroad, as share prices ground out steady gains punctuated by brief and shallow corrections during the first quarter of 2012. Evidence of an improving U.S. economy and investors who were mainly undaunted by Europe’s ongoing sovereign debt crisis were the primary factors driving the market’s gains through March. As the period progressed, data pointing to an economic slowdown in the U.S. and increasing investor concerns over Europe were primarily responsible for the volatility that characterized much of the second quarter, particularly April and May.

In January 2012, Standard & Poor’s downgraded the government debt of France, Spain, Italy, and Austria on concerns over high debt levels and the countries’ significant need to refinance in 2013. In February, the European Union downgraded its growth outlook for the region’s economies, raising new questions about the virtues of austerity plans and setting the stage for renegotiation of the budget-deficit targets for some member states. Continued improvements in U.S. economic data drove a higher level of confidence among investors for a firmer economic recovery. Encouraging economic data during February included a solid decline in claims for unemployment benefits. In March, Greece successfully passed a sovereign debt restructuring that cut its debt by approximately $140 billion. That same month, Chinese Premier Wen Jiabao cut that country’s 2012 target growth rate to 7.5%. Here at home, the economy strengthened, personal spending increased, and incomes also grew modestly.

* Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment.

(Continued)

1

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

April began with the release of the minutes from the Federal Open Market Committee’s (“FOMC”) most recent meeting at which the Federal Reserve (the “Fed”) made no changes to key interest rates, but kept “Operation Twist” in place. Under Operation Twist, the Fed has been selling shorter-term U.S. Treasury securities and using the proceeds to buy those with longer terms in an effort to lower long-term interest rates. The FOMC minutes stated that economic conditions were “expected to warrant an exceptionally low federal funds rate through late 2014.” In June, the Fed announced that Operation Twist would continue through the end of 2012.

News from Europe and China was mixed in April and enough to trigger volatility in equity markets here and abroad. Prices on Spanish and Italian debt fell after rallying earlier in the year. In May, economic reports pointed to the potential for a slowdown in U.S. economic growth, and concerns over the European economy and the fate of the euro zone dominated the markets. Signals from Europe indicated deeper economic weakness and concern over Greece’s potential exit from the euro as its national currency. Germany reported larger-than-expected gains in factory orders and a surprise gain in industrial output, and China reported slower export growth and the country’s lowest industrial production growth since 2009. In June, the positive reaction to the election of a pro-austerity government in Greece was overshadowed by news that the yield of Spanish 10-year bonds hit an all-time high of more than 7%, driving Spain’s borrowing costs to potentially unsustainable levels.

On June 28, three months after conducting hearings on the subject, the U.S. Supreme Court revealed that it had voted five to four to uphold the Affordable Care Act, the health care law signed by President Obama in 2010. The ruling left the law essentially intact, with most mandates taking effect in 2014.

The second quarter, which seemed to contain an especially busy news cycle of both positive and negative developments, ended with some good news for investors when Germany’s finance minister signaled the country’s potential willingness to take action sooner than expected to support short-term measures that would offer the euro zone additional bailout funds. Additionally, strong earnings announcements helped support stock prices in the U.S., and companies with noteworthy names from across numerous industries reported solid results.

Keeping it in perspective

The first six months of 2012 remind us that it is impossible to predict what the financial markets will do, particularly over short periods of time. Our longstanding belief is that investors should avoid being swayed by the latest news out of Wall Street (or even Europe). Knowing that unexpected events affect the markets all the time, it is critical to plan ahead and maintain an investment strategy that relies on solid investment fundamentals. If you work with one, your financial professional can likely provide invaluable assistance in this effort.

Thank you for your continued confidence in MassMutual. We continue to work diligently to help you take the steps you need to take to prepare for a more secure financial future, despite what may be occurring in the financial markets – or the world.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/12 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual Select Funds – Portfolio Summaries

What is the investment approach of MassMutual Select PIMCO Total Return 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 65% of its total assets in a diversified portfolio of fixed income securities of varying maturities. The Fund’s subadviser is Pacific Investment Management Company LLC (PIMCO).

MassMutual Select PIMCO Total Return Fund Quality Structure (% of Net Assets) on 6/30/12 (Unaudited)
U.S. Government, Aaa/AAA	93.0	%
Aa/AA	16.6	%
A/A	13.4	%
Baa/BBB	12.6	%
Ba/BB	3.8	%
B and Below	0.7	%
Equities	1.1	%
Total Long-Term Investments	141.2	%
Short-Term Investments and Other Assets and Liabilities (Not Rated)	(41.2	)%
Net Assets	100.0	%
Securities Sold Short	(1.9	)%
Ratings do not apply to the fund itself. If ratings differ, the fund’s subadviser utilizes the higher of Moody’s, S&P and/or Fitch ratings. Securities in the “not rated” category (above) have not been rated by an agency; however, the subadviser performs its own analysis and assigns comparable ratings.

MassMutual Select PIMCO Total Return Fund Country Weightings (% of Net Assets) on 6/30/12 (Unaudited)
United States	117.2	%
United Kingdom	5.6	%
Canada	3.3	%
France	3.0	%
Ireland	2.0	%
Mexico	1.6	%
Cayman Islands	1.5	%
Netherlands	1.5	%
Australia	1.3	%
Luxembourg	1.1	%
Russia	0.7	%
Japan	0.4	%
United Arab Emirates	0.3	%
Brazil	0.3	%
India	0.3	%
Spain	0.3	%
Switzerland	0.2	%
Germany	0.1	%
Bermuda	0.1	%
Qatar	0.1	%
Republic of Korea	0.1	%
Italy	0.1	%
Chile	0.1	%
Sweden	0.0	%
Total Long-Term Investments	141.2	%
Short-Term Investments and Other Assets and Liabilities	(41.2	)%
Net Assets	100.0	%
Securities Sold Short	(1.9	)%

3

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks a superior total rate of return by investing in fixed income instruments. Under normal circumstances, the Fund invests at least 80% of its net assets 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 or asset-backed securities, and money market instruments. The Fund’s subadvisers are Western Asset Management Company (Western Asset) and its affiliate, Western Asset Management Company Limited (Western Asset Limited). Western Asset Limited manages the non-U.S. dollar denominated investments of the Fund.

MassMutual Select Strategic Bond Fund Quality Structure (% of Net Assets) on 6/30/12 (Unaudited)
U.S. Government, Aaa/AAA	53.3	%
Aa/AA	6.5	%
A/A	17.8	%
Baa/BBB	11.0	%
Ba/BB	3.9	%
B and Below	6.2	%
Equities	0.1	%
Purchased Options	0.0	%
Warrants	0.0	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities (Not Rated)	1.2	%
Net Assets	100.0	%
Ratings do not apply to the fund itself. If ratings differ, the fund’s subadviser utilizes the higher of Moody’s, S&P and/or Fitch ratings. Securities in the “not rated” category (above) have not been rated by an agency; however, the subadviser performs its own analysis and assigns comparable ratings.

4

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks to achieve long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of larger, well-established companies. The Fund normally invests at least 80% of its net assets 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 Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 47% of the Fund’s portfolio; and Loomis, Sayles & Company, L.P. (Loomis Sayles), which was responsible for approximately 53% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Exxon Mobil Corp.	4.4	%
General Electric Co.	3.1	%
Chevron Corp.	3.0	%
JP Morgan Chase & Co.	2.6	%
Wells Fargo & Co.	2.4	%
Pfizer, Inc.	2.3	%
Microsoft Corp.	2.3	%
Merck & Co., Inc.	2.1	%
AT&T, Inc.	2.0	%
UnitedHealth Group, Inc.	1.7	%
	25.9	%

MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Financial	19.8	%
Consumer, Non-cyclical	17.8	%
Energy	13.1	%
Communications	12.6	%
Industrial	12.3	%
Technology	9.1	%
Consumer, Cyclical	5.5	%
Utilities	4.4	%
Basic Materials	2.6	%
Mutual Funds	0.9	%
Total Long-Term Investments	98.1	%
Short-Term Investments and Other Assets and Liabilities	1.9	%
Net Assets	100.0	%

5

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks long-term total return by investing primarily in equity securities of issuers that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities, with a focus on companies with large market capitalizations (generally above $2 billion). The Fund’s subadviser is Wellington Management Company, LLP (Wellington Management).

MassMutual Select Fundamental Value Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Wells Fargo & Co.	3.6	%
Chevron Corp.	3.5	%
JP Morgan Chase & Co.	3.3	%
Pfizer, Inc.	2.8	%
General Electric Co.	2.6	%
AT&T, Inc.	2.6	%
Exxon Mobil Corp.	2.4	%
Merck & Co., Inc.	2.4	%
Cisco Systems, Inc.	2.3	%
ACE Ltd.	2.3	%
	27.8	%

MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Financial	22.1	%
Consumer, Non-cyclical	20.7	%
Energy	12.7	%
Industrial	10.8	%
Consumer, Cyclical	9.1	%
Communications	8.5	%
Technology	6.6	%
Basic Materials	4.9	%
Utilities	3.4	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

MassMutual Select Fundamental Value Fund Country Weightings (% of Net Assets) on 6/30/12 (Unaudited)
United States	85.9	%
Switzerland	5.6	%
Ireland	2.6	%
United Kingdom	1.5	%
Belgium	1.2	%
Canada	1.0	%
Israel	1.0	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

6

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks both capital growth and income by investing primarily in large-capitalization companies that the Fund’s subadviser believes are undervalued. Under normal circumstances, the Fund will invest at least 80% of its net assets in common stocks of companies with market capitalizations at the time of purchase of at least $5 billion. The Fund’s subadviser is Davis Selected Advisers, L.P. (Davis).

MassMutual Select Large Cap Value Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
CVS Caremark Corp.	6.3	%
Wells Fargo & Co.	5.9	%
American Express Co.	5.9	%
Bank of New York Mellon Corp.	4.8	%
Costco Wholesale Corp.	4.5	%
Google, Inc. Class A	3.3	%
Loews Corp.	2.8	%
Bed Bath & Beyond, Inc.	2.8	%
Berkshire Hathaway, Inc. Class A	2.7	%
The Progressive Corp.	2.5	%
	41.5	%

MassMutual Select Large Cap Value Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Financial	34.7	%
Consumer, Cyclical	16.4	%
Consumer, Non-cyclical	11.5	%
Energy	8.9	%
Communications	7.9	%
Basic Materials	5.7	%
Technology	4.5	%
Industrial	2.7	%
Diversified	1.4	%
Total Long-Term Investments	93.7	%
Short-Term Investments and Other Assets and Liabilities	6.3	%
Net Assets	100.0	%

MassMutual Select Large Cap Value Fund Country Weightings (% of Net Assets) on 6/30/12 (Unaudited)
United States	74.3	%
Switzerland	5.3	%
Canada	4.9	%
United Kingdom	3.1	%
Hong Kong	2.5	%
Netherlands	1.1	%
Netherlands Antilles	0.8	%
Bermuda	0.5	%
China	0.5	%
Mexico	0.4	%
Brazil	0.3	%
Total Long-Term Investments	93.7	%
Short-Term Investments and Other Assets and Liabilities	6.3	%
Net Assets	100.0	%

7

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MM S&P 500^® Index Fund, formerly known as MassMutual Select Indexed Equity 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 in the equity securities of companies included within the S&P 500^® Index. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI). Effective August 24, 2012, the name of this Fund changed from MassMutual Select Indexed Equity Fund to MM S&P 500^® Index Fund. The Fund’s investment approach remains the same.

“Standard & Poor’s^®,” “S&P^®,” “Standard & Poor’s 500,” “500,” and “S&P 500^®” are trademarks of The McGraw-Hill Companies and have been licensed for use by the Fund. The Fund is not sponsored, endorsed, sold, or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Fund.

MM S&P 500 Index Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Apple, Inc.	4.4	%
Exxon Mobil Corp.	3.2	%
Microsoft Corp.	1.8	%
International Business Machines Corp.	1.8	%
General Electric Co.	1.8	%
AT&T, Inc.	1.7	%
Chevron Corp.	1.7	%
Johnson & Johnson	1.5	%
Wells Fargo & Co.	1.4	%
The Coca-Cola Co.	1.4	%
	20.7	%

MM S&P 500 Index Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Consumer, Non-cyclical	22.1	%
Technology	14.2	%
Financial	13.9	%
Communications	11.4	%
Energy	10.7	%
Industrial	10.4	%
Consumer, Cyclical	8.7	%
Utilities	3.6	%
Basic Materials	3.4	%
Diversified	0.0	%
Total Long-Term Investments	98.4	%
Short-Term Investments and Other Assets and Liabilities	1.6	%
Net Assets	100.0	%

8

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of U.S. companies that the Fund’s subadviser believes are undervalued. The Fund’s subadviser is Harris Associates L.P. (Harris).

MassMutual Select Focused Value Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Intel Corp.	7.9	%
Wells Fargo & Co.	6.4	%
Visa, Inc. Class A	5.8	%
Penn National Gaming, Inc.	5.6	%
Applied Materials, Inc.	5.3	%
Tiffany & Co.	4.9	%
Franklin Resources, Inc.	4.8	%
Carnival Corp.	4.8	%
Cabela’s, Inc.	4.8	%
CarMax, Inc.	4.7	%
	55.0	%

MassMutual Select Focused Value Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Consumer, Cyclical	33.9	%
Technology	17.4	%
Industrial	12.2	%
Financial	11.3	%
Energy	10.0	%
Consumer, Non-cyclical	9.8	%
Total Long-Term Investments	94.6	%
Short-Term Investments and Other Assets and Liabilities	5.4	%
Net Assets	100.0	%

9

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Fundamental Growth Fund, formerly known as MassMutual Select NASDAQ-100^® Fund, and who is the Fund’s subadviser?

Prior to February 22, 2012, the Fund sought to approximate as closely as practicable (before fees and expenses) the total return of the NASDAQ-100 Index^®. Under normal circumstances, the Fund invested at least 80% (and, typically, substantially all) of its net assets in the equity securities of companies included in the NASDAQ-100 Index. The Fund’s subadviser was Northern Trust Investments, Inc. (NTI).

Effective February 22, 2012, the Fund seeks long-term growth of capital by investing primarily in domestic equity securities that the Fund’s subadviser believes offer the potential for long-term growth. The Fund’s subadviser is Wellington Management Company, LLP (Wellington Management).

On February 22, 2012, pursuant to the approval of the Board of Trustees of the Fund (the “Board”), the Fund’s name, investment objective, and investment strategy changed to permit the Fund to be “actively” managed. In conjunction with these changes, the Board approved a new subadviser for the Fund, Wellington Management, to replace NTI and to begin actively selecting investments in an attempt not only to match, but potentially to outperform, the Fund’s new benchmark index, the Russell 1000^® Growth Index. (It is, of course, also possible that an actively managed fund will underperform its benchmark index.) Prior to this date, the Fund had been named MassMutual Select NASDAQ-100^® Fund and was “passively” managed – meaning that the Fund’s investment manager attempted to provide an investment return comparable to that of the Fund’s benchmark index, the NASDAQ-100 Index.

MassMutual Select Fundamental Growth Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Apple, Inc.	8.1	%
Microsoft Corp.	4.5	%
Cisco Systems, Inc.	4.3	%
International Business Machines Corp.	3.5	%
The Coca-Cola Co.	3.2	%
Philip Morris International, Inc.	2.7	%
EMC Corp.	2.6	%
Amgen, Inc.	2.2	%
UnitedHealth Group, Inc.	2.2	%
Wal-Mart Stores, Inc.	2.1	%
	35.4	%

MassMutual Select Fundamental Growth Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Technology	25.9	%
Consumer, Non-cyclical	21.2	%
Communications	18.3	%
Consumer, Cyclical	14.1	%
Industrial	6.6	%
Energy	5.1	%
Basic Materials	1.5	%
Financial	1.2	%
Total Long-Term Investments	93.9	%
Short-Term Investments and Other Assets and Liabilities	6.1	%
Net Assets	100.0	%

10

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks growth of capital over the long term by investing, under normal circumstances, at least 80% of net assets in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadviser currently defines blue chip growth companies to mean firms that, in its view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).

MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Apple, Inc.	10.1	%
Google, Inc. Class A	4.1	%
Amazon.com, Inc.	4.0	%
Danaher Corp.	3.1	%
Priceline.com, Inc.	3.1	%
MasterCard, Inc. Class A	2.9	%
Starbucks Corp.	2.5	%
American Tower Corp.	2.2	%
QUALCOMM, Inc.	2.0	%
Praxair, Inc.	2.0	%
	36.0	%

MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Communications	21.1	%
Consumer, Cyclical	16.5	%
Technology	15.8	%
Consumer, Non-cyclical	15.5	%
Industrial	12.0	%
Financial	8.7	%
Energy	4.8	%
Basic Materials	4.4	%
Mutual Funds	0.0	%
Total Long-Term Investments	98.8	%
Short-Term Investments and Other Assets and Liabilities	1.2	%
Net Assets	100.0	%

11

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks long-term capital appreciation by investing primarily in equity securities of U.S. companies. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities. Equity securities may include common stocks, preferred stocks, securities convertible into common or preferred stock, rights, and warrants. The Fund’s subadvisers are Sands Capital Management, LLC (Sands Capital), which managed approximately 51% of the Fund’s portfolio; and Delaware Management Company (DMC), which was responsible for approximately 49% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Growth Opportunites Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Apple, Inc.	8.9	%
Visa, Inc. Class A	6.6	%
Google, Inc. Class A	5.2	%
QUALCOMM, Inc.	4.7	%
Priceline.com, Inc.	4.1	%
Amazon.com, Inc.	3.9	%
Allergan, Inc.	3.8	%
Salesforce.com, Inc.	3.2	%
IntercontinentalExchange, Inc.	3.2	%
Crown Castle International Corp.	2.6	%
	46.2	%

MassMutual Select Growth Opportunites Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Communications	25.3	%
Technology	22.2	%
Consumer, Non-cyclical	22.1	%
Consumer, Cyclical	10.1	%
Energy	8.4	%
Financial	6.3	%
Basic Materials	3.0	%
Industrial	1.7	%
Pipeline	0.1	%
Total Long-Term Investments	99.2	%
Short-Term Investments and Other Assets and Liabilities	0.8	%
Net Assets	100.0	%

12

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select 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 subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the stocks of mid-cap companies. The Fund’s subadvisers are NFJ Investment Group LLC (NFJ), which managed approximately 33% of the Fund’s portfolio; and Systematic Financial Management, L.P. (Systematic), which was responsible for approximately 67% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Mid-Cap Value Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
NiSource, Inc.	2.3	%
The Allstate Corp.	2.2	%
Energen Corp.	1.8	%
Foot Locker, Inc.	1.7	%
Comerica, Inc.	1.6	%
Lincoln National Corp.	1.6	%
Cadence Design Systems, Inc.	1.5	%
HollyFrontier Corp.	1.5	%
PPL Corp.	1.5	%
Discover Financial Services	1.4	%
	17.1	%

MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Financial	26.6	%
Consumer, Non-cyclical	13.0	%
Consumer, Cyclical	12.1	%
Utilities	11.4	%
Industrial	11.2	%
Basic Materials	9.0	%
Technology	6.9	%
Energy	6.1	%
Communications	1.7	%
Total Long-Term Investments	98.0	%
Short-Term Investments and Other Assets and Liabilities	2.0	%
Net Assets	100.0	%

13

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks to maximize total return through investment primarily in small capitalization equity securities that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company, LLP (Wellington Management), which managed approximately 58% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 42% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Carlisle Cos., Inc.	2.0	%
Cabela’s, Inc.	1.9	%
Mentor Graphics Corp.	1.8	%
HealthSouth Corp.	1.7	%
Prosperity Bancshares, Inc.	1.5	%
Fiserv, Inc.	1.4	%
Terex Corp.	1.4	%
Belden, Inc.	1.3	%
Oshkosh Corp.	1.3	%
Forward Air Corp.	1.3	%
	15.6	%

MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Industrial	29.5	%
Consumer, Cyclical	17.8	%
Financial	17.2	%
Consumer, Non-cyclical	12.8	%
Technology	7.2	%
Utilities	3.2	%
Energy	3.2	%
Basic Materials	3.0	%
Communications	1.1	%
Total Long-Term Investments	95.0	%
Short-Term Investments and Other Assets and Liabilities	5.0	%
Net Assets	100.0	%

14

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks to achieve long-term growth of capital by investing primarily in a diversified portfolio of equity securities of smaller companies that the Fund’s subadvisers consider to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets 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 Federated Clover Investment Advisors (Federated Clover), which managed approximately 39% of the Fund’s portfolio; T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 52% of the Fund’s portfolio; and EARNEST Partners, LLC (Earnest Partners), which oversaw approximately 9% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
ProAssurance Corp.	1.4	%
Aaron’s, Inc.	1.4	%
Cleco Corp.	1.3	%
Landstar System, Inc.	1.2	%
Beacon Roofing Supply, Inc.	0.9	%
Genesee & Wyoming, Inc. Class A	0.8	%
Owens & Minor, Inc.	0.8	%
East West Bancorp, Inc.	0.8	%
Wintrust Financial Corp.	0.8	%
SVB Financial Group	0.8	%
	10.2	%

MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Financial	25.0	%
Industrial	21.2	%
Consumer, Cyclical	12.7	%
Consumer, Non-cyclical	12.1	%
Basic Materials	7.0	%
Energy	6.4	%
Technology	4.9	%
Utilities	4.4	%
Communications	3.7	%
Mutual Funds	0.4	%
Total Long-Term Investments	97.8	%
Short-Term Investments and Other Assets and Liabilities	2.2	%
Net Assets	100.0	%

15

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Mid Cap Growth Equity II 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 in a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the Fund’s subadvisers expect to grow at a faster rate than the average company. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which oversaw approximately 79% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 21% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Mid Cap Growth Equity II Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
AMETEK, Inc.	2.1	%
IHS, Inc. Class A	1.6	%
Dollar General Corp.	1.4	%
Quanta Services, Inc.	1.4	%
Gartner, Inc.	1.4	%
Roper Industries, Inc.	1.4	%
DENTSPLY International, Inc.	1.2	%
Pall Corp.	1.1	%
Nuance Communications, Inc.	1.1	%
Textron, Inc.	1.1	%
	13.8	%

MassMutual Select Mid Cap Growth Equity II Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Consumer, Non-cyclical	25.7	%
Industrial	16.5	%
Technology	15.2	%
Consumer, Cyclical	13.5	%
Communications	6.8	%
Financial	6.4	%
Energy	6.1	%
Basic Materials	3.6	%
Utilities	1.1	%
Mutual Funds	0.7	%
Total Long-Term Investments	95.6	%
Short-Term Investments and Other Assets and Liabilities	4.4	%
Net Assets	100.0	%

16

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets 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 Wellington Management Company, LLP (Wellington Management), which managed approximately 52% of the Fund’s portfolio; and Waddell & Reed Investment Management Company (Waddell & Reed), which was responsible for approximately 48% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Portfolio Recovery Associates, Inc.	2.8	%
Wabtec Corp.	2.5	%
Dril-Quip, Inc.	2.3	%
Under Armour, Inc. Class A	2.2	%
Cyberonics, Inc.	2.0	%
Volcano Corp.	2.0	%
MICROS Systems, Inc.	1.6	%
Stratasys, Inc.	1.6	%
Dexcom, Inc.	1.5	%
Sapient Corp.	1.5	%
	20.0	%

MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Consumer, Non-cyclical	19.1	%
Industrial	16.6	%
Technology	15.5	%
Consumer, Cyclical	15.3	%
Financial	11.0	%
Communications	9.9	%
Energy	5.9	%
Basic Materials	1.9	%
Mutual Funds	1.5	%
Utilities	0.3	%
Total Long-Term Investments	97.0	%
Short-Term Investments and Other Assets and Liabilities	3.0	%
Net Assets	100.0	%

17

MassMutual Select Funds – Portfolio Summaries (Continued)

What is the investment approach of MassMutual Select Small Company Growth 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 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 The Boston Company Asset Management, LLC (The Boston Company), which managed approximately 39% of the Fund’s portfolio; and Eagle Asset Management, Inc. (Eagle), which was responsible for approximately 61% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Small Company Growth Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Genesco, Inc.	2.1	%
Catalyst Health Solutions, Inc.	1.6	%
iShares Russell 2000 Growth Index Fund	1.6	%
Vitamin Shoppe, Inc.	1.4	%
Shuffle Master, Inc.	1.3	%
Cepheid, Inc.	1.3	%
Salix Pharmaceuticals Ltd.	1.3	%
Monster Worldwide, Inc.	1.2	%
Lufkin Industries, Inc.	1.2	%
Triumph Group, Inc.	1.2	%
	14.2	%

MassMutual Select Small Company Growth Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Consumer, Non-cyclical	29.4	%
Consumer, Cyclical	19.2	%
Industrial	16.1	%
Technology	11.9	%
Communications	6.7	%
Energy	4.7	%
Financial	4.4	%
Basic Materials	3.9	%
Mutual Funds	1.6	%
Total Long-Term Investments	97.9	%
Short-Term Investments and Other Assets and Liabilities	2.1	%
Net Assets	100.0	%

18

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks growth of capital over the long-term by investing primarily in equity securities from developed countries included in the Morgan Stanley Capital International (“MSCI^®”) Europe, Australasia, Far East (“EAFE^®”) Value Index, which is the Fund’s benchmark. The Fund may invest up to 15% of its total assets in equity securities of issuers in emerging markets countries and typically does not invest in U.S. companies. The Fund’s subadviser is J.P. Morgan Investment Management Inc. (J.P. Morgan).

MassMutual Select Diversified International Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
Vodafone Group PLC	4.0	%
Royal Dutch Shell PLC Class A	3.6	%
HSBC Holdings PLC	3.4	%
ENI SpA	2.8	%
Sumitomo Mitsui Financial Group, Inc.	2.8	%
Sanofi	2.6	%
Honda Motor Co. Ltd.	2.3	%
Bayer AG	2.2	%
Australia & New Zealand Banking Group Ltd.	2.2	%
Hitachi Ltd.	2.0	%
	27.9	%

MassMutual Select Diversified International Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Financial	24.5	%
Consumer, Cyclical	13.6	%
Consumer, Non-cyclical	12.4	%
Energy	10.2	%
Communications	9.0	%
Industrial	9.0	%
Basic Materials	7.7	%
Utilities	5.4	%
Technology	4.0	%
Diversified	1.4	%
Total Long-Term Investments	97.2	%
Short-Term Investments and Other Assets and Liabilities	2.8	%
Net Assets	100.0	%

MassMutual Select Diversified International Fund Country Weightings (% of Net Assets) on 6/30/12 (Unaudited)
United Kingdom	25.2	%
Japan	23.0	%
Germany	9.4	%
France	9.0	%
Italy	4.5	%
Sweden	3.4	%
Switzerland	3.1	%
Hong Kong	3.0	%
Netherlands	2.9	%
Australia	2.2	%
Republic of Korea	2.1	%
Spain	1.7	%
Finland	1.2	%
China	1.0	%
Belgium	1.0	%
Israel	0.8	%
Luxembourg	0.8	%
Canada	0.7	%
Norway	0.6	%
South Africa	0.6	%
Taiwan	0.6	%
New Zealand	0.4	%
Total Long-Term Investments	97.2	%
Short-Term Investments and Other Assets and Liabilities	2.8	%
Net Assets	100.0	%

19

MassMutual Select Funds – Portfolio Summaries (Continued)

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

The Fund seeks growth of capital over the long-term by investing in foreign equity securities. Under normal circumstances, the Fund invests at least 80% of its net assets in stocks of foreign companies, including companies located in Europe, Latin America, and Asia. The Fund may invest in equity securities of issuers in emerging markets. The Fund’s subadvisers are J.P. Morgan Investment Management Inc. (J.P. Morgan), which managed approximately 24% of the Fund’s portfolio; Massachusetts Financial Services Company (MFS), which was responsible for approximately 52% of the Fund’s portfolio; and Harris Associates L.P. (Harris), which oversaw approximately 24% of the Fund’s portfolio, as of June 30, 2012.

MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
HSBC Holdings PLC	2.4	%
Honda Motor Co. Ltd.	2.1	%
Bayer AG	2.1	%
Nestle SA	2.0	%
Canon, Inc.	1.9	%
Royal Dutch Shell PLC Class A	1.8	%
Linde AG	1.7	%
Diageo PLC	1.7	%
Roche Holding AG	1.4	%
Heineken NV	1.3	%
	18.4	%

MassMutual Select Overseas Fund Sector Table (% of Net Assets) on 6/30/12 (Unaudited)
Financial	22.6	%
Consumer, Non-cyclical	18.3	%
Consumer, Cyclical	13.8	%
Industrial	11.0	%
Basic Materials	10.6	%
Technology	7.5	%
Communications	6.2	%
Energy	5.1	%
Utilities	1.6	%
Diversified	1.3	%
Total Long-Term Investments	98.0	%
Short-Term Investments and Other Assets and Liabilities	2.0	%
Net Assets	100.0	%

MassMutual Select Overseas Fund Country Weightings (% of Net Assets) on 6/30/12 (Unaudited)
United Kingdom	19.4	%
Japan	18.3	%
Switzerland	11.1	%
Germany	10.2	%
France	10.1	%
Netherlands	6.3	%
Australia	2.7	%
Spain	2.5	%
Italy	2.4	%
Hong Kong	1.9	%
Canada	1.8	%
Sweden	1.7	%
Taiwan	1.4	%
Republic of Korea	1.4	%
Bermuda	0.9	%
India	0.9	%
Brazil	0.9	%
Ireland	0.7	%
Singapore	0.5	%
Israel	0.5	%
South Africa	0.5	%
Czech Republic	0.4	%
Finland	0.3	%
China	0.3	%
Belgium	0.3	%
Luxembourg	0.2	%
Norway	0.2	%
New Zealand	0.1	%
Mexico	0.1	%
Total Long-Term Investments	98.0	%
Short-Term Investments and Other Assets and Liabilities	2.0	%
Net Assets	100.0	%

20

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 1.1%
PREFERRED STOCK — 1.1%
Electric — 1.1%
PPL Corp. 9.500%		400,000	$	21,160,000
TOTAL PREFERRED STOCK (Cost $21,450,000)				21,160,000
TOTAL EQUITIES (Cost $21,450,000)				21,160,000
	Principal Amount
BONDS & NOTES — 140.1%
BANK LOANS — 0.0%
Diversified Financial — 0.0%
Petroleum Export Term Loan B FRN 1.000% 12/20/12	$	380,200		351,687
TOTAL BANK LOANS (Cost $377,363)				351,687
CORPORATE DEBT — 39.9%
Aerospace & Defense — 1.0%
United Technologies Corp. FRN 0.736% 12/02/13		18,200,000		18,264,519
Agriculture — 0.6%
Reynolds American, Inc. 7.625% 6/01/16		10,000,000		12,052,260
Auto Manufacturers — 0.2%
Volkswagen International Finance NV FRN (a) 0.918% 10/01/12		3,100,000		3,102,018
Banks — 10.9%
Abbey National Treasury Services PLC FRN 2.045% 4/25/14		2,100,000		2,009,465
American Express Bank FSB 5.500% 4/16/13		10,800,000		11,203,056
Australia & New Zealand Banking Group Ltd. FRN 1.315% 5/08/13		2,100,000		2,100,890
Australia & New Zealand Banking Group Ltd. (a) 2.125% 1/10/14		2,400,000		2,428,452
Australia & New Zealand Banking Group Ltd. (a) 2.400% 11/23/16		1,500,000		1,535,867
Banco Santander Brasil SA (a) 4.250% 1/14/16		1,400,000		1,382,500

	Principal Amount		Value
Banco Santander Brazil SA FRN (a) 2.567% 3/18/14	$	1,200,000	$	1,154,887
Banco Santander Chile FRN (a) 2.065% 1/19/16		1,000,000		935,000
Bank of America Corp. FRN 0.967% 9/11/12		1,600,000		1,599,846
Bank of India 6.250% 2/16/21		3,700,000		3,681,674
Bank of Montreal (a) 1.950% 1/30/18		300,000		308,669
Bank of Nova Scotia (a) 1.650% 10/29/15		900,000		920,191
Bank of Nova Scotia (a) 1.950% 1/30/17		1,000,000		1,029,298
Barclays Bank PLC 2.375% 1/13/14		800,000		801,891
Barclays Bank PLC (a) 10.179% 6/12/21		11,700,000		13,803,075
BBVA Bancomer SA (a) 4.500% 3/10/16		500,000		502,500
BBVA Bancomer SA (a) 6.500% 3/10/21		4,900,000		4,949,000
BBVA US Senior SA FRN 2.590% 5/16/14		6,000,000		5,579,316
BNP Paribas SA FRN 1.369% 1/10/14		3,700,000		3,622,674
Credit Suisse New York 2.200% 1/14/14		800,000		805,200
Dexia Credit Local SA (a) 2.750% 4/29/14		47,645,000		46,493,897
Export-Import Bank of Korea 4.000% 1/29/21		400,000		412,889
First Horizon National Corp. 4.500% 5/15/13		1,100,000		1,116,530
GMAC, Inc. 7.500% 12/31/13		5,000,000		5,300,000
Groupe BPCE (a) 2.375% 10/04/13		400,000		392,719
HSBC Bank PLC (a) 2.000% 1/19/14		800,000		807,330
ICICI Bank Ltd. (a) 4.750% 11/25/16		6,400,000		6,342,528
ICICI Bank Ltd. (a)  5.500% 3/25/15		2,200,000		2,252,824
ING Bank NV FRN (a) 1.517% 3/15/13		7,000,000		7,002,310
ING Bank NV (a) 2.500% 1/14/16		500,000		508,166
Intesa Sanpaolo SpA FRN (a) 2.866% 2/24/14		1,800,000		1,690,232
JP Morgan Chase Bank NA 6.000% 10/01/17		11,700,000		13,099,577

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

21

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

	Principal Amount		Value
Korea Development Bank 3.500% 8/22/17	$	900,000	$	939,576
Korea Development Bank 8.000% 1/23/14		1,000,000		1,090,995
LBG Capital No.2 PLC GBP (c) 9.125% 7/15/20		3,000,000		4,065,337
Lloyds TSB Bank PLC 4.875% 1/21/16		1,400,000		1,469,770
National Australia Bank Ltd. FRN (a) 1.189% 4/11/14		7,800,000		7,803,830
Nordea Bank AB (a) 2.125% 1/14/14		400,000		400,650
Resona Bank Ltd. VRN (a) 5.850% 12/31/49		6,200,000		6,380,308
The Royal Bank of Scotland PLC EUR (c) 3.625% 5/17/13		800,000		1,025,808
The Royal Bank of Scotland PLC (a) 4.875% 8/25/14		10,000,000		10,281,410
Santander UK PLC FRN EUR (c) 1.018% 10/10/17		4,900,000		4,602,783
Sberbank of Russia Via SB Capital SA (a) 4.950% 2/07/17		3,300,000		3,349,500
Sumitomo Mitsui Banking Corp. (a) 1.950% 1/14/14		1,000,000		1,010,255
UBS AG FRN 1.465% 1/28/14		2,700,000		2,685,182
Wachovia Corp. 5.625% 10/15/16		10,700,000		12,061,554
				202,939,411
Building Materials — 0.2%
Corporacion GEO SAB de CV (a) 9.250% 6/30/20		3,000,000		3,120,000
Chemicals — 0.4%
Braskem Finance Ltd. (a) 5.750% 4/15/21		2,000,000		2,055,000
Braskem Finance Ltd. (a) 7.000% 5/07/20		5,100,000		5,573,280
				7,628,280
Computers — 0.3%
Hewlett-Packard Co. FRN 0.746% 5/24/13		6,000,000		5,986,908
Diversified Financial — 15.2%
Ally Financial, Inc. FRN 3.867% 6/20/14		21,600,000		21,394,368
Ally Financial, Inc. 4.500% 2/11/14		5,700,000		5,778,375
BM&F Bovespa SA (a) 5.500% 7/16/20		3,300,000		3,498,000
Citigroup, Inc. FRN 1.316% 2/15/13		1,300,000		1,300,013

	Principal Amount		Value
Citigroup, Inc. FRN 1.918% 1/13/14	$	2,200,000	$	2,190,368
Citigroup, Inc. 5.000% 9/15/14		11,700,000		11,993,284
Credit Agricole Home Loan FRN (a) 1.215% 7/21/14		5,400,000		5,277,895
FCE Bank PLC EUR (c) 7.125% 1/15/13		5,000,000		6,517,321
Federal Home Loan Mortgage Corp. 1.000% 3/08/17		900,000		903,571
Federal Home Loan Mortgage Corp. 1.000% 6/29/17		17,100,000		17,117,996
Federal Home Loan Mortgage Corp. 1.750% 5/30/19		1,800,000		1,842,897
Federal Home Loan Mortgage Corp. 2.375% 1/13/22		500,000		514,478
Federal Home Loan Mortgage Corp. 3.750% 3/27/19		6,700,000		7,723,614
Federal Home Loan Mortgage Corp. 5.000% 2/16/17		1,800,000		2,132,322
Federal Home Loan Mortgage Corp. 5.500% 7/18/16		1,500,000		1,783,875
Federal Home Loan Mortgage Corp. 5.500% 8/23/17		3,500,000		4,286,235
Federal National Mortgage Association 0.500% 7/02/15		11,000,000		10,974,543
Federal National Mortgage Association 1.125% 4/27/17		1,500,000		1,513,337
Federal National Mortgage Association (d) 1.250% 1/30/17		68,700,000		69,842,728
Federal National Mortgage Association 1.375% 11/15/16		14,500,000		14,835,938
Federal National Mortgage Association 1.625% 10/26/15		190,000		196,245
Federal National Mortgage Association 5.000% 2/13/17		4,700,000		5,575,581
Federal National Mortgage Association 5.000% 5/11/17		3,600,000		4,292,376
Federal National Mortgage Association 5.375% 7/15/16		2,300,000		2,723,972
Federal National Mortgage Association 5.375% 6/12/17		8,100,000		9,829,918
FIA Card Services NA 7.125% 11/15/12		10,700,000		10,900,069

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

22

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

	Principal Amount		Value
Ford Motor Credit Co. LLC 7.000% 10/01/13	$	300,000	$	320,107
General Electric Capital Corp. VRN 7.125% 12/31/49		5,500,000		5,810,530
HSBC Holdings PLC 5.100% 4/05/21		10,100,000		11,276,145
International Lease Finance Corp. (a) 6.750% 9/01/16		700,000		752,500
Macquarie Bank Ltd. (a) 6.625% 4/07/21		2,400,000		2,406,422
Merrill Lynch & Co., Inc. 5.450% 2/05/13		900,000		918,097
Morgan Stanley FRN 2.966% 5/14/13		1,300,000		1,298,220
SLM Corp. 6.250% 1/25/16		100,000		105,000
SLM Corp. 8.000% 3/25/20		8,200,000		8,979,000
SLM Corp. 8.450% 6/15/18		10,000,000		11,200,000
Sydney Airport Finance (a) 5.125% 2/22/21		300,000		320,798
TNK-BP Finance SA (a) (e) 7.250% 2/02/20		5,000,000		5,615,600
TNK-BP Finance SA (b) 7.250% 2/02/20		4,500,000		5,054,040
TNK-BP Finance SA (b) 7.500% 3/13/13		5,000,000		5,187,500
				284,183,278
Electric — 0.9%
Comision Federal de Electricidad (a) 4.875% 5/26/21		8,800,000		9,504,000
Majapahit Holding BV (a) 7.750% 1/20/20		5,300,000		6,320,250
				15,824,250
Holding Company – Diversified — 0.1%
Noble Group Ltd. (a) 4.875% 8/05/15		1,000,000		1,000,000
Noble Group Ltd. (b) 6.625% 8/05/20		1,400,000		1,344,000
				2,344,000
Insurance — 2.7%
American International Group, Inc. 5.050% 10/01/15		12,500,000		13,267,262
American International Group, Inc. (a) 6.820% 11/15/37		5,000,000		5,800,100
Cincinnati Financial Corp. 6.920% 5/15/28		26,742,000		31,294,478
				50,361,840

	Principal Amount			Value
Iron & Steel — 0.8%
CSN Islands XI Corp. (a) 6.875% 9/21/19	$	2,000,000		$	2,180,000
Gerdau Holdings, Inc. (b) 7.000% 1/20/20		10,000,000			11,150,000
GTL Trade Finance, Inc. (a) 7.250% 10/20/17		1,600,000			1,784,000
					15,114,000
Oil & Gas — 1.5%
Gazprom OAO Via Gaz Capital SA (a) 5.092% 11/29/15		200,000			210,500
Gazprom OAO Via Morgan Stanley Bank AG (b) 9.625% 3/01/13		2,500,000			2,619,125
Novatek Finance Ltd. (a) 5.326% 2/03/16		400,000			416,048
Petrobras International Finance Co. 7.875% 3/15/19		2,300,000			2,797,596
Petroleos Mexicanos 5.500% 1/21/21		2,800,000			3,164,000
Petroleos Mexicanos (a) 5.500% 6/27/44		400,000			409,000
Petroleos Mexicanos 6.500% 6/02/41		5,000,000	��		5,837,500
Ras Laffan LNG 3 (b) 5.500% 9/30/14		1,800,000			1,939,500
Reliance Holdings USA, Inc. (a) 4.500% 10/19/20		6,600,000			6,202,574
Transocean, Inc., Series C, Convertible 1.500% 12/15/37		4,500,000			4,477,500
					28,073,343
Retail — 0.0%
CVS Pass-Through Trust 6.943% 1/10/30		90,053			106,644
Savings & Loans — 3.5%
AK Transneft OJSC Via TransCapitalInvest Ltd. (b) 7.700% 8/07/13		14,200,000			15,044,843
AK Transneft OJSC Via TransCapitalInvest Ltd. (b) 8.700% 8/07/18		800,000			997,200
LBG Capital No.1 PLC GBP (c) 7.588% 5/12/20		5,415,000			7,251,006
LBG Capital No.1 PLC GBP (c) 7.867% 12/17/19		7,567,000			10,191,916
LBG Capital No.1 PLC GBP (c) 7.869% 8/25/20		2,906,000			3,900,408
Odebrecht Drilling Norbe VIII/IX Ltd. (a) 6.350% 6/30/21		392,000			410,620

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

23

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

	Principal Amount		Value
RZD Capital Ltd. 5.739% 4/03/17	$	3,100,000	$	3,309,033
SSIF Nevada LP FRN (a) 1.166% 4/14/14		12,500,000		12,416,200
Vnesheconombank Via VEB Finance Ltd. (a) 5.450% 11/22/17		400,000		413,796
Vnesheconombank Via VEB Finance Ltd. (a) 6.902% 7/09/20		9,500,000		10,278,715
Vnesheconombank Via VEB Finance PLC (a) 5.375% 2/13/17		1,800,000		1,862,712
				66,076,449
Telecommunications — 0.7%
Deutsche Telekom International Finance BV GBP (c) 6.500% 4/08/22		3,300,000		6,199,250
Indosat Palapa Co. BV (a) 7.375% 7/29/20		5,000,000		5,400,000
Qtel International Finance Ltd. (a) 4.750% 2/16/21		200,000		213,000
Qwest Corp. FRN 3.717% 6/15/13		1,300,000		1,301,221
				13,113,471
Transportation — 0.9%
Asciano Finance (a) 5.000% 4/07/18		9,000,000		9,401,121
DP World Sukuk Ltd. (a) (e) 6.250% 7/02/17		7,000,000		7,560,000
				16,961,121
TOTAL CORPORATE DEBT (Cost $725,983,326)				745,251,792
MUNICIPAL OBLIGATIONS — 3.5%
Bay Area Toll Authority BAB 6.918% 4/01/40		6,300,000		8,623,440
Bay Area Toll Authority BAB 7.043% 4/01/50		10,500,000		14,851,935
Denver Public Schools BAB 6.220% 12/15/26		4,300,000		5,011,779
Irvine Ranch Water District BAB 6.622% 5/01/40		6,700,000		9,373,702
Los Angeles Community College District BAB 6.750% 8/01/49		3,000,000		3,974,490
Metropolitan Government of Nashville & Davidson County Convention Center Authority 6.731% 7/01/43		100,000		114,899

	Principal Amount		Value
New York City Municipal Water Finance Authority 5.000% 6/15/44	$	1,000,000	$	1,109,540
New York City Municipal Water Finance Authority BAB 6.124% 6/15/42		10,000,000		11,415,800
New York Liberty Development Corp. 5.000% 12/15/41		200,000		220,562
New York State Dormitory Authority 5.051% 9/15/27		600,000		705,984
San Diego County Regional Airport Authority BAB 6.628% 7/01/40		5,000,000		5,491,150
State of California BAB 5.700% 11/01/21		3,500,000		3,984,715
				64,877,996
TOTAL MUNICIPAL OBLIGATIONS (Cost $52,057,911)				64,877,996
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.9%
Commercial MBS — 4.9%
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA VRN (a) 5.807% 2/24/51		6,500,000		7,193,485
BCRR Trust, Series 2009-1, Class 2A2 VRN (a) 5.858% 7/17/40		31,036,000		31,511,937
Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3 VRN 6.407% 2/15/41		2,800,000		3,103,721
European Loan Conduit, Series 25A, Class A FRN EUR (a) (c) 0.840% 5/15/19		4,342,192		4,729,104
European Loan Conduit, Series 25X, Class A FRN EUR (b) (c) 0.840% 5/15/19		102,169		111,273
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		3,500,000		3,824,399
Morgan Stanley Reremic Trust, Series 2010-GG10, Class A4A VRN (a) 5.978% 8/15/45		25,000,000		27,998,153
Real Estate Capital PLC, Series 4, Class A1 FRN GBP (b) (c) 1.263% 10/20/14		4,275,000		6,680,426
Titan Europe PLC, Series 2007-3X, Class A1 FRN GBP (b) (c) 1.294% 10/23/16		5,221,599		7,119,031
				92,271,529

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

24

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

	Principal Amount		Value
Other ABS — 0.3%
Hillmark Funding, Series 2006-1A, Class A1 FRN (a) 0.716% 5/21/21	$	3,800,000	$	3,589,202
Penta CLO SA, Series 2007-1X, Class A1 FRN EUR (b) (c) 1.166% 6/04/24		968,307		1,090,599
				4,679,801
Student Loans ABS — 1.0%
SLM Student Loan Trust, Series 2012-C, Class A1 FRN (a) 1.338% 8/15/23		18,500,000		18,499,848
WL Collateral CMO — 2.7%
Arran Residential Mortgages Funding PLC, Series 2011-1A, Class A1B FRN EUR (a) (c) 1.886% 11/19/47		8,137,572		10,312,811
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A1B FRN EUR (a) (c) 1.889% 5/16/47		258,294		327,075
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A2B FRN EUR (a) (c) 2.089% 5/16/47		1,900,000		2,412,428
Chase Mortgage Finance Corp., Series 2006-A1, Class 4A1 FRN 5.817% 9/25/36		357,627		317,463
Granite Master Issuer PLC, Series 2005-2, Class A6 FRN 0.503% 12/20/54		1,972,808		1,894,423
Granite Master Issuer PLC, Series 2006-3, Class A5 FRN EUR (c) 0.505% 12/20/54		4,693,916		5,721,559
Granite Master Issuer PLC, Series 2006-4, Class A7 FRN EUR (b) (c) 0.615% 12/20/54		2,396,736		2,921,415
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 FRN 2.654% 9/25/35		5,298,059		4,852,784
Holmes Master Issuer PLC, Series 2011-1A, Class A3 EUR (a) (c) 2.107% 10/15/54		1,000,000		1,270,790
Indymac Index Mortgage Loan Trust, Series 2006-AR13, Class A3 VRN 5.179% 7/25/36		11,080,523		9,089,006
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2 FRN 4.828% 8/25/35		4,275,000		3,911,687
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1 VRN 2.996% 2/25/34		2,368,557		2,217,691

	Principal Amount		Value
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 5.000% 3/25/36	$	5,210,972	$	4,924,049
				50,173,181
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $160,191,444)				165,624,359
SOVEREIGN DEBT OBLIGATIONS — 3.3%
Canada Housing Trust No 1 CAD (a) (c) 3.350% 12/15/20		4,500,000		4,839,986
Canada Housing Trust No 1 CAD (a) (c) 3.800% 6/15/21		500,000		555,815
ENN Energy Holdings Ltd. (a) 6.000% 5/13/21		300,000		301,814
Korea Housing Finance Corp. (a) 4.125% 12/15/15		400,000		423,179
Mexican Bonos MXN (c) 6.000% 6/18/15		9,900,000		767,887
Mexican Bonos MXN (c) 7.750% 12/14/17		16,100,000		1,367,813
Province of British Columbia Canada CAD (c) 3.250% 12/18/21		100,000		103,910
Province of Ontario Canada 1.600% 9/21/16		2,100,000		2,137,840
Province of Ontario Canada 3.000% 7/16/18		400,000		429,607
Province of Ontario Canada CAD (c) 3.150% 6/02/22		3,500,000		3,550,123
Province of Ontario Canada CAD (c) 4.000% 6/02/21		14,900,000		16,210,281
Province of Ontario Canada CAD (c) 4.200% 3/08/18		100,000		109,430
Province of Ontario Canada CAD (c) 4.200% 6/02/20		4,100,000		4,518,900
Province of Ontario Canada CAD (c) 4.300% 3/08/17		700,000		762,932
Province of Ontario Canada CAD (c) 4.400% 6/02/19		1,300,000		1,446,714
Province of Ontario Canada 4.400% 4/14/20		1,000,000		1,162,533
Province of Ontario Canada CAD (c) 4.600% 6/02/39		700,000		823,767
Province of Ontario Canada CAD (c) 5.500% 6/02/18		300,000		349,056
Province of Quebec Canada 2.750% 8/25/21		1,600,000		1,655,003

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

25

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

	Principal Amount		Value
Province of Quebec Canada 3.500% 7/29/20	$	1,400,000	$	1,540,000
Province of Quebec Canada CAD (c) 3.500% 12/01/22		10,100,000		10,437,592
Province of Quebec Canada CAD (c) 4.250% 12/01/21		7,400,000		8,143,271
Province of Quebec Canada CAD (c) 4.500% 12/01/16		100,000		109,443
Province of Quebec Canada CAD (c) 4.500% 12/01/18		400,000		445,375
Province of Quebec Canada CAD (c) 4.500% 12/01/20		400,000		447,960
United Mexican States MXN (c) 10.000% 12/05/24		1,400,000		147,051
				62,787,282
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $61,003,227)				62,787,282
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 53.6%
Pass-Through Securities — 53.6%
Federal Home Loan Mortgage Corp. Pool #C03701 4.500% 9/01/41		1,565,965		1,671,973
Federal Home Loan Mortgage Corp. TBA Pool#5159 4.500% 5/01/39 (f)		1,000,000		1,067,344
Federal National Mortgage Association Pool #470529 2.475% 4/01/19		2,800,000		2,885,212
Pool #AB4503 3.000% 2/01/42		2,191,370		2,248,893
Pool #AK4943 3.000% 3/01/42		14,104,773		14,475,023
Pool #MA1044 3.000% 4/01/42		1,999,998		2,052,498
Pool #AO4764 3.000% 5/01/42		571,794		586,803
Pool #AO2970 3.000% 5/01/42		6,428,272		6,597,014
Pool #AO5929 3.000% 6/01/42		8,703,878		8,932,355
Pool #AO4277 3.000% 6/01/42		1,000,000		1,026,250
Pool #MA0504 3.500% 8/01/20		872,027		925,745
Pool #AE3066 3.500% 9/01/25		606,812		641,159
Pool #AE4281 3.500% 9/01/25		260,808		275,570

	Principal Amount		Value
Pool #AE5080 3.500% 9/01/25	$	118,160	$	124,848
Pool #AE5487 3.500% 10/01/25		435,730		460,393
Pool #AE8131 3.500% 10/01/25		330,902		349,632
Pool #AE4014 3.500% 11/01/25		467,613		494,081
Pool #AE4992 3.500% 11/01/25		395,598		417,989
Pool #AE7019 3.500% 11/01/25		389,807		411,870
Pool #AD5102 3.500% 12/01/25		212,503		224,531
Pool #AE2913 3.500% 12/01/25		190,087		200,846
Pool #AE9381 3.500% 12/01/25		883,942		933,974
Pool #MA0617 3.500% 1/01/26		265,348		280,367
Pool #AH1884 3.500% 1/01/26		334,012		352,917
Pool #AH1892 3.500% 2/01/26		169,253		178,833
Pool #AB2826 3.500% 4/01/26		398,498		421,054
Pool #AH9914 3.500% 4/01/26		420,312		444,102
Pool #AB3008 3.500% 5/01/26		276,266		291,904
Pool #AI3430 3.500% 5/01/26		671,048		709,030
Pool #310096 3.500% 8/01/26		172,011		181,747
Pool #890396 3.500% 10/01/26		61,151		64,612
Pool #AH6778 3.500% 3/01/41		122,523		128,836
Pool #MA0824 3.500% 6/01/41		565,135		594,252
Pool #889304 4.000% 4/01/23		24,482		26,020
Pool #993567 4.000% 4/01/24		1,966,683		2,090,216
Pool #995703 4.000% 5/01/24		87,898		93,420
Pool #993382 4.000% 6/01/24		2,750,837		2,923,624
Pool #AD3975 4.000% 6/01/25		157,723		169,503
Pool #AD9130 4.000% 8/01/25		155,867		165,658

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

26

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

	Principal Amount		Value
Pool #AE8298 4.000% 11/01/25	$	2,914,440	$	3,097,503
Pool #AI2022 4.000% 4/01/26		512,719		544,924
Pool #AE4338 4.000% 9/01/30		204,937		218,354
Pool #AB1502 4.000% 9/01/40		5,667,328		6,027,735
Pool #AE5661 4.000% 10/01/40		889,704		946,283
Pool #AE6120 4.000% 10/01/40		626,468		666,307
Pool #AH0248 4.000% 11/01/40		952,623		1,013,204
Pool #AB2335 4.000% 2/01/41		1,003,093		1,066,884
Pool #AB3576 4.000% 9/01/41		1,836,186		1,952,956
Pool #AJ1407 4.000% 9/01/41		152,976		162,705
Pool #AJ0029 4.000% 10/01/41		6,803,502		7,236,162
Pool #AB3940 4.000% 11/01/41		939,490		1,000,997
Pool #AJ3496 4.000% 11/01/41		268,176		285,733
Pool #AJ3797 4.000% 11/01/41		19,335,861		20,601,756
Pool #AJ5380 4.000% 11/01/41		964,743		1,027,903
Pool #AJ4679 4.000% 11/01/41		963,765		1,026,861
Pool #AJ4460 4.000% 12/01/41		1,779,921		1,896,450
Pool #889907 4.500% 10/01/20		291,285		312,256
Pool #889266 4.500% 3/01/23		147,303		157,907
Pool #AA6704 4.500% 3/01/23		183,691		196,686
Pool #995282 4.500% 4/01/23		135,918		145,703
Pool #973950 4.500% 4/01/23		85,951		92,139
Pool #983629 4.500% 5/01/23		17,759		19,015
Pool #982888 4.500% 5/01/23		83,868		90,954
Pool #257277 4.500% 7/01/23		32,562		34,865
Pool #255217 4.500% 4/01/24		442,472		475,329

	Principal Amount		Value
Pool #995708 4.500% 4/01/24	$	457,868	$	490,259
Pool #AB0554 4.500% 4/01/24		14,306		15,318
Pool #931412 4.500% 6/01/24		502,870		538,445
Pool #932561 4.500% 2/01/25		292,976		313,702
Pool #AD7877 4.500% 6/01/25		723,357		774,529
Pool #AE0791 4.500% 12/01/25		334,961		358,657
Pool #257179 4.500% 4/01/28		206,590		221,996
Pool #930997 4.500% 4/01/29		13,414,203		14,418,696
Pool #MA0096 4.500% 6/01/29		149,809		161,027
Pool #812104 4.500% 2/01/35		132,001		141,576
Pool #815715 4.500% 4/01/35		110,457		118,470
Pool #832199 4.500% 7/01/35		256,256		274,724
Pool #829583 4.500% 7/01/35		6,818		7,309
Pool #745044 4.500% 8/01/35		103,123		110,603
Pool #889954 4.500% 10/01/38		250,354		268,241
Pool #995244 4.500% 11/01/38		4,000,001		4,285,782
Pool #AA3296 4.500% 2/01/39		755,134		809,085
Pool #930609 4.500% 2/01/39		2,120,231		2,271,711
Pool #AA4986 4.500% 3/01/39		657,092		720,055
Pool #930631 4.500% 3/01/39		876,196		938,796
Pool #AA5824 4.500% 5/01/39		798,285		855,319
Pool #AA4369 4.500% 5/01/39		151,976		162,834
Pool #AA7681 4.500% 6/01/39		449,213		481,307
Pool #190396 4.500% 6/01/39		1,000,001		1,071,446
Pool #AC0391 4.500% 7/01/39		574,635		615,689
Pool #AC0380 4.500% 7/01/39		612,088		655,819

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

27

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

	Principal Amount		Value
Pool #931636 4.500% 7/01/39	$	493,391	$	528,641
Pool #AD1654 4.500% 3/01/40		1,214,929		1,334,002
Pool #AD1079 4.500% 3/01/40		623,631		668,186
Pool #AD3057 4.500% 3/01/40		1,341,524		1,437,370
Pool #AD3126 4.500% 4/01/40		28,181		30,195
Pool #AE5930 4.500% 6/01/40		869,295		931,402
Pool #AB1226 4.500% 7/01/40		110,644		118,549
Pool #AB1388 4.500% 8/01/40		15,941		17,080
Pool #AE2100 4.500% 8/01/40		611,556		655,249
Pool #AE3151 4.500% 9/01/40		233,377		250,051
Pool #AB1475 4.500% 9/01/40		781,633		837,477
Pool #AE0395 4.500% 10/01/40		4,006,817		4,293,086
Pool #AE5471 4.500% 10/01/40		2,425,825		2,599,139
Pool #AE8864 4.500% 11/01/40		735,789		788,358
Pool #AE3695 4.500% 11/01/40		121,026		129,673
Pool #AH9142 4.500% 4/01/41		136,226		146,086
Pool #AH8383 4.500% 4/01/41		235,844		252,915
Pool #AH6915 4.500% 4/01/41		1,216,686		1,304,753
Pool #AH4709 4.500% 4/01/41		200,000		214,477
Pool #AH7828 4.500% 4/01/41		916,710		983,064
Pool #AH9873 4.500% 4/01/41		1,534,016		1,645,052
Pool #AI1116 4.500% 4/01/41		770,562		826,338
Pool #AI0290 4.500% 5/01/41		357,527		383,406
Pool #AL0160 4.500% 5/01/41		3,216,260		3,446,046
Pool #AI1586 4.500% 6/01/41		729,961		782,798
Pool #AH5453 4.500% 6/01/41		400,602		429,599

	Principal Amount		Value
Pool #AB3194 4.500% 6/01/41	$	574,467	$	616,048
Pool #MA0755 4.500% 6/01/41		203,896		218,655
Pool #AB3948 4.500% 7/01/41		1,000,000		1,072,383
Pool #AI0041 4.500% 7/01/41		550,787		590,655
Pool #AH3853 4.500% 7/01/41		612,291		656,611
Pool #AI0814 4.500% 8/01/41		827,756		887,671
Pool #MA0843 4.500% 9/01/41		3,018,906		3,239,310
Pool #AJ2989 4.500% 10/01/41		24,768		26,607
Pool #256713 5.000% 5/01/27		687,833		744,015
Pool #730728 5.000% 8/01/33		1,031,451		1,120,212
Pool #725205 5.000% 3/01/34		677,057		735,215
Pool #773682 5.000% 4/01/34		462,151		501,776
Pool #735288 5.000% 3/01/35		3,010,757		3,263,261
Pool #888233 5.000% 11/01/35		312,196		338,087
Pool #889769 5.000% 1/01/38		760,163		821,541
Pool #AD0245 5.000% 8/01/38		750,637		812,183
Pool #AA2730 5.000% 5/01/39		646,921		698,953
Pool #AD7136 5.000% 7/01/40		352,358		381,579
Pool #AD7595 5.000% 7/01/40		209,573		226,953
Pool #AB2350 5.000% 2/01/41		318,915		345,861
Pool #AH8146 5.000% 4/01/41		257,606		282,028
Pool #AH8434 5.000% 4/01/41		595,060		645,896
Pool #AL0933 5.000% 10/01/41		442,646		480,461
Pool #AJ6307 5.000% 12/01/41		178,861		194,476
Pool #256714 5.500% 5/01/27		199,791		218,069
Pool #257325 5.500% 8/01/28		529,714		577,843

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

28

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

	Principal Amount		Value
Pool #AD0836 5.500% 11/01/28	$	625,966	$	682,841
Pool #730155 5.500% 8/01/33		316,444		348,558
Pool #735358 5.500% 2/01/35		213,866		234,234
Pool #850314 5.500% 1/01/36		49,456		54,074
Pool #745418 5.500% 4/01/36		116,846		127,754
Pool #831922 5.500% 11/01/36		30,383		33,163
Pool #AD2612 5.500% 11/01/36		96,770		105,895
Pool #889584 5.500% 1/01/37		108,349		118,566
Pool #906094 5.500% 1/01/37		248,296		270,236
Pool #256597 5.500% 2/01/37		60,967		66,354
Pool #888129 5.500% 2/01/37		337,399		368,266
Pool #912872 5.500% 2/01/37		22,755		24,765
Pool #905142 5.500% 2/01/37		407,147		443,122
Pool #256673 5.500% 4/01/37		316,374		344,329
Pool #914803 5.500% 4/01/37		19,337		21,046
Pool #888286 5.500% 4/01/37		392,130		426,779
Pool #918069 5.500% 5/01/37		62,679		68,217
Pool #190379 5.500% 5/01/37		655,092		712,976
Pool #937466 5.500% 6/01/37		120,466		131,110
Pool #967740 5.500% 7/01/37		164,008		178,500
Pool #925062 5.500% 7/01/37		626,433		681,785
Pool #938412 5.500% 7/01/37		487,267		530,321
Pool #AE0188 5.500% 8/01/37		416,564		456,236
Pool #953590 5.500% 1/01/38		140,421		152,829
Pool #983285 5.500% 5/01/38		102,127		111,151
Pool #984277 5.500% 6/01/38		595,488		648,105

	Principal Amount		Value
Pool #889996 5.500% 6/01/38	$	81,602	$	88,812
Pool #982658 5.500% 6/01/38		78,168		85,075
Pool #995018 5.500% 6/01/38		1,974,304		2,148,752
Pool #995258 5.500% 1/01/39		63,957		69,608
Pool #995502 5.500% 2/01/39		7,997		8,729
Pool #995845 5.500% 4/01/39		132,862		144,602
Pool #AA3642 5.500% 4/01/39		91,241		99,731
Pool #995838 5.500% 5/01/39		585,048		638,570
Pool #AD4567 5.500% 4/01/40		37,704		41,035
Pool #AE0549 5.500% 5/01/40		765,281		836,009
Pool #AL0484 5.500% 5/01/40		740,969		806,441
Pool #AL0675 5.500% 9/01/41		1,037,707		1,129,398
Federal National Mortgage Association TBA Pool #838 2.500% 3/01/27 (f)		53,000,000		54,635,548
Pool #3430 3.000% 10/01/26 (f)		160,700,000		168,358,351
Pool #2409 3.500% 12/01/25 (f)		97,000,000		102,478,987
Pool #5880 3.500% 8/01/41 (f)		109,000,000		114,237,112
Pool #1127 3.500% 10/01/41 (f)		8,000,000		8,407,500
Pool #6990 4.000% 4/01/24 (f)		4,000,000		4,254,375
Pool #8089 4.000% 7/17/27 (f) (g)		4,000,000		4,254,375
Pool #12994 4.000% 7/01/40 (f)		5,000,000		5,312,304
Pool #6447 4.000% 7/01/40 (f)		51,000,000		54,279,142
Pool #20255 4.500% 7/17/27 (f) (g)		2,000,000		2,144,219
Pool #15801 4.500% 6/01/39 (f)		17,000,000		18,236,485
Pool #9730 4.500% 8/01/41 (f)		70,000,000		75,036,717
Pool #11794 4.500% 7/12/42 (f) (g)		61,000,000		65,436,798

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

29

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

	Principal Amount		Value
Pool #28654 5.000% 7/01/41 (f)	$	24,000,000	$	25,976,251
Pool #45746 5.500% 3/01/35 (f)		87,000,000		94,891,170
Pool #54407 6.000% 7/01/35 (f)		7,000,000		7,691,797
				1,001,297,510
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $997,028,577)				1,001,297,510
U.S. TREASURY OBLIGATIONS — 30.9%
U.S. Treasury Bonds & Notes — 30.9%
U.S. Treasury Inflation Index 0.125% 4/15/16		2,292,774		2,386,454
U.S. Treasury Inflation Index 0.125% 1/15/22		2,642,562		2,795,955
U.S. Treasury Inflation Index 0.625% 7/15/21		204,130		227,350
U.S. Treasury Inflation Index 0.750% 2/15/42		8,551,620		8,970,512
U.S. Treasury Inflation Index 1.125% 1/15/21		315,477		363,045
U.S. Treasury Inflation Index 1.250% 7/15/20		1,160,291		1,347,207
U.S. Treasury Inflation Index (h) 1.750% 1/15/28		7,137,390		8,942,372
U.S. Treasury Inflation Index 2.000% 1/15/26		7,301,826		9,318,386
U.S. Treasury Inflation Index 2.375% 1/15/25		1,464,468		1,928,635
U.S. Treasury Inflation Index (d) (h) 2.375% 1/15/27		63,080,710		84,646,428
U.S. Treasury Inflation Index 2.500% 1/15/29		750,008		1,040,812
U.S. Treasury Note (d) (h) 0.625% 5/31/17		232,400,000		231,336,050
U.S. Treasury Note 0.625% 6/30/17		39,500,000		39,541,661
U.S. Treasury Note 0.875% 1/31/17		17,200,000		17,348,887
U.S. Treasury Note 0.875% 2/28/17		2,400,000		2,420,737
U.S. Treasury Note (d) (h) 0.875% 4/30/17		48,700,000		49,069,818

	Principal Amount		Value
U.S. Treasury Note 1.000% 3/31/17	$	114,200,000	$	115,772,031
				577,456,340
TOTAL U.S. TREASURY OBLIGATIONS (Cost $572,707,450)				577,456,340
TOTAL BONDS & NOTES (Cost $2,569,349,298)				2,617,646,966
TOTAL LONG-TERM INVESTMENTS (Cost $2,590,799,298)				2,638,806,966
SHORT-TERM INVESTMENTS — 3.7%
Commercial Paper — 0.1%
Bank of Nova Scotia 0.715% 8/09/12		1,100,000		1,099,976
Repurchase Agreements — 3.0%
Bank of America Repurchase Agreement, dated 6/29/12, 0.190%, due 7/02/12 (i)		25,100,000		25,100,000
Goldman Sachs & Co. Repurchase Agreement, dated 6/29/12, 0.150%, due 7/12/12 (j)		13,500,000		13,500,000
JP Morgan Chase Bank Repurchase Agreement, dated 6/29/2012, 0.190%, due 7/17/12 (k)		700,000		700,000
Morgan Stanley & Co. Repurchase Agreement, dated 6/29/12, 0.200%, due 7/02/12 (l)		11,000,000		11,000,000
Morgan Stanley & Co. Repurchase Agreement, dated 6/29/12, 0.210%, due 7/02/12 (m)		5,500,000		5,500,000
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (n)		573,526		573,526
				56,373,526
Sovereign Debt Obligations — 0.5%
Japan Treasury Discount Bill JPY (c) 0.010% 8/20/12		800,000,000		10,006,744
U.S. Treasury Bills — 0.1%
U.S. Treasury Bill (d) 0.010% 11/08/12		280,000		279,861
U.S. Treasury Bill (d) 0.060% 7/05/12		160,000		159,999

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

30

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

	Principal Amount			Value
U.S. Treasury Bill (d) 0.081% 8/02/12	$	1,180,000		$	1,179,913
U.S. Treasury Bill (d) 0.102% 11/15/12		32,000			31,983
U.S. Treasury Bill (d) 0.172% 5/30/13		420,000			419,344
U.S. Treasury Bill (d) 0.500% 8/16/12		430,000			429,932
					2,501,032
TOTAL SHORT-TERM INVESTMENTS (Cost $70,090,746)					69,981,278
TOTAL INVESTMENTS — 144.9% (Cost $2,660,890,044) (o)					2,708,788,244
Other Assets/(Liabilities) — (44.9)%					(839,704,080	)
NET ASSETS — 100.0%				$	1,869,084,164
SECURITIES SOLD SHORT — (1.9)%
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES SOLD SHORT—(1.9%)
Pass-Through Securities — (1.9)%
Federal National Mortgage Association, TBA Pool #515 3.000% 2/01/42 (f)		(35,000,000	)		(35,888,671	)
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES SOLD SHORT (Cost $(35,818,750))					(35,888,671	)
TOTAL SECURITIES SOLD SHORT — (1.9)% (Cost $(35,818,750))					(35,888,671	)

Notes to Portfolio of Investments

ABS Asset-Backed Security

BAB Build America Bonds

CAD Canadian Dollar

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

GBP British Pound

JPY Japanese Yen

MBS Mortgage-Backed Security

MXN Mexican Peso

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $351,135,174 or 18.79% of net assets.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2012, these securities amounted to a value of $61,258,952 or 3.28% of net assets.

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

(d) All or a portion of this security is held as collateral for open swap agreements and written options outstanding. (Note 2).

(e) All or portion of this security is held as collateral for open reverse repurchase agreements. (Note 2)

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

(g) This security is valued in good faith under procedures established by the Board of Trustees.

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

(i) Maturity value of $25,100,397. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 11/15/21, and an aggregate market value, including accrued interest, of $25,846,388.

(j) Maturity value of $13,500,788. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 6/20/42, and an aggregate market value, including accrued interest, of $13,944,737.

(k) Maturity value of $700,055. Collateralized by U.S. Government Agency obligations with a rate of 4.500%, maturity date of 7/15/13, and an aggregate market value, including accrued interest, of $716,119.

(l) Maturity value of $11,000,183. Collateralized by U.S. Government Agency obligations with a rates ranging from of 1.000 – 4.250%, maturity dates ranging from 8/31/16 – 11/15/40, and an aggregate market value, including accrued interest, of $11,318,095.

(m) Maturity value of $5,500,096. Collateralized by U.S. Government Agency obligations with a rate of 0.300%, maturity date of 12/11/14, and an aggregate market value, including accrued interest, of $5,611,979.

(n) Maturity value of $573,527. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 12/15/17, and an aggregate market value, including accrued interest, of $586,741.

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

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

31

MassMutual Select Strategic Bond Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 0.1%
PREFERRED STOCK — 0.1%
Diversified Financial — 0.1%
Citigroup Capital XII 8.500%		2,900	$	72,674
Citigroup Capital XIII 7.875%		6,050		165,105
				237,779
TOTAL PREFERRED STOCK (Cost $235,160)				237,779
TOTAL EQUITIES (Cost $235,160)				237,779
	Principal Amount
BONDS & NOTES — 98.7%
CORPORATE DEBT — 35.5%
Aerospace & Defense — 0.5%
The Boeing Co. 4.875% 2/15/20	$	100,000		119,968
The Boeing Co. 6.000% 3/15/19		130,000		162,518
Raytheon Co. 3.125% 10/15/20		120,000		125,941
United Technologies Corp. 3.100% 6/01/22		200,000		209,572
United Technologies Corp. 4.500% 6/01/42		280,000		307,553
				925,552
Agriculture — 0.8%
Altria Group, Inc. 4.750% 5/05/21		390,000		442,278
Altria Group, Inc. 9.250% 8/06/19		180,000		250,072
Philip Morris International, Inc. 2.900% 11/15/21		280,000		288,346
Philip Morris International, Inc. 4.500% 3/20/42		120,000		127,616
Reynolds American, Inc. 6.750% 6/15/17		175,000		210,100
				1,318,412
Airlines — 0.2%
Continental Airlines, Inc. (a) 6.750% 9/15/15		20,000		20,550
Delta Air Lines, Inc. Series 2007-1 Class A (a) 6.821% 2/10/24		256,527		275,766
United Air Lines, Inc. 9.750% 7/15/18		116,884		132,956
				429,272

	Principal Amount		Value
Auto Manufacturers — 0.2%
Daimler Finance NA LLC (a) 2.625% 9/15/16	$	260,000	$	267,551
Banks — 4.9%
Bank of America Corp. 3.875% 3/22/17		70,000		71,309
Bank of America Corp. 4.500% 4/01/15		20,000		20,615
Bank of America Corp. 4.875% 9/15/12		10,000		10,060
Bank of America Corp. 5.000% 5/13/21		410,000		423,000
Bank of America Corp. 5.625% 7/01/20		190,000		203,421
Bank of America Corp. 7.625% 6/01/19		170,000		199,900
Bank of Tokyo-Mitsubishi UFJ Ltd. (a) 3.850% 1/22/15		110,000		116,119
BankAmerica Institutional Capital A (a) 8.070% 12/31/26		100,000		102,175
Barclays Bank PLC (a) 6.050% 12/04/17		130,000		131,358
BBVA US Senior SAU 3.250% 5/16/14		400,000		384,817
Commonwealth Bank of Australia (a) 3.750% 10/15/14		200,000		209,366
Commonwealth Bank of Australia (a) 5.000% 10/15/19		70,000		76,904
Cooperatieve Centrale Raiffeisen-Boerenleenbank 3.375% 1/19/17		320,000		329,340
Credit Agricole SA VRN (a) 8.375% 12/31/49		620,000		509,950
ICICI Bank Ltd. VRN (b) 6.375% 4/30/22		180,000		160,200
Intesa Sanpaolo SPA (a) 3.625% 8/12/15		140,000		125,993
Landsbanki Islands HF (Acquired 8/25/06, Cost $669,826) (a) (c) (d) 6.100% 8/25/2011		670,000		33,500
Lloyds TSB Bank PLC (a) 5.800% 1/13/20		90,000		96,211
Lloyds TSB Bank PLC 6.375% 1/21/21		100,000		113,328
Nordea Bank AB (a) 3.700% 11/13/14		140,000		145,608
Nordea Bank AB (a) 4.875% 5/13/21		390,000		379,991
Rabobank Nederland (a) 11.000% 12/29/49		210,000		264,180

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

32

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

	Principal Amount		Value
Royal Bank of Scotland Group PLC 5.000% 10/01/14	$	310,000	$	311,174
Royal Bank of Scotland Group PLC 5.050% 1/08/15		80,000		79,877
Royal Bank of Scotland Group PLC VRN 7.640% 12/31/49		200,000		133,000
Royal Bank of Scotland Group PLC VRN 7.648% 12/31/49		40,000		32,000
Santander US Debt SA Unipersonal (a) 2.485% 1/18/13		200,000		195,941
Santander US Debt SA Unipersonal (a) 3.724% 1/20/15		100,000		93,012
State Street Corp. 4.956% 3/15/18		310,000		331,995
Sumitomo Mitsui Banking Corp. (a) 3.100% 1/14/16		200,000		210,213
Sumitomo Mitsui Banking Corp. (a) 3.150% 7/22/15		260,000		273,062
UBS AG 3.875% 1/15/15		310,000		320,346
Wachovia Capital Trust III VRN 5.569% 12/31/49		360,000		343,800
Wachovia Corp. 5.250% 8/01/14		790,000		842,749
Wachovia Corp. 5.625% 10/15/16		330,000		371,992
Wells Fargo & Co. 2.100% 5/08/17		350,000		350,782
Wells Fargo & Co. 3.676% 6/15/16		170,000		180,948
Wells Fargo & Co. 4.600% 4/01/21		40,000		44,626
Wells Fargo Capital 5.950% 12/15/36		310,000		311,162
				8,534,024
Beverages — 0.8%
Anheuser-Busch InBev Worldwide, Inc. 5.000% 4/15/20		100,000		117,105
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		260,000		309,822
Diageo Capital PLC 4.828% 7/15/20		300,000		349,562
Diageo Investment Corp. 2.875% 5/11/22		150,000		154,088
Molson Coors Brewing Co. 3.500% 5/01/22		30,000		30,804
Pernod-Ricard SA (a) 2.950% 1/15/17		180,000		182,204
Pernod-Ricard SA (a) 4.450% 1/15/22		250,000		259,038
				1,402,623

	Principal Amount		Value
Chemicals — 0.1%
Ecolab, Inc. 4.350% 12/08/21	$	70,000	$	77,585
Potash Corp. of Saskatchewan, Inc. 4.875% 3/30/20		50,000		57,696
				135,281
Coal — 0.3%
Arch Coal, Inc. 7.000% 6/15/19		250,000		211,250
CONSOL Energy, Inc. 6.375% 3/01/21		160,000		150,400
Peabody Energy Corp. 6.500% 9/15/20		170,000		172,125
				533,775
Commercial Services — 0.1%
Service Corp. International 7.500% 4/01/27		135,000		138,375
Service Corp. International 7.625% 10/01/18		10,000		11,350
				149,725
Diversified Financial — 8.5%
American Express Co. VRN 6.800% 9/01/66		230,000		237,590
Boeing Capital Corp. 4.700% 10/27/19		150,000		176,634
Citigroup, Inc. 3.953% 6/15/16		240,000		245,918
Citigroup, Inc. 5.375% 8/09/20		400,000		432,238
Citigroup, Inc. 5.500% 10/15/14		80,000		84,702
Citigroup, Inc. 6.000% 8/15/17		30,000		32,862
Citigroup, Inc. 6.010% 1/15/15		290,000		311,583
Citigroup, Inc. 6.375% 8/12/14		20,000		21,409
Citigroup, Inc. 6.875% 3/05/38		660,000		807,300
Countrywide Financial Corp. 6.250% 5/15/16		360,000		374,687
Federal Home Loan Mortgage Corp. 0.875% 10/28/13		330,000		332,264
Federal National Mortgage Association 0.010% 10/09/19		2,500,000		2,026,428
Federal National Mortgage Association 4.625% 5/01/13		950,000		983,411
FIA Card Services NA 7.125% 11/15/12		450,000		458,414
Financing Corp. Fico Strip 0.010% 6/06/13		240,000		239,227

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

33

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

	Principal Amount		Value
Ford Motor Credit Co. LLC 8.125% 1/15/20	$	300,000	$	366,425
General Electric Capital Corp. 5.300% 2/11/21		40,000		44,895
General Electric Capital Corp. 5.875% 1/14/38		400,000		459,202
General Electric Capital Corp. VRN 6.375% 11/15/67		990,000		1,030,838
General Electric Capital Corp. 6.875% 1/10/39		440,000		567,658
General Electric Capital Corp. VRN 7.125% 12/31/49		100,000		105,646
The Goldman Sachs Group, Inc. 3.625% 8/01/12		60,000		60,110
The Goldman Sachs Group, Inc. 4.750% 7/15/13		10,000		10,282
The Goldman Sachs Group, Inc. 5.250% 10/15/13		80,000		83,193
The Goldman Sachs Group, Inc. 5.250% 7/27/21		70,000		71,107
The Goldman Sachs Group, Inc. 5.375% 3/15/20		310,000		319,121
The Goldman Sachs Group, Inc. 5.450% 11/01/12		150,000		152,175
The Goldman Sachs Group, Inc. 6.000% 6/15/20		240,000		256,217
The Goldman Sachs Group, Inc. 6.250% 2/01/41		470,000		490,095
HSBC Finance Corp. 6.676% 1/15/21		430,000		465,567
International Lease Finance Corp. (a) 6.750% 9/01/16		720,000		774,000
John Deere Capital Corp. 2.250% 4/17/19		200,000		204,420
JP Morgan Chase & Co. 4.350% 8/15/21		40,000		42,216
JP Morgan Chase & Co. 5.150% 10/01/15		600,000		643,843
JPMorgan Chase & Co. 5.125% 9/15/14		820,000		871,155
Lehman Brothers Holdings Capital Trust VII VRN (c) 5.857% 12/31/49		310,000		31
Lehman Brothers Holdings, Inc. (c) 6.500% 7/19/17		440,000		44
Lehman Brothers Holdings, Inc. Series I (c) 6.750% 12/28/17		1,320,000		132
MBNA Capital A Series A 8.278% 12/01/26		110,000		112,695
Merrill Lynch & Co., Inc. 6.875% 4/25/18		110,000		123,083

	Principal Amount		Value
Morgan Stanley 4.750% 3/22/17	$	40,000	$	39,912
Morgan Stanley Series F 5.550% 4/27/17		200,000		202,074
SLM Corp. 5.000% 4/15/15		20,000		20,184
SLM Corp. 5.050% 11/14/14		120,000		123,594
SLM Corp. 5.625% 8/01/33		90,000		76,050
UPCB Finance III Ltd. (a) 6.625% 7/01/20		150,000		152,250
				14,632,881
Electric — 1.8%
Calpine Corp. (a) 7.500% 2/15/21		230,000		248,400
The Cleveland Electric Illuminating Co. 5.650% 12/15/13		190,000		201,178
The Cleveland Electric Illuminating Co. 5.700% 4/01/17		20,000		22,489
Dominion Resources, Inc. 5.700% 9/17/12		510,000		515,217
Duke Energy Corp. 5.625% 11/30/12		595,000		607,020
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. 10.000% 12/01/20		495,000		538,313
Exelon Corp. 5.625% 6/15/35		290,000		314,275
FirstEnergy Corp. Series C 7.375% 11/15/31		320,000		401,686
Pacific Gas & Electric Co. 5.800% 3/01/37		130,000		161,582
Pacific Gas & Electric Co. 6.050% 3/01/34		90,000		113,417
Pacific Gas & Electric Co. 8.250% 10/15/18		50,000		67,396
				3,190,973
Electronics — 0.1%
Thermo Fisher Scientific, Inc. 3.600% 8/15/21		90,000		96,803
Environmental Controls — 0.0%
Waste Management, Inc. 7.375% 5/15/29		50,000		66,240
Foods — 0.6%
Kraft Foods Group, Inc. (a) 3.500% 6/06/22		210,000		215,494
Kraft Foods, Inc. 5.375% 2/10/20		490,000		579,844
The Kroger Co. 6.400% 8/15/17		30,000		35,865

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

34

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

	Principal Amount		Value
Safeway, Inc. 3.950% 8/15/20	$	90,000	$	86,842
Safeway, Inc. 4.750% 12/01/21		180,000		178,511
				1,096,556
Forest Products & Paper — 0.1%
Celulosa Arauco y Constitucion SA (a) 4.750% 1/11/22		110,000		112,451
Celulosa Arauco y Constitucion SA (b) 4.750% 1/11/22		20,000		20,446
				132,897
Health Care – Products — 0.1%
Medtronic, Inc. 3.125% 3/15/22		180,000		186,492
Health Care – Services — 1.0%
Roche Holdings, Inc. (a) 6.000% 3/01/19		180,000		223,892
Tenet Healthcare Corp. 8.875% 7/01/19		240,000		269,400
Tenet Healthcare Corp. 10.000% 5/01/18		300,000		343,500
UnitedHealth Group, Inc. 5.700% 10/15/40		120,000		147,851
UnitedHealth Group, Inc. 5.800% 3/15/36		70,000		86,376
UnitedHealth Group, Inc. 6.000% 2/15/18		110,000		133,105
WellPoint, Inc. 3.125% 5/15/22		50,000		50,401
WellPoint, Inc. 3.700% 8/15/21		170,000		179,471
WellPoint, Inc. 5.875% 6/15/17		20,000		23,589
WellPoint, Inc. 7.000% 2/15/19		150,000		186,240
				1,643,825
Household Products — 0.2%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (a) 6.875% 2/15/21		150,000		156,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (a) 7.125% 4/15/19		200,000		209,500
				365,500
Insurance — 0.9%
American International Group, Inc. (a) 3.750% 11/30/13		100,000		101,227
American International Group, Inc. 6.250% 3/15/37		570,000		527,250
American International Group, Inc. 6.400% 12/15/20		140,000		158,407

	Principal Amount		Value
ING Capital Funding Trust III VRN 4.069% 12/31/49	$	10,000	$	8,313
MetLife Capital Trust IV (a) 7.875% 12/15/37		200,000		222,000
MetLife, Inc. 6.400% 12/15/36		260,000		254,872
Teachers Insurance & Annuity Association of America (a) 6.850% 12/16/39		260,000		335,728
				1,607,797
Iron & Steel — 0.1%
Steel Dynamics, Inc. 6.750% 4/01/15		140,000		142,100
Steel Dynamics, Inc. 7.625% 3/15/20		40,000		42,800
				184,900
Lodging — 0.1%
CityCenter Holdings LLC/CityCenter Finance Corp. 7.625% 1/15/16		70,000		73,850
Inn of the Mountain Gods Resort & Casino (a) 8.750% 11/30/20		10,000		9,650
MGM Resorts International 10.375% 5/15/14		10,000		11,275
MGM Resorts International 11.125% 11/15/17		20,000		22,450
				117,225
Media — 2.1%
CCO Holdings LLC/CCO Holdings Capital Corp. 6.500% 4/30/21		270,000		287,550
CCO Holdings LLC/CCO Holdings Capital Corp. 7.000% 1/15/19		220,000		237,600
Comcast Corp. 6.500% 1/15/15		765,000		862,907
DISH DBS Corp. 6.750% 6/01/21		110,000		118,800
DISH DBS Corp. 7.875% 9/01/19		170,000		195,925
News America, Inc. 4.500% 2/15/21		10,000		10,964
News America, Inc. 6.200% 12/15/34		20,000		22,754
News America, Inc. 6.650% 11/15/37		30,000		35,019
Reed Elsevier Capital, Inc. 8.625% 1/15/19		250,000		317,165
Time Warner Cable, Inc. 4.000% 9/01/21		110,000		115,594
Time Warner Cable, Inc. 5.500% 9/01/41		20,000		21,762

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

35

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

	Principal Amount		Value
Time Warner Cable, Inc. 5.875% 11/15/40	$	110,000	$	123,110
Time Warner Cable, Inc. 6.200% 7/01/13		250,000		262,694
Time Warner Cable, Inc. 6.750% 6/15/39		180,000		219,380
Time Warner Cable, Inc. 8.250% 4/01/19		270,000		352,808
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		27,092
Time Warner, Inc. 4.750% 3/29/21		200,000		223,771
Time Warner, Inc. 6.250% 3/29/41		20,000		23,255
TL Acquisitions, Inc. (a) 10.500% 1/15/15		20,000		15,200
United Business Media Ltd. (a) 5.750% 11/03/20		130,000		133,799
				3,607,149
Mining — 2.0%
Barrick Gold Corp. 3.850% 4/01/22		50,000		51,766
Barrick Gold Corp. 6.950% 4/01/19		140,000		174,182
Barrick NA Finance LLC 4.400% 5/30/21		210,000		226,344
BHP Billiton Finance USA Ltd. 3.250% 11/21/21		40,000		41,744
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		410,000		521,905
FMG Resources August 2006 Pty Ltd. (a) 6.375% 2/01/16		30,000		30,375
Freeport-McMoRan Copper & Gold, Inc. 3.550% 3/01/22		320,000		314,841
Novelis, Inc. /GA 8.750% 12/15/20		50,000		53,875
Rio Tinto Finance USA Ltd. 1.875% 11/02/15		20,000		20,443
Rio Tinto Finance USA Ltd. 2.500% 5/20/16		100,000		103,925
Rio Tinto Finance USA Ltd. 3.500% 11/02/20		350,000		372,355
Rio Tinto Finance USA Ltd. 3.750% 9/20/21		110,000		118,150
Rio Tinto Finance USA Ltd. 4.125% 5/20/21		80,000		87,946
Rio Tinto Finance USA Ltd. 6.500% 7/15/18		190,000		234,182
Teck Resources Ltd. 10.250% 5/15/16		9,000		10,046
Vale Overseas Ltd. 4.375% 1/11/22		502,000		511,198

	Principal Amount		Value
Vale Overseas Ltd. 6.875% 11/21/36	$	361,000	$	418,743
Vedanta Resources PLC (a) 8.750% 1/15/14		190,000		196,422
				3,488,442
Oil & Gas — 4.0%
Anadarko Petroleum Corp. 6.375% 9/15/17		30,000		34,849
Apache Corp. 4.750% 4/15/43		40,000		44,431
Apache Corp. 5.100% 9/01/40		330,000		378,934
BP Capital Markets PLC 3.125% 10/01/15		480,000		510,302
BP Capital Markets PLC 3.245% 5/06/22		80,000		82,831
BP Capital Markets PLC 3.561% 11/01/21		30,000		31,760
Chesapeake Energy Corp. 6.875% 11/15/20		210,000		206,850
Concho Resources, Inc. 5.500% 10/01/22		40,000		39,600
Concho Resources, Inc. 6.500% 1/15/22		98,000		101,920
Conoco, Inc. 6.950% 4/15/29		155,000		212,636
ConocoPhillips 6.500% 2/01/39		20,000		27,696
Devon Energy Corp. 5.600% 7/15/41		360,000		417,695
Hess Corp. 7.300% 8/15/31		115,000		143,908
Hess Corp. 7.875% 10/01/29		90,000		117,704
Hess Corp. 8.125% 2/15/19		180,000		231,693
Kerr-McGee Corp. 6.950% 7/01/24		300,000		371,315
Kerr-McGee Corp. 7.875% 9/15/31		360,000		466,800
Noble Energy, Inc. 8.250% 3/01/19		300,000		383,521
Occidental Petroleum Corp. 2.700% 2/15/23		130,000		130,818
Occidental Petroleum Corp. 3.125% 2/15/22		200,000		208,506
Pemex Project Funding Master Trust 6.625% 6/15/35		623,000		741,370
Petrobras International Finance Co. 3.875% 1/27/16		150,000		154,866
Petrobras International Finance Co. 5.375% 1/27/21		540,000		581,996

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

36

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

	Principal Amount		Value
Petrobras International Finance Co. 5.750% 1/20/20	$	142,000	$	155,331
Petrobras International Finance Co. 6.125% 10/06/16		166,000		185,650
QEP Resources, Inc. 6.875% 3/01/21		190,000		210,900
Shell International Finance BV 4.375% 3/25/20		330,000		384,274
Sinopec Group Overseas Development 2012 Ltd. (a) 2.750% 5/17/17		200,000		203,388
WPX Energy, Inc. 6.000% 1/15/22		70,000		69,650
				6,831,194
Oil & Gas Services — 0.4%
Baker Hughes, Inc. 3.200% 8/15/21		240,000		250,365
Cie Generale de Geophysique — Veritas 6.500% 6/01/21		230,000		230,000
Key Energy Services, Inc. 6.750% 3/01/21		140,000		136,500
SESI LLC (a) 7.125% 12/15/21		50,000		54,375
				671,240
Pharmaceuticals — 0.9%
Aristotle Holding, Inc. (a) 3.500% 11/15/16		620,000		652,776
GlaxoSmithKline Capital PLC 2.850% 5/08/22		210,000		213,613
Pfizer, Inc. 6.200% 3/15/19		310,000		388,538
Teva Pharmaceutical Finance Co. BV 3.650% 11/10/21		50,000		52,589
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21		290,000		305,016
Wyeth 5.950% 4/01/37		20,000		26,251
				1,638,783
Pipelines — 1.4%
El Paso Natural Gas Co. 8.375% 6/15/32		289,000		373,941
Enterprise Products Operating LLC 4.050% 2/15/22		520,000		551,442
Enterprise Products Operating LLC 5.250% 1/31/20		60,000		68,730
Enterprise Products Operating LLC 5.700% 2/15/42		330,000		365,093
Enterprise Products Operating LLC 6.125% 10/15/39		20,000		22,657
Enterprise Products Operating LP 5.950% 2/01/41		40,000		45,234

	Principal Amount		Value
Kinder Morgan Energy Partners LP 5.000% 12/15/13	$	100,000	$	104,855
Kinder Morgan Energy Partners LP 5.850% 9/15/12		20,000		20,194
Kinder Morgan Energy Partners LP 6.000% 2/01/17		200,000		230,989
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. 6.250% 6/15/22		50,000		51,500
Regency Energy Partners LP/Regency Energy Finance Corp. 6.500% 7/15/21		128,000		134,400
Southern Natural Gas Co. LLC 8.000% 3/01/32		5,000		6,485
Tennessee Gas Pipeline Co. LLC 7.625% 4/01/37		50,000		61,468
Williams Cos., Inc. 7.750% 6/15/31		78,000		96,824
Williams Cos., Inc. Series A 7.500% 1/15/31		240,000		292,250
				2,426,062
Retail — 0.5%
CVS Caremark Corp. 6.600% 3/15/19		100,000		124,705
CVS Caremark Corp. (a) 9.350% 1/10/23		240,000		274,730
CVS Pass-Through Trust (a) 5.298% 1/11/27		12,740		13,558
CVS Pass-Through Trust 5.880% 1/10/28		132,369		145,104
CVS Pass-Through Trust 6.036% 12/10/28		111,386		125,623
CVS Pass-Through Trust 6.943% 1/10/30		90,053		106,644
Wal-Mart Stores, Inc. 6.200% 4/15/38		50,000		68,016
				858,380
Savings & Loans — 0.4%
ASIF Global Financing XIX (a) 4.900% 1/17/13		20,000		20,183
The Goldman Sachs Capital II VRN 4.000% 6/01/43		390,000		264,038
ILFC E-Capital Trust II VRN (a) 6.250% 12/21/65		10,000		7,300
Resona Preferred Global Securities Cayman Ltd. VRN (a) 7.191% 12/31/49		355,000		365,304
				656,825
Semiconductors — 0.0%
National Semiconductor Corp. 6.600% 6/15/17		30,000		37,085

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

37

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

	Principal Amount		Value
Telecommunications — 2.3%
America Movil SAB de CV 5.000% 3/30/20	$	100,000	$	113,564
America Movil SAB de CV 5.625% 11/15/17		160,000		187,309
AT&T, Inc. 5.500% 2/01/18		640,000		760,483
AT&T, Inc. 5.600% 5/15/18		20,000		23,937
AT&T, Inc. 6.550% 2/15/39		90,000		115,832
Cellco Partnership/Verizon Wireless Capital LLC 8.500% 11/15/18		50,000		68,419
Deutsche Telekom International Finance BV 5.750% 3/23/16		315,000		353,237
Intelsat Jackson Holdings SA 7.250% 10/15/20		180,000		189,450
Intelsat Jackson Holdings SA 7.500% 4/01/21		65,000		68,738
Qwest Corp. 6.875% 9/15/33		100,000		99,500
Qwest Corp. 7.500% 10/01/14		55,000		61,311
Rogers Communications, Inc. 6.800% 8/15/18		120,000		147,991
SBC Communications, Inc. 5.100% 9/15/14		230,000		251,120
Sprint Capital Corp. 6.875% 11/15/28		30,000		24,150
Sprint Capital Corp. 8.750% 3/15/32		240,000		218,400
Telefonica Emisiones SAU 5.877% 7/15/19		100,000		89,444
Verizon Communications, Inc. 3.500% 11/01/21		130,000		138,407
Verizon Communications, Inc. 6.000% 4/01/41		180,000		228,195
Verizon Communications, Inc. 6.100% 4/15/18		300,000		365,489
Verizon Communications, Inc. 8.750% 11/01/18		30,000		41,236
Wind Acquisition Finance SA (a) 7.250% 2/15/18		420,000		367,500
				3,913,712
Transportation — 0.1%
Kansas City Southern de Mexico SA de CV 12.500% 4/01/16		98,000		111,230
TOTAL CORPORATE DEBT (Cost $59,744,388)				61,258,406

	Principal Amount		Value
MUNICIPAL OBLIGATIONS — 1.0%
American Municipal Power, Inc. 6.270% 2/15/50	$	30,000	$	34,519
Los Angeles Department of Water & Power 6.574% 7/01/45		120,000		172,860
Municipal Electric Authority of Georgia 6.637% 4/01/57		130,000		150,826
Municipal Electric Authority of Georgia 6.655% 4/01/57		80,000		91,693
Santa Clara Valley Transportation Authority 5.876% 4/01/32		170,000		208,816
State of California 4.858% 5/15/2112		160,000		164,120
State of California 7.300% 10/01/39		230,000		285,529
State of Illinois 5.877% 3/01/19		160,000		177,424
Student Loan Funding Corp. 0.350% 9/01/47		200,000		192,869
Tennessee Valley Authority 5.250% 9/15/39		210,000		273,391
				1,752,047
TOTAL MUNICIPAL OBLIGATIONS (Cost $1,492,688)				1,752,047
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 16.3%
Agency Collateral CMO — 5.7%
Federal Home Loan Mortgage Corp., Series 4063, Class S FRN 5.710% 6/15/42		100,000		22,695
Federal Home Loan Mortgage Corp., Series 4057, Class SA FRN 5.807% 4/15/39		1,000,000		213,233
Federal Home Loan Mortgage Corp., Series 3621, Class SB FRN 5.988% 1/15/40		270,162		43,900
Federal Home Loan Mortgage Corp., Series R007, Class ZA 6.000% 5/15/36		575,682		673,782
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K006, Class AX1 VRN 1.221% 1/25/20		626,294		37,982
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K007, Class X1 VRN 1.405% 4/25/20		1,359,828		93,836

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

38

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

	Principal Amount		Value
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K009, Class X1 VRN 1.677% 8/25/20	$	777,031	$	65,824
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K702, Class X1 VRN 1.727% 2/25/18		3,242,519		232,980
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K008, Class X1 VRN 1.836% 6/25/20		1,662,813		160,088
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K015, Class X1 VRN 1.845% 7/25/21		886,398		100,836
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K704, Class X1 VRN 2.164% 8/25/18		409,512		41,023
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K703, Class X1 VRN 2.256% 5/25/18		1,464,082		147,660
Federal National Mortgage Association, Series 409, Class C2 3.000% 4/25/27		600,000		64,310
Federal National Mortgage Association, Series 409, Class C13 3.500% 11/25/41		400,000		66,430
Federal National Mortgage Association, Series 409, Class C18 4.000% 4/25/42		700,000		109,692
Federal National Mortgage Association, Series 409, Class C22 4.500% 11/25/39		700,000		84,456
Federal National Mortgage Association, Series 2012-35, Class MB 5.500% 4/25/42		2,600,000		2,911,229
Federal National Mortgage Association, Series 2011-87, Class SJ FRN 5.704% 9/25/41		662,183		122,209
Federal National Mortgage Association, Series 2012-46, Class BA 6.000% 5/25/42		900,000		1,008,094
Federal National Mortgage Association, Series 2010-142, Class SM FRN 6.284% 12/25/40		640,708		100,018

	Principal Amount		Value
Federal National Mortgage Association, Series 2010-150, Class SN FRN 6.285% 1/25/41	$	435,554	$	72,045
Federal National Mortgage Association, Series 2011-96, Class SA FRN 6.304% 10/25/41		1,304,438		235,653
Federal National Mortgage Association, Series 2012-63, Class DS FRN 6.305% 3/25/39		299,218		71,872
Federal National Mortgage Association, Series 2012-75, Class AS 6.400% 3/25/42		100,000		22,411
Federal National Mortgage Association, Series 2012-74, Class SA 6.405% 3/25/42		300,000		67,233
Federal National Mortgage Association, Series 2012-28, Class B 6.500% 6/25/39		300,000		336,549
Federal National Mortgage Association, Series 2012-25, Class B 6.500% 3/25/42		500,000		588,508
Federal National Mortgage Association, Series 2012-76, Class AC 6.500% 7/25/42		690,000		807,132
Federal National Mortgage Association, Series 2012-51, Class B 7.000% 5/25/42		800,000		934,317
Government National Mortgage Association, Series 2010-37, Class SG FRN 5.456% 3/20/40		540,939		84,856
Government National Mortgage Association, Series 2010-35, Class AS FRN 5.506% 3/20/40		839,348		142,042
Government National Mortgage Association, Series 2010-113, Class BS FRN 5.756% 9/20/40		291,385		48,812
Government National Mortgage Association, Series 2010-121, Class SE FRN 5.756% 9/20/40		217,397		35,155
Government National Mortgage Association, Series 2011-11, Class SA FRN 5.756% 1/20/41		152,770		25,615
Government National Mortgage Association, Series 2011-32, Class SD FRN 5.756% 3/20/41		78,392		13,153
				9,785,630

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

39

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

	Principal Amount		Value
Automobile ABS — 0.4%
Avis Budget Rental Car Funding AESOP LLC, Series 2012-2A, Class A (a) 2.802% 5/20/18	$	125,000	$	127,240
Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class A (a) 3.150% 3/20/17		60,000		62,538
Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A (a) 4.640% 5/20/16		180,000		194,231
Hertz Vehicle Financing LLC, Series 2009-2A, Class A2 (a) 5.290% 3/25/16		300,000		328,486
				712,495
Commercial MBS — 1.5%
Banc of America Commercial Mortgage, Inc., Series 2006-2, Class A4 VRN 5.918% 5/10/45		190,000		216,558
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM 4.727% 7/10/43		32,000		33,641
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-1, Class AM VRN 5.421% 9/10/45		66,000		69,580
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-3, Class A4 VRN 5.889% 7/10/44		520,000		585,774
DBUBS Mortgage Trust, Series 2011-LC3A, Class XA VRN (a) 1.637% 8/10/44		792,936		41,617
GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4 5.543% 12/10/49		70,000		76,864
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 VRN 6.070% 7/10/38		140,000		159,750
GS Mortgage Securities Corp II, Series 2011-GC5, Class XA (a) 1.936% 8/10/44		832,726		74,694
GS Mortgage Securities Corp. II, Series 2012-ALOH, Class A (a) 3.551% 4/10/34		74,000		76,026
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class AM 5.440% 5/15/45		58,000		62,242
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class A4 VRN 5.794% 2/12/51		80,000		92,536

��	Principal Amount		Value
LB-UBS Commercial Mortgage Trust, Series 2007-C1, Class A4 5.424% 2/15/40	$	17,000	$	19,173
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3 VRN 6.162% 8/12/49		10,000		11,087
Morgan Stanley Capital I, Series 2007-IQ14, Class A4 VRN 5.692% 4/15/49		830,000		904,706
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4 5.308% 11/15/48		64,000		72,228
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class XA VRN (a) 1.346% 2/15/44		963,434		49,950
				2,546,426
Home Equity ABS — 1.8%
ACE Securities Corp., Series 2006-SD2, Class A FRN 0.545% 12/25/45		327,658		308,030
ACE Securities Corp., Series 2002-HE3, Class M1 FRN 2.045% 10/25/32		925,937		728,564
Bear Stearns Asset Back Securities Trust, Series 2005-SD4, Class 2A1 FRN 0.645% 12/25/42		120,816		107,562
Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A FRN 0.471% 12/15/35		122,842		70,729
Delta Funding Home Equity Loan Trust, Series 1999-1, Class A6F 6.340% 12/15/28		247		246
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A FRN 0.465% 7/25/30		231,152		208,961
GSAA Home Equity Trust, Series 2006-19, Class A3A FRN 0.485% 12/25/36		1,323,568		578,587
HSI Asset Securitization Corp. Series 2005-II, Class 2A4 VRN STEP 0.635% 11/25/35		2,400,000		916,269
Structured Asset Securities Corp., Series 2002-AL1, Class A3 3.450% 2/25/32		99,851		90,831
				3,009,779
Manufactured Housing ABS — 1.1%
Greenpoint Manufactured Housing, Series 1999-2, Class A2 FRN 2.985% 3/18/29		200,000		162,569

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

40

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

	Principal Amount		Value
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2 FRN 3.641% 6/19/29	$	75,000	$	59,945
Greenpoint Manufactured Housing, Series 2001-2, Class IA2 FRN 3.739% 2/20/32		150,000		121,652
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2 FRN 3.739% 3/13/32		200,000		156,526
Greenpoint Manufactured Housing, Series 1999-4, Class A2 FRN 3.740% 2/20/30		75,000		59,717
Origen Manufactured Housing, Series 2005-B, Class A3 5.605% 5/15/22		1,330,047		1,384,970
				1,945,379
Other ABS — 0.1%
Amortizing Residential Collateral Trust, Series 2004-1, Class A5 FRN 0.745% 10/25/34		258,934		228,403
Student Loans ABS — 1.5%
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN 1.970% 6/15/43		400,000		348,000
Keycorp Student Loan Trust, Series 2003-A, Class 1A2 FRN 0.725% 10/25/32		169,780		159,673
Pennsylvania Higher Education Assistance Agency, Series 2003-1, Class A3 FRN 1.745% 7/25/42		500,000		459,451
SLM Student Loan Trust, Series 2004-3, Class A5 FRN 0.635% 7/25/23		500,000		489,847
SLM Student Loan Trust, Series 2003-11, Class A6 FRN (a) 0.757% 12/15/25		300,000		287,644
SLM Student Loan Trust, Series 2001-4, Class B FRN 0.965% 1/25/21		600,000		568,049
SunTrust Student Loan Trust, Series 2006-1A, Class A3 FRN (a) 0.586% 1/30/23		300,000		293,735
				2,606,399
WL Collateral CMO — 4.2%
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 FRN 0.575% 10/25/35		200,358		104,768

	Principal Amount		Value
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF FRN (a) 0.645% 9/25/35	$	316,415	$	263,901
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF FRN (a) 0.595% 9/25/35		315,848		250,899
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 VRN 2.837% 10/25/35		356,103		268,742
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A VRN 2.972% 2/25/36		175,262		109,954
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 FRN 1.025% 12/25/34		33,716		17,630
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4 VRN 2.266% 9/25/33		1,003,257		924,814
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1 VRN 2.734% 1/25/36		310,528		237,319
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 VRN 2.879% 3/25/36		247,917		133,623
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (a) 5.500% 5/25/35		374,417		357,809
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (a) 6.000% 5/25/35		140,808		136,612
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (a) 6.000% 5/25/35		1,383,661		1,231,023
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1 FRN 2.297% 3/25/46		1,049,026		627,710
WaMu Mortgage Pass Through Certificates, Series 2005-AR15, Class A1A1 FRN 0.505% 11/25/45		271,835		210,065
WaMu Mortgage Pass Through Certificates, Series 2005-AR13, Class A1A1 FRN 0.535% 10/25/45		209,118		166,885
WaMu Mortgage Pass Through Certificates, Series 2006-AR13, Class 1A FRN 1.038% 10/25/46		1,380,731		854,102

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

41

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

	Principal Amount		Value
WaMu Mortgage Pass Through Certificates, Series 2006-AR14, Class 2A3 VRN 5.011% 11/25/36	$	1,784,060	$	1,332,841
				7,228,697
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $29,531,784)				28,063,208
SOVEREIGN DEBT OBLIGATIONS — 3.3%
Malaysia Government Bond MYR (e) 3.835% 8/12/15		1,410,000		454,015
Malaysia Government Bond MYR (e) 4.262% 9/15/16		395,000		129,827
Mexican Bonos MXN (e) 6.500% 6/09/22		10,830,000		877,210
Mexican Bonos MXN (e) 8.000% 6/11/20		19,618,000		1,736,756
Province of Ontario Canada 2.700% 6/16/15		660,000		695,799
Province of Ontario Canada 4.400% 4/14/20		310,000		360,385
Residual Funding Corp. Principal Strip 0.010% 10/15/19		1,280,000		1,151,334
United Mexican States 6.750% 9/27/34		155,000		211,575
				5,616,901
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $5,276,209)				5,616,901
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 27.4%
Collateralized Mortgage Obligations — 1.1%
Federal National Mortgage Association Series 2011-59, Class NZ 5.500% 7/25/41		528,204		628,069
Series 2011-63, Class SW 6.434% 7/25/41		529,176		83,918
Government National Mortgage Association Series 2010-H28, Class FE 0.638% 12/20/60		357,126		354,206
Series 2011-H08, Class FG 0.718% 3/20/61		289,559		288,638
Series 2011-H09, Class AF 0.738% 3/20/61		192,429		192,023
Series 2011-32, Class S 5.757% 3/16/41		76,036		10,011
Series 2011-40, Class SA 5.887% 2/16/36		895,728		127,935
Series 2010-31, Class GS 6.256% 3/20/39		160,780		25,029

	Principal Amount		Value
Series 2010-3, Class MS 6.306% 11/20/38	$	563,162	$	87,446
Series 2010-85, Class HS 6.406% 1/20/40		381,640		60,044
Series 2011-70, Class BS 6.457% 12/16/36		249,984		43,139
				1,900,458
Pass-Through Securities — 26.3%
Federal Home Loan Mortgage Corp. Pool #1N1640 2.217% 1/01/37		206,691		217,100
Pool #1N1637 2.511% 1/01/37		520,665		557,239
Pool #1J1368 2.856% 10/01/36		128,107		137,395
Pool #G14492 4.000% 10/01/25		2,500,000		2,640,723
Pool #G06669 6.500% 9/01/39		154,832		173,902
Federal Home Loan Mortgage Corp. TBA Pool #335 2.500% 6/01/26 (f)		1,300,000		1,336,867
Pool #1915 3.000% 5/01/26 (f)		3,600,000		3,763,406
Pool #292 3.500% 10/01/41 (f)		3,500,000		3,670,898
Pool #2961 4.000% 5/01/40 (f)		100,000		106,125
Federal National Mortgage Association Pool #AB3745 4.000% 10/01/41		877,923		933,754
Pool #AJ5304 4.000% 11/01/41		1,011,454		1,077,672
Pool #AJ7689 4.000% 12/01/41		1,316,199		1,402,369
Pool #AO4102 4.000% 6/01/42		1,800,000		1,942,594
Pool #MA0706 4.500% 4/01/31		165,723		179,634
Pool #MA0734 4.500% 5/01/31		497,135		538,867
Pool #MA0776 4.500% 6/01/31		165,352		179,233
Pool #MA0913 4.500% 11/01/31		95,410		103,419
Pool #MA0939 4.500% 12/01/31		97,133		105,286
Pool #993117 4.500% 1/01/39		73,030		78,248
Pool #AA0856 4.500% 1/01/39		134,093		143,673
Pool #AA2450 4.500% 2/01/39		63,274		67,795

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

42

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

	Principal Amount		Value
Pool #AA3495 4.500% 2/01/39	$	203,838	$	218,401
Pool #935520 4.500% 8/01/39		254,462		272,642
Pool #AD5481 4.500% 5/01/40		3,788,286		4,058,941
Pool #AD6914 4.500% 6/01/40		399,368		427,901
Pool #AD8685 4.500% 8/01/40		666,985		714,638
Pool #974965 5.000% 4/01/38		2,309,410		2,495,155
Pool #AE2266 5.000% 3/01/40		462,128		499,296
Pool #950385 5.125% 8/01/37		41,354		42,469
Pool #937948 5.500% 6/01/37		42,169		45,988
Pool #995072 5.500% 8/01/38		237,285		260,476
Pool #481473 6.000% 2/01/29		286		318
Pool #867557 6.000% 2/01/36		5,404		5,972
Pool #AE0469 6.000% 12/01/39		1,910,076		2,097,054
Pool #AE0758 7.000% 2/01/39		645,054		732,185
Federal National Mortgage Association TBA Pool #838 2.500% 3/01/27 (f)		800,000		824,688
Pool #515 3.000% 2/01/42 (f)		200,000		205,078
Pool #6447 4.000% 7/01/40 (f)		100,000		106,430
Pool #45746 5.500% 3/01/35 (f)		100,000		109,070
Government National Mortgage Association Pool #G24746 4.500% 7/20/40		1,033,325		1,138,837
Pool #4747 5.000% 7/20/40		809,398		895,713
Pool #487588 6.000% 4/15/29		8,274		9,284
Pool #595077 6.000% 10/15/32		1,393		1,563
Pool #596620 6.000% 10/15/32		1,628		1,827
Pool #598000 6.000% 12/15/32		80		90

	Principal Amount		Value
Pool #604706 6.000% 10/15/33	$	214,701	$	241,155
Pool #636251 6.000% 3/15/35		26,224		29,550
Pool #782034 6.000% 1/15/36		241,981		272,673
Pool #658029 6.000% 7/15/36		176,633		198,595
Government National Mortgage Association TBA Pool #24 3.000% 2/01/42 (f)		300,000		311,227
Pool # 3143 3.500% 10/01/41 (f)		800,000		855,750
Pool #471 3.500% 1/01/42 (f)		1,600,000		1,710,000
Pool #3736 4.000% 8/01/40 (f)		600,000		655,359
Pool #1207 4.500% 4/01/40 (f)		5,500,000		6,044,414
Pool #1486 5.000% 3/01/39 (f)		300,000		331,266
Pool #2897 5.500% 6/01/36 (f)		200,000		221,891
				45,392,095
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $46,620,787)				47,292,553
U.S. TREASURY OBLIGATIONS — 15.2%
U.S. Treasury Bonds & Notes — 15.2%
U.S. Treasury Bond 3.125% 11/15/41		2,190,000		2,353,110
U.S. Treasury Bond 3.125% 2/15/42		10,000		10,736
U.S. Treasury Bond 4.375% 5/15/40		540,000		719,947
U.S. Treasury Bond 4.375% 5/15/41		80,000		106,804
U.S. Treasury Inflation Index 0.750% 2/15/42		213,791		224,263
U.S. Treasury Inflation Index 2.125% 2/15/40		361,865		513,623
U.S. Treasury Note 0.125% 8/31/13		50,000		49,916
U.S. Treasury Note 0.375% 3/15/15		250,000		249,852
U.S. Treasury Note 0.500% 5/31/13		20,000		20,046
U.S. Treasury Note 0.625% 5/31/17		350,000		348,398

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

43

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

	Principal Amount		Value
U.S. Treasury Note 1.000% 9/30/16	$	390,000	$	396,054
U.S. Treasury Note 1.125% 5/31/19		10,000		10,016
U.S. Treasury Note 1.250% 4/30/19		40,000		40,443
U.S. Treasury Note 1.375% 2/15/13		70,000		70,513
U.S. Treasury Note 1.500% 6/30/16		170,000		176,111
U.S. Treasury Note 1.500% 3/31/19		15,300,000		15,729,954
U.S. Treasury Note 1.750% 5/15/22		280,000		282,275
U.S. Treasury Note 1.875% 2/28/14		180,000		184,620
U.S. Treasury Note 2.000% 11/15/21		4,420,000		4,582,537
U.S. Treasury Note 2.625% 11/15/20		110,000		120,905
				26,190,123
TOTAL U.S. TREASURY OBLIGATIONS (Cost $25,273,649)				26,190,123
TOTAL BONDS & NOTES (Cost $167,939,505)				170,173,238
	Units
PURCHASED OPTIONS — 0.0%
Options on Futures — 0.0%
Eurodollar 2 Year Midcurve Put, Expires 12/14/12, Strike 97.25		11		69
Eurodollar 2 Year Midcurve Put, Expires 12/14/12, Strike 98.00		33		825
Eurodollar 2 Year Midcurve Put, Expires 12/14/12, Strike 98.75		81		8,100
Eurodollar 3 Year Midcurve Put, Expires 12/15/12, Strike 97.25		16		700
Eurodollar 3 Year Midcurve Put, Expires 12/15/12, Strike 98.25		16		3,400
Eurodollar 3 Year Midcurve Put, Expires 7/13/12, Strike 98.63		18		450
Eurodollar Put, Expires 09/17/12, Strike 98.00		23		144
				13,688
Swaptions — 0.0%
Bank of America Corp. Interest Rate Swaption USD 1 Year Put, Expires 7/19/12, Strike 0.93		2,352,000		6,602
TOTAL PURCHASED OPTIONS (Cost $126,585)				20,290

	Number of Shares		Value
WARRANTS — 0.0%
Pipelines — 0.0%
SemGroup Corp., Expires 11/30/14, Strike 25.00 (g)		258	$	2,335
TOTAL WARRANTS (Cost $0)				2,335
TOTAL LONG-TERM INVESTMENTS (Cost $168,301,250)				170,433,642
	Principal Amount
SHORT-TERM INVESTMENTS — 11.9%
Discount Notes — 3.8%
Federal National Mortgage Association, 0.010%, due 7/02/12	$	6,600,000		6,599,960
Repurchase Agreement — 2.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (h)		5,004,080		5,004,080
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/02/12		955		955
U.S. Treasury Bills — 5.2%
U.S. Treasury Bill 0.010% 1/10/13		9,000,000		8,993,840
TOTAL SHORT-TERM INVESTMENTS (Cost $20,598,835)				20,598,835
TOTAL INVESTMENTS — 110.7% (Cost $188,900,085) (i)				191,032,477
Other Assets/(Liabilities) —(10.7)%				(18,536,136	)
NET ASSETS — 100.0%			$	172,496,341

Notes to Portfolio of Investments

ABS Asset-Backed Security

CMO Collateralized Mortgage Obligation

FRN Floating Rate Note

MBS Mortgage-Backed Security

MXN Mexican Peso

MYR Malaysian Ringgit

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

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

44

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

Notes to Portfolio of Investments (Continued)

(a) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $12,840,599 or 7.44% of net assets.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2012, these securities amounted to a value of $180,646 or 0.10% of net assets.

(c) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At June 30, 2012, these securities amounted to a value of $33,707 or 0.02% of net assets.

(d) Restricted security. Certain securities are restricted as to resale. At June 30, 2012, these securities amounted to a value of $33,500 or 0.02% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

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

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

(g) Non-income producing security.

(h) Maturity value of $5,004,084. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/25/38, and an aggregate market value, including accrued interest, of $5,105,609.

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

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

45

MassMutual Select Diversified Value Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.2%
COMMON STOCK — 97.2%
Advertising — 0.7%
The Interpublic Group of Companies, Inc.		6,900	$	74,865
Omnicom Group, Inc.		42,934		2,086,592
				2,161,457
Aerospace & Defense — 2.3%
General Dynamics Corp.		10,700		705,772
L-3 Communications Holdings, Inc.		2,300		170,223
Lockheed Martin Corp.		7,600		661,808
Northrop Grumman Corp.		46,733		2,981,098
Raytheon Co.		7,800		441,402
Rockwell Collins, Inc.		2,300		113,505
United Technologies Corp.		27,400		2,069,522
				7,143,330
Agriculture — 0.1%
Bunge Ltd.		2,900		181,946
Auto Manufacturers — 0.7%
Ford Motor Co.		57,900		555,261
General Motors Co. (a)		67,979		1,340,546
Paccar, Inc.		7,200		282,168
				2,177,975
Automotive & Parts — 0.5%
The Goodyear Tire & Rubber Co. (a)		83,318		983,986
Johnson Controls, Inc.		10,600		293,726
Lear Corp.		1,200		45,276
TRW Automotive Holdings Corp. (a)		2,500		91,900
WABCO Holdings, Inc. (a)		1,300		68,809
				1,483,697
Banks — 7.6%
Bank of America Corp.		183,091		1,497,684
Bank of New York Mellon Corp.		24,100		528,995
BB&T Corp.		16,200		499,770
BOK Financial Corp.		1,400		81,480
Commerce Bancshares, Inc.		2,200		83,380
Cullen/Frost Bankers, Inc.		800		45,992
East West Bancorp, Inc.		2,300		53,958
Fifth Third Bancorp		185,183		2,481,452
Huntington Bancshares, Inc.		17,500		112,000
KeyCorp		19,300		149,382
Northern Trust Corp.		4,900		225,498
PNC Financial Services Group, Inc.		57,054		3,486,570
State Street Corp.		72,322		3,228,454
SunTrust Banks, Inc.		10,900		264,107
U.S. Bancorp		101,223		3,255,332
Wells Fargo & Co.		215,245		7,197,793
				23,191,847

	Number of Shares		Value
Beverages — 1.9%
Coca-Cola Enterprises, Inc.		92,368	$	2,589,999
Constellation Brands, Inc. Class A (a)		5,900		159,654
Dr. Pepper Snapple Group, Inc.		4,800		210,000
Molson Coors Brewing Co. Class B		2,000		83,220
PepsiCo, Inc.		39,616		2,799,266
				5,842,139
Biotechnology — 0.5%
Amgen, Inc.		20,900		1,526,536
Building Materials — 0.0%
Owens Corning, Inc. (a)		2,800		79,912
Chemicals — 1.2%
Air Products & Chemicals, Inc.		22,147		1,787,927
Albemarle Corp.		1,900		113,316
Ashland, Inc.		1,600		110,896
Celanese Corp. Series A		2,000		69,240
CF Industries Holdings, Inc.		1,300		251,862
E.I. du Pont de Nemours & Co.		16,700		844,519
Eastman Chemical Co.		3,400		171,258
PPG Industries, Inc.		3,500		371,420
				3,720,438
Coal — 0.3%
CONSOL Energy, Inc.		29,608		895,346
Commercial Services — 0.5%
Global Payments, Inc.		1,200		51,876
H&R Block, Inc.		6,700		107,066
McKesson Corp.		11,800		1,106,250
Quanta Services, Inc. (a)		4,300		103,501
Western Union Co.		13,500		227,340
				1,596,033
Computers — 2.4%
Apple, Inc. (a)		3,309		1,932,456
International Business Machines Corp.		26,400		5,163,312
Seagate Technology PLC		5,400		133,542
				7,229,310
Distribution & Wholesale — 0.0%
Ingram Micro, Inc. Class A (a)		5,500		96,085
Diversified Financial — 7.5%
American Express Co.		28,300		1,647,343
Ameriprise Financial, Inc.		49,524		2,588,124
BlackRock, Inc.		3,300		560,406
CIT Group, Inc. (a)		4,700		167,508
Citigroup, Inc.		138,395		3,793,407
Discover Financial Services		89,382		3,090,830
Eaton Vance Corp.		2,300		61,985
Franklin Resources, Inc.		4,800		532,752
The Goldman Sachs Group, Inc.		3,900		373,854
Invesco Ltd.		9,100		205,660

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

46

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

	Number of Shares		Value
JP Morgan Chase & Co.		222,893	$	7,963,967
Legg Mason, Inc.		59,530		1,569,806
The NASDAQ OMX Group, Inc.		4,300		97,481
SLM Corp.		9,900		155,529
				22,808,652
Electric — 4.2%
The AES Corp. (a)		16,900		216,827
Alliant Energy Corp.		2,800		127,596
Ameren Corp.		5,000		167,700
American Electric Power Co., Inc.		9,600		383,040
Calpine Corp. (a)		131,464		2,170,471
Consolidated Edison, Inc.		3,900		242,541
DTE Energy Co.		5,900		350,047
Duke Energy Corp.		33,000		760,980
Edison International		63,967		2,955,275
Entergy Corp.		3,500		237,615
Exelon Corp.		48,987		1,842,891
Integrys Energy Group, Inc.		1,900		108,053
MDU Resources Group, Inc.		4,100		88,601
NextEra Energy, Inc.		8,000		550,480
NV Energy, Inc.		9,400		165,252
OGE Energy Corp.		1,100		56,969
Pepco Holdings, Inc.		4,700		91,979
Pinnacle West Capital Corp.		1,600		82,784
PPL Corp.		62,980		1,751,474
Public Service Enterprise Group, Inc.		6,700		217,750
TECO Energy, Inc.		5,700		102,942
				12,671,267
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		14,900		694,042
Energizer Holdings, Inc. (a)		1,300		97,825
Molex, Inc.		3,600		86,184
				878,051
Electronics — 0.2%
Agilent Technologies, Inc.		7,000		274,680
Arrow Electronics, Inc. (a)		4,700		154,207
Avnet, Inc. (a)		6,000		185,160
Jabil Circuit, Inc.		4,100		83,353
				697,400
Engineering & Construction — 0.1%
KBR, Inc.		3,500		86,485
URS Corp.		1,600		55,808
				142,293
Environmental Controls — 0.0%
Republic Services, Inc.		4,300		113,778
Foods — 1.3%
Campbell Soup Co.		6,400		213,632
ConAgra Foods, Inc.		8,900		230,777
Ingredion, Inc.		2,500		123,800
The J.M. Smucker Co.		3,200		241,664

	Number of Shares		Value
The Kroger Co.		13,900	$	322,341
Safeway, Inc.		4,900		88,935
Smithfield Foods, Inc. (a)		3,600		77,868
Sysco Corp.		12,800		381,568
Tyson Foods, Inc. Class A		8,400		158,172
Unilever NV NY Shares		60,440		2,015,674
				3,854,431
Forest Products & Paper — 0.2%
Domtar Corp.		1,100		84,381
International Paper Co.		9,600		277,536
MeadWestvaco Corp.		5,600		161,000
				522,917
Gas — 0.2%
Atmos Energy Corp.		2,700		94,689
Energen Corp.		2,200		99,286
NiSource, Inc.		6,100		150,975
Sempra Energy		4,900		337,512
				682,462
Hand & Machine Tools — 0.7%
Kennametal, Inc.		1,500		49,725
Snap-on, Inc.		1,200		74,700
Stanley Black & Decker, Inc.		32,714		2,105,473
				2,229,898
Health Care – Products — 2.7%
Baxter International, Inc.		49,282		2,619,338
Becton, Dickinson & Co.		5,300		396,175
Boston Scientific Corp. (a)		33,800		191,646
CareFusion Corp. (a)		4,500		115,560
Covidien PLC		53,899		2,883,597
Medtronic, Inc.		21,100		817,203
St. Jude Medical, Inc.		7,200		287,352
Stryker Corp.		5,900		325,090
Zimmer Holdings, Inc.		9,000		579,240
				8,215,201
Health Care – Services — 3.3%
Aetna, Inc.		11,900		461,363
Coventry Health Care, Inc.		4,000		127,160
HCA Holdings, Inc.		61,743		1,878,839
Humana, Inc.		4,900		379,456
Laboratory Corporation of America Holdings (a)		3,300		305,613
Quest Diagnostics, Inc.		3,600		215,640
Thermo Fisher Scientific, Inc.		7,400		384,134
UnitedHealth Group, Inc.		89,102		5,212,467
Universal Health Services, Inc. Class B		1,800		77,688
WellPoint, Inc.		17,000		1,084,430
				10,126,790
Home Builders — 0.0%
Toll Brothers, Inc. (a)		4,200		124,866

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

47

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

	Number of Shares		Value
Household Products — 0.0%
Jarden Corp.		1,200	$	50,424
Tupperware Brands Corp.		700		38,332
				88,756
Housewares — 0.0%
Newell Rubbermaid, Inc.		3,800		68,932
Insurance — 4.6%
ACE Ltd.		7,800		578,214
Aflac, Inc.		9,500		404,605
The Allstate Corp.		6,700		235,103
American Financial Group, Inc.		6,100		239,303
Assurant, Inc.		1,200		41,808
The Chubb Corp.		17,700		1,288,914
Cincinnati Financial Corp.		2,000		76,140
Everest Re Group Ltd.		1,300		134,537
Fidelity National Financial, Inc. Class A		4,500		86,670
HCC Insurance Holdings, Inc.		3,800		119,320
Lincoln National Corp.		5,800		126,846
Loews Corp.		25,500		1,043,205
Markel Corp. (a)		500		220,850
MetLife, Inc.		72,541		2,237,890
PartnerRe Ltd.		1,000		75,670
Principal Financial Group, Inc.		7,500		196,725
Prudential Financial, Inc.		9,400		455,242
Reinsurance Group of America, Inc. Class A		2,300		122,383
RenaissanceRe Holdings Ltd.		3,300		250,833
Torchmark Corp.		6,800		343,740
The Travelers Cos., Inc.		51,982		3,318,531
Unum Group		114,238		2,185,373
Validus Holdings Ltd.		2,400		76,872
W.R. Berkley Corp.		4,900		190,708
				14,049,482
Internet — 2.1%
AOL, Inc. (a)		48,619		1,365,221
eBay, Inc. (a)		47,897		2,012,153
Google, Inc. Class A (a)		1,302		755,251
Liberty Interactive Corp. Class A (a)		109,820		1,953,698
Yahoo!, Inc. (a)		18,900		299,187
				6,385,510
Iron & Steel — 0.1%
Nucor Corp.		3,300		125,070
Reliance Steel & Aluminum Co.		2,000		101,000
				226,070
Leisure Time — 0.0%
Royal Caribbean Cruises Ltd.		4,400		114,532
Lodging — 0.0%
Hyatt Hotels Corp. Class A (a)		3,700		137,492

	Number of Shares		Value
Machinery – Construction & Mining — 0.1%
Ingersoll-Rand PLC		6,100	$	257,298
Machinery – Diversified — 1.1%
Cummins, Inc.		4,200		407,022
Deere & Co.		8,900		719,743
Eaton Corp.		46,553		1,844,895
Flowserve Corp.		1,500		172,125
Rockwell Automation, Inc.		2,900		191,574
				3,335,359
Manufacturing — 5.8%
3M Co.		15,600		1,397,760
Cooper Industries PLC		32,237		2,197,919
Dover Corp.		3,700		198,357
General Electric Co.		460,797		9,603,009
Honeywell International, Inc.		52,990		2,958,962
Illinois Tool Works, Inc.		9,600		507,744
Parker Hannifin Corp.		3,600		276,768
Tyco International Ltd.		10,200		539,070
				17,679,589
Media — 4.4%
CBS Corp. Class B		47,003		1,540,758
Comcast Corp. Class A		133,497		4,267,899
DIRECTV Class A (a)		42,506		2,075,143
DISH Network Corp. Class A		9,200		262,660
Gannett Co., Inc.		3,600		53,028
Time Warner Cable, Inc.		3,300		270,930
Time Warner, Inc.		40,100		1,543,850
Viacom, Inc. Class B		71,480		3,360,990
				13,375,258
Metal Fabricate & Hardware — 0.0%
The Timken Co.		1,900		87,001
Mining — 0.4%
Vulcan Materials Co.		30,605		1,215,325
Office Equipment/Supplies — 0.1%
Xerox Corp.		27,300		214,851
Oil & Gas — 11.4%
Chevron Corp.		85,942		9,066,881
ConocoPhillips		43,200		2,414,016
Denbury Resources, Inc. (a)		6,000		90,660
Devon Energy Corp.		9,000		521,910
EOG Resources, Inc.		18,423		1,660,097
Exxon Mobil Corp.		155,688		13,322,222
Hess Corp.		43,135		1,874,216
Marathon Oil Corp.		15,500		396,335
Murphy Oil Corp.		2,300		115,667
Noble Energy, Inc.		29,553		2,506,685
Occidental Petroleum Corp.		16,400		1,406,628
Plains Exploration & Production Co. (a)		3,000		105,540
SM Energy Co.		17,333		851,224

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

48

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

	Number of Shares		Value
Tesoro Corp. (a)		2,800	$	69,888
Valero Energy Corp.		12,400		299,460
Whiting Petroleum Corp. (a)		2,400		98,688
				34,800,117
Oil & Gas Services — 1.4%
National Oilwell Varco, Inc.		4,300		277,092
Schlumberger Ltd.		33,460		2,171,889
Tidewater, Inc.		1,100		50,996
Transocean Ltd.		42,172		1,886,353
				4,386,330
Packaging & Containers — 0.2%
Ball Corp.		8,000		328,400
Crown Holdings, Inc. (a)		4,000		137,960
Sonoco Products Co.		2,600		78,390
				544,750
Pharmaceuticals — 7.6%
AmerisourceBergen Corp.		3,900		153,465
Bristol-Myers Squibb Co.		62,101		2,232,531
Cardinal Health, Inc.		5,400		226,800
Eli Lilly & Co.		23,500		1,008,385
Endo Health Solutions, Inc. (a)		3,300		102,234
Forest Laboratories, Inc. (a)		68,388		2,392,896
Gilead Sciences, Inc. (a)		16,700		856,376
Merck & Co., Inc.		151,219		6,313,393
Mylan, Inc. (a)		8,700		185,919
Omnicare, Inc.		2,300		71,829
Pfizer, Inc.		309,470		7,117,810
Sanofi ADR (France)		65,319		2,467,752
Warner Chilcott PLC Class A (a)		5,100		91,392
				23,220,782
Real Estate Investment Trusts (REITS) — 0.7%
Weyerhaeuser Co.		101,462		2,268,690
Retail — 4.0%
Advance Auto Parts, Inc.		1,500		102,330
Bed Bath & Beyond, Inc. (a)		4,700		290,460
Big Lots, Inc. (a)		1,500		61,185
CVS Caremark Corp.		56,824		2,655,386
Darden Restaurants, Inc.		3,800		192,394
Dillard’s, Inc. Class A		500		31,840
Kohl’s Corp.		6,700		304,783
Macy’s, Inc.		22,200		762,570
Signet Jewelers Ltd.		2,000		88,020
Staples, Inc.		8,600		112,230
Target Corp.		46,828		2,724,921
Wal-Mart Stores, Inc.		70,100		4,887,372
				12,213,491
Savings & Loans — 0.1%
New York Community Bancorp, Inc.		8,900		111,517

	Number of Shares		Value
People’s United Financial, Inc.		5,600	$	65,016
				176,533
Semiconductors — 2.6%
Applied Materials, Inc.		139,290		1,596,263
Avago Technologies Ltd.		3,700		132,830
Intel Corp.		116,700		3,110,055
KLA-Tencor Corp.		3,700		182,225
Micron Technology, Inc. (a)		15,400		97,174
Texas Instruments, Inc.		93,745		2,689,544
				7,808,091
Software — 4.1%
CA, Inc.		21,400		579,726
The Dun & Bradstreet Corp.		1,100		78,287
Fidelity National Information Services, Inc.		6,600		224,928
Microsoft Corp.		231,504		7,081,707
Oracle Corp.		158,433		4,705,460
				12,670,108
Telecommunications — 5.5%
AT&T, Inc.		169,965		6,060,952
CenturyLink, Inc.		60,719		2,397,794
Cisco Systems, Inc.		202,631		3,479,174
Harris Corp.		2,300		96,255
Motorola Solutions, Inc.		45,165		2,172,888
Vodafone Group PLC Sponsored ADR (United Kingdom)		88,477		2,493,282
				16,700,345
Textiles — 0.1%
Mohawk Industries, Inc. (a)		2,700		188,541
Toys, Games & Hobbies — 0.1%
Mattel, Inc.		8,000		259,520
Transportation — 1.3%
CSX Corp.		21,000		469,560
FedEx Corp.		6,400		586,304
Norfolk Southern Corp.		40,397		2,899,293
				3,955,157
Water — 0.0%
American Water Works Co., Inc.		3,900		133,692
TOTAL COMMON STOCK (Cost $262,517,816)				296,955,659
TOTAL EQUITIES (Cost $262,517,816)				296,955,659

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

49

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

	Number of Shares		Value
MUTUAL FUNDS — 0.9%
Diversified Financial — 0.9%
iShares Russell 1000 Value Index Fund		42,500	$	2,899,775
TOTAL MUTUAL FUNDS (Cost $2,802,600)				2,899,775
TOTAL LONG-TERM INVESTMENTS (Cost $265,320,416)				299,855,434
	Principal Amount
SHORT-TERM INVESTMENTS — 2.3%
Repurchase Agreement — 2.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	6,860,926		6,860,926
Time Deposits — 0.1%
Euro Time Deposit 0.010% 7/02/12		205,248		205,248
TOTAL SHORT-TERM INVESTMENTS (Cost $7,066,174)				7,066,174
TOTAL INVESTMENTS — 100.4% (Cost $272,386,590) (c)				306,921,608
Other Assets/(Liabilities) — (0.4)%				(1,329,996	)
NET ASSETS — 100.0%			$	305,591,612

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $6,860,931. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 12/01/26 – 11/25/38, and an aggregate market value, including accrued interest, of $7,000,853.

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

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

50

MassMutual Select Fundamental Value Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.8%
Aerospace & Defense — 1.0%
The Boeing Co.		175,400	$	13,032,220
Agriculture — 2.4%
Archer-Daniels-Midland Co.		326,100		9,626,472
Philip Morris International, Inc.		230,300		20,095,978
				29,722,450
Auto Manufacturers — 1.0%
General Motors Co. (a)		192,700		3,800,044
Paccar, Inc.		208,900		8,186,791
				11,986,835
Automotive & Parts — 0.5%
The Goodyear Tire & Rubber Co. (a)		527,000		6,223,870
Banks — 7.0%
BB&T Corp.		544,100		16,785,485
PNC Financial Services Group, Inc.		406,500		24,841,215
Wells Fargo & Co.		1,373,700		45,936,528
				87,563,228
Beverages — 2.3%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		188,830		15,040,310
PepsiCo, Inc.		200,600		14,174,396
				29,214,706
Biotechnology — 1.1%
Amgen, Inc.		188,100		13,738,824
Chemicals — 3.0%
The Dow Chemical Co.		415,400		13,085,100
E.I. du Pont de Nemours & Co.		237,100		11,990,147
The Mosaic Co.		242,900		13,301,204
				38,376,451
Computers — 0.5%
Hewlett-Packard Co.		291,000		5,852,010
Diversified Financial — 7.6%
Ameriprise Financial, Inc.		185,500		9,694,230
BlackRock, Inc.		95,100		16,149,882
Citigroup, Inc.		339,900		9,316,659
Credit Suisse Group Sponsored ADR (Switzerland)		279,200		5,117,736
The Goldman Sachs Group, Inc.		144,800		13,880,528
JP Morgan Chase & Co.		1,150,136		41,094,359
				95,253,394
Electric — 3.4%
Edison International		261,900		12,099,780
Entergy Corp.		159,200		10,808,088
NextEra Energy, Inc.		102,500		7,053,025

	Number of Shares		Value
Northeast Utilities		316,800	$	12,295,008
				42,255,901
Foods — 1.9%
General Mills, Inc.		254,200		9,796,868
Kraft Foods, Inc. Class A		369,800		14,281,676
				24,078,544
Forest Products & Paper — 0.8%
International Paper Co.		326,900		9,450,679
Hand & Machine Tools — 1.1%
Stanley Black & Decker, Inc.		222,300		14,307,228
Health Care – Products — 4.6%
Baxter International, Inc.		205,900		10,943,585
Covidien PLC		298,300		15,959,050
Johnson & Johnson		193,900		13,099,884
St. Jude Medical, Inc.		235,900		9,414,769
Zimmer Holdings, Inc.		128,300		8,257,388
				57,674,676
Health Care – Services — 2.3%
HCA Holdings, Inc.		299,060		9,100,396
UnitedHealth Group, Inc.		341,100		19,954,350
				29,054,746
Housewares — 0.5%
Newell Rubbermaid, Inc.		365,800		6,635,612
Insurance — 7.5%
ACE Ltd.		386,200		28,629,006
The Chubb Corp.		208,400		15,175,688
Marsh & McLennan Cos., Inc.		640,400		20,640,092
Principal Financial Group, Inc.		362,248		9,501,765
Swiss Re Ltd. (a)		165,886		10,421,431
Unum Group		554,400		10,605,672
				94,973,654
Iron & Steel — 1.1%
Nucor Corp.		150,000		5,685,000
Steel Dynamics, Inc.		694,100		8,155,675
				13,840,675
Machinery – Construction & Mining — 1.3%
Ingersoll-Rand PLC		400,500		16,893,090
Machinery – Diversified — 0.6%
Eaton Corp.		198,200		7,854,666
Manufacturing — 6.1%
3M Co.		147,800		13,242,880
General Electric Co.		1,565,600		32,627,104
Illinois Tool Works, Inc.		268,700		14,211,543
Tyco International Ltd.		324,000		17,123,400
				77,204,927
Media — 3.6%
CBS Corp. Class B		227,100		7,444,338

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

51

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

	Number of Shares		Value
Comcast Corp. Class A		794,250	$	25,392,173
Thomson Reuters Corp.		439,000		12,489,550
				45,326,061
Oil & Gas — 11.9%
Apache Corp.		95,300		8,375,917
Chevron Corp.		422,500		44,573,750
EOG Resources, Inc.		67,900		6,118,469
Exxon Mobil Corp.		360,300		30,830,871
Marathon Oil Corp.		324,100		8,287,237
Noble Corp. (a)		276,400		8,991,292
Occidental Petroleum Corp.		268,800		23,054,976
Royal Dutch Shell PLC B Shares Sponsored ADR (United Kingdom)		167,800		11,734,254
Southwestern Energy Co. (a)		262,600		8,384,818
				150,351,584
Oil & Gas Services — 0.8%
Baker Hughes, Inc.		231,600		9,518,760
Packaging & Containers — 0.6%
Rexam PLC Sponsored ADR (United Kingdom)		218,400		7,187,544
Pharmaceuticals — 6.1%
Merck & Co., Inc.		712,500		29,746,875
Pfizer, Inc.		1,519,300		34,943,900
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		306,200		12,076,528
				76,767,303
Retail — 5.9%
CVS Caremark Corp.		415,600		19,420,988
The Home Depot, Inc.		378,500		20,056,715
Kohl’s Corp.		299,000		13,601,510
Lowe’s Cos., Inc.		362,000		10,295,280
Nordstrom, Inc.		222,800		11,070,932
				74,445,425
Semiconductors — 4.7%
Analog Devices, Inc.		345,500		13,014,985
Intel Corp.		842,100		22,441,965
Maxim Integrated Products, Inc.		358,000		9,179,120
Xilinx, Inc.		418,000		14,032,260
				58,668,330
Software — 1.5%
Microsoft Corp.		622,500		19,042,275
Telecommunications — 4.9%
AT&T, Inc.		912,356		32,534,615
Cisco Systems, Inc.		1,715,800		29,460,286
				61,994,901

	Number of Shares		Value
Toys, Games & Hobbies — 1.2%
Mattel, Inc.		465,200	$	15,091,088
TOTAL COMMON STOCK (Cost $1,066,257,283)				1,243,581,657
TOTAL EQUITIES (Cost $1,066,257,283)				1,243,581,657
TOTAL LONG-TERM INVESTMENTS (Cost $1,066,257,283)				1,243,581,657
	Principal Amount
SHORT-TERM INVESTMENTS — 1.5%
Repurchase Agreement — 1.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	19,050,828		19,050,828
TOTAL SHORT-TERM INVESTMENTS (Cost $19,050,828)				19,050,828
TOTAL INVESTMENTS — 100.3% (Cost $1,085,308,111) (c)				1,262,632,485
Other Assets/(Liabilities) — (0.3)%				(3,935,206	)
NET ASSETS — 100.0%			$	1,258,697,279

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $19,050,844. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/25/38, and an aggregate market value, including accrued interest, of $19,432,470.

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

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

52

MassMutual Select Large Cap Value Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 93.6%
COMMON STOCK — 93.6%
Aerospace & Defense — 0.4%
Lockheed Martin Corp.		19,520	$	1,699,802
Agriculture — 0.9%
Philip Morris International, Inc.		49,950		4,358,637
Auto Manufacturers — 0.5%
Paccar, Inc.		65,420		2,563,810
Banks — 12.8%
Bank of New York Mellon Corp.		1,042,750		22,888,363
Julius Baer Group Ltd. (a)		274,880		9,952,388
Wells Fargo & Co.		830,676		27,777,805
				60,618,556
Beverages — 4.0%
The Coca-Cola Co.		80,620		6,303,678
Diageo PLC Sponsored ADR (United Kingdom)		85,700		8,833,099
Heineken Holding NV Class A		84,925		3,801,076
				18,937,853
Building Materials — 0.2%
Martin Marietta Materials, Inc.		12,400		977,368
Chemicals — 4.5%
Air Products & Chemicals, Inc.		69,610		5,619,615
Ecolab, Inc.		42,200		2,891,966
Monsanto Co.		88,650		7,338,447
Potash Corp. of Saskatchewan, Inc.		76,060		3,323,062
Praxair, Inc.		18,800		2,044,124
				21,217,214
Coal — 0.3%
China Coal Energy Co. Class H		1,937,700		1,610,941
Commercial Services — 2.1%
Iron Mountain, Inc.		210,816		6,948,496
Visa, Inc. Class A		23,710		2,931,267
				9,879,763
Computers — 0.4%
Hewlett-Packard Co.		90,700		1,823,977
Cosmetics & Personal Care — 0.2%
Natura Cosmeticos SA		35,000		819,019
Distribution & Wholesale — 0.3%
Li & Fung Ltd.		718,000		1,391,362
Diversified Financial — 7.9%
American Express Co.		475,940		27,704,468
Ameriprise Financial, Inc.		35,920		1,877,179
The Charles Schwab Corp.		183,980		2,378,861
CME Group, Inc.		3,510		941,066
The Goldman Sachs Group, Inc.		19,870		1,904,738
JP Morgan Chase & Co.		75,588		2,700,759
				37,507,071

	Number of Shares		Value
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		35,680	$	1,661,974
Electronics — 0.4%
Agilent Technologies, Inc.		43,270		1,697,915
Foods — 0.6%
Nestle SA		5,610		334,644
Sysco Corp.		42,140		1,256,193
Unilever NV NY Shares		35,730		1,191,596
				2,782,433
Forest Products & Paper — 0.0%
Sino-Forest Corp. (Acquired 12/17/09, Cost $203,165) (a) (b) (c) (d)		12,800		-
Sino-Forest Corp. (a) (c)		422,320		-
				-
Health Care – Products — 0.2%
Baxter International, Inc.		2,200		116,930
Johnson & Johnson		14,610		987,052
				1,103,982
Holding Company – Diversified — 1.4%
China Merchants Holdings International Co. Ltd.		2,099,370		6,407,443
Housewares — 0.3%
Hunter Douglas NV		36,478		1,422,261
Insurance — 11.8%
ACE Ltd.		47,940		3,553,792
Alleghany Corp. (a)		22,462		7,631,464
Aon PLC		15,820		740,060
Berkshire Hathaway, Inc. Class A (a)		104		12,994,280
Everest Re Group Ltd.		8,460		875,525
Fairfax Financial Holdings Ltd.		6,580		2,577,386
Fairfax Financial Holdings Ltd. (Subordinate Voting Shares)		3,440		1,362,147
Loews Corp.		327,970		13,417,253
Markel Corp. (a)		1,910		843,647
The Progressive Corp.		568,160		11,834,773
				55,830,327
Internet — 5.1%
Expedia, Inc.		37,870		1,820,411
Google, Inc. Class A (a)		27,060		15,696,694
Groupon, Inc. (a)		100,900		1,072,567
Liberty Interactive Corp. Class A (a)		141,600		2,519,064
Netflix, Inc. (a)		41,770		2,859,992
				23,968,728
Leisure Time — 0.6%
Harley-Davidson, Inc.		61,700		2,821,541
Machinery – Construction & Mining — 1.1%
BHP Billiton PLC		96,900		2,767,120
Rio Tinto PLC		52,187		2,492,415
				5,259,535

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

53

MassMutual Select Large Cap Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Media — 2.6%
Grupo Televisa SAB Sponsored ADR (Mexico)		42,950	$	922,566
The Walt Disney Co.		234,590		11,377,615
				12,300,181
Oil & Gas — 7.5%
Canadian Natural Resources Ltd.		393,580		10,567,623
Devon Energy Corp.		80,300		4,656,597
EOG Resources, Inc.		105,300		9,488,583
Occidental Petroleum Corp.		118,305		10,147,020
OGX Petroleo e Gas Participacoes SA (a)		153,900		421,434
				35,281,257
Oil & Gas Services — 1.1%
Schlumberger Ltd.		39,510		2,564,594
Transocean Ltd.		60,515		2,706,836
				5,271,430
Packaging & Containers — 0.3%
Sealed Air Corp.		93,872		1,449,384
Pharmaceuticals — 3.5%
Express Scripts Holding Co. (a)		201,100		11,227,413
Merck & Co., Inc.		30,612		1,278,051
Pfizer, Inc.		51,530		1,185,190
Roche Holding AG		17,300		2,986,454
				16,677,108
Real Estate — 2.2%
Brookfield Asset Management, Inc. Class A		145,500		4,816,050
Hang Lung Properties Ltd.		903,000		5,565,232
				10,381,282
Retail — 14.7%
Bed Bath & Beyond, Inc. (a)		215,000		13,287,000
CarMax, Inc. (a)		83,200		2,158,208
Cie Financiere Richemont SA		12,000		658,566
Costco Wholesale Corp.		225,550		21,427,250
CVS Caremark Corp.		636,971		29,765,655
Tiffany & Co.		16,050		849,848
Walgreen Co.		40,190		1,188,820
				69,335,347
Semiconductors — 1.7%
Intel Corp.		61,180		1,630,447
Texas Instruments, Inc.		219,300		6,291,717
				7,922,164
Software — 2.4%
Activision Blizzard, Inc.		237,400		2,846,426
Microsoft Corp.		149,680		4,578,711
Oracle Corp.		132,000		3,920,400
				11,345,537

	Number of Shares		Value
Telecommunications — 0.2%
America Movil SAB de CV Series L ADR (Mexico)		34,610	$	901,937
Transportation — 1.1%
China Shipping Development Co. Ltd. Class H		1,273,700		602,477
Kuehne & Nagel International AG		45,010		4,764,085
				5,366,562
TOTAL COMMON STOCK (Cost $350,110,676)				442,593,701
TOTAL EQUITIES (Cost $350,110,676)				442,593,701
	Principal Amount
BONDS & NOTES — 0.1%
CORPORATE DEBT — 0.1%
Forest Products & Paper — 0.1%
Sino-Forest Corp., Convertible (Acquired 07/23/08, Cost $1,565,682) (b) (d) (e) 5.000% 8/01/13	$	1,604,000		368,920
TOTAL CORPORATE DEBT (Cost $1,565,682)				368,920
TOTAL BONDS & NOTES (Cost $1,565,682)				368,920
TOTAL LONG-TERM INVESTMENTS (Cost $351,676,358)				442,962,621
SHORT-TERM INVESTMENTS — 5.4%
Repurchase Agreement — 5.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (f)		25,574,164		25,574,164
TOTAL SHORT-TERM INVESTMENTS (Cost $25,574,164)				25,574,164
TOTAL INVESTMENTS — 99.1% (Cost $377,250,522) (g)				468,536,785
Other Assets/(Liabilities) — 0.9%				4,019,384
NET ASSETS — 100.0%			$	472,556,169

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

54

MassMutual Select Large Cap Value Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $368,920 or 0.08% of net assets.

(c) This security is valued in good faith under procedures established by the Board of Trustees.

(d) Restricted security. Certain securities are restricted as to resale. At June 30, 2012, these securities amounted to a value of $368,920 or 0.08% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) 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 June 30, 2012, these securities amounted to a value of $368,920 or 0.08% of net assets.

(f) Maturity value of $25,574,185. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 11/15/40 – 11/25/40, and an aggregate market value, including accrued interest, of $26,086,406.

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

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

55

MM S&P 500 Index Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.4%
COMMON STOCK — 98.4%
Advertising — 0.2%
The Interpublic Group of Companies, Inc.		78,240	$	848,903
Omnicom Group, Inc.		50,467		2,452,696
				3,301,599
Aerospace & Defense — 1.9%
The Boeing Co.		136,479		10,140,390
General Dynamics Corp.		65,943		4,349,600
Goodrich Corp.		23,043		2,924,157
L-3 Communications Holdings, Inc.		18,220		1,348,462
Lockheed Martin Corp.		48,524		4,225,470
Northrop Grumman Corp.		46,222		2,948,502
Raytheon Co.		59,692		3,377,970
Rockwell Collins, Inc.		26,452		1,305,406
United Technologies Corp.		166,121		12,547,119
				43,167,076
Agriculture — 2.2%
Altria Group, Inc.		369,361		12,761,423
Archer-Daniels-Midland Co.		120,707		3,563,271
Lorillard, Inc.		23,540		3,106,103
Philip Morris International, Inc.		311,659		27,195,364
Reynolds American, Inc.		59,598		2,674,162
				49,300,323
Airlines — 0.1%
Southwest Airlines Co.		144,128		1,328,860
Apparel — 0.4%
Nike, Inc. Class B		67,484		5,923,746
Ralph Lauren Corp.		11,599		1,624,556
VF Corp.		15,587		2,080,085
				9,628,387
Auto Manufacturers — 0.4%
Ford Motor Co.		700,275		6,715,637
Paccar, Inc.		66,378		2,601,354
				9,316,991
Automotive & Parts — 0.2%
BorgWarner, Inc. (a)		20,465		1,342,299
The Goodyear Tire & Rubber Co. (a)		40,793		481,765
Johnson Controls, Inc.		123,885		3,432,854
				5,256,918
Banks — 4.3%
Bank of America Corp.		1,965,867		16,080,792
Bank of New York Mellon Corp.		219,418		4,816,225
BB&T Corp.		128,666		3,969,346
Capital One Financial Corp.		105,845		5,785,488
Comerica, Inc.		34,717		1,066,159
Fifth Third Bancorp		164,600		2,205,640

	Number of Shares		Value
First Horizon National Corp.		49,320	$	426,618
Huntington Bancshares, Inc.		162,477		1,039,853
KeyCorp		173,588		1,343,571
M&T Bank Corp.		22,911		1,891,761
Northern Trust Corp.		40,393		1,858,886
PNC Financial Services Group, Inc.		96,160		5,876,338
Regions Financial Corp.		252,303		1,703,045
State Street Corp.		89,769		4,007,288
SunTrust Banks, Inc.		98,426		2,384,862
U.S. Bancorp		346,444		11,141,639
Wells Fargo & Co.		968,073		32,372,361
Zions Bancorp		33,508		650,726
				98,620,598
Beverages — 2.7%
Brown-Forman Corp. Class B		18,072		1,750,273
The Coca-Cola Co.		411,013		32,137,106
Coca-Cola Enterprises, Inc.		54,933		1,540,321
Constellation Brands, Inc. Class A (a)		27,408		741,661
Dr. Pepper Snapple Group, Inc.		38,364		1,678,425
Molson Coors Brewing Co. Class B		27,516		1,144,941
Monster Beverage Corp. (a)		27,962		1,990,894
PepsiCo, Inc.		284,977		20,136,475
				61,120,096
Biotechnology — 1.2%
Alexion Pharmaceuticals, Inc. (a)		34,954		3,470,932
Amgen, Inc.		141,266		10,318,069
Biogen Idec, Inc. (a)		43,675		6,305,796
Celgene Corp. (a)		80,625		5,172,900
Life Technologies Corp. (a)		31,602		1,421,774
				26,689,471
Building Materials — 0.0%
Masco Corp.		68,591		951,357
Chemicals — 2.3%
Air Products & Chemicals, Inc.		39,234		3,167,361
Airgas, Inc.		12,218		1,026,434
CF Industries Holdings, Inc.		11,947		2,314,612
The Dow Chemical Co.		217,928		6,864,732
E.I. du Pont de Nemours & Co.		171,023		8,648,633
Eastman Chemical Co.		24,318		1,224,898
Ecolab, Inc.		52,742		3,614,409
FMC Corp.		24,448		1,307,479
International Flavors & Fragrances, Inc.		15,118		828,466
Monsanto Co.		97,079		8,036,200
The Mosaic Co.		53,329		2,920,296
PPG Industries, Inc.		28,284		3,001,498
Praxair, Inc.		54,596		5,936,223
The Sherwin-Williams Co.		15,362		2,033,161
Sigma-Aldrich Corp.		21,909		1,619,732
				52,544,134

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

56

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

	Number of Shares		Value
Coal — 0.1%
Alpha Natural Resources, Inc. (a)		39,047	$	340,099
CONSOL Energy, Inc.		42,607		1,288,436
Peabody Energy Corp.		49,260		1,207,855
				2,836,390
Commercial Services — 1.8%
Apollo Group, Inc. Class A (a)		20,527		742,872
Automatic Data Processing, Inc.		89,209		4,965,373
DeVry, Inc.		10,305		319,146
Donnelley (R.R.) & Sons Co.		33,811		397,955
Equifax, Inc.		21,165		986,289
H&R Block, Inc.		55,202		882,128
Iron Mountain, Inc.		31,520		1,038,899
MasterCard, Inc. Class A		19,324		8,311,446
McKesson Corp.		42,860		4,018,125
Moody’s Corp.		36,143		1,321,027
Paychex, Inc.		60,078		1,887,050
Quanta Services, Inc. (a)		39,411		948,623
Robert Half International, Inc.		25,374		724,935
SAIC, Inc.		50,652		613,902
Total System Services, Inc.		31,044		742,883
Visa, Inc. Class A		90,664		11,208,790
Western Union Co.		115,196		1,939,901
				41,049,344
Computers — 8.0%
Accenture PLC Class A		117,243		7,045,132
Apple, Inc. (a)		170,392		99,508,928
Cognizant Technology Solutions Corp. Class A (a)		55,990		3,359,400
Computer Sciences Corp.		27,628		685,727
Dell, Inc. (a)		270,305		3,384,219
EMC Corp. (a)		383,160		9,820,391
Hewlett-Packard Co.		362,136		7,282,555
International Business Machines Corp.		210,081		41,087,642
Lexmark International, Inc. Class A		12,961		344,503
NetApp, Inc. (a)		65,992		2,099,865
SanDisk Corp. (a)		45,300		1,652,544
Seagate Technology PLC		68,967		1,705,554
Teradata Corp. (a)		31,346		2,257,226
Western Digital Corp. (a)		42,490		1,295,095
				181,528,781
Cosmetics & Personal Care — 1.9%
Avon Products, Inc.		75,715		1,227,340
Colgate-Palmolive Co.		87,533		9,112,185
The Estee Lauder Cos., Inc. Class A		40,590		2,196,731
The Procter & Gamble Co.		499,227		30,577,654
				43,113,910
Distribution & Wholesale — 0.3%
Fastenal Co.		52,983		2,135,745
Fossil, Inc. (a)		9,267		709,296

	Number of Shares		Value
Genuine Parts Co.		28,229	$	1,700,797
W.W. Grainger, Inc.		11,156		2,133,474
				6,679,312
Diversified Financial — 4.0%
American Express Co.		181,741		10,579,144
Ameriprise Financial, Inc.		40,244		2,103,151
BlackRock, Inc.		23,439		3,980,411
The Charles Schwab Corp.		198,487		2,566,437
Citigroup, Inc.		534,955		14,663,117
CME Group, Inc.		12,289		3,294,804
Discover Financial Services		97,934		3,386,558
E*TRADE Financial Corp. (a)		44,129		354,797
Federated Investors, Inc. Class B		14,852		324,516
Franklin Resources, Inc.		26,513		2,942,678
The Goldman Sachs Group, Inc.		89,535		8,582,825
IntercontinentalExchange, Inc. (a)		13,004		1,768,284
Invesco Ltd.		81,099		1,832,837
JP Morgan Chase & Co.		694,120		24,800,908
Legg Mason, Inc.		23,040		607,565
Morgan Stanley		279,101		4,072,084
The NASDAQ OMX Group, Inc.		21,223		481,125
NYSE Euronext		45,019		1,151,586
SLM Corp.		89,685		1,408,951
T. Rowe Price Group, Inc.		47,587		2,996,077
				91,897,855
Electric — 3.4%
The AES Corp. (a)		118,250		1,517,148
Ameren Corp.		44,411		1,489,545
American Electric Power Co., Inc.		88,987		3,550,581
CenterPoint Energy, Inc.		76,954		1,590,639
CMS Energy Corp.		48,585		1,141,748
Consolidated Edison, Inc.		52,680		3,276,169
Dominion Resources, Inc.		105,268		5,684,472
DTE Energy Co.		31,104		1,845,400
Duke Energy Corp.		242,397		5,589,675
Edison International		59,878		2,766,364
Entergy Corp.		33,209		2,254,559
Exelon Corp.		154,612		5,816,503
FirstEnergy Corp.		76,880		3,781,727
Integrys Energy Group, Inc.		14,832		843,496
NextEra Energy, Inc.		75,374		5,186,485
Northeast Utilities		55,908		2,169,789
NRG Energy, Inc. (a)		40,251		698,757
Pepco Holdings, Inc.		41,451		811,196
PG&E Corp.		77,499		3,508,380
Pinnacle West Capital Corp.		19,307		998,944
PPL Corp.		104,545		2,907,396
Progress Energy, Inc.		54,065		3,253,091
Public Service Enterprise Group, Inc.		91,056		2,959,320
SCANA Corp.		20,895		999,617
The Southern Co.		158,633		7,344,708
TECO Energy, Inc.		37,269		673,078

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

57

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

	Number of Shares		Value
Wisconsin Energy Corp.		42,393	$	1,677,491
Xcel Energy, Inc.		90,272		2,564,628
				76,900,906
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		134,262		6,253,924
Molex, Inc.		23,184		555,025
				6,808,949
Electronics — 0.4%
Agilent Technologies, Inc.		62,821		2,465,096
Amphenol Corp. Class A		30,474		1,673,632
FLIR Systems, Inc.		28,779		561,191
Jabil Circuit, Inc.		31,415		638,667
PerkinElmer, Inc.		20,079		518,038
TE Connectivity Ltd.		78,254		2,497,085
Waters Corp. (a)		16,457		1,307,838
				9,661,547
Energy – Alternate Sources — 0.0%
First Solar, Inc. (a)		10,471		157,693
Engineering & Construction — 0.1%
Fluor Corp.		30,114		1,485,825
Jacobs Engineering Group, Inc. (a)		22,818		863,889
				2,349,714
Entertainment — 0.0%
International Game Technology		55,544		874,818
Environmental Controls — 0.3%
Republic Services, Inc.		55,502		1,468,583
Stericycle, Inc. (a)		15,569		1,427,210
Waste Management, Inc.		85,746		2,863,917
				5,759,710
Foods — 1.8%
Campbell Soup Co.		31,248		1,043,058
ConAgra Foods, Inc.		74,393		1,929,011
Dean Foods Co. (a)		36,506		621,697
General Mills, Inc.		117,295		4,520,549
H.J. Heinz Co.		58,731		3,193,792
The Hershey Co.		27,368		1,971,317
Hormel Foods Corp.		24,032		731,054
The J.M. Smucker Co.		21,214		1,602,081
Kellogg Co.		45,633		2,251,076
Kraft Foods, Inc. Class A		322,770		12,465,377
The Kroger Co.		103,137		2,391,747
McCormick & Co., Inc.		24,521		1,487,199
Safeway, Inc.		42,922		779,034
Sysco Corp.		105,504		3,145,074
Tyson Foods, Inc. Class A		53,279		1,003,244
Whole Foods Market, Inc.		29,891		2,849,210
				41,984,520
Forest Products & Paper — 0.1%
International Paper Co.		79,522		2,298,981

		Number of Shares		Value
MeadWestvaco Corp.			30,419	$	874,546
					3,173,527
Gas — 0.2%
AGL Resources, Inc.			20,234		784,067
NiSource, Inc.			50,936		1,260,666
Sempra Energy			43,367		2,987,119
					5,031,852
Hand & Machine Tools — 0.1%
Snap-on, Inc.			10,043		625,177
Stanley Black & Decker, Inc.			30,679		1,974,500
					2,599,677
Health Care – Products — 3.2%
Baxter International, Inc.			101,189		5,378,195
Becton, Dickinson & Co.			36,662		2,740,485
Boston Scientific Corp. (a)			268,712		1,523,597
C.R. Bard, Inc.			15,482		1,663,386
CareFusion Corp. (a)			41,899		1,075,966
Covidien PLC			87,260		4,668,410
Edwards Lifesciences Corp. (a)			21,184		2,188,307
Intuitive Surgical, Inc. (a)			7,221		3,998,918
Johnson & Johnson			500,177		33,791,958
Medtronic, Inc.			190,522		7,378,917
St. Jude Medical, Inc.			57,428		2,291,952
Stryker Corp.			58,128		3,202,853
Varian Medical Systems, Inc. (a)			20,761		1,261,646
Zimmer Holdings, Inc.			32,584		2,097,106
					73,261,696
Health Care – Services — 1.4%
Aetna, Inc.			64,501		2,500,704
Cigna Corp.			51,754		2,277,176
Coventry Health Care, Inc.			24,743		786,580
DaVita, Inc. (a)			17,564		1,724,961
Humana, Inc.			29,710		2,300,742
Laboratory Corporation of America Holdings (a)			17,425		1,613,729
Quest Diagnostics, Inc.			28,599		1,713,080
Tenet Healthcare Corp. (a)			79,274		415,396
Thermo Fisher Scientific, Inc.			67,488		3,503,302
UnitedHealth Group, Inc.			188,418		11,022,453
WellPoint, Inc.	��		61,146		3,900,503
					31,758,626
Holding Company – Diversified — 0.0%
Leucadia National Corp.			34,787		739,919
Home Builders — 0.1%
D.R. Horton, Inc.			52,270		960,723
Lennar Corp. Class A			31,558		975,458
PulteGroup, Inc. (a)			65,155		697,158
					2,633,339
Home Furnishing — 0.1%
Harman International Industries, Inc.			13,461		533,056

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

58

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

	Number of Shares		Value
Whirlpool Corp.		13,782	$	842,907
				1,375,963
Household Products — 0.4%
Avery Dennison Corp.		18,538		506,829
Beam, Inc.		28,718		1,794,588
The Clorox Co.		23,419		1,696,941
Kimberly-Clark Corp.		71,880		6,021,387
				10,019,745
Housewares — 0.0%
Newell Rubbermaid, Inc.		52,440		951,262
Insurance — 3.5%
ACE Ltd.		62,287		4,617,335
Aflac, Inc.		84,181		3,585,269
The Allstate Corp.		90,295		3,168,451
American International Group, Inc. (a)		117,461		3,769,323
Aon PLC		60,109		2,811,899
Assurant, Inc.		14,712		512,566
Berkshire Hathaway, Inc. Class B (a)		320,479		26,705,515
The Chubb Corp.		48,751		3,550,048
Cincinnati Financial Corp.		30,266		1,152,227
Genworth Financial, Inc. Class A (a)		92,090		521,229
The Hartford Financial Services Group, Inc.		81,071		1,429,282
Lincoln National Corp.		50,741		1,109,706
Loews Corp.		55,190		2,257,823
Marsh & McLennan Cos., Inc.		99,305		3,200,600
MetLife, Inc.		192,574		5,940,908
Principal Financial Group, Inc.		56,785		1,489,471
The Progressive Corp.		108,688		2,263,971
Prudential Financial, Inc.		85,966		4,163,333
Torchmark Corp.		18,600		940,230
The Travelers Cos., Inc.		70,107		4,475,631
Unum Group		51,059		976,759
XL Group PLC		59,550		1,252,932
				79,894,508
Internet — 3.0%
Akamai Technologies, Inc. (a)		31,325		994,569
Amazon.com, Inc. (a)		65,626		14,985,697
eBay, Inc. (a)		209,386		8,796,306
Expedia, Inc.		15,956		767,005
F5 Networks, Inc. (a)		14,581		1,451,684
Google, Inc. Class A (a)		46,351		26,886,825
Netflix, Inc. (a)		9,916		678,949
Priceline.com, Inc. (a)		9,051		6,014,570
Symantec Corp. (a)		128,723		1,880,643
TripAdvisor, Inc. (a)		18,164		811,749
VeriSign, Inc. (a)		29,311		1,277,080
Yahoo!, Inc. (a)		219,855		3,480,305
				68,025,382

	Number of Shares		Value
Iron & Steel — 0.2%
Allegheny Technologies, Inc.		18,923	$	603,455
Cliffs Natural Resources, Inc.		27,014		1,331,520
Nucor Corp.		58,977		2,235,228
United States Steel Corp.		24,809		511,065
				4,681,268
Leisure Time — 0.2%
Carnival Corp.		81,297		2,786,048
Harley-Davidson, Inc.		42,008		1,921,026
				4,707,074
Lodging — 0.3%
Marriott International, Inc. Class A		48,353		1,895,437
Starwood Hotels & Resorts Worldwide, Inc.		35,316		1,873,161
Wyndham Worldwide Corp.		26,566		1,401,091
Wynn Resorts Ltd.		14,456		1,499,376
				6,669,065
Machinery – Construction & Mining — 0.6%
Caterpillar, Inc.		119,035		10,107,262
Ingersoll-Rand PLC		54,198		2,286,072
Joy Global, Inc.		18,818		1,067,545
				13,460,879
Machinery – Diversified — 0.8%
Cummins, Inc.		34,455		3,339,034
Deere & Co.		72,689		5,878,360
Eaton Corp.		62,495		2,476,677
Flowserve Corp.		10,195		1,169,876
Rockwell Automation, Inc.		26,168		1,728,658
Roper Industries, Inc.		17,528		1,727,910
Xylem, Inc.		32,134		808,813
				17,129,328
Manufacturing — 3.6%
3M Co.		126,325		11,318,720
Cooper Industries PLC		28,632		1,952,130
Danaher Corp.		105,304		5,484,233
Dover Corp.		32,685		1,752,243
General Electric Co.		1,930,005		40,221,304
Honeywell International, Inc.		142,086		7,934,082
Illinois Tool Works, Inc.		87,571		4,631,630
Leggett & Platt, Inc.		24,917		526,496
Pall Corp.		21,320		1,168,549
Parker Hannifin Corp.		28,132		2,162,788
Textron, Inc.		49,561		1,232,582
Tyco International Ltd.		83,626		4,419,634
				82,804,391
Media — 3.2%
Cablevision Systems Corp. Class A		40,906		543,641
CBS Corp. Class B		117,433		3,849,454
Comcast Corp. Class A		491,148		15,702,002

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

59

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

	Number of Shares		Value
DIRECTV Class A (a)		119,817	$	5,849,466
Discovery Communications, Inc. Series A (a)		46,742		2,524,068
Gannett Co., Inc.		39,373		579,964
The McGraw-Hill Cos., Inc.		51,812		2,331,540
News Corp. Class A		383,301		8,543,779
Scripps Networks Interactive Class A		17,595		1,000,452
Time Warner Cable, Inc.		56,652		4,651,129
Time Warner, Inc.		175,325		6,750,012
Viacom, Inc. Class B		95,195		4,476,069
The Walt Disney Co.		325,685		15,795,722
The Washington Post Co. Class B		783		292,701
				72,889,999
Metal Fabricate & Hardware — 0.2%
Precision Castparts Corp.		26,673		4,387,442
Mining — 0.6%
Alcoa, Inc.		194,499		1,701,866
Freeport-McMoRan Copper & Gold, Inc.		173,731		5,919,015
Newmont Mining Corp.		90,890		4,409,074
Titanium Metals Corp.		13,316		150,604
Vulcan Materials Co.		24,948		990,685
				13,171,244
Office Equipment/Supplies — 0.1%
Pitney Bowes, Inc.		34,507		516,570
Xerox Corp.		247,583		1,948,478
				2,465,048
Oil & Gas — 8.6%
Anadarko Petroleum Corp.		90,721		6,005,730
Apache Corp.		71,358		6,271,655
Cabot Oil & Gas Corp.		37,404		1,473,718
Chesapeake Energy Corp.		123,543		2,297,900
Chevron Corp.		359,495		37,926,722
ConocoPhillips		231,252		12,922,362
Denbury Resources, Inc. (a)		70,651		1,067,537
Devon Energy Corp.		74,078		4,295,783
Diamond Offshore Drilling, Inc.		13,119		775,726
EOG Resources, Inc.		49,316		4,443,865
EQT Corp.		26,821		1,438,410
Exxon Mobil Corp.		852,035		72,908,635
Helmerich & Payne, Inc.		19,047		828,164
Hess Corp.		54,607		2,372,674
Marathon Oil Corp.		129,860		3,320,520
Marathon Petroleum Corp.		61,386		2,757,459
Murphy Oil Corp.		35,074		1,763,871
Nabors Industries Ltd. (a)		51,297		738,677
Newfield Exploration Co. (a)		26,552		778,239
Noble Corp. (a)		46,160		1,501,585
Noble Energy, Inc.		32,396		2,747,829
Occidental Petroleum Corp.		148,091		12,701,765
Phillips 66 (a)		114,126		3,793,548

	Number of Shares		Value
Pioneer Natural Resources Co.		22,629	$	1,996,104
QEP Resources, Inc.		31,666		949,030
Range Resources Corp.		30,319		1,875,837
Rowan Companies PLC Class A (a)		21,395		691,700
Southwestern Energy Co. (a)		62,130		1,983,811
Sunoco, Inc.		19,223		913,092
Tesoro Corp. (a)		23,636		589,955
Valero Energy Corp.		99,190		2,395,438
WPX Energy, Inc. (a)		34,948		565,459
				197,092,800
Oil & Gas Services — 1.4%
Baker Hughes, Inc.		79,205		3,255,325
Cameron International Corp. (a)		44,191		1,887,398
FMC Technologies, Inc. (a)		44,922		1,762,290
Halliburton Co.		167,123		4,744,622
National Oilwell Varco, Inc.		78,434		5,054,287
Schlumberger Ltd.		243,137		15,782,023
				32,485,945
Packaging & Containers — 0.1%
Ball Corp.		28,379		1,164,958
Bemis Co., Inc.		18,226		571,203
Owens-Illinois, Inc. (a)		27,885		534,555
Sealed Air Corp.		34,765		536,772
				2,807,488
Pharmaceuticals — 5.7%
Abbott Laboratories		286,686		18,482,646
Allergan, Inc.		56,116		5,194,658
AmerisourceBergen Corp.		45,785		1,801,640
Bristol-Myers Squibb Co.		307,431		11,052,144
Cardinal Health, Inc.		62,941		2,643,522
DENTSPLY International, Inc.		25,163		951,413
Eli Lilly & Co.		186,063		7,983,963
Express Scripts Holding Co. (a)		146,837		8,197,910
Forest Laboratories, Inc. (a)		47,448		1,660,206
Gilead Sciences, Inc. (a)		137,423		7,047,051
Hospira, Inc. (a)		29,167		1,020,262
Mead Johnson Nutrition Co.		37,007		2,979,434
Merck & Co., Inc.		553,929		23,126,536
Mylan, Inc. (a)		79,206		1,692,632
Patterson Cos., Inc.		15,761		543,282
Perrigo Co.		17,401		2,052,100
Pfizer, Inc.		1,364,176		31,376,048
Watson Pharmaceuticals, Inc. (a)		23,084		1,707,985
				129,513,432
Pipelines — 0.5%
Kinder Morgan, Inc.		91,022		2,932,729
ONEOK, Inc.		37,466		1,585,186
Spectra Energy Corp.		121,160		3,520,910
The Williams Cos., Inc.		115,115		3,317,614
				11,356,439

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

60

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

	Number of Shares		Value
Real Estate — 0.1%
CBRE Group, Inc. (a)		58,516	$	957,322
Real Estate Investment Trusts (REITS) — 2.1%
American Tower Corp.		71,042		4,966,546
Apartment Investment & Management Co. Class A		24,413		659,883
AvalonBay Communities, Inc.		17,370		2,457,508
Boston Properties, Inc.		27,634		2,994,697
Equity Residential		54,707		3,411,529
HCP, Inc.		76,796		3,390,543
Health Care REIT, Inc.		38,925		2,269,327
Host Hotels & Resorts, Inc.		132,529		2,096,609
Kimco Realty Corp.		74,716		1,421,845
Plum Creek Timber Co., Inc.		29,833		1,184,370
Prologis, Inc.		85,346		2,836,048
Public Storage		26,171		3,779,354
Simon Property Group, Inc.		55,098		8,576,555
Ventas, Inc.		52,929		3,340,878
Vornado Realty Trust		33,554		2,817,865
Weyerhaeuser Co.		98,016		2,191,638
				48,395,195
Retail — 6.4%
Abercrombie & Fitch Co. Class A		14,650		500,151
AutoNation, Inc. (a)		8,559		301,962
AutoZone, Inc. (a)		4,944		1,815,288
Bed Bath & Beyond, Inc. (a)		42,579		2,631,382
Best Buy Co., Inc.		51,390		1,077,134
Big Lots, Inc. (a)		12,769		520,848
CarMax, Inc. (a)		41,191		1,068,495
Chipotle Mexican Grill, Inc. (a)		5,651		2,147,097
Coach, Inc.		52,081		3,045,697
Costco Wholesale Corp.		79,147		7,518,965
CVS Caremark Corp.		232,657		10,872,062
Darden Restaurants, Inc.		24,265		1,228,537
Dollar Tree, Inc. (a)		42,002		2,259,708
Family Dollar Stores, Inc.		21,501		1,429,386
GameStop Corp. Class A		23,754		436,123
The Gap, Inc.		60,910		1,666,498
The Home Depot, Inc.		277,713		14,716,012
J.C. Penney Co., Inc.		26,121		608,880
Kohl’s Corp.		42,591		1,937,465
Limited Brands, Inc.		44,640		1,898,539
Lowe’s Cos., Inc.		214,879		6,111,159
Macy’s, Inc.		75,337		2,587,826
McDonald’s Corp.		185,306		16,405,140
Nordstrom, Inc.		28,697		1,425,954
O’Reilly Automotive, Inc. (a)		23,186		1,942,291
Ross Stores, Inc.		41,336		2,582,260
Sears Holdings Corp. (a)		6,260		373,722
Staples, Inc.		123,570		1,612,588
Starbucks Corp.		138,352		7,376,929
Target Corp.		120,976		7,039,593

	Number of Shares		Value
Tiffany & Co.		22,144	$	1,172,525
The TJX Cos., Inc.		133,901		5,748,370
Urban Outfitters, Inc. (a)		21,522		593,792
Wal-Mart Stores, Inc.		314,628		21,935,864
Walgreen Co.		158,320		4,683,106
Yum! Brands, Inc.		84,444		5,439,882
				144,711,230
Savings & Loans — 0.1%
Hudson City Bancorp, Inc.		90,752		578,090
People’s United Financial, Inc.		61,903		718,694
				1,296,784
Semiconductors — 2.3%
Advanced Micro Devices, Inc. (a)		107,368		615,219
Altera Corp.		57,851		1,957,678
Analog Devices, Inc.		55,287		2,082,661
Applied Materials, Inc.		237,413		2,720,753
Broadcom Corp. Class A (a)		91,199		3,082,526
Intel Corp.		915,967		24,410,520
KLA-Tencor Corp.		30,219		1,488,286
Lam Research Corp. (a)		35,931		1,356,036
Linear Technology Corp.		40,385		1,265,262
LSI Corp. (a)		105,952		674,914
Microchip Technology, Inc.		33,852		1,119,824
Micron Technology, Inc. (a)		178,615		1,127,061
NVIDIA Corp. (a)		108,851		1,504,321
Teradyne, Inc. (a)		36,517		513,429
Texas Instruments, Inc.		209,348		6,006,194
Xilinx, Inc.		49,387		1,657,922
				51,582,606
Software — 3.9%
Adobe Systems, Inc. (a)		91,820		2,972,213
Autodesk, Inc. (a)		40,835		1,428,817
BMC Software, Inc. (a)		30,144		1,286,546
CA, Inc.		65,759		1,781,411
Cerner Corp. (a)		26,582		2,197,268
Citrix Systems, Inc. (a)		33,852		2,841,537
The Dun & Bradstreet Corp.		9,492		675,546
Electronic Arts, Inc. (a)		59,343		732,886
Fidelity National Information Services, Inc.		42,818		1,459,238
Fiserv, Inc. (a)		25,318		1,828,466
Intuit, Inc.		52,669		3,125,905
Microsoft Corp.		1,362,251		41,671,258
Oracle Corp.		706,850		20,993,445
Red Hat, Inc. (a)		35,515		2,005,887
Salesforce.com, Inc. (a)		25,180		3,481,387
				88,481,810
Telecommunications — 5.1%
AT&T, Inc.		1,069,176		38,126,816
CenturyLink, Inc.		114,363		4,516,195
Cisco Systems, Inc.		977,969		16,791,728

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

61

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

	Number of Shares		Value
Corning, Inc.		278,829	$	3,605,259
Crown Castle International Corp. (a)		46,732		2,741,299
Frontier Communications Corp.		195,214		747,670
Harris Corp.		21,921		917,394
JDS Uniphase Corp. (a)		37,430		411,730
Juniper Networks, Inc. (a)		98,711		1,609,976
MetroPCS Communications, Inc. (a)		48,506		293,461
Motorola Solutions, Inc.		52,502		2,525,871
QUALCOMM, Inc.		312,422		17,395,657
Sprint Nextel Corp. (a)		550,510		1,794,663
Verizon Communications, Inc.		516,838		22,968,281
Windstream Corp.		103,591		1,000,689
				115,446,689
Textiles — 0.0%
Cintas Corp.		21,465		828,764
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		20,579		697,011
Mattel, Inc.		61,917		2,008,587
				2,705,598
Transportation — 1.8%
C.H. Robinson Worldwide, Inc.		29,224		1,710,481
CSX Corp.		187,767		4,198,470
Expeditors International of Washington, Inc.		39,858		1,544,498
FedEx Corp.		57,155		5,235,970
Norfolk Southern Corp.		59,393		4,262,636
Ryder System, Inc.		8,537		307,417
Union Pacific Corp.		86,950		10,374,004
United Parcel Service, Inc. Class B		175,098		13,790,718
				41,424,194
TOTAL COMMON STOCK (Cost $1,860,956,553)				2,243,746,789
TOTAL EQUITIES (Cost $1,860,956,553)				2,243,746,789
TOTAL LONG-TERM INVESTMENTS (Cost $1,860,956,553)				2,243,746,789

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.9%
Repurchase Agreement — 1.7%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	37,810,024	$	37,810,024
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/02/12		330,615		330,615
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill (c) 0.000% 11/01/12		4,765,000		4,762,784
TOTAL SHORT-TERM INVESTMENTS (Cost $42,903,423)				42,903,423
TOTAL INVESTMENTS — 100.3% (Cost $1,903,859,976) (d)				2,286,650,212
Other Assets/(Liabilities) — (0.3)%				(5,993,422	)
NET ASSETS — 100.0%			$	2,280,656,790

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $37,810,056. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/25/38, and an aggregate market value, including accrued interest, of $38,568,453.

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

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

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

62

MassMutual Select Focused Value Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 94.6%
COMMON STOCK — 94.6%
Aerospace & Defense — 4.5%
The Boeing Co.		385,000	$	28,605,500
Automotive & Parts — 4.6%
Delphi Automotive PLC (a)		1,150,000		29,325,000
Banks — 6.4%
Wells Fargo & Co.		1,229,300		41,107,792
Building Materials — 3.6%
Fortune Brands Home & Security, Inc. (a)		1,025,500		22,837,885
Commercial Services — 9.8%
Robert Half International, Inc.		900,000		25,713,000
Visa, Inc. Class A		300,000		37,089,000
				62,802,000
Computers — 4.3%
Diebold, Inc.		750,000		27,682,500
Diversified Financial — 4.9%
Franklin Resources, Inc.		280,000		31,077,200
Entertainment — 5.6%
Penn National Gaming, Inc. (a)		800,000		35,672,000
Leisure Time — 4.8%
Carnival Corp.		900,000		30,843,000
Lodging — 4.5%
Starwood Hotels & Resorts Worldwide, Inc.		547,000		29,012,880
Manufacturing — 4.1%
Illinois Tool Works, Inc.		500,000		26,445,000
Oil & Gas — 3.3%
Apache Corp.		241,000		21,181,490
Oil & Gas Services — 6.6%
Dresser-Rand Group, Inc. (a)		519,000		23,116,260
National Oilwell Varco, Inc.		302,500		19,493,100
				42,609,360
Retail — 14.4%
Cabela’s, Inc. (a)		812,000		30,701,720
CarMax, Inc. (a)		1,165,000		30,220,100
Tiffany & Co.		595,000		31,505,250
				92,427,070
Semiconductors — 13.2%
Applied Materials, Inc.		2,950,000	$	33,807,000
Intel Corp.		1,900,000		50,635,000
				84,442,000

			Value
TOTAL COMMON STOCK (Cost $499,984,262)			$	606,070,677
TOTAL EQUITIES (Cost $499,984,262)				606,070,677
TOTAL LONG-TERM INVESTMENTS (Cost $499,984,262)				606,070,677
	Principal Amount
SHORT-TERM INVESTMENTS — 5.3%
Repurchase Agreement — 5.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	34,085,480		34,085,480
TOTAL SHORT-TERM INVESTMENTS (Cost $34,085,480)				34,085,480
TOTAL INVESTMENTS — 99.9% (Cost $534,069,742) (c)				640,156,157
Other Assets/(Liabilities) — 0.1%				896,348
NET ASSETS — 100.0%			$	641,052,505

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $34,085,508. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $34,769,246.

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

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

63

MassMutual Select Fundamental Growth Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 93.9%
COMMON STOCK — 93.9%
Advertising — 1.3%
Omnicom Group, Inc.		28,465	$	1,383,399
Aerospace & Defense — 1.2%
The Boeing Co.		17,275		1,283,532
Agriculture — 2.7%
Philip Morris International, Inc.		32,783		2,860,645
Beverages — 3.4%
The Coca-Cola Co.		43,731		3,419,327
Green Mountain Coffee Roasters, Inc. (a)		7,535		164,112
				3,583,439
Biotechnology — 5.3%
Amgen, Inc.		31,396		2,293,164
Biogen Idec, Inc. (a)		11,469		1,655,894
Celgene Corp. (a)		18,413		1,181,378
Life Technologies Corp. (a)		9,833		442,387
				5,572,823
Chemicals — 1.5%
CF Industries Holdings, Inc.		3,345		648,060
The Sherwin-Williams Co.		7,296		965,626
				1,613,686
Commercial Services — 0.7%
ITT Educational Services, Inc. (a)		11,982		727,907
Computers — 14.7%
Apple, Inc. (a)		14,594		8,522,896
Dell, Inc. (a)		727		9,102
EMC Corp. (a)		105,314		2,699,198
International Business Machines Corp.		19,062		3,728,146
NetApp, Inc. (a)		15,180		483,027
				15,442,369
Diversified Financial — 1.2%
American Express Co.		21,407		1,246,101
Electronics — 0.5%
Waters Corp. (a)		7,194		571,707
Health Care – Products — 2.7%
Bruker Corp. (a)		18,826		250,574
Edwards Lifesciences Corp. (a)		7,778		803,468
Hologic, Inc. (a)		33,304		600,804
Intuitive Surgical, Inc. (a)		1,605		888,833
Zimmer Holdings, Inc.		5,306		341,494
				2,885,173
Health Care – Services — 2.8%
Aetna, Inc.		16,834		652,654
UnitedHealth Group, Inc.		38,936		2,277,756
				2,930,410

	Number of Shares		Value
Internet — 7.6%
Amazon.com, Inc. (a)		3,275	$	747,846
Check Point Software Technologies Ltd. (a)		16,462		816,351
eBay, Inc. (a)		38,722		1,626,711
F5 Networks, Inc. (a)		5,509		548,476
Google, Inc. Class A (a)		3,422		1,984,999
IAC/InterActiveCorp		27,683		1,262,345
Priceline.com, Inc. (a)		1,153		766,192
Symantec Corp. (a)		19,001		277,605
				8,030,525
Machinery – Construction & Mining — 1.3%
Caterpillar, Inc.		15,664		1,330,030
Machinery – Diversified — 0.3%
Cummins, Inc.		2,700		261,657
Manufacturing — 3.3%
Dover Corp.		7,958		426,628
General Electric Co.		25,029		521,604
Honeywell International, Inc.		18,875		1,053,980
Parker Hannifin Corp.		9,517		731,667
Tyco International Ltd.		14,723		778,111
				3,511,990
Media — 2.5%
Comcast Corp. Class A		46,756		1,494,789
News Corp. Class A		36,223		807,411
Sirius XM Radio, Inc. (a)		203,813		377,054
				2,679,254
Oil & Gas — 3.5%
Diamond Offshore Drilling, Inc.		14,214		840,474
Exxon Mobil Corp.		16,961		1,451,353
Occidental Petroleum Corp.		6,964		597,302
Valero Energy Corp.		33,570		810,715
				3,699,844
Oil & Gas Services — 1.6%
Core Laboratories NV		5,663		656,342
National Oilwell Varco, Inc.		10,701		689,572
Oceaneering International, Inc.		5,986		286,490
				1,632,404
Pharmaceuticals — 3.6%
Abbott Laboratories		25,356		1,634,701
AmerisourceBergen Corp.		14,155		556,999
Cardinal Health, Inc.		11,919		500,598
Gilead Sciences, Inc. (a)		20,773		1,065,240
				3,757,538
Retail — 14.1%
Bed Bath & Beyond, Inc. (a)		12,777		789,619
The Buckle, Inc.		15,385		608,784
Coach, Inc.		13,819		808,135

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

64

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

	Number of Shares		Value
Costco Wholesale Corp.		14,880	$	1,413,600
CVS Caremark Corp.		24,813		1,159,511
Dollar Tree, Inc. (a)		19,231		1,034,628
Lowe’s Cos., Inc.		35,304		1,004,046
Lululemon Athletica, Inc. (a)		3,752		223,732
O’Reilly Automotive, Inc. (a)		9,275		776,967
PetSmart, Inc.		17,154		1,169,560
Ross Stores, Inc.		16,454		1,027,881
Starbucks Corp.		18,424		982,368
The TJX Cos., Inc.		23,756		1,019,845
Wal-Mart Stores, Inc.		31,475		2,194,437
Yum! Brands, Inc.		10,162		654,636
				14,867,749
Semiconductors — 3.5%
Altera Corp.		36,215		1,225,516
Emulex Corp. (a)		34,283		246,838
KLA-Tencor Corp.		7,365		362,726
QLogic Corp. (a)		55,296		757,002
Xilinx, Inc.		31,756		1,066,049
				3,658,131
Software — 7.0%
Autodesk, Inc. (a)		6,687		233,978
BMC Software, Inc. (a)		10,247		437,342
Citrix Systems, Inc. (a)		5,822		488,699
Microsoft Corp.		154,577		4,728,510
Oracle Corp.		28,032		832,550
Red Hat, Inc. (a)		11,299		638,168
				7,359,247
Telecommunications — 7.6%
Cisco Systems, Inc.		262,620		4,509,185
QUALCOMM, Inc.		29,207		1,626,246
Verizon Communications, Inc.		42,388		1,883,723
				8,019,154
TOTAL COMMON STOCK (Cost $94,774,838)				98,908,714
TOTAL EQUITIES (Cost $94,774,838)				98,908,714
TOTAL LONG-TERM INVESTMENTS (Cost $94,774,838)				98,908,714

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 6.1%
Repurchase Agreement — 6.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	6,405,786	$	6,405,786
TOTAL SHORT-TERM INVESTMENTS (Cost $6,405,786)				6,405,786
TOTAL INVESTMENTS — 100.0% (Cost $101,180,624) (c)				105,314,500
Other Assets/(Liabilities) — 0.0%				1,321
NET ASSETS — 100.0%			$	105,315,821

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $6,405,792. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 12/25/38, and an aggregate market value, including accrued interest, of $6,535,922.

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

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

65

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.8%
Advertising — 0.2%
Omnicom Group, Inc.		42,200	$	2,050,920
Aerospace & Defense — 1.2%
The Boeing Co.		90,600		6,731,580
United Technologies Corp.		45,800		3,459,274
				10,190,854
Apparel — 1.5%
Nike, Inc. Class B		67,800		5,951,484
Ralph Lauren Corp.		53,200		7,451,192
				13,402,676
Automotive & Parts — 0.2%
Johnson Controls, Inc.		64,800		1,795,608
Banks — 1.2%
Northern Trust Corp.		54,600		2,512,692
State Street Corp.		49,300		2,200,752
U.S. Bancorp		155,700		5,007,312
Wells Fargo & Co.		27,700		926,288
				10,647,044
Beverages — 0.3%
The Coca-Cola Co.		6,500		508,235
Monster Beverage Corp. (a)		33,600		2,392,320
				2,900,555
Biotechnology — 3.3%
Alexion Pharmaceuticals, Inc. (a)		80,900		8,033,370
Amgen, Inc.		100		7,304
Biogen Idec, Inc. (a)		90,500		13,066,390
Celgene Corp. (a)		98,900		6,345,424
Regeneron Pharmaceuticals, Inc. (a)		13,300		1,519,126
Vertex Pharmaceuticals, Inc. (a)		2,800		156,576
				29,128,190
Chemicals — 4.4%
Air Products & Chemicals, Inc.		2,100		169,533
Ecolab, Inc.		75,800		5,194,574
Monsanto Co.		85,800		7,102,524
Praxair, Inc.		160,400		17,440,292
The Sherwin-Williams Co.		68,500		9,065,975
				38,972,898
Commercial Services — 5.8%
MasterCard, Inc. Class A		58,800		25,290,468
McKesson Corp.		143,900		13,490,625
Visa, Inc. Class A		98,800		12,214,644
				50,995,737
Computers — 12.0%
Accenture PLC Class A		36,900		2,217,321
Apple, Inc. (a)		152,200		88,884,800

	Number of Shares		Value
EMC Corp. (a)		422,300	$	10,823,549
IHS, Inc. Class A (a)		35,700		3,845,961
International Business Machines Corp.		300		58,674
				105,830,305
Distribution & Wholesale — 2.2%
Fastenal Co.		212,200		8,553,782
Fossil, Inc. (a)		82,300		6,299,242
W.W. Grainger, Inc.		25,900		4,953,116
				19,806,140
Diversified Financial — 5.0%
American Express Co.		173,300		10,087,793
Ameriprise Financial, Inc.		37,100		1,938,846
BlackRock, Inc.		3,300		560,406
The Charles Schwab Corp.		5,300		68,529
Citigroup, Inc.		3,600		98,676
Franklin Resources, Inc.		121,700		13,507,483
The Goldman Sachs Group, Inc.		2,400		230,064
IntercontinentalExchange, Inc. (a)		42,000		5,711,160
Invesco Ltd.		369,800		8,357,480
JP Morgan Chase & Co.		51,200		1,829,376
Morgan Stanley		24,800		361,832
TD Ameritrade Holding Corp.		87,500		1,487,500
				44,239,145
Electronics — 0.0%
Amphenol Corp. Class A		1,500		82,380
Foods — 0.7%
Whole Foods Market, Inc.		66,000		6,291,120
Hand & Machine Tools — 0.1%
Stanley Black & Decker, Inc.		17,500		1,126,300
Health Care – Products — 1.4%
Baxter International, Inc.		44,600		2,370,490
Covidien PLC		38,500		2,059,750
Edwards Lifesciences Corp. (a)		29,700		3,068,010
Henry Schein, Inc. (a)		6,600		518,034
Intuitive Surgical, Inc. (a)		100		55,379
Stryker Corp.		73,000		4,022,300
				12,093,963
Health Care – Services — 1.1%
Thermo Fisher Scientific, Inc.		80,900		4,199,519
UnitedHealth Group, Inc.		88,900		5,200,650
				9,400,169
Insurance — 0.2%
Marsh & McLennan Cos., Inc.		57,300		1,846,779
Prudential Financial, Inc.		2,200		106,546
				1,953,325
Internet — 16.9%
Amazon.com, Inc. (a)		155,700		35,554,095

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

66

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

	Number of Shares		Value
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		139,500	$	16,039,710
eBay, Inc. (a)		300,400		12,619,804
Expedia, Inc.		5,300		254,771
Facebook, Inc. Class A (b)		36,192		1,069,980
Facebook, Inc. Class A (a)		15,800		491,696
Facebook, Inc. Class B (b)		89,629		2,649,792
Google, Inc. Class A (a)		62,200		36,080,354
Groupon, Inc. (a)		203,200		2,160,016
Liberty Interactive Corp. Class A (a)		145,200		2,583,108
LinkedIn Corp. (a)		33,100		3,517,537
Priceline.com, Inc. (a)		40,700		27,045,964
Tencent Holdings Ltd.		292,300		8,631,767
				148,698,594
Leisure Time — 1.3%
Carnival Corp.		233,100		7,988,337
Harley-Davidson, Inc.		84,200		3,850,466
				11,838,803
Lodging — 3.0%
Las Vegas Sands Corp.		218,500		9,502,565
Marriott International, Inc. Class A		209,090		8,196,328
Starwood Hotels & Resorts Worldwide, Inc.		145,800		7,733,232
Wynn Resorts Ltd.		5,600		580,832
				26,012,957
Machinery – Construction & Mining — 0.0%
Caterpillar, Inc.		3,400		288,694
Machinery – Diversified — 0.4%
Cummins, Inc.		8,700		843,117
Deere & Co.		4,000		323,480
Roper Industries, Inc.		25,700		2,533,506
				3,700,103
Manufacturing — 4.2%
3M Co.		19,900		1,783,040
Danaher Corp.		529,100		27,555,528
General Electric Co.		35,100		731,484
Honeywell International, Inc.		120,900		6,751,056
				36,821,108
Media — 1.6%
Discovery Communications, Inc. Series C (a)		141,500		7,087,735
The Walt Disney Co.		146,400		7,100,400
				14,188,135
Metal Fabricate & Hardware — 1.5%
Precision Castparts Corp.		79,100		13,011,159
Oil & Gas — 2.5%
Concho Resources, Inc. (a)		50,000		4,256,000
EOG Resources, Inc.		64,500		5,812,095
EQT Corp.		51,200		2,745,856

	Number of Shares		Value
Occidental Petroleum Corp.		31,000	$	2,658,870
Pioneer Natural Resources Co.		38,500		3,396,085
Range Resources Corp.		49,300		3,050,191
				21,919,097
Oil & Gas Services — 2.3%
Cameron International Corp. (a)		95,700		4,087,347
FMC Technologies, Inc. (a)		59,600		2,338,108
Halliburton Co.		100		2,839
Schlumberger Ltd.		213,400		13,851,794
				20,280,088
Pharmaceuticals — 3.5%
Allergan, Inc.		68,600		6,350,302
Cardinal Health, Inc.		124,600		5,233,200
Express Scripts Holding Co. (a)		196,400		10,965,012
Gilead Sciences, Inc. (a)		125,300		6,425,384
Perrigo Co.		12,800		1,509,504
				30,483,402
Real Estate Investment Trusts (REITS) — 2.2%
American Tower Corp.		279,300		19,525,863
Retail — 8.2%
Bed Bath & Beyond, Inc. (a)		30,800		1,903,440
Chipotle Mexican Grill, Inc. (a)		18,100		6,877,095
Coach, Inc.		82,900		4,847,992
CVS Caremark Corp.		59,100		2,761,743
Dollar General Corp. (a)		42,800		2,327,892
Dollar Tree, Inc. (a)		40,000		2,152,000
The Home Depot, Inc.		35,800		1,897,042
Limited Brands, Inc.		53,700		2,283,861
McDonald’s Corp.		47,400		4,196,322
Michael Kors Holdings Ltd. (a)		21,500		899,560
O’Reilly Automotive, Inc. (a)		73,500		6,157,095
PVH Corp.		63,400		4,931,886
Ross Stores, Inc.		21,100		1,318,117
Starbucks Corp.		410,100		21,866,532
Tiffany & Co.		4,700		248,865
Tim Hortons, Inc.		5,500		289,520
Yum! Brands, Inc.		121,300		7,814,146
				72,773,108
Semiconductors — 2.0%
Altera Corp.		40,600		1,373,904
Broadcom Corp. Class A (a)		339,500		11,475,100
Xilinx, Inc.		136,200		4,572,234
				17,421,238
Software — 1.9%
Autodesk, Inc. (a)		124,200		4,345,758
Cerner Corp. (a)		200		16,532
Fiserv, Inc. (a)		14,600		1,054,412
Intuit, Inc.		42,400		2,516,440
Microsoft Corp.		13,100		400,729
Oracle Corp.		10,200		302,940

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

67

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

	Number of Shares		Value
Red Hat, Inc. (a)		31,800	$	1,796,064
Salesforce.com, Inc. (a)		43,600		6,028,136
				16,461,011
Telecommunications — 2.4%
Juniper Networks, Inc. (a)		233,400		3,806,754
QUALCOMM, Inc.		317,100		17,656,128
				21,462,882
Transportation — 4.1%
C.H. Robinson Worldwide, Inc.		800		46,824
Expeditors International of Washington, Inc.		22,100		856,375
FedEx Corp.		153,900		14,098,779
J.B. Hunt Transport Services, Inc.		33,800		2,014,480
Kansas City Southern		45,400		3,158,024
Union Pacific Corp.		133,900		15,975,609
United Continental Holdings, Inc. (a)		16,900		411,177
				36,561,268
TOTAL COMMON STOCK (Cost $685,492,213)				872,354,839
TOTAL EQUITIES (Cost $685,492,213)				872,354,839
MUTUAL FUNDS — 0.0%
Diversified Financial — 0.0%
T. Rowe Price Reserve Investment Fund		1,603		1,603
TOTAL MUTUAL FUNDS (Cost $1,603)				1,603
TOTAL LONG-TERM INVESTMENTS (Cost $685,493,816)				872,356,442
	Principal Amount
SHORT-TERM INVESTMENTS — 1.0%
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (c)	$	8,735,577		8,735,577

	Value
TOTAL SHORT-TERM INVESTMENTS (Cost $8,735,577)	$	8,735,577
TOTAL INVESTMENTS — 99.8% (Cost $694,229,393) (d)		881,092,019
Other Assets/(Liabilities) — 0.2%		1,629,352
NET ASSETS — 100.0%	$	882,721,371

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) This security is valued in good faith under procedures established by the Board of Trustees.

(c) Maturity value of $8,735,584. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/25/38, and an aggregate market value, including accrued interest, of $8,912,202.

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

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

68

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.1%
COMMON STOCK — 99.1%
Apparel — 2.6%
Nike, Inc. Class B		140,175	$	12,304,562
Biotechnology — 4.3%
Alexion Pharmaceuticals, Inc. (a)		117,400		11,657,820
Regeneron Pharmaceuticals, Inc. (a)		74,500		8,509,390
				20,167,210
Chemicals — 3.0%
Praxair, Inc.		69,900		7,600,227
Syngenta AG Sponsored ADR (Switzerland)		95,575		6,541,153
				14,141,380
Commercial Services — 9.9%
Apollo Group, Inc. Class A (a)		103,875		3,759,236
MasterCard, Inc. Class A		27,375		11,774,261
Visa, Inc. Class A		251,077		31,040,650
				46,574,147
Computers — 10.4%
Apple, Inc. (a)		72,025		42,062,600
Teradata Corp. (a)		94,800		6,826,548
				48,889,148
Distribution & Wholesale — 1.4%
W.W. Grainger, Inc.		35,400		6,769,896
Diversified Financial — 4.6%
CME Group, Inc.		25,450		6,823,400
IntercontinentalExchange, Inc. (a)		109,550		14,896,609
				21,720,009
Health Care – Products — 1.3%
Intuitive Surgical, Inc. (a)		11,200		6,202,448
Insurance — 1.6%
The Progressive Corp.		371,325		7,734,700
Internet — 17.7%
Amazon.com, Inc. (a)		81,100		18,519,185
F5 Networks, Inc. (a)		56,100		5,585,316
Facebook, Inc. Class A (a)		123,000		3,827,760
Google, Inc. Class A (a)		41,950		24,333,936
Netflix, Inc. (a)		47,800		3,272,866
Priceline.com, Inc. (a)		29,000		19,271,080
VeriSign, Inc. (a)		192,900		8,404,653
				83,214,796
Lodging — 1.4%
Las Vegas Sands Corp.		146,700		6,379,983
Machinery – Construction & Mining — 0.7%
Caterpillar, Inc.		40,425		3,432,487

	Number of Shares		Value
Oil & Gas — 3.0%
EOG Resources, Inc.		110,275	$	9,936,880
Southwestern Energy Co. (a)		128,100		4,090,233
				14,027,113
Oil & Gas Services — 3.8%
FMC Technologies, Inc. (a)		133,800		5,248,974
National Oilwell Varco, Inc.		92,700		5,973,588
Schlumberger Ltd.		103,400		6,711,694
				17,934,256
Pharmaceuticals — 6.6%
Allergan, Inc.		194,425		17,997,922
Novo Nordisk A/S Sponsored ADR (Denmark)		55,150		8,015,501
Perrigo Co.		43,775		5,162,386
				31,175,809
Pipelines — 1.6%
Kinder Morgan, Inc.		229,182		7,384,244
Retail — 4.7%
Coach, Inc.		109,884		6,426,016
Staples, Inc.		348,375		4,546,294
Starbucks Corp.		137,901		7,352,881
Walgreen Co.		124,550		3,684,189
				22,009,380
Semiconductors — 1.5%
ASML Holding NV		141,800		7,291,356
Software — 10.3%
Adobe Systems, Inc. (a)		249,875		8,088,454
Athenahealth, Inc. (a)		37,500		2,968,875
BMC Software, Inc. (a)		196,850		8,401,558
Cerner Corp. (a)		56,472		4,667,975
Intuit, Inc.		156,500		9,288,275
Salesforce.com, Inc. (a)		110,500		15,277,730
				48,692,867
Telecommunications — 7.8%
Crown Castle International Corp. (a)		212,775		12,481,381
Polycom, Inc. (a)		194,550		2,046,666
QUALCOMM, Inc.		395,375		22,014,480
				36,542,527
Transportation — 0.9%
Expeditors International of Washington, Inc.		114,850		4,450,438
TOTAL COMMON STOCK (Cost $348,472,360)				467,038,756
TOTAL EQUITIES (Cost $348,472,360)				467,038,756

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

69

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

	Number of Shares		Value
WARRANTS — 0.1%
Piplelines — 0.1%
Kinder Morgan, Inc., Expires 5/15/17, Strike 40.00 (a)		118,996	$	257,031
TOTAL WARRANTS (Cost $227,730)				257,031
TOTAL LONG-TERM INVESTMENTS (Cost $348,700,090)				467,295,787
	Principal Amount
SHORT-TERM INVESTMENTS — 2.0%
Repurchase Agreement — 2.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	9,483,262		9,483,262
TOTAL SHORT-TERM INVESTMENTS (Cost $9,483,262)				9,483,262
TOTAL INVESTMENTS — 101.2% (Cost $358,183,352) (c)				476,779,049
Other Assets/(Liabilities) — (1.2)%				(5,611,160	)
NET ASSETS — 100.0%			$	471,167,889

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $9,483,270. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity dates ranging from 12/01/26 – 11/25/40, and an aggregate market value, including accrued interest, of $9,676,707.

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

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

70

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 98.0%
Aerospace & Defense — 1.9%
L-3 Communications Holdings, Inc.		17,300	$	1,280,373
Triumph Group, Inc.		27,800		1,564,306
				2,844,679
Agriculture — 1.4%
Lorillard, Inc.		5,500		725,725
Reynolds American, Inc.		30,800		1,381,996
				2,107,721
Apparel — 0.4%
VF Corp.		4,300		573,835
Automotive & Parts — 1.2%
Dana Holding Corp.		34,150		437,462
Delphi Automotive PLC (a)		17,575		448,162
Lear Corp.		26,900		1,014,937
				1,900,561
Banks — 6.7%
BB&T Corp.		41,100		1,267,935
Comerica, Inc.		80,375		2,468,316
Fifth Third Bancorp		101,375		1,358,425
KeyCorp		285,750		2,211,705
PNC Financial Services Group, Inc.		20,300		1,240,533
Regions Financial Corp.		265,550		1,792,463
				10,339,377
Beverages — 0.3%
Coca-Cola Enterprises, Inc.		18,450		517,338
Biotechnology — 0.5%
Charles River Laboratories International, Inc. (a)		22,550		738,738
Chemicals — 4.3%
Agrium, Inc.		6,925		612,655
Ashland, Inc.		31,350		2,172,868
CF Industries Holdings, Inc.		3,600		697,464
Cytec Industries, Inc.		25,750		1,509,980
Eastman Chemical Co.		12,800		644,736
PPG Industries, Inc.		9,700		1,029,364
				6,667,067
Commercial Services — 3.2%
Hertz Global Holdings, Inc. (a)		137,575		1,760,960
McKesson Corp.		14,200		1,331,250
United Rentals, Inc. (a)		54,700		1,861,988
				4,954,198
Computers — 2.4%
Cadence Design Systems, Inc. (a)		215,875		2,372,466
Diebold, Inc.		35,575		1,313,073
				3,685,539

	Number of Shares		Value
Diversified Financial — 4.8%
Ameriprise Financial, Inc.		12,400	$	648,024
Discover Financial Services		64,050		2,214,849
Invesco Ltd.		30,925		698,905
Raymond James Financial, Inc.		58,775		2,012,456
SLM Corp.		111,300		1,748,523
				7,322,757
Electric — 5.9%
Cleco Corp.		37,125		1,552,939
CMS Energy Corp.		84,675		1,989,862
Edison International		29,200		1,349,040
FirstEnergy Corp.		11,450		563,226
PPL Corp.		82,850		2,304,058
SCANA Corp.		27,300		1,306,032
				9,065,157
Electronics — 3.3%
Agilent Technologies, Inc.		36,000		1,412,640
FEI Co. (a)		13,825		661,388
Jabil Circuit, Inc.		106,475		2,164,637
PerkinElmer, Inc.		32,000		825,600
				5,064,265
Engineering & Construction — 0.4%
KBR, Inc.		24,100		595,511
Environmental Controls — 0.4%
Republic Services, Inc.		23,100		611,226
Foods — 2.3%
ConAgra Foods, Inc.		47,100		1,221,303
Ingredion, Inc.		23,400		1,158,768
The Kroger Co.		26,900		623,811
The Hain Celestial Group, Inc. (a)		10,950		602,688
				3,606,570
Forest Products & Paper — 1.7%
International Paper Co.		40,600		1,173,746
MeadWestvaco Corp.		49,775		1,431,031
				2,604,777
Gas — 4.9%
AGL Resources, Inc.		31,800		1,232,250
Energen Corp.		59,725		2,695,389
NiSource, Inc.		145,500		3,601,125
				7,528,764
Hand & Machine Tools — 0.7%
Snap-on, Inc.		5,975		371,944
Stanley Black & Decker, Inc.		10,475		674,171
				1,046,115
Health Care – Products — 1.3%
C.R. Bard, Inc.		6,100		655,384
Zimmer Holdings, Inc.		20,100		1,293,636
				1,949,020

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

71

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Health Care – Services — 0.4%
Cigna Corp.		13,400	$	589,600
Home Builders — 0.6%
M.D.C. Holdings, Inc.		28,450		929,462
Household Products — 0.7%
Avery Dennison Corp.		41,600		1,137,344
Insurance — 6.4%
The Allstate Corp.		94,375		3,311,619
Lincoln National Corp.		112,300		2,456,001
Reinsurance Group of America, Inc. Class A		22,900		1,218,509
Unum Group		57,600		1,101,888
Validus Holdings Ltd.		56,075		1,796,082
				9,884,099
Internet — 1.1%
ValueClick, Inc. (a)		101,300		1,660,307
Iron & Steel — 1.7%
Nucor Corp.		35,150		1,332,185
Reliance Steel & Aluminum Co.		24,800		1,252,400
				2,584,585
Lodging — 0.5%
Wyndham Worldwide Corp.		15,925		839,885
Machinery – Diversified — 1.2%
AGCO Corp. (a)		12,925		591,060
Eaton Corp.		29,950		1,186,919
				1,777,979
Manufacturing — 0.8%
Parker Hannifin Corp.		15,200		1,168,576
Media — 0.6%
CBS Corp. Class B		30,400		996,512
Metal Fabricate & Hardware — 1.4%
The Timken Co.		46,650		2,136,103
Mining — 0.8%
Yamana Gold, Inc.		78,200		1,204,280
Office Equipment/Supplies — 0.4%
Xerox Corp.		81,000		637,470
Oil & Gas — 2.9%
Chesapeake Energy Corp.		35,600		662,160
Ensco PLC Class A		12,100		568,337
Marathon Petroleum Corp.		20,325		912,999
Murphy Oil Corp.		22,700		1,141,583
Nexen, Inc.		69,100		1,167,099
				4,452,178
Oil & Gas Services — 3.6%
HollyFrontier Corp.		65,650		2,325,979
Oil States International, Inc. (a)		19,350		1,280,970
Superior Energy Services, Inc. (a)		63,050		1,275,502

	Number of Shares		Value
Tidewater, Inc.		12,700	$	588,772
				5,471,223
Pharmaceuticals — 2.8%
Cardinal Health, Inc.		47,575		1,998,150
Herbalife Ltd.		20,300		981,099
Sirona Dental Systems, Inc. (a)		29,775		1,340,173
				4,319,422
Real Estate Investment Trusts (REITS) — 9.2%
American Capital Agency Corp.		23,525		790,675
Annaly Capital Management, Inc.		35,700		599,046
BioMed Realty Trust, Inc.		104,225		1,946,923
Brandywine Realty Trust		154,600		1,907,764
CBL & Associates Properties, Inc.		70,100		1,369,754
Digital Realty Trust, Inc.		18,300		1,373,781
Duke Realty Corp.		44,100		645,624
DuPont Fabros Technology, Inc.		22,000		628,320
Home Properties, Inc.		14,225		872,846
Hospitality Properties Trust		49,000		1,213,730
Kilroy Realty Corp.		17,925		867,749
Kimco Realty Corp.		32,500		618,475
Liberty Property Trust		17,400		641,016
Weyerhaeuser Co.		30,850		689,806
				14,165,509
Retail — 8.5%
Foot Locker, Inc.		85,350		2,610,003
The Gap, Inc.		47,200		1,291,392
GNC Holdings, Inc. Class A		46,400		1,818,880
Kohl’s Corp.		14,000		636,860
Macy’s, Inc.		55,725		1,914,154
Nu Skin Enterprises, Inc. Class A		23,925		1,122,082
Pier 1 Imports, Inc.		88,125		1,447,894
PVH Corp.		11,585		901,197
Staples, Inc.		97,900		1,277,595
				13,020,057
Semiconductors — 2.9%
Broadcom Corp. Class A (a)		14,975		506,155
KLA-Tencor Corp.		25,100		1,236,175
Lam Research Corp. (a)		27,250		1,028,415
Skyworks Solutions, Inc. (a)		58,875		1,611,409
				4,382,154
Software — 1.2%
CA, Inc.		48,600		1,316,574
Fidelity National Information Services, Inc.		14,650		499,272
				1,815,846
Toys, Games & Hobbies — 0.8%
Mattel, Inc.		39,800		1,291,112
Transportation — 0.9%
CSX Corp.		28,100		628,316

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

72

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Ryder System, Inc.		21,300	$	767,013
				1,395,329
Water — 0.6%
American Water Works Co., Inc.		28,375		972,695
TOTAL COMMON STOCK (Cost $141,706,339)				150,554,942
TOTAL EQUITIES (Cost $141,706,339)				150,554,942
TOTAL LONG-TERM INVESTMENTS (Cost $141,706,339)				150,554,942
	Principal Amount
SHORT-TERM INVESTMENTS — 3.1%
Repurchase Agreement — 3.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	4,721,532		4,721,532
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/02/12		529		529
TOTAL SHORT-TERM INVESTMENTS (Cost $4,722,061)				4,722,061
TOTAL INVESTMENTS — 101.1% (Cost $146,428,400) (c)				155,277,003
Other Assets/(Liabilities) — (1.1)%				(1,686,993	)
NET ASSETS — 100.0%			$	153,590,010

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $4,721,535. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $4,823,083.

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

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

73

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 95.0%
COMMON STOCK — 95.0%
Aerospace & Defense — 0.2%
Cubic Corp.		4,000	$	192,320
Apparel — 0.8%
Ascena Retail Group, Inc. (a)		45,700		850,934
Auto Manufacturers — 1.3%
Oshkosh Corp. (a)		71,000		1,487,450
Automotive & Parts — 1.3%
American Axle & Manufacturing Holdings, Inc. (a)		138,100		1,448,669
Banks — 8.1%
BBCN Bancorp, Inc. (a)		74,054		806,448
First Midwest Bancorp, Inc.		77,000		845,460
Hancock Holding Co.		16,700		508,348
International Bancshares Corp.		52,800		1,030,656
MB Financial, Inc.		28,300		609,582
Northwest Bancshares, Inc.		85,100		996,521
Prosperity Bancshares, Inc.		39,400		1,655,982
Synovus Financial Corp.		709,400		1,404,612
Webster Financial Corp.		43,800		948,708
Westamerica Bancorp.		5,700		268,983
				9,075,300
Biotechnology — 1.1%
Charles River Laboratories International, Inc. (a)		39,200		1,284,192
Building Materials — 3.2%
Comfort Systems USA, Inc.		70,800		709,416
Gibraltar Industries, Inc. (a)		65,706		682,028
Simpson Manufacturing Co., Inc.		41,700		1,230,567
Trex Co., Inc. (a)		34,200		1,029,078
				3,651,089
Chemicals — 2.3%
Innospec, Inc. (a)		21,900		648,459
PolyOne Corp.		104,300		1,426,824
Sensient Technologies Corp.		13,700		503,201
				2,578,484
Commercial Services — 5.0%
Aaron’s, Inc.		26,350		745,969
Arbitron, Inc.		32,500		1,137,500
Corrections Corporation of America		20,500		603,725
Korn/Ferry International (a)		66,800		958,580
MAXIMUS, Inc.		27,700		1,433,475
Towers Watson & Co. Class A		12,000		718,800
				5,598,049
Computers — 3.7%
Diebold, Inc.		24,300		896,913
Mentor Graphics Corp. (a)		132,200		1,983,000

	Number of Shares		Value
Mercury Computer Systems, Inc. (a)		44,900	$	580,557
MTS Systems Corp.		17,200		663,060
				4,123,530
Distribution & Wholesale — 0.9%
United Stationers, Inc.		37,200		1,002,540
Diversified Financial — 1.7%
Duff & Phelps Corp. Class A		64,600		936,700
Janus Capital Group, Inc.		127,400		996,268
				1,932,968
Electric — 1.2%
UNS Energy Corp.		19,300		741,313
Westar Energy, Inc.		20,300		607,985
				1,349,298
Electrical Components & Equipment — 2.5%
Belden, Inc.		44,900		1,497,415
Littelfuse, Inc.		22,200		1,262,958
				2,760,373
Electronics — 5.0%
Coherent, Inc. (a)		9,900		428,670
Faro Technologies, Inc. (a)		18,600		782,688
Gentex Corp/MI		41,700		870,279
Park Electrochemical Corp.		36,200		936,856
Plexus Corp. (a)		47,700		1,345,140
Vishay Intertechnology, Inc. (a)		134,500		1,268,335
				5,631,968
Engineering & Construction — 1.0%
Aegion Corp. (a)		63,800		1,141,382
Foods — 0.9%
Post Holdings, Inc. (a)		11,400		350,550
Ralcorp Holdings, Inc. (a)		9,900		660,726
				1,011,276
Forest Products & Paper — 0.7%
Deltic Timber Corp.		12,700		774,446
Gas — 2.0%
Atmos Energy Corp.		19,100		669,837
New Jersey Resources Corp.		7,100		309,631
UGI Corp.		25,400		747,522
WGL Holdings, Inc.		12,800		508,800
				2,235,790
Hand & Machine Tools — 1.1%
Regal-Beloit Corp.		20,700		1,288,782
Health Care – Products — 0.9%
Haemonetics Corp. (a)		5,800		429,838
Steris Corp.		20,000		627,400
				1,057,238
Health Care – Services — 3.8%
AmSurg Corp. (a)		30,800		923,384

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

74

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
HealthSouth Corp. (a)		84,000	$	1,953,840
ICON PLC Sponsored ADR (Ireland) (a)		63,700		1,435,161
				4,312,385
Home Furnishing — 1.0%
Whirlpool Corp.		18,700		1,143,692
Household Products — 1.0%
Acco Brands Corp. (a)		112,100		1,159,114
Insurance — 5.3%
Alleghany Corp. (a)		3,048		1,035,558
Assured Guaranty Ltd.		31,200		439,920
Platinum Underwriters Holdings Ltd.		19,800		754,380
Primerica, Inc.		32,200		860,706
ProAssurance Corp.		11,300		1,006,717
Reinsurance Group of America, Inc. Class A		21,300		1,133,373
White Mountains Insurance Group Ltd.		1,450		756,538
				5,987,192
Internet — 0.5%
Websense, Inc. (a)		32,100		601,233
Investment Companies — 0.8%
Ares Capital Corp.		54,200		865,032
Leisure Time — 1.1%
Brunswick Corp.		56,800		1,262,096
Lodging — 0.6%
Choice Hotels International, Inc.		15,800		630,894
Machinery – Construction & Mining — 1.4%
Terex Corp. (a)		87,000		1,551,210
Machinery – Diversified — 3.2%
Albany International Corp. Class A		51,000		954,210
Cognex Corp.		36,500		1,155,225
Flowserve Corp.		8,200		940,950
Zebra Technologies Corp. Class A (a)		17,600		604,736
				3,655,121
Manufacturing — 5.6%
Acuity Brands, Inc.		8,900		453,099
AptarGroup, Inc.		13,200		673,860
Carlisle Cos., Inc.		41,600		2,205,632
ESCO Technologies, Inc.		27,800		1,013,032
Koppers Holdings, Inc.		14,000		476,000
Matthews International Corp. Class A		24,800		805,752
Myers Industries, Inc.		37,900		650,364
				6,277,739
Media — 0.6%
John Wiley & Sons, Inc. Class A		13,300		651,567
Metal Fabricate & Hardware — 1.1%
Mueller Industries, Inc.		28,600		1,218,074

	Number of Shares		Value
Office Furnishings — 0.8%
Herman Miller, Inc.		51,100	$	946,372
Oil & Gas — 2.5%
Berry Petroleum Co. Class A		27,200		1,078,752
GeoResources, Inc. (a)		18,400		673,624
Penn Virginia Corp.		33,800		248,092
Plains Exploration & Production Co. (a)		11,600		408,088
Whiting Petroleum Corp. (a)		9,700		398,864
				2,807,420
Oil & Gas Services — 0.7%
SEACOR Holdings, Inc. (a)		8,550		764,199
Packaging & Containers — 0.3%
Greif, Inc. Class A		9,100		373,100
Real Estate Investment Trusts (REITS) — 1.0%
DiamondRock Hospitality Co.		59,034		602,147
Mack-Cali Realty Corp.		17,700		514,539
				1,116,686
Retail — 8.1%
Advance Auto Parts, Inc.		7,080		482,997
Cabela’s, Inc. (a)		55,200		2,087,112
Casey’s General Stores, Inc.		16,600		979,234
The Cato Corp. Class A		45,000		1,370,700
CEC Entertainment, Inc.		20,721		753,623
Fred’s, Inc. Class A		58,000		886,820
The Men’s Wearhouse, Inc.		46,000		1,294,440
Stage Stores, Inc.		67,100		1,229,272
				9,084,198
Savings & Loans — 0.4%
First Niagara Financial Group, Inc.		59,860		457,929
Semiconductors — 2.2%
Brooks Automation, Inc.		135,300		1,277,232
Maxim Integrated Products, Inc.		45,400		1,164,056
				2,441,288
Software — 1.4%
Fiserv, Inc. (a)		22,170		1,601,117
Storage & Warehousing — 1.1%
Mobile Mini, Inc. (a)		86,500		1,245,600
Textiles — 0.8%
G&K Services, Inc. Class A		29,400		916,986
Transportation — 4.0%
Atlas Air Worldwide Holdings, Inc. (a)		9,900		430,749
Bristow Group, Inc.		11,800		479,906
Forward Air Corp.		45,200		1,458,604
Genesee & Wyoming, Inc. Class A (a)		18,600		982,824
Kirby Corp. (a)		19,500		918,060

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

75

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Matson, Inc.		5,400	$	287,550
				4,557,693
Trucking & Leasing — 0.8%
GATX Corp.		24,300		935,550
TOTAL COMMON STOCK (Cost $94,126,030)				107,039,565
TOTAL EQUITIES (Cost $94,126,030)				107,039,565
TOTAL LONG-TERM INVESTMENTS (Cost $94,126,030)				107,039,565
	Principal Amount
SHORT-TERM INVESTMENTS — 7.1%
Repurchase Agreement — 7.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	7,996,652		7,996,652
TOTAL SHORT-TERM INVESTMENTS (Cost $7,996,652)				7,996,652
TOTAL INVESTMENTS — 102.1% (Cost $102,122,682) (c)				115,036,217
Other Assets/(Liabilities) — (2.1)%				(2,356,565	)
NET ASSETS — 100.0%			$	112,679,652

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $7,996,658. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 12/01/26 – 11/25/38, and an aggregate market value, including accrued interest, of $8,162,115.

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

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

76

MassMutual Select Small Company Value Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.4%
COMMON STOCK — 97.0%
Aerospace & Defense — 1.8%
AAR Corp.		20,300	$	273,644
Curtiss-Wright Corp.		47,310		1,468,976
Esterline Technologies Corp. (a)		12,860		801,821
Kaman Corp.		48,000		1,485,120
Kratos Defense & Security Solutions, Inc. (a)		305,205		1,782,397
Moog, Inc. Class A (a)		16,948		700,800
Orbital Sciences Corp. (a)		124,250		1,605,310
Teledyne Technologies, Inc. (a)		10,800		665,820
				8,783,888
Agriculture — 0.3%
Alliance One International, Inc. (a)		381,515		1,320,042
Airlines — 1.2%
Alaska Air Group, Inc. (a)		90,000		3,231,000
JetBlue Airways Corp. (a)		219,755		1,164,702
US Airways Group, Inc. (a)		103,655		1,381,721
				5,777,423
Apparel — 1.2%
Crocs, Inc. (a)		195,190		3,152,319
The Jones Group, Inc.		110,450		1,055,902
K-Swiss, Inc. Class A (a)		191,240		589,019
True Religion Apparel, Inc.		42,950		1,244,691
				6,041,931
Auto Manufacturers — 0.2%
Navistar International Corp. (a)		25,525		724,144
Automotive & Parts — 0.5%
Cooper Tire & Rubber Co.		61,995		1,087,392
Spartan Motors, Inc.		103,355		541,580
Titan International, Inc.		37,360		916,441
				2,545,413
Banks — 7.5%
City Holding Co.		31,335		1,055,676
Columbia Banking System, Inc.		45,700		860,074
East West Bancorp, Inc.		160,145		3,757,002
F.N.B. Corp.		98,255		1,068,032
First Commonwealth Financial Corp.		208,905		1,405,931
FirstMerit Corp.		105,162		1,737,276
Glacier Bancorp, Inc.		119,000		1,843,310
Home Bancshares, Inc.		78,500		2,400,530
Independent Bank Corp.		34,190		998,690
Northwest Bancshares, Inc.		79,150		926,846
Old National Bancorp		159,210		1,912,112
Sandy Spring Bancorp, Inc.		45,000		810,000
Signature Bank (a)		32,700		1,993,719
Susquehanna Bancshares, Inc.		229,850		2,367,455
SVB Financial Group (a)		63,000		3,699,360

	Number of Shares		Value
Synovus Financial Corp.		730,900	$	1,447,182
Trustmark Corp.		80,728		1,976,221
Umpqua Holdings Corp.		51,350		675,766
United Bankshares, Inc/WV		24,303		628,962
Webster Financial Corp.		41,975		909,179
Wintrust Financial Corp.		105,775		3,755,012
				36,228,335
Biotechnology — 0.2%
Momenta Pharmaceuticals, Inc. (a)		53,200		719,264
Building Materials — 1.6%
Comfort Systems USA, Inc.		81,800		819,636
Drew Industries, Inc. (a)		81,500		2,269,775
Gibraltar Industries, Inc. (a)		105,500		1,095,090
Quanex Building Products Corp.		62,300		1,113,924
Texas Industries, Inc.		15,300		596,853
Universal Forest Products, Inc.		44,700		1,742,406
				7,637,684
Chemicals — 2.0%
American Vanguard Corp.		79,000		2,100,610
Huntsman Corp.		87,875		1,137,103
Innospec, Inc. (a)		97,000		2,872,170
Minerals Technologies, Inc.		35,945		2,292,572
The Valspar Corp.		22,400		1,175,776
				9,578,231
Coal — 0.2%
Cloud Peak Energy, Inc. (a)		65,000		1,099,150
Commercial Services — 5.1%
Aaron’s, Inc.		232,850		6,591,983
Deluxe Corp.		78,475		1,957,167
Electro Rent Corp.		124,000		2,012,520
FTI Consulting, Inc. (a)		24,700		710,125
Global Payments, Inc.		19,500		842,985
Landauer, Inc.		21,400		1,226,862
McGrath RentCorp		104,200		2,761,300
Navigant Consulting, Inc. (a)		110,200		1,392,928
On Assignment, Inc. (a)		91,800		1,465,128
PHH Corp. (a)		95,540		1,670,039
Rent-A-Center, Inc.		19,355		653,038
SAIC, Inc.		118,100		1,431,372
Service Corp. International		85,985		1,063,634
TNS, Inc. (a)		40,300		722,982
				24,502,063
Computers — 0.7%
j2 Global, Inc.		38,665		1,021,529
MTS Systems Corp.		21,710		836,921
Quantum Corp. (a)		490,750		996,222
Xyratex Ltd.		60,600		685,386
				3,540,058

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

77

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Distribution & Wholesale — 2.3%
Beacon Roofing Supply, Inc. (a)		174,300	$	4,395,846
Owens & Minor, Inc.		126,400		3,871,632
Pool Corp.		67,400		2,727,004
				10,994,482
Diversified Financial — 2.1%
Eaton Vance Corp.		23,327		628,662
Jefferies Group, Inc.		44,400		576,756
JMP Group, Inc.		62,300		385,014
KBW, Inc.		48,000		789,600
Ocwen Financial Corp. (a)		155,250		2,915,595
Piper Jaffray Cos., Inc. (a)		24,300		569,349
Raymond James Financial, Inc.		29,803		1,020,455
Stifel Financial Corp. (a)		108,000		3,337,200
				10,222,631
Electric — 3.5%
Black Hills Corp.		33,400		1,074,478
Cleco Corp.		148,650		6,218,030
El Paso Electric Co.		98,370		3,261,949
IDACORP, Inc.		59,110		2,487,349
NorthWestern Corp.		43,200		1,585,440
PNM Resources, Inc.		52,600		1,027,804
Portland General Electric Co.		45,940		1,224,760
				16,879,810
Electrical Components & Equipment — 1.9%
Advanced Energy Industries, Inc. (a)		99,200		1,331,264
Belden, Inc.		61,700		2,057,695
EnerSys (a)		27,500		964,425
General Cable Corp. (a)		31,150		808,031
GrafTech International Ltd. (a)		100,925		973,926
Littelfuse, Inc.		54,200		3,083,438
				9,218,779
Electronics — 2.4%
Analogic Corp.		21,100		1,308,200
Checkpoint Systems, Inc. (a)		27,598		240,378
CTS Corp.		50,790		478,442
Cymer, Inc. (a)		39,900		2,352,105
Electro Scientific Industries, Inc.		66,900		790,758
Itron, Inc. (a)		18,100		746,444
Methode Electronics, Inc.		48,000		408,480
Multi-Fineline Electronix, Inc. (a)		28,030		690,659
Newport Corp. (a)		74,000		889,480
Sanmina-SCI Corp. (a)		128,825		1,055,077
Woodward, Inc.		69,800		2,752,912
				11,712,935
Engineering & Construction — 0.9%
Aegion Corp. (a)		164,755		2,947,467
Foster Wheeler AG (a)		56,125		972,646
URS Corp.		15,300		533,664
				4,453,777

	Number of Shares		Value
Entertainment — 1.1%
Ascent Media Corp. Series A (a)		28,900	$	1,495,575
Cinemark Holdings, Inc.		64,825		1,481,251
Lions Gate Entertainment Corp. (a)		75,500		1,112,870
Regal Entertainment Group Class A		104,275		1,434,824
				5,524,520
Environmental Controls — 0.8%
Mine Safety Appliances Co.		38,700		1,557,288
Waste Connections, Inc.		80,250		2,401,080
				3,958,368
Foods — 1.3%
Fresh Del Monte Produce, Inc.		54,475		1,278,528
Nash Finch Co.		46,000		988,080
Pilgrim’s Pride Corp. (a)		89,925		642,964
Spartan Stores, Inc.		45,335		821,924
TreeHouse Foods, Inc. (a)		25,745		1,603,656
United Natural Foods, Inc. (a)		18,800		1,031,368
				6,366,520
Forest Products & Paper — 2.0%
Clearwater Paper Corp. (a)		54,700		1,866,364
Deltic Timber Corp.		36,600		2,231,868
KapStone Paper and Packaging Corp. (a)		77,225		1,224,016
Potlatch Corp.		103,050		3,291,417
Wausau Paper Corp.		119,400		1,161,762
				9,775,427
Gas — 0.9%
South Jersey Industries, Inc.		18,097		922,404
Southwest Gas Corp.		48,700		2,125,755
Vectren Corp.		20,300		599,256
WGL Holdings, Inc.		19,684		782,439
				4,429,854
Hand & Machine Tools — 0.8%
Franklin Electric Co., Inc.		34,300		1,753,759
Regal-Beloit Corp.		19,400		1,207,844
Snap-on, Inc.		14,000		871,500
				3,833,103
Health Care – Products — 1.4%
Alere, Inc. (a)		28,850		560,844
Cantel Medical Corp.		18,900		515,025
Meridian Bioscience, Inc.		36,120		739,015
Merit Medical Systems, Inc. (a)		59,101		816,185
PSS World Medical, Inc. (a)		30,500		640,195
Quidel Corp. (a)		65,700		1,030,176
West Pharmaceutical Services, Inc.		49,800		2,514,402
				6,815,842
Health Care – Services — 2.1%
Amedisys, Inc. (a)		21,600		268,920
AMERIGROUP Corp. (a)		19,700		1,298,427

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

78

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Covance, Inc. (a)		23,405	$	1,119,929
Coventry Health Care, Inc.		32,610		1,036,672
HealthSouth Corp. (a)		39,490		918,537
Healthways, Inc. (a)		23,130		184,577
Magellan Health Services, Inc. (a)		20,925		948,530
MEDNAX, Inc. (a)		12,699		870,390
National Healthcare Corp.		37,500		1,696,125
Triple-S Management Corp. Class B (a)		57,300		1,047,444
Universal American Corp/NY (a)		77,050		811,337
				10,200,888
Home Builders — 1.1%
M/I Homes, Inc. (a)		45,200		782,864
Meritage Home Corp. (a)		96,700		3,281,998
Winnebago Industries, Inc. (a)		103,700		1,056,703
				5,121,565
Home Furnishing — 0.4%
Ethan Allen Interiors, Inc.		32,700		651,711
La-Z-Boy, Inc. (a)		89,305		1,097,558
Stanley Furniture Co., Inc. (a)		64,300		256,557
				2,005,826
Household Products — 1.0%
Avery Dennison Corp.		60,975		1,667,057
CSS Industries, Inc.		51,900		1,066,545
Helen of Troy Ltd. (a)		25,900		877,751
The Scotts Miracle-Gro Co. Class A		32,950		1,354,904
				4,966,257
Insurance — 6.1%
Alterra Capital Holdings Ltd.		133,920		3,127,032
American Equity Investment Life Holding Co.		103,425		1,138,709
Argo Group International Holdings Ltd.		50,623		1,481,735
Assured Guaranty Ltd.		68,230		962,043
CNO Financial Group, Inc.		262,165		2,044,887
Employers Holdings, Inc.		40,700		734,228
First American Financial Corp.		81,825		1,387,752
The Hanover Insurance Group, Inc.		31,425		1,229,661
Maiden Holdings Ltd.		129,775		1,126,447
Markel Corp. (a)		3,900		1,722,630
Meadowbrook Insurance Group, Inc.		48,700		428,073
MGIC Investment Corp. (a)		146,190		421,027
National Interstate Corp.		76,700		2,039,453
Platinum Underwriters Holdings Ltd.		18,270		696,087
ProAssurance Corp.		78,380		6,982,874
Protective Life Corp.		29,500		867,595
Radian Group, Inc.		110,000		361,900
Reinsurance Group of America, Inc. Class A		16,100		856,681
State Auto Financial Corp. Class A		16,200		227,610
Symetra Financial Corp.		122,525		1,546,266

	Number of Shares		Value
United Fire Group, Inc.		17,500	$	373,275
				29,755,965
Internet — 0.8%
Digital River, Inc. (a)		29,400		488,628
Pandora Media, Inc. (a)		55,050		598,394
Safeguard Scientifics, Inc. (a)		93,000		1,439,640
Websense, Inc. (a)		72,700		1,361,671
				3,888,333
Investment Companies — 0.6%
American Capital Ltd. (a)		105,150		1,058,861
American Realty Capital Trust, Inc.		124,200		1,356,264
Ares Capital Corp.		45,500		726,180
				3,141,305
Iron & Steel — 0.7%
Carpenter Technology Corp.		51,300		2,454,192
Schnitzer Steel Industries, Inc. Class A		33,000		924,660
				3,378,852
Leisure Time — 0.4%
Brunswick Corp.		37,500		833,250
LIFE TIME FITNESS, Inc. (a)		22,700		1,055,777
				1,889,027
Lodging — 0.3%
Orient-Express Hotels Ltd. (a)		162,200		1,357,614
Machinery – Construction & Mining — 0.2%
Astec Industries, Inc. (a)		29,600		908,128
Machinery – Diversified — 2.7%
Altra Holdings, Inc.		72,260		1,140,263
Briggs & Stratton Corp.		72,215		1,263,040
Cascade Corp.		27,000		1,270,350
Cognex Corp.		23,800		753,270
IDEX Corp.		62,500		2,436,250
Nordson Corp.		71,600		3,672,364
Robbins & Myers, Inc.		63,800		2,668,116
				13,203,653
Manufacturing — 3.1%
AptarGroup, Inc.		72,100		3,680,705
Barnes Group, Inc.		61,630		1,496,992
EnPro Industries, Inc. (a)		27,105		1,012,914
ESCO Technologies, Inc.		800		29,152
Harsco Corp.		26,800		546,184
Hexcel Corp. (a)		51,500		1,328,185
Matthews International Corp. Class A		66,400		2,157,336
Myers Industries, Inc.		174,530		2,994,935
Proto Labs, Inc. (a)		15,700		451,532
Teleflex, Inc.		9,700		590,827
Tredegar Corp.		53,700		781,872
				15,070,634

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

79

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Media — 0.8%
The Dolan Co. (a)		98,000	$	659,540
The New York Times Co. Class A (a)		88,365		689,247
Saga Communications, Inc. Class A (a)		28,800		1,068,768
World Wrestling Entertainment, Inc. Class A		166,495		1,301,991
				3,719,546
Metal Fabricate & Hardware — 0.7%
A.M. Castle & Co. (a)		93,550		993,501
Circor International, Inc.		38,900		1,326,101
The Timken Co.		22,600		1,034,854
				3,354,456
Mining — 2.3%
AMCOL International Corp.		74,200		2,100,602
Franco-Nevada Corp.		50,000		2,261,075
Globe Specialty Metals, Inc.		69,110		928,147
Hecla Mining Co.		192,685		915,254
Horsehead Holding Corp. (a)		84,055		837,188
North American Palladium Ltd. (a)		436,000		885,080
Royal Gold, Inc.		32,800		2,571,520
Stillwater Mining Co. (a)		71,225		608,261
				11,107,127
Oil & Gas — 3.8%
Atwood Oceanics, Inc. (a)		28,600		1,082,224
Berry Petroleum Co. Class A		38,525		1,527,901
Contango Oil & Gas Co. (a)		14,085		833,832
Energy Partners Ltd. (a)		51,650		872,885
Energy XXI (Bermuda) Ltd.		59,400		1,858,626
Goodrich Petroleum Corp. (a)		58,650		812,889
Hercules Offshore, Inc. (a)		357,150		1,264,311
Kodiak Oil & Gas Corp. (a)		174,425		1,432,029
Lone Pine Resources, Inc. (a)		53,599		147,397
Northern Oil and Gas, Inc. (a)		96,100		1,531,834
Oasis Petroleum, Inc. (a)		91,000		2,200,380
Pacific Drilling SA (a)		71,950		612,295
Questar Corp.		85,400		1,781,444
SandRidge Energy, Inc. (a)		139,475		933,088
Swift Energy Co. (a)		76,200		1,418,082
				18,309,217
Oil & Gas Services — 1.6%
C&J Energy Services, Inc. (a)		8,300		153,550
CARBO Ceramics, Inc.		18,400		1,411,832
Core Laboratories NV		12,000		1,390,800
Hornbeck Offshore Services, Inc. (a)		48,420		1,877,728
Lufkin Industries, Inc.		15,332		832,834
Oil States International, Inc. (a)		11,820		782,484
TETRA Technologies, Inc. (a)		131,000		934,030
Union Drilling, Inc. (a)		44,800		200,704
				7,583,962

	Number of Shares		Value
Pharmaceuticals — 1.0%
Alkermes Plc (a)		60,955	$	1,034,406
BioMarin Pharmaceutical, Inc. (a)		20,020		792,392
MAP Pharmaceuticals, Inc. (a)		40,975		613,806
Medicis Pharmaceutical Corp. Class A		28,435		971,055
Par Pharmaceutical Cos., Inc. (a)		15,435		557,821
ViroPharma Inc (a)		42,080		997,296
				4,966,776
Pipelines — 0.8%
Crosstex Energy, Inc.		61,375		859,250
ONEOK, Inc.		27,100		1,146,601
SemGroup Corp. Class A (a)		59,160		1,888,979
				3,894,830
Real Estate Investment Trusts (REITS) — 7.4%
Acadia Realty Trust		77,400		1,794,132
Associated Estates Realty Corp.		48,325		722,459
CBL & Associates Properties, Inc.		181,900		3,554,326
Cedar Realty Trust, Inc.		142,900		721,645
First Potomac Realty Trust		231,975		2,730,346
Kilroy Realty Corp.		71,000		3,437,110
LaSalle Hotel Properties		86,000		2,506,040
Lexington Realty Trust		249,110		2,109,962
LTC Properties, Inc.		62,540		2,268,951
Medical Properties Trust, Inc.		62,900		605,098
MFA Financial, Inc.		270,285		2,132,549
Mid-America Apartment Communities, Inc.		20,600		1,405,744
National Retail Properties, Inc.		63,485		1,795,991
Pebblebrook Hotel Trust		137,415		3,203,143
Saul Centers, Inc.		36,600		1,569,042
Strategic Hotels & Resorts, Inc. (a)		147,850		955,111
Sun Communities, Inc.		46,965		2,077,731
Sunstone Hotel Investors, Inc. (a)		87,990		967,010
Washington Real Estate Investment Trust		46,200		1,314,390
				35,870,780
Retail — 3.5%
bebe stores, Inc.		110,485		648,547
Brown Shoe Co., Inc.		96,060		1,240,135
Cash America International, Inc.		34,791		1,532,196
The Finish Line, Inc. Class A		69,080		1,444,463
Fred’s, Inc. Class A		77,600		1,186,504
Haverty Furniture Cos., Inc.		94,500		1,055,565
Hot Topic, Inc.		135,935		1,317,210
Insight Enterprises, Inc. (a)		39,715		668,403
MarineMax, Inc. (a)		83,600		795,036
The Men’s Wearhouse, Inc.		66,000		1,857,240
The Pantry, Inc. (a)		60,730		892,731
PVH Corp.		16,600		1,291,314
RadioShack Corp.		110,510		424,358

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

80

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Stein Mart, Inc. (a)		147,900	$	1,175,805
Vera Bradley, Inc. (a)		35,400		746,232
The Wet Seal, Inc. Class A (a)		250,535		791,691
				17,067,430
Savings & Loans — 0.8%
Astoria Financial Corp.		42,150		413,070
Brookline Bancorp, Inc.		103,840		918,984
First Niagara Financial Group, Inc.		147,675		1,129,714
Flushing Financial Corp.		100,775		1,373,563
				3,835,331
Semiconductors — 2.3%
ATMI, Inc. (a)		43,500		894,795
Brooks Automation, Inc.		91,800		866,592
Cabot Microelectronics Corp.		36,795		1,074,782
Cirrus Logic, Inc. (a)		32,475		970,353
Entegris, Inc. (a)		5,400		46,116
Fairchild Semiconductor International, Inc. (a)		99,690		1,405,629
International Rectifier Corp. (a)		32,000		639,680
Intersil Corp. Class A		130,120		1,385,778
Teradyne, Inc. (a)		115,900		1,629,554
Tessera Technologies, Inc.		80,095		1,231,060
TriQuint Semiconductor, Inc. (a)		182,510		1,003,805
				11,148,144
Software — 1.4%
Accelrys, Inc. (a)		69,000		558,210
CSG Systems International, Inc. (a)		33,345		576,202
Progress Software Corp. (a)		104,550		2,181,958
SYNNEX Corp. (a)		58,300		2,010,767
Take-Two Interactive Software, Inc. (a)		74,685		706,520
Verint Systems, Inc. (a)		28,080		828,641
				6,862,298
Telecommunications — 2.2%
Anixter International, Inc.		15,625		828,906
Arris Group, Inc. (a)		74,100		1,030,731
Black Box Corp.		37,945		1,089,022
Finisar Corp. (a)		73,494		1,099,470
Ixia (a)		130,800		1,572,216
Premiere Global Services, Inc. (a)		135,500		1,136,845
RF Micro Devices, Inc. (a)		183,225		778,706
SBA Communications Corp. Class A (a)		15,100		861,455
Sonus Networks, Inc. (a)		311,900		670,585
Symmetricom, Inc. (a)		76,860		460,391
ViaSat, Inc. (a)		25,620		967,668
				10,495,995
Textiles — 0.5%
Culp, Inc.		55,000		563,750

	Number of Shares		Value
G&K Services, Inc. Class A		55,000	$	1,715,450
				2,279,200
Toys, Games & Hobbies — 0.2%
JAKKS Pacific, Inc.		66,910		1,071,229
Transportation — 4.3%
Bristow Group, Inc.		26,122		1,062,382
Con-way, Inc.		38,475		1,389,332
Genesee & Wyoming, Inc. Class A (a)		76,100		4,021,124
Hub Group, Inc. Class A (a)		25,660		928,892
Kirby Corp. (a)		75,100		3,535,708
Landstar System, Inc.		109,700		5,673,684
Overseas Shipholding Group, Inc.		44,400		493,284
Pacer International, Inc. (a)		143,300		776,686
Swift Transportation Co. (a)		69,070		652,711
Teekay Tankers Ltd. Class A		128,600		586,416
UTI Worldwide, Inc.		102,500		1,497,525
				20,617,744
TOTAL COMMON STOCK (Cost $418,829,151)				469,755,786
CONVERTIBLE PREFERRED STOCK — 0.4%
Banks — 0.4%
East West Bancorp, Inc., Series A 8.000%		1,183		1,730,023
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $1,170,531)				1,730,023
TOTAL EQUITIES (Cost $419,999,682)				471,485,809
MUTUAL FUNDS — 0.4%
Diversified Financial — 0.4%
iShares Russell 2000 Value Index Fund		26,700		1,879,413
T. Rowe Price Reserve Investment Fund		179,617		179,617
T. Rowe Price Reserve Investment Fund		67		67
				2,059,097
TOTAL MUTUAL FUNDS (Cost $1,952,652)				2,059,097
TOTAL LONG-TERM INVESTMENTS (Cost $421,952,334)				473,544,906

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

81

MassMutual Select Small Company Value Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.2%
Repurchase Agreement — 2.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	10,853,582	$	10,853,582
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/02/12		1,700		1,700
TOTAL SHORT-TERM INVESTMENTS (Cost $10,855,282)				10,855,282
TOTAL INVESTMENTS — 100.0% (Cost $432,807,616) (c)				484,400,188
Other Assets/(Liabilities) — 0.0%				87,482
NET ASSETS — 100.0%			$	484,487,670

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $10,853,591. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 12/01/26 – 11/25/38, and an aggregate market value, including accrued interest, of $11,078,332.

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

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

82

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 94.9%
COMMON STOCK — 94.3%
Advertising — 0.5%
Lamar Advertising Co. Class A (a)		278,000	$	7,950,800
Aerospace & Defense — 1.4%
BE Aerospace, Inc. (a)		146,100		6,378,726
Goodrich Corp.		23,000		2,918,700
Rockwell Collins, Inc.		126,000		6,218,100
Spirit AeroSystems Holdings, Inc. Class A (a)		279,000		6,648,570
				22,164,096
Airlines — 0.1%
Alaska Air Group, Inc. (a)		48,500		1,741,150
Apparel — 0.3%
Deckers Outdoor Corp. (a)		69,000		3,036,690
Steven Madden Ltd. (a)		45,600		1,447,800
				4,484,490
Auto Manufacturers — 0.1%
Tesla Motors, Inc. (a)		41,000		1,282,890
Automotive & Parts — 0.7%
Allison Transmission Holdings, Inc.		109,000		1,914,040
WABCO Holdings, Inc. (a)		174,000		9,209,820
				11,123,860
Banks — 0.4%
TCF Financial Corp.		572,000		6,566,560
Beverages — 0.4%
Brown-Forman Corp. Class B		30,950		2,997,508
Monster Beverage Corp. (a)		56,100		3,994,320
				6,991,828
Biotechnology — 2.2%
Alexion Pharmaceuticals, Inc. (a)		107,000		10,625,100
ARIAD Pharmaceuticals, Inc. (a)		140,000		2,409,400
Human Genome Sciences, Inc. (a)		298,400		3,917,992
Illumina, Inc. (a)		67,000		2,706,130
Incyte Corp. (a)		70,000		1,589,000
Myriad Genetics, Inc. (a)		22,600		537,202
Regeneron Pharmaceuticals, Inc. (a)		97,000		11,079,340
Seattle Genetics, Inc. (a)		64,900		1,647,811
				34,511,975
Chemicals — 2.1%
Celanese Corp. Series A		191,900		6,643,578
CF Industries Holdings, Inc.		23,820		4,614,887
Cytec Industries, Inc.		46,100		2,703,304
FMC Corp.		131,600		7,037,968
Rockwood Holdings, Inc.		175,000		7,761,250
The Sherwin-Williams Co.		31,560		4,176,966
				32,937,953

	Number of Shares		Value
Coal — 0.7%
CONSOL Energy, Inc.		359,000	$	10,856,160
Commercial Services — 7.5%
Alliance Data Systems Corp. (a)		71,600		9,666,000
Gartner, Inc. (a)		525,200		22,609,860
Global Payments, Inc.		350,000		15,130,500
Hertz Global Holdings, Inc. (a)		662,000		8,473,600
Manpower, Inc.		319,000		11,691,350
Moody’s Corp.		62,100		2,269,755
Quanta Services, Inc. (a)		939,800		22,620,986
Total System Services, Inc.		232,400		5,561,332
Vantiv, Inc. (a)		209,000		4,867,610
Verisk Analytics, Inc. Class A (a)		263,200		12,965,232
Weight Watchers International, Inc. (a)		26,000		1,340,560
Western Union Co.		24,000		404,160
				117,600,945
Computers — 3.3%
IHS, Inc. Class A (a)		227,000		24,454,710
Jack Henry & Associates, Inc.		79,900		2,758,148
MICROS Systems, Inc. (a)		270,400		13,844,480
NetApp, Inc. (a)		44,600		1,419,172
SanDisk Corp. (a)		175,000		6,384,000
Teradata Corp. (a)		45,300		3,262,053
				52,122,563
Distribution & Wholesale — 1.5%
Fastenal Co.		303,000		12,213,930
LKQ Corp. (a)		110,000		3,674,000
MRC Global, Inc. (a)		125,100		2,662,128
WESCO International, Inc. (a)		83,400		4,799,670
				23,349,728
Diversified Financial — 3.0%
Air Lease Corp. (a)		282,000		5,467,980
CBOE Holdings, Inc.		279,000		7,722,720
The Charles Schwab Corp.		403,000		5,210,790
IntercontinentalExchange, Inc. (a)		44,000		5,983,120
Raymond James Financial, Inc.		235,800		8,073,792
T. Rowe Price Group, Inc.		68,570		4,317,167
TD Ameritrade Holding Corp.		593,000		10,081,000
				46,856,569
Electric — 1.1%
Calpine Corp. (a)		1,008,000		16,642,080
Electrical Components & Equipment — 2.9%
AMETEK, Inc.		660,900		32,985,519
The Babcock & Wilcox Co. (a)		526,000		12,887,000
				45,872,519
Electronics — 2.0%
FLIR Systems, Inc.		69,000		1,345,500
Gentex Corp/MI		366,000		7,638,420

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

83

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Imax Corp. (a)		140,800	$	3,383,424
Jabil Circuit, Inc.		137,100		2,787,243
Mettler-Toledo International, Inc. (a)		7,000		1,090,950
Trimble Navigation Ltd. (a)		315,000		14,493,150
				30,738,687
Engineering & Construction — 0.9%
Chicago Bridge & Iron Co. NV		74,600		2,831,816
McDermott International, Inc. (a)		1,084,300		12,079,102
				14,910,918
Environmental Controls — 0.9%
Clean Harbors, Inc. (a)		70,000		3,949,400
Waste Connections, Inc.		319,300		9,553,456
				13,502,856
Foods — 0.6%
The Fresh Market, Inc. (a)		53,000		2,842,390
TreeHouse Foods, Inc. (a)		21,000		1,308,090
Whole Foods Market, Inc.		59,000		5,623,880
				9,774,360
Health Care – Products — 5.4%
Bruker Corp. (a)		505,000		6,721,550
C.R. Bard, Inc.		133,000		14,289,520
CareFusion Corp. (a)		437,000		11,222,160
The Cooper Cos., Inc.		150,200		11,979,952
Edwards Lifesciences Corp. (a)		120,400		12,437,320
Henry Schein, Inc. (a)		142,000		11,145,580
IDEXX Laboratories, Inc. (a)		134,000		12,881,420
Intuitive Surgical, Inc. (a)		6,652		3,683,811
				84,361,313
Health Care – Services — 3.1%
AMERIGROUP Corp. (a)		63,000		4,152,330
Covance, Inc. (a)		242,000		11,579,700
DaVita, Inc. (a)		32,900		3,231,109
Laboratory Corporation of America Holdings (a)		140,000		12,965,400
MEDNAX, Inc. (a)		150,500		10,315,270
Universal Health Services, Inc. Class B		166,000		7,164,560
				49,408,369
Insurance — 2.3%
Allied World Assurance Co. Holdings Ltd.		39,000		3,099,330
Arthur J. Gallagher & Co.		113,800		3,990,966
Fidelity National Financial, Inc. Class A		247,400		4,764,924
HCC Insurance Holdings, Inc.		247,000		7,755,800
W.R. Berkley Corp.		240,000		9,340,800
Willis Group Holdings PLC		209,000		7,626,410
				36,578,230

	Number of Shares		Value
Internet — 2.1%
Akamai Technologies, Inc. (a)		163,200	$	5,181,600
Dropbox, Inc. (b)		32,717		296,059
Groupon, Inc. (a)		350,000		3,720,500
Liberty Interactive Corp. Class A (a)		334,000		5,941,860
Netflix, Inc. (a)		87,000		5,956,890
Rackspace Hosting, Inc. (a)		91,000		3,998,540
TIBCO Software, Inc. (a)		279,000		8,347,680
				33,443,129
Iron & Steel — 0.1%
Allegheny Technologies, Inc.		71,200		2,270,568
Leisure Time — 0.6%
Harley-Davidson, Inc.		199,900		9,141,427
Lodging — 2.0%
Choice Hotels International, Inc.		178,000		7,107,540
Marriott International, Inc. Class A		403,000		15,797,600
Starwood Hotels & Resorts Worldwide, Inc.		89,600		4,752,384
Wyndham Worldwide Corp.		72,400		3,818,376
				31,475,900
Machinery – Diversified — 3.1%
Gardner Denver, Inc.		251,000		13,280,410
IDEX Corp.		314,000		12,239,720
Roper Industries, Inc.		228,000		22,476,240
				47,996,370
Manufacturing — 2.9%
Acuity Brands, Inc.		93,000		4,734,630
Colfax Corp. (a)		70,000		1,929,900
Crane Co.		102,000		3,710,760
Pall Corp.		328,800		18,021,528
Textron, Inc.		700,000		17,409,000
				45,805,818
Media — 1.2%
Discovery Communications, Inc. Series A (a)		81,900		4,422,600
Discovery Communications, Inc. Series C (a)		112,000		5,610,080
FactSet Research Systems, Inc.		98,000		9,108,120
				19,140,800
Metal Fabricate & Hardware — 0.1%
Rexnord Corp. (a)		95,100		1,905,804
Mining — 1.3%
Agnico-Eagle Mines Ltd.		244,000		9,872,240
Franco-Nevada Corp.		210,000		9,496,513
Osisko Mining Corp. (a)		184,000		1,265,102
				20,633,855
Oil & Gas — 4.9%
Cabot Oil & Gas Corp.		49,300		1,942,420
Concho Resources, Inc. (a)		56,000		4,766,720

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

84

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Continental Resources, Inc. (a)		102,500	$	6,828,550
EQT Corp.		245,000		13,139,350
Halcon Resources Corp. (a)		303,000		2,860,320
InterOil Corp. (a)		71,400		4,976,580
Kodiak Oil & Gas Corp. (a)		427,200		3,507,312
Laredo Petroleum Holdings, Inc. (a)		93,323		1,941,118
QEP Resources, Inc.		235,000		7,042,950
Range Resources Corp.		227,000		14,044,490
SM Energy Co.		161,000		7,906,710
Southwestern Energy Co. (a)		244,000		7,790,920
				76,747,440
Oil & Gas Services — 0.6%
FMC Technologies, Inc. (a)		105,000		4,119,150
Trican Well Service Ltd.		324,400		3,743,935
Trican Well Service Ltd. (c)		70,600		814,802
				8,677,887
Packaging & Containers — 0.5%
Ball Corp.		75,000		3,078,750
Crown Holdings, Inc. (a)		77,800		2,683,322
Sealed Air Corp.		95,800		1,479,152
				7,241,224
Pharmaceuticals — 6.5%
Alkermes Plc (a)		346,000		5,871,620
Amylin Pharmaceuticals, Inc. (a)		245,000		6,916,350
Catalyst Health Solutions, Inc. (a)		78,200		7,307,008
Cubist Pharmaceuticals, Inc. (a)		70,000		2,653,700
DENTSPLY International, Inc.		488,000		18,451,280
Elan Corp. PLC Sponsored ADR (Ireland) (a)		536,000		7,820,240
Hospira, Inc. (a)		244,000		8,535,120
Mead Johnson Nutrition Co.		48,600		3,912,786
Onyx Pharmaceuticals, Inc. (a)		24,200		1,608,090
Perrigo Co.		16,900		1,993,017
Shire PLC Sponsored ADR (United Kingdom)		35,900		3,101,401
SXC Health Solutions Corp. (a)		175,000		17,361,750
Theravance, Inc. (a)		198,000		4,399,560
Valeant Pharmaceuticals International, Inc. (a)		129,000		5,777,910
Watson Pharmaceuticals, Inc. (a)		87,800		6,496,322
				102,206,154
Real Estate — 0.4%
Jones Lang LaSalle, Inc.		79,000		5,559,230
Retail — 8.3%
Bed Bath & Beyond, Inc. (a)		106,300		6,569,340
CarMax, Inc. (a)		465,000		12,062,100
Casey’s General Stores, Inc.		27,500		1,622,225
Chico’s FAS, Inc.		174,000		2,582,160
Chipotle Mexican Grill, Inc. (a)		16,000		6,079,200
Dick’s Sporting Goods, Inc.		54,100		2,596,800
Dollar General Corp. (a)		419,000		22,789,410

	Number of Shares		Value
Dollar Tree, Inc. (a)		124,000	$	6,671,200
Kohl’s Corp.		262,000		11,918,380
Michael Kors Holdings Ltd. (a)		113,300		4,740,472
MSC Industrial Direct Co., Inc. Class A		32,700		2,143,485
O’Reilly Automotive, Inc. (a)		175,400		14,693,258
Panera Bread Co. Class A (a)		56,000		7,808,640
Shoppers Drug Mart Corp. (c)		38,000		1,532,168
Shoppers Drug Mart Corp.		171,000		6,894,755
Starbucks Corp.		87,000		4,638,840
Tim Hortons, Inc.		239,000		12,580,960
Tractor Supply Co.		22,200		1,843,932
				129,767,325
Savings & Loans — 0.3%
BankUnited, Inc.		213,000		5,022,540
Semiconductors — 5.4%
Altera Corp.		209,000		7,072,560
Atmel Corp. (a)		1,259,000		8,435,300
Avago Technologies Ltd.		242,140		8,692,826
Cree, Inc. (a)		174,000		4,466,580
Fairchild Semiconductor International, Inc. (a)		207,700		2,928,570
Intersil Corp. Class A		314,000		3,344,100
Marvell Technology Group Ltd.		617,000		6,959,760
Maxim Integrated Products, Inc.		76,000		1,948,640
Microchip Technology, Inc.		209,000		6,913,720
NVIDIA Corp. (a)		610,000		8,430,200
PMC-Sierra, Inc. (a)		172,000		1,056,080
Rovi Corp. (a)		90,000		1,765,800
Silicon Laboratories, Inc. (a)		214,000		8,110,600
Teradyne, Inc. (a)		172,000		2,418,320
Xilinx, Inc.		360,000		12,085,200
				84,628,256
Software — 6.4%
Ariba, Inc. (a)		140,000		6,266,400
Autodesk, Inc. (a)		58,500		2,046,915
Cerner Corp. (a)		36,500		3,017,090
Citrix Systems, Inc. (a)		29,600		2,484,624
Concur Technologies, Inc. (a)		144,000		9,806,400
Fiserv, Inc. (a)		218,000		15,743,960
Informatica Corp. (a)		105,000		4,447,800
Intuit, Inc.		77,300		4,587,755
MSCI, Inc. Class A (a)		437,000		14,866,740
Nuance Communications, Inc. (a)		745,000		17,745,900
Red Hat, Inc. (a)		289,000		16,322,720
Servicenow, Inc.		68,000		1,672,800
VeriFone Systems, Inc. (a)		64,300		2,127,687
				101,136,791
Telecommunications — 2.4%
Amdocs Ltd. (a)		453,000		13,463,160
Aruba Networks, Inc. (a)		157,000		2,362,850

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

85

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Crown Castle International Corp. (a)		135,500	$	7,948,430
JDS Uniphase Corp. (a)		1,082,000		11,902,000
NeuStar, Inc. Class A (a)		86,200		2,879,080
				38,555,520
Transportation — 1.8%
Hub Group, Inc. Class A (a)		52,500		1,900,501
J.B. Hunt Transport Services, Inc.		120,000		7,152,000
Kansas City Southern		112,000		7,790,720
United Continental Holdings, Inc. (a)		216,000		5,255,280
UTI Worldwide, Inc.		455,800		6,659,238
				28,757,739
TOTAL COMMON STOCK (Cost $1,199,471,884)				1,482,444,676
PREFERRED STOCK — 0.6%
Internet — 0.5%
Coupons.com (a) (b)		503,736		2,767,198
Dropbox, Inc. Series A (a) (b)		40,629		367,656
Dropbox, Inc. Series A 1 (a) (b)		199,577		1,805,992
Living Social (a) (b)		586,650		3,125,671
				8,066,517
Software — 0.1%
Workday, Inc. (a) (b)		53,886		714,528
TOTAL PREFERRED STOCK (Cost $8,970,534)				8,781,045
TOTAL EQUITIES (Cost $1,208,442,418)				1,491,225,721
MUTUAL FUNDS — 0.7%
Diversified Financial — 0.7%
T. Rowe Price Government Reserve Investment Fund		11,826,940		11,826,940
TOTAL MUTUAL FUNDS (Cost $11,826,940)				11,826,940
TOTAL LONG-TERM INVESTMENTS (Cost $1,220,269,358)				1,503,052,661
	Principal Amount
SHORT-TERM INVESTMENTS — 4.6%
Repurchase Agreement — 4.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (d)	$	71,867,162		71,867,162

	Principal Amount		Value
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/02/12	$	7,113	$	7,113
TOTAL SHORT-TERM INVESTMENTS (Cost $71,874,275)				71,874,275
TOTAL INVESTMENTS — 100.2% (Cost $1,292,143,633) (e)				1,574,926,936
Other Assets/(Liabilities) — (0.2)%				(2,365,356	)
NET ASSETS — 100.0%			$	1,572,561,580

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) This security is valued in good faith under procedures established by the Board of Trustees.

(c) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $2,346,970 or 0.15% of net assets.

(d) Maturity value of $71,867,222. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 4.000%, maturity dates ranging from 12/01/26 – 11/15/40, and an aggregate market value, including accrued interest, of $73,305,869.

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

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

86

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 95.5%
COMMON STOCK — 95.5%
Aerospace & Defense — 1.8%
Aerovironment, Inc. (a)		31,610	$	831,659
Esterline Technologies Corp. (a)		56,912		3,548,463
Moog, Inc. Class A (a)		113,910		4,710,179
Teledyne Technologies, Inc. (a)		82,132		5,063,438
				14,153,739
Airlines — 0.6%
Spirit Airlines, Inc. (a)		152,620		2,969,985
US Airways Group, Inc. (a)		149,400		1,991,502
				4,961,487
Apparel — 2.4%
Deckers Outdoor Corp. (a)		7,110		312,911
Steven Madden Ltd. (a)		52,925		1,680,369
Under Armour, Inc. Class A (a)		179,081		16,919,573
				18,912,853
Automotive & Parts — 0.9%
Dana Holding Corp.		212,200		2,718,282
Meritor, Inc. (a)		77,880		406,534
Tenneco, Inc. (a)		140,131		3,758,313
				6,883,129
Banks — 2.8%
BancorpSouth, Inc.		147,880		2,147,218
Boston Private Financial Holdings, Inc.		329,720		2,944,399
East West Bancorp, Inc.		12,700		297,942
First Horizon National Corp.		263,780		2,281,697
International Bancshares Corp.		127,710		2,492,899
MB Financial, Inc.		105,794		2,278,803
National Penn Bancshares, Inc.		238,280		2,280,340
Pinnacle Financial Partners, Inc. (a)		176,830		3,449,953
Popular, Inc. (a)		105,600		1,754,016
PrivateBancorp, Inc.		68,810		1,015,636
Western Alliance Bancorp (a)		141,330		1,322,849
				22,265,752
Beverages — 0.9%
The Boston Beer Co., Inc. Class A (a)		56,754		6,867,234
Biotechnology — 1.5%
Arena Pharmaceuticals, Inc. (a)		80,850		806,883
Exelixis, Inc. (a)		17,900		98,987
Immunogen, Inc. (a)		89,990		1,510,032
Incyte Corp. (a)		121,780		2,764,406
Momenta Pharmaceuticals, Inc. (a)		69,000		932,880
NPS Pharmaceuticals, Inc. (a)		152,160		1,310,098
Seattle Genetics, Inc. (a)		175,580		4,457,976
				11,881,262

	Number of Shares		Value
Building Materials — 0.6%
Armstrong World Industries, Inc.		34,500	$	1,696,020
Lennox International, Inc.		39,600		1,846,548
Trex Co., Inc. (a)		51,201		1,540,638
				5,083,206
Chemicals — 1.6%
American Vanguard Corp.		253,900		6,751,201
Ferro Corp. (a)		379,220		1,820,256
Methanex Corp.		155,035		4,316,174
				12,887,631
Commercial Services — 3.1%
The Advisory Board Co. (a)		48,090		2,384,783
AerCap Holdings NV (a)		219,540		2,476,411
American Public Education, Inc. (a)		8,590		274,880
AVEO Pharmaceuticals, Inc. (a)		111,200		1,352,192
Convergys Corp.		216,110		3,191,945
CoStar Group, Inc. (a)		12,200		990,640
Forrester Research, Inc.		68,140		2,307,220
Huron Consulting Group, Inc. (a)		50,580		1,600,857
PAREXEL International Corp. (a)		105,770		2,985,887
Rent-A-Center, Inc.		46,940		1,583,756
Wright Express Corp. (a)		77,390		4,776,511
				23,925,082
Computers — 6.1%
Cadence Design Systems, Inc. (a)		263,480		2,895,645
LivePerson, Inc. (a)		145,180		2,767,131
LogMeIn, Inc. (a)		281,555		8,593,058
MICROS Systems, Inc. (a)		251,221		12,862,515
Quantum Corp. (a)		686,560		1,393,717
Stratasys, Inc. (a)		250,994		12,436,753
Sykes Enterprises, Inc. (a)		260,357		4,155,298
Syntel, Inc.		39,450		2,394,615
				47,498,732
Cosmetics & Personal Care — 0.3%
Elizabeth Arden, Inc. (a)		63,150		2,450,852
Distribution & Wholesale — 0.1%
WESCO International, Inc. (a)		11,900		684,845
Diversified Financial — 6.1%
Financial Engines, Inc. (a)		356,940		7,656,363
Greenhill & Co., Inc.		257,877		9,193,315
Investment Technology Group, Inc. (a)		167,900		1,544,680
Knight Capital Group, Inc. Class A (a)		140,270		1,674,824
Manning & Napier, Inc.		12,180		173,321
National Financial Partners Corp. (a)		128,030		1,715,602
Netspend Holdings, Inc. (a)		66,967		615,427
Portfolio Recovery Associates, Inc. (a)		241,936		22,079,079

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

87

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Waddell & Reed Financial, Inc. Class A		70,440	$	2,132,923
WisdomTree Investments, Inc. (a)		122,473		804,648
				47,590,182
Electrical Components & Equipment — 0.2%
Universal Display Corp. (a)		39,050		1,403,457
Electronics — 2.2%
Coherent, Inc. (a)		40,490		1,753,217
Faro Technologies, Inc. (a)		222,055		9,344,074
Jabil Circuit, Inc.		202,560		4,118,045
Rogers Corp. (a)		53,400		2,115,174
				17,330,510
Entertainment — 0.7%
Churchill Downs, Inc.		52,770		3,102,348
DreamWorks Animation SKG, Inc. Class A (a)		122,110		2,327,417
				5,429,765
Environmental Controls — 1.3%
Waste Connections, Inc.		335,400		10,035,168
Forest Products & Paper — 0.3%
KapStone Paper and Packaging Corp. (a)		127,120		2,014,852
Gas — 0.3%
Southwest Gas Corp.		47,600		2,077,740
Health Care – Products — 6.8%
ABIOMED, Inc. (a)		65,040		1,484,213
Bruker Corp. (a)		103,600		1,378,916
Cyberonics, Inc. (a)		357,100		16,048,074
Dexcom, Inc. (a)		928,000		12,026,880
HeartWare International, Inc. (a)		31,760		2,820,288
Insulet Corp. (a)		212,740		4,546,254
Volcano Corp. (a)		537,555		15,400,950
				53,705,575
Health Care – Services — 1.0%
Coventry Health Care, Inc.		57,280		1,820,931
Health Management Associates, Inc. Class A (a)		442,580		3,474,253
HealthSouth Corp. (a)		10,200		237,252
Kindred Healthcare, Inc. (a)		252,840		2,485,417
				8,017,853
Home Builders — 1.3%
Meritage Home Corp. (a)		135,930		4,613,464
PulteGroup, Inc. (a)		192,740		2,062,318
Standard Pacific Corp. (a)		506,400		3,134,616
				9,810,398
Household Products — 0.2%
Tumi Holdings, Inc. (a)		79,520		1,391,600

	Number of Shares		Value
Insurance — 0.6%
eHealth, Inc. (a)		138,122	$	2,225,146
Protective Life Corp.		74,627		2,194,780
				4,419,926
Internet — 6.3%
Bazaarvoice, Inc. (a)		16,740		304,668
BroadSoft, Inc. (a)		300,118		8,691,417
Constant Contact, Inc. (a)		80,370		1,437,016
DealerTrack Holdings, Inc. (a)		61,805		1,860,949
Dice Holdings, Inc. (a)		252,400		2,370,036
Dropbox, Inc. (b)		33,185		300,294
HomeAway, Inc. (a)		58,210		1,265,485
IAC/InterActiveCorp		114,290		5,211,624
OpenTable, Inc. (a)		167,300		7,530,173
Sapient Corp.		1,179,300		11,875,551
Shutterfly, Inc. (a)		89,234		2,738,592
Splunk, Inc. (a)		11,800		331,580
TripAdvisor, Inc. (a)		39,980		1,786,706
ValueClick, Inc. (a)		133,340		2,185,443
Web.com Group, Inc. (a)		101,970		1,868,090
				49,757,624
Leisure Time — 1.1%
Brunswick Corp.		28,861		641,291
LIFE TIME FITNESS, Inc. (a)		170,100		7,911,351
				8,552,642
Machinery – Diversified — 4.0%
DXP Enterprises, Inc. (a)		24,845		1,030,819
Gardner Denver, Inc.		171,600		9,079,356
The Middleby Corp. (a)		6,315		629,037
Sauer-Danfoss, Inc.		27,440		958,479
Wabtec Corp.		251,977		19,656,726
				31,354,417
Manufacturing — 3.2%
Acuity Brands, Inc.		203,490		10,359,676
Colfax Corp. (a)		28,370		782,161
Fabrinet (a)		129,280		1,622,464
FreightCar America, Inc.		66,794		1,534,258
Hexcel Corp. (a)		149,600		3,858,184
Polypore International, Inc. (a)		66,960		2,704,514
Proto Labs, Inc. (a)		155,300		4,466,428
				25,327,685
Media — 1.4%
FactSet Research Systems, Inc.		116,244		10,803,717
Oil & Gas — 1.9%
Atwood Oceanics, Inc. (a)		67,150		2,540,956
Carrizo Oil & Gas, Inc. (a)		63,730		1,498,292
Comstock Resources, Inc. (a)		105,650		1,734,773
Lone Pine Resources, Inc. (a)		238,600		656,150
Patterson-UTI Energy, Inc.		124,900		1,818,544
Rex Energy Corp. (a)		181,610		2,035,848

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

88

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Rosetta Resources, Inc. (a)		96,715	$	3,543,638
Tourmaline Oil Corp. (a)		42,600		1,124,730
				14,952,931
Oil & Gas Services — 3.5%
Core Laboratories NV		67,483		7,821,280
Dril-Quip, Inc. (a)		269,489		17,675,784
Flotek Industries, Inc. (a)		14,560		135,990
ION Geophysical Corp. (a)		300,100		1,977,659
Tidewater, Inc.		2,895		134,212
				27,744,925
Packaging & Containers — 1.0%
Graphic Packaging Holding Co. (a)		517,340		2,845,370
Silgan Holdings, Inc.		122,070		5,211,168
				8,056,538
Pharmaceuticals — 5.3%
Algeta ASA (a)		30,945		885,486
Alkermes Plc (a)		107,500		1,824,275
Amylin Pharmaceuticals, Inc. (a)		190,610		5,380,920
Auxilium Pharmaceuticals, Inc. (a)		42,990		1,156,001
AVANIR Pharmaceuticals, Inc. (a)		131,000		513,520
Cubist Pharmaceuticals, Inc. (a)		21,690		822,268
Ironwood Pharmaceuticals, Inc. (a)		98,200		1,353,196
The Medicines Co. (a)		64,360		1,476,418
Neogen Corp. (a)		111,700		5,160,540
Onyx Pharmaceuticals, Inc. (a)		25,310		1,681,850
Optimer Pharmaceuticals, Inc. (a)		171,310		2,658,731
Questcor Pharmaceuticals, Inc. (a)		158,200		8,422,568
Rigel Pharmaceuticals, Inc. (a)		52,800		491,040
Salix Pharmaceuticals Ltd. (a)		105,690		5,753,764
SXC Health Solutions Corp. (a)		40,739		4,041,716
				41,622,293
Pipelines — 0.5%
SemGroup Corp. Class A (a)		115,100		3,675,143
Real Estate Investment Trusts (REITS) — 1.5%
Coresite Realty Corp.		77,251		1,994,621
LaSalle Hotel Properties		27,590		803,973
MFA Financial, Inc.		267,760		2,112,626
Pebblebrook Hotel Trust		84,940		1,979,951
PS Business Parks, Inc.		31,200		2,112,864
Sunstone Hotel Investors, Inc. (a)		262,630		2,886,304
				11,890,339
Retail — 7.8%
AFC Enterprises, Inc. (a)		78,682		1,820,701
ANN, Inc. (a)		68,900		1,756,261
BJ’s Restaurants, Inc. (a)		229,400		8,717,200
Buffalo Wild Wings, Inc. (a)		21,050		1,823,772
Casey’s General Stores, Inc.		27,970		1,649,950
The Cheesecake Factory, Inc. (a)		157,659		5,038,782
The Children’s Place Retail Store, Inc. (a)		41,810		2,083,392

	Number of Shares		Value
Columbia Sportswear Co.		39,393	$	2,112,253
Denny’s Corp. (a)		497,150		2,207,346
DSW, Inc. Class A		34,960		1,901,824
Express, Inc. (a)		133,090		2,418,245
Fifth & Pacific Cos., Inc. (a)		246,600		2,646,018
GNC Holdings, Inc. Class A		69,850		2,738,120
Hanesbrands, Inc. (a)		108,806		3,017,190
Hibbett Sports, Inc. (a)		40,880		2,359,185
HSN, Inc.		46,800		1,888,380
Ignite Restaurant Group, Inc. (a)		9,300		168,423
Lumber Liquidators Holdings, Inc. (a)		29,150		984,979
Mattress Firm Holding Corp. (a)		27,335		828,524
Panera Bread Co. Class A (a)		53,900		7,515,816
Red Robin Gourmet Burgers, Inc. (a)		3,829		116,823
Rue21, Inc. (a)		60,330		1,522,729
Urban Outfitters, Inc. (a)		44,960		1,240,446
Zumiez, Inc. (a)		124,346		4,924,102
				61,480,461
Semiconductors — 4.1%
Cavium, Inc. (a)		171,900		4,813,200
Cypress Semiconductor Corp. (a)		286,930		3,793,215
Fairchild Semiconductor International, Inc. (a)		151,270		2,132,907
Hittite Microwave Corp. (a)		158,000		8,076,960
Lattice Semiconductor Corp. (a)		348,460		1,313,694
Microsemi Corp. (a)		111,090		2,054,054
Monolithic Power Systems, Inc. (a)		106,700		2,120,129
Nanometrics, Inc. (a)		107,730		1,654,733
ON Semiconductor Corp. (a)		265,130		1,882,423
Skyworks Solutions, Inc. (a)		98,760		2,703,061
Ultratech, Inc. (a)		46,686		1,470,609
				32,014,985
Software — 5.4%
Concur Technologies, Inc. (a)		30,970		2,109,057
Guidewire Software, Inc. (a)		20,120		565,774
Imperva, Inc. (a)		46,590		1,342,724
Jive Software, Inc. (a)		154,550		3,244,005
MicroStrategy, Inc. Class A (a)		15,090		1,959,587
Parametric Technology Corp. (a)		21,970		460,491
Pegasystems, Inc.		111,530		3,678,260
Solera Holdings, Inc.		169,300		7,075,047
Take-Two Interactive Software, Inc. (a)		169,770		1,606,024
Tangoe, Inc. (a)		50,680		1,079,991
TiVo, Inc. (a)		403,160		3,334,133
Tyler Technologies, Inc. (a)		154,100		6,217,935
The Ultimate Software Group, Inc. (a)		104,580		9,320,170
				41,993,198

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

89

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Storage & Warehousing — 0.3%
Mobile Mini, Inc. (a)		146,526	$	2,109,974
Telecommunications — 2.2%
Ciena Corp. (a)		127,700		2,090,449
DigitalGlobe, Inc. (a)		131,588		1,994,874
Finisar Corp. (a)		466,940		6,985,422
Ixia (a)		150,340		1,807,087
tw telecom, Inc. (a)		96,500		2,476,190
Vonage Holdings Corp. (a)		872,790		1,754,308
				17,108,330
Toys, Games & Hobbies — 0.1%
LeapFrog Enterprises, Inc. (a)		111,544		1,144,442
Transportation — 2.2%
Con-way, Inc.		58,160		2,100,158
GulfMark Offshore, Inc. Class A (a)		105,518		3,591,833
Hub Group, Inc. Class A (a)		57,400		2,077,880
J.B. Hunt Transport Services, Inc.		62,350		3,716,060
Landstar System, Inc.		66,600		3,444,552
Old Dominion Freight Line, Inc. (a)		61,535		2,663,850
				17,594,333
TOTAL COMMON STOCK (Cost $677,297,157)				748,866,807
TOTAL EQUITIES (Cost $677,297,157)				748,866,807
MUTUAL FUNDS — 1.5%
Diversified Financial — 1.5%
iShares Russell 2000 Growth Index Fund		93,640		8,565,251
iShares Russell 2000 Index Fund		37,340		2,974,131
TOTAL MUTUAL FUNDS (Cost $11,536,421)				11,539,382
TOTAL LONG-TERM INVESTMENTS (Cost $688,833,578)				760,406,189

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.5%
Repurchase Agreement — 3.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (c)	$	27,899,063	$	27,899,063
TOTAL SHORT-TERM INVESTMENTS (Cost $27,899,063)				27,899,063
TOTAL INVESTMENTS — 100.5% (Cost $716,732,641) (d)				788,305,252
Other Assets/(Liabilities) — (0.5)%				(4,101,971	)
NET ASSETS — 100.0%			$	784,203,281

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) This security is valued in good faith under procedures established by the Board of Trustees.

(c) Maturity value of $27,899,086. Collateralized by U.S. Government Agency obligations with rates ranging from 2.420% – 3.500%, maturity dates ranging from 12/01/26 – 11/25/38, and an aggregate market value, including accrued interest, of $28,463,599.

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

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

90

MassMutual Select Small Company Growth Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.3%
COMMON STOCK — 96.3%
Advertising — 0.1%
Marchex, Inc. Class B		14,570	$	52,598
Aerospace & Defense — 1.6%
Teledyne Technologies, Inc. (a)		3,503		215,960
Triumph Group, Inc.		12,095		680,586
				896,546
Airlines — 1.0%
Allegiant Travel Co. (a)		3,140		218,795
JetBlue Airways Corp. (a)		63,945		338,909
				557,704
Apparel — 1.6%
Crocs, Inc. (a)		5,080		82,042
Oxford Industries, Inc.		5,820		260,154
Steven Madden Ltd. (a)		17,019		540,353
				882,549
Automotive & Parts — 0.9%
Meritor, Inc. (a)		32,930		171,895
WABCO Holdings, Inc. (a)		6,556		347,009
				518,904
Banks — 1.2%
Citizens Republic Bancorp, Inc. (a)		17,909		306,781
Prosperity Bancshares, Inc.		3,760		158,033
UMB Financial Corp.		4,432		227,051
				691,865
Biotechnology — 2.5%
Affymax, Inc. (a)		11,360		146,317
Alexion Pharmaceuticals, Inc. (a)		3,080		305,844
ARIAD Pharmaceuticals, Inc. (a)		10,530		181,221
Exact Sciences Corp. (a)		11,380		121,994
Halozyme Therapeutics, Inc. (a)		27,289		241,781
Incyte Corp. (a)		4,480		101,696
NPS Pharmaceuticals, Inc. (a)		12,740		109,691
Seattle Genetics, Inc. (a)		8,355		212,133
				1,420,677
Building Materials — 1.1%
Drew Industries, Inc. (a)		4,040		112,514
Lennox International, Inc.		4,418		206,012
Texas Industries, Inc.		7,122		277,829
				596,355
Chemicals — 2.4%
Georgia Gulf Corp.		6,205		159,282
Huntsman Corp.		33,781		437,126
Innophos Holdings, Inc.		2,960		167,122
Intrepid Potash, Inc. (a)		8,118		184,766
Quaker Chemical Corp.		7,999		369,634
				1,317,930

	Number of Shares		Value
Commercial Services — 6.6%
The Corporate Executive Board Co.		6,757	$	276,226
Euronet Worldwide, Inc. (a)		10,770		184,382
Exlservice Holdings, Inc. (a)		6,990		172,234
Exponent, Inc. (a)		2,130		112,528
The Geo Group, Inc. (a)		19,665		446,789
HMS Holdings Corp. (a)		4,860		161,887
MAXIMUS, Inc.		4,990		258,232
Monster Worldwide, Inc. (a)		82,206		698,751
PAREXEL International Corp. (a)		12,639		356,799
Rent-A-Center, Inc.		9,460		319,180
RPX Corp. (a)		12,670		181,815
Sotheby’s		7,255		242,027
TrueBlue, Inc. (a)		6,680		103,406
Zillow, Inc. (a)		4,540		175,380
				3,689,636
Computers — 2.4%
Fortinet, Inc. (a)		21,591		501,343
Mentor Graphics Corp. (a)		23,160		347,400
RealD, Inc. (a)		13,950		208,692
Riverbed Technology, Inc. (a)		16,910		273,096
				1,330,531
Cosmetics & Personal Care — 0.8%
Elizabeth Arden, Inc. (a)		6,210		241,010
Inter Parfums, Inc.		11,780		203,441
				444,451
Distribution & Wholesale — 0.3%
MRC Global, Inc. (a)		7,750		164,920
Diversified Financial — 0.6%
Duff & Phelps Corp. Class A		17,536		254,272
Encore Capital Group, Inc. (a)		3,530		104,559
				358,831
Electrical Components & Equipment — 0.6%
Universal Display Corp. (a)		8,748		314,403
Electronics — 3.6%
Analogic Corp.		2,310		143,220
Coherent, Inc. (a)		10,327		447,159
Cymer, Inc. (a)		5,678		334,718
InvenSense, Inc. (a)		15,835		178,936
Oyo Geospace Corp. (a)		7,232		650,808
TTM Technologies, Inc. (a)		12,380		116,496
Vishay Intertechnology, Inc. (a)		18,180		171,437
				2,042,774
Engineering & Construction — 0.8%
EMCOR Group, Inc.		7,990		222,282
McDermott International, Inc. (a)		19,057		212,295
				434,577

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

91

MassMutual Select Small Company Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Entertainment — 4.1%
Bally Technologies, Inc. (a)		11,859	$	553,341
DreamWorks Animation SKG, Inc. Class A (a)		12,320		234,819
Lions Gate Entertainment Corp. (a)		16,220		239,083
Pinnacle Entertainment, Inc. (a)		22,365		215,151
Shuffle Master, Inc. (a)		54,257		748,746
Six Flags Entertainment Corp.		6,120		331,582
				2,322,722
Environmental Controls — 1.0%
Darling International, Inc. (a)		9,970		164,405
Waste Connections, Inc.		13,657		408,618
				573,023
Foods — 2.1%
The Chefs’ Warehouse, Inc. (a)		5,950		107,397
The Fresh Market, Inc. (a)		9,981		535,281
Harris Teeter Supermarkets, Inc.		5,030		206,180
Smart Balance, Inc. (a)		11,910		111,835
United Natural Foods, Inc. (a)		4,170		228,766
				1,189,459
Hand & Machine Tools — 0.9%
Regal-Beloit Corp.		8,246		513,396
Health Care – Products — 4.8%
ABIOMED, Inc. (a)		4,900		111,818
Accuray, Inc. (a)		15,860		108,482
ArthroCare Corp. (a)		16,394		480,016
Bruker Corp. (a)		24,566		326,973
Cepheid, Inc. (a)		16,162		723,250
The Cooper Cos., Inc.		5,045		402,389
Merit Medical Systems, Inc. (a)		11,600		160,196
Natus Medical, Inc. (a)		10,630		123,521
Thoratec Corp. (a)		8,353		280,494
				2,717,139
Health Care – Services — 2.1%
Acadia Healthcare Co., Inc. (a)		6,840		119,973
Air Methods Corp. (a)		6,227		611,803
Centene Corp. (a)		15,480		466,877
				1,198,653
Home Builders — 0.5%
Thor Industries, Inc.		9,560		262,040
Home Furnishing — 1.0%
DTS, Inc. (a)		13,069		340,839
Universal Electronics, Inc. (a)		16,911		222,718
				563,557
Household Products — 0.7%
Jarden Corp.		4,410		185,308
SodaStream International Ltd. (a)		4,900		200,753
				386,061

	Number of Shares		Value
Insurance — 0.7%
Validus Holdings Ltd.		12,880	$	412,546
Internet — 2.3%
Comscore, Inc. (a)		7,620		125,425
OpenTable, Inc. (a)		3,010		135,480
Responsys, Inc. (a)		23,210		281,305
Sapient Corp.		23,652		238,176
TIBCO Software, Inc. (a)		13,355		399,582
Websense, Inc. (a)		5,460		102,266
				1,282,234
Investment Companies — 0.3%
KKR Financial Holdings LLC		18,380		156,598
Lodging — 0.4%
Orient-Express Hotels Ltd. (a)		25,475		213,226
Machinery – Construction & Mining — 0.5%
Terex Corp. (a)		16,512		294,409
Machinery – Diversified — 0.8%
Applied Industrial Technologies, Inc.		4,090		150,716
The Middleby Corp. (a)		1,860		185,275
Twin Disc, Inc.		5,292		97,849
				433,840
Manufacturing — 1.8%
Colfax Corp. (a)		6,819		188,000
Crane Co.		5,020		182,627
Hexcel Corp. (a)		23,691		610,991
				981,618
Media — 0.6%
Acacia Research (a)		9,067		337,655
Metal Fabricate & Hardware — 0.8%
Haynes International, Inc.		3,620		184,403
Northwest Pipe Co. (a)		11,933		289,494
				473,897
Mining — 1.5%
Allied Nevada Gold Corp. (a)		5,330		151,265
RTI International Metals, Inc. (a)		18,480		418,202
Titanium Metals Corp.		24,953		282,219
				851,686
Oil & Gas — 2.4%
Gulfport Energy Corp. (a)		19,386		399,933
Oasis Petroleum, Inc. (a)		27,249		658,881
Ocean Rig UDW, Inc. (a)		10,607		143,300
PDC Energy, Inc. (a)		5,730		140,500
				1,342,614
Oil & Gas Services — 2.3%
Dril-Quip, Inc. (a)		6,970		457,162
Lufkin Industries, Inc.		12,693		689,484
Oil States International, Inc. (a)		2,480		164,176
				1,310,822

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

92

MassMutual Select Small Company Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Pharmaceuticals — 9.9%
Alnylam Pharmaceuticals, Inc. (a)		9,520	$	111,098
BioMarin Pharmaceutical, Inc. (a)		4,817		190,657
Catalyst Health Solutions, Inc. (a)		9,694		905,807
Cubist Pharmaceuticals, Inc. (a)		6,630		251,343
Jazz Pharmaceuticals Plc (a)		4,990		224,600
Nektar Therapeutics (a)		21,300		171,891
Onyx Pharmaceuticals, Inc. (a)		9,836		653,602
Pharmacyclics, Inc. (a)		4,310		235,369
Questcor Pharmaceuticals, Inc. (a)		7,020		373,745
Salix Pharmaceuticals Ltd. (a)		12,939		704,399
Sirona Dental Systems, Inc. (a)		9,844		443,078
SXC Health Solutions Corp. (a)		3,270		324,417
Theravance, Inc. (a)		15,634		347,388
United Therapeutics Corp. (a)		10,160		501,701
ViroPharma Inc (a)		5,290		125,373
				5,564,468
Real Estate Investment Trusts (REITS) — 1.3%
Hudson Pacific Properties, Inc.		2,820		49,096
LaSalle Hotel Properties		3,260		94,996
Mid-America Apartment Communities, Inc.		3,080		210,179
Redwood Trust, Inc.		14,793		184,617
Two Harbors Investment Corp.		19,065		197,514
				736,402
Retail — 9.5%
Asbury Automotive Group, Inc. (a)		4,070		96,418
BJ’s Restaurants, Inc. (a)		12,568		477,584
Buffalo Wild Wings, Inc. (a)		1,790		155,086
Caribou Coffee Co., Inc. (a)		9,570		123,549
Casey’s General Stores, Inc.		4,060		239,500
Cash America International, Inc.		10,134		446,301
The Cheesecake Factory, Inc. (a)		5,890		188,244
Chico’s FAS, Inc.		18,707		277,612
EZCORP, Inc. Class A (a)		5,900		138,414
The Finish Line, Inc. Class A		10,210		213,491
Francesca’s Holdings Corp. (a)		8,020		216,620
Fred’s, Inc. Class A		3,910		59,784
Genesco, Inc. (a)		19,373		1,165,286
Lumber Liquidators Holdings, Inc. (a)		4,400		148,676
Papa John’s International, Inc. (a)		2,960		140,807
Sally Beauty Holdings, Inc. (a)		5,994		154,286
Select Comfort Corp. (a)		7,900		165,268
Tilly’s, Inc. (a)		2,770		44,459
Tractor Supply Co.		1,140		94,688
Vitamin Shoppe, Inc. (a)		14,252		782,862
				5,328,935
Savings & Loans — 0.2%
Oritani Financial Corp.		7,760		111,666
Semiconductors — 5.4%
Applied Micro Circuits Corp. (a)		14,330		81,968

	Number of Shares		Value
ATMI, Inc. (a)		11,970	$	246,223
Cavium, Inc. (a)		12,315		344,820
Cirrus Logic, Inc. (a)		3,640		108,763
Diodes, Inc. (a)		6,980		131,015
Entegris, Inc. (a)		25,310		216,147
EZchip Semiconductor Ltd. (a)		7,931		317,557
IPG Photonics Corp. (a)		7,689		335,163
Micrel, Inc.		11,540		109,976
PMC-Sierra, Inc. (a)		39,950		245,293
Silicon Image, Inc. (a)		47,780		197,809
Teradyne, Inc. (a)		20,010		281,341
Veeco Instruments, Inc. (a)		9,000		309,240
Volterra Semiconductor Corp. (a)		5,300		124,285
				3,049,600
Software — 5.2%
Allscripts Healthcare Solutions, Inc. (a)		17,788		194,423
ANSYS, Inc. (a)		5,595		353,101
Compuware Corp. (a)		47,718		443,300
Informatica Corp. (a)		6,815		288,683
MedAssets, Inc. (a)		21,532		289,605
Opnet Technologies, Inc.		13,024		346,308
QLIK Technologies, Inc. (a)		15,499		342,838
Quality Systems, Inc.		12,835		353,091
RADWARE Ltd. (a)		4,900		187,621
Solarwinds, Inc. (a)		3,109		135,428
				2,934,398
Telecommunications — 2.6%
ADTRAN, Inc.		3,640		109,892
Arris Group, Inc. (a)		16,580		230,628
Ciena Corp. (a)		11,110		181,871
NETGEAR, Inc. (a)		8,630		297,821
NICE Systems Ltd. Sponsored ADR (Israel) (a)		17,531		641,634
				1,461,846
Transportation — 2.5%
Atlas Air Worldwide Holdings, Inc. (a)		5,217		226,992
Con-way, Inc.		4,400		158,884
Forward Air Corp.		5,550		179,098
Landstar System, Inc.		9,105		470,911
Quality Distribution, Inc. (a)		18,184		201,661
Werner Enterprises, Inc.		6,570		156,957
				1,394,503
TOTAL COMMON STOCK (Cost $48,847,502)				54,114,264
TOTAL EQUITIES (Cost $48,847,502)				54,114,264

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

93

MassMutual Select Small Company Growth Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
MUTUAL FUNDS — 1.6%
Diversified Financial — 1.6%
iShares Russell 2000 Growth Index Fund		9,710	$	888,174
TOTAL MUTUAL FUNDS (Cost $858,677)				888,174
TOTAL LONG-TERM INVESTMENTS (Cost $49,706,179)				55,002,438
	Principal Amount
SHORT-TERM INVESTMENTS — 6.7%
Repurchase Agreement — 6.7%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	3,783,585		3,783,585
TOTAL SHORT-TERM INVESTMENTS (Cost $3,783,585)				3,783,585
TOTAL INVESTMENTS — 104.6% (Cost $53,489,764) (c)				58,786,023
Other Assets/(Liabilities) — (4.6)%				(2,599,570	)
NET ASSETS — 100.0%			$	56,186,453

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $3,783,588. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 12/01/26 – 11/25/38, and an aggregate market value, including accrued interest, of $3,860,695.

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

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

94

MassMutual Select Diversified International Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.2%
COMMON STOCK — 96.0%
Aerospace & Defense — 1.4%
European Aeronautic Defence and Space Co.		54,081	$	1,917,854
Agriculture — 3.3%
British American Tobacco PLC		39,341		2,002,391
Japan Tobacco, Inc.		90,800		2,690,727
				4,693,118
Auto Manufacturers — 4.3%
Bayerische Motoren Werke AG		14,805		1,072,739
Honda Motor Co. Ltd.		90,600		3,156,017
Nissan Motor Co. Ltd.		197,000		1,865,728
				6,094,484
Automotive & Parts — 0.6%
Bridgestone Corp.		39,800		912,923
Banks — 16.5%
Australia & New Zealand Banking Group Ltd.		136,816		3,105,872
Banco Bilbao Vizcaya Argentaria SA		166,833		1,202,424
Barclays PLC		723,275		1,851,434
BNP Paribas		52,262		2,017,511
China Construction Bank Corp. Class H		2,127,000		1,466,511
Deutsche Bank AG		36,845		1,339,068
HSBC Holdings PLC		537,474		4,739,148
Nordea Bank AB		248,368		2,150,245
Sumitomo Mitsui Financial Group, Inc.		117,700		3,882,790
Swedbank AB		50,083		791,999
UniCredit SpA (a)		149,487		566,445
				23,113,447
Beverages — 1.5%
Asahi Group Holdings Ltd.		43,700		938,570
SABMiller PLC		30,664		1,231,691
				2,170,261
Building Materials — 0.9%
Compagnie de Saint-Gobain		34,343		1,270,844
Chemicals — 2.2%
BASF SE		23,183		1,610,955
Solvay SA Class A		14,468		1,431,358
				3,042,313
Commercial Services — 0.7%
Experian PLC		64,972		917,806
Computers — 1.3%
Fujitsu LTD		383,000		1,835,221

	Number of Shares		Value
Distribution & Wholesale — 3.5%
Marubeni Corp.		181,000	$	1,204,690
Mitsui & Co. Ltd.		76,600		1,136,494
Sumitomo Corp.		185,900		2,600,835
				4,942,019
Diversified Financial — 1.9%
African Bank Investments Ltd.		200,028		889,518
Credit Suisse Group (a)		34,292		626,473
Deutsche Boerse AG		1,432		77,288
ORIX Corp.		11,530		1,073,193
				2,666,472
Electric — 1.2%
E.ON AG		77,471		1,668,760
Electrical Components & Equipment — 4.5%
Hitachi Ltd.		449,000		2,761,404
Mitsubishi Electric Corp.		170,000		1,416,873
Schneider Electric SA		39,113		2,179,325
				6,357,602
Electronics — 0.6%
Hon Hai Precision Industry Co. Ltd.		289,600		873,246
Food Services — 1.4%
Sodexo		25,576		1,992,842
Foods — 0.9%
Unilever NV		37,234		1,246,237
Forest Products & Paper — 1.2%
UPM-Kymmene OYJ		152,053		1,723,328
Gas — 3.7%
Centrica PLC		527,719		2,630,775
Gaz De France		34,280		817,884
Snam Rete Gas SpA		404,102		1,801,488
				5,250,147
Holding Company – Diversified — 1.4%
Hutchison Whampoa Ltd.		220,000		1,902,755
Insurance — 5.6%
Allianz SE		26,420		2,656,659
ING Groep NV (a)		136,544		921,239
Prudential PLC		188,736		2,186,768
Swiss Re Ltd. (a)		33,980		2,134,720
				7,899,386
Iron & Steel — 0.8%
ArcelorMittal		68,510		1,058,347
Lodging — 1.3%
Intercontinental Hotels Group PLC		73,000		1,764,231
Machinery – Construction & Mining — 0.7%
Rio Tinto PLC		19,824		946,781
Media — 0.9%
Pearson PLC		61,313		1,217,745

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

95

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

	Number of Shares		Value
Mining — 0.7%
First Quantum Minerals Ltd.		53,735	$	950,034
Office Equipment/Supplies — 1.2%
Canon, Inc.		42,400		1,697,813
Oil & Gas — 10.1%
BP PLC		189,222		1,267,818
CNOOC Ltd.		830,000		1,674,351
ENI SpA		186,028		3,970,090
JX Holdings, Inc.		224,800		1,154,796
Repsol YPF SA		68,988		1,109,202
Royal Dutch Shell PLC Class A		149,895		5,049,403
				14,225,660
Pharmaceuticals — 8.2%
Bayer AG		43,118		3,109,179
GlaxoSmithKline PLC		84,524		1,916,653
Roche Holding AG		9,483		1,637,026
Sanofi		48,260		3,659,607
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		29,156		1,149,913
				11,472,378
Real Estate — 0.5%
Sino Land Co. Ltd.		444,000		672,817
Retail — 1.3%
Kingfisher PLC		402,713		1,820,873
Semiconductors — 1.5%
Samsung Electronics Co., Ltd.		2,010		2,131,048
Telecommunications — 8.2%
KT Corp. Sponsored ADR (Republic of Korea)		63,693		839,474
Nippon Telegraph & Telephone Corp.		35,100		1,630,822
Telecom Corp. of New Zealand Ltd.		323,861		621,918
Telefonaktiebolaget LM Ericsson Class B		201,334		1,837,157
Telenor ASA		54,366		906,691
Vodafone Group PLC		1,994,805		5,604,675
				11,440,737
Transportation — 1.5%
East Japan Railway		17,400		1,092,443
Yamato Holdings Co. Ltd.		65,300		1,051,369
				2,143,812
Water — 0.5%
Suez Environnement Co.		62,081		668,271
TOTAL COMMON STOCK (Cost $143,192,372)				134,701,612

	Number of Shares		Value
PREFERRED STOCK — 1.2%
Auto Manufacturers — 1.2%
Volkswagen AG 1.720%		10,142	$	1,607,989
TOTAL PREFERRED STOCK (Cost $1,831,593)				1,607,989
TOTAL EQUITIES (Cost $145,023,965)				136,309,601
RIGHTS — 0.0%
Oil & Gas — 0.0%
Repsol YPF SA, Expires 7/12/12, Strike 0.00 (a)		68,988		48,366
TOTAL RIGHTS (Cost $47,697)				48,366
TOTAL LONG-TERM INVESTMENTS (Cost $145,071,662)				136,357,967
	Principal Amount
SHORT-TERM INVESTMENTS — 1.2%
Repurchase Agreement — 1.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	1,629,440		1,629,440
TOTAL SHORT-TERM INVESTMENTS (Cost $1,629,440)				1,629,440
TOTAL INVESTMENTS — 98.4% (Cost $146,701,102) (c)				137,987,407
Other Assets/(Liabilities) — 1.6%				2,274,297
NET ASSETS — 100.0%			$	140,261,704

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $1,629,441. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 12/01/26, and an aggregate market value, including accrued interest, of $1,665,171.

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

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

96

MassMutual Select Overseas Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

		Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 97.7%
Advertising — 0.5%
Publicis Groupe			61,500	$	2,812,491
Aerospace & Defense — 0.3%
European Aeronautic Defence and Space Co.			50,745		1,799,550
Agriculture — 0.8%
British American Tobacco PLC			32,162		1,636,992
Japan Tobacco, Inc.			85,000		2,518,852
					4,155,844
Apparel — 0.3%
Burberry Group PLC			85,282		1,778,914
Auto Manufacturers — 4.8%
Bayerische Motoren Werke AG			13,810		1,000,644
Daimler AG			89,700		4,034,160
Fiat Industrial SpA			284,600		2,804,565
Honda Motor Co. Ltd.			321,100		11,185,399
Nissan Motor Co. Ltd.			237,600		2,250,238
Toyota Motor Corp.			99,800		4,022,497
					25,297,503
Automotive & Parts — 1.5%
Bridgestone Corp.			37,500		860,166
Delphi Automotive PLC (a)			49,260		1,256,130
Denso Corp.			161,100		5,485,289
					7,601,585
Banks — 13.6%
Australia & New Zealand Banking Group Ltd.			131,180		2,977,929
Banco Bilbao Vizcaya Argentaria SA			150,276		1,083,092
Banco Santander SA			859,819		5,742,547
Bank of Ireland (a)			17,089,600		2,170,235
Barclays PLC			1,229,748		3,147,900
BNP Paribas			156,688		6,048,749
China Construction Bank Corp. Class H	��		1,994,000		1,374,811
DBS Group Holdings, Ltd.			148,000		1,633,623
Deutsche Bank AG			34,113		1,239,779
HSBC Holdings PLC			1,411,286		12,443,938
ICICI Bank Ltd. Sponsored ADR (India)			126,960		4,114,774
Intesa Sanpaolo			2,704,500		3,868,257
Julius Baer Group Ltd. (a)			138,132		5,001,249
Komercni Banka AS			12,454		2,163,854
Lloyds Banking Group PLC (a)			8,220,100		4,043,221
Nordea Bank AB			233,269		2,019,525
Standard Chartered PLC			208,419		4,543,710
Sumitomo Mitsui Financial Group, Inc.			108,000		3,562,798

	Number of Shares		Value
Swedbank AB		45,230	$	715,254
UniCredit SpA (a)		122,007		462,316
Westpac Banking Corp.		116,420		2,532,662
				70,890,223
Beverages — 4.9%
Asahi Group Holdings Ltd.		34,600		743,124
Diageo PLC		351,616		9,045,419
Heineken Holding NV Class A		44,000		1,969,354
Heineken NV		134,059		7,002,538
Pernod-Ricard SA		50,415		5,393,218
SABMiller PLC		28,778		1,155,936
				25,309,589
Building Materials — 0.8%
Compagnie de Saint-Gobain		33,269		1,231,101
Geberit AG Registered (a)		2,350		463,546
Holcim Ltd. (a)		45,000		2,493,084
				4,187,731
Chemicals — 6.5%
Air Liquide		47,336		5,415,741
Akzo Nobel NV		145,273		6,833,632
BASF SE		21,563		1,498,383
Givaudan SA Registered (a)		3,658		3,592,809
Linde AG		58,478		9,108,414
Shin-Etsu Chemical Co. Ltd.		115,400		6,348,911
Solvay SA Class A		13,630		1,348,453
				34,146,343
Commercial Services — 2.8%
Adecco SA (a)		88,300		3,929,498
Experian PLC		81,551		1,152,004
G4S PLC		420,000		1,836,764
Hays PLC		892,705		1,031,740
Meitec Corp.		38,900		824,158
Randstad Holding NV		127,326		3,760,177
Secom Co. Ltd.		40,500		1,859,072
				14,393,413
Computers — 0.3%
Fujitsu LTD		296,000		1,418,343
Cosmetics & Personal Care — 1.0%
Beiersdorf AG		83,497		5,417,534
Distribution & Wholesale — 1.9%
Li & Fung Ltd.		1,745,600		3,382,676
Marubeni Corp.		168,000		1,118,165
Mitsui & Co. Ltd.		73,100		1,084,566
Sumitomo Corp.		172,600		2,414,761
Wolseley PLC		53,800		2,010,095
				10,010,263
Diversified Financial — 4.1%
African Bank Investments Ltd.		130,885		582,042

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

97

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
BM&F BOVESPA SA		399,300	$	2,037,752
Credit Suisse Group (a)		270,895		4,948,921
Daiwa Securities Group, Inc.		1,293,120		4,868,628
Deutsche Boerse AG		27,922		1,507,012
ORIX Corp.		10,780		1,003,384
Schroders PLC		143,100		3,012,335
UBS AG (a)		300,365		3,512,587
				21,472,661
Electric — 0.5%
E.ON AG		63,242		1,362,261
Red Electrica Corp. SA		29,042		1,266,512
				2,628,773
Electrical Components & Equipment — 2.6%
Hitachi Ltd.		420,000		2,583,051
Legrand SA		99,181		3,373,154
Mitsubishi Electric Corp.		160,000		1,333,527
Schneider Electric SA		115,766		6,450,331
				13,740,063
Electronics — 3.3%
Fanuc Ltd.		21,800		3,581,680
Hon Hai Precision Industry Co. Ltd.		1,023,100		3,085,006
Hoya Corp.		134,900		2,972,365
Koninklijke Philips Electronics NV		216,829		4,287,488
Omron Corp.		148,800		3,141,827
				17,068,366
Food Services — 1.4%
Compass Group PLC		507,070		5,318,775
Sodexo		23,994		1,869,575
				7,188,350
Foods — 4.1%
Danone SA		94,693		5,878,763
Koninlijke Ahold NV		118,100		1,463,423
Nestle SA		178,127		10,625,528
Tesco PLC		441,900		2,148,013
Unilever NV		35,278		1,180,769
				21,296,496
Forest Products & Paper ��� 0.3%
UPM-Kymmene OYJ		143,058		1,621,381
Gas — 0.9%
Centrica PLC		496,754		2,476,409
Gaz De France		31,030		740,342
Snam Rete Gas SpA		379,196		1,690,457
				4,907,208
Health Care – Products — 0.4%
Sonova Holding AG (a)		20,004		1,930,306
Holding Company – Diversified — 1.3%
Hutchison Whampoa Ltd.		199,000		1,721,129
LVMH Moet Hennessy Louis Vuitton SA		34,149		5,204,931
				6,926,060

	Number of Shares		Value
Household Products — 0.7%
Reckitt Benckiser Group PLC		71,731	$	3,783,216
Insurance — 4.8%
AIA Group Ltd.		815,000		2,810,076
Allianz SE		57,483		5,780,194
ING Groep NV (a)		719,278		4,852,844
Prudential PLC		171,806		1,990,610
QBE Insurance Group Ltd.		296,114		4,082,576
Swiss Re Ltd. (a)		65,627		4,122,875
Willis Group Holdings PLC		37,700		1,375,673
				25,014,848
Internet — 0.3%
Check Point Software Technologies Ltd. (a)		29,680		1,471,831
Iron & Steel — 0.2%
ArcelorMittal		62,039		958,383
Lodging — 0.3%
Intercontinental Hotels Group PLC		67,622		1,634,258
Machinery – Construction & Mining — 1.0%
Atlas Copco AB		4,100		78,391
Rio Tinto PLC		108,172		5,166,221
				5,244,612
Manufacturing — 1.0%
Olympus Corp. (a)		74,700		1,211,540
Smiths Group PLC		245,933		3,914,509
				5,126,049
Media — 1.8%
Grupo Televisa SAB Sponsored ADR (Mexico)		19,500		418,860
Pearson PLC		57,528		1,142,570
Reed Elsevier PLC		116,600		935,421
Thomson Reuters Corp.		86,000		2,447,127
WPP PLC		375,903		4,568,843
				9,512,821
Metal Fabricate & Hardware — 0.4%
Assa Abloy AB Series B		64,900		1,814,796
Mining — 0.5%
First Quantum Minerals Ltd.		44,650		789,412
Orica Ltd.		70,500		1,794,439
				2,583,851
Office Equipment/Supplies — 1.9%
Canon, Inc.		244,150		9,776,441
Oil & Gas — 5.1%
BG Group PLC		133,593		2,734,359
BP PLC		175,182		1,173,748
CNOOC Ltd.		1,381,000		2,785,877
ENI SpA		172,983		3,691,692
Inpex Corp.		791		4,434,601
JX Holdings, Inc.		206,000		1,058,221

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

98

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Repsol YPF SA		64,434	$	1,035,982
Royal Dutch Shell PLC Class A		282,183		9,505,692
				26,420,172
Packaging & Containers — 0.5%
Amcor Ltd.		372,800		2,716,795
Pharmaceuticals — 5.8%
Bayer AG		153,142		11,042,858
GlaxoSmithKline PLC		108,458		2,459,377
Merck KGaA		33,643		3,357,297
Novartis AG		32,400		1,807,270
Roche Holding AG		42,928		7,410,551
Sanofi		43,790		3,320,642
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		26,509		1,045,515
				30,443,510
Real Estate — 0.1%
Sino Land Co. Ltd.		424,000		642,510
Retail — 3.2%
Cie Financiere Richemont SA		57,229		3,140,758
Hennes & Mauritz AB Class B		74,820		2,689,992
Kingfisher PLC		387,509		1,752,128
Lawson, Inc.		74,200		5,191,225
PPR		18,600		2,656,073
Signet Jewelers Ltd.		34,500		1,518,345
				16,948,521
Semiconductors — 2.6%
Rohm Co. Ltd.		75,400		2,900,253
Samsung Electronics Co., Ltd.		6,009		6,370,879
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan) (a)		291,387		4,067,763
				13,338,895
Software — 2.5%
Amadeus IT Holding SA		191,219		4,049,463
Dassault Systemes SA		17,000		1,597,013
Infosys Ltd. Sponsored ADR (India)		13,690		616,872
SAP AG		112,461		6,641,217
				12,904,565
Telecommunications — 3.9%
China Unicom Ltd.		1,704,000		2,136,409
KT Corp. Sponsored ADR (Republic of Korea)		57,579		758,891
MTN Group Ltd.		106,005		1,832,377
Nippon Telegraph & Telephone Corp.		33,700		1,565,775
NTT DOCOMO, Inc.		1,216		2,023,640
Singapore Telecommunications Ltd.		338,500		885,122
Singapore Telecommunications Ltd.		27,000		70,188
Telecom Corp. of New Zealand Ltd.		264,379		507,693

	Number of Shares		Value
Telefonaktiebolaget LM Ericsson Class B		188,962	$	1,724,263
Telenor ASA		50,333		839,431
Tim Participacoes SA Sponsored ADR (Brazil)		94,230		2,587,556
Vodafone Group PLC		1,870,438		5,255,250
				20,186,595
Transportation — 2.1%
Canadian National Railway Co.		73,090		6,167,334
East Japan Railway		15,700		985,710
Kuehne & Nagel International AG		28,100		2,974,246
Yamato Holdings Co. Ltd.		61,000		982,136
				11,109,426
Water — 0.1%
Suez Environnement Co.		56,975		613,308
TOTAL COMMON STOCK (Cost $517,513,037)				510,244,393
PREFERRED STOCK — 0.3%
Auto Manufacturers — 0.3%
Volkswagen AG 1.720%		9,550		1,514,129
TOTAL PREFERRED STOCK (Cost $1,685,566)				1,514,129
TOTAL EQUITIES (Cost $519,198,603)				511,758,522
RIGHTS — 0.0%
Oil & Gas — 0.0%
Repsol YPF SA, Expires 7/12/12, Strike 0.00 (a)		64,434		45,173
TOTAL RIGHTS (Cost $44,549)				45,173
TOTAL LONG-TERM INVESTMENTS (Cost $519,243,152)				511,803,695
	Principal Amount
SHORT-TERM INVESTMENTS — 1.0%
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 6/29/12, 0.010%, due 7/02/12 (b)	$	5,067,904		5,067,904
Time Deposits — 0.0%
Euro Time Deposit 0.010% 7/02/12		22,762		22,762

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

99

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Value
TOTAL SHORT-TERM INVESTMENTS (Cost $5,090,666)	$	5,090,666
TOTAL INVESTMENTS — 99.0% (Cost $524,333,818) (c)		516,894,361
Other Assets/(Liabilities) — 1.0%		5,284,011
NET ASSETS — 100.0%	$	522,178,372

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $5,067,908. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 3.500%, maturity dates ranging from 12/01/26 – 11/25/38, and an aggregate market value, including accrued interest, of $5,174,742.

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

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

100

THIS PAGE INTENTIONALLY LEFT BLANK

MassMutual Select Funds – Financial Statements

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Assets:
Investments, at value (Note 2) (a)	$	2,638,806,966		$	170,433,642
Short-term investments, at value (Note 2) (b)		69,981,278			20,598,835
Total investments		2,708,788,244			191,032,477
Foreign currency, at value (c)		219,858			204,980
Receivables from:
Investments sold		16,847,939			685,614
Investments sold on a when-issued basis (Note 2)		35,826,094			-
Open forward foreign currency contracts (Note 2)		693,425			172,364
Investment adviser (Note 3)		-			12
Fund shares sold		3,038,805			86,516
Collateral held for open futures contracts (Note 2)		-			622,003
Collateral held for open swap agreements (Note 2)		35,000			-
Variation margin on open derivative instruments (Note 2)		626,755			39,526
Interest and dividends		11,859,143			1,175,928
Foreign taxes withheld		11,957			-
Open swap agreements, at value (Note 2)		2,970,986			634
Total assets		2,780,918,206			194,020,054
Liabilities:
Payables for:
Investments purchased		45,794,525			379,519
Dollar roll transactions		1,013,226			-
Closed swap agreements, at value (Note 2)		135,000			-
Written options outstanding, at value (Note 2) (d)		580,813			7,088
Payable for securities sold short, at value (Note 2) (e)		35,888,671			-
Reverse repurchase agreements (Note 2)		2,271,000			-
Open forward foreign currency contracts (Note 2)		2,464,218			45,582
Fund shares repurchased		7,398,937			690,551
Interest and dividends		15,907			-
Investments purchased on a when-issued basis (Note 2)		803,962,562			20,197,727
Variation margin on open derivative instruments (Note 2)		1,272,999			-
Open swap agreements, at value (Note 2)		4,406,317			2,982
Trustees’ fees and expenses (Note 3)		111,831			47,376
Collateral held for open swap agreements (Note 2)		2,510,000			-
Collateral held for when-issued securities (Note 2)		2,540,000			-
Affiliates (Note 3):
Investment management fees		529,778			75,352
Administration fees		297,741			18,934
Service fees		485,634			24,645
Distribution fees		21,369			576
Due to custodian		5,275			-
Accrued expense and other liabilities		128,239			33,381
Total liabilities		911,834,042			21,523,713
Net assets	$	1,869,084,164		$	172,496,341
Net assets consist of:
Paid-in capital	$	1,794,950,999		$	173,716,144
Undistributed (accumulated) net investment income (loss)		27,350,418			2,251,466
Accumulated net realized gain (loss) on investments and foreign currency transactions		(3,905,875	)		(5,771,495	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		50,688,622			2,300,226
Net assets	$	1,869,084,164		$	172,496,341
(a)        Cost of investments:	$	2,590,799,298		$	168,301,250
(b)        Cost of short-term investments:	$	70,090,746		$	20,598,835
(c)        Cost of foreign currency:	$	215,912		$	200,559
(d)        Premiums on written options:	$	2,496,588		$	57,149
(e)        Proceeds from securities sold short:	$	35,818,750		$	-

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

102

MassMutual Select Diversified Value Fund			MassMutual Select Fundamental Value Fund			MassMutual Select Large Cap Value Fund		MM S&P 500 Index Fund
$	299,855,434		$	1,243,581,657		$	442,962,621	$	2,243,746,789
	7,066,174			19,050,828			25,574,164		42,903,423
	306,921,608			1,262,632,485			468,536,785		2,286,650,212
	-			-			24,499		-
	12,282,888			6,084,852			4,759,673		2,044,441
	-			-			-		-
	-			-			-		-
	-			143,529			-		186,211
	1,243,571			330,155			126,980		1,898,111
	-			-			-		-
	-			-			-		-
	-			-			-		1,169,754
	543,300			1,890,239			639,087		2,899,363
	-			32,256			189,398		-
	-			-			-		-
	320,991,367			1,271,113,516			474,276,422		2,294,848,092
	14,589,304			8,524,606			14,205		3,623,691
	-			-			-		-
	-			-			-		-
	-			-			-		-
	-			-			-		-
	-			-			-		-
	-			-			-		-
	343,771			2,493,743			1,090,892		8,772,144
	-			-			-		-
	-			-			-		-
	-			-			-		-
	-			-			-		-
	80,473			231,860			208,888		438,885
	-			-			-		-
	-			-			-		-
	114,593			621,960			243,104		175,443
	21,433			291,770			59,783		553,855
	15,096			190,216			56,495		226,676
	74			1,113			69		2,312
	205,248			-			-		330,615
	29,763			60,969			46,817		67,681
	15,399,755			12,416,237			1,720,253		14,191,302
$	305,591,612		$	1,258,697,279		$	472,556,169	$	2,280,656,790
$	396,844,501		$	1,105,185,691		$	348,433,715	$	1,952,621,030
	3,775,430			24,928,224			1,939,227		26,996,284
	(129,563,337	)		(48,741,010	)		30,883,155		(83,526,256	)
	34,535,018			177,324,374			91,300,072		384,565,732
$	305,591,612		$	1,258,697,279		$	472,556,169	$	2,280,656,790
$	265,320,416		$	1,066,257,283		$	351,676,358	$	1,860,956,553
$	7,066,174		$	19,050,828		$	25,574,164	$	42,903,423
$	-		$	-		$	24,501	$	-
$	-		$	-		$	-	$	-
$	-		$	-		$	-	$	-

103

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Class Z shares:
Net assets	$	397,658,222		$	-
Shares outstanding (a)		37,914,442			-
Net asset value, offering price and redemption price per share	$	10.49		$	-
Class I shares:
Net assets	$	-		$	-
Shares outstanding (a)		-			-
Net asset value, offering price and redemption price per share	$	-		$	-
Class S shares:
Net assets	$	109,213,759		$	75,774,361
Shares outstanding (a)		10,429,798			7,336,321
Net asset value, offering price and redemption price per share	$	10.47		$	10.33
Class Y shares:
Net assets	$	507,160,642		$	27,799,342
Shares outstanding (a)		48,381,858			2,690,119
Net asset value, offering price and redemption price per share	$	10.48		$	10.33
Class L shares:
Net assets	$	83,433,447		$	30,518,798
Shares outstanding (a)		7,992,745			2,961,446
Net asset value, offering price and redemption price per share	$	10.44		$	10.31
Class A shares:
Net assets	$	734,651,535		$	37,446,641
			��
Shares outstanding (a)		70,155,534			3,643,068
Net asset value and redemption price per share	$	10.47		$	10.28
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.99		$	10.79
Class N shares:
Net assets	$	36,966,559		$	957,199
Shares outstanding (a)		3,542,814			93,581
Net asset value, offering price and redemption price per share	$	10.43		$	10.23

(a) Authorized unlimited number of shares with no par value.

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

104

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund		MM S&P 500 Index Fund
$	-	$	227,104,567	$	-	$	90,446,492
	-		20,916,616		-		7,083,938
$	-	$	10.86	$	-	$	12.77
$	-	$	-	$	-	$	800,868,383
	-		-		-		62,634,471
$	-	$	-	$	-	$	12.79
$	247,965,077	$	455,921,661	$	287,910,319	$	505,254,279
	25,646,567		41,916,524		26,778,464		39,499,207
$	9.67	$	10.88	$	10.75	$	12.79
$	24,003,401	$	155,317,241	$	53,189,407	$	265,163,797
	2,483,803		14,316,496		4,952,376		20,950,046
$	9.66	$	10.85	$	10.74	$	12.66
$	9,261,138	$	111,127,553	$	47,743,700	$	251,305,386
	955,869		10,209,869		4,454,748		19,876,818
$	9.69	$	10.88	$	10.72	$	12.64
$	24,242,169	$	308,315,236	$	83,605,287	$	363,787,440
	2,515,433		28,647,485		7,828,724		28,958,427
$	9.64	$	10.76	$	10.68	$	12.56
$	10.23	$	11.42	$	11.33	$	13.33
$	119,827	$	911,021	$	107,456	$	3,831,013
	12,400		85,507		10,181		308,112
$	9.66	$	10.65	$	10.55	$	12.43

105

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual Select Focused Value Fund		MassMutual Select Fundamental Growth Fund
Assets:
Investments, at value (Note 2) (a)	$	606,070,677	$	98,908,714
Short-term investments, at value (Note 2) (b)		34,085,480		6,405,786
Total investments		640,156,157		105,314,500
Receivables from:
Investments sold		8,952,839		586,196
Investment adviser (Note 3)		49,475		4,423
Fund shares sold		69,126		81,727
Interest and dividends		416,569		69,461
Foreign taxes withheld		-		-
Total assets		649,644,166		106,056,307
Liabilities:
Payables for:
Investments purchased		4,104,981		248,369
Fund shares repurchased		3,729,451		397,645
Trustees’ fees and expenses (Note 3)		148,892		12,062
Affiliates (Note 3):
Investment management fees		341,381		42,351
Administration fees		130,155		14,804
Service fees		97,852		11,869
Distribution fees		786		125
Accrued expense and other liabilities		38,163		13,261
Total liabilities		8,591,661		740,486
Net assets	$	641,052,505	$	105,315,821
Net assets consist of:
Paid-in capital	$	509,503,472	$	103,995,772
Undistributed (accumulated) net investment income (loss)		1,313,786		67,110
Accumulated net realized gain (loss) on investments and foreign currency transactions		24,148,832		(2,880,937	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		106,086,415		4,133,876
Net assets	$	641,052,505	$	105,315,821
(a)        Cost of investments:	$	499,984,262	$	94,774,838
(b)        Cost of short-term investments:	$	34,085,480	$	6,405,786

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

106

MassMutual Select Blue Chip Growth Fund			MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund
$	872,356,442		$	467,295,787		$	150,554,942		$	107,039,565
	8,735,577			9,483,262			4,722,061			7,996,652
	881,092,019			476,779,049			155,277,003			115,036,217
	3,631,681			1,888,351			1,629,943			-
	65,932			54,574			11,798			-
	967,384			580,927			12,395			426,877
	596,428			137,108			324,187			93,183
	16,204			27,576			-			-
	886,369,648			479,467,585			157,255,326			115,556,277
	1,674,024			5,829,555			2,569,503			2,376,926
	1,062,878			1,935,634			943,238			382,768
	170,546			86,585			26,209			20,729
	431,083			265,592			82,584			61,858
	197,103			116,423			19,115			5,630
	69,097			42,059			2,921			2,896
	412			12			40			4
	43,134			23,836			21,706			25,814
	3,648,277			8,299,696			3,665,316			2,876,625
$	882,721,371		$	471,167,889		$	153,590,010		$	112,679,652
$	815,556,511		$	366,837,528		$	192,862,966		$	142,272,988
	(534,246	)		(570,882	)		1,291,647			354,955
	(119,166,094	)		(13,694,454	)		(49,413,237	)		(42,861,826	)
	186,865,200			118,595,697			8,848,634			12,913,535
$	882,721,371		$	471,167,889		$	153,590,010		$	112,679,652
$	685,493,816		$	348,700,090		$	141,706,339		$	94,126,030
$	8,735,577		$	9,483,262		$	4,722,061		$	7,996,652

107

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual Select Focused Value Fund		MassMutual Select Fundamental Growth Fund
Class Z shares:
Net assets	$	102,077,137	$	-
Shares outstanding (a)		5,566,433		-
Net asset value, offering price and redemption price per share	$	18.34	$	-
Class S shares:
Net assets	$	267,667,234	$	73,939,880
Shares outstanding (a)		14,582,020		11,407,379
Net asset value, offering price and redemption price per share	$	18.36	$	6.48
Class Y shares:
Net assets	$	51,404,870	$	3,302,915
Shares outstanding (a)		2,822,650		515,821
Net asset value, offering price and redemption price per share	$	18.21	$	6.40
Class L shares:
Net assets	$	68,758,064	$	8,502,050
Shares outstanding (a)		3,798,674		1,348,224
Net asset value, offering price and redemption price per share	$	18.10	$	6.31
Class A shares:
Net assets	$	150,783,952	$	19,356,348
Shares outstanding (a)		8,504,109		3,158,346
Net asset value and redemption price per share	$	17.73	$	6.13
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	18.81	$	6.50
Class N shares:
Net assets	$	361,248	$	214,628
Shares outstanding (a)		20,875		36,237
Net asset value, offering price and redemption price per share	$	17.31	$	5.92

(a) Authorized unlimited number of shares with no par value.

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

108

MassMutual Select Blue Chip Growth Fund		MassMutual Select Growth Opportunities Fund		MassMutual Select Mid-Cap Value Fund		MassMutual Select Small Cap Value Equity Fund
$	-	$	19,329,416	$	4,747,194	$	-
	-		2,314,970		456,998		-
$	-	$	8.35	$	10.39	$	-
$	336,571,503	$	276,232,004	$	139,082,505	$	103,228,938
	27,739,055		33,113,788		13,392,827		10,650,145
$	12.13	$	8.34	$	10.38	$	9.69
$	127,625,555	$	36,491,413	$	1,688,469	$	2,659,835
	10,566,541		4,430,223		162,303		274,489
$	12.08	$	8.24	$	10.40	$	9.69
$	292,468,239	$	70,466,617	$	3,362,391	$	2,266,440
	24,372,750		8,704,356		321,593		234,519
$	12.00	$	8.10	$	10.46	$	9.66
$	125,345,340	$	68,634,218	$	4,643,634	$	4,517,939
	10,683,758		8,757,793		447,841		468,495
$	11.73	$	7.84	$	10.37	$	9.64
$	12.45	$	8.32	$	11.00	$	10.23
$	710,734	$	14,221	$	65,817	$	6,500
	62,413		1,883		6,373		675
$	11.39	$	7.55	$	10.33	$	9.63

109

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual Select Small Company Value Fund			MassMutual Select Mid Cap Growth Equity II Fund
Assets:
Investments, at value (Note 2) (a)	$	473,544,906		$	1,503,052,661
Short-term investments, at value (Note 2) (b)		10,855,282			71,874,275
Total investments		484,400,188			1,574,926,936
Foreign currency, at value (c)		-			-
Receivables from:
Investments sold		2,253,354			10,555,393
Open forward foreign currency contracts (Note 2)		-			-
Investment adviser (Note 3)		29,547			121,905
Fund shares sold		91,680			345,007
Interest and dividends		425,439			604,224
Foreign taxes withheld		-			-
Total assets		487,200,208			1,586,553,465
Liabilities:
Payables for:
Investments purchased		638,102			5,117,287
Open forward foreign currency contracts (Note 2)		-			-
Fund shares repurchased		1,440,382			7,022,647
Trustees’ fees and expenses (Note 3)		115,518			288,582
Affiliates (Note 3):
Investment management fees		313,940			914,285
Administration fees		102,981			347,221
Service fees		64,872			221,021
Distribution fees		388			1,277
Accrued expense and other liabilities		36,355			79,565
Total liabilities		2,712,538			13,991,885
Net assets	$	484,487,670		$	1,572,561,580
Net assets consist of:
Paid-in capital	$	432,027,029		$	1,219,113,469
Undistributed (accumulated) net investment income (loss)		944,629			(6,572,442	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(76,560	)		77,236,609
Net unrealized appreciation (depreciation) on investments and foreign currency translations		51,592,572			282,783,944
Net assets	$	484,487,670		$	1,572,561,580
(a)        Cost of investments:	$	421,952,334		$	1,220,269,358
(b)        Cost of short-term investments:	$	10,855,282		$	71,874,275
(c)        Cost of foreign currency:	$	-		$	-

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

110

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund			MassMutual Select Diversified International Fund			MassMutual Select Overseas Fund
$	760,406,189		$	55,002,438		$	136,357,967		$	511,803,695
	27,899,063			3,783,585			1,629,440			5,090,666
	788,305,252			58,786,023			137,987,407			516,894,361
	-			-			340,562			1,093,325
	9,178,555			144,371			1,892,747			3,129,612
	-			-			620,261			2,168,843
	29,929			-			10,240			122,645
	217,300			6,349			1,540,499			125,607
	157,651			18,247			498,817			1,190,844
	-			-			124,638			2,816,885
	797,888,687			58,954,990			143,015,171			527,542,122
	11,037,380			2,436,977			1,548,555			2,635,091
	-			-			630,755			963,163
	1,791,464			239,913			404,094			1,002,622
	142,504			19,921			30,305			154,011
	490,832			34,926			93,575			395,632
	125,461			8,644			5,827			93,397
	44,701			5,687			438			28,043
	258			90			7			182
	52,806			22,379			39,911			91,609
	13,685,406			2,768,537			2,753,467			5,363,750
$	784,203,281		$	56,186,453		$	140,261,704		$	522,178,372
$	712,708,318		$	62,085,574		$	236,540,779		$	657,720,638
	(2,513,924	)		(225,352	)		2,658,094			11,819,770
	2,436,276			(10,970,028	)		(90,213,613	)		(141,411,305	)
	71,572,611			5,296,259			(8,723,556	)		(5,950,731	)
$	784,203,281		$	56,186,453		$	140,261,704		$	522,178,372
$	688,833,578		$	49,706,179		$	145,071,662		$	519,243,152
$	27,899,063		$	3,783,585		$	1,629,440		$	5,090,666
$	-		$	-		$	340,113		$	1,090,237

111

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual Select Small Company Value Fund		MassMutual Select Mid Cap Growth Equity II Fund
Class Z shares:
Net assets	$	80,082,814	$	223,639,882
Shares outstanding (a)		5,947,391		14,455,578
Net asset value, offering price and redemption price per share	$	13.47	$	15.47
Class S shares:
Net assets	$	212,851,578	$	451,516,067
Shares outstanding (a)		15,792,849		29,254,615
Net asset value, offering price and redemption price per share	$	13.48	$	15.43
Class Y shares:
Net assets	$	50,257,499	$	201,454,884
Shares outstanding (a)		3,742,700		13,192,869
Net asset value, offering price and redemption price per share	$	13.43	$	15.27
Class L shares:
Net assets	$	37,866,188	$	345,245,603
Shares outstanding (a)		2,842,164		23,078,162
Net asset value, offering price and redemption price per share	$	13.32	$	14.96
Class A shares:
Net assets	$	103,293,720	$	348,691,281
Shares outstanding (a)		7,892,545		24,095,005
Net asset value and redemption price per share	$	13.09	$	14.47
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	13.89	$	15.35
Class N shares:
Net assets	$	135,871	$	2,013,863
Shares outstanding (a)		10,735		144,048
Net asset value, offering price and redemption price per share	$	12.66	$	13.98

(a) Authorized unlimited number of shares with no par value.

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

112

MassMutual Select Small Cap Growth Equity Fund		MassMutual Select Small Company Growth Fund		MassMutual Select Diversified International Fund		MassMutual Select Overseas Fund
$	129,511,764	$	-	$	-	$	256,049,599
	8,427,483		-		-		38,728,545
$	15.37	$	-	$	-	$	6.61
$	466,642,452	$	39,594,361	$	136,896,577	$	115,221,810
	30,421,660		3,819,693		23,188,256		17,467,810
$	15.34	$	10.37	$	5.90	$	6.60
$	63,409,692	$	2,567,552	$	61,065	$	77,789,304
	4,215,488		248,910		10,111		11,854,472
$	15.04	$	10.32	$	6.04	$	6.56
$	54,062,351	$	5,250,760	$	2,638,358	$	28,018,254
	3,675,348		517,540		440,911		4,278,032
$	14.71	$	10.15	$	5.98	$	6.55
$	70,159,482	$	8,630,909	$	665,704	$	44,800,532
	4,952,676		875,126		113,288		6,918,624
$	14.17	$	9.86	$	5.88	$	6.48
$	15.03	$	10.46	$	6.24	$	6.88
$	417,540	$	142,871	$	-	$	298,873
	30,634		14,944		-		46,560
$	13.63	$	9.56	$	-	$	6.42

113

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2012 (Unaudited)

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Investment income (Note 2):
Dividends (a)	$	950,000		$	8,419
Interest		26,911,632			3,335,618
Total investment income		27,861,632			3,344,037
Expenses (Note 3):
Investment management fees		3,199,314			471,870
Custody fees		203,571			44,576
Interest expense		2,427			-
Audit fees		43,834			22,884
Legal fees		6,476			1,502
Proxy fees		506			510
Shareholder reporting fees		25,420			3,613
Trustees’ fees		68,083			6,849
		3,549,631			551,804
Administration fees:
Class Z		41,932			-
Class I		-			-
Class S		89,321			18,726
Class Y		685,982			13,729
Class L		134,087			35,624
Class A		799,827			49,754
Class N		34,199			1,388
Distribution fees:
Class N		38,862			1,157
Service fees:
Class A		908,894			49,754
Class N		38,862			1,157
Total expenses		6,321,597			723,093
Expenses waived (Note 3):
Class Z administrative fees waived		-			-
Class L administrative fees waived		-			-
Class A administrative fees waived		-			-
Class N administrative fees waived		-			-
Class Z management fees waived		-			-
Class I management fees waived		-			-
Class S management fees waived		-			-
Class Y management fees waived		-			-
Class L management fees waived		-			-
Class A management fees waived		-			-
Class N management fees waived		-			-
Net expenses		6,321,597			723,093
Net investment income (loss)		21,540,035			2,620,944
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		24,368,143			816,673
Futures contracts		5,337,281			(491,965	)
Written options		681,045			91,291
Swap agreements		(1,915,381	)		29,637
Foreign currency transactions		8,044,336			311,489
Net realized gain (loss)		36,515,424			757,125
Net change in unrealized appreciation (depreciation) on:
Investment transactions		34,769,987			3,660,065
Futures contracts		(2,570,094	)		69,905
Written options		254,038			44,995
Securities sold short		115,079			-
Swap agreements		5,540,428			8,512
Translation of assets and liabilities in foreign currencies		(7,506,673	)		(154,601	)
Net change in unrealized appreciation (depreciation)		30,602,765			3,628,876
Net realized gain (loss) and change in unrealized appreciation (depreciation)		67,118,189			4,386,001
Net increase (decrease) in net assets resulting from operations	$	88,658,224		$	7,006,945
(a)       Net of withholding tax of:	$	-		$	-

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

114

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund			MassMutual Select Large Cap Value Fund			MM S&P 500 Index Fund
$	3,663,436	$	17,557,473		$	5,095,632		$	23,435,467
	241		1,000			7,352			4,165
	3,663,677		17,558,473			5,102,984			23,439,632
	709,188		3,996,674			1,683,689			1,103,999
	17,632		51,335			44,358			91,084
	-		-			-			-
	16,199		16,302			16,452			17,245
	2,227		7,684			3,799			13,884
	510		506			506			506
	5,020		17,296			8,479			30,344
	10,967		46,002			20,909			82,616
	761,743		4,135,799			1,778,192			1,339,678
	-		75,425			-			20,315
	-		-			-			535,043
	65,345		608,808			133,207			855,871
	19,553		248,805			48,530			497,869
	13,110		245,679			79,020			626,054
	38,370		698,096			158,713			943,435
	257		4,945			336			10,213
	174		2,410			224			4,405
	31,115		377,023			122,313			445,268
	174		2,410			224			4,405
	929,841		6,399,400			2,320,759			5,282,556
	-		-			-			(17,604	)
	-		-			-			(236,381	)
	-		-			-			(356,215	)
	-		-			-			(3,524	)
	-		(161,736	)		-			(17,640	)
	-		-			-			(197,423	)
	-		(334,665	)		-			(122,374	)
	-		(119,184	)		-			(65,520	)
	-		(79,608	)		-			(59,117	)
	-		(226,168	)		-			(89,043	)
	-		(1,441	)		-			(881	)
	929,841		5,476,598			2,320,759			4,116,834
	2,733,836		12,081,875			2,782,225			19,322,798
	4,743,928		13,857,768			40,254,950			4,289,312
	-		-			-			3,875,090
	-		-			-			-
	-		-			-			-
	-		2,662			(12,431	)		-
	4,743,928		13,860,430			40,242,519			8,164,402
	17,359,252		66,021,804			(8,115,767	)		163,532,443
	-		-			-			1,539,786
	-		-			-			-
	-		-			-			-
	-		-			-			-
	-		-			(2,582	)		-
	17,359,252		66,021,804			(8,118,349	)		165,072,229
	22,103,180		79,882,234			32,124,170			173,236,631
$	24,837,016	$	91,964,109		$	34,906,395		$	192,559,429
$	22,999	$	130,260		$	119,065		$	-

115

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2012 (Unaudited)

	MassMutual Select Focused Value Fund			MassMutual Select Fundamental Growth Fund
Investment income (Note 2):
Dividends (a)	$	4,443,811		$	364,754
Interest		1,412			127
Total investment income		4,445,223			364,881
Expenses (Note 3):
Investment management fees		2,193,826			152,402
Custody fees		24,217			12,518
Audit fees		16,469			16,979
Legal fees		4,205			3,528
Proxy fees		506			510
Shareholder reporting fees		9,549			2,251
Trustees’ fees		23,986			1,989
		2,272,758			190,177
Administration fees:
Class Z		32,201			-
Class S		243,694			29,680
Class Y		81,665			4,556
Class L		145,055			17,342
Class A		334,448			38,673
Class N		3,350			551
Distribution fees:
Class N		1,729			279
Service fees:
Class A		192,477			22,730
Class N		1,729			279
Total expenses		3,309,106			304,267
Expenses waived (Note 3):
Class S fees waived by adviser		-			-
Class Y fees waived by adviser		-			-
Class L fees waived by adviser		-			-
Class A fees waived by adviser		-			-
Class N fees waived by adviser		-			-
Class S administrative fees waived		-			(9,786	)
Class Y administrative fees waived		-			(358	)
Class L administrative fees waived		-			(893	)
Class A administrative fees waived		-			(2,000	)
Class N administrative fees waived		-			(22	)
Class Z management fees waived		(46,070	)		-
Class S management fees waived		(132,171	)		-
Class Y management fees waived		(28,661	)		-
Class L management fees waived		(33,411	)		-
Class A management fees waived		(76,945	)		-
Class N management fees waived		(688	)		-
Net expenses		2,991,160			291,208
Net investment income (loss)		1,454,063			73,673
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		16,945,040			7,271,608
Futures contracts		-			201,407
Foreign currency transactions		-			-
Net realized gain (loss)		16,945,040			7,473,015
Net change in unrealized appreciation (depreciation) on:
Investment transactions		27,278,026			(1,683,270	)
Futures contracts		-			1,273
Translation of assets and liabilities in foreign currencies		-			-
Net change in unrealized appreciation (depreciation)		27,278,026			(1,681,997	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		44,223,066			5,791,018
Net increase (decrease) in net assets resulting from operations	$	45,677,129		$	5,864,691
(a)       Net of withholding tax of:	$	-		$	324

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

116

MassMutual Select Blue Chip Growth Fund			MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund
$	3,246,545		$	1,550,881		$	1,766,355		$	856,045
	468			389			179			2,530
	3,247,013			1,551,270			1,766,534			858,575
	2,617,575			1,544,291			528,353			411,957
	36,787			22,881			10,883			5,504
	16,495			16,414			16,466			14,422
	5,986			2,840			1,337			1,055
	510			510			510			510
	11,253			6,259			3,235			2,703
	28,416			14,567			5,771			4,241
	2,717,022			1,607,762			566,555			440,392
	-			1,808			408			-
	253,520			334,117			104,569			24,842
	163,832			55,684			2,062			2,479
	565,855			126,057			8,319			3,496
	204,702			154,482			9,274			7,263
	864			58			149			17
	471			27			83			12
	125,277			78,116			5,797			6,052
	471			27			83			12
	4,032,014			2,358,138			697,299			484,565
	(109,467	)		-			-			-
	(78,629	)		-			-			-
	(136,350	)		-			-			-
	(69,408	)		-			-			-
	(224	)		-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			(2,868	)		(510	)		-
	-			(205,037	)		(69,713	)		-
	-			(24,284	)		(825	)		-
	-			(38,249	)		(2,080	)		-
	-			(46,866	)		(2,318	)		-
	-			(16	)		(33	)		-
	3,637,936			2,040,818			621,820			484,565
	(390,923	)		(489,548	)		1,144,714			374,010
	5,488,371			5,668,902			4,268,125			3,751,075
	-			-			-			-
	14			-			-			-
	5,488,385			5,668,902			4,268,125			3,751,075
	78,499,987			37,261,202			4,933,307			3,396,163
	-			-			-			-
	(171	)		-			50			-
	78,499,816			37,261,202			4,933,357			3,396,163
	83,988,201			42,930,104			9,201,482			7,147,238
$	83,597,278		$	42,440,556		$	10,346,196		$	7,521,248
$	374		$	54,748		$	2,705		$	-

117

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2012 (Unaudited)

	MassMutual Select Small Company Value Fund			MassMutual Select Mid Cap Growth Equity II Fund
Investment income (Note 2):
Dividends (a)	$	4,589,039		$	4,298,977
Interest		713			8,109
Total investment income		4,589,752			4,307,086
Expenses (Note 3):
Investment management fees		2,075,758			5,894,560
Custody fees		23,175			78,538
Audit fees		16,147			16,673
Legal fees		3,685			10,021
Proxy fees		510			506
Shareholder reporting fees		7,793			21,973
Trustees’ fees		18,908			59,749
		2,145,976			6,082,020
Administration fees:
Class Z		15,425			52,758
Class S		299,407			450,915
Class Y		77,205			277,566
Class L		83,991			743,427
Class A		229,580			747,390
Class N		1,626			4,978
Distribution fees:
Class N		831			2,624
Service fees:
Class A		130,651			440,263
Class N		831			2,624
Total expenses		2,985,523			8,804,565
Expenses waived (Note 3):
Class S fees waived by adviser		-			-
Class Y fees waived by adviser		-			-
Class L fees waived by adviser		-			-
Class A fees waived by adviser		-			-
Class N fees waived by adviser		-			-
Class Z management fees waived		(20,628	)		(88,112	)
Class S management fees waived		(96,050	)		(244,422	)
Class Y management fees waived		(21,319	)		(101,118	)
Class L management fees waived		(15,297	)		(175,168	)
Class A management fees waived		(41,806	)		(176,072	)
Class N management fees waived		(265	)		(1,049	)
Net expenses		2,790,158			8,018,624
Net investment income (loss)		1,799,594			(3,711,538	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		4,227,716			79,917,005
Futures contracts		-			-
Foreign currency transactions		13			(1,992	)
Net realized gain (loss)		4,227,729			79,915,013
Net change in unrealized appreciation (depreciation) on:
Investment transactions		18,301,972			43,680,132
Futures contracts		-			-
Translation of assets and liabilities in foreign currencies		-			260
Net change in unrealized appreciation (depreciation)		18,301,972			43,680,392
Net realized gain (loss) and change in unrealized appreciation (depreciation)		22,529,701			123,595,405
Net increase (decrease) in net assets resulting from operations	$	24,329,295		$	119,883,867
(a)        Net of withholding tax of:	$	2,873		$	71,584

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

118

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund			MassMutual Select Diversified International Fund			MassMutual Select Overseas Fund
$	1,717,312		$	137,722		$	3,842,413		$	11,446,987
	707			33			148			466
	1,718,019			137,755			3,842,561			11,447,453
	3,235,818			239,092			607,031			2,631,899
	51,366			11,921			60,185			181,273
	17,481			16,205			19,652			19,654
	5,302			725			1,277			4,016
	506			510			510			510
	11,821			2,012			3,057			8,432
	30,466			2,250			5,185			20,395
	3,352,760			272,715			696,897			2,866,179
	44,403			-			-			91,185
	390,638			31,171			32,867			200,071
	103,540			2,527			44			159,526
	125,302			8,872			3,879			64,126
	167,909			16,242			1,166			103,323
	1,020			293			10			707
	502			183			7			350
	91,753			11,631			972			56,858
	502			183			7			350
	4,278,329			343,817			735,849			3,542,675
	-			-			(61,299	)		-
	-			-			(28	)		-
	-			-			(2,076	)		-
	-			-			(635	)		-
	-			-			(30	)		-
	(31,719	)		-			-			(403,854	)
	(116,625	)		-			-			(175,036	)
	(16,818	)		-			-			(122,299	)
	(13,700	)		-			-			(43,765	)
	(18,343	)		-			-			(70,500	)
	(100	)		-			-			(435	)
	4,081,024			343,817			671,781			2,726,786
	(2,363,005	)		(206,062	)		3,170,780			8,720,667
	16,227,889			3,541,572			(5,170,051	)		(7,783,988	)
	-			-			42,614			(179,122	)
	(11,047	)		-			441,470			2,936,821
	16,216,842			3,541,572			(4,685,967	)		(5,026,289	)
	48,336,452			(165,242	)		6,310,211			25,053,835
	-			-			(4,833	)		-
	93			-			(328,575	)		(2,449,709	)
	48,336,545			(165,242	)		5,976,803			22,604,126
	64,553,387			3,376,330			1,290,836			17,577,837
$	62,190,382		$	3,170,268		$	4,461,616		$	26,298,504
$	16,616		$	-		$	349,601		$	1,049,557

119

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select PIMCO Total Return Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	21,540,035		$	42,943,668
Net realized gain (loss) on investment transactions		36,515,424			(12,285,076	)
Net change in unrealized appreciation (depreciation) on investments		30,602,765			(1,109,679	)
Net increase (decrease) in net assets resulting from operations		88,658,224			29,548,913
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			(13,214,111	)
Class S		-			(1,262,265	)
Class Y		-			(14,638,314	)
Class L		-			(2,031,477	)
Class A		-			(20,960,452	)
Class N		-			(678,251	)
Total distributions from net investment income		-			(52,784,870	)
Net fund share transactions (Note 5):
Class Z		(25,683,393	)		409,157,409
Class S		24,711,440			50,101,472
Class Y		29,318,936			(56,461,351	)
Class L		13,101,982			39,804,026
Class A		(3,389,093	)		1,787,234
Class N		11,451,108			14,728,249
Increase (decrease) in net assets from fund share transactions		49,510,980			459,117,039
Total increase (decrease) in net assets		138,169,204			435,881,082
Net assets
Beginning of period		1,730,914,960			1,295,033,878
End of period	$	1,869,084,164		$	1,730,914,960
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	27,350,418		$	5,810,383
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

120

MassMutual Select Strategic Bond Fund						MassMutual Select Diversified Value Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	2,620,944		$	5,372,712		$	2,733,836		$	4,893,768
	757,125			517,830			4,743,928			7,255,870
	3,628,876			5,636,975			17,359,252			(7,876,897	)
	7,006,945			11,527,517			24,837,016			4,272,741
	-			-			-			-
	-			(2,573,933	)		-			(3,834,833	)
	-			(1,037,415	)		-			(547,867	)
	-			(832,875	)		-			(146,181	)
	-			(1,100,211	)		-			(300,437	)
	-			(25,291	)		-			(2,610	)
	-			(5,569,725	)		-			(4,831,928	)
	-			-			-			-
	(2,955,027	)		25,817,052			16,259,003			27,135,621
	(637,794	)		(2,272,720	)		(2,098,484	)		(9,238,990	)
	2,373,339			(16,259,064	)		(1,360,617	)		(31,539,709	)
	(5,080,178	)		(14,990,222	)		(2,821,388	)		(8,070,006	)
	(66,805	)		208			(156,300	)		5,076
	(6,366,465	)		(7,704,746	)		9,822,214			(21,708,008	)
	640,480			(1,746,954	)		34,659,230			(22,267,195	)
	171,855,861			173,602,815			270,932,382			293,199,577
$	172,496,341		$	171,855,861		$	305,591,612		$	270,932,382
$	2,251,466		$	-		$	3,775,430		$	1,041,594
$	-		$	(369,478	)	$	-		$	-

121

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Fundamental Value Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	12,081,875		$	16,792,361
Net realized gain (loss) on investment transactions		13,860,430			14,910,627
Net change in unrealized appreciation (depreciation) on investments		66,021,804			(58,517,917	)
Net increase (decrease) in net assets resulting from operations		91,964,109			(26,814,929	)
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			(3,173,350	)
Class I		-			-
Class S		-			(6,669,303	)
Class Y		-			(2,482,290	)
Class L		-			(990,280	)
Class A		-			(2,512,999	)
Class N		-			(8,627	)
Total distributions from net investment income		-			(15,836,849	)
Net fund share transactions (Note 5):
Class Z		27,387,898			193,073,485
Class I		-			-
Class S		15,585,121			(79,871,278	)
Class Y		(11,632,565	)		27,740,899
Class L		2,718,914			(59,809,034	)
Class A		1,011,165			2,443,910
Class N		(1,149,996	)		(34,573	)
Increase (decrease) in net assets from fund share transactions		33,920,537			83,543,409
Total increase (decrease) in net assets		125,884,646			40,891,631
Net assets
Beginning of period		1,132,812,633			1,091,921,002
End of period	$	1,258,697,279		$	1,132,812,633
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	24,928,224		$	12,846,349
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

122

MassMutual Select Large Cap Value Fund						MM S&P 500 Index Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	2,782,225		$	5,378,182		$	19,322,798		$	33,961,171
	40,242,519			61,647,483			8,164,402			722,131
	(8,118,349	)		(93,407,246	)		165,072,229			(1,442,684	)
	34,906,395			(26,381,581	)		192,559,429			33,240,618
	-			-			-			(1,549	)
	-			-			-			(14,064,540	)
	-			(2,378,469	)		-			(7,161,450	)
	-			(445,445	)		-			(4,078,831	)
	-			(245,566	)		-			(3,555,325	)
	-			(153,036	)		-			(4,755,323	)
	-			-			-			(37,490	)
	-			(3,222,516	)		-			(33,654,508	)
	-			-			27,384,203			55,374,020
	-			-			(7,301,221	)		45,624,665
	(41,592,105	)		(51,346,139	)		26,175,036			(34,207,169	)
	(17,079,551	)		(11,877,283	)		(9,312,530	)		(46,928,584	)
	(4,574,407	)		(26,948,559	)		13,507,949			14,854,167
	(28,206,781	)		(44,271,954	)		(3,197,718	)		34,247,275
	(352,432	)		(250,310	)		165,404			401,292
	(91,805,276	)		(134,694,245	)		47,421,123			69,365,666
	(56,898,881	)		(164,298,342	)		239,980,552			68,951,776
	529,455,050			693,753,392			2,040,676,238			1,971,724,462
$	472,556,169		$	529,455,050		$	2,280,656,790		$	2,040,676,238
$	1,939,227		$	-		$	26,996,284		$	7,673,486
$	-		$	(842,998	)	$	-		$	-

123

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Focused Value  Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,454,063		$	3,565,677
Net realized gain (loss) on investment transactions		16,945,040			51,427,499
Net change in unrealized appreciation (depreciation) on investments		27,278,026			(54,597,347	)
Net increase (decrease) in net assets resulting from operations		45,677,129			395,829
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			(689,734	)
Class S		-			(3,730,426	)
Class Y		-			(782,449	)
Class L		-			(392,187	)
Class A		-			(559,660	)
Total distributions from net investment income		-			(6,154,456	)
From net realized gains:
Class Z		-			(755,800	)
Class S		-			(5,082,289	)
Class Y		-			(1,148,482	)
Class L		-			(1,124,357	)
Class A		-			(2,775,516	)
Class N		-			(27,306	)
Total distributions from net realized gains		-			(10,913,750	)
Net fund share transactions (Note 5):
Class Z		8,430,393			86,157,244
Class S		17,051,764			(67,072,449	)
Class Y		(14,994,890	)		(7,099,211	)
Class L		3,286,216			(28,426,517	)
Class A		(2,667,084	)		(23,582,478	)
Class N		(1,152,171	)		(412,783	)
Increase (decrease) in net assets from fund share transactions		9,954,228			(40,436,194	)
Total increase (decrease) in net assets		55,631,357			(57,108,571	)
Net assets
Beginning of period		585,421,148			642,529,719
End of period	$	641,052,505		$	585,421,148
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	1,313,786		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(140,277	)

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

124

MassMutual Select Fundamental Growth Fund						MassMutual Select Blue Chip Growth Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	73,673		$	36,667		$	(390,923	)	$	9,295
	7,473,015			8,320,498			5,488,385			28,141,436
	(1,681,997	)		(6,895,628	)		78,499,816			(18,726,012	)
	5,864,691			1,461,537			83,597,278			9,424,719
	-			-			-			-
	-			(31,840	)		-			(4,344	)
	-			(1,143	)		-			-
	-			-			-			-
	-			-			-			-
	-			(32,983	)		-			(4,344	)
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	50,117,948			(1,383,156	)		32,144,835			101,900,549
	1,164,246			169,263			28,208,099			45,229,167
	891,990			113,480			20,019,099			(17,459,831	)
	2,068,610			(4,441,086	)		40,342,808			8,541,616
	(153,064	)		(10,446	)		660,742			(278,873	)
	54,089,730			(5,551,945	)		121,375,583			137,932,628
	59,954,421			(4,123,391	)		204,972,861			147,353,003
	45,361,400			49,484,791			677,748,510			530,395,507
$	105,315,821		$	45,361,400		$	882,721,371		$	677,748,510
$	67,110		$	-		$	(534,246	)	$	(143,323	)
$	-		$	(6,563	)	$	-		$	-

125

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Growth Opportunities Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(489,548	)	$	(1,009,250	)
Net realized gain (loss) on investment transactions		5,668,902			21,286,399
Net change in unrealized appreciation (depreciation) on investments		37,261,202			(4,526,779	)
Net increase (decrease) in net assets resulting from operations		42,440,556			15,750,370
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class S		-			-
Class Y		-			-
Class A		-			-
Class N		-			-
Total distributions from net investment income		-			-
Net fund share transactions (Note 5):
Class Z		19,294,884			100,100
Class S		13,378,455			11,550,727
Class Y		2,609,446			6,494,578
Class L		40,581,088			(28,835,541	)
Class A		11,275,241			(4,758,506	)
Class N		(10,235	)		(7,760	)
Increase (decrease) in net assets from fund share transactions		87,128,879			(15,456,402	)
Total increase (decrease) in net assets		129,569,435			293,968
Net assets
Beginning of period		341,598,454			341,304,486
End of period	$	471,167,889		$	341,598,454
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(570,882	)	$	(81,334	)
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

126

MassMutual Select Mid-Cap Value Fund						MassMutual Select Small Cap Value Equity Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	1,144,714		$	1,613,807		$	374,010		$	288,319
	4,268,125			7,653,549			3,751,075			4,980,718
	4,933,357			(14,049,154	)		3,396,163			(8,862,352	)
	10,346,196			(4,781,798	)		7,521,248			(3,593,315	)
	-			(1,144	)		-			-
	-			(1,448,964	)		-			(293,188	)
	-			(15,668	)		-			(6,291	)
	-			(20,969	)		-			-
	-			(195	)		-			-
	-			(1,486,940	)		-			(299,479	)
	4,502,526			131,597			-			-
	(678,432	)		44,915,358			4,310,399			27,772,977
	44,399			563,093			(675,223	)		(1,636,001	)
	(1,321,031	)		(38,452,013	)		(30,005	)		(19,543,503	)
	(84,976	)		(1,115,670	)		(514,767	)		(2,672,434	)
	(2,820	)		2,923			(14,194	)		(855	)
	2,459,666			6,045,288			3,076,210			3,920,184
	12,805,862			(223,450	)		10,597,458			27,390
	140,784,148			141,007,598			102,082,194			102,054,804
$	153,590,010		$	140,784,148		$	112,679,652		$	102,082,194
$	1,291,647		$	146,933		$	354,955		$	-
$	-		$	-		$	-		$	(19,055	)

127

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Company Value Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,799,594		$	601,337
Net realized gain (loss) on investment transactions		4,227,729			27,293,759
Net change in unrealized appreciation (depreciation) on investments		18,301,972			(44,462,668	)
Net increase (decrease) in net assets resulting from operations		24,329,295			(16,567,572	)
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			(149,721	)
Class S		-			(634,604	)
Class Y		-			(105,624	)
Class L		-			(2,061	)
Total distributions from net investment income		-			(892,010	)
From net realized gains:
Class Z		-			(1,180,400	)
Class S		-			(9,838,562	)
Class Y		-			(2,093,371	)
Class L		-			(1,442,392	)
Class A		-			(4,147,809	)
Class N		-			(28,268	)
Total distributions from net realized gains		-			(18,730,802	)
Net fund share transactions (Note 5):
Class Z		31,522,708			48,334,998
Class S		(27,486,452	)		(59,860,932	)
Class Y		(5,477,234	)		(9,803,483	)
Class L		113,826			(14,194,301	)
Class A		(1,863,973	)		(11,356,932	)
Class N		(544,137	)		(95,674	)
Increase (decrease) in net assets from fund share transactions		(3,735,262	)		(46,976,324	)
Total increase (decrease) in net assets		20,594,033			(83,166,708	)
Net assets
Beginning of period		463,893,637			547,060,345
End of period	$	484,487,670		$	463,893,637
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	944,629		$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(854,965	)

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

128

MassMutual Select Mid Cap Growth Equity II Fund						MassMutual Select Small Cap Growth Equity Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	(3,711,538	)	$	(9,024,448	)	$	(2,363,005	)	$	(5,131,768	)
	79,915,013			152,403,254			16,216,842			74,422,799
	43,680,392			(180,595,870	)		48,336,545			(117,295,098	)
	119,883,867			(37,217,064	)		62,190,382			(48,004,067	)
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			-			-			-
	-			(8,814,029	)		-			(4,327,592	)
	-			(36,981,100	)		-			(67,833,572	)
	-			(14,755,278	)		-			(9,197,341	)
	-			(26,462,377	)		-			(6,715,545	)
	-			(26,822,892	)		-			(10,146,346	)
	-			(169,444	)		-			(63,501	)
	-			(114,005,120	)		-			(98,283,897	)
	59,473,454			165,647,819			(521,391	)		125,943,537
	(27,359,831	)		(49,654,197	)		605,382			(46,065,313	)
	2,827,466			(4,732,352	)		(6,636,590	)		(3,408,667	)
	(10,305,627	)		(85,822,166	)		(244,651	)		(1,749,646	)
	(8,250,679	)		(15,935,524	)		(6,533,273	)		(5,398,513	)
	(206,135	)		(170,138	)		(37,507	)		54,790
	16,178,648			9,333,442			(13,368,030	)		69,376,188
	136,062,515			(141,888,742	)		48,822,352			(76,911,776	)
	1,436,499,065			1,578,387,807			735,380,929			812,292,705
$	1,572,561,580		$	1,436,499,065		$	784,203,281		$	735,380,929
$	(6,572,442	)	$	(2,860,904	)	$	(2,513,924	)	$	(150,919	)
$	-		$	-		$	-		$	-

129

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Company Growth Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(206,062	)	$	(541,556	)
Net realized gain (loss) on investment transactions		3,541,572			9,857,512
Net change in unrealized appreciation (depreciation) on investments		(165,242	)		(10,856,767	)
Net increase (decrease) in net assets resulting from operations		3,170,268			(1,540,811	)
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Class N		-			-
Total distributions from net investment income		-			-
Net fund share transactions (Note 5):
Class Z		-			-
Class S		(2,105,256	)		10,661,922
Class Y		137,646			(353,528	)
Class L		(7,924	)		(12,540,409	)
Class A		(1,036,332	)		(3,936,674	)
Class N		(105,362	)		1,771
Increase (decrease) in net assets from fund share transactions		(3,117,228	)		(6,166,918	)
Total increase (decrease) in net assets		53,040			(7,707,729	)
Net assets
Beginning of period		56,133,413			63,841,142
End of period	$	56,186,453		$	56,133,413
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(225,352	)	$	-
Distributions in excess of net investment income included in net assets at end of period	$	-		$	(19,290	)

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

130

MassMutual Select Diversified International Fund						MassMutual Select Overseas Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	3,170,780		$	3,260,334		$	8,720,667		$	9,012,969
	(4,685,967	)		(5,371,337	)		(5,026,289	)		10,324,003
	5,976,803			(23,331,437	)		22,604,126			(93,650,679	)
	4,461,616			(25,442,440	)		26,298,504			(74,313,707	)
	-			-			-			(3,616,127	)
	-			(3,731,253	)		-			(2,580,694	)
	-			(65	)		-			(1,330,265	)
	-			(26,064	)		-			(836,110	)
	-			(22,612	)		-			(761,666	)
	-			(1,339	)		-			(2,057	)
	-			(3,781,333	)		-			(9,126,919	)
	-			-			279,716			276,472,638
	11,550,220			44,525,090			10,991,283			(155,177,848	)
	4,729			(6,151,446	)		(1,910,319	)		4,089,702
	448,839			(29,671,220	)		596,714			(116,004,923	)
	(244,135	)		(182,441	)		(178,558	)		(8,573,900	)
	(58,616	)		(78	)		51,777			38,708
	11,701,037			8,519,905			9,830,613			844,377
	16,162,653			(20,703,868	)		36,129,117			(82,596,249	)
	124,099,051			144,802,919			486,049,255			568,645,504
$	140,261,704		$	124,099,051		$	522,178,372		$	486,049,255
$	2,658,094		$	-		$	11,819,770		$	3,099,103
$	-		$	(512,686	)	$	-		$	-

131

MassMutual Select PIMCO Total Return 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) ***		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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets ‡‡			Interest expense to average daily net assets ‡‡‡			Ratio of expenses to average daily net assets ‡			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	9.98	$	0.13	$	0.38		$	0.51	$	-		$	-		$	-		$	10.49		5.11%	**	$	397,658		0.41%	*		0.00	*††		0.41%	*		2.64%	*		264%	**
12/31/11		10.09		0.33		(0.09	)		0.24		(0.35	)		-			(0.35	)		9.98		2.41%			402,361		0.40%			N/A			N/A			3.26%			442%
12/31/10 +		10.00		0.16		0.15			0.31		(0.14	)		(0.08	)		(0.22	)		10.09		3.13%	**		3,658		0.42%	*		N/A			N/A			3.15%	*		299%	**
Class S
06/30/12 ≈	$	9.97	$	0.13	$	0.37		$	0.50	$	-		$	-		$	-		$	10.47		5.02%	**	$	109,214		0.56%	*		0.00	*††		0.56%	*		2.49%	*		264%	**
12/31/11		10.07		0.31		(0.07	)		0.24		(0.34	)		-			(0.34	)		9.97		2.37%			79,275		0.55%			N/A			N/A			3.02%			442%
12/31/10 +		10.00		0.14		0.14			0.28		(0.13	)		(0.08	)		(0.21	)		10.07		2.88%	**		29,273		0.57%	*		N/A			N/A			2.77%	*		299%	**
Class Y
06/30/12 ≈	$	9.99	$	0.12	$	0.37		$	0.49	$	-		$	-		$	-		$	10.48		4.90%	**	$	507,161		0.68%	*		0.00	*††		0.68%	*		2.37%	*		264%	**
12/31/11		10.09		0.30		(0.08	)		0.22		(0.32	)		-			(0.32	)		9.99		2.21%			454,979		0.67%			N/A			N/A			2.89%			442%
12/31/10 +		10.00		0.13		0.16			0.29		(0.12	)		(0.08	)		(0.20	)		10.09		2.98%	**		516,171		0.69%	*		N/A			N/A			2.51%	*		299%	**
Class L
06/30/12 ≈	$	9.95	$	0.12	$	0.37		$	0.49	$	-		$	-		$	-		$	10.44		4.92%	**	$	83,433		0.76%	*		0.00	*††		0.76%	*		2.28%	*		264%	**
12/31/11		10.07		0.29		(0.08	)		0.21		(0.33	)		-			(0.33	)		9.95		2.13%			66,880		0.75%			N/A			N/A			2.87%			442%
12/31/10 +		10.00		0.13		0.15			0.28		(0.13	)		(0.08	)		(0.21	)		10.07		2.81%	**		27,909		0.77%	*		N/A			N/A			2.57%	*		299%	**
Class A
06/30/12 ≈	$	9.99	$	0.11	$	0.37		$	0.48	$	-		$	-		$	-		$	10.47		4.80%	**	$	734,652		0.86%	*		0.00	*††		0.86%	*		2.19%	*		264%	**
12/31/11		10.09		0.28		(0.08	)		0.20		(0.30	)		-			(0.30	)		9.99		2.03%			703,315		0.85%			N/A			N/A			2.71%			442%
12/31/10 +		10.00		0.12		0.16			0.28		(0.11	)		(0.08	)		(0.19	)		10.09		2.89%	**		708,198		0.87%	*		N/A			N/A			2.34%	*		299%	**
Class N
06/30/12 ≈	$	9.97	$	0.10	$	0.36		$	0.46	$	-		$	-		$	-		$	10.43		4.72%	**	$	36,967		1.11%	*		0.00	*††		1.11%	*		1.94%	*		264%	**
12/31/11		10.08		0.26		(0.07	)		0.19		(0.30	)		-			(0.30	)		9.97		1.77%			24,105		1.10%			N/A			N/A			2.50%			442%
12/31/10 +		10.00		0.11		0.15			0.26		(0.10	)		(0.08	)		(0.18	)		10.08		2.70%	**		9,825		1.12%	*		N/A			N/A			2.12%	*		299%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

†† Amount is less than 0.005%.

‡ Includes interest expense.

‡‡ Excludes interest expense.

‡‡‡ Interest expense incurred as a result of entering into reverse repurchase agreements or dollar roll transactions is included in the Fund’s net expenses in the Statements of Operations. Income earned on investing proceeds from reverse repurchase agreements is included in interest income in the Statements of Operations.

+ For the period July 6, 2010 (commencement of operations) through December 31, 2010.

≈ Unaudited.

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

132

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***		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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.91	$	0.16	$	0.26		$	0.42		$	-		$	-		$	-		$	10.33		4.24%	**	$	75,774		0.69%	*		N/A			3.21%	*		222%	**
12/31/11		9.60		0.31		0.33			0.64			(0.33	)		-			(0.33	)		9.91		6.61%			75,607		0.66%			N/A			3.14%			669%
12/31/10		9.18		0.40		0.55			0.95			(0.53	)		-			(0.53	)		9.60		10.51%			48,222		0.66%			N/A			4.10%			267%
12/31/09		8.40		0.50		1.09			1.59			(0.81	)		-			(0.81	)		9.18		18.95%			49,528		0.66%			N/A			5.54%			66%
12/31/08		10.04		0.56		(1.40	)		(0.84	)		(0.54	)		(0.26	)		(0.80	)		8.40		(8.19%	)		53,079		0.65%			N/A			5.78%			74%
12/31/07		10.02		0.50		(0.08	)		0.42			(0.40	)		-			(0.40	)		10.04		4.32%			104,158		0.64%			N/A			4.93%			248%
Class Y
06/30/12 ≈	$	9.92	$	0.16	$	0.25		$	0.41		$	-		$	-		$	-		$	10.33		4.13%	**	$	27,799		0.74%	*		N/A			3.15%	*		222%	**
12/31/11		9.61		0.31		0.33			0.64			(0.33	)		-			(0.33	)		9.92		6.54%			27,303		0.71%			N/A			3.08%			669%
12/31/10		9.18		0.40		0.54			0.94			(0.51	)		-			(0.51	)		9.61		10.46%			28,610		0.71%			N/A			4.12%			267%
12/31/09		8.40		0.49		1.10			1.59			(0.81	)		-			(0.81	)		9.18		18.90%			56,838		0.71%			N/A			5.41%			66%
12/31/08		10.04		0.56		(1.41	)		(0.85	)		(0.53	)		(0.26	)		(0.79	)		8.40		(8.30%	)		63,385		0.70%			N/A			5.73%			74%
12/31/07		10.02		0.49		(0.08	)		0.41			(0.39	)		-			(0.39	)		10.04		4.26%			150,260		0.69%			N/A			4.87%			248%
Class L
06/30/12 ≈	$	9.90	$	0.15	$	0.26		$	0.41		$	-		$	-		$	-		$	10.31		4.14%	**	$	30,519		0.89%	*		N/A			3.01%	*		222%	**
12/31/11		9.58		0.29		0.33			0.62			(0.30	)		-			(0.30	)		9.90		6.43%			26,987		0.86%			N/A			2.90%			669%
12/31/10		9.16		0.38		0.55			0.93			(0.51	)		-			(0.51	)		9.58		10.34%			41,764		0.86%			N/A			3.88%			267%
12/31/09		8.39		0.47		1.10			1.57			(0.80	)		-			(0.80	)		9.16		18.70%			36,382		0.86%			N/A			5.06%			66%
12/31/08		10.03		0.55		(1.41	)		(0.86	)		(0.52	)		(0.26	)		(0.78	)		8.39		(8.42%	)		20,994		0.85%			0.82%	#		5.68%			74%
12/31/07		10.01		0.49		(0.08	)		0.41			(0.39	)		-			(0.39	)		10.03		4.23%			29,782		0.84%			0.75%	#		4.83%			248%
Class A
06/30/12 ≈	$	9.89	$	0.14	$	0.25		$	0.39		$	-		$	-		$	-		$	10.28		3.94%	**	$	37,447		1.14%	*		N/A			2.75%	*		222%	**
12/31/11		9.56		0.26		0.34			0.60			(0.27	)		-			(0.27	)		9.89		6.23%			40,971		1.11%			N/A			2.68%			669%
12/31/10		9.14		0.36		0.54			0.90			(0.48	)		-			(0.48	)		9.56		10.00%			54,043		1.11%			N/A			3.68%			267%
12/31/09		8.37		0.45		1.09			1.54			(0.77	)		-			(0.77	)		9.14		18.39%			62,233		1.11%			N/A			5.02%			66%
12/31/08		10.00		0.51		(1.39	)		(0.88	)		(0.49	)		(0.26	)		(0.75	)		8.37		(8.60%	)		67,723		1.10%			1.07%	#		5.25%			74%
12/31/07		9.99		0.46		(0.08	)		0.38			(0.37	)		-			(0.37	)		10.00		3.95%			82,172		1.09%			1.00%	#		4.59%			248%
Class N
06/30/12 ≈	$	9.85	$	0.12	$	0.26		$	0.38		$	-		$	-		$	-		$	10.23		3.86%	**	$	957		1.44%	*		N/A			2.45%	*		222%	**
12/31/11		9.55		0.23		0.33			0.56			(0.26	)		-			(0.26	)		9.85		5.80%			988		1.41%			N/A			2.37%			669%
12/31/10		9.14		0.32		0.55			0.87			(0.46	)		-			(0.46	)		9.55		9.70%			963		1.41%			N/A			3.33%			267%
12/31/09		8.37		0.42		1.09			1.51			(0.74	)		-			(0.74	)		9.14		17.95%			820		1.41%			N/A			4.70%			66%
12/31/08		9.96		0.46		(1.37	)		(0.91	)		(0.42	)		(0.26	)		(0.68	)		8.37		(8.86%	)		758		1.40%			1.35%	#		4.72%			74%
12/31/07		9.96		0.43		(0.08	)		0.35			(0.35	)		-			(0.35	)		9.96		3.62%			3,560		1.39%			1.30%	#		4.28%			248%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

133

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	8.87	$	0.09	$	0.71		$	0.80		$	-		$	-		$	-		$	-		$	9.67		9.02%	**	$	247,965		0.60%	*		1.99%	*		20%	**
12/31/11		8.92		0.16		(0.05	)		0.11			(0.16	)		-			-			(0.16	)		8.87		1.37%			212,076		0.59%			1.79%			36%
12/31/10		8.08		0.15		0.86			1.01			(0.17	)		-			-			(0.17	)		8.92		12.56%			186,639		0.60%			1.86%			130%
12/31/09		6.85		0.15		1.23			1.38			(0.15	)		-			-			(0.15	)		8.08		20.10%			200,237		0.60%			2.20%			68%
12/31/08		12.09		0.26		(5.19	)		(4.93	)		(0.29	)		(0.02	)		(0.00	) †		(0.31	)		6.85		(40.73%	)		153,801		0.59%			2.61%			17%
12/31/07		13.14		0.28		(0.59	)		(0.31	)		(0.26	)		(0.48	)		-			(0.74	)		12.09		(2.39%	)		316,945		0.58%			2.12%			17%
Class Y
06/30/12 ≈	$	8.87	$	0.09	$	0.70		$	0.79		$	-		$	-		$	-		$	-		$	9.66		8.91%	**	$	24,003		0.70%	*		1.86%	*		20%	**
12/31/11		8.92		0.15		(0.05	)		0.10			(0.15	)		-			-			(0.15	)		8.87		1.25%			23,925		0.69%			1.69%			36%
12/31/10		8.08		0.15		0.85			1.00			(0.16	)		-			-			(0.16	)		8.92		12.45%			33,138		0.70%			1.78%			130%
12/31/09		6.85		0.15		1.21			1.36			(0.13	)		-			-			(0.13	)		8.08		19.92%			31,928		0.70%			2.26%			68%
12/31/08		12.07		0.25		(5.17	)		(4.92	)		(0.28	)		(0.02	)		(0.00	) †		(0.30	)		6.85		(40.74%	)		54,181		0.69%			2.49%			17%
12/31/07		13.12		0.27		(0.59	)		(0.32	)		(0.25	)		(0.48	)		-			(0.73	)		12.07		(2.51%	)		132,425		0.68%			2.01%			17%
Class L
06/30/12 ≈	$	8.90	$	0.08	$	0.71		$	0.79		$	-		$	-		$	-		$	-		$	9.69		8.88%	**	$	9,261		0.80%	*		1.77%	*		20%	**
12/31/11		8.92		0.14		(0.04	)		0.10			(0.12	)		-			-			(0.12	)		8.90		1.17%			9,809		0.80%			1.52%			36%
12/31/10		8.08		0.13		0.86			0.99			(0.15	)		-			-			(0.15	)		8.92		12.35%			40,298		0.81%			1.63%			130%
12/31/09		6.85		0.14		1.22			1.36			(0.13	)		-			-			(0.13	)		8.08		19.85%			42,209		0.81%			2.06%			68%
12/31/08		12.07		0.24		(5.17	)		(4.93	)		(0.27	)		(0.02	)		(0.00	) †		(0.29	)		6.85		(40.83%	)		44,160		0.80%			2.41%			17%
12/31/07		13.13		0.26		(0.61	)		(0.35	)		(0.23	)		(0.48	)		-			(0.71	)		12.07		(2.67%	)		86,154		0.79%			1.93%			17%
Class A
06/30/12 ≈	$	8.86	$	0.07	$	0.71		$	0.78		$	-		$	-		$	-		$	-		$	9.64		8.80%	**	$	24,242		1.09%	*		1.48%	*		20%	**
12/31/11		8.90		0.11		(0.04	)		0.07			(0.11	)		-			-			(0.11	)		8.86		0.83%			24,863		1.09%			1.26%			36%
12/31/10		8.06		0.11		0.85			0.96			(0.12	)		-			-			(0.12	)		8.90		11.96%			32,870		1.10%			1.34%			130%
12/31/09		6.83		0.12		1.22			1.34			(0.11	)		-			-			(0.11	)		8.06		19.57%			45,592		1.10%			1.73%			68%
12/31/08		12.02		0.21		(5.15	)		(4.94	)		(0.23	)		(0.02	)		(0.00	) †		(0.25	)		6.83		(41.03%	)		52,940		1.09%			2.12%			17%
12/31/07		13.08		0.22		(0.59	)		(0.37	)		(0.21	)		(0.48	)		-			(0.69	)		12.02		(2.90%	)		108,293		1.08%			1.64%			17%
Class N
06/30/12 ≈	$	8.90	$	0.05	$	0.71		$	0.76		$	-		$	-		$	-		$	-		$	9.66		8.54%	**	$	120		1.41%	*		1.07%	*		20%	**
12/31/11		8.94		0.09		(0.04	)		0.05			(0.09	)		-			-			(0.09	)		8.90		0.63%			259		1.40%			0.98%			36%
12/31/10		8.08		0.08		0.85			0.93			(0.07	)		-			-			(0.07	)		8.94		11.63%			255		1.41%			0.93%			130%
12/31/09		6.85		0.10		1.21			1.31			(0.08	)		-			-			(0.08	)		8.08		19.07%			556		1.41%			1.41%			68%
12/31/08		12.02		0.18		(5.14	)		(4.96	)		(0.19	)		(0.02	)		(0.00	) †		(0.21	)		6.85		(41.28%	)		620		1.40%			1.78%			17%
12/31/07		13.09		0.18		(0.60	)		(0.42	)		(0.17	)		(0.48	)		-			(0.65	)		12.02		(3.15%	)		2,486		1.39%			1.33%			17%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

134

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***		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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	10.04	$	0.12	$	0.70		$	0.82		$	-		$	-		$	-		$	10.86		8.17%	**	$	227,105		0.74%	*		0.59%	*#		2.28%	*		9%	**
12/31/11		10.48		0.20		(0.43	)		(0.23	)		(0.21	)		-			(0.21	)		10.04		(2.06%	)		184,034		0.75%			0.60%	#		2.00%			14%
12/31/10 +		9.82		0.03		0.63			0.66			-			-			-			10.48		6.72%	**		107		0.75%	*		0.65%	*#		1.98%	*		30%	~
Class S
06/30/12 ≈	$	10.07	$	0.11	$	0.70		$	0.81		$	-		$	-		$	-		$	10.88		8.04%	**	$	455,922		0.95%	*		0.80%	*#		2.06%	*		9%	**
12/31/11		10.49		0.17		(0.42	)		(0.25	)		(0.17	)		-			(0.17	)		10.07		(2.29%	)		407,353		0.94%			0.80%	#		1.62%			14%
12/31/10		9.35		0.13		1.14			1.27			(0.13	)		-			(0.13	)		10.49		13.91%			500,716		0.81%			0.80%	#		1.35%			30%
12/31/09		7.53		0.13		1.69			1.82			(0.00	) †		-			(0.00	) †		9.35		24.17%			446,975		0.80%			N/A			1.68%			47%
12/31/08		11.85		0.19		(4.18	)		(3.99	)		(0.20	)		(0.13	)		(0.33	)		7.53		(33.98%	)		357,433		0.80%			N/A			1.88%			53%
12/31/07		12.36		0.18		0.85			1.03			(0.17	)		(1.37	)		(1.54	)		11.85		8.50%			560,524		0.79%			N/A			1.38%			37%
Class Y
06/30/12 ≈	$	10.05	$	0.11	$	0.69		$	0.80		$	-		$	-		$	-		$	10.85		7.96%	**	$	155,317		0.98%	*		0.83%	*#		2.00%	*		9%	**
12/31/11		10.46		0.17		(0.41	)		(0.24	)		(0.17	)		-			(0.17	)		10.05		(2.20%	)		154,312		0.98%			0.84%	#		1.60%			14%
12/31/10		9.33		0.12		1.14			1.26			(0.13	)		-			(0.13	)		10.46		13.81%			133,797		0.85%			0.84%	#		1.30%			30%
12/31/09		7.52		0.13		1.68			1.81			(0.00	) †		-			(0.00	) †		9.33		24.07%			129,536		0.84%			N/A			1.63%			47%
12/31/08		11.84		0.18		(4.18	)		(4.00	)		(0.19	)		(0.13	)		(0.32	)		7.52		(33.97%	)		92,098		0.84%			N/A			1.85%			53%
12/31/07		12.34		0.17		0.86			1.03			(0.16	)		(1.37	)		(1.53	)		11.84		8.37%			135,962		0.83%			N/A			1.33%			37%
Class L
06/30/12 ≈	$	10.09	$	0.10	$	0.69		$	0.79		$	-		$	-		$	-		$	10.88		7.83%	**	$	111,128		1.14%	*		0.99%	*#		1.87%	*		9%	**
12/31/11		10.45		0.15		(0.41	)		(0.26	)		(0.10	)		-			(0.10	)		10.09		(2.39%	)		100,173		1.13%			0.98%	#		1.41%			14%
12/31/10		9.31		0.11		1.14			1.25			(0.11	)		-			(0.11	)		10.45		13.71%			162,055		1.00%			0.99%	#		1.15%			30%
12/31/09		7.52		0.12		1.67			1.79			(0.00	) †		-			(0.00	) †		9.31		23.81%			168,790		0.99%			N/A			1.50%			47%
12/31/08		11.82		0.17		(4.17	)		(4.00	)		(0.17	)		(0.13	)		(0.30	)		7.52		(34.04%	)		141,302		0.99%			N/A			1.68%			53%
12/31/07		12.33		0.15		0.85			1.00			(0.14	)		(1.37	)		(1.51	)		11.82		8.22%			264,796		0.98%			N/A			1.18%			37%
Class A
06/30/12 ≈	$	9.99	$	0.09	$	0.68		$	0.77		$	-		$	-		$	-		$	10.76		7.71%	**	$	308,315		1.39%	*		1.24%	*#		1.62%	*		9%	**
12/31/11		10.36		0.12		(0.40	)		(0.28	)		(0.09	)		-			(0.09	)		9.99		(2.65%	)		284,989		1.38%			1.24%	#		1.19%			14%
12/31/10		9.24		0.09		1.13			1.22			(0.10	)		-			(0.10	)		10.36		13.46%			293,195		1.25%			1.24%	#		0.91%			30%
12/31/09		7.48		0.10		1.66			1.76			(0.00	) †		-			(0.00	) †		9.24		23.53%			241,206		1.24%			N/A			1.24%			47%
12/31/08		11.76		0.14		(4.14	)		(4.00	)		(0.15	)		(0.13	)		(0.28	)		7.48		(34.22%	)		176,524		1.24%			N/A			1.44%			53%
12/31/07		12.28		0.12		0.84			0.96			(0.11	)		(1.37	)		(1.48	)		11.76		7.93%			283,159		1.23%			N/A			0.94%			37%
Class N
06/30/12 ≈	$	9.90	$	0.07	$	0.68		$	0.75		$	-		$	-		$	-		$	10.65		7.58%	**	$	911		1.68%	*		1.53%	*#		1.34%	*		9%	**
12/31/11		10.25		0.09		(0.40	)		(0.31	)		(0.04	)		-			(0.04	)		9.90		(2.95%	)		1,951		1.68%			1.54%	#		0.89%			14%
12/31/10		9.13		0.06		1.11			1.17			(0.05	)		-			(0.05	)		10.25		12.97%			2,051		1.55%			1.54%	#		0.60%			30%
12/31/09		7.41		0.07		1.65			1.72			(0.00	) †		-			(0.00	) †		9.13		23.21%			2,403		1.54%			N/A			0.95%			47%
12/31/08		11.66		0.11		(4.10	)		(3.99	)		(0.13	)		(0.13	)		(0.26	)		7.41		(34.42%	)		2,063		1.54%			N/A			1.15%			53%
12/31/07		12.20		0.08		0.85			0.93			(0.10	)		(1.37	)		(1.47	)		11.66		7.68%			2,807		1.53%			N/A			0.65%			37%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

135

MassMutual Select Large 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) ***		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	10.08	$	0.06	$	0.61		$	0.67		$	-		$	-		$	-		$	-		$	10.75		6.65%	**	$	287,910		0.77%	*		1.20%	*		5%	**
12/31/11		10.60		0.10		(0.54	)		(0.44	)		(0.08	)		-			-			(0.08	)		10.08		(4.15%	)		309,422		0.77%			1.00%			10%
12/31/10		9.50		0.09		1.15			1.24			(0.14	)		-			-			(0.14	)		10.60		13.08%			377,131		0.77%			0.91%			10%
12/31/09		7.29		0.07		2.22			2.29			(0.08	)		-			-			(0.08	)		9.50		31.48%			365,567		0.78%			0.92%			12%
12/31/08		12.64		0.11		(5.11	)		(5.00	)		(0.11	)		(0.23	)		(0.01	)		(0.35	)		7.29		(39.73%	)		334,045		0.77%			1.02%			17%
12/31/07		12.93		0.15		0.45			0.60			(0.16	)		(0.73	)		-			(0.89	)		12.64		4.68%			655,609		0.76%			1.11%			8%
Class Y
06/30/12 ≈	$	10.07	$	0.06	$	0.61		$	0.67		$	-		$	-		$	-		$	-		$	10.74		6.65%	**	$	53,189		0.86%	*		1.10%	*		5%	**
12/31/11		10.60		0.10		(0.56	)		(0.46	)		(0.07	)		-			-			(0.07	)		10.07		(4.34%	)		65,751		0.86%			0.91%			10%
12/31/10		9.50		0.08		1.15			1.23			(0.13	)		-			-			(0.13	)		10.60		12.98%			81,805		0.86%			0.82%			10%
12/31/09		7.29		0.06		2.23			2.29			(0.08	)		-			-			(0.08	)		9.50		31.39%			82,157		0.87%			0.82%			12%
12/31/08		12.62		0.10		(5.09	)		(4.99	)		(0.10	)		(0.23	)		(0.01	)		(0.34	)		7.29		(39.72%	)		61,599		0.86%			0.93%			17%
12/31/07		12.91		0.14		0.44			0.58			(0.14	)		(0.73	)		-			(0.87	)		12.62		4.53%			136,253		0.85%			1.05%			8%
Class L
06/30/12 ≈	$	10.06	$	0.05	$	0.61		$	0.66		$	-		$	-		$	-		$	-		$	10.72		6.56%	**	$	47,744		1.01%	*		0.96%	*		5%	**
12/31/11		10.57		0.08		(0.54	)		(0.46	)		(0.05	)		-			-			(0.05	)		10.06		(4.37%	)		48,977		1.01%			0.77%			10%
12/31/10		9.47		0.06		1.15			1.21			(0.11	)		-			-			(0.11	)		10.57		12.81%			78,893		1.01%			0.65%			10%
12/31/09		7.27		0.05		2.21			2.26			(0.06	)		-			-			(0.06	)		9.47		31.12%			110,367		1.02%			0.70%			12%
12/31/08		12.59		0.08		(5.08	)		(5.00	)		(0.09	)		(0.23	)		(0.00	) †		(0.32	)		7.27		(39.85%	)		119,982		1.01%			0.78%			17%
12/31/07		12.88		0.12		0.44			0.56			(0.12	)		(0.73	)		-			(0.85	)		12.59		4.39%			230,678		1.00%			0.89%			8%
Class A
06/30/12 ≈	$	10.03	$	0.04	$	0.61		$	0.65		$	-		$	-		$	-		$	-		$	10.68		6.48%	**	$	83,605		1.26%	*		0.71%	*		5%	**
12/31/11		10.54		0.05		(0.55	)		(0.50	)		(0.01	)		-			-			(0.01	)		10.03		(4.70%	)		104,872		1.26%			0.51%			10%
12/31/10		9.45		0.04		1.14			1.18			(0.09	)		-			-			(0.09	)		10.54		12.48%			155,189		1.26%			0.42%			10%
12/31/09		7.25		0.04		2.19			2.23			(0.03	)		-			-			(0.03	)		9.45		30.82%			172,363		1.27%			0.46%			12%
12/31/08		12.53		0.06		(5.04	)		(4.98	)		(0.07	)		(0.23	)		(0.00	) †		(0.30	)		7.25		(39.96%	)		193,387		1.26%			0.53%			17%
12/31/07		12.84		0.08		0.43			0.51			(0.09	)		(0.73	)		-			(0.82	)		12.53		4.04%			382,049		1.25%			0.63%			8%
Class N
06/30/12 ≈	$	9.93	$	0.02	$	0.60		$	0.62		$	-		$	-		$	-		$	-		$	10.55		6.24%	**	$	107		1.56%	*		0.32%	*		5%	**
12/31/11		10.44		0.02		(0.53	)		(0.51	)		-			-			-			-			9.93		(4.89%	)		434		1.55%			0.22%			10%
12/31/10		9.36		0.01		1.13			1.14			(0.06	)		-			-			(0.06	)		10.44		12.20%			735		1.56%			0.12%			10%
12/31/09		7.20		0.01		2.18			2.19			(0.03	)		-			-			(0.03	)		9.36		30.36%			926		1.57%			0.10%			12%
12/31/08		12.47		0.03		(5.02	)		(4.99	)		(0.05	)		(0.23	)		(0.00	) †		(0.28	)		7.20		(40.18%	)		573		1.56%			0.25%			17%
12/31/07		12.71		0.06		0.43			0.49			-			(0.73	)		-			(0.73	)		12.47		3.90%			569		1.55%			0.46%			8%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

136

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) ***		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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	11.66	$	0.13	$	0.98		$	1.11		$	-		$	-		$	-		$	12.77		9.52%	**	$	90,446		0.18%	*		0.08%	*#		2.06%	*		1%	**
12/31/11 ++		11.85		0.01		(0.02	)		(0.01	)		(0.18	)		-			(0.18	)		11.66		0.00%	**††		57,185		0.17%	*		0.06%	*#		1.80%	*		2%	~
Class I
06/30/12 ≈	$	11.69	$	0.12	$	0.98		$	1.10		$	-		$	-		$	-		$	12.79		9.41%	**	$	800,868		0.26%	*		0.21%	*#		1.92%	*		1%	**
12/31/11 +		11.70		0.22		(0.01	)		0.21			(0.22	)		-			(0.22	)		11.69		1.84%			737,960		0.21%			0.21%	##		1.85%			2%
12/31/10		10.36		0.20		1.33			1.53			(0.19	)		-			(0.19	)		11.70		14.93%			693,596		0.21%			N/A			1.84%			5%
12/31/09		8.32		0.19		2.00			2.19			(0.15	)		-			(0.15	)		10.36		26.31%			528,989		0.22%			N/A			2.10%			10%
12/31/08		13.69		0.24		(5.32	)		(5.08	)		(0.25	)		(0.04	)		(0.29	)		8.32		(37.17%	)		404,065		0.21%			N/A			2.13%			5%
12/31/07		13.25		0.25		0.45			0.70			(0.26	)		-			(0.26	)		13.69		5.27%			543,206		0.20%			N/A			1.79%			7%
Class S
06/30/12 ≈	$	11.71	$	0.11	$	0.97		$	1.08		$	-		$	-		$	-		$	12.79		9.22%	**	$	505,254		0.47%	*		0.42%	*#		1.70%	*		1%	**
12/31/11		11.71		0.19		(0.00	) †		0.19			(0.19	)		-			(0.19	)		11.71		1.69%			437,378		0.42%			0.42%	##		1.62%			2%
12/31/10		10.38		0.17		1.33			1.50			(0.17	)		-			(0.17	)		11.71		14.57%			470,762		0.43%			N/A			1.62%			5%
12/31/09		8.33		0.17		2.01			2.18			(0.13	)		-			(0.13	)		10.38		26.16%			425,981		0.43%			N/A			1.88%			10%
12/31/08		13.69		0.22		(5.32	)		(5.10	)		(0.22	)		(0.04	)		(0.26	)		8.33		(37.31%	)		367,765		0.43%			N/A			1.88%			5%
12/31/07		13.25		0.22		0.44			0.66			(0.22	)		-			(0.22	)		13.69		5.00%			710,278		0.42%			N/A			1.56%			7%
Class Y
06/30/12 ≈	$	11.58	$	0.10	$	0.98		$	1.08		$	-		$	-		$	-		$	12.66		9.33%	**	$	265,164		0.50%	*		0.45%	*#		1.67%	*		1%	**
12/31/11		11.59		0.19		(0.02	)		0.17			(0.18	)		-			(0.18	)		11.58		1.55%			251,190		0.45%			0.45%	##		1.58%			2%
12/31/10		10.27		0.17		1.31			1.48			(0.16	)		-			(0.16	)		11.59		14.56%			298,754		0.46%			N/A			1.58%			5%
12/31/09		8.25		0.16		1.99			2.15			(0.13	)		-			(0.13	)		10.27		26.03%			307,391		0.46%			N/A			1.85%			10%
12/31/08		13.56		0.21		(5.26	)		(5.05	)		(0.22	)		(0.04	)		(0.26	)		8.25		(37.31%	)		251,184		0.46%			N/A			1.86%			5%
12/31/07		13.12		0.21		0.45			0.66			(0.22	)		-			(0.22	)		13.56		5.01%			431,199		0.45%			N/A			1.53%			7%
Class L
06/30/12 ≈	$	11.57	$	0.11	$	0.96		$	1.07		$	-		$	-		$	-		$	12.64		9.25%	**	$	251,305		0.65%	*		0.40%	*#		1.72%	*		1%	**
12/31/11		11.58		0.19		(0.01	)		0.18			(0.19	)		-			(0.19	)		11.57		1.66%			217,548		0.60%			0.40%	#		1.65%			2%
12/31/10		10.26		0.17		1.33			1.50			(0.18	)		-			(0.18	)		11.58		14.69%			203,160		0.61%			0.41%	#		1.65%			5%
12/31/09		8.23		0.17		1.98			2.15			(0.12	)		-			(0.12	)		10.26		26.09%			156,894		0.61%			0.41%	#		1.92%			10%
12/31/08		13.54		0.22		(5.27	)		(5.05	)		(0.22	)		(0.04	)		(0.26	)		8.23		(37.33%	)		200,048		0.61%			0.41%	#		1.91%			5%
12/31/07		13.07		0.22		0.45			0.67			(0.20	)		-			(0.20	)		13.54		5.14%			351,221		0.60%			0.40%	#		1.59%			7%
Class A
06/30/12 ≈	$	11.51	$	0.09	$	0.96		$	1.05		$	-		$	-		$	-		$	12.56		9.12%	**	$	363,787		0.90%	*		0.65%	*#		1.47%	*		1%	**
12/31/11		11.52		0.16		(0.00	) †		0.16			(0.17	)		-			(0.17	)		11.51		1.42%			336,032		0.85%			0.65%	#		1.40%			2%
12/31/10		10.22		0.15		1.30			1.45			(0.15	)		-			(0.15	)		11.52		14.29%			302,470		0.86%			0.66%	#		1.39%			5%
12/31/09		8.21		0.14		1.98			2.12			(0.11	)		-			(0.11	)		10.22		25.83%			241,090		0.86%			0.66%	#		1.65%			10%
12/31/08		13.49		0.19		(5.24	)		(5.05	)		(0.19	)		(0.04	)		(0.23	)		8.21		(37.44%	)		183,342		0.86%			0.66%	#		1.66%			5%
12/31/07		13.03		0.18		0.45			0.63			(0.17	)		-			(0.17	)		13.49		4.82%			311,185		0.85%			0.65%	#		1.34%			7%
Class N
06/30/12 ≈	$	11.41	$	0.07	$	0.95		$	1.02		$	-		$	-		$	-		$	12.43		8.94%	**	$	3,831		1.20%	*		0.95%	*#		1.17%	*		1%	**
12/31/11		11.42		0.13		(0.01	)		0.12			(0.13	)		-			(0.13	)		11.41		1.13%			3,385		1.15%			0.95%	#		1.10%			2%
12/31/10		10.13		0.11		1.29			1.40			(0.11	)		-			(0.11	)		11.42		13.94%			2,982		1.16%			0.96%	#		1.09%			5%
12/31/09		8.14		0.12		1.95			2.07			(0.08	)		-			(0.08	)		10.13		25.46%			3,172		1.16%			0.96%	#		1.35%			10%
12/31/08		13.35		0.15		(5.17	)		(5.02	)		(0.15	)		(0.04	)		(0.19	)		8.14		(37.64%	)		2,540		1.16%			0.96%	#		1.33%			5%
12/31/07		12.90		0.14		0.44			0.58			(0.13	)		-			(0.13	)		13.35		4.53%			5,193		1.15%			0.95%	#		1.03%			7%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005%.

+ Class Z Shares were converted to Class I Shares on September 30, 2011.

++ For the period December 7, 2011 (commencement of operations) through December 31, 2011.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The Portfolio turnover rate results are for the fund.

≈ Unaudited.

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

137

MassMutual Select Focused 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	16.98	$	0.07		$	1.29		$	1.36		$	-		$	-		$	-		$	-		$	18.34		8.01%	**	$	102,077		0.78%	*		0.68%	*#		0.75%	*		16%	**
12/31/11		17.64		0.17			(0.22	)		(0.05	)		(0.29	)		(0.32	)		-			(0.61	)		16.98		(0.12%	)		86,517		0.79%			0.69%	#		1.01%			32%
12/31/10 +		16.92		0.02			0.70			0.72			-			-			-			-			17.64		4.26%	**		104		0.79%	*		0.69%	*#		0.77%	*		32%	~
Class S
06/30/12 ≈	$	17.00	$	0.06		$	1.30		$	1.36		$	-		$	-		$	-		$	-		$	18.36		8.00%	**	$	267,667		0.90%	*		0.80%	*#		0.60%	*		16%	**
12/31/11		17.63		0.13			(0.20	)		(0.07	)		(0.24	)		(0.32	)		-			(0.56	)		17.00		(0.23%	)		233,071		0.90%			0.80%	#		0.73%			32%
12/31/10		14.59		0.10			3.05			3.15			(0.11	)		-			-			(0.11	)		17.63		21.81%			307,649		0.82%			0.80%	#		0.62%			32%
12/31/09		8.94		0.10			5.55			5.65			-			-			-			-			14.59		63.20%			262,825		0.81%			N/A			0.89%			43%
12/31/08		16.62		0.17			(7.11	)		(6.94	)		(0.19	)		(0.55	)		(0.00	) †		(0.74	)		8.94		(42.82%	)		142,372		0.81%			N/A			1.27%			43%
12/31/07		18.59		0.13			0.28			0.41			(0.12	)		(2.26	)		-			(2.38	)		16.62		2.07%			349,391		0.80%			N/A			0.67%			44%
Class Y
06/30/12 ≈	$	16.88	$	0.04		$	1.29		$	1.33		$	-		$	-		$	-		$	-		$	18.21		7.88%	**	$	51,405		1.00%	*		0.90%	*#		0.49%	*		16%	**
12/31/11		17.49		0.11			(0.20	)		(0.09	)		(0.20	)		(0.32	)		-			(0.52	)		16.88		(0.35%	)		60,921		1.00%			0.90%	#		0.63%			32%
12/31/10		14.47		0.08			3.04			3.12			(0.10	)		-			-			(0.10	)		17.49		21.73%			70,955		0.92%			0.90%	#		0.52%			32%
12/31/09		8.87		0.09			5.51			5.60			-			-			-			-			14.47		63.13%			64,121		0.91%			N/A			0.78%			43%
12/31/08		16.49		0.16			(7.06	)		(6.90	)		(0.17	)		(0.55	)		(0.00	) †		(0.72	)		8.87		(42.89%	)		56,399		0.91%			N/A			1.17%			43%
12/31/07		18.47		0.09			0.29			0.38			(0.10	)		(2.26	)		-			(2.36	)		16.49		1.92%			131,434		0.90%			N/A			0.49%			44%
Class L
06/30/12 ≈	$	16.79	$	0.03		$	1.28		$	1.31		$	-		$	-		$	-		$	-		$	18.10		7.80%	**	$	68,758		1.15%	*		1.05%	*#		0.35%	*		16%	**
12/31/11		17.32		0.08			(0.18	)		(0.10	)		(0.11	)		(0.32	)		-			(0.43	)		16.79		(0.48%	)		60,937		1.15%			1.05%	#		0.46%			32%
12/31/10		14.33		0.05			3.01			3.06			(0.07	)		-			-			(0.07	)		17.32		21.54%			91,044		1.07%			1.05%	#		0.36%			32%
12/31/09		8.80		0.07			5.46			5.53			-			-			-			-			14.33		62.84%			98,934		1.06%			N/A			0.62%			43%
12/31/08		16.36		0.14			(7.00	)		(6.86	)		(0.15	)		(0.55	)		(0.00	) †		(0.70	)		8.80		(42.98%	)		69,539		1.06%			N/A			1.05%			43%
12/31/07		18.34		0.08			0.27			0.35			(0.07	)		(2.26	)		-			(2.33	)		16.36		1.79%			159,281		1.05%			N/A			0.39%			44%
Class A
06/30/12 ≈	$	16.46	$	0.01		$	1.26		$	1.27		$	-		$	-		$	-		$	-		$	17.73		7.72%	**	$	150,784		1.40%	*		1.30%	*#		0.10%	*		16%	**
12/31/11		16.99		0.04			(0.19	)		(0.15	)		(0.06	)		(0.32	)		-			(0.38	)		16.46		(0.79%	)		142,551		1.40%			1.30%	#		0.23%			32%
12/31/10		14.06		0.02			2.96			2.98			(0.05	)		-			-			(0.05	)		16.99		21.29%			170,895		1.32%			1.30%	#		0.12%			32%
12/31/09		8.66		0.04			5.36			5.40			-			-			-			-			14.06		62.36%			161,884		1.31%			N/A			0.38%			43%
12/31/08		16.09		0.10			(6.86	)		(6.76	)		(0.12	)		(0.55	)		(0.00	) †		(0.67	)		8.66		(43.10%	)		107,233		1.31%			N/A			0.80%			43%
12/31/07		18.08		0.05			0.25			0.30			(0.03	)		(2.26	)		-			(2.29	)		16.09		1.52%			224,393		1.30%			N/A			0.29%			44%
Class N
06/30/12 ≈	$	16.10	$	(0.02	)	$	1.23		$	1.21		$	-		$	-		$	-		$	-		$	17.31		7.52%	**	$	361		1.70%	*		1.60%	*#		(0.19%	) *		16%	**
12/31/11		16.60		(0.02	)		(0.16	)		(0.18	)		-			(0.32	)		-			(0.32	)		16.10		(1.02%	)		1,425		1.70%			1.60%	#		(0.09%	)		32%
12/31/10		13.73		(0.03	)		2.90			2.87			-			-			-			-			16.60		20.90%			1,882		1.62%			1.60%	#		(0.19%	)		32%
12/31/09		8.48		0.01			5.24			5.25			-			-			-			-			13.73		61.91%			2,617		1.61%			N/A			0.07%			43%
12/31/08		15.77		0.07			(6.72	)		(6.65	)		(0.09	)		(0.55	)		(0.00	) †		(0.64	)		8.48		(43.29%	)		1,522		1.60%			N/A			0.54%			43%
12/31/07		17.79		(0.02	)		0.26			0.24			-			(2.26	)		-			(2.26	)		15.77		1.21%			2,723		1.60%			N/A			(0.08%	)		44%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ Period from November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

138

MassMutual Select Fundamental Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Net asset value, beginning of the period		Income (loss) from investment operations									Less distributions to shareholders						Net asset value, end of the period			Total Return ^,^^			Ratios / Supplemental Data
			Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions									Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	5.89	$	0.02		$	0.57		$	0.59		$	-		$	-		$	6.48			10.02%	**	$	73,940		0.87%	*		0.80%	*#		0.47%	*		75%	**
12/31/11		5.72		0.02			0.16			0.18			(0.01	)		(0.01	)		5.89			3.13%			20,468		0.64%			N/A			0.31%			49%
12/31/10		4.75		0.01			0.96			0.97			-			-			5.72			20.42%			21,169		0.65%			N/A			0.25%			8%
12/31/09		3.09		0.00	†		1.66			1.66			-			-			4.75			53.72%			20,229		0.70%			N/A			0.06%			22%
12/31/08		5.35		(0.00	) †		(2.26	)		(2.26	)		-			-			3.09			(42.24%	)		10,781		0.67%			N/A			(0.08%	)		10%
12/31/07		4.51		(0.00	) †		0.84			0.84			-			-			5.35			18.63%			21,630		0.66%			N/A			(0.07%	)		29%
Class Y
06/30/12 ≈	$	5.82	$	0.01		$	0.57		$	0.58		$	-		$	-		$	6.40			9.97%	**	$	3,303		0.93%	*		0.91%	*#		0.32%	*		75%	**
12/31/11		5.66		0.01			0.15			0.16			(0.00	) †		(0.00	) †		5.82			2.89%			1,859		0.74%			N/A			0.21%			49%
12/31/10		4.70		0.01			0.95			0.96			-			-			5.66			20.43%			1,633		0.75%			N/A			0.13%			8%
12/31/09		3.07		(0.00	) †		1.63			1.63			-			-			4.70			53.09%			2,737		0.80%			N/A			(0.04%	)		22%
12/31/08		5.30		(0.01	)		(2.22	)		(2.23	)		-			-			3.07			(42.08%	)		1,922		0.77%			N/A			(0.17%	)		10%
12/31/07		4.47		(0.01	)		0.84			0.83			-			-			5.30			18.57%			3,160		0.77%			N/A			(0.18%	)		29%
Class L
06/30/12 ≈	$	5.74	$	0.01		$	0.56		$	0.57		$	-		$	-		$	6.31			9.93%	**	$	8,502		1.08%	*		1.06%	*#		0.19%	*		75%	**
12/31/11		5.58		0.00	†		0.16			0.16			-			-			5.74			2.87%			6,929		0.89%			N/A			0.06%			49%
12/31/10		4.65		0.00	†		0.93			0.93			-			-			5.58			20.00%			6,658		0.90%			N/A			0.01%			8%
12/31/09		3.03		(0.01	)		1.63			1.62			-			-			4.65			53.47%			6,620		0.95%			N/A			(0.19%	)		22%
12/31/08		5.25		(0.01	)		(2.21	)		(2.22	)		-			-			3.03			(42.29%	)		4,363		0.92%			N/A			(0.32%	)		10%
12/31/07		4.44		(0.02	)		0.83			0.81			-			-			5.25			18.24%			10,335		0.91%			N/A			(0.32%	)		29%
Class A
06/30/12 ≈	$	5.58	$	(0.00	) †	$	0.55		$	0.55		$	-		$	-		$	6.13			9.86%	**	$	19,356		1.33%	*		1.31%	*#		(0.06%	) *		75%	**
12/31/11		5.44		(0.01	)		0.15			0.14			-			-			5.58	��		2.57%			15,768		1.14%			N/A			(0.19%	)		49%
12/31/10		4.54		(0.01	)		0.91			0.90			-			-			5.44			19.82%			19,690		1.15%			N/A			(0.24%	)		8%
12/31/09		2.97		(0.02	)		1.59			1.57			-			-			4.54			52.86%			18,508		1.20%			N/A			(0.45%	)		22%
12/31/08		5.16		(0.02	)		(2.17	)		(2.19	)		-			-			2.97			(42.44%	)		12,506		1.17%			N/A			(0.57%	)		10%
12/31/07		4.37		(0.03	)		0.82			0.79			-			-			5.16			17.81%			22,454		1.16%			N/A			(0.57%	)		29%
Class N
06/30/12 ≈	$	5.41	$	(0.01	)	$	0.52		$	0.51		$	-		$	-		$	5.92			9.43%	**	$	215		1.65%	*		1.63%	*#		(0.45%	) *		75%	**
12/31/11		5.28		(0.03	)		0.16			0.13			-			-			5.41			2.46%			337		1.44%			N/A			(0.50%	)		49%
12/31/10		4.43		(0.03	)		0.88			0.85			-			-			5.28			19.19%			336		1.45%			N/A			(0.55%	)		8%
12/31/09		2.91		(0.03	)		1.55			1.52			-			-			4.43			52.23%			317		1.50%			N/A			(0.74%	)		22%
12/31/08		5.07		(0.04	)		(2.12	)		(2.16	)		-			-			2.91			(42.60%	)		120		1.47%			N/A			(0.85%	)		10%
12/31/07		4.31		(0.04	)		0.80			0.76			-			-			5.07			17.63%			494		1.46%			N/A			(0.87%	)		29%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

139

MassMutual Select Blue Chip Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	10.81	$	0.00	†	$	1.32		$	1.32		$	-		$	-		$	12.13		12.21%	**	$	336,572		0.83%	*		0.76%	*#		0.04%	*		10%	**
12/31/11		10.65		0.02			0.14			0.16			(0.00	) †		(0.00	) †		10.81		1.50%			270,651		0.84%			0.76%	#		0.17%			38%
12/31/10		9.14		0.01			1.51			1.52			(0.01	)		(0.01	)		10.65		16.64%			163,662		0.84%			0.76%	#		0.08%			53%
12/31/09		6.39		0.01			2.74			2.75			(0.00	) †		(0.00	) †		9.14		43.06%			172,449		0.85%			0.76%	#		0.20%			62%
12/31/08		11.13		0.02			(4.74	)		(4.72	)		(0.02	)		(0.02	)		6.39		(42.45%	)		138,538		0.84%			0.76%	#		0.26%			53%
12/31/07		9.91		0.05			1.22			1.27			(0.05	)		(0.05	)		11.13		12.77%			225,943		0.90%			0.81%	#		0.44%			43%
Class Y
06/30/12 ≈	$	10.77	$	(0.00	) †	$	1.31		$	1.31		$	-		$	-		$	12.08		12.16%	**	$	127,626		0.96%	*		0.82%	*#		(0.02%	) *		10%	**
12/31/11		10.61		0.01			0.15			0.16			-			-			10.77		1.51%			87,359		0.97%			0.82%	#		0.13%			38%
12/31/10		9.12		0.00	†		1.50			1.50			(0.01	)		(0.01	)		10.61		16.45%			42,443		0.97%			0.82%	#		0.01%			53%
12/31/09		6.37		0.01			2.74			2.75			(0.00	) †		(0.00	) †		9.12		43.20%			39,094		0.98%			0.82%	#		0.12%			62%
12/31/08		11.10		0.02			(4.74	)		(4.72	)		(0.01	)		(0.01	)		6.37		(42.53%	)		25,876		0.97%			0.82%	#		0.19%			53%
12/31/07		9.87		0.04			1.21			1.25			(0.02	)		(0.02	)		11.10		12.62%			53,150		1.03%			0.93%	#		0.36%			43%
Class L
06/30/12 ≈	$	10.71	$	(0.01	)	$	1.30		$	1.29		$	-		$	-		$	12.00		12.04%	**	$	292,468		1.08%	*		0.98%	*#		(0.18%	) *		10%	**
12/31/11		10.57		(0.01	)		0.15			0.14			-			-			10.71		1.42%			243,741		1.09%			0.98%	#		(0.09%	)		38%
12/31/10		9.08		(0.01	)		1.50			1.49			-			-			10.57		16.30%			257,545		1.09%			0.98%	#		(0.15%	)		53%
12/31/09		6.36		(0.00	) †		2.72			2.72			(0.00	) †		(0.00	) †		9.08		42.79%			281,168		1.10%			0.98%	#		(0.03%	)		62%
12/31/08		11.08		0.00	†		(4.72	)		(4.72	)		(0.00	) †		(0.00	) †		6.36		(42.59%	)		222,053		1.09%			0.98%	#		0.03%			53%
12/31/07		9.87		0.02			1.21			1.23			(0.02	)		(0.02	)		11.08		12.46%			455,542		1.15%			1.06%	#		0.20%			43%
Class A
06/30/12 ≈	$	10.48	$	(0.02	)	$	1.27		$	1.25		$	-		$	-		$	11.73		11.93%	**	$	125,345		1.33%	*		1.19%	*#		(0.37%	) *		10%	**
12/31/11		10.36		(0.03	)		0.15			0.12			-			-			10.48		1.16%			75,919		1.34%			1.19%	#		(0.29%	)		38%
12/31/10		8.93		(0.03	)		1.46			1.43			-			-			10.36		16.01%			66,401		1.34%			1.19%	#		(0.36%	)		53%
12/31/09		6.26		(0.02	)		2.69			2.67			(0.00	) †		(0.00	) †		8.93		42.68%			69,307		1.35%			1.19%	#		(0.24%	)		62%
12/31/08		10.94		(0.02	)		(4.66	)		(4.68	)		(0.00	) †		(0.00	) †		6.26		(42.77%	)		49,345		1.34%			1.19%	#		(0.18%	)		53%
12/31/07		9.75		(0.00	) †		1.19			1.19			(0.00	) †		(0.00	) †		10.94		12.23%			99,385		1.40%			1.30%	#		(0.04%	)		43%
Class N
06/30/12 ≈	$	10.18	$	(0.04	)	$	1.25		$	1.21		$	-		$	-		$	11.39		11.89%	**	$	711		1.63%	*		1.51%	*#		(0.66%	) *		10%	**
12/31/11		10.11		(0.08	)		0.15			0.07			-			-			10.18		0.69%			78		1.64%			1.51%	#		(0.72%	)		38%
12/31/10		8.74		(0.06	)		1.43			1.37			-			-			10.11		15.68%			344		1.64%			1.51%	#		(0.69%	)		53%
12/31/09		6.15		(0.04	)		2.63			2.59			(0.00	) †		(0.00	) †		8.74		42.14%			803		1.65%			1.51%	#		(0.55%	)		62%
12/31/08		10.77		(0.05	)		(4.57	)		(4.62	)		(0.00	) †		(0.00	) †		6.15		(42.89%	)		597		1.64%			1.51%	#		(0.51%	)		53%
12/31/07		9.63		(0.04	)		1.18			1.14			-			-			10.77		11.84%			3,112		1.70%			1.61%	#		(0.35%	)		43%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

140

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	7.40	$	0.01		$	0.94		$	0.95		$	-		$	-		$	8.35		12.84%	**	$	19,329		0.85%	*		0.70%	*#		0.20%	*		9%	**
12/31/11 +		7.45		(0.00	) †		(0.05	)		(0.05	)		-			-			7.40		(0.67%	) **		99		0.79%	*		0.64%	*#		(0.33%	) *		21%	~
Class S
06/30/12 ≈	$	7.40	$	(0.01	)	$	0.95		$	0.94		$	-		$	-		$	8.34		12.70%	**	$	276,232		1.00%	*		0.85%	*#		(0.12%	) *		9%	**
12/31/11		7.06		(0.01	)		0.35			0.34			-			-			7.40		4.82%			233,080		0.87%			0.86%	#		(0.18%	)		21%
12/31/10		5.87		(0.00	) †		1.19			1.19			-			-			7.06		20.27%			210,972		0.87%			N/A			(0.06%	)		40%
12/31/09		3.74		(0.01	)		2.14			2.13			(0.00	) †		(0.00	) †		5.87		56.97%			164,994		0.87%			N/A			(0.15%	)		33%
12/31/08		7.40		(0.02	)		(3.44	)		(3.46	)		(0.20	)		(0.20	)		3.74		(46.53%	)		112,415		0.86%			N/A			(0.36%	)		32%
12/31/07		6.26		(0.02	)		1.16			1.14			-			-			7.40		18.21%			284,106		0.86%			N/A			(0.32%	)		34%
Class Y
06/30/12 ≈	$	7.31	$	(0.01	)	$	0.94		$	0.93		$	-		$	-		$	8.24		12.72%	**	$	36,491		1.11%	*		0.96%	*#		(0.24%	) *		9%	**
12/31/11		6.98		(0.02	)		0.35			0.33			-			-			7.31		4.73%			29,740		0.97%			0.96%	#		(0.29%	)		21%
12/31/10		5.81		(0.01	)		1.18			1.17			-			-			6.98		20.14%			22,037		0.97%			N/A			(0.19%	)		40%
12/31/09		3.71		(0.01	)		2.11			2.10			(0.00	) †		(0.00	) †		5.81		56.63%			21,830		0.97%			N/A			(0.27%	)		33%
12/31/08		7.34		(0.03	)		(3.40	)		(3.43	)		(0.20	)		(0.20	)		3.71		(46.49%	)		16,755		0.96%			N/A			(0.46%	)		32%
12/31/07		6.22		(0.03	)		1.15			1.12			-			-			7.34		18.01%			48,600		0.96%			N/A			(0.44%	)		34%
Class L
06/30/12 ≈	$	7.19	$	(0.01	)	$	0.92		$	0.91		$	-		$	-		$	8.10		12.66%	**	$	70,467		1.25%	*		1.10%	*#		(0.36%	) *		9%	**
12/31/11		6.87		(0.03	)		0.35			0.32			-			-			7.19		4.66%			27,467		1.11%			1.11%	##		(0.36%	)		21%
12/31/10		5.73		(0.02	)		1.16			1.14			-			-			6.87		19.90%			54,658		1.12%			N/A			(0.35%	)		40%
12/31/09		3.66		(0.02	)		2.09			2.07			(0.00	) †		(0.00	) †		5.73		56.58%			61,774		1.12%			N/A			(0.41%	)		33%
12/31/08		7.26		(0.03	)		(3.37	)		(3.40	)		(0.20	)		(0.20	)		3.66		(46.60%	)		61,240		1.11%			N/A			(0.60%	)		32%
12/31/07		6.17		(0.04	)		1.13			1.09			-			-			7.26		17.67%			135,033		1.11%			N/A			(0.60%	)		34%
Class A
06/30/12 ≈	$	6.97	$	(0.02	)	$	0.89		$	0.87		$	-		$	-		$	7.84		12.48%	**	$	68,634		1.50%	*		1.35%	*#		(0.62%	) *		9%	**
12/31/11		6.68		(0.05	)		0.34			0.29			-			-			6.97		4.34%			51,191		1.37%			1.36%	#		(0.68%	)		21%
12/31/10		5.58		(0.03	)		1.13			1.10			-			-			6.68		19.50%			53,610		1.37%			N/A			(0.60%	)		40%
12/31/09		3.58		(0.03	)		2.03			2.00			(0.00	) †		(0.00	) †		5.58		56.17%			60,935		1.37%			N/A			(0.65%	)		33%
12/31/08		7.12		(0.05	)		(3.29	)		(3.34	)		(0.20	)		(0.20	)		3.58		(46.67%	)		45,137		1.36%			N/A			(0.86%	)		32%
12/31/07		6.06		(0.05	)		1.11			1.06			-			-			7.12		17.49%			127,729		1.36%			N/A			(0.83%	)		34%
Class N
06/30/12 ≈	$	6.73	$	(0.04	)	$	0.86		$	0.82		$	-		$	-		$	7.55		12.18%	**	$	14		1.80%	*		1.65%	*#		(0.94%	)*		9%	**
12/31/11		6.47		(0.07	)		0.33			0.26			-			-			6.73		4.02%			21		1.67%			1.66%	#		(0.99%	)		21%
12/31/10		5.43		(0.05	)		1.09			1.04			-			-			6.47		19.37%			28		1.67%			N/A			(0.95%	)		40%
12/31/09		3.49		(0.04	)		1.98			1.94			(0.00	) †		(0.00	) †		5.43		55.32%			93		1.67%			N/A			(0.96%	)		33%
12/31/08		6.98		(0.07	)		(3.22	)		(3.29	)		(0.20	)		(0.20	)		3.49		(46.88%	)		84		1.66%			N/A			(1.22%	)		32%
12/31/07		5.96		(0.07	)		1.09			1.02			-			-			6.98		17.11%			944		1.66%			N/A			(1.13%	)		34%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount had no impact on the ratio of expenses to average daily net assets.

+ For the period December 7, 2011 (commencement of operations) through December 31, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

141

MassMutual Select Mid-Cap Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	9.68	$	0.12		$	0.59		$	0.71		$	-		$	-		$	-		$	-		$	10.39		7.33%	**	$	4,747		0.83%	*		0.73%	*#		2.37%	*		43%	**
12/31/11 +		9.88		0.02			(0.11	)		(0.09	)		(0.11	)		-			-			(0.11	)		9.68		(0.84%	) **		129		0.77%	*		0.67%	*#		3.28%	*		82%	~
Class S
06/30/12 ≈	$	9.69	$	0.08		$	0.61		$	0.69		$	-		$	-		$	-		$	-		$	10.38		7.12%	**	$	139,083		0.90%	*		0.80%	*#		1.54%	*		43%	**
12/31/11		10.09		0.12			(0.41	)		(0.29	)		(0.11	)		-			-			(0.11	)		9.69		(2.84%	)		130,318		0.80%			0.80%	##		1.22%			82%
12/31/10		8.28		0.12			1.82			1.94			(0.13	)		-			-			(0.13	)		10.09		23.43%			91,957		0.82%			N/A			1.36%			143%
12/31/09		6.43		0.08			1.85			1.93			(0.08	)		-			-			(0.08	)		8.28		30.02%			71,351		0.83%			N/A			1.22%			66%
12/31/08		9.75		0.09			(3.27	)		(3.18	)		(0.12	)		(0.00	) †		(0.02	)		(0.14	)		6.43		(32.61%	)		60,858		0.80%			N/A			1.07%			34%
12/31/07		11.42		0.14			(1.10	)		(0.96	)		(0.08	)		(0.63	)		-			(0.71	)		9.75		(8.53%	)		123,216		0.80%			N/A			1.19%			49%
Class Y
06/30/12 ≈	$	9.71	$	0.07		$	0.62		$	0.69		$	-		$	-		$	-		$	-		$	10.40		7.11%	**	$	1,688		1.00%	*		0.90%	*#		1.44%	*		43%	**
12/31/11		10.12		0.12			(0.43	)		(0.31	)		(0.10	)		-			-			(0.10	)		9.71		(3.02%	)		1,545		0.90%			0.90%	##		1.14%			82%
12/31/10		8.30		0.12			1.82			1.94			(0.12	)		-			-			(0.12	)		10.12		23.42%			1,061		0.92%			N/A			1.31%			143%
12/31/09		6.43		0.07			1.85			1.92			(0.05	)		-			-			(0.05	)		8.30		29.94%			470		0.93%			N/A			1.12%			66%
12/31/08		9.75		0.09			(3.28	)		(3.19	)		(0.11	)		(0.00	) †		(0.02	)		(0.13	)		6.43		(32.67%	)		2,174		0.90%			N/A			1.14%			34%
12/31/07		11.43		0.17			(1.15	)		(0.98	)		(0.07	)		(0.63	)		-			(0.70	)		9.75		(8.66%	)		1,163		0.90%			N/A			1.45%			49%
Class L
06/30/12 ≈	$	9.76	$	0.06		$	0.64		$	0.70		$	-		$	-		$	-		$	-		$	10.46		7.17%	**	$	3,362		1.15%	*		1.05%	*#		1.22%	*		43%	**
12/31/11		10.10		0.07			(0.41	)		(0.34	)		-			-			-			-			9.76		(3.37%	)		4,305		1.05%			1.05%	##		0.71%			82%
12/31/10		8.29		0.10			1.81			1.91			(0.10	)		-			-			(0.10	)		10.10		23.10%			42,178		1.07%			N/A			1.09%			143%
12/31/09		6.44		0.07			1.84			1.91			(0.06	)		-			-			(0.06	)		8.29		29.70%			37,197		1.08%			N/A			0.96%			66%
12/31/08		9.75		0.07			(3.27	)		(3.20	)		(0.09	)		(0.00	) †		(0.02	)		(0.11	)		6.44		(32.77%	)		32,488		1.05%			N/A			0.81%			34%
12/31/07		11.42		0.11			(1.10	)		(0.99	)		(0.05	)		(0.63	)		-			(0.68	)		9.75		(8.74%	)		74,131		1.05%			N/A			0.95%			49%
Class A
06/30/12 ≈	$	9.69	$	0.05		$	0.63		$	0.68		$	-		$	-		$	-		$	-		$	10.37		7.02%	**	$	4,644		1.40%	*		1.30%	*#		1.04%	*		43%	**
12/31/11		10.08		0.06			(0.40	)		(0.34	)		(0.05	)		-			-			(0.05	)		9.69		(3.39%	)		4,423		1.30%			1.30%	##		0.64%			82%
12/31/10		8.27		0.07			1.81			1.88			(0.07	)		-			-			(0.07	)		10.08		22.77%			5,748		1.32%			N/A			0.82%			143%
12/31/09		6.43		0.05			1.84			1.89			(0.05	)		-			-			(0.05	)		8.27		29.40%			6,145		1.33%			N/A			0.74%			66%
12/31/08		9.72		0.05			(3.25	)		(3.20	)		(0.08	)		(0.00	) †		(0.01	)		(0.09	)		6.43		(32.94%	)		4,444		1.30%			N/A			0.56%			34%
12/31/07		11.40		0.09			(1.10	)		(1.01	)		(0.04	)		(0.63	)		-			(0.67	)		9.72		(8.97%	)		9,490		1.30%			N/A			0.82%			49%
Class N
06/30/12 ≈	$	9.67	$	0.04		$	0.62		$	0.66		$	-		$	-		$	-		$	-		$	10.33		6.83%	**	$	66		1.70%	*		1.60%	*#		0.72%	*		43%	**
12/31/11		10.07		0.04			(0.41	)		(0.37	)		(0.03	)		-			-			(0.03	)		9.67		(3.67%	)		64		1.60%			1.60%	##		0.37%			82%
12/31/10		8.27		0.05			1.81			1.86			(0.06	)		-			-			(0.06	)		10.07		22.49%			64		1.62%			N/A			0.58%			143%
12/31/09		6.44		0.03			1.83			1.86			(0.03	)		-			-			(0.03	)		8.27		29.06%			46		1.63%			N/A			0.43%			66%
12/31/08		9.75		0.03			(3.26	)		(3.23	)		(0.07	)		(0.00	) †		(0.01	)		(0.08	)		6.44		(33.23%	)		31		1.60%			N/A			0.32%			34%
12/31/07		11.41		(0.00	) †		(1.03	)		(1.03	)		-			(0.63	)		-			(0.63	)		9.75		(9.13%	)		38		1.60%			N/A			(0.00%	) ††		49%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005%.

+ For the period December 7, 2011 (commencement of operations) through December 31, 2011.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The Portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

142

MassMutual Select Small Cap Value Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.05	$	0.03		$	0.61		$	0.64		$	-		$	-		$	-		$	-		$	9.69		7.07%	**	$	103,229		0.85%	*		0.71%	*		15%	**
12/31/11		9.45		0.03			(0.40	)		(0.37	)		(0.03	)		-			-			(0.03	)		9.05		(3.91%	)		92,162		0.86%			0.36%			25%
12/31/10		7.41		0.06			2.04			2.10			(0.06	)		-			-			(0.06	)		9.45		28.36%			67,913		0.87%			0.73%			39%
12/31/09		6.14		0.06			1.28			1.34			(0.07	)		-			-			(0.07	)		7.41		21.83%			62,397		0.89%			1.06%			175%
12/31/08		9.37		0.13			(3.23	)		(3.10	)		(0.13	)		(0.00	) †		(0.00	) †		(0.13	)		6.14		(32.97%	)		55,899		0.87%			1.58%			110%
12/31/07		10.91		0.24			(1.54	)		(1.30	)		(0.16	)		(0.08	)		-			(0.24	)		9.37		(12.02%	)		90,057		0.85%			2.21%			68%
Class Y
06/30/12 ≈	$	9.06	$	0.03		$	0.60		$	0.63		$	-		$	-		$	-		$	-		$	9.69		6.95%	**	$	2,660		0.95%	*		0.60%	*		15%	**
12/31/11		9.45		0.02			(0.39	)		(0.37	)		(0.02	)		-			-			(0.02	)		9.06		(3.93%	)		3,055		0.96%			0.22%			25%
12/31/10		7.40		0.04			2.06			2.10			(0.05	)		-			-			(0.05	)		9.45		28.35%			4,734		0.97%			0.49%			39%
12/31/09		6.14		0.06			1.26			1.32			(0.06	)		-			-			(0.06	)		7.40		21.54%			4,496		0.99%			0.96%			175%
12/31/08		9.36		0.12			(3.22	)		(3.10	)		(0.12	)		(0.00	) †		(0.00	) †		(0.12	)		6.14		(33.01%	)		4,679		0.97%			1.47%			110%
12/31/07		10.91		0.24			(1.56	)		(1.32	)		(0.15	)		(0.08	)		-			(0.23	)		9.36		(12.06%	)		9,343		0.95%			2.27%			68%
Class L
06/30/12 ≈	$	9.04	$	0.02		$	0.60		$	0.62		$	-		$	-		$	-		$	-		$	9.66		6.86%	**	$	2,266		1.10%	*		0.46%	*		15%	**
12/31/11		9.45		0.00	†		(0.41	)		(0.41	)		-			-			-			-			9.04		(4.34%	)		2,152		1.11%			0.04%			25%
12/31/10		7.40		0.03			2.06			2.09			(0.04	)		-			-			(0.04	)		9.45		28.19%			21,552		1.12%			0.36%			39%
12/31/09		6.14		0.05			1.26			1.31			(0.05	)		-			-			(0.05	)		7.40		21.39%			24,629		1.14%			0.81%			175%
12/31/08		9.36		0.11			(3.22	)		(3.11	)		(0.11	)		(0.00	) †		(0.00	) †		(0.11	)		6.14		(33.12%	)		24,811		1.12%			1.36%			110%
12/31/07		10.91		0.20			(1.53	)		(1.33	)		(0.14	)		(0.08	)		-			(0.22	)		9.36		(12.22%	)		42,168		1.10%			1.91%			68%
Class A
06/30/12 ≈	$	9.03	$	0.01		$	0.60		$	0.61		$	-		$	-		$	-		$	-		$	9.64		6.76%	**	$	4,518		1.35%	*		0.20%	*		15%	**
12/31/11		9.44		(0.02	)		(0.39	)		(0.41	)		-			-			-			-			9.03		(4.34%	)		4,694		1.36%			(0.18%	)		25%
12/31/10		7.40		0.01			2.04			2.05			(0.01	)		-			-			(0.01	)		9.44		27.77%			7,837		1.37%			0.14%			39%
12/31/09		6.14		0.03			1.27			1.30			(0.04	)		-			-			(0.04	)		7.40		21.11%			7,833		1.39%			0.56%			175%
12/31/08		9.34		0.09			(3.21	)		(3.12	)		(0.08	)		(0.00	) †		(0.00	) †		(0.08	)		6.14		(33.30%	)		7,950		1.37%			1.07%			110%
12/31/07		10.90		0.18			(1.53	)		(1.35	)		(0.13	)		(0.08	)		-			(0.21	)		9.34		(12.35%	)		15,737		1.35%			1.74%			68%
Class N
06/30/12 ≈	$	9.02	$	(0.02	)	$	0.63		$	0.61		$	-		$	-		$	-		$	-		$	9.63		6.76%	**	$	7		1.65%	*		(0.36%	) *		15%	**
12/31/11		9.46		(0.04	)		(0.40	)		(0.44	)		-			-			-			-			9.02		(4.65%	)		19		1.66%			(0.46%	)		25%
12/31/10		7.43		(0.01	)		2.04			2.03			(0.00	) †		-			-			(0.00	) †		9.46		27.34%			20		1.67%			(0.09%	)		39%
12/31/09		6.16		0.02			1.25			1.27			-			-			-			-			7.43		20.81%			15		1.69%			0.28%			175%
12/31/08		9.34		0.06			(3.18	)		(3.12	)		(0.06	)		(0.00	) †		(0.00	) †		(0.06	)		6.16		(33.49%	)		197		1.67%			0.76%			110%
12/31/07		10.91		0.16			(1.54	)		(1.38	)		(0.11	)		(0.08	)		-			(0.19	)		9.34		(12.64%	)		284		1.65%			1.52%			68%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

143

MassMutual Select Small Company Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	12.78	$	0.07		$	0.62		$	0.69		$	-		$	-		$	-		$	13.47		5.40%	**	$	80,083		0.94%	*		0.86%	*#		1.04%			17%	**
12/31/11		13.72		0.09			(0.43	)		(0.34	)		(0.07	)		(0.53	)		(0.60	)		12.78		(2.34%	)		45,116		0.94%			0.86%	#		0.68%			32%
12/31/10 +		12.74		0.02			1.07			1.09			(0.11	)		-			(0.11	)		13.72		8.59%	**		108		0.95%	*		0.87%	*#		1.03%	*		43%	~
Class S
06/30/12 ≈	$	12.81	$	0.06		$	0.61		$	0.67		$	-		$	-		$	-		$	13.48		5.23%	**	$	212,852		1.13%	*		1.05%	*#		0.83%			17%	**
12/31/11		13.74		0.03			(0.40	)		(0.37	)		(0.03	)		(0.53	)		(0.56	)		12.81		(2.51%	)		229,298		1.13%			1.05%	#		0.22%			32%
12/31/10		11.23		0.06			2.55			2.61			(0.10	)		-			(0.10	)		13.74		23.25%			307,184		1.06%			1.05%	#		0.48%			43%
12/31/09		8.87		0.06			2.37			2.43			(0.07	)		-			(0.07	)		11.23		27.45%			232,379		1.06%			N/A			0.63%			30%
12/31/08		12.84		0.07			(3.61	)		(3.54	)		(0.02	)		(0.41	)		(0.43	)		8.87		(27.65%	)		186,899		1.05%			N/A			0.59%			37%
12/31/07		15.58		0.09			(0.38	)		(0.29	)		(0.06	)		(2.39	)		(2.45	)		12.84		(1.68%	)		241,742		1.05%			N/A			0.58%			39%
Class Y
06/30/12 ≈	$	12.76	$	0.05		$	0.62		$	0.67		$	-		$	-		$	-		$	13.43		5.25%	**	$	50,257		1.17%	*		1.09%	*#		0.79%			17%	**
12/31/11		13.70		0.02			(0.40	)		(0.38	)		(0.03	)		(0.53	)		(0.56	)		12.76		(2.65%	)		52,720		1.17%			1.09%	#		0.18%			32%
12/31/10		11.19		0.05			2.55			2.60			(0.09	)		-			(0.09	)		13.70		23.23%			67,430		1.10%			1.09%	#		0.42%			43%
12/31/09		8.83		0.06			2.37			2.43			(0.07	)		-			(0.07	)		11.19		27.52%			77,398		1.10%			N/A			0.60%			30%
12/31/08		12.80		0.06			(3.60	)		(3.54	)		(0.02	)		(0.41	)		(0.43	)		8.83		(27.72%	)		73,216		1.09%			N/A			0.55%			37%
12/31/07		15.53		0.07			(0.36	)		(0.29	)		(0.05	)		(2.39	)		(2.44	)		12.80		(1.72%	)		100,730		1.09%			N/A			0.47%			39%
Class L
06/30/12 ≈	$	12.67	$	0.04		$	0.61		$	0.65		$	-		$	-		$	-		$	13.32		5.13%	**	$	37,866		1.32%	*		1.24%	*#		0.64%			17%	**
12/31/11		13.60		0.00			(0.40	)		(0.40	)		(0.00	) †		(0.53	)		(0.53	)		12.67		(2.79%	)		35,901		1.32%			1.24%	#		0.02%			32%
12/31/10		11.11		0.03			2.53			2.56			(0.07	)		-			(0.07	)		13.60		23.08%			52,437		1.25%			1.24%	#		0.27%			43%
12/31/09		8.78		0.04			2.34			2.38			(0.05	)		-			(0.05	)		11.11		27.17%			52,856		1.25%			N/A			0.45%			30%
12/31/08		12.70		0.04			(3.55	)		(3.51	)		-			(0.41	)		(0.41	)		8.78		(27.70%	)		46,039		1.24%			N/A			0.36%			37%
12/31/07		15.43		0.05			(0.36	)		(0.31	)		(0.03	)		(2.39	)		(2.42	)		12.70		(1.89%	)		103,887		1.24%			N/A			0.32%			39%
Class A
06/30/12 ≈	$	12.46	$	0.03		$	0.60		$	0.63		$	-		$	-		$	-		$	13.09		5.06%	**	$	103,294		1.57%	*		1.49%	*#		0.39%			17%	**
12/31/11		13.41		(0.03	)		(0.39	)		(0.42	)		-			(0.53	)		(0.53	)		12.46		(2.99%	)		100,184		1.57%			1.49%	#		(0.21%	)		32%
12/31/10		10.97		0.00	†		2.49			2.49			(0.05	)		-			(0.05	)		13.41		22.68%			119,084		1.50%			1.49%	#		0.04%			43%
12/31/09		8.67		0.02			2.31			2.33			(0.03	)		-			(0.03	)		10.97		26.90%			92,728		1.50%			N/A			0.19%			30%
12/31/08		12.59		0.02			(3.53	)		(3.51	)		-			(0.41	)		(0.41	)		8.67		(27.94%	)		84,721		1.49%			N/A			0.14%			37%
12/31/07		15.32		0.02			(0.36	)		(0.34	)		-			(2.39	)		(2.39	)		12.59		(2.09%	)		132,697		1.49%			N/A			0.11%			39%
Class N
06/30/12 ≈	$	12.07	$	0.01		$	0.58		$	0.59		$	-		$	-		$	-		$	12.66		4.89%	**	$	136		1.86%	*		1.78%	*#		0.09%			17%	**
12/31/11		13.05		(0.07	)		(0.38	)		(0.45	)		-			(0.53	)		(0.53	)		12.07		(3.30%	)		675		1.87%			1.79%	#		(0.51%	)		32%
12/31/10		10.67		(0.04	)		2.43			2.39			(0.01	)		-			(0.01	)		13.05		22.38%			817		1.80%			1.79%	#		(0.34%	)		43%
12/31/09		8.44		(0.01	)		2.25			2.24			(0.01	)		-			(0.01	)		10.67		26.49%			1,590		1.80%			N/A			(0.10%	)		30%
12/31/08		12.31		(0.02	)		(3.44	)		(3.46	)		-			(0.41	)		(0.41	)		8.44		(28.18%	)		1,101		1.79%			N/A			(0.16%	)		37%
12/31/07		15.08		(0.02	)		(0.36	)		(0.38	)		-			(2.39	)		(2.39	)		12.31		(2.40%	)		1,633		1.79%			N/A			(0.13%	)		39%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

144

MassMutual Select Mid Cap Growth Equity II 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) ***			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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	14.27	$	(0.01	)	$	1.21		$	1.20		$	-		$	-		$	-		$	15.47		8.41%	**	$	223,640		0.83%	*		0.73%	*#		(0.17%	) *		19%	**
12/31/11		15.76		(0.03	)		(0.29	)		(0.32	)		-			(1.17	)		(1.17	)		14.27		(1.74%	)		150,571		0.84%			0.74%	#		(0.20%	)		38%
12/31/10 +		14.67		(0.00	) †		1.09			1.09			-			-			-			15.76		7.43%	**		108		0.85%	*		0.75%	*#		(0.02%	) *		52%	~
Class S
06/30/12 ≈	$	14.25	$	(0.02	)	$	1.20		$	1.18		$	-		$	-		$	-		$	15.43		8.28%	**	$	451,516		0.96%	*		0.86%	*#		(0.31%	) *		19%	**
12/31/11		15.76		(0.06	)		(0.28	)		(0.34	)		-			(1.17	)		(1.17	)		14.25		(1.86%	)		442,760		0.96%			0.86%	#		(0.38%	)		38%
12/31/10		12.31		(0.04	)		3.49			3.45			-			-			-			15.76		28.03%			536,407		0.88%			0.86%	#		(0.26%	)		52%
12/31/09		8.49		(0.03	)		3.85			3.82			(0.00	) †		-			(0.00	) †		12.31		45.00%			364,961		0.87%			N/A			(0.26%	)		55%
12/31/08		15.28		(0.02	)		(6.16	)		(6.18	)		-			(0.61	)		(0.61	)		8.49		(41.00%	)		221,677		0.86%			N/A			(0.18%	)		33%
12/31/07		14.50		(0.00	) †		2.34			2.34			-			(1.56	)		(1.56	)		15.28		16.32%			398,427		0.86%			N/A			(0.03%	)		41%
Class Y
06/30/12 ≈	$	14.10	$	(0.03	)	$	1.20		$	1.17		$	-		$	-		$	-		$	15.27		8.30%	**	$	201,455		1.05%	*		0.95%	*#		(0.40%	) *		19%	**
12/31/11		15.63		(0.07	)		(0.29	)		(0.36	)		-			(1.17	)		(1.17	)		14.10		(2.01%	)		182,810		1.05%			0.95%	#		(0.47%	)		38%
12/31/10		12.22		(0.05	)		3.46			3.41			-			-			-			15.63		27.91%			207,536		0.97%			0.95%	#		(0.36%	)		52%
12/31/09		8.43		(0.03	)		3.82			3.79			-			-			-			12.22		44.96%			161,421		0.96%			N/A			(0.34%	)		55%
12/31/08		15.19		(0.04	)		(6.11	)		(6.15	)		-			(0.61	)		(0.61	)		8.43		(41.05%	)		105,886		0.95%			N/A			(0.28%	)		33%
12/31/07		14.43		(0.01	)		2.32			2.31			-			(1.55	)		(1.55	)		15.19		16.15%			229,983		0.94%			N/A			(0.07%	)		41%
Class L
06/30/12 ≈	$	13.82	$	(0.04	)	$	1.18		$	1.14		$	-		$	-		$	-		$	14.96		8.25%	**	$	345,246		1.20%	*		1.10%	*#		(0.55%	) *		19%	**
12/31/11		15.37		(0.10	)		(0.28	)		(0.38	)		-			(1.17	)		(1.17	)		13.82		(2.18%	)		328,331		1.20%			1.10%	#		(0.63%	)		38%
12/31/10		12.03		(0.07	)		3.41			3.34			-			-			-			15.37		27.76%			450,117		1.12%			1.10%	#		(0.51%	)		52%
12/31/09		8.32		(0.05	)		3.76			3.71			-			-			-			12.03		44.59%			362,500		1.11%			N/A			(0.50%	)		55%
12/31/08		15.02		(0.05	)		(6.04	)		(6.09	)		-			(0.61	)		(0.61	)		8.32		(41.12%	)		258,165		1.10%			N/A			(0.43%	)		33%
12/31/07		14.28		(0.03	)		2.29			2.26			-			(1.52	)		(1.52	)		15.02		15.99%			546,924		1.09%			N/A			(0.21%	)		41%
Class A
06/30/12 ≈	$	13.39	$	(0.06	)	$	1.14		$	1.08		$	-		$	-		$	-		$	14.47		8.07%	**	$	348,691		1.45%	*		1.35%	*#		(0.80%	) *		19%	**
12/31/11		14.96		(0.13	)		(0.27	)		(0.40	)		-			(1.17	)		(1.17	)		13.39		(2.37%	)		329,974		1.45%			1.35%	#		(0.87%	)		38%
12/31/10		11.74		(0.10	)		3.32			3.22			-			-			-			14.96		27.43%			381,775		1.37%			1.35%	#		(0.77%	)		52%
12/31/09		8.14		(0.07	)		3.67			3.60			-			-			-			11.74		44.23%			308,326		1.36%			N/A			(0.75%	)		55%
12/31/08		14.75		(0.08	)		(5.92	)		(6.00	)		-			(0.61	)		(0.61	)		8.14		(41.26%	)		211,358		1.35%			N/A			(0.67%	)		33%
12/31/07		14.05		(0.07	)		2.26			2.19			-			(1.49	)		(1.49	)		14.75		15.74%			397,924		1.34%			N/A			(0.47%	)		41%
Class N
06/30/12 ≈	$	12.95	$	(0.08	)	$	1.11		$	1.03		$	-		$	-		$	-		$	13.98		7.95%	**	$	2,014		1.75%	*		1.65%	*#		(1.10%	) *		19%	**
12/31/11		14.56		(0.17	)		(0.27	)		(0.44	)		-			(1.17	)		(1.17	)		12.95		(2.71%	)		2,052		1.75%			1.65%	#		(1.18%	)		38%
12/31/10		11.46		(0.13	)		3.23			3.10			-			-			-			14.56		27.05%			2,446		1.67%			1.65%	#		(1.07%	)		52%
12/31/09		7.97		(0.10	)		3.59			3.49			-			-			-			11.46		43.79%			2,117		1.66%			N/A			(1.05%	)		55%
12/31/08		14.50		(0.12	)		(5.80	)		(5.92	)		-			(0.61	)		(0.61	)		7.97		(41.42%	)		1,207		1.65%			N/A			(0.97%	)		33%
12/31/07		13.84		(0.12	)		2.22			2.10			-			(1.44	)		(1.44	)		14.50		15.36%			3,923		1.65%			N/A			(0.79%	)		41%

* Annualized.

** Percentage represents results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

145

MassMutual Select Small Cap Growth Equity Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	14.16	$	(0.03	)	$	1.24		$	1.21		$	-		$	-		$	-		$	15.37		8.55%	**	$	129,512		0.92%	*		0.87%	*#		(0.44%	) *		47%	**
12/31/11		17.26		(0.06	)		(0.96	)		(1.02	)		(2.08	)		-			(2.08	)		14.16		(5.41%	)		119,706		0.92%			0.87%	#		(0.36%	)		88%
12/31/10 +		16.06		0.00	†		1.34			1.34			(0.14	)		-			(0.14	)		17.26		8.38%	**		108		0.94%	*		0.89%	*#		0.11%	*		99%	~
Class S
06/30/12 ≈	$	14.14	$	(0.04	)	$	1.24		$	1.20		$	-		$	-		$	-		$	15.34		8.49%	**	$	466,642		1.02%	*		0.97%	*#		(0.53%	) *		47%	**
12/31/11		17.25		(0.09	)		(0.94	)		(1.03	)		(2.08	)		-			(2.08	)		14.14		(5.47%	)		429,979		1.02%			0.97%	#		(0.53%	)		88%
12/31/10		14.13		(0.07	)		3.33			3.26			(0.14	)		-			(0.14	)		17.25		23.11%			575,724		0.98%			0.98%	##		(0.45%	)		99%
12/31/09		10.14		(0.06	)		4.05			3.99			-			-			-			14.13		39.35%			263,305		0.99%			N/A			(0.51%	)		91%
12/31/08		16.82		0.01			(6.69	)		(6.68	)		-			-			-			10.14		(39.71%	)		178,508		0.98%			N/A			0.10%			92%
12/31/07		16.64		(0.05	)		1.71			1.66			(1.48	)		(0.00	) †		(1.48	)		16.82		10.14%			341,265		0.97%			N/A			(0.26%	)		70%
Class Y
06/30/12 ≈	$	13.87	$	(0.05	)	$	1.22		$	1.17		$	-		$	-		$	-		$	15.04		8.44%	**	$	63,410		1.16%	*		1.11%	*#		(0.67%	) *		47%	**
12/31/11		17.00		(0.12	)		(0.93	)		(1.05	)		(2.08	)		-			(2.08	)		13.87		(5.68%	)		64,304		1.16%			1.11%	#		(0.68%	)		88%
12/31/10		13.94		(0.09	)		3.29			3.20			(0.14	)		-			(0.14	)		17.00		23.00%			82,815		1.12%			1.12%	##		(0.64%	)		99%
12/31/09		10.02		(0.07	)		3.99			3.92			-			-			-			13.94		39.12%			86,922		1.13%			N/A			(0.65%	)		91%
12/31/08		16.64		(0.00	) †		(6.62	)		(6.62	)		-			-			-			10.02		(39.78%	)		69,313		1.12%			N/A			(0.03%	)		92%
12/31/07		16.48		(0.07	)		1.68			1.61			(1.45	)		(0.00	) †		(1.45	)		16.64		9.99%			121,462		1.11%			N/A			(0.41%	)		70%
Class L
06/30/12 ≈	$	13.58	$	(0.06	)	$	1.19		$	1.13		$	-		$	-		$	-		$	14.71		8.32%	**	$	54,062		1.31%	*		1.26%	*#		(0.82%	) *		47%	**
12/31/11		16.71		(0.14	)		(0.91	)		(1.05	)		(2.08	)		-			(2.08	)		13.58		(5.77%	)		50,193		1.31%			1.26%	#		(0.83%	)		88%
12/31/10		13.73		(0.11	)		3.23			3.12			(0.14	)		-			(0.14	)		16.71		22.77%			61,655		1.27%			1.27%	##		(0.78%	)		99%
12/31/09		9.88		(0.09	)		3.94			3.85			-			-			-			13.73		38.97%			59,458		1.28%			N/A			(0.80%	)		91%
12/31/08		16.43		(0.02	)		(6.53	)		(6.55	)		-			-			-			9.88		(39.90%	)		60,124		1.27%			N/A			(0.16%	)		92%
12/31/07		16.29		(0.10	)		1.67			1.57			(1.43	)		(0.00	) †		(1.43	)		16.43		9.90%			111,010		1.26%			N/A			(0.55%	)		70%
Class A
06/30/12 ≈	$	13.09	$	(0.08	)	$	1.16		$	1.08		$	-		$	-		$	-		$	14.17		8.25%	**	$	70,159		1.56%	*		1.51%	*#		(1.07%	) *		47%	**
12/31/11		16.23		(0.18	)		(0.88	)		(1.06	)		(2.08	)		-			(2.08	)		13.09		(6.01%	)		70,773		1.56%			1.51%	#		(1.12%	)		88%
12/31/10		13.38		(0.15	)		3.14			2.99			(0.14	)		-			(0.14	)		16.23		22.39%			91,525		1.52%			1.52%	##		(1.02%	)		99%
12/31/09		9.65		(0.11	)		3.84			3.73			-			-			-			13.38		38.65%			75,428		1.53%			N/A			(1.05%	)		91%
12/31/08		16.09		(0.06	)		(6.38	)		(6.44	)		-			-			-			9.65		(40.02%	)		60,323		1.52%			N/A			(0.42%	)		92%
12/31/07		15.98		(0.14	)		1.63			1.49			(1.38	)		(0.00	) †		(1.38	)		16.09		9.58%			112,757		1.51%			N/A			(0.81%	)		70%
Class N
06/30/12 ≈	$	12.61	$	(0.09	)	$	1.11		$	1.02		$	-		$	-		$	-		$	13.63		8.09%	**	$	418		1.86%	*		1.81%	*#		(1.38%	) *		47%	**
12/31/11		15.77		(0.21	)		(0.87	)		(1.08	)		(2.08	)		-			(2.08	)		12.61		(6.32%	)		426		1.86%			1.81%	#		(1.37%	)		88%
12/31/10		13.04		(0.18	)		3.05			2.87			(0.14	)		-			(0.14	)		15.77		22.05%			466		1.82%			1.82%	##		(1.33%	)		99%
12/31/09		9.43		(0.15	)		3.76			3.61			-			-			-			13.04		38.28%			515		1.83%			N/A			(1.36%	)		91%
12/31/08		15.78		(0.11	)		(6.24	)		(6.35	)		-			-			-			9.43		(40.24%	)		317		1.82%			N/A			(0.82%	)		92%
12/31/07		15.70		(0.19	)		1.61			1.42			(1.34	)		(0.00	) †		(1.34	)		15.78		9.28%			1,105		1.81%			N/A			(1.11%	)		70%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Amount had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

146

MassMutual Select Small Company 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total Return ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.82	$	(0.03	)	$	0.58		$	0.55		$	-		$	-		$	10.37		5.50%	**	$	39,594		1.13%	*		(0.64%	) *		48%	**
12/31/11		10.01		(0.07	)		(0.12	)		(0.19	)		-			-			9.82		(1.90%	)		39,408		1.14%			(0.74%	)		94%
12/31/10		7.49		(0.05	)		2.57			2.52			-			-			10.01		33.64%			30,487		1.13%			(0.60%	)		98%
12/31/09		5.70		(0.02	)		1.81			1.79			-			-			7.49		31.40%			21,869		1.17%			(0.25%	)		120%
12/31/08		10.07		(0.04	)		(4.27	)		(4.31	)		(0.06	)		(0.06	)		5.70		(43.07%	)		21,210		1.12%			(0.48%	)		129%
12/31/07		10.69		(0.07	)		0.54			0.47			(1.09	)		(1.09	)		10.07		4.60%			49,168		1.09%			(0.60%	)		82%
Class Y
06/30/12 ≈	$	9.78	$	(0.04	)	$	0.58		$	0.54		$	-		$	-		$	10.32		5.42%	**	$	2,568		1.17%	*		(0.68%	) *		48%	**
12/31/11		9.96		(0.08	)		(0.10	)		(0.18	)		-			-			9.78		(1.81%	)		2,314		1.17%			(0.80%	)		94%
12/31/10		7.46		(0.06	)		2.56			2.50			-			-			9.96		33.51%			2,659		1.17%			(0.73%	)		98%
12/31/09		5.68		(0.04	)		1.82			1.78			-			-			7.46		31.34%			4,130		1.21%			(0.58%	)		120%
12/31/08		10.05		(0.04	)		(4.27	)		(4.31	)		(0.06	)		(0.06	)		5.68		(43.10%	)		10,027		1.16%			(0.53%	)		129%
12/31/07		10.65		(0.07	)		0.54			0.47			(1.07	)		(1.07	)		10.05		4.55%			9,779		1.13%			(0.65%	)		82%
Class L
06/30/12 ≈	$	9.62	$	(0.04	)	$	0.57		$	0.53		$	-		$	-		$	10.15		5.30%	**	$	5,251		1.32%	*		(0.82%	) *		48%	**
12/31/11		9.83		(0.10	)		(0.11	)		(0.21	)		-			-			9.62		(2.03%	)		5,018		1.32%			(0.99%	)		94%
12/31/10		7.38		(0.06	)		2.51			2.45			-			-			9.83		33.20%			17,323		1.32%			(0.78%	)		98%
12/31/09		5.63		(0.03	)		1.78			1.75			-			-			7.38		31.08%			10,178		1.36%			(0.43%	)		120%
12/31/08		9.96		(0.05	)		(4.22	)		(4.27	)		(0.06	)		(0.06	)		5.63		(43.08%	)		8,625		1.31%			(0.64%	)		129%
12/31/07		10.57		(0.09	)		0.54			0.45			(1.06	)		(1.06	)		9.96		4.39%			36,372		1.28%			(0.78%	)		82%
Class A
06/30/12 ≈	$	9.37	$	(0.05	)	$	0.54		$	0.49		$	-		$	-		$	9.86		5.23%	**	$	8,631		1.57%	*		(1.08%	) *		48%	**
12/31/11		9.58		(0.12	)		(0.09	)		(0.21	)		-			-			9.37		(2.19%	)		9,153		1.57%			(1.20%	)		94%
12/31/10		7.21		(0.08	)		2.45			2.37			-			-			9.58		32.87%			13,123		1.57%			(1.08%	)		98%
12/31/09		5.51		(0.04	)		1.74			1.70			-			-			7.21		30.85%			13,340		1.61%			(0.69%	)		120%
12/31/08		9.78		(0.07	)		(4.14	)		(4.21	)		(0.06	)		(0.06	)		5.51		(43.26%	)		13,367		1.56%			(0.91%	)		129%
12/31/07		10.40		(0.11	)		0.52			0.41			(1.03	)		(1.03	)		9.78		4.09%			49,662		1.53%			(1.04%	)		82%
Class N
06/30/12 ≈	$	9.10	$	(0.07	)	$	0.53		$	0.46		$	-		$	-		$	9.56		5.05%	**	$	143		1.87%	*		(1.38%	) *		48%	**
12/31/11		9.33		(0.14	)		(0.09	)		(0.23	)		-			-			9.10		(2.47%	)		240		1.88%			(1.49%	)		94%
12/31/10		7.04		(0.10	)		2.39			2.29			-			-			9.33		32.53%			249		1.87%			(1.33%	)		98%
12/31/09		5.40		(0.06	)		1.70			1.64			-			-			7.04		30.37%			159		1.91%			(0.98%	)		120%
12/31/08		9.61		(0.09	)		(4.06	)		(4.15	)		(0.06	)		(0.06	)		5.40		(43.46%	)		154		1.86%			(1.21%	)		129%
12/31/07		10.20		(0.14	)		0.51			0.37			(0.96	)		(0.96	)		9.61		3.85%			391		1.83%			(1.34%	)		82%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

147

MassMutual Select Diversified International 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) ***		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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	5.70	$	0.14	$	0.06		$	0.20		$	-		$	-		$	-		$	5.90		3.51%	**	$	136,897		1.08%	*		0.99%	*#		4.71%	*		25%	**
12/31/11		7.08		0.15		(1.35	)		(1.20	)		(0.18	)		-			(0.18	)		5.70		(16.84%	)		121,002		1.09%			0.99%	#		2.24%			140%
12/31/10		6.94		0.10		0.27			0.37			(0.23	)		-			(0.23	)		7.08		5.39%			102,970		1.11%			0.99%	#		1.57%			65%
12/31/09		4.98		0.11		1.92			2.03			(0.07	)		-			(0.07	)		6.94		40.70%			93,253		1.10%			0.99%	#		2.00%			61%
12/31/08		10.50		0.25		(5.77	)		(5.52	)		-			-			-			4.98		(52.57%	)		60,987		1.06%			0.99%	#		3.02%			34%
12/31/07		10.06		0.21		0.67			0.88			(0.23	)		(0.21	)		(0.44	)		10.50		8.86%			114,090		1.09%			0.99%	#		1.94%			18%
Class Y
06/30/12 ≈	$	5.84	$	0.14	$	0.06		$	0.20		$	-		$	-		$	-		$	6.04		3.42%	**	$	61		1.18%	*		1.09%	*#		4.62%	*		25%	**
12/31/11		7.06		0.19		(1.40	)		(1.21	)		(0.01	)		-			(0.01	)		5.84		(17.11%	)		55		1.19%			1.09%	#		2.69%			140%
12/31/10		6.93		0.10		0.25			0.35			(0.22	)		-			(0.22	)		7.06		5.15%			7,467		1.21%			1.09%	#		1.46%			65%
12/31/09		4.97		0.11		1.91			2.02			(0.06	)		-			(0.06	)		6.93		40.65%			7,034		1.20%			1.09%	#		1.93%			61%
12/31/08		10.49		0.12		(5.64	)		(5.52	)		-			-			-			4.97		(52.62%	)		5,478		1.16%			1.09%	#		1.83%			34%
12/31/07		10.06		0.15		0.72			0.87			(0.23	)		(0.21	)		(0.44	)		10.49		8.73%			846		1.19%			1.09%	#		1.37%			18%
Class L
06/30/12 ≈	$	5.79	$	0.14	$	0.05		$	0.19		$	-		$	-		$	-		$	5.98		3.46%	**	$	2,638		1.33%	*		1.17%	*#		4.52%	*		25%	**
12/31/11		7.06		0.21		(1.41	)		(1.20	)		(0.07	)		-			(0.07	)		5.79		(17.06%	)		2,113		1.34%			1.17%	#		2.91%			140%
12/31/10		6.93		0.09		0.26			0.35			(0.22	)		-			(0.22	)		7.06		5.06%			33,000		1.36%			1.17%	#		1.38%			65%
12/31/09		4.97		0.11		1.90			2.01			(0.05	)		-			(0.05	)		6.93		40.55%			32,559		1.35%			1.17%	#		1.98%			61%
12/31/08		10.50		0.23		(5.76	)		(5.53	)		-			-			-			4.97		(52.67%	)		23,604		1.31%			1.17%	#		2.76%			34%
12/31/07		10.06		0.20		0.66			0.86			(0.21	)		(0.21	)		(0.42	)		10.50		8.66%			48,459		1.34%			1.17%	#		1.88%			18%
Class A
06/30/12 ≈	$	5.69	$	0.12	$	0.07		$	0.19		$	-		$	-		$	-		$	5.88		3.34%	**	$	666		1.58%	*		1.42%	*#		4.09%	*		25%	**
12/31/11		7.05		0.13		(1.34	)		(1.21	)		(0.15	)		-			(0.15	)		5.69		(17.13%	)		873		1.59%			1.42%	#		1.99%			140%
12/31/10		6.91		0.08		0.25			0.33			(0.19	)		-			(0.19	)		7.05		4.90%			1,296		1.61%			1.42%	#		1.17%			65%
12/31/09		4.95		0.11		1.85			1.96			-			-			-			6.91		39.60%			1,721		1.60%			1.42%	#		2.10%			61%
12/31/08		10.48		0.24		(5.77	)		(5.53	)		-			-			-			4.95		(52.77%	)		40,897		1.56%			1.42%	#		3.00%			34%
12/31/07		10.06		0.14		0.70			0.84			(0.21	)		(0.21	)		(0.42	)		10.48		8.38%			394		1.59%			1.42%	#		1.30%			18%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

148

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders																	Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class Z
06/30/12 ≈	$	6.26	$	0.12		$	0.23		$	0.35		$	-		$	-		$	-		$	-		$	6.61		5.59%	**	$	256,050		1.16%	*		0.85%	*#		3.49%	*		18%	**
12/31/11		7.34		0.07			(1.02	)		(0.95	)		(0.13	)		-			-			(0.13	)		6.26		(12.97%	)		242,149		1.18%			0.86%	#		1.03%			55%
12/31/10 +		7.13		(0.00	) †		0.21			0.21			-			-			-			-			7.34		2.95%	**		103		1.20%	*		0.95%	*#		(0.04%	)		40%	~
Class S
06/30/12 ≈	$	6.26	$	0.11		$	0.23		$	0.34		$	-		$	-		$	-		$	-		$	6.60		5.43%	**	$	115,222		1.44%	*		1.13%	*#		3.27%	*		18%	**
12/31/11		7.34		0.14			(1.10	)		(0.96	)		(0.12	)		-			-			(0.12	)		6.26		(13.09%	)		99,517		1.43%			1.14%	#		1.90%			55%
12/31/10		6.72		0.08			0.64			0.72			(0.10	)		-			-			(0.10	)		7.34		10.97%			276,053		1.19%			1.16%	#		1.15%			40%
12/31/09		4.74		0.08			1.90			1.98			-			-			-			-			6.72		41.77%			257,075		1.17%			N/A			1.40%			61%
12/31/08		11.48		0.22			(4.63	)		(4.41	)		(0.55	)		(0.34	)		(1.44	)		(2.33	)		4.74		(39.09%	)		206,904		1.15%			N/A			2.33%			63%
12/31/07		12.94		0.20			0.35			0.55			(0.11	)		(1.90	)		-			(2.01	)		11.48		4.21%			505,917		1.15%			N/A			1.50%			44%
Class Y
06/30/12 ≈	$	6.23	$	0.10		$	0.23		$	0.33		$	-		$	-		$	-		$	-		$	6.56		5.30%	**	$	77,789		1.49%	*		1.18%	*#		3.12%	*		18%	**
12/31/11		7.31		0.11			(1.07	)		(0.96	)		(0.12	)		-			-			(0.12	)		6.23		(13.16%	)		75,356		1.49%			1.19%	#		1.60%			55%
12/31/10		6.69		0.07			0.65			0.72			(0.10	)		-			-			(0.10	)		7.31		10.97%			83,409		1.24%			1.21%	#		1.10%			40%
12/31/09		4.72		0.07			1.90			1.97			-			-			-			-			6.69		41.74%			97,912		1.22%			N/A			1.28%			61%
12/31/08		11.45		0.22			(4.63	)		(4.41	)		(0.54	)		(0.34	)		(1.44	)		(2.32	)		4.72		(39.15%	)		68,982		1.20%			N/A			2.33%			63%
12/31/07		12.91		0.24			0.30			0.54			(0.10	)		(1.90	)		-			(2.00	)		11.45		4.14%			163,726		1.20%			N/A			1.76%			44%
Class L
06/30/12 ≈	$	6.22	$	0.10		$	0.23		$	0.33		$	-		$	-		$	-		$	-		$	6.55		5.31%	**	$	28,018		1.54%	*		1.23%	*#		3.14%	*		18%	**
12/31/11		7.28		0.14			(1.10	)		(0.96	)		(0.10	)		-			-			(0.10	)		6.22		(13.21%	)		26,070		1.53%			1.23%	#		1.97%			55%
12/31/10		6.66		0.07			0.64			0.71			(0.09	)		-			-			(0.09	)		7.28		10.95%			149,245		1.38%			1.26%	#		1.04%			40%
12/31/09		4.70		0.07			1.89			1.96			-			-			-			-			6.66		41.70%			151,443		1.37%			1.27%	#		1.41%			61%
12/31/08		11.42		0.21			(4.61	)		(4.40	)		(0.55	)		(0.34	)		(1.43	)		(2.32	)		4.70		(39.21%	)		149,950		1.35%			1.25%	#		2.22%			63%
12/31/07		12.88		0.20			0.33			0.53			(0.09	)		(1.90	)		-			(1.99	)		11.42		4.05%			328,071		1.35%			1.25%	#		1.47%			44%
Class A
06/30/12 ≈	$	6.16	$	0.09		$	0.23		$	0.32		$	-		$	-		$	-		$	-		$	6.48		5.37%	**	$	44,801		1.79%	*		1.48%	*#		2.84%	*		18%	**
12/31/11		7.23		0.09			(1.06	)		(0.97	)		(0.10	)		-			-			(0.10	)		6.16		(13.60%	)		42,720		1.79%			1.49%	#		1.33%			55%
12/31/10		6.61		0.05			0.65			0.70			(0.08	)		-			-			(0.08	)		7.23		10.75%			59,596		1.63%			1.51%	#		0.81%			40%
12/31/09		4.68		0.05			1.88			1.93			-			-			-			-			6.61		41.24%			63,979		1.62%			1.52%	#		1.03%			61%
12/31/08		11.33		0.15			(4.52	)		(4.37	)		(0.53	)		(0.34	)		(1.41	)		(2.28	)		4.68		(39.25%	)		48,153		1.60%			1.50%	#		1.57%			63%
12/31/07		12.80		0.17			0.31			0.48			(0.05	)		(1.90	)		-			(1.95	)		11.33		3.71%			261,364		1.60%			1.50%	#		1.27%			44%
Class N
06/30/12 ≈	$	6.11	$	0.09		$	0.22		$	0.31		$	-		$	-		$	-		$	-		$	6.42		5.07%	**	$	299		2.09%	*		1.78%	*#		2.68%	*		18%	**
12/31/11		7.15		0.07			(1.05	)		(0.98	)		(0.06	)		-			-			(0.06	)		6.11		(13.78%	)		238		2.09%			1.79%	#		0.98%			55%
12/31/10		6.48		0.02			0.65			0.67			-			-			-			-			7.15		10.34%			238		1.92%			1.81%	#		0.37%			40%
12/31/09		4.60		0.04			1.84			1.88			-			-			-			-			6.48		40.87%			963		1.92%			1.82%	#		0.79%			61%
12/31/08		11.19		0.15			(4.49	)		(4.34	)		(0.52	)		(0.34	)		(1.39	)		(2.25	)		4.60		(39.45%	)		892		1.90%			1.80%	#		1.58%			63%
12/31/07		12.67		0.12			0.33			0.45			(0.03	)		(1.90	)		-			(1.93	)		11.19		3.47%			3,122		1.90%			1.80%	#		0.91%			44%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period November 15, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

~ The portfolio turnover rate results are for the Fund.

≈ Unaudited.

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

149

Notes to Financial Statements (Unaudited)

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 18 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual Select PIMCO Total Return Fund (“PIMCO Total Return Fund”)

MassMutual Select Strategic Bond Fund (“Strategic Bond Fund”)

MassMutual Select Diversified Value Fund (“Diversified Value Fund”)

MassMutual Select Fundamental Value Fund (“Fundamental Value Fund”)

MassMutual Select Large Cap Value Fund (“Large Cap Value Fund”)

MM S&P 500^® Index Fund (formerly known as MassMutual Select Indexed Equity Fund) (“S&P 500 Index Fund”)

MassMutual Select Focused Value Fund (“Focused Value Fund”)

MassMutual Select Fundamental Growth Fund (formerly known as MassMutual Select NASDAQ-100^® Fund) (“Fundamental Growth Fund”)

MassMutual Select Blue Chip Growth Fund (“Blue Chip Growth Fund”)

MassMutual Select Growth Opportunities Fund (“Growth Opportunities Fund”)

MassMutual Select Mid-Cap Value Fund (“Mid-Cap Value Fund”)

MassMutual Select Small Cap Value Equity Fund (“Small Cap Value Equity Fund”)

MassMutual Select Small Company Value Fund (“Small Company Value Fund”)

MassMutual Select Mid Cap Growth Equity II Fund (“Mid Cap Growth Equity II Fund”)

MassMutual Select Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)

MassMutual Select Small Company Growth Fund (“Small Company Growth Fund”)

MassMutual Select Diversified International Fund (“Diversified International Fund”)

MassMutual Select Overseas Fund (“Overseas Fund”)

The following table shows the classes available for each Fund, including the date each class commenced operations. Each share class 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.

Class Z

Class I

Class S

Class Y

Class L

Class A

Class N

PIMCO Total Return Fund

7/6/2010

None

7/6/2010

7/6/2010

7/6/2010

7/6/2010

7/6/2010

Strategic Bond Fund

None

None

12/31/2004

12/31/2004

12/31/2004

12/31/2004

12/31/2004

Diversified Value Fund

None

None

10/15/2004

10/15/2004

10/15/2004

10/15/2004

10/15/2004

Fundamental Value Fund

11/15/2010

None

12/31/2001

12/31/2001

12/31/2001

12/31/2001

12/31/2002

Large Cap Value Fund

None

None

5/1/2000

5/1/2000

5/1/2000

5/1/2000

12/31/2002

S&P 500 Index Fund

12/7/2011

5/1/2001*

3/1/1998

3/1/1998

7/1/1999

3/1/1998

12/31/2002

Focused Value Fund

11/15/2010

None

5/1/2000

5/1/2000

5/1/2000

5/1/2000

12/31/2002

Fundamental Growth Fund

None

None

5/1/2000

5/1/2000

5/1/2000

5/1/2000

12/31/2002

Blue Chip Growth Fund

None

None

6/1/2001

6/1/2001

6/1/2001

6/1/2001

12/31/2002

Growth Opportunities Fund

12/7/2011

None

5/1/2000

5/1/2000

5/1/2000

5/1/2000

12/31/2002

Mid-Cap Value Fund

12/7/2011

None

8/29/2006

8/29/2006

8/29/2006

8/29/2006

8/29/2006

Small Cap Value Equity Fund

None

None

3/31/2006

3/31/2006

3/31/2006

3/31/2006

3/31/2006

Small Company Value Fund

11/15/2010

None

12/31/2001

12/31/2001

12/31/2001

12/31/2001

12/31/2002

Mid Cap Growth Equity II Fund

11/15/2010

None

6/1/2000

6/1/2000

6/1/2000

6/1/2000

12/31/2002

Small Cap Growth Equity Fund

11/15/2010

None

5/3/1999

5/3/1999

5/3/1999

5/3/1999

12/31/2002

Small Company Growth Fund

None

None

12/31/2001

12/31/2001

12/31/2001

12/31/2001

12/31/2002

Diversified International Fund

None

None

12/14/2006

12/14/2006

12/14/2006

12/14/2006

None**

Overseas Fund

11/15/2010

None

5/1/2001

5/1/2001

5/1/2001

5/1/2001

12/31/2002

* Class Z shares were renamed to Class I shares on September 30, 2011.

** Class N shares were eliminated as of January 19, 2012.

150

Notes to Financial Statements (Unaudited) (Continued)

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.

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, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities or derivatives listed on the exchange or the official closing price on the NASDAQ National Market 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 (other than short-term obligations) 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. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Funds’ investment adviser determines more closely approximates current market value. 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, establish a benchmark yield, and develop an 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. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. Restricted securities are valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined by the Funds’ Valuation Committee¹ in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

151

Notes to Financial Statements (Unaudited) (Continued)

regular review of key inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the value 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 fair valuation 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, that exceeds a specific threshold established by the Funds’ Valuation Committee pursuant to procedures established by the Trustees, and under the general oversight of the Trustees. 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.

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities held in non-public entities are categorized in Level 3.

152

Notes to Financial Statements (Unaudited) (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 Level 1, Level 2, or Level 3.

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 Diversified Value Fund, S&P 500 Index Fund, Focused Value Fund, Fundamental Growth Fund, Growth Opportunities Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, and Small Company Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of June 30, 2012. The PIMCO Total Return Fund characterized all securities sold short at Level 2, as of June 30, 2012. For each Fund noted above, 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 June 30, 2012, for the remaining Funds’ investments and the PIMCO Total Return Fund’s other investments:

Asset Valuation Inputs

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Equities
Preferred Stock
Utilities	$	21,160,000	$	-	$	-	$	21,160,000
Total Preferred Stock		21,160,000		-		-		21,160,000
Total Equities		21,160,000		-		-		21,160,000
Bonds & Notes
Total Bank Loans		-		351,687		-		351,687
Total Corporate Debt		-		745,251,792		-		745,251,792
Total Municipal Obligations		-		64,877,996		-		64,877,996
Non-U.S. Government Agency Obligations
Commercial MBS		-		92,271,529		-		92,271,529
Other ABS		-		4,679,801		-		4,679,801
Student Loans ABS		-		18,499,848		-		18,499,848
WL Collateral CMO		-		50,173,181		-		50,173,181
Total Non-U.S. Government Agency Obligations		-		165,624,359		-		165,624,359
Total Sovereign Debt Obligations		-		62,787,282		-		62,787,282
U.S. Government Agency Obligations and Instrumentalities
Pass-Through Securities		-		1,001,297,510		-		1,001,297,510
Total U.S. Government Agency Obligations and Instrumentalities		-		1,001,297,510		-		1,001,297,510

153

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund (Continued)
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes	$	-	$	577,456,340	$	-	$	577,456,340
Total U.S. Treasury Obligations		-		577,456,340		-		577,456,340
Total Bonds & Notes		-		2,617,646,966		-		2,617,646,966
Total Long-Term Investments		21,160,000		2,617,646,966		-		2,638,806,966
Total Short-Term Investments		-		69,981,278		-		69,981,278
Total Investments	$	21,160,000	$	2,687,628,244	$	-	$	2,708,788,244
Strategic Bond Fund
Equities
Preferred Stock
Financial	$	237,779	$	-	$	-	$	237,779
Total Preferred Stock		237,779		-		-		237,779
Total Equities		237,779		-		-		237,779
Bonds & Notes
Total Corporate Debt		-		61,224,906		33,500		61,258,406
Total Municipal Obligations		-		1,752,047		-		1,752,047
Non-U.S. Government Agency Obligations
Agency Collateral CMO		-		9,785,630		-		9,785,630
Automobile ABS		-		712,495		-		712,495
Commercial MBS		-		2,546,426		-		2,546,426
Home Equity ABS		-		3,009,779		-		3,009,779
Manufactured Housing ABS		-		1,945,379		-		1,945,379
Other ABS		-		228,403		-		228,403
Student Loans ABS		-		2,606,399		-		2,606,399
WL Collateral CMO		-		7,228,697		-		7,228,697
Total Non-U.S. Government Agency Obligations		-		28,063,208		-		28,063,208
Total Sovereign Debt Obligations		-		5,616,901		-		5,616,901
U.S. Government Agency Obligations and Instrumentalities
Collateralized Mortgage Obligations		-		1,900,458		-		1,900,458
Pass-Through Securities		-		45,392,095		-		45,392,095
Total U.S. Government Agency Obligations and Instrumentalities		-		47,292,553		-		47,292,553
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		26,190,123		-		26,190,123
Total U.S. Treasury Obligations		-		26,190,123		-		26,190,123
Total Bonds & Notes		-		170,139,738		33,500		170,173,238
Purchased Options
Options on Futures		13,688		-		-		13,688
Swaptions		-		6,602		-		6,602
Total Purchased Options		13,688		6,602		-		20,290

154

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs			Total
Strategic Bond Fund (Continued)
Warrants
Energy	$	2,335	$	-	$	-		$	2,335
Total Warrants		2,335		-		-			2,335
Total Long-Term Investments		253,802		170,146,340		33,500			170,433,642
Total Short-Term Investments		-		20,598,835		-			20,598,835
Total Investments	$	253,802	$	190,745,175	$	33,500		$	191,032,477
Fundamental Value Fund
Equities
Common Stock
Basic Materials	$	61,667,806	$	-	$	-		$	61,667,806
Communications		107,320,961		-		-			107,320,961
Consumer, Cyclical		114,382,830		-		-			114,382,830
Consumer, Non-cyclical		260,251,248		-		-			260,251,248
Energy		159,870,344		-		-			159,870,344
Financial		267,368,846		10,421,431		-			277,790,277
Industrial		129,292,131		7,187,544		-			136,479,675
Technology		83,562,615		-		-			83,562,615
Utilities		42,255,901		-		-			42,255,901
Total Common Stock		1,225,972,682		17,608,975		-			1,243,581,657
Total Equities		1,225,972,682		17,608,975		-			1,243,581,657
Total Long-Term Investments		1,225,972,682		17,608,975		-			1,243,581,657
Total Short-Term Investments		-		19,050,828		-			19,050,828
Total Investments	$	1,225,972,682	$	36,659,803	$	-		$	1,262,632,485
Large Cap Value Fund
Equities
Common Stock
Basic Materials	$	21,217,213	$	5,259,536	$	-	+	$	26,476,749
Communications		37,170,845		-		-			37,170,845
Consumer, Cyclical		74,062,132		3,472,189		-			77,534,321
Consumer, Non-cyclical		46,617,601		7,941,195		-			54,558,796
Diversified		-		6,407,443		-			6,407,443
Energy		40,131,253		2,032,374		-			42,163,627
Financial		146,242,231		18,095,006		-			164,337,237
Industrial		7,486,443		5,366,562		-			12,853,005
Technology		21,091,678		-		-			21,091,678
Total Common Stock		394,019,396		48,574,305		-			442,593,701
Total Equities		394,019,396		48,574,305		-			442,593,701
Bonds & Notes
Corporate Debt		-		-		368,920			368,920
Total Bonds & Notes		-		-		368,920			368,920

+ Represents security at $0 value as of June 30, 2012.

155

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Large Cap Value Fund (Continued)
Total Long-Term Investments	$	394,019,396	$	48,574,305	$	368,920	$	442,962,621
Total Short-Term Investments		-		25,574,164		-		25,574,164
Total Investments	$	394,019,396	$	74,148,469	$	368,920	$	468,536,785
Blue Chip Growth Fund
Equities
Common Stock
Basic Materials	$	38,972,898	$	-	$	-	$	38,972,898
Communications		174,048,992		8,631,767		3,719,772		186,400,531
Consumer, Cyclical		145,629,292		-		-		145,629,292
Consumer, Non-cyclical		137,093,617		-		-		137,093,617
Energy		42,199,185		-		-		42,199,185
Financial		76,365,377		-		-		76,365,377
Industrial		105,981,385		-		-		105,981,385
Technology		139,712,554		-		-		139,712,554
Total Common Stock		860,003,300		8,631,767		3,719,772		872,354,839
Total Equities		860,003,300		8,631,767		3,719,772		872,354,839
Total Mutual Funds		1,603		-		-		1,603
Total Long-Term Investments		860,004,903		8,631,767		3,719,772		872,356,442
Total Short-Term Investments		-		8,735,577		-		8,735,577
Total Investments	$	860,004,903	$	17,367,344	$	3,719,772	$	881,092,019
Small Company Value Fund
Equities
Common Stock
Basic Materials	$	33,839,637	$	-	$	-	$	33,839,637
Communications		18,103,873		-		-		18,103,873
Consumer, Cyclical		61,731,401		-		-		61,731,401
Consumer, Non-cyclical		58,426,279		-		-		58,426,279
Energy		30,887,159		-		-		30,887,159
Financial		119,054,347		-		-		119,054,347
Industrial		102,753,150		-		-		102,753,150
Technology		23,650,276		-		-		23,650,276
Utilities		21,309,664		-		-		21,309,664
Total Common Stock		469,755,786		-		-		469,755,786
Convertible Preferred Stock
Financial		-		1,730,023		-		1,730,023
Total Convertible Preferred Stock		-		1,730,023		-		1,730,023
Total Equities		469,755,786		1,730,023		-		471,485,809
Total Mutual Funds		2,059,097		-		-		2,059,097
Total Long-Term Investments		471,814,883		1,730,023		-		473,544,906
Total Short-Term Investments		-		10,855,282		-		10,855,282
Total Investments	$	471,814,883	$	12,585,305	$	-	$	484,400,188

156

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Mid Cap Growth Equity II Fund
Equities
Common Stock
Basic Materials	$	55,842,376	$	-	$	-	$	55,842,376
Communications		98,794,190		-		296,059		99,090,249
Consumer, Cyclical		210,834,602		1,532,168		-		212,366,770
Consumer, Non-cyclical		404,854,944		-		-		404,854,944
Energy		95,466,685		814,802		-		96,281,487
Financial		100,583,129		-		-		100,583,129
Industrial		258,896,031		-		-		258,896,031
Technology		237,887,610		-		-		237,887,610
Utilities		16,642,080		-		-		16,642,080
Total Common Stock		1,479,801,647		2,346,970		296,059		1,482,444,676
Preferred Stock
Communications		-		-		8,066,517		8,066,517
Technology		-		714,528		-		714,528
Total Preferred Stock		-		714,528		8,066,517		8,781,045
Total Equities		1,479,801,647		3,061,498		8,362,576		1,491,225,721
Total Mutual Funds		11,826,940		-		-		11,826,940
Total Long-Term Investments		1,491,628,587		3,061,498		8,362,576		1,503,052,661
Total Short-Term Investments		-		71,874,275		-		71,874,275
Total Investments	$	1,491,628,587	$	74,935,773	$	8,362,576	$	1,574,926,936
Small Cap Growth Equity Fund
Equities
Common Stock
Basic Materials	$	14,902,483	$	-	$	-	$	14,902,483
Communications		77,369,377		-		300,294		77,669,671
Consumer, Cyclical		119,969,997		-		-		119,969,997
Consumer, Non-cyclical		148,976,266		885,486		-		149,861,752
Energy		46,238,787		-		-		46,238,787
Financial		86,166,198		-		-		86,166,198
Industrial		130,473,265		-		-		130,473,265
Technology		121,506,914		-		-		121,506,914
Utilities		2,077,740		-		-		2,077,740
Total Common Stock		747,681,027		885,486		300,294		748,866,807
Total Equities		747,681,027		885,486		300,294		748,866,807
Total Mutual Funds		11,539,382		-		-		11,539,382
Total Long-Term Investments		759,220,409		885,486		300,294		760,406,189
Total Short-Term Investments		-		27,899,063		-		27,899,063
Total Investments	$	759,220,409	$	28,784,549	$	300,294	$	788,305,252

157

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Diversified International Fund
Equities
Common Stock
Basic Materials	$	950,034	$	9,879,949	$	-	$	10,829,983
Communications		839,474		11,819,008		-		12,658,482
Consumer, Cyclical		-		17,527,371		-		17,527,371
Consumer, Non-cyclical		1,149,913		16,240,707		-		17,390,620
Diversified		-		1,902,755		-		1,902,755
Energy		-		14,225,660		-		14,225,660
Financial		-		34,352,122		-		34,352,122
Industrial		-		12,563,358		-		12,563,358
Technology		-		5,664,083		-		5,664,083
Utilities		-		7,587,178		-		7,587,178
Total Common Stock		2,939,421		131,762,191		-		134,701,612
Preferred Stock
Consumer, Cyclical		-		1,607,989		-		1,607,989
Total Preferred Stock		-		1,607,989		-		1,607,989
Total Equities		2,939,421		133,370,180		-		136,309,601
Rights
Energy		48,366		-		-		48,366
Total Rights		48,366		-		-		48,366
Total Long-Term Investments		2,987,787		133,370,180		-		136,357,967
Total Short-Term Investments		-		1,629,440		-		1,629,440
Total Investments	$	2,987,787	$	134,999,620	$	-	$	137,987,407
Overseas Fund
Equities
Common Stock
Basic Materials	$	789,412	$	54,729,624	$	-	$	55,519,036
Communications		6,212,434		26,299,473		-		32,511,907
Consumer, Cyclical		2,774,475		67,684,920		-		70,459,395
Consumer, Non-cyclical		1,045,515		94,641,535		-		95,687,050
Diversified		-		6,926,060		-		6,926,060
Energy		-		26,420,172		-		26,420,172
Financial		5,490,447		112,529,795		-		118,020,242
Industrial		6,167,334		51,473,833		-		57,641,167
Technology		6,156,465		32,753,610		-		38,910,075
Utilities		-		8,149,289		-		8,149,289
Total Common Stock		28,636,082		481,608,311		-		510,244,393
Preferred Stock
Consumer, Cyclical		-		1,514,129		-		1,514,129
Total Preferred Stock		-		1,514,129		-		1,514,129
Total Equities		28,636,082		483,122,440		-		511,758,522

158

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Overseas Fund (Continued)
Rights
Energy	$	45,173	$	-	$	-	$	45,173
Total Rights		45,173		-		-		45,173
Total Long-Term Investments		28,681,255		483,122,440		-		511,803,695
Total Short-Term Investments		-		5,090,666		-		5,090,666
Total Investments	$	28,681,255	$	488,213,106	$	-	$	516,894,361

The following is the aggregate value by input level, as of June 30, 2012, for the Funds’ other financial instruments:

Asset Valuation Inputs

	Other Financial Instruments
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Forward Contracts
Foreign Exchange Risk	$	-	$	693,425	$	-	$	693,425
Futures Contracts
Interest Rate Risk		205,905		-		-		205,905
Swap Agreements
Credit Risk		-		4,937,775		-		4,937,775
Interest Rate Risk		-		378,661		-		378,661
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk		-		172,364		-		172,364
Futures Contracts
Interest Rate Risk		288,077		-		-		288,077
Swap Agreements
Interest Rate Risk		-		634		-		634
S&P 500 Index Fund
Futures Contracts
Equity Risk		1,775,496		-		-		1,775,496
Diversified International Fund
Forward Contracts
Foreign Exchange Risk		-		620,261		-		620,261
Overseas Fund
Forward Contracts
Foreign Exchange Risk		-		2,168,843		-		2,168,843

159

Notes to Financial Statements (Unaudited) (Continued)

Liability Valuation Inputs

	Other Financial Instruments
	Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Forward Contracts
Foreign Exchange Risk	$	-		$	(2,464,218	)	$	-	$	(2,464,218	)
Swap Agreements
Credit Risk		-			(4,406,317	)		-		(4,406,317	)
Interest Rate Risk		-			(158,682	)		-		(158,682	)
Written Options
Interest Rate Risk		(215,906	)		(364,907	)		-		(580,813	)
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk		-			(45,582	)		-		(45,582	)
Futures Contracts
Interest Rate Risk		(298,240	)		-			-		(298,240	)
Swap Agreements
Credit Risk		-			(2,982	)		-		(2,982	)
Written Options
Interest Rate Risk		(6,320	)		(768	)		-		(7,088	)
Diversified International Fund
Forward Contracts
Foreign Exchange Risk		-			(630,755	)		-		(630,755	)
Overseas Fund
Forward Contracts
Foreign Exchange Risk		-			(963,163	)		-		(963,163	)

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 12/31/11		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 6/30/12		Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 6/30/12
Strategic Bond Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	670,500	$	-	$	(1,638,973	)	$	1,649,023	$	-	$	(647,050	)	$	-	$	-	$	33,500	$	10,500

160

Notes to Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Balance as of 12/31/11		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 6/30/12			Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 6/30/12
Large Cap Value Fund
Long-Term Investments
Equities
Common Stock
Basic Materials	$	4,335	$	-	$	-	$	(4,335	)	$	-	$	-	$	-	$	-	$	-	**	$	(4,335	)
Bonds & Notes
Corporate Debt		417,040		-		-		(48,120	)		-		-		-		-		368,920			(48,120	)
	$	421,375	$	-	$	-	$	(52,455	)	$	-	$	-	$	-	$	-	$	368,920		$	(52,455	)
Blue Chip Growth Fund
Long-Term Investments
Equities
Common Stock
Communications	$	3,918,959	$		$	-	$	(199,187	)	$	-	$	-	$	-	$	-	$	3,719,772		$	(199,187	)
Mid Cap Growth Equity II Fund
Long-Term Investments
Equities
Common Stock
Communications	$	-	$	-	$	-	$	-		$	296,059	$	-	$	-	$	-	$	296,059		$	-
Preferred Stock
Communications		7,278,537		-		-		(1,385,668	)		2,173,648		-		-		-		8,066,517			(1,385,668	)
	$	7,278,537	$	-	$	-	$	(1,385,668	)	$	2,469,707	$	-	$	-	$	-	$	8,362,576		$	(1,385,668	)
Small Cap Growth Equity Fund
Long-Term Investments
Equities
Common Stock
Communications	$	-	$	-	$	-	$	(92	)	$	300,386	$	-	$	-	$	-	$	300,294		$	(92	)

* The Fund(s) recognize transfers between the Levels as of the beginning of the year.

** Represents security at $0 value as of June 30, 2012.

The Funds had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the period ended June 30, 2012. The Funds recognize transfers between the Levels as of the beginning of the year.

None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s).

161

Notes to Financial Statements (Unaudited) (Continued)

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the period ended June 30, 2012, the following table shows how the Fund used these derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	Diversified Value Fund	S&P 500 Index Fund	Fundamental Growth Fund	Growth Opportunities Fund	Diversified International Fund	Overseas Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A	A					A	A
Directional Exposures to Currencies	A	A
Futures Contracts**
Hedging/Risk Management	A	A					A	A
Duration/Credit Quality Management	A	A
Substitution for Direct Investment	A	A		A	A		M	M
Interest Rate Swaps***
Hedging/Risk Management	A
Duration Management	A
Substitution for Direct Investment	A
Total Return Swaps****
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Substitution for Direct Investment		A
Market Access		A
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management	A
Duration/Credit Quality Management	A
Substitution for Direct Investment	A

162

Notes to Financial Statements (Unaudited) (Continued)

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	Diversified Value Fund	S&P 500 Index Fund	Fundamental Growth Fund	Growth Opportunities Fund	Diversified International Fund	Overseas Fund
Credit Default Swaps (Protection Seller)
Hedging/Risk Management	A
Duration/Credit Quality Management	A	A
Income	A	A
Substitution for Direct Investments	A	A
Options (Purchased)
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Substitution for Direct Investment	A
Options (Written)
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Income	A	A
Directional Investment		A
Rights and Warrants
Directional Investment		A				M
Result of a Corporate Action			A	A		A	A	A

* Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable.

** Includes any options purchased or written on futures contracts, if applicable.

*** Includes any caps, floors, and collars, and related purchased or written options, if applicable.

**** Includes any index swaps, if applicable.

At June 30, 2012, and during the period then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
PIMCO Total Return Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	693,425		$	-		$	693,425
Futures Contracts^^		-			-		-			205,905			205,905
Swap Agreements*,^^		4,937,775			-		-			378,661			5,316,436
Total Value	$	4,937,775		$	-	$	693,425		$	584,566		$	6,215,766
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(2,464,218	)	$	-		$	(2,464,218	)
Swap Agreements^,^^		(4,406,317	)		-		-			(158,682	)		(4,564,999	)
Written Options^		-			-		-			(580,813	)		(580,813	)
Total Value	$	(4,406,317	)	$	-	$	(2,464,218	)	$	(739,495	)	$	(7,610,030	)

163

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
PIMCO Total Return Fund (Continued)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	7,930,983		$	-		$	7,930,983
Futures Contracts		-			-		-			5,337,281			5,337,281
Swap Agreements		(6,105,288	)		-		-			4,189,907			(1,915,381	)
Purchased Options		-			-		-			314,176			314,176
Written Options		-			-		-			681,045			681,045
Total Realized Gain (Loss)	$	(6,105,288	)	$	-	$	7,930,983		$	10,522,409		$	12,348,104
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	(7,526,702	)	$	-		$	(7,526,702	)
Futures Contracts		-			-		-			(2,570,094	)		(2,570,094	)
Swap Agreements		8,002,187			-		-			(2,461,759	)		5,540,428
Purchased Options		-			-		-			(121,000	)		(121,000	)
Written Options		-			-		-			254,038			254,038
Total Change in Appreciation (Depreciation)	$	8,002,187		$	-	$	(7,526,702	)	$	(4,898,815	)	$	(4,423,330	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-	$	404,283,883		$	-		$	404,283,883
Futures Contracts		-			-		-			1,080			1,080
Swap Agreements	$	407,190,333		$	-	$	-		$	84,750,000		$	491,940,333
Purchased Options		-			-		-			76,700,000			76,700,000
Written Options		-			-		-			321,200,209			321,200,209
Strategic Bond Fund
Asset Derivatives
Forward Contracts*	$	-		$	-	$	172,364		$	-		$	172,364
Futures Contracts^^		-			-		-			288,077			288,077
Swap Agreements*		-			-		-			634			634
Purchased Options*		-			-		-			20,290			20,290
Warrants*		-			2,335		-			-			2,335
Total Value	$	-		$	2,335	$	172,364		$	309,001		$	483,700
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(45,582	)	$	-		$	(45,582	)
Futures Contracts^^		-			-		-			(298,240	)		(298,240	)
Swap Agreements^		(2,982	)		-		-			-			(2,982	)
Written Options^		-			-		-			(7,088	)		(7,088	)
Total Value	$	(2,982	)	$	-	$	(45,582	)	$	(305,328	)	$	(353,892	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	315,477		$	-		$	315,477
Futures Contracts		-			-		-			(491,965	)		(491,965	)
Swap Agreements		37,033			-		-			(7,396	)		29,637
Purchased Options		-			-		-			(24,417	)		(24,417	)
Written Options		-			-		-			91,291			91,291
Total Realized Gain (Loss)	$	37,033		$	-	$	315,477		$	(432,487	)	$	(79,977	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	(160,184	)	$	-		$	(160,184	)
Futures Contracts		-			-		-			69,905			69,905
Swap Agreements		381			-		-			8,131			8,512
Purchased Options		-			-		-			(100,056	)		(100,056	)
Written Options		-			-		-			44,995			44,995

164

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Strategic Bond Fund (Continued)
Warrants		-		893			-			-		893
Total Change in Appreciation (Depreciation)	$	381	$	893		$	(160,184	)	$	22,975	$	(135,935	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	8,378,466		$	-	$	8,378,466
Futures Contracts		-		-			-			618		618
Swap Agreements	$	2,600,000	$	-		$	-		$	645,860	$	3,245,860
Purchased Options		-		-			-			2,704,976		2,704,976
Written Options		-		-			-			4,625,750		4,625,750
Warrants		-		258			-			-		258
Diversified Value Fund
Realized Gain (Loss)#
Rights	$	-	$	25,467		$	-		$	-	$	25,467
Number of Contracts, Notional Amounts or Shares/Units†
Rights		-		36,823			-			-		36,823
S&P 500 Index Fund
Asset Derivatives
Futures Contracts^^	$	-	$	1,775,496		$	-		$	-	$	1,775,496
Realized Gain (Loss)#
Futures Contracts	$	-	$	3,875,090		$	-		$	-	$	3,875,090
Warrants		-		(27,696	)		-			-		(27,696	)
Total Realized Gain (Loss)	$	-	$	3,847,394		$	-		$	-	$	3,847,394
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	1,539,786		$	-		$	-	$	1,539,786
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		174			-			-		174
Warrants		-		89,287			-			-		89,287
Fundamental Growth Fund
Realized Gain (Loss)#
Futures Contracts^^	$	-	$	201,407		$	-		$	-	$	201,407
Change in Apprecation (Depreciation)##
Futures Contracts	$	-	$	1,273		$	-		$	-	$	1,273
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		32			-			-		32
Growth Opportunities Fund
Asset Derivatives
Warrants*	$	-	$	257,031		$	-		$	-	$	257,031
Change in Appreciation (Depreciation)##
Warrants	$	-	$	29,301		$	-		$	-	$	29,301

165

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Growth Opportunities Fund (Continued)
Number of Contracts, Notional Amounts or Shares/Units†
Warrants		-		171,313			-			-		171,313
Diversified International Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	620,261		$	-	$	620,261
Rights*		-		48,366			-			-		48,366
Total Value	$	-	$	48,366		$	620,261		$	-	$	668,627
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(630,755	)	$	-	$	(630,755	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	448,598		$	-	$	448,598
Futures Contracts		-		42,614			-			-		42,614
Total Realized Gain (Loss)	$	-	$	42,614		$	448,598		$	-	$	491,212
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(334,544	)	$	-	$	(334,544	)
Futures Contracts		-		(4,833	)		-			-		(4,833	)
Rights		-		669			-			-		669
Total Change in Appreciation (Depreciation)	$	-	$	(4,164	)	$	(334,544	)	$	-	$	(338,708	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	63,888,246		$	-	$	63,888,246
Futures Contracts		-		25			-			-		25
Rights		-		98,690			-			-		98,690
Overseas Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	2,168,843		$	-	$	2,168,843
Rights*		-		45,173			-			-		45,173
Total Value	$	-	$	45,173		$	2,168,843		$	-	$	2,214,016
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(963,163	)	$	-	$	(963,163	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	3,037,673		$	-	$	3,037,673
Futures Contracts		-		(179,122	)		-			-		(179,122	)
Rights		-		(11,655	)		-			-		(11,655	)
Total Realized Gain (Loss)	$	-	$	(190,777	)	$	3,037,673		$	-	$	2,846,896
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(2,453,451	)	$	-	$	(2,453,451	)
Rights		-		624			-			-		624
Total Change in Appreciation (Depreciation)	$	-	$	624		$	(2,453,451	)	$	-	$	(2,452,827	)

166

Notes to Financial Statements (Unaudited) (Continued)

	Credit Risk		Equity Risk		Foreign Exchange Risk		Interest Rate Risk		Total
Overseas Fund (Continued)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-	$	119,733,914	$	-	$	119,733,914
Futures Contracts		-		46		-		-		46
Rights		-		531,249		-		-		531,249

* Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable.

^ Statements of Assets and Liabilities location: Payables for: open forward foreign currency contracts, open swap agreements, at value, or written options outstanding, as applicable.

^^ Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below.

# Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or foreign currency transactions, as applicable.

## Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable.

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased options, rights, and warrants, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended June 30, 2012.

Further details regarding the derivatives and other investments held by the Funds during the period ended June 30, 2012, are discussed below.

Foreign Currency Exchange Transactions

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may use foreign currency exchange transactions for hedging purposes to protect against two principal risks. First, if a Fund has assets or liabilities denominated in foreign (non-U.S. dollar) currencies, the Fund is exposed to the risk that the values of those assets or liabilities in U.S. dollars may fall or rise due to changes in currency exchange rates. Second, if the Fund agrees, or expects, to receive or deliver an asset denominated in a foreign currency, it is exposed to currency exchange risk until the date of receipt or delivery. In order to reduce those risks, a Fund may enter into foreign currency forward contracts, which call for the Fund to purchase or sell a foreign currency at a time in the future at a price 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.

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.

167

Notes to Financial Statements (Unaudited) (Continued)

The Fund(s) listed in the following table had open forward foreign currency contracts at June 30, 2012. A Fund’s current exposure to a counterparty is typically the unrealized appreciation on the contract.

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund
BUYS
	Barclays Bank PLC		291,000	Australian Dollar		7/19/12	$	286,875	$	297,388	$	10,513
	Barclays Bank PLC		1,106,000	Euro		7/16/12		1,434,325		1,399,786		(34,539	)
								1,721,200		1,697,174		(24,026	)
	Goldman Sachs & Co.		19,695,100,000	Indonesian Rupiah		7/02/12		2,076,009		2,096,896		20,887
	JP Morgan Chase Bank		696,000	Australian Dollar		7/19/12		686,818		711,276		24,458
	JP Morgan Chase Bank		1,152,000	Euro		7/03/12		1,446,893		1,457,855		10,962
	JP Morgan Chase Bank		247,129,500	Indian Rupee		7/12/12		5,316,900		4,417,684		(899,216	)
	JP Morgan Chase Bank		19,695,100,000	Indonesian Rupiah		7/02/12		2,092,996		2,096,896		3,900
	JP Morgan Chase Bank		324,324	Mexican Peso		8/15/12		24,811		24,212		(599	)
								9,568,418		8,707,923		(860,495	)
	Royal Bank of Scotland PLC		22,000	Euro		8/02/12		27,342		27,848		506
	UBS AG		596,000	British Pound		9/12/12		924,704		933,251		8,547
	UBS AG		37,240,800	Chinese Yuan Renminbi		2/01/13		5,900,000		5,831,917		(68,083	)
	UBS AG		190,000	Euro		7/03/12		237,405		240,445		3,040
	UBS AG		534,629	Mexican Peso		8/15/12		38,896		39,911		1,015
								7,101,005		7,045,524		(55,481	)
							$	20,493,974	$	19,575,365	$	(918,609	)
SELLS
	Barclays Bank PLC		28,827,000	British Pound		9/12/12	$	44,873,981	$	45,138,987	$	(265,006	)
	Barclays Bank PLC		5,691,100	Chinese Yuan Renminbi		2/01/13		901,774		891,226		10,548
	Barclays Bank PLC		34,942,000	Euro		9/14/12		43,684,697		44,249,627		(564,930	)
	Barclays Bank PLC		800,000,000	Japanese Yen		8/20/12		10,095,223		10,014,788		80,435
	Barclays Bank PLC		12,938,500	Mexican Peso		8/15/12		935,332		965,893		(30,561	)
								100,491,007		101,260,521		(769,514	)
	Credit Suisse Securities LLC		8,183,500	Chinese Yuan Renminbi		2/01/13		1,300,000		1,281,539		18,461

168

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund (Continued)
SELLS (Continued)
	Goldman Sachs & Co.		19,695,100,000	Indonesian Rupiah		7/02/12	$	2,116,615	$	2,096,896	$	19,719
	Goldman Sachs & Co.		182,367,000	Japanese Yen		9/10/12		2,275,966		2,283,596		(7,630	)
								4,392,581		4,380,492		12,089
	JP Morgan Chase Bank		766,000	Australian Dollar		7/19/12		745,165		782,813		(37,648	)
	JP Morgan Chase Bank		1,200,000	Euro		7/03/12		1,530,210		1,518,599		11,611
	JP Morgan Chase Bank		187,000	Euro		7/16/12		236,732		236,673		59
	JP Morgan Chase Bank		190,000	Euro		8/02/12		236,709		240,502		(3,793	)
	JP Morgan Chase Bank		40,000	Euro		9/14/12		50,778		50,655		123
	JP Morgan Chase Bank		247,129,500	Indian Rupee		7/12/12		4,845,476		4,417,683		427,793
	JP Morgan Chase Bank		19,695,100,000	Indonesian Rupiah		7/02/12		2,076,009		2,096,896		(20,887	)
	JP Morgan Chase Bank		255,915,000	Japanese Yen		9/10/12		3,192,705		3,204,563		(11,858	)
								12,913,784		12,548,384		365,400
	Royal Bank of Scotland PLC		22,000	Euro		7/03/12		27,336		27,841		(505	)
	UBS AG		53,500,000	Canadian Dollar		9/20/12		52,047,358		52,457,223		(409,865	)
	UBS AG		23,366,200	Chinese Yuan Renminbi		2/01/13		3,700,000		3,659,152		40,848
	UBS AG		190,000	Euro		8/02/12		237,468		240,502		(3,034	)
	UBS AG		18,698,647	Mexican Peso		8/15/12		1,289,838		1,395,902		(106,064	)
								57,274,664		57,752,779		(478,115	)
							$	176,399,372	$	177,251,556	$	(852,184	)
Strategic Bond Fund
BUYS
	Citibank N.A.		1,847,000	Canadian Dollar		8/16/12	$	1,848,525	$	1,812,407	$	(36,118	)
	JP Morgan Chase Bank		1,727,730	Brazilian Real		8/15/12		862,296		852,832		(9,464	)
							$	2,710,821	$	2,665,239	$	(45,582	)
SELLS
	Citibank N.A.		1,847,000	Canadian Dollar		8/16/12	$	1,822,128	$	1,812,407	$	9,721
	Citibank N.A.		2,256,365	Euro		8/16/12		2,933,716		2,856,522		77,194
								4,755,844		4,668,929		86,915

169

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Strategic Bond Fund (Continued)
SELLS (Continued)
	Morgan Stanley & Co.		1,270,000	Euro		8/16/12	$	1,670,977	$	1,607,800	$	63,177
	UBS AG		466,893	Euro		8/16/12		613,351		591,079		22,272
							$	7,040,172	$	6,867,808	$	172,364
Diversified International Fund
BUYS
	Barclays Bank PLC		600,000	British Pound		10/11/12	$	930,706	$	939,437	$	8,731
	Barclays Bank PLC		161,250	Euro		10/11/12		200,729		204,266		3,537
	Barclays Bank PLC		82,188,929	Japanese Yen		7/12/12		1,033,126		1,028,329		(4,797	)
	Barclays Bank PLC		12,515,909	Japanese Yen		10/11/12		158,075		156,795		(1,280	)
	Barclays Bank PLC		465,000	Swiss Franc		10/11/12		482,683		491,205		8,522
								2,805,319		2,820,032		14,713
	BNP Paribas SA		22,476,240	Japanese Yen		7/12/12		277,947		281,218		3,271
	Citibank N.A.		509,178	British Pound		7/12/12		821,090		797,432		(23,658	)
	Citibank N.A.		294,234	Euro		7/12/12		367,707		372,379		4,672
								1,188,797		1,169,811		(18,986	)
	Credit Suisse Securities LLC		304,804	Euro		7/12/12		387,636		385,757		(1,879	)
	Credit Suisse Securities LLC		33,000,000	Japanese Yen		7/12/12		422,653		412,888		(9,765	)
								810,289		798,645		(11,644	)
	Morgan Stanley & Co.		163,471	British Pound		7/12/12		252,920		256,015		3,095
	Morgan Stanley & Co.		302,387	Euro		7/12/12		379,471		382,697		3,226
								632,391		638,712		6,321
	Royal Bank of Canada		1,649,241	British Pound		7/12/12		2,610,612		2,582,902		(27,710	)
	Royal Bank of Canada		847,550	Euro		7/12/12		1,086,380		1,072,649		(13,731	)
	Royal Bank of Canada		2,523,481	Hong Kong Dollar		7/12/12		325,335		325,284		(51	)
	Royal Bank of Canada		30,274,856	Japanese Yen		7/12/12		381,173		378,792		(2,381	)
	Royal Bank of Canada		240,115	Swiss Franc		7/12/12		253,835		253,031		(804	)
								4,657,335		4,612,658		(44,677	)
	Royal Bank of Scotland PLC		280,000	Euro		7/12/12		348,714		354,365		5,651
	Royal Bank of Scotland PLC		14,957,559	Hong Kong Dollar		7/12/12		1,927,265		1,928,074		809
	Royal Bank of Scotland PLC		7,623,438	Norwegian Krone		7/12/12		1,337,168		1,281,128		(56,040	)
								3,613,147		3,563,567		(49,580	)

170

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date			In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund (Continued)
BUYS (Continued)
	UBS AG		9,003,836	Australian Dollar		7/12/12	��	$	9,167,346	$	9,207,564	$	40,218
	UBS AG		1,202,617	Euro		7/12/12			1,531,727		1,522,018		(9,709	)
	UBS AG		3,015,107	Singapore Dollar		7/12/12			2,395,737		2,380,186		(15,551	)
	UBS AG		2,770,197	Swiss Franc		7/12/12			3,030,817		2,919,207		(111,610	)
									16,125,627		16,028,975		(96,652	)
	Westpac Banking Corp.		542,687	British Pound		7/12/12			875,069		849,910		(25,159	)
	Westpac Banking Corp.		501,758	Euro		7/12/12			662,928		635,020		(27,908	)
	Westpac Banking Corp.		390,518	New Zealand Dollar		7/12/12			302,928		312,405		9,477
									1,840,925		1,797,335		(43,590	)
								$	31,951,777	$	31,710,953	$	(240,824	)
SELLS
	Barclays Bank PLC		195,000	British Pound		7/12/12		$	303,245	$	305,393	$	(2,148	)
	Barclays Bank PLC		413,607	Euro		7/12/12			527,406		523,457		3,949
	Barclays Bank PLC		183,680	Hong Kong Dollar		7/03/12			23,673		23,676		(3	)
	Barclays Bank PLC		1,524,882	Hong Kong Dollar		7/12/12			196,559		196,562		(3	)
	Barclays Bank PLC		43,641,900	Japanese Yen		7/12/12			545,566		546,037		(471	)
									1,596,449		1,595,125		1,324
	BNP Paribas SA		1,028,606	Euro		7/12/12			1,306,825		1,301,793		5,032
	BNP Paribas SA		73,699,866	Japanese Yen		7/12/12			906,559		922,116		(15,557	)
									2,213,384		2,223,909		(10,525	)
	Citibank N.A.		6,112,522	British Pound		7/12/12			9,678,419		9,572,919		105,500
	Citibank N.A.		809,558	Canadian Dollar		7/12/12			810,752		795,009		15,743
	Citibank N.A.		2,495,472	Euro		7/12/12			3,275,372		3,158,242		117,130
									13,764,543		13,526,170		238,373
	Credit Suisse Securities LLC		613,603	British Pound		7/12/12			983,530		960,974		22,556
	Credit Suisse Securities LLC		1,118,412	Euro		7/12/12			1,480,732		1,415,450		65,282
	Credit Suisse Securities LLC		116,467	Euro		10/11/12			146,683		147,536		(853	)
	Credit Suisse Securities LLC		1,344,155	Norwegian Krone		10/11/12			223,487		225,130		(1,643	)
	Credit Suisse Securities LLC		223,000	Swiss Franc		7/12/12			247,959		234,995		12,964
									3,082,391		2,984,085		98,306
	Morgan Stanley & Co.		162,509	British Pound		7/12/12			250,755		254,508		(3,753	)
	Morgan Stanley & Co.		1,750,709	Hong Kong Dollar		7/12/12			225,691		225,672		19
									476,446		480,180		(3,734	)
	Royal Bank of Canada		1,003,493	Euro		7/12/12			1,267,561		1,270,009		(2,448	)
	Royal Bank of Canada		217,520,371	Japanese Yen		7/12/12			2,684,818		2,721,565		(36,747	)

171

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund (Continued)
SELLS (Continued)
	Royal Bank of Canada		1,108,101	New Zealand Dollar		7/12/12	$	894,699	$	886,455	$	8,244
	Royal Bank of Canada		5,665,350	Norwegian Krone		10/11/12		931,146		948,879		(17,733	)
	Royal Bank of Canada		8,668,734	Swedish Krona		7/12/12		1,284,680		1,252,752		31,928
								7,062,904		7,079,660		(16,756	)
	Royal Bank of Scotland PLC		230,000	British Pound		7/12/12		356,867		360,206		(3,339	)
	UBS AG		105,877	British Pound		7/12/12		167,470		165,816		1,654
	UBS AG		282,808	Euro		7/12/12		351,921		357,919		(5,998	)
	UBS AG		14,777,913	Japanese Yen		7/12/12		182,582		184,898		(2,316	)
								701,973		708,633		(6,660	)
	Westpac Banking Corp.		189,063	Euro		7/12/12		249,310		239,276		10,034
	Westpac Banking Corp.		691,078	Hong Kong Dollar		7/12/12		89,089		89,082		7
	Westpac Banking Corp.		55,665,138	Japanese Yen		7/12/12		686,970		696,469		(9,499	)
								1,025,369		1,024,827		542
							$	30,280,326	$	29,982,795	$	297,531
Cross Currency Forwards
	Barclays Bank PLC		200,906	USD/Euro		7/12/12	$	253,152	$	254,264	$	1,112
			161,157	British Pound/USD		7/12/12		253,152		252,391		761
									$	506,655	$	1,873
	Barclays Bank PLC		162,386	USD/British Pound		7/12/12	$	254,621	$	254,315	$	(306	)
			203,130	Euro/USD		7/12/12		254,621		257,078		(2,457	)
									$	511,393	$	(2,763	)
	Barclays Bank PLC		397,595	USD/Swiss Franc		7/12/12	$	437,230	$	418,982	$	(18,248	)
			35,254,590	Japanese Yen/USD		7/12/12		437,230		441,097		(3,867	)
									$	860,079	$	(22,115	)
	BNP Paribas SA		201,900	USD/British Pound		7/12/12	$	319,608	$	316,199	$	(3,409	)
			249,998	Euro/USD		7/12/12		319,608		316,395		3,213
									$	632,594	$	(196	)
	Citibank N.A.		21,106,448	USD/Japanese Yen		7/12/12	$	265,040	$	264,079	$	(961	)
			170,217	British Pound/USD		7/12/12		265,040		266,580		(1,540	)
									$	530,659	$	(2,501	)
	Credit Suisse Securities LLC		314,143	USD/Euro		7/12/12	$	408,779	$	397,576	$	(11,203	)
			252,995	British Pound/USD		7/12/12		408,779		396,219		12,560
									$	793,795	$	1,357

172

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund (Continued)
Cross Currency Forwards (Continued)
	Credit Suisse Securities LLC		19,503,107	USD/Japanese Yen		7/12/12	$	248,891	$	244,018	$	(4,873	)
			163,085	British Pound/USD		7/12/12		248,891		255,410		(6,519	)
									$	499,428	$	(11,392	)
	Credit Suisse Securities LLC		181,628	USD/British Pound		7/12/12	$	289,914	$	284,450	$	(5,464	)
			220,000	Euro/USD		7/12/12		289,914		278,430		11,484
									$	562,880	$	6,020
	Credit Suisse Securities LLC		34,111,008	USD/Japanese Yen		7/12/12	$	424,398	$	426,789	$	2,391
			322,639	Euro/USD		7/12/12		424,398		408,328		16,070
									$	835,117	$	18,461
	Morgan Stanley & Co.		205,719	USD/Euro		7/12/12	$	261,891	$	260,356	$	(1,535	)
			164,634	British Pound/USD		7/12/12		261,891		257,836		4,055
									$	518,192	$	2,520
	Royal Bank of Canada		489,272	USD/Australian Dollar		7/12/12	$	505,394	$	500,343	$	(5,051	)
			40,918,384	Japanese Yen/USD		7/12/12		505,394		511,962		(6,568	)
									$	1,012,305	$	(11,619	)
	Royal Bank of Canada		218,339	USD/British Pound		7/12/12	$	353,556	$	341,944	$	(11,612	)
			28,521,755	Japanese Yen/USD		7/12/12		353,556		356,858		(3,302	)
									$	698,802	$	(14,914	)
	Royal Bank of Scotland PLC		33,718,284	USD/Japanese Yen		7/12/12	$	420,585	$	421,876	$	1,291
			260,470	British Pound/USD		7/12/12		420,585		407,926		12,659
									$	829,802	$	13,950
	UBS AG		711,475	USD/Euro		7/12/12	$	886,035	$	900,435	$	14,400
			902,838	Australian Dollar/USD		7/12/12		886,035		923,267		(37,232	)
									$	1,823,702	$	(22,832	)
	UBS AG		210,932	USD/Euro		7/12/12	$	275,910	$	266,953	$	(8,957	)
			22,412,537	Japanese Yen/USD		7/12/12		275,910		280,421		(4,511	)
									$	547,374	$	(13,468	)
	Westpac Banking Corp.		428,361	USD/Euro		7/12/12	$	567,022	$	542,129	$	(24,893	)
			45,361,888	Japanese Yen/USD		7/12/12		567,022		567,558		(536	)
									$	1,109,687	$	(25,429	)

173

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund (Continued)
Cross Currency Forwards (Continued)
	Westpac Banking Corp.		317,281	USD/Euro		7/12/12	$	417,430	$	401,547	$	(15,883	)
			33,629,325	Japanese Yen/USD		7/12/12		417,430		420,763		(3,333	)
									$	822,310	$	(19,216	)
	Westpac Banking Corp.		784,294	USD/Swiss Franc		7/12/12	$	813,245	$	826,481	$	13,236
			528,183	British Pound/USD		7/12/12		813,245		827,196		(13,951	)
									$	1,653,677	$	(715	)
	Westpac Banking Corp.		782,333	USD/Swiss Franc		7/12/12	$	811,212	$	824,415	$	13,203
			64,594,889	Japanese Yen/USD		7/12/12		811,212		808,196		3,016
									$	1,632,611	$	16,219
	Westpac Banking Corp.		210,310	USD/Euro		7/12/12	$	264,391	$	266,166	$	1,775
			20,980,378	Japanese Yen/USD		7/12/12		264,391		262,502		1,889
									$	528,668	$	3,664
	Westpac Banking Corp.		419,123	USD/Australian Dollar		7/12/12	$	426,437	$	428,606	$	2,169
			271,458	British Pound/USD		7/12/12		426,437		425,135		1,302
									$	853,741	$	3,471
	Westpac Banking Corp.		22,469,952	USD/Japanese Yen		7/12/12	$	279,321	$	281,139	$	1,818
			212,324	Euro/USD		7/12/12		279,321		268,715		10,606
									$	549,854	$	12,424
Overseas Fund
BUYS
	Barclays Bank PLC		230,560	Australian Dollar		7/12/12	$	236,414	$	235,776	$	(638	)
	Barclays Bank PLC		952,835	British Pound		7/12/12		1,539,608		1,492,250		(47,358	)
	Barclays Bank PLC		1,364,548	Euro		7/12/12		1,799,311		1,726,957		(72,354	)
	Barclays Bank PLC		12,084,224	Hong Kong Dollar		7/12/12		1,557,074		1,557,692		618
	Barclays Bank PLC		17,099,871	Japanese Yen		7/12/12		213,061		213,950		889
	Barclays Bank PLC		240,872	Swiss Franc		7/12/12		263,474		253,828		(9,646	)
								5,608,942		5,480,453		(128,489	)
	BNP Paribas SA		18,261,384	Japanese Yen		7/12/12		225,825		228,482		2,657
	Citibank N.A.		267,440	New Zealand Dollar		7/12/12		203,914		213,946		10,032
	Credit Suisse Securities LLC		379,524	British Pound		10/11/12		592,196		594,232		2,036
	Credit Suisse Securities LLC		423,755	Euro		7/12/12		549,715		536,299		(13,416	)
	Credit Suisse Securities LLC		29,699,492	Japanese Yen		7/12/12		373,301		371,593		(1,708	)
	Credit Suisse Securities LLC		736,500	Swiss Franc		10/11/12		772,819		778,006		5,187
								2,288,031		2,280,130		(7,901	)

174

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
BUYS (Continued)
	Royal Bank of Canada		1,485,457	British Pound		7/12/12	$	2,354,622	$	2,326,399	$	(28,223	)
	Royal Bank of Canada		444,000	Euro		7/12/12		593,329		561,922		(31,407	)
								2,947,951		2,888,321		(59,630	)
	Royal Bank of Scotland PLC		200,000	Euro		7/12/12		249,081		253,118		4,037
	Royal Bank of Scotland PLC		7,026,427	Norwegian Krone		7/12/12		1,232,451		1,180,800		(51,651	)
								1,481,532		1,433,918		(47,614	)
	State Street Bank and Trust Co.		943,000,000	Japanese Yen		9/19/12		12,063,875		11,809,699		(254,176	)
	State Street Bank and Trust Co.		990,000	Swedish Krona		9/19/12		140,368		142,716		2,348
	State Street Bank and Trust Co.		1,400,000	Swiss Franc		12/19/12		1,476,310		1,481,985		5,675
								13,680,553		13,434,400		(246,153	)
	UBS AG		7,610,861	Australian Dollar		7/12/12		7,748,657		7,783,071		34,414
	UBS AG		14,579,412	Japanese Yen		7/12/12		179,760		182,414		2,654
	UBS AG		2,407,408	Singapore Dollar		7/12/12		1,912,873		1,900,456		(12,417	)
	UBS AG		2,133,951	Swiss Franc		7/12/12		2,334,713		2,248,737		(85,976	)
								12,176,003		12,114,678		(61,325	)
	Westpac Banking Corp.		373,324	Australian Dollar		7/12/12		379,102		381,771		2,669
	Westpac Banking Corp.		325,579	New Zealand Dollar		7/12/12		252,555		260,456		7,901
								631,657		642,227		10,570
							$	39,244,408	$	38,716,555	$	(527,853	)
SELLS
	Barclays Bank PLC		146,238	British Pound		7/12/12	$	227,415	$	229,025	$	(1,610	)
	Barclays Bank PLC		139,235	Euro		7/12/12		182,369		176,214		6,155
	Barclays Bank PLC		59,480,642	Japanese Yen		7/12/12		751,045		744,208		6,837
	Barclays Bank PLC		2,755,000	Norwegian Krone		10/11/12		452,427		461,430		(9,003	)
								1,613,256		1,610,877		2,379
	BNP Paribas SA		130,131	Euro		7/12/12		171,034		164,692		6,342
	BNP Paribas SA		54,976,054	Japanese Yen		7/12/12		675,367		687,848		(12,481	)
								846,401		852,540		(6,139	)
	Citibank N.A.		4,131,836	British Pound		7/12/12		6,541,591		6,470,934		70,657
	Citibank N.A.		718,506	Canadian Dollar		7/12/12		719,566		705,594		13,972
	Citibank N.A.		1,777,918	Euro		7/12/12		2,332,762		2,250,114		82,648
	Citibank N.A.		255,446	Swiss Franc		7/12/12		270,458		269,186		1,272
								9,864,377		9,695,828		168,549

175

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
SELLS (Continued)
	Credit Suisse Securities LLC		596,812	British Pound		7/12/12	$	956,617	$	934,678	$	21,939
	Credit Suisse Securities LLC		1,521,619	Euro		7/12/12		1,999,054		1,925,744		73,310
	Credit Suisse Securities LLC		296,700	Euro		10/11/12		373,677		375,849		(2,172	)
	Credit Suisse Securities LLC		45,723,614	Japanese Yen		7/12/12		564,713		572,083		(7,370	)
	Credit Suisse Securities LLC		1,244,468	Norwegian Krone		10/11/12		206,912		208,434		(1,522	)
								4,100,973		4,016,788		84,185
	Morgan Stanley & Co.		39,233,106	Japanese Yen		7/12/12		487,889		490,876		(2,987	)
	Royal Bank of Canada		121,071	British Pound		7/12/12		190,329		189,611		718
	Royal Bank of Canada		602,374	Euro		7/12/12		760,135		762,358		(2,223	)
	Royal Bank of Canada		75,106,623	Japanese Yen		7/12/12		911,680		939,717		(28,037	)
	Royal Bank of Canada		1,069,926	New Zealand Dollar		7/12/12		864,111		855,915		8,196
	Royal Bank of Canada		6,932,714	Swedish Krona		7/12/12		1,027,407		1,001,873		25,534
								3,753,662		3,749,474		4,188
	Royal Bank of Scotland PLC		365,199	Australian Dollar		7/12/12		357,339		373,462		(16,123	)
	Royal Bank of Scotland PLC		180,000	British Pound		7/12/12		279,287		281,901		(2,614	)
								636,626		655,363		(18,737	)
	State Street Bank and Trust Co.		3,182,000	Australian Dollar		3/20/13		3,136,020		3,187,073		(51,053	)
	State Street Bank and Trust Co.		1,867,000,000	Japanese Yen		9/19/12		24,514,467		23,381,450		1,133,017
	State Street Bank and Trust Co.		4,990,000	Swedish Krona		9/19/12		715,566		719,348		(3,782	)
	State Street Bank and Trust Co.		11,400,000	Swiss Franc		12/19/12		12,525,958		12,067,594		458,364
								40,892,011		39,355,465		1,536,546
	Toronto Dominion Bank		400,000	British Pound		7/12/12		622,636		626,447		(3,811	)
	UBS AG		155,216	British Pound		7/12/12		248,525		243,087		5,438
	UBS AG		92,900,000	Japanese Yen		7/12/12		1,133,839		1,162,344		(28,505	)
								1,382,364		1,405,431		(23,067	)

176

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
SELLS (Continued)
	Westpac Banking Corp.		244,921	British Pound		7/12/12	$	382,994	$	383,575	$	(581	)
	Westpac Banking Corp.		158,538	Euro		7/12/12		209,058		200,644		8,414
	Westpac Banking Corp.		2,055,905	Hong Kong Dollar		7/12/12		264,939		265,012		(73	)
	Westpac Banking Corp.		18,482,819	Japanese Yen		7/12/12		233,033		231,253		1,780
								1,090,024		1,080,484		9,540
							$	65,290,219	$	63,539,573	$	1,750,646
Cross Currency Forwards
	Barclays Bank PLC		102,214	Euro/USD		7/12/12	$	133,648	$	129,361	$	4,287
			132,706	USD /Canadian Dollar		7/12/12		133,648		130,321		(3,327	)
									$	259,682	$	960
	Barclays Bank PLC		170,357	Euro/USD		7/12/12	$	221,178	$	215,602	$	5,576
			17,674,317	USD/Japanese Yen		7/12/12		221,178		221,137		(41	)
									$	436,739	$	5,535
	Barclays Bank PLC		203,305	USD/Euro		7/12/12	$	256,175	$	257,301	$	1,126
			20,361,517	Japanese Yen/USD		7/12/12		256,175		254,759		1,416
									$	512,060	$	2,542
	Barclays Bank PLC		267,195	Australian Dollar/USD		7/12/12	$	271,937	$	273,241	$	(1,304	)
			276,859	USD/Canadian Dollar		7/12/12		271,937		271,883		(54	)
									$	545,124	$	(1,358	)
	Barclays Bank PLC		249,087	Euro/USD		7/12/12	$	307,939	$	315,242	$	(7,303	)
			24,487,344	USD/Japanese Yen		7/12/12		307,939		306,380		(1,559	)
									$	621,622	$	(8,862	)
	Barclays Bank PLC		344,885	USD/British Pound		7/12/12	$	542,540	$	540,131	$	(2,409	)
			426,708	Euro/USD		7/12/12		542,540		540,037		2,503
									$	1,080,168	$	94
	Credit Suisse Securities LLC		125,101	USD/Euro		7/12/12	$	156,176	$	158,326	$	2,150
			12,428,597	Japanese Yen/USD		7/12/12		156,176		155,504		672
									$	313,830	$	2,822
	Credit Suisse Securities LLC		170,779	USD/Euro		7/12/12	$	224,608	$	216,136	$	(8,472	)
			18,244,765	Japanese Yen/USD		7/12/12		224,608		228,274		(3,666	)
									$	444,410	$	(12,138	)

177

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
Cross Currency Forwards (Continued)
	Credit Suisse Securities LLC		148,604	USD/British Pound		7/12/12	$	237,202	$	232,732	$	(4,470	)
			180,000	Euro/USD		7/12/12		237,202		227,806		9,396
									$	460,538	$	4,926
	Credit Suisse Securities LLC		204,685	British Pound/USD		7/12/12	$	330,722	$	320,561	$	10,161
			254,157	USD/Euro		7/12/12		330,722		321,658		(9,064	)
									$	642,219	$	1,097
	Credit Suisse Securities LLC		279,736	Euro/USD		7/12/12	$	374,068	$	354,031	$	20,037
			357,549	USD/Australian Dollar		7/12/12		374,068		365,639		(8,429	)
									$	719,670	$	11,608
	Credit Suisse Securities LLC		264,728	British Pound/USD		7/12/12	$	404,013	$	414,595	$	(10,582	)
			31,658,451	USD/Japanese Yen		7/12/12		404,013		396,103		(7,910	)
									$	810,698	$	(18,492	)
	Royal Bank of Scotland PLC		161,804	Euro/USD		7/12/12	$	206,718	$	204,777	$	1,941
			16,345,181	USD/Japanese Yen		7/12/12		206,718		204,507		(2,211	)
									$	409,284	$	(270	)
	Royal Bank of Scotland PLC		137,349	USD/British Pound		7/12/12	$	222,423	$	215,105	$	(7,318	)
			170,357	Euro/USD		7/12/12		222,423		215,602		6,821
									$	430,707	$	(497	)
	Royal Bank of Scotland PLC		212,199	British Pound/USD		7/12/12	$	342,641	$	332,328	$	10,313
			27,469,497	USD/Japanese Yen		7/12/12		342,641		343,692		1,051
									$	676,020	$	11,364
	Toronto Dominion Bank		166,433	USD/Euro		7/12/12	$	209,140	$	210,636	$	1,496
			16,469,444	Japanese Yen/USD		7/12/12		209,140		206,062		3,078
									$	416,698	$	4,574
	UBS AG		172,991	USD/Euro		7/12/12	$	227,224	$	218,936	$	(8,288	)
			18,633,950	Japanese Yen/USD		7/12/12		227,224		233,144		(5,920	)
									$	452,080	$	(14,208	)

178

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
Cross Currency Forwards (Continued)
	UBS AG		244,486	USD/Australian Dollar		7/12/12	$	247,371	$	250,018	$	2,647
			253,075	Canadian Dollar/USD		7/12/12		247,371		248,527		(1,156	)
									$	498,545	$	1,491
	UBS AG		217,401	USD/Euro		7/12/12	$	285,143	$	275,140	$	(10,003	)
			23,235,623	Japanese Yen/USD		7/12/12		285,143		290,719		(5,576	)
									$	565,859	$	(15,579	)
	UBS AG		212,516	British Pound/USD		7/12/12	$	336,296	$	332,825	$	3,471
			257,097	USD/Euro		7/12/12		336,296		325,379		(10,917	)
									$	658,204	$	(7,446	)
	UBS AG		237,235	British Pound/USD		7/12/12	$	371,057	$	371,537	$	(480	)
			366,730	USD/Australian Dollar		7/12/12		371,057		375,028		3,971
									$	746,565	$	3,491
	UBS AG		322,597	USD/Euro		7/12/12	$	401,746	$	408,275	$	6,529
			2,457,925	Norwegian Krone/USD		7/12/12		401,746		413,057		(11,311	)
									$	821,332	$	(4,782	)
	UBS AG		612,935	USD/Euro		7/12/12	$	763,319	$	775,724	$	12,405
			777,794	Australian Dollar/USD		7/12/12		763,319		795,393		(32,074	)
									$	1,571,117	$	(19,669	)
	Westpac Banking Corp.		131,999	USD/British Pound		7/12/12	$	206,974	$	206,726	$	(248	)
			16,453,926	Japanese Yen/USD		7/12/12		206,974		205,868		1,106
									$	412,594	$	858
	Westpac Banking Corp.		172,758	Euro/USD		7/12/12	$	227,270	$	218,641	$	8,629
			18,282,737	USD/Japanese Yen		7/12/12		227,270		228,749		1,479
									$	447,390	$	10,108
	Westpac Banking Corp.		237,788	British Pound/USD		7/12/12	$	371,552	$	372,404	$	(852	)
			295,775	USD/Euro		7/12/12		371,552		374,330		2,778
									$	746,734	$	1,926
	Westpac Banking Corp.		265,835	British Pound/USD		7/12/12	$	417,604	$	416,329	$	1,275
			410,441	USD/Australian Dollar		7/12/12		417,604		419,728		2,124
									$	836,057	$	3,399

179

Notes to Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
Cross Currency Forwards (Continued)
	Westpac Banking Corp.		701,704	USD/Singapore Dollar		7/12/12	$	552,479	$	553,939	$	1,460
			43,794,261	Japanese Yen/USD		7/12/12		552,479		547,944		4,535
									$	1,101,883	$	5,995
	Westpac Banking Corp.		629,638	USD/Swiss Franc		7/12/12	$	652,881	$	663,506	$	10,625
			51,987,321	Japanese Yen/USD		7/12/12		652,881		650,453		2,428
									$	1,313,959	$	13,053
	Westpac Banking Corp.		425,093	British Pound/USD		7/12/12	$	654,517	$	665,745	$	(11,228	)
			631,216	USD/Swiss Franc		7/12/12		654,517		665,170		10,653
									$	1,330,915	$	(575	)
	Westpac Banking Corp.		511,601	British Pound/USD		7/12/12	$	797,152	$	801,226	$	(4,074	)
			761,201	USD/Swiss Franc		7/12/12		797,152		802,146		4,994
									$	1,603,372	$	920

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 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. 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 may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

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.

180

Notes to Financial Statements (Unaudited) (Continued)

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. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

The Fund(s) listed in the following table had open futures contracts at June 30, 2012:

Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund
BUYS
340	90 Day Eurodollar		3/16/15	$	84,239,250	$	74,640
216	90 Day Eurodollar		6/15/15		53,457,300		50,001
48	90 Day Eurodollar		9/14/15		11,864,400		29,332
						$	153,973
SELLS
110	German Euro Bund		9/06/12	$	19,613,972	$	51,932
Strategic Bond Fund
BUYS
106	Ultra Long U.S. Treasury Bond		9/19/12	$	17,685,437	$	284,890
74	U.S. Treasury Note 5 Year		9/28/12		9,173,688		(14,147	)
						$	270,743
SELLS
107	U.S. Treasury Bond 30 Year		9/19/12	$	15,832,656	$	(83,480	)
280	U.S. Treasury Note 10 Year		9/19/12		37,345,000		(200,613	)
77	U.S. Treasury Note 2 Year		9/28/12		16,954,438		3,187
						$	(280,906	)
S&P 500 Index Fund
BUYS
134	S&P 500 Index		9/20/12	$	45,439,400	$	1,775,496

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, 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 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.

181

Notes to Financial Statements (Unaudited) (Continued)

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 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, obligation acceleration, obligation 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 or 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 such 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.

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. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally 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 specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater

182

Notes to Financial Statements (Unaudited) (Continued)

than the margin the Fund would be required to post in an uncleared transaction. Only a limited number of transactions 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.

The Fund(s) listed in the following table had open swap agreements at June 30, 2012. A Fund’s current exposure to a counterparty is typically the fair value of the agreement.

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate			Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	PIMCO Total Return Fund*
	Credit Default Swaps
	OTC Swaps
$	15,000,000	USD		6/20/15	Barclays Bank PLC	Sell†		5.000%		CDX.NA.EM.13 (PIMCO Rating: BA+)**	$	29,001		$	955,450		$	984,451
	1,000,000	USD		6/20/15	Barclays Bank PLC	Sell†		5.000%		CDX.EM.13 (PIMCO Rating: BA+)**		(47,370	)		113,000			65,630
	6,900,000	USD		3/20/16	Barclays Bank PLC	Sell†		1.000%		People’s Republic of China (PIMCO Rating: AA-)**		(71,108	)		83,717			12,609
	1,000,000	USD		3/20/16	Barclays Bank PLC	Sell†		1.000%		People’s Republic of China (PIMCO Rating: AA-)**		(10,122	)		11,950			1,828
	10,600,000	USD		3/20/16	Barclays Bank PLC	Sell†		1.000%		United Mexican States (PIMCO Rating: BAA+)**		(48,942	)		(51,149	)		(100,091	)
	20,700,000	USD		3/20/16	Barclays Bank PLC	Sell†		1.000%		Federative Republic of Brazil (PIMCO Rating: BAA)**		(201,341	)		(90,235	)		(291,576	)
	11,600,000	USD		6/20/16	Barclays Bank PLC	Sell†		1.000%		People’s Republic of China (PIMCO Rating: AA-)**		(151,374	)		150,653			(721	)
	500,000	USD		9/20/16	Barclays Bank PLC	Sell†		0.250%		French Republic (PIMCO Rating: AAA)**		1,221			(30,572	)		(29,351	)
	100,000	USD		3/20/17	Barclays Bank PLC	Sell†		1.000%		Japan Government (PIMCO Rating: AA-)**		1,401			(787	)		614
	15,500,000	EUR		6/20/17	Barclays Bank PLC	Buy		(1.000%	)	DJ ITRAXX 17SEN2		598,126			1,004,220			1,602,346
	2,800,000	USD		6/20/17	Barclays Bank PLC	Sell†		1.000%		United Mexican States (PIMCO Rating: BAA+)**		(22,457	)		(34,275	)		(56,732	)
	1,600,000	USD		6/20/17	Barclays Bank PLC	Sell†		1.000%		Berkshire Hathaway Finance (PIMCO Rating: AA+)**		6,300			(41,119	)		(34,819	)
	600,000	USD		9/20/17	Barclays Bank PLC	Sell†		1.000%		United Mexican States (PIMCO Rating: BAA+)**		(381	)		(13,491	)		(13,872	)
												82,954			2,057,362			2,140,316
	6,100,000	USD		6/20/16	Credit Suisse Securities LLC	Sell†		1.000%		Federative Republic of Brazil (PIMCO Rating: BAA)**		(91,109	)		(8,878	)		(99,987	)
	1,400,000	USD		6/20/17	Credit Suisse Securities LLC	Sell†		1.000%		Berkshire Hathaway Finance (PIMCO Rating: AA+)**		4,233			(34,699	)		(30,466	)
												(86,876	)		(43,577	)		(130,453	)

183

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	PIMCO Total Return Fund* (Continued)
	Credit Default Swaps (Continued)
	OTC Swaps (Continued)
$	1,000,000	USD		12/20/15	Goldman Sachs & Co.	Sell†		1.000%	United Kingdom of Great Britain and Northern Ireland (PIMCO Rating: AAA)**	$	(4,145	)	$	23,194		$	19,049
	1,000,000	USD		12/20/15	Goldman Sachs & Co.	Sell†		1.000%	United Kingdom of Great Britain and Northern Ireland (PIMCO Rating: AAA)**		(3,966	)		23,015			19,049
	7,700,000	USD		12/20/15	Goldman Sachs & Co.	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		151,049			(207,341	)		(56,292	)
	5,200,000	USD		3/20/16	Goldman Sachs & Co.	Sell†		0.250%	French Republic (PIMCO Rating: AAA)**		(47,542	)		(195,802	)		(243,344	)
	4,300,000	USD		3/20/16	Goldman Sachs & Co.	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		92,162			(132,765	)		(40,603	)
	13,000,000	USD		3/20/16	Goldman Sachs & Co.	Sell†		0.250%	French Republic (PIMCO Rating: AAA)**		195,132			(803,491	)		(608,359	)
	1,600,000	USD		6/20/16	Goldman Sachs & Co.	Sell†		1.000%	Japan Government (PIMCO Rating: AA-)**		2,383			16,292			18,675
	3,700,000	USD		6/20/16	Goldman Sachs & Co.	Sell†		0.250%	French Republic (PIMCO Rating: AAA)**		(96,637	)		(96,633	)		(193,270	)
	1,300,000	USD		9/20/16	Goldman Sachs & Co.	Sell†		1.000%	United Mexican States (PIMCO Rating: BAA+)**		(11,892	)		(6,020	)		(17,912	)
	300,000	USD		9/20/16	Goldman Sachs & Co.	Sell†		0.250%	French Republic (PIMCO Rating: AAA)**		(2,390	)		(15,221	)		(17,611	)
	7,600,000	USD		12/20/16	Goldman Sachs & Co.	Sell†		0.250%	French Republic (PIMCO Rating: AAA)**		71,994			(568,138	)		(496,144	)
	3,300,000	USD		3/20/17	Goldman Sachs & Co.	Sell†		1.000%	Japan Government (PIMCO Rating: AA-)**		47,807			(27,613	)		20,194
	6,000,000	USD		3/20/17	Goldman Sachs & Co.	Sell†		1.000%	Japan Government (PIMCO Rating: AA-)**		79,791			(43,075	)		36,716
	2,200,000	USD		3/20/17	Goldman Sachs & Co.	Sell†		1.000%	Japan Government (PIMCO Rating: AA-)**		28,192			(14,729	)		13,463
	1,300,000	USD		6/20/17	Goldman Sachs & Co.	Sell†		1.000%	Republic of South Korea (PIMCO Rating: A+)**		(2,200	)		(15,122	)		(17,322	)
	1,300,000	USD		6/20/17	Goldman Sachs & Co.	Sell†		1.000%	Japan Government (PIMCO Rating: AA-)**		9,300			(3,866	)		5,434
	4,900,000	USD		6/20/17	Goldman Sachs & Co.	Sell†		1.000%	Japan Government (PIMCO Rating: AA-)**		35,057			(14,576	)		20,481
	7,900,000	USD		12/20/20	Goldman Sachs & Co.	Sell†		1.000%	American International Group (PIMCO Rating: A-)**		716,703			(1,643,800	)		(927,097	)
											1,260,798			(3,725,691	)		(2,464,893	)
	600,000	USD		9/20/12	JP Morgan Chase Bank	Sell†		1.000%	Bank of America Corp. (PIMCO Rating: A-)**		25,690			(26,444	)		(754	)
	200,000	USD		12/20/15	JP Morgan Chase Bank	Sell†		5.000%	CDX.EM.14 (PIMCO Rating: BA+)**		(12,609	)		26,400			13,791
	6,600,000	USD		3/20/16	JP Morgan Chase Bank	Sell†		1.000%	MetLife, Inc. (PIMCO Rating: A-)**		(209,921	)		(159,291	)		(369,212	)
	5,900,000	USD		6/20/17	JP Morgan Chase Bank	Sell†		1.000%	Federative Republic of Brazil (PIMCO Rating: BAA)**		(92,101	)		(80,807	)		(172,908	)
	5,100,000	USD		6/20/17	JP Morgan Chase Bank	Sell†		1.000%	Australia Government (PIMCO Rating: AAA)**		4,272			55,455			59,727
											(284,669	)		(184,687	)		(469,356	)
	700,000	USD		12/20/15	Royal Bank of Scotland PLC	Sell†		0.250%	French Republic (PIMCO Rating: AAA)**		(15,087	)		(13,898	)		(28,985	)
	1,000,000	USD		3/20/16	Royal Bank of Scotland PLC	Sell†		0.250%	French Republic (PIMCO Rating: AAA)**		(13,209	)		(33,588	)		(46,797	)
											(28,296	)		(47,486	)		(75,782	)

184

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate			Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	PIMCO Total Return Fund* (Continued)
	Credit Default Swaps (Continued)
	OTC Swaps (Continued)
$	1,000,000	USD		9/20/15	UBS AG	Sell†		1.000%		United Mexican States (PIMCO Rating: BAA+)**	$	8,959		$	(14,146	)	$	(5,187	)
	14,300,000	USD		6/20/16	UBS AG	Sell†		0.250%		Federal Republic of Germany (PIMCO Rating: AAA)**		(154,683	)		(140,928	)		(295,611	)
	4,300,000	USD		6/20/16	UBS AG	Sell†		0.250%		Federal Republic of Germany (PIMCO Rating: AAA)**		56,670			(145,560	)		(88,890	)
	5,400,000	USD		9/20/16	UBS AG	Sell†		1.000%		United Mexican States (PIMCO Rating: BAA+)**		(50,708	)		(23,694	)		(74,402	)
	1,300,000	USD		9/20/16	UBS AG	Sell†		1.000%		Republic of South Korea (PIMCO Rating: A+)**		(5,166	)		-			(5,166	)
	500,000	USD		9/20/17	UBS AG	Sell†		1.000%		People’s Republic of China (PIMCO Rating: AA-)**		(745	)		(6,884	)		(7,629	)
	300,000	USD		12/20/20	UBS AG	Sell†		1.000%		American International Group (PIMCO Rating: A-)**		30,988			(66,195	)		(35,207	)
												(114,685	)		(397,407	)		(512,092	)
	Centrally Cleared Swaps
	34,176,000	USD		12/20/16		Buy		(5.000%	)	CDX.HY.17		(212,377	)		1,034,738			822,361
	161,700,000	USD		6/20/17		Buy		(1.000%	)	CDX.NA.IG.18		1,758,482			(807,519	)		950,963
	7,524,000	USD		6/20/17		Buy		(5.000%	)	CDX.NA.HY.18		20,174			250,220			270,394
												1,566,279			477,439			2,043,718

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
	Interest Rate Swaps
	OTC Swaps
$	63,000,000	MXN		9/13/17	Barclays Bank PLC	Mexican Banxico	Fixed 5.500%	$	90,030		$	(43,105	)	$	46,925
	98,000,000	MXN		9/02/22	Barclays Bank PLC	Mexican Banxico	Fixed 6.000%		81,282			(51,278	)		30,004
									171,312			(94,383	)		76,929
	Centrally Cleared Swaps
	22,500,000	USD		12/09/42		3-Month USD-LIBOR-BBA	Fixed 2.500%		166,732			135,000			301,732
	3,000,000	USD		6/20/42		3-Month USD-LIBOR-BBA	Fixed 2.750%		(197,782	)		39,100			(158,682	)
									(31,050)			174,100			143,050

Notional Amount

Currency

Expiration Date

Counterparty

Buy/Sell Protection

Receive (Pay) Fixed Rate

Deliverable on Default

Unrealized Appreciation (Depreciation)

Premium (Received) Paid

Value

Strategic Bond Fund

Credit Default Swaps

OTC Swaps

$

100,000

USD

9/20/12

Goldman Sachs & Co.

Sell†

3.240%

Energy Future Holdings Corp. (Moody’s Rating: Ca2; S&P Rating: D)

$

(2,982

)

$

-

$

(2,982

)

185

Notes to Financial Statements (Unaudited) (Continued)

Notional Amount

Currency

Expiration Date

Counterparty

Payments Made by Fund

Payments Received by Fund

Unrealized Appreciation (Depreciation)

Premium Received (Paid)

Value

Strategic Bond Fund (Continued)

Total Return Swaps

OTC Swaps

$

516,464

USD

1/12/41

Morgan Stanley & Co.

1 Month USD-LIBOR-BBA

IOS.FN30.500.10

$

1,531

$

(897

)

$

634

EUR Euro

MXN Mexican Peso

USD U.S. Dollar

* Collateral for swap agreements held by Barclays Bank PLC and received from Barclays Bank PLC amounted to $35,000 and $2,510,000 in cash, respectively, at June 30, 2012; and collateral for swap agreements held by Barclays Bank PLC, Credit Suisse Securities LLC, Goldman Sachs & Co., JP Morgan Chase Bank, Royal Bank of Scotland PLC, and UBS AG amounted to $286,361, $5,396,377, $2,329,332, $918,375, $306,628, and $195,944 in securities, respectively, at June 30, 2012.

** Rating is determined by Pacific Investment Management Company LLC and represents a weighted average rating of all securities in the underlying index for credit default swaps. The source of the ratings for the underlying securities are Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, and/or Fitch Ratings. All ratings are as of the report date and do not reflect subsequent changes.

† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Moody’s Investors Services, Inc., Standard & Poor’s Ratings Group, or Pacific Investment Management Company LLC’s rating category. 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.

Options, Rights, and Warrants

A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. 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.

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. 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.

Writing put and call options. 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

186

Notes to Financial Statements (Unaudited) (Continued)

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 for purchased options and the last ask price for written options.

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.

187

Notes to Financial Statements (Unaudited) (Continued)

The Fund(s) listed in the following table had open written option contracts at June 30, 2012. A Fund’s current exposure to a counterparty is typically the fair value of the contract.

Notional Amount		Expiration Date		Description	Premiums Received		Value
PIMCO Total Return Fund
$	20,300,000		11/19/12	Interest Rate Swaption USD 1 Year Put, Strike 1.00*	$	115,817	$	1,131
	22,600,000		11/19/12	Interest Rate Swaption USD 1 Year Put, Strike 1.75**		85,315		16
	70,100,000		9/24/12	Interest Rate Swaption USD 2 Year Put, Strike 2.25**		546,745		-
	20,600,000		9/24/12	Interest Rate Swaption USD 2 Year Put, Strike 2.25*		122,227		-
	9,600,000		3/18/13	Interest Rate Swaption USD 5 Year Call, Strike 1.40***		89,279		149,359
	10,300,000		8/13/12	Interest Rate Swaption USD 5 Year Put, Strike 1.35***		21,888		1,502
	16,200,000		8/13/12	Interest Rate Swaption USD 5 Year Put, Strike 1.35**		66,218		2,362
	20,500,000		8/13/12	Interest Rate Swaption USD 5 Year Put, Strike 1.55***		105,057		294
	11,600,000		8/13/12	Interest Rate Swaption USD 5 Year Put, Strike 1.55**		53,376		166
	72,600,000		8/13/12	Interest Rate Swaption USD 5 Year Put, Strike 1.70****		437,415		158
	20,200,000		8/13/12	Interest Rate Swaption USD 5 Year Put, Strike 1.70**		286,342		44
	3,200,000		8/13/12	Interest Rate Swaption USD 5 Year Put, Strike 1.70*		40,720		7
	9,600,000		3/18/13	Interest Rate Swaption USD 5 Year Put, Strike 1.40***		185,280		59,300
	20,800,000		5/30/13	Interest Rate Swaption USD 5 Year Put, Strike 1.75**		154,308		102,565
	5,500,000		5/30/13	Interest Rate Swaption USD 10 Year Call, Strike 1.50**		41,525		48,003
	351,000		7/27/12	U.S. Treasury Note 10 Year Call, Strike 134.00		76,385		153,562
	133,000		8/24/12	U.S. Treasury Note 10 Year Put, Strike 131.00		40,663		37,406
	133,000		8/24/12	U.S. Treasury Note 10 Year Call, Strike 136.00		28,028		24,938
					$	2,496,588	$	580,813
Strategic Bond Fund
$	57,500		9/17/12	Eurodollar Futures Put, Strike 97.50	$	2,800	$	144
	55,000		12/14/12	Eurodollar Futures Put, Strike 97.50		2,679		138
	80,000		12/14/12	Eurodollar Futures Put, Strike 97.75		13,496		3,000
	202,500		12/14/12	Eurodollar Futures Put, Strike 98.25		24,062		3,038
	2,352,000		7/19/12	Interest Rate Swaption USD 1 Year Put, Strike 0.88*****		14,112		768
					$	57,149	$	7,088

* OTC traded option counterparty Goldman Sachs & Co.

** OTC traded option counterparty Royal Bank of Scotland PLC.

*** OTC traded option counterparty Credit Suisse Securities LLC.

**** OTC traded option counterparty JP Morgan Chase Bank.

***** OTC traded counterparty Bank of America Corp.

Transactions in written option contracts during the period ended June 30, 2012, were as follows:

	Number of Contracts			Premiums Received
PIMCO Total Return Fund
Options outstanding at December 31, 2011		350,100,142		$	1,878,212
Options written		176,700,617			1,299,421
Options terminated in closing purchase transactions		(193,100,142	)		(681,045	)
Options outstanding at June 30, 2012		333,700,617		$	2,496,588

188

Notes to Financial Statements (Unaudited) (Continued)

	Number of Contracts			Premiums Received
Strategic Bond Fund
Options outstanding at December 31, 2011		53		$	17,047
Options written		8,114,732			238,584
Options terminated in closing purchase transactions		(5,762,568	)		(188,530	)
Options expired		(59	)		(9,952	)
Options outstanding at June 30, 2012		2,352,158		$	57,149

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 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 when-issued, delayed-delivery, or forward commitment 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. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, forward commitment, or TBA basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.

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 when-issued, delayed-delivery, forward commitment, or TBA transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Dollar Roll Transactions

A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.

Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.

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.

189

Notes to Financial Statements (Unaudited) (Continued)

The PIMCO Total Return Fund had dollar roll transactions during the period ended June 30, 2012, which were accounted for as financing transactions.

PIMCO Total Return Fund
Average balance outstanding	$	6,377,906
Average interest rate		0.08	%

Inflation-Indexed Bonds

The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.

If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.

The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.

Bank Loans

Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral

190

Notes to Financial Statements (Unaudited) (Continued)

securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

At June 30, 2012, the Funds had no unfunded loan commitments.

Short Sales

A short sale is a transaction in which a Fund sells a security it does not own in anticipation that the market price of that security will decline. When a Fund makes a short sale on a security, it must borrow the security sold short and deliver it to a broker dealer through which it made the short sale as collateral for its obligation to deliver the security upon the conclusion of the sale. A Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any accrued interest and dividends on such borrowed securities. If the price of the security sold short increases between the time of the short sale and the time a Fund replaces the borrowed security, a Fund will incur a loss, which could be unlimited, in cases where a Fund is unable for whatever reason to close out its short position; conversely, if the price declines, a Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely impacted by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

Repurchase Agreements

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. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.

Reverse Repurchase Agreements

Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the collateral furnished by the counterparty to secure its obligation to redeliver the securities. A reverse repurchase agreement generally creates investment leverage. If the counterparty in a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to enforce the Fund’s obligation to repurchase the securities.

The Fund(s) listed in the following table had open reverse repurchase agreements at June 30, 2012:

Description	Value
PIMCO Total Return Fund
Agreement with Barclays Bank PLC, dated 6/29/12, (1.50%), to be repurchased on demand until 6/29/14 at value plus accrued interest.	$	717,000
Agreement with Citigroup, dated 12/16/11, (1.00%), to be repurchased on demand until 12/15/12 at value plus accrued interest.		1,554,000
	$	2,271,000
Average balance outstanding	$	3,519,824
Maximum balance outstanding	$	47,565,163
Average interest rate		(0.43	)%
Weighted average maturity		22 days

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase agreements.

191

Notes to Financial Statements (Unaudited) (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 dividend expense 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 gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.

Foreign Securities

Each of the Diversified International Fund and Overseas Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including ADRs, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political and economic instability, and greater volatility in currency exchange rates.

Credit Risk

The Funds may invest a portion of their assets, directly or indirectly, in securities backed by mortgage loans, credit card receivables, and automotive loans. The values and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on such securities have resulted in increased volatility of market price and periods of decreased market activity that have adversely impacted the valuation and liquidity of such securities.

192

Notes to Financial Statements (Unaudited) (Continued)

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Management Fees and Other Transactions

Investment Management Fees

Under agreements between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:

PIMCO Total Return Fund*	0.35% on the first $3 billion; and
	0.32% on any excess over $3 billion
Strategic Bond Fund	0.55% on the first $200 million; and
	0.45% on any excess over $200 million
Diversified Value Fund*	0.50% on the first $400 million; and
	0.475% on any excess over $400 million
Fundamental Value Fund	0.65% on the first $1.25 billion;
	0.625% on the next $250 million; and
	0.60% on any excess over $1.5 billion
Large Cap Value Fund	0.65% on the first $750 million; and
	0.60% on any excess over $750 million
S&P 500 Index Fund	0.10% on the first $2.5 billion;
	0.08% on the next $2.5 billion; and
	0.05% on any excess over $5 billion
Focused Value Fund	0.69% on the first $1 billion; and
	0.64% on any excess over $1 billion
Fundamental Growth Fund**	0.65%
Blue Chip Growth Fund	0.65% on the first $750 million; and
	0.60% on any excess over $750 million
Growth Opportunities Fund*	0.73% on the first $500 million; and
	0.70% on any excess over $500 million
Mid-Cap Value Fund*	0.70% on the first $350 million; and
	0.65% on any excess over $350 million
Small Cap Value Equity Fund*	0.75% on the first $350 million; and
	0.70% on any excess over $350 million
Small Company Value Fund*	0.85% on the first $750 million; and
	0.80% on any excess over $750 million

193

Notes to Financial Statements (Unaudited) (Continued)

Mid Cap Growth Equity II Fund	0.75% on the first $2 billion; and
	0.70% on any excess over $2 billion
Small Cap Growth Equity Fund*	0.82% on the first $1 billion; and
	0.80% on any excess over $1 billion
Small Company Growth Fund*	0.85% on the first $350 million; and
	0.80% on any excess over $350 million
Diversified International Fund*	0.90% on the first $250 million; and
	0.88% on any excess over $250 million
Overseas Fund	1.00% on the first $750 million;
	0.975% on the next $500 million; and
	0.95% on any excess over $1.25 billion

* Prior to June 1, 2012, the investment management fees were as follows:

PIMCO Total Return Fund	0.35%
Diversified Value Fund	0.50% on the first $500 million; and
	0.45% on any excess over $500 million
Growth Opportunities Fund	0.73%
Mid-Cap Value Fund	0.70%
Small Cap Value Equity Fund	0.75%
Small Company Value Fund	0.85%
Small Cap Growth Equity Fund	0.82%
Small Company Growth Fund	0.85%
Diversified International Fund	0.90%

** Prior to February 22, 2012, the investment management fees were as follows:

Fundamental Growth Fund 0.15%

MassMutual has also entered into investment subadvisory agreements with the following unaffiliated investment subadvisers: Barrow, Hanley, Mewhinney & Strauss, LLC for a portion of the Small Cap Value Equity Fund; Brandywine Global Investment Management, LLC for a portion of the Diversified Value Fund; Davis Selected Advisers, L.P. for the Large Cap Value Fund; Delaware Management Company for a portion of the Growth Opportunities Fund; Eagle Asset Management, Inc. for a portion of the Small Company Growth Fund; EARNEST Partners, LLC for a portion of the Small Company Value Fund; Federated Clover Investment Advisors for a portion of the Small Company Value Fund; Frontier Capital Management Company, LLC for a portion of the Mid Cap Growth Equity II Fund; Harris Associates L.P. for the Focused Value Fund and a portion of the Overseas Fund; J.P. Morgan Investment Management Inc. for the Diversified International Fund and a portion of the Overseas Fund; Loomis, Sayles & Company, L.P. for a portion of the Diversified Value Fund; Massachusetts Financial Services Company for a portion of the Overseas Fund; NFJ Investment Group LLC for a portion of the Mid-Cap Value Fund; Northern Trust Investments, Inc. for the S&P 500 Index Fund; Pacific Investment Management Company LLC for the PIMCO Total Return Fund; Sands Capital Management, LLC for a portion of the Growth Opportunities Fund; Systematic Financial Management, L.P. for a portion of the Mid-Cap Value Fund; T. Rowe Price Associates, Inc. for the Blue Chip Growth Fund, a portion of the Mid Cap Growth Equity II Fund, and a portion of the Small Company Value Fund; The Boston Company Asset Management, LLC for a portion of the Small Company Growth Fund; Waddell & Reed Investment Management Company for a portion of the Small Cap Growth Equity Fund; Wellington Management Company, LLP for the Fundamental Value Fund, the Fundamental Growth Fund, a portion of the Small Cap Value Equity Fund, and a portion of the Small Cap Growth Equity Fund; Western Asset Management Company for a portion of the Strategic Bond Fund; and Western Asset Management Company Limited for a portion of the Strategic Bond Fund. Effective February 22, 2012, Wellington Management Company, LLP replaced Northern Trust Investments, Inc. as the investment subadviser for the Fundamental Growth Fund. MassMutual 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 all other funds or accounts of MassMutual or its affiliates for which the subadviser provides subadvisory services and which have substantially the same investment objective, policies and investment strategies.

The Funds’ subadvisory fees are paid by MassMutual out of the management fees previously disclosed above.

194

Notes to Financial Statements (Unaudited) (Continued)

Administration Fees

Under separate administrative and shareholder services agreements between each Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual 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 Z		Class I		Class S		Class Y		Class L		Class A		Class N
PIMCO Total Return Fund		0.0200%		None		0.1700%		0.2900%		0.3700%		0.2200%		0.2200%
Strategic Bond Fund		None		None		0.0500%		0.1000%		0.2500%		0.2500%		0.3000%
Diversified Value Fund		None		None		0.0583%		0.1583%		0.2683%		0.3083%		0.3683%
Fundamental Value Fund		0.0700%		None		0.2729%		0.3129%		0.4629%		0.4629%		0.5129%
Large Cap Value Fund		None		None		0.0844%		0.1744%		0.3244%		0.3244%		0.3744%
S&P 500 Index Fund		0.0577%		0.1355%		0.3497%		0.3797%		0.5297%		0.5297%		0.5797%
Focused Value Fund		0.0700%		None		0.1844%		0.2844%		0.4344%		0.4344%		0.4844%
Fundamental Growth Fund*		None		None		0.1629%		0.2029%		0.3529%		0.3529%		0.4029%
Blue Chip Growth Fund		None		None		0.1585%		0.2885%		0.4085%		0.4085%		0.4585%
Growth Opportunities Fund		0.0944%		None		0.2444%		0.3444%		0.4944%		0.4944%		0.5444%
Mid-Cap Value Fund		0.0800%		None		0.1500%		0.2500%		0.4000%		0.4000%		0.4500%
Small Cap Value Equity Fund		None		None		0.0500%		0.1500%		0.3000%		0.3000%		0.3500%
Small Company Value Fund		0.0600%		None		0.2493%		0.2893%		0.4393%		0.4393%		0.4893%
Mid Cap Growth Equity II Fund		0.0600%		None		0.1844%		0.2744%		0.4244%		0.4244%		0.4744%
Small Cap Growth Equity Fund		0.0700%		None		0.1675%		0.3075%		0.4575%		0.4575%		0.5075%
Small Company Growth Fund		None		None		0.1591%		0.1991%		0.3491%		0.3491%		0.3991%
Diversified International Fund		None		None		0.0500%		0.1500%		0.3000%		0.3000%		None
Overseas Fund		0.0700%		None		0.3543%		0.4043%		0.4543%		0.4543%		0.5043%

* Prior to February 22, 2012, the administration fees per share class were as follows:

Class Z

Class I

Class S

Class Y

Class L

Class A

Class N

Fundamental Growth Fund

None

None

0.3744%

0.4744%

0.6244%

0.6244%

0.6744%

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to separate 12b-1 Plans adopted by the Funds, Class A shares of each Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. Pursuant to separate 12b-1 Plans adopted by the Funds, Class N shares of each Fund pay an annual fee of 0.50% of the average daily net asset value of Class N shares as follows: 0.25% of the average daily net asset value of Class N shares to the Distributor for services provided and expenses incurred by it in connection with the distribution of Class N shares of the Fund; and 0.25% of the average daily net asset value of Class N shares to MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class N shareholders. The Distribution fee may be spent by the Distributor on any activities or expenses primarily intended to result in the sale of Class A or Class N shares of the Fund. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A or Class N shareholders of a Fund and/or maintenance of Class A or Class N shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. In addition, OppenheimerFunds Distributor, Inc. (the “Sub-Distributor”) acts as a sub-distributor to each Fund. The Sub-Distributor is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

195

Notes to Financial Statements (Unaudited) (Continued)

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class S		Class Y		Class L		Class A		Class N
Blue Chip Growth Fund*		0.76%		0.82%		0.98%		1.19%		1.51%
Diversified International Fund*		0.99%		1.09%		1.17%		1.42%		None

# Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps in effect through March 31, 2013. Interest expense and short sale dividend and loan expense were not excluded from the caps prior to April 2, 2012.

MassMutual has agreed to waive, through March 31, 2013, 0.15% of the management fee for each class of the Fundamental Value Fund, 0.05% of the management fee for each class of the S&P 500 Index Fund, 0.10% of the management fee for each class of the Focused Value Fund, 0.15% of the management fee for each class of the Growth Opportunities Fund, 0.10% of the management fee for each class of the Mid-Cap Value Fund, 0.08% of the management fee for each class of the Small Company Value Fund, 0.10% of the management fee for each class of the Mid Cap Growth Equity II Fund, 0.05% of the management fee for each class of the Small Cap Growth Equity Fund, and 0.31% of the management fee for each class of the Overseas Fund.

MassMutual has agreed to waive, through March 31, 2013, 0.05% of the administrative and shareholder service fee for Class Z and 0.20% of the administrative and shareholder service fees for Classes L, A, and N of the S&P 500 Index Fund, based upon the average daily net assets of the applicable class of shares of the Fund. Effective February 22, 2012, MassMutual has agreed to waive, through March 31, 2013, 0.09% of the administrative and shareholder service fee for Class S, and 0.03% of the administrative and shareholder service fee for Classes Y, L, A, and N of the Fundamental Growth Fund, based upon the average daily net assets of the applicable class of shares of the Fund.

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 period ended June 30, 2012, brokerage commissions rebated under these agreements were as follows:

	Rebated Commissions
Diversified Value Fund	$	7,034
Fundamental Value Fund		8,751
Large Cap Value Fund		16,021
Blue Chip Growth Fund		2,340
Growth Opportunities Fund		8,356
Mid-Cap Value Fund		13,392
Small Cap Value Equity Fund		3,951
Small Company Value Fund		47,234
Mid Cap Growth Equity II Fund		39,878
Small Cap Growth Equity Fund		158,046
Small Company Growth Fund		3,992
Diversified International Fund		73
Overseas Fund		424

196

Notes to Financial Statements (Unaudited) (Continued)

Deferred Compensation

Trustees of the Funds who are not employees of MassMutual or its subsidiaries 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 are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at June 30, 2012:

	Total % of Ownership by Related Party
PIMCO Total Return Fund		74.8%
Strategic Bond Fund		91.5%
Diversified Value Fund		64.2%
Fundamental Value Fund		81.6%
Large Cap Value Fund		87.9%
S&P 500 Index Fund		67.1%
Focused Value Fund		85.9%
Fundamental Growth Fund		95.1%
Blue Chip Growth Fund		85.5%
Growth Opportunities Fund		81.6%
Mid-Cap Value Fund		90.5%
Small Cap Value Equity Fund		77.9%
Small Company Value Fund		79.4%
Mid Cap Growth Equity II Fund		75.8%
Small Cap Growth Equity Fund		65.4%
Small Company Growth Fund		82.6%
Diversified International Fund		49.6%
Overseas Fund		91.6%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended June 30, 2012, 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
PIMCO Total Return Fund	$	6,777,932,103	$	84,724,916	$	6,358,013,118	$	219,848,648
Strategic Bond Fund		373,420,636		9,539,546		373,824,477		13,474,607
Diversified Value Fund		-		63,413,857		-		55,573,723
Fundamental Value Fund		-		161,416,753		-		108,500,886
Large Cap Value Fund		-		22,885,222		-		133,442,738
S&P 500 Index Fund		-		93,244,854		-		13,644,462
Focused Value Fund		-		95,759,578		-		107,902,706
Fundamental Growth Fund		-		91,787,226		-		44,627,628

197

Notes to Financial Statements (Unaudited) (Continued)

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
Blue Chip Growth Fund	$	-	$	200,031,318	$	-	$	83,102,157
Growth Opportunities Fund		-		130,241,996		-		39,151,827
Mid-Cap Value Fund		-		66,190,822		-		63,823,941
Small Cap Value Equity Fund		-		15,871,316		-		16,160,307
Small Company Value Fund		-		83,093,773		-		84,583,728
Mid Cap Growth Equity II Fund		-		288,607,644		-		320,294,668
Small Cap Growth Equity Fund		-		365,945,685		-		394,798,118
Small Company Growth Fund		-		27,092,248		-		31,055,938
Diversified International Fund		-		46,806,157		-		33,275,754
Overseas Fund		-		111,802,073		-		94,164,957

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
PIMCO Total Return Fund Class Z
Sold		5,256,247		$	54,052,034			44,509,187		$	456,529,497
Issued as reinvestment of dividends		-			-			1,329,640			13,214,111
Redeemed		(7,662,606	)		(79,735,427	)		(5,880,693	)		(60,586,199	)
Net increase (decrease)		(2,406,359	)	$	(25,683,393	)		39,958,134		$	409,157,409
PIMCO Total Return Fund Class S
Sold		3,095,331		$	31,097,818			8,700,194		$	87,780,332
Issued as reinvestment of dividends		-			-			127,156			1,262,265
Redeemed		(620,836	)		(6,386,378	)		(3,777,801	)		(38,941,125	)
Net increase (decrease)		2,474,495		$	24,711,440			5,049,549		$	50,101,472
PIMCO Total Return Fund Class Y
Sold		5,731,519		$	59,119,472			13,061,341		$	134,304,351
Issued as reinvestment of dividends		-			-			1,469,812			14,638,314
Redeemed		(2,906,062	)		(29,800,536	)		(20,153,058	)		(205,404,016	)
Net increase (decrease)		2,825,457		$	29,318,936			(5,621,905	)	$	(56,461,351	)
PIMCO Total Return Fund Class L
Sold		1,828,701		$	18,743,675			7,187,185		$	73,325,419
Issued as reinvestment of dividends		-			-			205,223			2,031,477
Redeemed		(558,152	)		(5,641,693	)		(3,440,702	)		(35,552,870	)
Net increase (decrease)		1,270,549		$	13,101,982			3,951,706		$	39,804,026
PIMCO Total Return Fund Class A
Sold		5,990,613		$	61,309,665			12,387,231		$	126,843,937
Issued as reinvestment of dividends		-			-			2,105,042			20,960,452
Redeemed		(6,266,972	)		(64,698,758	)		(14,277,209	)		(146,017,155	)
Net increase (decrease)		(276,359	)	$	(3,389,093	)		215,064		$	1,787,234
PIMCO Total Return Fund Class N
Sold		1,332,554		$	13,589,253			1,602,507		$	16,372,999
Issued as reinvestment of dividends		-			-			68,344			678,251
Redeemed		(208,371	)		(2,138,145	)		(226,731	)		(2,323,001	)
Net increase (decrease)		1,124,183		$	11,451,108			1,444,120		$	14,728,249

198

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Strategic Bond Fund Class S
Sold		450,470		$	4,544,867			4,071,149		$	40,326,262
Issued as reinvestment of dividends		-			-			260,688			2,573,933
Redeemed		(742,552	)		(7,499,894	)		(1,726,405	)		(17,083,143	)
Net increase (decrease)		(292,082	)	$	(2,955,027	)		2,605,432		$	25,817,052
Strategic Bond Fund Class Y
Sold		157,708		$	1,595,392			658,043		$	6,481,656
Issued as reinvestment of dividends		-			-			104,963			1,037,415
Redeemed		(220,204	)		(2,233,186	)		(988,760	)		(9,791,791	)
Net increase (decrease)		(62,496	)	$	(637,794	)		(225,754	)	$	(2,272,720	)
Strategic Bond Fund Class L
Sold		458,548		$	4,628,630			1,800,060		$	17,664,319
Issued as reinvestment of dividends		-			-			84,442			832,875
Redeemed		(223,305	)		(2,255,291	)		(3,518,462	)		(34,756,258	)
Net increase (decrease)		235,243		$	2,373,339			(1,633,960	)	$	(16,259,064	)
Strategic Bond Fund Class A
Sold		314,261		$	3,160,430			592,861		$	5,854,653
Issued as reinvestment of dividends		-			-			111,760			1,100,211
Redeemed		(815,695	)		(8,240,608	)		(2,211,428	)		(21,945,086	)
Net increase (decrease)		(501,434	)	$	(5,080,178	)		(1,506,807	)	$	(14,990,222	)
Strategic Bond Fund Class N
Sold		14,699		$	147,868			30,649		$	302,115
Issued as reinvestment of dividends		-			-			2,577			25,291
Redeemed		(21,425	)		(214,673	)		(33,741	)		(327,198	)
Net increase (decrease)		(6,726	)	$	(66,805	)		(515	)	$	208
Diversified Value Fund Class S
Sold		3,498,600		$	32,959,351			5,965,282		$	54,251,751
Issued as reinvestment of dividends		-			-			454,377			3,834,833
Redeemed		(1,761,082	)		(16,700,348	)		(3,433,437	)		(30,950,963	)
Net increase (decrease)		1,737,518		$	16,259,003			2,986,222		$	27,135,621
Diversified Value Fund Class Y
Sold		63,340		$	600,207			691,803		$	6,135,749
Issued as reinvestment of dividends		-			-			64,949			547,867
Redeemed		(276,574	)		(2,698,691	)		(1,774,617	)		(15,922,606	)
Net increase (decrease)		(213,234	)	$	(2,098,484	)		(1,017,865	)	$	(9,238,990	)
Diversified Value Fund Class L
Sold		117,479		$	1,141,102			599,200		$	5,414,325
Issued as reinvestment of dividends		-			-			17,322			146,181
Redeemed		(264,065	)		(2,501,719	)		(4,034,054	)		(37,100,215	)
Net increase (decrease)		(146,586	)	$	(1,360,617	)		(3,417,532	)	$	(31,539,709	)
Diversified Value Fund Class A
Sold		175,111		$	1,662,499			546,692		$	4,906,737
Issued as reinvestment of dividends		-			-			35,855			300,437
Redeemed		(464,812	)		(4,483,887	)		(1,469,973	)		(13,277,180	)
Net increase (decrease)		(289,701	)	$	(2,821,388	)		(887,426	)	$	(8,070,006	)

199

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Diversified Value Fund Class N
Sold		1,036		$	9,771			2,280		$	20,707
Issued as reinvestment of dividends		-			-			174			1,458
Redeemed		(17,749	)		(166,071	)		(1,856	)		(17,089	)
Net increase (decrease)		(16,713	)	$	(156,300	)		598		$	5,076
Fundamental Value Fund Class Z
Sold		4,309,303		$	46,030,811			19,665,101		$	206,744,081
Issued as reinvestment of dividends		-			-			337,890			3,171,959
Redeemed		(1,717,836	)		(18,642,913	)		(1,688,035	)		(16,842,555	)
Net increase (decrease)		2,591,467		$	27,387,898			18,314,956		$	193,073,485
Fundamental Value Fund Class S
Sold		3,234,780		$	34,918,495			9,597,705		$	97,892,795
Issued as reinvestment of dividends		-			-			710,978			6,669,303
Redeemed		(1,768,766	)		(19,333,374	)		(17,613,654	)		(184,433,376	)
Net increase (decrease)		1,466,014		$	15,585,121			(7,304,971	)	$	(79,871,278	)
Fundamental Value Fund Class Y
Sold		1,891,110		$	20,493,319			4,666,969		$	48,663,819
Issued as reinvestment of dividends		-			-			265,061			2,480,333
Redeemed		(2,935,431	)		(32,125,884	)		(2,358,755	)	��	(23,403,253	)
Net increase (decrease)		(1,044,321	)	$	(11,632,565	)		2,573,275		$	27,740,899
Fundamental Value Fund Class L
Sold		1,326,332		$	14,220,719			2,149,932		$	22,377,440
Issued as reinvestment of dividends		-			-			105,962			990,280
Redeemed		(1,047,879	)		(11,501,805	)		(7,834,668	)		(83,176,754	)
Net increase (decrease)		278,453		$	2,718,914			(5,578,774	)	$	(59,809,034	)
Fundamental Value Fund Class A
Sold		1,984,048		$	21,256,271			4,116,514		$	42,672,739
Issued as reinvestment of dividends		-			-			273,627			2,512,999
Redeemed		(1,875,631	)		(20,245,106	)		(4,159,850	)		(42,741,828	)
Net increase (decrease)		108,417		$	1,011,165			230,291		$	2,443,910
Fundamental Value Fund Class N
Sold		6,106		$	65,535			12,482		$	128,510
Issued as reinvestment of dividends		-			-			948			8,627
Redeemed		(117,620	)		(1,215,531	)		(16,414	)		(171,710	)
Net increase (decrease)		(111,514	)	$	(1,149,996	)		(2,984	)	$	(34,573	)
Large Cap Value Fund Class S
Sold		2,731,572		$	29,458,408			3,320,897		$	34,596,214
Issued as reinvestment of dividends		-			-			244,698			2,378,469
Redeemed		(6,659,894	)		(71,050,513	)		(8,423,463	)		(88,320,822	)
Net increase (decrease)		(3,928,322	)	$	(41,592,105	)		(4,857,868	)	$	(51,346,139	)
Large Cap Value Fund Class Y
Sold		624,533		$	6,774,872			604,696		$	6,330,223
Issued as reinvestment of dividends		-			-			45,828			445,445
Redeemed		(2,201,565	)		(23,854,423	)		(1,841,362	)		(18,652,951	)
Net increase (decrease)		(1,577,032	)	$	(17,079,551	)		(1,190,838	)	$	(11,877,283	)

200

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Large Cap Value Fund Class L
Sold		561,338		$	5,973,695			1,190,250		$	12,551,574
Issued as reinvestment of dividends		-			-			25,316			245,566
Redeemed		(976,610	)		(10,548,102	)		(3,806,350	)		(39,745,699	)
Net increase (decrease)		(415,272	)	$	(4,574,407	)		(2,590,784	)	$	(26,948,559	)
Large Cap Value Fund Class A
Sold		215,362		$	2,319,477			744,732		$	7,808,237
Issued as reinvestment of dividends		-			-			15,809			153,036
Redeemed		(2,838,642	)		(30,526,258	)		(5,027,495	)		(52,233,227	)
Net increase (decrease)		(2,623,280	)	$	(28,206,781	)		(4,266,954	)	$	(44,271,954	)
Large Cap Value Fund Class N
Sold		719		$	7,547			10,168		$	104,460
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(34,224	)		(359,979	)		(36,880	)		(354,770	)
Net increase (decrease)		(33,505	)	$	(352,432	)		(26,712	)	$	(250,310	)
S&P 500 Index Fund Class Z*
Sold		2,455,036		$	30,815,925			4,912,763		$	55,494,742
Issued as reinvestment of dividends		-			-			0	+		2
Redeemed		(273,418	)		(3,431,722	)		(10,443	)		(120,724	)
Net increase (decrease)		2,181,618		$	27,384,203			4,902,320		$	55,374,020
S&P 500 Index Fund Class I**
Sold		4,630,048		$	57,189,726			15,205,793		$	179,368,434
Issued as reinvestment of dividends		-			-			1,254,973			14,064,540
Redeemed		(5,131,367	)		(64,490,947	)		(12,631,490	)		(147,808,309	)
Net increase (decrease)		(501,319	)	$	(7,301,221	)		3,829,276		$	45,624,665
S&P 500 Index Fund Class S
Sold		4,595,584		$	57,284,447			6,145,472		$	73,267,299
Issued as reinvestment of dividends		-			-			638,971			7,161,450
Redeemed		(2,461,967	)		(31,109,411	)		(9,622,252	)		(114,635,918	)
Net increase (decrease)		2,133,617		$	26,175,036			(2,837,809	)	$	(34,207,169	)
S&P 500 Index Fund Class Y
Sold		1,377,438		$	17,170,263			2,790,255		$	32,922,365
Issued as reinvestment of dividends		-			-			367,268			4,066,190
Redeemed		(2,110,954	)		(26,482,793	)		(7,259,050	)		(83,917,139	)
Net increase (decrease)		(733,516	)	$	(9,312,530	)		(4,101,527	)	$	(46,928,584	)
S&P 500 Index Fund Class L
Sold		2,480,140		$	30,794,603			3,648,910		$	42,909,898
Issued as reinvestment of dividends		-			-			320,821			3,555,325
Redeemed		(1,408,383	)		(17,286,654	)		(2,713,635	)		(31,611,056	)
Net increase (decrease)		1,071,757		$	13,507,949			1,256,096		$	14,854,167
S&P 500 Index Fund Class A
Sold		2,611,074		$	32,145,541			6,121,813		$	72,061,754
Issued as reinvestment of dividends		-			-			432,213			4,755,323
Redeemed		(2,849,987	)		(35,343,259	)		(3,615,017	)		(42,569,802	)
Net increase (decrease)		(238,913	)	$	(3,197,718	)		2,939,009		$	34,247,275

201

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
S&P 500 Index Fund Class N
Sold		54,303		$	681,709			65,264		$	742,830
Issued as reinvestment of dividends		-			-			3,448			37,490
Redeemed		(42,869	)		(516,305	)		(33,165	)		(379,028	)
Net increase (decrease)		11,434		$	165,404			35,547		$	401,292
Focused Value Fund Class Z
Sold		1,000,645		$	18,270,629			5,477,621		$	92,939,184
Issued as reinvestment of dividends		-			-			89,414			1,444,799
Redeemed		(530,785	)		(9,840,236	)		(476,378	)		(8,226,739	)
Net increase (decrease)		469,860		$	8,430,393			5,090,657		$	86,157,244
Focused Value Fund Class S
Sold		1,595,197		$	30,332,702			3,764,699		$	63,138,774
Issued as reinvestment of dividends		-			-			544,232			8,812,715
Redeemed		(722,038	)		(13,280,938	)		(8,046,049	)		(139,023,938	)
Net increase (decrease)		873,159		$	17,051,764			(3,737,118	)	$	(67,072,449	)
Focused Value Fund Class Y
Sold		329,747		$	6,104,926			1,284,921		$	22,778,493
Issued as reinvestment of dividends		-			-			120,173			1,930,931
Redeemed		(1,116,792	)		(21,099,816	)		(1,852,961	)		(31,808,635	)
Net increase (decrease)		(787,045	)	$	(14,994,890	)		(447,867	)	$	(7,099,211	)
Focused Value Fund Class L
Sold		475,835		$	8,812,721			920,256		$	16,025,185
Issued as reinvestment of dividends		-			-			94,487			1,516,544
Redeemed		(307,511	)		(5,526,505	)		(2,641,182	)		(45,968,246	)
Net increase (decrease)		168,324		$	3,286,216			(1,626,439	)	$	(28,426,517	)
Focused Value Fund Class A
Sold		480,336		$	8,687,466			1,004,872		$	17,413,375
Issued as reinvestment of dividends		-			-			211,757			3,335,176
Redeemed		(635,073	)		(11,354,550	)		(2,618,628	)		(44,331,029	)
Net increase (decrease)		(154,737	)	$	(2,667,084	)		(1,401,999	)	$	(23,582,478	)
Focused Value Fund Class N
Sold		915		$	16,251			4,731		$	80,243
Issued as reinvestment of dividends		-			-			1,769			27,306
Redeemed		(68,562	)		(1,168,422	)		(31,371	)		(520,332	)
Net increase (decrease)		(67,647	)	$	(1,152,171	)		(24,871	)	$	(412,783	)
Fundamental Growth Fund Class S
Sold		8,908,020		$	56,457,081			2,777,675		$	16,106,922
Issued as reinvestment of dividends		-			-			5,528			31,840
Redeemed		(975,974	)		(6,339,133	)		(3,007,986	)		(17,521,918	)
Net increase (decrease)		7,932,046		$	50,117,948			(224,783	)	$	(1,383,156	)
Fundamental Growth Fund Class Y
Sold		557,793		$	3,395,824			173,163		$	1,015,653
Issued as reinvestment of dividends		-			-			201			1,143
Redeemed		(361,255	)		(2,231,578	)		(142,795	)		(847,533	)
Net increase (decrease)		196,538		$	1,164,246			30,569		$	169,263

202

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Fundamental Growth Fund Class L
Sold		270,986		$	1,733,367			386,349		$	2,238,719
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(130,245	)		(841,377	)		(372,276	)		(2,125,239	)
Net increase (decrease)		140,741		$	891,990			14,073		$	113,480
Fundamental Growth Fund Class A
Sold		690,044		$	4,277,352			1,358,273		$	7,599,484
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(355,724	)		(2,208,742	)		(2,151,924	)		(12,040,570	)
Net increase (decrease)		334,320		$	2,068,610			(793,651	)	$	(4,441,086	)
Fundamental Growth Fund Class N
Sold		16,108		$	95,750			32,416		$	172,860
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(42,249	)		(248,814	)		(33,567	)		(183,306	)
Net increase (decrease)		(26,141	)	$	(153,064	)		(1,151	)	$	(10,446	)
Blue Chip Growth Fund Class S
Sold		4,701,375		$	56,119,308			12,987,629		$	137,914,470
Issued as reinvestment of dividends		-			-			414			4,344
Redeemed		(1,990,496	)		(23,974,473	)		(3,330,866	)		(36,018,265	)
Net increase (decrease)		2,710,879		$	32,144,835			9,657,177		$	101,900,549
Blue Chip Growth Fund Class Y
Sold		3,834,831		$	45,067,701			5,257,748		$	57,776,176
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,381,151	)		(16,859,602	)		(1,145,431	)		(12,547,009	)
Net increase (decrease)		2,453,680		$	28,208,099			4,112,317		$	45,229,167
Blue Chip Growth Fund Class L
Sold		3,281,695		$	39,799,753			6,629,989		$	71,541,079
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,675,269	)		(19,780,654	)		(8,240,824	)		(89,000,910	)
Net increase (decrease)		1,606,426		$	20,019,099			(1,610,835	)	$	(17,459,831	)
Blue Chip Growth Fund Class A
Sold		4,284,169		$	50,413,256			2,638,340		$	27,735,245
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(845,546	)		(10,070,448	)		(1,800,968	)		(19,193,629	)
Net increase (decrease)		3,438,623		$	40,342,808			837,372		$	8,541,616
Blue Chip Growth Fund Class N
Sold		55,547		$	670,245			1,132		$	11,763
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(817	)		(9,503	)		(27,479	)		(290,636	)
Net increase (decrease)		54,730		$	660,742			(26,347	)	$	(278,873	)
Growth Opportunities Fund Class Z*
Sold		2,374,508		$	19,890,495			13,437		$	100,100
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(72,975	)		(595,611	)		-			-
Net increase (decrease)		2,301,533		$	19,294,884			13,437		$	100,100

203

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Growth Opportunities Fund Class S
Sold		5,591,102		$	46,517,570			8,302,260		$	60,422,756
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(3,975,478	)		(33,139,115	)		(6,678,738	)		(48,872,029	)
Net increase (decrease)		1,615,624		$	13,378,455			1,623,522		$	11,550,727
Growth Opportunities Fund Class Y
Sold		1,136,334		$	9,247,372			1,548,140		$	11,143,056
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(774,223	)		(6,637,926	)		(635,368	)		(4,648,478	)
Net increase (decrease)		362,111		$	2,609,446			912,772		$	6,494,578
Growth Opportunities Fund Class L
Sold		5,193,378		$	43,097,920			1,527,020		$	10,876,340
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(309,410	)		(2,516,832	)		(5,657,106	)		(39,711,881	)
Net increase (decrease)		4,883,968		$	40,581,088			(4,130,086	)	$	(28,835,541	)
Growth Opportunities Fund Class A
Sold		2,294,222		$	18,174,162			1,438,658		$	9,977,335
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(881,924	)		(6,898,921	)		(2,114,125	)		(14,735,841	)
Net increase (decrease)		1,412,298		$	11,275,241			(675,467	)	$	(4,758,506	)
Growth Opportunities Fund Class N
Sold		60		$	438			193		$	1,288
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,357	)		(10,673	)		(1,329	)		(9,048	)
Net increase (decrease)		(1,297	)	$	(10,235	)		(1,136	)	$	(7,760	)
Mid-Cap Value Fund Class Z*
Sold		449,569		$	4,562,417			13,359		$	131,596
Issued as reinvestment of dividends		-			-			0	+		1
Redeemed		(5,930	)		(59,891	)		-			-
Net increase (decrease)		443,639		$	4,502,526			13,359		$	131,597
Mid-Cap Value Fund Class S
Sold		1,751,597		$	18,166,035			6,663,305		$	68,211,603
Issued as reinvestment of dividends		-			-			155,635			1,448,964
Redeemed		(1,814,098	)		(18,844,467	)		(2,475,845	)		(24,745,209	)
Net increase (decrease)		(62,501	)	$	(678,432	)		4,343,095		$	44,915,358
Mid-Cap Value Fund Class Y
Sold		30,051		$	318,305			231,131		$	2,228,176
Issued as reinvestment of dividends		-			-			1,677			15,668
Redeemed		(26,908	)		(273,906	)		(178,474	)		(1,680,751	)
Net increase (decrease)		3,143		$	44,399			54,334		$	563,093
Mid-Cap Value Fund Class L
Sold		88,689		$	898,849			761,686		$	7,954,064
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(208,057	)		(2,219,880	)		(4,496,851	)		(46,406,077	)
Net increase (decrease)		(119,368	)	$	(1,321,031	)		(3,735,165	)	$	(38,452,013	)

204

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Mid-Cap Value Fund Class A
Sold		63,943		$	671,701			125,755		$	1,274,881
Issued as reinvestment of dividends		-			-			2,247			20,969
Redeemed		(72,341	)		(756,677	)		(241,702	)		(2,411,520	)
Net increase (decrease)		(8,398	)	$	(84,976	)		(113,700	)	$	(1,115,670	)
Mid-Cap Value Fund Class N
Sold		704		$	7,244			956		$	9,688
Issued as reinvestment of dividends		-			-			21			195
Redeemed		(955	)		(10,064	)		(674	)		(6,960	)
Net increase (decrease)		(251	)	$	(2,820	)		303		$	2,923
Small Cap Value Equity Fund Class S
Sold		1,845,351		$	17,933,170			4,648,226		$	42,524,627
Issued as reinvestment of dividends		-			-			34,211			293,188
Redeemed		(1,374,016	)		(13,622,771	)		(1,690,339	)		(15,044,838	)
Net increase (decrease)		471,335		$	4,310,399			2,992,098		$	27,772,977
Small Cap Value Equity Fund Class Y
Sold		127,525		$	1,239,377			184,480		$	1,710,296
Issued as reinvestment of dividends		-			-			734			6,291
Redeemed		(190,341	)		(1,914,600	)		(348,752	)		(3,352,588	)
Net increase (decrease)		(62,816	)	$	(675,223	)		(163,538	)	$	(1,636,001	)
Small Cap Value Equity Fund Class L
Sold		23,672		$	237,962			413,787		$	3,821,265
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(27,252	)		(267,967	)		(2,456,698	)		(23,364,768	)
Net increase (decrease)		(3,580	)	$	(30,005	)		(2,042,911	)	$	(19,543,503	)
Small Cap Value Equity Fund Class A
Sold		72,779		$	713,849			210,892		$	1,921,306
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(124,060	)		(1,228,616	)		(521,086	)		(4,593,740	)
Net increase (decrease)		(51,281	)	$	(514,767	)		(310,194	)	$	(2,672,434	)
Small Cap Value Equity Fund Class N
Sold		34		$	327			647		$	5,724
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(1,427	)		(14,521	)		(689	)		(6,579	)
Net increase (decrease)		(1,393	)	$	(14,194	)		(42	)	$	(855	)
Small Company Value Fund Class Z
Sold		3,054,759		$	40,143,844			4,275,390		$	57,470,232
Issued as reinvestment of dividends		-			-			108,140			1,330,121
Redeemed		(636,797	)		(8,621,136	)		(861,958	)		(10,465,355	)
Net increase (decrease)		2,417,962		$	31,522,708			3,521,572		$	48,334,998
Small Company Value Fund Class S
Sold		1,314,761		$	17,966,049			2,707,173		$	37,401,460
Issued as reinvestment of dividends		-			-			849,405			10,473,166
Redeemed		(3,425,809	)		(45,452,501	)		(8,004,208	)		(107,735,558	)
Net increase (decrease)		(2,111,048	)	$	(27,486,452	)		(4,447,630	)	$	(59,860,932	)

205

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Small Company Value Fund Class Y
Sold		239,732		$	3,264,329			640,848		$	8,819,118
Issued as reinvestment of dividends		-			-			179,071			2,198,995
Redeemed		(628,019	)		(8,741,563	)		(1,612,576	)		(20,821,596	)
Net increase (decrease)		(388,287	)	$	(5,477,234	)		(792,657	)	$	(9,803,483	)
Small Company Value Fund Class L
Sold		473,298		$	6,268,452			1,011,548		$	13,570,410
Issued as reinvestment of dividends		-			-			118,398			1,444,453
Redeemed		(464,363	)		(6,154,626	)		(2,153,665	)		(29,209,164	)
Net increase (decrease)		8,935		$	113,826			(1,023,719	)	$	(14,194,301	)
Small Company Value Fund Class A
Sold		661,065		$	8,769,323			924,363		$	12,452,294
Issued as reinvestment of dividends		-			-			345,650			4,147,809
Redeemed		(807,139	)		(10,633,296	)		(2,110,164	)		(27,957,035	)
Net increase (decrease)		(146,074	)	$	(1,863,973	)		(840,151	)	$	(11,356,932	)
Small Company Value Fund Class N
Sold		12,026		$	158,292			929		$	12,213
Issued as reinvestment of dividends		-			-			2,433			28,268
Redeemed		(57,167	)		(702,429	)		(10,093	)		(136,155	)
Net increase (decrease)		(45,141	)	$	(544,137	)		(6,731	)	$	(95,674	)
Mid Cap Growth Equity II Fund Class Z
Sold		4,844,162		$	74,032,441			10,806,053		$	170,805,459
Issued as reinvestment of dividends		-			-			639,161			8,814,029
Redeemed		(939,626	)		(14,558,987	)		(900,995	)		(13,971,669	)
Net increase (decrease)		3,904,536		$	59,473,454			10,544,219		$	165,647,819
Mid Cap Growth Equity II Fund Class S
Sold		3,548,009		$	54,763,239			6,785,111		$	106,607,035
Issued as reinvestment of dividends		-			-			2,687,580			36,981,100
Redeemed		(5,373,491	)		(82,123,070	)		(12,426,112	)		(193,242,332	)
Net increase (decrease)		(1,825,482	)	$	(27,359,831	)		(2,953,421	)	$	(49,654,197	)
Mid Cap Growth Equity II Fund Class Y
Sold		2,150,281		$	32,920,475			2,527,678		$	40,122,225
Issued as reinvestment of dividends		-			-			1,083,354			14,755,278
Redeemed		(1,922,239	)		(30,093,009	)		(3,927,101	)		(59,609,855	)
Net increase (decrease)		228,042		$	2,827,466			(316,069	)	$	(4,732,352	)
Mid Cap Growth Equity II Fund Class L
Sold		1,483,103		$	22,092,955			2,565,012		$	40,874,889
Issued as reinvestment of dividends		-			-			1,980,717			26,462,377
Redeemed		(2,155,546	)		(32,398,582	)		(10,085,590	)		(153,159,432	)
Net increase (decrease)		(672,443	)	$	(10,305,627	)		(5,539,861	)	$	(85,822,166	)
Mid Cap Growth Equity II Fund Class A
Sold		1,463,045		$	21,336,842			2,626,707		$	40,955,577
Issued as reinvestment of dividends		-			-			2,072,694			26,820,658
Redeemed		(2,012,355	)		(29,587,521	)		(5,574,119	)		(83,711,759	)
Net increase (decrease)		(549,310	)	$	(8,250,679	)		(874,718	)	$	(15,935,524	)

206

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Mid Cap Growth Equity II Fund Class N
Sold		14,428		$	205,920			26,448		$	387,153
Issued as reinvestment of dividends		-			-			13,534			169,444
Redeemed		(28,825	)		(412,055	)		(49,528	)		(726,735	)
Net increase (decrease)		(14,397	)	$	(206,135	)		(9,546	)	$	(170,138	)
Small Cap Growth Equity Fund Class Z
Sold		776,010		$	11,881,170			9,181,655		$	138,173,495
Issued as reinvestment of dividends		-			-			311,767			4,325,341
Redeemed		(804,312	)		(12,402,561	)		(1,043,870	)		(16,555,299	)
Net increase (decrease)		(28,302	)	$	(521,391	)		8,449,552		$	125,943,537
Small Cap Growth Equity Fund Class S
Sold		2,031,297		$	31,501,283			6,355,167		$	105,994,255
Issued as reinvestment of dividends		-			-			4,903,353			67,833,572
Redeemed		(2,024,778	)		(30,895,901	)		(14,213,967	)		(219,893,140	)
Net increase (decrease)		6,519		$	605,382			(2,955,447	)	$	(46,065,313	)
Small Cap Growth Equity Fund Class Y
Sold		416,053		$	6,383,355			1,162,254		$	20,231,820
Issued as reinvestment of dividends		-			-			676,419			9,197,341
Redeemed		(835,860	)		(13,019,945	)		(2,076,056	)		(32,837,828	)
Net increase (decrease)		(419,807	)	$	(6,636,590	)		(237,383	)	$	(3,408,667	)
Small Cap Growth Equity Fund Class L
Sold		479,999		$	7,108,940			1,312,681		$	22,146,070
Issued as reinvestment of dividends		-			-			505,194			6,715,545
Redeemed		(501,765	)		(7,353,591	)		(1,811,084	)		(30,611,261	)
Net increase (decrease)		(21,766	)	$	(244,651	)		6,791		$	(1,749,646	)
Small Cap Growth Equity Fund Class A
Sold		426,032		$	6,069,198			834,025		$	13,963,965
Issued as reinvestment of dividends		-			-			789,495			10,146,346
Redeemed		(879,775	)		(12,602,471	)		(1,855,722	)		(29,508,824	)
Net increase (decrease)		(453,743	)	$	(6,533,273	)		(232,202	)	$	(5,398,513	)
Small Cap Growth Equity Fund Class N
Sold		9,479		$	134,228			3,223		$	50,255
Issued as reinvestment of dividends		-			-			3,781			46,836
Redeemed		(12,640	)		(171,735	)		(2,790	)		(42,301	)
Net increase (decrease)		(3,161	)	$	(37,507	)		4,214		$	54,790
Small Company Growth Fund Class S
Sold		715,068		$	7,440,903			2,896,129		$	30,067,189
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(906,538	)		(9,546,159	)		(1,932,113	)		(19,405,267	)
Net increase (decrease)		(191,470	)	$	(2,105,256	)		964,016		$	10,661,922
Small Company Growth Fund Class Y
Sold		20,393		$	223,089			41,607		$	420,043
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(8,148	)		(85,443	)		(71,834	)		(773,571	)
Net increase (decrease)		12,245		$	137,646			(30,227	)	$	(353,528	)

207

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Small Company Growth Fund Class L
Sold		97,206		$	1,001,951			510,095		$	5,221,573
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(101,007	)		(1,009,875	)		(1,750,996	)		(17,761,982	)
Net increase (decrease)		(3,801	)	$	(7,924	)		(1,240,901	)	$	(12,540,409	)
Small Company Growth Fund Class A
Sold		49,517		$	498,696			138,026		$	1,370,872
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(151,447	)		(1,535,028	)		(530,380	)		(5,307,546	)
Net increase (decrease)		(101,930	)	$	(1,036,332	)		(392,354	)	$	(3,936,674	)
Small Company Growth Fund Class N
Sold		-		$	-			6,183		$	59,295
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(11,489	)		(105,362	)		(6,465	)		(57,524	)
Net increase (decrease)		(11,489	)	$	(105,362	)		(282	)	$	1,771
Diversified International Fund Class S
Sold		3,503,070		$	20,787,471			8,541,735		$	57,701,237
Issued as reinvestment of dividends		-			-			671,624			3,731,253
Redeemed		(1,533,123	)		(9,237,251	)		(2,547,945	)		(16,907,400	)
Net increase (decrease)		1,969,947		$	11,550,220			6,665,414		$	44,525,090
Diversified International Fund Class Y
Sold		765		$	4,734			5,464		$	33,095
Issued as reinvestment of dividends		-			-			11			65
Redeemed		(1	)		(5	)		(1,053,357	)		(6,184,606	)
Net increase (decrease)		764		$	4,729			(1,047,882	)	$	(6,151,446	)
Diversified International Fund Class L
Sold		76,505		$	453,466			880,399		$	6,250,712
Issued as reinvestment of dividends		-			-			4,611			26,064
Redeemed		(739	)		(4,627	)		(5,192,296	)		(35,947,996	)
Net increase (decrease)		75,766		$	448,839			(4,307,286	)	$	(29,671,220	)
Diversified International Fund Class A
Sold		9,338		$	55,982			25,215		$	172,692
Issued as reinvestment of dividends		-			-			4,071			22,609
Redeemed		(49,554	)		(300,117	)		(59,711	)		(377,742	)
Net increase (decrease)		(40,216	)	$	(244,135	)		(30,425	)	$	(182,441	)
Diversified International Fund Class N***
Sold		-		$	-			-		$	-
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(10,000	)		(58,616	)		(11	)		(78	)
Net increase (decrease)		(10,000	)	$	(58,616	)		(11	)	$	(78	)
Overseas Fund Class Z
Sold		3,719,218		$	24,857,830			41,901,565		$	299,092,762
Issued as reinvestment of dividends		-			-			572,792			3,614,317
Redeemed		(3,648,298	)		(24,578,114	)		(3,830,771	)		(26,234,441	)
Net increase (decrease)		70,920		$	279,716			38,643,586		$	276,472,638

208

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Overseas Fund Class S
Sold		2,787,261		$	19,004,913			3,719,190		$	26,836,354
Issued as reinvestment of dividends		-			-			408,985			2,580,694
Redeemed		(1,216,528	)		(8,013,630	)		(25,817,756	)		(184,594,896	)
Net increase (decrease)		1,570,733		$	10,991,283			(21,689,581	)	$	(155,177,848	)
Overseas Fund Class Y
Sold		854,386		$	5,676,752			1,945,477		$	13,428,092
Issued as reinvestment of dividends		-			-			211,826			1,330,265
Redeemed		(1,099,755	)		(7,587,071	)		(1,463,581	)		(10,668,655	)
Net increase (decrease)		(245,369	)	$	(1,910,319	)		693,722		$	4,089,702
Overseas Fund Class L
Sold		646,974		$	4,317,690			3,660,992		$	27,049,099
Issued as reinvestment of dividends		-			-			133,351			836,110
Redeemed		(561,933	)		(3,720,976	)		(20,101,945	)		(143,890,132	)
Net increase (decrease)		85,041		$	596,714			(16,307,602	)	$	(116,004,923	)
Overseas Fund Class A
Sold		558,956		$	3,664,414			790,874		$	5,336,331
Issued as reinvestment of dividends		-			-			122,620			761,470
Redeemed		(580,934	)		(3,842,972	)		(2,221,049	)		(14,671,701	)
Net increase (decrease)		(21,978	)	$	(178,558	)		(1,307,555	)	$	(8,573,900	)
Overseas Fund Class N
Sold		7,808		$	52,839			8,091		$	55,950
Issued as reinvestment of dividends		-			-			333			2,057
Redeemed		(153	)		(1,062	)		(2,835	)		(19,299	)
Net increase (decrease)		7,655		$	51,777			5,589		$	38,708

* Class Z shares commenced operations on December 7, 2011.

** Class Z shares were renamed Class I shares on September 30, 2011.

*** Class N shares were eliminated as of January 19, 2012.

+ Amount rounds to less than 0.5 share.

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the period ended June 30, 2012, no material amounts have been retained by the Distributor.

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Redemptions or exchanges of Class N shares made within eighteen months of purchase are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the period ended June 30, 2012, were waived for any redemptions or exchanges subject to such a charge.

209

Notes to Financial Statements (Unaudited) (Continued)

6. Federal Income Tax Information

At June 30, 2012, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, 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)
PIMCO Total Return Fund	$	2,660,890,044	$	62,981,575	$	(15,083,375	)	$	47,898,200
Strategic Bond Fund		188,900,085		7,978,392		(5,846,000	)		2,132,392
Diversified Value Fund		272,386,590		44,640,215		(10,105,197	)		34,535,018
Fundamental Value Fund		1,085,308,111		230,395,288		(53,070,914	)		177,324,374
Large Cap Value Fund		377,250,522		119,157,152		(27,870,889	)		91,286,263
S&P 500 Index Fund		1,903,859,976		647,154,305		(264,364,069	)		382,790,236
Focused Value Fund		534,069,742		122,633,946		(16,547,531	)		106,086,415
Fundamental Growth Fund		101,180,624		6,473,820		(2,339,944	)		4,133,876
Blue Chip Growth Fund		694,229,393		197,642,365		(10,779,739	)		186,862,626
Growth Opportunities Fund		358,183,352		130,709,057		(12,113,360	)		118,595,697
Mid-Cap Value Fund		146,428,400		14,929,860		(6,081,257	)		8,848,603
Small Cap Value Equity Fund		102,122,682		16,231,757		(3,318,222	)		12,913,535
Small Company Value Fund		432,807,616		94,592,573		(43,000,001	)		51,592,572
Mid Cap Growth Equity II Fund		1,292,143,633		340,035,588		(57,252,285	)		282,783,303
Small Cap Growth Equity Fund		716,732,641		115,327,035		(43,754,424	)		71,572,611
Small Company Growth Fund		53,489,764		8,865,133		(3,568,874	)		5,296,259
Diversified International Fund		146,701,102		5,469,631		(14,183,326	)		(8,713,695	)
Overseas Fund		524,333,818		43,020,419		(50,459,876	)		(7,439,457	)

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At December 31, 2011, the following Fund(s) had available, for federal income tax purposes, unused capital losses:

	Expiring 2012		Expiring 2016		Expiring 2017		Expiring 2018
Strategic Bond Fund	$	-	$	-	$	6,057,011	$	-
Diversified Value Fund		-		-		131,021,559		-
Fundamental Value Fund		-		-		54,996,212		-
Large Cap Value Fund		-		-		9,286,732		-
S&P 500 Index Fund		-		26,693,021		25,573,790		-
Fundamental Growth Fund		7,702,832		-		1,004,147		-
Blue Chip Growth Fund		-		36,290,031		80,616,905		-
Growth Opportunities Fund		-		-		11,465,227		-
Mid-Cap Value Fund		-		11,462,510		41,375,263		-
Small Cap Value Equity Fund		-		15,171,798		31,271,443		-
Small Company Growth Fund		-		929,404		12,246,542		-
Diversified International Fund		-		12,970,723		62,822,946		511,296
Overseas Fund		-		-		124,922,165		-

210

Notes to Financial Statements (Unaudited) (Continued)

Net capital loss carryforwards for the Funds shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.

At December 31, 2011, the following Fund(s) had post-enactment accumulated capital loss carryforwards:

	Long Term Capital Loss Carryforward		Short Term Capital Loss Carryforward
PIMCO Total Return Fund	$	-	$	31,576,694
Strategic Bond Fund		256,944		-
S&P 500 Index Fund		2,575,533		-
Diversified International Fund		-		926,527

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2012, post-October capital losses:

	Amount
PIMCO Total Return Fund	$	915,792
Diversified Value Fund		995,504
Fundamental Value Fund		4,070,393
S&P 500 Index Fund		4,081,672
Blue Chip Growth Fund		3,964,808
Growth Opportunities Fund		60,633
Mid-Cap Value Fund		770,999
Small Cap Value Equity Fund		51,321
Small Company Value Fund		556,779
Small Cap Growth Equity Fund		5,155,359
Small Company Growth Fund		670,735
Diversified International Fund		4,170,647
Overseas Fund		3,815,416

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2012, late year ordinary losses:

	Amount
Large Cap Value Fund	$	313,753
Small Cap Growth Equity Fund		20,970
Diversified International Fund		204,934

Accounting principles generally accepted 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 December 31, 2011, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
PIMCO Total Return Fund	$	52,784,870	$	-	$	-
Strategic Bond Fund		5,569,725		-		-
Diversified Value Fund		4,831,928		-		-
Fundamental Value Fund		15,836,849		-		-
Large Cap Value Fund		3,222,516		-		-
S&P 500 Index Fund		33,654,508		-		-

211

Notes to Financial Statements (Unaudited) (Continued)

	Ordinary Income		Long Term Capital Gain		Return of Capital
Focused Value Fund	$	6,130,735	$	10,937,471	$	-
Fundamental Growth Fund		32,983		-		-
Blue Chip Growth Fund		4,344		-		-
Mid-Cap Value Fund		1,486,940		-		-
Small Cap Value Equity Fund		294,168		-		-
Small Company Value Fund		911,084		18,711,728		-
Mid Cap Growth Equity II Fund		-		114,005,120		-
Small Cap Growth Equity Fund		24,025,603		74,258,294		-
Diversified International Fund		3,781,333		-		-
Overseas Fund		9,126,919		-		-

The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2011:

	Amount
Diversified International Fund	$	462,218
Overseas Fund		1,449,113

Capital accounts within 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 December 31, 2011, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

At December 31, 2011, 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)
PIMCO Total Return Fund	$	5,719,060	$	(31,576,694	)	$	(164,085	)	$	11,496,660
Strategic Bond Fund		390,401		(6,313,955	)		(45,012	)		(2,258,182	)
Diversified Value Fund		1,118,487		(131,021,559	)		(1,072,398	)		14,885,565
Fundamental Value Fund		12,891,494		(54,996,212	)		(4,284,138	)		107,936,335
Large Cap Value Fund		-		(9,286,732	)		(517,380	)		99,020,171
S&P 500 Index Fund		7,714,894		(54,842,344	)		(4,488,475	)		187,092,256
Focused Value Fund		-		7,203,792			(140,277	)		78,808,389
Fundamental Growth Fund		4,790		(8,706,979	)		(11,351	)		4,168,898
Blue Chip Growth Fund		16,863		(116,906,936	)		(4,124,995	)		104,582,650
Growth Opportunities Fund		-		(11,465,227	)		(141,967	)		73,496,999
Mid-Cap Value Fund		170,798		(52,837,773	)		(794,864	)		3,842,687
Small Cap Value Equity Fund		-		(46,443,241	)		(70,376	)		9,399,033
Small Company Value Fund		-		2,013,289			(665,463	)		26,783,520
Mid Cap Growth Equity II Fund		-		8,778,231			(264,632	)		225,050,645
Small Cap Growth Equity Fund		-		-			(5,306,444	)		14,611,025
Small Company Growth Fund		-		(13,175,946	)		(690,025	)		4,796,582
Diversified International Fund		-		(77,231,492	)		(4,403,984	)		(19,105,215	)
Overseas Fund		8,195,701		(124,922,165	)		(3,962,935	)		(41,151,371	)

The Funds did not have any unrecognized tax benefits at June 30, 2012, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an

212

Notes to Financial Statements (Unaudited) (Continued)

income tax expense in the Statements of Operations. During the period ended June 30, 2012, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

8. Legal Proceedings

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.

The potential amounts sought to be recovered from the Diversified Value Fund and S&P 500 Index Fund, plus interest and the Official Committee’s court costs, are approximately $1,621,800 and $1,186,430, respectively.

In addition, on June 2, 2011, the Diversified Value Fund and S&P 500 Index Fund were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.

Since the Funds cannot predict the outcome of these proceedings, the Funds have not accrued any amounts in the accompanying financial statements related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset values depending on the total net assets of each applicable Fund at the time of such judgment or settlement.

9. Subsequent Events

Management has evaluated the events and transactions subsequent to June 30, 2012, through the date when the financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Funds’ financial statements other than those disclosed below.

Effective August 24, 2012, the Indexed Equity Fund’s name changed to S&P 500 Index Fund.

Effective August 1, 2012, each Fund may lend its securities to qualified brokers; however, securities lending cannot exceed 33% of the total assets of the Fund taken at current value. The loans are collateralized at all times with cash or securities with a market value at least equal to 100% of the market value of the securities on loan. 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. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities.

213

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”) 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 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 on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2012, 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, MassMutual, or subadvisers (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreements (collectively, the “Contracts”) for each of the PIMCO Total Return Fund, Strategic Bond Fund, Diversified Value Fund, Fundamental Value Fund, Large Cap Value Fund, S&P 500 Index Fund, Focused Value 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 Equity II Fund, Small Cap Growth Equity Fund, Small Company Growth Fund, Diversified International Fund, and Overseas Fund. In preparation for the meetings, the Trustees requested, and MassMutual 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 MassMutual discussing the nature and quality of the services it provides as investment manager to the Funds; (ii) a profitability analysis prepared by MassMutual; 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 management 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 MassMutual and each of the subadvisers.

The Committee considered the nature, scope, and quality of services MassMutual provides to the Funds, including: (i) the financial condition, stability, and business strategy of MassMutual; (ii) the capabilities of MassMutual with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the Funds and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MassMutual provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds; and (ii) a wide range of information about each subadviser and its personnel with responsibility for providing services to the respective Fund and the fees payable to each subadviser by MassMutual. MassMutual reviewed with the Committee in detail the work MassMutual does in its oversight, administrative, and shareholder servicing roles, the expertise it brings to these roles, the

214

Other Information (Unaudited) (Continued)

size of its teams, and the financial commitment it has made to providing those services. Throughout the discussion, MassMutual 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-, three-, or five-year period below are to periods ended December 31, 2011. The three-year or longer periods do not apply for any Fund that does not yet have a three-year performance history. 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, in the case of a number of Funds, expense information showed the Funds to be in the first quartile of their peer groups (favorable), and performance information showed the Funds to have had first or second quartile investment performance in their performance categories for the most recent one- and three-year periods. These Funds included the Fundamental Growth Fund, Blue Chip Growth Fund, Growth Opportunities Fund, Mid Cap Growth Equity II Fund, Small Company Growth Fund, and Overseas Fund. The Committee also considered Funds whose expenses were in the second quartile of their peer groups, and whose performance for the three-year period had been very favorable, although their performance was slightly below the median of their performance categories (51^st percentile) for the one-year period. Those Funds included the Strategic Bond Fund (57^th percentile) and Focused Value Fund (52^nd percentile). The Committee reviewed this information with MassMutual, including, as applicable, the factors that may have contributed to the decline in relative performance in the most recent year, and determined that further inquiry was not required at this time.

The Committee considered that, in the case of the PIMCO Total Return Fund, expense information showed the Fund to be in the first quartile of its peer group (favorable), but that the Fund had performance information for only one year, which the Committee considered generally to be too short a period to warrant evaluation. The Committee considered that the Fund had a one-year performance record in the 99^th percentile. The Committee considered statements by the Third Party and MassMutual that Pacific Investment Management Company LLC (“PIMCO”) had experienced one of the worst years in its long history of managing funds in that strategy, due to the firm’s well publicized position to de-emphasize U.S. Treasury securities, which, in retrospect turned out to be an ill-timed decision, but which was arguably well-considered at the time it was made. The Committee also considered MassMutual’s positive view of PIMCO’s long-term favorable performance record in this strategy and MassMutual’s continued confidence in the firm and the strategy.

The Committee also considered that, in the case of a number of other Funds, expense information showed the Funds to be in the first quartile of their peer groups, and performance information showed the Funds to have had second quartile investment performance in their performance categories for the one-year period, showing an improvement from a third-quartile performance ranking for the three-year period. These Funds included the Diversified Value Fund, Mid-Cap Value Fund, and Small Company Value Fund. For each of these Funds, the Committee reviewed with MassMutual the factors that had led to the improvement in performance and considered factors that may have contributed to the less favorable three-year performance numbers.

The Committee considered information regarding the other Funds, which had underperformed in recent periods compared to their peers. The Committee considered that each of the Funds had relatively favorable first or second quartile expenses, but had achieved unfavorable relative performance.

• Fundamental Value Fund – The Committee noted that the Fund had experienced third-quartile performance for both the one- and three-year periods. The Committee considered MassMutual’s statements that the Fund continues to have a strong (top one-third) five-year performance record (with an even stronger comparative record on a risk-adjusted basis), and that the subadviser (Wellington Management Company, LLP) remains a high-confidence manager that MassMutual considers is experiencing a short-term period of minor underperformance.

• Large Cap Value Fund – The Committee considered that the Fund had experienced one-year performance in the fourth quartile and three-year performance in the third quartile. The Committee considered that MassMutual has placed the Fund on “watch” status.

• S&P 500 Index Fund – The Committee considered MassMutual’s statement that the Fund has performed in line with its benchmark index, adjusted for the Fund’s expenses, and provides investors an attractive index option consistent with the nature of the investment product. The Committee considered MassMutual’s view that the Fund is performing as intended.

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Other Information (Unaudited) (Continued)

• Small Cap Value Equity Fund – The Committee considered that the Fund has outperformed its benchmark in each of the past three years, notwithstanding that it has achieved one-year third-quartile comparative performance and three-year fourth-quartile performance. The Committee considered MassMutual’s statements that the three-year performance record reflects the unfavorable performance of a prior subadviser to the Fund, who underperformed significantly in the first half of 2009, and that MassMutual has high conviction in the Fund’s current two subadvisers.

• Small Cap Growth Equity Fund – The Committee considered that the Fund had achieved one-year fourth-quartile performance and three-year third-quartile performance. The Committee considered MassMutual’s statements that the subadvisers’ particular strategies for the Fund have tended to underperform during the rising equity markets of late 2010 and 2011, which were driven by higher beta stocks. The Committee considered MassMutual’s statement that it continues to have confidence in the Fund’s subadvisers, although it intends to monitor the subadvisers’ performance closely in the coming year for signs of improvement.

• Diversified International Fund – The Committee considered that, despite the Fund’s favorable three-year comparative performance, the Fund’s substantial underperformance for the one-year period was achieved in substantial part by a subadviser who was replaced in June 2011. The Committee also considered MassMutual’s statement that it expects the new subadviser, J.P. Morgan Investment Management Inc., to deliver competitive results with a lower tracking error than the Fund has recently experienced.

With respect to the PIMCO Total Return Fund, Diversified Value Fund, Growth Opportunities Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Small Company Value Fund, Small Cap Growth Equity Fund, Small Company Growth Fund, and Diversified International Fund, the Committee considered, in addition to the other factors noted above, the fact that MassMutual was proposing a revised advisory fee schedule reflecting new breakpoints for each of the Funds.

In conjunction with its review of the Third-Party Report, the Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MassMutual’s advisory relationship with the various Funds, including: (i) a description of the revenue (including management fees and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MassMutual, 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 MassMutual’s oversight of each Fund and the subadvisory process; (ii) MassMutual’s levels of profitability from its relationship with the various Funds were not excessive and the advisory fees payable under the Contracts 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 MassMutual 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 were fair and reasonable with respect to each Fund and were in the best interests of each Fund’s shareholders.

In light of the factors noted above, the Trustees, including the Independent Trustees, also considered and approved renegotiated subadvisory agreements with Barrow, Hanley, Mewhinney & Strauss, LLC for the Small Cap Value Equity Fund, Brandywine Global Investment Management, LLC for the Diversified Value Fund, Federated Clover Investment Advisors for the Small Company Value Fund, Frontier Capital Management Company, LLC for the Mid Cap Growth Equity II Fund, Loomis, Sayles & Company, L.P. for the Diversified Value Fund, NFJ Investment Group LLC and Systematic Financial Management, L.P. for the Mid-Cap Value Fund, The Boston Company Asset Management, LLC for the Small Company Growth Fund, and Western Asset Management Company and Western Asset Management Company Limited for the Strategic Bond Fund at their meeting in May 2012, which became effective on June 1, 2012.

216

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2012

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2012:

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 management 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 June 30, 2012.

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*
PIMCO Total Return Fund
Class Z	$	1,000		0.41	%	$	1,051.10	$	2.08	$	1,022.70	$	2.05
Class S		1,000		0.56	%		1,050.20		2.84		1,022.00		2.80
Class Y		1,000		0.68	%		1,049.00		3.45		1,021.40		3.40
Class L		1,000		0.76	%		1,049.20		3.85		1,021.00		3.80
Class A		1,000		0.86	%		1,048.00		4.36		1,020.50		4.30
Class N		1,000		1.11	%		1,047.20		5.62		1,019.20		5.54
Strategic Bond Fund
Class S		1,000		0.69	%		1,042.40		3.48		1,021.30		3.45
Class Y		1,000		0.74	%		1,041.30		3.74		1,021.10		3.70
Class L		1,000		0.89	%		1,041.40		4.49		1,020.30		4.45
Class A		1,000		1.14	%		1,039.40		5.75		1,019.10		5.69
Class N		1,000		1.44	%		1,038.60		7.26		1,017.60		7.18

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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*
Diversified Value Fund
Class S	$	1,000		0.60	%	$	1,090.20	$	3.10	$	1,021.80	$	3.00
Class Y		1,000		0.70	%		1,089.10		3.62		1,021.30		3.50
Class L		1,000		0.80	%		1,088.80		4.13		1,020.80		4.00
Class A		1,000		1.09	%		1,088.00		5.63		1,019.30		5.44
Class N		1,000		1.41	%		1,085.40		7.27		1,017.80		7.04
Fundamental Value Fund
Class Z		1,000		0.59	%		1,081.70		3.04		1,021.80		2.95
Class S		1,000		0.80	%		1,080.40		4.12		1,020.80		4.00
Class Y		1,000		0.83	%		1,079.60		4.27		1,020.60		4.15
Class L		1,000		0.99	%		1,078.30		5.09		1,019.80		4.94
Class A		1,000		1.24	%		1,077.10		6.37		1,018.60		6.19
Class N		1,000		1.53	%		1,075.80		7.85		1,017.20		7.63
Large Cap Value Fund
Class S		1,000		0.77	%		1,066.50		3.93		1,020.90		3.85
Class Y		1,000		0.86	%		1,066.50		4.39		1,020.50		4.30
Class L		1,000		1.01	%		1,065.60		5.16		1,019.70		5.04
Class A		1,000		1.26	%		1,064.80		6.43		1,018.50		6.29
Class N		1,000		1.56	%		1,062.40		7.96		1,017.00		7.78
S&P 500 Index Fund
Class Z		1,000		0.08	%		1,095.20		0.41		1,024.30		0.40
Class I		1,000		0.21	%		1,094.10		1.09		1,023.70		1.05
Class S		1,000		0.42	%		1,092.20		2.17		1,022.60		2.10
Class Y		1,000		0.45	%		1,093.30		2.33		1,022.50		2.25
Class L		1,000		0.40	%		1,092.50		2.07		1,022.70		2.00
Class A		1,000		0.65	%		1,091.20		3.36		1,021.50		3.25
Class N		1,000		0.95	%		1,089.40		4.91		1,020.00		4.75
Focused Value Fund
Class Z		1,000		0.68	%		1,080.10		3.50		1,021.40		3.40
Class S		1,000		0.80	%		1,080.00		4.11		1,020.80		4.00
Class Y		1,000		0.90	%		1,078.80		4.63		1,020.30		4.50
Class L		1,000		1.05	%		1,078.00		5.40		1,019.50		5.24
Class A		1,000		1.30	%		1,077.20		6.68		1,018.30		6.49
Class N		1,000		1.60	%		1,075.20		8.21		1,016.80		7.98
Fundamental Growth Fund
Class S		1,000		0.80	%		1,100.20		4.15		1,020.80		4.00
Class Y		1,000		0.91	%		1,099.70		4.72		1,020.20		4.55
Class L		1,000		1.06	%		1,099.30		5.50		1,019.50		5.29
Class A		1,000		1.31	%		1,098.60		6.80		1,018.20		6.54
Class N		1,000		1.63	%		1,094.30		8.44		1,016.70		8.13
Blue Chip Growth Fund
Class S		1,000		0.76	%		1,122.10		3.99		1,021.00		3.80
Class Y		1,000		0.82	%		1,121.60		4.30		1,020.70		4.10
Class L		1,000		0.98	%		1,120.40		5.14		1,019.90		4.89
Class A		1,000		1.19	%		1,119.30		6.24		1,018.80		5.94
Class N		1,000		1.51	%		1,118.90		7.91		1,017.30		7.53

218

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*
Growth Opportunities Fund
Class Z	$	1,000		0.70	%	$	1,128.40	$	3.68	$	1,021.30	$	3.50
Class S		1,000		0.85	%		1,127.00		4.47		1,020.50		4.25
Class Y		1,000		0.96	%		1,127.20		5.05		1,020.00		4.80
Class L		1,000		1.10	%		1,126.60		5.78		1,019.30		5.49
Class A		1,000		1.35	%		1,124.80		7.09		1,018.10		6.74
Class N		1,000		1.65	%		1,121.80		8.66		1,016.50		8.23
Mid-Cap Value Fund
Class Z		1,000		0.73	%		1,073.30		3.74		1,021.10		3.65
Class S		1,000		0.80	%		1,071.20		4.10		1,020.80		4.00
Class Y		1,000		0.90	%		1,071.10		4.61		1,020.30		4.50
Class L		1,000		1.05	%		1,071.70		5.38		1,019.50		5.24
Class A		1,000		1.30	%		1,070.20		6.65		1,018.30		6.49
Class N		1,000		1.60	%		1,068.30		8.18		1,016.80		7.98
Small Cap Value Equity Fund
Class S		1,000		0.85	%		1,070.70		4.35		1,020.50		4.25
Class Y		1,000		0.95	%		1,069.50		4.86		1,020.00		4.75
Class L		1,000		1.10	%		1,068.60		5.63		1,019.30		5.49
Class A		1,000		1.35	%		1,067.60		6.90		1,018.10		6.74
Class N		1,000		1.65	%		1,067.60		8.44		1,016.60		8.23
Small Company Value Fund
Class Z		1,000		0.86	%		1,054.00		4.37		1,020.50		4.30
Class S		1,000		1.05	%		1,052.30		5.33		1,019.50		5.24
Class Y		1,000		1.09	%		1,052.50		5.53		1,019.30		5.44
Class L		1,000		1.24	%		1,051.30		6.29		1,018.60		6.19
Class A		1,000		1.49	%		1,050.60		7.56		1,017.40		7.43
Class N		1,000		1.78	%		1,048.90		9.02		1,015.90		8.87
Mid Cap Growth Equity II Fund
Class Z		1,000		0.73	%		1,084.10		3.76		1,021.10		3.65
Class S		1,000		0.86	%		1,082.80		4.43		1,020.50		4.30
Class Y		1,000		0.95	%		1,083.00		4.89		1,020.00		4.75
Class L		1,000		1.10	%		1,082.50		5.66		1,019.30		5.49
Class A		1,000		1.35	%		1,080.70		6.95		1,018.10		6.74
Class N		1,000		1.65	%		1,079.50		8.48		1,016.60		8.23
Small Cap Growth Equity Fund
Class Z		1,000		0.87	%		1,085.50		4.49		1,020.40		4.35
Class S		1,000		0.97	%		1,084.90		5.00		1,019.90		4.84
Class Y		1,000		1.11	%		1,084.40		5.72		1,019.20		5.54
Class L		1,000		1.26	%		1,083.20		6.49		1,018.50		6.29
Class A		1,000		1.51	%		1,082.50		7.78		1,017.30		7.53
Class N		1,000		1.81	%		1,080.90		9.31		1,015.80		9.02
Small Company Growth Fund
Class S		1,000		1.13	%		1,055.00		5.74		1,019.10		5.64
Class Y		1,000		1.17	%		1,054.20		5.94		1,018.90		5.84
Class L		1,000		1.32	%		1,053.00		6.70		1,018.20		6.59
Class A		1,000		1.57	%		1,052.30		7.97		1,017.00		7.83
Class N		1,000		1.87	%		1,050.50		9.48		1,015.50		9.32

219

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*
Diversified International Fund
Class S	$	1,000		0.99	%	$	1,035.10	$	4.98	$	1,019.80	$	4.94
Class Y		1,000		1.09	%		1,034.20		5.48		1,019.30		5.44
Class L		1,000		1.17	%		1,034.60		5.89		1,018.90		5.84
Class A		1,000		1.42	%		1,033.40		7.14		1,017.70		7.08
Overseas Fund
Class Z		1,000		0.85	%		1,055.90		4.32		1,020.50		4.25
Class S		1,000		1.13	%		1,054.30		5.74		1,019.10		5.64
Class Y		1,000		1.18	%		1,053.00		5.99		1,018.90		5.89
Class L		1,000		1.23	%		1,053.10		6.24		1,018.60		6.14
Class A		1,000		1.48	%		1,053.70		7.52		1,017.40		7.38
Class N		1,000		1.78	%		1,050.70		9.03		1,015.90		8.87

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2012, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

220

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

August 29, 2012

^©2012 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. L4543    0812 C:05477-04

Table of Contents

President’s Letter to Shareholders	1
Portfolio Summary	3
Consolidated Portfolio of Investments	5
Consolidated Statement of Assets and Liabilities	19
Consolidated Statement of Operations	21
Consolidated Statements of Changes in Net Assets	22
Consolidated Financial Highlights	23
Notes to Consolidated Financial Statements	24
Other Information
Proxy Voting	49
Quarterly Reporting	49
Trustees’ Approval of Investment Advisory Contracts	49
Fund Expenses	51

This material must be preceded or accompanied by a current prospectus (or summary prospectus, if available) for MassMutual Select BlackRock Global Allocation Fund. Investors should consider 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.

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholders

To Our Shareholders

Eric Wietsma

“The first six months of 2012 remind us that it is impossible to predict what the financial markets will do, particularly over short periods of time. Our longstanding belief is that investors should avoid being swayed by the latest news out of Wall Street (or even Europe). Knowing that unexpected events affect the markets all the time, it is critical to plan ahead and maintain an investment strategy that relies on solid investment fundamentals. If you work with one, your financial professional can likely provide invaluable assistance in this effort.”

June 30, 2012

Welcome to the MassMutual Select BlackRock Global Allocation Fund Semiannual Report covering the six months ended June 30, 2012. Investors continued to navigate numerous economic and geo-political challenges and drove major U.S. and international stock indexes higher during the period, with U.S. stocks leading the way. On the U.S. economic front, the unemployment level remained in a tight range of between 8.1% and 8.3%, with some storm clouds on the horizon in the form of increased jobless claims in June 2012 – and the creation of fewer-than-projected new jobs during the period. Conversely, the housing market showed some signs of recovery, including a 5.9% increase in pending sales of existing homes throughout the country in June that largely reversed the 5.5% dip that occurred in May. The price of crude oil rose to a peak of nearly $110 per barrel in late February, dropped 29% to slightly more than $78 in mid-June, and rebounded somewhat by the end of the quarter to about $85. Oil’s overall decline during the period undermined the performance of energy stocks, but provided consumers with some relief in the form of lower prices at the gas pump. The price of gold rose in January and February before reversing course to finish essentially flat for the six-month period.

For the first half of 2012, the technology-heavy NASDAQ Composite^® Index returned 13.30%, the large-cap stock S&P 500^® Index advanced 9.48%, the small-cap stock Russell 2000^® Index gained 8.53%, and the blue-chip stock Dow Jones Industrial Average^SM (the “Dow”) rose 6.82%. Foreign stocks from both developed and emerging markets trailed their U.S. counterparts significantly, as indicated by the MSCI^® EAFE^® Index’s return of 2.96%, representing foreign developed markets, and the 3.94% advance of the MSCI Emerging Markets Index. U.S. fixed-income investments advanced modestly, with the Barclays U.S. Aggregate Bond Index returning 2.37%.*

Key events that defined the period

The year started off with a significant rally that lifted stocks here and abroad, as share prices ground out steady gains punctuated by brief and shallow corrections during the first quarter of 2012. Evidence of an improving U.S. economy and investors who were mainly undaunted by Europe’s ongoing sovereign debt crisis were the primary factors driving the market’s gains through March. As the period progressed, data pointing to an economic slowdown in the U.S. and increasing investor concerns over Europe were primarily responsible for the volatility that characterized much of the second quarter, particularly April and May.

In January 2012, Standard & Poor’s downgraded the government debt of France, Spain, Italy, and Austria on concerns over high debt levels and the countries’ significant need to refinance in 2013. In February, the European Union downgraded its growth outlook for the region’s economies, raising new questions about the virtues of austerity plans and setting the stage for renegotiation of the budget-deficit targets for some member states. Continued improvements in U.S. economic data drove a higher level of confidence among investors for a firmer economic recovery. Encouraging economic data during February included a solid decline in claims for unemployment benefits. In March, Greece successfully passed a sovereign debt restructuring that cut its debt by approximately $140 billion. That same month, Chinese Premier Wen Jiabao cut that country’s 2012 target growth rate to 7.5%. Here at home, the economy strengthened, personal spending increased, and incomes also grew modestly.

* Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment.

(Continued)

1

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholders (Continued)

April began with the release of the minutes from the Federal Open Market Committee’s (“FOMC”) most recent meeting at which the Federal Reserve (the “Fed”) made no changes to key interest rates, but kept “Operation Twist” in place. Under Operation Twist, the Fed has been selling shorter-term U.S. Treasury securities and using the proceeds to buy those with longer terms in an effort to lower long-term interest rates. The FOMC minutes stated that economic conditions were “expected to warrant an exceptionally low federal funds rate through late 2014.” In June, the Fed announced that Operation Twist would continue through the end of 2012.

News from Europe and China was mixed in April and enough to trigger volatility in equity markets here and abroad. Prices on Spanish and Italian debt fell after rallying earlier in the year. In May, economic reports pointed to the potential for a slowdown in U.S. economic growth, and concerns over the European economy and the fate of the euro zone dominated the markets. Signals from Europe indicated deeper economic weakness and concern over Greece’s potential exit from the euro as its national currency. Germany reported larger-than-expected gains in factory orders and a surprise gain in industrial output, and China reported slower export growth and the country’s lowest industrial production growth since 2009. In June, the positive reaction to the election of a pro-austerity government in Greece was overshadowed by news that the yield of Spanish 10-year bonds hit an all-time high of more than 7%, driving Spain’s borrowing costs to potentially unsustainable levels.

On June 28, three months after conducting hearings on the subject, the U.S. Supreme Court revealed that it had voted five to four to uphold the Affordable Care Act, the health care law signed by President Obama in 2010. The ruling left the law essentially intact, with most mandates taking effect in 2014.

The second quarter, which seemed to contain an especially busy news cycle of both positive and negative developments, ended with some good news for investors when Germany’s finance minister signaled the country’s potential willingness to take action sooner than expected to support short-term measures that would offer the euro zone additional bailout funds. Additionally, strong earnings announcements helped support stock prices in the U.S., and companies with noteworthy names from across numerous industries reported solid results.

Keeping it in perspective

The first six months of 2012 remind us that it is impossible to predict what the financial markets will do, particularly over short periods of time. Our longstanding belief is that investors should avoid being swayed by the latest news out of Wall Street (or even Europe). Knowing that unexpected events affect the markets all the time, it is critical to plan ahead and maintain an investment strategy that relies on solid investment fundamentals. If you work with one, your financial professional can likely provide invaluable assistance in this effort.

Thank you for your continued confidence in MassMutual. We continue to work diligently to help you take the steps you need to take to prepare for a more secure financial future, despite what may be occurring in the financial markets – or the world.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/12 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual Select BlackRock Global Allocation Fund – Portfolio Summary

What is the investment approach of MassMutual Select BlackRock Global Allocation Fund, and who is the Fund’s subadviser?

The Fund seeks long-term total return by investing in both equity and debt securities, including money market securities and other short-term debt obligations, of issuers located around the world, including emerging markets, without limitation on the percentage of assets the Fund can invest in a particular type of security. The Fund seeks to reduce volatility by allocating its assets broadly across markets, industries, and issuers, and without geographic or market capitalization limits. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock).

MassMutual Select BlackRock Global Allocation Fund Largest Holdings (% of Net Assets) on 6/30/12 (Unaudited)
U.S. Treasury Note 3.500% 5/15/20	2.1	%
Apple, Inc.	1.8	%
United Kingdom Gilt 4.750% 3/07/20	1.3	%
SPDR Gold Trust	1.2	%
Australia Government Bond 5.500% 4/21/23	1.1	%
Republic of Germany 4.250% 7/04/17	1.1	%
U.S. Treasury Note 2.250% 3/31/16	1.0	%
Oracle Corp.	1.0	%
U.S. Treasury Note 2.625% 8/15/20	0.9	%
U.S. Treasury Note 2.500% 3/31/15	0.9	%
	12.4	%

MassMutual Select BlackRock Global Allocation Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equities	59.1	%
Bonds & Notes	21.8	%
Mutual Funds	2.2	%
Purchased Options	0.3	%
Structured Options (Over The Counter Traded)	(0.0	)%
Warrants	0.0	%
Total Long-Term Investments	83.4	%
Short-Term Investments and Other Assets and Liabilities	16.6	%
Net Assets	100.0	%

3

MassMutual Select BlackRock Global Allocation Fund – Portfolio Summary (Continued)

MassMutual Select BlackRock Global Allocation Fund Country Weightings (% of Net Assets) on 6/30/12 (Unaudited)
United States	44.6	%
Japan	5.8	%
United Kingdom	5.1	%
Germany	4.0	%
Australia	3.2	%
Canada	2.9	%
Brazil	2.8	%
Singapore	1.6	%
Hong Kong	1.4	%
France	1.4	%
Switzerland	1.3	%
Netherlands	1.0	%
Republic of Korea	0.9	%
Malaysia	0.9	%
Cayman Islands	0.8	%
Bermuda	0.6	%
China	0.5	%
Taiwan	0.5	%
Italy	0.5	%
Netherlands Antilles	0.4	%
Russia	0.4	%
Ireland	0.4	%
Mexico	0.3	%
India	0.3	%
Israel	0.2	%
Thailand	0.2	%
Luxembourg	0.2	%
Chile	0.2	%
Poland	0.2	%
Norway	0.1	%
Channel Islands	0.1	%
Kazakhstan	0.1	%
Sweden	0.1	%
South Africa	0.1	%
Indonesia	0.1	%
Turkey	0.1	%
Panama	0.1	%
Philippines	0.0	%
Belgium	0.0	%
British Virgin Islands	0.0	%
United Arab Emirates	0.0	%
Portugal	0.0	%
Egypt	0.0	%
Argentina	0.0	%
Total Long-Term Investments	83.4	%
Short-Term Investments and Other Assets and Liabilities	16.6	%
Net Assets	100.0	%

4

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
EQUITIES — 59.1%
COMMON STOCK — 57.7%
Aerospace & Defense — 0.9%
The Boeing Co.		18,303	$	1,359,913
General Dynamics Corp.		10,282		678,201
L-3 Communications Holdings, Inc.		1,290		95,473
Safran SA		10,824		401,764
Spirit AeroSystems Holdings, Inc. Class A (a)		27,937		665,739
United Technologies Corp.		27,418		2,070,881
				5,271,971
Agriculture — 0.8%
Altria Group, Inc.		22,775		786,877
British American Tobacco Malaysia		13,800		244,295
British American Tobacco PLC		8,344		424,696
Bunge Ltd.		1,263		79,241
Chaoda Modern Agriculture Holdings Ltd. (a) (b)		1,265,139		101,211
KT&G Corp.		7,648		542,433
Lorillard, Inc.		3,389		447,179
Philip Morris International, Inc.		15,725		1,372,163
SLC Agricola SA		46,999		467,767
				4,465,862
Auto Manufacturers — 1.5%
Bayerische Motoren Werke AG		5,790		419,531
Daihatsu Motor Co. Ltd.		13,750		240,876
Daimler AG		8,493		381,963
Dongfeng Motor Group Co. Ltd. Class H		103,500		162,162
Fiat Industrial SpA		110,356		1,087,493
Ford Motor Co.		69,152		663,168
Fuji Heavy Industries Ltd.		124,030		1,001,157
General Motors Co. (a)		32,312		637,193
Guangzhou Automobile Group Co. Ltd. (a)		171,283		144,151
Honda Motor Co. Ltd.		30,060		1,047,129
Hyundai Motor Co.		3,035		622,622
Navistar International Corp. (a)		11,870		336,752
Paccar, Inc.		6,940		271,979
Suzuki Motor Corp.		63,637		1,304,420
Yulon Motor Co. Ltd.		161,000		286,358
				8,606,954
Automotive & Parts — 0.7%
Aisin Seiki Co. Ltd.		9,240		307,482
Autoliv, Inc.		800		43,728
BorgWarner, Inc. (a)		5,360		351,562
Bridgestone Corp.		39,800		912,923
Cheng Shin Rubber Industry Co. Ltd.		104,700		264,759
Delphi Automotive PLC (a)		6,400		163,200
Denso Corp.		13,470		458,640

	Number of Shares		Value
Futaba Industrial Co. Ltd. (a)		22,110	$	116,194
Johnson Controls, Inc.		11,411		316,199
Lear Corp.		1,900		71,687
Mando Corp.		588		87,583
Sumitomo Electric Industries Ltd.		17,100		212,603
Toyota Industries Corp.		32,821		937,715
				4,244,275
Banks — 2.5%
Banco do Brasil SA		18,067		175,678
Bank of America Corp.		186,071		1,522,061
Bank of New York Mellon Corp.		61,227		1,343,933
Bank of Nova Scotia		4,825		249,946
BNP Paribas		32,378		1,249,913
Capital One Financial Corp.		7,374		403,063
DBS Group Holdings Ltd.		23,000		253,874
DnB NOR ASA		9,306		92,578
HSBC Holdings PLC		109,023		961,304
Intesa Sanpaolo		204,879		293,039
Lloyds Banking Group PLC (a)		234,464		115,326
Northern Trust Corp.		7,946		365,675
Oversea-Chinese Banking Corp. Ltd.		102,900		718,847
Sberbank of Russian Federation		210,912		568,479
Siam Commercial Bank PCL		96,316		445,795
Societe Generale (a)		10,049		236,926
State Street Corp.		22,902		1,022,345
Sumitomo Mitsui Financial Group, Inc.		23,230		766,332
The Toronto-Dominion Bank		1,633		127,804
U.S. Bancorp		36,763		1,182,298
United Overseas Bank Ltd.		13,900		206,562
Wells Fargo & Co.		69,274		2,316,523
				14,618,301
Beverages — 0.8%
The Coca-Cola Co.		6,863		536,618
Constellation Brands, Inc. Class A (a)		2,821		76,336
DE Master Blenders 1753 NV (a)		53,994		608,815
Diageo PLC Sponsored ADR (United Kingdom)		16,807		1,732,297
Dr. Pepper Snapple Group, Inc.		4,750		207,813
Fomento Economico Mexicano SAB de CV Series B Sponsored ADR (Mexico)		3,338		297,916
Fraser and Neave Ltd.		112,700		628,066
Kirin Holdings Co. Ltd.		45,800		539,788
				4,627,649
Biotechnology — 0.3%
Amgen, Inc.		1,353		98,823
CSL Ltd.		5,359		217,353
Life Technologies Corp. (a)		12,571		565,569
Vertex Pharmaceuticals, Inc. (a)		17,111		956,847
				1,838,592

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

5

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Building Materials — 0.1%
Rinnai Corp.		5,300	$	365,158
Yuanda China Holdings Ltd.		1,494,586		167,281
				532,439
Chemicals — 2.2%
Asahi Kasei Corp.		70,000		379,755
BASF SE		14,770		1,026,347
China BlueChemical Ltd.		351,700		201,573
The Dow Chemical Co.		26,203		825,394
Eastman Chemical Co.		1,600		80,592
EI du Pont de Nemours & Co.		18,075		914,053
FMC Corp.		38,155		2,040,529
Hitachi Chemical Co. Ltd.		19,300		302,449
JSR Corp.		13,400		232,465
Lanxess AG		9,318		587,768
Monsanto Co.		3,828		316,882
Potash Corporation of Saskatchewan, Inc.		53,165		2,322,779
PPG Industries, Inc.		994		105,483
Praxair, Inc.		3,223		350,437
PTT Global Chemical PCL		21,600		37,745
PTT Global Chemical PCL		283,660		499,789
Samsung Fine Chemicals Co. Ltd.		4,270		225,006
Shin-Etsu Chemical Co. Ltd.		23,588		1,297,731
Sociedad Quimica y Minera de Chile SA Sponsored ADR (Chile)		5,090		283,360
Syngenta AG		1,795		612,783
Ube Industries Ltd.		190,600		442,372
				13,085,292
Coal — 0.4%
Alliance Resource Partners LP		1,180		66,221
Bumi Resources Tbk PT		1,639,000		197,396
China Shenhua Energy Co. Ltd.		74,538		262,864
CONSOL Energy, Inc.		58,204		1,760,089
				2,286,570
Commercial Services — 0.8%
Alliance Data Systems Corp. (a)		860		116,100
Jiangsu Expressway Co. Ltd.		199,100		186,284
MasterCard, Inc. Class A		2,517		1,082,587
McKesson Corp.		9,879		926,156
Qualicorp SA (a)		41,379		361,770
Visa, Inc. Class A		13,750		1,699,912
Western Union Co.		3,100		52,204
				4,425,013
Computers — 3.3%
Accenture PLC Class A		1,349		81,061
Apple, Inc. (a)		17,875		10,439,000
Cognizant Technology Solutions Corp. Class A (a)		2,664		159,840
Dell, Inc. (a)		51,121		640,035
EMC Corp. (a)		57,557		1,475,186

	Number of Shares		Value
Fusion-io, Inc. (a)		13,966	$	291,750
Hewlett-Packard Co.		35,753		718,993
International Business Machines Corp.		13,639		2,667,516
NetApp, Inc. (a)		28,741		914,539
SanDisk Corp. (a)		31,282		1,141,167
TDK Corp.		7,880		319,840
Western Digital Corp. (a)		2,190		66,751
				18,915,678
Cosmetics & Personal Care — 0.5%
Colgate-Palmolive Co.		12,238		1,273,976
Kao Corp.		8,500		234,430
The Procter & Gamble Co.		26,702		1,635,497
				3,143,903
Distribution & Wholesale — 0.6%
Adani Enterprises Ltd.		38,788		156,044
Mitsubishi Corp.		58,220		1,175,671
Mitsui & Co. Ltd.		115,652		1,715,899
Sumitomo Corp.		25,500		356,758
				3,404,372
Diversified Financial — 1.1%
American Express Co.		9,554		556,138
Ameriprise Financial, Inc.		1,200		62,712
Citigroup, Inc.		75,048		2,057,066
Discover Financial Services		20,091		694,747
The Goldman Sachs Group, Inc.		10,239		981,511
JPMorgan Chase & Co.		41,106		1,468,717
UBS AG (a)		46,085		538,936
				6,359,827
Electric — 1.8%
The AES Corp. (a)		50,692		650,378
Ameren Corp.		2,400		80,496
American Electric Power Co., Inc.		18,043		719,916
Calpine Corp. (a)		45,296		747,837
China Resources Power Holdings Co. Ltd.		214,000		440,588
Cia Energetica de Minas Gerais Sponsored ADR (Brazil)		33,469		616,499
CMS Energy Corp.		17,938		421,543
Dominion Resources, Inc.		7,576		409,104
Exelon Corp.		3,962		149,050
Huaneng Power International, Inc.		434,900		328,623
National Grid PLC		116,556		1,233,702
NextEra Energy, Inc.		21,256		1,462,625
Pampa Energia SA Sponsored ADR (Argentina) (a)		5,779		23,983
PPL Corp.		22,960		638,518
RusHydro		2,057,797		53,503
RusHydro ADR (Russia) (a)		173,594		414,716
Scottish & Southern Energy PLC		48,810		1,064,143

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

6

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
The Southern Co.		13,370	$	619,031
Tractebel Energia SA		14,442		267,125
				10,341,380
Electrical Components & Equipment — 0.1%
Dongfang Electric Corp. Ltd.		80,100		163,559
Hitachi Ltd.		58,600		360,397
				523,956
Electronics — 0.9%
Agilent Technologies, Inc.		18,295		717,896
Fanuc Ltd.		3,450		566,825
Garmin Ltd.		2,100		80,409
Hon Hai Precision Industry Co. Ltd.		79,408		239,443
Hoya Corp.		32,920		725,354
Koninklijke Philips Electronics NV		37,719		745,840
Mettler-Toledo, Inc. (a)		2,049		319,337
Murata Manufacturing Co. Ltd.		10,670		559,730
Nippon Electric Glass Co. Ltd.		23,390		139,117
PerkinElmer, Inc.		13,522		348,868
TE Connectivity Ltd.		2,500		79,775
Waters Corp. (a)		7,399		587,998
				5,110,592
Engineering & Construction — 0.4%
JGC Corp.		34,030		984,940
KBR, Inc.		16,222		400,846
Kinden Corp.		11,440		75,108
McDermott International, Inc. (a)		30,280		337,319
Okumura Corp.		79,230		286,106
Toda Corp.		77,200		240,882
				2,325,201
Entertainment — 0.1%
Delta Topco Ltd. (b)		800,425		469,299
International Game Technology		21,485		338,389
Toho Co. Ltd.		950		16,409
				824,097
Foods — 0.9%
BIM Birlesik Magazalar AS		1,788		73,809
ConAgra Foods, Inc.		3,025		78,438
Cosan Ltd. Class A		67,531		856,968
General Mills, Inc.		21,421		825,565
H.J. Heinz Co.		4,876		265,157
Hillshire Brands Co.		10,799		313,057
The Kroger Co.		2,958		68,596
Nestle SA		29,736		1,773,795
Unilever NV		12,162		407,067
Unilever NV NY Shares		4,541		151,442
Unilever PLC		8,040		270,218
Unilever PLC Sponsored ADR (United Kingdom)		5,020		169,325
				5,253,437

	Number of Shares		Value
Forest Products & Paper — 0.0%
International Paper Co.		9,599	$	277,507
Sino-Forest Corp. (a) (b)		25,740		-
				277,507
Gas — 0.5%
Beijing Enterprises Holdings Ltd.		227,922		1,375,704
China Resources Gas Group Ltd.		172,000		297,022
Tokyo Gas Co. Ltd.		197,988		1,011,138
				2,683,864
Health Care – Products — 1.4%
Cie Generale d’Optique Essilor International SA		12,766		1,185,885
Covidien PLC		8,349		446,671
Fresenius SE & Co. KGaA		9,142		947,981
Hologic, Inc. (a)		33,721		608,327
Johnson & Johnson		54,294		3,668,103
Medtronic, Inc.		29,482		1,141,838
Terumo Corp.		6,540		268,685
				8,267,490
Health Care – Services — 1.9%
Aetna, Inc.		32,346		1,254,054
Cigna Corp.		10,202		448,888
Coventry Health Care, Inc.		1,900		60,401
DaVita, Inc. (a)		6,966		684,131
Fresenius Medical Care AG & Co. KGaA		15,123		1,070,431
HCA Holdings, Inc.		45,881		1,396,159
HEALTHSOUTH Corp. (a)		17,820		414,493
Humana, Inc.		9,409		728,633
Life Healthcare Group Holdings Ltd.		102,403		390,290
NMC Health PLC (a)		58,579		175,423
Raffles Medical Group Ltd.		99,600		174,482
Thermo Fisher Scientific, Inc.		11,455		594,629
UnitedHealth Group, Inc.		27,429		1,604,597
Universal Health Services, Inc. Class B		13,768		594,227
Vanguard Health Systems, Inc. (a)		316		2,809
WellPoint, Inc.		18,388		1,172,971
				10,766,618
Holding Company – Diversified — 0.5%
Hutchison Whampoa Ltd.		50,900		440,228
Keppel Corp. Ltd.		95,812		785,093
LG Corp.		4,828		234,464
LVMH Moet Hennessy Louis Vuitton SA		4,762		725,816
Tianjin Development Holdings (a)		972,641		494,911
Wharf Holdings Ltd.		74,510		414,730
				3,095,242

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

7

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Home Builders — 0.2%
Daiwa House Industry Co. Ltd.		18,880	$	268,033
MRV Engenharia e Participacoes SA		91,199		422,281
PulteGroup, Inc. (a)		60,090		642,963
				1,333,277
Household Products — 0.1%
Hypermarcas SA (a)		110,526		653,196
Insurance — 2.3%
ACE Ltd.		21,185		1,570,444
AIA Group Ltd.		71,000		244,804
Allianz SE		6,207		624,144
Allstate Corp.		5,959		209,101
Amlin PLC		28,507		158,235
Arch Capital Group Ltd. (a)		8,392		333,078
AXA SA		47,422		634,706
Axis Capital Holdings Ltd.		1,878		61,129
Berkshire Hathaway, Inc. Class B (a)		3,610		300,821
The Chubb Corp.		9,758		710,578
CNA Financial Corp.		2,951		81,802
Endurance Specialty Holdings Ltd.		9,665		370,363
Fidelity National Financial, Inc. Class A		22,144		426,493
ING Groep NV (a)		81,122		547,316
Lincoln National Corp.		3,763		82,297
MetLife, Inc.		13,864		427,704
Millea Holdings, Inc.		60,775		1,528,119
Mitsui Sumitomo Insurance Group Holdings, Inc.		37,466		655,782
Muenchener Rueckversicherungs AG		2,146		302,779
Ping An Insurance Group Co. of China Ltd.		24,081		194,168
Platinum Underwriters Holdings Ltd.		4,544		173,126
The Progressive Corp.		12,776		266,124
Prudential Financial, Inc.		6,086		294,745
Reinsurance Group of America, Inc. Class A		1,100		58,531
RenaissanceRe Holdings Ltd.		4,568		347,214
Sony Financial Holdings, Inc.		19,500		318,973
Torchmark Corp.		1,550		78,353
The Travelers Cos., Inc.		15,588		995,138
Unum Group		2,971		56,835
Xl Group PLC		54,239		1,141,189
Zurich Financial Services AG (a)		1,744		393,481
				13,587,572
Internet — 0.8%
Check Point Software Technologies Ltd. (a)		1,440		71,410
eBay, Inc. (a)		13,274		557,641
Expedia, Inc.		1,774		85,276
Google, Inc. Class A (a)		4,979		2,888,168
Symantec Corp. (a)		35,038		511,905

	Number of Shares		Value
Yahoo! Japan Corp.		977	$	316,184
				4,430,584
Investment Companies — 0.1%
Cheung Kong Infrastructure Holdings Ltd.		55,100		330,861
RHJ International (a)		46,200		208,460
RHJ International Deposit Shares (a) (c)		11,800		53,010
				592,331
Iron & Steel — 0.1%
POSCO		820		261,835
POSCO ADR (Republic of Korea)		3,634		292,319
				554,154
Lodging — 0.0%
Wyndham Worldwide Corp.		1,500		79,110
Machinery – Construction & Mining — 0.1%
Rio Tinto PLC		11,934		569,960
Machinery – Diversified — 0.4%
CNH Global NV (a)		2,177		84,598
Haitian International Holdings Ltd.		110,171		109,573
Kubota Corp.		107,220		989,507
Rockwell Automation, Inc.		15,710		1,037,803
Shanghai Electric Group Co. Ltd.		532,600		220,726
				2,442,207
Manufacturing — 1.2%
3M Co.		9,233		827,277
Cheil Industries, Inc.		3,171		279,105
General Electric Co.		192,109		4,003,551
Invensys PLC		85,232		297,513
Parker Hannifin Corp.		995		76,496
Siemens AG		20,281		1,704,774
				7,188,716
Media — 0.9%
Comcast Corp. Class A		78,656		2,514,632
DISH Network Corp. Class A		2,825		80,654
Kabel Deutschland Holding AG (a)		8,266		514,416
Liberty Global, Inc. Class A (a)		233		11,564
The McGraw-Hill Cos., Inc.		1,479		66,555
Rogers Communications, Inc. Class B		10,945		396,319
Singapore Press Holdings Ltd.		56,090		173,197
Time Warner Cable, Inc.		7,643		627,490
Viacom, Inc. Class B		6,596		310,144
The Walt Disney Co.		6,004		291,194
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA		54,936		162,856
				5,149,021

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

8

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Metal Fabricate & Hardware — 0.2%
Precision Castparts Corp.		4,494	$	739,218
SKF AB		8,137		160,981
Tenaris SA Sponsored ADR (Luxembourg)		9,097		318,122
				1,218,321
Mining — 2.3%
Agnico-Eagle Mines Ltd.		8,210		332,177
Alamos Gold, Inc.		7,797		121,768
Alcoa, Inc.		42,271		369,871
Anglo American PLC		16,404		538,215
Anglo Platinum Ltd.		1		60
Antofagasta PLC		40,576		696,386
Barrick Gold Corp.		20,127		756,171
BHP Billiton Ltd.		23,716		773,060
BHP Billiton PLC		17,861		510,047
Detour Gold Corp. (a)		12,106		243,880
Eldorado Gold Corp.		59,538		733,333
Freeport-McMoRan Copper & Gold, Inc.		14,241		485,191
Glencore International PLC		41,076		190,829
Goldcorp, Inc.		46,131		1,733,603
Katanga Mining Ltd. (a)		23,174		15,023
Kinross Gold Corp.		11,753		95,787
Kinross Gold Corp.		54,283		443,072
Newcrest Mining Ltd.		24,296		565,521
Newmont Mining Corp.		25,127		1,218,911
Orica Ltd.		13,803		351,328
Osisko Mining Corp. (a)		50,764		349,030
Polyus Gold International Ltd. GDR (Russia) (a)		237,861		745,052
Randgold Resources Ltd. Sponsored ADR (Channel Islands)		6,712		604,147
Rio Tinto Ltd.		13,458		791,046
Silver Wheaton Corp.		26,038		698,860
Stillwater Mining Co. (a)		21,061		179,861
Teck Resources Ltd. Class B		2,099		64,943
				13,607,172
Office Equipment/Supplies — 0.2%
Canon, Inc.		23,555		943,207
Oil & Gas — 6.9%
Anadarko Petroleum Corp.		26,967		1,785,215
Apache Corp.		15,437		1,356,758
BG Group PLC		88,497		1,811,342
BP PLC		106,065		710,653
BP PLC Sponsored ADR (United Kingdom)		23,779		964,001
Cabot Oil & Gas Corp.		10,061		396,403
Canadian Natural Resources Ltd.		24,163		648,777
Chevron Corp.		29,201		3,080,705
Cobalt International Energy, Inc. (a)		9,163		215,330

	Number of Shares		Value
ConocoPhillips		1,195	$	66,777
Denbury Resources, Inc. (a)		19,385		292,907
Devon Energy Corp.		32,038		1,857,884
Diamond Offshore Drilling, Inc.		1,274		75,332
Eni SpA		55,605		1,186,686
Exxon Mobil Corp.		32,863		2,812,087
Helmerich & Payne, Inc.		1,557		67,698
Hess Corp.		6,555		284,815
Inpex Corp.		188		1,053,989
KazMunaiGas Exploration Production GDR (Kazakhstan) (d)		35,439		600,397
Marathon Oil Corp.		51,925		1,327,722
Marathon Petroleum Corp.		54,033		2,427,162
Murphy Oil Corp.		1,475		74,178
Occidental Petroleum Corp.		38,399		3,293,482
Petroleo Brasileiro SA Sponsored ADR (Brazil)		63,369		1,149,514
Phillips 66 (a)		65,132		2,164,988
PTT Public Co. Ltd.		39,549		402,214
QEP Resources, Inc.		29,585		886,662
Quicksilver Resources, Inc. (a)		112,617		610,384
Royal Dutch Shell PLC ADR (United Kingdom)		18,900		1,274,427
SM Energy Co.		11,402		559,952
Statoil ASA		26,739		639,384
Suncor Energy, Inc.		55,691		1,610,395
Talisman Energy, Inc.		25,214		289,016
Total SA		17,781		802,441
Total SA Sponsored ADR (France)		24,656		1,108,287
Tupras Turkiye Petrol Rafine		13,215		283,258
Valero Energy Corp.		3,147		76,000
Vallares PLC (a)		36,257		348,505
Whiting Petroleum Corp. (a)		31,668		1,302,188
				39,897,915
Oil & Gas Services — 0.9%
Halliburton Co.		21,432		608,454
National Oilwell Varco, Inc.		24,216		1,560,479
Schlumberger Ltd.		33,097		2,148,326
Technip SA		2,457		256,400
Transocean Ltd.		3,546		158,613
Weatherford International Ltd. (a)		27,631		348,980
				5,081,252
Packaging & Containers — 0.0%
Crown Holdings, Inc. (a)		7,541		260,089
Pharmaceuticals — 3.8%
Abbott Laboratories		1,577		101,669
Allergan, Inc.		9,455		875,249
AmerisourceBergen Corp.		13,423		528,195
Astellas Pharma, Inc.		7,970		348,129
AstraZeneca PLC		34,825		1,556,641
AstraZeneca PLC Sponsored ADR (United Kingdom)		1,697		75,941

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

9

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Bayer AG		16,107	$	1,161,454
BioMarin Pharmaceutical, Inc. (a)		7,154		283,155
Bristol-Myers Squibb Co.		45,074		1,620,410
Cardinal Health, Inc.		1,677		70,434
Eli Lilly & Co.		8,896		381,727
Express Scripts Holding Co. (a)		8,015		447,478
Gilead Sciences, Inc. (a)		22,572		1,157,492
GlaxoSmithKline PLC ADR (United Kingdom)		1,783		81,251
Herbalife Ltd.		1,486		71,818
Kyowa Hakko Kirin Co. Ltd.		37,210		382,305
Mead Johnson Nutrition Co. Class A		15,227		1,225,926
Merck & Co., Inc.		58,182		2,429,099
Mitsubishi Tanabe Pharma Corp.		16,400		235,650
Mylan, Inc. (a)		29,587		632,274
Novartis AG		10,825		603,818
Perrigo Co.		5,394		636,114
Pfizer, Inc.		144,239		3,317,497
Roche Holding AG		4,268		736,774
Sanofi		12,020		911,489
Sanofi ADR (France)		1,546		58,408
Sinopharm Group Co.		168,000		465,179
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		33,826		1,334,098
United Therapeutics Corp. (a)		3,058		151,004
Valeant Pharmaceuticals International, Inc. (a)		6,000		268,740
				22,149,418
Real Estate — 0.8%
Brookfield Asset Management, Inc. Class A		13,175		436,092
Capitaland Ltd.		259,500		560,187
Cheung Kong Holdings		29,300		362,069
Cyrela Brazil Realty SA		53,258		392,441
Global Logistic Properties Ltd. (a)		269,500		448,966
IRSA Inversiones y Representaciones SA Sponsored ADR (Argentina)		5,006		35,493
LSR Group GDR (Russia) (c)		37,579		129,757
LSR Group GDR (Russia) (d)		2,264		9,729
Mitsui Fudosan Co. Ltd.		21,500		417,074
Sun Hung Kai Properties Ltd.		27,029		320,558
The St. Joe Co. (a)		93,899		1,484,543
				4,596,909
Real Estate Investment Trusts (REITS) — 0.5%
American Tower Corp.		13,500		943,785
The Link REIT		295,733		1,207,175
Simon Property Group, Inc.		3,032		471,961
				2,622,921
Retail — 0.8%
Coach, Inc.		1,200		70,176
CVS Caremark Corp.		22,079		1,031,752

	Number of Shares		Value
Macy’s, Inc.		1,900	$	65,265
McDonald’s Corp.		8,579		759,499
Ross Stores, Inc.		1,200		74,964
Shanghai Pharmaceuticals Holding Co. Ltd.		3,134		3,940
Wal-Mart Stores, Inc.		29,371		2,047,746
Yamada Denki Co. Ltd.		9,320		475,696
Zhongsheng Group Holdings Ltd.		171,970		209,259
				4,738,297
Semiconductors — 1.3%
Analog Devices, Inc.		1,800		67,806
Applied Materials, Inc.		51,840		594,086
ASML Holding NV		2,000		102,840
Freescale Semiconductor Holdings I Ltd. (a)		46,900		480,725
Infineon Technologies AG		48,250		327,157
Intel Corp.		97,404		2,595,817
KLA-Tencor Corp.		1,500		73,875
Rohm Co. Ltd.		6,560		252,330
Samsung Electronics Co. Ltd.		2,147		2,276,298
Taiwan Semiconductor Manufacturing Co. Ltd. (a)		199,000		544,690
				7,315,624
Shipbuilding — 0.0%
SembCorp Marine Ltd.		58,630		223,863
Software — 2.1%
Activision Blizzard, Inc.		94,386		1,131,688
Adobe Systems, Inc. (a)		3,306		107,015
CA, Inc.		37,140		1,006,123
Electronic Arts, Inc. (a)		59,967		740,592
Fidelity National Information Services, Inc.		2,907		99,071
Intuit, Inc.		1,393		82,675
Microsoft Corp. (e)		121,263		3,709,435
Oracle Corp.		186,663		5,543,891
				12,420,490
Telecommunications — 5.5%
Amdocs Ltd. (a)		2,789		82,889
America Movil SAB de C.V. Sponsored ADR (Mexico)		44,480		1,159,149
AT&T, Inc. (e)		108,338		3,863,333
Axiata Group		688,612		1,189,249
BT Group PLC		279,229		925,623
CenturyTel, Inc.		6,264		247,365
China Telecom Corp. Ltd. Class H		377,600		164,656
China Unicom Ltd.		147,200		184,554
Chunghwa Telecom Co. Ltd.		117,708		370,686
Chunghwa Telecom Co. Ltd. Sponsored ADR (Taiwan)		23,079		725,373
Cisco Systems, Inc.		144,592		2,482,645
Corning, Inc.		146,226		1,890,702
Crown Castle International Corp. (a)		6,393		375,013

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

10

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Deutsche Telekom AG		86,811	$	952,338
Eutelsat Communications SA		11,634		357,708
Far EasTone Telecommunications Co. Ltd.		149,087		322,964
Juniper Networks, Inc. (a)		52,328		853,470
KDDI Corp.		116		748,240
KT Corp.		2,000		52,902
KT Corp. Sponsored ADR (Republic of Korea)		25,160		331,609
MetroPCS Communications, Inc. (a)		39,428		238,539
Millicom International Cellular SA		764		72,082
MobileOne Ltd.		128,600		260,212
Motorola Solutions, Inc.		9,681		465,753
Nippon Telegraph & Telephone Corp.		21,470		997,542
NTT DoCoMo, Inc.		923		1,536,036
Philippine Long Distance Telephone Co. Sponsored ADR (Philippines)		4,264		271,190
QUALCOMM, Inc.		53,438		2,975,428
Rogers Communications, Inc. Class B		1,700		61,631
Singapore Telecommunications Ltd.		298,228		779,818
Swisscom AG		1,304		524,208
Telecom Egypt		67,982		150,303
Telecom Italia SpA		143,579		141,488
Telefonica Brasil SA Sponsored ADR (Brazil)		46,123		1,141,083
Telekom Malaysia		296,624		528,748
Telekomunikasi Indonesia Tbk PT		187,200		162,958
Telstra Corp. Ltd.		92,645		351,066
TELUS Corp.		4,047		243,035
Verizon Communications, Inc.		46,092		2,048,328
Vodafone Group PLC		185,587		521,432
Vodafone Group PLC Sponsored ADR (United Kingdom)		30,580		861,744
Ziggo NV (a)		4,570		146,109
				31,759,201
Textiles — 0.1%
Guinness Peat Group PLC		374,884		138,711
Kuraray Co. Ltd.		28,210		365,165
				503,876
Toys, Games & Hobbies — 0.2%
Mattel, Inc.		25,436		825,144
Nintendo Co. Ltd.		4,300		501,742
				1,326,886
Transportation — 0.8%
Asciano Group		55,836		251,130
Canadian Pacific Railway Ltd.		7,651		560,512
Canadian Pacific Railway Ltd.		1,143		83,887
China South Locomotive and Rolling Stock Corp.		111,900		87,710
East Japan Railway		21,753		1,365,742

	Number of Shares		Value
Guangshen Railway Co. Ltd.		157,142	$	47,557
Novorossiysk Commercial Sea Port GDR (Russia) (a) (d)		34,345		216,202
Tianjin Port Development Holdings Ltd.		1,059,609		124,166
Union Pacific Corp.		14,203		1,694,560
West Japan Railway Co.		9,900		407,765
				4,839,231
Water — 0.1%
American Water Works Co., Inc.		11,432		391,889
TOTAL COMMON STOCK (Cost $319,114,797)			$	335,772,771
CONVERTIBLE PREFERRED STOCK — 0.0%
Savings & Loans — 0.0%
Omnicare Capital Trust II 4.000%		4,900		211,484
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $163,537)				211,484
PREFERRED STOCK — 1.4%
Aerospace & Defense — 0.0%
United Technologies Corp. 7.500%		4,500		237,105
Auto Manufacturers — 0.3%
General Motors Co. 4.750%		12,685		421,142
Volkswagen AG 1.580%		8,041		1,274,880
				1,696,022
Banks — 0.4%
HSBC Holdings PLC 8.000%		15,000		407,700
Itau Unibanco Holding SA 3.000%		36,375		512,347
Royal Bank of Scotland Group PLC, Series M 6.400%		9,550		167,316
Royal Bank of Scotland Group PLC, Series T 7.250%		8,536		167,732
US Bancorp, Series F 6.500% VRN		14,064		401,949
US Bancorp, Series G 6.000% VRN		6,837		187,197
Wells Fargo & Co. 7.500%		240		270,000
				2,114,241

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

11

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Number of Shares		Value
Diversified Financial — 0.1%
Citigroup Capital XIII 7.875%		13,808	$	376,820
Electric — 0.2%
NextEra Energy, Inc. 5.599%		8,579		439,674
PPL Corp. 8.750%		7,300		390,331
PPL Corp. 9.500%		8,000		423,200
				1,253,205
Foods — 0.1%
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A 1.110%		22,344		889,978
Oil & Gas — 0.1%
Chesapeake Energy Corp. 5.750% (c)		638		543,098
Real Estate Investment Trusts (REITS) — 0.1%
Health Care REIT, Inc. 6.500% (a)		7,500		405,000
Savings & Loans — 0.1%
GMAC Capital Trust I 8.125%		30,000		721,500
TOTAL PREFERRED STOCK (Cost $8,270,161)				8,236,969
TOTAL EQUITIES (Cost $327,548,495)				344,221,224
	Principal Amount
BONDS & NOTES — 21.8%
BANK LOANS — 0.3%
Oil & Gas — 0.2%
Equipower Resources Holding LLC 1st Lien Term Loan 0.000% 12/28/18	$	201,500		201,319
Obsidian Natural Gas Trust Term Loan, FRN 7.000% 11/02/15		920,720		920,720
				1,122,039
Telecommunications — 0.1%
Vodafone Americas Finance 2, Inc. Term Loan FRN 6.250% 7/11/16		453,750		458,288
TOTAL BANK LOANS (Cost $1,565,732)				1,580,327

	Principal Amount		Value
CORPORATE DEBT — 5.6%
Agriculture — 0.1%
BAT International Finance PLC (c) 2.125% 6/07/17	$	336,000	$	335,558
Banks — 0.9%
Banco Bradesco SA/Cayman Islands (c) 4.500% 1/12/17		400,000		416,720
Banco Santander Chile FRN (c) 2.467% 2/14/14		340,000		334,705
Bank of Nova Scotia 2.550% 1/12/17		448,000		465,469
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect 3.375% 1/19/17		520,000		535,177
Deutsche Bank Capital Funding Trust VII VRN (c) 5.628% 12/31/49		83,000		68,890
JP Morgan Chase Bank NA FRN 0.798% 6/13/16		500,000		465,673
Lloyds TSB Bank PLC STEP GBP (f) 13.000% 12/31/49		565,000		1,061,851
National Australia Bank Ltd. (c) 2.000% 6/20/17		441,000		440,144
NB Capital Trust II 7.830% 12/15/26		38,000		38,095
Nordea Bank AB (c) 3.125% 3/20/17		280,000		281,195
Oversea-Chinese Banking Corp. Ltd. (c) 1.625% 3/13/15		340,000		340,997
The Toronto-Dominion Bank 2.375% 10/19/16		384,000		394,335
UBS AG 5.875% 12/20/17		200,000		223,401
				5,066,652
Biotechnology — 0.1%
Gilead Sciences, Inc., Convertible 0.625% 5/01/13		34,000		46,410
Gilead Sciences, Inc., Convertible 1.625% 5/01/16		522,000		675,338
				721,748
Building Materials — 0.1%
Building Materials Corp. of America (c) 6.875% 8/15/18		114,000		121,125
Texas Industries, Inc. 9.250% 8/15/20		435,000		435,000
				556,125
Chemicals — 0.0%
Phibro Animal Health Corp. (c) 9.250% 7/01/18		54,000		52,920

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

12

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Coal — 0.2%
Bumi Investment Pte Ltd. (c) 10.750% 10/06/17	$	251,000	$	247,863
Consol Energy, Inc. 8.000% 4/01/17		580,000		601,750
New World Resources NV EUR (d) (f) 7.875% 5/01/18		165,000		198,367
				1,047,980
Commercial Services — 0.0%
The Hertz Corp. 7.500% 10/15/18		50,000		53,625
Computers — 0.1%
SunGard Data Systems, Inc. 7.375% 11/15/18		285,000		305,663
Diversified Financial — 0.5%
Ally Financial, Inc. 4.500% 2/11/14		256,000		259,520
American Express Credit Corp. 2.375% 3/24/17		382,000		391,524
Citigroup Funding, Inc. 0.010% 11/27/12		600,000		595,824
Credit Suisse Group Guernsey I Ltd. VRN (d) 7.875% 2/24/41		310,000		294,810
Ford Motor Credit Co. LLC 6.625% 8/15/17		116,000		131,947
Ford Motor Credit Co. LLC 7.000% 4/15/15		100,000		111,138
General Electric Capital Corp. 5.625% 5/01/18		346,000		397,741
JP Morgan Chase Capital XXV Series Y 6.800% 10/01/37		47,000		46,999
TNK-BP Finance SA (c) 6.625% 3/20/17		133,000		144,478
TNK-BP Finance SA (c) 7.500% 7/18/16		200,000		222,260
				2,596,241
Electric — 0.0%
Empresa Distribuidora Y Comercializadora Norte (c) 9.750% 10/25/22		80,000		28,400
Electrical Components & Equipment — 0.2%
Suzlon Energy Ltd., Convertible 0.000% 7/27/12		35,000		45,500
Suzlon Energy Ltd., Convertible 0.000% 10/11/12		498,000		617,520
Suzlon Energy Ltd., Convertible 0.000% 7/25/14		465,000		395,250
				1,058,270

	Principal Amount		Value
Engineering & Construction — 0.0%
Odebrecht Finance Ltd. (c) 5.125% 6/26/22	$	200,000	$	198,060
Entertainment — 0.1%
Delta Topco Ltd. (a) (b) 10.000% 11/24/60		782,594		758,982
Foods — 0.1%
Olam International Ltd., Convertible 6.000% 10/15/16		700,000		726,600
Forest Products & Paper — 0.1%
TFS Corp. Ltd. (Acquired 6/21/11, Cost $600,000) (c) (g) 11.000% 7/15/18		600,000		570,000
Health Care – Products — 0.2%
DJO Finance LLC / DJO Finance Corp. 9.750% 10/15/17		48,000		34,320
Hologic, Inc. Convertible STEP 2.000% 12/15/37		854,000		898,835
				933,155
Health Care – Services — 0.3%
Bio City Development Co. B.V. (Acquired 7/06/11, Cost $1,400,000) (c) (g) 8.000% 7/06/18		1,400,000		1,396,500
DaVita, Inc. 6.375% 11/01/18		169,000		174,493
DaVita, Inc. 6.625% 11/01/20		150,000		156,375
				1,727,368
Holding Company – Diversified — 0.2%
Hutchison Whampoa International 11 Ltd. (c) 3.500% 1/13/17		348,000		360,843
REI Agro Ltd., Convertible (Acquired 12/02/09, Cost $614,910) (c) (g) 5.500% 11/13/14		618,000		407,880
Wharf Finance 2014 Ltd. HKD (f) 2.300% 6/07/14		2,000,000		254,062
				1,022,785
Iron & Steel — 0.1%
Evraz Group SA (c) 9.500% 4/24/18		200,000		214,800
Tata Steel Ltd., Convertible 1.000% 9/05/12		200,000		245,000
				459,800
Media — 0.0%
Nara Cable Funding Ltd. EUR (c) (f) 8.875% 12/01/18		100,000		110,098

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

13

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Ono Finance II PLC (c) 10.875% 7/15/19	$	153,000	$	118,575
				228,673
Mining — 0.0%
FMG Resources August 2006 Pty Ltd. (c) 6.000% 4/01/17		232,000		233,160
Oil & Gas — 0.4%
China Petroleum & Chemical Corp., Convertible HKD (f) 0.000% 4/24/14		1,030,000		153,811
Essar Energy PLC, Convertible 4.250% 2/01/16		500,000		295,000
Linn Energy LLC/Linn Energy Finance Corp. 7.750% 2/01/21		211,000		220,495
OGX Petroleo e Gas Participacoes SA (c) 8.500% 6/01/18		650,000		578,500
Petrobras International Finance Co. 3.500% 2/06/17		336,000		344,899
Petroleos Mexicanos 6.000% 3/05/20		343,000		396,679
Phillips 66 (c) 2.950% 5/01/17		35,000		35,965
Reliance Holdings USA, Inc. (c) 4.500% 10/19/20		323,000		303,550
				2,328,899
Packaging & Containers — 0.0%
Crown Cork & Seal Co., Inc. 7.500% 12/15/96		77,000		65,450
Pharmaceuticals — 0.2%
Capsugel FinanceCo SCA EUR (c) (f) 9.875% 8/01/19		100,000		135,408
Hypermarcas SA (c) 6.500% 4/20/21		213,000		204,480
Mylan, Inc., Convertible 3.750% 9/15/15		521,000		896,120
				1,236,008
Real Estate — 0.6%
CapitaLand Ltd., Convertible SGD (f) 2.100% 11/15/16		750,000		590,290
CapitaLand Ltd., Convertible SGD (f) 2.950% 6/20/22		1,500,000		1,131,932
CapitaLand Ltd., Convertible SGD (f) 3.125% 3/05/18		500,000		413,361
Keppel Land Ltd., Convertible SGD (f) 2.500% 6/23/13		200,000		158,805
Pyrus Ltd., Convertible, (Acquired 12/20/10, Cost $500,000) (c) (g) 7.500% 12/20/15		500,000		517,250

	Principal Amount		Value
Sun Hung Kai Properties Capital Market Ltd. (d) 4.500% 2/14/22	$	200,000	$	199,230
Ying Li International Real Estate Ltd., Convertible SGD (f) 4.000% 3/03/15		500,000		349,566
				3,360,434
Savings & Loans — 0.7%
Dana Gas Sukuk Ltd., Convertible 7.500% 10/31/12		2,780,000		1,848,700
Odebrecht Drilling Norbe VIII/IX Ltd. (c) 6.350% 6/30/21		333,200		349,027
Paka Capital Ltd., Convertible 0.000% 3/12/13		300,000		307,125
Zeus Cayman II JPY (d) (f) 0.010% 8/18/16		28,000,000		337,499
Zeus Cayman, Convertible JPY (f) 0.000% 8/19/13		106,000,000		1,302,871
				4,145,222
Software — 0.1%
Electronic Arts, Inc., Convertible (c) 0.750% 7/15/16		185,000		161,875
Take-Two Interactive Software, Inc., Convertible (c) 1.750% 12/01/16		515,000		450,625
Take-Two Interactive Software, Inc., Convertible 4.375% 6/01/14		132,000		152,460
				764,960
Telecommunications — 0.2%
British Telecommunications PLC FRN 1.593% 12/20/13		229,000		230,314
Hughes Satellite Systems Corp. 6.500% 6/15/19		280,000		297,500
Hughes Satellite Systems Corp. 7.625% 6/15/21		103,000		112,012
Intelsat Jackson Holdings SA 7.500% 4/01/21		442,000		467,415
Portugal Telecom International Finance BV EUR (f) 4.125% 8/28/14		100,000		119,273
				1,226,514
Transportation — 0.1%
Inversiones Alsacia SA (Acquired 2/18/11, Cost $566,000) (c) (g) 8.000% 8/18/18		377,517		364,938

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

14

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
Viterra, Inc. (c) 5.950% 8/01/20	$	139,000	$	152,235
				517,173
TOTAL CORPORATE DEBT (Cost $32,900,829)				32,326,425
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.1%
Commercial MBS — 0.1%
Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN FRN (c) 1.992% 11/15/15		503,545		477,117
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $456,213)				477,117
SOVEREIGN DEBT OBLIGATIONS — 9.0%
Australia Government Bond AUD (f) 4.750% 11/15/12		1,731,000		1,783,052
Australia Government Bond AUD (f) 5.500% 12/15/13		1,631,000		1,741,610
Australia Government Bond AUD (f) 5.500% 4/21/23		5,310,000		6,604,022
Australia Government Bond AUD (f) 5.750% 5/15/21		2,512,000		3,131,284
Australia Government Bond AUD (f) 5.750% 7/15/22		723,000		912,075
Brazil Notas do Tesouro Nacional Serie B BRL (f) 6.000% 5/15/15		1,134,000		1,305,225
Brazil Notas do Tesouro Nacional Serie F BRL (f) 10.000% 1/01/21		6,815,000		3,401,216
Bundesrepublik Deutschland EUR (f) 3.500% 7/04/19		3,397,161		4,993,883
Canadian Government Bond CAD (f) 1.500% 3/01/17		1,094,000		1,086,801
Canadian Government Bond CAD (f) 3.500% 6/01/20		807,000		907,231
Canadian Government Bond CAD (f) 4.000% 6/01/16		665,000		722,584
Hong Kong Government Bond HKD (f) 1.670% 3/24/14		1,800,000		237,867
Hong Kong Government Bond HKD (f) 1.690% 12/22/14		2,700,000		360,455
Hong Kong Government Bond HKD (f) 2.030% 3/18/13		5,350,000		698,865
Hong Kong Government Bond HKD (f) 3.510% 12/08/14		5,400,000		751,577

	Principal Amount		Value
Hong Kong Government Bond HKD (f) 4.130% 2/22/13	$	3,700,000	$	489,228
Malaysia Government Bond MYR (f) 2.509% 8/27/12		6,720,000		2,114,581
Malaysia Government Bond MYR (f) 3.461% 7/31/13		2,066,000		653,923
Netherlands Government Bond (c) 1.000% 2/24/17		732,000		727,000
Poland Government Bond PLN (f) 3.000% 8/24/16		2,404,281		743,370
Poland Government Bond PLN (f) 5.000% 3/23/22		161,000		175,732
Republic of Brazil BRL (f) 10.000% 1/01/17		7,039,000		3,589,901
Republic of Germany EUR (f) 4.250% 7/04/17		4,326,000		6,438,672
Switzerland Government Bond CHF (f) 2.000% 4/28/21		74,000		87,563
United Kingdom Gilt GBP (f) 4.000% 9/07/16		539,513		962,222
United Kingdom Gilt GBP (f) 4.750% 3/07/20		3,820,455		7,451,739
Vnesheconombank Via VEB Finance PLC (c) (h) 6.025% 7/05/22		200,000		190,503
				52,262,181
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $51,954,126)				52,262,181
U.S. TREASURY OBLIGATIONS — 6.8%
U.S. Treasury Bonds & Notes — 6.8%
U.S. Treasury Note 0.625% 7/31/12		642,500		642,756
U.S. Treasury Note 0.625% 5/31/17		1,253,600		1,247,861
U.S. Treasury Note 0.875% 1/31/17		850,500		857,862
U.S. Treasury Note 1.375% 9/30/18		3,358,400		3,438,293
U.S. Treasury Note 1.750% 5/15/22		2,201,100		2,218,984
U.S. Treasury Note 2.000% 11/15/21		853,900		885,301
U.S. Treasury Note 2.250% 3/31/16		5,435,300		5,780,271
U.S. Treasury Note 2.375% 2/28/15		2,215,100		2,330,839
U.S. Treasury Note 2.500% 3/31/15		4,733,000		5,005,000
U.S. Treasury Note 2.625% 8/15/20		4,619,700		5,084,341

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

15

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Principal Amount		Value
U.S. Treasury Note (i) 3.500% 5/15/20	$	10,333,400	$	12,073,771
				39,565,279
TOTAL U.S. TREASURY OBLIGATIONS (Cost $36,896,924)				39,565,279
TOTAL BONDS & NOTES (Cost $123,773,824)				126,211,329
	Number of Shares
MUTUAL FUNDS — 2.2%
Diversified Financial — 2.2%
BlackRock Liquidity Funds TempFund Portfolio		384,543		384,543
ETFS Gold Trust (a)		14,400		2,277,850
ETFS Physical Palladium Shares (a)		5,200		298,116
ETFS Platinum Trust (a)		4,400		627,704
iShares Gold Trust (a)		145,800		2,268,648
SPDR Gold Trust (a)		46,027		7,142,930
Vinaland Ltd. (a)		96,151		46,174
				13,045,965
TOTAL MUTUAL FUNDS (Cost $13,876,120)				13,045,965
	Units
PURCHASED OPTIONS — 0.3%
Coal — 0.0%
Consol Energy, Inc., Put, Expires 10/20/12, Strike 29.00		521		138,065
Diversified Financial — 0.3%
Conocophillips, Put, Expires 01/19/13, Strike 70.00		422		183,570
DAXKI Index, Call, Expires 9/21/12, Strike 7,258.78		95		1,509
IBOV Index, Put, Expires 11/16/12, Strike 55,478.72		22		75,901
IBOV Index, Put, Expires 12/12/12, Strike 55,389.31		24		96,007
KOSPI 200 Index, Put, Expires 12/12/13, Strike 243.53		36		66,575
Russell 2000 Index Swaption 10 Year, Put, Expires 8/17/12, Strike 3.00		218,417,000		-
Russell 2000 Index, Put, Expires 10/19/12, Strike 804.79		814		38,099
Russell 2000 Index, Put, Expires 11/16/12, Strike 753.98		1,734		57,477

	Units		Value
Russell 2000 Index, Put, Expires 12/21/12, Strike 759.04		1,723	$	72,239
Russell 2000 Index, Put, Expires 7/20/12, Strike 782.56		599		5,210
Russell 2000 Index, Put, Expires 8/17/12, Strike 807.90		815		24,145
Russell 2000 Index, Put, Expires 9/13/12, Strike 800.00		1,417		51,765
S&P 500 Index, Call, Expires 8/17/12, Strike 1,410.47		810		6,871
S&P 500 Index, Call, Expires 8/17/12, Strike 1,412.15		394		3,357
S&P 500 Index, Call, Expires 9/21/12, Strike 1,425.00 (b)		1,007		12,084
S&P 500 Index, Put, Expires 07/21/12, Strike 1,315.00		27		18,900
S&P 500 Index, Put, Expires 07/21/12, Strike 1,350.00		27		37,800
S&P 500 Index, Put, Expires 08/18/12, Strike 1,300.00		84		120,960
S&P 500 Index, Put, Expires 08/18/12, Strike 1,325.00		30		60,000
S&P 500 Index, Put, Expires 09/21/12, Strike 1,305.14		1,258		35,944
S&P 500 Index, Put, Expires 09/22/12, Strike 1,320.00		27		84,510
S&P 500 Index, Put, Expires 09/22/12, Strike 1,325.00		27		94,500
S&P 500 Index, Put, Expires 12/22/12, Strike 1,325.00		27		162,000
SPDR Gold Shares, Call, Expires 07/21/12, Strike 157.00		240		41,040
SPDR Gold Shares, Call, Expires 08/18/12, Strike 160.00		104		22,048
SPDR Gold Trust, Call, Expires 09/22/12, Strike 165.00		105		23,415
SPDR Gold Trust, Call, Expires 12/22/12, Strike 175.00		111		35,520
Taiwan Taiex Index, Call, Expires 03/20/13, Strike 8,818.93		1,830		2,947
Taiwan Taiex Index, Call, Expires 06/19/13, Strike 8,807.55		1,845		7,730
Taiwan Taiex Index, Call, Expires 09/18/13, Strike 8,807.55		922		3,992
Taiwan Taiex Index, Call, Expires 12/18/13, Strike 7,057.00		74		40,784
Taiwan Taiex Index, Call, Expires 12/18/13, Strike 7,249.48		112		49,043
Taiwan TWSE Index, Call, Expires 09/18/13, Strike 8,646.24		1,564		5,396
Taiwan TWSE Index, Call, Expires 12/18/13, Strike 8,646.11		3,125		16,063

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

16

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

	Units		Value
USD Call Euro Put, Expires 06/03/13, Strike 1.20		4,027,000	$	130,564
USD Call Euro Put, Expires 11/01/12, Strike 1.31		2,690,000		142,568
				1,830,533
Foods — 0.0%
Mead Johnson Nutrition, Put, Expires 8/17/12, Strike 80.00		15,227		54,257
Mining — 0.0%
Goldcorp, Inc., Call, Expires 10/20/12, Strike 40.00		77		15,092
Software — 0.0%
Intel Corp, Call, Expires 7/21/12, Strike 27.00		224		10,304
TOTAL PURCHASED OPTIONS (Cost $3,616,665)				2,048,251
STRUCTURED OPTIONS (OVER THE COUNTER TRADED) — (0.0)%
Diversified Financial — (0.0)%
Taiwan Taiex Index, Expires 12/19/12, Broker Citigroup (j)		1,731		(28,898	)
Taiwan Taiex Index, Expires 12/19/12, Broker Citigroup (k)		1,945		(40,151	)
				(69,049	)
TOTAL STRUCTURED OPTIONS (OVER THE COUNTER TRADED) (Cost $0)				(69,049	)
	Number of Shares
WARRANTS — 0.0%
Auto Manufacturers — 0.0%
Ford Motor Co., Expires 1/01/13, Strike 9.20 (a)		44,770		50,143
Insurance — 0.0%
TFS Corp. Ltd., Expires 07/15/18, Strike 0.00 (a) (c)		222,000		22,366
Mining — 0.0%
Kinross Gold Corp., Expires 9/03/13, Strike 32.00 (a)		7,400		2,798
TOTAL WARRANTS (Cost $257,223)				75,307
TOTAL LONG-TERM INVESTMENTS (Cost $469,072,327)				485,533,027

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 17.1%
Certificate of Deposit — 0.1%
Banco Del Estado De Chile 2.030% 4/02/15	$	375,000	$	371,713
Sovereign Debt Obligations — 2.4%
Canadian Treasury Bill CAD (f) 0.010% 8/02/12		3,186,000		3,127,101
Canadian Treasury Bill CAD (f) 0.010% 8/30/12		1,686,000		1,653,483
Canadian Treasury Bill CAD (f) 0.010% 9/27/12		2,243,000		2,198,442
Japan Treasury Discount Bill JPY (f) 0.010% 8/06/12		100,000,000		1,250,895
Japan Treasury Discount Bill JPY (f) 0.010% 11/09/12		100,000,000		1,250,586
Mexico Cetes MXN (f) 0.010% 7/26/12		18,737,830		1,400,330
Mexico Cetes MXN (f) 0.010% 8/23/12		4,511,780		336,025
Singapore Treasury Bill SGD (f) 0.010% 7/26/12		1,378,000		1,087,652
Singapore Treasury Bill SGD (f) 0.010% 8/02/12		2,066,000		1,630,650
				13,935,164
Time Deposits — 0.0%
Brown Brothers Time Deposit 0.030% 7/02/12		44,952		44,952
U.S. Treasury Bills — 14.6%
U.S. Treasury Bill 0.010% 7/19/12		745,000		744,966
U.S. Treasury Bill 0.010% 8/02/12		3,620,000		3,619,726
U.S. Treasury Bill 0.010% 8/23/12		12,350,000		12,348,703
U.S. Treasury Bill 0.010% 8/30/12		5,600,000		5,599,122
U.S. Treasury Bill 0.010% 9/06/12		4,700,000		4,699,334
U.S. Treasury Bill 0.010% 9/13/12		54,815,000		54,806,466
U.S. Treasury Bill 0.010% 9/20/12		3,310,000		3,309,392
				85,127,709
TOTAL SHORT-TERM INVESTMENTS (Cost $99,513,491)				99,479,538
TOTAL INVESTMENTS — 100.5%
(Cost $568,585,818) (l)				585,012,565
Other Assets/(Liabilities) — (0.5)%				(2,888,067	)
NET ASSETS — 100.0%			$	582,124,498

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

17

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments (Continued)

Notes to Consolidated Portfolio of Investments

ADR American Depositary Receipt

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CHF Swiss Franc

EUR Euro

FRN Floating Rate Note

GBP British Pound

GDR Global Depositary Receipt

HKD Hong Kong Dollar

JPY Japanese Yen

MBS Mortgage-Backed Security

MXN Mexican Peso

MYR Malaysian Ringgit

PLN Polish Zloty

SGD Singapore Dollar

STEP Step Up Bond

VRN Variable Rate Note

(a) Non-income producing security.

(b) This security is valued in good faith under procedures established by the Board of Trustees.

(c) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to a value of $12,041,875 or 2.07% of net assets.

(d) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2012, these securities amounted to a value of $1,856,234 or 0.32% of net assets.

(e) These securities are held as collateral for written options. (Note 2).

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

(g) Restricted security. Certain securities are restricted as to resale. At June 30, 2012, these securities amounted to a value of $3,256,568 or 0.56% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

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

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

(j) Citigroup Taiwan Taiex Structured Option is issued in units. Each unit represents a structure based on the Taiex Index. Each unit contains (a) one written put on the index at a strike price of USD 243.41 and (b) 1.35 call options on the index with a strike of USD 290.81. The Fund holds 1,731 units of the structure. On June 30, 2012, the Taiex Index was TWD 7,296.28. At this time, the value of the structured option was $(28,898) based on a price of $(16.69) per unit. The option expires on December 19, 2012.

(k) Citigroup Taiwan Taiex Structured Option is issued in units. Each unit represents a structure based on the Taiex Index. Each unit contains (a) one written put on the index at a strike

price of 7,345.42 and (b) 1.45 call options on the index with a strike of 8,775.89. The Fund holds 1,945 units of the structure. On June 30, 2012, the Taiex Index was TWD 7,296.28. At this time, the value of the structured option was $(40,151) based on a price of $(20.64) per unit. The option expires on December 19, 2012.

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

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

18

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements

Consolidated Statement of Assets and Liabilities

June 30, 2012 (Unaudited)

Assets:
Investments, at value (Note 2) (a)	$	485,533,027
Short-term investments, at value (Note 2) (b)		99,479,538
Total investments		585,012,565
Foreign currency, at value (c)		583,933
Receivables from:
Investments sold		3,459,669
Open forward foreign currency contracts (Note 2)		416,663
Investment adviser (Note 3)		54,038
Fund shares sold		41,487
Interest and dividends		2,203,676
Foreign taxes withheld		146,426
Open swap agreements, at value (Note 2)		249,983
Total assets		592,168,440
Liabilities:
Payables for:
Investments purchased		5,618,123
Written options outstanding, at value (Note 2) (d)		2,137,259
Open forward foreign currency contracts (Note 2)		529,138
Fund shares repurchased		802,986
Interest and dividends		3,772
Investments purchased on a when-issued basis (Note 2)		200,000
Variation margin on open futures contracts (Note 2)		129,542
Trustees’ fees and expenses (Note 3)		43,827
Affiliates (Note 3):
Investment management fees		342,743
Administration fees		27,741
Service fees		2,671
Due to custodian		44,954
Accrued expense and other liabilities		161,186
Total liabilities		10,043,942
Net assets	$	582,124,498
Net assets consist of:
Paid-in capital	$	565,723,837
Undistributed (accumulated) net investment income (loss)		3,299,420
Accumulated net realized gain (loss) on investments and foreign currency transactions		(3,436,505	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		16,537,746
Net assets	$	582,124,498
(a)        Cost of investments:	$	469,072,327
(b)        Cost of short-term investments:	$	99,513,491
(c)        Cost of foreign currency:	$	579,958
(d)        Premiums on written options:	$	2,319,825

19

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statement of Assets and Liabilities

June 30, 2012 (Unaudited)

Class S shares:
Net assets	$	537,355,648
Shares outstanding (a)		52,225,566
Net asset value, offering price and redemption price per share	$	10.29
Class Y shares:
Net assets	$	14,206,524
Shares outstanding (a)		1,381,235
Net asset value, offering price and redemption price per share	$	10.29
Class L shares:
Net assets	$	25,140,357
Shares outstanding (a)		2,389,990
Net asset value, offering price and redemption price per share	$	10.52
Class A shares:
Net assets	$	5,421,969
Shares outstanding (a)		529,379
Net asset value and redemption price per share	$	10.24
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.86

(a) Authorized unlimited number of shares with no par value.

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

20

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statement of Operations

For the Six Months Ended June 30, 2012 (Unaudited)

Investment income (Note 2):
Dividends (a)	$	4,806,828
Interest		2,423,166
Total investment income		7,229,994
Expenses (Note 3):
Investment management fees		2,197,253
Custody fees		220,230
Audit fees		62,839
Legal fees		30,352
Proxy fees		510
Shareholder reporting fees		9,685
Trustees’ fees		21,312
		2,542,181
Administration fees:
Class S		134,018
Class Y		842
Class L		1,147
Class A		3,938
Subsidiary administration fees		16,443
Service fees:
Class A		3,281
Total expenses		2,701,850
Expenses waived (Note 3):
Class S fees waived by adviser		(173	)
Class Y fees waived by adviser		(0	)+
Class L fees waived by adviser		(1	)
Class A fees waived by adviser		(3	)
Class S administrative fees waived		(297,978	)
Class Y administrative fees waived		(624	)
Class L administrative fees waived		(425	)
Class A administrative fees waived		(1,459	)
Class S management fees waived		(34,623	)
Class Y management fees waived		(73	)
Class L management fees waived		(49	)
Class A management fees waived		(170	)
Subsidiary expenses waived (Note 3)		(33,680	)
Net expenses		2,332,592
Net investment income (loss)		4,897,402
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		(4,217,953	)
Futures contracts		(981,055	)
Written options		1,184,173
Swap agreements		198,323
Foreign currency transactions		739,729
Net realized gain (loss)		(3,076,783	)
Net change in unrealized appreciation (depreciation) on:
Investment transactions		18,062,285
Futures contracts		138,519
Written options		182,695
Swap agreements		3,685
Translation of assets and liabilities in foreign currencies		(376,895	)
Net change in unrealized appreciation (depreciation)		18,010,289
Net realized gain (loss) and change in unrealized appreciation (depreciation)		14,933,506
Net increase (decrease) in net assets resulting from operations	$	19,830,908
(a)        Net of withholding tax of:	$	245,914

+ Amount rounds to less than $0.50.

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

21

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Statement of Changes in Net Assets

	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	4,897,402		$	9,889,717
Net realized gain (loss) on investment transactions		(3,076,783	)		11,144,598
Net change in unrealized appreciation (depreciation) on investments		18,010,289			(43,542,483	)
Net increase (decrease) in net assets resulting from operations		19,830,908			(22,508,168	)
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(12,122,742	)
Class Y		-			(17,438	)
Class A		-			(33,024	)
Total distributions from net investment income		-			(12,173,204	)
From net realized gains:
Class S		-			(8,958,052	)
Class Y		-			(13,889	)
Class L		-			(1	)
Class A		-			(32,089	)
Total distributions from net realized gains		-			(9,004,031	)
Net fund share transactions (Note 5):
Class S		(8,380,674	)		13,442,220
Class Y		13,177,865			(667,435	)
Class L		24,761,521			(10,919,314	)
Class A		3,312,360			(295,188	)
Increase (decrease) in net assets from fund share transactions		32,871,072			1,560,283
Total increase (decrease) in net assets		52,701,980			(42,125,120	)
Net assets
Beginning of period		529,422,518			571,547,638
End of period	$	582,124,498		$	529,422,518
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	3,299,420		$	-
Distributions in excess of net investment income included in net assets at end of year	$	-		$	(1,597,982	)

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

22

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements (Continued)

Consolidated Financial Highlights (For a share outstanding throughout each period)

	Net asset value, beginning of the period			Income (loss) from investment operations												Less distributions to shareholders																						Ratios / Supplemental Data
				Net investment income (loss) ***				Net realized and unrealized gain (loss) on investments				Total income (loss) from investment operations				From net investment income				From net realized gains				Tax return of capital				Total distributions				Net asset value, end of the period			Total Return ^,^^			Net assets, end of the period (000’s)				Ratio of expenses to average daily net assets before expense waiver  ‡‡			Ratio of expenses to average daily net assets after expense waiver  ‡‡			Short sale dividend and loan expense to average daily net assets  ‡‡‡			Ratio of expenses to average daily net assets before expense waiver  ##		Ratio of expenses to average daily net assets after expense waiver ##			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12‡≈		$	9.93		$	0.09			$	0.27			$	0.36			$	-			$	-			$	-			$	-			$	10.29		3.63%	**		$	537,356			1.00%	*		0.86%	*#		N/A			N/A		N/A			1.80%	*		28%	**
12/31/11‡			10.79			0.19				(0.63	)			(0.44	)			(0.24	)			(0.18	)			-				(0.42	)			9.93		(4.07%	)			526,621			0.95%			0.86%	#		0.00%	††		0.95%		0.86%	#		1.77%			43%
12/31/10			9.90			0.16				0.83				0.99				(0.10	)			-				-				(0.10	)			10.79		10.03%				556,739			0.95%			0.86%	#		0.00%	††		0.95%		0.86%	#		1.54%			46%
12/31/09 +			10.00			0.01				(0.11	)			(0.10	)			-				-				(0.00	) †			(0.00	) †			9.90		(0.96%	) **			462,500			1.33%	*		0.86%	*#		N/A			N/A		N/A			0.84%	*		21%	**!
Class Y
06/30/12‡≈		$	9.93		$	0.19			$	0.17			$	0.36			$	-			$	-			$	-			$	-			$	10.29		3.63%	**		$	14,207			1.10%	*		0.96%	*#		N/A			N/A		N/A			3.81%	*		28%	**
12/31/11‡			10.78			0.18				(0.63	)			(0.45	)			(0.22	)			(0.18	)			-				(0.40	)			9.93		(4.15%	)			786			1.05%			0.96%	#		0.00%	††		1.05%		0.96%	#		1.63%			43%
12/31/10			9.90			0.16				0.82				0.98				(0.10	)			-				-				(0.10	)			10.78		9.93%				1,524			1.05%			0.96%	#		0.00%	††		1.05%		0.96%	#		1.52%			46%
12/31/09 +			10.00			0.00	†			(0.10	)			(0.10	)			-				-				(0.00	) †			(0.00	) †			9.90		(0.97%	) **			99			1.43%	*		0.96%	*#		N/A			N/A		N/A			0.49%	*		21%	**!
Class L
06/30/12‡≈		$	10.17		$	0.37			$	(0.02	)		$	0.35			$	-			$	-			$	-			$	-			$	10.52		3.44%	**		$	25,140			1.25%	*		1.11%	*#		N/A			N/A		N/A			7.29%	*		28%	**
12/31/11‡			10.79			0.16				(0.59	)			(0.43	)			(0.01	)			(0.18	)			-				(0.19	)			10.17		(3.91%	)			0	†††		1.17%			1.10%	#		0.00%	††		1.17%		1.10%	#		1.42%			43%
12/31/10			9.90			0.13				0.83				0.96				(0.07	)			-				-				(0.07	)			10.79		9.66%				10,852			1.20%			1.11%	#		0.00%	††		1.20%		1.11%	#		1.29%			46%
12/31/09 +			10.00			0.01				(0.11	)			(0.10	)			-				-				(0.00	) †			(0.00	) †			9.90		(0.98%	) **			9,702			1.58%	*		1.11%	*#		N/A			N/A		N/A			0.64%	*		21%	**!
Class A
06/30/12‡≈		$	9.91		$	0.08			$	0.25			$	0.33			$	-			$	-			$	-			$	-			$	10.24		3.33%	**		$	5,422			1.50%	*		1.36%	*#		N/A			N/A		N/A			1.53%	*		28%	**
12/31/11‡			10.77			0.13				(0.63	)			(0.50	)			(0.18	)			(0.18	)			-				(0.36	)			9.91		(4.53%	)			2,015			1.45%			1.36%	#		0.00%	††		1.45%		1.36%	#		1.24%			43%
12/31/10			9.90			0.11				0.84				0.95				(0.08	)			-				-				(0.08	)			10.77		9.46%				2,432			1.45%			1.36%	#		0.00%	††		1.45%		1.36%	#		1.10%			46%
12/31/09 +			10.00			0.00	†			(0.10	)			(0.10	)			-				-				-				-				9.90		(1.00%	) **			99			1.83%	*		1.36%	*#		N/A			N/A		N/A			0.08%	*		21%	**!

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

†† Amount is less than 0.005%.

††† Amount is less than $500.

+ For the period December 1, 2009 (commencement of operations) through December 31, 2009.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

## Includes short sale dividend and loan expense.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

! Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 3% including securities received from subscriptions in-kind.

‡ Consolidated.

‡‡ Excludes short sale dividend and loan expense.

‡‡‡ Short sale dividend and loan expense incurred as a result of entering into short sales is included in the Fund’s net expenses in the Statement of Operations.

≈ Unaudited.

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

23

Notes to Consolidated Financial Statements (Unaudited)

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The MassMutual Select BlackRock Global Allocation Fund (the “Fund”) is a series of the Trust.

The following table shows the classes available for the Fund, including the date each class commenced operations. Each share class represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Fund’s Prospectus.

Class S	Class Y		Class L		Class A		Class N
12/1/2009		12/1/2009		12/1/2009		12/1/2009		None*

* Class N shares were eliminated as of February 8, 2011.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by the Fund in the preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the consolidated financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates.

Basis of Consolidation

The accompanying consolidated financial statements for the Fund include the accounts of MassMutual Select Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related instruments consistent with the Fund’s investment objectives and policies as stated in its Prospectus and Statement of Additional Information. The Subsidiary allows the Fund to hold these commodity-related instruments and still satisfy regulated investment company tax requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions have been eliminated. As of June 30, 2012, the Fund’s net assets were approximately $582,124,498, of which approximately $12,715,067 or approximately 2.2%, represented the Fund’s ownership of the shares of the Subsidiary.

Investment Valuation

The net asset value of the Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities or derivatives listed on the exchange or the official closing price on the NASDAQ National Market 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 (other than short-term obligations) 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. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Fund’s

24

Notes to Consolidated Financial Statements (Unaudited) (Continued)

investment adviser determines more closely approximates current market value. 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, establish a benchmark yield, and develop an 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. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. Restricted securities are valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined by the Fund’s Valuation Committee¹ in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Fund’s Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Fund’s Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Fund may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Fund does not price its shares. As a result, the value of the Fund’s portfolio securities may change on days when the prices of the Fund’s shares are not calculated. The prices of the Fund’s shares will reflect any such changes when the prices of the Fund’s shares are next calculated, which is the next business day. The Fund may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Fund values its securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Fund’s investments may be priced based on fair values provided by a third-party fair valuation vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Fund calculates its net asset values, that exceeds a specific threshold established by the Fund’s Valuation Committee pursuant to procedures established by the Trustees, and under the general oversight of the Trustees. 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.

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

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Fund’s pricing procedures in general.

25

Notes to Consolidated Financial Statements (Unaudited) (Continued)

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Fund determines its net asset values.

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities held in non-public entities are categorized in Level 3.

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 Level 1, Level 2, or Level 3.

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.

26

Notes to Consolidated Financial Statements (Unaudited) (Continued)

The following is the aggregate value by input level, as of June 30, 2012, for the Fund’s investments:

Asset Valuation Inputs

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs			Total
Equities
Common Stock
Basic Materials	$	16,254,963	$	13,000,576	$	-	+	$	29,255,539
Communications		28,659,820		12,607,576		-			41,267,396
Consumer, Cyclical		8,790,476		15,801,368		469,299			25,061,143
Consumer, Non-cyclical		46,646,943		17,188,153		-			63,835,096
Diversified		-		3,095,242		-			3,095,242
Energy		38,710,209		8,555,528		-			47,265,737
Financial		25,764,489		16,613,372		-			42,377,861
Industrial		18,239,600		12,291,616		-			30,531,216
Technology		35,002,886		4,663,522		-			39,666,408
Utilities		6,984,372		6,432,761		-			13,417,133
Total Common Stock		225,053,758		110,249,714		469,299			335,772,771
Convertible Preferred Stock
Financial		211,484		-		-			211,484
Total Convertible Preferred Stock		211,484		-		-			211,484
Preferred Stock
Consumer, Cyclical		421,142		1,274,880		-			1,696,022
Consumer, Non-cyclical		-		889,978		-			889,978
Energy		-		543,097		-			543,097
Financial		3,105,215		512,347		-			3,617,562
Industrial		237,105		-		-			237,105
Utilities		813,531		439,674		-			1,253,205
Total Preferred Stock		4,576,993		3,659,976		-			8,236,969
Total Equities		229,842,235		113,909,690		469,299			344,221,224
Bonds & Notes
Total Bank Loans		-		1,580,327		-			1,580,327
Total Corporate Debt		-		28,310,875		4,015,550			32,326,425
Non-U.S. Government Agency Obligations
Commercial MBS		-		477,117		-			477,117
Total Non-U.S. Government Agency Obligations		-		477,117		-			477,117
Total Sovereign Debt Obligations		-		52,262,181		-			52,262,181
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		39,565,279		-			39,565,279
Total U.S. Treasury Obligations		-		39,565,279		-			39,565,279
Total Bonds & Notes		-		122,195,779		4,015,550			126,211,329
Total Mutual Funds		12,999,791		46,174		-			13,045,965

+ Represents security at $0 value as of June 30, 2012.

27

Notes to Consolidated Financial Statements (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
Purchased Options
Basic Materials	$	15,092	$	-		$	-	$	15,092
Consumer, Non-cyclical		-		54,257			-		54,257
Energy		138,065		-			-		138,065
Financial		824,263		1,006,270			-		1,830,533
Technology		10,304		-			-		10,304
Total Purchased Options		987,724		1,060,527			-		2,048,251
Structured Options (Over The Counter Traded)
Financial		-		(69,049	)		-		(69,049	)
Total Structured Options (Over The Counter Traded)		-		(69,049	)		-		(69,049	)
Warrants
Basic Materials		2,798		-			-		2,798
Consumer, Cyclical		50,143		-			-		50,143
Financial		-		-			22,366		22,366
Total Warrants		52,941		-			22,366		75,307
Total Long-Term Investments		243,882,691		237,143,121			4,507,215		485,533,027
Total Short-Term Investments		-		99,479,538			-		99,479,538
Total Investments	$	243,882,691	$	336,622,659		$	4,507,215	$	585,012,565

The following is the aggregate value by input level, as of June 30, 2012, for the Fund’s other financial instruments:

Asset Valuation Inputs

	Other Financial Instruments
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Forward Contracts
Foreign Exchange Risk	$	-	$	416,663	$	-	$	416,663
Futures Contracts
Equity Risk		52,406		-		-		52,406
Swap Agreements
Credit Risk		-		143,870		-		143,870
Equity Risk		-		96,317		-		96,317
Interest Rate Risk		-		9,796		-		9,796

28

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Liability Valuation Inputs

	Other Financial Instruments
	Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
Forward Contracts
Foreign Exchange Risk	$	-		$	(529,138	)	$	-	$	(529,138	)
Futures Contracts
Equity Risk		(56,225	)		-			-		(56,225	)
Written Options
Equity Risk		(1,230,547	)		(772,567	)		-		(2,003,114	)
Foreign Exchange Risk		-			(134,112	)		-		(134,112	)
Interest Rate Risk		-			(33	)		-		(33	)

The Fund had no transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended June 30, 2012. The Fund recognizes transfers between the Levels as of the beginning of the year.

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 12/31/11			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 6/30/2012		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 6/30/2012
Long-Term Investments
Equities
Common Stock
Consumer, Cyclical	$	-		$	-	$	-	$	(24,698	)	$	493,997	$	-		$	-		$	-		$	469,299	$	(24,698	)
Bonds & Notes
Bank Loans		1,088,175			-		-		-			-		-			-			(1,088,175	)**		-		-
Corporate Debt		2,364,695			-		-		(26,952	)		798,928		(13,483	)		892,362	**		-			4,015,550		(26,952	)
Warrants
Financial		-	***		-		-		22,366			-		-			-			-			22,366		22,366
Short-Term Investments		1,619,638			21,647		43,105		48,221			1,667,859		(3,400,470	)		-			-			-		-
	$	5,072,508		$	21,647	$	43,105	$	18,937		$	2,960,784	$	(3,413,953	)	$	892,362		$	(1,088,175	)	$	4,507,215	$	(29,284	)

* The Fund recognizes transfers between the Levels as of the beginning of the year.

** Transfers occurred between Level 3 and Level 2 as a result of changes in liquidity.

*** Represents security at $0 value as of December 31, 2011.

None of the unobservable inputs, individually or collectively, had a material impact on the Fund.

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Fund may not be able to close out a derivative transaction at a favorable time or price. The Fund held derivatives during the period ended June 30, 2012. The following

29

Notes to Consolidated Financial Statements (Unaudited) (Continued)

table shows how the Fund used these derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).

Type of Derivative and Objective for Use
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A
Directional Exposures to Currencies	A
Futures Contracts**
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Interest Rate Swaps***
Hedging/Risk Management	A
Duration Management	A
Substitution for Direct Investment	M
Total Return Swaps****
Hedging/Risk Management	M
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Market Access	M
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Substitution for Direct Investment	M
Options (Purchased)
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Directional Investment	A
Options (Written)
Hedging/Risk Management	A
Income	A
Directional Investment	A
Structured Options
Hedging/Risk Management	A
Directional Investment	A
Rights and Warrants
Hedging/Risk Management	M
Duration/Credit Quality Management	M
Directional Investment	A
Result of a Corporate Action	A

* Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable.

** Includes any options purchased or written on futures contracts, if applicable.

*** Includes any caps, floors, and collars, and related purchased or written options, if applicable.

**** Includes any index swaps, if applicable.

30

Notes to Consolidated Financial Statements (Unaudited) (Continued)

At June 30, 2012, and during the period then ended, the Fund had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Asset Derivatives
Forward Contracts*	$	-		$	-		$	416,663		$	-		$	416,663
Futures Contracts^^		-			52,406			-			-			52,406
Swap Agreements*		143,870			96,317			-			9,796			249,983
Purchased Options*		-			2,048,251			-			-			2,048,251
Warrants*		-			75,307			-			-			75,307
Total Value	$	143,870		$	2,272,281		$	416,663		$	9,796		$	2,842,610
Liability Derivatives
Forward Contracts^	$	-		$	-		$	(529,138	)	$	-		$	(529,138	)
Futures Contracts^^		-			(56,225	)		-			-			(56,225	)
Structured Options*		-			(69,049	)		-			-			(69,049	)
Written Options^		-			(2,003,114	)		(134,112	)		(33	)		(2,137,259	)
Total Value	$	-		$	(2,128,388	)	$	(663,250	)	$	(33	)	$	(2,791,671	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-		$	830,921		$	-		$	830,921
Futures Contracts		-			(981,055	)		-			-			(981,055	)
Swap Agreements		6,703			55,157			(323	)		136,786			198,323
Purchased Options		-			(1,354,537	)		(121,848	)		-			(1,476,385	)
Written Options		-			1,184,173			-			-			1,184,173
Rights		-			2			-			-			2
Total Realized Gain (Loss)	$	6,703		$	(1,096,260	)	$	708,750		$	136,786		$	(244,021	)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-		$	(384,249	)	$	-		$	(384,249	)
Futures Contracts		-			138,519			-			-			138,519
Swap Agreements		(51,325	)		85,224			(6,089	)		(24,125	)		3,685
Purchased Options		-			(600,469	)		-			-			(600,469	)
Structured Options		-			66,462			-			-			66,462
Written Options		-			82,763			97,342			2,590			182,695
Warrants		-			(39,114	)		-			-			(39,114	)
Total Change in Appreciation (Depreciation)	$	(51,325	)	$	(266,615	)	$	(292,996	)	$	(21,535	)	$	(632,471	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-		$	59,631,512		$	-		$	59,631,512
Futures Contracts		-			46			-			-			46
Swap Agreements	$	2,729,470		$	456,250		$	356,000		$	20,582,925		$	24,124,645
Purchased Options		-			266,542			4,703,500			218,417,000			223,387,042
Structured Options		-			4,163			-			-			4,163
Written Options		-			280,306			9,407,000			218,417,000			228,104,306
Rights		-			185,224			-			-			185,224
Warrants		-			274,170			-			-			274,170

* Consolidated Statement of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable.

31

Notes to Consolidated Financial Statements (Unaudited) (Continued)

^ Consolidated Statement of Assets and Liabilities location: Payables for: open forward foreign currency contracts or written options outstanding, as applicable.

^^ Cumulative appreciation (depreciation) on futures contracts is reported in “Futures Contracts” below. Only current day’s variation margin, if any, is reported within the Consolidated Statement of Assets and Liabilities.

# Consolidated Statement of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or foreign currency transactions, as applicable.

## Consolidated Statement of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable.

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased options, structured options, rights, and warrants, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the period ended June 30, 2012.

Further details regarding the derivatives and other investments held by the Fund during the period ended June 30, 2012, are discussed below.

Foreign Currency Exchange Transactions

The Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

Forward Foreign Currency Contracts and Foreign Currency Options. The Fund may use foreign currency exchange transactions for hedging purposes to protect against two principal risks. First, if the Fund has assets or liabilities denominated in foreign (non-U.S. dollar) currencies, the Fund is exposed to the risk that the values of those assets or liabilities in U.S. dollars may fall or rise due to changes in currency exchange rates. Second, if the Fund agrees, or expects, to receive or deliver an asset denominated in a foreign currency, it is exposed to currency exchange risk until the date of receipt or delivery. In order to reduce those risks, the Fund may enter into foreign currency forward contracts, which call for the Fund to purchase or sell a foreign currency at a time in the future at a price determined at the time the contract is entered into. Forward contracts are private contractual arrangements and the Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. The Fund may also buy options on currencies, in which event its loss should generally be limited to the amount of the premium paid and any transaction costs. If the Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a forward contract.

Whenever the Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If the Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that the Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Fund as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset.

32

Notes to Consolidated Financial Statements (Unaudited) (Continued)

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. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

Foreign Currency Swaps. The Fund may also enter into currency swaps, as an alternative to the transactions described above. Currency swaps involve the individually negotiated exchange by the Fund with another party of a series of payments in specified currencies in amounts determined pursuant to the terms of the swap agreement. See “Swap Agreements,” below, for a description of risks associated with swap transactions and the accounting treatment.

The Fund had the following open forward foreign currency contracts at June 30, 2012. The Fund’s current exposure to a counterparty is typically the unrealized appreciation on the contract.

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
BUYS
	Barclays Bank PLC		544,483	Brazilian Real		7/03/12	$	260,331	$	271,089	$	10,758
	Credit Suisse Securities LLC		1,504,753	Euro		7/19/12		1,890,055		1,904,504		14,449
	Credit Suisse Securities LLC		70,733,700	Japanese Yen		7/19/12		900,000		885,092		(14,908	)
	Credit Suisse Securities LLC		19,713,290	Mexican Peso		9/06/12		1,416,388		1,468,596		52,208
								4,206,443		4,258,192		51,749
	Deutsche Bank AG		64,990,400	Japanese Yen		7/13/12		823,633		813,157		(10,476	)
	HSBC Bank PLC		2,426,910	Singapore Dollar		7/13/12		1,884,247		1,915,851		31,604
	JP Morgan Chase Bank		1,731,000	Australian Dollar		11/15/12		1,689,543		1,750,722		61,179
	JP Morgan Chase Bank		745,986	Brazilian Real		7/03/12		357,290		371,414		14,124
	JP Morgan Chase Bank		875,112	Singapore Dollar		7/13/12		679,408		690,831		11,423
								2,726,241		2,812,967		86,726
	UBS AG		1,129,500	Brazilian Real		7/03/12		540,431		562,360		21,929
	UBS AG		105,664,000	Japanese Yen		7/19/12		1,344,103		1,322,176		(21,927	)
	UBS AG		13,350,070	Mexican Peso		10/18/12		953,113		990,749		37,636
								2,837,647		2,875,285		37,638
							$	12,738,542	$	12,946,541	$	207,999

33

Notes to Consolidated Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
SELLS
	Barclays Bank PLC		606,030	Australian Dollar		7/26/12	$	615,375	$	618,922	$	(3,547	)
	Barclays Bank PLC		544,483	Brazilian Real		7/03/12		269,586		271,089		(1,503	)
	Barclays Bank PLC		544,483	Brazilian Real		8/02/12		258,676		269,350		(10,674	)
	Barclays Bank PLC		1,444,188	Euro		7/20/12		1,832,196		1,827,864		4,332
								2,975,833		2,987,225		(11,392	)
	Credit Suisse Securities LLC		1,701,310	Euro		7/12/12		2,130,975		2,153,159		(22,184	)
	Credit Suisse Securities LLC		2,546,551	Euro		7/19/12		3,164,456		3,223,066		(58,610	)
	Credit Suisse Securities LLC		72,369,000	Japanese Yen		7/19/12		919,988		905,555		14,433
	Credit Suisse Securities LLC		19,713,290	Mexican Peso		9/06/12		1,472,790		1,468,597		4,193
								7,688,209		7,750,377		(62,168	)
	Deutsche Bank AG		1,336,193	Australian Dollar		8/03/12		1,341,537		1,363,584		(22,047	)
	Deutsche Bank AG		255,700	British Pound		7/20/12		395,491		400,448		(4,957	)
	Deutsche Bank AG		1,544,000	British Pound		7/26/12		2,431,800		2,418,000		13,800
	Deutsche Bank AG		1,751,610	Euro		7/12/12		2,186,535		2,216,819		(30,284	)
	Deutsche Bank AG		100,000,000	Japanese Yen		8/06/12		1,257,624		1,251,619		6,005
	Deutsche Bank AG		100,000,000	Japanese Yen		11/09/12		1,259,430		1,253,380		6,050
	Deutsche Bank AG		4,511,780	Mexican Peso		8/23/12		343,324		336,562		6,762
								9,215,741		9,240,412		(24,671	)
	Goldman Sachs & Co.		1,772,280	Australian Dollar		11/15/12		1,793,489		1,792,472		1,017
	Goldman Sachs & Co.		574,000	British Pound		7/20/12		888,822		898,933		(10,111	)
								2,682,311		2,691,405		(9,094	)
	JP Morgan Chase Bank		1,547,371	Australian Dollar		7/12/12		1,514,017		1,582,383		(68,366	)
	JP Morgan Chase Bank		1,731,000	Australian Dollar		11/15/12		1,691,706		1,750,722		(59,016	)
	JP Morgan Chase Bank		745,986	Brazilian Real		7/03/12		369,135		371,414		(2,279	)
	JP Morgan Chase Bank		829,500	British Pound		7/12/12		1,296,990		1,299,093		(2,103	)
	JP Morgan Chase Bank		879,550	British Pound		7/26/12		1,385,168		1,377,430		7,738
	JP Morgan Chase Bank		1,538,475	Euro		7/20/12		1,954,685		1,947,201		7,484
	JP Morgan Chase Bank		18,737,830	Mexican Peso		7/26/12		1,415,347		1,401,510		13,837
								9,627,048		9,729,753		(102,705	)
	UBS AG		663,483	Australian Dollar		7/12/12		648,886		678,495		(29,609	)
	UBS AG		2,714,739	Australian Dollar		8/02/12		2,721,797		2,770,652		(48,855	)
	UBS AG		1,129,500	Brazilian Real		7/03/12		558,053		562,360		(4,307	)
	UBS AG		1,129,500	Brazilian Real		8/02/12		537,001		558,752		(21,751	)
	UBS AG		1,173,796	Euro		7/26/12		1,476,557		1,485,708		(9,151	)
	UBS AG		1,051,494	Euro		8/02/12		1,314,704		1,330,980		(16,276	)
	UBS AG		13,350,070	Mexican Peso		10/18/12		1,011,384		990,749		20,635
								8,268,382		8,377,696		(109,314	)
							$	40,457,524	$	40,776,868	$	(319,344	)

34

Notes to Consolidated Financial Statements (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive	Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Cross Currency Forwards
	Credit Suisse Securities LLC		1,330,177	USD/Swiss Franc		8/03/12	$	1,383,799	$	1,402,430	$	18,631
			1,108,130	Euro/USD		8/03/12		1,383,799		1,402,681		(18,882	)
									$	2,805,111	$	(251	)
	UBS AG		790,824	USD/Swiss Franc		7/20/12	$	820,017	$	833,515	$	13,498
			659,020	Euro/USD		7/20/12		820,017		834,102		(14,085	)
									$	1,667,617	$	(587	)
	UBS AG		1,418,823	USD/Swiss Franc		8/03/12	$	1,472,954	$	1,495,892	$	22,938
			1,181,998	Euro/USD		8/03/12		1,472,954		1,496,184		(23,230	)
									$	2,992,076	$	(292	)

Futures Contracts

The Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. The Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. The Fund may use index futures 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. 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 may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When the Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

35

Notes to Consolidated Financial Statements (Unaudited) (Continued)

The Fund had the following open futures contracts at June 30, 2012:

Number of Contracts	Type	Expiration Date		Notional Contract Value			Net Unrealized Appreciation (Depreciation)
BUYS
11	MSCI Taiwan Index		7/30/12	$	278,740		$	9,606
4	Nikkei 225 Index		9/13/12		227,810			11,758
3	S&P TSE 60 Index		9/20/12		389,785			7,934
2	FTSE 100 Index		9/21/12		172,997			3,665
8	S&P 500 E Mini Index		9/21/12		542,560			19,443
							$	52,406
SELLS
20	DAX Index		9/21/12	$	(4,056,874	)	$	(56,225	)

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, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When the Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. The Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Total Return Swaps. The Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. The Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. The Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of the Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. The Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

Credit Default Swaps. The Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would

36

Notes to Consolidated Financial Statements (Unaudited) (Continued)

trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When the Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If the Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When the Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

Whenever the Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and the Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. The Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. The Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, the Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when the Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. The Fund may enter into swaptions for the same purposes as swaps. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, the Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Consolidated Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Consolidated Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded in the accompanying Consolidated Statement of Operations as realized gains and losses, respectively.

37

Notes to Consolidated Financial Statements (Unaudited) (Continued)

The Fund had the following open swap agreements at June 30, 2012. The Fund’s current exposure to a counterparty is typically the fair value of the agreement.

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate			Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid		Value
	Credit Default Swaps
$	1,357,877	USD		6/20/17	Deutche Bank AG	Buy		(5.000%	)	CDX.NA.HY.18	$	(26,511	)	$	98,446	$	71,935
	1,357,877	USD		6/20/17	JP Morgan Chase Bank	Buy		(5.000%	)	CDX.NA.HY.18		(24,814	)		96,749		71,935

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)		Premium Received (Paid)		Value
	Total Return Swaps
$	6,250	HKD		12/31/12	Citibank N.A.	Notional amount at expiration date × Strike Price	Gross dividends on HSCEI Point Index x notional amount	$	29,002	$	-	$	29,002
	160,000	JPY		3/31/14	Citibank N.A.	Notional amount at expiration date × Strike Price	Gross dividends on NIKKEI 225 Index x notional amount		67,315		-		67,315
									96,317		-		96,317
	Interest Rate Swaps
$	3,401,145	USD		6/22/16	Deutche Bank AG	3-Month USD- LIBOR-BBA	Fixed 1.294%	$	2,350	$	-	$	2,350
	3,376,259	USD		6/22/16	Deutche Bank AG	3-Month USD- LIBOR-BBA	Fixed 1.318%		3,113		-		3,113
									5,463		-		5,463
	8,521,146	USD		6/22/16	UBS AG	3-Month USD- LIBOR-BBA	Fixed 1.275%		4,333		-		4,333

HKD Hong Kong Dollar

JPY Japanese Yen

USD U.S. Dollar

Options, Rights, and Warrants

The Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. The Fund may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio of debt securities or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. The Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When the Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. The Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security the Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security the Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. The Fund may not be able to close out a call option that it has previously written.

38

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. The Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. The Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. The Fund may not be able to close out a put option that it has previously written.

Writing put and call options. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. The Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. The Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. The Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. The Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When the Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by the Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Structured Options. The Fund may purchase or sell “structured options,” which may comprise multiple option exposures within a single security. The risk and return characteristics of a structured option will vary depending on the nature of the underlying option exposures. The Fund may use such options for hedging purposes or as a substitute for direct investments in options or securities. The Fund’s use of structured options may create investment leverage. Premiums associated with structured options are treated as realized gains or losses, as applicable, upon the sale or expiration of the structured option.

Exchange Traded Options. Exchange traded options purchased or sold by the Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options.

OTC Options. OTC options purchased or sold by the Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between the Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result the Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

39

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Rights and Warrants. The Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When 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.

The Fund had the following open written option contracts at June 30, 2012. The Fund’s current exposure to a counterparty is typically the fair value of the contract.

Notional Amount		Expiration Date		Description	Premiums Received		Value
$	14,500		1/19/13	Activision Blizzard, Inc., Call, Strike 12.50	$	17,980	$	10,730
	42,200		1/19/13	Alcoa, Inc., Call, Strike 10.00		39,663		17,724
	3,200		1/19/13	Apple, Inc., Call, Strike 450.00		156,061		464,000
	42,200		1/19/13	ConocoPhillips, Put, Strike 55.00		106,524		59,080
	52,100		10/20/12	Consol Energy, Inc., Call, Strike 35.00		84,921		44,285
	52,100		10/20/12	Consol Energy, Inc., Put, Strike 24.00		84,142		48,453
	95		9/21/12	DAXKI Index, Call, Strike 7,828.10*		11,795		92
	9,200		1/19/13	Dell, Inc., Call, Strike 15.00		21,158		3,220
	7,900		1/19/13	EMC Corp., Call, Strike 25.00		19,287		19,671
	2,690,000		11/01/12	EUR Call USD, Put, Strike 1.37**		47,212		8,068
	4,027,000		6/03/13	EUR Call USD, Put, Strike 1.40***		68,093		55,039
	2,690,000		11/01/12	EUR Put USD, Call, Strike 1.17**		18,156		16,476
	4,027,000		6/03/13	EUR Put USD, Call, Strike 1.09***		97,993		54,529
	7,700		10/20/12	Goldcorp, Inc., Call, Strike 48.00		6,434		2,464
	7,700		10/20/12	Goldcorp, Inc., Put, Strike 36.00		17,578		18,634
	10,000		9/22/12	HCA Holdings, Inc., Call, Strike 30.00		14,384		26,000
	2,800		1/19/13	IBM Corp., Call, Strike 200.00		32,644		24,220
	22		11/16/12	IBOV, Put, Strike 46,466.95*		26,658		22,711
	24		12/12/12	IBOV, Put, Strike 46,392.06***		31,440		34,193
	24		12/12/12	IBOV, Call, Strike 64,667.72***		27,398		10,850
	22,400		7/21/12	Intel Corp., Put, Strike 25.00		24,885		4,480
	218,417,000		4/30/13	Japanese Yen LIBOR Rate BBA Swaption 10 Year, Put, Strike 3.15****		19,687		33
	4,000		1/18/13	Mattel, Inc., Call, Strike 33.00****		3,996		7,278
	4,500		1/19/13	Mattel, Inc., Call, Strike 35.00		5,495		4,725
	22,100		1/19/13	Mattel, Inc., Put, Strike 25.00		19,231		9,945
	15,227		1/18/13	Mead Johnson Nutrition, Call, Strike 100.00****		15,227		17,111
	15,227		1/17/14	Mead Johnson Nutrition, Put, Strike 60.00****		38,981		64,773
	599		7/20/12	Russell 2000 Index, Put, Strike 700.19*****		12,615		278
	815		8/17/12	Russell 2000 Index, Call, Strike 877.51*****		18,908		762

40

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Notional Amount		Expiration Date		Description	Premiums Received		Value
$	1,417		9/13/12	Russell 2000 Index, Put, Strike 700.00******	$	43,190	$	14,139
	1,417		9/13/12	Russell 2000 Index, Call, Strike 833.69******		50,431		21,801
	814		10/19/12	Russell 2000 Index, Put, Strike 730.12†		24,718		15,191
	814		10/19/12	Russell 2000 Index, Call, Strike 894.56†		22,557		4,231
	1,734		11/16/12	Russell 2000 Index, Put, Strike 676.65*****		52,297		26,358
	1,734		11/16/12	Russell 2000 Index, Call, Strike 851.80*****		36,206		33,365
	1,723		12/21/12	Russell 2000 Index, Put, Strike 681.19†		59,020		36,242
	1,723		12/21/12	Russell 2000 Index, Call, Strike 868.03†		38,229		33,620
	810		8/17/12	S&P 500 Index, Put, Strike 1,240.54†		33,186		2,654
	1,007		9/21/12	S&P 500 Index, Put, Strike 1,175.00******,††		39,273		8,660
	2,700		9/22/12	S&P 500 Index, Put, Strike 1,175.00		83,380		23,220
	2,700		12/22/12	S&P 500 Index, Put, Strike 1,200.00		133,231		80,460
	596		12/20/13	S&P 500 Index, Put, Strike 1,149.60†††		52,314		53,134
	1,258		9/21/12	S&P/ASX 200 Index, Put, Strike 1,137.81******		16,840		5,751
	7,600		7/21/12	Sandisk Corp., Call, Strike 40.00		11,423		3,040
	24,000		7/21/12	SPDR Gold Shares, Call, Strike 172.00		28,007		2,160
	10,400		8/18/12	SPDR Gold Shares, Call, Strike 175.00		12,706		3,016
	1,830		3/20/13	Taiwan Index, Put, Strike 7,557.82†††		47,030		57,099
	112		12/18/13	Taiwan Index, Put, Strike 6,524.53†††		82,574		81,516
	948		9/18/13	Taiwan Taiex Index, Put, Strike 7,176.38***		29,388		31,786
	74		12/18/13	Taiwan Taiex Index, Put, Strike 5,758.51†		38,850		30,347
	1,894		12/18/13	Taiwan Taiex Index, Put, Strike 7,180.59†		62,647		68,633
	1,845		6/19/13	Taiwan TWSE Index, Put, Strike 7,574.49***		56,974		63,191
	922		9/18/13	Taiwan TWSE Index, Put, Strike 6,957.96***		25,115		26,801
	7,600		10/20/12	Universal Health Services B, Call, Strike 45.00		8,890		17,100
	3,000		1/19/13	Valeant Pharmaceuticals, Inc., Call, Strike 50.00		19,859		11,100
	8,900		7/21/12	Vertex Pharmaceuticals, Inc., Call, Strike 35.00		29,990		176,220
	8,200		1/19/13	Vertex Pharmaceuticals, Inc., Call, Strike 40.00		37,564		145,960
	7,600		1/19/13	Whiting Petroleum Corp., Call, Strike 52.50		55,390		10,640
					$	2,319,825	$	2,137,259

EUR Euro

USD U.S. Dollar

* OTC traded option counterparty Goldman Sachs & Co.

** OTC traded option counterparty Deutsche Bank AG.

*** OTC traded option counterparty Credit Suisse Securities LLC.

**** OTC traded option counterparty Morgan Stanley & Co.

***** OTC traded option counterparty BNP Paribas.

****** OTC traded option counterparty Bank of America N.A.

† OTC traded option counterparty JP Morgan Chase Bank.

†† This option is valued in good faith under procedures established by the Board of Trustees.

††† OTC traded option counterparty Citibank N.A.

41

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Transactions in written option contracts during the period ended June 30, 2012, were as follows:

	Number of Contracts			Premiums Received
Options outstanding at December 31, 2011		218,833,893		$	2,402,153
Options written		13,676,586			3,480,975
Options terminated in closing purchase transactions		(349,402	)		(2,882,706	)
Options expired		(245,814	)		(584,820	)
Options exercised		(1,725	)		(95,777	)
Options outstanding at June 30, 2012		231,913,538		$	2,319,825

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions 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 when-issued, delayed-delivery, or forward commitment transactions, the Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although the Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, forward commitment, or TBA basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Fund records on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a when-issued, delayed-delivery, forward commitment, or TBA transaction is closed, the Fund records a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Bank Loans

The Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. The Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by the Fund. The Fund may also invest in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

42

Notes to Consolidated Financial Statements (Unaudited) (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.

At June 30, 2012, the Fund had no unfunded loan commitments.

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 is 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 gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Foreign Currency Translation

The books and records of the Fund are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Fund and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Fund , the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any one share class of the Fund are prorated among the Fund’s classes based on the relative net assets of each.

Foreign Securities

The Fund invests a significant amount of its assets in foreign securities. Foreign securities, including ADRs, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of the Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political and economic instability, and greater volatility in currency exchange rates.

Credit Risk

The Fund may invest a portion of its assets, directly or indirectly, in securities backed by mortgage loans, credit card receivables, and automotive loans. The values and related income of these securities are sensitive to changes in economic conditions, including

43

Notes to Consolidated Financial Statements (Unaudited) (Continued)

delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on such securities have resulted in increased volatility of market price and periods of decreased market activity that have adversely impacted the valuation and liquidity of such securities.

Federal Income Tax

It is the Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Fund would not be subject to federal income taxes on its ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to its shareholders. Therefore, the Fund has not made any provision for federal income tax.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of the Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Management Fee and Other Transactions

Investment Management Fee

Under an agreement between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of the Fund, MassMutual is responsible for providing investment management services for the Fund. In return for these services, MassMutual receives an advisory fee, based upon the Fund’s average daily net assets, at the annual rate of 0.80% on the first $750 million; and 0.75% on any excess over $750 million. Prior to June 1, 2012, the advisory fee was 0.80%.

MassMutual has also entered into an investment subadvisory agreement with the unaffiliated investment subadviser, BlackRock Investment Management, LLC (“BlackRock”). MassMutual pays a subadvisory fee to this subadviser based upon the average daily net assets of the Fund.

The Fund’s subadvisory fee is paid by MassMutual out of the management fee previously disclosed above.

BlackRock provides investment management services to the Subsidiary pursuant to an investment advisory agreement. The Subsidiary pays an advisory fee to BlackRock based upon the Subsidiary’s average daily net assets. The rate of this fee is equal to the subadvisory fee rate that MassMutual pays BlackRock in respect of the Fund. The amount of the fee payable by MassMutual to BlackRock in respect of the Fund for any period is reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock for that period. Under the Fund’s investment management agreement, the amount of the advisory fee payable by the Fund to MassMutual in respect of any period is also reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock in respect of that period. The amount of the reduction to the Fund’s advisory fee is reflected as a reduction of expenses on the Consolidated Statement of Operations.

44

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Administration Fees

Under a separate administrative and shareholder services agreement between the Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Fund, at the following annual rates:

	Class S		Class Y		Class L		Class A
BlackRock Global Allocation Fund		0.0500%		0.1500%		0.3000%		0.3000%

The Subsidiary also pays certain other expenses, including administrative, accounting services, custodian, and transfer agent fees. In respect of certain (but not all) of these fees, the Fund has entered into offsetting arrangements with its service providers which result in a reduction of the Fund’s asset-based expenses with respect to those assets held by the Subsidiary. Certain of these reductions are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to the Fund. Pursuant to a 12b-1 Plan adopted by the Fund, Class A shares of the Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A shareholders of the Fund and/or maintenance of Class A shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. In addition, OppenheimerFunds Distributor, Inc. (the “Sub-Distributor”) acts as a sub-distributor to the Fund. The Sub-Distributor is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Fund (other than extraordinary litigation and legal expenses, interest expense, short sale dividend and loan expense, Acquired Fund fees and expenses^#, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Fund, as follows:

	Class S		Class Y		Class L		Class A
BlackRock Global Allocation Fund*		0.86%		0.96%		1.11%		1.36%

# Acquired Fund fees and expenses are expenses borne indirectly by the Fund through investments in other pooled investment vehicles.

* Expense caps in effect through March 31, 2013. Interest expense was not excluded from the caps prior to April 2, 2012.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Rebated Brokerage Commissions

The Fund has entered into agreements with certain brokers whereby the brokers will rebate to the Fund, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Fund and are included with realized gain or loss on investment transactions presented in the Consolidated Statement of Operations. For the period ended June 30, 2012, there were no brokerage commissions rebated under these agreements.

Deferred Compensation

Trustees of the Fund who are not employees of MassMutual or its subsidiaries 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

45

Notes to Consolidated Financial Statements (Unaudited) (Continued)

shall be recorded on the Fund’s books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Consolidated Statement of Assets and Liabilities.

Other

Certain officers and trustees of the Fund are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Fund.

The beneficial ownership of Fund’s shares by affiliated parties at June 30, 2012 was 10.6%.

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended June 30, 2012, 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
$	16,880,491	$	119,106,636	$	20,994,020	$	121,144,352

5. Capital Share Transactions

Changes in shares outstanding for the Fund were as follows:

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
Class S
Sold		1,776,252		$	18,357,672			4,347,422		$	46,421,849
Issued as reinvestment of dividends		-			-			2,127,849			20,785,505
Redeemed		(2,562,984	)		(26,738,346	)		(5,043,777	)		(53,765,134	)
Net increase (decrease)		(786,732	)	$	(8,380,674	)		1,431,494		$	13,442,220
Class Y
Sold		1,305,374		$	13,212,169			13,804		$	148,101
Issued as reinvestment of dividends		-			-			3,207			31,327
Redeemed		(3,328	)		(34,304	)		(79,150	)		(846,863	)
Net increase (decrease)		1,302,046		$	13,177,865			(62,139	)	$	(667,435	)
Class L
Sold		2,421,195		$	25,087,346			101,245		$	1,118,839
Issued as reinvestment of dividends		-			-			0	+		1
Redeemed		(31,215	)		(325,825	)		(1,107,147	)		(12,038,154	)
Net increase (decrease)		2,389,980		$	24,761,521			(1,005,902	)	$	(10,919,314	)
Class A
Sold		369,899		$	3,762,409			125,077		$	1,327,430
Issued as reinvestment of dividends		-			-			6,679			65,113
Redeemed		(43,808	)		(450,049	)		(154,399	)		(1,687,731	)
Net increase (decrease)		326,091		$	3,312,360			(22,643	)	$	(295,188	)

+ Amount rounds to less than 0.5 share.

46

Notes to Consolidated Financial Statements (Unaudited) (Continued)

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the period ended June 30, 2012, no material amounts have been retained by the Distributor.

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the period ended June 30, 2012, were waived for any redemptions or exchanges subject to such a charge. There were no contingent deferred sales charges imposed during the period ended June 30, 2012.

6. Federal Income Tax Information

At June 30, 2012, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund , as computed on a federal income tax basis, were as follows:

Federal Income Tax Cost	Tax Basis Unrealized Appreciation	Tax Basis Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
$568,585,818	$49,405,090	$(32,978,343)	$16,426,747

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At December 31, 2011, for federal income tax purposes, there were no unused capital losses.

The Fund elected to defer to the fiscal year beginning January 1, 2012, late year ordinary losses in the amount of $549,241.

The Fund elected to defer to the fiscal year beginning January 1, 2012, post-October capital losses in the amount of $491,318.

Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the consolidated financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2011, was as follows:

Ordinary Income	Long Term Capital Gain	Return of Capital
$14,216,256	$6,960,979	$        -

Capital accounts within consolidated financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2011, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

47

Notes to Consolidated Financial Statements (Unaudited) (Continued)

At December 31, 2011, 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)
$        -	$1,490,584	$(1,137,789)	$(3,783,042)

The Fund did not have any unrecognized tax benefits at June 30, 2012, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Consolidated Statement of Operations. During the period ended June 30, 2012, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed to date. Foreign taxes are provided for based on the Fund’s understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Indemnifications

Under the Fund’s organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Fund , and shareholders are indemnified against personal liability for obligations of the Fund . In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund . The risk of material loss from such claims is considered remote.

48

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that the Fund’s investment adviser and subadviser 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 Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.

Quarterly Reporting

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2012, 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, MassMutual, or the subadviser (the “Independent Trustees”), re-approved the existing advisory and subadvisory agreement (collectively, the “Contracts”) for the Fund. In preparation for the meetings, the Trustees requested, and MassMutual and the subadviser provided in advance, certain materials relevant to the consideration of the Contracts (the “Meeting Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

The Committee received in advance of the meetings (i) a memorandum from MassMutual discussing the nature and quality of the services it provides as investment manager to the Fund; (ii) a profitability analysis prepared by MassMutual; and (iii) a fee and performance study report (the “Third-Party Report”) with respect to the Fund prepared by an independent third-party vendor (the “Third-Party”). The Third Party Report provided detailed comparative management fee, total expense, and performance information for the Fund to assist the Committee in its evaluation of the Contracts. The Committee also considered information presented to it throughout the year regarding MassMutual and the subadviser.

The Committee considered the nature, scope, and quality of services MassMutual provides to the Fund, including: (i) the financial condition, stability, and business strategy of MassMutual; (ii) the capabilities of MassMutual with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Fund; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Fund; and (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the Fund and the needs of the Fund for administrative and shareholder services.

The Committee then reviewed and considered the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over the one-year period against peer funds and a benchmark index). In connection with the Committee’s review, MassMutual provided commentary and analysis regarding the Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year: (i) detailed information regarding MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Fund; and (ii) a wide range of information about the subadviser and its personnel with responsibility for providing services to the Fund and the fee payable to the subadviser by MassMutual. MassMutual reviewed with the Committee in detail the work MassMutual does in its oversight, administrative, and shareholder servicing roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to providing those services. Throughout the discussion, MassMutual responded to Committee members’ questions and provided additional information concerning the Fund.

49

Other Information (Unaudited) (Continued)

The Committee reviewed the expense and performance information for the Fund. (References to the one-year period below are to the period ended December 31, 2011. The comparative expense information is that of the Fund’s “peer group” and the comparative performance information is that of the Fund’s “performance category.”)

The Committee considered that expense information showed the Fund to be in the second quartile of its peer group (favorable), but that the Fund had performance information for only one year, which the Committee considered generally to be too short a period to warrant evaluation. The Committee considered MassMutual’s statements that the Fund had experienced only modest results for its first year (58^th percentile) as a result principally of individual stock selection and underweights to long-dated U.S. Treasury securities and the U.S. dollar, but that MassMutual was confident in the subadviser’s ability to manage the Fund successfully over the long term.

The Committee considered, in addition to the other factors noted above, the fact that MassMutual was proposing a revised advisory fee schedule reflecting new breakpoints for the Fund.

In conjunction with its review of the Third-Party Report, the Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MassMutual’s advisory relationship with the Fund, including: (i) a description of the revenue (including management fee and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for the Fund. The discussions included consideration of the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the Fund and the so-called “fallout benefits” to MassMutual, such as any reputational value derived from serving as investment adviser to the Fund, and benefits accruing to the subadviser due to so-called “soft-dollar arrangements.”

Prior to the votes being taken to approve the Contracts, the Committee met separately in executive session to discuss the appropriateness of such contracts. The Committee weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Committee did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

The Committee concluded that: (i) overall, it was satisfied with the nature, extent, and quality of services provided, and expected to be provided in the future, under the Contracts, including the level of MassMutual’s oversight of the Fund and the subadvisory process; (ii) MassMutual’s level of profitability from its relationship with the Fund was not excessive and the advisory fee payable under the Contract and the Fund’s total net expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of the subadviser generally appear well suited to the Fund, given its investment objective and policies; (iv) the relative performance of the Fund (taking into account the applicable investment strategy and risk profile of the Fund) is sufficient to warrant continuation of the Contracts for the Fund; and (v) the terms of the Contracts were fair and reasonable with respect to the Fund and were in the best interests of the Fund’s shareholders.

The Committee also considered the information presented and discussed regarding the existing advisory agreement for the Subsidiary.

50

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2012

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2012:

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended June 30, 2012.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Class S	$	1,000		0.86	%	$	1,036.30	$	4.33	$	1,020.50	$	4.30
Class Y		1,000		0.96	%		1,036.30		4.83		1,020.00		4.80
Class L		1,000		1.11	%		1,034.40		5.58		1,019.20		5.54
Class A		1,000		1.36	%		1,033.30		6.84		1,018.00		6.79

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2012, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

51

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

August 29, 2012

^©2012 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. L4543    0812 C:05477-04

Table of Contents

President’s Letter to Shareholders	1
Portfolio Summaries	3
Portfolio of Investments
MassMutual RetireSMARTSM Conservative Fund	7
MassMutual RetireSMARTSM Moderate Fund	8
MassMutual RetireSMARTSM Moderate Growth Fund	9
MassMutual RetireSMARTSM Growth Fund	10
MassMutual RetireSMARTSM In Retirement Fund	11
MassMutual RetireSMARTSM 2010 Fund	12
MassMutual RetireSMARTSM 2015 Fund	13
MassMutual RetireSMARTSM 2020 Fund	14
MassMutual RetireSMARTSM 2025 Fund	15
MassMutual RetireSMARTSM 2030 Fund	16
MassMutual RetireSMARTSM 2035 Fund	17
MassMutual RetireSMARTSM 2040 Fund	18
MassMutual RetireSMARTSM 2045 Fund	19
MassMutual RetireSMARTSM 2050 Fund	20
Statements of Assets and Liabilities	22
Statements of Operations	30
Statements of Changes in Net Assets	34
Financial Highlights	42
Notes to Financial Statements	56
Other Information
Proxy Voting	82
Quarterly Reporting	82
Trustees’ Approval of Investment Advisory Contracts	82
Fund Expenses	85

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

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders

To Our Shareholders

Eric Wietsma

“The first six months of 2012 remind us that it is impossible to predict what the financial markets will do, particularly over short periods of time. Our longstanding belief is that investors should avoid being swayed by the latest news out of Wall Street (or even Europe). Knowing that unexpected events affect the markets all the time, it is critical to plan ahead and maintain an investment strategy that relies on solid investment fundamentals. If you work with one, your financial professional can likely provide invaluable assistance in this effort.”

June 30, 2012

Welcome to the Semiannual Report for the RetireSMART^SM Series of the MassMutual Select Funds covering the six months ended June 30, 2012. Investors continued to navigate numerous economic and geo-political challenges and drove major U.S. and international stock indexes higher during the period, with U.S. stocks leading the way. On the U.S. economic front, the unemployment level remained in a tight range of between 8.1% and 8.3%, with some storm clouds on the horizon in the form of increased jobless claims in June 2012 – and the creation of fewer-than-projected new jobs during the period. Conversely, the housing market showed some signs of recovery, including a 5.9% increase in pending sales of existing homes throughout the country in June that largely reversed the 5.5% dip that occurred in May. The price of crude oil rose to a peak of nearly $110 per barrel in late February, dropped 29% to slightly more than $78 in mid-June, and rebounded somewhat by the end of the quarter to about $85. Oil’s overall decline during the period undermined the performance of energy stocks, but provided consumers with some relief in the form of lower prices at the gas pump. The price of gold rose in January and February before reversing course to finish essentially flat for the six-month period.

For the first half of 2012, the technology-heavy NASDAQ Composite^® Index returned 13.30%, the large-cap stock S&P 500^® Index advanced 9.48%, the small-cap stock Russell 2000^® Index gained 8.53%, and the blue-chip stock Dow Jones Industrial Average^SM (the “Dow”) rose 6.82%. Foreign stocks from both developed and emerging markets trailed their U.S. counterparts significantly, as indicated by the MSCI^® EAFE^® Index’s return of 2.96%, representing foreign developed markets, and the 3.94% advance of the MSCI Emerging Markets Index. U.S. fixed-income investments advanced modestly, with the Barclays U.S. Aggregate Bond Index returning 2.37%.*

Key events that defined the period

The year started off with a significant rally that lifted stocks here and abroad, as share prices ground out steady gains punctuated by brief and shallow corrections during the first quarter of 2012. Evidence of an improving U.S. economy and investors who were mainly undaunted by Europe’s ongoing sovereign debt crisis were the primary factors driving the market’s gains through March. As the period progressed, data pointing to an economic slowdown in the U.S. and increasing investor concerns over Europe were primarily responsible for the volatility that characterized much of the second quarter, particularly April and May.

In January 2012, Standard & Poor’s downgraded the government debt of France, Spain, Italy, and Austria on concerns over high debt levels and the countries’ significant need to refinance in 2013. In February, the European Union downgraded its growth outlook for the region’s economies, raising new questions about the virtues of austerity plans and setting the stage for renegotiation of the budget-deficit targets for some member states. Continued improvements in U.S. economic data drove a higher level of confidence among investors for a firmer economic recovery. Encouraging economic data during February included a solid decline in claims for unemployment benefits. In March, Greece successfully passed a sovereign debt restructuring that cut its debt by approximately $140 billion. That same month, Chinese Premier Wen Jiabao cut that country’s 2012 target growth rate to 7.5%. Here at home, the economy strengthened, personal spending increased, and incomes also grew modestly.

* Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment.

(Continued)

1

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders (Continued)

April began with the release of the minutes from the Federal Open Market Committee’s (“FOMC”) most recent meeting at which the Federal Reserve (the “Fed”) made no changes to key interest rates, but kept “Operation Twist” in place. Under Operation Twist, the Fed has been selling shorter-term U.S. Treasury securities and using the proceeds to buy those with longer terms in an effort to lower long-term interest rates. The FOMC minutes stated that economic conditions were “expected to warrant an exceptionally low federal funds rate through late 2014.” In June, the Fed announced that Operation Twist would continue through the end of 2012.

News from Europe and China was mixed in April and enough to trigger volatility in equity markets here and abroad. Prices on Spanish and Italian debt fell after rallying earlier in the year. In May, economic reports pointed to the potential for a slowdown in U.S. economic growth, and concerns over the European economy and the fate of the euro zone dominated the markets. Signals from Europe indicated deeper economic weakness and concern over Greece’s potential exit from the euro as its national currency. Germany reported larger-than-expected gains in factory orders and a surprise gain in industrial output, and China reported slower export growth and the country’s lowest industrial production growth since 2009. In June, the positive reaction to the election of a pro-austerity government in Greece was overshadowed by news that the yield of Spanish 10-year bonds hit an all-time high of more than 7%, driving Spain’s borrowing costs to potentially unsustainable levels.

On June 28, three months after conducting hearings on the subject, the U.S. Supreme Court revealed that it had voted five to four to uphold the Affordable Care Act, the health care law signed by President Obama in 2010. The ruling left the law essentially intact, with most mandates taking effect in 2014.

The second quarter, which seemed to contain an especially busy news cycle of both positive and negative developments, ended with some good news for investors when Germany’s finance minister signaled the country’s potential willingness to take action sooner than expected to support short-term measures that would offer the euro zone additional bailout funds. Additionally, strong earnings announcements helped support stock prices in the U.S., and companies with noteworthy names from across numerous industries reported solid results.

Keeping it in perspective

The first six months of 2012 remind us that it is impossible to predict what the financial markets will do, particularly over short periods of time. Our longstanding belief is that investors should avoid being swayed by the latest news out of Wall Street (or even Europe). Knowing that unexpected events affect the markets all the time, it is critical to plan ahead and maintain an investment strategy that relies on solid investment fundamentals. If you work with one, your financial professional can likely provide invaluable assistance in this effort.

Thank you for your continued confidence in MassMutual. We continue to work diligently to help you take the steps you need to take to prepare for a more secure financial future, despite what may be occurring in the financial markets – or the world.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 7/1/12 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Summaries

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (risk-based) Series, and who is the Series’ investment adviser?

The MassMutual RetireSMART (risk-based) Series (“the Series”) comprises four Funds – each of which has a “fund of funds” structure. The four Funds are RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, and RetireSMART Growth Fund. All Funds in the Series seek to achieve as high a total rate of return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital.

Each Fund seeks to achieve its investment objective by investing in a combination of domestic and international mutual funds sponsored by MassMutual or its affiliates (“Underlying Funds”) using an asset allocation strategy. Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and OppenheimerFunds, which are advised by OppenheimerFunds, Inc. (OFI), a majority owned, indirect subsidiary of MassMutual. 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 directly or indirectly in one or more commodities or commodities-related investments or may themselves invest using an asset allocation strategy among equity, fixed income, money market, commodity, and other investments. The Series’ investment adviser is MassMutual.

Each Fund’s assets are allocated among its Underlying Funds according to an asset allocation strategy, as follows:

• RetireSMART Conservative Fund: Assets are allocated among Underlying Funds using a conservative asset allocation strategy (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 30% of its assets invested in equity and similar funds and approximately 70% invested in fixed income funds, including money market funds.

• RetireSMART Moderate Fund: Assets are allocated among Underlying Funds using a moderate asset allocation strategy (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 60% of its assets invested in equity and similar funds and approximately 40% invested in fixed income funds, including money market funds.

• RetireSMART Moderate Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for moderate growth (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 85% of its assets invested in equity and similar funds and approximately 15% invested in fixed income funds, including money market funds.

• RetireSMART Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for growth (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 97% of its assets invested in equity and similar funds and approximately 3% invested in fixed income funds, including money market funds.

MassMutual RetireSMART Conservative Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Fixed Income Funds	67.6	%
Equity Funds	32.5	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	61.3	%
Fixed Income Funds	38.8	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Growth Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	84.9	%
Fixed Income Funds	15.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Growth Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	97.0	%
Fixed Income Funds	3.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

3

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Continued)

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (target-date) Series, and who is the Series’ investment adviser?

The MassMutual RetireSMART (target-date) Series comprises 10 Funds – each of which has a “fund of funds” structure. The 10 Funds are RetireSMART In Retirement Fund, RetireSMART 2010 Fund, RetireSMART 2015 Fund, RetireSMART 2020 Fund, RetireSMART 2025 Fund, RetireSMART 2030 Fund, RetireSMART 2035 Fund, RetireSMART 2040 Fund, RetireSMART 2045 Fund, and RetireSMART 2050 Fund. RetireSMART In Retirement Fund seeks to achieve high current income and, as a secondary objective, capital appreciation. All other Funds in the Series seek to achieve as high a total rate of return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital.

Each Fund invests in a combination of domestic and international mutual funds sponsored by MassMutual or its affiliates (“Underlying Funds”) using an asset allocation strategy designed for investors expecting to retire around the year specified in the Fund name and likely stop making new investments in the Fund (or designed for investors already in retirement for the In Retirement Fund). Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and OppenheimerFunds, which are advised by OppenheimerFunds, Inc. (OFI), a majority owned, indirect subsidiary of MassMutual. The Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments, as well as commodities or commodities-related investments. The Series’ investment adviser is MassMutual.

Each Fund’s assets are allocated among its Underlying Funds according to an asset allocation strategy, as follows:

• RetireSMART In Retirement Fund: Assets are allocated among Underlying Funds according to a target asset allocation strategy that emphasizes fixed income and money market funds, but also includes a smaller allocation to equity and certain other funds.

• RetireSMART 2010/2015/2020/2025/2030/2035/2040/2045/2050 Funds: For each Fund, assets are allocated among Underlying Funds according to an asset allocation strategy that becomes increasingly conservative until it reaches approximately 35% in equity funds and similar funds and 65% in fixed income funds, including money market funds, approximately fifteen years after the target retirement date.

MassMutual RetireSMART In Retirement Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Fixed Income Funds	64.1	%
Equity Funds	36.0	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2010 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Fixed Income Funds	51.0	%
Equity Funds	49.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

4

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Continued)

MassMutual RetireSMART 2015 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	60.6	%
Fixed Income Funds	39.8	%
Total Long-Term Investments	100.4	%
Other Assets & Liabilities	(0.4	)%
Net Assets	100.0	%

MassMutual RetireSMART 2020 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	71.3	%
Fixed Income Funds	28.8	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2025 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	80.5	%
Fixed Income Funds	19.9	%
Total Long-Term Investments	100.4	%
Other Assets & Liabilities	(0.4	)%
Net Assets	100.0	%

MassMutual RetireSMART 2030 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	84.8	%
Fixed Income Funds	15.3	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2035 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	88.6	%
Fixed Income Funds	11.9	%
Total Long-Term Investments	100.5	%
Other Assets & Liabilities	(0.5	)%
Net Assets	100.0	%

MassMutual RetireSMART 2040 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	89.8	%
Fixed Income Funds	10.3	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

5

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Summaries (Continued)

MassMutual RetireSMART 2045 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	96.2	%
Fixed Income Funds	4.6	%
Total Long-Term Investments	100.8	%
Other Assets & Liabilities	(0.8	)%
Net Assets	100.0	%

MassMutual RetireSMART 2050 Fund Asset Allocation (% of Net Assets) on 6/30/12 (Unaudited)
Equity Funds	95.5	%
Fixed Income Funds	4.6	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

6

MassMutual RetireSMART Conservative Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		5,624,150	$	65,352,628
MassMutual Premier Disciplined Growth Fund, Class S (a)		686,996		7,254,679
MassMutual Premier Disciplined Value Fund, Class S (a)		703,721		7,452,400
MassMutual Premier Focused International Fund, Class Z (a)		118,007		1,273,301
MassMutual Premier High Yield Fund, Class Z (a)		785,507		7,313,074
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,588,153		18,978,427
MassMutual Premier International Bond Fund, Class S (a)		589,345		5,999,531
MassMutual Premier International Equity Fund, Class S (a)		210,694		2,578,894
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		68,919		784,987
MassMutual Premier Money Market Fund, Class S (a)		1,096,750		1,096,750
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		4,354,751		46,378,097
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		422,931		4,757,977
MassMutual Premier Value Fund, Class S (a)		3,204		45,653
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		129,702		1,334,630
MassMutual Select Blue Chip Growth Fund, Class S (a)		146,458		1,776,530
MassMutual Select Diversified International Fund, Class S (a)		456,147		2,691,267
MassMutual Select Diversified Value Fund, Class S (a)		373,433		3,611,095
MassMutual Select Focused Value Fund, Class Z (a)		270,939		4,969,021
MassMutual Select Fundamental Growth Fund, Class S (a)		328,045		2,125,728
MassMutual Select Fundamental Value Fund, Class Z (a)		322,510		3,502,454
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		164,871		1,375,023
MassMutual Select Large Cap Value Fund, Class S (a)		43,767		470,499
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		202,778		3,136,981
MassMutual Select Mid-Cap Value Fund, Class S (a)		347,324		3,605,219

	Number of Shares		Value
MassMutual Select Overseas Fund, Class Z (a)		934,678	$	6,178,223
MassMutual Select PIMCO Total Return Fund, Class Z (a)		504,313		5,290,244
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		124,885		1,919,480
MassMutual Select Small Cap Value Equity Fund, Class S (a)		218,678		2,118,993
MassMutual Select Small Company Growth Fund, Class S (a) (b)		96,958		1,004,485
MassMutual Select Small Company Value Fund, Class Z (a)		106,378		1,432,909
MassMutual Select Strategic Bond Fund, Class S (a)		1,061,088		10,961,040
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		1,416,269		4,347,946
Oppenheimer Developing Markets Fund, Class Y (a)		98,743		3,094,592
Oppenheimer Real Estate Fund, Class Y (a)		205,627		4,678,018
				238,890,775
TOTAL MUTUAL FUNDS (Cost $237,629,811)				238,890,775
TOTAL LONG-TERM INVESTMENTS (Cost $237,629,811)				238,890,775
TOTAL INVESTMENTS — 100.1% (Cost $237,629,811) (c)				238,890,775
Other Assets/(Liabilities) — (0.1)%				(167,819	)
NET ASSETS — 100.0%			$	238,722,956

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

7

MassMutual RetireSMART Moderate Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		8,709,223	$	101,201,166
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,755,069		29,093,532
MassMutual Premier Disciplined Value Fund, Class S (a)		2,455,329		26,001,935
MassMutual Premier Focused International Fund, Class Z (a)		474,957		5,124,785
MassMutual Premier High Yield Fund, Class Z (a)		1,306,196		12,160,687
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,579,082		18,870,030
MassMutual Premier International Bond Fund, Class S (a)		626,896		6,381,800
MassMutual Premier International Equity Fund, Class S (a)		906,803		11,099,269
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		854,713		9,735,181
MassMutual Premier Money Market Fund, Class S (a)		798,863		798,863
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		2,994,905		31,895,741
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,286,063		14,468,211
MassMutual Premier Value Fund, Class S (a)		9,263		131,992
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		510,742		5,255,539
MassMutual Select Blue Chip Growth Fund, Class S (a)		778,775		9,446,545
MassMutual Select Diversified International Fund, Class S (a)		1,466,722		8,653,659
MassMutual Select Diversified Value Fund, Class S (a)		1,250,733		12,094,587
MassMutual Select Focused Value Fund, Class Z (a)		587,295		10,770,992
MassMutual Select Fundamental Growth Fund, Class S (a)		924,408		5,990,162
MassMutual Select Fundamental Value Fund, Class Z (a)		1,464,913		15,908,957
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,117,779		9,322,277
MassMutual Select Large Cap Value Fund, Class S (a)		268,073		2,881,784
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		1,113,179		17,220,878

	Number of Shares		Value
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,676,133	$	17,398,259
MassMutual Select Overseas Fund, Class Z (a)		5,023,374		33,204,501
MassMutual Select PIMCO Total Return Fund, Class Z (a)		596,342		6,255,630
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		250,527		3,850,605
MassMutual Select Small Cap Value Equity Fund, Class S (a)		891,796		8,641,505
MassMutual Select Small Company Growth Fund, Class S (a) (b)		313,483		3,247,680
MassMutual Select Small Company Value Fund, Class Z (a)		95,267		1,283,247
MassMutual Select Strategic Bond Fund, Class S (a)		1,005,788		10,389,793
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		4,593,952		14,103,433
Oppenheimer Developing Markets Fund, Class Y (a)		198,366		6,216,794
Oppenheimer Real Estate Fund, Class Y (a)		694,026		15,789,087
				484,889,106
TOTAL MUTUAL FUNDS (Cost $485,424,598)				484,889,106
TOTAL LONG-TERM INVESTMENTS (Cost $485,424,598)				484,889,106
TOTAL INVESTMENTS — 100.1% (Cost $485,424,598) (c)				484,889,106
Other Assets/(Liabilities) — (0.1)%				(335,973	)
NET ASSETS — 100.0%			$	484,553,133

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

8

MassMutual RetireSMART Moderate Growth Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		2,528,904	$	29,385,859
MassMutual Premier Disciplined Growth Fund, Class S (a)		3,026,918		31,964,253
MassMutual Premier Disciplined Value Fund, Class S (a)		2,515,375		26,637,817
MassMutual Premier Focused International Fund, Class Z (a)		427,710		4,614,988
MassMutual Premier High Yield Fund, Class Z (a)		544,099		5,065,560
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		271,632		3,245,997
MassMutual Premier International Bond Fund, Class S (a)		322,660		3,284,677
MassMutual Premier International Equity Fund, Class S (a)		910,439		11,143,769
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		834,372		9,503,492
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		581,355		6,191,430
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,153,643		12,978,481
MassMutual Premier Value Fund, Class S (a)		11,942		170,172
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		368,161		3,788,372
MassMutual Select Blue Chip Growth Fund, Class S (a)		838,253		10,168,003
MassMutual Select Diversified International Fund, Class S (a)		2,247,944		13,262,871
MassMutual Select Diversified Value Fund, Class S (a)		1,455,069		14,070,515
MassMutual Select Focused Value Fund, Class Z (a)		388,753		7,129,727
MassMutual Select Fundamental Growth Fund, Class S (a)		1,187,823		7,697,093
MassMutual Select Fundamental Value Fund, Class Z (a)		1,662,415		18,053,831
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,369,364		11,420,495
MassMutual Select Large Cap Value Fund, Class S (a)		294,976		3,170,997
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		979,781		15,157,205
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,462,074		15,176,325
MassMutual Select Overseas Fund, Class Z (a)		5,031,510		33,258,283

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		249,410	$	2,616,307
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		302,240		4,645,427
MassMutual Select Small Cap Value Equity Fund, Class S (a)		852,063		8,256,489
MassMutual Select Small Company Growth Fund, Class S (a) (b)		420,885		4,360,366
MassMutual Select Small Company Value Fund, Class Z (a)		286,248		3,855,765
MassMutual Select Strategic Bond Fund, Class S (a)		340,930		3,521,803
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		3,965,550		12,174,239
Oppenheimer Developing Markets Fund, Class Y (a)		94,209		2,952,508
Oppenheimer Real Estate Fund, Class Y (a)		535,740		12,188,086
				351,111,202
TOTAL MUTUAL FUNDS (Cost $354,072,296)				351,111,202
TOTAL LONG-TERM INVESTMENTS (Cost $354,072,296)				351,111,202
TOTAL INVESTMENTS — 100.1% (Cost $354,072,296) (c)				351,111,202
Other Assets/(Liabilities) — (0.1)%				(240,942	)
NET ASSETS — 100.0%			$	350,870,260

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

9

MassMutual RetireSMART Growth Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		60,695	$	705,270
MassMutual Premier Disciplined Growth Fund, Class S (a)		602,723		6,364,759
MassMutual Premier Disciplined Value Fund, Class S (a)		448,984		4,754,742
MassMutual Premier Focused International Fund, Class Z (a)		100,512		1,084,527
MassMutual Premier High Yield Fund, Class Z (a)		36,149		336,543
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		8,780		104,920
MassMutual Premier International Bond Fund, Class S (a)		25,794		262,587
MassMutual Premier International Equity Fund, Class S (a)		185,715		2,273,154
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		91,363		1,040,622
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		16,884		179,818
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		273,751		3,079,695
MassMutual Premier Value Fund, Class S (a)		4,457		63,507
MassMutual Select BlackRock Global Allocation Fund, Class S (a)		8,907		91,655
MassMutual Select Blue Chip Growth Fund, Class S (a)		218,902		2,655,286
MassMutual Select Diversified International Fund, Class S (a)		534,347		3,152,648
MassMutual Select Diversified Value Fund, Class S (a)		351,661		3,400,566
MassMutual Select Focused Value Fund, Class Z (a)		79,750		1,462,616
MassMutual Select Fundamental Growth Fund, Class S (a)		278,578		1,805,184
MassMutual Select Fundamental Value Fund, Class Z (a)		415,340		4,510,589
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		317,506		2,648,004
MassMutual Select Large Cap Value Fund, Class S (a)		86,331		928,058
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		216,376		3,347,331
MassMutual Select Mid-Cap Value Fund, Class S (a)		336,630		3,494,219
MassMutual Select Overseas Fund, Class Z (a)		1,017,536		6,725,914
MassMutual Select PIMCO Total Return Fund, Class Z (a)		8,950		93,891

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		77,490	$	1,191,021
MassMutual Select Small Cap Value Equity Fund, Class S (a)		176,543		1,710,705
MassMutual Select Small Company Growth Fund, Class S (a) (b)		103,637		1,073,678
MassMutual Select Small Company Value Fund, Class Z (a)		75,936		1,022,858
MassMutual Select Strategic Bond Fund, Class S (a)		32,416		334,855
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		810,771		2,489,066
Oppenheimer Developing Markets Fund, Class Y (a)		15,116		473,747
Oppenheimer Real Estate Fund, Class Y (a)		113,372		2,579,220
				65,441,255
TOTAL MUTUAL FUNDS (Cost $66,331,763)				65,441,255
TOTAL LONG-TERM INVESTMENTS (Cost $66,331,763)				65,441,255
TOTAL INVESTMENTS — 100.1% (Cost $66,331,763) (c)				65,441,255
Other Assets/(Liabilities) — (0.1)%				(53,222	)
NET ASSETS — 100.0%			$	65,388,033

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

10

MassMutual RetireSMART In Retirement Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,580,561	$	18,366,116
MassMutual Premier Disciplined Growth Fund, Class S (a)		339,749		3,587,750
MassMutual Premier Disciplined Value Fund, Class S (a)		352,347		3,731,359
MassMutual Premier Focused International Fund, Class Z (a)		44,252		477,479
MassMutual Premier High Yield Fund, Class Z (a)		200,733		1,868,822
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		856,616		10,236,560
MassMutual Premier International Bond Fund, Class S (a)		307,782		3,133,224
MassMutual Premier International Equity Fund, Class S (a)		94,637		1,158,361
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		3,880		44,189
MassMutual Premier Money Market Fund, Class S (a)		370,017		370,017
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,770,826		18,859,297
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		172,637		1,942,169
MassMutual Premier Value Fund, Class S (a)		1,411		20,108
MassMutual Select Blue Chip Growth Fund, Class S (a)		52,534		637,232
MassMutual Select Diversified International Fund, Class S (a)		188,233		1,110,573
MassMutual Select Diversified Value Fund, Class S (a)		144,117		1,393,614
MassMutual Select Focused Value Fund, Class Z (a)		108,728		1,994,078
MassMutual Select Fundamental Growth Fund, Class S (a)		129,141		836,832
MassMutual Select Fundamental Value Fund, Class Z (a)		125,935		1,367,659
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		57,805		482,093
MassMutual Select Large Cap Value Fund, Class S (a)		11,882		127,730
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		91,387		1,413,759
MassMutual Select Mid-Cap Value Fund, Class S (a)		152,136		1,579,174
MassMutual Select Overseas Fund, Class Z (a)		481,426		3,182,228

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		227,765	$	2,389,251
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		45,059		692,555
MassMutual Select Small Cap Value Equity Fund, Class S (a)		81,706		791,727
MassMutual Select Small Company Growth Fund, Class S (a) (b)		39,543		409,662
MassMutual Select Small Company Value Fund, Class Z (a)		45,302		610,219
MassMutual Select Strategic Bond Fund, Class S (a)		328,964		3,398,201
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		605,707		1,859,521
Oppenheimer Developing Markets Fund, Class Y (a)		39,738		1,245,404
Oppenheimer Real Estate Fund, Class Y (a)		97,734		2,223,439
				91,540,402
TOTAL MUTUAL FUNDS (Cost $88,722,763)				91,540,402
TOTAL LONG-TERM INVESTMENTS (Cost $88,722,763)				91,540,402
TOTAL INVESTMENTS — 100.1% (Cost $88,722,763) (c)				91,540,402
Other Assets/(Liabilities) — (0.1)%				(80,636	)
NET ASSETS — 100.0%			$	91,459,766

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

11

MassMutual RetireSMART 2010 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,692,140	$	19,662,665
MassMutual Premier Disciplined Growth Fund, Class S (a)		569,981		6,019,001
MassMutual Premier Disciplined Value Fund, Class S (a)		544,032		5,761,300
MassMutual Premier Focused International Fund, Class Z (a)		78,178		843,536
MassMutual Premier High Yield Fund, Class Z (a)		279,062		2,598,067
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		754,384		9,014,894
MassMutual Premier International Bond Fund, Class S (a)		259,629		2,643,028
MassMutual Premier International Equity Fund, Class S (a)		167,272		2,047,410
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		12,433		141,607
MassMutual Premier Money Market Fund, Class S (a)		269,659		269,659
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,220,251		12,995,678
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		255,831		2,878,104
MassMutual Premier Value Fund, Class S (a)		2,830		40,328
MassMutual Select Blue Chip Growth Fund, Class S (a)		80,014		970,573
MassMutual Select Diversified International Fund, Class S (a)		351,338		2,072,895
MassMutual Select Diversified Value Fund, Class S (a)		200,142		1,935,371
MassMutual Select Focused Value Fund, Class Z (a)		126,428		2,318,689
MassMutual Select Fundamental Growth Fund, Class S (a)		201,754		1,307,367
MassMutual Select Fundamental Value Fund, Class Z (a)		196,924		2,138,599
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		100,512		838,266
MassMutual Select Large Cap Value Fund, Class S (a)		18,266		196,362
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		190,406		2,945,577
MassMutual Select Mid-Cap Value Fund, Class S (a)		303,672		3,152,116
MassMutual Select Overseas Fund, Class Z (a)		843,649		5,576,521

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		320,612	$	3,363,220
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		56,736		872,028
MassMutual Select Small Cap Value Equity Fund, Class S (a)		151,307		1,466,165
MassMutual Select Small Company Growth Fund, Class S (a) (b)		62,608		648,616
MassMutual Select Small Company Value Fund, Class Z (a)		49,640		668,656
MassMutual Select Strategic Bond Fund, Class S (a)		298,964		3,088,299
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		773,160		2,373,603
Oppenheimer Developing Markets Fund, Class Y (a)		43,176		1,353,113
Oppenheimer Real Estate Fund, Class Y (a)		130,760		2,974,758
				105,176,071
TOTAL MUTUAL FUNDS (Cost $102,086,400)				105,176,071
TOTAL LONG-TERM INVESTMENTS (Cost $102,086,400)				105,176,071
TOTAL INVESTMENTS — 100.1% (Cost $102,086,400) (c)				105,176,071
Other Assets/(Liabilities) — (0.1)%				(79,003	)
NET ASSETS — 100.0%			$	105,097,068

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

12

MassMutual RetireSMART 2015 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.4%
Diversified Financial — 100.4%
MassMutual Premier Core Bond Fund, Class Z (a)		45,096	$	524,018
MassMutual Premier Disciplined Growth Fund, Class S (a)		18,643		196,874
MassMutual Premier Disciplined Value Fund, Class S (a)		18,440		195,280
MassMutual Premier Focused International Fund, Class Z (a)		3,848		41,518
MassMutual Premier High Yield Fund, Class Z (a)		8,629		80,337
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		21,589		257,991
MassMutual Premier International Bond Fund, Class S (a)		8,543		86,967
MassMutual Premier International Equity Fund, Class S (a)		7,266		88,942
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		673		7,668
MassMutual Premier Money Market Fund, Class S (a)		1,299		1,299
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		22,860		243,464
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		8,820		99,223
MassMutual Premier Value Fund, Class S (a)		160		2,286
MassMutual Select Blue Chip Growth Fund, Class S (a)		4,130		50,101
MassMutual Select Diversified International Fund, Class S (a)		16,229		95,751
MassMutual Select Diversified Value Fund, Class S (a)		7,451		72,047
MassMutual Select Focused Value Fund, Class Z (a)		4,216		77,326
MassMutual Select Fundamental Growth Fund, Class S (a)		5,651		36,620
MassMutual Select Fundamental Value Fund, Class Z (a)		9,703		105,378
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		5,731		47,796
MassMutual Select Large Cap Value Fund, Class S (a)		1,811		19,471
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		7,021		108,613
MassMutual Select Mid-Cap Value Fund, Class S (a)		12,826		133,134
MassMutual Select Overseas Fund, Class Z (a)		33,587		222,009
MassMutual Select PIMCO Total Return Fund, Class Z (a)		8,810		92,420

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		3,889	$	59,774
MassMutual Select Small Cap Value Equity Fund, Class S (a)		7,167		69,450
MassMutual Select Small Company Growth Fund, Class S (a) (b)		3,942		40,837
MassMutual Select Small Company Value Fund, Class Z (a)		3,044		41,001
MassMutual Select Strategic Bond Fund, Class S (a)		7,220		74,581
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		29,688		91,138
Oppenheimer Developing Markets Fund, Class Y (a)		1,547		48,453
Oppenheimer Real Estate Fund, Class Y (a)		5,406		122,971
				3,434,738
TOTAL MUTUAL FUNDS (Cost $3,315,111)				3,434,738
TOTAL LONG-TERM INVESTMENTS (Cost $3,315,111)				3,434,738
TOTAL INVESTMENTS — 100.4% (Cost $3,315,111) (c)				3,434,738
Other Assets/(Liabilities) — (0.4)%				(12,674	)
NET ASSETS — 100.0%			$	3,422,064

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

13

MassMutual RetireSMART 2020 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		3,458,828	$	40,191,593
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,702,035		28,533,485
MassMutual Premier Disciplined Value Fund, Class S (a)		2,501,070		26,486,327
MassMutual Premier Focused International Fund, Class Z (a)		409,988		4,423,775
MassMutual Premier High Yield Fund, Class Z (a)		1,260,251		11,732,935
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,283,142		15,333,547
MassMutual Premier International Bond Fund, Class S (a)		931,385		9,481,497
MassMutual Premier International Equity Fund, Class S (a)		882,110		10,797,022
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		983,877		11,206,360
MassMutual Premier Money Market Fund, Class S (a)		36,136		36,136
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,725,600		18,377,645
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,135,554		12,774,985
MassMutual Premier Value Fund, Class S (a)		13,282		189,263
MassMutual Select Blue Chip Growth Fund, Class S (a)		579,495		7,029,273
MassMutual Select Diversified International Fund, Class S (a)		1,844,489		10,882,485
MassMutual Select Diversified Value Fund, Class S (a)		1,305,233		12,621,600
MassMutual Select Focused Value Fund, Class Z (a)		446,510		8,188,997
MassMutual Select Fundamental Growth Fund, Class S (a)		1,485,067		9,623,237
MassMutual Select Fundamental Value Fund, Class Z (a)		1,380,290		14,989,948
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		784,816		6,545,363
MassMutual Select Large Cap Value Fund, Class S (a)		180,603		1,941,486
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		897,712		13,887,599
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,364,743		14,166,033
MassMutual Select Overseas Fund, Class Z (a)		4,286,571		28,334,235

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		669,833	$	7,026,548
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		169,021		2,597,855
MassMutual Select Small Cap Value Equity Fund, Class S (a)		463,231		4,488,710
MassMutual Select Small Company Growth Fund, Class S (a) (b)		345,893		3,583,451
MassMutual Select Small Company Value Fund, Class Z (a)		245,996		3,313,564
MassMutual Select Strategic Bond Fund, Class S (a)		477,961		4,937,332
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		3,205,132		9,839,755
Oppenheimer Developing Markets Fund, Class Y (a)		105,575		3,308,719
Oppenheimer Real Estate Fund, Class Y (a)		658,845		14,988,723
				371,859,483
TOTAL MUTUAL FUNDS (Cost $352,010,453)				371,859,483
TOTAL LONG-TERM INVESTMENTS (Cost $352,010,453)				371,859,483
TOTAL INVESTMENTS —100.1% (Cost $352,010,453) (c)				371,859,483
Other Assets/(Liabilities) — (0.1)%				(221,026	)
NET ASSETS — 100.0%			$	371,638,457

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

14

MassMutual RetireSMART 2025 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.4%
Diversified Financial — 100.4%
MassMutual Premier Core Bond Fund, Class Z (a)		16,307	$	189,489
MassMutual Premier Disciplined Growth Fund, Class S (a)		18,710		197,581
MassMutual Premier Disciplined Value Fund, Class S (a)		18,351		194,334
MassMutual Premier Focused International Fund, Class Z (a)		4,237		45,718
MassMutual Premier High Yield Fund, Class Z (a)		10,130		94,308
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		5,586		66,754
MassMutual Premier International Bond Fund, Class S (a)		7,725		78,641
MassMutual Premier International Equity Fund, Class S (a)		8,561		104,781
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		749		8,526
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		9,260		98,620
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		9,712		109,257
MassMutual Premier Value Fund, Class S (a)		155		2,210
MassMutual Select Blue Chip Growth Fund, Class S (a)		6,751		81,892
MassMutual Select Diversified International Fund, Class S (a)		17,674		104,278
MassMutual Select Diversified Value Fund, Class S (a)		12,127		117,272
MassMutual Select Focused Value Fund, Class Z (a)		3,717		68,169
MassMutual Select Fundamental Growth Fund, Class S (a)		9,188		59,540
MassMutual Select Fundamental Value Fund, Class Z (a)		13,990		151,937
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		9,521		79,402
MassMutual Select Large Cap Value Fund, Class S (a)		2,557		27,491
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		7,028		108,727
MassMutual Select Mid-Cap Value Fund, Class S (a)		12,467		129,403
MassMutual Select Overseas Fund, Class Z (a)		39,962		264,146
MassMutual Select PIMCO Total Return Fund, Class Z (a)		2,560		26,854
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		4,395		67,544

	Number of Shares		Value
MassMutual Select Small Cap Value Equity Fund, Class S (a)		7,511	$	72,781
MassMutual Select Small Company Growth Fund, Class S (a) (b)		4,633		47,999
MassMutual Select Small Company Value Fund, Class Z (a)		3,512		47,312
MassMutual Select Strategic Bond Fund, Class S (a)		2,139		22,091
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		31,341		96,216
Oppenheimer Developing Markets Fund, Class Y (a)		1,095		34,322
Oppenheimer Real Estate Fund, Class Y (a)		5,283		120,196
				2,917,791
TOTAL MUTUAL FUNDS (Cost $2,907,652)				2,917,791
TOTAL LONG-TERM INVESTMENTS (Cost $2,907,652)				2,917,791
TOTAL INVESTMENTS — 100.4% (Cost $2,907,652) (c)				2,917,791
Other Assets/(Liabilities) — (0.4)%				(12,709	)
NET ASSETS — 100.0%			$	2,905,082

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

15

MassMutual RetireSMART 2030 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,387,391	$	16,121,478
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,091,354		22,084,696
MassMutual Premier Disciplined Value Fund, Class S (a)		1,894,634		20,064,175
MassMutual Premier Focused International Fund, Class Z (a)		451,383		4,870,420
MassMutual Premier High Yield Fund, Class Z (a)		839,315		7,814,019
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		405,071		4,840,600
MassMutual Premier International Bond Fund, Class S (a)		583,910		5,944,208
MassMutual Premier International Equity Fund, Class S (a)		887,036		10,857,320
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		637,279		7,258,613
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		780,565		8,313,020
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		1,077,333		12,119,995
MassMutual Premier Value Fund, Class S (a)		12,923		184,149
MassMutual Select Blue Chip Growth Fund, Class S (a)		768,944		9,327,291
MassMutual Select Diversified International Fund, Class S (a)		1,915,068		11,298,904
MassMutual Select Diversified Value Fund, Class S (a)		1,476,929		14,281,901
MassMutual Select Focused Value Fund, Class Z (a)		365,467		6,702,658
MassMutual Select Fundamental Growth Fund, Class S (a)		1,887,333		12,229,920
MassMutual Select Fundamental Value Fund, Class Z (a)		1,669,122		18,126,665
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,062,684		8,862,784
MassMutual Select Large Cap Value Fund, Class S (a)		261,484		2,810,952
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		864,958		13,380,895
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,308,288		13,580,030
MassMutual Select Overseas Fund, Class Z (a)		4,500,074		29,745,492

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		204,333	$	2,143,450
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		304,946		4,687,017
MassMutual Select Small Cap Value Equity Fund, Class S (a)		641,819		6,219,230
MassMutual Select Small Company Growth Fund, Class S (a) (b)		337,799		3,499,595
MassMutual Select Small Company Value Fund, Class Z (a)		318,397		4,288,810
MassMutual Select Strategic Bond Fund, Class S (a)		185,816		1,919,483
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		3,049,219		9,361,101
Oppenheimer Developing Markets Fund, Class Y (a)		98,067		3,073,411
Oppenheimer Real Estate Fund, Class Y (a)		558,729		12,711,091
				308,723,373
TOTAL MUTUAL FUNDS (Cost $291,410,096)				308,723,373
TOTAL LONG-TERM INVESTMENTS (Cost $291,410,096)				308,723,373
TOTAL INVESTMENTS — 100.1% (Cost $291,410,096) (c)				308,723,373
Other Assets/(Liabilities) — (0.1)%				(178,528	)
NET ASSETS — 100.0%			$	308,544,845

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

16

MassMutual RetireSMART 2035 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.5%
Diversified Financial — 100.5%
MassMutual Premier Core Bond Fund, Class Z (a)		9,921	$	115,272
MassMutual Premier Disciplined Growth Fund, Class S (a)		16,674		176,077
MassMutual Premier Disciplined Value Fund, Class S (a)		15,807		167,398
MassMutual Premier Focused International Fund, Class Z (a)		4,330		46,716
MassMutual Premier High Yield Fund, Class Z (a)		4,542		42,290
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		2,058		24,596
MassMutual Premier International Bond Fund, Class S (a)		4,896		49,838
MassMutual Premier International Equity Fund, Class S (a)		8,338		102,051
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		425		4,839
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		4,538		48,335
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		9,847		110,774
MassMutual Premier Value Fund, Class S (a)		154		2,191
MassMutual Select Blue Chip Growth Fund, Class S (a)		7,269		88,173
MassMutual Select Diversified International Fund, Class S (a)		17,890		105,553
MassMutual Select Diversified Value Fund, Class S (a)		11,549		111,680
MassMutual Select Focused Value Fund, Class Z (a)		3,423		62,777
MassMutual Select Fundamental Growth Fund, Class S (a)		11,464		74,286
MassMutual Select Fundamental Value Fund, Class Z (a)		14,726		159,924
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		10,174		84,848
MassMutual Select Large Cap Value Fund, Class S (a)		2,762		29,695
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		6,849		105,960
MassMutual Select Mid-Cap Value Fund, Class S (a)		12,143		126,040
MassMutual Select Overseas Fund, Class Z (a)		40,458		267,429
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,162		12,192
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		4,251		65,343

	Number of Shares		Value
MassMutual Select Small Cap Value Equity Fund, Class S (a)		7,712	$	74,731
MassMutual Select Small Company Growth Fund, Class S (a) (b)		4,408		45,669
MassMutual Select Small Company Value Fund, Class Z (a)		3,467		46,699
MassMutual Select Strategic Bond Fund, Class S (a)		1,429		14,765
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		28,884		88,675
Oppenheimer Developing Markets Fund, Class Y (a)		1,064		33,344
Oppenheimer Real Estate Fund, Class Y (a)		4,932		112,208
				2,600,368
TOTAL MUTUAL FUNDS (Cost $2,607,809)				2,600,368
TOTAL LONG-TERM INVESTMENTS (Cost $2,607,809)				2,600,368
TOTAL INVESTMENTS — 100.5% (Cost $2,607,809) (c)				2,600,368
Other Assets/(Liabilities) — (0.5)%				(12,557	)
NET ASSETS — 100.0%			$	2,587,811

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

17

MassMutual RetireSMART 2040 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		795,566	$	9,244,471
MassMutual Premier Disciplined Growth Fund, Class S (a)		1,324,835		13,990,258
MassMutual Premier Disciplined Value Fund, Class S (a)		1,154,633		12,227,565
MassMutual Premier Focused International Fund, Class Z (a)		304,301		3,283,411
MassMutual Premier High Yield Fund, Class Z (a)		248,613		2,314,591
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		82,576		986,784
MassMutual Premier International Bond Fund, Class S (a)		314,931		3,205,994
MassMutual Premier International Equity Fund, Class S (a)		607,224		7,432,421
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		356,907		4,065,171
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		247,984		2,641,026
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		756,941		8,515,590
MassMutual Premier Value Fund, Class S (a)		13,049		185,941
MassMutual Select Blue Chip Growth Fund, Class S (a)		546,750		6,632,075
MassMutual Select Diversified International Fund, Class S (a)		1,301,947		7,681,485
MassMutual Select Diversified Value Fund, Class S (a)		919,648		8,892,995
MassMutual Select Focused Value Fund, Class Z (a)		239,168		4,386,334
MassMutual Select Fundamental Growth Fund, Class S (a)		1,266,568		8,207,362
MassMutual Select Fundamental Value Fund, Class Z (a)		1,153,837		12,530,670
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		758,953		6,329,667
MassMutual Select Large Cap Value Fund, Class S (a)		192,462		2,068,970
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		609,131		9,423,252
MassMutual Select Mid-Cap Value Fund, Class S (a)		927,390		9,626,311
MassMutual Select Overseas Fund, Class Z (a)		3,039,218		20,089,231

	Number of Shares		Value
MassMutual Select PIMCO Total Return Fund, Class Z (a)		78,683	$	825,388
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		228,754		3,515,953
MassMutual Select Small Cap Value Equity Fund, Class S (a)		444,476		4,306,970
MassMutual Select Small Company Growth Fund, Class S (a) (b)		274,368		2,842,457
MassMutual Select Small Company Value Fund, Class Z (a)		247,075		3,328,105
MassMutual Select Strategic Bond Fund, Class S (a)		100,977		1,043,092
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		2,067,964		6,348,650
Oppenheimer Developing Markets Fund, Class Y (a)		70,704		2,215,851
Oppenheimer Real Estate Fund, Class Y (a)		351,698		8,001,132
				196,389,173
TOTAL MUTUAL FUNDS (Cost $185,940,650)				196,389,173
TOTAL LONG-TERM INVESTMENTS (Cost $185,940,650)				196,389,173
TOTAL INVESTMENTS —100.1% (Cost $185,940,650) (c)				196,389,173
Other Assets/(Liabilities) — (0.1)%				(113,117	)
NET ASSETS — 100.0%			$	196,276,056

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

18

MassMutual RetireSMART 2045 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.8%
Diversified Financial — 100.8%
MassMutual Premier Core Bond Fund, Class Z (a)		2,742	$	31,860
MassMutual Premier Disciplined Growth Fund, Class S (a)		10,614		112,082
MassMutual Premier Disciplined Value Fund, Class S (a)		10,150		107,487
MassMutual Premier Focused International Fund, Class Z (a)		2,822		30,447
MassMutual Premier High Yield Fund, Class Z (a)		460		4,280
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		278		3,328
MassMutual Premier International Bond Fund, Class S (a)		1,161		11,814
MassMutual Premier International Equity Fund, Class S (a)		5,434		66,515
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,058		12,052
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,447		15,414
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		6,429		72,322
MassMutual Premier Value Fund, Class S (a)		131		1,863
MassMutual Select Blue Chip Growth Fund, Class S (a)		5,027		60,978
MassMutual Select Diversified International Fund, Class S (a)		11,707		69,069
MassMutual Select Diversified Value Fund, Class S (a)		8,166		78,964
MassMutual Select Focused Value Fund, Class Z (a)		2,149		39,419
MassMutual Select Fundamental Growth Fund, Class S (a)		9,847		63,805
MassMutual Select Fundamental Value Fund, Class Z (a)		10,369		112,603
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		6,834		56,994
MassMutual Select Large Cap Value Fund, Class S (a)		1,910		20,534
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		5,029		77,802
MassMutual Select Mid-Cap Value Fund, Class S (a)		8,564		88,897
MassMutual Select Overseas Fund, Class Z (a)		26,477		175,010
MassMutual Select PIMCO Total Return Fund, Class Z (a)		231		2,424

	Number of Shares		Value
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		2,634	$	40,485
MassMutual Select Small Cap Value Equity Fund, Class S (a)		4,937		47,836
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,807		29,084
MassMutual Select Small Company Value Fund, Class Z (a)		2,182		29,396
MassMutual Select Strategic Bond Fund, Class S (a)		380		3,927
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		18,201		55,878
Oppenheimer Developing Markets Fund, Class Y (a)		544		17,055
Oppenheimer Real Estate Fund, Class Y (a)		3,109		70,721
				1,610,345
TOTAL MUTUAL FUNDS (Cost $1,600,757)				1,610,345
TOTAL LONG-TERM INVESTMENTS (Cost $1,600,757)				1,610,345
TOTAL INVESTMENTS — 100.8% (Cost $1,600,757) (c)				1,610,345
Other Assets/(Liabilities) — (0.8)%				(12,381	)
NET ASSETS — 100.0%			$	1,597,964

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

19

MassMutual RetireSMART 2050 Fund – Portfolio of Investments

June 30, 2012 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		61,474	$	714,330
MassMutual Premier Disciplined Growth Fund, Class S (a)		249,582		2,635,585
MassMutual Premier Disciplined Value Fund, Class S (a)		235,344		2,492,292
MassMutual Premier Focused International Fund, Class Z (a)		66,034		712,504
MassMutual Premier High Yield Fund, Class Z (a)		11,686		108,793
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		5,801		69,318
MassMutual Premier International Bond Fund, Class S (a)		28,896		294,166
MassMutual Premier International Equity Fund, Class S (a)		130,864		1,601,771
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		45,543		518,734
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		36,426		387,941
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		146,958		1,653,274
MassMutual Premier Value Fund, Class S (a)		2,913		41,507
MassMutual Select Blue Chip Growth Fund, Class S (a)		118,176		1,433,473
MassMutual Select Diversified International Fund, Class S (a)		269,116		1,587,787
MassMutual Select Diversified Value Fund, Class S (a)		194,985		1,885,505
MassMutual Select Focused Value Fund, Class Z (a)		51,169		938,442
MassMutual Select Fundamental Growth Fund, Class S (a)		247,044		1,600,844
MassMutual Select Fundamental Value Fund, Class Z (a)		247,736		2,690,411
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		165,811		1,382,861
MassMutual Select Large Cap Value Fund, Class S (a)		46,295		497,669
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a) (b)		120,134		1,858,475
MassMutual Select Mid-Cap Value Fund, Class S (a)		194,266		2,016,480
MassMutual Select Overseas Fund, Class Z (a)		623,838		4,123,571
MassMutual Select PIMCO Total Return Fund, Class Z (a)		7,579		79,499
MassMutual Select Small Cap Growth Equity Fund, Class Z (a) (b)		51,045		784,559

	Number of Shares		Value
MassMutual Select Small Cap Value Equity Fund, Class S (a)		104,308	$	1,010,740
MassMutual Select Small Company Growth Fund, Class S (a) (b)		68,809		712,867
MassMutual Select Small Company Value Fund, Class Z (a)		52,950		713,234
MassMutual Select Strategic Bond Fund, Class S (a)		7,536		77,852
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		419,013		1,286,370
Oppenheimer Developing Markets Fund, Class Y (a)		14,682		460,119
Oppenheimer Real Estate Fund, Class Y (a)		71,782		1,633,031
				38,004,004
TOTAL MUTUAL FUNDS (Cost $37,964,179)				38,004,004
TOTAL LONG-TERM INVESTMENTS (Cost $37,964,179)				38,004,004
TOTAL INVESTMENTS — 100.1% (Cost $37,964,179) (c)				38,004,004
Other Assets/(Liabilities) — (0.1)%				(25,201	)
NET ASSETS — 100.0%			$	37,978,803

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

20

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MassMutual RetireSMART Funds – Financial Statements

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Assets:
Investments, at value — affiliated issuers (Note 7) (a)	$	238,890,775		$	484,889,106
Total investments		238,890,775			484,889,106
Receivables from:
Investments sold		399,914			2,052,346
Investment adviser (Note 3)		-			-
Fund shares sold		92,381			2,869
Interest and dividends		2			1
Total assets		239,383,072			486,944,322
Liabilities:
Payables for:
Investments purchased		547			26
Fund shares repurchased		487,910			2,050,283
Trustees’ fees and expenses (Note 3)		4,892			10,134
Affiliates (Note 3):
Investment management fees		9,401			18,976
Administration fees		29,648			64,203
Service fees		103,230			220,345
Distribution fees		-			-
Accrued expense and other liabilities		24,488			27,222
Total liabilities		660,116			2,391,189
Net assets	$	238,722,956		$	484,553,133
Net assets consist of:
Paid-in capital	$	236,796,385		$	483,010,705
Undistributed (accumulated) net investment income (loss)		(419,846	)		(827,179	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		1,085,453			2,905,099
Net unrealized appreciation (depreciation) on investments and foreign currency translations		1,260,964			(535,492	)
Net assets	$	238,722,956		$	484,553,133
(a)        Cost of investments — affiliated issuers:	$	237,629,811		$	485,424,598

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

22

MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund			MassMutual RetireSMART In Retirement Fund			MassMutual RetireSMART 2010 Fund			MassMutual RetireSMART 2015 Fund
$	351,111,202		$	65,441,255		$	91,540,402		$	105,176,071		$	3,434,738
	351,111,202			65,441,255			91,540,402			105,176,071			3,434,738
	805,827			444,829			169,600			351,619			-
	-			4,002			-			-			4,983
	8,803			682			19,248			94,516			126,328
	-			-			1			-			-
	351,925,832			65,890,768			91,729,251			105,622,206			3,566,049
	99			9			133			700			123,373
	810,210			442,392			185,491			442,159			-
	7,358			1,246			35,128			30,788			135
	13,618			2,528			3,606			4,127			127
	45,615			8,563			9,571			9,172			149
	153,036			25,758			15,027			17,072			392
	-			-			73			805			-
	25,636			22,239			20,456			20,315			19,809
	1,055,572			502,735			269,485			525,138			143,985
$	350,870,260		$	65,388,033		$	91,459,766		$	105,097,068		$	3,422,064
$	352,852,912		$	65,896,540		$	115,509,454		$	137,200,515		$	3,226,943
	(588,524	)		(96,117	)		2,482,080			2,354,961			(1,336	)
	1,566,966			478,118			(29,349,407	)		(37,548,079	)		76,830
	(2,961,094	)		(890,508	)		2,817,639			3,089,671			119,627
$	350,870,260		$	65,388,033		$	91,459,766		$	105,097,068		$	3,422,064
$	354,072,296		$	66,331,763		$	88,722,763		$	102,086,400		$	3,315,111

23

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual RetireSMART Conservative Fund		MassMutual RetireSMART Moderate Fund
Class S shares:
Net assets	$	2,768,213	$	965,463
Shares outstanding (a)		274,140		96,241
Net asset value, offering price and redemption price per share	$	10.10	$	10.03
Class Y shares:
Net assets	$	2,722,730	$	3,818,483
Shares outstanding (a)		269,656		380,355
Net asset value, offering price and redemption price per share	$	10.10	$	10.04
Class L shares:
Net assets	$	69,675,994	$	139,925,406
Shares outstanding (a)		6,902,538		13,946,037
Net asset value, offering price and redemption price per share	$	10.09	$	10.03
Class A shares:
Net assets	$	163,556,019	$	339,843,781
Shares outstanding (a)		16,222,294		33,913,666
Net asset value and redemption price per share	$	10.08	$	10.02
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.69	$	10.63
Class N shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-

(a) Authorized unlimited number of shares with no par value.

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

24

MassMutual RetireSMART Moderate Growth Fund		MassMutual RetireSMART Growth Fund		MassMutual RetireSMART In Retirement Fund		MassMutual RetireSMART 2010 Fund		MassMutual RetireSMART 2015 Fund
$	6,493,626	$	275,080	$	17,059,528	$	41,635,677	$	2,516,721
	651,705		27,716		1,662,538		3,983,365		232,143
$	9.96	$	9.93	$	10.26	$	10.45	$	10.84
$	1,399,819	$	101,123	$	20,202,249	$	24,587,590	$	115,512
	140,521		10,190		1,967,118		2,356,704		10,657
$	9.96	$	9.92	$	10.27	$	10.43	$	10.84
$	105,902,359	$	24,055,182	$	30,133,660	$	11,717,847	$	152,583
	10,629,688		2,424,856		2,938,153		1,124,321		14,086
$	9.96	$	9.92	$	10.26	$	10.42	$	10.83
$	237,074,456	$	40,956,648	$	23,946,205	$	25,842,727	$	637,248
	23,824,206		4,133,672		2,356,751		2,497,080		59,063
$	9.95	$	9.91	$	10.16	$	10.35	$	10.79
$	10.56	$	10.51	$	10.78	$	10.98	$	11.45
$	-	$	-	$	118,124	$	1,313,227	$	-
	-		-		11,640		127,805		-
$	-	$	-	$	10.15	$	10.28	$	-

25

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual RetireSMART 2020 Fund			MassMutual RetireSMART 2025 Fund
Assets:
Investments, at value — affiliated issuers (Note 7) (a)	$	371,859,483		$	2,917,791
Total investments		371,859,483			2,917,791
Receivables from:
Investments sold		2,693,222			-
Investment adviser (Note 3)		-			5,206
Fund shares sold		297,692			3,903
Total assets		374,850,397			2,926,900
Liabilities:
Payables for:
Investments purchased		3,007			1,075
Fund shares repurchased		2,983,550			-
Trustees’ fees and expenses (Note 3)		94,611			113
Affiliates (Note 3):
Investment management fees		14,443			111
Administration fees		38,247			226
Service fees		55,353			644
Distribution fees		1,707			-
Accrued expense and other liabilities		21,022			19,649
Total liabilities		3,211,940			21,818
Net assets	$	371,638,457		$	2,905,082
Net assets consist of:
Paid-in capital	$	464,183,863		$	2,839,301
Undistributed (accumulated) net investment income (loss)		6,638,527			(2,037	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(119,032,963	)		57,679
Net unrealized appreciation (depreciation) on investments and foreign currency translations		19,849,030			10,139
Net assets	$	371,638,457		$	2,905,082
(a)        Cost of investments — affiliated issuers:	$	352,010,453		$	2,907,652

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

26

MassMutual RetireSMART 2030 Fund			MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund			MassMutual RetireSMART 2050 Fund
$	308,723,373		$	2,600,368		$	196,389,173		$	1,610,345		$	38,004,004
	308,723,373			2,600,368			196,389,173			1,610,345			38,004,004
	3,756,773			48,767			942,817			1,157			96,830
	-			5,180			-			5,161			5,044
	309,411			2,700			253,506			1,696			117,654
	312,789,557			2,657,015			197,585,496			1,618,359			38,223,532
	3,465			31			2,991			22			1,494
	4,058,625			48,606			1,189,718			-			210,018
	72,808			109			43,225			92			3,394
	11,987			100			7,543			61			1,431
	30,182			205			16,419			108			2,569
	45,172			460			27,707			270			5,258
	1,829			-			1,588			-			869
	20,644			19,693			20,249			19,842			19,696
	4,244,712			69,204			1,309,440			20,395			244,729
$	308,544,845		$	2,587,811		$	196,276,056		$	1,597,964		$	37,978,803
$	385,431,487		$	2,538,748		$	240,425,223		$	1,540,673		$	37,834,439
	4,631,435			(1,496	)		2,528,749			(942	)		(20,240	)
	(98,831,354	)		58,000			(57,126,439	)		48,645			124,779
	17,313,277			(7,441	)		10,448,523			9,588			39,825
$	308,544,845		$	2,587,811		$	196,276,056		$	1,597,964		$	37,978,803
$	291,410,096		$	2,607,809		$	185,940,650		$	1,600,757		$	37,964,179

27

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

June 30, 2012 (Unaudited)

	MassMutual RetireSMART 2020 Fund		MassMutual RetireSMART 2025 Fund
Class S shares:
Net assets	$	132,318,479	$	1,402,459
Shares outstanding (a)		13,206,281		132,197
Net asset value, offering price and redemption price per share	$	10.02	$	10.61
Class Y shares:
Net assets	$	58,989,929	$	179,936
Shares outstanding (a)		5,901,363		16,964
Net asset value, offering price and redemption price per share	$	10.00	$	10.61
Class L shares:
Net assets	$	91,695,619	$	276,310
Shares outstanding (a)		9,165,474		26,087
Net asset value, offering price and redemption price per share	$	10.00	$	10.59
Class A shares:
Net assets	$	85,886,799	$	1,046,377
Shares outstanding (a)		8,668,549		99,060
Net asset value and redemption price per share	$	9.91	$	10.56
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.51	$	11.20
Class N shares:
Net assets	$	2,747,631	$	-
Shares outstanding (a)		280,189		-
Net asset value, offering price and redemption price per share	$	9.81	$	-

(a) Authorized unlimited number of shares with no par value.

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

28

MassMutual RetireSMART 2030 Fund		MassMutual RetireSMART 2035 Fund		MassMutual RetireSMART 2040 Fund		MassMutual RetireSMART 2045 Fund		MassMutual RetireSMART 2050 Fund
$	118,652,106	$	1,241,378	$	84,767,719	$	864,072	$	18,335,274
	11,903,488		116,930		8,494,797		81,949		2,226,103
$	9.97	$	10.62	$	9.98	$	10.54	$	8.24
$	48,686,122	$	214,644	$	23,924,373	$	115,322	$	8,193,761
	4,896,960		20,218		2,402,177		10,939		995,362
$	9.94	$	10.62	$	9.96	$	10.54	$	8.23
$	70,557,649	$	421,397	$	43,455,106	$	175,665	$	2,787,497
	7,088,310		39,732		4,361,320		16,687		338,957
$	9.95	$	10.61	$	9.96	$	10.53	$	8.22
$	67,682,493	$	710,392	$	41,530,462	$	442,905	$	7,203,081
	6,868,497		67,185		4,213,783		42,186		878,987
$	9.85	$	10.57	$	9.86	$	10.50	$	8.19
$	10.45	$	11.21	$	10.46	$	11.14	$	8.69
$	2,966,475	$	-	$	2,598,396	$	-	$	1,459,190
	303,687		-		265,892		-		178,387
$	9.77	$	-	$	9.77	$	-	$	8.18

29

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2012 (Unaudited)

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	84,999		$	241,929
Total investment income		84,999			241,929
Expenses (Note 3):
Investment management fees		60,360			122,495
Custody fees		15,085			15,230
Audit fees		14,429			14,356
Legal fees		1,485			2,941
Proxy fees		506			506
Shareholder reporting fees		4,232			8,210
Trustees’ fees		9,730			20,212
		105,827			183,950
Administration fees:
Class S		397			235
Class Y		1,071			1,617
Class L		55,895			119,437
Class A		133,525			309,583
Class N		-			-
Distribution fees:
Class N		-			-
Service fees:
Class A		208,633			455,269
Class N		-			-
Total expenses		505,348			1,070,091
Expenses waived (Note 3):
Class S fees waived by adviser		-			-
Class Y fees waived by adviser		-			-
Class L fees waived by adviser		-			-
Class A fees waived by adviser		-			-
Net expenses		505,348			1,070,091
Net investment income (loss)		(420,349	)		(828,162	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		(1,252,860	)		(1,779,662	)
Net realized gain (loss)		(1,252,860	)		(1,779,662	)
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		11,483,008			30,230,528
Net change in unrealized appreciation (depreciation)		11,483,008			30,230,528
Net realized gain (loss) and change in unrealized appreciation (depreciation)		10,230,148			28,450,866
Net increase (decrease) in net assets resulting from operations	$	9,809,799		$	27,622,704

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

30

MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund			MassMutual RetireSMART In Retirement Fund			MassMutual RetireSMART 2010 Fund			MassMutual RetireSMART 2015 Fund
$	181,927		$	37,541		$	35,866		$	46,050		$	1,898
	181,927			37,541			35,866			46,050			1,898
	92,149			16,476			23,629			26,149			884
	15,534			15,571			15,411			15,354			15,032
	14,330			14,534			14,040			14,044			14,062
	2,202			517			997			1,034			351
	505			505			510			510			510
	6,159			1,389			2,612			2,672			1,301
	14,668			2,501			3,851			4,072			123
	145,547			51,493			61,050			63,835			32,263
	1,092			63			1,697			3,931			130
	723			45			8,733			13,837			86
	93,649			20,640			29,370			12,100			145
	214,581			35,078			23,709			27,690			620
	-			-			136			1,651			-
	-			-			144			1,590			-
	315,560			51,585			31,884			33,028			774
	-			-			144			1,590			-
	771,152			158,904			156,867			159,252			34,018
	-			(104	)		-			-			(22,549	)
	-			(38	)		-			-			(1,530	)
	-			(9,272	)		-			-			(1,282	)
	-			(15,718	)		-			-			(5,498	)
	771,152			133,772			156,867			159,252			3,159
	(589,225	)		(96,231	)		(121,001	)		(113,202	)		(1,261	)
	(2,358,646	)		(255,633	)		1,398,231			1,080,047			52,293
	(2,358,646	)		(255,633	)		1,398,231			1,080,047			52,293
	26,335,761			4,498,088			2,777,370			3,973,310			159,520
	26,335,761			4,498,088			2,777,370			3,973,310			159,520
	23,977,115			4,242,455			4,175,601			5,053,357			211,813
$	23,387,890		$	4,146,224		$	4,054,600		$	4,940,155		$	210,552

31

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Operations

For the Six Months Ended June 30, 2012 (Unaudited)

	MassMutual RetireSMART 2020 Fund			MassMutual RetireSMART 2025 Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	207,249		$	1,702
Total investment income		207,249			1,702
Expenses (Note 3):
Investment management fees		92,153			683
Custody fees		15,607			15,437
Audit fees		13,987			14,062
Legal fees		2,791			345
Proxy fees		510			510
Shareholder reporting fees		6,195			1,288
Trustees’ fees		14,207			95
		145,450			32,420
Administration fees:
Class S		16,631			61
Class Y		34,264			67
Class L		99,006			381
Class A		92,840			992
Class N		3,601			-
Distribution fees:
Class N		3,387			-
Service fees:
Class A		107,553			1,240
Class N		3,387			-
Total expenses		506,119			35,161
Expenses waived (Note 3):
Class S fees waived by adviser		-			(13,993	)
Class Y fees waived by adviser		-			(1,549	)
Class L fees waived by adviser		-			(4,425	)
Class A fees waived by adviser		-			(11,524	)
Class N fees waived by adviser		-			-
Net expenses		506,119			3,670
Net investment income (loss)		(298,870	)		(1,968	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		3,954,796			25,829
Net realized gain (loss)		3,954,796			25,829
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		18,165,979			98,224
Net change in unrealized appreciation (depreciation)		18,165,979			98,224
Net realized gain (loss) and change in unrealized appreciation (depreciation)		22,120,775			124,053
Net increase (decrease) in net assets resulting from operations	$	21,821,905		$	122,085

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

32

MassMutual RetireSMART 2030 Fund			MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund			MassMutual RetireSMART 2050 Fund
$	179,245		$	1,570		$	110,622		$	996		$	22,749
	179,245			1,570			110,622			996			22,749
	77,266			607			47,978			407			9,404
	15,498			15,320			15,314			15,512	��		15,140
	14,007			14,063			14,029			14,062			14,061
	2,381			344			1,593			341			572
	510			510			510			510			510
	5,404			1,285			3,810			1,274			1,754
	11,880			83			7,324			61			1,444
	126,946			32,212			90,558			32,167			42,885
	12,945			57			4,511			42			965
	29,388			92			12,705			59			3,818
	78,134			374			44,917			255			2,646
	74,531			729			42,349			421			6,639
	3,846			-			3,208			-			1,739
	3,652			-			3,188			-			1,739
	87,354			910			52,516			526			8,298
	3,652			-			3,188			-			1,739
	420,448			34,374			257,140			33,470			70,468
	-			(14,629	)		-			(16,090	)		(13,297	)
	-			(2,390	)		-			(2,308	)		(6,805	)
	-			(4,874	)		-			(4,982	)		(2,358	)
	-			(9,484	)		-			(8,214	)		(5,921	)
	-			-			-			-			(1,240	)
	420,448			2,997			257,140			1,876			40,847
	(241,203	)		(1,427	)		(146,518	)		(880	)		(18,098	)
	3,862,688			23,846			2,564,103			20,398			465,081
	3,862,688			23,846			2,564,103			20,398			465,081
	15,800,051			95,327			9,404,263			80,626			2,068,285
	15,800,051			95,327			9,404,263			80,626			2,068,285
	19,662,739			119,173			11,968,366			101,024			2,533,366
$	19,421,536		$	117,746		$	11,821,848		$	100,144		$	2,515,268

33

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Conservative Fund
	Six Months Ended June 30, 2012 (Unaudited)			Period Ended December 31,  2011*
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(420,349	)	$	5,869,589
Net realized gain (loss) on investment transactions		(1,252,860	)		4,828,754
Net change in unrealized appreciation (depreciation) on investments		11,483,008			(10,222,044	)
Net increase (decrease) in net assets resulting from operations		9,809,799			476,299
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(3,089	)
Class Y		-			(92,383	)
Class L		-			(2,939,191	)
Class A		-			(4,792,499	)
Total distributions from net investment income		-			(7,827,162	)
From net realized gains:
Class S		-			(237	)
Class Y		-			(7,065	)
Class L		-			(230,607	)
Class A		-			(392,410	)
Total distributions from net realized gains		-			(630,319	)
Net fund share transactions (Note 5):
Class S		2,670,010			103,426
Class Y		(71,857	)		2,773,384
Class L		(30,908,485	)		100,470,340
Class A		(9,203,154	)		171,060,675
Increase (decrease) in net assets from fund share transactions		(37,513,486	)		274,407,825
Total increase (decrease) in net assets		(27,703,687	)		266,426,643
Net assets
Beginning of period		266,426,643			-
End of period	$	238,722,956		$	266,426,643
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	(419,846	)	$	503

* Fund commenced operations on June 20, 2011.

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

34

MassMutual RetireSMART Moderate Fund						MassMutual RetireSMART Moderate Growth Fund						MassMutual RetireSMART Growth Fund
Six Months Ended June 30, 2012 (Unaudited)			Period Ended December 31,  2011*			Six Months Ended June 30, 2012 (Unaudited)			Period Ended December 31,  2011*			Six Months Ended June 30, 2012 (Unaudited)			Period Ended December 31,  2011*
$	(828,162	)	$	9,725,561		$	(589,225	)	$	5,721,435		$	(96,231	)	$	816,697
	(1,779,662	)		7,769,056			(2,358,646	)		4,703,674			(255,633	)		902,730
	30,230,528			(30,766,020	)		26,335,761			(29,296,855	)		4,498,088			(5,388,596	)
	27,622,704			(13,271,403	)		23,387,890			(18,871,746	)		4,146,224			(3,669,169	)
	-			(2,471	)		-			(1,847	)		-			(1,513	)
	-			(89,674	)		-			(30,327	)		-			(1,493	)
	-			(3,582,853	)		-			(2,243,509	)		-			(342,522	)
	-			(8,580,477	)		-			(4,388,180	)		-			(551,676	)
	-			(12,255,475	)		-			(6,663,863	)		-			(897,204	)
	-			(149	)		-			-			-			(173	)
	-			(5,367	)		-			-			-			(173	)
	-			(221,790	)		-			-			-			(40,924	)
	-			(561,005	)		-			-			-			(72,100	)
	-			(788,311	)		-			-			-			(113,370	)
	826,783			102,720			6,600,005			101,947			168,159			101,786
	217,648			3,474,248			(586,655	)		1,881,672			-			101,766
	(12,361,133	)		152,145,278			(21,473,410	)		127,925,113			164,478			24,081,317
	(46,442,855	)		385,282,929			(30,456,509	)		269,025,816			(665,246	)		41,969,292
	(57,759,557	)		541,005,175			(45,916,569	)		398,934,548			(332,609	)		66,254,161
	(30,136,853	)		514,689,986			(22,528,679	)		373,398,939			3,813,615			61,574,418
	514,689,986			-			373,398,939			-			61,574,418			-
$	484,553,133		$	514,689,986		$	350,870,260		$	373,398,939		$	65,388,033		$	61,574,418
$	(827,179	)	$	983		$	(588,524	)	$	701		$	(96,117	)	$	114

35

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART In Retirement Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(121,001	)	$	2,094,363
Net realized gain (loss) on investment transactions		1,398,231			12,658,967
Net change in unrealized appreciation (depreciation) on investments		2,777,370			(12,129,410	)
Net increase (decrease) in net assets resulting from operations		4,054,600			2,623,920
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(376,105	)
Class Y		-			(598,239	)
Class L		-			(878,299	)
Class A		-			(773,547	)
Class N		-			(2,566	)
Total distributions from net investment income		-			(2,628,756	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		790,591			2,154,959
Class Y		(1,277,688	)		1,545,094
Class L		(2,798,724	)		(6,163,550	)
Class A		(5,880,722	)		(6,436,528	)
Class N		2,243			8,060
Increase (decrease) in net assets from fund share transactions		(9,164,300	)		(8,891,965	)
Total increase (decrease) in net assets		(5,109,700	)		(8,896,801	)
Net assets
Beginning of period		96,569,466			105,466,267
End of period	$	91,459,766		$	96,569,466
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	2,482,080		$	2,603,081
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

36

MassMutual RetireSMART 2010 Fund						MassMutual RetireSMART 2015 Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	(113,202	)	$	2,027,442		$	(1,261	)	$	41,557
	1,080,047			12,618,336			52,293			99,362
	3,973,310			(13,874,364	)		159,520			(111,546	)
	4,940,155			771,414			210,552			29,373
	-			(836,764	)		-			(34,707	)
	-			(663,636	)		-			(4,864	)
	-			(271,219	)		-			(1,939	)
	-			(550,720	)		-			(7,405	)
	-			(32,071	)		-			-
	-			(2,354,410	)		-			(48,915	)
	-			-			-			(51,467	)
	-			-			-			(7,645	)��
	-			-			-			(3,382	)
	-			-			-			(13,473	)
	-			-			-			(75,967	)
	5,321,981			1,972,903			113,884			1,547,190
	(3,735,028	)		(489,690	)		(230,781	)		191,521
	(97,699	)		(1,674,150	)		9,580			30,000
	(2,339,703	)		(5,026,211	)		37,194			285,738
	44,962			767,500			-			-
	(805,487	)		(4,449,648	)		(70,123	)		2,054,449
	4,134,668			(6,032,644	)		140,429			1,958,940
	100,962,400			106,995,044			3,281,635			1,322,695
$	105,097,068		$	100,962,400		$	3,422,064		$	3,281,635
$	2,354,961		$	2,468,163		$	(1,336	)	$	-
$	-		$	-		$	-		$	(75	)

37

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2020 Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(298,870	)	$	6,245,500
Net realized gain (loss) on investment transactions		3,954,796			32,986,857
Net change in unrealized appreciation (depreciation) on investments		18,165,979			(46,575,732	)
Net increase (decrease) in net assets resulting from operations		21,821,905			(7,343,375	)
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(2,117,608	)
Class Y		-			(1,193,382	)
Class L		-			(1,575,022	)
Class A		-			(1,311,774	)
Class N		-			(50,138	)
Total distributions from net investment income		-			(6,247,924	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		10,853,850			14,467,250
Class Y		(5,411,244	)		(4,662,614	)
Class L		(1,327,233	)		(18,902,880	)
Class A		(5,514,614	)		(4,666,847	)
Class N		13,341			2,231,289
Increase (decrease) in net assets from fund share transactions		(1,385,900	)		(11,533,802	)
Total increase (decrease) in net assets		20,436,005			(25,125,101	)
Net assets
Beginning of period		351,202,452			376,327,553
End of period	$	371,638,457		$	351,202,452
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	6,638,527		$	6,937,397
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

38

MassMutual RetireSMART 2025 Fund						MassMutual RetireSMART 2030 Fund						MassMutual RetireSMART 2035 Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	(1,968	)	$	33,548		$	(241,203	)	$	4,480,552		$	(1,427	)	$	28,244
	25,829			95,592			3,862,688			29,008,210			23,846			91,713
	98,224			(170,268	)		15,800,051			(44,266,034	)		95,327			(188,003	)
	122,085			(41,128	)		19,421,536			(10,777,272	)		117,746			(68,046	)
	-			(17,920	)		-			(1,330,822	)		-			(17,151	)
	-			(2,446	)		-			(821,724	)		-			(2,763	)
	-			(5,614	)		-			(987,803	)		-			(2,876	)
	-			(12,148	)		-			(722,275	)		-			(9,406	)
	-			-			-			(41,245	)		-			-
	-			(38,128	)		-			(3,903,869	)		-			(32,196	)
	-			(29,789	)		-			-			-			(30,638	)
	-			(4,195	)		-			-			-			(5,077	)
	-			(9,856	)		-			-			-			(5,475	)
	-			(22,927	)		-			-			-			(19,238	)
	-			(66,767	)		-			-			-			(60,428	)
	470,035			183,756			15,994,981			14,584,012			249,127			238,992
	47,342			24,133			(7,884,587	)		(1,288,589	)		47,071			60,655
	(36,904	)		197,004			(5,923,090	)		(7,735,994	)		241,855			74,192
	300,293			501,889			(2,591,943	)		(4,854,328	)		66,779			510,239
	-			-			(177	)		2,662,161			-			-
	780,766			906,782			(404,816	)		3,367,262			604,832			884,078
	902,851			760,759			19,016,720			(11,313,879	)		722,578			723,408
	2,002,231			1,241,472			289,528,125			300,842,004			1,865,233			1,141,825
$	2,905,082		$	2,002,231		$	308,544,845		$	289,528,125		$	2,587,811		$	1,865,233
$	(2,037	)	$	-		$	4,631,435		$	4,872,638		$	(1,496	)	$	-
$	-		$	(69	)	$	-		$	-		$	-		$	(69	)

39

MassMutual RetireSMART Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2040 Fund
	Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(146,518	)	$	2,456,284
Net realized gain (loss) on investment transactions		2,564,103			21,156,960
Net change in unrealized appreciation (depreciation) on investments		9,404,263			(31,078,925	)
Net increase (decrease) in net assets resulting from operations		11,821,848			(7,465,681	)
Distributions to shareholders (Note 2):
From net investment income:
Class S		-			(830,492	)
Class Y		-			(341,739	)
Class L		-			(527,108	)
Class A		-			(361,014	)
Class N		-			(31,854	)
Total distributions from net investment income		-			(2,092,207	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Class N		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		13,950,881			8,289,567
Class Y		(2,935,552	)		520,437
Class L		(1,171,830	)		(7,920,749	)
Class A		(2,132,513	)		(1,279,289	)
Class N		(62,662	)		2,461,763
Increase (decrease) in net assets from fund share transactions		7,648,324			2,071,729
Total increase (decrease) in net assets		19,470,172			(7,486,159	)
Net assets
Beginning of period		176,805,884			184,292,043
End of period	$	196,276,056		$	176,805,884
Undistributed (accumulated) net investment income (loss) included in net assets at end of period	$	2,528,749		$	2,675,267
Distributions in excess of net investment income included in net assets at end of period	$	-		$	-

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

40

MassMutual RetireSMART 2045 Fund						MassMutual RetireSMART 2050 Fund
Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011			Six Months Ended June 30, 2012 (Unaudited)			Year Ended December 31, 2011
$	(880	)	$	19,253		$	(18,098	)	$	458,653
	20,398			83,645			465,081			4,129,910
	80,626			(163,144	)		2,068,285			(6,085,772	)
	100,144			(60,246	)		2,515,268			(1,497,209	)
	-			(12,126	)		-			(294,360	)
	-			(1,887	)		-			(100,516	)
	-			(3,469	)		-			(28,347	)
	-			(4,416	)		-			(71,939	)
	-			-			-			(16,504	)
	-			(21,898	)		-			(511,666	)
	-			(31,118	)		-			(988,274	)
	-			(4,986	)		-			(345,080	)
	-			(9,339	)		-			(107,222	)
	-			(13,025	)		-			(282,956	)
	-			-			-			(70,019	)
	-			(58,468	)		-			(1,793,551	)
	63,304			51,535			(2,085,739	)		6,013,495
	(13,692	)		22,355			1,062,973			2,571,644
	(73,530	)		141,468			615,596			438,292
	88,437			220,800			1,222,512			3,332,727
	-			-			65,271			1,409,849
	64,519			436,158			880,613			13,766,007
	164,663			295,546			3,395,881			9,963,581
	1,433,301			1,137,755			34,582,922			24,619,341
$	1,597,964		$	1,433,301		$	37,978,803		$	34,582,922
$	(942	)	$	-		$	(20,240	)	$	-
$	-		$	(62	)	$	-		$	(2,142	)

41

MassMutual RetireSMART Conservative Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			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 Return ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.70	$	(0.00	) †	$	0.40		$	0.40	$	-		$	-		$	-		$	10.10		4.12%	**	$	2,768		0.13%	*		(0.02%	) *		14%	**
12/31/11 +		10.00		0.24			(0.21	)		0.03		(0.31	)		(0.02	)		(0.33	)		9.70		0.33%	**		100		0.14%	*		4.44%	*		20%	**»
Class Y
06/30/12 ≈	$	9.69	$	(0.00	) †	$	0.41		$	0.41	$	-		$	-		$	-		$	10.10		4.23%	**	$	2,723		0.17%	*		(0.10%	) *		14%	**
12/31/11 +		10.00		1.42			(1.40	)		0.02		(0.31	)		(0.02	)		(0.33	)		9.69		0.24%	**		2,684		0.18%	*		26.89%	*		20%	**»
Class L
06/30/12 ≈	$	9.70	$	(0.01	)	$	0.40		$	0.39	$	-		$	-		$	-		$	10.09		4.02%	**	$	69,676		0.25%	*		(0.18%	) *		14%	**
12/31/11 +		10.00		0.23			(0.21	)		0.02		(0.30	)		(0.02	)		(0.32	)		9.70		0.26%	**		97,539		0.26%	*		4.26%	*		20%	**»
Class A
06/30/12 ≈	$	9.70	$	(0.02	)	$	0.40		$	0.38	$	-		$	-		$	-		$	10.08		3.92%	**	$	163,556		0.50%	*		(0.43%	) *		14%	**
12/31/11 +		10.00		0.22			(0.21	)		0.01		(0.29	)		(0.02	)		(0.31	)		9.70		0.14%	**		166,103		0.51%	*		4.17%	*		20%	**»

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period June 20, 2011 (commencement of operations) through December 31, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

» Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

≈ Unaudited.

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

42

MassMutual RetireSMART Moderate Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)  ***			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 Return  ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.51	$	(0.00	) †	$	0.52		$	0.52		$	-		$	-		$	-		$	10.03		5.47%	**	$	965		0.12%	*		(0.02%	) *		9%	**
12/31/11 +		10.00		0.20			(0.43	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.28%	) **		98		0.13%	*		3.82%	*		19%	**»
Class Y
06/30/12 ≈	$	9.51	$	(0.00	) †	$	0.53		$	0.53		$	-		$	-		$	-		$	10.04		5.57%	**	$	3,818		0.16%	*		(0.06%	) *		9%	**
12/31/11 +		10.00		0.83			(1.06	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.26%	) **		3,395		0.17%	*		16.08%	*		19%	**»
Class L
06/30/12 ≈	$	9.51	$	(0.01	)	$	0.53		$	0.52		$	-		$	-		$	-		$	10.03		5.47%	**	$	139,925		0.24%	*		(0.14%	) *		9%	**
12/31/11 +		10.00		0.18			(0.42	)		(0.24	)		(0.24	)		(0.01	)		(0.25	)		9.51		(2.35%	) **		144,705		0.25%	*		3.53%	*		19%	**»
Class A
06/30/12 ≈	$	9.51	$	(0.02	)	$	0.53		$	0.51		$	-		$	-		$	-		$	10.02		5.36%	**	$	339,844		0.49%	*		(0.40%	) *		9%	**
12/31/11 +		10.00		0.18			(0.43	)		(0.25	)		(0.23	)		(0.01	)		(0.24	)		9.51		(2.47%	) **		366,492		0.50%	*		3.41%	*		19%	**»

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period June 20, 2011 (commencement of operations) through December 31, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

» Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 21% including securities received from subscriptions in-kind.

≈ Unaudited.

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

43

MassMutual RetireSMART Moderate Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Return ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.36	$	0.00	†	$	0.60		$	0.60		$	-		$	-		$	9.96		6.41%	**	$	6,494		0.13%	*		0.02%	*		10%	**
12/31/11 +		10.00		0.16			(0.62	)		(0.46	)		(0.18	)		(0.18	)		9.36		(4.55%	) **		96		0.14%	*		3.14%	*		13%	**»
Class Y
06/30/12 ≈	$	9.36	$	(0.00	)†	$	0.60		$	0.60		$	-		$	-		$	9.96		6.41%	**	$	1,400		0.17%	*		(0.08%	) *		10%	**
12/31/11 +		10.00		0.80			(1.25	)		(0.45	)		(0.19	)		(0.19	)		9.36		(4.53%	) **		1,847		0.18%	*		15.80%	*		13%	**»
Class L
06/30/12 ≈	$	9.36	$	(0.01	)	$	0.61		$	0.60		$	-		$	-		$	9.96		6.41%	**	$	105,902		0.25%	*		(0.15%	) *		10%	**
12/31/11 +		10.00		0.15			(0.61	)		(0.46	)		(0.18	)		(0.18	)		9.36		(4.61%	) **		119,858		0.26%	*		2.96%	*		13%	**»
Class A
06/30/12 ≈	$	9.36	$	(0.02	)	$	0.61		$	0.59		$	-		$	-		$	9.95		6.30%	**	$	237,074		0.50%	*		(0.40%	) *		10%	**
12/31/11 +		10.00		0.14			(0.61	)		(0.47	)		(0.17	)		(0.17	)		9.36		(4.75%	) **		251,598		0.51%	*		2.71%	*		13%	**»

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period June 20, 2011 (commencement of operations) through December 31, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

» Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 15% including securities received from subscriptions in-kind.

≈ Unaudited.

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

44

MassMutual RetireSMART Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) ***			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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.28	$	(0.00	) †	$	0.65		$	0.65		$	-		$	-		$	-		$	9.93		7.00%	**	$	275		0.21%	*		0.13%	*#		(0.01%	) *		16%	**
12/31/11 +		10.00		0.14			(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.51%	) **		95		0.27%	*		0.13%	*#		2.75%	*		14%	**»
Class Y
06/30/12 ≈	$	9.28	$	(0.00	) †	$	0.64		$	0.64		$	-		$	-		$	-		$	9.92		6.90%	**	$	101		0.25%	*		0.17%	*#		(0.06%	) *		16%	**
12/31/11 +		10.00		0.14			(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.53%	) **		95		0.31%	*		0.17%	*#		2.70%	*		14%	**»
Class L
06/30/12 ≈	$	9.28	$	(0.01	)	$	0.65		$	0.64		$	-		$	-		$	-		$	9.92		6.90%	**	$	24,055		0.33%	*		0.25%	*#		(0.13%	) *		16%	**
12/31/11 +		10.00		0.13			(0.69	)		(0.56	)		(0.14	)		(0.02	)		(0.16	)		9.28		(5.58%	) **		22,366		0.39%	*		0.25%	*#		2.57%	*		14%	**»
Class A
06/30/12 ≈	$	9.28	$	(0.02	)	$	0.65		$	0.63		$	-		$	-		$	-		$	9.91		6.79%	**	$	40,957		0.58%	*		0.50%	*#		(0.39%	) *		16%	**
12/31/11 +		10.00		0.12			(0.69	)		(0.57	)		(0.13	)		(0.02	)		(0.15	)		9.28		(5.70%	) **		39,019		0.64%	*		0.50%	*#		2.36%	*		14%	**»

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

+ For the period June 20, 2011 (commencement of operations) through December 31, 2011.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

» Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 16% including securities received from subscriptions in-kind.

≈ Unaudited.

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

45

MassMutual RetireSMART 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.84	$	(0.00	) †	$	0.42		$	0.42		$	-		$	-		$	-		$	-		$	10.26		4.27%	**	$	17,060		0.15%	*		(0.07%	) *		14%	**
12/31/11		9.86		0.26			0.01			0.27			(0.29	)		-			-			(0.29	)		9.84		2.78%			15,610		0.15%			2.62%			111%
12/31/10		9.22		0.18			0.73			0.91			(0.27	)		-			-			(0.27	)		9.86		10.04%			13,462		0.15%			1.92%			32%
12/31/09		7.68		0.18			1.36			1.54			-			-			-			-			9.22		20.05%			14,963		0.15%			2.17%			36%
12/31/08		9.98		0.36			(1.95	)		(1.59	)		(0.42	)		(0.22	)		(0.07	)		(0.71	)		7.68		(16.17%	)		16,279		0.12%			3.86%			35%
12/31/07		10.27		0.40			0.16			0.56			(0.46	)		(0.39	)		-			(0.85	)		9.98		5.55%			10,579		0.11%			3.79%			42%
Class Y
06/30/12 ≈	$	9.85	$	(0.01	)	$	0.43		$	0.42		$	-		$	-		$	-		$	-		$	10.27		4.26%	**	$	20,202		0.22%	*		(0.14%	) *		14%	**
12/31/11		9.88		0.25			0.01			0.26			(0.29	)		-			-			(0.29	)		9.85		2.66%			20,601		0.20%			2.47%			111%
12/31/10		9.23		0.24			0.67			0.91			(0.26	)		-			-			(0.26	)		9.88		10.09%			19,112		0.17%			2.51%			32%
12/31/09		7.68		0.16			1.39			1.55			-			-			-			-			9.23		20.18%			18,370		0.17%			1.98%			36%
12/31/08		9.99		0.37			(1.97	)		(1.60	)		(0.42	)		(0.22	)		(0.07	)		(0.71	)		7.68		(16.20%	)		58,457		0.14%			3.94%			35%
12/31/07		10.27		0.31			0.25			0.56			(0.45	)		(0.39	)		-			(0.84	)		9.99		5.47%			94,210		0.14%			2.92%			42%
Class L
06/30/12 ≈	$	9.84	$	(0.01	)	$	0.43		$	0.42		$	-		$	-		$	-		$	-		$	10.26		4.27%	**	$	30,134		0.32%	*		(0.24%	) *		14%	**
12/31/11		9.87		0.20			0.04			0.24			(0.27	)		-			-			(0.27	)		9.84		2.52%			31,554		0.30%			1.98%			111%
12/31/10		9.22		0.21			0.69			0.90			(0.25	)		-			-			(0.25	)		9.87		9.98%			37,663		0.27%			2.21%			32%
12/31/09		7.69		0.17			1.36			1.53			-			-			-			-			9.22		19.90%			38,375		0.27%			2.05%			36%
12/31/08		9.99		0.34			(1.95	)		(1.61	)		(0.41	)		(0.22	)		(0.06	)		(0.69	)		7.69		(16.29%	)		55,874		0.24%			3.61%			35%
12/31/07		10.27		0.36			0.19			0.55			(0.44	)		(0.39	)		-			(0.83	)		9.99		5.43%			88,901		0.23%			3.45%			42%
Class A
06/30/12 ≈	$	9.76	$	(0.02	)	$	0.42		$	0.40		$	-		$	-		$	-		$	-		$	10.16		4.10%	**	$	23,946		0.56%	*		(0.49%	) *		14%	**
12/31/11		9.79		0.17			0.05			0.22			(0.25	)		-			-			(0.25	)		9.76		2.27%			28,693		0.55%			1.68%			111%
12/31/10		9.15		0.19			0.68			0.87			(0.23	)		-			-			(0.23	)		9.79		9.67%			35,125		0.52%			1.99%			32%
12/31/09		7.65		0.16			1.34			1.50			-			-			-			-			9.15		19.61%			34,104		0.52%			1.94%			36%
12/31/08		9.95		0.39			(2.01	)		(1.62	)		(0.40	)		(0.22	)		(0.06	)		(0.68	)		7.65		(16.46%	)		43,223		0.49%			4.27%			35%
12/31/07		10.23		0.34			0.18			0.52			(0.41	)		(0.39	)		-			(0.80	)		9.95		5.10%			52,667		0.48%			3.24%			42%
Class N
06/30/12 ≈	$	9.76	$	(0.04	)	$	0.43		$	0.39		$	-		$	-		$	-		$	-		$	10.15		4.00%	**	$	118		0.87%	*		(0.79%	) *		14%	**
12/31/11		9.80		0.17			0.02			0.19			(0.23	)		-			-			(0.23	)		9.76		1.95%			112		0.85%			1.68%			111%
12/31/10		9.16		0.16			0.69			0.85			(0.21	)		-			-			(0.21	)		9.80		9.40%			104		0.82%			1.66%			32%
12/31/09		7.68		0.16			1.32			1.48			-			-			-			-			9.16		19.27%			105		0.82%			1.98%			36%
12/31/08		9.98		0.32			(1.98	)		(1.66	)		(0.36	)		(0.22	)		(0.06	)		(0.64	)		7.68		(16.76%	)		89		0.79%			3.42%			35%
12/31/07		10.26		0.31			0.18			0.49			(0.38	)		(0.39	)		-			(0.77	)		9.98		4.78%			124		0.78%			3.01%			42%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

46

MassMutual RetireSMART 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.96	$	(0.00	) †	$	0.49		$	0.49		$	-		$	-		$	-		$	-		$	10.45		4.92%	**	$	41,636		0.14%	*		N/A			(0.05%	) *		16%	**
12/31/11		10.11		0.21			(0.12	)		0.09			(0.24	)		-			-			(0.24	)		9.96		0.98%			34,639		0.14%			N/A			2.08%			108%
12/31/10		9.26		0.14			0.94			1.08			(0.23	)		-			-			(0.23	)		10.11		11.95%			33,281		0.14%			N/A			1.52%			38%
12/31/09		7.40		0.17			1.69			1.86			-			-			-			-			9.26		25.14%			43,844		0.14%			N/A			2.07%			39%
12/31/08		10.70		0.29			(2.90	)		(2.61	)		(0.34	)		(0.24	)		(0.11	)		(0.69	)		7.40		(24.75%	)		32,208		0.12%			N/A			2.98%			35%
12/31/07		10.83		0.42			0.21			0.63			(0.43	)		(0.33	)		-			(0.76	)		10.70		5.92%			38,230		0.11%			0.11%	##		3.73%			43%
Class Y
06/30/12 ≈	$	9.94	$	(0.01	)	$	0.50		$	0.49		$	-		$	-		$	-		$	-		$	10.43		4.93%	**	$	24,588		0.23%	*		N/A			(0.15%	) *		16%	**
12/31/11		10.10		0.21			(0.13	)		0.08			(0.24	)		-			-			(0.24	)		9.94		0.84%			26,949		0.22%			N/A			2.09%			108%
12/31/10		9.25		0.20			0.88			1.08			(0.23	)		-			-			(0.23	)		10.10		11.89%			27,844		0.19%			N/A			2.14%			38%
12/31/09		7.39		0.13			1.73			1.86			-			-			-			-			9.25		25.17%			27,126		0.19%			N/A			1.69%			39%
12/31/08		10.69		0.27			(2.89	)		(2.62	)		(0.33	)		(0.24	)		(0.11	)		(0.68	)		7.39		(24.84%	)		39,901		0.17%			N/A			2.78%			35%
12/31/07		10.82		0.36			0.26			0.62			(0.42	)		(0.33	)		-			(0.75	)		10.69		5.84%			79,314		0.16%			0.16%	##		3.23%			43%
Class L
06/30/12 ≈	$	9.94	$	(0.01	)	$	0.49		$	0.48		$	-		$	-		$	-		$	-		$	10.42		4.83%	**	$	11,718		0.33%	*		N/A			(0.24%	) *		16%	**
12/31/11		10.09		0.18			(0.10	)		0.08			(0.23	)		-			-			(0.23	)		9.94		0.82%			11,270		0.32%			N/A			1.75%			108%
12/31/10		9.24		0.18			0.88			1.06			(0.21	)		-			-			(0.21	)		10.09		11.74%			13,103		0.29%			N/A			1.84%			38%
12/31/09		7.39		0.11			1.74			1.85			-			-			-			-			9.24		25.03%			13,710		0.29%			N/A			1.39%			39%
12/31/08		10.69		0.26			(2.89	)		(2.63	)		(0.32	)		(0.24	)		(0.11	)		(0.67	)		7.39		(24.95%	)		35,333		0.27%			N/A			2.68%			35%
12/31/07		10.82		0.34			0.27			0.61			(0.41	)		(0.33	)		-			(0.74	)		10.69		5.82%			59,582		0.26%			0.26%	##		3.02%			43%
Class A
06/30/12 ≈	$	9.88	$	(0.03	)	$	0.50		$	0.47		$	-		$	-		$	-		$	-		$	10.35		4.76%	**	$	25,843		0.58%	*		N/A			(0.50%	) *		16%	**
12/31/11		10.02		0.16			(0.10	)		0.06			(0.20	)		-			-			(0.20	)		9.88		0.61%			26,892		0.57%			N/A			1.55%			108%
12/31/10		9.18		0.15			0.88			1.03			(0.19	)		-			-			(0.19	)		10.02		11.45%			32,254		0.54%			N/A			1.57%			38%
12/31/09		7.37		0.12			1.69			1.81			-			-			-			-			9.18		24.56%			35,657		0.54%			N/A			1.55%			39%
12/31/08		10.64		0.23			(2.86	)		(2.63	)		(0.30	)		(0.24	)		(0.10	)		(0.64	)		7.37		(25.05%	)		38,451		0.52%			N/A			2.40%			35%
12/31/07		10.77		0.31			0.27			0.58			(0.38	)		(0.33	)		-			(0.71	)		10.64		5.51%			72,786		0.51%			0.51%	##		2.77%			43%
Class N
06/30/12 ≈	$	9.82	$	(0.04	)	$	0.50		$	0.46		$	-		$	-		$	-		$	-		$	10.28		4.68%	**	$	1,313		0.88%	*		N/A			(0.79%	) *		16%	**
12/31/11		10.02		0.21			(0.19	)		0.02			(0.22	)		-			-			(0.22	)		9.82		0.25%			1,212		0.87%			N/A			2.07%			108%
12/31/10		9.18		0.12			0.88			1.00			(0.16	)		-			-			(0.16	)		10.02		11.03%			513		0.84%			N/A			1.29%			38%
12/31/09		7.38		0.10			1.70			1.80			-			-			-			-			9.18		24.39%			553		0.84%			N/A			1.29%			39%
12/31/08		10.64		0.20			(2.85	)		(2.65	)		(0.28	)		(0.24	)		(0.09	)		(0.61	)		7.38		(25.30%	)		499		0.82%			N/A			2.07%			35%
12/31/07		10.80		0.43			0.12			0.55			(0.38	)		(0.33	)		-			(0.71	)		10.64		5.14%			859		0.81%			0.81%	##		3.89%			43%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

47

MassMutual RetireSMART 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) ***			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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	10.25	$	0.00	†	$	0.59		$	0.59		$	-		$	-		$	-		$	10.84		5.76%	**	$	2,517		1.83%	*		0.10%	*#		0.01%	*		41%	**
12/31/11		10.73		0.24			(0.27	)		(0.03	)		(0.17	)		(0.28	)		(0.45	)		10.25		(0.31%	)		2,255		3.80%			0.10%	#		2.24%			82%
12/31/10 +		10.00		0.20			0.75			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.54%	**		767		4.82%	*		0.10%	*#		2.60%	*		12%	**
Class Y
06/30/12 ≈	$	10.25	$	(0.00	) †	$	0.59		$	0.59		$	-		$	-		$	-		$	10.84		5.76%	**	$	116		1.92%	*		0.15%	*#		(0.08%	) *		41%	**
12/31/11		10.73		0.27			(0.31	)		(0.04	)		(0.16	)		(0.28	)		(0.44	)		10.25		(0.35%	)		323		3.87%			0.15%	#		2.50%			82%
12/31/10 +		10.00		0.19			0.76			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.52%	**		143		4.87%	*		0.15%	*#		2.53%	*		12%	**
Class L
06/30/12 ≈	$	10.25	$	(0.01	)	$	0.59		$	0.58		$	-		$	-		$	-		$	10.83		5.66%	**	$	153		2.02%	*		0.25%	*#		(0.14%	) *		41%	**
12/31/11		10.73		0.25			(0.30	)		(0.05	)		(0.15	)		(0.28	)		(0.43	)		10.25		(0.45%	)		135		3.97%			0.25%	#		2.33%			82%
12/31/10 +		10.00		0.19			0.75			0.94			(0.20	)		(0.01	)		(0.21	)		10.73		9.43%	**		111		4.97%	*		0.25%	*#		2.47%	*		12%	**
Class A
06/30/12 ≈	$	10.22	$	(0.02	)	$	0.59		$	0.57		$	-		$	-		$	-		$	10.79		5.58%	**	$	637		2.27%	*		0.50%	*#		(0.39%	) *		41%	**
12/31/11		10.71		0.31			(0.38	)		(0.07	)		(0.14	)		(0.28	)		(0.42	)		10.22		(0.67%	)		568		4.23%			0.50%	#		2.88%			82%
12/31/10 +		10.00		0.31			0.61			0.92			(0.20	)		(0.01	)		(0.21	)		10.71		9.17%	**		302		5.22%	*		0.50%	*#		4.01%	*		12%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

48

MassMutual RetireSMART 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			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			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.43	$	0.00	†	$	0.59		$	0.59		$	-		$	-		$	-		$	-		$	10.02		6.26%	**	$	132,318		0.10%	*		0.01%	*		17%	**
12/31/11		9.79		0.19			(0.37	)		(0.18	)		(0.18	)		-			-			(0.18	)		9.43		(1.78%	)		114,389		0.11%			1.96%			80%
12/31/10		8.74		0.14			1.07			1.21			(0.16	)		-			-			(0.16	)		9.79		14.18%			104,532		0.11%			1.56%			32%
12/31/09		6.68		0.11			1.95			2.06			-			-			-			-			8.74		30.84%			100,371		0.11%			1.49%			30%
12/31/08		10.84		0.21			(3.64	)		(3.43	)		(0.24	)		(0.36	)		(0.13	)		(0.73	)		6.68		(32.42%	)		65,951		0.10%			2.28%			32%
12/31/07		11.26		0.25			0.36			0.61			(0.35	)		(0.68	)		-			(1.03	)		10.84		5.59%			95,204		0.10%			2.20%			49%
Class Y
06/30/12 ≈	$	9.41	$	(0.00	) †	$	0.59		$	0.59		$	-		$	-		$	-		$	-		$	10.00		6.27%	**	$	58,990		0.19%	*		(0.08%	) *		17%	**
12/31/11		9.77		0.17			(0.35	)		(0.18	)		(0.18	)		-			-			(0.18	)		9.41		(1.83%	)		60,388		0.18%			1.76%			80%
12/31/10		8.73		0.15			1.05			1.20			(0.16	)		-			-			(0.16	)		9.77		14.01%			67,560		0.16%			1.72%			32%
12/31/09		6.67		0.09			1.97			2.06			-			-			-			-			8.73		30.88%			63,845		0.16%			1.18%			30%
12/31/08		10.82		0.21			(3.63	)		(3.42	)		(0.24	)		(0.36	)		(0.13	)		(0.73	)		6.67		(32.43%	)		77,838		0.15%			2.27%			32%
12/31/07		11.25		0.23			0.37			0.60			(0.35	)		(0.68	)		-			(1.03	)		10.82		5.45%			135,650		0.15%			2.01%			49%
Class L
06/30/12 ≈	$	9.42	$	(0.01	)	$	0.59		$	0.58		$	-		$	-		$	-		$	-		$	10.00		6.16%	**	$	91,696		0.29%	*		(0.18%	) *		17%	**
12/31/11		9.78		0.15			(0.35	)		(0.20	)		(0.16	)		-			-			(0.16	)		9.42		(1.96%	)		87,577		0.28%			1.54%			80%
12/31/10		8.74		0.13			1.06			1.19			(0.15	)		-			-			(0.15	)		9.78		13.86%			109,419		0.26%			1.46%			32%
12/31/09		6.68		0.08			1.98			2.06			-			-			-			-			8.74		30.84%			114,640		0.26%			1.09%			30%
12/31/08		10.83		0.19			(3.62	)		(3.43	)		(0.24	)		(0.36	)		(0.12	)		(0.72	)		6.68		(32.52%	)		137,142		0.25%			2.00%			32%
12/31/07		11.25		0.20			0.40			0.60			(0.34	)		(0.68	)		-			(1.02	)		10.83		5.43%			266,837		0.25%			1.71%			49%
Class A
06/30/12 ≈	$	9.34	$	(0.02	)	$	0.59		$	0.57		$	-		$	-		$	-		$	-		$	9.91		6.10%	**	$	85,887		0.54%	*		(0.43%	) *		17%	**
12/31/11		9.70		0.14			(0.36	)		(0.22	)		(0.14	)		-			-			(0.14	)		9.34		(2.22%	)		86,264		0.53%			1.43%			80%
12/31/10		8.67		0.11			1.05			1.16			(0.13	)		-			-			(0.13	)		9.70		13.61%			94,230		0.51%			1.25%			32%
12/31/09		6.65		0.07			1.95			2.02			-			-			-			-			8.67		30.38%			94,170		0.51%			0.96%			30%
12/31/08		10.77		0.17			(3.60	)		(3.43	)		(0.21	)		(0.36	)		(0.12	)		(0.69	)		6.65		(32.66%	)		88,113		0.50%			1.80%			32%
12/31/07		11.20		0.19			0.37			0.56			(0.31	)		(0.68	)		-			(0.99	)		10.77		5.14%			173,715		0.50%			1.63%			49%
Class N
06/30/12 ≈	$	9.26	$	(0.04	)	$	0.59		$	0.55		$	-		$	-		$	-		$	-		$	9.81		5.94%	**	$	2,748		0.84%	*		(0.73%	) *		17%	**
12/31/11		9.67		0.26			(0.50	)		(0.24	)		(0.17	)		-			-			(0.17	)		9.26		(2.45%	)		2,584		0.84%			2.76%			80%
12/31/10		8.64		0.08			1.05			1.13			(0.10	)		-			-			(0.10	)		9.67		13.31%			586		0.81%			0.94%			32%
12/31/09		6.65		0.04			1.95			1.99			-			-			-			-			8.64		29.92%			554		0.82%			0.57%			30%
12/31/08		10.78		0.19			(3.64	)		(3.45	)		(0.21	)		(0.36	)		(0.11	)		(0.68	)		6.65		(32.85%	)		426		0.80%			2.11%			32%
12/31/07		11.22		0.19			0.34			0.53			(0.29	)		(0.68	)		-			(0.97	)		10.78		4.86%			510		0.80%			1.69%			49%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

49

MassMutual RetireSMART 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) ***			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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.97	$	0.00	†	$	0.64		$	0.64		$	-		$	-		$	-		$	10.61		6.42%	**	$	1,402		2.38%	*		0.10%	*#		0.03%	*		27%	**
12/31/11		10.85		0.22			(0.53	)		(0.31	)		(0.21	)		(0.36	)		(0.57	)		9.97		(2.79%	)		885		4.29%			0.10%	#		2.02%			66%
12/31/10 +		10.00		0.16			0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.25%	**		772		5.04%	*		0.10%	*#		2.13%	*		11%	**
Class Y
06/30/12 ≈	$	9.97	$	(0.00	) †	$	0.64		$	0.64		$	-		$	-		$	-		$	10.61		6.42%	**	$	180		2.47%	*		0.15%	*#		(0.01%	) *		27%	**
12/31/11		10.85		0.20			(0.51	)		(0.31	)		(0.21	)		(0.36	)		(0.57	)		9.97		(2.84%	)		125		4.36%			0.15%	#		1.86%			66%
12/31/10 +		10.00		0.16			0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.21%	**		110		5.09%	*		0.15%	*#		2.09%	*		11%	**
Class L
06/30/12 ≈	$	9.97	$	(0.01	)	$	0.63		$	0.62		$	-		$	-		$	-		$	10.59		6.22%	**	$	276		2.57%	*		0.25%	*#		(0.15%	) *		27%	**
12/31/11		10.85		0.31			(0.63	)		(0.32	)		(0.20	)		(0.36	)		(0.56	)		9.97		(2.89%	)		291		4.47%			0.25%	#		2.89%			66%
12/31/10 +		10.00		0.15			0.86			1.01			(0.16	)		-			(0.16	)		10.85		10.13%	**		110		5.19%	*		0.25%	*#		1.98%	*		11%	**
Class A
06/30/12 ≈	$	9.95	$	(0.02	)	$	0.63		$	0.61		$	-		$	-		$	-		$	10.56		6.13%	**	$	1,046		2.82%	*		0.50%	*#		(0.38%	) *		27%	**
12/31/11		10.84		0.24			(0.59	)		(0.35	)		(0.18	)		(0.36	)		(0.54	)		9.95		(3.16%	)		701		4.71%			0.50%	#		2.19%			66%
12/31/10 +		10.00		0.24			0.76			1.00			(0.16	)		-			(0.16	)		10.84		9.98%	**		249		5.44%	*		0.50%	*#		3.10%	*		11%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

50

MassMutual RetireSMART 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.34	$	0.00	†	$	0.63		$	0.63		$	-		$	-		$	-		$	-		$	9.97		6.75%	**	$	118,652		0.11%	*		N/A			0.01%	*		18%	**
12/31/11		9.81		0.17			(0.50	)		(0.33	)		(0.14	)		-			-			(0.14	)		9.34		(3.32%	)		96,501		0.11%			N/A			1.75%			74%
12/31/10		8.67		0.12			1.15			1.27			(0.13	)		-			-			(0.13	)		9.81		14.95%			86,541		0.11%			N/A			1.34%			29%
12/31/09		6.49		0.08			2.10			2.18			-			-			-			-			8.67		33.59%			75,977		0.12%			N/A			1.09%			34%
12/31/08		11.57		0.16			(4.40	)		(4.24	)		(0.17	)		(0.53	)		(0.14	)		(0.84	)		6.49		(37.94%	)		41,482		0.11%			N/A			1.62%			31%
12/31/07		12.11		0.18			0.57			0.75			(0.30	)		(0.99	)		-			(1.29	)		11.57		6.18%			68,224		0.10%			0.10%	##		1.46%			52%
Class Y
06/30/12 ≈	$	9.32	$	(0.00	) †	$	0.62		$	0.62		$	-		$	-		$	-		$	-		$	9.94		6.65%	**	$	48,686		0.20%	*		N/A			(0.08%	) *		18%	**
12/31/11		9.80		0.15			(0.49	)		(0.34	)		(0.14	)		-			-			(0.14	)		9.32		(3.47%	)		52,742		0.18%			N/A			1.54%			74%
12/31/10		8.65		0.12			1.16			1.28			(0.13	)		-			-			(0.13	)		9.80		15.03%			56,940		0.16%			N/A			1.40%			29%
12/31/09		6.48		0.06			2.11			2.17			-			-			-			-			8.65		33.49%			54,828		0.17%			N/A			0.84%			34%
12/31/08		11.55		0.16			(4.39	)		(4.23	)		(0.17	)		(0.53	)		(0.14	)		(0.84	)		6.48		(37.97%	)		54,289		0.16%			N/A			1.72%			31%
12/31/07		12.10		0.16			0.57			0.73			(0.29	)		(0.99	)		-			(1.28	)		11.55		6.13%			89,727		0.15%			0.15%	##		1.27%			52%
Class L
06/30/12 ≈	$	9.34	$	(0.01	)	$	0.62		$	0.61		$	-		$	-		$	-		$	-		$	9.95		6.53%	**	$	70,558		0.30%	*		N/A			(0.18%	) *		18%	**
12/31/11		9.81		0.14			(0.49	)		(0.35	)		(0.12	)		-			-			(0.12	)		9.34		(3.50%	)		71,616		0.28%			N/A			1.38%			74%
12/31/10		8.66		0.10			1.17			1.27			(0.12	)		-			-			(0.12	)		9.81		14.86%			83,008		0.26%			N/A			1.14%			29%
12/31/09		6.50		0.05			2.11			2.16			-			-			-			-			8.66		33.23%			91,974		0.27%			N/A			0.69%			34%
12/31/08		11.56		0.14			(4.37	)		(4.23	)		(0.17	)		(0.53	)		(0.13	)		(0.83	)		6.50		(37.94%	)		107,171		0.26%			N/A			1.44%			31%
12/31/07		12.11		0.13			0.59			0.72			(0.28	)		(0.99	)		-			(1.27	)		11.56		6.01%			217,725		0.25%			0.25%	##		1.07%			52%
Class A
06/30/12 ≈	$	9.26	$	(0.02	)	$	0.61		$	0.59		$	-		$	-		$	-		$	-		$	9.85		6.37%	**	$	67,682		0.55%	*		N/A			(0.43%	) *		18%	**
12/31/11		9.72		0.12			(0.48	)		(0.36	)		(0.10	)		-			-			(0.10	)		9.26		(3.67%	)		65,876		0.53%			N/A			1.19%			74%
12/31/10		8.58		0.08			1.16			1.24			(0.10	)		-			-			(0.10	)		9.72		14.62%			73,960		0.51%			N/A			0.95%			29%
12/31/09		6.46		0.04			2.08			2.12			-			-			-			-			8.58		32.82%			71,661		0.52%			N/A			0.50%			34%
12/31/08		11.49		0.12			(4.35	)		(4.23	)		(0.15	)		(0.53	)		(0.12	)		(0.80	)		6.46		(38.13%	)		71,231		0.50%			N/A			1.22%			31%
12/31/07		12.05		0.12			0.57			0.69			(0.26	)		(0.99	)		-			(1.25	)		11.49		5.76%			142,956		0.50%			0.50%	##		0.96%			52%
Class N
06/30/12 ≈	$	9.19	$	(0.04	)	$	0.62		$	0.58		$	-		$	-		$	-		$	-		$	9.77		6.31%	**	$	2,966		0.85%	*		N/A			(0.73%	) *		18%	**
12/31/11		9.71		0.25			(0.64	)		(0.39	)		(0.13	)		-			-			(0.13	)		9.19		(3.95%	)		2,793		0.84%			N/A			2.75%			74%
12/31/10		8.58		0.06			1.14			1.20			(0.07	)		-			-			(0.07	)		9.71		14.18%			383		0.81%			N/A			0.65%			29%
12/31/09		6.47		0.02			2.09			2.11			-			-			-			-			8.58		32.61%			387		0.82%			N/A			0.26%			34%
12/31/08		11.51		0.11			(4.37	)		(4.26	)		(0.14	)		(0.53	)		(0.11	)		(0.78	)		6.47		(38.35%	)		189		0.81%			N/A			1.14%			31%
12/31/07		12.07		0.09			0.57			0.66			(0.23	)		(0.99	)		-			(1.22	)		11.51		5.51%			324		0.80%			0.80%	##		0.74%			52%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

51

MassMutual RetireSMART 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) ***			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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.96	$	0.00	†	$	0.66		$	0.66		$	-		$	-		$	-		$	10.62		6.63%	**	$	1,241		2.66%	*		0.10%	*#		0.03%	*		25%	**
12/31/11		10.89		0.20			(0.60	)		(0.40	)		(0.19	)		(0.34	)		(0.53	)		9.96		(3.60%	)		936		4.17%			0.10%	#		1.81%			63%
12/31/10 +		10.00		0.14			0.91			1.05			(0.16	)		-			(0.16	)		10.89		10.46%	**		773		5.11%	*		0.10%	*#		1.92%	*		10%	**
Class Y
06/30/12 ≈	$	9.96	$	(0.00	) †	$	0.66		$	0.66		$	-		$	-		$	-		$	10.62		6.63%	**	$	215		2.75%	*		0.15%	*#		(0.02%	) *		25%	**
12/31/11		10.89		0.18			(0.58	)		(0.40	)		(0.19	)		(0.34	)		(0.53	)		9.96		(3.65%	)		155		4.24%			0.15%	#		1.63%			63%
12/31/10 +		10.00		0.14			0.90			1.04			(0.15	)		-			(0.15	)		10.89		10.42%	**		111		5.16%	*		0.15%	*#		1.87%	*		10%	**
Class L
06/30/12 ≈	$	9.96	$	(0.01	)	$	0.66		$	0.65		$	-		$	-		$	-		$	10.61		6.53%	**	$	421		2.85%	*		0.25%	*#		(0.11%	) *		25%	**
12/31/11		10.89		0.19			(0.60	)		(0.41	)		(0.18	)		(0.34	)		(0.52	)		9.96		(3.73%	)		171		4.34%			0.25%	#		1.75%			63%
12/31/10 +		10.00		0.13			0.90			1.03			(0.14	)		-			(0.14	)		10.89		10.35%	**		112		5.26%	*		0.25%	*#		1.78%	*		10%	**
Class A
06/30/12 ≈	$	9.94	$	(0.02	)	$	0.65		$	0.63		$	-		$	-		$	-		$	10.57		6.34%	**	$	710		3.10%	*		0.50%	*#		(0.37%	) *		25%	**
12/31/11		10.88		0.21			(0.65	)		(0.44	)		(0.16	)		(0.34	)		(0.50	)		9.94		(3.96%	)		603		4.59%			0.50%	#		1.93%			63%
12/31/10 +		10.00		0.13			0.88			1.01			(0.13	)		-			(0.13	)		10.88		10.10%	**		146		5.51%	*		0.50%	*#		1.78%	*		10%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

52

MassMutual RetireSMART 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.35	$	0.00	†	$	0.63		$	0.63		$	-		$	-		$	-		$	-		$	9.98		6.74%	**	$	84,768		0.11%	*		N/A			0.01%	*		15%	**
12/31/11		9.85		0.15			(0.53	)		(0.38	)		(0.12	)		-			-			(0.12	)		9.35		(3.79%	)		66,537		0.11%			N/A			1.55%			75%
12/31/10		8.65		0.11			1.20			1.31			(0.11	)		-			-			(0.11	)		9.85		15.40%			61,781		0.11%			N/A			1.25%			32%
12/31/09		6.45		0.07			2.13			2.20			-			-			-			-			8.65		34.11%			50,292		0.12%			N/A			0.93%			34%
12/31/08		11.84		0.15			(4.67	)		(4.52	)		(0.15	)		(0.56	)		(0.16	)		(0.87	)		6.45		(39.54%	)		27,000		0.11%			N/A			1.55%			38%
12/31/07		12.45		0.17			0.64			0.81			(0.30	)		(1.12	)		-			(1.42	)		11.84		6.63%			44,098		0.10%			0.10%	##		1.31%			50%
Class Y
06/30/12 ≈	$	9.33	$	(0.00	) †	$	0.63		$	0.63		$	-		$	-		$	-		$	-		$	9.96		6.75%	**	$	23,924		0.20%	*		N/A			(0.08%	) *		15%	**
12/31/11		9.84		0.14			(0.53	)		(0.39	)		(0.12	)		-			-			(0.12	)		9.33		(3.94%	)		24,981		0.18%			N/A			1.44%			75%
12/31/10		8.64		0.11			1.19			1.30			(0.10	)		-			-			(0.10	)		9.84		15.33%			25,886		0.16%			N/A			1.23%			32%
12/31/09		6.45		0.04			2.15			2.19			-			-			-			-			8.64		33.95%			24,096		0.17%			N/A			0.56%			34%
12/31/08		11.83		0.15			(4.66	)		(4.51	)		(0.15	)		(0.56	)		(0.16	)		(0.87	)		6.45		(39.52%	)		30,695		0.16%			N/A			1.59%			38%
12/31/07		12.44		0.16			0.65			0.81			(0.30	)		(1.12	)		-			(1.42	)		11.83		6.60%			47,208		0.15%			0.15%	##		1.27%			50%
Class L
06/30/12 ≈	$	9.34	$	(0.01	)	$	0.63		$	0.62		$	-		$	-		$	-		$	-		$	9.96		6.64%	**	$	43,455		0.30%	*		N/A			(0.18%	) *		15%	**
12/31/11		9.84		0.11			(0.50	)		(0.39	)		(0.11	)		-			-			(0.11	)		9.34		(3.97%	)		41,791		0.28%			N/A			1.15%			75%
12/31/10		8.64		0.09			1.20			1.29			(0.09	)		-			-			(0.09	)		9.84		15.18%			52,011		0.26%			N/A			0.98%			32%
12/31/09		6.45		0.03			2.16			2.19			-			-			-			-			8.64		33.95%			56,485		0.27%			N/A			0.50%			34%
12/31/08		11.84		0.13			(4.66	)		(4.53	)		(0.15	)		(0.56	)		(0.15	)		(0.86	)		6.45		(39.68%	)		67,643		0.26%			N/A			1.28%			38%
12/31/07		12.45		0.13			0.67			0.80			(0.29	)		(1.12	)		-			(1.41	)		11.84		6.49%			142,858		0.25%			0.25%	##		0.97%			50%
Class A
06/30/12 ≈	$	9.25	$	(0.02	)	$	0.63		$	0.61		$	-		$	-		$	-		$	-		$	9.86		6.59%	**	$	41,530		0.55%	*		N/A			(0.43%	) *		15%	**
12/31/11		9.75		0.10			(0.52	)		(0.42	)		(0.08	)		-			-			(0.08	)		9.25		(4.24%	)		40,995		0.53%			N/A			1.08%			75%
12/31/10		8.57		0.07			1.19			1.26			(0.08	)		-			-			(0.08	)		9.75		14.86%			44,328		0.51%			N/A			0.80%			32%
12/31/09		6.41		0.02			2.14			2.16			-			-			-			-			8.57		33.70%			40,898		0.52%			N/A			0.35%			34%
12/31/08		11.76		0.11			(4.62	)		(4.51	)		(0.14	)		(0.56	)		(0.14	)		(0.84	)		6.41		(39.80%	)		35,855		0.51%			N/A			1.15%			38%
12/31/07		12.39		0.11			0.64			0.75			(0.26	)		(1.12	)		-			(1.38	)		11.76		6.16%			65,604		0.50%			0.50%	##		0.88%			50%
Class N
06/30/12 ≈	$	9.19	$	(0.04	)	$	0.62		$	0.58		$	-		$	-		$	-		$	-		$	9.77		6.31%	**	$	2,598		0.85%	*		N/A			(0.73%	) *		15%	**
12/31/11		9.74		0.23			(0.66	)		(0.43	)		(0.12	)		-			-			(0.12	)		9.19		(4.41%	)		2,502		0.85%			N/A			2.53%			75%
12/31/08		8.57		0.05			1.18			1.23			(0.06	)		-			-			(0.06	)		9.74		14.52%			286		0.81%			N/A			0.55%			32%
12/31/09		6.44		0.02			2.11			2.13			-			-			-			-			8.57		33.07%			257		0.82%			N/A			0.28%			34%
12/31/08		11.79		0.09			(4.63	)		(4.54	)		(0.12	)		(0.56	)		(0.13	)		(0.81	)		6.44		(39.91%	)		132		0.81%			N/A			0.97%			38%
12/31/07		12.41		0.06			0.66			0.72			(0.22	)		(1.12	)		-			(1.34	)		11.79		5.90%			226		0.80%			0.80%	##		0.49%			50%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

## Amount waived had no impact on the ratio of expenses to average daily net assets.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

53

MassMutual RetireSMART 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) ***			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 Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	9.86	$	0.00	†	$	0.68		$	0.68		$	-		$	-		$	-		$	10.54		6.90%	**	$	864		3.96%	*		0.10%	*#		0.02%	*		33%	**
12/31/11		10.96		0.15			(0.65	)		(0.50	)		(0.17	)		(0.43	)		(0.60	)		9.86		(4.53%	)		750		5.19%			0.10%	#		1.39%			56%
12/31/10 +		10.00		0.13			0.96			1.09			(0.13	)		-			(0.13	)		10.96		10.94%	**		777		5.15%	*		0.10%	*#		1.69%	*		8%	**
Class Y
06/30/12 ≈	$	9.87	$	(0.00	) †	$	0.67		$	0.67		$	-		$	-		$	-		$	10.54		6.79%	**	$	115		4.05%	*		0.15%	*#		(0.03%	) *		33%	**
12/31/11		10.96		0.15			(0.65	)		(0.50	)		(0.16	)		(0.43	)		(0.59	)		9.87		(4.48%	)		121		5.26%			0.15%	#		1.40%			56%
12/31/10 +		10.00		0.12			0.97			1.09			(0.13	)		-			(0.13	)		10.96		10.90%	**		111		5.20%	*		0.15%	*#		1.64%	*		8%	**
Class L
06/30/12 ≈	$	9.86	$	(0.01	)	$	0.68		$	0.67		$	-		$	-		$	-		$	10.53		6.80%	**	$	176		4.15%	*		0.25%	*#		(0.14%	) *		33%	**
12/31/11		10.96		0.22			(0.73	)		(0.51	)		(0.16	)		(0.43	)		(0.59	)		9.86		(4.61%	)		231		5.37%			0.25%	#		2.01%			56%
12/31/10 +		10.00		0.12			0.96			1.08			(0.12	)		-			(0.12	)		10.96		10.82%	**		111		5.30%	*		0.25%	*#		1.54%	*		8%	**
Class A
06/30/12 ≈	$	9.84	$	(0.02	)	$	0.68		$	0.66		$	-		$	-		$	-		$	10.50		6.71%	**	$	443		4.40%	*		0.50%	*#		(0.37%	) *		33%	**
12/31/11		10.95		0.19			(0.73	)		(0.54	)		(0.14	)		(0.43	)		(0.57	)		9.84		(4.86%	)		331		5.61%			0.50%	#		1.78%			56%
12/31/10 +		10.00		0.11			0.95			1.06			(0.11	)		-			(0.11	)		10.95		10.58%	**		139		5.55%	*		0.50%	*#		1.51%	*		8%	**

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period April 1, 2010 (commencement of operations) through December 31, 2010.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

54

MassMutual RetireSMART 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) ***			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Return ^,^^			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waiver			Ratio of expenses to average daily net assets after expense waiver			Net investment income (loss) to average daily net assets			Portfolio turnover rate
Class S
06/30/12 ≈	$	7.71	$	0.00	†	$	0.53		$	0.53		$	-		$	-		$	-		$	-		$	8.24		6.87%	**	$	18,335		0.24%	*		0.10%	*#		0.02%	*		35%	**
12/31/11		8.67		0.13			(0.52	)		(0.39	)		(0.13	)		(0.44	)		-			(0.57	)		7.71		(4.47%	)		18,945		0.29%			0.10%	#		1.53%			80%
12/31/10		7.69		0.10			1.12			1.22			(0.10	)		(0.14	)		-			(0.24	)		8.67		15.86%			14,974		0.30%			0.10%	#		1.25%			41%
12/31/09		5.78		0.05			1.95			2.00			(0.09	)		-			-			(0.09	)		7.69		34.58%			11,442		0.57%			0.10%	#		0.84%			51%
12/31/08		10.04		0.16			(4.10	)		(3.94	)		(0.18	)		-			(0.14	)		(0.32	)		5.78		(39.30%	)		7,008		0.59%			0.10%	#		1.89%			35%
12/31/07 +		10.00		0.05			(0.01	)		0.04			-			-			-			-			10.04		0.40%	**		9,640		12.61%	*		0.10%	*#		12.12%	*		0%
Class Y
06/30/12 ≈	$	7.71	$	(0.00	) †	$	0.52		$	0.52		$	-		$	-		$	-		$	-		$	8.23		6.74%	**	$	8,194		0.33%	*		0.15%	*#		(0.03%	) *		35%	**
12/31/11		8.67		0.13			(0.52	)		(0.39	)		(0.13	)		(0.44	)		-			(0.57	)		7.71		(4.51%	)		6,670		0.36%			0.15%	#		1.53%			80%
12/31/10		7.69		0.11			1.11			1.22			(0.10	)		(0.14	)		-			(0.24	)		8.67		15.82%			4,816		0.35%			0.15%	#		1.35%			41%
12/31/09		5.78		0.05			1.95			2.00			(0.09	)		-			-			(0.09	)		7.69		34.53%			3,035		0.62%			0.15%	#		0.83%			51%
12/31/08		10.04		0.27			(4.21	)		(3.94	)		(0.19	)		-			(0.13	)		(0.32	)		5.78		(39.31%	)		1,477		0.67%			0.15%	#		3.61%			35%
12/31/07 +		10.00		0.05			(0.01	)		0.04			-			-			-			-			10.04		0.40%	**		101		12.65%	*		0.15%	*#		12.08%	*		0%
Class L
06/30/12 ≈	$	7.70	$	(0.01	)	$	0.53		$	0.52		$	-		$	-		$	-		$	-		$	8.22		6.75%	**	$	2,787		0.43%	*		0.25%	*#		(0.12%	) *		35%	**
12/31/11		8.66		0.11			(0.51	)		(0.40	)		(0.12	)		(0.44	)		-			(0.56	)		7.70		(4.62%	)		2,047		0.46%			0.25%	#		1.27%			80%
12/31/10		7.69		0.10			1.10			1.20			(0.09	)		(0.14	)		-			(0.23	)		8.66		15.60%			1,857		0.45%			0.25%	#		1.24%			41%
12/31/09		5.78		0.05			1.94			1.99			(0.08	)		-			-			(0.08	)		7.69		34.44%			1,290		0.72%			0.25%	#		0.77%			51%
12/31/08		10.04		0.20			(4.15	)		(3.95	)		(0.18	)		-			(0.13	)		(0.31	)		5.78		(39.36%	)		419		0.79%			0.25%	#		2.49%			35%
12/31/07 +		10.00		0.05			(0.01	)		0.04			-			-			-			-			10.04		0.40%	**		101		12.75%	*		0.25%	*#		11.96%	*		0%
Class A
06/30/12 ≈	$	7.68	$	(0.02	)	$	0.53		$	0.51		$	-		$	-		$	-		$	-		$	8.19		6.50%	**	$	7,203		0.68%	*		0.50%	*#		(0.38%	) *		35%	**
12/31/11		8.65		0.13			(0.55	)		(0.42	)		(0.11	)		(0.44	)		-			(0.55	)		7.68		(4.75%	)		5,616		0.71%			0.50%	#		1.52%			80%
12/31/10		7.69		0.08			1.09			1.17			(0.07	)		(0.14	)		-			(0.21	)		8.65		15.27%			2,879		0.70%			0.50%	#		1.04%			41%
12/31/09		5.77		0.03			1.95			1.98			(0.06	)		-			-			(0.06	)		7.69		34.39%			1,507		0.97%			0.50%	#		0.44%			51%
12/31/08		10.04		0.27			(4.23	)		(3.96	)		(0.18	)		-			(0.13	)		(0.31	)		5.77		(39.53%	)		614		1.03%			0.50%	#		3.55%			35%
12/31/07 +		10.00		0.05			(0.01	)		0.04			-			-			-			-			10.04		0.40%	**		100		13.00%	*		0.50%	*#		11.71%	*		0%
Class N
06/30/12 ≈	$	7.68	$	(0.03	)	$	0.53		$	0.50		$	-		$	-		$	-		$	-		$	8.18		6.51%	**	$	1,459		0.98%	*		0.80%	*#		(0.68%	) *		35%	**
12/31/11		8.68		0.20			(0.66	)		(0.46	)		(0.10	)		(0.44	)		-			(0.54	)		7.68		(5.23%	)		1,306		1.02%			0.80%	#		2.52%			80%
12/31/10		7.71		0.04			1.11			1.15			(0.04	)		(0.14	)		-			(0.18	)		8.68		14.97%			93		1.00%			0.80%	#		0.50%			41%
12/31/09		5.80		0.01			1.94			1.95			(0.04	)		-			-			(0.04	)		7.71		33.68%			81		1.27%			0.80%	#		0.10%			51%
12/31/08		10.04		0.09			(4.07	)		(3.98	)		(0.15	)		-			(0.11	)		(0.26	)		5.80		(39.70%	)		61		1.29%			0.80%	#		1.04%			35%
12/31/07 +		10.00		0.05			(0.01	)		0.04			-			-			-			-			10.04		0.40%	**		100		13.30%	*		0.80%	*#		11.42%	*		0%

* Annualized.

** Percentage represents the results for the period and is not annualized.

*** Per share amount calculated on the average shares method.

† Amount is less than $0.005 per share.

+ For the period December 17, 2007 (commencement of operations) through December 31, 2007.

# Computed after giving effect to an agreement by MassMutual to waive certain fees and expenses of the Fund.

^ 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.

^^ Total return excludes sales charges, if any, and would be lower for the period presented if it reflected these charges.

≈ Unaudited.

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

55

Notes to Financial Statements (Unaudited)

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 14 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual RetireSMART^SM Conservative Fund (“RetireSMART Conservative Fund”)

MassMutual RetireSMART^SM Moderate Fund (“RetireSMART Moderate Fund”)

MassMutual RetireSMART^SM Moderate Growth Fund (“RetireSMART Moderate Growth Fund”)

MassMutual RetireSMART^SM Growth Fund (“RetireSMART Growth Fund”)

MassMutual RetireSMART^SM In Retirement Fund (“RetireSMART In Retirement Fund”)

MassMutual RetireSMART^SM 2010 Fund (“RetireSMART 2010 Fund”)

MassMutual RetireSMART^SM 2015 Fund (“RetireSMART 2015 Fund”)

MassMutual RetireSMART^SM 2020 Fund (“RetireSMART 2020 Fund”)

MassMutual RetireSMART^SM 2025 Fund (“RetireSMART 2025 Fund”)

MassMutual RetireSMART^SM 2030 Fund (“RetireSMART 2030 Fund”)

MassMutual RetireSMART^SM 2035 Fund (“RetireSMART 2035 Fund”)

MassMutual RetireSMART^SM 2040 Fund (“RetireSMART 2040 Fund”)

MassMutual RetireSMART^SM 2045 Fund (“RetireSMART 2045 Fund”)

MassMutual RetireSMART^SM 2050 Fund (“RetireSMART 2050 Fund”)

The following table shows the classes available for each Fund, including the date each class commenced operations. Each share class 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.

	Class S		Class Y		Class L		Class A		Class N
RetireSMART Conservative Fund		6/20/2011		6/20/2011		6/20/2011		6/20/2011		None
RetireSMART Moderate Fund		6/20/2011		6/20/2011		6/20/2011		6/20/2011		None
RetireSMART Moderate Growth Fund		6/20/2011		6/20/2011		6/20/2011		6/20/2011		None
RetireSMART Growth Fund		6/20/2011		6/20/2011		6/20/2011		6/20/2011		None
RetireSMART In Retirement Fund		12/31/2003		12/31/2003		12/31/2003		12/31/2003		12/31/2003
RetireSMART 2010 Fund		12/31/2003		12/31/2003		12/31/2003		12/31/2003		12/31/2003
RetireSMART 2015 Fund		4/1/2010		4/1/2010		4/1/2010		4/1/2010		None*
RetireSMART 2020 Fund		12/31/2003		12/31/2003		12/31/2003		12/31/2003		12/31/2003
RetireSMART 2025 Fund		4/1/2010		4/1/2010		4/1/2010		4/1/2010		None*
RetireSMART 2030 Fund		12/31/2003		12/31/2003		12/31/2003		12/31/2003		12/31/2003
RetireSMART 2035 Fund		4/1/2010		4/1/2010		4/1/2010		4/1/2010		None*
RetireSMART 2040 Fund		12/31/2003		12/31/2003		12/31/2003		12/31/2003		12/31/2003
RetireSMART 2045 Fund		4/1/2010		4/1/2010		4/1/2010		4/1/2010		None*
RetireSMART 2050 Fund		12/17/2007		12/17/2007		12/17/2007		12/17/2007		12/17/2007

* Class N shares were eliminated as of February 8, 2011.

The Funds invest all of their investable assets in shares of various funds advised by MassMutual or a control affiliate of MassMutual. The financial statements included herein are those of the Funds. The financial statements of the applicable MassMutual Select Funds (“Select”), MassMutual Premier Funds (“Premier”) (which are advised by MassMutual), and Oppenheimer Funds (which are advised by OppenheimerFunds, Inc., a majority-owned, indirect subsidiary of MassMutual) are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its Internet site at www.sec.gov or by calling MassMutual at 1-888-309-3539. The assets of each Fund are diversified and a shareholder’s interest is limited to the Select, Premier, or Oppenheimer Funds in which the shares are invested.

56

Notes to Financial Statements (Unaudited) (Continued)

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.

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, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

The net asset value of each Fund is based upon the net asset values 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 value 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 EDGAR database on its Internet site at www.sec.gov.

Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Level 1 – quoted prices (unadjusted) in active markets for identical investments

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

All Funds characterized all investments at Level 1, as of June 30, 2012. 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 transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the period ended June 30, 2012. The Funds recognize transfers between the Levels as of the beginning of the year.

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 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 gain are

57

Notes to Financial Statements (Unaudited) (Continued)

recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.

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.

Credit Risk

The Funds may invest a portion of their assets, directly or indirectly, in securities backed by mortgage loans, credit card receivables, and automotive loans. The values and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on such securities have resulted in increased volatility of market price and periods of decreased market activity that have adversely impacted the valuation and liquidity of such securities.

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. Management Fees and Other Transactions

Investment Management Fees

Under agreements between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:

0.05% on the first $500 million; and

0.00% on any excess over $500 million

58

Notes to Financial Statements (Unaudited) (Continued)

Administration Fees

Under separate administrative and shareholder services agreements between each Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual 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 S		Class Y		Class L		Class A		Class N
RetireSMART Conservative Fund		0.0400%		0.0800%		0.1600%		0.1600%		None
RetireSMART Moderate Fund		0.0500%		0.0900%		0.1700%		0.1700%		None
RetireSMART Moderate Growth Fund		0.0500%		0.0900%		0.1700%		0.1700%		None
RetireSMART Growth Fund		0.0500%		0.0900%		0.1700%		0.1700%		None
RetireSMART In Retirement Fund		0.0200%		0.0859%		0.1859%		0.1859%		0.2359%
RetireSMART 2010 Fund		0.0196%		0.1096%		0.2096%		0.2096%		0.2596%
RetireSMART 2015 Fund		0.0100%		0.1000%		0.2000%		0.2000%		None
RetireSMART 2020 Fund		0.0258%		0.1158%		0.2158%		0.2158%		0.2658%
RetireSMART 2025 Fund		0.0100%		0.1000%		0.2000%		0.2000%		None
RetireSMART 2030 Fund		0.0233%		0.1133%		0.2133%		0.2133%		0.2633%
RetireSMART 2035 Fund		0.0100%		0.1000%		0.2000%		0.2000%		None
RetireSMART 2040 Fund		0.0116%		0.1016%		0.2016%		0.2016%		0.2516%
RetireSMART 2045 Fund		0.0100%		0.1000%		0.2000%		0.2000%		None
RetireSMART 2050 Fund		0.0100%		0.1000%		0.2000%		0.2000%		0.2500%

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to separate 12b-1 Plans adopted by the Funds, Class A shares of each Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. Pursuant to separate 12b-1 Plans adopted by the Funds, Class N shares of each Fund pay an annual fee of 0.50% of the average daily net asset value of Class N shares as follows: 0.25% of the average daily net asset value of Class N shares to the Distributor for services provided and expenses incurred by it in connection with the distribution of Class N shares of the Fund; and 0.25% of the average daily net asset value of Class N shares to MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class N shareholders. The Distribution fee may be spent by the Distributor on any activities or expenses primarily intended to result in the sale of Class A or Class N shares of the Fund. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A or Class N shareholders of a Fund and/or maintenance of Class A or Class N shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. In addition, OppenheimerFunds Distributor, Inc. (the “Sub-Distributor”) acts as a sub-distributor to each Fund. The Sub-Distributor is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

59

Notes to Financial Statements (Unaudited) (Continued)

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class S			Class Y			Class L			Class A			Class N
RetireSMART 2015 Fund*		0.10	%		0.15	%		0.25	%		0.50	%		None
RetireSMART 2025 Fund*		0.10	%		0.15	%		0.25	%		0.50	%		None
RetireSMART 2035 Fund*		0.10	%		0.15	%		0.25	%		0.50	%		None
RetireSMART 2045 Fund*		0.10	%		0.15	%		0.25	%		0.50	%		None
RetireSMART 2050 Fund*		0.10	%		0.15	%		0.25	%		0.50	%		0.80	%

# Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps in effect through March 31, 2013. Interest expense and short sale dividend and loan expense were not excluded from the caps prior to April 2, 2012.

MassMutual has agreed to bear the expenses of the RetireSMART Growth Fund (other than the management, Rule 12b-1 and administrative fees, interest, taxes, brokerage commissions, extraordinary litigation and legal expenses, Acquired Fund fees and expenses, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of Class S, Class Y, Class L, and Class A of the Fund in excess of 0.03% through March 31, 2013.

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 employees of MassMutual or its subsidiaries 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 are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at June 30, 2012:

	Total % Ownership by Related Party
RetireSMART Conservative Fund		96.6%
RetireSMART Moderate Fund		97.1%
RetireSMART Moderate Growth Fund		97.5%
RetireSMART Growth Fund		99.4%
RetireSMART In Retirement Fund		64.0%
RetireSMART 2010 Fund		71.8%
RetireSMART 2015 Fund		90.3%
RetireSMART 2020 Fund		77.1%
RetireSMART 2025 Fund		75.9%
RetireSMART 2030 Fund		78.0%
RetireSMART 2035 Fund		75.3%

60

Notes to Financial Statements (Unaudited) (Continued)

	Total % Ownership by Related Party
RetireSMART 2040 Fund		79.9%
RetireSMART 2045 Fund		79.8%
RetireSMART 2050 Fund		78.8%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the period ended June 30, 2012, 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
RetireSMART Conservative Fund	$	-	$	30,205,545	$	-	$	68,152,439
RetireSMART Moderate Fund		-		47,413,550		-		106,027,238
RetireSMART Moderate Growth Fund		-		37,410,864		-		83,938,564
RetireSMART Growth Fund		-		10,915,453		-		11,345,715
RetireSMART In Retirement Fund		-		13,400,889		-		22,703,003
RetireSMART 2010 Fund		-		17,262,706		-		18,193,988
RetireSMART 2015 Fund		-		1,492,308		-		1,572,252
RetireSMART 2020 Fund		-		62,812,901		-		64,512,682
RetireSMART 2025 Fund		-		1,515,635		-		745,363
RetireSMART 2030 Fund		-		56,135,670		-		56,793,825
RetireSMART 2035 Fund		-		1,207,164		-		612,246
RetireSMART 2040 Fund		-		37,463,401		-		29,972,361
RetireSMART 2045 Fund		-		600,679		-		545,554
RetireSMART 2050 Fund		-		14,225,955		-		13,370,945

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART Conservative Fund Class S*
Sold		322,150		$	3,260,059			10,010		$	100,100
Issued as reinvestment of dividends		-			-			344			3,326
Redeemed		(58,364	)		(590,049	)		-			-
Net increase (decrease)		263,786		$	2,670,010			10,354		$	103,426
RetireSMART Conservative Fund Class Y*
Sold		47,381		$	478,788			311,713		$	3,114,089
Issued as reinvestment of dividends		-			-			10,284			99,448
Redeemed		(54,657	)		(550,645	)		(45,065	)		(440,153	)
Net increase (decrease)		(7,276	)	$	(71,857	)		276,932		$	2,773,384

61

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART Conservative Fund Class L*
Sold		799,366		$	8,047,017			1,094,296		$	10,874,075
Subscriptions in-kind		-			-			9,794,296			97,942,959
Issued as reinvestment of dividends		-			-			327,458			3,169,798
Redeemed		(3,956,865	)		(38,955,502	)		(1,156,013	)		(11,516,492	)
Net increase (decrease)		(3,157,499	)	$	(30,908,485	)		10,060,037		$	100,470,340
RetireSMART Conservative Fund Class A*
Sold		1,024,581		$	10,184,896			1,487,254		$	14,774,177
Subscriptions in-kind		-			-			16,037,714			160,377,134
Issued as reinvestment of dividends		-			-			535,631			5,184,909
Redeemed		(1,934,638	)		(19,388,050	)		(928,248	)		(9,275,545	)
Net increase (decrease)		(910,057	)	$	(9,203,154	)		17,132,351		$	171,060,675
RetireSMART Moderate Fund Class S*
Sold		103,827		$	1,007,146			10,010		$	100,100
Issued as reinvestment of dividends		-			-			276			2,620
Redeemed		(17,872	)		(180,363	)		-			-
Net increase (decrease)		85,955		$	826,783			10,286		$	102,720
RetireSMART Moderate Fund Class Y*
Sold		131,872		$	1,327,096			366,319		$	3,564,539
Issued as reinvestment of dividends		-			-			10,015			95,041
Redeemed		(108,377	)		(1,109,448	)		(19,474	)		(185,332	)
Net increase (decrease)		23,495		$	217,648			356,860		$	3,474,248
RetireSMART Moderate Fund Class L*
Sold		1,323,154		$	13,294,944			1,505,157		$	14,576,396
Subscriptions in-kind		-			-			16,229,115			162,291,149
Issued as reinvestment of dividends		-			-			400,911			3,804,643
Redeemed		(2,589,096	)		(25,656,077	)		(2,923,204	)		(28,526,910	)
Net increase (decrease)		(1,265,942	)	$	(12,361,133	)		15,211,979		$	152,145,278
RetireSMART Moderate Fund Class A*
Sold		1,594,501		$	15,713,896			1,434,181		$	13,950,510
Subscriptions in-kind		-			-			39,470,513			394,705,126
Issued as reinvestment of dividends		-			-			963,275			9,141,482
Redeemed		(6,208,661	)		(62,156,751	)		(3,340,143	)		(32,514,189	)
Net increase (decrease)		(4,614,160	)	$	(46,442,855	)		38,527,826		$	385,282,929
RetireSMART Moderate Growth Fund Class S*
Sold		670,262		$	6,891,480			10,010		$	100,100
Issued as reinvestment of dividends		-			-			198			1,847
Redeemed		(28,765	)		(291,475	)		-			-
Net increase (decrease)		641,497		$	6,600,005			10,208		$	101,947
RetireSMART Moderate Growth Fund Class Y*
Sold		31,474		$	317,608			194,632		$	1,855,679
Issued as reinvestment of dividends		-			-			3,247			30,327
Redeemed		(88,369	)		(904,263	)		(463	)		(4,334	)
Net increase (decrease)		(56,895	)	$	(586,655	)		197,416		$	1,881,672

62

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART Moderate Growth Fund Class L*
Sold		1,011,263		$	10,056,598			955,162		$	8,975,369
Subscriptions in-kind		-			-			13,403,653			134,036,528
Issued as reinvestment of dividends		-			-			240,204			2,243,509
Redeemed		(3,184,677	)		(31,530,008	)		(1,795,917	)		(17,330,293	)
Net increase (decrease)		(2,173,414	)	$	(21,473,410	)		12,803,102		$	127,925,113
RetireSMART Moderate Growth Fund Class A*
Sold		931,605		$	9,146,027			1,115,818		$	10,487,873
Subscriptions in-kind		-			-			28,105,852			281,058,518
Issued as reinvestment of dividends		-			-			469,324			4,388,180
Redeemed		(3,980,938	)		(39,602,536	)		(2,817,455	)		(26,908,755	)
Net increase (decrease)		(3,049,333	)	$	(30,456,509	)		26,873,539		$	269,025,816
RetireSMART Growth Fund Class S*
Sold		17,525		$	168,168			10,010		$	100,100
Issued as reinvestment of dividends		-			-			182			1,686
Redeemed		(1	)		(9	)		-			-
Net increase (decrease)		17,524		$	168,159			10,192		$	101,786
RetireSMART Growth Fund Class Y*
Sold		-		$	-			10,010		$	100,100
Issued as reinvestment of dividends		-			-			180			1,666
Redeemed		-			-			-			-
Net increase (decrease)		-		$	-			10,190		$	101,766
RetireSMART Growth Fund Class L*
Sold		414,927		$	4,163,556			174,360		$	1,624,322
Subscriptions in-kind		-			-			2,545,678			25,456,779
Issued as reinvestment of dividends		-			-			41,364			383,446
Redeemed		(399,758	)		(3,999,078	)		(351,715	)		(3,383,230	)
Net increase (decrease)		15,169		$	164,478			2,409,687		$	24,081,317
RetireSMART Growth Fund Class A*
Sold		368,053		$	3,707,029			316,964		$	2,970,100
Subscriptions in-kind		-			-			4,261,890			42,618,896
Issued as reinvestment of dividends		-			-			67,290			623,776
Redeemed		(438,155	)		(4,372,275	)		(442,370	)		(4,243,480	)
Net increase (decrease)		(70,102	)	$	(665,246	)		4,203,774		$	41,969,292
RetireSMART In Retirement Fund Class S
Sold		440,193		$	4,508,765			1,159,275		$	11,564,738
Issued as reinvestment of dividends		-			-			38,894			376,105
Redeemed		(364,334	)		(3,718,174	)		(976,540	)		(9,785,884	)
Net increase (decrease)		75,859		$	790,591			221,629		$	2,154,959
RetireSMART In Retirement Fund Class Y
Sold		200,433		$	2,043,650			917,382		$	9,056,786
Issued as reinvestment of dividends		-			-			61,738			598,239
Redeemed		(324,794	)		(3,321,338	)		(822,526	)		(8,109,931	)
Net increase (decrease)		(124,361	)	$	(1,277,688	)		156,594		$	1,545,094

63

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART In Retirement Fund Class L
Sold		244,703		$	2,480,459			389,353		$	3,896,456
Issued as reinvestment of dividends		-			-			90,733			878,299
Redeemed		(512,638	)		(5,279,183	)		(1,091,492	)		(10,938,305	)
Net increase (decrease)		(267,935	)	$	(2,798,724	)		(611,406	)	$	(6,163,550	)
RetireSMART In Retirement Fund Class A
Sold		93,657		$	943,253			269,310		$	2,661,081
Issued as reinvestment of dividends		-			-			80,494			773,547
Redeemed		(676,375	)		(6,823,975	)		(999,880	)		(9,871,156	)
Net increase (decrease)		(582,718	)	$	(5,880,722	)		(650,076	)	$	(6,436,528	)
RetireSMART In Retirement Fund Class N
Sold		240		$	2,436			928		$	9,328
Issued as reinvestment of dividends		-			-			29			283
Redeemed		(19	)		(193	)		(152	)		(1,551	)
Net increase (decrease)		221		$	2,243			805		$	8,060
RetireSMART 2010 Fund Class S
Sold		888,594		$	9,326,208			1,741,558		$	17,814,282
Issued as reinvestment of dividends		-			-			85,734			836,764
Redeemed		(384,752	)		(4,004,227	)		(1,640,995	)		(16,678,143	)
Net increase (decrease)		503,842		$	5,321,981			186,297		$	1,972,903
RetireSMART 2010 Fund Class Y
Sold		246,253		$	2,555,924			618,433		$	6,296,286
Issued as reinvestment of dividends		-			-			68,065			663,636
Redeemed		(600,372	)		(6,290,952	)		(733,823	)		(7,449,612	)
Net increase (decrease)		(354,119	)	$	(3,735,028	)		(47,325	)	$	(489,690	)
RetireSMART 2010 Fund Class L
Sold		240,871		$	2,492,753			276,453		$	2,817,718
Issued as reinvestment of dividends		-			-			27,817			271,219
Redeemed		(250,885	)		(2,590,452	)		(468,957	)		(4,763,087	)
Net increase (decrease)		(10,014	)	$	(97,699	)		(164,687	)	$	(1,674,150	)
RetireSMART 2010 Fund Class A
Sold		224,508		$	2,298,733			323,936		$	3,264,839
Issued as reinvestment of dividends		-			-			56,775			550,720
Redeemed		(449,815	)		(4,638,436	)		(875,922	)		(8,841,770	)
Net increase (decrease)		(225,307	)	$	(2,339,703	)		(495,211	)	$	(5,026,211	)
RetireSMART 2010 Fund Class N
Sold		5,865		$	60,259			114,269		$	1,181,798
Issued as reinvestment of dividends		-			-			3,320			32,071
Redeemed		(1,475	)		(15,297	)		(45,408	)		(446,369	)
Net increase (decrease)		4,390		$	44,962			72,181		$	767,500
RetireSMART 2015 Fund Class S
Sold		109,095		$	1,191,899			140,031		$	1,461,170
Issued as reinvestment of dividends		-			-			8,408			86,174
Redeemed		(96,851	)		(1,078,015	)		(14	)		(154	)
Net increase (decrease)		12,244		$	113,884			148,425		$	1,547,190

64

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART 2015 Fund Class Y
Sold		11,282		$	120,054			29,660		$	320,153
Issued as reinvestment of dividends		-			-			1,221			12,509
Redeemed		(32,128	)		(350,835	)		(12,739	)		(141,141	)
Net increase (decrease)		(20,846	)	$	(230,781	)		18,142		$	191,521
RetireSMART 2015 Fund Class L
Sold		1,388		$	15,110			2,696		$	28,299
Issued as reinvestment of dividends		-			-			519			5,321
Redeemed		(512	)		(5,530	)		(328	)		(3,620	)
Net increase (decrease)		876		$	9,580			2,887		$	30,000
RetireSMART 2015 Fund Class A
Sold		16,094		$	177,045			29,905		$	312,901
Issued as reinvestment of dividends		-			-			2,043			20,878
Redeemed		(12,636	)		(139,851	)		(4,496	)		(48,041	)
Net increase (decrease)		3,458		$	37,194			27,452		$	285,738
RetireSMART 2020 Fund Class S
Sold		2,110,573		$	21,241,698			4,541,376		$	44,722,962
Issued as reinvestment of dividends		-			-			230,676			2,117,608
Redeemed		(1,036,475	)		(10,387,848	)		(3,321,006	)		(32,373,320	)
Net increase (decrease)		1,074,098		$	10,853,850			1,451,046		$	14,467,250
RetireSMART 2020 Fund Class Y
Sold		832,645		$	8,265,568			1,743,562		$	17,061,781
Issued as reinvestment of dividends		-			-			130,140			1,193,382
Redeemed		(1,348,603	)		(13,676,812	)		(2,371,382	)		(22,917,777	)
Net increase (decrease)		(515,958	)	$	(5,411,244	)		(497,680	)	$	(4,662,614	)
RetireSMART 2020 Fund Class L
Sold		876,174		$	8,693,308			983,222		$	9,691,336
Issued as reinvestment of dividends		-			-			171,571			1,575,022
Redeemed		(1,004,496	)		(10,020,541	)		(3,049,251	)		(30,169,238	)
Net increase (decrease)		(128,322	)	$	(1,327,233	)		(1,894,458	)	$	(18,902,880	)
RetireSMART 2020 Fund Class A
Sold		800,903		$	7,883,137			1,316,477		$	12,795,774
Issued as reinvestment of dividends		-			-			143,993			1,311,774
Redeemed		(1,364,671	)		(13,397,751	)		(1,942,739	)		(18,774,395	)
Net increase (decrease)		(563,768	)	$	(5,514,614	)		(482,269	)	$	(4,666,847	)
RetireSMART 2020 Fund Class N
Sold		27,460		$	271,251			290,568		$	2,898,274
Issued as reinvestment of dividends		-			-			5,546			50,138
Redeemed		(26,267	)		(257,910	)		(77,738	)		(717,123	)
Net increase (decrease)		1,193		$	13,341			218,376		$	2,231,289
RetireSMART 2025 Fund Class S
Sold		43,651		$	472,807			12,881		$	136,065
Issued as reinvestment of dividends		-			-			4,785			47,709
Redeemed		(255	)		(2,772	)		(2	)		(18	)
Net increase (decrease)		43,396		$	470,035			17,664		$	183,756

65

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART 2025 Fund Class Y
Sold		6,452		$	68,739			1,791		$	18,810
Issued as reinvestment of dividends		-			-			666			6,641
Redeemed		(1,987	)		(21,397	)		(126	)		(1,318	)
Net increase (decrease)		4,465		$	47,342			2,331		$	24,133
RetireSMART 2025 Fund Class L
Sold		26,352		$	279,525			17,523		$	181,958
Issued as reinvestment of dividends		-			-			1,552			15,470
Redeemed		(29,479	)		(316,429	)		(38	)		(424	)
Net increase (decrease)		(3,127	)	$	(36,904	)		19,037		$	197,004
RetireSMART 2025 Fund Class A
Sold		48,817		$	522,377			55,729		$	598,370
Issued as reinvestment of dividends		-			-			3,527			35,075
Redeemed		(20,242	)		(222,084	)		(11,751	)		(131,556	)
Net increase (decrease)		28,575		$	300,293			47,505		$	501,889
RetireSMART 2030 Fund Class S
Sold		2,289,550		$	23,158,455			5,053,392		$	49,700,603
Issued as reinvestment of dividends		-			-			146,566			1,330,822
Redeemed		(713,247	)		(7,163,474	)		(3,690,445	)		(36,447,413	)
Net increase (decrease)		1,576,303		$	15,994,981			1,509,513		$	14,584,012
RetireSMART 2030 Fund Class Y
Sold		697,562		$	6,953,228			1,491,396		$	14,633,832
Issued as reinvestment of dividends		-			-			90,598			821,724
Redeemed		(1,456,825	)		(14,837,815	)		(1,737,930	)		(16,744,145	)
Net increase (decrease)		(759,263	)	$	(7,884,587	)		(155,936	)	$	(1,288,589	)
RetireSMART 2030 Fund Class L
Sold		707,495		$	7,044,462			739,748		$	7,298,394
Issued as reinvestment of dividends		-			-			108,669			987,803
Redeemed		(1,286,751	)		(12,967,552	)		(1,643,006	)		(16,022,191	)
Net increase (decrease)		(579,256	)	$	(5,923,090	)		(794,589	)	$	(7,735,994	)
RetireSMART 2030 Fund Class A
Sold		872,006		$	8,559,317			1,102,544		$	10,666,138
Issued as reinvestment of dividends		-			-			80,164			722,275
Redeemed		(1,119,236	)		(11,151,260	)		(1,674,020	)		(16,242,741	)
Net increase (decrease)		(247,230	)	$	(2,591,943	)		(491,312	)	$	(4,854,328	)
RetireSMART 2030 Fund Class N
Sold		46,250		$	460,545			318,075		$	3,167,883
Issued as reinvestment of dividends		-			-			4,454			39,910
Redeemed		(46,438	)		(460,722	)		(58,106	)		(545,632	)
Net increase (decrease)		(188	)	$	(177	)		264,423		$	2,662,161
RetireSMART 2035 Fund Class S
Sold		25,901		$	281,168			18,246		$	192,374
Issued as reinvestment of dividends		-			-			4,799			47,789
Redeemed		(2,909	)		(32,041	)		(118	)		(1,171	)
Net increase (decrease)		22,992		$	249,127			22,927		$	238,992

66

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART 2035 Fund Class Y
Sold		10,656		$	112,412			4,660		$	52,891
Issued as reinvestment of dividends		-			-			787			7,840
Redeemed		(6,033	)		(65,341	)		(7	)		(76	)
Net increase (decrease)		4,623		$	47,071			5,440		$	60,655
RetireSMART 2035 Fund Class L
Sold		34,630		$	376,393			6,286		$	67,811
Issued as reinvestment of dividends		-			-			839			8,351
Redeemed		(12,098	)		(134,538	)		(191	)		(1,970	)
Net increase (decrease)		22,532		$	241,855			6,934		$	74,192
RetireSMART 2035 Fund Class A
Sold		28,468		$	306,846			54,100		$	590,337
Issued as reinvestment of dividends		-			-			2,884			28,644
Redeemed		(21,944	)		(240,067	)		(9,741	)		(108,742	)
Net increase (decrease)		6,524		$	66,779			47,243		$	510,239
RetireSMART 2040 Fund Class S
Sold		1,726,970		$	17,456,584			2,748,160		$	27,061,257
Issued as reinvestment of dividends		-			-			91,363			830,492
Redeemed		(349,078	)		(3,505,703	)		(1,996,075	)		(19,602,182	)
Net increase (decrease)		1,377,892		$	13,950,881			843,448		$	8,289,567
RetireSMART 2040 Fund Class Y
Sold		422,556		$	4,223,136			867,701		$	8,510,004
Issued as reinvestment of dividends		-			-			37,678			341,739
Redeemed		(696,512	)		(7,158,688	)		(861,103	)		(8,331,306	)
Net increase (decrease)		(273,956	)	$	(2,935,552	)		44,276		$	520,437
RetireSMART 2040 Fund Class L
Sold		429,365		$	4,293,633			605,677		$	5,938,224
Issued as reinvestment of dividends		-			-			57,988			527,108
Redeemed		(540,691	)		(5,465,463	)		(1,475,552	)		(14,386,081	)
Net increase (decrease)		(111,326	)	$	(1,171,830	)		(811,887	)	$	(7,920,749	)
RetireSMART 2040 Fund Class A
Sold		654,163		$	6,496,943			977,131		$	9,404,825
Issued as reinvestment of dividends		-			-			40,068			361,014
Redeemed		(870,536	)		(8,629,456	)		(1,134,178	)		(11,045,128	)
Net increase (decrease)		(216,373	)	$	(2,132,513	)		(116,979	)	$	(1,279,289	)
RetireSMART 2040 Fund Class N
Sold		22,626		$	222,959			296,560		$	2,964,485
Issued as reinvestment of dividends		-			-			3,428			30,682
Redeemed		(29,052	)		(285,621	)		(57,015	)		(533,404	)
Net increase (decrease)		(6,426	)	$	(62,662	)		242,973		$	2,461,763
RetireSMART 2045 Fund Class S
Sold		8,332		$	88,221			787		$	8,311
Issued as reinvestment of dividends		-			-			4,380			43,244
Redeemed		(2,411	)		(24,917	)		(2	)		(20	)
Net increase (decrease)		5,921		$	63,304			5,165		$	51,535

67

Notes to Financial Statements (Unaudited) (Continued)

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Shares			Amount			Shares			Amount
RetireSMART 2045 Fund Class Y
Sold		1,574		$	16,692			2,885		$	32,242
Issued as reinvestment of dividends		-			-			697			6,873
Redeemed		(2,890	)		(30,384	)		(1,455	)		(16,760	)
Net increase (decrease)		(1,316	)	$	(13,692	)		2,127		$	22,355
RetireSMART 2045 Fund Class L
Sold		13,214		$	142,358			12,239		$	130,452
Issued as reinvestment of dividends		-			-			1,299			12,808
Redeemed		(20,007	)		(215,888	)		(180	)		(1,792	)
Net increase (decrease)		(6,793	)	$	(73,530	)		13,358		$	141,468
RetireSMART 2045 Fund Class A
Sold		21,719		$	233,745			23,793		$	254,642
Issued as reinvestment of dividends		-			-			1,772			17,441
Redeemed		(13,160	)		(145,308	)		(4,628	)		(51,283	)
Net increase (decrease)		8,559		$	88,437			20,937		$	220,800
RetireSMART 2050 Fund Class S
Sold		969,282		$	8,109,158			1,730,581		$	14,912,240
Issued as reinvestment of dividends		-			-			165,751			1,282,634
Redeemed		(1,200,748	)		(10,194,897	)		(1,166,370	)		(10,181,379	)
Net increase (decrease)		(231,466	)	$	(2,085,739	)		729,962		$	6,013,495
RetireSMART 2050 Fund Class Y
Sold		301,124		$	2,507,754			453,989		$	3,886,814
Issued as reinvestment of dividends		-			-			57,654			445,596
Redeemed		(171,278	)		(1,444,781	)		(201,935	)		(1,760,766	)
Net increase (decrease)		129,846		$	1,062,973			309,708		$	2,571,644
RetireSMART 2050 Fund Class L
Sold		150,624		$	1,252,703			157,466		$	1,343,142
Issued as reinvestment of dividends		-			-			17,533			135,569
Redeemed		(77,385	)		(637,107	)		(123,686	)		(1,040,419	)
Net increase (decrease)		73,239		$	615,596			51,313		$	438,292
RetireSMART 2050 Fund Class A
Sold		251,706		$	2,072,259			512,400		$	4,366,816
Issued as reinvestment of dividends		-			-			46,080			354,895
Redeemed		(103,452	)		(849,747	)		(160,429	)		(1,388,984	)
Net increase (decrease)		148,254		$	1,222,512			398,051		$	3,332,727
RetireSMART 2050 Fund Class N
Sold		23,259		$	190,961			167,239		$	1,477,495
Issued as reinvestment of dividends		-			-			11,219			86,523
Redeemed		(14,850	)		(125,690	)		(19,211	)		(154,169	)
Net increase (decrease)		8,409		$	65,271			159,247		$	1,409,849

* Fund commenced operations on June 20, 2011.

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the period ended June 30, 2012, no material amounts have been retained by the Distributor.

68

Notes to Financial Statements (Unaudited) (Continued)

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Redemptions or exchanges of Class N shares made within eighteen months of purchase are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the period ended June 30, 2012, were waived for any redemptions or exchanges subject to such a charge.

6. Federal Income Tax Information

At June 30, 2012, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, 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)
RetireSMART Conservative Fund	$	237,629,811	$	5,547,461	$	(4,286,497	)	$	1,260,964
RetireSMART Moderate Fund		485,424,598		14,506,387		(15,041,879	)		(535,492	)
RetireSMART Moderate Growth Fund		354,072,296		11,638,669		(14,599,763	)		(2,961,094	)
RetireSMART Growth Fund		66,331,763		2,179,249		(3,069,757	)		(890,508	)
RetireSMART In Retirement Fund		88,722,763		4,216,490		(1,398,851	)		2,817,639
RetireSMART 2010 Fund		102,086,400		5,239,000		(2,149,329	)		3,089,671
RetireSMART 2015 Fund		3,315,111		130,554		(10,927	)		119,627
RetireSMART 2020 Fund		352,010,453		29,501,555		(9,652,525	)		19,849,030
RetireSMART 2025 Fund		2,907,652		79,999		(69,860	)		10,139
RetireSMART 2030 Fund		291,410,096		26,687,464		(9,374,187	)		17,313,277
RetireSMART 2035 Fund		2,607,809		76,064		(83,505	)		(7,441	)
RetireSMART 2040 Fund		185,940,650		16,852,721		(6,404,198	)		10,448,523
RetireSMART 2045 Fund		1,600,757		63,985		(54,397	)		9,588
RetireSMART 2050 Fund		37,964,179		1,117,734		(1,077,909	)		39,825

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At December 31, 2011, the following Fund(s) had available, for federal income tax purposes, unused capital losses:

	Expiring 2016		Expiring 2017		Expiring 2018
RetireSMART In Retirement Fund	$	-	$	26,256,238	$	-
RetireSMART 2010 Fund		2,964,850		27,127,749		865,289
RetireSMART 2020 Fund		-		73,970,411		11,128,973
RetireSMART 2030 Fund		-		58,290,268		12,679,147
RetireSMART 2040 Fund		-		33,068,663		4,612,337

Net capital loss carryforwards for the Funds shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.

69

Notes to Financial Statements (Unaudited) (Continued)

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2012, post-October capital losses:

	Amount
RetireSMART 2020 Fund	$	52,190
RetireSMART 2030 Fund		22,165

Accounting principles generally accepted 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 December 31, 2011, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
RetireSMART Conservative Fund	$	8,405,565	$	51,916	$	-
RetireSMART Moderate Fund		12,854,509		189,277		-
RetireSMART Moderate Growth Fund		6,662,879		984		-
RetireSMART Growth Fund		958,158		52,416		-
RetireSMART In Retirement Fund		2,628,756		-		-
RetireSMART 2010 Fund		2,354,410		-		-
RetireSMART 2015 Fund		73,810		51,072		-
RetireSMART 2020 Fund		6,247,924		-		-
RetireSMART 2025 Fund		50,062		54,833		-
RetireSMART 2030 Fund		3,903,869		-		-
RetireSMART 2035 Fund		40,138		52,486		-
RetireSMART 2040 Fund		2,092,207		-		-
RetireSMART 2045 Fund		31,309		49,057		-
RetireSMART 2050 Fund		639,669		1,665,548		-

Capital accounts within 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 December 31, 2011, temporary book and tax accounting differences were primarily attributable to the deferral of wash sale losses and deferred Trustee compensation.

At December 31, 2011, 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)
RetireSMART Conservative Fund	$	77,370	$	2,504,836		$	503		$	(10,465,937	)
RetireSMART Moderate Fund		-		6,676,472			982			(32,757,730	)
RetireSMART Moderate Growth Fund		-		5,487,702			701			(30,858,945	)
RetireSMART Growth Fund		-		1,173,227			114			(5,828,072	)
RetireSMART In Retirement Fund		2,636,922		(26,256,238	)		(34,059	)		(4,450,913	)
RetireSMART 2010 Fund		2,497,654		(30,957,888	)		(29,490	)		(8,553,878	)
RetireSMART 2015 Fund		96		29,373			(75	)		(44,825	)
RetireSMART 2020 Fund		7,020,328		(85,099,384	)		(141,887	)		(36,146,368	)
RetireSMART 2025 Fund		30		36,746			(69	)		(93,011	)
RetireSMART 2030 Fund		4,932,055		(70,969,415	)		(90,670	)		(30,180,148	)

70

Notes to Financial Statements (Unaudited) (Continued)

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
RetireSMART 2035 Fund	$	8	$	38,428		$	(70	)	$	(107,049	)
RetireSMART 2040 Fund		2,713,787		(37,681,000	)		(40,522	)		(20,963,280	)
RetireSMART 2045 Fund		-		31,646			(62	)		(74,437	)
RetireSMART 2050 Fund		1,449		744,225			(2,712	)		(3,113,866	)

The Funds did not have any unrecognized tax benefits at June 30, 2012, nor were there any increases or decreases in unrecognized tax benefits for the period 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 period ended June 30, 2012, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the period ended June 30, 2012, was as follows:

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income			Net Realized Gain (Loss)
RetireSMART Conservative Fund
MassMutual Premier Core Bond Fund, Class Z		6,694,638		141,926		1,212,414		5,624,150	$	65,352,628	$	-		$	(17,466	)
MassMutual Premier Disciplined Growth Fund, Class S		838,343		26,665		178,012		686,996		7,254,679		-			93,870
MassMutual Premier Disciplined Value Fund, Class S		852,356		26,693		175,328		703,721		7,452,400		-			2,668
MassMutual Premier Focused International Fund, Class Z		95,904		42,928		20,825		118,007		1,273,301		-			(17,958	)
MassMutual Premier High Yield Fund, Class Z		1,196,924		20,513		431,930		785,507		7,313,074		-			(66,008	)
MassMutual Premier Inflation-Protected and Income Fund, Class Z		2,181,027		207,702		800,576		1,588,153		18,978,427		-			400,837
MassMutual Premier International Bond Fund, Class S		809,634		92,275		312,564		589,345		5,999,531		-			(121,218	)
MassMutual Premier International Equity Fund, Class S		211,442		43,333		44,081		210,694		2,578,894		-			(125,659	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		91,370		151		22,602		68,919		784,987		-			3,381
MassMutual Premier Money Market Fund, Class S		4,515,227		1,863		3,420,340		1,096,750		1,096,750		56			-
MassMutual Premier Short-Duration Bond Fund, Class Z		4,294,513		825,942		765,704		4,354,751		46,378,097		-			(198,358	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		531,254		14,645		122,968		422,931		4,757,977		-	��		(501,513	)
MassMutual Premier Value Fund, Class S		23,353		2,016		22,165		3,204		45,653		-			(14,024	)
MassMutual Select BlackRock Global Allocation Fund, Class S		129,657		217		172		129,702		1,334,630		-			(145	)
MassMutual Select Blue Chip Growth Fund, Class S		162,950		13,572		30,064		146,458		1,776,530		-			28,092
MassMutual Select Core Opportunities Fund, Class S		278,356		12,741		291,097		-		-		39,754			(35,357	)
MassMutual Select Diversified International Fund, Class S		421,741		120,649		86,243		456,147		2,691,267		-			(83,303	)
MassMutual Select Diversified Value Fund, Class S		203,384		209,754		39,705		373,433		3,611,095		-			2,103
MassMutual Select Focused Value Fund, Class Z		242,842		69,461		41,364		270,939		4,969,021		-			10,028
MassMutual Select Fundamental Growth Fund, Class S		-		331,630		3,585		328,045		2,125,728		-			521
MassMutual Select Fundamental Value Fund, Class Z		288,353		88,905		54,748		322,510		3,502,454		-			(3,222	)
MassMutual Select Growth Opportunities Fund, Class S		190,779		16,888		42,796		164,871		1,375,023		-			33,379
MassMutual Select Large Cap Growth Fund, Class S		242,167		15,210		257,377		-		-		1,467			(141,723	)
MassMutual Select Large Cap Value Fund, Class S		51,466		4,776		12,475		43,767		470,499		-			335
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		235,773		6,339		39,334		202,778		3,136,981		-			(44,110	)
MassMutual Select Mid-Cap Value Fund, Class S		357,117		68,178		77,971		347,324		3,605,219		-			(12,241	)
MassMutual Select Overseas Fund, Class Z		1,064,656		115,604		245,582		934,678		6,178,223		-			(197,132	)
MassMutual Select PIMCO Total Return Fund, Class Z		632,380		154,453		282,520		504,313		5,290,244		-			(85,264	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		145,492		9,084		29,691		124,885		1,919,480		-			(87,458	)
MassMutual Select Small Cap Value Equity Fund, Class S		227,966		37,079		46,367		218,678		2,118,993		-			98

71

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART Conservative Fund (Continued)
MassMutual Select Small Company Growth Fund, Class S		115,804		8,939		27,785		96,958	$	1,004,485	$	-	$	(4,783	)
MassMutual Select Small Company Value Fund, Class Z		126,584		14,385		34,591		106,378		1,432,909		-		(12,250	)
MassMutual Select Strategic Bond Fund, Class S		1,083,293		142,350		164,555		1,061,088		10,961,040		-		14,375
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		1,525,665		244,506		353,902		1,416,269		4,347,946		-		(116,014	)
Oppenheimer Developing Markets Fund, Class Y*		75,654		23,192		103		98,743		3,094,592		-		(577	)
Oppenheimer Real Estate Fund, Class Y*		287,844		11,407		93,624		205,627		4,678,018		43,722		43,236
									$	238,890,775	$	84,999	$	(1,252,860	)
RetireSMART Moderate Fund
MassMutual Premier Core Bond Fund, Class Z		9,125,454		351,787		768,018		8,709,223	$	101,201,166	$	-	$	53,873
MassMutual Premier Disciplined Growth Fund, Class S		3,131,526		65,576		442,033		2,755,069		29,093,532		-		400,005
MassMutual Premier Disciplined Value Fund, Class S		2,827,362		65,446		437,479		2,455,329		26,001,935		-		98,134
MassMutual Premier Focused International Fund, Class Z		397,306		151,602		73,951		474,957		5,124,785		-		(53,035	)
MassMutual Premier High Yield Fund, Class Z		2,087,466		30,225		811,495		1,306,196		12,160,687		-		15,700
MassMutual Premier Inflation-Protected and Income Fund, Class Z		2,175,507		95,444		691,869		1,579,082		18,870,030		-		442,656
MassMutual Premier International Bond Fund, Class S		800,388		142,498		315,990		626,896		6,381,800		-		(124,850	)
MassMutual Premier International Equity Fund, Class S		949,554		110,436		153,187		906,803		11,099,269		-		(387,489	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		1,137,928		-		283,215		854,713		9,735,181		-		42,396
MassMutual Premier Money Market Fund, Class S		1,020,447		22		221,606		798,863		798,863		22		-
MassMutual Premier Short-Duration Bond Fund, Class Z		3,206,376		297,231		508,702		2,994,905		31,895,741		-		(102,864	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		1,532,330		33,079		279,346		1,286,063		14,468,211		-		(1,089,998	)
MassMutual Premier Value Fund, Class S		79,514		4,380		74,631		9,263		131,992		-		(59,276	)
MassMutual Select BlackRock Global Allocation Fund, Class S		512,789		-		2,047		510,742		5,255,539		-		(1,696	)
MassMutual Select Blue Chip Growth Fund, Class S		887,296		36,177		144,698		778,775		9,446,545		-		212,783
MassMutual Select Core Opportunities Fund, Class S		594,188		26,010		620,198		-		-		88,568		(51,217	)
MassMutual Select Diversified International Fund, Class S		1,393,481		374,476		301,235		1,466,722		8,653,659		-		(271,131	)
MassMutual Select Diversified Value Fund, Class S		962,391		422,311		133,969		1,250,733		12,094,587		-		39,309
MassMutual Select Focused Value Fund, Class Z		510,700		151,106		74,511		587,295		10,770,992		-		76,768
MassMutual Select Fundamental Growth Fund, Class S		-		951,322		26,914		924,408		5,990,162		-		2,958
MassMutual Select Fundamental Value Fund, Class Z		1,518,421		180,809		234,317		1,464,913		15,908,957		-		55,711
MassMutual Select Growth Opportunities Fund, Class S		1,274,935		52,299		209,455		1,117,779		9,322,277		-		257,154
MassMutual Select Large Cap Growth Fund, Class S		775,910		18,836		794,746		-		-		4,212		(456,030	)
MassMutual Select Large Cap Value Fund, Class S		322,264		14,500		68,691		268,073		2,881,784		-		19,223
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		1,232,261		20,193		139,275		1,113,179		17,220,878		-		(83,057	)
MassMutual Select Mid-Cap Value Fund, Class S		1,779,591		165,188		268,646		1,676,133		17,398,259		-		46,952
MassMutual Select Overseas Fund, Class Z		5,439,423		377,111		793,160		5,023,374		33,204,501		-		(557,718	)
MassMutual Select PIMCO Total Return Fund, Class Z		858,855		40,531		303,044		596,342		6,255,630		-		(52,300	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		280,493		78,050		108,016		250,527		3,850,605		-		(257,313	)
MassMutual Select Small Cap Value Equity Fund, Class S		829,707		278,543		216,454		891,796		8,641,505		-		68,180
MassMutual Select Small Company Growth Fund, Class S		371,524		77,130		135,171		313,483		3,247,680		-		27,901
MassMutual Select Small Company Value Fund, Class Z		119,442		74,543		98,718		95,267		1,283,247		-		(53,458	)
MassMutual Select Strategic Bond Fund, Class S		1,151,708		26,683		172,603		1,005,788		10,389,793		-		33,694
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,871,076		494,543		771,667		4,593,952		14,103,433		-		(275,014	)
Oppenheimer Developing Markets Fund, Class Y*		151,860		47,110		604		198,366		6,216,794		-		(3,274	)
Oppenheimer Real Estate Fund, Class Y*		916,079		28,057		250,110		694,026		15,789,087		149,127		206,661
									$	484,889,106	$	241,929	$	(1,779,662	)
RetireSMART Moderate Growth Fund
MassMutual Premier Core Bond Fund, Class Z		2,621,235		96,778		189,109		2,528,904	$	29,385,859	$	-	$	15,857
MassMutual Premier Disciplined Growth Fund, Class S		3,514,622		40,438		528,142		3,026,918		31,964,253		-		461,138
MassMutual Premier Disciplined Value Fund, Class S		2,848,291		40,209		373,125		2,515,375		26,637,817		-		63,205
MassMutual Premier Focused International Fund, Class Z		364,244		150,570		87,104		427,710		4,614,988		-		(65,243	)
MassMutual Premier High Yield Fund, Class Z		950,237		22,891		429,029		544,099		5,065,560		-		47,590
MassMutual Premier Inflation-Protected and Income Fund, Class Z		453,103		12,087		193,558		271,632		3,245,997		-		139,293

72

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART Moderate Growth Fund (Continued)
MassMutual Premier International Bond Fund, Class S		403,634		94,827		175,801		322,660	$	3,284,677	$	-	$	(69,486	)
MassMutual Premier International Equity Fund, Class S		972,769		120,147		182,477		910,439		11,143,769		-		(477,309	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		1,111,520		-		277,148		834,372		9,503,492		-		41,749
MassMutual Premier Short-Duration Bond Fund, Class Z		642,858		55,468		116,971		581,355		6,191,430		-		(25,355	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		1,410,928		23,553		280,838		1,153,643		12,978,481		-		(1,101,278	)
MassMutual Premier Value Fund, Class S		111,837		3,038		102,933		11,942		170,172		-		(102,815	)
MassMutual Select BlackRock Global Allocation Fund, Class S		369,862		-		1,701		368,161		3,788,372		-		(1,367	)
MassMutual Select Blue Chip Growth Fund, Class S		1,053,111		18,429		233,287		838,253		10,168,003		-		291,836
MassMutual Select Core Opportunities Fund, Class S		433,240		15,757		448,997		-		-		61,744		(39,560	)
MassMutual Select Diversified International Fund, Class S		2,240,278		368,270		360,604		2,247,944		13,262,871		-		(331,558	)
MassMutual Select Diversified Value Fund, Class S		1,376,077		334,484		255,492		1,455,069		14,070,515		-		50,897
MassMutual Select Focused Value Fund, Class Z		348,647		103,547		63,441		388,753		7,129,727		-		47,520
MassMutual Select Fundamental Growth Fund, Class S		-		1,222,668		34,845		1,187,823		7,697,093		-		4,544
MassMutual Select Fundamental Value Fund, Class Z		1,868,250		150,980		356,815		1,662,415		18,053,831		-		44,520
MassMutual Select Growth Opportunities Fund, Class S		1,639,537		26,723		296,896		1,369,364		11,420,495		-		304,489
MassMutual Select Large Cap Growth Fund, Class S		994,709		680		995,389		-		-		5,414		(621,542	)
MassMutual Select Large Cap Value Fund, Class S		397,573		8,144		110,741		294,976		3,170,997		-		27,170
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		1,084,851		14,325		119,395		979,781		15,157,205		-		(93,018	)
MassMutual Select Mid-Cap Value Fund, Class S		1,515,152		185,675		238,753		1,462,074		15,176,325		-		14,372
MassMutual Select Overseas Fund, Class Z		5,371,902		467,251		807,643		5,031,510		33,258,283		-		(613,036	)
MassMutual Select PIMCO Total Return Fund, Class Z		303,155		4,877		58,622		249,410		2,616,307		-		(13,072	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		349,303		73,604		120,667		302,240		4,645,427		-		(307,844	)
MassMutual Select Small Cap Value Equity Fund, Class S		809,528		245,648		203,113		852,063		8,256,489		-		41,328
MassMutual Select Small Company Growth Fund, Class S		472,788		72,721		124,624		420,885		4,360,366		-		4,678
MassMutual Select Small Company Value Fund, Class Z		313,292		66,882		93,926		286,248		3,855,765		-		(28,532	)
MassMutual Select Strategic Bond Fund, Class S		363,542		3,184		25,796		340,930		3,521,803		-		4,661
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,239,021		360,834		634,305		3,965,550		12,174,239		-		(224,771	)
Oppenheimer Developing Markets Fund, Class Y*		69,673		24,845		309		94,209		2,952,508		-		(1,618	)
Oppenheimer Real Estate Fund, Class Y*		723,640		19,926		207,826		535,740		12,188,086		114,769		153,911
									$	351,111,202	$	181,927	$	(2,358,646	)
RetireSMART Growth Fund
MassMutual Premier Core Bond Fund, Class Z		66,992		16,718		23,015		60,695	$	705,270	$	-	$	3,776
MassMutual Premier Disciplined Growth Fund, Class S		639,652		30,112		67,041		602,723		6,364,759		-		69,755
MassMutual Premier Disciplined Value Fund, Class S		460,285		29,865		41,166		448,984		4,754,742		-		12,287
MassMutual Premier Focused International Fund, Class Z		75,888		34,863		10,239		100,512		1,084,527		-		(6,947	)
MassMutual Premier High Yield Fund, Class Z		85,564		1,784		51,199		36,149		336,543		-		11,209
MassMutual Premier Inflation-Protected and Income Fund, Class Z		19,385		1,327		11,932		8,780		104,920		-		10,281
MassMutual Premier International Bond Fund, Class S		14,585		16,071		4,862		25,794		262,587		-		(2,060	)
MassMutual Premier International Equity Fund, Class S		169,566		37,377		21,228		185,715		2,273,154		-		(52,049	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		120,988		228		29,853		91,363		1,040,622		-		4,482
MassMutual Premier Short-Duration Bond Fund, Class Z		15,575		3,004		1,695		16,884		179,818		-		(316	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		286,158		21,119		33,526		273,751		3,079,695		-		(127,555	)
MassMutual Premier Value Fund, Class S		29,698		2,692		27,933		4,457		63,507		-		(29,178	)
MassMutual Select BlackRock Global Allocation Fund, Class S		8,895		17		5		8,907		91,655		-		(4	)
MassMutual Select Blue Chip Growth Fund, Class S		236,236		16,287		33,621		218,902		2,655,286		-		48,272
MassMutual Select Core Opportunities Fund, Class S		76,860		7,962		84,822		-		-		12,738		(8,659	)
MassMutual Select Diversified International Fund, Class S		481,759		94,687		42,099		534,347		3,152,648		-		(36,734	)
MassMutual Select Diversified Value Fund, Class S		305,408		81,030		34,777		351,661		3,400,566		-		10,412
MassMutual Select Focused Value Fund, Class Z		61,461		25,283		6,994		79,750		1,462,616		-		7,559
MassMutual Select Fundamental Growth Fund, Class S		-		286,911		8,333		278,578		1,805,184		-		1,403
MassMutual Select Fundamental Value Fund, Class Z		411,141		53,054		48,855		415,340		4,510,589		-		11,659
MassMutual Select Growth Opportunities Fund, Class S		334,123		23,560		40,177		317,506		2,648,004		-		48,419

73

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART Growth Fund (Continued)
MassMutual Select Large Cap Growth Fund, Class S		227,653		571		228,224		-	$	-	$	1,265	$	(141,796	)
MassMutual Select Large Cap Value Fund, Class S		95,437		7,259		16,365		86,331		928,058		-		5,322
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		218,077		12,154		13,855		216,376		3,347,331		-		(6,588	)
MassMutual Select Mid-Cap Value Fund, Class S		301,580		62,093		27,043		336,630		3,494,219		-		6,890
MassMutual Select Overseas Fund, Class Z		958,109		153,360		93,933		1,017,536		6,725,914		-		(62,894	)
MassMutual Select PIMCO Total Return Fund, Class Z		9,685		682		1,417		8,950		93,891		-		(283	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		75,767		17,423		15,700		77,490		1,191,021		-		(37,308	)
MassMutual Select Small Cap Value Equity Fund, Class S		146,996		55,551		26,004		176,543		1,710,705		-		8,135
MassMutual Select Small Company Growth Fund, Class S		103,249		17,150		16,762		103,637		1,073,678		-		2,133
MassMutual Select Small Company Value Fund, Class Z		73,389		15,313		12,766		75,936		1,022,858		-		(2,993	)
MassMutual Select Strategic Bond Fund, Class S		32,419		495		498		32,416		334,855		-		117
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		765,719		113,780		68,728		810,771		2,489,066		-		(24,958	)
Oppenheimer Developing Markets Fund, Class Y*		7,807		7,309		-		15,116		473,747		-		-
Oppenheimer Real Estate Fund, Class Y*		130,513		12,293		29,434		113,372		2,579,220		23,538		22,578
									$	65,441,255	$	37,541	$	(255,633	)
RetireSMART In Retirement Fund
MassMutual Premier Core Bond Fund, Class Z		1,608,682		250,262		278,383		1,580,561	$	18,366,116	$	-	$	15,824
MassMutual Premier Disciplined Growth Fund, Class S		392,831		16,478		69,560		339,749		3,587,750		-		346,450
MassMutual Premier Disciplined Value Fund, Class S		386,520		16,471		50,644		352,347		3,731,359		-		155,039
MassMutual Premier Focused International Fund, Class Z		37,665		13,584		6,997		44,252		477,479		-		(5,960	)
MassMutual Premier High Yield Fund, Class Z		339,523		9,377		148,167		200,733		1,868,822		-		(11,254	)
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,116,252		55,870		315,506		856,616		10,236,560		-		181,395
MassMutual Premier International Bond Fund, Class S		402,483		21,500		116,201		307,782		3,133,224		-		130,561
MassMutual Premier International Equity Fund, Class S		94,405		14,982		14,750		94,637		1,158,361		-		56,315
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		5,140		12		1,272		3,880		44,189		-		2,846
MassMutual Premier Money Market Fund, Class S		1,948,223		879		1,579,085		370,017		370,017		23		3
MassMutual Premier Short-Duration Bond Fund, Class Z		1,620,022		361,983		211,179		1,770,826		18,859,297		-		(43,260	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		205,786		9,089		42,238		172,637		1,942,169		-		(173,029	)
MassMutual Premier Value Fund, Class S		10,535		456		9,580		1,411		20,108		-		3,959
MassMutual Select Blue Chip Growth Fund, Class S		59,259		2,842		9,567		52,534		637,232		-		33,094
MassMutual Select Core Opportunities Fund, Class S		96,915		6,677		103,592		-		-		14,382		47,787
MassMutual Select Diversified International Fund, Class S		174,418		42,732		28,917		188,233		1,110,573		-		44,487
MassMutual Select Diversified Value Fund, Class S		76,088		80,960		12,931		144,117		1,393,614		-		34,507
MassMutual Select Focused Value Fund, Class Z		95,606		26,989		13,867		108,728		1,994,078		-		14,744
MassMutual Select Fundamental Growth Fund, Class S		-		130,862		1,721		129,141		836,832		-		253
MassMutual Select Fundamental Value Fund, Class Z		108,808		33,483		16,356		125,935		1,367,659		-		3,842
MassMutual Select Growth Opportunities Fund, Class S		67,580		4,086		13,861		57,805		482,093		-		47,293
MassMutual Select Large Cap Growth Fund, Class S		99,799		298		100,097		-		-		574		59,725
MassMutual Select Large Cap Value Fund, Class S		15,492		1,250		4,860		11,882		127,730		-		7,484
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		100,693		3,704		13,010		91,387		1,413,759		-		(7,723	)
MassMutual Select Mid-Cap Value Fund, Class S		156,613		20,888		25,365		152,136		1,579,174		-		83,981
MassMutual Select Overseas Fund, Class Z		514,863		46,055		79,492		481,426		3,182,228		-		(54,785	)
MassMutual Select PIMCO Total Return Fund, Class Z		275,431		41,861		89,527		227,765		2,389,251		-		(16,930	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		56,915		2,663		14,519		45,059		692,555		-		(32,243	)
MassMutual Select Small Cap Value Equity Fund, Class S		91,091		13,438		22,823		81,706		791,727		-		105,975
MassMutual Select Small Company Growth Fund, Class S		53,069		2,579		16,105		39,543		409,662		-		87,431
MassMutual Select Small Company Value Fund, Class Z		53,649		4,871		13,218		45,302		610,219		-		(372	)
MassMutual Select Strategic Bond Fund, Class S		360,498		15,191		46,725		328,964		3,398,201		-		78,927
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		626,596		105,365		126,254		605,707		1,859,521		-		13,047
Oppenheimer Developing Markets Fund, Class Y*		30,094		9,655		11		39,738		1,245,404		-		(57	)
Oppenheimer Real Estate Fund, Class Y*		130,646		6,721		39,633		97,734		2,223,439		20,887		188,769
									$	91,540,402	$	35,866	$	1,398,125

74

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income			Net Realized Gain (Loss)
RetireSMART 2010 Fund
MassMutual Premier Core Bond Fund, Class Z		1,585,853		291,844		185,557		1,692,140	$	19,662,665	$	-		$	10,725
MassMutual Premier Disciplined Growth Fund, Class S		584,453		38,599		53,071		569,981		6,019,001		-			247,094
MassMutual Premier Disciplined Value Fund, Class S		558,401		38,669		53,038		544,032		5,761,300		-			190,360
MassMutual Premier Focused International Fund, Class Z		65,711		20,309		7,842		78,178		843,536		-			(7,511	)
MassMutual Premier High Yield Fund, Class Z		410,926		17,387		149,251		279,062		2,598,067		-			(11,698	)
MassMutual Premier Inflation-Protected and Income Fund, Class Z		854,522		78,661		178,799		754,384		9,014,894		-			109,257
MassMutual Premier International Bond Fund, Class S		287,067		49,771		77,209		259,629		2,643,028		-			(1,950	)
MassMutual Premier International Equity Fund, Class S		157,003		26,614		16,345		167,272		2,047,410		-			37,574
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		16,480		9		4,056		12,433		141,607		-			7,712
MassMutual Premier Money Market Fund, Class S		1,130,821		175		861,337		269,659		269,659		14			-
MassMutual Premier Short-Duration Bond Fund, Class Z		1,073,633		247,283		100,665		1,220,251		12,995,678		-			(20,788	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		269,874		18,924		32,967		255,831		2,878,104		-			(139,542	)
MassMutual Premier Value Fund, Class S		21,659		1,233		20,062		2,830		40,328		-			19,921
MassMutual Select Blue Chip Growth Fund, Class S		86,173		7,483		13,642		80,014		970,573		-			52,819
MassMutual Select Core Opportunities Fund, Class S		106,800		11,313		118,113		-		-		18,007			30,030
MassMutual Select Diversified International Fund, Class S		315,946		67,684		32,292		351,338		2,072,895		-			54,694
MassMutual Select Diversified Value Fund, Class S		126,133		87,569		13,560		200,142		1,935,371		-			39,801
MassMutual Select Focused Value Fund, Class Z		99,266		36,424		9,262		126,428		2,318,689		-			9,068
MassMutual Select Fundamental Growth Fund, Class S		-		205,470		3,716		201,754		1,307,367		-			638
MassMutual Select Fundamental Value Fund, Class Z		164,935		47,521		15,532		196,924		2,138,599		-			2,861
MassMutual Select Growth Opportunities Fund, Class S		109,439		10,821		19,748		100,512		838,266		-			61,706
MassMutual Select Large Cap Growth Fund, Class S		164,011		204		164,215		-		-		905			83,855
MassMutual Select Large Cap Value Fund, Class S		18,660		3,355		3,749		18,266		196,362		-			2,594
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		194,554		12,347		16,495		190,406		2,945,577		-			(11,331	)
MassMutual Select Mid-Cap Value Fund, Class S		284,823		49,584		30,735		303,672		3,152,116		-			139,891
MassMutual Select Overseas Fund, Class Z		861,630		93,261		111,242		843,649		5,576,521		-			(79,140	)
MassMutual Select PIMCO Total Return Fund, Class Z		315,311		66,799		61,498		320,612		3,363,220		-			(13,389	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		64,632		9,252		17,148		56,736		872,028		-			(38,716	)
MassMutual Select Small Cap Value Equity Fund, Class S		139,595		40,492		28,780		151,307		1,466,165		-			69,757
MassMutual Select Small Company Growth Fund, Class S		73,063		9,011		19,466		62,608		648,616		-			50,030
MassMutual Select Small Company Value Fund, Class Z		54,428		10,296		15,084		49,640		668,656		-			(615	)
MassMutual Select Strategic Bond Fund, Class S		301,793		23,554		26,383		298,964		3,088,299		-			42,614
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		744,595		146,367		117,802		773,160		2,373,603		-			(4,469	)
Oppenheimer Developing Markets Fund, Class Y*		30,723		12,466		13		43,176		1,353,113		-			(72	)
Oppenheimer Real Estate Fund, Class Y*		150,399		12,660		32,299		130,760		2,974,758		27,124			146,075
									$	105,176,071	$	46,050		$	1,079,855
RetireSMART 2015 Fund
MassMutual Premier Core Bond Fund, Class Z		33,213		23,298		11,415		45,096	$	524,018	$	-		$	553
MassMutual Premier Disciplined Growth Fund, Class S		21,080		6,469		8,906		18,643		196,874		-			15,872
MassMutual Premier Disciplined Value Fund, Class S		20,153		6,475		8,188		18,440		195,280		-			7,818
MassMutual Premier Focused International Fund, Class Z		3,448		1,723		1,323		3,848		41,518		-			(648	)
MassMutual Premier High Yield Fund, Class Z		11,969		3,761		7,101		8,629		80,337		-			808
MassMutual Premier Inflation-Protected and Income Fund, Class Z		24,308		8,472		11,191		21,589		257,991		-			5,960
MassMutual Premier International Bond Fund, Class S		10,355		3,965		5,777		8,543		86,967		-			44
MassMutual Premier International Equity Fund, Class S		7,254		3,049		3,037		7,266		88,942		-			(2,111	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		889		2		218		673		7,668		-			352
MassMutual Premier Money Market Fund, Class S		1,596		3		300		1,299		1,299		0	+		-
MassMutual Premier Short-Duration Bond Fund, Class Z		19,309		10,808		7,257		22,860		243,464		-			(1,347	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		10,760		3,482		5,422		8,820		99,223		-			(17,404	)
MassMutual Premier Value Fund, Class S		863		274		977		160		2,286		-			820
MassMutual Select Blue Chip Growth Fund, Class S		5,104		1,644		2,618		4,130		50,101		-			5,822
MassMutual Select Core Opportunities Fund, Class S		4,396		1,419		5,815		-		-		669			2,966
MassMutual Select Diversified International Fund, Class S		15,182		6,443		5,396		16,229		95,751		-			(4,032	)
MassMutual Select Diversified Value Fund, Class S		7,040		3,470		3,059		7,451		72,047		-			2,903

75

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART 2015 Fund (Continued)
MassMutual Select Focused Value Fund, Class Z		3,576		2,220		1,580		4,216	$	77,326	$	-	$	2,732
MassMutual Select Fundamental Growth Fund, Class S		-		5,667		16		5,651		36,620		-		2
MassMutual Select Fundamental Value Fund, Class Z		9,818		4,236		4,351		9,703		105,378		-		2,168
MassMutual Select Growth Opportunities Fund, Class S		7,117		2,382		3,768		5,731		47,796		-		6,745
MassMutual Select Large Cap Growth Fund, Class S		4,220		12		4,232		-		-		22		(1,323	)
MassMutual Select Large Cap Value Fund, Class S		1,925		733		847		1,811		19,471		-		656
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		7,015		2,044		2,038		7,021		108,613		-		(122	)
MassMutual Select Mid-Cap Value Fund, Class S		12,171		5,320		4,665		12,826		133,134		-		6,394
MassMutual Select Overseas Fund, Class Z		34,262		12,360		13,035		33,587		222,009		-		(5,105	)
MassMutual Select PIMCO Total Return Fund, Class Z		9,378		3,855		4,423		8,810		92,420		-		(662	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		4,383		1,695		2,189		3,889		59,774		-		(1,345	)
MassMutual Select Small Cap Value Equity Fund, Class S		7,220		3,374		3,427		7,167		69,450		-		4,512
MassMutual Select Small Company Growth Fund, Class S		4,541		1,655		2,254		3,942		40,837		-		3,511
MassMutual Select Small Company Value Fund, Class Z		3,418		1,390		1,764		3,044		41,001		-		954
MassMutual Select Strategic Bond Fund, Class S		7,361		2,351		2,492		7,220		74,581		-		1,453
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		28,563		12,700		11,575		29,688		91,138		-		(959	)
Oppenheimer Developing Markets Fund, Class Y*		915		632		-		1,547		48,453		-		-
Oppenheimer Real Estate Fund, Class Y*		6,604		2,180		3,378		5,406		122,971		1,207		14,306
									$	3,434,738	$	1,898	$	52,293
RetireSMART 2020 Fund
MassMutual Premier Core Bond Fund, Class Z		2,638,827		959,926		139,925		3,458,828	$	40,191,593	$	-	$	10,751
MassMutual Premier Disciplined Growth Fund, Class S		2,852,681		149,477		300,123		2,702,035		28,533,485		-		431,444
MassMutual Premier Disciplined Value Fund, Class S		2,510,148		148,894		157,972		2,501,070		26,486,327		-		(323,254	)
MassMutual Premier Focused International Fund, Class Z		354,899		90,593		35,504		409,988		4,423,775		-		(35,078	)
MassMutual Premier High Yield Fund, Class Z		1,802,257		91,337		633,343		1,260,251		11,732,935		-		(70,757	)
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,470,158		104,169		291,185		1,283,142		15,333,547		-		192,601
MassMutual Premier International Bond Fund, Class S		1,099,315		118,193		286,123		931,385		9,481,497		-		88,479
MassMutual Premier International Equity Fund, Class S		834,655		121,409		73,954		882,110		10,797,022		-		121,265
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		1,302,076		2,705		320,904		983,877		11,206,360		-		760,264
MassMutual Premier Money Market Fund, Class S		45,059		78		9,001		36,136		36,136		1		-
MassMutual Premier Short-Duration Bond Fund, Class Z		1,478,415		350,853		103,668		1,725,600		18,377,645		-		(21,689	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		1,229,876		80,563		174,885		1,135,554		12,774,985		-		(705,840	)
MassMutual Premier Value Fund, Class S		92,724		7,954		87,396		13,282		189,263		-		45,872
MassMutual Select Blue Chip Growth Fund, Class S		648,779		48,303		117,587		579,495		7,029,273		-		257,213
MassMutual Select Core Opportunities Fund, Class S		402,516		33,300		435,816		-		-		66,254		82,043
MassMutual Select Diversified International Fund, Class S		1,697,960		292,283		145,754		1,844,489		10,882,485		-		(146,484	)
MassMutual Select Diversified Value Fund, Class S		981,773		427,965		104,505		1,305,233		12,621,600		-		347,632
MassMutual Select Focused Value Fund, Class Z		360,082		129,400		42,972		446,510		8,188,997		-		38,755
MassMutual Select Fundamental Growth Fund, Class S		-		1,509,588		24,521		1,485,067		9,623,237		-		4,694
MassMutual Select Fundamental Value Fund, Class Z		1,300,889		212,356		132,955		1,380,290		14,989,948		-		21,343
MassMutual Select Growth Opportunities Fund, Class S		884,282		69,954		169,420		784,816		6,545,363		-		512,921
MassMutual Select Large Cap Growth Fund, Class S		1,230,177		3,205		1,233,382		-		-		6,625		1,187,805
MassMutual Select Large Cap Value Fund, Class S		199,212		21,438		40,047		180,603		1,941,486		-		152,143
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		917,279		51,256		70,823		897,712		13,887,599		-		(47,038	)
MassMutual Select Mid-Cap Value Fund, Class S		1,316,743		170,955		122,955		1,364,743		14,166,033		-		85,337
MassMutual Select Overseas Fund, Class Z		4,255,017		411,538		379,984		4,286,571		28,334,235		-		(289,859	)
MassMutual Select PIMCO Total Return Fund, Class Z		683,374		80,108		93,649		669,833		7,026,548		-		(23,685	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		120,180		112,401		63,560		169,021		2,597,855		-		(176,632	)
MassMutual Select Small Cap Value Equity Fund, Class S		344,894		225,554		107,217		463,231		4,488,710		-		244,579
MassMutual Select Small Company Growth Fund, Class S		312,274		111,045		77,426		345,893		3,583,451		-		194,908
MassMutual Select Small Company Value Fund, Class Z		207,551		97,094		58,649		245,996		3,313,564		-		(5,716	)
MassMutual Select Strategic Bond Fund, Class S		480,049		28,566		30,654		477,961		4,937,332		-		51,869
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		3,152,460		546,192		493,520		3,205,132		9,839,755		-		(16,308	)

76

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART 2020 Fund (Continued)
Oppenheimer Developing Markets Fund, Class Y*		68,529		37,046		-		105,575	$	3,308,719	$	-	$	-
Oppenheimer Real Estate Fund, Class Y*		763,004		56,745		160,904		658,845		14,988,723		134,369		984,457
									$	371,859,483	$	207,249	$	3,954,035
RetireSMART 2025 Fund
MassMutual Premier Core Bond Fund, Class Z		8,650		9,078		1,421		16,307	$	189,489	$	-	$	90
MassMutual Premier Disciplined Growth Fund, Class S		15,212		7,569		4,071		18,710		197,581		-		8,749
MassMutual Premier Disciplined Value Fund, Class S		14,140		7,556		3,345		18,351		194,334		-		3,697
MassMutual Premier Focused International Fund, Class Z		2,729		2,284		776		4,237		45,718		-		(552	)
MassMutual Premier High Yield Fund, Class Z		11,052		5,375		6,297		10,130		94,308		-		(20	)
MassMutual Premier Inflation-Protected and Income Fund, Class Z		4,853		2,936		2,203		5,586		66,754		-		1,504
MassMutual Premier International Bond Fund, Class S		6,418		4,423		3,116		7,725		78,641		-		550
MassMutual Premier International Equity Fund, Class S		5,748		4,415		1,602		8,561		104,781		-		(483	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		989		4		244		749		8,526		-		396
MassMutual Premier Short-Duration Bond Fund, Class Z		5,265		5,379		1,384		9,260		98,620		-		(265	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		7,817		4,581		2,686		9,712		109,257		-		(10,864	)
MassMutual Premier Value Fund, Class S		678		521		1,044		155		2,210		-		265
MassMutual Select Blue Chip Growth Fund, Class S		4,906		3,165		1,320		6,751		81,892		-		3,893
MassMutual Select Core Opportunities Fund, Class S		2,307		1,697		4,004		-		-		550		938
MassMutual Select Diversified International Fund, Class S		11,845		9,010		3,181		17,674		104,278		-		(2,825	)
MassMutual Select Diversified Value Fund, Class S		6,924		6,872		1,669		12,127		117,272		-		1,856
MassMutual Select Focused Value Fund, Class Z		2,220		2,157		660		3,717		68,169		-		959
MassMutual Select Fundamental Growth Fund, Class S		-		9,189		1		9,188		59,540		-		-
MassMutual Select Fundamental Value Fund, Class Z		9,558		6,840		2,408		13,990		151,937		-		982
MassMutual Select Growth Opportunities Fund, Class S		6,847		4,575		1,901		9,521		79,402		-		5,003
MassMutual Select Large Cap Growth Fund, Class S		6,917		30		6,947		-		-		41		(1,951	)
MassMutual Select Large Cap Value Fund, Class S		1,906		1,401		750		2,557		27,491		-		804
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		5,452		2,561		985		7,028		108,727		-		(295	)
MassMutual Select Mid-Cap Value Fund, Class S		8,516		6,171		2,220		12,467		129,403		-		3,743
MassMutual Select Overseas Fund, Class Z		28,811		18,596		7,445		39,962		264,146		-		(4,034	)
MassMutual Select PIMCO Total Return Fund, Class Z		1,646		1,489		575		2,560		26,854		-		(105	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		3,116		2,400		1,121		4,395		67,544		-		(2,211	)
MassMutual Select Small Cap Value Equity Fund, Class S		5,205		4,255		1,949		7,511		72,781		-		2,599
MassMutual Select Small Company Growth Fund, Class S		3,429		2,343		1,139		4,633		47,999		-		3,012
MassMutual Select Small Company Value Fund, Class Z		2,620		1,911		1,019		3,512		47,312		-		112
MassMutual Select Strategic Bond Fund, Class S		1,660		787		308		2,139		22,091		-		192
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		22,031		16,709		7,399		31,341		96,216		-		312
Oppenheimer Developing Markets Fund, Class Y*		452		643		-		1,095		34,322		-		-
Oppenheimer Real Estate Fund, Class Y*		4,466		2,705		1,888		5,283		120,196		1,111		9,778
									$	2,917,791	$	1,702	$	25,829
RetireSMART 2030 Fund
MassMutual Premier Core Bond Fund, Class Z		1,059,716		409,991		82,316		1,387,391	$	16,121,478	$	-	$	10,802
MassMutual Premier Disciplined Growth Fund, Class S		2,181,390		140,548		230,584		2,091,354		22,084,696		-		680,666
MassMutual Premier Disciplined Value Fund, Class S		1,896,275		140,124		141,765		1,894,634		20,064,175		-		(155,765	)
MassMutual Premier Focused International Fund, Class Z		388,532		102,721		39,870		451,383		4,870,420		-		(32,517	)
MassMutual Premier High Yield Fund, Class Z		1,238,505		70,938		470,128		839,315		7,814,019		-		(42,374	)
MassMutual Premier Inflation-Protected and Income Fund, Class Z		519,842		38,415		153,186		405,071		4,840,600		-		113,729
MassMutual Premier International Bond Fund, Class S		704,528		65,050		185,668		583,910		5,944,208		-		147,595
MassMutual Premier International Equity Fund, Class S		830,450		139,269		82,683		887,036		10,857,320		-		322,838
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		843,346		1,883		207,950		637,279		7,258,613		-		470,364
MassMutual Premier Short-Duration Bond Fund, Class Z		618,017		219,009		56,461		780,565		8,313,020		-		(10,504	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		1,163,558		85,177		171,402		1,077,333		12,119,995		-		(675,536	)
MassMutual Premier Value Fund, Class S		83,641		10,566		81,284		12,923		184,149		-		3,491
MassMutual Select Blue Chip Growth Fund, Class S		789,780		64,289		85,125		768,944		9,327,291		-		201,651

77

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART 2030 Fund (Continued)
MassMutual Select Core Opportunities Fund, Class S		333,345		33,453		366,798		-	$	-	$	55,903	$	75,643
MassMutual Select Diversified International Fund, Class S		1,758,640		320,108		163,680		1,915,068		11,298,904		-		(336,383	)
MassMutual Select Diversified Value Fund, Class S		1,187,826		390,453		101,350		1,476,929		14,281,901		-		342,045
MassMutual Select Focused Value Fund, Class Z		289,948		111,538		36,019		365,467		6,702,658		-		42,670
MassMutual Select Fundamental Growth Fund, Class S		-		1,921,273		33,940		1,887,333		12,229,920		-		6,859
MassMutual Select Fundamental Value Fund, Class Z		1,584,756		223,001		138,635		1,669,122		18,126,665		-		44,483
MassMutual Select Growth Opportunities Fund, Class S		1,092,365		93,098		122,779		1,062,684		8,862,784		-		267,515
MassMutual Select Large Cap Growth Fund, Class S		1,478,520		4,320		1,482,840		-		-		8,452		1,306,154
MassMutual Select Large Cap Value Fund, Class S		265,027		28,660		32,203		261,484		2,810,952		-		147,162
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		896,127		52,748		83,917		864,958		13,380,895		-		(34,730	)
MassMutual Select Mid-Cap Value Fund, Class S		1,248,829		180,073		120,614		1,308,288		13,580,030		-		73,920
MassMutual Select Overseas Fund, Class Z		4,386,015		490,357		376,298		4,500,074		29,745,492		-		(243,399	)
MassMutual Select PIMCO Total Return Fund, Class Z		186,704		47,945		30,316		204,333		2,143,450		-		(6,406	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		285,418		91,892		72,364		304,946		4,687,017		-		(154,496	)
MassMutual Select Small Cap Value Equity Fund, Class S		521,283		223,804		103,268		641,819		6,219,230		-		309,768
MassMutual Select Small Company Growth Fund, Class S		312,243		90,486		64,930		337,799		3,499,595		-		220,779
MassMutual Select Small Company Value Fund, Class Z		291,939		79,612		53,154		318,397		4,288,810		-		(3,307	)
MassMutual Select Strategic Bond Fund, Class S		186,063		11,301		11,548		185,816		1,919,483		-		14,490
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		3,001,736		523,451		475,968		3,049,219		9,361,101		-		(27,196	)
Oppenheimer Developing Markets Fund, Class Y*		58,435		39,632		-		98,067		3,073,411		-		-
Oppenheimer Real Estate Fund, Class Y*		643,274		55,441		139,986		558,729		12,711,091		114,890		781,901
									$	308,723,373	$	179,245	$	3,861,912
RetireSMART 2035 Fund
MassMutual Premier Core Bond Fund, Class Z		6,407		4,451		937		9,921	$	115,272	$	-	$	34
MassMutual Premier Disciplined Growth Fund, Class S		13,896		5,758		2,980		16,674		176,077		-		6,674
MassMutual Premier Disciplined Value Fund, Class S		12,663		5,740		2,596		15,807		167,398		-		3,179
MassMutual Premier Focused International Fund, Class Z		2,809		2,192		671		4,330		46,716		-		(383	)
MassMutual Premier High Yield Fund, Class Z		6,251		2,208		3,917		4,542		42,290		-		272
MassMutual Premier Inflation-Protected and Income Fund, Class Z		2,185		1,385		1,512		2,058		24,596		-		929
MassMutual Premier International Bond Fund, Class S		4,637		2,636		2,377		4,896		49,838		-		437
MassMutual Premier International Equity Fund, Class S		5,735		3,986		1,383		8,338		102,051		-		(335	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		559		2		136		425		4,839		-		220
MassMutual Premier Short-Duration Bond Fund, Class Z		2,771		2,456		689		4,538		48,335		-		(130	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		8,036		3,900		2,089		9,847		110,774		-		(8,133	)
MassMutual Premier Value Fund, Class S		703		477		1,026		154		2,191		-		260
MassMutual Select Blue Chip Growth Fund, Class S		5,497		2,887		1,115		7,269		88,173		-		3,521
MassMutual Select Core Opportunities Fund, Class S		2,047		1,319		3,366		-		-		479		649
MassMutual Select Diversified International Fund, Class S		12,467		8,162		2,739		17,890		105,553		-		(2,130	)
MassMutual Select Diversified Value Fund, Class S		7,749		5,337		1,537		11,549		111,680		-		1,887
MassMutual Select Focused Value Fund, Class Z		2,063		1,761		401		3,423		62,777		-		673
MassMutual Select Fundamental Growth Fund, Class S		-		11,794		330		11,464		74,286		-		79
MassMutual Select Fundamental Value Fund, Class Z		10,633		6,197		2,104		14,726		159,924		-		1,204
MassMutual Select Growth Opportunities Fund, Class S		7,611		4,171		1,608		10,174		84,848		-		4,439
MassMutual Select Large Cap Growth Fund, Class S		8,713		29		8,742		-		-		51		(2,646	)
MassMutual Select Large Cap Value Fund, Class S		2,090		1,280		608		2,762		29,695		-		733
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		5,569		2,164		884		6,849		105,960		-		(175	)
MassMutual Select Mid-Cap Value Fund, Class S		8,580		5,346		1,783		12,143		126,040		-		3,236
MassMutual Select Overseas Fund, Class Z		30,391		16,285		6,218		40,458		267,429		-		(2,694	)
MassMutual Select PIMCO Total Return Fund, Class Z		547		928		313		1,162		12,192		-		(53	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		3,184		2,016		949		4,251		65,343		-		(1,768	)
MassMutual Select Small Cap Value Equity Fund, Class S		5,286		3,914		1,488		7,712		74,731		-		2,786
MassMutual Select Small Company Growth Fund, Class S		3,385		1,965		942		4,408		45,669		-		2,626
MassMutual Select Small Company Value Fund, Class Z		2,589		1,612		734		3,467		46,699		-		151
MassMutual Select Strategic Bond Fund, Class S		1,284		446		301		1,429		14,765		-		159

78

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART 2035 Fund (Continued)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		20,744		13,578		5,438		28,884	$	88,675	$	-	$	424
Oppenheimer Developing Markets Fund, Class Y*		400		664		-		1,064		33,344		-		-
Oppenheimer Real Estate Fund, Class Y*		4,238		2,163		1,469		4,932		112,208		1,040		7,721
									$	2,600,368	$	1,570	$	23,846
RetireSMART 2040 Fund
MassMutual Premier Core Bond Fund, Class Z		611,048		205,846		21,328		795,566	$	9,244,471	$	-	$	1,773
MassMutual Premier Disciplined Growth Fund, Class S		1,337,806		105,469		118,440		1,324,835		13,990,258		-		173,977
MassMutual Premier Disciplined Value Fund, Class S		1,112,278		105,315		62,960		1,154,633		12,227,565		-		(94,211	)
MassMutual Premier Focused International Fund, Class Z		250,692		73,248		19,639		304,301		3,283,411		-		(16,379	)
MassMutual Premier High Yield Fund, Class Z		423,744		28,998		204,129		248,613		2,314,591		-		10,812
MassMutual Premier Inflation-Protected and Income Fund, Class Z		135,982		21,374		74,780		82,576		986,784		-		59,331
MassMutual Premier International Bond Fund, Class S		344,634		45,271		74,974		314,931		3,205,994		-		42,538
MassMutual Premier International Equity Fund, Class S		543,008		104,981		40,765		607,224		7,432,421		-		176,163
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		472,791		906		116,790		356,907		4,065,171		-		301,673
MassMutual Premier Short-Duration Bond Fund, Class Z		196,684		67,071		15,771		247,984		2,641,026		-		(3,125	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		752,415		74,467		69,941		756,941		8,515,590		-		(287,554	)
MassMutual Premier Value Fund, Class S		71,973		9,474		68,398		13,049		185,941		-		42,977
MassMutual Select Blue Chip Growth Fund, Class S		541,456		56,643		51,349		546,750		6,632,075		-		98,793
MassMutual Select Core Opportunities Fund, Class S		198,244		24,908		223,152		-		-		34,419		41,188
MassMutual Select Diversified International Fund, Class S		1,147,036		235,554		80,643		1,301,947		7,681,485		-		(18,845	)
MassMutual Select Diversified Value Fund, Class S		790,142		183,405		53,899		919,648		8,892,995		-		185,274
MassMutual Select Focused Value Fund, Class Z		179,487		72,815		13,134		239,168		4,386,334		-		14,619
MassMutual Select Fundamental Growth, Class S		-		1,278,984		12,416		1,266,568		8,207,362		-		2,207
MassMutual Select Fundamental Value Fund, Class Z		1,076,393		151,263		73,819		1,153,837		12,530,670		-		21,427
MassMutual Select Growth Opportunities Fund, Class S		751,003		81,995		74,045		758,953		6,329,667		-		352,061
MassMutual Select Large Cap Growth Fund, Class S		974,235		2,553		976,788		-		-		5,601		733,906
MassMutual Select Large Cap Value Fund, Class S		184,211		25,227		16,976		192,462		2,068,970		-		71,730
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		600,762		43,951		35,582		609,131		9,423,252		-		(17,728	)
MassMutual Select Mid-Cap Value Fund, Class S		827,050		152,397		52,057		927,390		9,626,311		-		86,031
MassMutual Select Overseas Fund, Class Z		2,853,515		380,112		194,409		3,039,218		20,089,231		-		(130,137	)
MassMutual Select PIMCO Total Return Fund, Class Z		59,012		30,659		10,988		78,683		825,388		-		(2,386	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		197,250		64,136		32,632		228,754		3,515,953		-		(76,052	)
MassMutual Select Small Cap Value Equity Fund, Class S		337,354		159,731		52,609		444,476		4,306,970		-		235,942
MassMutual Select Small Company Growth Fund, Class S		245,859		62,943		34,434		274,368		2,842,457		-		167,038
MassMutual Select Small Company Value Fund, Class Z		220,640		54,801		28,366		247,075		3,328,105		-		(4,225	)
MassMutual Select Strategic Bond Fund, Class S		97,995		7,555		4,573		100,977		1,043,092		-		231
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		1,885,329		373,410		190,775		2,067,964		6,348,650		-		(1,100	)
Oppenheimer Developing Markets Fund, Class Y*		43,187		27,536		19		70,704		2,215,851		-		(109	)
Oppenheimer Real Estate Fund, Class Y*		383,004		42,666		73,972		351,698		8,001,132		70,602		395,770
									$	196,389,173	$	110,622	$	2,563,610
RetireSMART 2045 Fund
MassMutual Premier Core Bond Fund, Class Z		2,337		1,017		612		2,742	$	31,860	$	-	$	73
MassMutual Premier Disciplined Growth Fund, Class S		11,101		2,663		3,150		10,614		112,082		-		6,677
MassMutual Premier Disciplined Value Fund, Class S		9,827		2,657		2,334		10,150		107,487		-		2,577
MassMutual Premier Focused International Fund, Class Z		2,373		1,180		731		2,822		30,447		-		(562	)
MassMutual Premier High Yield Fund, Class Z		1,978		290		1,808		460		4,280		-		372
MassMutual Premier Inflation-Protected and Income Fund, Class Z		525		223		470		278		3,328		-		272
MassMutual Premier International Bond Fund, Class S		1,720		481		1,040		1,161		11,814		-		275
MassMutual Premier International Equity Fund, Class S		4,882		2,057		1,505		5,434		66,515		-		(719	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		1,411		3		356		1,058		12,052		-		575
MassMutual Premier Short-Duration Bond Fund, Class Z		709		979		241		1,447		15,414		-		(52	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		6,730		1,957		2,258		6,429		72,322		-		(9,417	)
MassMutual Premier Value Fund, Class S		729		244		842		131		1,863		-		512

79

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART 2045 Fund (Continued)
MassMutual Select Blue Chip Growth Fund, Class S		4,865		1,460		1,298		5,027	$	60,978	$	-	$	3,767
MassMutual Select Core Opportunities Fund, Class S		1,702		616		2,318		-		-		293		1,308
MassMutual Select Diversified International Fund, Class S		10,435		4,266		2,994		11,707		69,069		-		(2,736	)
MassMutual Select Diversified Value Fund, Class S		6,806		3,151		1,791		8,166		78,964		-		1,936
MassMutual Select Focused Value Fund, Class Z		1,636		950		437		2,149		39,419		-		601
MassMutual Select Fundamental Growth Fund, Class S		-		9,882		35		9,847		63,805		-		2
MassMutual Select Fundamental Value Fund, Class Z		9,340		3,491		2,462		10,369		112,603		-		943
MassMutual Select Growth Opportunities Fund, Class S		6,594		2,112		1,872		6,834		56,994		-		4,813
MassMutual Select Large Cap Growth Fund, Class S		7,423		22		7,445		-		-		44		(1,139	)
MassMutual Select Large Cap Value Fund, Class S		1,844		650		584		1,910		20,534		-		631
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		4,875		1,080		926		5,029		77,802		-		(344	)
MassMutual Select Mid-Cap Value Fund, Class S		7,414		3,090		1,940		8,564		88,897		-		3,214
MassMutual Select Overseas Fund, Class Z		24,901		8,211		6,635		26,477		175,010		-		(3,856	)
MassMutual Select PIMCO Total Return Fund, Class Z		234		124		127		231		2,424		-		(23	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		2,557		1,050		973		2,634		40,485		-		(1,943	)
MassMutual Select Small Cap Value Equity Fund, Class S		4,199		2,270		1,532		4,937		47,836		-		2,801
MassMutual Select Small Company Growth Fund, Class S		2,736		1,029		958		2,807		29,084		-		2,587
MassMutual Select Small Company Value Fund, Class Z		2,080		848		746		2,182		29,396		-		73
MassMutual Select Strategic Bond Fund, Class S		371		81		72		380		3,927		-		37
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		16,743		6,823		5,365		18,201		55,878		-		270
Oppenheimer Developing Markets Fund, Class Y*		243		304		3		544		17,055		-		(16	)
Oppenheimer Real Estate Fund, Class Y*		3,386		1,035		1,312		3,109		70,721		659		6,889
									$	1,610,345	$	996	$	20,398
RetireSMART 2050 Fund
MassMutual Premier Core Bond Fund, Class Z		55,186		23,908		17,620		61,474	$	714,330	$	-	$	2,628
MassMutual Premier Disciplined Growth Fund, Class S		262,225		62,849		75,492		249,582		2,635,585		-		187,108
MassMutual Premier Disciplined Value Fund, Class S		229,810		62,879		57,345		235,344		2,492,292		-		90,610
MassMutual Premier Focused International Fund, Class Z		56,612		27,579		18,157		66,034		712,504		-		(14,784	)
MassMutual Premier High Yield Fund, Class Z		51,575		6,802		46,691		11,686		108,793		-		9,327
MassMutual Premier Inflation-Protected and Income Fund, Class Z		8,913		5,202		8,314		5,801		69,318		-		2,088
MassMutual Premier International Bond Fund, Class S		38,519		11,269		20,892		28,896		294,166		-		3,362
MassMutual Premier International Equity Fund, Class S		120,065		48,137		37,338		130,864		1,601,771		-		(17,397	)
MassMutual Premier Main Street Small/Mid Cap Fund, Class S		60,025		413		14,895		45,543		518,734		-		51,481
MassMutual Premier Short-Duration Bond Fund, Class Z		19,466		22,814		5,854		36,426		387,941		-		(1,082	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		154,680		49,446		57,168		146,958		1,653,274		-		(236,871	)
MassMutual Premier Value Fund, Class S		13,861		5,723		16,671		2,913		41,507		-		7,284
MassMutual Select Blue Chip Growth Fund, Class S		115,804		34,223		31,851		118,176		1,433,473		-		107,874
MassMutual Select Core Opportunities Fund, Class S		40,149		13,509		53,658		-		-		6,600		7,923
MassMutual Select Diversified International Fund, Class S		242,920		100,610		74,414		269,116		1,587,787		-		(45,580	)
MassMutual Select Diversified Value Fund, Class S		165,756		73,278		44,049		194,985		1,885,505		-		67,138
MassMutual Select Focused Value Fund, Class Z		40,172		21,725		10,728		51,169		938,442		-		15,493
MassMutual Select Fundamental Growth Fund, Class S		-		248,626		1,582		247,044		1,600,844		-		276
MassMutual Select Fundamental Value Fund, Class Z		226,634		81,499		60,397		247,736		2,690,411		-		25,114
MassMutual Select Growth Opportunities Fund, Class S		162,116		49,591		45,896		165,811		1,382,861		-		126,512
MassMutual Select Large Cap Growth Fund, Class S		181,266		1,384		182,650		-		-		1,056		(79,537	)
MassMutual Select Large Cap Value Fund, Class S		45,416		15,325		14,446		46,295		497,669		-		11,771
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		116,428		26,375		22,669		120,134		1,858,475		-		(7,466	)
MassMutual Select Mid-Cap Value Fund, Class S		172,265		69,729		47,728		194,266		2,016,480		-		108,502
MassMutual Select Overseas Fund, Class Z		591,861		196,490		164,513		623,838		4,123,571		-		(98,233	)
MassMutual Select PIMCO Total Return Fund, Class Z		7,916		2,886		3,223		7,579		79,499		-		(563	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		48,146		26,384		23,485		51,045		784,559		-		(54,352	)
MassMutual Select Small Cap Value Equity Fund, Class S		87,135		54,473		37,300		104,308		1,010,740		-		18,374
MassMutual Select Small Company Growth Fund, Class S		66,786		25,875		23,852		68,809		712,867		-		40,037
MassMutual Select Small Company Value Fund, Class Z		50,325		21,241		18,616		52,950		713,234		-		1,275

80

Notes to Financial Statements (Unaudited) (Continued)

	Number of Shares Held as of 12/31/11		Purchases		Sales		Number of Shares Held as of 6/30/12		Value as of 6/30/12		Dividend Income		Net Realized Gain (Loss)
RetireSMART 2050 Fund (Continued)
MassMutual Select Strategic Bond Fund, Class S		7,384		1,902		1,750		7,536	$	77,852	$	-	$	428
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		387,856		162,590		131,433		419,013		1,286,370		-		(2,953	)
Oppenheimer Developing Markets Fund, Class Y*		7,805		6,882		5		14,682		460,119		-		(33	)
Oppenheimer Real Estate Fund, Class Y*		79,483		24,079		31,780		71,782		1,633,031		15,093		139,314
									$	38,004,004	$	22,749	$	465,068

* Fund advised by OppenheimerFunds, Inc.

+ Amount is less than $0.50.

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.

81

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 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 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 on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meetings in April and May 2012, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust or MassMutual (the “Independent Trustees”), re-approved the existing advisory agreements (collectively, the “Contracts”) for each of the RetireSMART In Retirement Fund, RetireSMART 2010 Fund, RetireSMART 2015 Fund, RetireSMART 2020 Fund, RetireSMART 2025 Fund, RetireSMART 2030 Fund, RetireSMART 2035 Fund, RetireSMART 2040 Fund, RetireSMART 2045 Fund, and RetireSMART 2050 Fund. In preparation for the meetings, the Trustees requested, and MassMutual 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 MassMutual discussing the nature and quality of the services it provides as investment manager to the Funds; (ii) a profitability analysis prepared by MassMutual; 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 management 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 MassMutual.

The Committee considered the nature, scope, and quality of services MassMutual provides to the Funds, including: (i) the financial condition, stability, and business strategy of MassMutual; (ii) the capabilities of MassMutual with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the Funds; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds; and (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the Funds and the needs of the Funds for administrative and shareholder services.

The Committee then reviewed and considered, for each Fund separately, the detailed information presented in the Third-Party Report regarding: (i) Fund expenses, including, among other things, both the Fund’s advisory fee and total net expense ratio against peer funds; and (ii) the Fund’s relative performance (over various time periods against peer funds and a benchmark index). In connection with the Committee’s review, MassMutual provided commentary and analysis regarding each Fund’s performance and expenses. The Committee also noted that it had received in the Meeting Materials or during the course of the past year, detailed information regarding MassMutual’s ability to provide investment oversight and administrative and shareholder services to the Funds. MassMutual reviewed with the Committee in detail the work MassMutual does in its oversight, administrative, and shareholder servicing roles, the expertise it brings to these roles, the size of its teams, and the financial commitment it has made to providing those services. Throughout the discussion, MassMutual responded to Committee members’ questions and provided additional information concerning each Fund.

82

Other Information (Unaudited) (Continued)

The Committee reviewed the expense and performance information for each Fund. (References to any one-year or three-year period below are to periods ended December 31, 2011. The three-year period does not apply for any Fund that does not yet have a three-year performance history. 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 RetireSMART 2010 Fund had expenses in the second quartile of its peer group, and performance for the three-year period that had been very favorable (second quartile), although its performance was slightly below the median of its performance category (54^th percentile) for the one-year period. The Committee reviewed this information with MassMutual, including the factors that may have contributed to the decline in relative performance in the most recent year, and determined that further inquiry was not required at this time.

The Committee considered that, in the case of a number of Funds, expense information showed the Funds to be in the first quartile of their peer groups (favorable), but that the Funds had performance information for only one year, which the Committee considered generally to be too short a period to warrant evaluation. The Committee considered the RetireSMART 2015 Fund (54^th percentile), RetireSMART 2025 Fund (85^th percentile), RetireSMART 2035 Fund (75^th percentile), and RetireSMART 2045 Fund (75^th percentile). The Committee considered MassMutual’s statements to the effect that the Funds had experienced below-median performance due largely to their relatively high allocations to equity securities during the period, consistent with their investment “glidepaths.”

The Committee considered the RetireSMART In Retirement Fund, whose expenses were slightly below the second quartile (54^th percentile), and which had experienced an improvement in performance from the third quartile of its performance category for the three-year period to the second quartile of its performance category for the one-year period. The Committee reviewed with MassMutual the factors that had led to the improvement in performance and considered factors that may have contributed to the less favorable three-year performance number.

The Committee considered information regarding the other Funds, which had underperformed in recent periods compared to their peers. The Committee considered that each of the Funds had relatively favorable first or second quartile expenses, but had achieved unfavorable relative performance.

• RetireSMART 2020, 2030, 2040, and 2050 Funds – The Committee considered that each of the Funds had achieved third- or fourth-quartile performance in the one-year period despite favorable three-year comparative performance. The Committee considered MassMutual’s statement that each Fund’s consistent investment “glidepath” strategy, including its higher exposure to equities, detracted from short-term Fund performance, but had enhanced long-term Fund performance and was expected to continue to enhance performance over the long period.

In conjunction with its review of the Third-Party Report, the Committee also reviewed and considered information included in the Meeting Materials, or discussed at the meeting, concerning economies of scale and the profitability of MassMutual’s advisory relationship with the various Funds, including: (i) a description of the revenue (including management fees and administrative and shareholder services fees, as applicable) and expense allocation methodology employed by MassMutual; and (ii) profitability information for each individual Fund. The discussions included consideration of the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the Funds and the so-called “fallout benefits” to MassMutual, 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 MassMutual’s oversight of each Fund; (ii) MassMutual’s levels of profitability from its relationship with the various Funds were not excessive and the advisory fees payable under the Contracts and each Fund’s total net expenses are fair and reasonable; (iii) either the relative or absolute

83

Other Information (Unaudited) (Continued)

performance of a Fund (in each case, taking into account the applicable investment strategy and risk profile of the Fund), or the steps MassMutual has proposed in respect of the underperformance of a Fund, are sufficient to warrant continuation of the Contract for each of the Funds; and (iv) the terms of the Contracts were fair and reasonable with respect to each Fund and were in the best interests of each Fund’s shareholders.

84

Other Information (Unaudited) (Continued)

Fund Expenses June 30, 2012

Expense Examples:

The following information is in regards to expenses for the six months ended June 30, 2012:

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 management 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 June 30, 2012.

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*
RetireSMART Conservative Fund
Class S	$	1,000		0.13	%	$	1,041.20	$	0.66	$	1,024.10	$	0.65
Class Y		1,000		0.17	%		1,042.30		0.86		1,023.90		0.85
Class L		1,000		0.25	%		1,040.20		1.26		1,023.50		1.25
Class A		1,000		0.50	%		1,039.20		2.52		1,022.30		2.50
RetireSMART Moderate Fund
Class S		1,000		0.12	%		1,054.70		0.61		1,024.10		0.60
Class Y		1,000		0.16	%		1,055.70		0.81		1,023.90		0.80
Class L		1,000		0.24	%		1,054.70		1.22		1,023.50		1.20
Class A		1,000		0.49	%		1,053.60		2.49		1,022.30		2.45

85

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*
RetireSMART Moderate Growth Fund
Class S	$	1,000		0.13	%	$	1,064.10	$	0.66	$	1,024.10	$	0.65
Class Y		1,000		0.17	%		1,064.10		0.87		1,023.90		0.85
Class L		1,000		0.25	%		1,064.10		1.28		1,023.50		1.25
Class A		1,000		0.50	%		1,063.00		2.55		1,022.30		2.50
RetireSMART Growth Fund
Class S		1,000		0.13	%		1,070.00		0.67		1,024.10		0.65
Class Y		1,000		0.17	%		1,069.00		0.87		1,023.90		0.85
Class L		1,000		0.25	%		1,069.00		1.28		1,023.50		1.25
Class A		1,000		0.50	%		1,067.90		2.56		1,022.30		2.50
RetireSMART In Retirement Fund
Class S		1,000		0.15	%		1,042.70		0.76		1,024.00		0.75
Class Y		1,000		0.22	%		1,042.60		1.11		1,023.60		1.10
Class L		1,000		0.32	%		1,042.70		1.62		1,023.10		1.60
Class A		1,000		0.56	%		1,041.00		2.83		1,022.00		2.80
Class N		1,000		0.87	%		1,040.00		4.39		1,020.40		4.35
RetireSMART 2010 Fund
Class S		1,000		0.14	%		1,049.20		0.71		1,024.00		0.70
Class Y		1,000		0.23	%		1,049.30		1.17		1,023.60		1.15
Class L		1,000		0.33	%		1,048.30		1.67		1,023.10		1.65
Class A		1,000		0.58	%		1,047.60		2.94		1,021.90		2.90
Class N		1,000		0.88	%		1,046.80		4.45		1,020.40		4.40
RetireSMART 2015 Fund
Class S		1,000		0.10	%		1,057.60		0.51		1,024.20		0.50
Class Y		1,000		0.15	%		1,057.60		0.76		1,024.00		0.75
Class L		1,000		0.25	%		1,056.60		1.27		1,023.50		1.25
Class A		1,000		0.50	%		1,055.80		2.54		1,022.30		2.50
RetireSMART 2020 Fund
Class S		1,000		0.10	%		1,062.60		0.51		1,024.20		0.50
Class Y		1,000		0.19	%		1,062.70		0.97		1,023.80		0.95
Class L		1,000		0.29	%		1,061.60		1.48		1,023.30		1.45
Class A		1,000		0.54	%		1,061.00		2.75		1,022.10		2.70
Class N		1,000		0.84	%		1,059.40		4.28		1,020.60		4.20
RetireSMART 2025 Fund
Class S		1,000		0.10	%		1,064.20		0.51		1,024.20		0.50
Class Y		1,000		0.15	%		1,064.20		0.77		1,024.00		0.75
Class L		1,000		0.25	%		1,062.20		1.27		1,023.50		1.25
Class A		1,000		0.50	%		1,061.30		2.55		1,022.30		2.50
RetireSMART 2030 Fund
Class S		1,000		0.11	%		1,067.50		0.56		1,024.20		0.55
Class Y		1,000		0.20	%		1,066.50		1.02		1,023.70		1.00
Class L		1,000		0.30	%		1,065.30		1.53		1,023.20		1.50
Class A		1,000		0.55	%		1,063.70		2.81		1,022.00		2.75
Class N		1,000		0.85	%		1,063.10		4.34		1,020.50		4.25

86

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*
RetireSMART 2035 Fund
Class S	$	1,000		0.10	%	$	1,066.30	$	0.51	$	1,024.20	$	0.50
Class Y		1,000		0.15	%		1,066.30		0.77		1,024.00		0.75
Class L		1,000		0.25	%		1,065.30		1.28		1,023.50		1.25
Class A		1,000		0.50	%		1,063.40		2.55		1,022.30		2.50
RetireSMART 2040 Fund
Class S		1,000		0.11	%		1,067.40		0.56		1,024.20		0.55
Class Y		1,000		0.20	%		1,067.50		1.02		1,023.70		1.00
Class L		1,000		0.30	%		1,066.40		1.53		1,023.20		1.50
Class A		1,000		0.55	%		1,065.90		2.81		1,022.00		2.75
Class N		1,000		0.85	%		1,063.10		4.34		1,020.50		4.25
RetireSMART 2045 Fund
Class S		1,000		0.10	%		1,069.00		0.51		1,024.20		0.50
Class Y		1,000		0.15	%		1,067.90		0.77		1,024.00		0.75
Class L		1,000		0.25	%		1,068.00		1.28		1,023.50		1.25
Class A		1,000		0.50	%		1,067.10		2.56		1,022.30		2.50
RetireSMART 2050 Fund
Class S		1,000		0.10	%		1,068.70		0.51		1,024.20		0.50
Class Y		1,000		0.15	%		1,067.40		0.77		1,024.00		0.75
Class L		1,000		0.25	%		1,067.50		1.28		1,023.50		1.25
Class A		1,000		0.50	%		1,065.00		2.55		1,022.30		2.50
Class N		1,000		0.80	%		1,065.10		4.09		1,020.80		4.00

* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2012, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

87

Distributor: MML Distributors, LLC 1295 State Street Springfield, MA 01111-0001   August 29, 2012

^©2012 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. L4543    0812 C:05477-04

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Investments.

Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this filing.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable to this filing.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics (Item 2) is not applicable to this filing.

(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.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) MASSMUTUAL SELECT FUNDS
By (Signature and Title)	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer

Date    8/28/12

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer

Date    8/28/12

By (Signature and Title)	/s/ Nicholas H. Palmerino
	Nicholas H. Palmerino, Treasurer and Principal Financial Officer

Date    8/28/12